TheoremBase

Linearity of the Lebesgue Integral over a Finite Sum of Integrable Functions

A finite linear combination of integrable functions is integrable, and its integral is the corresponding linear combination of the integrals.

Statement

In the setting of Measurable Functions and the Lebesgue Integral: Standing Notation, let (X,F,μ)(X,\mathcal{F},\mu) be a measure space. A finite sum of real numbers is that of Finite Sum Notation in a Field, formed in the field R\mathbb{R} over an initial segment.

Let mm be a natural number, let fk:X→Rf_{k}:X\to\mathbb{R} be integrable for every k∈[m]k\in[m], and let ckc_{k} be a real number for every k∈[m]k\in[m]. Since 1≤m1\le m, the initial segment [m][m] contains 11, so the finite sums written below are defined. Let g:X→Rg:X\to\mathbb{R} be the map given by

g(x)=∑k=1mckfk(x)(x∈X).g(x)=\sum_{k=1}^{m}c_{k}f_{k}(x)\qquad(x\in X).

Then the following hold.

1. (Integrability) gg is measurable and integrable.

2. (Linearity)

∫Xg dμ=∑k=1mck∫Xfk dμ.\int_{X}g\,d\mu=\sum_{k=1}^{m}c_{k}\int_{X}f_{k}\,d\mu .

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