Brief description

These are notes for Math 324, an introductory course in Measure and Integra-
tion. Students are advised to go through all sections in detail and attempt all
problems. These notes will be modified and expanded as the course proceeds.

i
ii
Contents

Math 324 Course Notes: Brief description i

1 Lebesgue measurable functions 1

1.1 What is a measurable function? . . . . . . . . . . . . . . . . . 1
1.2 Properties of measurable functions . . . . . . . . . . . . . . . 3
1.3 Uniform convergence of sequences of functions . . . . . . . . . 6
1.4 Approximation of measurable functions by simple functions . . 8
1.5 Almost uniform convergence of sequences of functions . . . . . 10
1.6 Measurable functions versus continuous functions . . . . . . . 13

2 Lebesgue Integration 15
2.1 Review of the Riemann integral . . . . . . . . . . . . . . . . . 15
2.2 Lebesgue integral for bounded functions on sets of finite measure 26
2.3 Lebesgue integrals of nonnegative measurable functions . . . . 35

iii
Chapter 1

Lebesgue measurable functions

1.1 What is a measurable function?

Let f be an extended real values function defined on a domain E and let
α ∈ R. We introduce the following notation:

E(f > α) = {x ∈ E : f (x) > α}

E(f ≥ α) = {x ∈ E : f (x) ≥ α}

E(f < α) = {x ∈ E : f (x) < α}

E(f ≤ α) = {x ∈ E : f (x) ≤ α}

E(f = α) = {x ∈ E : f (x) = α}

Proposition 1.1.1 Suppose f is an extended real valued function whose do-

main is measurable. The following statements are equivalent:

(a) For each α ∈ R, the set E(f > α) is measurable.

(b) For each α ∈ R, the set E(f ≤ α) is measurable.

(c) For each α ∈ R, the set E(f < α) is measurable.

(d) For each α ∈ R, the set E(f ≥ α) is measurable.

1
2 CHAPTER 1. LEBESGUE MEASURABLE FUNCTIONS

Proof. If a set is measurable, so is its complement. This shows that (a) =⇒

(b).
To show that (b) =⇒ (c), we note that
∞  
[ 1
E(f < α) = E f ≤α− ,
n=1
n
and a countable union of measurable sets is measurable.
(c) =⇒ (d) since the complement of a measurable set is measurable.
To show that (d) =⇒ (a), we note that
∞  
[ 1
E(f > α) = E f ≥α+ ,
n=1
n
and a countable union of measurable sets is measurable.


Definition 1.1.2 An extended real valued function f defined on a measur-

able subset of R is called Lebesgue measurable if it satisfies one of the four
statements of the above proposition.
Remark 1.1.3 Unless otherwise specified, the domain of any function that
we consider will be a subset of R and the range will be real-valued or ex-
tended real-valued. Moreover, a measurable function will mean a Lebesgue
measurable function.
Henceforth, for notational convenience, we say that f ∈ M(E) if f : E →
R is a measurable function.
Lemma 1.1.4 If f : E → R is a measurable function, then for each extended
real number α, the set E(f = α) is measurable.
T
Proof. If α ∈ R, then E(f = α) = E(f ≤ α) E(f ≥ α) and intersection
of two measurable sets is also
T∞measurable.
Moreover, E(f = ∞) = n=1 E(f > n) and therefore measurable. 

Exercise 1.1.5 Let P be a nonmeasurable set in (0, 1). Define f : (0, 1) → R

as follows: (
x2 , if x ∈ P,
f (x) = 2
−x , if x ∈ (0, 1) − P.
Show that E(f = α) is measurable for each extended real number α, but f is
not a measurable function. Thus, the converse of Lemma 1.1.4 is false.
1.2. PROPERTIES OF MEASURABLE FUNCTIONS 3

1.2 Properties of measurable functions

Exercise 1.2.1 Prove that any constant function on a measurable set is
measurable.

Exercise 1.2.2 If f ∈ M(E) and E1 ⊆ E is a measurable set, then f ∈

M(E1 ).
S
Theorem 1.2.3 Let f be a function defined S on E1 E2 , where E1 and E2
are measurable sets. A function f : E1 E2 → R is measurable if and only
if f |E1 and f |E2 , that is, the restrictions of f to E1 and E2 are measurable.

Proof. This theorem follows from Exercise 1.2.2 and the fact that for any
α ∈ R, [ [
(E1 E2 )(f < α) = E1 (f < α) E2 (f < α).


Exercise 1.2.4 If f, g ∈ M(E), then prove that the set

A(f, g) = {x ∈ E : f (x) < g(x)}

is measurable. [Hint: For each rational number r, the set {x ∈ E : f (x) <
r < g(x)} is measurable.]

Exercise 1.2.5 Let f be a function defined on a measurable domain E.

Prove that f is measurable if and only if for any open subset G of R, f −1 (G)
is measurable.

Theorem 1.2.6 Suppose f and g are real-valued measurable functions on a

measurable set E and c is a real number. Then each of the following functions
is measurable on E.

(a) f ± c

(b) f + g

(c) cf

(d) f − g
4 CHAPTER 1. LEBESGUE MEASURABLE FUNCTIONS

(e) |f |
(f ) f 2
(g) f g
(h) f /g, provided g(x) 6= 0 on E.
Proof. Parts (a) and (b) are left as easy exercises. To prove (c), for any
α ∈ R,
E(f + g > α) = {x ∈ E : f (x) > α − g(x)}.
Since g is measurable, so is α − g. So,
[ \
{x ∈ E : α − g(x) < f (x)} = (E(α − g < r) E(f > r)),
r∈Q

which, being a countable union of measurable sets, is measurable.

Part (d) follows immediately from (b) and (c). To prove (e), observe that
(
E if α < 0,
E(|f | > α) = S
E(f > α) E(f < −α) if α ≥ 0.

Thus, E(|f | > α) is measurable for any real number α.

To prove (f), observe that
(
E if α < 0,
E(f 2 > α) = √
E(|f | > α) if α > 0.

Thus, E(f 2 > α) is measurable for every real number α.

Part (g) immediately follows by combining parts (b), (c), (d) and (f),
since
1
f g = [(f + g)2 − (f − g)2 ].
4
Part (h) is left as an exercise. 

Theorem 1.2.7 If f1 and f2 are measurable functions on E, so are the

functions
f ∗ = max{f1 , f2 }
and
f∗ = min{f1 , f2 }.
1.2. PROPERTIES OF MEASURABLE FUNCTIONS 5

Proof. We observe that for any α ∈ R,

[
E(f ∗ > α) = E(f1 > α) E(f2 > α) ∈ M

and \
E(f∗ > α) = E(f1 > α) E(f2 > α) ∈ M.


Exercise 1.2.8 Given a function f : E → R, define

f + = max{f, 0}, and f − = max{−f, 0}.

(a) Show that f = f + − f − .

(b) Show that |f | = f + + f − .

(c) Show that f is measurable on E if and only if f + and f − are measurable

on E.

Definition 1.2.9 For a sequence of functions {fn } defined on E, we de-

fine supn fn to be the function whose value at x ∈ E is the supremum of
{f1 (x), f2 (x), · · · }.
lim sup fn := inf (sup fk ),
n n≥1 k≥n

inf fn := − sup(−fn ),
n n

lim inf fn := − lim sup(−fn ) = sup(inf fk ).

n n n k≥n

Theorem 1.2.10 Let fn be a measurable function on E for each n ≥ 1. The

functions supn fn , inf n fn , lim supn fn and lim inf n fn are also measurable on
E.

