M.Sc.

Course
in
Applied Mathematics with Oceanology
and
Computer Programming
Part-I
Paper-I-A
Unit 1.6
Real Analysis
(Lebesgue Integral)

Unit Structure:
6.1 Introduction
6.2 Objective
6.3 Lebesgue Integral
6.4 Properties of Lebesgue Integral
6.5 Lebesgue Integral for Unbounded Functions
6.6 Some Important Theorems
6.7 Unit Summary
6.8 Self Assessment Questions
6.9 References or Bibliography

6.1 Introduction
∫b
The Riemann integral f (x)dx is simple to describe and serves all needs of elementary calculus. This
a
integral exists only for functions which are either continuous or else do not have too many points of
discontinuity. In fact if f (x) has discontinuities everywhere or if f (x) is defined on an abstract set then
Riemann integral does not exist. For such functions we need another fully developed notion of integral
which is more flexible than the notion of the Riemann integral. ln 1902, Lebesgue gave a definition of
measure for point sets and applied this notion of measure theory to develop a new integral more general
than the Riemann integral. To honor Lebesgue, this it1tegral is known as Lebesgue integral.

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6.2 Objective
An extension of Riemann integral is introduced by Lebesgue and is known as Lebesgue integral. It permits
integral for more general functions as integrands. Also it can treat both bounded as well as unbounded
functions. Further it enables us to integrate functions which are defined not only on a finite interval [a, b]
but also over any set A of finite measure. The Lebesgue integral also gives more satisfying convergence
theorems than Riemann integral. If a sequence of functions {fn (x)} converges pointwise to a limit function
f (x) on [a, b], it is desirable to conclude that

∫b ∫b
lim fn (x)dx = f (x)dx
n→∞
a a

with a minimum of additional hypotheses. In Lebesgue integral we have tl1e famous Lebesgue dominated
convergence theorem, which permits term-by-term integration if each {fn (x)} is Lebesgue integrable and
if the sequence is dominated by a Lebesgue integrable function. This theorem is true for Lebesgue integral
only and is not true for Riemann integral. In fact it is seen that the class of all Riemann integrable
functions is quite small in comparison with the class of all Lebesgue integrable functions.

6.3 Lebesgue Integral

Def. 6.3.1 (Measurable Partition) Let f (x) be any bounded function defined on the closed finite interval
[a, b]. A partition P = {A1 , A2 , . . . , An } of [a, b] is called a measurable partition of [a, b] if

(i) A1 , A2 , . . . , An are measurable subsets of [a, b],

∪
n
(ii) Ai = [a, b] and
i=1

(iii) µ(Ai ∩ Aj ) = 0 for i ̸= j.

Def. 6.3.2 (Upper and Lower Lebesgue Integral, Lebesgue Integral) For any measurable partition
P = {A1 , A2 , . . . , An } of [a, b], we define

∑
n
( )
U (P, f ) = sup f (x) µ(Ai )
i=1 x∈Ai

and
∑
n
( )
L(P, f ) = inf f (x) µ(Ai )
x∈Ai
i=1

as the upper and lower Lebesgue sums of the function f (x) corresponding to the partition P of [a, b].
Let M = sup f (x) and m = inf f (x). Then for any measurable partition P = {A1 , A2 , . . . , An } of
x∈[a,b] x∈[a,b]
[a, b], we have
m ≤ inf f (x) ≤ sup f (x) ≤ M
x∈Ai x∈Ai

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i.e. m µ([a, b]) ≤ inf f (x) µ([a, b]) ≤ sup f (x) µ([a, b]) ≤ M µ([a, b])
x∈Ai x∈Ai

i.e. m(b − a) ≤ L(P, f ) ≤ U (P, f ) ≤ M (b − a) (6.1)

Let P be the set of all measurable partitions of [a, b]. Then from (6.1) it is clear that sup{L(P, f ) : P ∈ P}
∫b ∫b
and inf{U (P, f ) : P ∈ P} both exist and they are denoted respectively by L f (x)dx and L f (x)dx and
a a
are called respectively as lower Lebesgue Integral and upper Lebesgue Integral. We can easily show that
∫b ∫b
L f (x)dx ≤ L f (x)dx.
a a
∫b ∫b
A bounded function f (x) defined on [a, b] is said to be Lebesgue Integrable if L f (x)dx = L f (x)dx.
a a
∫b ∫b
If L f (x)dx ̸= L f (x)dx, then f (x) is said to be not Lebesgue Integrable. The fact that f is Lebesgue
a a
∫b
Integrable is expressed by writing f ∈ L[a, b] and the Lebesgue Integral is denoted by L f (x)dx, i.e.
a
∫b ∫b ∫b
L f (x)dx = L f (x)dx = f (x)dx.
a a a

∫b ∫b
Theorem 6.1 L f (x)dx ≤ L f (x)dx.
a a

Theorem 6.2 Every bounded Riemann integrable function is Lebesgue integrable and the two integrals are
equal.

