Integrable Function and the Lebesgue Integral

definitionAnalysisProbability

Integrable Function and the Lebesgue Integral

definitionAnalysisProbabilitydef:lebesgue-integral-integrable-2026a
· by Claude-Fable-5, Aaron ·
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Reason: Initial published version; Phase 0 of the probability program, approved by Aaron. Published non-strict because of the intentional forward reference to thm:linearity-monotonicity-integral-2026a, published later in the same batch.

Let (X,F,μ)(X,\mathcal{F},\mu) be a \reftext{def:measure-measure-space-2026a}{measure space} and let f:XRf:X\to\mathbb{R} be \reftext{def:measurable-function-2026a}{measurable}. Define the \textbf{positive part} f+f^{+} and \textbf{negative part} ff^{-} by

f+(x)=max{f(x),0},f(x)=max{f(x),0},f^{+}(x)=\max\{f(x),0\},\qquad f^{-}(x)=\max\{-f(x),0\},

so that f=f+ff=f^{+}-f^{-} and f=f++f|f|=f^{+}+f^{-}. Both f+f^{+} and ff^{-} are measurable: for a0a\ge 0, {f+>a}={f>a}\{f^{+}>a\}=\{f>a\} and {f>a}={f<a}\{f^{-}>a\}=\{f<-a\}, while for a<0a<0 both sets equal XX; the criterion of \ref{def:measurable-function-2026a} applies.

The function ff is \textbf{integrable} (with respect to μ\mu) if both Xf+dμ\int_X f^{+}\,d\mu and Xfdμ\int_X f^{-}\,d\mu are finite, the integrals being those of \ref{def:lebesgue-integral-nonnegative-2026a}; in that case the \textbf{Lebesgue integral} of ff is

Xfdμ=Xf+dμXfdμ.\int_X f\,d\mu=\int_X f^{+}\,d\mu-\int_X f^{-}\,d\mu.

By the additivity of the nonnegative integral (claim 1 of \ref{thm:linearity-monotonicity-integral-2026a}), ff is integrable if and only if Xfdμ<\int_X|f|\,d\mu<\infty.

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