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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0answers
169 views

$\int\limits_{\Omega}{uvdx}<\infty,\forall v\in H_0^1(\Omega)$ implies $u\in L^{6/5}(\Omega)$

Let $d=3$ and $\Omega\subset \mathbb R^d$ is a bounded Lipschitz domain and $u$ is a measurable function. A sufficient condition for the integral $\int\limits_{\Omega}{uvdx}<\infty,\forall v\in ...
9
votes
0answers
509 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 ...
7
votes
0answers
364 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
votes
0answers
75 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
votes
0answers
37 views

Show that if $f$ is measurable then $\{x\in A:c=f(x)\}$ is measurable for each $c$.

Let $A$ be a bounded measurable subset of $\mathbb{R}$. Show that if $f:A\rightarrow \mathbb{R}$ is measurable then $\{x\in A:c=f(x)\}$ is measurable for each $c$. Choose real $c$. Since $f$ is ...
5
votes
0answers
54 views

$L^2$ convergence of this sequence

I am given the following sequence of functions $(f_m)_{m \in \mathbb{N}}$. They are defined by $$ f_m(x):=\left( \frac{e^{-ix}-1}{-ix} \right)^m \left( \sum_{l \in \mathbb{Z}} \frac{\left|e^{-ix}-1 ...
5
votes
0answers
114 views

Convergence of the solution of Volterra integral equation with convergent kernel.

Consider the following Volterra integral equation $$ g(t) = \int_0^t K_n(t,s)w_n(s) ds $$ where $g(t)$ and $K_n(t,s)$ are known(continuous) and $K_n(t,s)\geq K_{n+1}(t,s)$ for all $t,s$. Moreover, ...
5
votes
0answers
127 views

Representation of Stochastic Integrals as Lebesgue/Bochner Integrals

Just as the Riemann–Stieltjes integral can be equivalently defined as a Lebesgue integral with the corresponding Lebesgue–Stieltjes measure, I am looking for the corresponding results for the ...
5
votes
0answers
98 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 ...
5
votes
0answers
545 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 ...
4
votes
0answers
53 views

Represent total variation of continuous function by integration of counting function

$f : [a,b] \to \mathbb R$ is continuous, let $M(y)$ be the number of points $x$ in $[a,b]$ such that $f(x)=y$. prove that $M$ is Borel masurable and $\int M(y)dy$ equals the total variation of $f$ on ...
4
votes
0answers
60 views

Limit of $\int_E f(nx) dx$ for a $1$-periodic function $f$ on $[0,2\pi]$

Let $E$ be a measurable subset of $[0, 2\pi]$. Assume that $f \in C(\mathbb R)$ is $1$-periodic, i.e. $f(x + 1) = f(x)$. Compute $$\lim_{n\to\infty} \int_{E} f(nx) dx$$. Since $f$ is continuous on ...
4
votes
0answers
47 views

Fubini–Tonelli theorem

By Fubini-Tonelli theorem, if one of $\int(\int |f(x,y)| dy)dx$, $\int(\int |f(x,y)| dx)dy$, $\int\int |f(x,y)| dxdy$ is finite , then $\int(\int f(x,y) dy)dx = \int(\int f(x,y) dx)dy=\int \int ...
4
votes
0answers
137 views

An a.e.-defined derivative which is not Lebesgue integrable on any interval?

If the derivative $f'$ exists everywhere then it is shown here that there exist intervals on which $f'$ is Lebesgue integrable. But perhaps there is a function $f$ such that $f'$ only exists almost ...
4
votes
0answers
75 views

How is Riemann–Stieltjes Integration insufficient for developing modern probability theory?

If we consider Riemann–Stieltjes integration then it can perfectly account for mixed probability distribution (a continuous R.V with some point mass). So why would we still need Lebesgue Integration ...
4
votes
0answers
211 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 ...
3
votes
0answers
19 views

Interchanging Malliavin derivative with Lebesgue integral

I am reading Oksendal's book "Malliavin calculus for Levy processes with application to finance". In the proof of Lemma 4.9 (page 47), the author interchanges the Malliavin derivative $D_t$ with the ...
3
votes
0answers
63 views

Calculate $\lim\limits_{n \to \infty} \int_0^1 \frac{n^p x^r\log x}{1 + n^2 x^2}dx$

