I'm taking a course in measure theory and we defined integrability in a σ
-finite space as follows: Suppose (X,F,μ)
is a σ-finite measure space, a measurable function f:X→R
is said to be integrable on X (denoted f∈L1(X,F,μ)) if for every collection {Xm}∞m=1
such that Xm↑X
, Xm∈F
and μ(Xm)<∞
the following apply:
f
is integrable on every set A⊆X
such that μ(A)<∞
.The limit limm→∞∫Xm|f|dμ
exists and does not depend on the choice of {Xm}∞m=1
.The limit limm→∞∫Xmfdμ
does not depend on the choice of {Xm}∞m=1
.
If said conditions apply then we define ∫Xfdμ=limm→∞∫Xm|f|dμ
Now suppose G⊆F
is a σ
-algebra on X
. Let f:X→R
be a G
-measurable function such that f∈L1(X,G,μ)
, is f
necessarily in L1(X,F,μ)
?
Obviously G
-measurability implies F
-measurability but what about integrability?
EDIT: It seems the construction of the integral we did is quite unorthodox, I'll elaborate further on the definitions: Suppose (X,F,μ) is a measure space and let A⊆X be a subset of finite measure. We define a simple function f:X→R to be any function taking a countable collection of real values {yn}∞n=1. Denote An={x∈A|f(x)=yn}. Assuming f is measurable we say that f is integrable on A if the series ∑∞n=1ynμ(An) is absolutely convergent in which case we define: ∫Afdμ=∞∑n=1ynμ(An)
Furthermore, given any measurable function f:X→R we say f is integrable on A if there is a sequence of simple functions (as defined) which are integrable on A and converging uniformly to f on A. In which case we define: ∫Afdμ=limn→∞∫Afndμ
Thanks in advance.
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