ConceptComplete

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.

DefinitionIntegral of Simple Functions

Let (X,F,μ)(X, \mathcal{F}, \mu) be a measure space and s=∑i=1naiχAis = \sum_{i=1}^{n} a_i \chi_{A_i} be a non-negative simple function in canonical form (where ai≥0a_i \geq 0 and AiA_i are disjoint measurable sets). The Lebesgue integral of ss is defined as: ∫Xs dμ=∑i=1naiμ(Ai)\int_X s \, d\mu = \sum_{i=1}^{n} a_i \mu(A_i)

If E∈FE \in \mathcal{F}, we define: ∫Es dμ=∫XsχE dμ=∑i=1naiμ(Ai∩E)\int_E s \, d\mu = \int_X s \chi_E \, d\mu = \sum_{i=1}^{n} a_i \mu(A_i \cap E)

This definition is well-defined: if ss has two different representations, both yield the same integral value. The integral of simple functions is linear and monotone.

DefinitionIntegral of Non-Negative Functions

Let f:X→[0,∞]f: X \to [0, \infty] be a non-negative measurable function. The Lebesgue integral of ff is: ∫Xf dμ=sup⁡{∫Xs dμ:s is simple and 0≤s≤f}\int_X f \, d\mu = \sup \left\{\int_X s \, d\mu : s \text{ is simple and } 0 \leq s \leq f\right\}

The value may be +∞+\infty. We say ff is integrable if ∫Xf dμ<∞\int_X f \, d\mu < \infty.

DefinitionIntegral of General Functions

For a measurable function f:X→Rf: X \to \mathbb{R}, define the positive and negative parts: f+=max⁡(f,0),f−=max⁡(−f,0)f^+ = \max(f, 0), \quad f^- = \max(-f, 0)

Then f=f+−f−f = f^+ - f^- and ∣f∣=f++f−|f| = f^+ + f^-. Both f+f^+ and f−f^- are non-negative measurable functions.

If at least one of ∫Xf+ dμ\int_X f^+ \, d\mu or ∫Xf− dμ\int_X f^- \, d\mu is finite, we define: ∫Xf dμ=∫Xf+ dμ−∫Xf− dμ\int_X f \, d\mu = \int_X f^+ \, d\mu - \int_X f^- \, d\mu

We say ff is integrable if both integrals are finite, equivalently if ∫X∣f∣ dμ<∞\int_X |f| \, d\mu < \infty.

ExampleComputing Integrals
  1. Constant function: If f=cf = c on a set EE with μ(E)<∞\mu(E) < \infty, then ∫Ef dμ=c⋅μ(E)\int_E f \, d\mu = c \cdot \mu(E)

  2. Indicator function: ∫XχA dμ=μ(A)\int_X \chi_A \, d\mu = \mu(A)

  3. On counting measure: If μ\mu is counting measure on N\mathbb{N}, then ∫Nf dμ=∑n=1∞f(n)\int_\mathbb{N} f \, d\mu = \sum_{n=1}^{\infty} f(n)

Remark

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