[Math] Prove $f(x)=x$ is Lebesgue integrable on $[0,1]$

integrationlebesgue-integralreal-analysis

Prove that $f(x)=x$ is Lebesgue integrable on $[0,1]$.

My definition of integrable comes from Royden's Real Analysis (4th ed). So $f$ is integrable if the lower integral is equal to the upper integral and finite.

Lower integral: $$\inf \left\{ \int_a^b \phi(x) dx: \phi \text{ is simple and for all }x \in [0,1], \phi(x) \leq f(x) \right\}$$

Upper integral is similarly defined with $\sup$ (instead of $\inf$) and $\phi(x) \geq f(x)$.

For simple function $\phi(x)= \sum_{i=1}^n \alpha_i 1_{A_i} $, the integral is defined to be: $$\int_a^b \phi(x)dx = \sum_{i=1}^n \alpha_i m(A_i).$$

I can prove this using theorems but I want to do it directly from the definition.

We have proven that we can approximate any function (within $\varepsilon$) using simple functions. I am not sure if this is helpful.

The first thing I pictured was "staircase" functions but I wasn't sure if I could pick my own sequence of simple functions. Don't I need to consider ALL of the simple functions less than or equal to $f$?

Best Answer

Partition $[0,1]$ into $1/n$ long intervals and take the following simple functions:

$g(x) = \frac{i-1}{n}, \ $ if $ \frac{i-1}{n} \leq x < \frac{i}{n}$ where $i=1,2,\cdots,n$.

$h(x) = \frac{i}{n}, \quad $ if $ \frac{i-1}{n} \leq x < \frac{i}{n}$ where $i=1,2,\cdots,n$.

Obviously, $$ g \leq f \leq h \, $$ And $$ \int g \leq \int_* f \leq \int^*f \leq \int h \ . $$ But also, $$ 0 \leq \int^* f -\int_ *f \leq \int h - \int g \leq \frac{1}{n} \ . $$ Since $n$ was arbitrary, this forces $$ \int^* f -\int_ *f = 0 \ . $$