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    An Introduction to Lebesgue Integration and Fourier Series
    An Introduction to Lebesgue Integration and Fourier Series
    An Introduction to Lebesgue Integration and Fourier Series
    Ebook291 pages2 hours

    An Introduction to Lebesgue Integration and Fourier Series

    By Howard J. Wilcox and David L. Myers

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    About this ebook

    This book arose out of the authors' desire to present Lebesgue integration and Fourier series on an undergraduate level, since most undergraduate texts do not cover this material or do so in a cursory way. The result is a clear, concise, well-organized introduction to such topics as the Riemann integral, measurable sets, properties of measurable sets, measurable functions, the Lebesgue integral, convergence and the Lebesgue integral, pointwise convergence of Fourier series and other subjects.
    The authors not only cover these topics in a useful and thorough way, they have taken pains to motivate the student by keeping the goals of the theory always in sight, justifying each step of the development in terms of those goals. In addition, whenever possible, new concepts are related to concepts already in the student's repertoire.
    Finally, to enable readers to test their grasp of the material, the text is supplemented by numerous examples and exercises. Mathematics students as well as students of engineering and science will find here a superb treatment, carefully thought out and well presented , that is ideal for a one semester course. The only prerequisite is a basic knowledge of advanced calculus, including the notions of compactness, continuity, uniform convergence and Riemann integration.

    LanguageEnglish
    PublisherDover Publications
    Release dateApr 30, 2012
    ISBN9780486137476
    An Introduction to Lebesgue Integration and Fourier Series

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      Book preview

      An Introduction to Lebesgue Integration and Fourier Series - Howard J. Wilcox

      BOOKS

      Preface

      This book arose out of our desire to present an introduction to Lebesgue Integration and Fourier Series in the second semester of our real variables course at Wellesley College. We found that most undergraduate texts do not cover these topics, or do so only in a cursory way. Graduate texts, we felt, lack motivation and depend on a level of sophistication not attained by most undergraduates.

      We feel this text could be used for a course lasting one semester or less (there are several optional sections, marked with an asterix, which could easily be omitted). We assume knowledge of advanced calculus, including the notions of compactness, continuity, uniform convergence and Riemann integration (i.e., a usual one-semester undergraduate course in advanced calculus). Therefore, the book would be suitable for advanced undergraduates and beginning graduate students.

      It is our intention throughout the book to motivate what we are doing. Goals of the theory are kept before the reader, and each step of the development is justified by reference to them. For example, the inadequacies of the Riemann integral are pointed out, and each new accomplishment of the Lebesgue theory is measured against the goal of overcoming these difficulties. In addition, each new concept is related to concepts already in the student’s repertoire, whenever this is possible. The Lebesgue integral is defined in terms precisely analogous to the Riemann-sum definition of the Riemann integral. The primary difference is that in Lebesgue’s approach, Lebesgue sums are formed relative to an .arbitrary partition of an interval containing the range of a bounded function, in contrast to Riemann’s partitioning of the domain.

      theory of Fourier series. Finally, pointwise convergence of Fourier series is discussed.

      CHAPTER 1

      The Riemann Integral

      1. Definition of the Riemann Integral

      The problem of finding the area of a plane region bounded by vertical lines x = a and x = b, the horizontal line y = 0, and the graph of the non-negative function y = f(x), is a very old one (although, of course, it has not always been stated in this terminology). The Greeks had a method which they applied successfully to simple cases such as f(x) = x². This method of exhaustion consisted essentially in approximating the area by figures whose areas were known already—such as rectangles and triangles. Then an appropriate limit was taken to obtain the result.

      In the seventeenth century, Newton and Leibnitz independently found an easy method for solving the problem. The area is given by F(b)–F(a), where F is an antiderivative of f. This is the familiar Fundamental Theorem of Calculus; it reduced the problem of finding areas to that of finding antiderivatives.

      be defined rigorously for as wide a class of functions as possible?

