Integral with respect to Dirac Measure

Theorem
Let $\left({X, \Sigma}\right)$ be a measurable space.

Let $x \in X$, and let $\delta_x$ be the Dirac measure at $x$.

Let $f \in \mathcal M _{\overline \R}, f: X \to \overline \R$ be a measurable function.

Then:


 * $\displaystyle \int f \, \mathrm d \delta_x = f \left({x}\right)$

where the integral sign denotes the $\delta_x$-integral.

Proof
Notice that the constant function $g$ defined as


 * $X \ni x' \mapsto g \left({x'}\right) := f \left({x}\right) \in \overline{\R}$

is $\delta_x$-almost everywhere equal to $f$.

This follows from the fact that the set of elements of $X$ where $f$ and $g$ take different values, namely:


 * $\left\{ {x' \in X : f \left({x}\right) = g \left({x'}\right) \ne f \left({x'}\right)}\right\}$

does not contain $x$.

So, by the very definition of $\delta_x$, its $\delta_x$-measure is $0$.

Therefore: