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Measure and
Integration
A First Course
Measure and
Integration
A First Course

M. Thamban Nair
CRC Press
Taylor & Francis Group
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Contents

Preface vii

Author ix

Note to the Reader xi

1 Review of Riemann Integral 1

1.1 Definition and Some Characterizations . . . . . . . . . . . . 1
1.2 Advantages and Some Disadvantages . . . . . . . . . . . . . 8
1.3 Notations and Conventions . . . . . . . . . . . . . . . . . . . 11

2 Lebesgue Measure 15
2.1 Lebesgue Outer Measure . . . . . . . . . . . . . . . . . . . . 15
2.2 Lebesgue Measurable Sets . . . . . . . . . . . . . . . . . . . 23
2.3 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33

3 Measure and Measurable Functions 37

3.1 Measure on an Arbitrary σ-Algebra . . . . . . . . . . . . . . 37
3.1.1 Lebesgue measure on Rk . . . . . . . . . . . . . . . . . 41
3.1.2 Generated σ-algebra and Borel σ-algebra . . . . . . . 42
3.1.3 Restrictions of σ-algebras and measures . . . . . . . . 45
3.1.4 Complete measure space and the completion . . . . . 48
3.1.5 General outer measure and induced measure . . . . . 50
3.2 Some Properties of Measures . . . . . . . . . . . . . . . . . . 52
3.3 Measurable Functions . . . . . . . . . . . . . . . . . . . . . . 56
3.3.1 Probability space and probability distribution . . . . . 60
3.3.2 Further properties of measurable functions . . . . . . 61
3.3.3 Sequences and limits of measurable functions . . . . . 64
3.3.4 Almost everywhere properties . . . . . . . . . . . . . . 66
3.4 Simple Measurable Functions . . . . . . . . . . . . . . . . . . 71
3.4.1 Measurability using simple measurable functions . . . 75
3.4.2 Incompleteness of Borel σ-algebra . . . . . . . . . . . 75
3.5 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76

v
vi Contents

4 Integral of Positive Measurable Functions 81

4.1 Integral of Simple Measurable Functions . . . . . . . . . . . 81
4.2 Integral of Positive Measurable Functions . . . . . . . . . . . 88
4.2.1 Riemann integral as Lebesgue integral . . . . . . . . . 95
4.2.2 Monotone convergence theorem (MCT) . . . . . . . . 97
4.2.3 Radon-Nikodym theorem . . . . . . . . . . . . . . . . 103
4.2.4 Conditional expectation . . . . . . . . . . . . . . . . . 104
4.3 Appendix: Proof of the Radon-Nikodym Theorem . . . . . . 105
4.4 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111

5 Integral of Complex Measurable Functions 113

5.1 Integrability and Some Properties . . . . . . . . . . . . . . . 113
5.1.1 Riemann integral as Lebesgue integral . . . . . . . . . 119
5.1.2 Dominated convergence theorem (DCT) . . . . . . . . 121
5.2 Lp Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
5.2.1 Hölder’s and Minkowski’s inequalities . . . . . . . . . 129
5.2.2 Completeness of Lp (µ) . . . . . . . . . . . . . . . . . . 133
5.2.3 Denseness of Cc (Ω) in Lp (Ω) for 1 ≤ p < ∞ . . . . . . 138
5.3 Fundamental Theorems . . . . . . . . . . . . . . . . . . . . 140
5.3.1 Indefinite integral and its derivative . . . . . . . . . . 140
5.3.2 Fundamental theorems of Lebesgue integration . . . . 141
5.4 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
5.5 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157

6 Integration on Product Spaces 161

6.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
6.2 Product σ-algebra and Product Measure . . . . . . . . . . . 162
6.3 Fubini’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . 169
6.4 Counter Examples . . . . . . . . . . . . . . . . . . . . . . . . 172
6.4.1 σ-finiteness condition cannot be dropped . . . . . . . 172
6.4.2 Product of complete measures need not be complete . 173
6.5 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173

7 Fourier Transform 177

7.1 Fourier Transform on L1 (R) . . . . . . . . . . . . . . . . . . 177
7.1.1 Definition and some basic properties . . . . . . . . . . 177
7.1.2 Fourier transform as a linear operator . . . . . . . . . 185
7.1.3 Fourier inversion theorem . . . . . . . . . . . . . . . . 187
7.2 Fourier-Plancherel Transform . . . . . . . . . . . . . . . . . . 191
7.3 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197

