1 Bounded Lebesgue integrals

In calculus, we learn that the denite integral

_
a
b
f(x) dx is, in a sense, the sum of values of f(x) along the
interval [a, b]. Let us briey review the Riemann integral. Recall that a Riemann sum is dened as
_
a
b
f(x) dx = lim
N
N

i=1
f(x

i
)(x
i
x
i1
)
for some partition [x
0
, x
1
] [x
1
, x
2
] . . . [x
N1
, x
N
] of [a, b], with sup(|[x
i1
, x
i
]|) = 0 (where we use
|[a, b]| = b a). Let
L
1
=
_
a
b
f(x) dx = lim
N
N

i=1
sup(f([x
i1
, x
i
]))(x
i
x
i1
)
and let
L
2
=
_
a
b
f(x) dx = lim
N
N

i=1
inf(f([x
i1
, x
i
]))(x
i
x
i1
)
If L
1
= L
2
, we say that f(x) is Riemann integrable and write
_
a
b
f(x) dx = L
1
= L
2
.
We would like to oer an equivalent presentation of the previous denition that could be extended to
dene Lebesgue integration. In this point of view, we rst dene the Riemann integral for step functions,
and use these step functions to bound the Riemann sum of a general function. We begin with the following
useful denition:
Denition 1. The indicator function
A
: D R (also written as 1
A
(x)) of a measurable set A D R
is dened by
A
(x) = 1 if x A and
A
(x) = 0 otherwise.
Let s(x) =

i
a
i

[x
i1
,x
i
])
(x). We dene
_
a
b
s(x) dx =

a
i
|[x
i1
, x
i
)|. Then, we let
L
1
= sup
__
a
b
s(x) dx, s(x) f(x)
_
and
L
2
= inf
__
a
b
s(x) dx, s(x) f(x)
_
,
and if L
1
= L
2
, we dene
_
a
b
f(x) dx = L
1
= L
2
.
However, the Riemann integral has certain problems. First, this denition only generalizes summation
over unions of intervals because a general set cannot be partitioned into a union of intervals. Second,while
functions that are continuous at all but a countably innite number of points are Riemann-integrable, there
exits functions that are constant at all but a countably innite number of points that are not Riemann-
integrable (such as
Q
(x)). Third, if we change the value of a Riemann integrable function at a point, the
value of the integral should not change, but it does: if we change one point to innity, the integral will
diverge. Fourth, if g
k
(x) is a sequence of functions such that lim
k
g
k
(x) = g(x), even if for all k, g
k
(x)
is a Riemann integrable function, g(x) is not necessarily Riemann integrable. For instance, let q
k
be an
enumeration of the rational numbers between [0, 1], and dene g
k
(x) = 1 if x = q
j
, j k and g
k
(x) = 0
otherwise. The function g
k
is zero everywhere except on a nite set of points and so
_
1
0
g
k
(x) dx = 0, but
1
g(x) =
Q
(x) is not integrable. This is problematic since we would like to do
_
k
f
k
(x) dx =

k
_
f
k
(x) dx
in, for instance, Fourier analysis, but the conditions for which this equality is true is not clear for Riemann
integrals.
To dene a more general integral, we develop the notion of a length of a set, which is calledmeasure
m. We expect the measure to satisfy properties we usually associate with lengths. For instance we expect
m([a, b]) = |[a, b]|, m(A B) = m(A) +m(B) if A and B are disjoint, m() = 0, and m(A) 0 for all sets
A. To create such a function, we rst dene an outer measure, dened universally for sets, that satises
most of the above properties, and we strengthen the denition so that the measure is not dened for all
sets but for measurable sets, the measure behaves very nicely.
Denition 2. Dene the outer measure m

: P(R) R as
m

(A) = inf
_

AA
|A|
_
for some countable collection of open intervals A with A

A.
Proposition 1. 1. m

() = 0.
2. m

(A) 0 for all A.

3. If A B, m

(A) m

(B).
4. m

([a, b]) = |[a, b]|.

5. m

(A B) m

(A) + m

(B) for all A and B.

We would like to strengthen the last condition so that m

(AB) = m

(A) +m

(B) for disjoint A and

B. We thus dene measurable sets:
Denition 3. A set E is measurable if for all A,
m

(A) = m

(A E) + m

(AE).
In that case, we write m(E) = m

(E).
The fact that there exists nonmeasurable sets is a counterintuitive and nontrivial fact, and the con-
struction of these sets requires the axiom of choice.
Proposition 2. Let E and F denote measurable sets.
1. The empty set is measurable. In general, if m

