Fubinis theorem

For the Fubini theorem for category, see Kuratowski BY and measures 1 on X and 2 on Y. In general there
Ulam theorem.
may be many dierent product measures on XY. Fubinis theorem and Tonellis theorem both need technical
In mathematical analysis Fubinis theorem, introduced conditions to avoid this complication; the most common
way is to assume all measure spaces are -nite, in which
by Guido Fubini (1907), is a result that gives conditions
under which it is possible to compute a double integral case there is a unique product measure on XY. There
is always a unique maximal product measure on XY,
using iterated integrals. One may switch the order of integration if the double integral yields a nite answer when where the measure of a measurable set is the inf of the
measures of sets containing it that are countable unions
the integrand is replaced by its absolute value.
of products of measurable sets. The maximal product
measure can be constructed by applying Carathodorys
)
)
(
(
extension theorem to the additive function such that
f (x, y) dy dx =
f (x, y) dx dy = (AB)=
f (x, y)
d(x,2 (B)
y) on the ring of sets generated by
1 (A)
X
Y
Y
X
XY
products of measurable sets. (Carathodorys extension
As a consequence it allows the order of integration to be theorem gives a measure on a measure space that in
changed in iterated integrals. Fubinis theorem implies general contains more measurable sets than the measure
that the two repeated integrals of a function of two vari- space XY, so strictly speaking the measure should be reables are equal if the function is integrable. Tonellis the- stricted to the -algebra generated by the products AB
orem introduced by Leonida Tonelli (1909) is similar but of measurable subsets of X and Y.)
applies to functions that are non-negative rather than in- The product of two complete measure spaces is not usutegrable.
ally complete. For example, the product of the Lebesgue
measure on the unit interval I with itself is not the
Lebesgue measure on the square II. There is a variation
of Fubinis theorem for complete measures, which uses
1 History
the completion of the product of measures rather than
the uncompleted product.
The special case of Fubinis theorem for continuous functions on a product of closed bounded subsets of real
vector spaces was known to Euler in the 18th century.
3 Fubinis theorem for integrable
Lebesgue (1904) extended this to bounded measurable
functions on a product of intervals. Levi (1906) conjecfunctions
tured that the theorem could be extended to functions
that were integrable rather than bounded, and this was Suppose X and Y are -nite measure spaces, and supproved by Fubini (1907). Tonelli (1909) gave a variation pose that X Y is given the product measure (which
of Fubinis theorem that applies to non-negative functions is unique as X and Y are -nite). Fubinis theorem
rather than integrable functions.
states that if f(x,y) is X Y integrable, meaning that it
is measurable and

Product measures

|f (x, y)| d(x, y) < ,

XY
If X and Y are measure spaces with measures, there are
several natural ways to dene a product measure on their then
product.

The product XY of measure spaces (in the sense of cate- (

)
)
(

gory theory) has as its measurable sets the -algebra genf (x, y) dy dx =
f (x, y) dx dy =
f (x, y) d(x
X
Y
Y
X
XY
erated by the products AB of measurable subsets of X
and Y.
The rst two integrals are iterated integrals with respect
A measure on XY is called a product measure if to two measures, respectively, and the third is an integral
(AB)=1 (A)2 (B) for measurable subsets AX and with respect to the product measure. The partial integrals
1

