Past exam of the options I course of the University of Oxford / 2005 / D

A set $E\subseteq [0,1]$ is null when for every $\epsilon >0$ it can be covered by countably many open intervals whose lengths sum to less than $\epsilon$. Equivalently its Lebesgue outer measure is zero. This definition does not presuppose measurability of $E$.

Let $E_n$ be null. Given $\epsilon >0$, cover $E_n$ by intervals of total length less than $\epsilon 2^{-n}$, for $n\ge 1$. The union of all these interval families is countable, covers ${\bigcup }_n{E}_n$, and has total length less than ${\sum }_n\epsilon 2^{-n}=\epsilon$. Thus the countable union is null.

Take the middle-thirds Cantor set $C$. Its $n$th stage is the union of $2^n$ closed intervals of length $3^{-n}$, and contains $C$. Their total length is $(2/3{)}^n\to 0$; slightly enlarging them to open intervals gives covers of arbitrarily small total length. Therefore $C$ is null.

For uncountability map every binary sequence $({\epsilon }_j{)}_{j\ge 1}$ to ${\sum }_{j\ge 1}2{\epsilon }_j{3}^{-j}\in C$. If two sequences first differ at index $k$, their image difference in absolute value is at least $2\cdot 3^{-k}-{\sum }_{j>k}2\cdot 3^{-j}=3^{-k}>0$. Thus the map is injective. The set of binary sequences is uncountable by Cantor's diagonal argument, so $C$ is uncountable.

Since $\log x\le 0$ on $(0,1]$, substitute $x=e^{-s}$ to obtainThe functions are measurable, so this proves Lebesgue integrability. Also $0<e^{-x}\le 1$ gives $|h_t(x)|\le |g_t(x)|$. Hence $h_t$ is integrable on $(0,1]$ as well.

A useful differentiation theorem says: if $f(t,x)$ is integrable in $x$, differentiable in $t$ for almost every $x$, and on a neighborhood of each parameter value the derivative is bounded in absolute value by one integrable function of $x$, then the integral is differentiable and its derivative is the integral of ${\partial }_{t}f$. The proof applies dominated convergence to difference quotients, bounded by that same majorant by the mean value theorem.

Fix $t_0>0$ and choose $0<a<t_0<b$. For $t\in [a,b]$,The first part is integrable by part (i). The second is integrable by the permitted hypothesis for $h_b$; alternatively exponential decay dominates its polynomial and logarithmic factors. The theorem therefore applies locally at every $t_0$, giving