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Assume we are on the interval $[a,b]$. Assume we have a partition of the interval $\{a=x_0<x_1<x_2,<\ldots x_{n+1}\}$. A step-function is a function $f$ where there exists $c_0,c_1,\ldots ,c_n$ such that

$$f(x)=c_0I_{x_0}(x)+\sum\limits_{i=0}^nc_iI_{(x_i,x_{i+1}]}(x).$$

Assume that $g\in L^1([a,b])$, $g\ge0$. Then there exists a sequence of step-functions such that they converge to $g$ in $L^1([a,b])$. Can this sequence be chosen so that they converge monotonically?

user394334
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  • I think this works for a special subclass of Lebesgue integrable functions. Apostol calls them upper functions. A function is Lebesgue integrable if and only if it can be expressed as a difference of two upper functions. – Paramanand Singh Jul 17 '20 at 14:04
  • If we have an increasing sequence $s_n$ of step functions on an interval $I$ such that $\int_I s_n$ is bounded above then these functions converge almost everywhere to a function $f$ on $I$. Such a function $f$ is by definition called an upper function. – Paramanand Singh Jul 17 '20 at 14:07

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Apostol discussed this in his Mathematical Analysis.

Let's generalize a bit. Let $I$ be an interval. A function $s:I\to\mathbb {R} $ is said to be step function on $I$ if there is a closed interval $[a, b] \subseteq I$ such that restriction of $s$ to $[a, b] $ is a step function on $[a, b] $ (see definition in your question) and further $s(x) =0$ if $x\in I\setminus [a, b] $.

Apostol then proves the following deep result:

Theorem 1: Let $\{s_n\} $ be an increasing sequence of step functions on an interval $I$ such that $\int_I s_n$ is bounded above. Then the sequence $\{s_n\} $ converges to a limit function $f$ almost everywhere on $I$.

A function like $f$ in above result is said to be an upper function on $I$ and we define $$\int_I f=\lim_{n\to\infty} \int_I s_n\tag{1}$$

Next Apostol shows that if $f$ is any Riemann integrable function on $[a, b] $ then $f$ is also an upper function on $[a, b] $ (this involves approximating $f$ by sequence of step functions corresponding to lower Darboux sums on a uniform partition into $2^n$ subintervals). And then Apostol remarks that there are upper functions $f$ defined on an interval $I$ such that $-f$ is not an upper function on $I$ thereby showing that class of upper functions is larger than the class of Riemann integrable functions.

A function $f:I\to\mathbb {R} $ is said to be Lebesgue integrable on $I$ (written $f\in L(I)$) if we can write $f=u-v$ where $u, v$ are upper functions on $I$. The decomposition into $u, v$ is not unique and we define $$\int_I f=\int_I u-\int_I v\tag{2}$$


The answer to your question can be given now based on the example of an upper function $f$ such that $-f$ is not an upper function. Apostol does provide it in an exercise.

Let $I=[0, 1]$ and $$r_1,r_2,\dots,r_n,\dots$$ be the rationals in $I$ and $I_n=[r_n-4^{-n},r_n+4^{-n}]\cap I$. Let $f(x) =1$ if $x$ lies in some $I_n$ otherwise $f(x) =0$. Let $f_n(x) =1$ if $x\in I_n$ and $f_n(x) =0$ otherwise and $$s_n=\max(f_1,f_2,\dots,f_n)$$ then $s_n$ is an increasing sequence of step functions on $I$ and $s_n(x) \to f(x) $ almost everywhere on $I$ which shows that $f$ is an upper function on $I$. And $$\int_I f\leq \sum l(I_n) \leq\frac{2}{3}\tag{3}$$ Next Apostol says that if $s$ is any step function on $I$ such that $s(x) \leq - f(x) $ then $s(x) \leq - 1$ almost everywhere on $I$ and thus $\int_I s\leq - 1$. If $-f$ were an upper function on $I$ then we would have $\int_I (-f) \leq - 1$ which contradicts $(3)$.

The function $g$ defined by $g(x) =2-f(x)$ is positive on $I$ and clearly belongs to $L^1(I)$ but it can not be represented as the limit of an increasing sequence of step functions on $I$.

However your question does not specifically ask for increasing sequence but rather a monotone sequence. It should be obvious that the function $g$ above can be represented as limit of a decreasing sequence of step functions on $I$.

  • I hadn't read your answer before posting mine. It looks like there is some overlap. I'll be happy to delete my answer if needed. – zhw. Jul 17 '20 at 17:48
  • Thank you, this seems to be what I needed(since I can write it as the difference of two upper functions), but I have some questions I would hope you can answer. 1. This is about the your definition of step-functions, how have Apostol defined step functions in the book?, that is, how is the function defined after the restriction to $[a,b]$?, is it possible to use my definition if $I$ is finite? 2. Does your definition of Lebesgue integral coincide with the normal definition of Lebesgueintegrable?(where we start with simple functions, not step-functions). 3.Is the step-functions always positive? – user394334 Jul 17 '20 at 18:25
  • Can the both the functions in the difference of a Lebesgue-integrable functions be chosen to be positive?
  • – user394334 Jul 17 '20 at 18:44
  • @user394334: your definition of step function on a closed interval is exactly what Apostol uses and then he generalizes it for any interval. The definition by Apostol agrees with other definitions (say via simple functions or by first defining measure, but this equivalence is not explicitly proved). Step functions need not necessarily be positive. Regarding your last question I am not sure but I think it should be possible if the function is bounded. – Paramanand Singh Jul 17 '20 at 23:14
  • Thank you very much for your help. Do you think it is difficult to prove that if we define the Lebesgue integrable functions in the ordinary way, it is difficult to show that it is the difference of two upper functions? – user394334 Jul 22 '20 at 19:34
  • @user394334: ask this as a separate question. I am not so much of an expert in Lebesgue integral and I have only read this from Apostol's book. I am sure other people will give you a proof or some references regarding this. – Paramanand Singh Jul 23 '20 at 01:33