6 FUBINIS THEOREM FOR COMPLETE MEASURES

f (x, y) dy, X f (x, y) dx need not be dened every- erated by the product of subsets of nite measure, rather
where, but this does not matter as the points where they than that generated by all products of measurable subare not dened form a set of measure 0.
sets,though this has the undesirable consequence that the
If the above integral of the absolute value is not nite, projections from the product to its factors A and B are not
then the two iterated integrals may have dierent values. measurable. Another way is to add the condition that the
support of f is contained in a countable union of prodSee below for an illustration of this possibility.
ucts of sets of nite measure. Fremlin (2003) gives some
The condition that X and Y are -nite is usually harmless rather technical extensions of Tonellis theorem to some
because in practice almost all measure spaces one wishes non -nite spaces. None of these generalizations have
to use Fubinis theorem for are -nite. Fubinis theorem found any signicant applications outside abstract meahas some rather technical extensions to the case when X sure theory, largely because almost all measure spaces of
and Y are not assumed to be -nite (Fremlin 2003). The practical interest are -nite.
main extra complication in this case is that there may be
more than one product measure on XY. Fubinis theorem continues to hold for the maximal product measure, 5 The FubiniTonelli theorem
but can fail for other product measures. For example,
there is a product measure and a non-negative measurable function f for which the double integral of |f| is zero Combining Fubinis theorem with Tonellis theorem gives
but the two iterated integrals have dierent values; see the FubiniTonelli theorem (often just called Fubinis
the section on counterexamples below for an example of theorem), which states that if X and Y are -nite meathis. Tonellis theorem and the FubiniTonelli theorem sure spaces, and if f is a measurable function such that
(stated below) can fail on non -nite spaces even for the any one of the three integrals
maximal product measure.
)
(
|f (x, y)| dy dx
Y

Tonellis theorem
negative functions

for

non-

)
|f (x, y)| dx

dy

Tonellis theorem (named after Leonida Tonelli) is

|f (x, y)| d(x, y)
a successor of Fubinis theorem. The conclusion of
XY
Tonellis theorem is identical to that of Fubinis theorem,
is nite then
but the assumption that |f | has a nite integral is replaced
by the assumption that f is non-negative.
)
)
(
(

Tonellis theorem states that if (X, A, ) and (Y, B, ) are

f (x, y) dy dx =
f (x, y) dx dy =
f (x, y) d(x
-nite measure spaces, while f from XY to [0,] is
X
Y
Y
X
XY
non-negative and measurable, then
The absolute value of f in the conditions above can be
replaced by either the positive or the negative part of f;
)
)
(
(

these forms include Tonellis theorem as a special case as

f (x, y) dy dx =
f (x, y) dx dy = the negative
f (x, y)part
d(x,ofy).
a non-negative function is zero and so
X
Y
Y
X
XY
has nite integral. Informally all these conditions say that
the double integral of f is well dened, though possibly
A special case of Tonellis
theorem
is in the
interchange

of the summations, as in x y axy = y x axy , innite.

where axy are non-negative for all x and y. The crux of The advantage of the FubiniTonelli over Fubinis theothe theorem is that the interchange of order of summation rem is that the repeated integrals of the absolute value of
holds even if the series diverges. In eect, the only way |f| may be easier to study than the double integral. As in
a change in order of summation can change the sum is Fubinis theorem, the single integrals may fail to be dewhen there exist some subsequences that diverge to + ned on a measure 0 set.
and others diverging to . With all elements nonnegative, this does not happen in the stated example.
Without the condition that the measure spaces are -nite 6 Fubinis theorem for complete
it is possible for all three of these integrals to have diermeasures
ent values. Some authors give generalizations of Tonellis
theorem to some measure spaces that are not -nite but
these generalizations often add conditions that immedi- The versions of Fubinis and Tonellis theorems above
ately reduce the problem to the -nite case. For exam- have the embarrassing problem that they do not even
ple, one could take the -algebra on AB to be that gen- apply to integration on the product of the real line R

