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Lebesgue Integrable


A Lebesgue integrable function on a measure space X with a positive measure mu is a measurable function f:X->[-infty,infty] or f:X->C satisfying int_X|f|dmu<infty (Hunter 2011, pp. 42 and 50). For a nonnegative measurable function, this means that its Lebesgue integral is finite. For f:X->[-infty,infty], this is equivalent to both f^+ and f^- being Lebesgue integrable, where f^+ and f^- are its positive part and negative part, respectively.

The following equivalent characterization follows from the monotone convergence theorem. A nonnegative measurable function f is Lebesgue integrable iff there exists a sequence of nonnegative measurable simple functions {f_n} satisfying:

1. sum_(n=1)^(infty)intf_ndmu<infty.

2. f(x)=sum_(n=1)^(infty)f_n(x) almost everywhere.

Indeed, choose increasing nonnegative measurable simple functions s_n converging to f, put s_0=0, and take f_n=s_n-s_(n-1). Their sum is f, and the monotone convergence theorem gives sum_(n)intf_ndmu=intfdmu. Conversely, applying that theorem to the partial sums sum_(n=1)^(N)f_n proves that the two conditions imply Lebesgue integrability (Hunter 2011, pp. 38 and 41-42).


See also

Integral, Lebesgue Integral, Riemann Integral, Simple Function, Step Function

Portions of this entry contributed by John Renze

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References

Hunter, J. K. Measure Theory. Lecture notes, pp. 38, 41-42, and 50, 2011. https://www.math.ucdavis.edu/~hunter/measure_theory/measure_notes.pdf.Royden, H. L. §11.3 in Real Analysis, 3rd ed. New York: Macmillan, p. 31, 1988.

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Lebesgue Integrable

Cite this as:

Weisstein, Eric W., with contributions by John Renze. "Lebesgue Integrable." From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/LebesgueIntegrable.html

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