THE FATOU LEMMA, DOMINATED AND MONOTONE CONVERGENCE

THEOREMS ARE EQUIVALENT TO EACH OTHER

Let fn → f almost everywhere on a measure space X of nite measure. Then the following

three facts are equivalent to each other.

Theorem 1 (the Fatou lemma). If fn ≥ 0 for all n then

ˆ ˆ
f ≤ lim inf fn .
n→∞

Theorem 2 (Dominated Convergence Theorem). |fn | ≤ g If for some g ∈ L1 then

ˆ ˆ
f = lim fn
n→∞

Theorem 3 (Monotone Convergence Theorem). fn ≤ fn+1

If for all n then
ˆ ˆ
f = lim fn
n→∞

The proof of the equivalence (FL) ⇔ (DCT) ⇔ (MCT) if |X| < ∞

(FL) ⇒ (DCT). Let

hn := g + |f | − |fn − f |.
Note hn ≥ 0 by triangle inequality and the assumption |fn | ≤ g . Fatou lemma gives
ˆ ˆ
lim inf hn ≤ lim inf hn . (1)
n→∞ n→∞

Noting that Fatou lemma gives also

ˆ ˆ ˆ
|f | ≤ lim inf |fn | ≤ g<∞
n→∞
´ ´
we see that |f | is integrable and so we may cancel out the terms |f |, g in (1) to obtain
ˆ
0 ≤ lim inf −|fn − f |,
n→∞

that is ˆ
lim sup |fn − f | ≤ 0,
n→∞
from which the claim follows.

´
(DCT) ⇒ (MCT). Assume fn ≥ 0 (in the general case consider fn − f0 ). If fn → ∞ then
´
f =∞ since f ≥ fn for all n. If not then the integrals are bounded, that is
ˆ
fn ≤ K.

Let

U := {x : fn (x) → ∞}.

Date : 23 Feb 2017.

1
 FL, DCT AND MCT ARE EQUIVALENT TO EACH OTHER 2

Then
\[
U= Unr ,
r n
where

Unr := {x : fn (x) > r}

By Chebyshev inequality |Unr | ≤ K/r and so, since for each r the sets Unr are increasing we obtain
 
[ 
 Un  = lim |Unr | ≤ K/r.
r

n  n→∞

r, U ⊂ n Unr we obtain
S
Moreover since for each
 
[ 
r
|U | ≤  Un  ≤ K/r → 0.

n 

Hence |U | = 0, that is f is nite a.e. Now let Ar := {r − 1 ≤ f < r} and

∞
X
φ := r χ Ar .
r=1

Note φ ≥ f ≥ fn and so the claim follows from DCT if φ ∈ L1 . For this let

s
[
Bs := Ar
r=1

and note that φ≤f +1 and so, since f < s on Bs , an application of DCT gives
s
X ˆ ˆ ˆ
r|Ar | = φ≤ f + |X| = lim fn + |X| ≤ K + |X|.
Bs Bs n→∞ Bs
r=1
P
(Recall X is the space.) Hence the partial sums of the series r|Ar | are bounded, and so the series
P ´ 1
r

r r|Ar | = φ converge, that is φ∈L , as required.

(MCT) ⇒ (FL). Let

φn (x) := inf{fk (x) : k ≥ n}.

Then 0 ≤ φn ≤ fn and so ˆ ˆ
φn ≤ fn

Noting that φn ≤ φn+1 and that limn→∞ φn (x) = f (x) we observe that taking lim inf and applying

MCT to the sequence φn gives

ˆ ˆ ˆ ˆ
f = lim φn = lim inf φn ≤ lim inf fn ,
n→∞ n→∞ n→∞

as required.

The case |X| = ∞

If |X| = ∞ then the argument in  (DCT) ⇒ (MCT) breaks down. However it can be replaced

by an implication  (FL) ⇒ (MCT) as follows:

´ ´
Since fn ≤ f we obtain fn ≤ f and so Fatou lemma gives
ˆ ˆ ˆ ˆ
f ≤ lim inf fn ≤ lim sup fn ≤ f,
n→∞ n→∞
 FL, DCT AND MCT ARE EQUIVALENT TO EACH OTHER 3

as required.

This however, makes (DCT) merely an implication of (FL) and (MCT), rather than an equivalent

fact. I am not aware of an argument that includes DCT as an equivalent fact. I would be grateful

for any comments.

Wojciech Ozanski, Mathematics Institute, University of Warwick, Coventry CV4 7AL, UK.

E-mail address : [email protected]