Thursday, October 27, 2016

lebesgue integral - Writing integration over abstract measure space as integration over $mathbb{R}$




Let $(X,\mathcal{M},\mu)$ be a $\sigma$-finite measure space and $f$ a measurable real valued function on $X$. Prove that
\begin{equation*}
\int_X e^{f(x)}\mathrm{d}\mu(x) =
\int_\mathbb{R} e^{t}\mu(E_t)\mathrm{d}t
\end{equation*}
where $E_t=\{x\mid f(x)>t\}$ for each $t\in\mathbb{R}$.



Can this be solved by a change of variable formula?


Answer



\begin{align*}

\int_{X}e^{f(x)}d\mu(x)& = \int_{X}\int_{-\infty}^{f(x)}e^{t}dt d\mu(x)\\
& = \int_{X}\int_{\mathbb{R}}I_{\{t< f(x)\}}(t)e^{t}dtd\mu(x)\\
& = \int_{X}\int_{\mathbb{R}}I_{\{f(x)>t\}}(x)e^{t}dtd\mu(x)\\
& = \int_{\mathbb{R}}\int_{X}I_{\{f(x)>t\}}(x)d\mu(x)e^tdt\\
& = \int_{\mathbb{R}}e^t\mu\left\{ f(x)>t \right\}dt.
\end{align*}


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