Proof. For any α ∈ R,

∞
[
E(sup fn ≥ α) = E(fn > α) ∈ M.
n
n=1

The theorem follows immediately from this. 

6 CHAPTER 1. LEBESGUE MEASURABLE FUNCTIONS

Corollary 1.2.11 If {fn } is a sequence of measurable functions converging

to a function f on a set E, then f is also measurable on E.

Proof. Since fn −→ f, we have

lim sup fn = lim inf fn = f ∈ M(E).

n n

A property is said to hold almost everywhere on a set E if the subset of

those points in E where the property does not hold is of measure zero.
Proposition 1.2.12 Let f and g be functions on a measurable set E. If f
is measurable and f = g almost everywhere on E, then g is also measurable
on E.
Proof. Let F = {x ∈ E : f (x) 6= g(x)}. For any α ∈ R,
[ [
E(g > α) = F (g > α) F C (g > α) = F (g > α) F C (f > α).

F (g > α), being a subset of a set with measure zero, is measurable. Since F
is measurable, so is F C . Thus,
\
F C (f > α) = E(f > α) F C ∈ M.

Thus, E(g > α), being a union of two measurable sets, is measurable. This
proves that g is measurable. 

1.3 Uniform convergence of sequences of func-

tions
It would be worthwhile for us to review the fundamental notions of conver-
gence and uniform convergence of sequences of functions.
Definition 1.3.1 A sequence of functions {fn } defined on a set E is said to
converge to a function f defined on the same set if for each x ∈ E and for each
 > 0, there exists a positive integer N = N (x, ) such that |fn (x) − f (x)| < 
for all n ≥ N.
1.3. UNIFORM CONVERGENCE OF SEQUENCES OF FUNCTIONS 7

The choice of N (x, ) can depend on both  as well as x ∈ E.

Definition 1.3.2 A sequence of functions {fn } is said to converge uni-
formly to a function f on a set E if for every  > 0, there exists a positive
integer N = N () such that for all n ≥ N,
|fn (x) − f (x)| <  for all x ∈ E.
The choice of N () depends only on  and works for all points x ∈ E. Thus,
the uniform convergence of {fn } to f is equivalent to the condition that
lim sup |fn (x) − f (x)| = 0.
n→∞ x∈E

Example 1.3.3 Let f (x) = 0 for x ∈ [0, 1]. Define, for each n ≥ 1,
(
xn if 0 ≤ x < 1,
fn (x) =
0 if x = 1.
We can check that fn (x) −→ f (x) for each x ∈ [0, 1]. However, for each
n ≥ 1,
sup |fn (x) − f (x)| = 1.
x∈[0,1]

Thus,
lim sup |fn (x) − f (x)| =
6 0.
n→∞ x∈[0,1]

This implies that the sequence {fn } does not converge uniformly to f on
[0, 1]. On the other hand, it is interesting to observe that if we chose an 
with 0 <  < 1 and consider the set E = [1 − , 1], then, for every n ≥ 1,
sup |fn (x) − f (x)| = (1 − )n .
x∈[0,1−]

Thus,
lim sup |fn (x) − f (x)| = 0.
n→∞ x∈E

Thus, {fn } converges uniformly to f on [1 − , 1].

Remark 1.3.4 We will see in the next section that the above example is a
special case of the general phenomenon that if a sequence of measurable func-
tions converges to a measurable function on a set E, then this convergence is
uniform on a large subset of E.
Exercise 1.3.5 Let {fn } be a sequence of real valued functions on E, each
of which is continuous at a point c ∈ E. Suppose {fn } converges uniformly
to a function f on E. Show that f is continuous at c.
8 CHAPTER 1. LEBESGUE MEASURABLE FUNCTIONS

1.4 Approximation of measurable functions

by simple functions
Definition 1.4.1 [Simple function] A measurable function f : E → R
is said to be a simple function if E is measurable and the image of f (E) is
finite. That is, there exists a finite set of real numbers {a1 , a2 , · · · , an } such
that for every x ∈ E, f (x) = aj for some 1 ≤ j ≤ n.

Definition 1.4.2 [Characteristic function] Let E be a subset of R. The

characteristic function χE : E → R of E is defined as follows:
(
1 if x ∈ E,
χE (x) =
0 otherwise.

Exercise 1.4.3 Prove that χE is a measurable function if and only if E is

a measurable subset of R.

Exercise 1.4.4 A function f : E → R is a simple function if and only if

is a finite number of disjoint measurable sets E1 , E2 , · · · , En such that
thereS
E = ni=1 Ei and a finite set {a1 , a2 , · · · , an } of real numbers such that
n
X
f (x) = ai χEi (x) for each x ∈ E.
i=1

[The above representation is often referred to as the canonical representation

of a simple function f.]

Exercise 1.4.5 Let f, g ∈ M(E) be simple functions and c be a real number.

Show that f + g and cf are simple functions.

Theorem 1.4.6 Let f be a non-negative measurable function on a set E.

Then there exists a sequence {φk } of simple functions, which are non-negative
and monotonically increasing and converge to f at every point x ∈ E.

Proof. For each k ≥ 1, we partition the interval [0, ∞] into disjoint interval
as follows: [ [ [
[0, ∞] = [0, 1) [1, 2) · · · [k − 1, k) [k, ∞]
1.4. APPROXIMATION OF MEASURABLE FUNCTIONS BY SIMPLE FUNCTIONS9

k2k
[ i−1 i
[
= , [k, ∞].
i=1
2k 2k
k
Define, for each 1 ≤ i ≤ k2 ,
 
−1 i−1 i
Eki = f ,
2k 2k

and Ek = f −1 ([k, ∞]). Define the function φk (x) as follows:

k2 k
X i−1
χEk,i + kχEk .
i=1
2k

If f (x) < ∞, then there exists a positive integer k such that f (x) < k. Since
x ∈ Ek,i for some 1 ≤ i ≤ k2k , we have

i i−1 1
0 ≤ f (x) − φk (x) ≤ k
− k = k.
2 2 2
If f (x) = ∞, then φk (x) = k for every k. Thus, for each x ∈ E,

lim φk (x) = f (x).

k→∞

This gives us a sequence φk (x) of simple functions on E converging to f (x).

We now show that φk (x) ≤ φk+1 (x) for every integer x ∈ E. To do so,
notice that for each 1 ≤ i ≤ k2k ,
  [  
[
−1 2i − 2 2i − 1 −1 2i − 1 2i
Ek+1,2i−1 Ek+1,2i = f , f ,
2k+1 2k+1 2k+1 2k+1
 
−1 i−1 i
=f , = Eki .
2k 2k
If x ∈ Ek,i for some 1 ≤ i ≤ k2k , then

i−1
φk (x) = .
2k
On the other hand,
2i − 2 2i − 1
φk+1 (x) = or ,
2k+1 2k+1
10 CHAPTER 1. LEBESGUE MEASURABLE FUNCTIONS

both of which are

i−1
≥ .
2k
If x ∈ Ek then φk (x) = k. But,
[
f −1 ([k, ∞]) = f −1 ([k, k + 1]) f −1 ([k + 1, ∞]).

