Past exam of the mathematics course of the University of Cambridge / 2006 / ii / Paper 4 / 25J / d / Solution

Fatou's lemma states that nonnegative measurable functions satisfyTo prove it, put $h_n={\inf }_{k\ge n}{f}_k$. These measurable nonnegative functions increase to $\mathrm{liminf}{f}_n$. By the monotone convergence theorem, $\int \mathrm{liminf}{f}_n={\lim }_n\int h_n$. Since $h_n\le f_k$ for every $k\ge n$, one has $\int h_n\le {\inf }_{k\ge n}\int f_k$. Taking the limit proves the inequality, including extended infinite integrals.