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Lebesgue's criterion for Riemann integrability: a bounded f on [a,b] is Riemann integrable if and only if its set of discontinuities has measure zero

Statement

Let a<b be reals, let f:[a,b]→R be bounded (Lower bound, bounded below, bounded set) and let

D  :=  { x∈[a,b] : f is discontinuous at x }

(Continuity of f:A→R at a point of A and on A: the ε-δ condition, its agreement with lim⁡x→cf(x)=f(c) at a limit point, and continuity at an isolated point, Discontinuity of f at a point of its domain, and its classification: removable discontinuity, jump discontinuity and essential discontinuity, equivalently Rudin's discontinuities of the first and of the second kind). Then

f is Riemann integrable on [a,b]⟺D has measure zero

(The lower and upper Darboux integrals of a bounded f on [a,b] as sup⁡PL(f,P) and inf⁡PU(f,P), Darboux integrability as their equality, and the notation ∫abf, Measure zero (a countable cover by intervals of total length below every ε) and content zero (a finite such cover)).

The choice cost, named. The implication from integrability to D being null uses the Axiom of Countable Choice (The Axiom of Countable Choice (ACω)) exactly once, through A countable union of measure-zero sets has measure zero, by countable choice at step 7.1: D is exhibited as the union of a sequence of null sets. The converse implication, from D null to integrability, is a theorem of ZF: it uses no choice principle at all.

"Measure zero" here is the cover condition of Measure zero (a countable cover by intervals of total length below every ε) and content zero (a finite such cover), namely that for every ε>0 there is a sequence of intervals covering D of total length at most ε. No outer measure, no measurable set and no Lebesgue integral is used or needed; the criterion is a statement about interval covers throughout.

Facts & Assumptions

Given: Reals a<b, a bounded f:[a,b]→R, a real M+>0 with ∣f(x)∣≤M+ for every x∈[a,b], and D as in the Statement.

[A1]

The Axiom of Countable Choice, used only where [L11] is invoked (The Axiom of Countable Choice (ACω)).

[L1]

For a partition P=(n,t) of [a,b]: n≥1, Δi=ti+1−ti>0, ∑i<nΔi=b−a, Ii=[ti,ti+1]⊆[a,b], and appending a point y>tn to a partition of [a,tn] gives a partition of [a,y] whose subintervals are the old ones together with [tn,y] (Partition of [a,b] as a finite strictly increasing list a=t0<t1<⋯<tn=b, its subintervals and their lengths, its mesh, refinement, and the common refinement of two partitions).

[L3]

Riemann's criterion: a bounded f is integrable if and only if for every real ε>0 there is a partition P with U(f,P)−L(f,P)<ε (Riemann's criterion: a bounded f on [a,b] is Darboux integrable if and only if for every real ε>0 there is a partition P with U(f,P)−L(f,P)<ε).

[L4]

Oscillation: ωf(S)≤ωf(T) for S⊆T⊆[a,b]; 0≤ωf(x)≤ωf([a,b]∩Nρ(x)) for every real ρ>0 and every x∈[a,b]; ωf(x) is the infimum of those values over ρ>0; and since f is bounded every one of these values is a real number in [0,2M+] (The oscillation ωf(S)=sup⁡{ ∣f(x)−f(y)∣:x,y∈S } of f on a set and the oscillation ωf(c)=inf⁡δ>0ωf(A∩Nδ(c)) at a point, both taken in the extended reals, The extended real line R‾=R∪{−∞,+∞}, its order, and the arithmetic that is left undefined, The ε-neighbourhood and the punctured ε-neighbourhood of a point of R).

[L6]

For every real σ>0 there is a closed G⊆R with {x∈[a,b]:ωf(x)≥σ}=[a,b]∩G (For every real ε>0 the set { x∈A:ωf(x)≥ε } is the intersection with A of a closed subset of R; in particular it is closed in R when A=R).

[L8]

A has content zero when for every real τ>0 there are m∈N and reals c0≤e0,…,cm≤em with A⊆⋃j≤m[cj,ej] and ∑j≤m(ej−cj)≤τ; A has measure zero when the same holds with a sequence of intervals and every partial total length at most τ; a subset of a null set is null (Measure zero (a countable cover by intervals of total length below every ε) and content zero (a finite such cover)).

