Past exam of the options II course of the University of Oxford / 2012 / D / D3 / Solution

The monotone convergence theorem states that if measurable functions $0\le f_n\uparrow f$ pointwise on a measure space, then $\int f_n\uparrow \int f$, allowing the limit to be infinite.

Extend each restriction to $I_n$ by zero on $I\setminus I_n$. The functions $f{1}_{I_n}$ are nonnegative and increase pointwise to $f$ because the intervals are increasing and exhaust $I$. HenceFor nonnegative $f$, integrability means finiteness of this integral, soNo boundedness or closedness of the intervals is required.