Proof. Let f be the bounded function which is Riemann integrable on [a, b]. Then we have

∫b ∫b ∫b
f (x)dx = f (x)dx = f (x)dx (6.2)
a a a

Let P ′ = {a = x0 , x1 , . . . , xn = b} be any partition of the interval [a, b] and P ′ be the collection of all such
possible partitions of [a, b]. We can write the partition P ′ as {[x0 , x1 ], [x1 , x2 ], . . . , [xn−1 , xn ]}.
∪n
We note that [xi−1 , xi ] = [a, b] and µ([xi−1 , xi ] ∩ [xj−1 , xj ]) = 0 for all i ̸= j. Hence, P ′ is also a
i=1
measurable partition of [a, b].
Let P = {A1 , A2 , . . . , An } be any measurable partition of [a, b] and P be the set of all measurable
partitions of [a, b]. Then P ′ ⊆ P i.e. all partitions involved in the Riemann integral is a subset of all
partitions involved in Lebesgue integral.
Therefore,
sup{L(P ′ , f ) : P ′ ∈ P ′ } ≤ sup{L(P, f ) : P ∈ P}
and
inf{U (P, f ) : P ∈ P} ≤ inf{U (P ′ , f ) : P ′ ∈ P ′ }.
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i.e.
∫b ∫b ∫b ∫b
f (x)dx ≤ L f (x)dx and L f (x)dx ≤ f (x)dx.
a a a a
But we have
∫b ∫b
L f (x)dx ≤ L f (x)dx.
a a
Thus,
∫b ∫b ∫b ∫b
f (x)dx ≤ L f (x)dx ≤ L f (x)dx ≤ f (x)dx (6.3)
a a a a

Using (6.2), we have from (6.3)

∫b ∫b ∫b
f (x)dx = L f (x)dx = L f (x)dx
a a a

∫b
This shows that f (x) is Lebesgue integrable on [a, b] and the value of the Lebesgue integral is f (x)dx.
a
Hence, f (x) is Lebesgue integrable on [a, b] if it is Riemann integrable on [a, b] and the two integrals are
equal.
The following example shows that the converse of the above theorem is not true.
Example{ 6.3.1 Let us consider the function f : [1, 6] → R defined by
3 when x is rational in [1, 6]
f (x)=
4 when x is rational in [1, 6].
Then f is not Riemann integrable on [1, 6] but is Lebesgue integrable on [1, 6].
We first show that f is not Riemann integrable on [1, 6]. For this let P = {1 = x0 , x1 , x2 , . . . , xn = 6}
be any partition of [1, 6]. Then we have
∑
n
U (P, f ) = sup f (x)∆xi
i=1 x∈[xi−1 ,xi ]
∑n
= 4(xi − xi−1 )
i=1
= 4(6 − 1) = 20
and
∑
n
L(P, f ) = inf f (x)∆xi
x∈[xi−1 ,xi ]
i=1
∑n
= 3(xi − xi−1 )
i=1
= 3(6 − 1) = 15.
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∫6 ∫6
Since U (P, f ) = 20 and L(P, f ) = 15 for all partitions P of [1, 6], we have f (x)dx = 20 ̸= 15 = f (x)dx.
1 1
Hence, f is not Riemann integrable on [1, 6].
Now we show that f is Lebesgue integrable on [1, 6].
Let P1 = {A1 , A2 } where A1 = the set of all rational numbers in [1, 6] and A2 = the set of all irrational
numbers in [1, 6]. Then A1 ∪ A2 = [1, 6] and µ(A1 ∩ A2 ) = 0. Therefore P1 is a measurable partition of
[1, 6].
Now, µ(A1 ) = 0 and µ(A2 ) = µ([1, 6]) − µ(A1 ) = 6 − 1 − 0 = 5.
Therefore,

U (P1 , f ) = sup f (x) µ(A1 ) + sup f (x) µ(A2 )

x∈A1 x∈A2
= 3.0 + 4.5 = 20

and

L(P1 , f ) = inf f (x) µ(A1 ) + inf f (x) µ(A2 )

x∈A1 x∈A2
= 3.0 + 4.5 = 20.

