Pratt's Lemma

Theorem

Let $\struct {X, \Sigma, \mu}$ be a measure space.

Let:

$\sequence {g_n}_{n \mathop \in \N}$

$\sequence {G_n}_{n \mathop \in \N}$

$\sequence {f_n}_{n \mathop \in \N}$

be sequences of $\mu$-integrable functions.

Let the pointwise limits:

$\ds f := \lim_{n \mathop \to \infty} f_n$

$\ds g := \lim_{n \mathop \to \infty} g_n$

$\ds G := \lim_{n \mathop \to \infty} G_n$

exist.

Let $g$ and $G$ be $\mu$-integrable.

Suppose that, for all $x \in X$ and $n \in \N$:

$\map {g_n} x \le \map {f_n} x \le \map {G_n} x$

Finally, suppose the following hold:

$\ds \lim_{n \mathop \to \infty} \int g_n \rd \mu = \int g \rd \mu$

$\ds \lim_{n \mathop \to \infty} \int G_n \rd \mu = \int G \rd \mu$

Then:

$\ds \lim_{n \mathop \to \infty} \int f_n \rd \mu = \int f \rd \mu$

and the latter is finite.

Proof

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Source of Name

This entry was named for John Winsor Pratt.

Sources

• 2005: René L. Schilling: Measures, Integrals and Martingales ... (previous) ... (next): $\S 11$: Problem $3$