If x ∈ f −1 ([k, k + 1]), then

(k+1)2k+1
X i−1 k2k+1
φk+1 (x) = χE ≥ = φk (x).
2k+1 k,i 2k+1
i=k.2k+1 +1

If x ∈ f −1 ([k + 1, ∞]), then φk+1 (x) = k + 1 > k = φk (x). thus, we have

shown that for every x ∈ E,

φk+1 (x) ≥ φk (x).

Exercise 1.4.7 Let f be a measurable function defined on a measurable set

E. Then there exists a sequence of simple functions on E which converge to
f. If f is bounded on E, then this convergence is uniform on E.

1.5 Almost uniform convergence of sequences

of functions
In this section, we prove a theorem of Egoroff, which explains the general
phenomenon that if a sequence of measurable functions converges to a mea-
surable function on a set E, then this convergence is uniform on a large subset
of E. We start with the following proposition:

Proposition 1.5.1 Let E be a measurable set with finite measure and {fn }
be a sequence of measurable functions defined on E. Let f be a real valued
measurable function such that fn (x) −→ f (x) for each x ∈ E. Given  > 0
and δ > 0, we can find a measurable subset A of E with m(A) < δ and an
integer N such that |fn (x) − f (x)| <  for all x ∈ E − A and all n ≥ N.
1.5. ALMOST UNIFORM CONVERGENCE OF SEQUENCES OF FUNCTIONS11

Proof. For each n ≥ 1, let Gn = {x ∈ E : |fn (x) − f (x)| ≥ }. Since fn

and f are measurable functions, so are the functions |fn − f |. Thus, Gn is
measurable. For each k ≥ 1, define
∞
[
Ek = Gn .
n=k

That is,
Ek = {x ∈ E : |fn (x) − f (x)| ≥  for some n ≥ k}.
Clearly, Ek+1 ⊆ Ek . Moreover, since {fn } converges to f for each x ∈ E,
there must be some positive integer k such that x 6∈ Ek . Thus,
Ek k Ek+1 k · · ·
and ∞
\
Ek = ϕ.
n=1
Thus,
lim m(En ) = 0.
n→∞

[Note that it is here that we use the fact that m(Ek ) < m(E) < ∞.] That
is, given δ > 0, there exists a natural number N such that m(Ek ) < δ for all
k ≥ N. In particular, m(EN ) < δ. Moreover, for each x ∈ E − EN , we have
|fn (x) − f (x)| <  for all n ≥ N. 

Exercise 1.5.2 Prove the following modification of the above theorem: Let E
be a measurable set with finite measure and {fn } be a sequence of measurable
functions defined on E. Let f be a real valued measurable function such that
fn (x) −→ f (x) almost everywhere in E. Given  > 0 and δ > 0, we can
find a measurable subset A of E with m(A) < δ and an integer N such that
|fn (x) − f (x)| <  for all x ∈ E − A and all n ≥ N.

Note that the condition m(E) < ∞ cannot be relaxed. Define, for each
n ≥ 1, (
0 if 0 ≤ x ≤ n
fn (x) =
1 if x > n.
One can check that the sequence {fn } converges to f on E, but the theorem
does not hold for  = 1 and some 0 < δ < 1.
12 CHAPTER 1. LEBESGUE MEASURABLE FUNCTIONS

Definition 1.5.3 A sequence {fn } of measurable functions on a set E is

said to converge almost uniformly to a measurable function f on E if for
each  > 0, there exists a measurable set A ⊂ E with m(A) <  such that
{fn } converges to f on E − A.

Exercise 1.5.4 Suppose {fn } converges to f almost uniformly on E. Show

that {fn } converges to f almost everywhere on E.

The converse of the statement in the above exercise forms the content of a
very important theorem due to Egoroff.

Theorem 1.5.5 [Egoroff ’s theorem] Let E be a measurable set with m(E) <
∞ and let {fn } be a sequence of functions which converge to f almost ev-
erywhere on E. Then, the sequence {fn } converges almost uniformly to f on
E.

Proof. Let η > 0 and for each k ≥ 1, choose (k) = k1 and δk = 2ηk . Taking
E = E0 and repeatedly applying Exercise 1.5.2, we can find a measurable
set Ak ⊂ Ek−1 and a positive integer Nk such that m(Ak ) < δk and |fn (x) −
f (x)| < k1 for all n ≥ Nk and for all x ∈ Ek = Ek−1 − Ak . Set
∞
[
A= Ak .
k=1

Note that ∞ ∞
X X η
m(A) ≤ m(Ak ) < k
= η.
k=1 k=1
2
One can easily check that
∞
\
E−A= Ek .
k=0

If x ∈ E − A, then x ∈ Ek for every k ≥ 1. For any  > 0, there exists k ≥ 1

such that  < k1 . We know from our construction that there exists Nk ≥ 1
such that
1
|fn (x) − f (x)| < <  for all n ≥ Nk .
k
Thu, {fn } → f uniformly on E − A. 
1.6. MEASURABLE FUNCTIONS VERSUS CONTINUOUS FUNCTIONS13

1.6 Measurable functions versus continuous

functions
We learnt in analysis that to say that a function is continuous is to say some-
thing about the topological properties of inverse images of open sets under f .
More precisely, a continuous function pulls back an open set to an open set.
Analogously, measurable functions tell us about the measurability of inverse
images. How is the notion of continuity related to that of measurability? To
answer this question, we observe the following:

Theorem 1.6.1 Continuous functions defined on measurable sets are mea-

surable functions.

Proof. Suppose f ∈ M(E). Since f is continuous, for any α ∈ R, f −1 ((−∞, α))

being the inverse image of the open set (−∞, α) is an open set and therefore
measurable. Thus
\
E(f < α) = E f −1 ((−∞, α))

is the intersection of two measurable sets and therefore measurable. This

proves the theorem. 

Is the converse of the above theorem true? If not, how close is it to being
true?

Exercise 1.6.2 Show that the following functions are measurable on their
respective domains.

(a)

2
x
 if x < 1,
f (x) = 2 if x = 1,

2−x if x > 1.


(b)
(
1, if x is a rational number in [0, 1]
f (x) =
0, if x is an irrational number in[0, 1].
14 CHAPTER 1. LEBESGUE MEASURABLE FUNCTIONS

Notice that in the above exercise, the function defined in (a) is continu-
ous all except finitely many points, where as the function defined in (b) is
continuous nowhere. Nonetheless, both are measurable.
In the next exercise, we prove that every measurable function is almost
continuous.

Exercise 1.6.3 Let f be a measurable function defined on E. Then, for each

 > 0, there exists a closed set F ⊂ E with m(E − F ) <  such that f is
continuous on F. [Hint: Use Problem 2 from Class Test 1, Theorem 1.4.6
and Theorem 1.5.5.]
Chapter 2

Lebesgue Integration

2.1 Review of the Riemann integral

We start by reviewing the Riemann integral via step functions.

Definition 2.1.1 A function φ : [a, b] → R is called a step function if

there is a partition
a = x0 < x1 < · · · xn = b
of the interval [a, b] such that phi(x) is a constant function on each subinterval
(xk−1 , xk ), 1 ≤ k ≤ n.
Let c1 , c2 , · · · , cn be real numbers such that φ(x) = ck for x ∈ (xk−1 , xk ).
The Riemann integral of φ on [a, b] is defined as
Z b n
X
φ(x)dx = ck (xk − xk−1 ).
a k=1

Remark 2.1.2 The values taken by φ(x) on the points x0 , x1 , · · · xn have no

effect on value of the Riemann integral of φ on [a, b].

