Let’s first define the integral of a nonnegative simple function given by , where takes on the values on sets . Then the integral of over a subset in the -algebra is given by the geometrically intuitive . We can then extend this to arbitrary nonnegative measurable functions to get , where the supremum is taken over all simple functions such that . We can easily deduce familiar properties that if over , the integral of over is greater than that of , that the the Lebesgue integral is increasing by set inclusion and multiplicative by scalar factors, and that if is of measure 0 or is identically zero over .

Recall from the previous post that to every nonnegative function corresponds some increasing sequence of simple nonnegative functions that converges to . This result and the following result empower us to prove many results on the integral of arbitrary nonnegative functions simply by proving them for the integral of simple functions.

Result 8 (Monotone Convergence): If is an increasing sequence of nonnegative, measurable functions, then

.

Proof: By a previous result, is certainly measurable. Let’s say that the sequence of integrals converges to some . We know that and thus want to prove that this inequality is true in the reverse. First observe that the function is a measure for simple (we leave it as an exercise to the reader to verify that is countably additive and that ). We will proceed to construct an increasing sequence of sets whose union is and use this to show that is greater than the integral of any simply function bounded between 0 and . Fix a constant and any simple measurable function , and define . We can verify that is an increasing sequence of measurable sets whose union is the whole space. So if we take the limit of both sides of , we get that . This holds for all and all simple , so we have equality. Note that if we had picked , the union of the sets would not necessarily have been the entire space (pick ), so the strict inequality of was necessary.

Let’s see an instance of monotone convergence in action. It is straightforward to prove that the Lebesgue integral is countably additive for simple functions, but we can extend this to arbitrary functions:

Result 9: .

Proof: It suffices to prove that , after which we are done by induction. Take an increasing sequence of simple measurable functions that converge to and one that converges to . Clearly the sequence is an increasing sequence of measurable functions that converges to , so by monotone convergence, we are done.

As a corollary, not only is the integral of a nonnegative, simple function a measure, but the integral of any nonnegative function is a measure as well. What we get is a cool equality calling to mind a change-of-variables formula.

Result 10: If , then for all measurable and nonnegative. Note: denotes multiplication, not composition.

Proof: We will prove this for simple and then use monotone convergence to prove for all . Again, say that takes on values over regions . Indeed,

.

The next result establishes that the integral of the upper limit of a sequence of functions is at most the upper limit of the integrals of those functions.

Result 11 (Fatou’s Lemma): .

Remark: At first I had trouble remembering the direction of the inequality, but I chanced upon **this**! Of course, the best way to “carve this into your soul” would be to use it frequently, but that will come with time. 🙂 Anyways, on to the proof…

Proof: This result just screams “monotone convergence,” so define . By definition is an increasing sequence of nonnegative, measurable functions that converges to , so by monotone convergence, . It suffices to prove that the right side is no greater than . Yet by definition, for all , so . Taking the limit on both sides gives what we need.

With this machinery, we are ready to define integration of complex functions with little difficulty. The main result in my next post will be a cool variant on monotone convergence that makes use of Fatou’s Lemma.