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The Lebesgue integral, named after French mathematician Henri Lebesgue, is one way to make this concept rigorous and to extend it to more general functions. The Lebesgue integral is more general than the Riemann integral , which it largely replaced in mathematical analysis since the first half of the 20th century.
The Lebesgue–Stieltjes integral is the ordinary Lebesgue integral with respect to a measure known as the Lebesgue–Stieltjes measure, which may be associated to any function of bounded variation on the real line.
Henri Léon Lebesgue ForMemRS [1] (French: [ɑ̃ʁi leɔ̃ ləbɛɡ]; June 28, 1875 – July 26, 1941) was a French mathematician known for his theory of integration, which was a generalization of the 17th-century concept of integration—summing the area between an axis and the curve of a function defined for that axis.
The derivative of this integral at x is defined to be | |, where |B| denotes the volume (i.e., the Lebesgue measure) of a ball B centered at x, and B → x means that the diameter of B tends to 0. The Lebesgue differentiation theorem ( Lebesgue 1910 ) states that this derivative exists and is equal to f ( x ) at almost every point x ∈ R n . [ 1 ]
Lebesgue's dominated convergence theorem is a special case of the Fatou–Lebesgue theorem. Below, however, is a direct proof that uses Fatou’s lemma as the essential tool. Since f is the pointwise limit of the sequence ( f n ) of measurable functions that are dominated by g , it is also measurable and dominated by g , hence it is integrable.
In Lebesgue integration, this is exactly the requirement for any measurable function f to be considered integrable, with the integral then equaling + (), so that in fact "absolutely integrable" means the same thing as "Lebesgue integrable" for measurable functions.
Lebesgue measure is both locally finite and inner regular, and so it is a Radon measure. Lebesgue measure is strictly positive on non-empty open sets, and so its support is the whole of R n. If A is a Lebesgue-measurable set with λ(A) = 0 (a null set), then every subset of A is also a null set. A fortiori, every subset of A is measurable.
However, the Riemann–Lebesgue lemma does not hold for arbitrary distributions. For example, the Dirac delta function distribution formally has a finite integral over the real line, but its Fourier transform is a constant and does not vanish at infinity.