Egorov's theorem

In measure theory, an area of mathematics, Egorov's theorem establishes a condition for the uniform convergence of a pointwise convergent sequence of measurable functions. It is also named Severini–Egoroff theorem or Severini–Egorov theorem, after Carlo Severini, an Italian mathematician, and Dmitri Egorov, a Russian physicist and geometer, who published independent proofs respectively in 1910 and 1911.

Egorov's theorem can be used along with compactly supported continuous functions to prove Lusin's theorem for integrable functions.

The first proof of the theorem was given by Carlo Severini in 1910:[1][2] he used the result as a tool in his research on series of orthogonal functions. His work remained apparently unnoticed outside Italy, probably due to the fact that it is written in Italian, appeared in a scientific journal with limited diffusion and was considered only as a means to obtain other theorems. A year later Dmitri Egorov published his independently proved results,[3] and the theorem became widely known under his name: however, it is not uncommon to find references to this theorem as the Severini–Egoroff theorem. The first mathematicians to prove independently the theorem in the nowadays common abstract measure space setting were Frigyes Riesz (1922, 1928), and in Wacław Sierpiński (1928):[4] an earlier generalization is due to Nikolai Luzin, who succeeded in slightly relaxing the requirement of finiteness of measure of the domain of convergence of the pointwise converging functions in the ample paper (Luzin 1916).[5] Further generalizations were given much later by Pavel Korovkin, in the paper (Korovkin 1947), and by Gabriel Mokobodzki in the paper (Mokobodzki 1970).

Let (fn) be a sequence of M-valued measurable functions, where M is a separable metric space, on some measure space (X,Σ,μ), and suppose there is a measurable subset AX, with finite μ-measure, such that (fn) converges μ-almost everywhere on A to a limit function f. The following result holds: for every ε > 0, there exists a measurable subset B of A such that μ(B) < ε, and (fn) converges to f uniformly on A \ B.

Here, μ(B) denotes the μ-measure of B. In words, the theorem says that pointwise convergence almost everywhere on A implies the apparently much stronger uniform convergence everywhere except on some subset B of arbitrarily small measure. This type of convergence is also called almost uniform convergence.

These sets get smaller as n increases, meaning that En+1,k is always a subset of En,k, because the first union involves fewer sets. A point x, for which the sequence (fm(x)) converges to f(x), cannot be in every En,k for a fixed k, because fm(x) has to stay closer to f(x) than 1/k eventually. Hence by the assumption of μ-almost everywhere pointwise convergence on A,

for every k. Since A is of finite measure, we have continuity from above; hence there exists, for each k, some natural number nk such that

For x in this set we consider the speed of approach into the 1/k-neighbourhood of f(x) as too slow. Define

as the set of all those points x in A, for which the speed of approach into at least one of these 1/k-neighbourhoods of f(x) is too slow. On the set difference A \ B we therefore have uniform convergence.

Appealing to the sigma additivity of μ and using the geometric series, we get

Nikolai Luzin's generalization of the Severini–Egorov theorem is presented here according to Saks (1937, p. 19).

Under the same hypothesis of the abstract Severini–Egorov theorem suppose that A is the union of a sequence of measurable sets of finite μ-measure, and (fn) is a given sequence of M-valued measurable functions on some measure space (X,Σ,μ), such that (fn) converges μ-almost everywhere on A to a limit function f, then A can be expressed as the union of a sequence of measurable sets H, A1, A2,... such that μ(H) = 0 and (fn) converges to f uniformly on each set Ak.

and such that (fn) converges to f uniformly on each set Ak for each k. Choosing

therefore there is a natural number m0 such that putting A0,m0=A0 the following relation holds true:

satisfying the following two relationships, analogous to the previously found ones, i.e.

This fact enable us to define the set A1,m1=A1, where m1 is a surely existing natural number such that