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Let $\sigma: [ 0,\infty) \rightarrow [0,\infty]$ be a Borel-measurable, nonnegative, extended-real valued function, when is the Lebesgue integral $\int_{0}^{t}\sigma(u) du$ a continuous function of t? Thanks!

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Is this homework? If it is, could you use the tag homework, and also show us what you know/have done so people are more able to help you with your problem. Thanks! –  Shaktal Jul 28 '12 at 17:31
    
Note that any antiderivative of a locally integrable function is not merely continuous, but also absolutely continuous. –  sos440 Jul 28 '12 at 17:34
    
Do we know something else, like $\sigma\in L^1_{loc}[0,\infty)$ or something? –  Matt Jul 28 '12 at 17:40
    
If $\sigma$ is locally integrable, then the function is in fact differentiable a.e. (ie, the Lebesgue points). –  copper.hat Jul 28 '12 at 17:42
    
Notice that $\sigma$ is nondecreasing, which implies that the set $\{t: \sigma(t)<\infty \}$ is an interval. In this interval (possibly empty) you have local integrability, hence local absolute continuity of the antiderivative. Outside of it, the antiderivative is $\equiv \infty$. –  user31373 Jul 28 '12 at 19:08
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up vote 2 down vote accepted

Since my answer-comment had a couple of typos and did not cover all bases, I'm posting an actual answer in the answer box (what a novel idea!).

Let $F(t)=\int_0^{t}\sigma(u)\,du$, which is a well-defined function taking values in $[0,\infty]$. Since $\sigma\ge 0$, $F$ is nondecreasing, which implies that the set $I=\{t:F(t)<\infty\}$ is an interval. On this (possibly empty) interval $\sigma$ is locally integrable, and therefore $F$ is locally absolute continuous. Outside of the interval $F\equiv +\infty$.

The question remains: what happens at right endpoint of $I$ when this endpoint is finite? Here a discontinuity may occur, e.g., if $\sigma\equiv \infty$ or $\sigma=\infty \chi_{[1,\infty)}$ or, to give a finite example, $\sigma(u)=(u-1)^{-1}\chi_{(1,\infty)}$. Denoting the right endpoint of $I$ by $b$, we can formulate the criterion for continuity at $b$ (hence on the entire line) as $\int_0^b \sigma(u)\,du=\infty$.

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Thank you for this answer, it is very clear. –  Jean Carr Aug 18 '12 at 0:15
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