Homework 10: Show that a Riemann integrable function is Lebesgue integrable (the integral for the

Lebesgue measure exists), and the values of the two integrals are the same. Hint: Turn sequences of upper
and lower sums into sequences of integrals of step functions, and show that the sequences of step functions
are Cauchy.
Solution. Riemann integral is defined for bounded functions f on a closed and bounded interval [a, b]
as follows: for any partition P = {x0 = a, x1 , . . . , xn = b}, the corresponding lower sum L (f, P ) and upper
sum U (f, P ) are defined by
n
X
L (f, P ) = inf f (x) (xi − xi−1 )
x∈[xi−1 ,xi ]
i=1
Xn
U (f, P ) = sup f (x) (xi − xi−1 )
i=1 x∈[xi−1 ,xi ]
Rb
Function f is Riemann integrable if supP L (f, P ) = inf P U (f, P ), and the integral a
f dx then equals to
this common value. For every partition P , define the functions
n
X
φf,P (x) = inf f (x) if x ∈ (xi−1 , xi )
x∈[xi−1 ,xi ]
i=1
Xn
ψf,P (x) = sup f (x) if x ∈ (xi−1 , xi )
i=1 x∈[xi−1 ,xi ]

At the nodes xi , the functions φf,P and ψf,P are 0. Then φf,P and ψf,P are step functions, and by definition,
the lower and upper sums are their integrals,
Z Z
L (f, P ) = φf,P , U (f, P ) = ψf,P ,

(with respect to Lebesgue measure, here simply interval length), and

φf,P ≤ f ≤ ψf,P
except at the nodes xi .
It is known from the theory of Riemann integration (using the definitions of infimum and supremum,
and taking common refinement of partitions) that if f is Rieman integrable, then there exists a sequence of
partitions Pk such that
Z b
f dx = lim L (f, Pk ) = lim U (f, Pk ) .
a k→∞ k→∞

and Pk+1 is a refinement of Pk , thus

φf,Pk ≤ φf,Pk+1 ≤ f ≤ ψf,Pk+1 ≤ ψf,Pk
except at the nodes of the partitions Pk , which is a countable set. Hence.
Z Z Z Z
 
φf,P
k+m
− φ f,Pk
 = φ f,Pk+m − φ f,Pk = φ f,Pk+m − φf,Pk

= L (f, Pk+m ) − L (f, Pk ) = |L (f, Pk+m ) − L (f, Pk )|

Since the sequence {L (f, Pk )} converges, it is Cauchy sequence in R, and, consequently, {φf,Pk } is L1 Cauchy
sequence of step maps. Similarly, {ψf,Pk } is L1 Cauchy sequence of step maps. By Lemma 3.1, φf,Pk and
ψf,Pk converge a.e. on [a, b], and since φf,P ≤ f ≤ ψf,P a.e., they converge to f a.e. Thus the limits of the
sequences of the integrals of the step maps φf,P and ψf,P equal to the Lebesgue integral of f . Since the
integrals of the step maps equal to the lower and upper Riemann sums, whose limit is the Riemann integral,
the Riemann integral equals to the Lebesgue integral.