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={x∣f(x)>t} for each t∈R.
Can this be solved by a change of variable formula?
Answer
∫Xef(x)dμ(x)=∫X∫f(x)−∞etdtdμ(x)=∫X∫RI{t<f(x)}(t)etdtdμ(x)=∫X∫RI{f(x)>t}(x)etdtdμ(x)=∫R∫XI{f(x)>t}(x)dμ(x)etdt=∫Retμ{f(x)>t}dt.
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