Hence we have for any measurable partition P of [1, 6],

20 = L(P1 , f ) ≤ sup{L(P, f ) : P ∈ P} ≤ inf{U (P, f ) : P ∈ P} ≤ U (P1 , f ) = 20

∫6 ∫6
This shows that L f (x)dx = L f (x)dx = 20. Hence f is Lebesgue integrable on [1, 6] and the value of
1 1
the integral is 20.
The following theorem give a necessary and sufficient condition for a function f to be Lebesgue integrable.

Theorem 6.3 A bounded function f is Lebesgue integrable in [a, b] if and only if for every ε > 0 there
exists a measurable partition P of [a, b] such that

U (P, f ) − L(P, f ) < ε.

Proof. Let f be Lebesgue integrable on [a, b]. So we have,

∫b ∫b ∫b
L f (x)dx = L f (x)dx = L f (x)dx (6.4)
a a a

Let us choose ε > 0. Then there exist measurable partitions P1 and P2 of [a, b] such that

∫b ∫b
ε ε
L(P1 , f ) > L f (x)dx − = L f (x)dx −
2 2
a a

∫b ∫b
ε ε
and U (P2 , f ) < L f (x)dx + = L f (x)dx + [by (6.4)]
2 2
a a
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Let P = P1 ∪ P2 . Then

∫b
ε ε ε
U (P, f ) ≤ U (P2 , f ) < L f (x)dx + < L(P1 , f ) + + ≤ L(P, f ) + ε
2 2 2
a

Therefore, U (P, f ) − L(P, f ) < ε.

Let ε > 0 be pre-assigned and P be a measurable partition such that U (P, f ) − L(P, f ) < ε.
For this measurable partition P we have

∫b ∫b
L(P, f ) ≤ L f (x)dx ≤ L f (x)dx ≤ U (P, f )
a a

∫b ∫b
i.e. 0 ≤ L f (x)dx − L f (x)dx ≤ U (P, f ) − L(P, f ) < ε
a a

This is true for every ε > 0. So letting ε → 0, we have

∫b ∫b
L f (x)dx − L f (x)dx = 0
a a

∫b ∫b
i.e. L f (x)dx = L f (x)dx.
a a

This shows that f is Lebesgue integrable on [a, b].

The following theorem shows that all bounded measurable functions are Lebesgue integrable. As almost
all functions that we come across are measurable it follows by this theorem that most of the functions that
we deal with are Lebesgue integrable.

Theorem 6.4 Every bounded measurable function on [a, b] is Lebesgue integrable on [a, b].

Proof. Let f be a bounded measurable function [a, b]. So there exists real numbers m and M such that

m ≤ f (x) ≤ M for all x ∈ [a, b].

Let ε > 0 be given. Then there exists a finite number of points y0 , y1 , y2 , . . . , yn such that

(i) yk − yk−1 < ε

b−a for each k = 1, 2, . . . , n and

(ii) m = y0 < y1 < . . . < yn = M .

For each k = 1, 2, . . . , n, we define Ak as follows

Ak = {x ∈ [a, b] : yk−1 ≤ f (x) < yk }.

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∪
n
Then each Ak is measurable and Ak = [a, b] and µ(Ai ∩ Aj ) = 0 for all i ̸= j.
k=1
Therefore P = {A1 , A2 , . . . , An } is a measurable partition of [a, b].
So, sup{f (x) : x ∈ Ak } ≤ yk and inf{f (x) : x ∈ Ak } ≥ yk−1 .
Hence,
n (
∑ )
U (P, f ) = sup f (x) µ(Ak )
k=1 x∈Ak

∑n
≤ yk µ(Ak )
k=1

and
n (
∑ )
L(P, f ) = inf f (x) µ(Ak )
x∈Ak
k=1
∑n
≥ yk−1 µ(Ak )
k=1

Now,
∑
n
U (P, f ) − L(P, f ) ≤ (yk − yk−1 )µ(Ak )
k=1
∑n
ε
< µ(Ak )
b−a
k=1
ε ∑
n
= µ(Ak )
b−a
k=1
ε ∪n
= × µ( Ak )
b−a
k=1
ε
= × (b − a) = ε.
b−a
i.e. U (P, f ) − L(P, f ) < ε. This shows that f is Lebesgue integrable on [a, b].

