6

Repeated Integration

Let f (x, y) be defined in a rectangle

  
I= x, y : a ≤ x ≤ b, c ≤ y ≤ d .

If f is continuous, we have the classical formula

⎡ ⎤
   b d  
f x, y dxdy = ⎣ f x, y dy⎦ dx,
I a c

and there is an analogous formula for functions of n variables.

Sections 6.1 and 6.2 extend this and related results on repeated integra-
tion to the case of Lebesgue integrable functions. Section 6.3 contains some
applications.

6.1 Fubini’s Theorem

We shall use the following notation. Let x = (x1 , . . ., xn ) be a point of an
n-dimensional interval I1 ,

I1 = {x = (x1 , . . . , xn ) : ai ≤ xi ≤ bi , i = 1, . . . , n} ,

and let y be a point of an m-dimensional interval I2 ,

   
I2 = y = y1 , . . . , ym : cj ≤ yj ≤ dj , j = 1, . . . , m .

Here, I1 and I2 may also be partly open or unbounded, such as all of Rn and
Rm , respectively. The Cartesian product I = I1 × I2 is contained in Rn+m and
consists of points (x1 , . . ., xn , y1 , . . ., ym ). We shall denote such points by (x,y).
 f (x1 , . . ., xn , y1 , . . ., y
A function m ) defined in I will be written f (x,y), and its
integral I f will be denoted by I f (x, y) dxdy.

113
114 Measure and Integral: An Introduction to Real Analysis

Theorem 6.1 (Fubini’s Theorem) Let f (x, y) ∈ L(I), I = I1 × I2 . Then

(i) For almost every x ∈ I1 , f (x, y) is measurable and integrable on I2 as a function

of y;

(ii) As a function of x, I2 f (x, y) dy is measurable and integrable on I1 , and
⎡ ⎤
  
f (x, y) dxdy = ⎣ f (x, y) dy⎦ dx.
I I1 I2

Setting f = 0 outside I, we see that it is enough to prove the theorem when

I1 = Rn , I2 = Rm , and I = Rn+m . For simplicity,
 we then drop I1 , I2 , and I from
the notation and write f (x, y) dx for I1 f (x, y) dx, L(dx) for L(I1 ), L(dxdy) for
L(I), etc.
We will prove the theorem by considering a series of special cases. The
first two lemmas below will help in passing from one case to the next. In
these lemmas, we say that a function f in L(dxdy) for which Fubini’s theorem
is true has property F .

Lemma 6.2 A finite linear combination of functions with property F has

property F .

This follows immediately from Theorems 4.9 and 5.28.

Lemma 6.3 Let f1 , f2 , . . ., fk , . . . have property F . If fk  f or fk  f , and if

f ∈ L(dxdy), then f has property F .

Proof. We will concentrate on integrability properties, leaving questions of

measurability to the reader. Changing signs if necessary, we may assume that
fk  f . For each k, there exists by hypothesis a set Zk in Rn with measure zero
such that fk (x, y) ∈ L(dy) if x ∈/ Zk . Let Z = k Zk , so that Z has Rn -measure
zero. If x ∈
/ Z, then fk (x, y) ∈ L(dy) for all k, and therefore, by the monotone
convergence theorem applied to {fk (x, y)} as functions of y,
 
hk (x) = fk (x, y) dy  h(x) = f (x, y) dy (x ∈/ Z).

 assumption, we have hk (x) ∈ L(dx), fk ∈ L(dxdy), and fk (x, y) dxdy =
By
hk (x) dx. Therefore,
 another application
 of the monotone convergence the-
orem gives f (x, y) dxdy = h(x) dx. Since f ∈ L(dxdy), it follows that
h ∈ L(dx), which implies that h is finite a.e. This completes the proof.

The next three lemmas prove special cases of Fubini’s theorem.

Repeated Integration 115

∞
Lemma 6.4 If E is a set of type Gδ , namely, E = k=1 Gk , and if G1 has finite
measure, then χE has property F .

