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11

Lebesgue integrals

497

>

c. What is A y |dx dy|?

4.10.18 What is the volume of the part of the ball of equation x2 + y 2 + z 2 4

where z 2 x2 + y 2 , z > 0?

4.10.19 Let Q = [0, 1] [0, 1] be the unit square in R2 , and let : R2 R2

be given by

u v2

u

=

and A = (Q).

2

v

u +v

a. Sketch A, by computing the image of each of the sides of Q (they are all

arcs of parabolas).

b. Show that : Q A is 11.

>

c. What is A x |dx dy| ?

Change of variables for exercise

4.10.20:

3

u

(w 1)u

v = (w3 + 1)v .

w

w

4.10.20

Solve exercise 4.5.19 again, using the change of variables in the margin.

;

(r(x))2 |d3 x|, where r(x) is the distance from x to the axis.

X

body obtained by rotating the region 0 y f (x), a x b around the x-axis.

What is the moment of inertia of B around the x-axis?

2

2

This new integral of Lebesgue is proving itself a wonderful tool. I

might compare it with a modern Krupp gun, so easily does it penetrate

barriers which were impregnable.Edward Van Vleck, Bulletin of the

American Mathematical Society, vol. 23, 1916.

So far we have restricted ourselves to integrals of bounded functions with

bounded support, whose upper and lower sums are equal. In this section

we will study Lebesgue integration, which has three advantages:

1. Lebesgue integrals exist for functions that are unbounded and/or

have unbounded support (although for a function to be Lebesgue

integrable, the area under the graph must be nite).

2. Lebesgue integrals exist for functions plagued with the kind of local

nonsense that we saw in the function that is 1 at rational numbers

in [0, 1] and 0 elsewhere (example 4.3.3). The Lebesgue integral

ignores local nonsense on sets of measure 0.

3. Lebesgue integrals are better behaved with respect to limits.

498

standard one. The usual way of

dening the Lebesgue integral

;

f (x)|dn x|

Rn

small intervals Ii = [xi , xi+1 ], and

to approximate the integral by

xi (f 1 (Ii )),

i

then letting the decomposition of

the codomain become arbitrarily

ne. Of course, this requires saying what subsets are measurable,

and dening their measure. This

is the main task with the standard

approach, and for this reason the

theory of Lebesgue integration is

often called measure theory.

It is surprising how much more

powerful the theory is when one

decomposes the codomain rather

than the domain. But one pays a

price: it isnt at all clear how one

would approximate a Lebesgue integral: guring out what the sets

f 1 (Ii ) are, never mind nding

their measure, is dicult or impossible even for the simplest functions.

We take a dierent tack, building on the theory of Riemann integrals, and dening the integral

directly by taking limits of functions that are Riemann integrable.

We get measure theory at the end

as a byproduct.

Chapter 4.

Integration

did we put so much emphasis on Riemann integration earlier in this chapter?

Riemann integrals have one great advantage over Lebesgue integrals: they

can be computed using Riemann sums. Lebesgue integrals can only be computed via Riemann integrals (or perhaps by using Monte Carlo methods).

Thus our approach is in keeping with our emphasis on computationally

eective algorithms.

Before dening the Lebesgue integral, we will discuss the behavior of

Riemann integrals with respect to limits.

The behavior of integrals under limits is often important. Here we give the

best general statements about Riemann integrals and limits.

We would like to be able to say that if fk is a convergent sequence of

functions, then, as k ,

;

;

lim fk = lim fk .

4.11.1

In one setting this is true and straightforward: when fk is a uniformly

convergent sequence of integrable functions, all with support in the same

bounded set. The key condition in denition 4.11.1 is that given

, the

same K works for all x.

Denition

in

4.11.1 (Uniform convergence). A sequence of functions

fk : Rn R converges uniformly to a function f if for every

> 0, there

exists K such that when k K, then, for all x Rn , |fk (x) f (x)| <

.

The three sequences of functions in example 4.11.3 do not converge uniformly, although they do converge. Uniform convergence on all of Rn isnt

a very common phenomenon, unless something is done to cut down the

domain. For instance, suppose that

pk (x) = a0,k + a1,k x + + am,k xm

4.11.2

converges in the obvious sense that for each degree i (i.e., each xi ),

the sequence of coecients ai,0 , ai,1 , ai,2 , . . . converges. Then pk does not

converge uniformly on R. But for any bounded set A, the sequence pk 1A

does converge uniformly.69

69

We use pk 1A because we will use such restrictions in integration, and we use the

indicator function 1 to dene the integral over a subset A:

;

;

p(x) =

p(x)1A (x).

A

Rn

4.11

study Lebesgue integrals. An essential one is the Fourier transform, the fundamental tool of engineering and signal processing,

not to mention harmonic analysis. (The Fourier transform is discussed at the end of this section.)

Lebesgue integrals are also ubiquitous in probability theory.

Lebesgue integrals

499

Theorem

in

4.11.2 (Convergence for Riemann integrals). Let fk

be a sequence of bounded integrable functions, all with support in a

xed ball B Rn , and converging uniformly to a function f . Then f is

integrable, and

;

;

lim

fk (x) |dn x| =

f (x) |dn x|.

4.11.3

k

Rn

Rn

Proof. Choose

> 0 and K so large that supxRn |f (x) fk (x)| <

when

k > K. Then when k > K, we have, for any N ,

LN (f ) > LN (fk )

voln (B)

voln (B).

4.11.4

; we get

Equation 4.11.4: If you picture

this as Riemann sums in one variable, is the dierence between

the height of the lower rectangles

for f , and the height of the lower

rectangles for fk , while the total width of all the rectangles is

vol1 (B), since B is the support for

fk .

verify that mass is indeed lost in

the three sequences of functions in

example 4.11.3.

