Tutorial 7: Fubini Theorem 1

7. Fubini Theorem
Denition 59 Let (
1
, F
1
) and (
2
, F
2
) be two measurable spaces.
Let E
1

2
. For all
1

1
, we call
1
-section of E in
2
,
the set:
E

1

= {
2

2
: (
1
,
2
) E}
Exercise 1. Let (
1
, F
1
), (
2
, F
2
) and (S, ) be three measurable
spaces, and f : (
1

2
, F
1
F
2
) (S, ) be a measurable map.
Given
1

1
, dene:

1

= {E
1

2
, E

1
F
2
}
1. Show that for all
1

1
,

1
is a -algebra on
1

2
.
2. Show that for all
1

1
, F
1
F
2

1
.
3. Show that for all
1

1
and E F
1
F
2
, we have E

1
F
2
.
4. Given
1

1
, show that f(
1
, ) is measurable.
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Tutorial 7: Fubini Theorem 2
5. Show that : (
2

1
, F
2
F
1
) (
1

2
, F
1
F
2
) dened
by (
2
,
1
) = (
1
,
2
) is a measurable map.
6. Given
2

2
, show that f(,
2
) is measurable.
Theorem 29 Let (S, ), (
1
, F
1
) and (
2
, F
2
) be three measurable
spaces. Let f : (
1

2
, F
1
F
2
) (S, ) be a measurable map. For
all (
1
,
2
)
1

2
, the map f(
1
, ) is measurable w.r. to
F
2
and , and f(,
2
) is measurable w.r. to F
1
and .
Exercise 2. Let (
i
, F
i
)
iI
be a family of measurable spaces with
cardI 2. Let f : (
iI

i
,
iI
F
i
) (E, B(E)) be a measurable
map, where (E, d) is a metric space. Let i
1
I. Put E
1
=
i
1
,
E
1
= F
i
1
, E
2
=
iI\{i
1
}

i
, E
2
=
iI\{i
1
}
F
i
.
1. Explain why f can be viewed as a map dened on E
1
E
2
.
2. Show that f : (E
1
E
2
, E
1
E
2
) (E, B(E)) is measurable.
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Tutorial 7: Fubini Theorem 3
3. For all
i
1

i
1
, show that the map f(
i
1
, ) dened on

iI\{i
1
}

i
is measurable w.r. to
iI\{i
1
}
F
i
and B(E).
Denition 60 Let (, F, ) be a measure space. (, F, ) is said to
be a nite measure space, or we say that is a nite measure,
if and only if () < +.
Denition 61 Let (, F, ) be a measure space. (, F, ) is said
to be a -nite measure space, or a -nite measure, if and
only if there exists a sequence (
n
)
n1
in F such that
n
and
(
n
) < +, for all n 1.
Exercise 3. Let (, F, ) be a measure space.
1. Show that (, F, ) is -nite if and only if there exists a se-
quence (
n
)
n1
in F such that =
+
n=1

n
, and (
n
) < +
for all n 1.
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Tutorial 7: Fubini Theorem 4
2. Show that if (, F, ) is nite, then has values in R
+
.
3. Show that if (, F, ) is nite, then it is -nite.
4. Let F : R R be a right-continuous, non-decreasing map.
Show that the measure space (R, B(R), dF) is -nite, where
dF is the Stieltjes measure associated with F.
Exercise 4. Let (
1
, F
1
) be a measurable space, and (
2
, F
2
,
2
) be
a -nite measure space. For all E F
1
F
2
and
1

1
, dene:

E
(
1
)

=
_

2
1
E
(
1
, x)d
2
(x)
Let D be the set of subsets of
1

2
, dened by:
D

= {E F
1
F
2
:
E
: (
1
, F
1
) (

R, B(

R)) is measurable}
1. Explain why for all E F
1
F
2
, the map
E
is well dened.
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Tutorial 7: Fubini Theorem 5
2. Show that F
1
F
2
D.
3. Show that if
2
is nite, A, B D and A B, then B \ A D.
4. Show that if E
n
F
1
F
2
, n 1 and E
n
E, then
E
n

E
.
5. Show that if
2
is nite then D is a Dynkin system on
1

2
.
6. Showthat if
2
is nite, then the map
E
: (
1
, F
1
)(

R, B(

R))
is measurable, for all E F
1
F
2
.
7. Let (
n
2
)
n1
in F
2
be such that
n
2

2
and
2
(
n
2
) < +.
Dene
n
2
=

n
2
2
=
2
(
n
2
). For E F
1
F
2
, we put:

n
E
(
1
)

=
_

2
1
E
(
1
, x)d
n
2
(x)
Show that
n
E
: (
1
, F
1
) (

R, B(

R)) is measurable, and:

n
E
(
1
) =
_

2
1

n
2
(x)1
E
(
1
, x)d
2
(x)
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Tutorial 7: Fubini Theorem 6
Deduce that
n
E

E
.
8. Show that the map
E
: (
1
, F
1
) (

R, B(

R)) is measurable,
for all E F
1
F
2
.
9. Let s be a simple function on (
1

2
, F
1
F
2
). Show that
the map
_

2
s(, x)d
2
(x) is well dened and measurable
with respect to F
1
and B(

R).
10. Show the following theorem:
Theorem 30 Let (
1
, F
1
) be a measurable space, and (
2
, F
2
,
2
)
be a -nite measure space. Then for all non-negative and measurable
map f : (
1

2
, F
1
F
2
) [0, +], the map:

_

2
f(, x)d
2
(x)
is measurable with respect to F
1
and B(

R).
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Tutorial 7: Fubini Theorem 7
Exercise 5. Let (
i
, F
i
)
iI
be a family of measurable spaces, with
cardI 2. Let i
0
I, and suppose that
0
is a -nite measure
on (
i
0
, F
i
0
). Show that if f : (
iI

i
,
iI
F
i
) [0, +] is a non-
negative and measurable map, then:

_

i
0
f(, x)d
0
(x)
dened on
iI\{i
0
}

i
, is measurable w.r. to
iI\{i
0
}
F
i
and B(

R).
Exercise 6. Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -nite measure
spaces. For all E F
1
F
2
, we dene:

1

2
(E)

=
_

1
__

2
1
E
(x, y)d
2
(y)
_
d
1
(x)
1. Explain why
1

2
: F
1
F
2
[0, +] is well dened.
2. Show that
1

2
is a measure on F
1
F
2
.
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Tutorial 7: Fubini Theorem 8
3. Show that if AB F
1
F
2
, then:

1

2
(A B) =
1
(A)
2
(B)
Exercise 7. Further to ex. (6), suppose that : F
1
F
2
[0, +]
is another measure on F
1
F
2
with (A B) =
1
(A)
2
(B), for all
measurable rectangle AB. Let (
n
1
)
n1
and (
n
2
)
n1
be sequences
in F
1
and F
2
respectively, such that
n
1

1
,
n
2

2
,
1
(
n
1
) < +
and
2
(
n
2
) < +. Dene, for all n 1:
D
n

= {E F
1
F
2
: (E (
n
1

n
2
)) =
1

2
(E (
n
1

n
2
))}
1. Show that for all n 1, F
1
F
2
D
n
.
2. Show that for all n 1, D
n
is a Dynkin system on
1

2
.
3. Show that =
1

2
.
4. Show that (
1

2
, F
1
F
2
,
1

2
) is a -nite measure space.
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Tutorial 7: Fubini Theorem 9
5. Show that for all E F
1
F
2
, we have:

1

2
(E) =
_

2
__

1
1
E
(x, y)d
1
(x)
_
d
2
(y)
Exercise 8. Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
) be n -nite measure
spaces, n 2. Let i
0
{1, . . . , n} and put E
1
=
i
0
, E
2
=
i=i
0

i
,
E
1
= F
i
0
and E
2
=
i=i
0
F
i
. Put
1
=
i
0
, and suppose that
2
is
a -nite measure on (E
2
, E
2
) such that for all measurable rectangle

i=i
0
A
i

i=i
0
F
i
, we have
2
(
i=i
0
A
i
) =
i=i
0

i
(A
i
).
1. Show that
1

2
is a -nite measure on the measure space
(
1
. . .
n
, F
1
. . . F
n
) such that for all measurable
rectangles A
1
. . . A
n
, we have:

1

2
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
2. Show by induction the existence of a measure on F
1
. . .F
n
,
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Tutorial 7: Fubini Theorem 10
such that for all measurable rectangles A
1
. . . A
n
, we have:
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
3. Show the uniqueness of such measure, denoted
1
. . .
n
.
4. Show that
1
. . .
n
is -nite.
5. Let i
0
{1, . . . , n}. Show that
i
0
(
i=i
0

i
) =
1
. . .
n
.
Denition 62 Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
) be n -nite mea-
sure spaces, with n 2. We call product measure of
1
, . . . ,
n
,
the unique measure on F
1
. . . F
n
, denoted
1
. . .
n
, such that
for all measurable rectangles A
1
. . . A
n
in F
1
. . . F
n
, we have:

1
. . .
n
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
This measure is itself -nite.
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Tutorial 7: Fubini Theorem 11
Exercise 9. Prove that the following denition is legitimate:
Denition 63 We call Lebesgue measure in R
n
, n 1, the
unique measure on (R
n
, B(R
n
)), denoted dx, dx
n
or dx
1
. . . dx
n
, such
that for all a
i
b
i
, i = 1, . . . , n, we have:
dx([a
1
, b
1
] . . . [a
n
, b
n
]) =
n

i=1
(b
i
a
i
)
Exercise 10.
1. Show that (R
n
, B(R
n
), dx
n
) is a -nite measure space.
2. For n, p 1, show that dx
n+p
= dx
n
dx
p
.
Exercise 11. Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be -nite.
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Tutorial 7: Fubini Theorem 12
1. Let s be a simple function on (
1

2
, F
1
F
2
). Show that:
_

2
sd
1

2
=
_

1
__

2
sd
2
_
d
1
=
_

2
__

1
sd
1
_
d
2
2. Show the following:
Theorem 31 (Fubini) Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -
nite measure spaces. Let f : (
1

2
, F
1
F
2
) [0, +] be a
non-negative and measurable map. Then:
_

2
fd
1

2
=
_

1
__

2
fd
2
_
d
1
=
_

2
__

1
fd
1
_
d
2
Exercise 12. Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
) be n -nite measure
spaces, n 2. Let f : (
1
. . .
n
, F
1
. . . F
n
) [0, +] be a
non-negative, measurable map. Let be a permutation of N
n
, i.e. a
bijection from N
n
to itself.
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Tutorial 7: Fubini Theorem 13
1. For all
i=(1)

i
, dene:
J
1
()

=
_

(1)
f(, x)d
(1)
(x)
Explain why J
1
: (
i=(1)

i
,
i=(1)
F
i
) [0, +] is a well
dened, non-negative and measurable map.
2. Suppose J
k
: (
i{(1),...,(k)}

i
,
i{(1),...,(k)}
F
i
) [0, +]
is a non-negative, measurable map, for 1 k < n 2. Dene:
J
k+1
()

=
_

(k+1)
J
k
(, x)d
(k+1)
(x)
and show that:
J
k+1
: (
i{(1),...,(k+1)}

i
,
i{(1),...,(k+1)}
F
i
) [0, +]
is also well-dened, non-negative and measurable.
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Tutorial 7: Fubini Theorem 14
3. Propose a rigorous denition for the following notation:
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
Exercise 13. Further to ex. (12), Let (f
p
)
p1
be a sequence of non-
negative and measurable maps:
f
p
: (
1
. . .
n
, F
1
. . . F
n
) [0, +]
such that f
p
f. Dene similarly:
J
p
1
()

=
_

(1)
f
p
(, x)d
(1)
(x)
J
p
k+1
()

=
_

(k+1)
J
p
k
(, x)d
(k+1)
(x) , 1 k < n 2
1. Show that J
p
1
J
1
.
2. Show that if J
p
k
J
k
, then J
p
k+1
J
k+1
, 1 k < n 2.
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Tutorial 7: Fubini Theorem 15
3. Show that:
_

(n)
. . .
_

(1)
f
p
d
(1)
. . . d
(n)

_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
4. Show that the map : F
1
. . . F
n
[0, +], dened by:
(E) =
_

(n)
. . .
_

(1)
1
E
d
(1)
. . . d
(n)
is a measure on F
1
. . . F
n
.
5. Show that for all E F
1
. . . F
n
, we have:

1
. . .
n
(E) =
_

(n)
. . .
_

(1)
1
E
d
(1)
. . . d
(n)
6. Show the following:
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Tutorial 7: Fubini Theorem 16
Theorem 32 Let (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
) be n -nite mea-
sure spaces, with n 2. Let f : (
1
. . .
n
, F
1
. . .F
n
) [0, +]
be a non-negative and measurable map. let be a permutation of N
n
.
Then:
_

1
...
n
fd
1
. . .
n
=
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
Exercise 14. Let (, F, ) be a measure space. Dene:
L
1

= {f :

R , g L
1
R
(, F, ) , f = g -a.s.}
1. Show that if f L
1
, then |f| < +, -a.s.
2. Suppose there exists A , such that A F and A N for
some N F with (N) = 0. Show that 1
A
L
1
and 1
A
is not
measurable with respect to F and B(

R).
3. Explain why if f L
1
, the integrals
_
|f|d and
_
fd may not
be well dened.
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Tutorial 7: Fubini Theorem 17
4. Suppose that f : (, F) (

R, B(

R)) is a measurable map with

_
|f|d < +. Show that f L
1
.
5. Show that if f L
1
and f = f
1
-a.s. then f
1
L
1
.
6. Suppose that f L
1
and g
1
, g
2
L
1
R
(, F, ) are such that
f = g
1
-a.s. and f = g
2
-a.s.. Show that
_
g
1
d =
_
g
2
d.
7. Propose a denition of the integral
_
fd for f L
1
which
extends the integral dened on L
1
R
(, F, ).
Exercise 15. Further to ex. (14), Let (f
n
)
n1
be a sequence in L
1
,
and f, h L
1
, with f
n
f -a.s. and for all n 1, |f
n
| h -a.s..
1. Show the existence of N
1
F, (N
1
) = 0, such that for all
N
c
1
, f
n
() f(), and for all n 1, |f
n
()| h().
2. Show the existence of g
n
, g, h
1
L
1
R
(, F, ) and N
2
F,
(N
2
) = 0, such that for all N
c
2
, g() = f(), h() = h
1
(),
and for all n 1, g
n
() = f
n
().
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Tutorial 7: Fubini Theorem 18
3. Show the existence of N F, (N) = 0, such that for all
N
c
, g
n
() g(), and for all n 1, |g
n
()| h
1
().
4. Show that the Dominated Convergence Theorem can be applied
to g
n
1
N
c, g1
N
c and h
1
1
N
c.
5. Recall the denition of
_
|f
n
f|d when f, f
n
L
1
.
6. Show that
_
|f
n
f|d 0.
Exercise 16. Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -nite mea-
sure spaces. Let f be an element of L
1
R
(
1

2
, F
1
F
2
,
1

2
).
Let : (
2

1
, F
2
F
1
) (
1

2
, F
1
F
2
) be the map dened
by (
2
,
1
) = (
1
,
2
) for all (
2
,
1
)
2

1
.
1. Let A = {
1

1
:
_

2
|f(
1
, x)|d
2
(x) < +}. Show that
A F
1
and
1
(A
c
) = 0.
2. Show that f(
1
, .) L
1
R
(
2
, F
2
,
2
) for all
1
A.
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Tutorial 7: Fubini Theorem 19
3. Show that

I(
1
) =
_

2
f(
1
, x)d
2
(x) is well dened for all

1
A. Let I be an arbitrary extension of

I, on
1
.
4. Dene J = I1
A
. Show that:
J() = 1
A
()
_

2
f
+
(, x)d
2
(x) 1
A
()
_

2
f

(, x)d
2
(x)
5. Show that J is F
1
-measurable and R-valued.
6. Show that J L
1
R
(
1
, F
1
,
1
) and that J = I
1
-a.s.
7. Propose a denition for the integral:
_

1
__

2
f(x, y)d
2
(y)
_
d
1
(x)
8. Show that
_

1
(1
A
_

2
f
+
d
2
)d
1
=
_

2
f
+
d
1

2
.
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Tutorial 7: Fubini Theorem 20
9. Show that:
_

1
__

2
f(x, y)d
2
(y)
_
d
1
(x) =
_

2
fd
1

2
(1)
10. Show that if f L
1
C
(
1

2
, F
1
F
2
,
1

2
), then the map

1

_

2
f(
1
, y)d
2
(y) is
1
-almost surely equal to an element
of L
1
C
(
1
, F
1
,
1
), and furthermore that (1) is still valid.
11. Show that if f : (
1

2
, F
1
F
2
) [0, +] is non-negative
and measurable, then f is non-negative and measurable, and:
_

1
f d
2

1
=
_

2
fd
1

2
12. Show that if f L
1
C
(
1

2
, F
1
F
2
,
1

2
), then f is
an element of L
1
C
(
2

1
, F
2
F
1
,
2

1
), and:
_

1
f d
2

1
=
_

2
fd
1

2
www.probability.net
Tutorial 7: Fubini Theorem 21
13. Show that if f L
1
C
(
1

2
, F
1
F
2
,
1

2
), then the map

2

_

1
f(x,
2
)d
1
(x) is
2
-almost surely equal to an element
of L
1
C
(
2
, F
2
,
2
), and furthermore:
_

2
__

1
f(x, y)d
1
(x)
_
d
2
(y) =
_

2
fd
1

2
Theorem 33 Let (
1
, F
1
,
1
) and (
2
, F
2
,
2
) be two -nite mea-
sure spaces. Let f L
1
C
(
1

2
, F
1
F
2
,
1

2
). Then, the map:

1

_

2
f(
1
, x)d
2
(x)
is
1
-almost surely equal to an element of L
1
C
(
1
, F
1
,
1
) and:
_

1
__

2
f(x, y)d
2
(y)
_
d
1
(x) =
_

2
fd
1

2
www.probability.net
Tutorial 7: Fubini Theorem 22
Furthermore, the map:

2

_

1
f(x,
2
)d
1
(x)
is
2
-almost surely equal to an element of L
1
C
(
2
, F
2
,
2
) and:
_

2
__

1
f(x, y)d
1
(x)
_
d
2
(y) =
_

2
fd
1

2
Exercise 17. Let (
1
, F
1
,
1
),. . . ,(
n
, F
n
,
n
) be n -nite measure
spaces, n 2. Let f L
1
C
(
1
. . .
n
, F
1
. . . F
n
,
1
. . .
n
).
Let be a permutation of N
n
.
1. For all
i=(1)

i
, dene:
J
1
()

=
_

(1)
f(, x)d
(1)
(x)
Explain why J
1
is well dened and equal to an element of
L
1
C
(
i=(1)

i
,
i=(1)
F
i
,
i=(1)

i
),
i=(1)

i
-almost surely.
www.probability.net
Tutorial 7: Fubini Theorem 23
2. Suppose 1 k < n 2 and that

J
k
is well dened and equal to
an element of:
L
1
C
(
i{(1),...,(k)}

i
,
i{(1),...,(k)}
F
i
,
i{(1),...,(k)}

i
)

i{(1),...,(k)}

i
-almost surely. Dene:
J
k+1
()

=
_

(k+1)

J
k
(, x)d
(k+1)
(x)
What can you say about J
k+1
.
3. Show that:
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
is a well dened complex number. (Propose a denition for it).
4. Show that:
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
=
_

1
...
n
fd
1
. . .
n
www.probability.net
Tutorial 7: Fubini Theorem 24
www.probability.net
Solutions to Exercises 25
Solutions to Exercises
Exercise 1.
1. Let
1

1
. The
1
-section of
1

2
in
2
, is equal to

2
F
2
. So
1

1
. Suppose E

1
. Then E

1
F
2
.
F
2
being closed under complementation, (E

1
)
c
F
2
. How-
ever, given
2

2
,
2
(E

1
)
c
is equivalent to (
1
,
2
) E,
i.e. (
1
,
2
) E
c
. So (E

1
)
c
= (E
c
)

1
. Hence, we see that
(E
c
)

1
F
2
. It follows that E
c

1
, which is therefore closed
under complementation. Let (E
n
)
n1
be a sequence of elements
of

1
. Let E =
+
n=1
E
n
. For all n 1, (E
n
)

1
F
2
. F
2
be-
ing closed under countable union,
+
n=1
(E
n
)

1
F
2
. However,
given
2

2
,
2

+
n=1
(E
n
)

1
is equivalent to the existence
of n 1, such that (
1
,
2
) E
n
. Hence, it is equivalent to
(
1
,
2
)
+
n=1
E
n
= E. So
+
n=1
(E
n
)

1
= E

1
, and we see
that E

1
F
2
. It follows that E

1
, which is therefore
closed under countable union. We have proved that

1
is a
-algebra on
1

2
.
www.probability.net
Solutions to Exercises 26
2. Let
1

1
, and E = A B F
1
F
2
be a measurable
rectangle of F
1
and F
2
. Suppose
1
A. Then (
1
,
2
) E,
if and only if
2
B. So E

1
= B F
2
. Suppose
1
A.
Then for all
2

2
, (
1
,
2
) E. So E

1
= F
2
. In any
case, E

1
F
2
. It follows that E

1
. We have proved that
F
1
F
2

1
.
3. From F
1
F
2

1
and the fact that

1
is a -algebra on

2
, we conclude that F
1
F
2
= (F
1
F
2
)

1
. Hence,
for all
1

1
and E F
1
F
2
, E is an element of

1
, or
equivalently, E

1
F
2
.
4. Let f : (
1

2
, F
1
F
2
) (S, ) be a measurable map, where
(S, ) is a measurable space. Let
1

1
, and :
2
S be
the partial map f(
1
, ). Let B . Then {f B} is
an element of F
1
F
2
. Using 3. it follows that the
1
-section
{f B}

1
of {f B} is an element of F
2
. However, we have:
{f B}

1
= {
2

2
: (
1
,
2
) {f B}}
www.probability.net
Solutions to Exercises 27
= {
2

2
: f(
1
,
2
) B}
= {
2

2
: (
2
) B}
= { B}
Hence we see that { B} F
2
. This being true for all B ,
we conclude that is measurable. This shows that the map
f(
1
, ) is measurable.
5. Let : (
2

1
, F
2
F
1
) (
1

2
, F
1
F
2
) be dened by
(
2
,
1
) = (
1
,
2
). From theorem (28), in order to show that
is measurable, it is sucient to prove that each coordinate
mapping
1
: (
2
,
1
)
1
and
2
: (
2
,
1
)
2
is measur-
able. This is indeed the case, since for all A
1
F
1
we have

1
1
(A
1
) =
2
A
1
F
2
F
1
, and for all A
2
F
2
we have

1
2
(A
2
) = A
2

1
F
2
F
1
. So is measurable.
6. Let
2

2
. Let g : (
2

1
, F
2
F
1
) (S, ) be the map
dened by g = f . Having proved in 5. that is measurable,
since f is itself measurable, g is a measurable map. Applying 4.
www.probability.net
Solutions to Exercises 28
to g, it follows that the map g(
2
, ) is measurable with
respect to F
1
and . In other words, the map f(,
2
) is
measurable with respect to F
1
and . This completes the proof
of theorem (29).
Exercise 1
www.probability.net
Solutions to Exercises 29
Exercise 2.
1. There is an obvious bijection between E
1
E
2
and
iI

i
,
dened by (
1
,
2
)(i
1
) =
1
, and (
1
,
2
)(i) =
2
(i) for
i = i
1
. The two sets E
1
E
2
and
iI

i
can therefore identied,
and f can be viewed as a map dened on E
1
E
2
.
2. Having identied E
1
E
2
and
iI

i
, using exercise (10) of
Tutorial 6 for the partition I = {i
1
} (I \ {i
1
}), we obtain

iI
F
i
= E
1
E
2
. So f : (E
1
E
2
, E
1
E
2
) (E, B(E)) is
measurable.
3. From 2. and theorem (29), given
1
E
1
, the map f(
1
, )
dened on E
2
, is measurable with respect to E
2
and B(E). In
other words, given
i
1

i
1
, the map f(
i
1
, ) dened on

iI\{i
1
}

i
, is measurable w.r. to
iI\{i
1
}
F
i
and B(E).
Exercise 2
www.probability.net
Solutions to Exercises 30
Exercise 3.
1. Suppose there exists a sequence (
n
)
n1
of pairwise disjoint
elements of F, such that =
+
n=1

n
and (
n
) < + for all
n 1. Dene A
n
=
n
k=1

k
, for all n 1. Then:
(A
n
) =
n

k=1
(
k
) < +
and furthermore, A
n
. So (, F, ) is -nite. Conversely,
suppose (, F, ) is -nite. Let (A
n
)
n1
be a sequence in F,
such that A
n
and (A
n
) < + for all n 1. Dene

1
= A
1
, and
n
= A
n
\A
n1
for all n 2. Then, (
n
)
n1
is a
sequence of pairwise disjoint elements of F. Since
n
A
n
for
all n 1, we have (
n
) (A
n
) < +. Given , since
=
+
n=1
A
n
, there exists n 1 such that A
n
. Let p be the
smallest of such n. Then A
p
\ A
p1
if p 2, or A
1
. In
any case,
p
. Hence, we see that =
+
n=1

n
and nally
=
+
n=1

n
. We conclude that (, F, ) is -nite, if and only
www.probability.net
Solutions to Exercises 31
if there exists a sequence (
n
)
n1
of pairwise disjoint elements
of F, such that =
+
n=1

n
and (
n
) < + for all n 1.
2. Suppose (, F, ) is nite. Then () < +. For all A F,
since A , (A) () < +. So takes values in R
+
.
3. Suppose (, F, ) is nite. Then () < +. Dene
n
=
for all n 1. Then (
n
)
n1
is a sequence in F such that
n

and (
n
) < + for all n 1. So (, F, ) is -nite.
4. Take
n
=] n, n] for all n 1. Then,
n

n+1
and we
have R =
+
n=1

n
. So
n
R. Moreover, by denition of
the Stieltjes measure (20), dF(
n
) = F(n) F(n) R
+
. In
particular, dF(
n
) < + for all n 1. We conclude that
(R, B(R), dF) is a -nite measure space.
Exercise 3
www.probability.net
Solutions to Exercises 32
Exercise 4.
1. Let E F
1
F
2
. The characteristic function 1
E
is non-negative
and measurable with respect to F
1
F
2
. From theorem (29), for
all
1