Remark 2.1.3 The value of the Riemann integral of a step function is in-
dependent of the choice of the partition [a, b] as long as the step function is
constant on the open subintervals of the partition. The, the Riemann integral
of a step function is well defined.

The following properties of Riemann integrals of step functions can be easily

verified:

15
16 CHAPTER 2. LEBESGUE INTEGRATION

Lemma 2.1.4 Let φ, ψ be step functions on [a, b] and c ∈ R. Then

(a) cφ is a step function on [a, b] and

Z b Z b
cφ(x)dx = c φ(x)dx.
a a

(b) φ + ψ is a step function on [a, b] and

Z b Z b Z b
(φ + ψ)(x)dx = φ(x)dx + ψ(x)dx.
a a a

(c) If φ ≤ ψ on [a, b], then

Z b Z b
φ(x)dx ≤ ψ(x)dx.
a a

(d) If a < c < b, then

Z b Z c Z b
φ(x)dx = φ(x)dx + φ(x)dx.
a a c

Definition 2.1.5 Let f (x) be a bounded function on [a, b], that is, let α, β be
real numbers such that α ≤ f (x) ≤ β for all x ∈ [a, b]. The lower Riemann
integral of f on [a, b] is defined as
Z b Z b 
f (x)dx := sup φ(x)dx : φ(x) ≤ f (x), φ is a step function (2.1)
a a

and the upper Riemann integral of f on [a, b] is defined as

Z b Z b 
f (x)dx := inf ψ(x)dx : f (x) ≤ ψ(x), ψ is a step function (2.2)
a a

Remark 2.1.6 Since α ≤ f, the set

Z b 
φ(x)dx : φ(x) ≤ f (x), φ is a step function
a
2.1. REVIEW OF THE RIEMANN INTEGRAL 17

is not empty since it contains the function φ(x) = α. Moreover, since φ ≤

f ≤ β, Z b Z b
φ(x)dx ≤ βdx = β(b − a).
a a
Thus, the set is bounded above. Hence the lower Riemann integral in equation
(2.1) is well defined. By analogous reasoning, the upper Riemann integral in
equation (2.2) is also well defined.

Exercise 2.1.7 If f is a bounded function on [a, b] and φ, ψ are step func-

tions on [a, b] such that φ ≤ f ≤ ψ, then
Z b Z b Z b Z b
φ(x)dx ≤ f (x)dx ≤ f (x)dx ≤ ψ(x)dx.
a a a a

Definition 2.1.8 A bounded function f on [a, b] is said to be Riemann in-

tegrable on [a, b] if
Z b Z b
f (x)dx = f (x)dx.
a a
Rb
The Riemann integral of f on [a, b] is denoted at a f (x)dx and equals the
common value above, that is
Z b Z b Z b
f (x)dx = f (x)dx ≤ f (x)dx.
a a a

Exercise 2.1.9 Check that the definition for Riemann integral for a step
function in Definition 2.1.8 coincides agrees with Definition 2.1.1.

It is not always feasible to check the Riemann integrability of a function

by checking the defining property. It is much easier to apply an equivalent
condition which essentially says that a bounded function f on [a, b] is Rie-
mann integrable if and only if we can approximate f from above and below
by step functions whose integrals can be made arbitrarily close to each other.
Proposition 2.1.10 A bounded function f on [a, b] is Riemann integrable
if and only if for each  > 0, we have step functions φ and ψ on [a, b] such
that φ ≤ f ≤ ψ and
Z b
0≤ [ψ(x) − φ(x)]dx < .
a
18 CHAPTER 2. LEBESGUE INTEGRATION

Proof. Assume that the bounded function f is Riemann integrable on [a, b]

and let  > 0. We can find a step function φ such that φ ≤ f on [a, b] and
Z b Z b

f (x)dx − < φ(x)dx.
a 2 a

Similarly, we can find a step function ψ on [a, b] such that f ≤ ψ and

Z b Z b

f (x)dx + > ψ(x)dx.
a 2 a

Combining the above inequalities with the Riemann integrability of f, we

have Z b Z b Z b
 
f (x)dx − = f (x)dx − < φ(x)dx
a 2 a 2 a
Z b Z b Z b Z b
 
≤ f (x)dx ≤ ψ(x)dx < f (x)dx + = f (x)dx + .
a a a 2 a 2
Thus, since φ ≤ f ≤ ψ, we have
Z b
0≤ [ψ(x) − φ(x)]dx < .
a

Conversely, suppose  > 0 and there are step functions φ ≤ f ≤ ψ such that
Z b
0≤ [ψ(x) − φ(x)]dx < .
a

By Exercise 2.1.7, we have

Z b Z b Z b Z b
φ(x)dx ≤ f (x)dx ≤ f (x)dx ≤ ψ(x)dx.
a a a a

Thus,
Z b Z b
0≤ f (x)dx − f (x)dx < .
a a
Since this is true for any  > 0,
Z b Z b
f (x)dx = f (x)dx.
a a

Thus, f is Riemann integrable. 

2.1. REVIEW OF THE RIEMANN INTEGRAL 19

Exercise 2.1.11 The aim of the following exercises is to prove that every
continuous function on [a, b] is Riemann integrable.

(a) Prove that f (x) is bounded on [a, b].

(b) Prove that f is uniformly continuous on [a, b]. Thus, given  > 0, there
exists a δ > 0 such that

|f (x) − f (y)| <
b−a
for all x, y ∈ [a, b] for which |x − y| < δ.

(c) Take a partition

a = x0 < x1 < x2 · · · < xn = b

such that xk − xk−1 < δ for all 1 ≤ k ≤ n. Show that for each such k,

sup f − inf f≤ .
(xk−1 ,xk ) (xk−1 ,xk ) b−a

(d) Define step functions φ(x) and ψ(x) such that

φ(x) = inf f (x), x ∈ (xk−1 , xk )

(xk−1 ,xk )

and
ψ(x) = sup f (x), x ∈ (xk−1 , xk ).
(xk−1 ,xk )

Show that Z b
0≤ [ψ(x) − φ(x)]dx ≤ .
a

(e) Deduce that f is Riemann integrable on [a, b].

Can discontinuous functions be Riemann-integrable? It is not too difficult

to see that a function on [a, b] with a finite number of discontinuities is
also Riemann integrable. But, how much can we weaken continuity for a
function to be Riemann integrable? By Proposition 2.1.10, we observe that
the difference ψ − φ is an indication of how much f can vary on a subinterval.
20 CHAPTER 2. LEBESGUE INTEGRATION

Definition 2.1.12 Let f be a bounded function on an interval [a, b]. For any
interval J, the oscillation of f on J is defined to be the number

ωf (J) := sup{f (x) : x ∈ J ∩ [a, b]} − inf{f (x) : x ∈ J ∩ [a, b]}.

For x0 ∈ [a, b], the oscillation of f at x0 is defined as

ωf (x0 ) := inf{ωf (I) : I is an open interval containing x0 }.

Lemma 2.1.13 Let f be as above. Then f is continuous at x0 ∈ [a, b] if and

only if ωf (x0 ) = 0.

Proof. Suppose f is continuous at x0 and let  > 0. We can find a δ > 0

such that for x ∈ (x0 − δ, x0 + δ) ∩ [a, b], we have

−f (x) − f (x0 ) < .

