Integral of a simple function (measure theory)/Definition

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Quickly written. Needs to go something like "using every simple function has a standard representation" and then showing that the integral is the same for each standard representation is what needs to be done

Definition

For a simple function in its standard representation, say f:=ni=0xi1Ai then the μ-integral, Iμ:E+R is[1]:

  • Iμ(f):=ni=1xiμ(Ai)[0,]

Note that this is independent of the particular standard representation of f.

References

  1. Jump up Measures, Integrals and Martingales - René L. Schilling