A Primer of Lebesgue Integration

A Primer of Lebesgue Integration

Second Edition

H.S. Bear

Department of Mathematics, University of Hawaii at Manoa, Honolulu, Hawaii

ACADEMIC PRESS

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Table of Contents

Cover image

Title page

Copyright page

Dedicated

Preface to the First Edition

Preface to the Second Edition

1: The Riemann-Darboux Integral

2: The Riemann Integral as a Limit of Sums

3: Lebesgue Measure on (0, 1)

4: Measurable Sets: The Carathéodory Characterization

5: The Lebesgue Integral for Bounded Functions

6: Properties of the Integral

7: The Integral of Unbounded Functions

8: Differentiation and Integration

9: Plane Measure

10: The Relationship Between μ and λ

11: General Measures

12: Integration for General Measures

13: More Integration: The Radon-Nikodym Theorem

14: Product Measures

15: The Space L²

Index

Copyright

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Copyright © 2002, 1995 by Academic Press

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Dedicated

This text is dedicated to J. L. Kelley, who taught that in mathematics it is not enough to read the words—you've got to hear the music.

Preface to the First Edition

This text provides an introduction to the Lebesgue integral for advanced undergraduates or beginning graduate students in mathematics. It is also designed to furnish a concise review of the fundamentals for more advanced students who may have forgotten one or two details from their real analysis course and find that more scholarly treatises tell them more than they want to know.

The Lebesgue integral has been around for almost a century, and the presentation of the subject has been slicked up considerably over the years. Most authors prefer to blast through the preliminaries and get quickly to the more interesting results. This very efficient approach puts a great burden on the reader; all the words are there, but none of the music. In this text we deliberately unslick the presentation and grub around in the fundamentals long enough for the reader to develop some intuition about the subject. For example, the Carathéodory definition of measurability is slick—even brilliant—but it is not intuitive. In contrast, we stress the importance of additivity for the measure function and so define a set E ∈ (0,1) to be measurable if it satisfies the absolutely minimal additivity condition: m(E) + m(E′) = 1, where E′ = (0,1) − E and m is the outer measure in (0,1). We then show in easy steps that measurability of E is equivalent to the Carathéodory criterion, m(E ∩ T) + m(E′ ∩ T) = m(T) for all T. In this way we remove the magic from the Carathéodory condition, but retain its utility. After the measure function is defined in (0,1), it is extended to each interval (n, n + 1) in the obvious way and then to the whole line by countable additivity.

We define the integral via the familiar upper and lower Darboux sums of the calculus. The only new wrinkle is that now a measurable set is partitioned into a finite number of measurable sets rather than partitioning an interval into a finite number of subintervals. The use of upper and lower sums to define the integral is not conceptually different from the usual process of approximating a function by simple functions. However, the customary approach to the integral tends to create the impression that the Lebesgue integral differs from the Riemann integral primarily in the fact that the range of the function is partitioned rather than the domain. What is true is that a partition of the range induces an efficient partition of the domain. The real difference between the Riemann and Lebesgue integrals is that the Lebesgue integral uses a more sophisticated concept of length on the line.

We take pains to show that both the Riemann-Darboux integral and the Lebesgue integral are limits of Riemann sums, for that is the way scientists and engineers tend to think of the integral. This requires that we introduce the concept of a convergent net. Net convergence also allows us to make sense out of unordered sums and is in any case something every young mathematician should know.

After measure and integration have been developed on the line, we define plane outer measure in terms of coverings by rectangles. This early treatment of plane measure serves three purposes. First, it provides a second example of the definition of outer measure, and then measure, starting with a natural geometric concept—here the area of a rectangle. Second, we show that the linear integral really is the area under the curve. Third, plane measure provides the natural concrete example of a product measure and is the prototype for the later development of general product measures.

The text is generously interlarded with problems. The problems are not intended as an intelligence test, but are calculated to be part of the exposition and to lure the reader away from a passive role. In many cases, the problems provide an essential step in the development. The step may be routine, but the reader is nevertheless encouraged thereby to pause and become actively involved in the process. There are also additional exercises at the end of each chapter, and the author earnestly hopes that these will add to the reader's education and enjoyment.