6.4 Properties of Lebesgue Integral

Like Riemann integral the following properties can be easily proved for Lebesgue integral. Let f be a
bounded Lebesgue integral function defined on [a, b]. Then the following properties hold for f .

Theorem 6.5 Let f be Lebesgue integrable on [a, b] and a < c < b. Then f is Lebesgue integrable on [a, c]
and [c, b]. Also,
∫b ∫c ∫b
L f (x)dx = L f (x)dx + L f (x)dx.
a a c

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Theorem 6.6 Let f be Lebesgue integrable on [a, b] and k be a real number. Then kf is Lebesgue integrable
on [a, b] and
∫b ∫b
L kf (x)dx = k L f (x)dx
a a

Theorem 6.7 Let f and g be Lebesgue integrable on [a, b]. Then f + g is Lebesgue integrable and
∫b ∫b ∫b
L {f (x) + g(x)}dx = L f (x)dx + L g(x)dx.
a a a

Def. 6.4.1 (Almost Everywhere) Let X be a measurable space with measure µ and Y be a measurable
subset of X. We say a property P holds on Y almost everywhere w.r.t. the measure µ if the set
E = {x ∈ Y : P does not hold at x} is a measurable set in X and µ(E) = 0. We write this as P for a.e.
x(µ).
For example, if f : X → R is a function, then f (x) = 0 for a.e. x(µ) means that E = {x ∈ X : f (x) ̸= 0}
is a measurable set in X and µ(E) = 0.
The following theorems are very important and have wide applications.
Theorem 6.8 Let f be Lebesgue integrable function on [a, b] and g be a bounded function on [a, b] such that
∫b ∫b
f (x) = g(x) for a.e. x(µ) on [a, b]. Then g is also Lebesgue integrable on [a, b] and L f (x)dx = L g(x)dx.
a a

Proof. Since f is bounded and Lebesgue integrable function on [a, b], therefore f is a measurable
function on [a, b].
Also f (x) = g(x) for a.e. x(µ) on [a, b]. Hence g is a measurable function. Since g is bounded and
measurable therefore g is Lebesgue integrable on [a, b].
∫b ∫b
We now show that L f (x)dx = L g(x)dx.
a a
Let A = {x ∈ [a, b] : f (x) ̸= g(x)}. Then A is a measurable set in [a, b] and µ(A) = 0.
Let B = [a, b] − A. Then µ(B) = µ([a, b]) − µ(A) = b − a − 0 = b − a.
= g(x) for all x ∈ B. Let h(x) = f (x) − g(x).
Then f (x) {
0 f or x∈B
So, h(x)=
α(x) f or x ∈ A, where α(x) > 0.
Let P ′ = {A, B}. Then P ′ is a measurable definition of [a, b]. Now,
U (P ′ , h) = sup h(x).µ(A) + sup h(x).µ(B)
x∈A x∈B
= sup h(x).0 + 0.µ(B) = 0
x∈A

and
L(P ′ , h) = inf h(x).µ(A) + inf h(x).µ(B)
x∈A x∈B
= inf h(x).0 + 0.µ(B) = 0.
x∈A

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Thus
0 = L(P ′ , h) ≤ sup L(P, h) ≤ inf U (P, h) ≤ U (P ′ , h) = 0
P P

i.e. sup L(P, h) = inf U (P, h) = 0.

P P

∫b
This shows that h is Lebesgue integrable on [a, b] and the value of the integral is 0, i.e. L h(x)dx exists
a
and equal to 0.
Now,

∫b ∫b
L g(x)dx = L {h(x) + f (x)}dx
a a
∫b ∫b
=L h(x)dx + L f (x)dx
a a
∫b
=0+L f (x)dx
a
∫b
=L f (x)dx.
a

This completes the proof.

