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Convergence Theorems
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Vitali's Convergence Theorem
If is a sequence of functions in that converge in measure to a function , and if is uniformly integrable, then is also in and .
Dominated Convergence Theorem
If is a sequence of measurable functions that converge pointwise to a function and there exists an integrable function such that for all , then .
Lusin's Theorem
If is a measurable function on a set with finite measure, then for every , there exists a continuous function on and a subset where such that on .
Fatou's Lemma
Given a sequence of non-negative measurable functions , then .
Egorov's Theorem
Given a sequence of measurable functions that converge almost everywhere to a function on a set with finite measure, for every , there exists a subset with measure where the convergence of to is uniform on .
Monotone Convergence Theorem
If is a sequence of non-negative measurable functions increasing pointwise to a function , then .
Lebesgue's Differentiation Theorem
For a locally integrable function on , at almost every point , the limit of the average value of over spheres (or cubes) centered at with radius (or side) shrinking to zero is equal to .
Lebesgue's Dominated Convergence Theorem
A special case of the Dominated Convergence Theorem where a sequence of measurable functions that converge almost everywhere to a function , and is dominated by an integrable function , implies .
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