      In the middle of the nineteenth century, Cauchy and Riemann put the theory of integration on a firm footing. They described—at least theoretically—how to carry out the program of the Greeks for any function f. The result is the definition of what is now called the Riemann integral of f. This is the integral studied in standard calculus courses.

      1.1 Definition: A partition P of a closed interval [a,b] is a finite sequence (x0,x1, . . . xn) such that a = x0 < x1 < . . . < xn = b. The norm (or width, or mesh) of P, denoted ||P||, is defìned by

      That is, ||P|| is the length of the longest of the subintervals [x0,x1], [x2,x3], . . . , [xn−1, xn].

      1.2 Definition: Let P = (x0, . . . ,xn) be a partition of [a,b], and let f be defined on [a,b]. For each i = 1, . . . ,n, let xi* be an arbitrary point in the interval [xi−1,xi]. Then any sum of the form

      is called a Riemann sum of f relative to P.

      Notice that R(f,P) is not completely determined by f and P; it depends also on the choice of the elements xi*. For a non-negative function f, R(f,P) is the sum of the areas of rectangles approximating the area under the graph of f (see diagram).

      Now we take a limit of our approximating areas.

      1.3 Definition: A function f is Riemann integrable on [a,b] if there is a real number R such that for any ε > 0, there exists a δ > 0 such that for any partition P of [a,b] satisfying ||P|| < δ, and for any Riemann sum R(f P) of f relative to P, we have |R(f,P) — R| < ε.

      We can rewrite this in logical shorthand as: f is integrable on [a,b] if there is a number R such that

      where we must remember the meanings of P and R(f,P).

      What is this number R? First of all, there can be at most one number R which satisfies the condition. For, suppose that R and R’ both worked; then we could take ε = (1/2) |R − R’| . As the reader can verify (Exercise 5.2), this would entail the existence of a Riemann sum R(f,P) satisfying both |R(f,P) − R | < ε and |R(f,P) − R’ | < ε. An application of the triangle inequality yields a contradiction. Since at most one number R can satisfy our definition, and it is evidently the limit of the Riemann sums, we define it, if it exists, to be the Riemann integral of f on [a,b(For f non-negative, we also define this number to be the area we have described above.)

      The fact that the definition of integrability is a kind of limit will be emphasized if we write down the usual definition of a function H having a limit as x approaches 0:

      there is a real number b such that

      where we understand that x is restricted to the domain of Hin this case, we might write

      for the integral. But we must keep in mind that this is only an abbreviation of the (necessarily) involved ε − δ definition. The difference between the two types of limits, arising mainly from the fact that R(f,PP , whereas H is a function of x, should also be noted.

      The definition itself gives no direct means of finding R. If we restrict ourselves for the moment to non-negative functions, more information about the area R can be obtained by considering rectangles lying entirely below the graph of f, and rectangles whose tops lie above the graph of f. Then it would seem reasonable that the area R should lie between the area of the inner rectangles and the area of the outer rectangles. In fact, it turns out that f is integrable if and only if inner and outer rectangles can be found whose total areas are arbitrarily close to each other. This is the content of Theorem 1.6 below. Note that this theorem holds for any function (not necessarily non-negative).

      Before we state the theorem, we need to introduce some useful notation. Note that the tops of the outer rectangles define a function, except for some ambiguity at the shared boundaries between two rectangles (and similarly for the inner rectangles). Furthermore, such a function has a particularly nice form.

      1.4 Definition: A function g, defined on [a,b], is a step function if there is a partition P = (x0,x1, . . . ,xn) such that g is constant on each open subinterval (xi−1,xi), for i = 1, . . . ,n. (The values of g(x0), . . . ,g(xn) are irrelevant.)

      Notice that a step function on [a,b] has finitely many values. Furthermore, a step function is Riemann integrable, and the value of its integral is the obvious area given in the following proposition.