Theorem 6.9 If f is bounded and Lebesgue integrable function on [a, b] and if f (x) ≥ 0 for a.e. x(µ) on
∫b
[a, b], then L f (x)dx ≥ 0.
a

Proof. Let A = {x ∈ [a, b] : f (x) < 0}. Then A is a measurable set in [a, b] and µ(A) = 0.
Let B = [a, b] − A. Then µ(B) = µ([a, b]) − µ(A) = b − a − 0 = b − a.
Thus we have f (x) ≥ 0 for all x ∈ B and f (x) < 0 for all x ∈ A.
We now define a function F (x) on [a, b] such that

(i) F (x) ≥ 0 for all x ∈ [a, b],

(ii) F (x) = f (x) for all x ∈ B, and

(iii) F (x) ̸= f (x) for all x ∈ A.

Then F (x) = f (x) for a.e. x(µ) on [a, b]. Hence F is Lebesgue integrable on [a, b] and

∫b ∫b
L F (x)dx = L f (x)dx (6.5)
a a
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As F is Lebesgue integrable on [a, b], we have

∫b ∫b ∫b
L F (x)dx = L F (x)dx = L F (x)dx (6.6)
a a a

Let P = {A1 , A2 , . . . , An } be any measurable partition of [a, b]. Then

∑
n
U (P, F ) = F (x).µ(Ai ) ≥ 0 [since F (x) ≥ 0 for all x]
i=1

∫b
Therefore, L F (x)dx = inf U (P, F ) ≥ 0.
a P
∫b
i.e. L F (x)dx ≥ 0 [by (6.6)]
a
∫b
i.e. L f (x)dx ≥ 0 [by (6.5)].
a

Theorem 6.10 Let f and g be Lebesgue integrable functions on [a, b] and f (x) ≥ g(x) for a.e. x(µ) on
∫b ∫b
[a, b]. Then L f (x)dx ≥ L g(x)dx.
a a

Proof. Let h(x) = f (x) − g(x). Then h(x) ≥ 0 for a.e. x(µ) on [a, b].
∫b
Then by theorem 6.9 we have L h(x)dx ≥ 0.
a
∫b
i.e. L {f (x) − g(x)}dx ≥ 0,
a
∫b ∫b
i.e. L f (x)dx − L g(x)dx ≥ 0,
a a
∫b ∫b
i.e. L f (x)dx ≥ L g(x)dx.
a a

Theorem 6.11 If f is bounded and Lebesgue integrable on [a, b] then | f | is also Lebesgue integrable on
∫b ∫b
[a, b] and | L f (x)dx | ≤ L | f (x) |dx.
a a

Proof. Since f is bounded and Lebesgue integrable on [a, b], f is a measurable function on [a, b].
Let f + (x) = max{f (x), 0} and f − (x) = − min{f (x), 0}. Then | f (x) | = f + (x) + f − (x).
Since f is bounded and measurable on [a, b], it follows that f + (x) and f − (x) are also bounded and
measurable on [a, b]. Hence, | f (x) | is also bounded and measurable on [a, b]. Therefore, | f (x) | is
Lebesgue integrable on [a, b].
∫b ∫b
Now we show that, | L f (x)dx | ≤ L | f (x) |dx.
a a
For all x ∈ [a, b], we have f (x) ≤ | f (x) | and −f (x) ≤ | f (x) |.
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Therefore,
∫b ∫b
L f (x)dx ≤ L | f (x) |dx (6.7)
a a

and
∫b ∫b
−L f (x)dx ≤ L | f (x) |dx (6.8)
a a

From (6.7) and (6.8), we get

∫b ∫b ∫b
−L | f (x) |dx ≤ L f (x)dx ≤ L | f (x) |dx
a a a
∫b ∫b
i.e. | L f (x)dx | ≤ L | f (x) |dx.
a a

6.5 Lebesgue Integral for Unbounded Functions

Now we consider Lebesgue integral for unbounded functions.

Def. 6.5.1 Let f be a non-negative unbounded measurable function on [a, b]. To define the Lebesgue integral
of such function we take help of another function F (x, n) of x ∈ [a, b] and positive integer n defined as
follows: {
f (x) if 0 ≤ f (x) ≤ n
F (x, n)=
n if f (x) > n.
In other words, F (x, n) = min{f (x), n}. This function F (x, n) is called the truncated function.
As F (x, n) is minimum of f (x) and n, it follows that F (x, n) is bounded and hence is measurable.
∫b
Therefore for each n, F (x, n) is Lebesgue integrable. Now if lim F (x, n)dx exists finitely then we say
n→∞ a
that the unbounded function f is Lebesgue integrable and

∫b ∫b
L f (x)dx = lim F (x, n)dx.
n→∞
a a

If the limit does not exist finitely we say that f is not Lebesgue integrable.

