Measure Theory – Are Continuous Functions Differentiable on a Measurable Set?

descriptive-set-theorymeasure-theory

I came across the following challenging problem in my self-study:

Let $f: \mathbb{R} \rightarrow \mathbb{R}$ be continuous. Then the set of points where $f$ is differentiable is a measurable set.

I am having trouble thinking of where to begin in proving this result, and wanted to see if anyone visiting had some suggestions on how to proceed.

Best Answer

Here's an attempt to salvage Matthew Pancia's solution, which unfortunately depended on an uncountable union over all possible derivatives.

Given $f$ we can define, in the obvious way, a continuous function $F:\mathbb R\times(\mathbb R\setminus 0)\to \mathbb R$ such that $f$ is differentiable at $x$ exactly when $\lim_{h\to 0} F(x,h)$ exists. The usual formalization of this is $$\exists y:\forall\varepsilon:\exists \delta:\forall h: |h|<\delta\Rightarrow |F(x,h)-y|<\varepsilon$$ Classically all of the variables here are real, but it is easy to see that we can restrict $\varepsilon$ and $\delta$ to $\mathbb Q$ without changing the meaning. We can also restrict $h$ to $\mathbb Q$ because $F$ is continuous. However, it is essential that $y$ can be an arbitrary real, because otherwise we would be looking for points where $f$ is differentiable with rational derivative, which is something quite different.

However, we can also formalize the existence of a limit like $$\forall\varepsilon:\exists \delta:\exists Y:\forall h: |h|<\delta \Rightarrow |F(x,h)-Y|<\varepsilon$$ This works because $\mathbb R$ is complete; it is essentially the same as changing "has a limit" about a sequence to "is Cauchy". The arguments that $\varepsilon$, $\delta$ and $h$ can be restricted to the rationals work as before, but now $Y$ can also be taken to be a rational in each case.

For each particular choice of $\varepsilon$, $\delta$, $Y$, and $h$, the set of $x$ such that $|h|<\delta\Rightarrow |F(x,h)-Y|<\varepsilon$ is open and therefore Borel.

Now handle each of the quantifiers from the inside out: For each choice of $\varepsilon$, $\delta$, and $Y$, the set of $x$ such that $$\forall h: |h|<\delta \Rightarrow |F(x,h)-Y|<\varepsilon$$ is a countable intersection of Borel sets and therefore Borel. For each choice of $\varepsilon$ and $\delta$ the set of $x$ such that $$\exists Y:\forall h: |h|<\delta \Rightarrow |F(x,h)-Y|<\varepsilon$$ is a countable union of Borel sets and therefore Borel. And so forth. At the top we find that the set of points of differentiability is Borel and thus in particular measurable.

Related Question