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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. It can accommodate functions ...
In mathematics, Fatou's lemma establishes an inequality relating the Lebesgue integral of the limit inferior of a sequence of functions to the limit inferior of integrals of these functions. The lemma is named after Pierre Fatou. Fatou's lemma can be used to prove the Fatou–Lebesgue theorem and Lebesgue's dominated convergence theorem.
The Lebesgue–Stieltjes integral ()is defined when : [,] is Borel-measurable and bounded and : [,] is of bounded variation in [a, b] and right-continuous, or when f is non-negative and g is monotone and right-continuous.
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 ...
The theorem states that if a function is Lebesgue integrable on a rectangle , then one can evaluate the double integral as an iterated integral: (,) (,) = ((,)) = ((,)). This formula is generally not true for the Riemann integral , but it is true if the function is continuous on the rectangle.
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.
Lebesgue's monotone convergence theorem; Fatou's lemma; Absolutely continuous; Uniform absolute continuity; Total variation; Radon–Nikodym theorem; Fubini's theorem. Double integral; Vitali set, non-measurable set
The rest of the text covers topics such as continuous functions, differentiation, the Riemann–Stieltjes integral, sequences and series of functions (in particular uniform convergence), and outlines examples such as power series, the exponential and logarithmic functions, the fundamental theorem of algebra, and Fourier series.