Integral of Positive Measurable Function is Additive

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Theorem

Let $\left({X, \Sigma, \mu}\right)$ be a measure space.

Let $f,g: X \to \overline{\R}$, $f,g \in \mathcal{M}_{\overline{\R}}^+$ be positive measurable functions.


Then:

$\displaystyle \int f + g \, \mathrm d\mu = \displaystyle \int f \, \mathrm d\mu + \displaystyle \int g \, \mathrm d\mu$

where:

$f + g$ is the pointwise sum of $f$ and $g$
The integral sign denotes $\mu$-integration


This can be summarized by saying that $\displaystyle \int \cdot \, \mathrm d\mu$ is additive.


Proof


Sources