[Math] Why can Lebesgue integral be defined only with supremum, but Riemanns needs both sup. and inf.

lebesgue-integrallebesgue-measuremeasure-theoryriemann-integration

As stated above, why can Lebesgue integral be defined only with supremum
$$
\int_E f \, d\mu := \sup\left\{ \int_E s \, d\mu : 0 \le s \le f, s \text{ simple } \right\}.
$$

but the Riemann integral needs to be expressed in terms of both the sup and inf?

What is the key difference? It seems important to me, but everywhere, I jut see the definition, without an explanation, why it is defined like this.

Please help me understand, I can not find an explanation anywhere.

Best Answer

If $f$ is bounded and measurable on a set $E \subset \mathbb{R}$ then for any $\epsilon>0$ there are simple functions $s_\epsilon$ and $t_\epsilon$ such that $s_\epsilon \leqslant f \leqslant t_\epsilon$ and $t_\epsilon - s_\epsilon < \epsilon$. This is not difficult to prove and $E$ need not be bounded.

If, in fact, $E$ is bounded, then by the basic properties of integrals of simple functions (monotone and linear) we have

$$0 \leqslant \inf\left\{ \int_E t \, d\mu : t \geqslant f, t \text{ simple } \right\} - \sup\left\{ \int_E s \, d\mu : 0 \leqslant s \leqslant f, s \text{ simple } \right\} \\ \leqslant \int_E t_\epsilon \, d\mu - \int_E s_\epsilon \, d\mu = \int_E (t_\epsilon - s_\epsilon) \, d\mu < \epsilon \, \mu(E).$$

Since this is true for any $\epsilon > 0$ we always have

$$\inf\left\{ \int_E t \, d\mu : t \geqslant f, t \text{ simple } \right\} = \sup\left\{ \int_E s \, d\mu : 0 \leqslant s \leqslant f, s \text{ simple } \right\}, $$

and either the $\inf$ or $\sup$ defines the Lebesgue integral. The Riemann integral need not exist.

If, however, $f$ is nonnegative and either $f$ is unbounded or $\mu(E) = \infty$ or both, then the integral is defined as

$$\int_E f = \sup \left\{\int_E g: 0 \leqslant g \leqslant f, \, g \text{ bounded, measurable, and of finite support} \right\}.$$

Such $\int_E g$ are defined in the first part and this can be extended in general using $f = f^+ - f^-.$