Thursday, October 27, 2016

lebesgue integral - Writing integration over abstract measure space as integration over mathbbR




Let (X,M,μ) be a σ-finite measure space and f a measurable real valued function on X. Prove that
Xef(x)dμ(x)=Retμ(Et)dt
where Et={xf(x)>t} for each tR.



Can this be solved by a change of variable formula?


Answer



Xef(x)dμ(x)=Xf(x)etdtdμ(x)=XRI{t<f(x)}(t)etdtdμ(x)=XRI{f(x)>t}(x)etdtdμ(x)=RXI{f(x)>t}(x)dμ(x)etdt=Retμ{f(x)>t}dt.


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