4.II .25 J. 25 \mathrm{~J}

Probability and Measure | Part II, 2008

(i) A stepfunction is any function ss on R\mathbb{R} which can be written in the form

s(x)=k=1nckI(ak,bk](x),xR,s(x)=\sum_{k=1}^{n} c_{k} I_{\left(a_{k}, b_{k}\right]}(x), \quad x \in \mathbb{R},

where ak,bk,cka_{k}, b_{k}, c_{k} are real numbers, with ak<bka_{k}<b_{k} for all kk. Show that the set of all stepfunctions is dense in L1(R,B,μ)L^{1}(\mathbb{R}, \mathcal{B}, \mu). Here, B\mathcal{B} denotes the Borel σ\sigma-algebra, and μ\mu denotes Lebesgue measure.

[You may use without proof the fact that, for any Borel set BB of finite measure, and any ε>0\varepsilon>0, there exists a finite union of intervals AA such that μ(AB)<ε\mu(A \triangle B)<\varepsilon.]

(ii) Show that the Fourier transform

s^(t)=Rs(x)eitxdx\hat{s}(t)=\int_{\mathbb{R}} s(x) e^{i t x} d x

of a stepfunction has the property that s^(t)0\hat{s}(t) \rightarrow 0 as t|t| \rightarrow \infty.

(iii) Deduce that the Fourier transform of any integrable function has the same property.

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