UNIT 9 LEBESGUE INTEGRAL

Structure Page No.

9.1 Introduction
Objectives
9.2 Introduction to Lebesgue Integral
9.3 Convergence Theorems
9.4 Lebesgue Integral vs. Riemann Integral
9.5 Spaces of Integrable Functions
The Space L1
The Space L~
9.6 Summary
9.7 Hints/Solutions

9.1 INTRODUCTION
In the last unit, we introduced to you the concept of Lebesgue measure as a
countably additive real-valued function m defined on a a-algebra M of subsets
defined on R. Now, in this unit we shall see how we can use this measure to
define the integral which is called Lebesgue integral of certain functions defined
on R. This integral is called Lebesue integral. You are already familiar with the
notion of Rieman integral. Here you will see that when X = R the class of
functions which are Lebesgue integrable on R also includes the functions
which are Riemann integrable.
We shall first define integral for a simple function which are function of the
n
form s = a i z ~. ,Then we extend the definition to non-negative functions and
i=l
later to any measurable function. We shall cover this in Sec. 9.2. In Sec. 9.2, we
shall discuss two important theorems known as Montone convergence theorems
(also called Fatou's lemma) and dominated convergence theorem. In Sec. 9.3,
we recall the Riemann integration theory in brief and discuss its relationship
with the Lebesgue integral. Sec. 9.4 deals with two function spaces L1(E) and
L~(E) where (E) is a measurable subset of R. These spaces are called Lebesgue
spaces. L1(E) is the space of real-valued measurable functions defined on R
which are integrable over a measurable set E and L2(E)is the space of
real-valued measurable functions on R , the square of which are integrable over
the measurable space E. Both these spaces have lot of applications in
Engineering, Physics and other areas.
Objectives
After studying this unit, you should be able to
compute the Lebesgue integr~lfor simple function;

state Fatou's lemma and give a sketch of the proof;

state Montone convergence theorem and prove the theorem using Fatou's lemma;

.
i use the converge theorem to compute Lebesgue integral;
 Measure and Integral state and prove dominated convergence and apply it to compute Lebesgue
integral;

explain the relationship between Lebesgue integral and Riemann integral;

in- define Lebesgue spaces L' ( R ) and L ~ ( R ) ;

k@
:*b
C define metrics on L' ( R ) and L2(R) and derive properties as a metric space;

; explain the convolution operation.

$?
9.2 INTRODUCTION TO LEBESGUE
INTEGRAL

We shall begin the discussion of integral by considering a special subclass of

measurable functions - the class of simple functions.
We denote by ( R . M , m), the lebesgue measure space where M is the
a-algebra of subsets of R and m is the Lebesgue measure.

We make some definitions.

Definition 1: Let ( R , M , m) be a measure space. Let E be a measurable subset

of R. Then the function XE defined on R by

is called a characteristic function (also called indicator function).

You can note that yE is a measurable fimction since E is measurable.

For example, let E = [- 1.11 the function f defined by

is a characteric function denoted by x 1 1

[-5'I ]

Definition 2: A non-negative function y : R -,R which takes only finitely

many values, i.e. the range of cp is a finite set of distinct non-negative real
numbers {al,a2,. . . , a,), is called a simple function if all the sets

are measurable subsets of R, i.e. Ai E M . Note that the sets A; are pairwise
disjoint and their union is R.
 Lebesgue Integral
Clearly we can write

I=1

so that each simple function is measurable since characteristic functions are

measurable functions.

For example, the function f : R -+ R defined by

f(x) = 6 , xE[1,2]
=-I. xf(2,4)
= 0, elsewhere
is a simple function.

You can give many examples like this. Now we observe some simple properties
of simple hctions.
Proposition 1: Let (R, M , m) be a measure space. Let f : R -+ R and
g : R -+ R be simple functions. Then f + g is also a simple function. Also for
any X E R, then function Xf is a also a simple function.
The verification of these properties is left as an exercise for you (see E3).
Proposition 2: Let f : R -+ R be a non-negative measurable function. Then
there exists a sequence fi, fi . . of simple function fn : R -+ R such that, for
each x E R

O I f i ( x ) <_fi(x)F - .

lim fn(x) = f(x).

n--t w

We shall not prove this. But we state that if we consider f, such that

f (Drawing the graph

of the first few functions of the sequence will help to see an intuitive picture of

Definition 3: Let f be a simple function defined on R by f(x) = C a, y ~ ,

where al, aa, . . . . a, are distinct real numbers and A, = {x E X : f(x) = a,}. Let
E E M. Then the Lebesgue integral o f f over E is defined as

Example 1: Let us calculate the integral of xQ where Q is the set of rational,

1 Measure and Integral Solution: We first note that

I Then by Definition 3, the integral is given by

I
xqdm = 1 r m(Q) = O( since Q is countable, m(Q) = 0 refer Unit 8)

Next we shall define integral for non-negative funct~ons.For that we shall make
use of Proposition 2.

Definition 4: For any non-negative measurable function f and E E M, the

integral E! f dm is defined as

f dm = sup Y(E. f)

where

y(E, f) = (1 pdm : 0 5
1
d 5 f. 4 is simple .

Note that the integral can be + m , and is always non-negative. We observe that
the set Y(E, f) is always of the form [O, x] or [0, x), where the value x = +m is
allowed.

If E = [a,b] we write the integral as

or even as jab
ff(x)dx,when no confision is possible (and we set
ffdm = - :j fdrn if a > b). The notation J fdm means JR f dm.
Let us now consider a measurable set A E M and a non-negative measurable
function g such that g = 0 on A", then any non-negative simple function that is
less than g must be zero on A". Applying this to g = f.XA we obtain the
important identity

Next we have the following result.