Proof. Case 1. Suppose that E is a bounded open interval in Rn+m : E = J1 × J2 ,

where J1 and J2 are bounded open intervals in Rn and Rm , respectively. Then
|E| = |J1 ||J2 |, where |J1 | and |J2 | denote the measures of J1 and J2 in Rn and
 . For every x, χE (x, y) is clearly measurable as a function of y. If h(x) =
R m

 χE (x, y) dy, then h(x) = |J2| for x ∈ J1 , and h(x) = 0 otherwise. Therefore,
h(x) dx = |J1 ||J2 |. But also, χE (x, y) dxdy = |E| = |J1 ||J2 |, and the lemma is
proved in this case.
Case 2. Suppose that E is any set (of type Gδ or not) on the boundary of
 every x, the set {y : (x, y) ∈ E} has R -
an interval in Rn+m . Then for almost m

measure zero. Therefore, if h(x)  = χE (x, y) dy, it follows that h(x) = 0 a.e.
Hence, h(x) dx = 0. But also, χE (x, y) dxdy = |E| = 0.
Case 3. Suppose next that E is a partly open interval in Rn+m . Then E is the
union of its interior and a subset of its boundary. It follows from cases 1 and
2 and Lemma 6.2 that χE has property F .
Case 4. Let E be an open set in Rn+m with finite measure. Write E = Ij ,
where the Ij are disjoint, partly open intervals. If Ek = kj=1 Ij , then χEk =
k
so that χEk has property F by case 3 and Lemma 6.2. Since χEk 
j=1 χIj ,
χE , χE has property F by Lemma 6.3.
Case 5. Let E satisfy the hypothesis of Lemma 6.4. We may assume that
Gk  E by considering the open sets G1 , G1 ∩ G2 , G1 ∩ G2 ∩ G3 , etc. Then
χGk  χE , and the lemma follows from case 4 and Lemma 6.3.

Lemma 6.5 If Z is a subset of Rn+m with measure zero, then χZ has

property F . Hence, for almost every x ∈ Rn , the set {y : (x, y) ∈ Z} has
Rm -measure zero.

Proof. Using Theorem 3.8, select a set H of type Gδ such that Z ⊂ H and
|H| = 0. If H = Gk , we may assume that G1 has finite measure, so that
by Lemma 6.4,

   
χH (x, y) dy dx = χH (x, y) dxdy = 0.


Therefore, by Theorem 5.11, |{y : (x, y) ∈ H}| = χH (x, y) dy = 0 for almost
every x. If {y : (x, y) ∈ H) has Rm -measure zero, so does {y : (x, y) ∈ Z} since
Z ⊂ H. It follows that for almost
 every x, χZ (x, y) is measurable in y and
χZ (x,
 y) dy = 0. Hence, [ χ Z (x, y) dy] dx = 0, which proves the lemma
since χZ (x, y) dxdy = |Z| = 0.
116 Measure and Integral: An Introduction to Real Analysis

Lemma 6.6 Let E ⊂ Rn+m . If E is measurable with finite measure, then χE has
property F .

Proof. Using Theorem 3.28, write E = H − Z, where H is of type Gδ and Z

has measure zero. If H = Gk , choose G1 with finite measure (see the proof
of Theorem 3.28). Since χE = χH − χZ , the result follows from Lemmas 6.2,
6.4, and 6.5.

Proof of Fubini’s theorem. We must show that every f ∈ L(dxdy) has property
F . Since f = f + − f − , we may assume by Lemma 6.2 that f ≥ 0. Then, by
Theorem 4.13, there are simple measurable fk  f , fk ≥ 0. Each fk ∈ L(dxdy),
and by Lemma 6.3, it is enough to show that these have property F . Hence,
we may assume that f is simple and integrable, say f = N j=1 vj χEj . Since each
Ej for which vj = 0 must have finite measure, the result follows from Lemmas
6.2 and 6.6.
If f ∈ L(Rn+m ), then by Fubini’s theorem, f (x,y) is a measurable function
of y for almost every x ∈ Rn . We now show that the same conclusion holds if
f is merely measurable.

Theorem 6.7 Let f (x, y) be a measurable function on Rn+m . Then for almost every
x ∈ Rn , f (x, y) is a measurable function of y ∈ Rm .
In particular, if E is a measurable subset of Rn+m , then the set

Ex = {y : (x, y) ∈ E}

is measurable in Rm for almost every x ∈ Rn .

