TITLE: Integral Inequality Absolute Value: $\left| \int_{a}^{b} f(x) g(x) \ dx \right| \leq \int_{a}^{b} |f(x)|\cdot |g(x)| \ dx$
QUESTION [41 upvotes]: Suppose we are given the following: $$\left| \int_{a}^{b} f(x) g(x) \ dx \right| \leq \int_{a}^{b} |f(x)|\cdot |g(x)| \ dx$$
How would we prove this? Does this follow from Cauchy Schwarz? Intuitively this is how I see it: In the LHS we could have a negative area that reduces the positive area. In the RHS the area can only increase because we take the absolute values of the functions first.

REPLY [52 votes]: The big idea here is this:
First: it is enough to show that
$$
\left\lvert\int_a^b f(x)\,dx\right\rvert\leq\int_a^b\lvert f(x)\rvert dx,
$$
since you can replace $f(x)$ by $f(x)\cdot g(x)$ to get the desired result.
Now, notice that
$$
-\lvert f(x)\rvert\leq f(x)\leq \lvert f(x)\rvert
$$
for all $x$; hence
$$
-\int_a^b\lvert f(x)\rvert\,dx\leq \int_a^b f(x)\,dx\leq\int_a^b\lvert f(x)\rvert\,dx.
$$
Can you finish it from here?