Bibliography 199

Index 201
Preface

The concepts from the theory of measure and integration are vital to any ad-
vanced courses in analysis and its applications, specifically in the applications
of functional analysis to other areas such as harmonic analysis, partial differ-
ential equations and integral equations, and in the theoretical investigations
in applied mathematics. Therefore, an early introduction to such concepts
becomes essential in the master’s program in mathematics. This book is an
attempt toward that goal, requiring minimal background in mathematical
analysis.
It is essentially an updated version of the notes the author has been using
for teaching courses on measure and integration for the last thirty years. The
topics covered in this book are standard ones. However, the reader will def-
initely find that the presentation of the concepts and results differ from the
standard texts, in the sense that it is more student-friendly.
It starts with a short introduction on Riemann integration to motivate the
necessity of the concept of integration of functions more general than those
allowed in the theory of Riemann integration, and then, in Chapter 2, intro-
duces the concept of Lebesgue measurable sets more general than the concept
of intervals. Once we have this family of Lebesgue measurable sets, and the
concept of a Lebesgue measure, it becomes almost obvious that one need not
restrict the theory of integration to the subsets of the real line, but can be
developed on any set together with a σ-algebra on it. Thus, the concept of a
measure on a measurable space allows a theory of integration in a very gen-
eral setting, which has immense potential for application to diverse areas of
mathematics and its applications. The general theory of measure and integra-
tion is considered in Chapters 3, 4, and 5. Chapter 6 is concerned with the
measure and integration on Cartesian product of measured spaces, namely,
the product measure on product σ-algebra and integration of measurable func-
tions on the product measure spaces. The final chapter, Chapter 7, on Fourier
transform, is included only to show how the basic concepts of measure and
integration are useful in proving results in another branch of analysis, which
has lots of applications in partial differential equations and many engineering
subjects. Since the probability space is a particular case of a measure space,
at a few places, the implications of certain concepts to probability theory are
also included, such as the concepts of random variable, distribution measure,
distribution function, and conditional expectation.

vii
viii Preface

Although the theory of integration is vast, the attempt in this book is

to introduce the students to this modern subject in a simple and natural
manner so that they can pursue the subject further with confidence, and also
apply the concepts to other branches of mathematics such as those mentioned
earlier. Thus, as the subtitle shows, the book is meant only as a first course on
measure and integration. Advanced topics involving measures in the context
of topological spaces and topological groups and so on are beyond the scope
of this text.
This book can be used for a one-semester course of about 45 lectures for
the first- or second-semester of a master’s programme in mathematics. The
book can also be used for the final year of a bachelor’s program, perhaps,
omitting the last two chapters.
To use this book for a course on measure and integration, no pre-requisite is
assumed, except the mathematical maturity to appreciate and grasp concepts
in analysis, though it is recommended that it be taught after a course on real
analysis.

Acknowledgments:
While teaching this course, as well as during the preparation of the notes,
I have greatly benefited from the contributions of my students in terms of
their questions in classes and also during the clarification of their doubts.
One of those students, Rama Seshan, a research scholar from the electrical
engineering department at IIT Madras, read the notes carefully and made
suggestions from the students’ points of view. Dr. S. Sivanandan (IIT Delhi)
and my former research scholar Dr. Ajoy Jana read some of the chapters and
brought to my attention some typos and corrections. Dr. P. Sam Johnson (NIT
Karnataka) and my research scholar Subhankar Mondal read all the chapters
thoroughly and critically and suggested many corrections in the text. I am
thankful to all of them.
Finally, I thank my wife Sunita for her forbearance and encouragement.

