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For a partition $a=x_0<\cdots <x_k=b$ and tags ${\xi }_j\in [x_{j-1},x_j]$, form the Riemann sum ${\sum }_{j=1}^{k}f({\xi }_j)(x_j-x_{j-1})$. The Riemann integral is the unique real number $I$ such that for every $\epsilon >0$ there is $\delta >0$ for which every tagged partition with mesh ${\max }_j(x_j-x_{j-1})<\delta$ has its sum within $\epsilon$ of $I$. Then $I={\int }_a^{b}f(x)dx$. The stated continuity ensures existence, which need not be proved here.

The properties required are linearity, the integral of a constant, and monotonicity of the Riemann integral. Monotonicity follows directly because a nonnegative function has nonnegative Riemann sums, and therefore a nonnegative integral. Integrating $f-m\ge 0$ and $M-f\ge 0$ givesSince $g\ge 0$, multiplication preserves the pointwise inequalities: $mg\le fg\le Mg$. The continuous products are integrable, so the same monotonicity and linearity giveNeither $m$ nor $f$ needs to be nonnegative for this argument.

For the first limit, set $r_n=n^{-1/2}$, $g_n(x)=n{e}^{-nx}$, and ${\epsilon }_n={\max }_{0\le x\le r_n}|f(x)-f(0)|$. By continuity at zero, ${\epsilon }_n\to 0$. On this shrinking interval $f(0)-{\epsilon }_n\le f(x)\le f(0)+{\epsilon }_n$, andApplying the weighted bounds just proved givesBoth bounding expressions tend to $f(0)$, so the squeeze theorem proves the first limit.

For the full interval, continuity on $[0,1]$ gives a finite bound $B={\max }_{[0,1]}|f|$ by the extreme value theorem. The remaining tail has absolute value at mostAdding this to the already evaluated near-end integral provesThese are instances of a one-sided exponential approximate identity: the positive weight has total mass tending to one, concentrated in a shrinking neighborhood of zero. No interchange of limit and integral has been assumed.