# Measurable function

In mathematics and in particular measure theory, a **measurable function** is a function between the underlying sets of two measurable spaces that preserves the structure of the spaces: the preimage of any measurable set is measurable, analogous to the definition that a function between topological spaces is continuous if it preserves the topological structure: the preimage of each open set is open. In real analysis, measurable functions are used in the definition of the Lebesgue integral. In probability theory, a measurable function on a probability space is known as a random variable.

## Formal definitionEdit

Let and be measurable spaces, meaning that and are sets equipped with respective -algebras and . A function is said to be measurable if for every the pre-image of under is in ; i.e.

If is a measurable function, we will write

to emphasize the dependency on the -algebras and .

## Term usage variationsEdit

The choice of -algebras in the definition above is sometimes implicit and left up to the context. For example, for , , or other topological spaces, the Borel algebra (containing all the open sets) is a common choice. Some authors define **measurable functions** as exclusively real-valued ones with respect to the Borel algebra.^{[1]}

If the values of the function lie in an infinite-dimensional vector space, other non-equivalent definitions of measurability, such as weak measurability and Bochner measurability, exist.

## Notable classes of measurable functionsEdit

- Random variables are by definition measurable functions defined on probability spaces.
- If and are Borel spaces, a measurable function is also called a
**Borel function**. Continuous functions are Borel functions but not all Borel functions are continuous. However, a measurable function is nearly a continuous function; see Luzin's theorem. If a Borel function happens to be a section of some map , it is called a**Borel section**. - A Lebesgue measurable function is a measurable function , where is the -algebra of Lebesgue measurable sets, and is the Borel algebra on the complex numbers . Lebesgue measurable functions are of interest in mathematical analysis because they can be integrated. In the case , is Lebesgue measurable iff is measurable for all . This is also equivalent to any of being measurable for all , or the preimage of any open set being measurable. Continuous functions, monotone functions, step functions, semicontinuous functions, Riemann-integrable functions, and functions of bounded variation are all Lebesgue measurable.
^{[2]}A function is measurable iff the real and imaginary parts are measurable.

## Properties of measurable functionsEdit

- 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]} - If and are measurable functions, then so is their composition .
^{[1]} - If and are measurable functions, their composition need not be -measurable unless . Indeed, two Lebesgue-measurable functions may be constructed in such a way as to make their composition non-Lebesgue-measurable.
- The (pointwise) supremum, infimum, limit superior, and limit inferior of a sequence (viz., countably many) of real-valued measurable functions are all measurable as well.
^{[1]}^{[4]} - The pointwise limit of a sequence of measurable functions is measurable, where is a metric space (endowed with the Borel algebra). This is not true in general if is non-metrizable. Note that the corresponding statement for continuous functions requires stronger conditions than pointwise convergence, such as uniform convergence.
^{[5]}^{[6]}

## Non-measurable functionsEdit

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 is some measurable space and is a non-measurable set, i.e. if , then the indicator function is non-measurable (where is equipped with the Borel algebra as usual), since the preimage of the measurable set is the non-measurable set . Here is given by

- Any non-constant function can be made non-measurable by equipping the domain and range with appropriate -algebras. If is an arbitrary non-constant, real-valued function, then is non-measurable if is equipped with the trivial -algebra , since the preimage of any point in the range is some proper, nonempty subset of , and therefore does not lie in .

## See alsoEdit

- Vector spaces of measurable functions: the spaces
- Measure-preserving dynamical system

## NotesEdit

- ^
^{a}^{b}^{c}^{d}Strichartz, Robert (2000).*The Way of Analysis*. Jones and Bartlett. ISBN 0-7637-1497-6. **^**Carothers, N. L. (2000).*Real Analysis*. Cambridge University Press. ISBN 0-521-49756-6.**^**Folland, Gerald B. (1999).*Real Analysis: Modern Techniques and their Applications*. Wiley. ISBN 0-471-31716-0.**^**Royden, H. L. (1988).*Real Analysis*. Prentice Hall. ISBN 0-02-404151-3.**^**Dudley, R. M. (2002).*Real Analysis and Probability*(2 ed.). Cambridge University Press. ISBN 0-521-00754-2.**^**Aliprantis, Charalambos D.; Border, Kim C. (2006).*Infinite Dimensional Analysis, A Hitchhiker’s Guide*(3 ed.). Springer. ISBN 978-3-540-29587-7.