1
, the partial function x 1
E
(
1
, x) is measurable
with respect to F
2
. It is also non-negative. It follows that
the integral
_

2
1
E
(
1
, x)d
2
(x) is well-dened, for all
1

1
.
Hence, we see that
E
is a well-dened map on
1
.
2. Let E = AB F
1
F
2
be a measurable rectangle of F
1
and
F
2
. For all
1

1
, we have:

E
(
1
) =
_

2
1
A
(
1
)1
B
(x)d
2
(x) =
2
(B)1
A
(
1
)
Since A F
1
, the map 1
A
is F
1
-measurable, and consequently

E
=
2
(B)1
A
is F
1
-measurable. Hence, we see that E D.
We have proved that F
1
F
2
D.
3. Suppose
2
is a nite measure. Let A, B D with A B. For
www.probability.net
Solutions to Exercises 33
all
1

1
, from 1
B
= 1
A
+ 1
B\A
, we obtain:
_

2
1
B
(
1
, x)d
2
(x) =
_

2
1
A
(
1
, x)d
2
(x)+
_

2
1
B\A
(
1
, x)d
2
(x)
i.e.
B
(
1
) =
A
(
1
) +
B\A
(
1
).
2
being a nite measure,
all
E
s take values in R
+
. Hence, it is legitimate to write:

B\A
=
B

A
Since A, B D, both
A
and
B
are F
1
-measurable. We con-
clude that
B\A
is F
1
-measurable, and B \ A D. We have
proved that if A, B D with A B, then B \ A D.
4. Let (E
n
)
n1
be a sequence in F
1
F
2
with E
n
E. In par-
ticular, E
n
E
n+1
for all n 1, and therefore 1
E
n
1
E
n+1
.
Moreover, E =
+
n=1
E
n
. Let
1

2
. If E, there
exists N 1 such that E
N
. For all n N, we have
1
E
n
() = 1 = 1
E
(). If E, then 1
E
n
() = 0 = 1
E
(),
for all n 1. In any case, 1
E
n
() 1
E
(), and consequently
www.probability.net
Solutions to Exercises 34
1
E
n
1
E
. Given
1

1
, we also have 1
E
n
(
1
, .) 1
E
(
1
, .).
From the monotone convergence theorem (19), we obtain:
_

2
1
E
n
(
1
, x)d
2
(x)
_

2
1
E
(
1
, x)d
2
(x)
i.e.
E
n
(
1
)
E
(
1
). We conclude that
E
n

E
.
5. Suppose that
2
is a nite measure. From 2., F
1
F
2
D,
and in particular
1

2
D. From 3., whenever A, B D
are such that A B, we have B \ A D. Let (E
n
)
n1
be a
sequence of elements of D, such that E
n
E. For all n 1,

E
n
is an F
1
-measurable map. Moreover from 4.,
E
n

E
.
In particular,
E
= sup
n1

E
n
and we conclude that
E
is
measurable with respect to F
1
. So E D. We have proved that
D is a Dynkin system on
1

2
.
6. Suppose
2
is a nite measure. From 5., D is a Dynkin system on

2
. From 2., we have F
1
F
2
D. The set of measurable
rectangles F
1
F
2
being closed under nite intersection, from
www.probability.net
Solutions to Exercises 35
the Dynkin system theorem (1), we see that D also contains the
-algebra generated by F
1
F
2
, i.e.
F
1
F
2

= (F
1
F
2
) D
We conclude that for all E F
1
F
2
, E is an element of D, or
equivalently, the map
E
: (
1
, F
1
) (

R, B(

R)) is measurable.
7. For all n 1,
n
2
(
2
) =
2
(
n
2
) < +. So
n
2
is a nite
measure. It follows from 6. that for all E F
1
F
2
, the map

n
E
dened by:

n
E
(
1
)

=
_

2
1
E
(
1
, x)d
n
2
(x)
is measurable with respect to F
1
. From denition (45), we have:

n
E
(
1
) =
_

2
1

n
2
(x)1
E
(
1
, x)d
2
(x)
Since
n
2

2
, we have 1

n
2
1

2
= 1 and consequently,
1

n
2
(.)1
E
(
1
, .) 1
E
(
1
, .). From the monotone convergence
www.probability.net
Solutions to Exercises 36
theorem (19), we obtain:
_

2
1

n
2
(x)1
E
(
1
, x)d
2
(x)
_

2
1
E
(
1
, x)d
2
(x)
i.e.
n
E
(
1
)
E
(
1
), for all
1

1
. So
n
E

E
.
8. From 7., each
n
E
is F
1
-measurable and
E
= sup
n1

n
E
. So

E
is F
1
-measurable, for all E F
1
F
2
.
9. Let s =

n
i=1

i
1
E
i
be a simple function on (
1

2
, F
1
F
2
).
From theorem (29), the map x s(
1
, x) is F
2
-measurable, for
all
1

1
. It is also non-negative. It follows that the integral
_

2
s(
1
, x)d
2
(x) is well-dened, for all
1

1
. Moreover:
_

2
s(
1
, x)d
2
(x) =
n

i=1

i
_

2
1
E
i
(
1
, x)d
2
(x)
Since E
i
F
1
F
2
, from 8., each
_

2
1
E
i
(, x)d
2
(x) is
F
1
-measurable. We conclude that
_

2
s(, x)d
2
(x) is also
www.probability.net
Solutions to Exercises 37
F
1
-measurable.
10. Let f : (
1

2
, F
1
F
2
) [0, +] be a non-negative and
measurable map. From theorem (18), there exists a sequence
(s
n
)
n1
of simple functions on (
1

2
, F
1
F
2
) such that
s
n
f. In particular for all
1
, s
n
(, .) f(, .). From the
monotone convergence theorem (19), we obtain:
_

2
s
n
(, x)d
2
(x)
_

2
f(, x)d
2
(x)
However, from 9., each
_

2
s
n
(, x)d
2
(x) is F
1
-measurable.
We conclude that
_

2
f(, x)d
2
(x) is also measurable with
respect to F
1
and B(

R). This proves theorem (30).

Exercise 4
www.probability.net
Solutions to Exercises 38
Exercise 5. Let f : (
iI

i
,
iI
F
i
) [0, +] be a non-negative
and measurable map. Dene E
1
=
iI\{i
0
}

i
and E
2
=
i
0
. Let
E
1
=
iI\{i
0
}
F
i
and E
2
= F
i
0
. Using exercise (10) of Tutorial 6,
having identied E
1
E
2
and
iI

i
, we have:

iI
F
i
=
_

iI\{i
0
}
F
i
_
F
i
0
i.e.
iI
F
i
= E
1
E
2
. It follows that the map f, viewed as a map
dened on E
1
E
2
, is measurable with respect to E
1
E
2
.
0
being
a -nite measure on (E
2
, E
2
), from theorem (30), we see that:

_

i
0
f(, x)d
0
(x)
is measurable with respect to E
1
and B(

R). In other words, it is

measurable with respect to
iI\{i
0
}
F
i
and B(

R). Exercise 5
www.probability.net
Solutions to Exercises 39
Exercise 6.
1. Let E F
1
F
2
. The characteristic function 1
E
is measurable
with respect to F
1
F
2
and non-negative.
2
being a -nite
measure on (
2
, F
2
), applying theorem (30), we see that:
x
_

2
1
E
(x, y)d
2
(y)
is measurable with respect to F
1
and B(

R). It is also non-

negative. Hence, the integral:

1

2
(E)

=
_

1
__

2
1
E
(x, y)d
2
(y)
_
d
1
(x)
is well-dened, for all E F
1
F
2
. So
1

2
is a well-dened
map on F
1
F
2
, with values in [0, +].
2. Suppose E = . Then 1
E
= 0 and
1

2
(E) = 0. Let (E
n
)
n1
be a sequence of pairwise disjoint elements of F
1
F
2
. Let
www.probability.net
Solutions to Exercises 40
E =
+
n=1
E
n
. Then, 1
E
=

+
n=1
1
E
n
. From the monotone
convergence theorem (19), for all x
1
, we have:
_

2
1
E
(x, y)d
2
(y) =
+

n=1
_

2
1
E
n
(x, y)d
2
(y)
Applying the monotone convergence theorem once more:

1

2
(E) =
+

n=1
_

1
__

2
1
E
n
(x, y)d
2
(y)
_
d
1
(x)
i.e.

