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Fubini's Theorem

This document presents a proof of Fubini's theorem. It states that if a function f is defined on the product of two rectangles A x B in Rn x Rm and is integrable, then: 1) For each x in A, the function gx(y) = f(x,y) is integrable over B. 2) The function that maps each x to the integral of f(x,y) over B is integrable over A. 3) The double integral of f over A x B is equal to the integral over A of the integrals over B. The proof uses partitions of A and B to approximate the double integral

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14 views

Fubini's Theorem

This document presents a proof of Fubini's theorem. It states that if a function f is defined on the product of two rectangles A x B in Rn x Rm and is integrable, then: 1) For each x in A, the function gx(y) = f(x,y) is integrable over B. 2) The function that maps each x to the integral of f(x,y) over B is integrable over A. 3) The double integral of f over A x B is equal to the integral over A of the integrals over B. The proof uses partitions of A and B to approximate the double integral

Uploaded by

johnsmith37758
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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FUBINIS THEOREM

Abstract. My presentation of Fubinis Theorem in class today seemed to rely on the existence of a certain integral. But in fact that integral always exists. Here is a more careful presentation of the argument.

Theorem (Fubini). Let A Rn and B Rm be rectangles, and f : A B R be an integrable function. Suppose that, for each x A, the function gx (y) = f (x, y) is integrable (over B). Then the function A R x
B

f (x, y) dy

is integrable over A, and f=


AB A B

f (x, y) dy

dx.

Similarly if, for each y B, the function hy (x) = f (x, y) is integrable (over A) then the function B R y
A

f (x, y) dx

is integrable over B, and f=


AB B A

f (x, y) dx

dy.

Proof. By symmetry, we just need to prove the rst statement. Choose a partition PA of A, a partition PB of B and (as in class) form the partition P = PA PB of A B. We have L(f, P ) =
sA sB PA PB (x,y)sA sB

inf

f (x, y) (sA sB )

sA sB

xsA ysB

inf inf f (x, y) (sA ) (sB )

Date: April 18, 2005.

for the same reasons as in class


sA xA sA

inf

sB

ysB

inf f (xA , y) (sB ) (sA ).

(sA )

sA

xA sA

inf

f (xA , y) dy
B

And now exactly the same argument with sups everywhere rather than infs gives sup
sA xA sA B

f (xA , y) dy

(sA ) U (f, P )

So L(f, P )
sA xA sA

inf

f (xA , y) dy
B

(sA )
sA

sup
xA sA B

f (xA , y) dy

(sA ) U (f, P ),

or in other words L(f, P ) L x


B

f (x, y) dy, PA

x
B

f (x, y) dy, PA

U (f, P ),

Since f is integrable, we know that sup L(f, P ) = inf U (f, P ) =


P P AB

and we can conclude both that x


B

f (x, y) dy

is integrable and that f=


AB A B

f (x, y) dy

dx.

Note that this is essentially identical to the argument that I gave in class: it is just that at the time I did not notice that the argument proved more than I said it did. In fact, this line of reasoning proves still more we can relax the integrability condition on the slice functions gx (y) and hy (x) somewhat. See Theorem 310 for details.

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