Measurable function

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A function is Lebesgue measurable if and only if the preimage of each of the sets is a Lebesgue measurable set.

In mathematics, particularly in measure theory, measurable functions are structure-preserving functions between measurable spaces; as such, they form a natural context for the theory of integration. Specifically, a function between measurable spaces is said to be measurable if the preimage of each measurable set is measurable, analogous to the situation of continuous functions between topological spaces.

In probability theory, the sigma algebra often represents the set of available information, and a function (in this context a random variable) is measurable if and only if it represents an outcome that is knowable based on the available information. In contrast, functions that are not Lebesgue measurable are generally considered pathological, at least in the field of analysis.

Formal definition

Let (X, Σ) and (Y, Τ) be measurable spaces, meaning that X and Y are sets equipped with respective sigma algebras Σ and Τ. A function f: XY is said to be measurable if the preimage of E under f is in Σ for every E ∈ Τ; i.e.

The notion of measurability depends on the sigma algebras Σ and Τ. To emphasize this dependency, if f: XY is a measurable function, we will write


This definition can be deceptively simple, however, as special care must be taken regarding the σ-algebras involved. In particular, when a function f: RR is said to be Lebesgue measurable what is actually meant is that is a measurable function—that is, the domain and range represent different σ-algebras on the same underlying set (here is the sigma algebra of Lebesgue measurable sets, and is the Borel algebra on R). As a result, the composition of Lebesgue-measurable functions need not be Lebesgue-measurable.

By convention a topological space is assumed to be equipped with the Borel algebra generated by its open subsets unless otherwise specified. Most commonly this space will be the real or complex numbers. For instance, a real-valued measurable function is a function for which the preimage of each Borel set is measurable. A complex-valued measurable function is defined analogously. In practice, some authors use measurable functions to refer only to real-valued measurable functions with respect to the Borel algebra.[1] If the values of the function lie in an infinite-dimensional vector space instead of R or C, usually other definitions of measurability are used, such as weak measurability and Bochner measurability.

Special measurable functions

Properties of measurable functions

  • The sum and product of two complex-valued measurable functions are measurable.[3] So is the quotient, so long as there is no division by zero.[1]
  • The composition of measurable functions is measurable; i.e., if f: (X, Σ1) → (Y, Σ2) and g: (Y, Σ2) → (Z, Σ3) are measurable functions, then so is g(f(⋅)): (X, Σ1) → (Z, Σ3).[1] But see the caveat regarding Lebesgue-measurable functions in the introduction.
  • The pointwise limit of a sequence of measurable functions is measurable (if the codomain in endowed with the Borel algebra); note that the corresponding statement for continuous functions requires stronger conditions than pointwise convergence, such as uniform convergence. (This is correct when the counter domain of the elements of the sequence is a metric space. It is false in general; see pages 125 and 126 of.[5])

Non-measurable functions

Real-valued functions encountered in applications tend to be measurable; however, it is not difficult to find non-measurable functions.

  • So long as there are non-measurable sets in a measure space, there are non-measurable functions from that space. If (X, Σ) is some measurable space and AX is a non-measurable set, i.e. if A ∉ Σ, then the indicator function 1A: (X, Σ) → R is non-measurable (where R is equipped with the Borel algebra as usual), since the preimage of the measurable set {1} is the non-measurable set A. Here 1A is given by
  • Any non-constant function can be made non-measurable by equipping the domain and range with appropriate σ-algebras. If f: XR is an arbitrary non-constant, real-valued function, then f is non-measurable if X is equipped with the indiscrete algebra Σ = {∅, X}, since the preimage of any point in the range is some proper, nonempty subset of X, and therefore does not lie in Σ.

See also


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External links