UN (f ) LN (f ) UN (fk ) LN (fk ) +2

voln (B),

$

%&

'

4.11.5

<

(1 + 2 voln (B)).

In many cases theorem 4.11.2 is good enough, but it cannot deal with

unbounded functions or functions with unbounded support. Example 4.11.3

shows some of the things that can go wrong.

Example 4.11.3 (Cases where the mass of an integral gets lost).

Here are three sequences of functions where the limit of the integral is not

the integral of the limit.

1. When fk is dened by

1

if k x k + 1

fk (x) =

4.11.6

0

otherwise,

the mass of the integral is contained in a square 1 high and 1 wide. As

k this mass drifts o to innity and gets lost:

;

;

;

lim

fk (x) dx = 1, but

lim fk (x) dx =

0 dx = 0. 4.11.7

k

fk (x) =

if 0 < x

otherwise,

1

k

4.11.8

the mass of the integral is contained in a rectangle k high and 1/k wide.

As k , the height of the rectangle tends to and its width to 0:

; 1

; 1

; 1

lim

fk (x) dx = 1, but

lim fk (x) dx =

0 dx = 0.

4.11.9

k

0 k

integrable using the Riemann integral. Let us make a list a1 , a2 , . . . of the

rational numbers between 0 and 1. Now dene

1

if x {a1 , . . . , ak }

fk (x) =

4.11.10

0

otherwise.

500

Chapter 4.

Integration

Then we have

fk (x) dx = 0

for all k,

4.11.11

irrationals between 0 and 1, and hence not integrable.

Figure 4.11.1.

Henri Lebesgue (18751941)

After Lebesgues father died of

tuberculosis, leaving three children, the oldest ve years old,

his mother cleaned houses to support them. Lebesgue later wrote,

My rst good fortune was to be

born to intelligent parents, then

to have been sickly and extremely

poor, which kept me from violent

games and distractions, . . . and

most of all to have an extraordinary mother even for France, this

country of good mothers.

When one of Lebesgues students apprehensively arrived for

her rst teaching job, in which

she was to replace a popular substitute teacher, she found a note

from him waiting for her. Faitesvous aimer l`

a-bas comme partout,

he had written (make yourself

beloved there as you are everywhere). It was a ray of sunshine, she recalled in a note published in Message dun mathematicien: Henri Lebesgue, pour le

centenaire de sa naissance, Paris,

A. Blanchard, 1974.

Proposition 4.11.5 is proved in

appendix A.22.

The pitfalls of disappearing mass can be avoided by the dominated convergence theorem for Riemann integrals, theorem 4.11.4. In practice this

theorem is not as useful as one might hope, because the hypothesis that

the limit is Riemann integrable is rarely satised unless the convergence is

uniform, in which case the much easier theorem 4.11.2 applies. But theorem 4.11.4 is the key tool in our approach to Lebesgue integration. The

proof, in appendix A.22, is quite dicult and very tricky.

Theorem

in

4.11.4 (The dominated convergence theorem for

Riemann integrals). Let fk : Rn R be a sequence of integrable

functions. Suppose there exists R such that all fk have their support in

BR , and all satisfy |fk | R. Let f : Rn R be an integrable function

such that the set of x where limk fk (x)

= f (x) has measure 0. Then

;

;

lim

fk (x) |dn x| =

f (x) |dn x|.

4.11.12

k

Rn

Rn

The weakness of theorem 4.11.4 is that we have to know that the limit is

integrable. Usually we dont know this; most often, we need to deal with

the limit of a sequence of functions, and all we know is that it is a limit. But

we will now see that theorem 4.11.4 can be used to construct the Lebesgue

integral, which is much better behaved under limits.

We abbreviate Riemann integrable as R-integrable and Lebesgueintegrable as L-integrable.

Proposition

in

4.11.5 (Convergence except on a set of measure 0).

If fk for k = 1, 2, . . . are Riemann-integrable functions on Rn such that

;

|fk (x)||dn x| = A < ,

4.11.13

k=1

Rn

k=1

everywhere. So in proposition 4.11.5 we could simply say that the sum

converges almost everywhere (or a.e.).)

We can now dene equal in the sense of Lebesgue, denoted =.

L

4.11

This notion of Lebesgue equality is fairly subtle, as sets of measure 0 can be quite complicated.

For instance, if you only know a

function almost everywhere, then

you can never evaluate it at any

point: you never know whether

this is a point at which you know

the function. The moral: functions that you know except on a

set of measure 0 should only appear under integral signs.

Lebesgue integration is superior to Riemann integration. It

does not require functions to be

bounded with bounded support, it

ignores local nonsense on sets

of measure 0, and it is better behaved with respect to limits.

But if you want to compute

integrals, the Riemann integral is

still essential. Lebesgue integrals

are more or less uncomputable unless you know a function as a limit

of Riemann-integrable functions in

an appropriate sense in the sense

of proposition 4.11.5, for instance.

Lebesgue integrals

501

Denition

in

4.11.6 (Lebesgue equality). Let fk , gk be two sequences

of R-integrable functions such that

;

;

n

|fk (x)||d x| < and

|gk (x)||dn x| < . 4.11.14

k=1

Rn

Rn

k=1

fk =

L

k=1

gk

if

k=1

fk (x) =

k=1

gk (x)

a.e.

4.11.15

k=1

is proved after denition 4.11.8.

Theorem

in

4.11.7. Let fk , gk be two sequences of R-integrable functions

such that

;

;

n

|fk (x)||d x| < ,

|gk (x)||dn x| < ,

4.11.16

k=1

Rn

Rn

k=1

and

fk =

L

k=1

Then

;

Rn

k=1

fk (x)|d x| =

gk .

