Lecture 1: Introduction

Dmitriy Zanin

University of New South Wales

September 12, 2024

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 Course information

Lecturer: Dmitriy [Dima, to be short] Zanin.

E-mail: [email protected]
Office: 6104, Lawrence (Red) Centre, East Wing.
Contact hours: by appointment arranged via e-mail. Frequently, I am
available without appointment (just check if I am in my office).
It is expected to have 3 lecture hours per week + 1 tutorial [flexible]. Each
lecture hour normally corresponds to a single file [flexible]. Files are
uploaded to Moodle before the lecture. Often, important examples are
demonstrated on board and adjusted lecture files containing these
examples are uploaded after the lecture.

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 Riemann integration: reminder

Summary on Riemann integral

Riemann integral was defined for the functions which are continuous (or,
at least, are not very far from being continuous).
For every partition of an interval [a, b], one writes upper and lower
Darboux sums (see next slide);
Every upper Darboux sum is bigger than every lower Darboux sum
(not necessarily for the same partition);
Heuristically, value of an integral lies between that for upper and
lower Darboux sum;
As partitions get finer and finer, the difference between respective
upper and lower Darboux sums is expected to become smaller and
smaller;
One can now define Riemann integral as infimum of all upper Darboux
sums (or, equivalently, the supremum of all lower Darboux sums);

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 Riemann integration: reminder

Darboux sums

Let {xk }K
k=1 be a partition of an interval [a, b]. That is,
a = x0 ≤ x1 ≤ · · · ≤ xK = b.
Definition
Upper Darboux sum for the partition {xk }K
k=1 is given by the formula

K
X −1
(xk+1 − xk ) · sup f (x).
k=0 x∈[xk ,xk+1 ]

Lower Darboux sum for the partition {xk }K

k=1 is given by the formula

K
X −1
(xk+1 − xk ) · inf f (x).
x∈[xk ,xk+1 ]
k=0

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 Riemann integration: reminder

Condition for existence of Riemann integral

For a partition P = {xk }K

k=1 of an interval [a, b], we define its width as
follows
w (P) = max |xk+1 − xk |.
0≤k<K

We say that Riemann integral exists for a function f (defined on the

interval [a, b]) if, for every ϵ > 0, there exists δ > 0 such that, whenever
partition P of the interval [a, b] is such that w (P) < δ, we have

U(P) − L(P) < ϵ.

Here, U(P) (respectively, L(P)) is the upper (respectively, lower) Darboux

sum for the function f and the partition P.

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 Riemann integration: reminder

When Riemann integral exists?

Theorem
If f is a continuous function on [a, b], then it is Riemann integrable.

Theorem
If f is a monotone function on [a, b], then it is Riemann integrable.

Besides that, not much can be inferred from the definition. Heuristically, a
function is Riemann integrable if it does not have too many discontinuity
points. The following theorem provides a rigorous version of this heuristic
(warning: its statement already requires some measure theory).
Theorem
A bounded function f on [a, b] is Riemann integrable if and only if the set
of its discontinuity points has measure 0.

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 Problems with Riemann integral

Example: Dirichlet function

Let f be a function on the interval [0, 1] given by the formula

(
1, x ∈ Q
f (x) =
0, x ∈ /Q

This function is everywhere discontinuous (to be presented on board). By

the above theorem, it is not Riemann integrable. On the other hand, the
set Q is countable. By changing the value of f at countably many points,
we can make f identically equal 0 (which is, obviously, a Riemann
integrable function).
Summary: changing a function at countably many points can destroy
Riemann integrability.

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 Problems with Riemann integral

Failure of basic inequality

In the course of Riemann integration, the following inequality is stated

Z b Z b
f (x)dx ≤ |f (x)|dx.
a a

Consider a modified Dirichlet function given by the formula

(
1, x ∈ Q
f (x) =
−1, x ∈ /Q

We have |f | = 1 — a Riemann integrable function. On the other hand, f

is not Riemann integrable.
Summary: a very natural inequality fails badly (in fact, the left hand side
of it does not even make sense).

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 Problems with Riemann integral

Passing to a limit

The following result allows to pass to a limit under the integral.

Theorem
Let {fn }n≥1 be a sequence of Riemann integrable functions on [a, b].
Suppose that fn → f uniformly on [a, b]. It follows that
Z b Z b
lim fn (x)dx = f (x)dx.
n→∞ a a

However, uniform convergence is a heavy requirement. Can one weaken it?

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 Problems with Riemann integral

Passing to a limit: example I

Let fn (x) = x n , x ∈ [0, 1], n ∈ N. We have

(
def 0, 0≤x <1
lim fn (x) = f (x) = .
n→∞ 1, x =1

Each fn is continuous and, hence, Riemann integrable. f monotone and is,

therefore, Riemann integrable.
Obviously,
Z 1 Z 1 Z 1
n x n+1 1 1
fn (x)dx = x dx = = →0= f (x)dx.
0 0 n + 1 x=0 n + 1 0

Summary: is this example a mere coincidence or there is a general result

behind it?

