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This is the Excercise 1.12 of Rudin's Real and Complex Analysis:

Suppose $f\in L^1(\mu)$. Prove that to each $\epsilon>0$ there exists a $\delta>0$ such that $\int_{E}|f|d\mu<\epsilon$ whenever $\mu(E)<\delta$.

This problem likes the uniformly continuous property. I tried to prove it by making contradiction, but I can't figure it out. Thanks!

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Fix $\varepsilon>0$. By definition of Lebesgue integral, there exists a step function $s$ such that $\int_X (|f|-s)d\mu<\varepsilon$, and $0\leq s\leq |f|$. So we are reduced to show that the result when $s$ is a step function.

Let $E$ a measurable set, and assume that $s$ has the form $\sum_{j=1}^Na_j\chi_{A_j}$, where $a_j\geq 0$ and $A_j$ are measurable sets. Then $$\int_E sd\mu=\sum_{j=1}^Na_j\mu(A_j\cap E)\leq \mu(E)\sum_{j=1}^Na_j.$$

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Thank you very much! Using step function is a very good ideal! –  Danielsen Oct 19 '12 at 1:44

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