MAA301 proposes an introduction to the modern theory of integration. The first part of this course is focused on the construction of the Lebesgue integral, an extension of the Riemann integral to a class of functions much larger than the set of Riemann-integrable functions. With the Lebesgue theory of integration, passing to the limit in integrals of sequences of functions is an easy task which rests on the verification of a few essentially optimal assumptions. The end of the course offers an introduction to Lebesgue spaces and the Fourier transform, with applications to physics. The abstract theory of integration discussed at the beginning of this course provides the setting used in probability theory and stochastic analysis.
MAA301 is devoted to the modern theory of integration. After first constructing the Lebesgue integral, and explaining how it improves the Riemann integral, a major part of the course will be devoted to discovering the power and ease of use of this tool.
Applications in probability theory will then be briefly described. The course will finally provide an introduction to Lebesgue spaces and the Fourier transform, in order to demonstrate the usefulness of the theory for applications in physics and economics.