4.11.17

k=1

;

k=1

Rn

gk (x)|dn x|.

4.11.18

functions as in 4.11.13 depends only on f and not on the series. So we can

now dene the Lebesgue integral.

Note that the series on the right

of equation 4.11.20 is convergent,

since (by part 4 of proposition

4.1.14) it is absolutely convergent:

;

n

f

(x)|d

x|

n k

R

;

Rn

Denition

in

4.11.8 (Lebesgue integral). Let fk be a sequence of Rintegrable functions such that

;

|fk (x)||dn x| < .

4.11.19

k=1

Rn

L

;

Rn

f (x)|dn x| =

fk is

k=1

;

k=1

Rn

fk (x)|dn x|.

4.11.20

502

Equation 4.11.18:

;

fk (x)|dn x|

n

k=1 R

;

n

k=1 R

gk (x)|dn x|.

Chapter 4.

Integration

l

Proof of theorem 4.11.7. Set hk = fk gk , and Hl = k=1 hk . To

prove equation 4.11.18 (repeated in the margin), we need to show that

;

lim

Hl (x) |dn x| = 0.

4.11.21

l

Rn

0 almost everywhere (by equation 4.11.17); if in addition they all have

support in BR (0) and |Hl | R for all l, then Hl meets the conditions for

fk in theorem 4.11.4, so

;

theorem 4.11.4.

To go from equation 4.11.22 to

equation 4.11.23, we can switch

integral and sum because the sum

is nite. (Remember that Hl in

equation 4.11.22 is a nite sum.)

By the

denitions

of fk and gk ,

>

the series

|hk | is convergent,

k

so by choosing M large enough, we

can make the tail of the series as

small as we like. This is why we

choose M rst, then the R of the

truncation.

The denition of [Hl ]R may be

easier to understand if equation

4.11.26 is rewritten as follows:

[Hl ]R (x) =

0

if |x| > R

R

if |x| R, Hl (x) > R

R

if |x| R, Hl (x) < R

Hl (x) otherwise.

The virtue of dening [Hl ]R as in

equation 4.11.26 is that it shows

that [Hl ]R is Riemann-integrable

(see corollary 4.3.5).

lim

Rn

Hl (x) |dn x| = 0

4.11.22

which gives

lim

l ;

k=1

Rn

hk (x) |dn x| = 0,

4.11.23

Our strategy will be to reduce the general case, where Hl is not bounded

with bounded support, to this one, by appropriately truncating the Hl :

we will dene the truncation [Hl ]R and we will consider Hl as the sum

[Hl ]R +Hl [Hl ]R and consider separately the integral of [Hl ]R (see equation

4.11.27) and the integral of Hl [Hl ]R (the remainder of the proof).

Choose

> 0 and choose M such that

;

|hk (x)||dn x| <

,

4.11.24

k=M +1

Rn

;

|Hl (x) HM (x)||dn x|

Rn

;

l

k=M +1

|hk (x)||dn x|

Rn

k=M +1

Rn

4.11.25

|hk (x)||d x| <

.

n

Next choose R such that sup |HM (x)| < R/2 and HM (x) = 0 when

|x| R. We dene the R-truncation of Hl , denoted by [Hl ]R , by the

formula

[f ]R = sup R1BR (0) , inf R1BR (0) , f ,

4.11.26

illustrated by gure 4.11.2, and shown in another form in the margin. These

[Hl ]R form a sequence of Riemann-integrable functions all with support in

BR (0), satisfying |[Hl ]R | R and (by equation 4.11.17) tending to 0 almost

everywhere, so, by theorem 4.11.4,

;

lim

[Hl ]R (x) |dn x| = 0.

4.11.27

l Rn

$

%&

'

main motor of the proof

4.11

Lebesgue integrals

503

cubes is 2/R:

We have now done most of the work (the hard part was proving theorem

4.11.4). But for l > M , we still need to deal with the dierence

> UN |Hl HM |

MC |Hl HM | voln C

=

CDN (Rn )

MC |Hl HM | voln C

CDN (Rn)

CA

R

R

voln C =

voln A.

2

2

(Rn)

CDN

CA

R

BR (0)

, so we only need

to consider the integral of |[Hl ]R HM |. Outside BR (0) we have HM = 0

and [Hl ]R = 0, so we need only consider

;

[Hl ]R HM (x)|dn x|.

4.11.29

BR (0)

To see that this integral is small, rst nd N such that UN (|Hl HM |) <

.

Then consider the union A of the cubes C DN (Rn ) that intersect BR (0)

and where MC (|Hl HM |) > R/2. Since the upper sum UN (|Hl HM |)

is small, A must have small volume; the computation in the margin shows

that it is at most 2

/R.

Let B be the union of the cubes C DN (Rn ) that intersect BR (0) and

such that MC (|Hl HM |) R/2; on these,

|Hl | |Hl HM | + |HM | R/2 + R/2 = R

Figure 4.11.2.

4.11.28

4.11.30

(remember that sup |HM (x)| < R/2), so on B, we have [Hl ]R = Hl . Thus70

;

[Hl ]R (x) HM (x)|dn x|

BR (0)

;

;

n

]

(x)

H

(x)

x|

+

[Hl R

[Hl ]R (x) HM (x)|dn x|

|d

M

A

B

;

3R

n

4.11.31

voln (A) + Hl (x) HM (x)|d x| 3

+

= 4

.

2

B

$

%&

'

see equation 4.11.26. The thin line

is the graph of f ; the dark line

inf(R1BR (0) , f ). We take the sup

of the dark line and R1BR(0) ,

to get the thick, light gray line

representing [f ]R .

