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Suppose I have an integral:

$F \equiv \int_{a}^{b} f(x) dx$

I know that $f(x)$ is real-valued, finite and non-negative everywhere on the interval $(a, b)$ where $a$, $b$ are real numbers or $\pm \infty$ and $a \leq b$. I know that in the obvious, well-behaved cases this implies $F \geq 0$.

Is there any obscure pathological case where $F < 0$? You may generalize to cases that involve double, triple or higher order integrals. However, for each integral the property that the upper bound is greater than or equal to the lower bound and the bounds are always real numbers or $\pm \infty$ must hold.

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    @dsimcha: this is not a matter of intuition, it is a matter of what integrals _mean._ If this were true, then the appropriate response wouldn't be to gaze in awe at how non-intuitive mathematics can be but to change the definition of integration. (Admittedly, erring on the side of caution is far preferable to the alternative.)2011-01-21

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No, there is no pathological case. If $f(x)$ is integrable, and $m\leq f(x)\leq M$ for all $x\in[a,b]$, then $m(b-a) \leq \int_a^b f(x)\,dx \leq M(b-a).$ This follows easily from the definition of the integral as a limit of Riemann sums. If $a=x_0\lt x_1\lt\cdots \lt x_n = b$ is a partition of $[a,b]$, $\Delta x_i = x_i - x_{i-1}$, and $x_i^*$ is a point in $[x_{i-1},x_i]$, then $m\leq f(x_i^*)\leq M$ for each $i$, so the Riemann sum satisfies $ m(b-a) = \sum_{i=1}^n m\Delta x_i \leq \sum_{i=1}^n f(x_i^*)\Delta x_i \leq \sum_{i=1}^n M\Delta x_i = M(b-a),$ so taking limits you get $m(b-a) \leq \lim_{||P||\to 0}\sum_{i=1}^n f(x_i^*)\Delta x_i \leq M(b-a)$ or $m(b-a) \leq \int_a^b f(x)\,dx \leq M(b-a)$ (using the assumption that $f$ is integrable on $[a,b]$.

In particular, if $f(x)\geq 0$ for all $x\in [a,b]$, then $0 = 0(b-a) \leq \int_a^b f(x)\,dx = F.$ Redefining a function at a finite number of points on $[a,b]$ does not change its integrability, nor the value of the integral, so if all you know is that $f(x)\geq 0$ on $(a,b)$, you can always redefine it at $a$ and $b$ so that you get $f(x)\geq 0$ on $[a,b]$ without changing the value of the integral.

(In fact, you only need $f(x)\geq 0$ "almost everywhere on $[a,b]$", meaning at all $x$ except perhaps for a set of measure $0$ that is contained on $[a,b]$).

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    Thanks. This makes perfect sense. I just thought there might be some weird subtleties relating to Reimann vs. Lebesgue integrals, singularities, or other topics that I have only the vaguest clue about.2011-01-21