Proof. Note that if f is the characteristic function χE of a measurable E ⊂

Rn+m , then the two statements of the theorem are equivalent. To prove the
result in this case, write E = H ∪ Z, where H is of type Fσ in Rn+m and
|Z|n+m = 0. Then Ex = Hx ∪ Zx , Hx is of type Fσ in Rm , and for almost every
x ∈ Rn , |Zx |m = 0 by Lemma 6.5. Therefore, Ex is measurable for almost
every x.
If f is any measurable function on Rn+m , consider the set E(a) = {(x, y) :
f (x, y) > a}. Since E(a) is measurable in Rn+m , the set E(a)x = {y : (x, y) ∈
E(a)} is measurable in Rm for almost every x ∈ Rn . The exceptional set of
Rn -measure zero depends on a. The union Z of these exceptional sets for all
rational a still has Rn -measure zero. If x ∈
/ Z, then {y : f (x, y) > a} is mea-
surable for all rational a and so for all a by Theorem 4.4. This completes
the proof.

We will now extend Fubini’s theorem to functions defined on measurable

subsets of Rn+m .
Repeated Integration 117

Theorem 6.8 Let f (x, y) be a measurable function defined on a measurable subset

E of Rn+m , and let Ex = {y : (x, y) ∈ E}.

(i) For almost every x ∈ Rn , f (x, y) is a measurable function of y on Ex .

(ii) If f (x, y) ∈ L(E), then for almost every x ∈ Rn , f (x, y) is integrable on
Ex with respect to y; moreover, Ex f (x, y) dy is an integrable function of
x and

⎡ ⎤
  
f (x, y) dxdy = ⎣ f (x, y) dy⎦ dx.
E Rn Ex

Proof. Let f̄ be the function equal to f in E and to zero elsewhere in Rn+m .

Since f is measurable on E, f̄ is measurable on Rn+m . Therefore, by Theorem
6.7, f̄ (x, y) is a measurable function of y for almost every x ∈ Rn . Since Ex is
measurable for almost every x ∈ Rn , it follows that f (x, y) is measurable on
almost every Ex . This proves (i).
If f ∈ L(E), then f̄ ∈ L(Rn+m ) and

 
   
f (x, y) dxdy = f̄ (x, y) dxdy = f̄ (x, y) dy dx.
E Rn+m Rn Rm

Since Ex is measurable for almost every x, we obtain by Theorem 5.24

 
that Rm f̄ (x, y) dy = Ex f (x, y) dy for almost every x ∈ Rn . Part (ii) follows by
combining equalities.

6.2 Tonelli’s Theorem

By Fubini’s theorem, the finiteness of a multiple integral implies that of the
corresponding iterated integrals. The converse is not true, even if all the
iterated integrals are equal, as shown by the following example.

Example 6.9 Let n = m = 1 and let I be the unit square and {Ik } be the
infinite sequence of subsquares shown in the following illustration:
118 Measure and Integral: An Introduction to Real Analysis

1 (1,1)

I3

I2
1
2

I1

1 1
2

Subdivide each Ik into four equal subsquares by lines parallel to the x- and
y-axes.

Ik(4) Ik(3)

Ik(1) Ik(2)

Ik

(1) (3)
For each k, let f = 1/|Ik | on the interiors of Ik and Ik and let f = −1/|Ik |
on the interiors of Ik(2) and Ik(4) . Let f = 0 on the rest of I, that is, outside Ik
1
and on the boundaries of all the subsquares. Clearly, 0 f (x, y) dy = 0 for all
1
x, and 0 f (x, y) dx = 0 for all y. Therefore,
⎡ ⎤ ⎡ ⎤
1 1 1 1
⎣ f (x, y) dy⎦ dx = ⎣ f (x, y) dx⎦ dy = 0.
0 0 0 0

However,
  1
f + (x, y) dxdy = f + (x, y) dxdy = = +∞.
2
I k Ik k
Repeated Integration 119


Similarly, I f − dxdy = +∞. Hence, finiteness of the iterated integrals of f
does not in general imply either the existence of the multiple integral of f or
the finiteness of the multiple integral of | f |. However, for nonnegative f , we
have the following basic result.