M. Thamban Nair
Author

M. Thamban Nair is professor of mathematics at the

Indian Institute of Technology (IIT) Madras, Chennai,
India. After completing his PhD thesis in 1984 at IIT
Bombay, Mumbai (India), he did his post-doctoral re-
search at the University of Grenoble (France), for a year
under a French government scholarship. Following his
return to India, he worked as a research scientist at IIT
Bombay for a year. He taught at the Goa University for
nearly a decade, and from December 1995 onward, he
has been a faculty member at IIT Madras. He has also held visiting positions
at the Australian National University, Canberra (Australia), University of
Kaiserslautern (Germany), Sun Yat-sen University, Guangzhou (China), Uni-
versity of Saint-Etienne (France), Weierstrass Institute for Applied Analysis
and Stochastics, Berlin (Germany), and University of Chemnitz (Germany).
In addition, he has given many invited talks at various institutes in India and
abroad.
The broad area of Professor Nair’s research is in functional analysis and
operator theory, more specifically, spectral approximation, the approximate
solution of integral and operator equations, regularization of inverse and ill-
posed problems. He has authored three books, Functional Analysis: A First
Course (PHI-Learning, New Delhi), Linear Operator Equations: Approxima-
tion and Regularization (World Scientific, Singapore), and Calculus of One
Variable (Ane Books, New Delhi), and co-authored Linear Algebra (Springer).
He has published over 75 research papers in nationally and internationally
reputed journals, including the Journal of Indian Mathematical Society, Pro-
ceedings of Indian Academy of Sciences, Proceedings of the American Math-
ematical Society, Journal of Integral Equations and Operator Theory, Math-
ematics of Computation, Numerical Functional Analysis and Optimization,
Journal of Inverse and Ill-Posed Problems, and Inverse Problems. Professor
Nair has received many awards for his academic achievements, including the
C.L. Chandna Award of the Indo-Canadian Math Foundation for outstanding
contributions in mathematics research and teaching for the year 2003, and the
Ganesh Prasad Memorial Award of the Indian Mathematical Society for the
year 2015.

ix
Note to the Reader

We shall use standard set-theoretic notations such as

∪, ∩, ⊆, ⊂, ∈

to denote ‘union’, ‘intersection’, ‘subset of’, ‘proper subset of’, ‘belong(s) to’,
respectively. For sets S1 and S2 , the set {x ∈ S1 : x 6∈ S2 } is denoted by
S1 \ S2 . If f is a function with domain S1 and codomain S2 , then we use the
notation f : S1 → S2 , and it is also called a ‘map’ from S1 to S2 .
Also, we use the following standard notations and symbols:

N : set of all positive integers

Z : set of all integers
R : set of all real numbers
C : set of all complex numbers
:= : is defined by
∀ : for all
∃ : there exists or there exist
⇒ : implies or imply
⇐⇒ : if and only if
7→ : maps to

To mark the end of a proof (of a lemma, proposition, theorem, or corol-

lary), we use the symbol , while the symbol ♦ is used to mark the ends of
definitions, remarks, examples, and exercises.
Numbering of definitions, results (lemmas, theorems, propositions, corol-
laries), remarks, examples, and exercises are done consecutively using three
digits p.q.r, where p and q denote the chapter number and section number,
respectively, and r denotes its actual occurrence.

xi
Chapter 1
Review of Riemann Integral

In this chapter, the definition and some basic results on the theory
of Riemann integration are reviewed, and the limitations of Rie-
mann integration are pointed out so as to convince the reader of
the necessity for a more general integral.

1.1 Definition and Some Characterizations

Let f : [a, b] → R be a bounded function. The idea of a Riemann integral
of f is to associate a unique number γ to f such that, in case f (x) ≥ 0 for
all x ∈ [a, b], then γ can be thought of as the area of the region bounded
by the graph of f , x-axis, and the lines with equations x = a and x = b.
For its definition, first we consider a partition P of [a, b], that is, a finite set
P := {xi : i = 0, 1, . . . , k} such that a = x0 < x1 < x2 < · · · < xk = b, usually
written as
P : a = x0 < x1 < x2 < · · · < xk = b,
and consider the sums
k
X k
X
L(P, f ) := mi ∆xi , U (P, f ) := Mi ∆xi ,
i=1 i=1

where
mi = inf{f (x) : xi−1 ≤ x ≤ xi }, Mi = sup{f (x) : xi−1 ≤ x ≤ xi }
and ∆xi = xi − xi−1 for i = 1, . . . , k. Clearly, for every partition P of [a, b],
L(P, f ) ≤ U (P, f ).
Note that if f (x) ≥ 0 for all x ∈ [a, b], then L(P, f ) is the total area of the
rectangles with side lengths mi and xi − xi−1 , and U (P, f ) is the total area
of the rectangles with side lengths Mi and widths xi − xi−1 , for i = 1, . . . , k.
Thus, it is intuitively clear that the required area, say γ, under the graph of
f must satisfy the relation:
L(P, f ) ≤ γ ≤ U (P, f )

1
2 Measure and Integration

for all partitions P of [a, b]. With this requirement in mind, we introduce the
following definition.

Definition 1.1.1 A bounded function f : [a, b] → R is said to be Riemann

integrable on [a, b] if there exists a unique γ ∈ R satisfying

L(P, f ) ≤ γ ≤ U (P, f )

for all partitions P of [a, b]. If such a γ exists, then it is called the Riemann
integral of f and it is denoted by
Z b
f (x)dx. ♦
a

We shall see that every bounded function f : [a, b] → R having at most a fi-
nite number of discontinuities is Riemann integrable. However, every bounded
function f on [a, b] need not be Riemann integrable, as the following example
shows.
Example 1.1.2 Let f : [0, 1] → R be the Dirichlet function, that is,

0 if x rational,
f (x) =
1 if x irrational.

Note that, for any partition P of [a, b], we have L(P, f ) = 0 and U (P, f ) = 1.
Thus, for every number α ∈ [0, 1], we have L(P, f ) ≤ α ≤ U (P, f ) for every
partition P of [0, 1]. In other words, α ∈ R satisfying L(P, f ) ≤ α ≤ U (P, f )
for all partitions P is not unique. Hence, f is not Riemann integrable. ♦
In the following, we shall denote the set of all partitions of [a, b] by P.
Let f : [a, b] → R be a bounded function and let

m = inf{f (x) : a ≤ x ≤ b}, M = sup{f (x) : a ≤ x ≤ b}.

Then, for any partition P = {xi : i = 0, 1, . . . , k} of [a, b], we have

k
X k
X
L(P, f ) = mi ∆xi ≥ m∆xi = m(b − a)
i=1 i=1

and
k
X k
X
U (P, f ) = Mi ∆xi ≤ M ∆xi = M (b − a)
i=1 i=1

so that
m(b − a) ≤ L(P, f ) ≤ U (P, f ) ≤ M (b − a).
 Review of Riemann Integral 3

Thus, the sets {L(P, f ) : P ∈ P} and {U (P, f ) : P ∈ P} are bounded above

and bounded below. Hence,

L(f ) := sup{L(P, f ) : P ∈ P},

U (f ) := inf{U (P, f ) : P ∈ P}

exist as real numbers. Using the quantities L(f ) and U (f ), we have the fol-
lowing characterization of Riemann integrability.
Theorem 1.1.3 A bounded function f : [a, b] → R is Riemann integrable on
[a, b] if and only if L(f ) = U (f ).
Proof. Suppose f : [a, b] → R is Riemann integrable on [a, b], and let γ be
the Riemann integral of f . Then, from the relations

L(P, f ) ≤ γ ≤ U (P, f ) ∀P ∈ P (∗)

we have
L(f ) ≤ γ ≤ U (f ).
Consequently,

L(P, f ) ≤ L(f ) ≤ γ ≤ U (f ) ≤ U (P, f ) ∀P ∈ P.

Now, since γ is the only number satisfying (∗), we have L(f ) = γ = U (f ).

Conversely, suppose L(f ) = U (f ). Then we have

L(P, f ) ≤ L(f ) = U (f ) ≤ U (P, f ) ∀P ∈ P.

Thus, γ := L(f ) = U (f ) satisfies (∗). Further, if γ̃ ∈ R satisfies

L(P, f ) ≤ γ̃ ≤ U (P, f ) ∀P ∈ P,

then, from the definition of L(f ) and U (f ), it follows that L(f ) ≤ γ̃ ≤ U (f ).

Hence, γ̃ = γ. Thus, we have proved that there exists a unique real number γ
satisfying (∗).

Remark 1.1.4 As you must have observed, the proof of Theorem 1.1.3
was very easy. We gave its proof in detail, mainly because of the fact that
in standard text books, the Riemann integrability of a bounded function
f : [a, b] → R is defined by requiring L(f ) = U (f ). ♦
Remark 1.1.5 The quantities L(P, f ) and U (P, f ) are known as lower Dar-
boux sum and upper Darboux sum, respectively. Analogously, the quantities
L(f ) and U (f ) are known as lower Darboux integral and upper Darboux inte-
Rb
gral, respectively. Therefore, in view of Theorem 1.1.3, the integral a f (x)dx
in Definition 1.1.1 is also known as the Darboux-Riemann integral. ♦
4 Measure and Integration

