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Dominated Convergence Theorem

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Theorem
MeasureTheory

Let (X,F,μ)(X,\mathcal{F},\mu) be a measure space. Let (fn)nNL1(X,F,μ)(f_{n})_{n\in\mathbb{N}}\subset\mathscr{L}^{1}(X,\mathcal{F},\mu) and fnff_{n}\to f pointwise for some f:XRf:X\to \mathbb{R}. Assume gL1(X,F,μ)\exists g\in\mathscr{L}^{1}(X,\mathcal{F},\mu) such that fng, nN|f_{n}|\le g, \ \forall n\in\mathbb{N}then we have that fL1(X,F,μ)f\in\mathscr{L}^{1}(X,\mathcal{F},\mu) and limnXfndμ=Xfdμ\lim_{ n \to \infty } \int\limits _{X}f_{n} \, d\mu =\int\limits _{X}f \, d\mu

Suppose (fn)nN(f_{n})_{n\in\mathbb{N}} is a sequence of measurable functions such that fnff_{n}\to f a.e. and let gL1(X,M,μ)g\in\mathscr{L}^{1}(X,\mathscr{M},\mu) s.t. fng a.e.,nN|f_{n}|\le g \text{ a.e.},\forall n\in\mathbb{N} then fL1(X,M,μ)f\in\mathscr{L}^{1}(X,\mathscr{M},\mu) and limnfndμ=limnfndμa.e.\int\limits \lim_{ n \to \infty } f_{n} \, d\mu =\lim_{ n \to \infty } \int\limits f_{n} \, d\mu\quad\text{a.e.}

Let (Ω,F,μ)(\Omega,\mathcal{F},\mu) be a measure space and (fn)nNL1(Ω,F,μ)(f_{n})_{n\in\mathbb{N}}\subset \mathscr{L}^{1}(\Omega,\mathcal{F},\mu). If μ(Ω)<\mu(\Omega)<\infty and fnf_{n} are uniformly bounded i.e. MN:fn<M,nN\exists M\in\mathbb{N}:|f_{n}|<M,\,\forall n\in\mathbb{N}then fnff_{n}\to f μ\mu-a.e. implies limnfndμ=fdμ\lim_{ n \to \infty } \int\limits f_{n} \, d\mu=\int\limits f \, d\mu

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