;

;

n

n

lim

Hl (x) |d x| = lim

[Hl ]R (x) |d x| + lim

(Hl (x) [Hl ]R (x)) |dn x| .

l Rn

l Rn

l Rn

$

%&

' $

%&

'

;

0 by equation 4.11.27

4.11.32

0 as shown below

> 0, then M satisfying equation 4.11.24, then R as above (text immediately before equation

4.11.26). For these choices we have shown that for all l > M , we have

;

;

;

n

n

Hl (x) [Hl ]R (x) |d x| =

Hl (x) HM (x) |d x| [Hl ]R (x) HM (x) |dn x| .

4.11.33

n

Rn

Rn

$

%&

' $R

%&

'

4 by eq. 4.11.31

So

;

lim

l

70

Rn

Equation 4.11.31: To get the 3R/2 in the last line, remember that

sup |HM (x)| < R/2

and

|[Hl ]R (x)| R.

4.11.34

504

Chapter 4.

Integration

All the integrals we computed earlier in this book are examples of Lebesgue

integrals, because of the following result.

Proposition 4.11.9 justies using the same integration symbol

for Lebesgue integrals that we use

for Riemann integrals.

Proposition

in

4.11.9. If f is R-integrable, then it is L-integrable, and

its Lebesgue integral equals its Riemann integral.

Proof. Just take f1 = f , and set fk = 0 for k = 2, 3, . . . . Clearly

everywhere, and

;

;

n

|fk (x)||d x| = |f1 (x)||dn x| <

k=1

;

k=1

fk = f

4.11.35

;

fk (x)|dn x| =

%&

'

Lebesgue integral

f1 (x)|dn x| <

$

%&

'

4.11.36

Riemann integral

We now have a denition of the integral for all sorts of functions that

we couldnt have previously thought of integrating.

Example 4.11.10: Actually, we

are being too fancy. We could just

take all fk = 0; they converge to

0 everywhere, hence they converge

to f except on the rationals, which

forms a set of measure 0. Thus the

sort of local nonsense involved

in this function does not aect the

Lebesgue integral.

The function in example 4.11.10

is what we consider a pathological function, not really a good

example of the power of Lebesgue

integration.

The functions given in examples 4.11.11 and 4.11.12 are closer

to our real motivation for introducing Lebesgue integrals. Such

integrals show up everywhere in

physics, for example.

Let f be the indicator function of the rationals, i.e.,

1

if x Q

f (x) =

4.11.37

0

otherwise.

It can be written f =

fk , as follows. Let a1 , a2 , . . . be a list of the

rational numbers, and consider the functions

1

if x = ak

fk (x) =

4.11.38

0

otherwise.

All the fk have integral 0 (they are 0 except at one point), so f is Lintegrable and has integral 0.

Example 4.11.11 (An integrable function with unbounded support). In one variable, you probably studied improper integrals of functions that are not bounded or do not have bounded support: integrals like

;

1

dx = [arctan x] =

4.11.39

2

1

+

x

xn ex dx = n!

4.11.40

1

dx = [2 x]10 = 2.

x

4.11.41

;

0

4.11

B2

B1

The function

B0

f (x) =

Figure 4.11.3.

Example 4.11.11: In R2 , the

boundaries of the Bi form a sequence of concentric circles: B0 is

the unit disc, B1 is the circular

strip between the circle of radius

1 and the circle of radius 2, and so

forth.

1

2

505

;

1

|dn x|.

4.11.42

n+1

Rn 1 + |x|

B3

1

4

Lebesgue integrals

ln x

Figure 4.11.4.

Example 4.11.12: We consider

f (x) = 1[0,1] (x) ln x

L

that is ln x between 1/2 and 1 and

0 elsewhere, plus the function that

is ln x between 1/4 and 1/2 and 0

elsewhere, plus the function that

is ln x between 1/8 and 1/4 and 0

elsewhere, . . . .

1

1 + |x|m

4.11.43

?

@

4.11.44

Bi = x Rn 2i1 < |x| 2i , for i = 1, 2, . . .

and set B0 to be the unit ball. (We could set 2i1 |x| 2i ; this would

not aect any integrals, since the overlap would be a set of measure 0.)

Then

1

fi , where fi = 1Bi

.

4.11.45

f=

1

+

|x|m

i=0

(The function f0 is identical to f on the unit ball, and 0 elsewhere; f1 is

identical to f on B1 , and 0 elsewhere, . . . .)

Clearly the fi are R-integrable: they are bounded with bounded support,

and continuous except on two spheres, which certainly have measure 0.

Thus the substance of this example is to show that

;

fi (x)|dn x| < .

4.11.46

i=1

Rn

B1 to Bi . The change of variables formula gives

;

;

;

1

|fi (x)||dn x| =

f (x)|dn x| =

|dn x|

m

Rn

Bi

Bi 1 + |x|

;

1

det[Di (x)]|dn x|

=

(x)

i

1 + |x|m

B1

;

;

1

2(i1)n

(i1)n n

=

2

|d

x|

|dn x|

i1

m

(i1)m

m

1

+

|2

x|

2

|x|

B1

B1

;

1

(i1)(nm)

n

=2

|d x|.

4.11.47

m

B1 |x|

If m > n, this geometric series converges, since the sum i 2(i1)(nm)

converges when m > n.

Example 4.11.12 (An unbounded, integrable function). The function f (x) = 1[0,1] (x) ln x is L-integrable, even though it isnt bounded. As

L

shown in gure 4.11.4, it can be written as a sum of bounded functions:

f (x) =

L

i=0

fi (x),

where fi = 1(2(i+1) ,2i ] (x) ln x.

4.11.48

506

Chapter 4.