1

2
(E) =
+

n=1

1

2
(E
n
)
We have proved that
1

2
is a measure on F
1
F
2
.
3. Let E = AB F
1
F
2
be a measurable rectangle of F
1
and
www.probability.net
Solutions to Exercises 41
F
2
. For all x
1
, we have:
_

2
1
E
(x, y)d
2
(y) =
_

2
1
A
(x)1
B
(y)d
2
(y) =
2
(B)1
A
(x)
It follows that:

2
(E) =
_

2
(B)1
A
(x)d
1
(x) =
1
(A)
2
(B)
Exercise 6
www.probability.net
Solutions to Exercises 42
Exercise 7.
1. By assumption, if E = AB F
1
F
2
is a measurable rectangle
of F
1
and F
2
, then
1

2
(E) =
1
(A)
2
(B) = (E), i.e.

1

2
and coincide on F
1
F
2
. Let E F
1
F
2
. Then
E (
n
1

n
2
) is still a measurable rectangle, i.e. an element of
F
1
F
2
. Hence
1

2
(E (
n
1

n
2
)) = (E (
n
1

n
2
)).
It follows that E D
n
. So F
1
F
2
D
n
.
2.
1

2
F
1
F
2
D
n
. Let E, F D
n
be such that E F.
Then F = E (F \ E), and consequently:
(F(
n
1

n
2
)) = (E(
n
1

n
2
))+((F\E)(
n
1

n
2
)) (2)
with a similar expression for
1

2
. Since E and F are elements
of D
n
, we also have:
(F (
n
1

n
2
)) =
1

2
(F (
n
1

n
2
))
and:
(E (
n
1

n
2
)) =
1

2
(E (
n
1

n
2
))
www.probability.net
Solutions to Exercises 43
All the terms involved being nite, it is legitimate to re-arrange
and simplify equation (2) and its counterpart for
1

2
, to
obtain:
((F \ E) (
n
1

n
2
)) =
1

2
((F \ E) (
n
1

n
2
))
Hence, we see that F \ E D
n
. Let (E
p
)
p1
be a sequence of
elements of D
n
, such that E
p
E. For all p 1, we have:
(E
p
(
n
1

n
2
)) =
1

2
(E
p
(
n
1

n
2
))
From theorem (7), taking the limit as p +, we obtain:
(E (
n
1

n
2
)) =
1

2
(E (
n
1

n
2
))
It follows that E D
n
. We have proved that D
n
is a Dynkin
system on
1

2
.
3. From 1., F
1
F
2
D
n
. From 2., D
n
is in fact a Dynkin system
on
1

2
. The set of measurable rectangles F
1
F
2
being
closed under nite intersection, from the Dynkin system theo-
rem (1), we conclude that D
n
actually contains the -algebra
www.probability.net
Solutions to Exercises 44
generated by F
1
F
2
, i.e. F
1
F
2
= (F
1
F
2
) D
n
. Hence,
for all E F
1
F
2
, E is an element of D
n
, or equivalently:
(E (
n
1

n
2
)) =
1

2
(E (
n
1

n
2
))
Since E (
n
1

n
2
) E, using theorem (7) once more, taking
the limit as n +, we obtain (E) =
1

2
(E). This being
true for all E F
1
F
2
, we have proved that =
1

2
.
4. For all n 1, let E
n
=
n
1

n
2
. Then E
n

1

2
, and
furthermore,
1

2
(E
n
) =
1
(
n
1
)
2
(
n
2
) < +. We conclude
that (
1

2
, F
1
F
2
,
1

2
) is a -nite measure space.
5. For all E F
1
F
2
, dene:
(E)

=
_

2
__

1
1
E
(x, y)d
1
(x)
_
d
2
(y)
Note that this is the same denition as that of
1

2
(E),
except that the order of integration has been changed. Similarly
to exercise (6), using the monotone convergence theorem (19)
www.probability.net
Solutions to Exercises 45
twice on innite series, we see that is a measure on F
1
F
2
.
Moreover, for all E = AB F
1
F
2
measurable rectangle of
F
1
and F
2
, we have:
(E) =
_

1
(A)1
B
(y)d
2
(y) =
1
(A)
2
(B)
So is another measure on F
1
F
2
, coinciding with
1

2
on
the set of measurable rectangles F
1
F
2
. From 3., we see that
=
1

2
. We have proved that for all E F
1
F
2
:

1

2
(E) =
_

2
__

1
1
E
(x, y)d
1
(x)
_
d
2
(y)
Hence, as far as dening
1

2
is concerned, the order of
integration is irrelevant.
Exercise 7
www.probability.net
Solutions to Exercises 46
Exercise 8.
1. (E
1
, E
1
,
1
) and (E
2
, E
2
,
2
) being two -nite measure spaces,

1

2
is well-dened as a measure on (E
1
E
2
, E
1
E
2
) (ex-
ercise (6)). From exercise (7), such measure is itself -nite.
Having identied E
1
E
2
with
1
. . .
n
, using exercise (10)
of Tutorial 6, we have:
F
1
. . . F
n
= F
i
0
(
i=i
0
F
i
) = E
1
E
2
So
1

2
is a -nite measure on (
1
. . .
n
, F
1
. . . F
n
).
Let A = A
1
. . . A
n
be a measurable rectangle of F
1
, . . . , F
n
.
Identifying A with A
i
0
(
i=i
0
A
i
), we have:

1

2
(A) =
1
(A
i
0
)
2
(
i=i
0
A
i
)
Since by assumption,
2
(
i=i
0
A
i
) =
i=i
0

i
(A
i
), we conclude:

1

2
(A) =
1
(A
1
) . . .
n
(A
n
)
www.probability.net
Solutions to Exercises 47
2. If n = 2, there exists a measure on F
1
F
2
, such that for all
measurable rectangle A
1
A
2
F
1
F
2
, we have:
(A
1
A
2
) =
1
(A
1
)
2
(A
2
)
In fact, from exercise (7), such measure is unique, -nite and
equal to
1

2
. Suppose the following induction hypothesis is
true for n 2:
Given n -nite measure spaces (
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
),
there exists a measure on (
1
. . .
n
, F
1
. . . F
n
), such
that for all measurable rectangles A
1
. . . A
n
, we have:
(A
1
. . . A
n
) =
1
(A
1
) . . .
n
(A
n
)
Moreover, such measure is -nite.
Let us prove this induction hypothesis for n+1. Hence, suppose
we have n + 1 -nite measure spaces. Take E
1
=
1
and
E
2
=
2
. . .
n+1
. Let E
1
= F
1
and E
2
= F
2
. . . F
n+1
.
Put
1
=
1
. From our induction hypothesis, there exists a
-nite measure
2
on (E
2
, E
2
), such that for all measurable
www.probability.net
Solutions to Exercises 48
rectangles A
2
. . . A
n+1
, we have:

2
(A
2
. . . A
n+1
) =
2
(A
2
) . . .
n+1
(A
n+1
)
All the conditions of question 1. are met: we conclude that

2
is a -nite measure on (
1
. . .
n+1
, F
1
. . . F
n+1
)
such that for all measurable rectangles A = A
1
. . . A
n+1
:

1

2
(A) =
1
(A
1
) . . .
n+1
(A
n+1
)
This proves our induction hypothesis for n + 1.
We have proved that for all n 2, and -nite measure spaces
(
1
, F
1
,
1
), . . . , (
n
, F
n
,
n
), there exists a -nite measure
on (
1
. . .
n
, F
1
. . . F
n
), such that for all measur-
able rectangles A = A
1
. . . A
n
, (A) =
1
(A
1
) . . .
n
(A
n
).
Note that this is a little bit stronger ( is -nite !), than what
was required by the actual wording of the question. However
the -nite property was required to carry out the induction
argument, based on exercises (6) and (7).
www.probability.net
Solutions to Exercises 49
3. Let and be two measures on (
1
. . .
n
, F
1
. . . F
n
),
such that for all measurable rectangles A = A
1
. . . A
n
:
(A) = (A) =
1
(A
1
) . . .
n
(A
n
)
For all i = 1, . . . , n, let (
p
i
)
p1
be a sequence of elements of
F
i
, such that
p
i

i
, and
i
(
p
i
) < + for all p 1. Dene
E
p
=
p
1
. . .
p
n
. Then E
p

1
. . .
n
, and for all p 1,
(E
p
) = (E
p
) < + . Dene:
D
p

= {A F
1
. . . F
n
: (A E
p
) = (A E
p
)}
Then D
p
is a Dynkin system on
1
. . .
n
. Moreover, by as-
sumption, F
1
. . . F
n
D
p
. The set of measurable rectangles
F
1
. . . F
n
being closed under nite intersection, from the
Dynkin system theorem (1), we see that D
p
actually contains
the -algebra generated by F
1
. . . F
n
, i.e.
F
1
. . . F
n