That is, f (x) < f (x0 ) + . Thus,

sup{f (x) : x ∈ (x0 − δ, x0 + δ) ∩ [a, b]} ≤ f (x0 ) + .

Similarly, since f (x) > f (x0 ) − ,

inf{f (x) : x ∈ (x0 − δ, x0 + δ) ∩ [a, b]} ≥ f (x0 ) − .

Thus,
ωf ((x0 − δ, x0 + δ) ∩ [a, b]) ≤ 2.
We have shown that for any  > 0,

ωf (x0 ) ≤ ωf ((x0 − δ, x0 + δ) ∩ [a, b]) ≤ 2.

Thus, ωf (x0 ) = 0.
Conversely, suppose ωf (x0 ) = 0 and let  > 0. Then here exists an open
interval I containing x0 such that 0 ≤ ωf (I) < . Since I is open, choose
δ > 0 such that
(x0 − δ, x0 + δ) ⊂ I.
Thus, there exists a δ > 0 such that if x ∈ (x0 − δ, x0 + δ) ∩ [a, b], then
− < f (x) − f (x0 ) < . 
2.1. REVIEW OF THE RIEMANN INTEGRAL 21

Lemma 2.1.14 For n ≥ 1, the set

1
Dn = {x ∈ [a, b] : ωf (x) ≥ }
n
is a closed set.

Proof. We will show that DnC is open.

Let x ∈ DnC . That is, ωf (x) < n1 . Thus, there exists an open interval I
containing x so that ωf (I) < n1 . Since I is open, there exists δ > 0 such that

(x − δ, x + δ) ∩ [a, b] ⊂ I ∩ [a, b].

Let
z ∈ (x − δ, x + δ) ∩ [a, b].
We have
1
ωf (z) ≤ ωf ((x − δ, x + δ)) ≤ ωf (I) < .
n
That is, z ∈ DnC . This proves that DnC is open. 

Theorem 2.1.15 [Lebesgue’s crieterion for Riemann integrability]

Let f be a bounded function on [a, b] and let D denote the set of discontinuities
of f. Then f is Riemann integrable on [a, b] if and only if D has measure
zero.

Proof. We first prove sufficiency. Suppose m(D) = 0. That is, m(Dn ) = 0

for every n ≥ 1.
Let |f | < B on [a, b]. Let  > 0. Since m(Dn ) = 0 and Dn is a compact
subset of [a, b], we have a finite collection of open sets {Iki } such that
m
[ X 
Dn ⊂ Iki , l(Iki ) < .
i=1 i
4B

Thus, the set

m
[
[a, b] − Iki
i=1

is a finite union of closed intervals J1 , J2 , · · · , JL . that is,

[a, b] = J1 ∪ J2 ∪ · · · ∪ JL ∪ Ik1 ∪ · · · Ikm .

22 CHAPTER 2. LEBESGUE INTEGRATION

Observe that since all points of Dn are in Ik1 ∪ · · · Ikm , we have

1
ωf (x) < , x ∈ J1 ∪ J2 ∪ · · · ∪ JL .
n
Thus, there exists an open interval Ix containing x such that ωf (Ix ) < n1 . So,

{Ix }x∈Ji

is an open cover of the closed and bounded and therefore compact set Ji .
Thus, a finite subcover must cover Ji . Thus, we have a partition of Ji and
1
sup f − inf f <
Ix Ix n

on any of the subintervals of this partition. We do this for each Ji . Thus, we

0
have a finite collection of subintervals {Ji0 }Li=1 whose union is J1 ∪J2 ∪· · ·∪JL
such that on any of these subintervals, say Ji0 ,

1
ωf (Ji0 ) < .
n
Define
φ = inf f on Ik1 , Ik2 , · · · Ikm , J1 , J2 , · · · JL0 ,
ψ = sup on Ik1 , Ik2 , · · · Ikm , J1 , J2 , · · · JL .
f

Then,
Z b
1X 0 X
[ψ(x) − φ(x)]dx ≤ l(Ji ) + 2B l(Iki )
a n i i
1 
≤ (b − a) + 2B
n 4B
< ,

for n sufficiently large. So, f is Riemann integrable on [a, b].

Conversely, suppose f is Riemann integrable on [a, b]. We would like to
show that m(Dn ) = 0 for each n ≥ 1.
Consider DN and let  > 0. It will be sifficient to show that m(DN ) < .
2.1. REVIEW OF THE RIEMANN INTEGRAL 23

Since f is Riemann integrable on [a, b], we have step functions

φ≤f ≤ψ

with Z b

[ψ(x) − φ(x)]dx < .
a N
Let
a = x0 < x1 < · · · < xn = b
be a partition associated with φ and ψ and split the collection

{(x0 , x1 ), (x1 , x2 ), · · · , (xn−1 , xn )}

into two collections D1 and D2 as follows:

If (xk−1 , xk ) ∩ DN 6= φ, then put (xk−1 , xk ) in D1 . Otherwise, put this
subinterval in D2 . Every point of DN is either in D1 or a member of the set

{a, x1 , · · · , xn−1 , b}.

So,
Z b X X 
[ψ(x)−φ(x)]dx = (ψ−φ)(x)(xk −xk−1 )+ (ψ−φ)(x)(xk −xk−1 ) < .
a D D
N
1 2

P
For D1 , some point of DN is in each subinterval. That is, each subinterval
in D1 contains a point x with ωf (x) ≥ N1 . Thus, in these subintervals
1
ψ − φ ≥ sup − inf ≥ .
f f N

So,
 X X
> (xk − xk−1 ).
N D 1 (xk−1 ,xk )∈D1

That is, X
(xk − xk−1 ) < .
(xk−1 ,xk )∈D1

These intervals of D1 along with {a, x1 , · · · , xn−1 , b} contain all points of DN .

Thus, m(DN ) < . 
24 CHAPTER 2. LEBESGUE INTEGRATION

Exercise 2.1.16 Let f and g be bounded, Riemann-integrable functions on

[a, b] and k ∈ R. Prove the following statements:
Rb Rb
(a) a (kf )(x)dx = k a f (x)dx.
Rb Rb Rb
(b) a (f + g)(x)dx = a f (x)dx + a g(x)dx.

(c) If f (x) ≤ g(x), then

Z b Z b
f (x)dx ≤ g(x)dx.
a a

(d) If a < c < b, then f is Riemann integrable on [a, c] and [c, b] and
Z b Z c Z b
f (x)dx = f (x)dx + f (x)dx.
a a c

(e) If α ≤ f (x) ≤ β on [a, b], then

Z b
α(b − a) ≤ f (x)dx ≤ β(b − a).
a

Exercise 2.1.17 For 0 ≤ x ≤ 1, let

(
1, if x ∈ Q,
f (x) =
0, otherwise.

Let r1 , r2 , · · · , rk , · · · be an enumeration of rational numbers. Define, for

0 ≤ x ≤ 1, (
1, if x = r1 , r2 , · · · , rk
fk (x) =
0, otherwise.

(a) Prove that fk (x) converges to f (x) on [0, 1] as k → ∞, but not uni-
formly.
R1
(b) Evaluate 0 fk (x)dx for each k ≥ 1.

(c) Is it true that Z 1 Z 1

f (x)dx = lim fk (x)dx?
0 k→∞ 0
2.1. REVIEW OF THE RIEMANN INTEGRAL 25

Exercise 2.1.18 Suppose {fk (x)} is a sequence of Riemann integrable func-

tions on [a, b]. If fk converges to a function f on [a, b], prove that

(a) f is Riemann integrable on [a, b].