Proposition 3: For simple functions, Definitions 3 and 4 are equivalent. This

follows from the definition of the set Y (E, f).

Furthermore, we can prove the following basic properties of integrals of simple

functions:

Theorem 1: Let p and be simple functions. Then:

i) i f 9 < $ ) , t h e n j , y d m < J,+dm,
ii) if A, B are disjoint sets in M , then Lebesgue Integral

iii) for all ,onstants a E R such that a > 0, I

Proof: We shall prove this one by one.

i) This follows from the fact that Y(E, 9)2 Y(E, t i ) (we use Definition 4).
ii) Let ;7 '= C c i y ~using
, the properties of m we have

JA JR

iii) Let g = C C , ~ Athen

, ajc = a c i y ~and
,

1 aydm == x acirn(E fl A,) = a cim(~

flAi)

Next we show that the above properties of the integrals of simple functions
extent to the integrals of non-negative measurable functions.
Theorem 2: Suppose f and g are non-negative measurable functions.
i) If A E M, and f < g on A, then

ii) If B 2 A, A, B E M, then

/ fdrn 2
iii) For a > 0,

l afdm = a
S, fdm.
Measure and Integral Here we give a sketch of the proof
Proof: i) Notice that Y(A, f ) 2 Y(A, g) (we can squeeze more simple
functions under g than under f and the supremum of a bigger set is either
equal or larger).
ii) If y is a simple function such that p < f on B, then extending it by zero
outside B we obtain a simple function 4'such that 4' <_ f on A. The
integrals of these sjmple functions 6, and p' are the same. So
Y(B, f) Y(A, f3 and we conclude as in (i).
iii) The elements of the set Y(A, af) are of the form ax where x E Y(A, f), so
the same relation holds between their suprema.
iv) For any simple function 9,S, qdm = 0. To see this, let us take
9 = C C,Z)~E,,
say, then m(A n Ei) = 0 for each i, so Y(A, f ) = (0).
v) The elements of Y(A U B, f) are of the form JAu, qdm. Therefore by
+
Theorem 2(v), they are of the form JA cpdm J, ?dm. So
Y(A U B, f ) = Y(A, f ) + Y(B, f) and taking suprema this gives

For the opposite inequality suppose that the simple function 9 and
satisfy: 6. < f on A and ip = 0 on A", while $, 5 f on B and = 0 on Bc.
$1

Since A r l B = 4, we can construct a new simple function 7 < f by setting

y = p o n A , r = Q o n B a n d y =OoutsideAUB. Then

On the right hand side of ( I ) we have an upper bound which remains valid
for all simple functions that are less than f on A U B. Thus taking suprema
over p and $! separately on the left hand side of () gives

fdm + fdm 5 lUB fdm

Hence the result. 0

Here is an exercise for now.

E 1) Prove the Mean Value Theorem for the integral which states : if
a 5 f(x) < b for x E A, then a m(A) 2 S, f dm 5 b m(A).

We now confirm that null sets are precisely the 'negligible sets' for integration
theory.
Theorem 3: Suppose f is a non-negative function. Then f = 0 a.e. if and only
if J, fdm = 0
 Proof: First, note that i f f = 0 a.e. and 0 < p 5 f is a simple function, then Lebesgue Integral
;? = 0 ax., since neither f nor 9 take negative values. Thus SRpdm = 0 for all
such 9 and so Jk fdm = 0 also.
Conversely, let J' fdm = 0, and E = {x : f(x) > 0). Our goal is to show that
m(E) = 0. Put

I Clearly, {En) increase to E with

00

n=l
To show that m(E) = U it is sufficient to prove that m(En) = 0 for all n. We note
1
that the function ,- = -YE" is simple and g 5 f by the definition of En. So

This shows that m(E,) - 0 for all n. Thus m(E) = 0. Hence the result.

Using the results proved so far the following 'a.e.' version of the monotonicity
of the integral is not difficult to prove.
Proposition 4: I f f and g are measurable then f < g a.e. implies
J fdm 5 S gdm.
This can be verified by noting that let A = {x : f(x) < g(x)), then B = A' is
null and 5gy~.
The crux of Lebesgue integration is its convergence theory. In the next section,
we shall discuss this. We can make a start on that by giving a famous result.

9.3 CONVERGENCE THEOREMS

In this section, we shall discuss mainly two important convergence theorem.
Then we extend the definition of integral to general functions not necessarily
non-negative.
We shall first considcr and discuss Fatou's Lemma.

Before we discuss the theorem we recall some defin~tlonsfrom your

undergraduate Real Analysis course.

f
I
-
Suppose that {x,) is a sequence of real numbers. Let E be the set of numbers x
such that x,, x for some subsequence x,, of {x,). x is called a limit point of
x,. So, E is the set of all limit points of {x,). Then supremum and infimum of E
, are denoted by the following

Iirn inf xn = iilf E

n--03

lim sup xn = sup E

n-w
Measure and Integral Now we state the theorem.

Theorem 4: Fatou's Lemma: If {f,) is a sequence of non-negative

measurable functions, then for any measurable set E.

lim inf
n-+w
1 fndm > (hiIinf fn) dm.
Proof: We write
f(x) = lim inf f,(x)
n-m

We recall that for any x lim inf fn(x)= inf E, where Ex is the set of all limit
points of {fn(x)).
Let g,(x) = inf fk(x)'
k>n

Then {g,(x)) is a non-decreasing sequence converging to linl inf fn(x).Thus,

n--. w
we have
f(x) = lim g,(x)
n-OL)

Let cp be a simple function, 9 5 f. To show that

fdm < lim inf

n-+w
fndm

it is sufficient to show that

for any such 67.

