Questions tagged [lebesgue-integral]

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

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139
votes
3answers
75k views

$L^p$ and $L^q$ space inclusion

Let $(X, \mathcal B, m)$ be a measure space. For $1 \leq p < q \leq \infty$, under what condition is it true that $L^q(X, \mathcal B, m) \subset L^p(X, \mathcal B, m)$ and what is a counterexample ...
94
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8answers
37k views

Lebesgue integral basics

I'm having trouble finding a good explanation of the Lebesgue integral. As per the definition, it is the expectation of a random variable. Then how does it model the area under the curve? Let's take ...
44
votes
8answers
5k views

Why do we restrict the definition of Lebesgue Integrability?

The function $f(x) = \sin(x)/x$ is Riemann Integrable from $0$ to $\infty$, but it is not Lebesgue Integrable on that same interval. (Note, it is not absolutely Riemann Integrable.) Why is it we ...
39
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8answers
4k views

How much do we really care about Riemann integration compared to Lebesgue integration?

Let me ask right at the start: what is Riemann integration really used for? As far as I'm aware, we use Lebesgue integration in: probability theory theory of PDE's Fourier transforms and really, ...
33
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2answers
2k views

Category Theory and Lebesgue Integration.

I'm wondering if there's any Category Theory floating around in the theory of Lebesgue Integration. To avoid things becoming too broad, let's keep this focused on the basics. Here's how I see the ...
27
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3answers
6k views

Functions that are Riemann integrable but not Lebesgue integrable

I know there are functions which are Riemann integrable but not Lebesgue integrable, for instance, $$\int_{\mathbb{R}} \frac{\sin(x)}{x} \mathrm{d}x$$ Is Riemann integrable and it is easily shown ...
24
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4answers
19k views

Is Dirichlet function Riemann integrable?

"Dirichlet function" is meant to be the characteristic function of rational numbers on $[a,b]\subset\mathbb{R}$. On one hand, a function on $[a,b]$ is Riemann integrable if and only if it is bounded ...
22
votes
5answers
1k views

Is there a fundamental reason that $\int_b^a = -\int_a^b$

Is there a fundamental reason that switching the order of the limits in an integral results in the negative, i.e., $$\int_b^af(x)\,dx = -\int_a^bf(x)\,dx?$$ As far as I can tell, this is just chosen ...
22
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3answers
1k views

If $\int_{\mathbb R^2} \frac{\vert f(x)-f(y)\vert}{\vert x-y\vert^2}dxdy<+\infty$ then $f$ is a.e. constant

Let $f \in L^1(\mathbb R)$. If $$ \int_\mathbb R \int_\mathbb R \frac{\vert f(x)-f(y)\vert}{\vert x-y\vert^2}dxdy<+\infty $$ then $f$ is a.e. constant. I do not know how to begin. I thought ...
22
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3answers
651 views

Is there a set $A \subset [0,1]$ such that $\int_{A \times A^\text{c}} \frac{\mathrm{d} x \, \mathrm{d} y}{\lvert x - y\vert}=\infty$?

The above question came up when I was trying to find a counterexample related to this problem. Clearly, the integral of $(x,y) \mapsto \lvert x-y \rvert^{-1}$ over $[0,1]^2$ is divergent. When ...
21
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2answers
4k views

A snappy proof of Fatou's lemma

I'm studying basic real analysis and stumbled across three big results (Fatou's lemma, Lebesgue's Dominated Convergence theorem, and the Monotone Convergence theorem) in the theory of Lebesgue ...
20
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2answers
9k views

Generalisation of Dominated Convergence Theorem

Wikipedia claims, if $\sigma$-finite the Dominated convergence theorem is still true when pointwise convergence is replaced by convergence in measure, does anyone know where to find a proof of this? ...
20
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0answers
24k 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 ...
18
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6answers
13k views

If $\int_0^x f \ dm$ is zero everywhere then $f$ is zero almost everywhere

I have been thinking on and off about a problem for some time now. It is inspired by an exam problem which I solved but I wanted to find an alternative solution. The object was to prove that some ...
18
votes
2answers
570 views

Show that if the integral of function with compact support on straight line is zero, then $f$ is zero almost everywhere

I want to prove that that given $f:R^2 \rightarrow R$ which is continuous with compact support s.t the integral of $f$ for every straight line $l$ is zero ($\int f(l(t))\mathrm{d}t=0$) then $f$ is ...
18
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1answer
2k 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 $t \to f(x, t)$ ...
18
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1answer
2k 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 ...
17
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3answers
6k views

General condition that Riemann and Lebesgue integrals are the same

I'd like to know that when Riemann integral and Lebesgue integral are the same in general. I know that a bounded Riemann integrable function on a closed interval is Lebesgue integrable and two ...
17
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1answer
1k views

Why is the Monotone Convergence Theorem more famous than it's stronger cousin?