(b) Prove that

Z b Z b
f (x)dx = lim fk (x)dx.
a k→∞ a

Theorem 2.1.19 If f is continuous on [a, b], differentiable on (a, b) and if

the derivative f 0 of f is Riemann integrable on [a, b], then
Z b
f 0 (x)dx = f (b) − f (a)
a

Proof. Since f 0 is Riemann integrable on [a, b], we have, for every  > 0,
step functions φ, ψ such that
Z b Z b Z b
0
φ(x)dx ≤ f (x)dx ≤ ψ(x)dx
a a a

and Z b
(ψ(x) − φ(x))dx < .
a

Take the common partition associated with φ and ψ, say, {a = x0 , x1 , · · · xn =

b}. Suppose
Xn
φ(x) = ci χ(xi−1 ,xi )
i=1

and n
X
ψ(x) = di χ(xi−1 ,xi ) .
i=1

We know, by the mean value theorem, that

n
X n
X
f (b) − f (a) = f (xi ) − f (xi−1 ) = f 0 (θi )
i=1 i=1

for some
xi−1 ≤ θi ≤ xi .
26 CHAPTER 2. LEBESGUE INTEGRATION

Since ci ≤ f 0 ≤ di on (xi−1 , xi ), we have

X X
ci (xi − xi−1 ) ≤ f (b) − f (a) di (xi − xi−1 ),
i i

that is, Z b Z b
φ(x)dx ≤ f (b) − f (a) ≤ ψ(x)dx.
a a

We already know that

Z b Z b Z b
0
φ(x)dx ≤ f (x)dx ≤ ψ(x)dx.
a a a

Thus, for any  > 0,

Z b Z b
0
|f (b) − f (a) − f (x)dx| ≤ φ(x) − ψ(x)dx < .
a a

This implies, Z b
f 0 (x)dx = f (b) − f (a).
a


2.2 Lebesgue integral for bounded functions

on sets of finite measure
Recall from Section 1.4 that a function φ whose domain is a measurable set
E is called a simple function provided there exist real numbers c1 , c2 , · · · cn
and disjoint measurable subsets {Ek } of E such that
n
X
E= Ek
k=1

and n
X
φ(x) = ck χEk (x).
k=1
2.2. LEBESGUE INTEGRAL FOR BOUNDED FUNCTIONS ON SETS OF FINITE MEASURE27

Exercise 2.2.1 Prove that every step function is a simple function. Is it

true that every simple function is a step function?

Definition 2.2.2 Suppose φ is a simple function on a measurable set E with

m(E) < ∞, that is,
Xn
φ(x) = ck χEk (x),
k=1
where ck ’s and Ek ’s are as above. The Lebesgue integral of φ on E is
defined as
Z n
X
φ= ck m(Ek ).
E k=1

Exercise 2.2.3 Suppose

n
[ m
[
E= Ei = Fj
i=1 j=1

where Ei ’s are measurable and mutually disjoint and so are Fj ’s. Suppose
φ(x) is a simple function such that φ(x) = ci for every x ∈ Ei and φ(x) = dj
for every x ∈ Fj . Prove that
n
X m
X
ci m(Ei ) = dj m(Fj ).
i=1 j=1

This shows that the Lebesgue integral of a simple function is well defined.
R
Exercise 2.2.4 Let f (x) be as in Exercise 2.1.17. Evaluate [0,1] f.

Exercise 2.2.5 Let φ and ψ be simple functions on E and m(E) < ∞. Let
k ∈ R. Prove the following statements:
(a) kφ is a simple function on E and
Z Z
k φ= kφ.
E E

(b) φ + ψ is a simple function on E and

Z Z Z
(φ + ψ) = φ+ ψ.
E E E
28 CHAPTER 2. LEBESGUE INTEGRATION

(c) If φ ≤ ψ on E, then Z Z
φ≤ ψ.
E E

(d) Let E = E1 ∪ E2 , E1 and E2 being disjoint and measurable. Then

Z Z Z
φ= φ+ φ.
E E1 E2

Definition 2.2.6 Let f be a bounded function on a measurable set E, m(E) <

∞. The lower Lebesgue integral of f on E is defined as
Z Z
f = sup{ φ : φ ≤ f, φ a simple function}
E E

and the upper Lebesgue integral of f on E is defined by

Z Z
f = inf{ ψ : f ≤ ψ, ψ a simple function}.
E E

Exercise 2.2.7 • Show that the above notions are well defined.
• Show that if φ and ψ are simple functions on E, then
Z Z Z Z
φ≤ f ≤ f ≤ ψ.
E E E E

Definition 2.2.8 A bounded function f defined on a measurable set E with

finite measure is said to be Lebesgue integrable on E if
Z Z
f = f.
E E

The common value is called the Lebesgue integral of f on E and is denoted

by Z
f.
E

Theorem 2.2.9 Let f be a bounded function on [a, b]. If f is Riemann in-

tegrable on [a, b], then f is Lebesgue integrable on [a, b] and
Z b Z
f (x)dx = f.
a [a,b]
2.2. LEBESGUE INTEGRAL FOR BOUNDED FUNCTIONS ON SETS OF FINITE MEASURE29

Proof.
Z b Z b
f (x)dx = sup{ φ(x)dx : φ ≤ f, φ a step function}
a a
Z
= sup{ φ : φ ≤ f, φ a step function}
[a,b]
Z
≤ sup{ φ : φ ≤ f, φ a simple function}
[a,b]
Z Z
= f≤ f
[a,b] [a,b]
Z
= inf{ ψ : f ≤ ψ, ψ a simple function}
[a,b]
Z
≤ inf{ ψ : f ≤ ψ, ψ a step function}
[a,b]
Z b
= inf{ ψ(x)dx : f ≤ ψ, ψ a simple function}
a
Z b
= f (x)dx.
a

Since, f is Riemann integrable,

Z b Z b
f (x)dx = f (x)dx.
a a

Thus, Z Z
f= f.
[a,b] [a,b]

Exercise 2.2.10 Show that a bounded function f defined on a measurable

set E with finite measure is Lebesgue integrable if and only if for every  > 0,
we have simple functions φ ≤ f ≤ ψ on E such that
Z Z
0≤ ψ− φ < .
E E
30 CHAPTER 2. LEBESGUE INTEGRATION

Theorem 2.2.11 Let f be a bounded function on a set E with finite measure.

Then f is Lebesgue integrable on E if and only if f is measurable on E.

Proof. Let f be a bounded, measurable function on E. Let m ≤ f (x) < M

on E and n ≥ 1. For each 1 ≤ k ≤ n, define
 
k−1 k
Ek = x ∈ E : m + (M − m) ≤ f (x) < m + (M − m) .
n n

Since f is measurable, each Ek is measurable. Moreover, {Ek }nk=1 are disjoint

subsets of E and E = ∪k Ek . We now define step functions φn and ψn on E
as follows:
k−1
φn (x) = m + (M − m), x ∈ Ek ,
n
k
ψn (x) = m + (M − m), x ∈ Ek .
n
Clearly, φn (x) ≤ f (x) ≤ ψn (x) and
n
M −m M −m
Z X
(ψn (x) − φn (x)) = m(Ek ) = (b − a).
E k=1
n n

Thus, by Exercise 2.2.10, f is Lebesgue integrable on E.

