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 ai0a_i \geq 0 and AiA_i are disjoint measurable sets). The Lebesgue integral of ss is defined as: Xsdμ=i=1naiμ(Ai)\int_X s \, d\mu = \sum_{i=1}^{n} a_i \mu(A_i)

If EFE \in \mathcal{F}, we define: Esdμ=XsχEdμ=i=1naiμ(AiE)\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: Xfdμ=sup{Xsdμ:s is simple and 0sf}\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 Xfdμ<\int_X f \, d\mu < \infty.

DefinitionIntegral of General Functions

For a measurable function f:XRf: 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+ff = f^+ - f^- and f=f++f|f| = f^+ + f^-. Both f+f^+ and ff^- are non-negative measurable functions.

If at least one of Xf+dμ\int_X f^+ \, d\mu or Xfdμ\int_X f^- \, d\mu is finite, we define: Xfdμ=Xf+dμXfdμ\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 Xfdμ<\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 Efdμ=cμ(E)\int_E f \, d\mu = c \cdot \mu(E)

  2. Indicator function: XχAdμ=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 Nfdμ=n=1f(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