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Introduction To Lebesgue Integration

This document introduces the topics covered in a set of lecture notes on Lebesgue integration. The notes were originally written in 1977 and have since been organized and supplemented. They provide an introduction to basic ideas in Lebesgue integration with minimal use of measure theory. The notes are divided into 10 chapters covering topics like the real numbers, Riemann integration, point sets, the Lebesgue integral, monotone convergence theorem, dominated convergence theorem, integrals on unbounded intervals, measurable functions and sets, continuity and differentiability of integrals, and double integrals. Users can access the PDF files for each chapter by clicking on the links provided.

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Fabian Molina
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© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
501 views

Introduction To Lebesgue Integration

This document introduces the topics covered in a set of lecture notes on Lebesgue integration. The notes were originally written in 1977 and have since been organized and supplemented. They provide an introduction to basic ideas in Lebesgue integration with minimal use of measure theory. The notes are divided into 10 chapters covering topics like the real numbers, Riemann integration, point sets, the Lebesgue integral, monotone convergence theorem, dominated convergence theorem, integrals on unbounded intervals, measurable functions and sets, continuity and differentiability of integrals, and double integrals. Users can access the PDF files for each chapter by clicking on the links provided.

Uploaded by

Fabian Molina
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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21/7/2015

IntroductiontoLebesgueIntegration

LECTURE NOTES OF WILLIAM CHEN

INTRODUCTION TO LEBESGUE INTEGRATION


This set of notes was mainly written in 1977 while the author was an undergraduate at Imperial College,
University of London. Chapters 1 and 3 were first used in lectures given there in 1982 and 1983, while Chapter
2 was added in Sydney in 1996.
The material has been organized in such a way to create a single volume suitable for an introduction to some
of the basic ideas in Lebesgue integration with the minimal use of measure theory.
To read the notes, click the links below for connection to the appropriate PDF files.
The material is available free to all individuals, on the understanding that it is not to be used for financial
gain, and may be downloaded and/or photocopied, with or without permission from the author. However,
the documents may not be kept on any information storage and retrieval system without permission from the
author, unless such system is not accessible to any individuals other than its owners.

Chapter 1 : THE REAL NUMBERS AND COUNTABILITY >>


Introduction
Completeness of the Real Numbers
Consequences of the Completeness Axiom
Countability

Chapter 2 : THE RIEMANN INTEGRAL >>


Riemann Sums
Lower and Upper Integrals
Riemann Integrability
Further Properties of the Riemann Integral
An Important Example

Chapter 3 : POINT SETS >>


Open and Closed Sets
Sets of Measure Zero
Compact Sets

Chapter 4 : THE LEBESGUE INTEGRAL >>


Step Functions on an Interval
Upper Functions on an Interval
Lebesgue Integrable Functions on an Interval
Sets of Measure Zero
Relationship with Riemann Integration

Chapter 5 : MONOTONE CONVERGENCE THEOREM >>


Step Functions on an Interval
Upper Functions on an Interval
https://rutherglen.science.mq.edu.au/wchen/lnilifolder/lnili.html

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21/7/2015

IntroductiontoLebesgueIntegration

Lebesgue Integrable Functions on an Interval

Chapter 6 : DOMINATED CONVERGENCE THEOREM >>


Lebesgue's Theorem
Consequences of Lebesgue's Theorem

Chapter 7 : LEBESGUE INTEGRALS ON UNBOUNDED INTERVALS >>


Some Limiting Cases
Improper Riemann Integrals

Chapter 8 : MEASURABLE FUNCTIONS AND MEASURABLE SETS >>


Measurable Functions
Further Properties of Measurable Functions
Measurable Sets
Additivity of Measure
Lebesgue Integrals over Measurable Sets

Chapter 9 : CONTINUITY AND DIFFERENTIABILITY OF LEBESGUE INTEGRALS >>


Continuity
Differentiability

Chapter 10 : DOUBLE LEBESGUE INTEGRALS >>


Introduction
Decomposition into Squares
Fubini's Theorem for Step Functions
Sets of Measure Zero
Fubini's Theorem for Lebesgue Integrable Functions

https://rutherglen.science.mq.edu.au/wchen/lnilifolder/lnili.html

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