## Interesting Measure and Integration Question

Let $(\Omega,\mathcal{A},\mu)$ be a measure space. Let $f\in L^p$ and $\epsilon>0$. Prove that there exists a set $E\in\mathcal{A}$ with $\mu(E)<\infty$, such that $\int_{E^c} |f|^p<\epsilon$.

Solution:

The solution strategy is to use simple functions (common tactic for measure theory questions).

Let $0\leq\phi\leq |f|^p$ be a simple function such that $\int_\Omega (|f|^p-\phi)\ d\mu<\epsilon$.

Consider the set $E=\{\phi>0\}$. Note that $\int_\Omega \phi\ d\mu\leq\int_\Omega |f|^p\ d\mu<\infty$. Hence each nonzero value of $\phi$ can only be on a set of finite measure. Since $\phi$ has only finitely many values, $\mu(E)<\infty$.

Then,

\begin{aligned} \int_{E^c}|f|^p\ d\mu&=\int_{E^c} (|f|^p-\phi)\ d\mu +\int_{E^c}\phi\ d\mu\\ &\leq \int_\Omega (|f|^p-\phi)\ d\mu+0\\ &<\epsilon \end{aligned}