The problem is to find an integrable function that bounds $f_n(x) = \frac{n^p x^r \log x}{1 + n^2 x^2}$ where $r>0$, $p<\min \{2,1+r\}$ so we can calculate $$\lim_{n \to \infty} \int_0^1 ...
3
votes
0answers
68 views

Solution of $\int_0^{\pi} \frac{ y \cos y}{s^2+y^2} dy$

Is there a solution for the following integral (even in terms of Bessel or Struve functions)? $$ \int_0^{\pi} \frac{ y \cos(y)}{s^2+y^2} \,dy $$
3
votes
0answers
142 views

Dense subset of $L^p[a,b]$

It is true that $C_{0}^{\infty}[a,b]$, (the space of all smooth functions f with the property that f and all its derivatives vanish at a and b) is dense in $L^p[a,b]$ with $1\leq p< \infty$ ? ...
3
votes
0answers
60 views

Integration over a variety

If $ M $ is a differentiable manifold equipped with an Atlas $ \mathcal{A} = ( U_i , \varphi_i )_{ i \in I} $, we can then calculate the integral of a differential form $ \omega $ over $ M $ with the ...
3
votes
0answers
114 views

Upper Lebesgue sum with a new partition

Assume we have a $f$ from $R$ to $[0, \infty)$, which is Lebesgue integrable. Show that there exists a sequence of bi-infinite partitions $Y_n$ of the $y$-axis for which the Lebesgue upper sum is ...
3
votes
0answers
36 views

Riemannian Volume vs. Euclidean Volume

If $M$ is a Riemannian manifold and $\phi$ is a Borel measurable function into $M$, then what is the relationship between $\int_M \phi \,d\mu$ and $\int_{\mathbb{R}^d} \psi\circ \phi\, d\lambda$; ...
3
votes
0answers
50 views

Integrating a function of measures

I've been reading John Baez's series of posts on Information Geometry. I'm currently on part 6... Midway through the post he discusses Radon-Nikodym derivatives: The formula for information gain ...
3
votes
0answers
50 views

Reversing an “inverse Fourier transform”

Let $g$ be the Fourier transform of an unknown function $y\in L_1(-\infty,\infty)$:$$g(\lambda)=\int_{\mathbb{R}}y(x)e^{-i\lambda x}d\mu_x$$Let $f$ be defined as ...
3
votes
0answers
38 views

Measurability of $f:X\times Y\to\mathbb{K}$ and $f(-,y):X\to\mathbb{K}$

Let $(X,\mu_x)$ and $(Y,\mu_y)$ be two measure spaces endowed with $\sigma$-additive compete measures $\mu_x$ and $\mu_y$, respectively. Let $\mu:=\mu_x\otimes\mu_y$ be the Lebesgue extension of ...
3
votes
0answers
123 views

Equivalence of Lebesgue integral definitions

I'm currently enrolled in a course in integration and functional analysis following Avner Friedman's Foundations of Modern Analysis. However, I noticed that his definition of the Lebesgue integral is ...
3
votes
0answers
66 views

Prove that there exists a continuous increasing function $\sigma(x)$ on $I$ such that $\sigma'(x) = + \infty$ for every $x_0 \in E$.

Let $I = [a, b], E \subset I, m(E) = 0$ (but $E$ not empty). Prove that there exists a continuous increasing function $\sigma(x)$ on $I$ such that $\sigma'(x) = + \infty$ for every $x_0 \in E$. I am ...
3
votes
0answers
88 views

Strong Integral

Is there a strong(!) notion of integral that can face all of those issues: Singularities Decay Modes Oscillations Measure Spaces Locally Convex Spaces For example combining decay modes with ...
3
votes
0answers
182 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
votes
0answers
37 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
91 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
votes
0answers
97 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
votes
0answers
83 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 ...
3
votes
0answers
258 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
404 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 ...
2
votes
0answers
25 views

Application of Leibniz rule for Lebesgue integral

Consider the real-valued random variables $X,Y$ defined on the same probability space $(\Omega, \mathcal{F}, \mathbb{P})$. Consider the function $f\colon\mathbb{R}\rightarrow [0,\infty)$. Let ...
2
votes
0answers
30 views

Dense subspaces of the space $L^p(0,T;X)$

Given a Banach space $X$ and $1\leq p<\infty$, let's define the space $L^p(0,T;X)$ as the set of all strongly measurable functions $f:(0,T)\mapsto X$ such that $$\int_0^T\Vert ...
2
votes
0answers
52 views

$1 = \int f(x) \ dx$, by definition, or by Lebesgue's theorem?