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 Problems with Riemann integral

Passing to a limit: example II

Let 
0,
 x =0
fn (x) = n, 0 < x < n1
 1
0, n ≤x ≤1


We have
lim fn (x) = 0 for all x ∈ [0, 1].
n→∞

Adjusting each fn at 0, we make it monotone and, hence, Riemann

integrable. Obviously, 0 is Riemann integrable.
However, Z 1
fn (x)dx = 1 ̸→ 0.
0
Summary: should there be a general result on passing to a limit, it cannot
include arbitrary pointwise convergent sequences of functions.

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 Problems with Riemann integral

Integration of unbounded functions

By definition/construction, Riemann integrable function is bounded. To

integrate unbounded functions, one has to invent artificial procedures.
1
For example, f (x) = x − 2 , x ∈ (0, 1]. We have
Z 1 Z 1 1 1 1 1
f (x)dx = x − 2 dx = 2x 2 = 2 − 2ϵ 2 .
ϵ ϵ ϵ

It is, therefore, natural to put

Z 1 Z 1
f (x)dx = lim f (x)dx = 2.
0 ϵ↓0 ϵ

Summary: there is a large class of unbounded functions for which one

naturally expects the integrability. However, these functions are definitely
not Riemann integrable.

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 What to expect from an integral?

Very informal description of Lebesgue integral I

Suppose you have a heap of coins (lots of different currencies) and you
want to know how much money you got. There are 2 approaches:
at every step, take a single coin, compute its value and add it to a
total value;
split the heap into groups per currency (dollars, euros, yuans, tughriks
etc.). at each step, take a group, count a number of coins there and
multiply by the exchange rate, after that add the result to a total
value;
The first process describes Riemann integral. The second process describes
Lebesgue integral.

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 What to expect from an integral?

Very informal description of Lebesgue integral II

To integrate a function, there are 2 approaches:

1 partition Ox axis (in the example above, elements of the partition are
single coins);
2 partition Oy axis (in the example above, elements of the partition are
the exchange rates of different currencies);
Grand statement: the second process is much easier, allows the
treatment of more general situations and leads to stronger results.

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 What to expect from an integral?

Lebesgue’s thoughts about an integral

It is often said that definitions are arbitrary. This is true, yet no

mathematician would consent to call a number an ”integral” unless it
enjoyed certain simple and important properties held by the integrals of
continuous functions: enunciation of these properties, if they are sufficient
to determine the integral, gives a descriptive definition of the integral. It
remains then to give a process by which to calculate this number, a
constructive definition of the integral.
Here is a descriptive definition: the integral of a bounded function Rb f
defined on a finite interval [a, b] is a finite number (denoted by a f (x)dx)
satisfying the following properties [listed on the next slides]:

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 What to expect from an integral?

Lebesgue’s conditions on the integral I

1 given any a, b, h ∈ R, we have

Z b Z b+h
f (x)dx = f (x − h)dx.
a a+h

2 given any a, b, c ∈ R, we have

Z b Z c Z a
f (x)dx + f (x)dx + f (x)dx = 0.
a b c

3 given any functions f1 and f2 , we have

Z b Z b Z b
(f1 + f2 )(x)dx = f1 (x)dx + f2 (x)dx.
a a a

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 What to expect from an integral?

Lebesgue’s conditions on the integral II

4 if f ≥ 0 and b ≥ a, then
Z b
f (x)dx ≥ 0.
a

5 we have Z 1
1dx = 1.
0
6 if the sequence {fn }n≥1 increases and converges to f , then
Z b Z b
fn (x)dx → f (x)dx.
a a

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 What to expect from an integral?

Riemann integral fails Lebesgue condition

Theorem
There exists a sequence {fn }n≥1 of Riemann integrable functions such that
fn ↑ f , where f is a Dirichlet function.

For this example, Lebesgue’s last condition fails badly — the right hand
side becomes meaningless.

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 What to expect from an integral?

Proof.
Let us write Q as a sequence {rn }n≥1 of distinct numbers. For every
n ≥ 1, define a function fn by setting

0,
 x∈/Q
fn (x) = 1, x = rm , m ≤ n

0, x = rm , m > n


Each fn differs from 0 at finitely many points and is, therefore, Riemann
integrable.
We claim fn+1 ≥ fn for n ∈ N. Indeed, for x ∈ / Q, we have
fn (x) = 0 = fn+1 (x). For x ∈ Q, we have x = rm for some m ∈ N. If
n + 1 < m, then fn (x) = 0 = fn+1 (x). If n ≥ m, then fn (x) = 1 = fn+1 (x).
If n = m − 1, then fn (x) = 0 < 1 = fn+1 (x). Thus, fn (x) ≤ fn+1 (x) for all
n ≥ 1 and for all x ∈ R.
If x ∈
/ Q, then fn (x) = 0 → 0 = f (x). If x ∈ Q, then x = rm for some
m ∈ N. We have fn (x) = 1 for n ≥ m. Therefore, fn (x) → 1 = f (x) for all
x ∈ R.
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 What to expect from an integral?

Conclusion

The aim of this course is to construct an integral (due to Lebesgue) which

makes much larger class of functions integrable;
satisfies the stated properties;
avoids the pathologies described above;
makes the statements of the theorems much lighter by eliminating
strong requirements used for Riemann integral (e.g. uniform
convergence for passing to a limit);
allows further important properties (e.g. Fubini theorem);
provides a natural framework and useful technical device for
applications in Probability Theory, Ergodic Theory, etc.;

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