The set where f = 0 is irrelevant since it does not contribute to JE f dm, so we
can assume, without loss of generality, that f > 0 on E. Put

where r: is sufficiently small.

Now p < f, and {g,) is a non-decreasing sequence that converges to f, so
g, 2 7.
That is,

and we have
00

AI C Art I , and UAk = R.

k=l

Next,

g,dm( as gn dominates on Ak)

5/ AnnE
r
fk dm for k 2 n( by the definition of g,)

<1
fkdm(as E is the larger set)
for k >_ n. Hence Lebesgue Integral

;pdm < k-oc

lim inf fkdm

Now we let n t oo:

(Note that the symbol "4"indicates that the sum on the L.H.S. converges to
that on the R.H.S.)

The inequality in (2) remains true in the limiting case also and therefore we have

pdm < 2iir inf

I fkdm.

Now we substitute the expression for 7given in (3). Then by making the
assumption that

we get

Now we let E +O as get the desired expression given in (2).

The case m((x : y(x) > 0)) = oc has to be treated separately. Here
JE ydm = oo and so SEfdm = oc.We have to show that

lim inf
k-cc
[fxdm = m.

Let ci, i = 1. . . n since (F is simple it assumes finite value, say cl, . . . , c, for
1
some n E N and let a = Amin{cl, c2, . . . ,c,) we put
2

and

03

Then Dn is such that UDn = R. As before

n= 1

for k 2 n, so lim inf 1; fkdmhas to be infinite. U

~ I . J' fndm = 1 for all n,

Example 2: Let fn = > I [ ~ , , +Clearly
lim inf f,, = 0(= lirn f,), so the above inequality may be strict and we have
?7
Measure and Integral

Proof: Since fn < f, JE fndm 5 JE fdm and so

lim sup fndm 5 fdm.

n-03

We apply Fatou's lemma to {f,). So

fdm < n-co

lirn inf fndm
E

which together with the basic relation

lirn inf
n+oo
1E
fndm 5 lim sup
n+w
1
E
fndm

gives

IE fdm = iiir iuf IE

fndm = lim sup
n-m

hence the sequence SEfndmconverges to sEfdm.

Corollary: Suppose {f,) and fare non-negative and measurable. If {f,) is an
The notation x, /" x SE
increasing sequence such that fn /" f a.e. then, we still have fndm /" J, fdm
~mpliesthat {x,)is a for all measure E.
non no tonically
non-decreasing sequence Proof: Suppose that fn /" f a.e. and A is the set where the convergence holds,
that is convergent to x. so that A" is null. We define

gn(x) = when x E AC,

x
g(x) = { :(x)' when
when x
EA
E Ac,
 I Then using E = [E fl Ac] U [E fl A] we get Lebesgue Integral

I (since E n A" is null) and similarly we have

I gdm =
I fdm.

The convergence of the sequence g, holds everywhere, so by Theorem ( 5 ) , J, g,dn

SE gdm
To apply the monotone convergence theorem it is convenient to approximate
i non-negative measurable functions by increasing sequences of simple functions.

You already know from Proposition 2 that for any non-negative measurable f,
there is a sequence fn of non-negative simple functions such that fn /' f.
1
t Try this exercise now.
,

E3) Consider the sequence f, := ; ~ [ ~ , ~ +=~ 1l ,. 2( ,n. . .). Does this sequence
I satisfy all the conditions of the Monotone convergence theorem? Does the
t conclusion of the Monotone Convergence Theorem hold good for this
i sequence? Justify your answers.
L
1 We can now extend the integral verv easilv to general real-valued functions.
using the positive part f + = legal:ive part f - max
of any measurable function not use the non .egati
-
measurable function Ifl alonge: as we already saw, (fl can be measurable
without f being measurable!

! Then we have

f = f + -f-

and

Here we note that the function f : R -t R is measurable iff both f + and f - are
I measurable. lwoucan verify this by yourself.
Note thx f is int2gmble iff (flis integrable, and that

II Thus, the Lebesgue integral is an 'absolute' integral: we cannot 'make' a

function integrable by cancellation of large positive and negative parts.
Measure and lntegral The properties of the integral of non-negative functions extend to any, not
necessarily non-negative, measurable functions.

Proposition 5: I f f and g are integrable, f 5 g, then f fdm 5 f g dm.

Hint: I f f 5 g, then f+ < g+ bul f- >
- g-
We wish to show that the mapping f H J,,,f dm is linear. This fact is interesting
on its own.
Theorem 6: For any integrable functions f, g their sum f + g is also integrable
and

Proof: Step 1: Suppose first that f and g are non-negative simple functions. Let
z
f = a i x ~, g z
, = bjxB,. The sum f + g is also a simple function which can be
written in the form

Therefore

where we have used additivity of m and the facts that Ai cover R and the same
is true for Bj. -
Step 2: Now suppose that f, g are non-negative measurable (not necessarily
simple) functions. By Proposition 2 we can find sequences f,, g, of simple
functions such that for each x, f, (x) /" f(x) and gn(x) /" g(x). Clearly
f, -tg,(x) /" f + g hence using the monotone convergence theorem and the
additivity property for simple functions we obtain

(f + gjdm = lim
n-oc

= Iinl
n-+m
/
E
s.dm Iim J t d m
+ n-m
E
This, in particular, implies that theintegral o f f + g is finite if the integrals o f f Lebesgue Integral
and g are finite.

