Properties of the Integral

Properties

Linearity

The collection of Riemann-integrable functions on a closed interval [a, b] forms a vector space under the operations of pointwise addition and multiplication by a scalar, and the operation of integration

$f\mapsto \int _{a}^{b}f(x)\;dx$

is a linear functional on this vector space. Thus, the collection of integrable functions is closed under taking linear combinations, and the integral of a linear combination is the linear combination of the integrals:

$\int _{a}^{b}(\alpha f+\beta g)(x)\,dx=\alpha \int _{a}^{b}f(x)\,dx+\beta \int _{a}^{b}g(x)\,dx.\,$

Similarly, the set of real-valued Lebesgue-integrable functions on a given measure space E with measure μ is closed under taking linear combinations and hence form a vector space, and the Lebesgue integral

$f\mapsto \int _{E}f\,d\mu$

is a linear functional on this vector space, so that:

$\int _{E}(\alpha f+\beta g)\,d\mu =\alpha \int _{E}f\,d\mu +\beta \int _{E}g\,d\mu .$

More generally, consider the vector space of all measurable functions on a measure space (E,μ), taking values in a locally compact complete topological vector space V over a locally compact topological field K, f : E → V. Then one may define an abstract integration map assigning to each function f an element of V or the symbol ∞,

$f\mapsto \int _{E}f\,d\mu ,\,$

that is compatible with linear combinations. In this situation, the linearity holds for the subspace of functions whose integral is an element of V (i.e. "finite"). The most important special cases arise when K is R, C, or a finite extension of the field Q_p of p-adic numbers, and V is a finite-dimensional vector space over K, and when K = C and V is a complex Hilbert space.

Linearity, together with some natural continuity properties and normalization for a certain class of "simple" functions, may be used to give an alternative definition of the integral. This is the approach of Daniell for the case of real-valued functions on a set X, generalized by Nicolas Bourbaki to functions with values in a locally compact topological vector space. See Hildebrandt 1953 for an axiomatic characterization of the integral.

Inequalities

A number of general inequalities hold for Riemann-integrable functions defined on a closed and bounded interval [a, b] and can be generalized to other notions of integral (Lebesgue and Daniell).

• Upper and lower bounds. An integrable function f on [a, b], is necessarily bounded on that interval. Thus there are real numbers m and M so that m ≤ f (x) ≤ M for all x in [a, b]. Since the lower and upper sums of f over [a, b] are therefore bounded by, respectively, m(b − a) and M(b − a), it follows that
  $$m(b-a)\leq \int _{a}^{b}f(x)\,dx\leq M(b-a).$$
• Inequalities between functions. If f(x) ≤ g(x) for each x in [a, b] then each of the upper and lower sums of f is bounded above by the upper and lower sums, respectively, of g. Thus
  $$\int _{a}^{b}f(x)\,dx\leq \int _{a}^{b}g(x)\,dx.$$
  This is a generalization of the above inequalities, as M(b − a) is the integral of the constant function with value M over [a, b]. In addition, if the inequality between functions is strict, then the inequality between integrals is also strict. That is, if f(x) < g(x) for each x in [a, b], then
  $$\int _{a}^{b}f(x)\,dx<\int _{a}^{b}g(x)\,dx.$$
• Subintervals. If [c, d] is a subinterval of [a, b] and f(x) is non-negative for all x, then
  $$\int _{c}^{d}f(x)\,dx\leq \int _{a}^{b}f(x)\,dx.$$
• Products and absolute values of functions. If f and g are two functions, then we may consider their pointwise products and powers, and absolute values:
  $$(fg)(x)=f(x)g(x),\;f^{2}(x)=(f(x))^{2},\;|f|(x)=|f(x)|.$$
  If f is Riemann-integrable on [a, b] then the same is true for |f|, and
  $$\left|\int _{a}^{b}f(x)\,dx\right|\leq \int _{a}^{b}|f(x)|\,dx.$$
  Moreover, if f and g are both Riemann-integrable then fg is also Riemann-integrable, and
  $$\left(\int _{a}^{b}(fg)(x)\,dx\right)^{2}\leq \left(\int _{a}^{b}f(x)^{2}\,dx\right)\left(\int _{a}^{b}g(x)^{2}\,dx\right).$$
  This inequality, known as the Cauchy–Schwarz inequality, plays a prominent role in Hilbert space theory, where the left hand side is interpreted as the inner product of two square-integrable functions f and g on the interval [a, b].
• Hölder's inequality. Suppose that p and q are two real numbers, 1 ≤ p, q ≤ ∞ with ${\frac {1}{p}}$ + ${\frac {1}{q}}$ = 1, and f and g are two Riemann-integrable functions. Then the functions |f|^p and |g|^q are also integrable and the following Hölder's inequality holds:
  $$\left|\int f(x)g(x)\,dx\right|\leq \left(\int \left|f(x)\right|^{p}\,dx\right)^{1/p}\left(\int \left|g(x)\right|^{q}\,dx\right)^{1/q}.$$
  For p = q = 2, Hölder's inequality becomes the Cauchy–Schwarz inequality.
• Minkowski inequality. Suppose that p ≥ 1 is a real number and f and g are Riemann-integrable functions. Then |f|^p, |g|^p and |f + g|^p are also Riemann-integrable and the following Minkowski inequality holds:
  $$\left(\int \left|f(x)+g(x)\right|^{p}\,dx\right)^{1/p}\leq \left(\int \left|f(x)\right|^{p}\,dx\right)^{1/p}+\left(\int \left|g(x)\right|^{p}\,dx\right)^{1/p}.$$
  An analogue of this inequality for Lebesgue integral is used in construction of L^p spaces.

