Integration Theory

The Lebesgue measure on ?n (presented in section 8.4) is a pivotal component of this chapter. The approach in the chapter is to extend the positive linear functional provided by the Riemann integral on the space of continuous, compactly supported functions on ?n (presented in section 8.1). An excursion on Radon measures is included at the end of section 8.4. The rest of the sections are largely independent of sections 8.1 and 8.4 and constitute a deep introduction to general measure and integration theories. Topics include measurable spaces and measurable functions, Carathéodory’s theorem, abstract integration and convergence theorems, complex measures and the Radon-Nikodym theorem, Lp spaces, product measures and Fubini’s theorem, and a good collection of approximation theorems. The closing section of the book provides a glimpse of Fourier analysis and gives a nice conclusion to the discussion of Fourier series and orthogonal polynomials started in section 4.10.