= (F
1
. . . F
n
) D
p
www.probability.net
Solutions to Exercises 50
It follows that for all A F
1
. . . F
n
, we have:
(A E
p
) = (A E
p
)
Using theorem (7), taking the limit as p +, we obtain
(A) = (A). This being true for all A F
1
. . . F
n
, we
conclude that = . This proves the uniqueness of the measure
on (
1
. . .
n
, F
1
. . . F
n
), denoted
1
. . .
n
, such
that (A) =
1
(A
1
) . . .
n
(A
n
), for all measurable rectangles
A = A
1
. . . A
n
.
4. The fact that =
1
. . .
n
is -nite was actually proved as
part of the induction argument of 2. However, it is very easy to
justify that point directly: if (
p
i
)
p1
is a sequence of elements
of F
i
such that
p
i

i
and (
p
i
) < + for all p 1, dening
E
p
=
p
1
. . .
p
n
, we have E
p

1
. . .
n
, and furthermore:
(E
p
) =
1
(
p
1
) . . .
n
(
p
n
) < +
So
1
. . .
n
is indeed a -nite measure.
www.probability.net
Solutions to Exercises 51
5.
i
0
(
i=i
0

i
) is a measure on (
1
. . .
n
, F
1
. . . F
n
)
which coincides with
1
. . .
n
on the measurable rectangles.
From the uniqueness property proved in 3., the two measures
are therefore equal, i.e.
i
0
(
i=i
0

i
) =
1
. . .
n
.
Exercise 8
www.probability.net
Solutions to Exercises 52
Exercise 9. Showing that denition (63) is legitimate amounts to
proving the existence and uniqueness of a measure on (R
n
, B(R
n
)),
such that for all a
i
b
i
, i N
n
, we have:
([a
1
, b
1
] . . . [a
n
, b
n
]) =
n

i=1
(b
i
a
i
) (3)
For i N
n
, let (
i
, F
i
,
i
) be the measure space (R, B(R), dx), where
dx is the Lebesgue measure on (R, B(R)). Each (
i
, F
i
,
i
) being -
nite, from denition (62), there exists a measure =
1
. . .
n
on (R
n
, B(R) . . . B(R)), such that for all measurable rectangles
A = A
1
. . . A
n
, we have:
(A) = dx(A
1
) . . . dx(A
n
) (4)
From exercise (18) of Tutorial 6, we have B(R
n
) = B(R). . . B(R).
So is in fact a measure on (R
n
, B(R
n
)). Moreover, taking A
i
of the
form A
i
= [a
i
, b
i
] for a
i
b
i
, we see from (4) that equation (3) is
satised. Hence, we have proved the existence of . Suppose that
www.probability.net
Solutions to Exercises 53
is another measure on (R
n
, B(R
n
)) satisfying the property of deni-
tion (63). Let C = {[a
1
, b
1
] . . . [a
n
, b
n
] : a
i
b
i
, i N
n
}. Then C
is closed under nite intersection. Given p 1, let E
p
= [p, p]
n
, and
dene:
D
p

= {A B(R
n
) : (A E
p
) = (A E
p
)}
Then D
p
is a Dynkin system on R
n
, and we have C D
p
. From
the Dynkin system theorem (1), we see that D
p
actually contains the
-algebra generated by C, i.e. (C) D
p
. However, we claim that
(C) = B(R
n
). Indeed, from:
C B(R) . . . B(R) B(R) . . . B(R) = B(R
n
)
we obtain (C) B(R
n
). Furthermore, if we dene:
E

= {[a, b] : a b, a, b R}
then every open set in R can be expressed as a countable union of
elements of E (see the proof of theorem (6)), and it is easy to check
www.probability.net
Solutions to Exercises 54
that B(R) = (E). From theorem (26), we have:
B(R
n
) = B(R) . . . B(R) = (E . . . E)
Since any element of E . . . E is of the form A
1
. . . A
n
where
each A
i
is either equal to R =
+
p=1
[p, p], or is an element of E,
any element of E . . . E can in fact be expressed as a countable
union of elements of C. Hence, E . . . E (C) and consequently,
B(R
n
) = (E . . . E) (C). We conclude that B(R
n
) = (C)
1
,
and nally B(R
n
) D
p
. It follows that for all A B(R
n
), we
have (A E
p
) = (A E
p
). Using theorem (7), taking the limit as
p +, we obtain (A) = (A). This being true for all A B(R
n
),
we see that = . We have proved the uniqueness of .
Exercise 9
1
We proved something very similar in exercise (7) of Tutorial 6.
www.probability.net
Solutions to Exercises 55
Exercise 10.
1. For all p 1, dene E
p
= [p, p]
n
. Then, E
p
R
n
, and further-
more dx
n
(E
p
) = (2p)
n
< +, for all p 1. So dx
n
is a -nite
measure on (R
n
, B(R
n
)).
2. Let a
i
b
i
for i N
n+p
, and A = [a
1
, b
1
] . . . [a
n+p
, b
n+p
].
Then, dx
n
dx
p
(A) = dx
n+p
(A) =
n+p
i=1
(b
i
a
i
). From the
uniqueness property of denition (63), we conclude that:
dx
n+p
= dx
n
dx
p
Exercise 10
www.probability.net
Solutions to Exercises 56
Exercise 11.
1. From exercise (6) and exercise (7), for all E F
1
F
2
, we have:

1

2
(E) =
_

1
__

2
1
E
(x, y)d
2
(y)
_
d
1
(x)
together with:

1

2
(E) =
_

2
__

1
1
E
(x, y)d
1
(x)
_
d
2
(y)
Hence:
_

2
1
E
d
1

2
=
_

1
__

2
1
E
d
2
_
d
1
=
_

2
__

1
1
E
d
1
_
d
2
By linearity, it follows that if s =

n
i=1

i
1
E
i
is a simple func-
tion on (
1

2
, F
1
F
2
), we have:
_

2
sd
1

2
=
_

1
__

2
sd
2
_
d
1
=
_

2
__

1
sd
1
_
d
2
www.probability.net
Solutions to Exercises 57
2. Let f : (
1

2
, F
1
F
2
) [0, +] be a non-negative and
measurable map. From theorem (18), there exists a sequence
(s
n
)
n1
of simple functions on (
1

2
, F
1
F
2
), such that
s
n
f. In particular, for all x
1
, s
n
(x, .) f(x, .). From the
monotone convergence theorem (19), for all x
1
, we have:
_

2
s
n
(x, y)d
2
(y)
_

2
f(x, y)d
2
(y)
and applying theorem (19) once more, we obtain:
_

1
__

2
s
n
(x, y)d
2
(y)
_
d
1
(x)
_

1
__

2
f(x, y)d
2
(y)
_
d
1
(x)
and similarly:
_

2
__

1
s
n
(x, y)d
1
(x)
_
d
2
(y)
_

2
__

1
f(x, y)d
1
(x)
_
d
2
(y)
www.probability.net
Solutions to Exercises 58
However, from s
n
f and the monotone convergence theorem:
_

2
s
n
d
1

2

_

2
fd
1

2
Using 1., for all n 1, we have:
_

2
s
n
d
1

2
=
_

1
__

2
s
n
d
2
_
d
1
=
_

2
__

1
s
n
d
1
_
d
2
Hence, taking the limit as n +, we obtain:
_

2
fd
1

2
=
_

1
__

2
fd
2
_
d
1
=
_

2
__

1
fd
1
_
d
2
This proves theorem (31).
Exercise 11
www.probability.net
Solutions to Exercises 59
Exercise 12.
1. Let f : (
1
. . .
n
, F
1
. . . F
n
) [0, +] be a non-
negative and measurable map. Since
(1)
is a -nite measure,
from exercise (5), the map:
J
1
:
_

(1)
f(, x)d
(1)
(x)
is well-dened on
i=(1)

i
, and measurable w.r. to
i=(1)
F
i
.
2. If J
k
: (
i{(1),...,(k)}

i
,
i{(1),...,(k)}
F
i
) [0, +] is non-
negative and measurable, for 1 k n 2, from exercise (5):
J
k+1
:
_

(k+1)
J
k
(, x)d
(k+1)
(x)
is also well-dened on
i{(1),...,(k+1)}

i
, and measurable with
respect to
i{(1),...,(k+1)}
F
i
.
www.probability.net
Solutions to Exercises 60
3. The integral:
I =
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
can be rigorously dened as:
I

=
_

(n)
J
n1
d
(n)
where J
n1
is given by 1. and 2.
Exercise 12
www.probability.net
Solutions to Exercises 61
Exercise 13.
1. Since f
p
f, for all
i=(1)

i
, we have f
p
(, .) f(, .).
From the monotone convergence theorem (19), we obtain:
_

(1)
f
p
(, x)d
(1)
(x)
_

(1)
f(, x)d
(1)
(x)
i.e. J
p
1
J
1
.
2. Suppose J
p
k
J
k
, 1 k n2. For all
i{(1),...,(k+1)}

i
,
we have J
p
k
(, .) J
k
(, .). From the monotone convergence
theorem (19), we have:
_

(k+1)
J
p
k
(, x)d
(k+1)
(x)
_

(k+1)
J
k
(, x)d
(k+1)
(x)
i.e. J
p
k+1
J
k+1
.
www.probability.net
Solutions to Exercises 62
3. From 2., J
p
n1
J
n1
. Again from theorem (19):
_