[L9]

A set of content zero has measure zero (A set of content zero has measure zero), and for a compact set the two notions coincide (For a compact subset of R, measure zero and content zero coincide).

[L10]
[L12]

Finite sums: splitting, additivity, scaling, monotonicity in the terms, and telescoping (Finite sums and finite products, by recursion, Laws of finite sums and finite products). Also the interchange of two finite sums, ∑i<n∑j<pci,j=∑j<p∑i<nci,j for any doubly indexed family of reals; below it is applied with p:=m+1, since ∑j≤m abbreviates ∑j<m+1. That identity is not one of the six clauses of Laws of finite sums and finite products and is therefore proved here, by induction on p with n held fixed (The principle of mathematical induction). At p=0 each inner sum ∑j<0ci,j is 0 by the recursion clause of Finite sums and finite products, by recursion, so the left side is ∑i<n0=0 by clause 2 of Laws of finite sums and finite products taken with λ=0, while the right side is an empty sum and so is 0 as well. Passing from p to p+1, the recursion clause and clause 1 of Laws of finite sums and finite products give ∑i<n∑j<p+1ci,j=∑i<n(∑j<pci,j+ci,p)=∑i<n∑j<pci,j+∑i<nci,p, which by the induction hypothesis is ∑j<p∑i<nci,j+∑i<nci,p=∑j<p+1∑i<nci,j, again by the recursion clause.

[L13]

Every nonempty subset of N has a least element (The well-ordering principle); every nonempty subset of R bounded above has a supremum (Complete ordered field (least-upper-bound property)).

[L14]

Ordered-field arithmetic and the absolute value: adding a constant and multiplying by a positive quantity preserve an inequality; the order is total and transitive; an open interval is order-convex (Basic properties of the absolute value, Order is preserved by adding a constant and by adding inequalities, Sign rules for products and monotonicity of multiplication, Ordered field, Complete ordered field (least-upper-bound property), Intervals of R: the nine order-convex forms, nondegeneracy, and length). These order-arithmetic facts are stated by their sources for the strict order only; the nonstrict forms used below follow by adjoining the equality case, in which the two sides coincide.

Proof

technique · direct
1.1

For a real σ>0 put Eσ:={ x∈[a,b]:ωf(x)≥σ }. By [L5], Eσ⊆D for every σ>0.

L4L5construct
2.1

Each Eσ has content zero, assuming f integrable. Let σ>0 and τ>0 be real. By [L3] fix a partition P=(n,t) with U(f,P)−L(f,P)<στ⋅2−1. Let B:={ i<n:(ti,ti+1)∩Eσ≠∅ } and put χi:=1 for i∈B and χi:=0 otherwise.

step 1.1L3L14chooseconstruct
2.2

The exhaustion of D. Put σk:=1/ι(k+1) for k∈N, a positive real by [L10]. Then D=⋃k∈NEσk. For the inclusion from left to right, let x∈D, so ωf(x)>0 by [L5] and ωf(x) is a real by [L4]; if ωf(x)≥1=σ0 then x∈Eσ0, and otherwise [L10] gives a natural k+1≥1 with 1/ι(k+1)<ωf(x), so x∈Eσk. For the reverse inclusion, x∈Eσk gives ωf(x)≥σk>0, hence x∈D by [L5].

step 1.1L4L5L10L14
2.3

The converse; this half of the proof is steps 2.3, 3.2, 4.2, 5.2, 6.2, 7.2, 8.1, 9.1, 10.1, 11.1, 12.1 and 13.1, and its symbols are its own. Assume D null and let a real ε>0 be given. Put σ′:=ε⋅(2(b−a))−1 and τ′:=ε⋅(8M+)−1, both positive by [L14]. By step 1.1 and [L8], Eσ′⊆D is null.