(A) = 0, A is measurable.
2. The complement of E is measurable.
3. The union and intersection of a nite or countable number of measurable sets is measurable.
4. If E and F are disjoint, m(E F) = m(E) + m(F).
Finally, we have this theorem:
2
Theorem 1. If A
n
are a sequence of decreasing measurable sets, i.e. A
j
A
j+1
, then lim
j
m(A
j
) =
m(lim
j
A
j
).
With this notion of measure, we can dene the Lebesgue integral. Recall that for a Riemann integral, we
rst constructed step functions that bound possible values of the integral. To dene a Lebesgue function,
we generalize the notion of a step function:
Denition 4. A simple function is a function s(x) : D R such that s(x) =

i
a
i

A
i
(x) for measurable
sets A
i
.
We dene the Lebesgue integral of s(x) : D R over D as
_
D
f(x) dx =

a
i
m(A
i
). If we wish to
integrate over some general measurable set E D, we naturally dene
_
E
s(x) dx =
_
D

E
(x)s(x) dx.
Then, in analogy with the denition of Riemann function, we construct greatest lower bounds and least
upper bounds of sensible values of the Lebesgue integral of a general function, and if these two bounds are
equal, we call that function Lebesgue integrable:
Denition 5. For a function f : R R and a measurable set E, dene L
1
= inf{
_
E
s dx, s(x) f(x)}
and L
2
= sup{
_
E
s dx, s(x) f(x)} for simple functions s(x). If L
1
= L
2
, we say that f(x) is Lebesgue
integrable, and the value of the integral is
_
E
f(x) dx = L
1
= L
2
.
The following theorem is a key result in Lebesgue theory:
Theorem 2. If f : R R is a Riemann integrable function, then it is also Lebesgue integrable, and
_
a
b
f(x) dx =
_
[a,b]
f(x) dx.
Proposition 3. Let f and g be two bounded Lebesgue integrable functions, and let E be a measurable set.
Then,
1.
_
E
cf(x) + dg(x) dx = c
_
E
f(x) dx + d
_
E
g(x) dx
2. If A and B are disjoint measurable sets,
_
AB
f(x) dx =
_
A
f(x) dx +
_
B
f(x) dx.
3. If f(x) = g(x) for all x E except possibly on a set of measure zero,
_
E
f(x) dx =
_
E
g(x) dx.
4. If f(x) < g(x) for all x E except possibly on a set of measure zero,
_
E
f(x) dx
_
E
g(x) dx.
2 Generalized Lebesgue integrals
While the Lebesgue integral is more general than Riemann integrals, we can generalize it further to un-
bounded functions that could occasionally take on the value innity. We dened a bounded Lebesgue
integral because it is, perhaps, intuitively simpler. We rst dene a general measurable function:
3
Denition 6. A function f : E R {, } is measurable if the domain E is measurable and the
preimage f
1
(, a) is measurable.
Proposition 4. 1. All continuous functions are measurable.
2. If f(x) is measurable, and g(x) = f(x) except possibly on a set of measure zero, g(x) is also measur-
able.
3. A function is measurable if and only if {x : f(x) < a} and {x : f(x) > a} are measurable for all a.
4. If f(x) is bounded, f is measurable if and only if it is Lebesgue integrable.
Measurable functions need not be continuous, but they are almost continuous:
Theorem 3. Let f(x) be a measurable function dened on [a, b] such that the set where f is plus or minus
innity has measure zero. For all > 0, there exists a step function g(x) and continuous function h(x)
such that |f(x) g(x)| < and |f(x) h(x)| < except on a set of measure less than .
We can then dene the (not necessarily bounded) Lebesgue integral of non-negative functions.
Denition 7. Let f(x) be a measurable nonnegative function, and let s(x) be a bounded simple function.
Then, dene
_
E
f(x) dx = sup{
_
E
s dx : 0 s f}.
Finally, we can dene the Lebesgue integral for general functions.
Denition 8. Let f(x) = f
+
(x) f

(x) where f
+
(x) = f(x) if f(x) > 0 and f
+
(x) = 0 otherwise and
f

(x) = f(x) if f(x) < 0 and f

(x) = 0 otherwise. Then,

_
E
f(x) dx =
_
E
f
+
(x) dx
_
E
f

(x) dx.
3 Examples
We rst prove that m

(Q) = 0. Let q
i
be an enumeration of the rationals, and for all > 0 and for each
q
i
, dene
Q
i
=
_
q
i

2
i
, q
i

2
i
_
.
Clearly, Q

Q
i
, but

i
|Q
i
| = 2

2
i
= 2
and since was an arbitrary positive number, inf

i
|Q
i
| = 0. Thus, Q is measurable. This proof that Q
has measure zero can be easily extended to show that any countable set has measure 0.
Note in particular that
_

Q
(x) dx = 0. Recall the functions g
k
(x) dened on [0, 1] such that g
k
(x) = 1
if x = q
j
, j k and g
k
(x) = 0 otherwise (for an enumeration q
j
of rationals between 0 and 1). As mentioned
before, the Riemann integral (and thus the Lebesgue integral)
_
1
0
g
k
(x) = 0 since g
k
(x) is zero except on a
nite set of points. Then, indeed,
lim
k
_
[0,1]
g
k
(x) dx = 0 =
_
[0,1]

Q
(x) dx =
_
[0,1]
lim
k
g
k
(x) dx.
4