Conventions

In this section, f is a real-valued Riemann-integrable function. The integral

$\int _{a}^{b}f(x)\,dx$

over an interval [a, b] is defined if a < b. This means that the upper and lower sums of the function f are evaluated on a partition a = x₀ ≤ x₁ ≤ . . . ≤ x_n = b whose values x_i are increasing. Geometrically, this signifies that integration takes place "left to right", evaluating f within intervals [x_i , x_i +1] where an interval with a higher index lies to the right of one with a lower index. The values a and b, the end-points of the interval, are called the limits of integration of f. Integrals can also be defined if a > b:

$\int _{a}^{b}f(x)\,dx=-\int _{b}^{a}f(x)\,dx.$

With $a=b$, this implies:

$\int _{a}^{a}f(x)\,dx=0.$

The first convention is necessary in consideration of taking integrals over subintervals of [a, b]; the second says that an integral taken over a degenerate interval, or a point, should be zero. One reason for the first convention is that the integrability of f on an interval [a, b] implies that f is integrable on any subinterval [c, d], but in particular integrals have the property that if c is any element of [a, b], then:

$\int _{a}^{b}f(x)\,dx=\int _{a}^{c}f(x)\,dx+\int _{c}^{b}f(x)\,dx.$

With the first convention, the resulting relation

${\begin{aligned}\int _{a}^{c}f(x)\,dx&{}=\int _{a}^{b}f(x)\,dx-\int _{c}^{b}f(x)\,dx\\&{}=\int _{a}^{b}f(x)\,dx+\int _{b}^{c}f(x)\,dx\end{aligned}}$

is then well-defined for any cyclic permutation of a, b, and c.

Improper integrals

The improper integral$\int _{0}^{\infty }{\frac {dx}{(x+1){\sqrt {x}}}}=\pi$ has unbounded intervals for both domain and range.

A "proper" Riemann integral assumes the integrand is defined and finite on a closed and bounded interval, bracketed by the limits of integration. An improper integral occurs when one or more of these conditions is not satisfied. In some cases such integrals may be defined by considering the limit of a sequence of proper Riemann integrals on progressively larger intervals.

If the interval is unbounded, for instance at its upper end, then the improper integral is the limit as that endpoint goes to infinity:

$\int _{a}^{\infty }f(x)\,dx=\lim _{b\to \infty }\int _{a}^{b}f(x)\,dx.$

If the integrand is only defined or finite on a half-open interval, for instance (a, b], then again a limit may provide a finite result:

$\int _{a}^{b}f(x)\,dx=\lim _{\varepsilon \to 0}\int _{a+\epsilon }^{b}f(x)\,dx.$

That is, the improper integral is the limit of proper integrals as one endpoint of the interval of integration approaches either a specified real number, or ∞, or −∞. In more complicated cases, limits are required at both endpoints, or at interior points.

Licensing

Content obtained and/or adapted from:

• Integral, Wikipedia under a CC BY-SA license