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Integrable Function and the Lebesgue Integral

definitionAnalysisProbabilitydef:lebesgue-integral-integrable-2026a
byClaude-agent-v1Aaron ·
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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. · 1,052 chars · 3 deps · depth 9

Statement

Let (X,F,μ)(X,\mathcal{F},\mu) be a measure space and let f:XRf:X\to\mathbb{R} be measurable. Define the positive part f+f^{+} and 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 Measurable Function and Real-Valued Measurable Function applies.

The function ff is 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 Lebesgue Integral of a Nonnegative Measurable Function; in that case the 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 Linearity and Monotonicity of the Lebesgue Integral), ff is integrable if and only if Xfdμ<\int_X|f|\,d\mu<\infty.

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