3
with itself with Lebesgue measure. The problem is that
Step 4. Use the condition that the functions are inteLebesgue measure on RR is not the product of Lebesgue
grable to write them as the dierence of two positive
measure on R with itself, but rather the completion of
integrable functions, and apply Tonellis theorem to
this: a product of two complete measure spaces X and Y
each of these. This proves Fubinis theorem.
is not in general complete. For this reason one sometimes
uses versions of Fubinis theorem for complete measures:
roughly speaking one just replaces all measures by their 8 Counterexamples
completions. The various versions of Fubinis theorem
are similar to the versions above, with the following miThe following examples show how Fubinis theorem and
nor dierences:
Tonellis theorem can fail if any of their hypotheses are
omitted.
Instead of taking a product XY of two measure
spaces, one takes the completion of some product.
If f is a measurable on the completion of XY then
its restrictions to vertical or horizontal lines may be
non-measurable for a measure zero subset of lines,
so one has to allow for the possibility that the vertical or horizontal integrals are undened on a set
of measure 0 because they involve integrating nonmeasurable functions. This makes little dierence,
because they can already be undened due to the
functions not being integrable.

8.1 Failure of Tonellis theorem for non nite spaces

Suppose that X is the unit interval with the Lebesgue measurable sets and Lebesgue measure, and Y is the unit interval with all subsets measurable and the counting measure, so that Y is not -nite. If f is the characteristic
function of the diagonal of XY, then integrating f along
X gives the 0 function on Y, but integrating f along Y
gives the function 1 on X. So the two iterated integrals are
dierent. This shows that Tonellis theorem can fail for
spaces that are not -nite no matter what product measure is chosen. The measures are both decomposable,
showing that Tonellis theorem fails for decomposable
measures (which are slightly more general than -nite
measures).

One generally also assumes that the measures on X

and Y are complete, otherwise the two partial integrals along vertical or horizontal lines may be welldened but not measurable. For example, if f is the
characteristic function of a product of a measurable
set and a non-measurable set contained in a measure
0 set then its single integral is well dened everywhere but non-measurable.
8.2

Proofs

Proofs of the Fubini and Tonelli theorems are necessarily

somewhat technical, as they have to use a hypothesis related to -niteness. Most proofs involve building up to
the full theorems by proving them for increasingly complicated functions as follows.
Step 1. Use the fact that the measure on the product
is a product measure to prove the theorems for the
characteristic functions of rectangles.

Failure of Fubinis theorem for nonmaximal product measures

Fubinis theorem holds for spaces even if they are not

assumed to be -nite provided one uses the maximal
product measure. In the example above, for the maximal product measure, the diagonal has innite measure
so the double integral of |f| is innite, and Fubinis theorem holds vacuously. However, if we give XY the product measure such that the measure of a set is the sum of
the Lebesgue measures of its horizontal sections, then the
double integral of |f| is zero, but the two iterated integrals still have dierent values. This gives an example of
a product measure where Fubinis theorem fails.

This gives an example of two dierent product measures

Step 2. Use the condition that the spaces are -nite on the same product of two measure spaces. For products
(or some related condition) to prove the theorem for of two -nite measure spaces, there is only one product
the characteristic functions of measurable sets. This measure.
also covers the case of simple measurable functions
(measurable functions taking only a nite number of
8.3 Failure of Tonellis theorem for nonvalues).
Step 3. Use the condition that the functions are
measurable to prove the theorems for positive measurable functions by approximating them by simple
measurable functions. This proves Tonellis theorem.

measurable functions

Suppose that X is the rst uncountable ordinal, with the

nite measure where the measurable sets are either countable (with measure 0) or the sets of countable complement (with measure 1). The (non-measurable) subset E

10

REFERENCES

of XX given by pairs (x,y) with x<y is countable on every

horizontal line and has countable complement on every
2
x2 y 2
vertical line. If f is the characteristic function of E then
=

arctan(y/x).
2
2 2
xy
the two iterated integrals of f are dened and have dier- (x + y )
ent values 1 and 0. The function f is not measurable. This
The iterated integrals
shows that Tonellis theorem can fail for non-measurable
functions.
)
1 ( 1
x2 y 2

dy dx =
2 + y 2 )2
(x
4
x=0
y=0

8.4

Failure of Fubinis theorem for nonmeasurable functions

and

A variation of the example above shows that Fubinis theorem can fail for non-measurable functions even if |f| is
integrable and both repeated integrals are well dened: if
we take f to be 1 on E and 1 on the complement of E,
then |f| is integrable on the product with integral 1, and
both repeated integrals are well dened, but have dierent values 1 and 1.

