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Does the following statement true or not and why? A closed $G_\delta$ of a compact space is zero set of a continuous real-valued function.

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Yes, it is true. In a compact Hausdorff space, "zero set" is the same as "compact $G_\delta$". Since it is a homework type problem, instead of providing a proof I should ask what you have so far...

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I thought it is true if the space is only normal, but I have found that this result was used by Marty in his paper (m-adic spaces). So does the proof relay on Urysoh's lemma? – um Haitham Mar 15 2012 at 14:35
thanks for your comment. I forgot that all compact Hausdorff spaces are normal and so this result is true. – um Haitham Mar 15 2012 at 14:53

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