Integration

; 1/2i

|ln x| dx

i=0

generalization of improper integrals: some integrals exist as improper integrals that do not exist

as Lebesgue integrals. But there

is no version of Fubinis theorem

or the change of variables formula

for improper integrals that depend

on cancellations, and Lebesgue integration wisely forbids them.

4.11.49

1/2i+1

Some improper one-dimensional integrals do not correspond to Lebesgueintegrable functions: integrals whose existence depends on cancellations,

like

;

sin x

dx.

4.11.50

x

0

As you may recall from one-variable calculus, this improper integral is dened to be

; A

sin x

lim

dx,

4.11.51

A 0

x

and we can show that the limit exists, for instance, by saying that the series

; (k+1)

sin x

dx

4.11.52

x

k

k=0

justify the argument in example

4.11.13.

works only because positive and negative terms cancel: the area between

the graph of sin x/x and the x axis is innite, and there is no limit

; A

sin x

dx.

lim

4.11.53

A 0 x

The integral in equation 4.11.50 does not exist as a Lebesgue integral. By

our denition, f is L-integrable implies that |f | is L-integrable, which is

not the case here. Note that we would not want this integral to exist, since

the change of variables formula fails for this sort of improper integral (see

exercise 4.11.17).

Just as Riemann integrals are

used to dene volume, Lebesgue

integrals can be used to dene

volume in the sense of Lebesgue,

known as measure. This is discussed in appendix A.22.

Proposition

in

4.11.14 (The Lebesgue integral is linear). If f and g

are L-integrable and a, b are constants, then af + bg is L-integrable and

;

;

;

(af + bg)(x)|dn x| = a

f (x)|dn x| + b

g(x)|dn x|.

Rn

Rn

Rn

Proof. If f = fk and g = gk , then af + bg = (afk + bgk ). Indeed,

L

L

L

the series (afk + bgk ) will converge except on the union of the sets where

the series k |f (x)| and k |g(x)| diverge, and the union of two sets of

4.11

Lebesgue integrals

507

measure 0 is still of measure 0 (see theorem 4.4.4). For x not in this set, the

result follows from the corresponding statement for series of numbers.

It is not true that the product of two L-integrable functions is necessarily

1[1,1] (x)

L-integrable; for instance, the function

is L-integrable, but its

|x|

square is not. However, we have the following result.

Proposition

in

4.11.15. If f is L-integrable on Rn , and g is R-integrable

n

on R , then f g is L-integrable.

Proof. Since f is L-integrable, we can set f = k fk , where the functions

L

fk are R-integrable and

;

|fk (x)| ||dn x| < .

4.11.54

k

Rn

L

have

;

;

n

|fk g(x)| ||d x| sup(|g|)

|fk (x)| ||dn x| < .

4.11.55

k

Rn

Rn

Therefore f g is L-integrable.

We use the symbol to mean less than or equal except for x on a set

L

of measure 0.

Proposition

in

4.11.16. If f and g are L-integrable and f g, then

;

Rn

f (x)|dn x|

Rn

g(x)|dn x|.

4.11.56

Proof. By proposition

> 4.11.14, the statement is equivalent to saying that

0 g f implies 0 Rn (g f )(x) |dn x|. Replace g f by f ; the statement

L

>

becomes 0 f = 0 Rn f (x)|dn x|. Assume 0 f , and write

L

f=

L

fk

k=1

;

k=1

Rn

4.11.57

Dene

Fm =

m

fk ,

H0 = 0,

k=1

hk = Hk Hk1 .

4.11.58

508

Chapter 4.

Integration

If Fk1 (x) 0, Fk (x) 0, then |hk (x)| = |fk (x)|

If Fk1 (x) 0, Fk (x) < 0, then |hk (x)| = |0 Fk1 (x)| < |Fk (x) Fk1 (x)| = |fk (x)|

If Fk1 (x) < 0, Fk (x) 0, then |hk (x)| = |Fk (x) 0| < |Fk (x) Fk1 (x)| = |fk (x)|

If Fk1 (x) < 0, Fk (x) < 0, then |hk (x)| = 0 |fk (x)|.

|fk | = |hk |

.

0

an R-integrable function for every k, so by theorem 4.11.4,

;

Fk1 = Hk1 Fk = Hk

case 1

k=1

|fk |

|hk |

Fk1 0 = Hk1

Fk = Hk

case 2

Fk

0 = Hk

Fk1 = Hk1

h2

hm1

4.11.59

h1

L

limm Hm (x) = f (x) a.e. Thus we have f (x) = k=1 hk (x), and

k=1

;

Rn

f (x)|dn x| =

;

k=1

= lim

Rn

and

$ %& ' $ %& '

$

%&

' $

%&

'

Figure 4.11.5.

In all three cases above, since

Rn

write Hm as

so limm Hm (x) =

|hk |

;

k=1

hm

|fk |

case 3

Rn

|hk (x)||dn x|

hk (x)|dn x|

m ;

k=1

Rn

4.11.61

;

hk (x)|dn x| = lim

Rn

Hm (x) 0.

we have

|hk | |fk |.

In case 1, we could have

Fk < Fk1 ,

since the fk can be negative, but

this would not change the result.

Case 4 is obvious.

The important theorems about Lebesgue integrals are Fubinis theorem

(theorem 4.11.20), the change of variables theorem (theorem 4.11.21), the

monotone convergence theorem (proposition A22.1), and the dominated

convergence theorem (theorem 4.11.19). They are all easier to state for

Lebesgue integrals than for Riemann integrals.

We start with theorem 4.11.17 on series; this isnt the usual way to

approach the topic, but in our treatment of Lebesgue integrals, theorem

4.11.17 is the foundational result. It is proved in appendix A.22. Note

that we are not assuming (as we do in denition 4.11.8) that the fk are

Riemann-integrable. If the fk are Riemann-integrable, the statement is

simply the denition of the Lebesgue integral.