The author is pleased to acknowledge the help of Dick Bourgin, Bob Burckel, and Ken Ross, all of whom read the manuscript with great care and suggested many improvements in style and content.

Preface to the Second Edition

H.S. Bear, May 2001

The principal change from the first edition is the new one-shot definition of the Lebesgue integral. The integral is first defined for bounded functions on sets of finite measure, using upper and lower Darboux sums for finite partitions into measurable sets. This approach is designed to emphasize the similarity of the Lebesgue and Riemann integrals. By introducing countable partitions, we then extend the definition to arbitrary functions (bounded or not) and arbitrary sets (finite measure or not). This elegant touch, like many of my best ideas, was explained to me by A. M. Gleason.

Many of the errors and crudities of the first edition have been corrected, and the author is indebted to Robert Burckel, R. K. Getoor, K. R S. Bhaskara Rao, Joel Shapiro, and Nicholas Young for pointing out assorted mistakes. In addition, several anonymous reviewers of the second edition made many helpful suggestions. I feel confident, however, that there remain enough errors to challenge and reward the conscientious reader.

Finally, the author wishes to express his gratitude to Susan Hasegawa and Pat Goldstein for their superb work with the typing and proofreading.

1

The Riemann-Darboux Integral

We start by recalling the definition of the familiar Riemann–Darboux integral of the calculus, which for brevity we will call the Riemann integral. Our later development of the Lebesgue integral will closely parallel this treatment of the Riemann integral. We consider a fixed bounded interval [a, b] and consider only real functions f which are bounded on [a,b].

A partition P of [a, b] is a set P = {x0, x1, x2,…, xn} of points of [a, b] with

Let f be a given function on [a, b] with

for all x ∈ [a, b]. For each i = 1, 2,…, n let

In the usual calculus text treatment the infs and sups are taken over the closed intervals [xi−1, xi]. In our treatment of the Lebesgue integral we will partition [a, b] into disjoint sets, so we use the disjoint sets (xi−1, xi) here. We are effectively ignoring a finite set of function values, f(x0), f(x1), f(x2),…, f(xn), and in so doing we anticipate the important result of Lebesgue that function values on a set of measure zero (here the set of partition points) are not relevant for either the Riemann or Lebesgue integral.

The lower sum L(f, P) and the upper sum U(f, P) for the function f and the partition P are defined as follows:

Clearly m ≤ mi ≤ Mi ≤ M for each i, so

For a positive function f on [a, b] the lower sum represents the sum of the areas of disjoint rectangular regions which lie within the region

Similarly, the upper sum U(f, P) is the area of a finite number of disjoint rectangular regions which cover the region S except for a finite number of line segments on the lines x = xi. The function f is said to be integrable whenever

   (1)

The integral of f over [a, b] is the common value in . The area of S is defined to be this integral whenever f is integrable and non-negative.

, particularly when a change of variable is involved. The "x" in this expression is a dummy variable and can be replaced by any variable except f or d. For example,

The last two versions are logically correct, but immoral, since they flout the traditional roles of a, b, c as constants, and the third integral discourteously uses the same letter for the limit and the dummy variable.

Now we make a few computations to derive the basic properties of the integral and show that the integral exists at least when f is continuous.

A partition Q is a refinement of the partition P provided each point of P is a point of Q. We will indicate this by writing P Q without reference to the numbering of the points in P or Q. Clearly Q is a refinement of P provided each of the subintervals of [a, b] determined by Q is contained in one of the subintervals determined by P.

Proposition 1

If P Q, then L(f, P) ≤ L(f, Q) and U(f, Q) ≤ U(f, P).

Proof

Suppose Q contains just one more point than P, and to be specific assume this additional point x* lies between the points x0 and x1 of P. if

so the sum of the first two terms in L(f, Q) exceeds the first term of L(f, P):

The remaining terms of L(f, Q) and L(f, P) are the same, so L(f, Q) ≥ L(f, P). We can consider any refinement Q of P as obtained by adding one point at a time, with the lower sum increasing each time we add a point. The argument for the upper sums is similar.

Proposition 2

Every lower sum is less than or equal to every upper sum,