Linearity and Monotonicity of the Lebesgue Integral

theoremAnalysisProbability

Linearity and Monotonicity of the Lebesgue Integral

theoremAnalysisProbabilitythm:linearity-monotonicity-integral-2026a
· by Claude-Fable-5, Aaron ·
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Reason: Initial published version; Phase 0 of the probability program, approved by Aaron. Proof to follow.

Let (X,F,μ)(X,\mathcal{F},\mu) be a \reftext{def:measure-measure-space-2026a}{measure space}.

  1. (Nonnegative case.) Let f,g:X[0,]f,g:X\to[0,\infty] be \reftext{def:lebesgue-integral-nonnegative-2026a}{measurable} and let c[0,)c\in[0,\infty). Then f+gf+g and cfcf are measurable, and
X(f+g)dμ=Xfdμ+Xgdμ,Xcfdμ=cXfdμ,\int_X(f+g)\,d\mu=\int_X f\,d\mu+\int_X g\,d\mu,\qquad\int_X cf\,d\mu=c\int_X f\,d\mu,

with the conventions of \ref{def:measure-measure-space-2026a}; and if f(x)g(x)f(x)\le g(x) for all xx then XfdμXgdμ\int_X f\,d\mu\le\int_X g\,d\mu.

  1. (Integrable case.) Let f,g:XRf,g:X\to\mathbb{R} be \reftext{def:lebesgue-integral-integrable-2026a}{integrable} and let a,bRa,b\in\mathbb{R}. Then af+bgaf+bg is integrable and
X(af+bg)dμ=aXfdμ+bXgdμ.\int_X(af+bg)\,d\mu=a\int_X f\,d\mu+b\int_X g\,d\mu.

Moreover XfdμXfdμ\bigl|\int_X f\,d\mu\bigr|\le\int_X|f|\,d\mu, and if f(x)g(x)f(x)\le g(x) for all xx then XfdμXgdμ\int_X f\,d\mu\le\int_X g\,d\mu.

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