Step 3: Finally, let f, g be arbitrary intebable functions. Since

we can use Step 2 to deduce that the left-hand side is finite.

We have

( f + g ) + - (f + g)- =f+-f-+g7 -g-.

t

We rearrange the equality to have only additions on both sides

We have non-negative functions on both sides, so by what we have proved so

far,

hence

By definition of the integral the last relation implies the claim of the theorem.
Proposition 6: I f f is integrable and c E R, then

JE(cf)dm = c l f d m .

The proof is left as an exercise for' you to verify. The proof is based on the fact
that f can be approximated by simple functions.
We can now answer an important question on the extent to which integral
determines the integrand.
Theorem 7: If JA f dm 5 JA g dm for all A E M, then f 5 g a.e. particular, if
JAfdm= JAgdmforallA€M,thenf=ga.e.
Proofi Here we give sketch of the proof.
By additivity of the integral and Proposition 6, it is sufficient to show that
JA h dm 2 0 for all A E M implies h >
0 (and then take h = g - f ) . Let us
1
write A = {x : h(x) < 0); then A = UA, where A, = {x : h(x) 5 --). By
n
monotonicity of the integra1,'we have
Measure and Integral which is non-negative but this can happen only if m(A,) = 0. The sequence of
>
sets An increases with n, hence m(A) = 0 and so h(x) 0 a.e.
A similar argument shows that if JA h dm 5 0 for all A, then h 5 0. This
implies the second claim of the theorem: put h = g - f and JA h drp is both
>
non-negative and non-positive, hence h 0 and h 5 0 a.e. thus h = 0 a.e. O

The next Proposition lists further important properties of integrable functions,

whose straightforward proofs are typical applications of the results proved so
far.
Theorem 8: Let ( R M , m) be a measure space.
i) An integrable function is finite a.e.
ii) For measurable function f and A E M
P

m(A) inf f 5 A] f dm 5 m(A) sup f.

A A

iii) For any measurable function f,

iv) I f f is a non-negative measurable function and J f dm = 0, then f = 0 a.e.

Next we shall discuss another important theorem known as Dominated
Convergence theorem.
Many questions in Analysis centre on conditions under which the order of two
'limit processes, applied to certain functions, can be interchanged. Since
integration is a limit process applied to measurable functions, it is natural to ask
under what conditions on a pointwise (or pointwise ae.) convergent sequence
{f,), the limit of the integrals is the integral of the pointwise limit function f,
i.e. when can we state that lirn J f, dm = J(lim f,)dm? The monotone
convergence theorem provides the answer that this conclusion is valid for
monotone increasing sequence of non-negative measurable functions though in
that case, of course, the limits may equal to +m. The following example shows
that for general sequences of integrable functions the conclusion will not hold
without some further conditions:
Example 3: Let fn(x) = nxp,;) (x). Clearly f, (x) + 0 for all x but
J f,(x)dx = 1.

The limit theorem which turns out to be the most useful in practice states that
convergence holds for an a.e. convergent sequence which is dominated by an
integrable function. Again Fatou's lemma holds the key to the proof.
Theorem 9: (Dominated Convergence Theorem): Suppose E E M. Let
{f,) be a sequence of measurable functions such that Ifn(5 g a.e. on E for all
n 2 1, where g is integrable over E. If f(x) = lim,,, fn(x)a.e. then f is
integrable over E and
 Lebesgue Integral
Proof: Suppose for the moment that fn 2 0. Fatou's lemma gives

/ L
f dm < ,lim irlf J IE f. dm
-+ x

It is, therefore, sufficient to show that

Fatou's lemma applied to g - f, gives

iinl ( g - f,/ < n-linlx inf jig f.)dm.

-
JE
On the left hand side of(7), we have

On the right hand side of ( 7 ) ,we have

where we have used the elementary fact that

g dm - linl sirp
I fn dm.

lir~iinf(-a,,) = - liln sup a,,.

n-.>CI n-cu

Putting this together, we get

I I;
Finally, subtract g dm (which is finite) and multiply by -1 and get the
desired result given in (5).
I

I Now consider a general, not necessarily non-negative sequence (f,). Since by

the hypothesis

we have

and we can apply the result proved for non-negative hnctions to the sequence
f,,(x) + g(x) (the function 2g is ofcourse integrable) and get the desired result.

Example 4: Let us again consider the function, fn = nklo,i,,as in Example 3.

We can show that it is not possible to find an integrable g to dominate f,. The
least upper. bound is g(x) -- sup, fn(x). gix) = k on --
( k i I-:] so
Measure and Integral

Example 5: Let us consider

- , . n sin x

-
for x E ( 0 , l ) . Clearly fn(x) 0. To conclude that limn f fn dm = 0 we need to
find an integrable dominating function. To find such a function, we proceed as
follows:
I nsinx I , n , n 1 _ 1

I t 15 not easy to show thls directly. But, we observe that the hnction x -t fi 1s
R~emann~ntegrable.We shall show shortly that Lebesgue and Riemann
~ntegralsof a bounded function coincide ~fthe latter exists, and since
d 3 -
-( &) = k f x we can apply the Fundamental Theorem of the Calculus to get
dx
the desired result. The result, then follows from the dominated convergence
theorem. 1

You can try this exercise now.

E4) Use the dominated convergence theorem to find

where

As an extension of Theorem 9, we get the following result.

Theorem 10: For a sequence of non-negative measurable functions fn we have

. sequence gk
The proof is left as an exercise for you to v e r i ~The = xE=,fn is
increasing and converges to C z ,f,.
Note: We cannot yet conclude that the sum of the series on the right-hand side
of (8 )is a.e. finite. Therefore C z , fn need not be integrable. However, we have
the following result. I
Theorem I I : (Beppo-Levi): Suppose that
30

1 /fkjdm i! finite.
Then the series CE, fk(x)converges for almost all x, its sum is integrable, and Lebesgue Integral

Proof: The function ~ ( x =) C;P=,

(fk(x)(is non-negative measurable, and by
the above theorem,

Right Hand Side of (9) is finite, so cp is integrable. Therefore cp is finite a.e.

hence the series C;"=,fk(x)( converges a.e. and so the series x;, fk(x)
converges (since it converges absolutely) for almost all x. Let
f(x) = Cgl fk(x)(put f(x) = 0 for x for which the series diverges - the value
we choose is irrelevant since the set of such x is null). For all partial sums, we
have

so we can apply the dominated convergence theorem to find

as required.

So far we have been considering real-valued functions. There are certain

situations where we need to consider complex-valued functions. Now we
extend the definition from the real case to the complex case. The natural thing is
to consider the real part and the complex part.

+
Suppose f is a complex-valued function, and let f = u iv, where u and v are
the corresponding real functions. We say that f is measurable if and only if both
u and v are measurable.

Tt is easy to verify that sums and products of complex measurable functions are
again measurable. Since

we get that JfJ is measurable for every complex measurable function f.

Now we define the integral o f f as

1 Ifdm = udm + i
1 vdm, E E M
Measure and integral Then we can state that all the theorems, we have considered in Sec.9.3, hold for
complex functions also.
In the next section we shall consider the relationship between Lebesgue integral
and hemann integral.

9.4 LEBESGUE INTEGRAL VS. REIMANN

INTEGRAL
Our prime motivation for introducing the Lebesgue integral has been to provide
a sound theoretical foundation for the twin concepts of measure and integral,
and to serve as the model upon which an abstract theory of measure spaces can
be built. Such a general theory has many applications, a principal one being the
mathematical foundations of the theory of probability. Here we shall look at the
relationship between Lebesgue integral and Riemann integral and observe that
Lebesgue integration has greater scope and more flexibility in dealing with limit
operations than does its Remann counterpart.
In the this section, we shall discuss the relationship between Lebesgue integral
and Riemann integral.
We shall first recall the Riemann integration theory, briefly and discuss some
shortcommings. To begin with, let f : [a,b] --t R be a bounded function.

Let P : {a = x , ~< x l < xz < . . . x, = b) be a partition of [a, b] into

<
sub-intervals ix, 1, x,],1 i i n. Since f is a bounded real-valued function on
[a, b], for each i. 1 I iI n, there exist real numbers m, and MI, such that
m, -1 inf {f(x))
x,-llr<.r.

Mi = sup (fix)).
X,-~<X<X,

Now, let

and

Note that xi - X,-I is the length of the sub-interval [ y i P l , x,]. The sums L(P, f)
and U(P, f) are called lower sum and upper sum o f f corresponding to the
partition P, respectively. These sums are also ref;:-red to as lower and upper
Riemann sums. Then, we have
m(b - a) < L(P, f j IU(P, f j < M(b - aj,
where m and M are the infiinunl and supremcin, respectively 01 f i n [a, b] (refer
Theorem 1, Unit 10, Block 5 of the IGNOU course material MTE-09).
Let P be the set of all partitions of [a, b]. Now conside, Lire set

L = {L(P.f) lP 6 P) and U = (U(P, f) ;P E P)

 Lebesgue Integral
Then the non-empty set L (why non-empty?)of real numbers is bounded above
and the non-empty set U of real numbers is bounded below. Therefore,
sup{i jP. f) ) and irlf {U(P, f)) exists (why?j. Let
P P

If l L = Ill(= 1~say)

then we say that f is in~egrableover a, b] and define

irk such cases 1 ns also called ihe definite integral o f f over [a, b].

We haw seen that the following class of functions are Riemann integrable.
: the <!ass of real valued cont~nxousf~nctlonsdefined on a closed interval
[a, bl.
) the ~qlassof buur~dednon-negative funr:tions with countably many
di\contlnuitlga.
We can also prove that a bounded real-valued function on [a, b] is Riemann
Integrable on [a: b] G f is continuous "almost everywhere" on [a, b].

Does ihere exists a function which is not Riemann integrable?

k-ou probably recall that the real-valued function f defined on [0, 11 by

;, not Kiemann integrable. Note that this function is bounded but everywhere

discontinuous violating the characterisation result of bounded Riemann

Integrable functions.

This function is known as Dirichlet's function. Here the question arises. How
to extend this definition to functions having discontinuity.

An important drawback of hemann Integration is that it does not apply to a

sufticiently large class of functions. It is defined only for bounded functions,
and for functions defined on bounded intervals only. A function like the
Dirichlet's function, though bounded, and defined on bounded interval does not
come under its fold. There are other drawbacks like the limitation of validity of
the Fundamental theorem of Calculus. More specifically, it is possible to
construct a function F on [0, I] such that F' is not continuous on the Cantor set
and F' is not hemann Integrable. This presents a situation where Fundamental
Theorem of Calculus fails to hold. It is easy to construct an example of a
function f : [a,b] 4R such that f is differentiable, but f' is bounded and hence
not Riemann Integrable. For example, consider f : [O, 11 t R defined by

This is such a function.

Measure and Integral A further question that arises is whether the point-wise limit of a sequence of
Riemann Integrable hnctions {fn)n21on a bounded interval [a, b], denoted by
f, is Riemann Integrable and

li~n
n-no
lb [
f(xjdx = f(x)dx?

