Fatou's Lemma for Integrals/Integrable Functions

Theorem

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

Let $\sequence {f_n}_{n \mathop \in \N} \in \LL^1$, $f_n: X \to \R$ be a sequence of $\mu$-integrable functions.

Let $\ds \liminf_{n \mathop \to \infty} f_n: X \to \overline \R$ be the pointwise limit inferior of the $f_n$.

Suppose that there exists an $\mu$-integrable $f: X \to \R$ such that for all $n \in \N$, $f \le f_n$ pointwise.

Then:

$\ds \int \liminf_{n \mathop \to \infty} f_n \rd \mu \le \liminf_{n \mathop \to \infty} \int f_n \rd \mu$

where:

the integral sign denotes $\mu$-integration

the right hand side limit inferior is taken in the extended real numbers $\overline \R$.

Proof

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Source of Name

This entry was named for Pierre Joseph Louis Fatou.

Sources

• 2005: René L. Schilling: Measures, Integrals and Martingales ... (previous) ... (next): $\S 10$: Problem $10.8 \ \text{(i)}$