I am reading Stein & Shakarchi. On page 62 we have the Monotone Convergence Theorem: Suppose $\{f_n\}$ is a sequence of non-negative measurable functions with $f_n\nearrow f.$ Then $\...
16
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3answers
2k views

How to decide whether Lebesgue integral or Riemann integral?

Very often I feel very uncomfortable in dealing with integrals, since I am wondering whether the given integral is meant as a (improper) Riemann integral or Lebesgue integral? For instance, the ...
16
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3answers
4k views

Can a function that has uncountable many points of discontinuity be integrable?

First of all, I would like to show you how we defined Riemann-integrals and Lebesgue-integrals to make sure that we are talking about the same: Riemann-intregrability Let $f:\mathbb{R} \rightarrow \...
16
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1answer
7k views

If a function is Riemann integrable, then it is Lebesgue integrable and 2 integrals are the same?

Is is true that if a function is Riemann integrable, then it is Lebesgue integrable with the same value? If it's true, how to prove it? If it's false, what is a counterexample?
16
votes
1answer
540 views

If $f$ is Lebesgue integrable on $[0,2]$ and $\int_E fdx=0$ for all measurable set E such that $m(E)=\pi/2$. Prove or disprove that $f=0$ a.e.

Let $f$ be a Lebesgue integrable function on $[0,2]$. If $\int_E fdx=0$ for all measurable set $E$, such that $m(E)=\pi/2$. Is $f=0$ a.e. Prove or disprove I could not figure out anything. Can a ...
16
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1answer
557 views

Practicality of the Lebesgue integral

I am getting pretty frustrated with the Lebesgue integral mainly because it seems highly impractical to calculate anything non-trivial. Whenever I look for a concrete calculation all I see are ...
16
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1answer
480 views

When is $\int_0^1 \int_0^1 \frac{f(x) - f(y)}{x-y} \, \text{d} x \, \text{d} y = 2 \int_0^1 f(t) \log\left(\frac{t}{1-t}\right) \, \mathrm{d} t$?

Double integrals of this type sometimes appear when using differentiation under the integral sign with respect to two variables. Therefore, I am interested in reducing them to (simpler) single ...
15
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3answers
2k views

Intuitively understanding Fatou's lemma

I learnt Fatou's lemma a while ago. I am able to prove it and use it. I know examples showing that the inequality may be strict. But I don't really have an intuitive way to understand it. Any good ...
15
votes
2answers
1k views

Does the graph of a measurable function always have zero measure?

Question: Let $(X,\mathscr{M},\mu)$ be a measure space and $f\colon X \to [0,+\infty[$ be a measurable function. If ${\rm gr}(f) \doteq \{ (x,f(x)) \mid x \in X \}$, then does it always satisfy $$(\mu ...
15
votes
3answers
7k views

Integral vanishes on all intervals implies the function is a.e. zero [duplicate]

I am having trouble with the following problem: $f:\mathbb{R}\to \mathbb{R}$ is a measurable function such that for all $a$: $$\int_{[0,a]}f\,dm=0.$$ Prove that $f=0$ for $m$ almost every $x$ (...
15
votes
2answers
1k views

Various $p$-adic integrals

Here are three (possibly different) definitions of $p$-adic integrals that I have encountered during my self-studies. First of all, here is what Vladimirov, Volovich and Zelenov write at the beginning ...
15
votes
1answer
1k views

Holder's inequality for infinite products

In analysis, Holder's inequality says that if we have a sequence $p_1, p_2, \ldots, p_n$ of real numbers in $[1,\infty]$ such that $\sum_{i=1}^n \frac{1}{p_i} = \frac{1}{r}$, and a sequence of ...
14
votes
3answers
6k views

Why is expectation defined by $\int xf(x)dx$?

I recently found out that the expectation of a random variable $X$ in a probability space $(\Omega, \mathcal F, \mathbb P)$, $\mathbb E(X)$, is just the term used in probability theory for the ...
13
votes
3answers
6k views

A function that is Lebesgue integrable but not measurable (not absurd obviously)

I think: A function $f$, as long as it is measurable, though Lebesgue integrable or not, always has Lebesgue integral on any domain $E$. However Royden & Fitzpatrick’s book "Real Analysis" (4th ...
13
votes
2answers
564 views

$f>0$ on $[0,1]$ implies $\int_0^1 f >0$

Someone made the remark on my old question (second-to-last comment on the answer from here) that a integrable function $f>0$ on $[0,1]$ does not imply $\int_0^1 f >0$ since limits do not ...
13
votes
2answers
5k views

The Lebesgue integral of an integrable function is continuous

Let $a\in \mathbb{R}$ be fixed, and $f:\mathbb{R}\rightarrow \mathbb{R}$ a Lebesgue integrable function. Define $F:\mathbb{R}\rightarrow \mathbb{R}$ by $$F(x)=\int_a^xf(t)\mathrm{d}t$$ for all $t\in \...
13
votes
1answer
220 views