We explain this by an example.

Example{ 6.5.1 Let f : [0, 1] → R be defined as

3 , 0 < x ≤ 1
1
f (x)= x 4
0, 0.
Then f is Lebesgue integrable on [0, 1].
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We first note that 1

3 → ∞ as x → 0. So, f is unbounded on [0, 1]. To examine the Lebesgue integrability
x4
of f on [0, 1], we define the truncated function F (x, n) as follows:
 1
 x 34 if 0 ≤ x 34 ≤ n
1

1
F (x, n)= n if 3 > n

 x4
0 if x=0
 1
 x 34 if n 34 ≤ x ≤ 1
1

i.e. F (x, n)= n if 0 < x < 14

 n3
0 if x = 0.
Now,

1
4
∫1 ∫n 3 ∫1
1
F (x, n)dx = ndx + 3 dx
x4
0 0 1
4
n3
1
4 1
= n[x]0n 3 + [4x 4 ]1 1
4
n3
1 1
=n× 4 +4−4× 1
n 3 n3
3
=4− 1 .
n3

Thus by definition of the Lebesgue integral of unbounded function, we have

∫1 ∫1
L f (x)dx = lim F (x, n)dx
n→∞
0 0
( )
3
= lim 4− 1 = 4.
n→∞ n3

Example 6.5.2 Let f : [0, 1] → R be defined as

{ 1
, if 0 < x ≤ 1
f (x)= 2x
8, if x = 0.
Then f is not Lebesgue integrable on [0, 1].
We define the truncated function F (x, n) as

 1
2x if 0 ≤ 2x
1
≤n
1
F (x, n)= n if 2x > n

min{8, n} if x=0

 1
2x
1
if 2n ≤x≤1
1
i.e. F (x, n)= n if 0 < x < 2n

min{8, n} if x=0
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Real Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

For n > 8, we have

1
∫1 ∫2n ∫1
1
F (x, n)dx = ndx + dx
2x
0 0 1
2n
1 1
= n[x]02n + [ log x]11
2 2n
1 1 1
= − log
2 2 2n
1 1
= + log 2n.
2 2

Therefore,

∫1 ∫1
L f (x)dx = lim F (x, n)dx
n→∞
0 0
( )
1 1
= lim + log 2n = ∞.
n→∞ 2 2

Hence, f is not Lebesgue integrable on [0, 1].

6.6 Some Important Theorems

The following theorems are very important and have wide applications in many fields. We prove next the
most frequently used theorem which allows us to interchange the operations of integration and limits.

Theorem 6.12 (Lebesgue’s Dominated Convergence Theorem) If {fn } be a sequence of measurable

functions on [a, b] and g be a Lebesgue integrable function such that for all n ∈ N, | fn (x) | ≤ g(x) for a.e
x(µ) on [a, b]. Let {fn (x)} converge to f (x) for a.e x(µ) on [a, b]. Then the following hold:

(i) f is Lebesgue integrable on [a, b],

∫b
(ii) lim L | fn (x) − f (x) |dµ = 0, and
n→∞ a
∫b ∫b
(iii) L f (x)dµ = lim L fn (x)dµ.
a n→∞ a

Proof. (i): Since | fn (x) | ≤ g(x) for a.e. x(µ) on [a, b], fn is Lebesgue integrable for every n.
Also | f (x) | ≤ g(x) for a.e. x(µ) on [a, b] and hence f is Lebesgue integrable on [a, b].
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(ii): Since | fn − f | ≤ 2g, Fatou’s lemma applies to the sequence of functions {2g − | fn − f |} and
yields
∫b ∫b
( ) ( )
L lim 2g − | fn − f | dµ ≤ lim inf L 2g − | fn − f | dµ
n→∞ n→∞
a a
∫b ∫b ( ∫b )
L 2g dµ ≤ L 2g dµ + lim inf −L | fn − f | dµ
n→∞
a a a
∫b ∫b
=L 2g dµ − lim sup L | fn − f | dµ.
n→∞
a a

∫b
Since L 2g dµ is finite, we may subtract it and obtain
a

∫b
lim sup L | fn − f | dµ ≤ 0. (6.9)
n→∞
a

If a sequence of nonnegative real numbers fails to converge to 0, then its upper limit is positive. Thus (6.9)
implies (ii).
(iii): Now,
∫b ∫b ∫b
( )
|L fn (x) dµ − L f (x) dµ | = | L fn (x) − f (x) dµ |
a a a
∫b