Conversely, suppose f is bounded and Lebesgue integrable on E. Let
n ≥ 1. By Exercise 2.2.10, we have simple functions φn and ψn on E such
that φn ≤ f ≤ ψn and Z
1
(ψn − φn ) < .
E n
Define
φ = sup{φ1 , φ2 , · · · },
ψ = sup{ψ1 , ψ2 , · · · }.
We observe that φ and ψ are measurable functions on E and for each n ≥ 1,

φn ≤ φ ≤ f ≤ ψ ≤ ψn . (2.3)

If we can show that f = φ almost everywhere on E, then by Proposition

1.2.12, we deduce that f is measurable on E. By virtue of the inequality in
2.2. LEBESGUE INTEGRAL FOR BOUNDED FUNCTIONS ON SETS OF FINITE MEASURE31

equation (2.3), it is sufficient to show that φ = ψ almost everywhere on E.

For a positive integer l, define
1
E1 (l) = {x ∈ E : ψn − φn > }.
l
Clearly, for every n ≥ 1,
Z Z
1 1
> (ψn − φn ) > (ψn − φn ) > m(E1 (l)).
n E E1 (l) l
Thus,
l
m(E1 (l)) < for all n ≥ 1.
n
Thus, m(E1 (l)) = 0. By the inequality in equation (2.3), we have
∞
[ 1
{x ∈ E : ψ(x) − φ(x) > 0} = {x ∈ E : ψ(x) − φ(x) > }
l=1
l
[
⊂ E1 (l), n ≥ 1.
l

Since m(E1 (l)) = 0, we have

m ({x ∈ E : ψ(x) − φ(x) > 0}) = 0.

This proves the theorem. 

Exercise 2.2.12 Let f be a bounded, Lebesgue integrable function on a mea-

surable set E with finite measure. Let g be bounded function on E and g = f
almost everywhere on E. Show that g is Lebesgue integrable on E.

The following theorem encapsulates some important properties of Lebesgue

integrals of bounded functions on sets of finite measure.

Theorem 2.2.13 Let f and g be bounded and measurable functions defined

on a set E of finite measure and let k be a real number. Then
(a) kf is Lebesgue integrable on E and
Z Z
kf = k f.
E E
32 CHAPTER 2. LEBESGUE INTEGRATION

(b) f + g is Lebesgue integrable on E and

Z Z Z
(f + g) = f+ g.
E E E

(c) If f = g almost everywhere on E, then

Z Z
f= g.
E E

(d) If f ≤ g almost everywhere on E, then

Z Z
f≤ g.
E E

Thus, Z Z
| f| ≤ |f |.
E E

(e) If α ≤ f (x) ≤ β, then

Z
αm(E) ≤ f ≤ βm(E).
E

(f ) If E1 , E2 are disjoint, measurable subsets of E, then f is Lebesgue

integrable on E1 and E2 and
Z Z Z
f= f+ f
E1 ∪E2 E1 E2

Proof. Parts (a), (b), (d), (e), (f) are left as exercises. To prove (c), let
ψ be a simple function on E such that ψ ≥ f − g. Since f − g = 0 almost
everywhere on E, we get that ψ ≥ 0 almost everywhere on E. Let

E1 = {x ∈ E : ψ(x) ≥ 0}.

By Exercise 2.2.5 (b), we have

Z Z
ψ≥ ψ = 0, since m(E1C ) = 0.
E E1C
2.2. LEBESGUE INTEGRAL FOR BOUNDED FUNCTIONS ON SETS OF FINITE MEASURE33

Thus, Z Z
(f − g) = inf{ ψ : ψ simple andψ ≥ f − g} ≥ 0.
E E
R R
Similarly,
R E
(g − f ) ≥ 0, that is, by (a), E
(f − g) ≤ 0. We conclude that
E
(f − g) = 0. 

Exercise
R 2.2.14 With f and E as above, if m(E) = 0, then show that
E
f = 0.
R
Exercise 2.2.15 If f (x) = r almost everywhere on E, Rshow that E f =
km(E). Thus, if f (x) = 0 almost everywhere on E, then E f = 0.

Remark 2.2.16 Converse of the statement in the above theoremR is not true.
There exist functions which are not zero anywhere on E, but E f = 0. For
example,
R for −1 ≤ x ≤ 1, let f (x) = 1 if x ≥ 0 and −1 otherwise. Then
[−1,1]
f = 0.
R
Theorem 2.2.17 If E
f = 0 and f (x) ≥ 0 on E, then f = 0 almost
everywhere on E.

Proof. Suppose E has a subset A where f (x) > 0. That is,

∞
[ 1
A= {x ∈ E : f (x) > }.
n=1
n

Let  
1
E1 (n) = x ∈ E : f (x) > .
n
If possible, suppose there is a positive integer N such that m(E1 (N )) > 0.
Then Z Z
1
f≥ f ≥ m(E1 (N )) > 0,
E E1 (N ) N
R
which contradicts the fact that E f = 0. Thus,m(E1 (n)) = 0 for all n ≥ 1.
This proves the theorem. 

We now address the issue of interchanging limit and integral operations

with respect to the Lebesgue integral.
34 CHAPTER 2. LEBESGUE INTEGRATION

Theorem 2.2.18 [Bounded Convergence Theorem] Let {fn } be a se-

quence of measurable functions defined on a measurable set E of finite mea-
sure. Suppose there exists a nonnegative real number M such that |fn (x)| ≤
M for all x and all n. If
f (x) = lim fn (x)
n→∞

for each x ∈ E, then f is Lebesgue integrable on E and

Z Z
f = lim f.
E n→∞ En

Proof. Since f is a limit of measurable functions, f is measurable. Being

a bounded and measurable function on E, it is Lebesgue integrable. By
Proposition 1.5.1, we know that given  > 0, there exists a measurable subset
A of E with

m(A) <
4M
and a positive integer N ≥ 1 such that

|fn (x) − f (x)| < for all n ≥ N, x ∈ E − A.
2m(E) + 1

Since |fn (x)| ≤ M for all n ∈ N and x ∈ E,

|fn (x) − f (x)| ≤ 2M, ∈ E.

Thus, Z Z  Z  Z
   
 fn − f  =  f n − f ≤ |fn − f |
   
E E E E
Z Z
= |fn − f | + |fn − f |
E−A A
 
< m(E − A) + 2M <
2m(E) + 1 4M
for all n ≥ N. Thus, Z Z
lim fn = f.
n→∞ E E


2.3. LEBESGUE INTEGRALS OF NONNEGATIVE MEASURABLE FUNCTIONS35

Exercise 2.2.19 Let fn and f satisfy the same conditions as in the theorem
above and fn → f almost everywhere on E. Show that f is Lebesgue integrable
on E and Z Z
f = lim f.
E n→∞ En

Remark 2.2.20 The limit function of a convergent sequence of Riemann

integrable functions may not be Riemann integrable, but the Bounded Con-
vergence Theorem tells us that this limitation does not hold in the case of
bounded, Lebesgue measurable (aka integrable) functions on sets of finite mea-
sure.