4.11

Lebesgue integrals

509

Theorem

in

4.11.17 (A rst limit theorem for Lebesgue integrals).

Let fk be a series of L-integrable functions such that

;

|fk (x)||dn x| < .

4.11.62

Rn

k=1

Then f (x) =

k=1

integrable, and

;

;

f (x)|dn x| =

Rn

Rn

fk (x)|dn x| =

k=1

;

k=1

Rn

fk (x)|dn x|.

4.11.63

L-integrable functions, and the increasing sequence of numbers

;

;

;

n

n

f1 (x)|d x|

f2 (x)|d x|

f3 (x)|dn x| . . .

4.11.64

Rn

monotone decreasing sequences

that are bounded below by an Lintegrable function.

Rn

Rn

is bounded, then f = supk fk is L-integrable. Such a function can have horrible local behavior; the theorem asserts that the horrible behavior occurs

only on a set of measure 0, and that the Lebesgue integral doesnt see it.

Theorem

in

4.11.18. (Monotone convergence theorem: Lebesgue

integrals). Let 0 f1 f2 . . . be a sequence of L-integrable nonL

negative functions. If

;

sup

k

Rn

fk (x)|dn x| < ,

4.11.65

then the limit f (x) = limk fk (x) exists for almost all x, the function

f is L-integrable, and

;

;

f (x)|dn x| = sup

fk (x)|dn x|.

4.11.66

Rn

Rn

f = f1 + (f2 f1 ) + + (fk fk1 ) + = g1 + g2 + + gk + .

dominated by F . It and theorem 4.11.19 are proved in appendix A.22.

Theorem

in

4.11.19 (Dominated convergence theorem: Lebesgue

integrals). Let fk be a sequence of L-integrable functions that converges pointwise to some function f almost everywhere. Suppose there

is an L-integrable function F : Rn R such that |fk (x)| F (x) for

almost all x. Then f is integrable and its integral is

;

;

n

f (x) |d x| = lim

fk (x) |dn x|.

4.11.67

Rn

Rn

510

Chapter 4.

Integration

Theorem

in

4.11.20 (Fubinis theorem for the Lebesgue integral).

Let f : Rn Rm R be an L-integrable function. Then the function

;

y

f (x, y)|dn x|

4.11.68

Rn

;

; ;

f (x, y)|dn x||dm y| =

f (x, y)|dn x| |dm y|. 4.11.69

y

1

+1

Rn Rm

0

1

+1

Figure 4.11.6.

Part 3 of Fubinis theorem:

Consider the function f : R2 R

that is +1 in the darkly shaded region, 1 in the lightly shaded region, and 0 elsewhere. For every

y, the function

x f (x, y)

is integrable, and in fact

;

f (x, y) dx = 0.

R

;

f (x, y)|dn x|

y

Rn

is L-integrable on Rm , and

; ;

;

f (x, y)dx dy =

0 dy

R

= 0.

But f is not integrable on R2 , and

the iterated integral written the

other way:

; ;

f (x, y)dy dx

R

Rn

Rm

L-integrable

2. the function x |f (x, y)| is L-integrable on Rn for almost all y

>

3. the function y Rn |f (x, y)||dn x| is L-integrable on Rm

then f is L-integrable on Rn+m , and

;

;

n

m

f (x, y)|d x||d y| =

Rn Rm

Rm

;

f (x, y)|d x| |dm y|.

n

Rn

Note that the absolute values in parts 2 and 3 of the converse are necessary, as shown by the function f : R2 R represented in gure 4.11.6.

Theorem

in

4.11.21 (The change of variables formula: Lebesgue

integrals). Let U, V be open subsets of Rn , and let : U V be

bijective, of class C 1 , and with inverse of class C 1 , such that both

and 1 have Lipschitz derivatives. Let f : V R be dened except

perhaps on a set of measure 0. Then

f is L-integrable on V (f )|det[D] | is L-integrable on U .

In that case,

;

;

f (v)|dn v| =

(f )(u) det[D(u)] |dn u|.

V

4.11.70

of class C 1 but does not have Lipschitz derivative, but our version of the

implicit function theorem doesnt allow us to prove it.

identically + for x > 0 and identically for x < 0. The prob>

lem is that y Rn |f (x, y)||dn x|

(note the absolute values) is not

integrable.

The integral of the Gaussian bell curve is one of the most important integrals in all of mathematics. The central limit theorem (see section 4.6)

asserts that if you repeat the same experiment over and over, independently

each time, and make some measurement each time, then the probability

4.11

Lebesgue integrals

511

; b

(xx)2

1

2

e 2 dx,

4.11.71

2

a

where x is the expected value of x, and is the standard deviation. Since

most of probability is concerned with repeating experiments, the Gaussian

integral is of the greatest importance.

Example 4.11.22 (Gaussian integral). For the central limit theorem to

make sense, the integrand of equation 4.11.71 must be a probability density,

i.e., we must have

;

(xx)2

1

2

4.11.72

e 2 dx,

2

4.11.72 from the simpler equation

;

2

ex dx = .

4.11.73

We need to justify equation 4.11.73. The function ex doesnt have an antiderivative that can be computed in elementary terms.71 ;One way to com

By Fubini,

;

2

A =

x2

;

dx

y 2

dy

;

=

R2

e(x

+y 2 )

ex dx = A.

|d2 x|.

4.11.74

;

; 2 ;

2

(x2 +y 2 ) 2

e

|d x| =

er r dr d.

4.11.75

R2

3

4

; 2 ;

2

er

1

2

r 2

A =

re dr d = 2

= 2 0

= . 4.11.76

2

2

0

0

0

So A = .

an integral?