≤L | fn (x) − f (x) | dµ → 0 as n → ∞
a

∫b ∫b
Hence, L f (x)dµ = lim L fn (x)dµ.
a n→∞ a
We have already seen that every continuous function is measurable. But the converse of this result may
or may not be true, i.e. a measurable function may or may not be continuous. Still then every measurable
function which is finite a.e. can be approximated by some continuous function as shown by N. N. Lusin.
We only state this theorem.
Theorem 6.13 (Lusin’s Theorem) Let f : R → R be a measurable function. Then given ε > 0, there
exists a continuous function g : R → R such that µ({x ∈ R : f (x) ̸= g(x)}) < ε.
The following theorem is due to Egoroff. We only state it.
Theorem 6.14 (Egoroff ’s Theorem) Let fn , n ≥ 1 and f be measurable functions such that fn → f
a.e. Let E be a measurable set with finite measure. Then given ε > 0, there is a measurable set Eε such
that
(i) Eε ⊆ E and µ(E ∩ Eεc ) < ε.
(ii) fn → f uniformly on Eε .

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Real Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6.7 Unit Summary

To enlarge the class of Riemann integrable functions Lebesgue integrable functions are considered here.
If a functions is Riemann integrable then it must Lebesgue integrable but the converse is not true. It is
seen that Riemann integral is inadequate from a more general point of view. The class Riemann integrable
functions is quite small. The limiting operations for Riemann integral is often lead to great difficulties.
On the other hand it is seen that the class of all Lebesgue integrable functions is very large and the
limiting operations for this integrals are found easy to perform in comparison with Riemann integral.
Some important theorems have stated here. Examples are given for illustrations.

6.8 Self Assessment Questions

1. Show that every constant function on [a, b] is Lebesgue integrable.

2. Give an example of an function which is Lebesgue integrable but not Riemann integrable in [a, b].

3. Show that the function defined on [−1, 5] as

{
3 f or x rational in [−1, 5]
f (x)=
−3 f or x irrational in [−1, 5]
is Lebesgue integrable on [−1, 5] and find the value of the integral.

∫5
4. Evaluate the Lebesgue L f (x)dx where
0

 0, 0≤x<1
f (x)= 1, 1 ≤ x < 2, 3 ≤ x < 4

2, 2 ≤ x < 3, 4 ≤ x ≤ 5.

5. Find the Lebesgue integral of f (x) on [2, 8] where



 2, 2 ≤ x < 3, 4.5 ≤ x ≤ 5, 7.5 ≤ x < 8


 3, 4 ≤ x < 4.5, 6 ≤ x < 6.5
f (x)= −1, 5 < x ≤ 6, 6.5 ≤ x < 7



 4, 3 ≤ x < 4, x = 8

8, 7 ≤ x < 7.5.

∫5
6. Evaluate the Lebesgue integral L f (x)dx where
−1


 5, −1 ≤ x ≤ 0, 2 < x < 3

6, 0 < x ≤ 2, 3 ≤ x < 4
f (x)=

 3, x rational in [4, 5]

4, x rational in [4, 5].

7. Show that the unbounded function f (x) defined by

{
2 , 0 < x ≤ 1
1
f (x)= x 3
0, x = 0.
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∫1
is Lebesgue integrable on [0, 1]. Find L f (x)dx.
0

8. Determine whether the unbounded function f (x) defined by

{
2 + x3 , 0 < x ≤ 1
f (x)=
8, x = 0.
is Lebesgue integrable on [0, 1].

9. If f (x) = 0 for every x in the Cantor set P0 and f (x) = k for x in each of the deleted intervals of
length 31k in P0c = [a, b] − P0 during the formation of Cantor set then prove that f (x) is Lebesgue
∫1
integrable on [0, 1] and L f (x)dx = 3.
0

6.9 References or Bibliography

1. Inder K Rana, An Introduction to Measure and Integration, Second Edition, Narosa Publishers.

2. Walter Rudin, Real and Complex Analysis, Third Edition, Tata McGraw-Hill Edition.

3. T. M. Apostol, Mathematical Analysis, Narosa Publishing House.

4. S. C. Malik and Savita Arora, Mathematical Analysis, Wiley Eastern Limited.

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