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Gerald Edgar
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Let's build a "fat Cantor set". Start with $A_0 = [0,1]$ with measure $\alpha_0=1$. Then remove a short open interval centered at $1/2$, leaving a set $A_1 \subset A_0$ of measure $\alpha_1 < \alpha_0$. So $A_1$ is made up of $2$ closed intervals of length $\alpha_1/2$. Next remove a short open interval from the center of each of these, to leave $A_2 \subset A_1$ of measure $\alpha_2<\alpha_1$. And $A_2$ is made up of $4$ closed intervals of length $\alpha_2/4$. Continue in this way. $A_n \subset A_{n-1}$ has measure $\alpha_n < \alpha_{n-1}$, and $A_n$ is made up of $2^n$ closed intervals each of length $\alpha_n/2^n$. Let $A = \bigcap_{n=1}^\infty A_n$. Choose the lengths of the intervals removed so that $\alpha>0$, where $\alpha = \lim_{n \to \infty} \alpha_n$. (This is what makes it a "fat" Cantor set.) Of course $m(A) = \lim_{n \to \infty} m(A_n) = \alpha > 0$, where $m$ is Lebesgue measure.

Our limit function is $$ f = \frac{1}{\alpha} \mathbf1_A $$ where $\mathbf1_A$ denotes the indicator function of set $A$. For $n\ge 1$ write $B_n = [0,1] \setminus A_n$, so that $B_n$ is made up of $2^{n-1}$ open intervals, and $m(B_n) = 1-\alpha_n$. Define $$ f_n = \frac{1}{1-\alpha_n}\mathbf1_{B_n} $$ Now we claim:

(1) $\int f_n g$ converges to $\int f g$ for all continuous $\phi$;

(2) there is $h \in L^\infty[0,1]$ such that $\int f_n h$ does not converge to $\int fh$.

to be edited

Gerald Edgar
  • 41.1k
  • 5
  • 125
  • 219