Past exam of the integration course of the University of Oxford / 2017 / 1 / c / i

For a Lebesgue measurable function $f:\mathbb{R}\to \mathbb{R}$, the preimage $f^{-1}(U)$ of every open set $U$ is a Lebesgue measurable set. For a Borel measurable function, each such preimage must instead be a Borel set. Equivalently, both definitions can test all Borel target sets: the collectionis a sigma-algebra, since preimages preserve complements and countable unions. Containing all open sets therefore makes it contain the Borel sigma-algebra.

Now let $U$ be open. Since $h$ is a Borel measurable function, $h^{-1}(U)$ is Borel. Since $g$ is a Lebesgue measurable function, $g^{-1}(h^{-1}(U))$ is a Lebesgue measurable set. ButThus $h\circ g$ is a Lebesgue measurable function. The intermediate sigma-algebra is Borel; this is why Borel postcomposition preserves Lebesgue measurability.