Let P be a partition of [a, b]. A new partition of [a, b] obtained from P by

adjoining additional points is called a refinement of P . Thus, if P = {xi :
i = 1, . . . , k} is a partition of [a, b], P ∪ {t1 , . . . , t` }, with each tj satisfying
xi−1 < tj < xi for some i ∈ {1, . . . , k}, is a refinement of P .
If P1 and P2 are partitions of [a, b], we can consider a new partition P ,
which is a refinement of both P1 and P2 , by using all the partition points of P1
and P2 , taking repeated points only once. Such a partition is usually denoted
by P1 ∪ P2 .
Given any two partitions P and Q of [a, b], it can be seen that

L(P, f ) ≤ L(P ∪ Q, f ) and U (P ∪ Q, f ) ≤ U (Q, f ). (∗)

Thus, L(P, f ) ≤ U (Q, f ) for any partitions P and Q of [a, b]. Consequently,

L(f ) ≤ U (f ).

Exercise 1.1.6 Prove the relations in (∗) above. ♦

The characterization given in the following theorem is useful in deducing
many properties of Riemann integral.
Theorem 1.1.7 Let f : [a, b] → R be a bounded function. Then f is Riemann
integrable if and only if for every ε > 0, there exists a partition P of [a, b]
such that U (P, f ) − L(P, f ) < ε.
Proof. Suppose f is Riemann integrable and let ε > 0 be given. By the
definitions of L(f ) and U (f ), there exist partitions P1 and P2 of [a, b] such
that
L(f ) − ε/2 < L(P1 , f ) and U (P2 , f ) < U (f ) + ε/2.
Let P = P1 ∪ P2 , the partition obtained by combining P1 and P2 . Then, we
have

L(f ) − ε/2 < L(P1 , f ) ≤ L(P, f ) ≤ U (P, f ) ≤ U (P2 , f ) < U (f ) + ε/2.

Since L(f ) = U (f ) (cf. Theorem 1.1.3), it follows that

U (P, f ) − L(P, f ) < [U (f ) + ε/2] − [L(f ) − ε/2] = ε.

Conversely, suppose that for every ε > 0, there exists a partition P of [a, b]
such that U (P, f ) − L(P, f ) < ε. Since

L(P, f ) ≤ L(f ) ≤ U (f ) ≤ U (P, f ),

we have
U (f ) − L(f ) ≤ U (P, f ) − L(P, f ) < ε.
This is true for every ε > 0. Hence, L(f ) = U (f ), and hence f is Riemann
integrable.
 Review of Riemann Integral 5

Here is an immediate consequence of the above theorem.

Corollary 1.1.8 A bounded function f : [a, b] → R is Riemann integrable if

and only if there exists a sequence (Pn ) of partitions of [a, b] such that

U (Pn , f ) − L(Pn , f ) → 0 as n → ∞,

and in that case the sequences (U (Pn , f )) and (L(Pn , f )) converge to the same
Rb
limit a f (x)dx.
Exercise 1.1.9 Give proof for the above corollary. ♦
Next we give another characterization of Riemann integrability. For that
purpose we introduce the following definition.
Definition 1.1.10 Let P : a = x0 < x1 < · · · < xn = b be a partition of [a, b]
and let T := {ti : i = 1, . . . , n} with ti ∈ [xi−1 , xi ], i = 1, . . . , n. The set T is
called a tag set for P . Given a function f : [a, b] → R, the sum
n
X
S(P, T, f ) := f (ti )∆xi
i=1

is called the Riemann sum of f associated with (P, T ). The quantity

|P | := max{xi − xi−1 : i = 1, . . . , n}

is called the mesh of the partition P . ♦

Note that the Riemann sums may vary as the tag sets vary. It is obvious
that, if f : [a, b] → R is a bounded function, then

L(P, f ) ≤ S(P, T, f ) ≤ U (P, f )

for any partition P of [a, b] and for any tag set T for P . Therefore, by Theorem
1.1.7, we have the following result.
Theorem 1.1.11 If f : [a, b] → R is Riemann integrable, then for every
ε > 0, there exists a partition P such that
Z b
S(P, T, f ) − f (x)dx < ε
a

for every tag set T for P .

