Product Measures and Fubini - Key Proof
We outline the proof of Fubini's Theorem for integrable functions. The complete proof requires several steps building from simple to general functions.
Given:
Step 1 (Indicator functions): For where and :
The iterated integrals give:
Thus Fubini holds for indicators of rectangles.
Step 2 (Simple functions): By linearity, Fubini holds for simple functions where are finite unions of rectangles.
Step 3 (Non-negative functions): For non-negative measurable , approximate by increasing simple functions . By the Monotone Convergence Theorem applied three times (once for each integral), Fubini holds for . This is essentially Tonelli's Theorem.
Step 4 (Integrable functions): For general , write where and . Both and are non-negative and integrable.
By Step 3, Fubini holds for and . By linearity:
Applying Fubini to each term:
By linearity of integration:
Key insights in the proof:
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Build from simple to complex: The proof follows the standard measure theory paradigm: indicators → simple functions → non-negative functions → general functions.
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MCT is essential: The Monotone Convergence Theorem allows passing limits through integrals in Step 3.
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-finiteness matters: The uniqueness of product measure (needed for Step 1) requires -finiteness.
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Measurability of sections: A subtle point is showing that is measurable. This uses the fact that the map is measurable for simple functions and is preserved under monotone limits.