step 1.1givenL8L14
3.1

For i∈B one has Mi−mi≥σ: fix x∈(ti,ti+1)∩Eσ; since (ti,ti+1) is open there is a real ρ>0 with Nρ(x)⊆(ti,ti+1), so [a,b]∩Nρ(x)⊆Ii and [L4] gives σ≤ωf(x)≤ωf([a,b]∩Nρ(x))≤ωf(Ii)=Mi−mi by [L2].

step 2.1L1L2L4L7choose
3.2

Eσ′ is compact: by [L6] there is a closed G with Eσ′=[a,b]∩G, an intersection of two closed sets, hence closed; and Eσ′⊆[a,b] is bounded. So [L7] applies.

step 2.3L6L7
4.1

Hence σχiΔi≤(Mi−mi)Δi for every i<n, the case i∉B because both Mi−mi≥0 and Δi>0. Summing and using [L12] and [L2]: σ∑i<nχiΔi≤U(f,P)−L(f,P)<στ⋅2−1, so λ:=∑i<nχiΔi<τ⋅2−1.

step 2.1step 3.1L2L12L14
4.2

By [L9] applied to the compact null set Eσ′, it has content zero, so by [L8] there are m∈N and reals c0≤e0,…,cm≤em with Eσ′⊆⋃j≤m[cj,ej] and ∑j≤m(ej−cj)≤τ′⋅2−1. Put μ:=τ′⋅(4(ι(m)+1))−1>0 and Oj:=(cj−μ, ej+μ), an open interval containing [cj,ej], of length (ej−cj)+2μ. Then ∑j≤m((ej−cj)+2μ)≤τ′⋅2−1+2μ(ι(m)+1)=τ′⋅2−1+τ′⋅2−1=τ′, by [L12] and [L10].

step 2.3step 3.2L8L9L10L12L14construct
5.1

Eσ is covered by the finite list of 2n+1 closed intervals [pj,qj], j≤2n, defined by [pj,qj]:=[tj,tj+1] for j<n with j∈B, [pj,qj]:=[a,a] for j<n with j∉B, and [pj,qj]:=[tj−n,tj−n] for n≤j≤2n: indeed a point of Eσ lies in [a,b], hence is one of t0,…,tn or lies in some (ti,ti+1), and in the latter case i∈B. Its total length is ∑j≤2n(qj−pj)=∑i<nχiΔi+0=λ<τ, by splitting the sum at n ([L12]).

step 2.1step 4.1L1L12L14construct
5.2

The family of good intervals. Let W be the set of all open intervals (u,v) with u<v such that either (u,v)⊆Oj for some j≤m, or ωf([a,b]∩(u,v))<σ′. Every x∈[a,b] lies in a member: if x∈Eσ′ then x∈[cj,ej]⊆Oj for some j≤m by step 4.2, and Oj is itself a member; and if x∉Eσ′ then ωf(x)<σ′, so by [L4] some real ρ>0 has ωf([a,b]∩Nρ(x))<σ′, and Nρ(x)=(x−ρ,x+ρ) is a member containing x.

step 4.2L4L7L14construct
6.1

As τ>0 was arbitrary, Eσ has content zero by [L8], hence measure zero by [L9]; this used only that f is integrable.

step 2.1step 5.1L8L9
6.2

Cousin's construction: a partition each of whose subintervals lies in a member of W. Let S be the set of y∈(a,b] such that some partition of [a,y] has every subinterval contained in a member of W. S is nonempty: by step 5.2 fix (α,β)∈W with a∈(α,β) and put y0:=min⁡{(a+b)⋅2−1, (a+β)⋅2−1}, so a<y0≤b, y0<β and α<a; the one-subinterval partition of [a,y0] has [a,y0]⊆(α,β), so y0∈S. Also S is bounded above by b, so s:=sup⁡S exists by [L13] and a<y0≤s≤b.

step 5.2L1L13L14choose
7.1

Integrability implies D null. Assume f integrable. By step 6.1 each Eσk is null, and k↦Eσk is a sequence of subsets of R, so [L11] applies and ⋃kEσk=D is null by step 2.2. This is the only use of [A1] in the proof.