Theorem 6.10 (Tonelli’s Theorem) Let f (x, y) be nonnegative and measurable on

an interval I = I1 ×I2 of Rn+m . Then, for almost every x ∈ I1 , f (x, y) is a measurable
function of y on I2 . Moreover, as a function of x, I2 f (x, y) dy is measurable on I1 , and
⎡ ⎤
  
f (x, y) dxdy = ⎣ f (x, y) dy⎦ dx.
I I1 I2

Proof. This is actually a corollary of Fubini’s theorem. For k = 1, 2, . . ., let

fk (x, y) = 0 if |(x, y)| > k and fk (x, y) = min {k, f (x, y)} if |(x, y)| ≤ k. Then
fk ≥ 0, fk  f on I, and fk ∈ L(I) (fk is bounded and vanishes outside a
compact set). Hence, Fubini’s  theorem applies to each fk . The statement con-
cerning the measurability of I2 f (x, y) dy then follows from its analogue for fk ;
 
in fact, by the monotone convergence theorem, I2 fk (x, y) dy  I2 f (x, y) dy.
(The measurability of f (x,y) as a function of y was proved in Theorem 6.8.)
By the monotone convergence theorem again,
 
fk (x, y) dxdy → f (x, y) dxdy, and
I I
⎡ ⎤ ⎡ ⎤
   
⎣ fk (x, y) dy⎦ dx → ⎣ f (x, y) dy⎦ dx.
I1 I2 I1 I2

Since fk ∈ L(I), the left-hand sides in the last two limits are equal. Therefore,
so are the right-hand sides, and the theorem follows.

An extension of Tonelli’s theorem to functions defined over arbitrary

measurable sets E is straightforward.
Since the roles of x and y can be interchanged above, it follows that if f is
nonnegative and measurable, then
⎡ ⎤ ⎡ ⎤
    
f (x, y) dxdy = ⎣ f (x, y) dy⎦ dx = ⎣ f (x, y) dx⎦ dy.
I I1 I2 I2 I1

In particular, we obtain the important fact that for f ≥ 0, the finiteness of any one
of Fubini’s three integrals implies that of the other two. Hence, for any measurable
120 Measure and Integral: An Introduction to Real Analysis

f , the finiteness of one of these integrals for |f | implies that f is integrable and
that all three Fubini integrals of f are equal.
An easy consequence of Tonelli’s theorem is that the conclusion
⎡ ⎤
  
f (x, y) dxdy = ⎣ f (x, y) dy⎦dx
I I1 I2

of Fubini’s theorem (including the existence and measurability of  the inner

integral on theright-hand side) holds for measurable
 f even if  I f = ±∞
(i.e., it holds if I f merely exists). In fact, if I f = +∞, we have I f + = +∞
and f − ∈ L(I). By Tonelli’s theorem,
⎛ ⎞ ⎛ ⎞
     
f+ = ⎝ f + dy⎠dx, f− = ⎝ f − dy⎠dx.
I I1 I2 I I1 I2


Since I f − is finite, the desired formula follows by subtraction.

6.3 Applications of Fubini’s Theorem

We shall derive several important results as corollaries of Fubini’s and
Tonelli’s theorems. The first one is the necessity of the condition in Theorem
5.1. Using the notation of Chapter 5, we will prove the following result.

Theorem 6.11 Let f be a nonnegative function defined on a measurable set E ⊂

Rn . If R(f , E), the region under f over E, is a measurable subset of Rn+1 , then f is
measurable.

Proof. For 0 ≤ y < +∞, we have

{x ∈ E : f (x) ≥ y} = {x : (x, y) ∈ R(f , E)}.

Since R( f ,E) is measurable, it follows from Theorem 6.7 that {x ∈ E : f (x) ≥ y}

is measurable (in Rn ) for almost all (linear measure) such y. In particular,
{x ∈ E : f (x) ≥ y} is measurable for all y in a dense subset of (0, ∞). If y is
negative, then {x ∈ E : f (x) ≥ y} = E, which is measurable. We conclude that
f is measurable (cf. Theorem 4.4).

As a second application of Fubini’s theorem, we will prove a result about the

convolution of two functions. More general results of this kind will be proved
Repeated Integration 121

in Chapter 9. If f and g are measurable in Rn , their convolution (f ∗ g)(x) is

defined by

(f ∗ g)(x) = f (x − t)g(t) dt,
Rn

provided the integral exists.

