# Lebesgue Integral is Extension of Riemann Integral

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## Theorem

Let $f: \closedint a b \to \R$ be a Riemann integrable function.

Then it is also Lebesgue integrable, and furthermore:

- $\displaystyle R \int_a^b \map f x \rd x = \int_{\closedint a b} f \rd \lambda$

where $\displaystyle R \int_a^b$ is the Riemann integral and $\displaystyle \int_{\closedint a b}$ is the Lebesgue integral.

## Proof

Since every step function is also a simple function, we have

- $\displaystyle \map L P \le \sup_{\phi \mathop \le f} \int_a^b \map \phi x \rd x \le \inf_{\psi \mathop \ge f} \int_a^b \map \psi x \rd x \le \map U P$

where $\map L P$ and $\map U P$ are the lower sum and upper sum as defined in the definition of definite integral.

Since $f$ is Riemann integrable, the inequalities are all equalities and $f$ is measurable by basic properties of measurable functions.

$\blacksquare$

## Sources

- 2005: René L. Schilling:
*Measures, Integrals and Martingales*... (previous) ... (next): $11.8 \ \text{(i)}$