The answer to this question, in general, is in the negative. For example consider
fn(x)= ne-nx,x E [O, 11,n = 1.2, . . . lirn fn(x)= f(x) = Ox E (O,l].
n--m
n + mfn(0) + oo as n + oo.Thus each f,, is Riemann Integrable on [0, 11, but
f is not. There are other examples that one can construct.
Yet another problem is that the class of functions.R([a,b]) Riemann Integrable
functions on [a, b] with a metric constructed from the Pseudo-metric
d ( f g) = (f(x)- g(x)ldx is not complete in the sense that Cauchy sequences
of Riemann Integrable functions need not converge to a R i e m a ~
Integrable
A Pseudo-metric is a function. The incompleteness of R[a,b] is a problem of serious concern and
function d : R x R -, R makes it difficult to do analysis on it.
which satisfies all the
conditions of a metric All these problems indicate that the concept of Riemann Integration is
except d(x,y) = 0 iff restructive and non inclusive of a desirable class of functions. This prompts a
x = y. worthwhile generalisation of Riemann Integration. The new integration theory
should include all Riemann Integrable functions for which the New Integral
should coincide with the Riemann Integral and should be applicable to a larger
class of functions. We would also like to have the larger class of functions with
new integrability, to be free from the drawbacks of Riemann Integrable
functions.
So the problem is how to generalise Riemam Integration. We have to reinvent
the concept of integration.
Let us get back to the basics.

Consider f : [a,b] -+ Rf U (0).

Consider a partition of the range [O, m) as the union of disjoined intervals.

where yo = 0

Now, consider the sets f ( [ Y , - ~ ,y,)). This need not be an interval. All that one
can say is that it is a subset of [a,b]. Consider the sums

where !( f - l [ ~ ~yi))
- ~ ,is the "length" of the set f - ' ( [ ~ , _ .yi)),
~ . if at all such a
concept makes sense! Then these two sums provides with a lower
approximation and an upper approximation to the area A(f) to be computed.
Note that for bounded functions these sums are finite sums. We encounter the
following problems.
Problem 1: ( f l [yiPl,yi)) may not be an interval! It may not be even a union of
intervals. Then what do we mean by E(f-l lyiPl,y,))? Concept "length" has to
be introduced for arbitrary sets!
Problem 2: Unlike in the Riemann Integration case we may have to work with Lebesgue Integral
infinite sums.
Assuming we can handle these problems successfully, we can recover the
integral, proceeding further as in the Riemann Integral Case. For,

Refinement of the partition of the range will move the lower sums upward and
the upper sums downward. '
Again, we ask whether these sums have limits and whether they are equal! If
they are equal then we say f is integrable in the 'new' sense. So our concerns is
the following:

Is it possible to introduce the concept of 'length' for arbitrary sets

as a generalization of length for intervals and run through the above
programme?
If so, will it lead to a meaningful generalization of Riemann Integral?
Also will it lead to an integration theory free from the drawbacks of
the Riemann Integration theory.

The concept of mctsure which we have discussed in Unit 8 helps to extend the
notion of length to more complicated sets than intervals such that for intervals
the new concept co~ncideswith the notion of length in the conventional sense.
In the next section, we shall discuss the Integration theory based on the concept
of Lebesgue measure.
Next we shall show that the Lebesgue and Riemann integrals coincide whenever
the latter exists. In the process we shall find necessary and sufficient conditions
for the existence of the Riemann integral.

The next theorem gives a relationship between Riemann and Lebesgue integral.

Theorem 12: Let f : :a, bj ++ R be bounded function. ?'hen f is

bemann-integrable if and only if { x E: [a, b] : f is not continuous at x) is a set
of measure 0. In this case f is Lebesgue integrable on [a, b] and the two
integrals are the same.
Example 6: Let us consider the Dirichlet's function defined on [O. I].
~ Q ~ [ , , , J ]

Tt is continuous ax., hence Riemann-integrable, and its Riemann integral equals

its Lebesgue integral, which is 0, since f is zero outside the null set Q.

Remark: The key difference in the definitions of Riemann and Lebesgue

integral is that in the former the domain c7f f is partitioned while in the latter the
range o f f is partitioned.
As we mentioned earlier, though the Lebesgue integral has great scope and
flexibility than Riemann integral, just as w ~ t hthe Riemann integral, the
computation of specific integrals from first principles is laborious for Lebesgue
Measure and Integral integral also, and we have as yet, no simple 'recipes' for handling particular
functions.
In the next section, we shall introduce you to some important classes of
Lebesgue integrable functions.

9.5 SPACES OF INTEGRABLE FUNCTIONS

In this section, we consider the class of integrable functions. To deal with this
class, we need an extra structure which we shall discuss in this section. Here we
do not distinguish between functions which are almost everywhere equal.
The additional structure we require is to define a concept of distance (i.e. a
metric) between given integrable hnctions - by analogy with the familiar
Euclidean distance for elements in Rn.We shall obtain the distance between
two functions as the length, or norm, of their difference - thus utilizing the
vector space structure of the space of functions.
I-lere we introduce you to two function spaces. It is worth noting that both these
spaces of functions are infinite-dimensional vector spaces.

9.5.1 The Space L1

In this section, we shall first study spaces of functions which are integrable.

Definition 5: Let (R,M, m) be the measure space and let E be a measurable

set in M. Let L1(E)denotes the set all measurable functions (real or complex)
f such that J, jfldm < m. Then L' (E) is called a Lebesgue space defined on E.

