Introduction To Lebesgue Integration: Wwlchen

INTRODUCTION TO
LEBESGUE INTEGRATION
W W L CHEN
c

W W L Chen, 1977, 2008.
This chapter was first written in 1977 while the author was an undergraduate at Imperial College, University of London.
It is available free to all individuals, on the understanding that it is not to be used for financial gain,
and may be downloaded and/or photocopied, with or without permission from the author.
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Chapter 7
LEBESGUE INTEGRALS
ON UNBOUNDED INTERVALS
7.1. Some Limiting Cases

We begin by considering the following result which extends Lebesgue integrals on finite intervals to
infinite intervals.
THEOREM 7A. Suppose that I = [A, ), where A R. Suppose further that the function f : I R
satisfies the following conditions:
(a) f L([A, B]) for every real number B A.
Z B
(b) There exists a constant M such that
|f (x)| dx M for every real number B A.
A
Then f L(I), the limit

Z
lim
f (x) dx
A
exists, and
Z
f (x) dx = lim
A
Chapter 7 : Lebesgue Integrals on Unbounded Intervals
f (x) dx.
(1)
page 1 of 4
Introduction to Lebesgue Integration
W W L Chen, 1977, 2008
Proof. Let Bn R be an increasing sequence satisfying Bn A for every n N and Bn as

n . For every n N, define fn : I R by writing
n
fn (x) =
if x [A, Bn ],
otherwise.
f (x)
0
Clearly fn L(I), in view of Theorem 4J. Furthermore, fn (x) f (x) as n for every x I, and so
|fn (x)| |f (x)| as n for every x I. It is not difficult to see that the sequence |fn | is increasing
on I, so that
Z
|fn (x)| dx
I
is an increasing sequence, bounded above by M in view of (b), and so converges as n . It follows

from the Monotone convergence theorem (Theorem 5C) that |f | L(I). Note also that |fn (x)| |f (x)|
for every x I. It follows from the Dominated convergence theorem (Theorem 6A) that f L(I), and
that
Z Bn
Z
Z
f (x) dx.
fn (x) dx = lim
f (x) dx = lim
n
Note that this holds for every increasing sequence Bn as n , and so the equality (1) follows
immediately.
We also have the following two corresponding results. The proofs are technically similar.
THEOREM 7B. Suppose that I = (, B], where B R. Suppose also that the function f : I R
satisfies the following conditions:
(a) f L([A, B]) for every real number A B.
Z B
|f (x)| dx M for every real number A B.
A
Then f L(I), the limit

B
Z
lim
f (x) dx
A
exists, and
Z
Z
f (x) dx = lim
f (x) dx.
A
THEOREM 7C. Suppose that the function f : R R satisfies the following conditions:
(a) f L([A, B]) for every A, B R satisfying A B.
Z B
|f (x)| dx M for every A, B R satisfying A B.
A
Then f L(R), the limit

Z
lim
A
B
f (x) dx
A
exists, and
Z
Z
f (x) dx =
lim
A
B
f (x) dx.
A
page 2 of 4
W W L Chen, 1977, 2008
Example 7.1.1. Consider the function f : R R, given by f (x) = 1/(1 + x2 ) for every x R. It is
easy to check that for every A, B R satisfying A B, we have
Z B
Z B
|f (x)| dx =
f (x) dx = tan1 B tan1 A .
A
It follows from Theorem 7C that f L(R), and that

Z
Z
f (x) dx = lim
A
B
f (x) dx = .
Example 7.1.2. We shall demonstrate the importance of condition (b) in Theorem 7A. Define the
function f : [0, ) R as follows: For every n N, we write f (x) = n1 sin x for every x [n 1, n).
It is easy to check that for every real number B 0, we have
Z B
Z [B]
Z B
f (x) dx =
f (x) dx +
f (x) dx,
0
[B]
where [B] denotes the greatest integer not exceeding B. Then

B
f (x) dx =
0
[B] Z
X
n=1
f (x) dx +
n1
f (x) dx =
[B]
[B] Z
X
n=1
n1
sin x
dx +
n
[B]
sin x
dx
[B] + 1
[B]
2 X (1)n1
(1)[B] cos B
+
,
n=1
n
([B] + 1)
so that
lim
2 X (1)n1
(1)[B] cos B
2 log 2
f (x) dx =
+ lim
=
.
B
n=1
n
([B] + 1)
On the other hand, note that

Z
Z
|f (x)| dx
[B]
|f (x)| dx =
0
[B] Z
X
n1
n=1
|f (x)| dx =

[B]
X
sin x
1

dx = 2
n
n=1 n
n1
[B] Z
X
n=1
is not bounded above as B , so that condition (b) fails. We shall show that f 6 L([0, )). Suppose
on the contrary that f L([0, )). For every N N, define fN : [0, ) R by writing

|f (x)| if x < N ,
fN (x) =
0
if x N .
It is not difficult to see that the sequence of functions fN L([0, )) is increasing on [0, ), and that
fN (x) |f (x)| as N for every x [0, ). On the other hand, it follows from Theorem 4M
that |f | L([0, )); also |fN (x)| |f (x)| for every x [0, ). Hence by the Dominated convergence
theorem (Theorem 6A), the sequence
Z
fN (x) dx
0
is convergent. Note, however, that

Z
Z
fN (x) dx =
N
2X1
|f (x)| dx =
n=1 n
as N ,
a contradiction.
page 3 of 4
W W L Chen, 1977, 2008
7.2. Improper Riemann Integrals

We now study Lebesgue integrals from the viewpoint of improper integrals.
Definition. Suppose that A R. Suppose further that the function f : [A, ) R satisfies the
following conditions:
(a) f R([A, B]) for every real number B A.
Z B
(b) lim
f (x) dx exists.
B
Then we say that f is improper Riemann integrable on [A, ), and define the improper integral of f
over [A, ) by
Z
f (x) dx = lim
f (x) dx.
A
If we look at the Example 7.1.2, then we see that the existence of the improper integral does not imply
the existence of the Lebesgue integral. Corresponding to Theorem 7A, we have the following result.
THEOREM 7D. Suppose that A R. Suppose further that the function f : [A, ) R satisfies the
following conditions:
(a) f R([A, B]) for every real number B A.
Z B
|f (x)| dx M for every real number B A.
A
Then both f and |f | are improper Riemann integrable on [A, ). Furthermore, f L([A, )), and the
Lebesgue integral of f over [A, ) is equal to the improper Riemann integral of f over [A, ).
Proof. Clearly
B
|f (x)| dx
A
is an increasing function of B and is bounded above, so that it converges as B , so that |f | is

improper Riemann integrable on [A, ). On the other hand, clearly 0 |f (x)| f (x) 2|f (x)| for
every x [A, ). It follows that
Z
(|f (x)| f (x)) dx

A
is also an increasing function of B and is bounded above, so that it also converges as B . Hence
Z
f (x) dx
A
converges as B , so that f is improper Riemann integrable on [A, ). To complete the proof of

Theorem 7D, we note that by Theorem 4V, f L([A, B]) for every real number B A, and that the
Lebesgue integral of f over [A, B] is equal to the Riemann integral of f over [A, B]. The result now
follows from Theorem 7A.
We also have results corresponding to Theorems 7B and 7C.
page 4 of 4

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INTRODUCTION TO

W W L Chen, 1977, 2008.

7.1. Some Limiting Cases

Then f L(I), the limit

Chapter 7 : Lebesgue Integrals on Unbounded Intervals