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Convergence Theorems

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Vitali's Convergence Theorem

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If (fn)(f_n) is a sequence of functions in L1L^1 that converge in measure to a function ff, and if (fn)(f_n) is uniformly integrable, then ff is also in L1L^1 and limnfndμ=fdμ\lim_{n\to\infty} \int f_n d\mu = \int f d\mu.

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Dominated Convergence Theorem

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If (fn)(f_n) is a sequence of measurable functions that converge pointwise to a function ff and there exists an integrable function gg such that fng|f_n| \leq g for all nn, then limnfndμ=fdμ\lim_{n\to\infty} \int f_n d\mu = \int f d\mu.

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Lusin's Theorem

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If ff is a measurable function on a set EE with finite measure, then for every ϵ>0\epsilon > 0, there exists a continuous function gg on Rn\mathbb{R}^n and a subset EϵEE_\epsilon \subset E where μ(EEϵ)<ϵ\mu(E \setminus E_\epsilon) < \epsilon such that f=gf = g on EϵE_\epsilon.

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Fatou's Lemma

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Given a sequence of non-negative measurable functions (fn)(f_n), then lim infnfndμlim infnfndμ\int \liminf_{n\to\infty} f_n d\mu \leq \liminf_{n\to\infty} \int f_n d\mu.

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Egorov's Theorem

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Given a sequence of measurable functions (fn)(f_n) that converge almost everywhere to a function ff on a set EE with finite measure, for every ϵ>0\epsilon > 0, there exists a subset EϵEE_\epsilon \subset E with measure μ(EEϵ)<ϵ\mu(E \setminus E_\epsilon) < \epsilon where the convergence of (fn)(f_n) to ff is uniform on EϵE_\epsilon.

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Monotone Convergence Theorem

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If (fn)(f_n) is a sequence of non-negative measurable functions increasing pointwise to a function ff, then limnfndμ=fdμ\lim_{n\to\infty} \int f_n d\mu = \int f d\mu.

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Lebesgue's Differentiation Theorem

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For a locally integrable function ff on Rn\mathbb{R}^n, at almost every point xx, the limit of the average value of ff over spheres (or cubes) centered at xx with radius (or side) shrinking to zero is equal to f(x)f(x).

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Lebesgue's Dominated Convergence Theorem

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A special case of the Dominated Convergence Theorem where a sequence of measurable functions (fn)(f_n) that converge almost everywhere to a function ff, and is dominated by an integrable function gg, implies limnfndμ=fdμ\lim_{n\to\infty} \int f_n d\mu = \int f d\mu.

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