y=0

1
x=0

x2 y 2
dx
(x2 + y 2 )2

)
dy =

have dierent values. The corresponding double integral

does not converge absolutely (in other words the integral
of the absolute value is not nite):

Assuming the continuum hypothesis, one can identify

X with the unit interval I, so there is a bounded non- 

1
1
2
2 
negative function on II whose two iterated integrals
 x y  dy dx = .
 (x2 + y 2 )2 
(using Lebesgue measure) are both dened but unequal.
0
0
This example was found by Sierpiski (1920). The
stronger versions of Fubinis theorem on a product of two
unit intervals with Lebesgue measure, where the function 9 See also
is no longer assumed to be measurable but merely that the
two iterated integrals are well dened and exist, are inde KuratowskiUlam theorem (analogue for category)
pendent of the standard ZermeloFraenkel axioms of set
theory. The continuum hypothesis and Martins axiom
Cavalieris principle (an early particular case)
both imply that there exists a function on the unit square
Coarea formula (generalization to geometric meawhose iterated integrals are not equal, while Friedman
sure theory)
(1980) showed that it is consistent with ZFC that a strong
Fubini-type theorem for [0, 1] does hold, and whenever
Youngs theorem (analogue for dierentiation)
the two iterated integrals exist they are equal. See List of
statements undecidable in ZFC.
Disintegration theorem (a restricted converse to Fubinis theorem)

8.5

Failure of Fubinis theorem for nonintegrable functions

10

Fubinis theorem tells us that (for measurable functions

on a product of -nite measure spaces) if the integral of
the absolute value is nite, then the order of integration
does not matter; if we integrate rst with respect to x and
then with respect to y, we get the same result as if we
integrate rst with respect to y and then with respect to x.
The assumption that the integral of the absolute value is
nite is "Lebesgue integrability", and without it the two
repeated integrals can have dierent values.
A simple example to show that the repeated integrals can
be dierent in general is to take the two measure spaces
to be the positive integers, and to take the function f(x,y)
to be 1 if x=y, 1 if x=y+1, and 0 otherwise. Then the
two repeated integrals have dierent values 0 and 1.
Another example is as follows for the function

References

DiBenedetto, Emmanuele (2002), Real analysis,

Birkhuser Advanced Texts: Basler Lehrbcher,
Boston, MA: Birkhuser Boston, Inc., ISBN 08176-4231-5, MR 1897317
Fremlin, D. H. (2003), Measure theory 2, Colchester: Torres Fremlin, ISBN 0-9538129-2-8, MR
2462280
Sierpiski, Wacaw (1920), Sur un problme
concernant les ensembles mesurables superciellement, Fundamenta Mathematicae 1 (1): 112115
Friedman, Harvey (1980), A Consistent FubiniTonelli Theorem for Nonmeasurable Functions,
Illinois J. Math. 24 (3): 390395, MR 573474

5
Fubini, G. (1907), Sugli integrali multipli, Rom.
Acc. L. Rend. (5) 16 (1): 608614, Zbl 38.0343.02
Reprinted in Fubini, G. (1958), Opere scelte 2, Cremonese, pp. 243249
Lebesgue (1904), Leons sur l'intgration et la
recherche des fonctions primitives, Paris: GauthierVillars
Tonelli, L. (1909), Sull'integrazione per parti, Atti
della Accademia Nazionale dei Lincei (5) 18 (2):
246253

11

External links

Kudryavtsev, L.D. (2001), Fubini theorem, in

Hazewinkel, Michiel, Encyclopedia of Mathematics,
Springer, ISBN 978-1-55608-010-4
Teschl, Gerald, Topics in Real and Functional Analysis, (lecture notes)

12

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