Exercise 1.1.12 Supply details of the proof of the above theorem. ♦
In fact, the converse to Theorem 1.1.11 is also true.
6 Measure and Integration

Theorem 1.1.13 Let f : [a, b] → R be a bounded function. Suppose there

exists γ ∈ R such that for every ε > 0, there exists a partition P of [a, b]
satisfying
|S(P, T, f ) − γ| < ε
Rb
for every tag set T of P . Then f is Riemann integrable and γ = a f (x)dx.
Proof. Let ε > 0 be given and let P : a = x0 < x1 < · · · < xk = b be as in
the hypothesis of the theorem. Then we have

γ − ε < S(P, T, f ) < γ + ε (1)

for any tag set T corresponding to P . Let ui , vi ∈ [xi−1 , xi ] for i = 1, . . . , k be

such that

Mi − ε < f (ui ) and f (vi ) < mi + ε for i = 1, . . . , k. (2)

Consider the tag sets T1 = {ui : i = 1, . . . , k} and T2 = {vi : i = 1, . . . , k} for

the partition P . Then from (2), we have

U (P, f ) − ε(b − a) < S(P, T1 , f ), S(P, T2 , f ) < L(P, f ) + ε(b − a).

This, together with (1), implies

U (P, f ) − ε(b − a) < γ + ε, γ − ε < L(P, f ) + ε(b − a).

In particular,

U (P, f ) − γ < ε[(b − a) + 1], γ − L(P, f ) < ε[(b − a) + 1] (3)

so that
U (P, f ) − L(P, f ) < 2ε[(b − a) + 1].
Hence, by Theorem 1.1.7, f is Riemann integrable. Therefore, by the relations
in (3), we have
Z b
γ − ε[(b − a) + 1] < L(P, f ) ≤ f (x)dx ≤ U (P, f ) < γ < ε[(b − a) + 1].
a

Thus,
Z b
γ− f (x)dx < ε[(b − a) + 1]
a
Rb
for every ε > 0. Consequently, γ = a
f (x)dx.
If we know that f is Riemann integrable, then the following theorem is
Rb
better suited for obtaining approximations for a f (x) dx. For its proof, one
may refer Ghorpade and Limaye [7].
 Review of Riemann Integral 7

Theorem 1.1.14 Suppose f : [a, b] → R is a Riemann integrable function.

Then for every ε > 0, there exists a δ > 0 such that
Z b
S(P, T, f ) − f (x)dx < ε
a

for any partition P of [a, b] with |P | < δ and for every tag set T for P .
The conclusion in the above theorem is usually written as

Z b
lim S(P, T, f ) = f (x)dx.
|P |→0 a

Here is an immediate consequence of Theorem 1.1.14.

Corollary 1.1.15 Suppose f : [a, b] → R is a Riemann integrable function
and (Pn ) is a sequence of partitions of [a, b] such that |Pn | → 0 as n → ∞. If
Tn is a tag set for Pn for each n ∈ N, then
Z b
S(Pn , Tn , f ) → f (x)dx as n → ∞.
a

Looking at Theorem 1.1.13, one may ask the following question.

If (Pn ) is a sequence of partitions of [a, b] such that lim |Pn | = 0

n→∞
and lim S(Pn , Tn , f ) = γ for some γ ∈ R, where Tn is a tag set
n→∞
for Pn for each n ∈ N, then, is it true that f is Riemann integrable
Rb
and γ = a f (x)dx?

The answer is in the negative as the following example shows.

Example 1.1.16 Consider the Dirichlet function f : [0, 1] → R, of Example
1.1.2. That is,

0, x ∈ Q,
f (x) :=
1, x 6∈ Q.

Let xi := i/n for i = 0, 1, . . . , n, and let ti be any rational point in the interval
[xi−1 , xi ]. In this case we have lim |Pn | = 0 and S(Pn , Tn , f ) = 0 for all n ∈ N
n→∞
so that lim S(Pn , Tn , f ) = 0. However, f is not Riemann integrable. ♦
n→∞
8 Measure and Integration