We first claim that f ∗ g = g ∗ f , that is, that
 
f (x − t)g(t) dt = f (t)g(x − t) dt. (6.12)
Rn Rn

This is actually a special case of results dealing with changes of variable. In

this simple case, however, it amounts to the statement that if x ∈ Rn , then
 
r(t) dt = r(x − t) dt (6.13)
Rn Rn

when r(t) = f (x − t)g(t). For fixed x, x – t ranges over Rn as t does. Therefore,

for any measurable r ≥ 0, (6.13) follows from the geometric interpretation of
the integral. (See Theorem 5.1 and the definition of the integral of a nonneg-
ative function.) For any measurable r, it follows by writing r = r+ − r− . (For
the effect of a linear change of variables, see Exercise 20 of Chapter 5, and
see Exercise 18 of Chapter 3 for the effect of translations. Measurability of
r(x − t) as a function of t can then be deduced from that of r(t).)
The result we wish to prove for convolutions is the following.

Theorem 6.14 If f ∈ L(Rn ) and g ∈ L(Rn ), then (f ∗ g)(x) exists for almost every
x ∈ Rn and is measurable. Moreover, f ∗ g ∈ L(Rn ) and
  
  
| f ∗ g| dx ≤ |f | dx |g| dx ,
Rn Rn Rn
  
  
(f ∗ g) dx = f dx g dx .
Rn Rn Rn

In order to prove this, we need a lemma.

Lemma 6.15 If f (x) is measurable in Rn , then the function F(x, t) = f (x − t) is

measurable in Rn × Rn = R2n .
122 Measure and Integral: An Introduction to Real Analysis

Proof. Let F1 (x, t) = f (x). Since f is measurable, it follows as in Lemma 5.2

(or by n-fold iteration of the conclusion of Lemma 5.2) that F1 (x, t) is measur-
able in R2n : in fact, the set {(x, t) : F1 (x, t) > a}, which equals {(x, t) : f (x) >
a, t ∈ Rn }, is a cylinder type set with measurable base {x : f (x) > a) in Rn .
For (ξ, η) ∈ R2n , consider the transformation x = ξ − η, t = ξ + η. This is a
nonsingular linear transformation of R2n , and therefore, by Theorem 3.33 (see
Exercise 4 of Chapter 4), the function F2 defined by F2 (ξ, η) = F1 (ξ −η, ξ +η)
is measurable in R2n . Since F2 (ξ, η) = f (ξ − η), the lemma follows.

Proof of Theorem 6.14 Suppose first that both f and g are nonnegative on Rn .
By Lemma 6.15, f (x − t)g(t) is measurable on Rn × Rn since it is the product
of two such functions. Hence, the integral

I= f (x − t)g(t) dtdx

is well defined. By Tonelli’s theorem and (6.13),

  
I= f (x − t)g(t) dt dx
      
= g(t) f (x − t) dx dt = f (x) dx g(t) dt .


The first of these equations can be written I = (f ∗ g)(x) dx, where measura-
bility of f ∗ g is guaranteed by Tonelli’s theorem, so that
     
f ∗ g (x) dx = f (x) dx g(x) dx .

This proves the theorem for f ≥ 0 and g ≥ 0. For general f , g ∈ L(Rn ), it

follows that
             
| f (x − t)| |g(t)| dtdx =  f  ∗ g dx =  f  dx g dx < ∞.


Hence, f (x − t)g(t) ∈ L(dtdx). By Fubini’s theorem, f (x − t)g(t) dt exists for
a.e. x and is measurable and integrable; also,
       
f (x − t)g(t) dtdx = f (x − t)g(t) dt dx = f (x) dx g(x) dx .

In particular, f ∗ g is well-defined a.e. and measurable (even integrable), and

    
(f ∗ g) = f g .
Repeated Integration 123

Finally, since | f ∗g| ≤ | f |∗|g| wherever f ∗g exists, we obtain by integration that

     
| f ∗ g| ≤ (| f | ∗ |g|) = |f| |g| ,

and the proof is complete.

See Exercise 21 of Chapter 9 for a criterion which guarantees measurability
of f ∗ g.

In the proof of Theorem 6.14, we showed the following useful fact.

