ProofComplete

Product Measures and Fubini - Key Proof

ProofProof Sketch of Fubini's Theorem

We outline the proof of Fubini's Theorem for integrable functions. The complete proof requires several steps building from simple to general functions.

Given: f∈L1(X×Y,μ⊗ν)f \in L^1(X \times Y, \mu \otimes \nu)

Step 1 (Indicator functions): For E=A×BE = A \times B where A∈FA \in \mathcal{F} and B∈GB \in \mathcal{G}: ∫X×YχE d(μ⊗ν)=(μ⊗ν)(A×B)=μ(A)ν(B)\int_{X \times Y} \chi_E \, d(\mu \otimes \nu) = (\mu \otimes \nu)(A \times B) = \mu(A) \nu(B)

The iterated integrals give: ∫X(∫YχE(x,y) dν(y))dμ(x)=∫XχA(x)ν(B) dμ(x)=μ(A)ν(B)\int_X \left(\int_Y \chi_E(x, y) \, d\nu(y)\right) d\mu(x) = \int_X \chi_A(x) \nu(B) \, d\mu(x) = \mu(A) \nu(B)

Thus Fubini holds for indicators of rectangles.

Step 2 (Simple functions): By linearity, Fubini holds for simple functions s=∑i=1naiχEis = \sum_{i=1}^{n} a_i \chi_{E_i} where EiE_i are finite unions of rectangles.

Step 3 (Non-negative functions): For non-negative measurable ff, approximate by increasing simple functions sn↑fs_n \uparrow f. By the Monotone Convergence Theorem applied three times (once for each integral), Fubini holds for ff. This is essentially Tonelli's Theorem.

Step 4 (Integrable functions): For general f∈L1f \in L^1, write f=f+−f−f = f^+ - f^- where f+=max⁡(f,0)f^+ = \max(f, 0) and f−=max⁡(−f,0)f^- = \max(-f, 0). Both f+f^+ and f−f^- are non-negative and integrable.

By Step 3, Fubini holds for f+f^+ and f−f^-. By linearity: ∫X×Yf d(μ⊗ν)=∫X×Yf+ d(μ⊗ν)−∫X×Yf− d(μ⊗ν)\int_{X \times Y} f \, d(\mu \otimes \nu) = \int_{X \times Y} f^+ \, d(\mu \otimes \nu) - \int_{X \times Y} f^- \, d(\mu \otimes \nu)

Applying Fubini to each term: =∫X(∫Yf+(x,y) dν(y))dμ(x)−∫X(∫Yf−(x,y) dν(y))dμ(x)= \int_X \left(\int_Y f^+(x, y) \, d\nu(y)\right) d\mu(x) - \int_X \left(\int_Y f^-(x, y) \, d\nu(y)\right) d\mu(x)

By linearity of integration: =∫X(∫Yf(x,y) dν(y))dμ(x)= \int_X \left(\int_Y f(x, y) \, d\nu(y)\right) d\mu(x)

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Remark

Key insights in the proof:

  1. Build from simple to complex: The proof follows the standard measure theory paradigm: indicators → simple functions → non-negative functions → general functions.

  2. MCT is essential: The Monotone Convergence Theorem allows passing limits through integrals in Step 3.

  3. σ\sigma-finiteness matters: The uniqueness of product measure (needed for Step 1) requires σ\sigma-finiteness.

  4. Measurability of sections: A subtle point is showing that x↦∫Yf(x,y) dν(y)x \mapsto \int_Y f(x, y) \, d\nu(y) is measurable. This uses the fact that the map is measurable for simple functions and is preserved under monotone limits.