      1.5 Proposition: Any step function g on [a,b] is Riemann integrable. Furthermore, if g(x) = ci for x ∈ (xi−1, xi), where (x0, . . . ,xn) is a partition of [a,b] , then

      (Notice that the values of g at x0, . . . ,xn have no effect on the integral.)

      Proof: See Exercise 5.5.

      Now we are ready for the theorem.

      1.6 Theorem: A function f, defined on [a,b] , is Riemann integrable on [a,b] if and only if for every ε > 0, there are step functions f1, and f2 such that

      f1(x)≤ f(x)≥ f2 (x) for all x ∈ [a,b],

      and

      Proof: See Exercise 5.11. Note that if f is Riemann integrable, then f is bounded (Exercise 5.9).

      1.7 Corollary: If f is Riemann integrable on [a,b], then

      2. Properties of the Riemann Integral

      We state here for future reference some of the fundamental properties of the Riemann integral. Proofs of these can be found in any standard text on advanced calculus or analysis.

      2.1 Theorem (Linearity): If f and g are Riemann integrable on [a,b] , so are cf (for any real number c), and f + g. Furthermore,

      and

      2.2 Theorem (Addiitivity): If a < c < b, then f is integrable on [a,b] if and only if f is integrable on both [a,c] and [c,b] . Furthermore,

      2.3 Theorem (Monotonicity): If f(x) ≤ g(x) for all x ∈ [a,b], and if f and g are Riemann integrable on [a,b], then

      2.4 Corollary: If there are real constants m and M such that m ≤ f(x) ≤ M for all x ∈ [a,b], then

      2.5 Theorem: Any function which is continuous on [a,b] is Riemann in-grable on [a,b].

      2.6 Theorem: Any function which is monotone on [a,b] is Riemann integrable on [a,b].

      Using Theorem 2.2 and Exercise 5.5, we can extend the last two existence theorems to bounded piecewise continuous or bounded piecewise monotone functions.

      Finally, the Fundamental Theorem of Calculus.

      2.7 Theorem: Let U be an open interval containing [a,b]. If f is continuous on U and F is an antiderivative of f on U, then

      3. Examples

      We have stated in the last section that any piecewise continuous or piecewise monotone function is Riemann integrable. We will now present two important examples of functions which are bounded but are neither piecewise continuous nor piecewise monotone. One will turn out to be Riemann integrable, and the other will not.

      3.1 Definition: With any set of real numbers A, we associate a function χA, called the characteristic function of A, defined by

      3.2 Example: Let Q be the set of rational numbers. Then χQ is bounded, but is neither piecewise continuous nor piecewise monotone, and it is not Riemann integrable on [0.1]. In fact, if f1 and f2 are step functions such that f1 ≤ χQ ≤ f2, then there is an irrational x in each subinterval on which f1 is constant, so that for that x,

      Therefore, except at finitely many points (the points of the partition for f1), we have f1(xby Corollary 2.4 and Exercise 5.5.

      On the other hand, there is a rational number x in each interval on which f2 is constant, so that f2(x) ≥ χQ(xcannot be made arbitrarily small, as required for integrability, by Theorem 1.6.

      It is one of the advantages of the Lebesgue theory, to be introduced soon, that χQ will be Legesgue integrable. We will find its Lebesgue integral on [0,1] to equal 0.

      3.3 Example: Now we present a function which is neither piecewise monotone nor piecewise continuous, but which surprisingly enough is Riemann integrable. Let us agree for the purposes of this example to write non-zero rational numbers only in the form p/q, where q ≠ 0 and p and q are integers having no factors in common (that is, p/q is written in lowest terms). Then define

      Then g is continuous at each irrational and discontinuous at each rational (Exercise 5.23). Thus g is not quite as discontinuous as χQ, which is discontinuous at every point (Exercise 5.22). As part of our study of the Lebesgue integral, we will see just how discontinuous a Riemann integrable function can be (see Theorem 29.2). It

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