Corollary 6.16 If f and g are nonnegative and measurable on Rn , then f ∗ g is

measurable on Rn and
  
    
f ∗ g dx = f dx g dx .
Rn Rn Rn

Our final application of Fubini’s theorem is an important result due to

Marcinkiewicz concerning the structure of closed sets. For simplicity, we will
restrict our attention to the one-dimensional case. Given a closed subset F of
R1 and a point x, let
  
δ (x) = δ (x, F) = min x − y : y ∈ F

denote the distance of x from F. Thus, δ(x) = 0 if and only if x ∈ F. By Theorem

1.10, the complement of F is a union k (ak , bk ) of disjoint open intervals. At
most, two of these intervals can be infinite. The graph of δ(x) is thus an irreg-
ular sawtooth curve: over any finite interval [ak , bk ], the graph is the sides
of the isosceles triangle with base [ak , bk ] and altitude 12 (bk − ak ) ; outside the
terminal points of F, the graph is linear. If we move from a point x to a point
y, the distance from F cannot increase by more than |x − y|. Hence,
    
δ (x) − δ y  ≤ x − y ;

that is, δ satisfies a Lipschitz condition.

We shall prove the following theorem. (See also Exercises 7 through 9 and
Theorem 9.19.) The result will be used in the proof of Theorem 12.67.

Theorem 6.17 (Marcinkiewicz) Let F be a closed subset of a bounded open

interval (a, b), and let δ(x) = δ(x, F) be the corresponding distance function.
Then, given λ > 0, the integral
124 Measure and Integral: An Introduction to Real Analysis

b  
δλ y
Mλ (x) = Mλ (x; F) =   dy
a
x − y1+λ

is finite a.e. in F. Moreover, Mλ ∈ L(F) and


Mλ ≤ 2λ−1 |G| ,
F

where G = (a, b) − F.

  makes the finiteness of Mλ (x) remark-

Before the proof, we note that what
able is the singular behavior of δλ y /|x − y|1+λ as y → x. Since δ(y) → δ(x)
as y → x, it follows that Mλ (x) = +∞ if x ∈/ F (see Exercise 9). If x ∈ F, then
δ(x) = 0, but the mere Lipschitz character of δ in the estimate

       
δλ y δ y − δ (x)λ x − yλ 1
 1+λ =  1+λ ≤  1+λ =  
x − y x − y x − y x − y

b
is not enough to imply that Mλ (x) is finite since a dy/|x − y| = +∞. The key
to the convergence of Mλ at a point x is the fact that δ(y) vanishes not only
at x but also at every y ∈ F. Thus, roughly speaking, the finiteness of Mλ (x)
means that F is very dense near x. In this regard, see also Exercise 9(b).

Proof. Measurability of Mλ follows from Corollary 6.16. Since δ = 0 in F,

integration in the integral defining Mλ can be restricted to the set G = (a, b)−F
without changing Mλ . Thus,

 
     dx
Mλ (x) dx = λ
δ y   dy,
x − y1+λ
F G F

the change in the order of integration being justified by Tonelli’s theorem. To

estimate the inner integral, fix y ∈ G and note that for any x ∈ F, we have
|x − y| ≥ δ(y) > 0. Thus,

 dx  dx ∞ dt  −λ
−1
  ≤  1+λ = 2 = 2λ δ y .
x − y1+λ x − y t1+λ
F |x−y|≥δ(y) δ(y)
Repeated Integration 125

In particular,
     −λ 
y 2λ−1 δ y dy = 2λ−1 |G| < +∞.
λ
Mλ (x) dx ≤ δ
F G

Exercises
1. (a) Let E be a measurable subset of R2 such that for almost every x ∈ R1 ,
{y: (x, y) ∈ E) has R1 -measure zero. Show that E has measure zero
and that for almost every y ∈ R1 , {x: (x, y) ∈ E} has measure zero.
(b) Let f (x, y) be nonnegative and measurable in R2 . Suppose that for
almost every x ∈ Rl , f (x, y) is finite for almost every y. Show that for
almost every y ∈ Rl , f (x, y) is finite for almost every x.
2. If f and g are measurable in Rn , show that the function h(x, y) = f (x)g(y)
is measurable in Rn ×Rn . Deduce that if E1 and E2 are measurable subsets
of Rn , then their Cartesian product E1 × E2 = {(x, y) : x ∈ E1 , y ∈ E2 } is
measurable in Rn × Rn , and |E1 × E2 | = |E1 ||E2 |. As usual in measure
theory, 0 · ∞ and ∞ · 0 are interpreted as 0.
3. Let f be measurable and finite a.e. on [0,1]. If f (x) − f (y) is integrable over
the square 0 ≤ x ≤ 1, 0 ≤ y ≤ 1, show that f ∈ L[0, 1].
4. Let f be measurable and periodic with period 1: f (t + 1) = f (t). Suppose
that there is a finite c such that

