Past exam of the mathematics course of the University of Cambridge / 2015 / ii / Paper 1 / 23J (Probability and Measure)

On a fixed underlying set, a pi-system is a nonempty family closed under finite intersections. A Dynkin system, also called a d-system, contains the whole underlying set, is closed under complements relative to it, and under countable disjoint unions. Equivalently it is closed under differences of nested members and increasing countable unions. A sigma-algebra contains the whole set, is closed under complements and arbitrary countable unions, hence also countable intersections. A Dynkin system need not be a sigma-algebra unless additional intersection closure is available.

The dominated convergence theorem states that, on a measure space, if measurable $f_n\to f$ almost everywhere and $|f_n|\le g$ almost everywhere for one integrable $g$, then $f$ is integrable and $\int |f_n-f|\to 0$. In particular, $\int f_n\to \int f$. The statement applies to real or complex functions.

No. On the real line, the disjoint bounded Borel sets $[n,n+1)$, $n\ge 0$, each have assigned mass zero, while their union $[0,\infty )$ has assigned mass one. This contradicts countable additivity, so the set function is not a Borel measure.

For each $x$, $g(x{)}^n\to 0$ if $g(x)<1$, and remains one if $g(x)=1$. Continuity gives pointwise convergence to $f(0)$ off $E=\{x:g(x)=1\}$ and to $f(1)$ on $E$. The functions are measurable and bounded by ${\max }_{[0,1]}|f|$, an integrable constant on a unit-length interval. The dominated convergence theorem therefore givesHere $|E|$ is Lebesgue measure. This convex combination belongs to $[f(0),f(1)]$, without requiring $f$ to be monotone.