Very often we will need to dierentiate a function that is itself an integral.

This is particularly the case for Laplace transforms and Fourier transforms,

71

Columbia University Press, New York, 1948. Of course, it depends on your

denition of elementary;

an antiderivative can be computed from the error

>x

2

function erf(x) = 2 0 et dt, which is a tabulated function and can be looked

up in tables.

512

Chapter 4.

Integration

and dierentiate with respect to a dierent variable, under what circumstances does rst integrating and then dierentiating give the same result as

rst dierentiating, then integrating? The dominated convergence theorem

gives the following very general result.

Theorem 4.11.23 is a major

result and has far-reaching consequences.

We need the condition of equation 4.11.78 so that we can apply

the dominated convergence theorem in the proof.

Theorem

in

4.11.23 (Dierentiating under the integral sign). Let

f (t, x) : Rn+1 R be a function such that for each xed t, the integral

;

F (t) =

f (t, x) |dn x|

4.11.77

Rn

> 0

and an L-integrable function g such that for all s

= t,

f (s, x) f (t, x)

g(x),

|s t| <

=

4.11.78

st

then F is dierentiable, and its derivative is

;

DF (t) =

Dt f (t, x) |dn x|.

Rn

ate the importance of the Fourier

;

f (t + h, x) f (t, x) n

transform, in pure and applied DF (t) = lim F (t + h) F (t) = lim

|d x|

h0

h0 Rn

h

h

mathematics. We discuss it further in Volume 2. A very pleas;

;

f (t + h, x) f (t, x) n

ant treatment is given in Fourier

=

lim

Dt f (t, x) |dn x|.

|d x| =

h

Analysis by T. W. K

orner.

Rn h0

Rn

The Greek letter is xi, pronounced ksee or kseye.

Equation 4.11.82: Note that

this is an integral of a complexvalued function. So far, we have

spoken only about integrals of

real-valued functions, but complex-valued functions introduce no

new diculties. If f = f1 + if2 ,

with f1 and f2 real valued, so that

they are the real and imaginary

parts of f , then we dene

;

;

;

f (x) dx = f1 (x) dx+i f2 (x) dx.

Passing from f to f (f hat)

is one of the central constructions

of mathematical analysis.

4.11.79

4.11.80

Moving the limit inside the integral sign is justied by the dominated convergence theorem for Lebesgue integrals (theorem 4.11.19).

Fourier transforms and Laplace transforms are essential tools of analysis.

Here we will study them only as examples of dierentiation under the integral sign. We will see that these transforms turn dierentiation (an analytical construction) into multiplication (algebraic). This is a large part of

why these transforms are so important.

If f is an L-integrable function on R, then so is f (x)eix for each R,

since

|f (x)eix |=|f (x)|.

4.11.81

Denition

in

4.11.24 (Fourier transform). The function f dened by

;

f() =

f (x)eix dx.

4.11.82

R

4.11

also write Df() as (f)

.

Equation 4.11.84 is the condition in theorem 4.11.23 given by

equation 4.11.78. Here, the increment h (a variable tending to 0)

corresponds to s t in equation

4.11.78.

Lebesgue integrals

513

;

;

;

ix

ix

dx =

Df () =

D f (x)e

f (x)D (e ) dx =

ixf (x)eix dx

R

F (),

= ixf

4.11.83

provided that the dierence quotients

i(+h)x

ihx

e

eix

1

ix e

f (x) = |e |

|f (x)|

$ %& '

h

h

4.11.84

we see that

The more times f is dierentiable (i.e., the greater the number p in equation 4.11.87), the

smoother it is. But that requires

x xp f (x) to be an L-integrable

function, which means f must decrease reasonably fast at innity,

to compensate for multiplication

by (ix)p .

You might think that if f is Lintegrable, then f must tend to

0 at innity. This isnt true; for

instance f could have spikes of

height 1 and width 1/n2 at all

the integers. But if f

is also Lintegrable, then f does have to

tend to 0 at innity.

Equations 4.11.88 and 4.11.89:

Exercise 4.11.8 justies this integration by parts for Lebesgue

integrals.

4.11.85

ihx

e 1

|f (x)| |hx||f (x)| = |xf (x)|,

h

|h|

4.11.86

if the function x xp |f (x)| is L-integrable, then f is p times dierentiable,

and

;

;

pf (). 4.11.87

Dp f() =

Dp eix f (x) dx = (ix)p f (x)eix dx = (ix)

R

In other words, the faster f decreases at innity, the smoother the Fourier

transform f is. This brings out one feature of the Fourier transform: growth

conditions on the original function f get translated into smoothness conditions for the Fourier transform.

Rather than dierentiating the Fourier transform, we might want to

Fourier transform the derivative, which we can do if f is of class C 1 and

both f and f are L-integrable. This is best done by integration by parts:

; A

;

F

)() =

(f

f (x)eix dx = lim

f (x)eix dx

A

A

R

4.11.88

; A

7

8

A

ix

ix

= lim f (x)e

lim

if (x)e dx.

x=A

A

7

8A

4.11.89

lim f (x)eix A = 0,

A

by the algebraic operation of multiplication is one reason why the

Fourier transform is so important

in the theory of dierential equations, especially partial dierential

equations.

and

F

)() = i

(f

;

R

f (x)eix dx = i f().

4.11.90

Thus the Fourier transform turns dierentiation into multiplication. Example 4.11.25 shows that it turns dierential operators into multiplication

by polynomials, and hence solving dierential equations into division by

polynomials.

514

of an immense eld of mathematics. For instance, the zeros of

the polynomial in the denominator

in equation 4.11.91 pose serious

problems, and the analogues in

higher dimensions are much more

serious yet.

Chapter 4.