$L^2(\mathbb{R})$ sequence such that $\sum_{n=1}^{\infty}\int_{\mathbb{R}}f_n(x)g(x)d\mu(x)=0$

I am currently studying for an analysis qualifying exam, and this problem has been bothering me: Suppose we have a sequence $\{f_n\}$ in $L^2(\mathbb{R})$ such that $\sum_{n=1}^{\infty}||f_n||_2^2<\...
12
votes
3answers
3k views

Prove that $f$ is integrable if and only if $\sum^\infty_{n=1} \mu(\{x \in X : f(x) \ge n\}) < \infty$

Problem statement: Suppose that $\mu$ is a finite measure. Prove that a measurable, non-negative function $f$ is integrable if and only if $\sum^\infty_{n=1} \mu(\{x \in X : f(x) \ge n\}) < \infty$....
12
votes
2answers
5k views

Why is the Monotone Convergence Theorem restricted to a nonnegative function sequence?

Monotone Convergence Theorem for general measure: Let $(X,\Sigma,\mu)$ be a measure space. Let $f_1, f_2, ...$ be a pointwise non-decreasing sequence of $[0, \infty]$-valued $\Sigma-$measurable ...
12
votes
1answer
195 views

Does $f_n \to 0$ in $L^1(\mathbb R^2)$ imply that $f_{n_k}(x,\cdot)\to 0$ in $L^1(\mathbb R)$ for almost every $x \in \mathbb R$?

I would like to know what you think about this question. It is a "self-posed" question: I formulated it while I was doing an exercise. Suppose you have $(f_n)_{n\ \in \mathbb N}\subset L^1(\mathbb ...
12
votes
1answer
3k views

A rigorous meaning of “induced measure”?

In my readings I often come across terms like "induced measure" or "induced Lebesgue measure". For example: $$\int_{\mathbb{B}^n}u\frac{\partial v}{\partial x_j}\;dx = \int_{\mathbb{S}^{n-1}}uv\...
12
votes
1answer
3k views

Suppose $1\le p < r < q < \infty$. Prove that $L^p\cap L^q \subset L^r$.

Suppose $1\le p < r < q < \infty$. Prove that $L^p\cap L^q \subset L^r$. So suppose $f\in L^p\cap L^q$. Then both $\int |f|^p d\mu$ and $\int|f|^q d\mu$ exist. For each $x$ in the domain of $...
12
votes
1answer
2k views

The integral of a characteristic function with respect to a product measure.

Problem: Let $ (X,\mathcal{A},\mu) $ and $ (Y,\mathcal{B},\nu) $ be measure spaces, where $ X = Y $ is the interval $ [0,1] $, $ \mathcal{A} = \mathcal{B} $ is the collection of Borel ...
12
votes
1answer
1k views

Is there a general theory of the “improper” Lebesgue integral?

I like the Lebesgue integral a lot more than the other alternatives, because of its connections to measure theory; it's a way of thinking about integration that's as "liberated" from the structure of ...
12
votes
2answers
748 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 ...
11
votes
3answers
504 views

Evaluating a Lebesgue Integral

I have the following integral: $$\lim_{n \to \infty} \int_{0}^{1} \frac{n\sqrt{n}x}{1+n^2x^2} \, \mathrm{d}x $$ To use the dominated convergence theorem I know that limit of $f_n$ is $0$ and $|f_n|&...
11
votes
1answer
426 views

$\int_X |f_n - f| \,dm \leq \frac{1}{n^2}$ for all $n \geq 1$ $\implies$ $f_n \rightarrow f$ a.e.

Let $(X, M, m)$ be an arbitrary measure space. Let $f_n, f \in L^1_m(X)$. Assume that $$\int_X |f_n - f| \, dm \leq \frac{1}{n^2} \text{ for all }n \geq 1. $$ Then I want to show that $f_n \...
11
votes
2answers
10k views

Bounded convergence theorem

Suppose that $f_n$ is a sequence of measurable functions that are all bounded by M, supported on a set E of finite measure, and $f_n(x)\to f(x)$ a.e. x as $n\to \infty$. Then f is measurable, bounded, ...
11
votes
1answer
218 views

Convergence of a series of translations of a Lebesgue integrable function

Let $f: \mathbb{R} \rightarrow \mathbb{R}$ be a Lebesgue integrable function. Prove that $$\sum_{n=1}^{\infty} \frac{f(x-\sqrt{n})}{\sqrt{n}}$$ converges almost for every $x \in \mathbb{R}$. My ...
11
votes
0answers
345 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 H_0^...
11
votes
0answers
638 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 \...
10
votes
3answers
12k views

What does it mean to be an $L^1$ function?

I am struggling to understand what the space $L^1$ is, and what it means for a function to be $L^1$. A friend told me that a function $f$ is $L^1$ if $\int_\mathbb{R} |f|$ is finite. It is $L^2$ if $(...

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