We have that (in the context of Lebesgue integration)$$\lim_{n \rightarrow \infty} \int_{-\infty}^n f(x) \ dx = 1$$ I wish to show that this implies $\int_{-\infty}^\infty f(x) \ dx = 1$. Is this true ...
2
votes
0answers
28 views

Expectation of a random vector and Fubini's theorem

I have a question related to the definition of expectation of a random vector, in particular, to its relation (if any) with Fubini's Theorem. Consider the random vector $X:=(X_1,X_2,X_3)$ of ...
2
votes
0answers
45 views

Showing Lebesgue's definition of measure implies measurability

19. Let $\mu^*$ be an outer measure on $X$ induced from a finite premeasure $\mu_0$. If $E \subset X$, define the inner measure of $E$ to be $\mu_*(E) = \mu_0(X) - \mu^*(E^c)$. Then $E$ is ...
2
votes
0answers
29 views

Integration by parts for Dirac measure

We know that Dirac measure is defined by $$\delta_x(A)= \begin{cases} 1 &\text{if $x \in A$}\\ 0 &\text{if $x \notin A$}\\ \end{cases}$$ We know that $\int_a^b f(y) \, d\delta_x(y)=f(x),$ if ...
2
votes
0answers
26 views

How to use dominated convergence on $\lim_{t \to \infty}\int_{(0, \infty)} \frac{1-e^{-tx}(x \ sin t + \cos t)}{1+x^2}d \lambda_1(x) $?

I find it hard to find an appropriate dominating function for the integral $$I:=\lim_{t \to \infty}\int_{(0, \infty)} \frac{1-e^{-tx}(x \ sin t + \cos t)}{1+x^2}d \lambda_1(x), \ t > 0 $$ ...
2
votes
0answers
29 views

Mathematical expectation of $F_\xi(\xi)$

Consider $F$ as a distribution function of some random variable $\xi$. The problem I'm trying to solve is to find integral: $$ \int_{-\infty}^{+\infty}F(x)dF(x) $$ From what I see, there are two ways ...
2
votes
0answers
39 views

Averages of integral and$ L^p$ space problem

Let $f: \mathbb R \to \mathbb R$ be an integrable function, for each $h>0$ let $$f_h(t)=\dfrac{1}{h}\int_{t-\frac{h}{2}}^{t+\frac{h}{2}}f(x)dx$$ Suppose $f \in L^P$, prove the following (1) $f_h ...
2
votes
0answers
46 views

Change of variable for integration with respect to Haar measure

I know how to estimate the integral \begin{gather} \int f(Ub)\mu(U), \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ [1] \end{gather} where $f:S^n(\mathbb{R})\to \mathbb{R}$ ...
2
votes
0answers
44 views

Product Measures and Fubini's Theorem

Let $\left(X,M,\mu\right)$ be a measurable space, $f: X \rightarrow \left[0,\infty\right] $ and $$\omega_{f}=\left\{\left(x,t\right)\in X\times \left[0,\infty\right]\::\:0\leq t\leq f(x)\right\}$$ ...
2
votes
0answers
34 views

Is it always true that $\sum^{\infty}a_{i}1_{A_{i}}-\sum^{\infty}b_{i}1_{B_{i}}=\sum^{\infty}c_{i}1_{C_{i}}$?

Suppose $\sum^{\infty}a_{i}1_{A_{i}}\geq \sum^{\infty}b_{i}1_{B_{i}}$, where $a_{i},b_{i}\geq 0$ and the sets possibly intersect i.e. $A_{i}\cap A_{j}\neq \varnothing $ and same with $B_{i}$. Is it ...
2
votes
0answers
46 views

Dilation of Real Valued Lebesgue Integral

Below is a statement of a question I've been struggle to understand; I also attached a proof below the statement. I feel that it's a very incomplete and inaccurate proof right off the bat. If anyone ...
2
votes
0answers
30 views

Prove that the measure of the image of a continuous, differentiable function is equal to $\int_Eg'(x)$.

Problem: Assume that a real-valued function $g$ is continuous and differentiable on an open interval containing $[0,1]$, an assume that there exist constants $c_1$ and $c_2$ such that $0 < c_1 \le ...