Question

Let $1 \leq p^{\prime}<p \leq \infty$ and let $\mu$ be $\sigma$-finite but not finite. Show that $\mathcal{L}^{p}(\mu) \backslash \mathcal{L}^{p^{\prime}}(\mu) \neq \emptyset .$

   Let $1 \leq p^{\prime}<p \leq \infty$ and let $\mu$ be $\sigma$-finite but not finite. Show that $\mathcal{L}^{p}(\mu) \backslash \mathcal{L}^{p^{\prime}}(\mu) \neq \emptyset .$
 
Probability Theory: A Comprehensive Course
Probability Theory: A Comprehensive Course
Achim Klenke 2nd Edition
Chapter 4, Problem 2 ↓

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Since $\mu$ is $\sigma$-finite but not finite, there exists a sequence of disjoint measurable sets $E_n$ such that $\mu(E_n) < \infty$ for all $n$ and $\mu(\bigcup_{n=1}^\infty E_n) = \infty$.  Show more…

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Let $1 \leq p^{\prime}<p \leq \infty$ and let $\mu$ be $\sigma$-finite but not finite. Show that $\mathcal{L}^{p}(\mu) \backslash \mathcal{L}^{p^{\prime}}(\mu) \neq \emptyset .$
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Key Concepts

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Inclusion Properties and Construction of Counterexamples
In finite measure spaces, the inclusion L^p ? L^{p'} might hold under certain conditions since a function with a finite p-norm typically has a finite p'-norm if p' < p. However, in sigma-finite but infinite measure spaces, this inclusion fails. This discrepancy allows the construction of functions that belong to L^p but not to L^{p'} for p' < p, by carefully adjusting the decay or growth of the function on parts of the measure space. Such constructions highlight the subtle interplay between the integrability exponent and the measure space's size, playing an essential role in understanding the hierarchy and differences among L^p spaces.
Sigma-Finite Measure Spaces
A sigma-finite measure space is one that can be decomposed into a countable union of measurable sets of finite measure. This property is crucial in many areas of analysis because it allows the extension of many results that hold in finite measure spaces to a broader class of spaces, even when the total measure is infinite. The sigma-finiteness assumption often enables the construction of functions with controlled integrability properties even in non-finite measure spaces.
Lebesgue L^p Spaces
L^p spaces consist of measurable functions whose absolute p-th power is integrable with respect to a given measure. They form a fundamental part of functional analysis and measure theory, with each L^p space defined by the condition that the integral of |f|^p over the measure space is finite. These spaces are sensitive to the value of p, and the choice of p affects the integrability condition and the norm defined on the space.

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