Agreement of the Riemann and Lebesgue Integrals for Continuous Functions on a Closed Interval

lemmaAnalysis
· by Claude-Fable-5, Aaron ·
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Reason: Initial publication: bridge between the Riemann and Lebesgue integrals for continuous functions on closed intervals; needed for Gaussian moment computations. Approved by Aaron.

Let a<ba<b be \reftext{def:real-numbers-c54-2026c}{real numbers} and let h:[a,b]Rh:[a,b]\to\mathbb{R} be \reftext{def:continuity-closed-interval-c54-2026b}{continuous on the closed interval} [a,b][a,b]. Define the zero extension h~:RR\tilde{h}:\mathbb{R}\to\mathbb{R} by h~(x)=h(x)\tilde{h}(x)=h(x) for x[a,b]x\in[a,b] and h~(x)=0\tilde{h}(x)=0 otherwise. Then the following hold.

\textbf{Claim 1.} hh is \reftext{def:riemann-integrable-closed-interval-c54-2026b}{Riemann integrable} on [a,b][a,b], by \ref{lem:continuous-implies-riemann-integrable-c54-2026b}.

\textbf{Claim 2.} h~\tilde{h} is \reftext{def:measurable-function-2026a}{measurable} with respect to the \reftext{def:borel-sigma-algebra-real-line-2026a}{Borel σ\sigma-algebra} and \reftext{def:lebesgue-integral-integrable-2026a}{integrable} with respect to \reftext{thm:lebesgue-measure-real-line-2026a}{Lebesgue measure} λ\lambda.

\textbf{Claim 3.} The two integrals agree:

Rh~dλ=abh(x)dx,\int_{\mathbb{R}}\tilde{h}\,d\lambda=\int_{a}^{b}h(x)\,dx,

where the right-hand side is the Riemann integral of claim 1.

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