(n)
J
p
n1
d
(n)

_

(n)
J
n1
d
(n)
In other words:
_

(n)
. . .
_

(1)
f
p
d
(1)
. . . d
(n)

_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
4. For all E F
1
. . . F
n
, we have:
(E)

=
_

(n)
. . .
_

(1)
1
E
d
(1)
. . . d
(n)
So () = 0. If (E
p
)
p1
is a sequence of pairwise disjoint ele-
ments of F
1
. . . F
n
, and E =
+
i=1
E
i
, dening for p 1,
f
p
=

p
i=1
1
E
i
, we have f
p
1
E
. It follows from 3.:
_

(n)
. . .
_

(1)
f
p
d
(1)
. . . d
(n)
(E)
www.probability.net
Solutions to Exercises 63
By linearity, we obtain

p
i=1
(E
i
) (E), or equivalently:
(E) =
+

i=1
(E
i
)
We have proved that is indeed a measure on F
1
. . . F
n
.
5. Let E = A
1
. . . A
n
be a measurable rectangle of (F
i
)
iN
n
.
Then:
(E) =
_

(n)
. . .
_

(1)
1
E
d
(1)
. . . d
(n)
=
1
(A
1
) . . .
n
(A
n
)
From the uniqueness property of denition (62), it follows that
coincide with the product measure
1
. . .
n
. Hence, for
all E F
1
. . . F
n
, we have:

1
. . .
n
(E) =
_

(n)
. . .
_

(1)
1
E
d
(1)
. . . d
(n)
www.probability.net
Solutions to Exercises 64
6. From 5., for all E F
1
. . . F
n
, we have:
_

1
...
n
1
E
d
1
. . .
n
=
_

(n)
. . .
_

(1)
1
E
d
(1)
. . . d
(n)
If s is a simple function on (
1
. . .
n
, F
1
. . . F
n
), by
linearity, we obtain:
_

1
...
n
sd
1
. . .
n
=
_

(n)
. . .
_

(1)
sd
(1)
. . . d
(n)
Since any f : (
1
. . .
n
, F
1
. . . F
n
) [0, +] non-
negative and measurable, can be approximated from below by
simple functions (theorem (18)), we conclude from the monotone
convergence theorem (19) and question 3., that:
_

1
...
n
fd
1
. . .
n
=
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
This proves theorem (32).
Exercise 13
www.probability.net
Solutions to Exercises 65
Exercise 14.
1. Suppose f L
1
. There exists g L
1
R
(, F, ) such that f = g,
-a.s. Hence, there exists N F with (N) = 0, such that
f() = g() for all N
c
. However, g has values in R. So
|f()| < + for all N
c
. It follows that |f| < + -a.s.
2. We assume the existence of A , such that A F and A N,
for some N F with (N) = 0. Since A F, 1
A
is not
measurable. However, for all N
c
, we have 1
A
() = 0. So
1
A
= 0, -a.s. Since 0 L
1
R
(, F, ), we see that 1
A
L
1
.
3. Suppose f L
1
. As indicated in 2., we have no guarantee that
f be a measurable map. Hence, the integrals
_
|f|d and
_
fd
may not be meaningful.
4. Let f : (, F) (

R, B(

R)) be a measurable map, such that

_
|f|d < +. In particular, we have ({|f| = +}) = 0
(see exercise (7) of Tutorial 5). Dene g = f1
{|f|<+}
. Then,
www.probability.net
Solutions to Exercises 66
f() = g() for all {|f| < +}. So f = g -a.s. However,
g is measurable, with values in R, and such that:
_
|g|d =
_
|f|d < +
So g L
1
R
(, F, ), and nally f L
1
.
5. Suppose f L
1
and f = f
1
-a.s. for some map f
1
:

R.
There exists g L
1
R
(, F, ), such that f = g -a.s. There
exists N F with (N) = 0, such that f() = g() for all
N
c
. Also, there exists N
1
F with (N
1
) = 0, such that
f() = f
1
() for all N
c
1
. It follows that f
1
() = g() for
all (N N
1
)
c
. Since (N N
1
) (N) + (N
1
) = 0, we
see that f
1
= g -a.s. We conclude that f
1
L
1
.
6. Let f L
1
. Let g
1
, g
2
L
1
R
(, F, ) with f = g
1
-a.s. and
f = g
2
-a.s. There exist N
1
, N
2
F with (N
1
) = (N
2
) = 0,
such that f() = g
1
() for all N
c
1
, and f() = g
2
() for
www.probability.net
Solutions to Exercises 67
all N
c
2
. So g
1
() = g
2
() for all (N
1
N
2
)
c
, and
(N
1
N
2
) = 0. So g
1
= g
2
-a.s. and nally
_
g
1
d =
_
g
2
d.
7. For all f L
1
, we dene:
_
fd

=
_
gd (5)
where g is any element of L
1
R
(, F, ) such that f = g -a.s.
From 6., if g
1
, g
2
L
1
R
(, F, ) are such that f = g
1
-a.s. and
f = g
2
-a.s., then
_
g
1
d =
_
g
2
d. So
_
fd is well-dened.
If f L
1
L
1
R
(, F, ), then
_
fd as dened in (5) coincide
with
_
fd, in its usual sense.
Exercise 14
www.probability.net
Solutions to Exercises 68
Exercise 15.
1. By assumption, f
n
f -a.s. There exists N F, (N) = 0,
such that f
n
() f() for all N
c
. Also, for all n 1,
|f
n
| h -a.s. There exists M
n
F with (M
n
) = 0 such that
|f
n
()| h() for all M
c
n
. Let N
1
= N (
n1
M
n
). Then
N
1
F, and:
(N
1
) (N) +
+

n=1
(M
n
) = 0
So (N
1
) = 0. Moreover, for all N
c
1
, we have f
n
() f()
and for all n 1, |f
n
()| h().
2. Since f L
1
, there exists g L
1
R
(, F, ) such that f = g -
a.s. There exists N F with (N) = 0, such that f() = g()
for all N
c
. Similarly, there exists h
1
L
1
R
(, F, ), and a
set M

1
F with (M

1
) = 0, such that h() = h
1
() for all
(M

1
)
c
. For all n 1, there exist g
n
L
1
R
(, F, ) and M
n
F
www.probability.net
Solutions to Exercises 69
with (M
n
) = 0 such that g
n
() = f
n
() for all M
c
n
. Let
N
2
= NM

1
(
n1
M
n
). Then N
2
F, (N
2
) = 0, and for all
N
c
2
, we have g() = f(), h
1
() = h() and g
n
() = f
n
()
for all n 1.
3. Let N = N
1
N
2
where N
1
and N
2
are given by 1. and 2.
respectively. Then N F, (N) = 0, and for all N
c
, we
have g
n
() g() and |g
n
()| h
1
() for all n 1.
4. (g
n
1
N
c)
n1
is a sequence of C-valued (in fact R-valued) mea-
surable maps, such that g
n
1
N
c
() g1
N
c
() for all .
Moreover, h
1
1
N
c is an element of L
1
R
(, F, ) such that for all
n 1, |g
n
1
N
c| h
1
1
N
c. Hence, we can apply the dominated
convergence theorem (23).
5. When f, f
n
L
1
, we have |f
n
f| L
1
, and
_
|f
n
f|d is
dened as
_
kd where k is any element of L
1
R
(, F, ) such
that |f
n
f| = k -a.s. In fact, |g
n
g| L
1
R
(, F, ) and
|f
n
f| = |g
n
g| -a.s. So
_
|f
n
f|d =
_
|g
n
g|d.
www.probability.net
Solutions to Exercises 70
6. From 4., and the dominated convergence theorem (23), we have
lim
_
1
N
c|g
n
g
n
|d = 0 and consequently,
_
|g
n
g|d 0. It
follows from 5. that
_
|f
n
f|d 0.
Exercise 15
www.probability.net
Solutions to Exercises 71
Exercise 16.
1. We dene A = {
1

1
:
_

2
|f(
1
, x)|d
2
(x) < +}. From
theorem (30), the map :
1

_

2
|f(
1
, x)|d
2
(x) is measur-
able with respect to F
1
and B(

R). It follows that:

A =
1
([, +[) F
1
From theorem (31), we have:
_

1
__

2
|f(
1
, x)|d
2
(x)
_
d
1
(
1
) =
_

2
|f|d
1

2
< +
Using exercise (7) (11.) of Tutorial 5, we have
1
(A
c
) = 0.
2. For all
1
A, we have
_

2
|f(
1
, x)|d
2
(x) < +. From
theorem (29), the map f(
1
, .) is measurable with respect to
F
2
, for all
1
F
1
. f being R-valued, we conclude that for all

1
A, f(
1
, .) L
1
R
(
2
, F
2
,
2
).
www.probability.net
Solutions to Exercises 72
3. For all
1
A, the map f(
1
, .) lies in L
1
R
(
2
, F
2
,
2
). Hence,