Integration

The Fourier transform of both sides of the dierential equation

ap Dp f + + a0 f = g is

ap (i)p + ap1 (i)p1 + + a0 f = g,

$

%&

'

product of f and a polynomial

which gives

f =

(i)p ap

g

.

+ + a0

4.11.91

If you know how to undo the Fourier transform, you can compute f from

this formula for f.

Denition

in

4.11.26 (Laplace transform). The Laplace transform

L(f ) of f is dened by the formula

;

L(f )(s) =

f (t)est dt.

4.11.92

0

Laplace transform L(f ) exists for

quite a broad range of functions f .

For instance, if f is L-integrable,

then L(f ) is a continuous function

of s [0, ), and if f grows more

slowly than some polynomial, then

L(f ) is dened and continuous on

(0, ).

Even if f grows as fast as eat ,

the Laplace transform Lf is dierentiable when s > a.

appropriate circumstances, we can dierentiate under the integral sign:

;

;

D(Lf )(s) =

Ds f (t)est dt =

tf (t)est dt = L(tf ) (s).

0

Let us spell out the dierentiability, under the hypothesis that for xed

s > 0, the function t est/2 f (t) is L-integrable. We need to show that

the limit

; (s+h)t

Lf (s + h) Lf (s)

e

est

lim

= lim

f (t) dt

h0

h0 0

h

h

;

eht 1

= lim

f (t)est

dt

4.11.93

h0 0

h

exists. When 0 < |h| s/2, the

ht

e

1

|ht|

est/2 , so

e

h

ht

st

1

st/2

e f (t) e

f (t).

e

h

4.11.94

;

;

eht 1

eht 1

st

st

(Lf ) (s) = lim

e f (t)

lim e f (t)

dt =

dt

h0 0

h0

h

h

0

;

est tf (t) dt.

4.11.95

=

0

4.11

Lebesgue integrals

515

4.11.1 a. Let x R2 . For what values of p R is |x|p L-integrable over the

unit disc in R2 ? (Think of polar coordinates.)

b. For those values, compute the integral.

4.11.2

a. Let x R3 . For what values of p R is |x|p L-integrable over the

unit ball in R3 ? (Think of spherical coordinates.)

b. For those values, compute the integral.

;

4.11.3 a. For what values of p R does

R2 B1 (0)

b. For those values, compute the integral.

;

4.11.4 a. For what values of p R does

R3 B1 (0)

b. For those values, compute the integral.

;

4.11.5 For what values of p R does

Rn B1 (0)

Set Am = ;

{0 y xm , 0 x 1}, for m R, m 0. For what

1

values of p R does

|dx dy| exist as a Lebesgue integral?

2 + y 2 )p

(x

Am

4.11.6

4.11.7

F (x) =

f (t) dt,

;

0

x

g(t) dt

G(x) =

; x

a. Let f be L-integrable on R. Show that F (x) =

f (t) dt is continu-

4.11.8

0

ous.

b. Show that integration by parts holds for Lebesgue integrals: if f, g are

L-integrable, and F and G are the functions dened in the margin, then

; b

; b

f (t)G(t) dt = F (b)G(b) F (a)G(a)

F (t)g(t) dt.

a

4.11.8, part b.

lim F (x) = 0.

and G is bounded, then

;

;

f (t)G(t) dt =

F (t)g(t) dt.

4.11.9

4.11.10

Use a change of variables and equation 4.11.73, to show that the

integrand of equation 4.11.71 is a probability density.

4.11.11

;

2

p(x)e|x| |dn x| exists.

Rn

516

Chapter 4.

Integration

x = xa y b integrable over the region

y

x 0, y 0, xy 1? (This isnt too hard to do directly, but using the change

of variables formula given in theorem 4.11.21 makes it easier.)

4.11.12

4.11.13 a. Show that the three sequences of functions in example 4.11.3 do not

converge uniformly.

*b. Show that the sequence of polynomials of degree m

pk (x) = a0,k + a1,k x + + am,k xm

does not converge uniformly on R, unless the sequence ai,k is eventually constant

for all i > 0 and the sequence a0,k converges.

c. Show that if the sequences ai,k converge for each i m, and A is a bounded

set, then the sequence pk 1A converges uniformly.

4.11.14

For the rst two sequences of functions in example 4.11.3, show that

;

;

[fk ]R (x) dx = lim lim

[fk ]R (x) dx.

lim lim

k R

4.11.15

R k

;

i=0

1/2

1/2i+1

>

4.11.16 Show that the integral 0 sinx x dx of equation 4.11.50 is equal to the

sum of the series

5;

6

(k+1)

sin x

dx ,

x

k

k=1

and that this series converges.

;

sin x

4.11.17 Make the change of variables u = 1/x in the integral

dx.

x

0

Does the resulting integral exist as an improper integral, as described in example

4.11.13?

Exercise 4.11.18: You will need

the dominated convergence theorem (theorem 4.11.4) to prove this.

Part b: Except at 0 means

except at 0 of Pk , i.e., the zero

polynomial.

of degree at most k. Consider the

>1

function F : Pk R given by p 0 |p(x)| dx.

>1

a.> Compute F when k = 1 and k = 2, i.e., evaluate the integrals 0 |a + bx| dx

1

2

and 0 |a + bx + cx | dx (the second one is hard).

b. Show that F is dierentiable except at 0. Compute the derivative.

*c. Show that if p has only simple roots between 0 and 1, then F is twice

dierentiable at p.

Exercise 4.1:

UN (1C ) = LN (1C ).

4.1

4.2 An integrand should take a piece of the domain and return a number, in

such a way that if we decompose a domain into little pieces, evaluate the integrand on the pieces, and add, the sums should have a limit as the decomposition

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