Fubini's Theorem

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Theorem

Let $\struct {X, \Sigma_1, \mu}$ and $\struct {Y, \Sigma_2, \nu}$ be $\sigma$-finite measure spaces.

Let $\struct {X \times Y, \Sigma_1 \otimes \Sigma_2, \mu \times \nu}$ be the product measure space of $\struct {X, \Sigma_1, \mu}$ and $\struct {Y, \Sigma_2, \nu}$.

Let $f: X \times Y \to \R$ be a $\Sigma_1 \otimes \Sigma_2$-measurable function.


Suppose that:

$\displaystyle \int_{X \times Y} \size f \map {\rd} {\mu \times \nu} < \infty$


Then $f$ is $\mu \times \nu$-integrable, and:

$\displaystyle \int_{X \times Y} f \map {\rd} {\mu \times \nu} = \int_Y \int_X \map f {x, y} \map {\rd \mu} x \map {\rd \nu} y = \int_X \int_Y \map f {x, y} \map {\rd \nu} y \map {\rd \mu} x$


Proof


Also see


Source of Name

This entry was named for Guido Fubini.


Sources