It suffices to consider f to be a non-negative L^1 function. It's not at first apparent that g(x) is an L^1 function. First, define the set:
T(b) = \lbrace (x,t) \in \mathbb{R} \times \mathbb{R} \hspace{0.25cm} \big|\hspace{0.25cm} 0 < x \leq t, \hspace{0.25cm} x \leq t \leq b \rbrace
(It's just the triangle formed by taking the square [0,b] \times [0,b], bisecting it with the line x = t, and taking the top half.) Next, define the function:
F(x,t) = \frac{f(t)}{t} \chi_{T(b)}
Certainly, F is measurable, since \chi_{T(b)}, f, and \frac{1}{t} are measurable functions. Next, observe that:
\int_{[0,b]} g(x) dx = \int_{[0,b]} \int_{[x,b]} \frac{f(t)}{t}dtdx = \int_{\mathbb{R}} \int_{\mathbb{R}} \frac{f(t)}{t} \chi_{T(b)} dt dx
From here, Tonelli's Theorem gives, that since F is measurable:
\int_{[0,b]} \int_{[x,b]} \frac{f(t)}{t}dtdx = \int_{[0,b]} \int_{[0,t]} \frac{f(t)}{t} dx dt = \int_{[0,b]} f(t) dt
Thus, since f \in L^1, we have:
\int_{[0,b]} g(x) dx = \int_{[0,b]} f(t) dt < \infty \hspace{0.25cm} \Rightarrow g \in L^1
...as desired.
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