1.2 Advantages and Some Disadvantages

We may observe, in view of Corollary 1.1.8, that if (Pn ) is a sequence
of partitions of [a, b] such that (U (Pn , f )) and (L(Pn , f )) converge to the
Rb
same limit say γ, then f is Riemann integrable, and γ = a f (x)dx. If f :
[a, b] → R is a continuous function, then using the uniform continuity of f ,
it can be shown that for any sequence (Pn ) of partitions of [a, b] satisfying
|Pn | → 0 as n → ∞, we have U (Pn , f ) − L(Pn , f ) → 0 as n → ∞. Thus,
by Corollary 1.1.8, we can conclude the following:
Every continuous function f : [a, b] → R is Riemann integrable.
The following results are also true; for their proofs, the reader may refer to
Ghorpade and Limaye [7] or Rudin [13].
(a) Every bounded function f : [a, b] → R having at most a finite number
of discontinuities is Riemann integrable.
(b) Every monotonic function f : [a, b] → R is Riemann integrable.
Thus, the set of all Riemann integrable functions is very large. In fact
we have the following theorem, known as Lebesgue’s criterion for Riemann
integrability, whose proof depends on some techniques involving the concept
of oscillation of a function; refer to Delninger [4] for its proof.
Lebesgue’s criterion for Riemann integrability: A bounded
function f : [a, b] → R is Riemann integrable if and only if the set
of points at which f is discontinuous is of measure zero.
In the above, the terminology set of measure zero is used in the sense of
the following definition.
Definition 1.2.1 A set E ⊆ R is said to be of measure zero if for every
ε > 0, there exists a countable family {In } of open intervals such that
[ X
E⊆ In and `(In ) < ε,
n n

where `(In ) is the length of the interval In . ♦

Example 1.2.2 We show that every countable subset of R is of measure zero.
To see this, consider a countable set E = {an : n ∈ Λ}, where Λ is {1, . . . , k}
for some k ∈ N or Λ = N. For ε > 0, let
In := (an − ε/2n+1 , an + ε/2n+1 ), n ∈ Λ.
Then X X
E ⊆ ∪n∈Λ In and `(In ) = (ε/2n ) ≤ ε. ♦
n∈Λ n∈Λ
 Review of Riemann Integral 9

Can an uncountable set be of measure zero? We shall answer this question

affirmatively in the next chapter.
Functions with only a finite or countably infinite number of discontinuities
in [a, b] can be constructed easily. In fact, the following example shows that
given any countable subset S of [a, b], there is a function f : [a, b] → R such
that S is exactly the set of points in [a, b] at which f is discontinuous.
Example 1.2.3 Let I = [a, b], S := {an : n ∈ N} ⊆ I and let f : I → R
be defined by f (an ) = 1/n for all n ∈ N and f (x) = 0 for x ∈ I \ S. Clearly,
this function is not continuous at any x ∈ S. We show that f is continuous at
every x ∈ I \ S.
Let x0 ∈ I \ S. Then f (x0 ) = 0. For ε > 0, we have to find a δ > 0 such
that |x − x0 | < δ implies |f (x)| < ε.
For δ > 0, let Jδ := (x0 − δ, x0 + δ) ∩ I. For ε > 0, let k ∈ N be such that
1/k < ε. Choose δ > 0 such that

a1 , a2 , . . . , ak 6∈ Jδ .

For instance, we may choose 0 < δ < min{|x0 − ai | : i = 1, . . . , k}. Then we

have
Jδ ∩ {a1 , a2 , . . .} ⊆ {ak+1 , ak+2 , . . .}.
Hence, for x ∈ Jδ , we have either f (x) = 0 or f (x) = 1/n for some n > k.
Thus,
1
|f (x)| ≤ < ε.
k
Thus we have proved that f is continuous at x0 .
If we take S as the set of all rational numbers in I, then the function f is
continuous at every irrational number in I and discontinuous at every rational
number in I. ♦
Although the set of Riemann integrable functions on [a, b] is quite large,
this class lacks some desirable properties. For example observe the following
drawbacks of Riemann integrability and Riemann integration:
(a) If (fn ) is a sequence of Riemann integrable functions on [a, b] and if
fn (x) → f (x) as n → ∞ for every x ∈ [a, b], then it is not necessary
that f is Riemann integrable.
(b) Even if the function f in (a) is Riemann integrable, it is not necessary
Rb Rb
that a fn (x)dx → a f (x)dx as n → ∞.
To illustrate the last two statements consider the following examples.
Example 1.2.4 Let {r1 , r2 , . . .} be an enumeration of the set rational num-
bers in [0, 1]. For each n ∈ N, let

0 if x ∈ {r1 , . . . , rn },
fn (x) =
1 if x 6∈ {r1 , . . . , rn }.
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