Sunday, 25 December 2016

A function that is Lebesgue integrable but not measurable (not absurd obviously)

I think: A function f, as long as it is measurable, though Lebesgue integrable or not, always has Lebesgue integral on any domain E.




However Royden & Fitzpatrick’s book "Real Analysis" (4th ed) seems to say implicitly that “a function could be integrable without being Lebesgue measurable”. In particular, theorem 7 page 103 says:



“If function f is bounded on set E of finite measure, then f is Lebesgue integrable over E if and only if f is measurable”.



The book spends a half page to prove the direction “f is integrable implies f is measurable”! Even the book “Real Analysis: Measure Theory, Integration, And Hilbert Spaces” of Elias M. Stein & Rami Shakarchi does the same job!



This makes me think there is possibly a function that is not bounded, not measurable but Lebesgue integrable on a set of infinite measure?



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Update: Read the answer of smnoren and me below about the motivation behind the approaches to define Lebesgue integrals.
Final conclusion: The starting statement above is still true and doesn't contradict with the approach of Royden and Stein.

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