Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2010/d/1/4/solution

Since , the previous part and closure under addition prove measurability of the absolute value.
The converse fails. Choose a nonmeasurable subset of and define on , on its complement. Then is measurable, whereas is not. Thus measurability of does not imply measurability of .

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