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In general, if two functions $f,g:[a,b]\rightarrow \mathbb{R}$ are Riemann integrable then $h(x)=\max\{f(x),g(x)\}$ is Riemann integrable as well, but this result does not extend to a countable family of Riemann integrable functions. To prove this result, this exercise asks specifically to find a family $\{f_n\}_{n\in \mathbb{N}}$ of step functions defined on $[a,b]$ such that for every $n\in\mathbb{N}$ for every $x\in[a,b]$ the value of $f_n(x)$ is either $1$ or $0$, but with the property that $g(x)=\max\{f_n(x)\}_{n\in \mathbb{N}}$ is not Riemann integrable.
My idea is to show that there is a family $\{f_n\}_{n\in \mathbb{N}}$ such that $$g(x)=\max\{f_n(x)\}_{n\in \mathbb{N}}=\begin{cases} 1, & \text{if }x\in\mathbb{Q}\cap[a,b] \\ 0, & \text{otherwise } \end{cases}$$ which, as is well known, is not a Riemann integrable function. Let $\{r_n\}_{n\ge1}$ be an enumeration of the rationals with $a\leq r_n\leq b$. Define $$f_n(x)=\begin{cases}1, & \text{if }x=r_n \\ 0, & \text{otherwise} \end{cases}$$
Clearly this is a family of step functions since each function is constant except at a single point. Now if $x\in\mathbb{Q}\cap[a,b]\text{ } $ it is clear that $f_{n_0}(x)=1$ for some $n_0 \in \mathbb{N }$ and $f_n(x)=0$ for every $n\neq n_0$. This means that $g(x)=\max\{f_n\}_{n\in\mathbb{N}}=1$. Moreover, if $x\notin \mathbb{Q}\cap[a,b]$ then $f_n(x)=0$ for every $n\in\mathbb{N}$, thus $g(x)=\max\{f_n\}_{n\in\mathbb{N}}=0$. In conclusion$$g(x)=\begin{cases} \max\{f_n(x)\}_{n\in\mathbb{N}}=1, & \text{if }x\in\mathbb{Q}\cap[a,b] \\ \max\{f_n(x)\}_{n\in\mathbb{N}}=0, & \text{otherwise } \end{cases}$$ as wanted. But I am not completely sure that my reasoning is correct, since I had never heard that the characteristic function of rationals had such representation. If correct it would also answer this question: Step functions and the characteristic function of rationals

  • Your answer is perfectly correct as far as I can see. To conclude your proof you just need to note that $g$ is discontinuous at all points in the set $ [a,b]$ of Lebesgue measure $b-a>0$, and recall that "Riemann integrable $\Rightarrow$ the Lebesgue measure of the discontinuity set is zero". – Frank Mar 24 '14 at 20:46
  • Yeah I omitted that because the question was already too long. The only thing that is left to be answered is whether there was an easier way to solve this exercise. – Lorenzo Stanca Mar 24 '14 at 20:52
  • I think this is an easy way to solve the exercise, given the question, don't you? – Frank Mar 24 '14 at 20:54
  • True but the dirichlet function is not an "easy" function, and as you have noted there are easier examples of non integrable function, although with this restriction I don't think there is another way. – Lorenzo Stanca Mar 24 '14 at 21:03

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I don't understand why you are making this so complicated. Just define $f_n: [a,b] \rightarrow \mathbb{R}$ by $f_n(x):= n$. Then all the $f_n$ are integrable but their max, equaling infinity on the whole interval, is not.

If this doesn't satisfy you (the max taking infinite value), and you want a supremum of countably many integrable functions which is not integrable (but still takes a finite value everywhere), just pick a sequence of step functions increasing monotonically to the function $f(x) := \frac{1}{x-a}$ for $x \in (a,b]$ and $f(a):= 0$, which is not integrable on $[a,b]$.

Frank
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  • Thanks for the comment. I know that there are easier examples, but in this exercise the value of $f_n$ can only be either $0$ or $1$. – Lorenzo Stanca Mar 24 '14 at 20:40
  • Oh, OK. So part of the question itself is that all the functions in the sequence must take values 0,1? I thought this was just part of your particular attempt. – Frank Mar 24 '14 at 20:41
  • Exactly. That's why I came up with this attempt, but I am not sure it is correct. – Lorenzo Stanca Mar 24 '14 at 20:45