Lebesgue Integration - Core Definitions
The Lebesgue integral extends the Riemann integral to a much broader class of functions and provides a more robust framework for analysis. Its construction proceeds in stages, building from simple functions to general measurable functions.
Let be a measure space and be a non-negative simple function in canonical form (where and are disjoint measurable sets). The Lebesgue integral of is defined as:
If , we define:
This definition is well-defined: if has two different representations, both yield the same integral value. The integral of simple functions is linear and monotone.
Let be a non-negative measurable function. The Lebesgue integral of is:
The value may be . We say is integrable if .
For a measurable function , define the positive and negative parts:
Then and . Both and are non-negative measurable functions.
If at least one of or is finite, we define:
We say is integrable if both integrals are finite, equivalently if .
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Constant function: If on a set with , then
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Indicator function:
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On counting measure: If is counting measure on , then
The Lebesgue integral has superior properties compared to the Riemann integral:
- It integrates more functions (all bounded measurable functions on finite measure sets)
- It has better convergence theorems (Monotone Convergence, Dominated Convergence)
- It treats functions that are equal almost everywhere as identical