step 6.1step 2.2A1L11
7.2

s=b. By step 5.2 fix (α′,β′)∈W with s∈(α′,β′). Since sup⁡S=s>α′ there is x∈S with x>α′, and x≤s. Suppose s<b and choose a real y with s<y<min⁡{b,β′}, possible because s<b and s<β′. Then α′<x≤s<y<β′, so [x,y]⊆(α′,β′), and appending y to a partition of [a,x] witnessing x∈S gives one for [a,y] by [L1]; hence y∈S with y>sup⁡S, which is impossible.

step 6.2L1L13L14choose
8.1

b∈S. By step 5.2 fix (α′′,β′′)∈W with b∈(α′′,β′′). Since sup⁡S=b>α′′ there is x∈S with x>α′′ and x≤b. If x=b there is nothing to prove; otherwise α′′<x<b<β′′ gives [x,b]⊆(α′′,β′′), and appending b as in step 7.2 puts b in S. So there is a partition P′=(n′,t′) of [a,b], with subintervals Ii′ and lengths Δi′ for i<n′, every subinterval of which lies in a member of W.

step 5.2step 7.2L1L13L14choose
9.1

Good and bad subintervals. Write Mi′:=sup⁡f[Ii′] and mi′:=inf⁡f[Ii′]. Call i<n′ good when Ii′⊆W for some W=(u,v)∈W with ωf([a,b]∩(u,v))<σ′, and bad otherwise. For a good i, Ii′⊆[a,b]∩W, so Mi′−mi′=ωf(Ii′)≤ωf([a,b]∩W)<σ′ by [L2] and [L4]. For a bad i, step 8.1 supplies a member containing Ii′, and it is not of the second kind, so Ii′⊆Oj for some j≤m.

step 8.1L1L2L4
10.1

Bounding the bad lengths. For j≤m put Jj:={ i<n′:cj−μ≤ti′ and ti+1′≤ej+μ } and hij:=Δi′ for i∈Jj, hij:=0 otherwise; a bad i lies in some Jj by step 9.1. Each Jj consists of consecutive indices, since i<i†<i‡ with i,i‡∈Jj gives cj−μ≤ti′≤ti†′ and ti†+1′≤ti‡+1′≤ej+μ.

step 9.1L1L14construct
11.1

∑i<n′hij≤(ej−cj)+2μ for each j≤m: the sum is 0 when Jj=∅; otherwise let p:=min⁡Jj and let q be the least natural with q>p and q∉Jj, which exists by [L13] since n′∉Jj, so that Jj={ i:p≤i<q } by step 10.1. Splitting the sum at p and at q and discarding the vanishing outer parts, then telescoping ([L12]), gives ∑i<n′hij=∑i=pq−1Δi′=tq′−tp′≤(ej+μ)−(cj−μ), using p∈Jj and q−1∈Jj.

step 10.1L12L13L14
12.1

Put βi:=Δi′ for bad i and βi:=0 for good i. Then βi≤∑j≤mhij pointwise by step 10.1, all terms being nonnegative, so by [L12] and step 11.1, ∑i<n′βi≤∑j≤m∑i<n′hij≤∑j≤m((ej−cj)+2μ)≤τ′, the last step by step 4.2.

step 4.2step 10.1step 11.1L12L14
13.1

For every i<n′, (Mi′−mi′)Δi′≤σ′Δi′+2M+βi: for good i by step 9.1 and βi≥0, for bad i by Mi′−mi′≤2M+ from [L2] and βi=Δi′. Summing over i<n′ and using [L12], [L1] and step 12.1: U(f,P′)−L(f,P′)≤σ′(b−a)+2M+τ′=ε⋅2−1+ε⋅4−1<ε.

step 2.3step 9.1step 12.1L1L2L12L14
14.1

The real ε>0 of step 2.3 was arbitrary and step 13.1 produced a partition with U−L<ε, so f is integrable by [L3]. With step 7.1 this proves both implications, and the criterion is established; the forward half is steps 1.1, 2.1, 2.2, 3.1, 4.1, 5.1, 6.1 and 7.1, working with σ,τ,P,B,χ,λ, and the converse half is the steps named in step 2.3, working with σ′,τ′,P′,W,S.

step 7.1step 2.3step 13.1L3∎

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