I(
1
) =
_

2
f(
1
, x)d
2
(x) is well-dened for all
1
A.
4. If A, then J() = I() =

I() =
_

2
f(, x)d
2
(x). Hence:
J() = 1
A
()
_

2
f
+
(, x)d
2
(x) 1
A
()
_

2
f

(, x)d
2
(x)
This equation still holds if A.
5.
_

2
f
+
(, x)d
2
(x) < + and
_

2
f

(, x)d
2
(x) < +, for
all A. If A, then J() = 0. It follows that J() R,
for all
1
. From theorem (30),
_

2
f
+
(, x)d
2
(x)
and
_

2
f

(, x)d
2
(x) are F
1
-measurable maps. Further-
more, A F
1
. So 1
A
is also an F
1
-measurable map. From 4.
we conclude that J is itself F
1
-measurable.
6. For all
1
, using 4., we have:
|J()|
_

2
f
+
d
2
+
_

2
f

d
2
=
_

2
|f(, x)|d
2
(x)
www.probability.net
Solutions to Exercises 73
and therefore:
_

1
|J()|d
1
()
_

1
__

2
|f(, x)|d
2
(x)
_
d
1
() < +
Since J is R-valued and F
1
-measurable, J L
1
R
(
1
, F
1
, ).
Furthermore, for all A, we have J() = I(). Since

1
(A
c
) = 0, we conclude that J = I
1
-a.s.
7. The map x
_

2
f(x, y)d
2
(y) is dened for all x A, but
may not be dened for all x
1
. Hence, strictly speaking, the
integral
_

1
(
_

2
fd
2
)d
1
may not be meaningful. However,
whichever way we choose to extend x
_

2
f(x, y)d
2
(y) (the
map I), we have J = I,
1
a.s. where J L
1
R
(
1
, F
1
,
1
).
Following the previous exercise, we see that I L
1
, and the
integral
_

1
I(x)d
1
(x) can in fact be dened as:
_

1
__

2
f(x, y)d
2
(y)
_
d
1
(x)

=
_

1
J(x)d
1
(x)
www.probability.net
Solutions to Exercises 74
8. Since
1
(A
c
) = 0, we have:
_

1
_
1
A
_

2
f
+
d
2
_
d
1
=
_

1
__

2
f
+
d
2
_
d
1
Using theorem (31), we conclude that:
_

1
_
1
A
_

2
f
+
d
2
_
d
1
=
_

2
f
+
d
1

2
9. Using 4., 8. and its counterpart for f

, we obtain:
_

1
J(x)d
1
(x) =
_

2
f
+
d
1

2

_

2
f

d
1

2
In other words:
_

1
__

2
f(x, y)d
2
(y)
_
d
1
(x) =
_

2
fd
1

2
10. Suppose that f L
1
C
(
1

2
, F
1
F
2
,
1

2
), i.e. we no
longer assume that f is R-valued. Then f = u + iv where
www.probability.net
Solutions to Exercises 75
both u and v are elements of L
1
R
(
1

2
, F
1
F
2
,
1

2
).
Applying 6. the map
1

_

2
u(
1
, x)d
2
(x) and the map

1

_

2
v(
1
, x)d
2
(x) are
1
-almost surely equal to elements
of L
1
R
(
1
, F
1
,
1
) (say J
u
and J
v
respectively). Furthermore,
from (1) we have:
_

1
__

2
u(x, y)d
2
(y)
_
d
1
(x) =
_

2
ud
1

2
and:
_

1
__

2
v(x, y)d
2
(y)
_
d
1
(x) =
_

2
vd
1

2
It follows that
1

_

2
f(
1
, x)d
2
(x) is
1
-almost surely
equal to J
u
+iJ
v
L
1
C
(
1
, F
1
,
1
), and:
_

1
__

2
f(x, y)d
2
(y)
_
d
1
(x)

=
_

1
(J
u
+iJ
v
)d
1
www.probability.net
Solutions to Exercises 76
=
_

1
J
u
d
1
+i
_

1
J
v
d
1
=
_

1
__

2
u(x, y)d
2
(y)
_
d
1
(x)
+ i
_

1
__

2
v(x, y)d
2
(y)
_
d
1
(x)
=
_

2
ud
1

2
+ i
_

2
vd
1

2
=
_

2
fd
1

2
This proves equation (1).
11. From 5. of exercise (1), the map is measurable. It follows that
f : (
2

1
, F
2
F
1
) [0, +] is indeed non-negative and
www.probability.net
Solutions to Exercises 77
measurable. Furthermore, from theorem (31), we have:
_

1
f d
2

1
=
_

2
__

1
f (
2
,
1
)d
1
(
1
)
_
d
2
(
2
)
=
_

2
_
_

1
f(
1
,
2
)d
1
(
1
)
_
d
2
(
2
)
Theorem (31) =
_

2
fd
1

2
12. From 5. of exercise (1), the map is measurable. So f is
itself measurable. Applying 11. to |f| we obtain:
_

1
|f |d
2

1
=
_

1
|f| d
2

1
=
_

2
|f|d
1

2
< +
So f L
1
C
(
2

1
, F
2
F
1
,
2

1
). If u = Re(f) and
www.probability.net
Solutions to Exercises 78
v = Im(f), using 11. once more, we obtain:
_

1
f d
2

1
=
_

1
u
+
d
2

1

1
u

d
2

1
+ i
_

1
v
+
d
2

1
i
_

1
v

d
2

1
=
_

2
u
+
d
1

2

_

2
u

d
1

2
+ i
_

2
v
+
d
1

2
i
_

2
v

d
1

2
=
_

2
fd
1

2
www.probability.net
Solutions to Exercises 79
13. Let f L
1
C
(
1

2
, F
1
F
2
,
1

2
). From 12. g = f is
an element of L
1
C
(
2

1
, F
2
F
1
,
2

1
). Applying 10. to
g, it follows that the map
2

_

1
g(
2
, x)d
1
(x) is
2
-almost
surely equal to an element of L
1
C
(
2
, F
2
,
2
). In other words,
the map
2

_

1
f(x,
2
)d
1
(x) is
2
-almost surely equal to
an element of L
1
C
(
2
, F
2
,
2
). Furthermore, we have:
_

2
_
_

1
f(x, y)d
1
(x)
_
d
2
(y) =
_

2
_
_

1
g(y, x)d
1
(x)
_
d
2
(y)
From 10. =
_

1
gd
2

1
From 12. =
_

2
fd
1

2
This completes the proof of theorem (33).
Exercise 16
www.probability.net
Solutions to Exercises 80
Exercise 17.
1. Let f L
1
C
(
1
. . .
n
, F
1
. . . F
n
,
1
. . .
n
). Dene
E
1
=
i=(1)

i
, E
2
=
(1)
, E
1
=
i=(1)
F
i
and E
2
= F
(1)
.
Let
1
=
i=(1)

i
and
2
=
(1)
. Then:
f L
1
C
(E
1
E
2
, E
1
E
2
,
1

2
)
From theorem (33), the map
_
E
2
f(, x)d
2
(x) (dened

1
-almost surely and arbitrarily extended on E
1
), is
1
-almost
surely equal to an element of L
1
C
(E
1
, E
1
,
1
). In other words:
J
1
()

=
_

(1)
f(, x)d
(1)
(x)
is almost surely
2
equal to an element of L
1
C
(
i=(1)

i
)
3
.
2. J
k+1
is a.s. equal to an element of L
1
C
(
i{(1),...,(k+1)}

i
).
2
A case of sloppy terminology: we are trying to make the whole thing readable.
3
A case of sloppy notations.
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Solutions to Exercises 81
3. From 1., J
1
() =
_

(1)
f(, x)d
(1)
(x) is almost surely equal
to an element of L
1
C
(
i=(1)

i
), say

J
1
. Similarly, from 2.,
J
2
() =
_

(2)

J
1
(, x)d
(2)
(x) is almost surely equal to an
element of L
1
C
(
i{(1),(2)}

i
), say

J
2
. By induction, we obtain
a map J
n1
dened on
(n)
, and
(n)
-almost surely equal to
an element of L
1
C
(
(n)
), say

J
n1
. We dene:
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)

=
_

(n)

J
n1
d
(n)
This multiple integral is a well-dened complex number. It is
easy to check by induction that which ever choice is made of

J
1
, . . . ,

J
n2
, the map

J
n1
is unique up to
(n)
-almost sure
equality. Hence, this multiple integral is uniquely dened.
4. From theorem (33), we have:
_

i=(1)

J
1
()d
i=(1)

i
=
_

1
...
n
fd
1
. . .
n
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Solutions to Exercises 82
Following an induction argument, we obtain:
_

(n)

J
n1
d
(n)
=
_

1
...
n
fd
1
. . .
n
i.e.
_

(n)
. . .
_

(1)
fd
(1)
. . . d
(n)
=
_

1
...
n
fd
1
. . .
n
This solution is not as detailed as it could have been. . .
Exercise 17
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