I'm not a physicist so I don't know. I'm told that Lebesgue measure is very useful for probability theory so I'm sure there's lots of times when it will be very useful for physics.
Mathematical physicists need it mainly to understand proofs in books on functional analysis.
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wisvuze
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As a disclaimer, I don't know anything about physics. However, I would guess that it would depend on the nature of things you will have to integrate. Many physical things, objects and natural-enough shape-esque objects will be sufficiently integrated with Riemann integration, but if you have to integrate more complicated entities, you will need the Lebesgue integral.
To gaussmouse and wisvuze: impressive that you both feel qualified to answer a question about physicists when you both claim you know nothing about physics.
As a mathematician I will say that Lebesgue integration is needed to prove theorems concerning integrals and related material. For applications it is only necessary to know what limitations the theory may impose.
I'm reviewing Meirovitch's "Methods of Analytical Dynamics," and I don't understand the commutation of the derivative from r to dr:
$$
\mathbf{F} \cdot d\mathbf{r} = m \ddot{\mathbf{r}} \cdot d\mathbf{r} = m\mathbf{\dot{r}} \cdot d\mathbf{\dot{r}}
$$