Note that if E = [a,b] then we can write

From the properties of Lebesgue integral discussed in Sec. 9.1(refer Theorems

6 and 7). we get the following result.

Theorem 13: Let (R.M, m) be a space and E t M. Then

i) Iffandg~Ll(E),thenf+gEL~(EJ.
ii) Iff~L'(E)andi~EIt,thenaf~L'(EI).
This shows that L1 (E) is a vector space in the sense that iff, g E L1(E) and
cr. ?, E RI then uf + ,3g E L1(E).

The properties (i) and (ii) stated in Theorem 13 can be verified directly (see E5).
A vector (linear) space, say X, is said to be normed linear space if we can assign
a non-negative real number which we denote by to each x E X satisfying
the following conditions:
i) lixll 2 0 Vx E X
ii) llxll = 0 if and only if x = O
iii) llaxll = IQIIIxII,V Q E R and x E X Lebesgue Integral

iv) IIx + YII Il l ~ l l +

l I l ~ l l l V XE X
I

The function 1) . 1) is called a norm on X. You have already studied that

R",n 2 1 is a norm linear space (Refer Unit 5, Block 2).
Now we shall define a norm on L~(E)

For each f E L1(E) we define

Then it is easy to verify, from the properties of Lebesgue measure, that 1) . 11 1

satisfies (i), (iii) and (iv). It does not satisfy the condition (ii) since from
I(fl( = 0 we cannot conclude that f = 0. We can only say that f = 0 a.e. We shall
overcome this problem by defining an equivalence relation which we shall
illustrate now.

-
For f, g t L1(E), we say that f is equivalent to g, denoted by f g, if the'set
{x E E : f(x) # g(x)) has measure 0, i.e. f and g are equal a.e. Then the
relation '--'is an equivalence relation.
You can verify that - is an equivalence relation on L1(E).

Write [fl for the equivalence class containing the function f E L1(E). Thus,
h E [fl ~ fh(x)
f = f(x) a.e.
Let C1(E) denotes the set of all equivalence classes.

We can show that L1(E) is a vector space, since L' (E) is a vector space. To do
this, we need to understand what we mean by a linear combination of
+ + +
equivalencc classes. We d e h e [q [g] as the class [f g] o f f g, i.e.
+ +
h E [fj [g] iff h(x) = f(x) g(x) a.e. Similarly for multiplication by constants:
~ [ f =j [afj for Q E R. Hence C1(E) is a vector space with these operations.
Strictly speaking we should continue to distinguish between the equivalence
class [fj f L1(E) and the function f f L1(E) which is a representative of this
class. But there is no serious loss of clarity by treating f interchangeably as a
member of L1(E) and of C1(E) ,depending on the context. In other words, by
treating the equivalence class [fj as if it were the function f, we implicitly
identify two functions as soon as they are a.e. equal. Thus, we do not
distinguish between L1(E) and L1(E). With this convention it will be clear that
the function 1) . 1) is a norm on L1(E) and is called L2L1-nom.
We now define a metric on L1(E).
For f, g t L1(E), we define

d(f?g) = Of - gll1. (10)

Then you can check that d is a metric on L1(E) (see El). The most important
property of this metric is that L1(E) is complete (Recall the definition of
completeness of the metric space from Unit 2, Block 2) under this metric. This
is one of the important theorem and is stated as follows:
Theorem 14: (Riesz-Fischer): L1(E) is a complete metric space.
Measure and Integral We have omitted the proof here.
Here you may note that the space of Riemann integrable functions with the
metric defined by the Riemann integral is not complete.
Next we shall introduce you to another operation on L1 called "convolution"
Before that we make a definition.

Definition 6: Let f E L1(E). For any x E R , we denote by f,, the function

defined by
fx(t)= f(x - t), t E R
Then fx is called the translate o f f by x.
C

Now we are ready to define "convolution".

Definition 7: Let f, g E L' (R). Let S denote the set of x for which the
Lebesgue integral given by

exists. Then h defines a function on S and is called the convolution o f f and n.

enoted By f * g. The following easi ished.

Proposition 7: For f, g E L?(R), f * g = g * f whenever the integrals exist.

1
Next we shall observe that there may be certain points on R at which the
integral given in (12) fails to exist, even though both f and g are Lebesgue
integrable. In the next example we shall illustrate this.
Example 7: Let f and g be given by

Then both the Lebesgue integrals,

and

exists. Now we form the convolution for x = 1which is given by

= fdt
and observe that the integral on the R.H.S. does not exist. That means, the Lebesgue Integral
convolution is not defined for x = 1.

Now we shall state a theorem which gives a condition for which the con:/olution
integral exists for all x E R.

Before we state the theorem we shall state another theorem which w111 be used
as a lemma for proving the theorem. The theorem deals with interchanging the
order of integration. You rnight be already familiar with similar results when
you studied multiple integrals in your undergraduate Calculus courses.

Theorem 15: I.et X and Y be two intervals of R and let k be a function which
is defined, con~liiuousand bounded on X x Y, say

Ik(x, y)j 5 M for all (x, y) E X x Y.

Assume f E L(X) and g E L(Y). Then we have

a) For each y in Y, the Lebesgue integral f(x)k(x,y)dx exists, and the

function F defincd on Y by the quatioh

is continuous on Y.
b) For cach x in E, the lebesgue integral
tainctrcm G defined on X by the equation
S, g(y)k(x, y)dy exists, and the

is continuous on X.
C) The two lebesgue integral 1 g(y)f(y)dy and /X
f(x)G(x)dxexists and are
equal. That is

The proof of the theorem is o m i t t e d as it is not part of the syllabus of this

course.
Theorem 16: Let f, g E LI(R) and that either f o r g is bounded. Then the
convolution integral given by

f * g(x) = :/ f(t)g(x - t)dt (12)

exists for every x E R and the function so defined is bounded on R.

