Pointwise Sum of Measurable Functions is Measurable/General Result

Theorem
Let $\struct {X, \Sigma}$ be a measurable space. Let $\sequence {f_n}_{n \mathop \in \N}$ be a sequence of $\Sigma$-measurable functions $f_n : X \to \overline \R$ such that:


 * for each $N \in \N$ and $x \in X$, the sum $\ds \sum_{n \mathop = 1}^N \map {f_n} x$ is well-defined.

Then:


 * $\ds \sum_{n \mathop = 1}^N f_n$ is $\Sigma$-measurable.

Proof
We proceed by induction.

For all $N \in \N$ let $\map P N$ be the proposition:


 * $\ds \sum_{n \mathop = 1}^N f_n$ is $\Sigma$-measurable.

Basis for Induction
$\map P 1$ simply says:


 * $f_1$ is $\Sigma$-measurable

which is clearly true from our assumptions on $\sequence {f_n}_{n \mathop \in \N}$.

This is our basis for the induction.

Induction Hypothesis
Now we need to show that, if $\map P N$ is true, where $N \ge 1$, then it logically follows that $\map P {N + 1}$ is true.

Our induction hypothesis is:


 * $\ds \sum_{n \mathop = 1}^N f_n$ is $\Sigma$-measurable.

We aim to show that:


 * $\ds \sum_{n \mathop = 1}^{N + 1} f_n$ is $\Sigma$-measurable.

Induction Step
This is our induction step.

We have:


 * $\ds \sum_{n \mathop = 1}^{N + 1} f_n = f_{N + 1} + \sum_{n \mathop = 1}^N f_n$

From our induction hypothesis, we have:


 * $\ds \sum_{n \mathop = 1}^N f_n$

From the construction of $\sequence {f_n}_{n \mathop \in \N}$ we have:


 * $f_{N + 1}$ is $\Sigma$-measurable.

So, from Pointwise Sum of Measurable Functions is Measurable, we have:


 * $\ds f_{N + 1} + \sum_{n \mathop = 1}^N f_n = \sum_{n \mathop = 1}^{N + 1} f_n$ is $\Sigma$-measurable.