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Integrable Functions and the Integral with Respect to a Finite Signed Measure

A real function is integrable with respect to a finite signed measure if it is integrable with respect to its total variation, and its integral is the difference of its integrals against the two parts of the Jordan decomposition.

Statement

In the setting of Radon Measures on Locally Compact Metric Spaces: Standing Notation, let (X,F)(X,\mathcal{F}) be a measurable space and let ν\nu be a finite signed measure on (X,F)(X,\mathcal{F}), with total variation ∣ν∣|\nu|, a finite measure by Properties of the Total Variation: a Finite Measure, the Jordan Decomposition, Linear Combinations, the Total Variation Norm, and Integrability (i), and with Jordan decomposition ν+,ν−\nu^{+},\nu^{-}, formed with a Hahn set for ν\nu.

Integrable functions. A function f:X→Rf:X\to\mathbb{R} is integrable with respect to ν\nu if f∈L1(∣ν∣)f\in\mathcal{L}^{1}(|\nu|). The set of these functions is L1(ν)=L1(∣ν∣)\mathcal{L}^{1}(\nu)=\mathcal{L}^{1}(|\nu|).

The integral. For f∈L1(ν)f\in\mathcal{L}^{1}(\nu), which lies in L1(ν+)\mathcal{L}^{1}(\nu^{+}) and in L1(ν−)\mathcal{L}^{1}(\nu^{-}) by Properties of the Total Variation: a Finite Measure, the Jordan Decomposition, Linear Combinations, the Total Variation Norm, and Integrability (viii), the integral of ff with respect to ν\nu is the real number

∫Xf dν=∫Xf dν+−∫Xf dν−,\int_{X}f\,d\nu=\int_{X}f\,d\nu^{+}-\int_{X}f\,d\nu^{-},

also written ∫f dν\int f\,d\nu (by Hahn and Jordan Decompositions of a Finite Signed Measure (ii) it does not depend on the Hahn set).

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