1  
 f (a + t) − f (b + t) dt ≤ c
0

for all a and b. Show that f ∈ L[0,1]. (Set a = x, b = −x, integrate with
respect to x, and make the change of variables ξ = x + t , η = −x + t.)
5. (a) If f is nonnegative and measurable on E and ω(y)  = |{x ∈∞E : f(x)
 >
y}|, y > 0, use Tonelli’s theorem to prove that E f = 0 ω y dy.
   
(By definition of the integral, E f = R f , E  = R(f ,E) dxdy. Use the
observation in the proof of Theorem 6.11 that {x ∈ E : f (x) ≥ y} = {x :
(x, y) ∈ R(f , E)}, and recall that ω(y) = |{x ∈ E : f (x) ≥ y}| unless y is
a point of discontinuity of ω.)
(b) Deduce from this special case the general formula

 ∞    
fp = p yp−1 ω y dy f ≥ 0, 0 < p < ∞ .
E 0
126 Measure and Integral: An Introduction to Real Analysis

6. For f ∈ L(R1 ), define the Fourier transform 

f of f by

1 
+∞  

f (x) = f (t)e−ixt dt x ∈ R1 .
2π −∞

(For a complex-valued function F = F0 + iF1 whose

 real
 and imaginary
parts F0 and F1 are integrable, we define F = F0 + i F1 .) Show that if
f and g belong to L(R1 ), then


(f ∗ g)(x) = 2π 
f (x)
g(x).

7. Let F be a closed subset of R1 and let δ(x) = δ(x, F) be the corresponding

distance function. If λ > 0 and f is nonnegative and integrable over the
complement of F, prove that the function

 δλ y f y
  dy
1
x − y1+λ
R

is integrable over F and so is finite a.e. in F. (In case f = χ(a,b) , this reduces
to Theorem 6.17.)
8. Under the hypotheses of Theorem 6.17 and assuming that b−a < 1, prove
that the function

b  1
−1
M0 (x) = log |x − y|−1 dy
a
δ(y)

is finite a.e. in F.
9. (a) Show that Mλ (x; F) = +∞ if x ∈ / F, λ > 0.
(b) Let F = [c, d] be a closed subinterval of a bounded open interval
(a, b) ⊂ R1 , and let Mλ be the corresponding Marcinkiewicz integral,
λ > 0. Show that Mλ is finite  for every x ∈ (c, d) and that Mλ (c) =
Mλ (d) = ∞. Show also that F Mλ ≤ λ−1 |G|, where G = (a, b) − [c, d].
10. Let vn be the volume of the unit ball in Rn . Show by using Fubini’s
theorem that

1  (n−1)/2
vn = 2vn−1 1 − t2 dt.
0

(We also observe that by setting w = t2 , the integral is a multiple of a

classical β-function and so can be expressed in terms of the -function:
∞
 (s) = 0 e−t ts−1 dt, s > 0.)
Repeated Integration 127

11. Use Fubini’s theorem to prove that

 2
e−|x| dx = πn/2 .
Rn

 + ∞ 2  +∞  + ∞
e−x dx −x2 −y2 dxdy and use polar
2
(For n = 1, write −∞ = −∞ −∞ e
2
e−|x| = e−x1 . . . e−xn and Fubini’s
2 2
coordinates. For n > 1, use the formula
theorem to reduce to the case n = 1.)
12. (a) Give an example that shows that the projection onto the x-axis of a
measurable subset of the plane may not be linearly measurable.
(b) Show that if E is either an open or closed set in the plane, then its
projection onto the x-axis is linearly measurable.
(For (b), the projection of an open set is open, and the projection of a com-
pact set is compact. Any closed set is a countable union of compact sets.)
13. Let f ∈ L(−∞, ∞), and let h > 0 be fixed. Prove that
⎛ ⎞
∞ 1 
x+h ∞
⎝ ⎠
f (y) dy dx = f (x) dx.
−∞
2h −∞
x−h