J.H. Williamson 
Lebesgue Integration [EPUB ebook] 

This concise introduction to Lebesgue integration is geared toward advanced undergraduate math majors and may be read by any student possessing some familiarity with real variable theory and elementary calculus. The self-contained treatment features exercises at the end of each chapter that range from simple to difficult. The approach begins with sets and functions and advances to Lebesgue measure, including considerations of measurable sets, sets of measure zero, and Borel sets and nonmeasurable sets. A two-part exploration of the integral covers measurable functions, convergence theorems, convergence in mean, Fourier theory, and other topics. A chapter on calculus examines change of variables, differentiation of integrals, and integration of derivatives and by parts. The text concludes with a consideration of more general measures, including absolute continuity and convolution products.