Let μ be a positive definite measure on arbitarary measurable space X. Let L1(μ) be collection of all complex measurable functions f on X for which
∫X|f|dμ<∞
Definition If f=u+iv for real measurable functions u,v on X and if f∈L1(μ), we define ∫Efdμ=∫Eu+dμ−∫Eu−dμ+i∫Ev+dμ−i∫Ev−dμ
is called space of ``Lesbesgue integral functions''. f measurable implies |f| is measurable, hence above integral is defined.
For understanding next definition, recall that a function u can be split into positive u+=max{u,0} and u−=−max{u,0} parts.
Definition If f=u+iv for real measurable functions u,v on X and if f∈L1(μ), we define ∫Efdμ=∫Eu+dμ−∫Eu−dμ+i∫Ev+dμ−i∫Ev−dμ
for every measurable set E.Know that u+,u−,v+,v− are measurable. Then ∫Efdμ exists. Futhermore u+≤|u|≤|f| for all 4 parts of above integral. Hence, each one of them is finite.
Clearly from above definition, ∫Efdμ is a complex number.
Occasionally, it is desirable to define integral of f with range [−∞,∞] to be
∫Efdμ=∫Ef+dμ−∫Ef−1dμ
provided atleast one of the integrals on the right is finite. Thus LHS is a number between [−∞,∞].
Theorem 1.32
Suppose f,g∈L1(μ) and α,β are complex numbers, then αf+βg∈L1(μ) and
∫X(αf+βg)=α∫Xfdμ+β∫Xgdμ
\subsection{Proof}
First we need to establish that αf+βg is measurable.Then,need to show that the integral is less than infinity - thus establishing that LHS of above belongs to esteemed Legesgue integrable functions set(L1(μ)).
If f,g are complex measurable functions, f+g and fg are measurable functions.
αf=f.f.⋯(α times) is measurable. Similarly βg is measurable. The sum of measurable funcitons αf+βg is measurable.
WLOG assume o≤f≤g, then ∫Efdμ≤∫Egdμ.
Know,
|αf+βg|≤|α||f|+|β||g|
This implies
∫X|αf+βg|dμ≤∫X|α||f|+∫X|β||g|=|α|∫X|f|dμ+|β|∫X|g|dμ<∞
Thus αf+βg∈L1(μ).
To prove (4) we need to establish
∫X(f+g)dμ=∫Xfdμ+∫xgdμ
and
∫Xαfdμ=α∫Xfdμ
Assume h=f+g
h+−h−=f+−f−+g+−g− implies h++f−+g−=f++g++h−
From Theorem 1.27 know that if f=∑∞i=1fn(x) then ∫Xfμ=∑ni=1∫Xfndμ. Applying this theorem yields,
∫h++∫f−1+∫g−=∫f++∫g++∫h−
Since each of these integrals is finite, we can rearrange terms as we like.
∫h+−∫h−=∫(h+−h−)=∫(f+−f−)+∫(g+−g−)
Leading to ∫X(f+g)dμ=∫Xfdμ+∫Xgdμ.
To establish equation (8), the following was already proved earlier.
∫X(αf)dμ=α∫Xfdμ when α≥0
All that's left is to show that equation (8) holds for α<0 and α=i.
α=0 case:
Notice
−u+=−max{u,0}=u−
which means
∫X(−1)fdμ=∫X(−1)(u+iv)dμ=∫X(−u−iv)dμ=(−1)∫Xfdμ
α=i case:
∫(if)=∫i(u+iv)=∫(iu−v)=−∫v+i∫u=i∫(u+iv)=i∫f
Proved for all α less than 0 and for i. This shows,
∫Xαfdμ=α∫Xfdμ
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