Past exam of the options II course of the University of Oxford / 2005 / D / 3 / ii / Solution

Put $G_N={\sum }_{n=1}^N|f_n|$. These are nonnegative measurable functions increasing to $G={\sum }_{n=1}^{\infty }|f_n|$, possibly initially with value infinity. Monotone convergence theorem givesAn infinite value on a set of positive measure would force an infinite integral. Thus $G$ is finite almost everywhere and, after setting it to zero on its null exceptional set if desired, is integrable.

Where $G$ is finite, the real series ${\sum }_n{f}_n$ is absolutely convergent. Define its sum to be $h$ there and zero on the exceptional null set. Measurability follows as an almost-everywhere limit of partial sums, and $|h|\le G$ almost everywhere gives integrability. Every partial sum is dominated by $G$, so dominated convergence theorem yieldsIn fact the convergence is also in the integrable-function norm: