For question about integration, where the theory is based on measures. So it's almost always used together with the tag [measure-theory], and its aim is to specify questions about integral, not only properties of the measure.

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9
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126 views

Topology of convergence in measure

Currently I am doing some measure theory(on $X=[0,1]$ with the Borel-Sigma algebra and the Lebesgue measure) and I am looking at sets$A \subset L^p$, such that for all $q \in (0,p)$, the topologies ...
8
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0answers
425 views

Difference of differentiation under integral sign between Lebesgue and Riemann

Here is a consequence of Lebesgue dominated convergence theorem on differentiation under integral sign. Function $f(x, t)$ is differentiable at $x_0$ for almost all $t \in A$, and $t \to f(x, t)$ ...
7
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0answers
243 views

Egorov's theorem for this Lebesgue integral

I want to prove Egorov's theorem using this Lebesgue integral defined by the upper integral $$\int^*f:=\left\{\int h ; h \ge f \text{ and h upper-continuous }\right\}$$ $$\int_*f:=\left\{\int h ; h ...
6
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0answers
61 views

Various integration theories

Could anyone briefly explain, or point me towards a resource explaining, the main differences between the main integration theories, namely: Riemann Integration Riemann-Stieltjes Integration ...
5
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0answers
57 views

Theorem $2.14$ page $40, 41$ in Rudin - Real and Complex Analysis

Can anyone tell me the signification of Theorem $2.14$ (The Riesz Representation Theorem in locally compact Hausdorff spaces), page $40, 41$ in Rudin - Real and Complex Analysis? And some applications ...
5
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0answers
81 views

Why is Lebesgue-Stieltjes a generalization of Riemann-Stieltjes? Moreover, is there an example where Lebesgue-Stieltjes is useful

I certainly have a question, but i don't know what the best title should be. Please edit the title if there is a better one :) And I believe, to get a better answer, it would be good to explain ...
4
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0answers
29 views

Looking for a a measure-theoretic treatment of “differential entropy”

If $X$ is a discrete random variable, its entropy $H(X)$ is usually defined as something along the lines of $-\sum \def\P{\mathbb{P}}\P(x) \log_2( \P(x))$, where the sum ranges over all the possible ...
4
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0answers
93 views

$f(y-x)$ integrable implies $f=0$ a.e.

If $f(y-x)$ is in $L^p(\mathbb R^d\times\mathbb R^d)$, then I seem to conclude that $f=0$ a.e. (which seems wrong). My reasoning is that by Fubini and the integral's shift invariance (assume $p=1$ for ...
4
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0answers
167 views

Three properties of the Lebesgue measure on $\mathbb{R}^n$

I'm writing notes for my upcoming class in Game Theory and I realized some time ago that I only need three properties of the Lebesgue measure $\lambda$ on $\mathbb{R^n}$. It is a non-negative ...
4
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0answers
1k views

Dunford-Pettis Theorem

The Dunford-Pettis Theorem (see Uniform Integrability Wiki) states that: A class of random variables $X_n \in L^1(\mu)$ is Uniformly Integrable if and only if it is relatively weakly compact. Now ...
3
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77 views

Why do people apply Fubini-Tonelli theorem so easily?

I'm reading a text "Lebesgue Integration - Frank jones" from which i got recommended here, stackexchage. This text seemingly covers various topics on measure theory, but i think that's it. This text ...
3
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0answers
35 views

Is this a decomposition of the same function?

Let's say we have some integral, such that for a particular function $f: \mathbb{R}^n \rightarrow \mathbb{R}$ $$\int_{\mathbb{R}^{n-m}} \int_{\mathbb{R}^m}f^+ - ...
3
votes
0answers
78 views

$|f(t) - f(s) |\leq \int_s^t g $ then $f(t) - f(s) = \int_s^t h.$

Let $f : [0,1] \rightarrow [0, + \infty)$. If there exists $g \in L^1([0,1]) $ s.t. for every $t,s \in [0,1]$ holds $$ |f(t) - f(s)| \leq \int_s^t g(u) \, du \quad (t>s),$$ then there ...
3
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0answers
81 views

Show: $\int f\, d\mu=\sum\limits_{y\in f(X)}y\cdot\mu(f^{-1}(y)))$

Let $f\colon X\to\overline{\mathbb{R}}_{\geq 0}$ be a measurable function which only takes a countable number of values. Show that $$ \int f\, d\mu=\sum\limits_{y\in ...
3
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0answers
593 views

Is there a solution manual for Royden fourth edition?

I bought the fourth edition of Royden Real Analysis, this book is awesome and is quite different of third edition that has less excersices. I have the solution manual for the third edition. Is there ...
3
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0answers
92 views

How to prove $\mathcal{L}^2[(0,1)]$ is a Hilbert Space

Let $\mathcal{L}^2[(0,1)]$ denote the set of $\mathbb{C}$-valued square integrable functions on the interval [0,1]. Prove that $\mathcal{L}^2[(0,1)]$ forms a Hilbert Space. I believe that I can ...
3
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0answers
146 views

Prove Heisenberg uncertainty principle (measure and integration theory)

Here is a question in measure and integration theory, Let $f$ be a continuously differentiable complex function on $\mathbf{R}$ s.t. the functions $x \mapsto xf(x)$ and $f'$ are in ...
3
votes
0answers
330 views

Riemann integral vs Lebesgue integral

Let $f$ be analytic on a domain $\Omega$ of the complex plane, such that the closed disc $\overline{D(0,R)}$ is contained in $\Omega$. What is the difference between $$ \int_{D(0,R)}|f(w)|dm(w)$$ and ...
3
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0answers
244 views

Lebesgue Integration fundamental questions

My question involves the definition of the Lebesgue integral. Most colloquial definitions I've read follow (2), in that f*(t) is the "length" of one of the horizontal rectangles and dt is the ...
2
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0answers
22 views

Measure Theory - Lebesgue Integral over non- $\sigma$-finite spaces

In most courses on Measure Theory the Lebesgue Integral is introduced initially for simple functions on finite spaces, then for general functions on finite spaces and finally for general functions on ...
2
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0answers
25 views

Proving this is Lebesgue integrable using radial functions

Show that $f:\Bbb R^n\to\Bbb R$, given by: $$ f(x) = \begin{cases}\sin\left(\frac{1}{\|x\|}\right)\|x\|^{-n-\arctan(\|x\|-1)} & x\not=0 \\ 0 & x=0 \\ \end{cases}$$ is Lebesgue ...
2
votes
0answers
42 views

Jump is no Lebesgue Point

Let $f$ be locally integrable, then for $x_0\in\mathbb{R}$ we have $$\lim\limits_{R\to 0}\frac{1}{|B_R(x_0)|}\int\limits_{B_R(x_0)}|f(x)-f(x_0)|dx=0.$$ The point $x_0$ is called Lebesgue point of $f$. ...
2
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0answers
177 views

Vector-Lattices and “Approximating $\mathscr{L^1(\mathbb{R}^k)}$”.

In this question I asked whether $\mathscr{L}^1(\mathbb{R}^k)$ forms a category in any way. It was concluded that indeed it does not. I thought to myself, "well, could we at least approximate the ...
2
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0answers
41 views

An application of Beppo Levi's Theorem

Can you help me solve this? Let $f$ be a continuous, monotonically increasing function on $\Bbb R$. Let $g$ be a non-negative measurable function over a measurable set $\Omega$. Prove that: ...
2
votes
0answers
34 views

Integrability and product measure

Let $X$ and $Y$ be subsets of $\mathbb{R}$, and let $\mu$ be a measure on $X$ and $\nu$ a measure on $Y$. Let $f : X \times Y \rightarrow \mathbb{R}$ be $\mu$-summable and $\nu$-summable, i.e. ...
2
votes
0answers
57 views

Lebesgue integral for a non-negative, measurable and bounded function

Consider the measurable space $(\Omega,\mathcal{A},\mu)$. Let $f$ be a measurable, non-negative and bounded function. Show that the $\mu$-integral of f is given by $$ \int f\, ...
2
votes
0answers
92 views

Problem concerning Lebesgue Integral.

I am looking for feedback/corrections on the following solution attempt. I have only typed up one direction of the inequality; if this direction is correct, then I am certain that the other direction ...
2
votes
0answers
66 views

Does showing a function is integrable suffice to show the function is measurable?

I am reviewing past homework exercises in preparation for a midterm exam. Fortunately, my professor provides solutions. However, I found one of his solutions contains an (seemingly) important ...
2
votes
0answers
35 views

Integral of continuous function over probability distribution

Let $\mu_f$ denote the probability distribution of $f$ with $f(x)=10x-1$ for $x\in(0,1/2]$ and $f(x)=1$ for $x\in[1/2,1]$. If $g:\mathbb{R}\rightarrow\mathbb{R}$ is a continuous function, what is ...
2
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0answers
43 views

Lebesgue's convergence for $H(u_n)\nabla u_n$ where $H$ is not everywhere defined

Consider the Heaviside function that is undefined in zero, i.e. $$H(t)=\begin{cases} 1&t>0 \\ 0&t< 0\end{cases}$$ Now consider a sequence of $H^1(\Omega)$-functions $u_n\to u$ in the ...
2
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0answers
60 views

Prove that $\int_E cf(x)$ = $c \int_E f(x)$ for measurable E and non-negative f

So I'm going through class notes to try and prepare for an analysis qual. There are a number of little proofs in which the professor gave either no details or a brief sketch. I wanted to check if this ...
2
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0answers
69 views

Pseudo norm-exercice

Let $f$ be a measurable function with finite values almost everywhere. We put $$N_0(f) = \displaystyle\int \dfrac{|f|}{1 + |f|} d \mu.$$ We denoted by $L^0$ the set of measurable functions $f$ such ...
2
votes
0answers
79 views

An almost orthogonality principle for $L^p$

If two functions are far from being orthogonal, their difference cannot be too large in $L^2$. A precise statement (easily verified with the Pythagorean theorem) is as follows: let ...
2
votes
0answers
285 views

solving this integral using Lebesgue dominated convergence theorem

I'm tried without sucess to solve this integral: $$\lim_{n\to\infty}\int_{0}^{1}(1+x^2)^{-n}dx$$ I know that the why to solve it ,is by using the Lebesgue dominated convergence theorem.
2
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0answers
146 views

Inner Approximation of Lebesgue Measurable Set

Can every bounded Lebesgue measurable set be approximated from the inside by countably many disjoint closed rectangles? A citation or proof would be nice.
1
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0answers
23 views

Under which assumptions we have $f\in L^p$ for all $p\in\mathbb N$

So here is my question, I wanted to generalize, under what assumptions for some $f$ we have $f\in L^p(\mathbb R)\;\forall p\in\mathbb N.$ And I found the following, Let $f\in L^p(\mathbb R)$ for ...
1
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0answers
35 views

Higher-dimension integrability (over rectangles) well-defined

Here is the problem and my work toward a proof: Question: Prove that in the following definition, the value of $\int_E f dx$ is independent of the choice of rectangle $J$: Definition: ...
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0answers
39 views

Measure Theory - An identity for the Lebesgue Intgral

I'm trying to solve the following exercise in Measure Theory: Let $(X,\mathcal{F},\mu)$ be a $\sigma$ -finite measure space. Prove that for every $0\leq f\in L^{1}(\mu)$ it holds that: ...
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0answers
33 views

lebesgue integral of $f(x^n)$

I know that $f:[0,1]\to \mathbb{R}$ is continuous at $0$, and $f\in L_1([0,1])$. How can one prove that $f(x^n)\in L_1([0,1])$, for any $n\in \mathbb{N}$?
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0answers
46 views

What means: is equivalent to?

I found the following theorem: Let $(f_n)$ be a sequence of norm one functions in $L^p, p \in [1, \infty)$. If $\lambda(supp(f_n)) \rightarrow 0$, then some subsequence of $(f_n)$ is equivalent to a ...
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0answers
45 views

Integration question measure theory

For the function $$ f(x) = \begin{cases} \infty & \text{if $x=0$} \\ 1/x & \text{if $x \in \mathbb{Q} \smallsetminus 0$} \\ 0 & \text{Otherwise} ...
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0answers
110 views

Continuity of a parametric integral (where the integrated function is discontinuous)

For all $t\in\mathbb{R}$ consider $$F(t):=\int_\mathbb{R}e^{-x^2/2}\log|t+e^x|\,dx \;.$$ I managed to show that $F(t)$ is well-defined and finite for every $t$. I would like to show that $F$ is ...
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0answers
83 views

Differentiation through the integral sign (Lebesgue integration)

I have to evaluate $$\int_0^{\frac{\pi}{2}}\log(a^2\cos^2x+b^2\sin^2x)dx.$$ Now I have arrived at the answer by separating the original integral into integral $\log(a^2\cos^2x)$ plus integral of ...
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0answers
50 views

General Lebesgue Integral Problem

I am stumped on trying to solve the following exercise: Let f be a measurable function in E which can be expressed as $$ f = g +h$$ Where g is finite and integrable over E and h is nonnegative on ...
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0answers
30 views

Inverse map measurable

We said that a function $f:X \rightarrow \mathbb{R}$ is measurable iff we have that for all $I_a:=(a,\infty)$, $a \in \mathbb{R}$ $f^{-1}(a,\infty)$ is measurable. Now I want to show that ...
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0answers
54 views

Fat Cantor-Lebesgue function

I came across the following theorem the other day, "If $f:[a,b]\to \mathbb{R}$ is monotonic increasing, then $f$ is differentiable a.e." If the take the standard Cantor-Lebesgue function then I see ...
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0answers
49 views

Bounded $L^p$ functions

It is well known that we do not have $L^q(\mathbb{R}^n) \subset L^p(\mathbb{R}^n)$ for $q >p$. But is this relation true, if we assume that we only look at bounded functions $f$. I think it could ...
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0answers
38 views

Product of a singular and continuous measures

Suppose we have a function $f(x,y)\geq 0$ and we integrate it with respect to a measure $\mu=\mu_{\mathrm{a.c.}}+\mu_{\mathrm{disc}}+\mu_{\mathrm{s.c}}$. Is it true that \begin{equation} \iint ...
1
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0answers
55 views

question 6.09 from Folland Real Analysis

I am trying to prove the following. I have also included what I have proved so far. How do I go about showing that there is some subsequence that converges to $f$ a.e. If someone could provide some ...
1
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0answers
79 views

Solution to heat equation, differentiation under integral sign

For $f\in L^1(\mathbb{R}^n)$ a solution to the heat equation $\frac{1}{2}\Delta u=\frac{\partial}{\partial t} u$ is given by $$u(x,t)=(2\pi t)^{-n/2} \int\exp{\left(-\frac{\lVert ...