Exercise 2.2.21 Let {fn } be a sequence of Riemann integrable functions

defined on [a, b] such that |fn (x)| ≤ M for all n and x ∈ [a, b]. Show that
if {fn } converges almost everywhere to a Riemann integrable function f on
[a, b], then
Z b Z b
f (x)dx = lim fn (x)dx.
a n→∞ a

2.3 Lebesgue integrals of nonnegative mea-

surable functions
Definition 2.3.1 Let φ be nonnegative simple function on a measurable set
E. That is, there exist mutually disjoint measurable sets {Ei }ni=1 such that
E = ∪ni=1 Ei and nonnegative real numbers ci , 1 ≤ i ≤ n such that
n
X
φ(x) = ci χEi (x).
i=1

The Lebesgue integral of φ on E is defined as

Z Xn
φ= ci m(Ei ).
E i=1
R
Observe that 0 ≤ E
φ ≤ ∞.

Remark 2.3.2 One can readily verify that the Lebesgue integral for simple
functions satisfies all properties listed out in Exercises 2.2.3 and 2.2.5 also
hold when m(E) = ∞.
36 CHAPTER 2. LEBESGUE INTEGRATION

Definition 2.3.3 Let f (x) be a nonnegative, measurable function on a mea-

surable set E. Recall, from Theorem 1.4.6, that there exists a sequence of
nonnegative, monotonically increasing simple functions

0 ≤ φ1 (x) ≤ φ2 (x) ≤ · · · φn (x) ≤ φn+1 (x) + · · · ≤ f (x)

such that
lim φn (x) = f (x), x ∈ E.
n→∞

The Lebesgue integral of f on E is defined as

Z Z
f = lim φn (x).
E n→∞ E
R
E
f is a nonnegative member of the extended reals.

Exercise 2.3.4 Suppose φn and ψn are two sequences of nonnegative, mono-

tonically increasing simple functions converging to f on E. Show that
Z Z
lim φn = lim ψm .
n→∞ E m→∞ E

This shows that the above definition for the Lebesgue integral of a nonneg-
ative, measurable function is independent of the choice of the sequence of
simple functions that converge to the function.

Solution. Let us choose n ≥ 1 and observe that

0 ≤ φn ≤ f = lim ψm .
m→∞

Suppose we have mutually disjoint measurable sets {Ei }Ni=1 such that E =
∪N E
i=1 i and nonnegative real numbers ci , 1 ≤ i ≤ N such that
Z N
X
φn = ci m(Ei ).
E i=1

By Exercise 2.2.5(d), which shows the additivity of the integral over disjoint
measurable components of the domain,
Z N Z
X
ψm = ψm .
E i=1 Ei
2.3. LEBESGUE INTEGRALS OF NONNEGATIVE MEASURABLE FUNCTIONS37

We first show that Z

lim ψm ≥ ci m(Ei ). (2.4)
m→∞ Ei

If ci = 0, the above follows immediately. if ci > 0, let us choose α ∈ R such

that 0 < α < 1. For m ≥ 1, let

Bm = {x ∈ Ei : ψm (x) ≥ αci }.

Clearly Bm is measurable for every m ≥ 1. Since ψm ≤ ψm+1 , we have

Bm ⊆ Bm+1 .

Moreover, for any x ∈ Ei ,

lim ψm ≥ φn (x) = ci .
m→∞

Thus,
∞
[
Ei = Bm
m=1

and
lim m(Bm ) = m(Ei ).
m→∞

But, since Bm ⊆ Ei , we have

Z Z
ψm ≥ ψm ≥ αi m(Bm ).
Ek Bm

Thus, Z
lim ψm ≥ lim αci m(Bm ) = αci m(Ei ).
m→∞ Ei m→∞

This holds for any 0 < α < 1. We get Equation (2.4). From this, we deduce
Z N
X Z
lim ψm ≥ lim ( (ci m(Ei )) = φn .
m→∞ E m→∞ E
i=1

As the above is true for every n ≥ 1,

Z Z
lim ψm ≥ lim φn .
m→∞ E n→∞ E
38 CHAPTER 2. LEBESGUE INTEGRATION

By a similar reasoning, we can show

Z Z
lim φn ≥ lim ψm .
n→∞ E m→∞ E

Exercise 2.3.5 Let f be a nonnegative, measurable function on a measurable

set E. Show that
Z Z
f = sup{ φ : φ a nonnegative simple function, φ ≤ f }.
E E

[Hint: Use the argument to prove Equation (2.4).]

Exercise 2.3.6 Let f and g be nonnegative measurable functions on a mea-
surable set E and c be a nonnegative real number. Show that
R R
(a) E cf = c E f.
(b) If 0 ≤ f ≤ g, then Z Z
0≤ f≤ g.
E E
R R R
(c) E
(f + g) = E
f+ E
g.
(d) If E1 and E2 are two disjoint, measurable subsets of E, then
Z Z Z
f= f+ f.
E1 ∪E2 E1 E2

Definition 2.3.3 is a technically cumbersome way to calculate Lebesgue

integrals. We look for easier ways to calculate Lebesgue integrals. For ex-
ample, suppose we want to evaluate
Z
1
2
dx.
[1,∞) x

Instead of approximating by a monotone sequence of simple functions, let

us approximate f (x) = 1/x2 , x ≥ 1 by a monotone sequence of nonnegative
measurable functions
(
1
2 , 1 ≤ x ≤ n,
fn (x) = x
0, x > n.
2.3. LEBESGUE INTEGRALS OF NONNEGATIVE MEASURABLE FUNCTIONS39

Then
lim fn (x) = f (x).
n→∞

If we are allowed to interchange limit and integral, then

Z Z  
1
f (x) = lim fn = lim 1 − = 1.
[1,∞) n→∞ [1,∞) n→∞ n

We address the issue of interchangeability of integral and limit operations.

Theorem 2.3.7 [Lebesgue Monotone Convergence Theorem] Let {fk }

be a monotonically increasing sequence of nonnegative functions on a mea-
surable set E and let
lim fk = f.
k→∞

Then, Z Z Z
f= lim fk = lim fk .
E E k→∞ k→∞ E

Proof. Recall, from Exercise 2.3.5 that

Z Z
f = sup{ φ : φ a nonnegative simple function, φ ≤ f }.
E E

We first observe that f is a nonnegative, measurable function on E. Since,

{fk } is a monotonically increasing sequence of nonnegative functions, by
Exercise 2.3.6, we have
Z Z Z
0 fk ≤ fk+1 ≤ · · · f.
E E E

Thus, Z Z
lim fk ≤ f.
k→∞ E E
We now show that Z Z
f ≤ lim fk .
E k→∞ E
let φ be any simple function such that 0 ≤ φ ≤ f. If we are able to show that
Z Z
φ ≤ lim fk ,
E E
40 CHAPTER 2. LEBESGUE INTEGRATION
R
this would imply that lim E fk is an upper bound of the set
Z
{ φ : φ a nonnegative simple function, φ ≤ f }.
E

Thus, Z Z
f ≤ lim fk .
E k→∞ E
In order to show that Z Z
φ ≤ lim fk ,
E E
we observe that
Z N
X [
φ= ci m(Ei ), Ei = E, ci ≥ 0.
E i=1
R
Since E
fk is additive on E, it is sufficient to show that
N Z
X N
X
lim fk ≥ ci m(Ei ).
k Ei
i=1 i=1

To do so, we show that for each 1 ≤ i ≤ N,

Z
lim fk ≥ ci m(Ei ).
k Ei

This can be done by repeating the same argument used to prove equation
(2.4), by simply replacing φm by fk . This proves the theorem.