Proof: Since f * g = g * f, it suffices to consider the case in which g is bounded.

Suppose that Igl 5 M. Then fort E R, x E R
Measure and Integral This shows that f * g(x) exists. You can also note that f * g E L1(R). Also from
(12) and (13), we have

5 Mo. since /: If(t)Idt exists and finite a.e.

Thus, f * g is bounded. n
Try these exercises now.

E5) Prove Theorem 13.

E6) Show that the function d defined in Eqn.(l 1) is a metric.
E7) Let C[a,b] denotes the set of measurable functions which are continuous
on [a, b]. Show that C[a, b] c L1[a,b].

Next, we shall introduce you to another function space.

9.5.2 The Space L2

The space we now introduce plays a special role. It provides the closest
analogue of the Euclidean space Rnamong the space of functions, and its
geometry is closely modelled on that of Rn. We introduce a function called
)I2
norm, which we denote by (1 . . . on L1(E). This function provides a concept
of orthogonality (and hence 'angles') between functions. This gives L2 many
pleasant such as a 'Pythagoras theorem' and the concept of
orthogonal projections, which plays vital role in many applications.
We make the following definition:

M, m) be the measure space and let E be a measurable

Definition 8: Let (R,
set in M. Let L ~ ( Edenotes
) the set all measurable functions f such that
J, (f12dm< oo. L2(E)is also called a Lebesgue Space.
Note that L~(E) is the set of square integrable functions.
If E = [a,b], then we can write

It is straightforward to prove that L2(E)is a vector space: clearly, for

cr E R,1 af12is integrable if lf12 is while

If + g12 5 22max{lf12,lgI2) 5 4(1f12+ lg12)

shows that L ~ ( Eis) closed under addition and scalar multiplication.
As in the case of L1(E) we define a function (1 - 11 for functions in L2(E), given
by
P
 Then 11 . \I2 satisfies the conditions of (i), (iii) and (iv) of a norm. But the Lehesgue Integral
condition (ii) for the norm is not satisfied for L2(E)
We introduce C2(E) as the set of equivalence classes of elements of C2(E),
under the equivalence relation f 2 g iff f = g ax., exactly as for L1(E).

1
I
As in the case of L1(E),we do not distinguish between L1(E) and C1(E)
Henceforth we will be using L ~ ( E )With
. this convention L~(E) is a vector
space. We now define a metric on L ~ ( Egiven
) by

1 Then d is a metric on

Now we shall state important theorem.

k Theorem 17: Let f. a E L ~ ( E )The

. function fg E L1(E) and

The proof of the theorem is omitted.

The inequality in (14) is called Schwarz Inequality. Note that you are already
familiar with Cauchy-schwarz inequality for real sequences.
i
The inequality will be used in Functional Analysis course and other courses
very frequently.

I Using the inequality the following theorem can be easily established.

I Theorem 18: If a set E has finite measure (that is. m(E) < m). then

i The proof is left as an exercise for you to verify.

E8) Prove Theorem 18.

In the next unit, you will see more properties of L1(E) and L2(E).
With this we come to an end of this unit.

I 9.6 SUMMARY
1 *
In this unit, we have covered the following points.
1) We have defined "simple" functions and the Lebesgue integral of a simple
function. We have also explained the computation of Lebesgue integral for
certain simple functions.

I 2 ) We have stated and proved the following convergence theorem

i) Fatous' lemma
I ii) Monotone convergence theorem
Measure and Integral iii) Dominated convergence theorem
We have explained the relationship between Riemann integral and
Lebesgue integral.
We have defined Le besgue space L' ( R ) and L2(R) and discussed certain
properties as a metric space.
We have defined "convolution" operation for certain measurable functions
and discussed its properties.

Hint: Apply Theorem 2(i)

Hint: Consider the sequence of functions

Compute /'ny,[ fildmand show that

r1 r1

1 lirn fn(x)dm #
n-m
fn(x)dx

What is lirn inf fn?

n- w

Hint: Show that each fn is measurable but the sequence ifn) is not
monotone. Also, show that, f,dm = 1,'d n, lim f, = 0, and
J(lim f,)dm = 0.

Conclude that the conclusion of the Monotone Convergence Theorem fails

to hold. However, observe, that there is no contradiction in this case since
the sequence fails to satis@ the conditions of the theorem.

Hint: Show that fn(x) 5 J;?

-
+X3,X E Lm)
Further note that

1 Ul L l l V l 011""I
1 nx3
bllUL 11111

n-m + , u, \A LA, -1,

Hence all conditions for the application of Dominated convergence

theorem hold with the dominating ~ ' ( [ l , m )function
) as

Now an application of the dominated convergence theorem shows that

roo /-J fm / K \
E5) i) We first note that, for any x E X and f, g E X, we have Lebesgue Integral

(This follows from the triangular inequality of the modulus hnction

( . / on R.)
Therefore, we have

= llf(x)ldx + /g(x)d x (Sum property of Lebesgue integral)

< ca since f, g E X.
This shows that f + g E X.
ii) For f E X, 0 E R, we have

= In 1 1 f(x))dx(Property of Lebesgue integral)

<oo
Therefore cr f E X.
E6) Hint: Follows from the properties of Lebesgue integral.
E7) Hint: Use the fact that any continuous function defined on [a,b] is
bounded.
E8) Hint: Apply the inequality (15).