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I had just learned in measure theory class about the monotone convergence theorem in this version:

For every monotonically increasing sequence of functions $f_n$ from measurable space $X$ to $[0, \infty]$, $$ \text{if}\quad \lim_{n\to \infty}f_n = f, \quad\text{then}\quad \lim_{n\to \infty}\int f_n \, \mathrm{d}\mu = \int f \,\mathrm{d}\mu . $$

I tried to find out why this theorem apply only for a Lebesgue integral, but I didn't find a counter example for Riemann integrals, so I would appreciate your help.

(I guess that $f$ might not be integrable in some cases, but I want a concrete example.)

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Riemann integrable functions (on a compact interval) are also Lebesgue integrable and the two integrals coincide. So the theorem is surely valid for Riemann integrals also.

However the pointwise increasing limit of a sequence of Riemann integrable functions need not be Riemann integrable. Let $(r_n)$ be an ennumeration of the rationals in $[0,1]$, and let $f_n$ be as follows:

$$f_n(x) = \begin{cases} 1 & \text{if $x \in \{ r_0, r_1, \dots, r_{n-1} \}$} \\ 0 & \text{if $x \in \{ r_n, r_{n+1}, \dots \}$} \\ 0 & \text{if $x$ is irrational} \\ \end{cases}$$

Then the limit function is nowhere continuous, hence not Riemann integrable.

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    $\begingroup$ I think the problem is more the other way round. If you start with a sequence of Riemann integrable functions $(f_n)_{n\in\mathbb{N}}$ that converges point-wise to $f$. Is $f$ again Riemann integrable? And what about the szenario where you are not on a compact interval? $\endgroup$ – Nathanael Skrepek Nov 29 '19 at 9:53
  • $\begingroup$ @NathanaelSkrepek Thank you. I have given a counter-example for the domain $[0,1]$. $\endgroup$ – Kavi Rama Murthy Nov 29 '19 at 10:02
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Here is a version of the Monotone convergence theorem for Riemann integrals that can be proved without referring to measure theory:

Theorem. Let $\{f_n\}$ be a nondecreasing sequence of Riemann integrable functions on $[a,b]$ converging pointwise to a Riemann integrable function $f$ on $[a,b]$. Then $$ \lim_{n\to \infty}\int_a^b f_n(x)\,dx=\int_a^b f(x)\,dx. $$

An elementary proof is given in this paper.

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    $\begingroup$ thanks! so I guess that I'm looking for an concrete example of monotonic series of positive riemann integrable functions whose limit is not riemann integrable. $\endgroup$ – Amit Keinan Nov 29 '19 at 9:59
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    $\begingroup$ @AmitKeinan I have given such an example in my answer. $\endgroup$ – Kavi Rama Murthy Nov 29 '19 at 10:02
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    $\begingroup$ Look at this question. $\endgroup$ – d.k.o. Nov 29 '19 at 10:03

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