Fubini’s theorem

Bengt Ringnér∗†

December 8, 2008

1 Product measure
Let (X, F, µ) and (Y, G, ν) be two measure spaces. On

X × Y = {(x, y) : x ∈ X, y ∈ Y}

let F ⊗ G as the smallest σ-algebra containing all sets —”rectangles” — of

the form
F × G = {(x, y) : x ∈ F ∈ F, y ∈ G ∈ G}.
On F ⊗ G we want to define a measure by
Z
(µ ⊗ ν)(E) = ν(Ex ) dµ (1)
X

where
Ex = {y : (x, y) ∈ E}.
This will yield the product space

(X × Y, F ⊗ G, µ ⊗ ν).

To show that (1) has a meaning, consider

S = {E ⊂ X × Y : Ex ∈ G for all x
and the function x 7→ ν(Ex ) is µ − measurable}.

Since E1 ⊂ E2 ⊂ . . . implies E1x ⊂ E2x ⊂ . . ., and the same holds for ⊃, it

follows that S is a monotone class.
∗
Centre for Mathematical Sciences, Lund University, Lund, Sweden.
†
Homepage: http://www.maths.lth.se/∼bengtr

1
 • It is not a σ-algebra, since E, F ∈ S does not imply E ∩ F ∈ S, but

if A denotes the algebra generated by the “rectangles” F × G, then

A ⊂ S,

and if M is the smallest monotone class containing A, we have

⊂F ⊗G
A⊂M
⊂ S.

• The Monotone Class Theorem says that the smallest monotone class
containing an algebra is itself an algebra, and therefore a σ-algebra,
so

F ⊗ G = M ⊂ S,
and (1) is meaningful.
Finally, Monotone Convergence, and the fact that Ex and Fx are disjoint
if E and F are so, imply that µ ⊗ ν is a measure.
The key to the Fubini Theorem is: If µ and ν are σ-finite, we have
Z Z
(ν ⊗ µ)(E) = µ(Ey ) dν = ν(Ex ) dµ = (µ ⊗ ν)(E),
Y X

since, in this case the values of a measure are uniquely determined by its
values on an algebra generating the σ-algebra.

2 Integration
If f is an F ⊗ G-measurable function, that is all sets

E = {(x, y) : f (x, y) > z}

are measurable, then it follows from the above that all sets

Ex = {x : f (x, y) > z}

and, hence, all functions

y 7→ f (x, y), x fixed

are measurable.

2
 The integral of f is defined as usual. If f is nonnegative, we know that
there is a sequence f1 , f2 , . . . of simple functions such that fn ր f . Then
Monotone Convergence gives
Z Z
f (x, y) d(µ ⊗ ν) = lim fn (x, y) d(µ ⊗ ν),
n→∞

whereupon the previous section and Monotone Convergence again gives

Z X
fn (x, y) d(µ ⊗ ν) = z (µ ⊗ ν){(x, y) : fn (x, y) = z}
z
X Z
= z ν{y : fn (x, y) = z} dµ
X
Zz X
= z ν{y : fn (x, y) = z} dµ
X
Z Zz Z Z
= fn (x, y) dν dµ → f (x, y) dν dµ.
X Y X Y

The composition f = f + − f − and the last part of the previous section give,
in the σ-finite case,

Theorem 1 (Fubini) If
Z
|f (x, y)| d(µ ⊗ ν) < ∞,

then
Z Z Z Z Z
f (x, y) dµ dν = f (x, y) d(µ ⊗ ν) = f (x, y) dν dµ.
Y X X Y

Remark In fact the theorem is true without assuming σ-finiteness. This is,
however, needed in the following one. 

Theorem 2 (Tonelli) If µ and ν are σ-finite, f is µ ⊗ ν-measurable, and

Z Z
|f (x, y)| dµ dν < ∞,
Y X

or the other iterated integral is finite, then the conclusions of Fubini’s theo-
rem hold.

3
Proof Using f = f + − f − , it suffices to consider nonnegative functions.
By σ-finiteness there exist F1 ⊂ F2 ⊂ . . . with ∪n Fn = X and µ(Fn ) < ∞
together with similar Gn . Now
Z
min(n, f (x, y)) d(µ ⊗ ν)
Fn ×Gn

fulfils the condition in Fubini’s theorem, so it can be written as an iterated

integral. Then the result follows from Monotone Convergence.