4.

Integral 105

Z Z
+ |g(x + h) − g(x)| dm + |g(x) − f (x)| dm.

The first and last integrals on the right are less than 3ε , while the integrand of
ε
the second can be made less than 3(b−a+2) whenever |h| < δ, by an appropriate
choice of δ > 0, as g is continuous. As g vanishesRoutside [a − 1, b + 1], the
second integral is also lessR than 3ε . Thus if |h| < δ, |f (x + h) − f (x) dm < ε.
This proves that limk→∞ f (x) sin kx dx = 0.

4.7 Probability
4.7.1 Integration with respect to probability distributions

Let X be a random variable with probability distribution PX . The following

theorem shows how to perform a change of variable when integrating a function
of X. In other words, it shows how to change the measure in an integral. This
is fundamental in applying integration theory to probabilities. We emphasize
again that only the closure properties of σ-fields and the countable additivity
of measures are needed for the theorems we shall apply here, so that we can
use an abstract formulation of a probability space (Ω, F, P ) in discussing their
applications.

Theorem 4.28
Given a random variable X : Ω → R,
Z Z
g(X(ω)) dP (ω) = g(x) dPX (x). (4.5)
Ω R

Proof
We employ the technique described in Remark 4.1. For the indicator function
g = 1A we have P (X ∈ A) on both sides. Then by linearity we have the result
for simple functions. Approximation of non-negative measurable g by a mono-
tone sequence of simple functions combined with the monotone convergence
theorem gives the equality for such g. The case of general g ∈ L1 follows as
before from the linearity of the integral, using g = g + − g − .

The formula is useful in the case where the form of PX is known and allows
one to carry out explicit computations.
106 Measure, Integral and Probability

Before we proceed to these situations, consider a very simple case as an

illustration of the formula. Suppose that X is constant, i.e. X(ω) ≡ a. Then
on the left in (4.5) we have the integral of a constant function, which equals
g(a)P (Ω) = g(a) according to the general scheme of integrating indicator func-
tions. On the right PX = δa and thusR we have a method of computing an
integral with respect to Dirac measure: g(x) dδa = g(a).
For discrete X taking values ai with probabilities pi we have
Z X
g(X) dP = g(ai )pi
i

which is a well-known formula from elementary probability theory (see also

P
Section 3.5.3). In this case we have PX = i pi δai and on the right, the integral
with respect to the combination of measures is the combination of the integrals:
Z X Z
g(x) dPX = pi g(x) dδai (x).
i

In fact, this is a general property.

Theorem 4.29
P P
If PX = i pi Pi , where the Pi are probability measures, pi = 1, pi ≥ 0, then
Z X Z
g(x) dPX (x) = pi g(x) dPi .
i

Proof
The method is the same as above: first consider indicator functions 1A and
the claim is just the definition of PX : on the left we have PX (A), on the right
P
i pi Pi (A). Then by additivity we get the formula for simple functions, and
finally, approximation and use of the monotone convergence theorem completes
the proof as before.

4.7.2 Absolutely continuous measures: examples of

densities

The measures P of the form

Z
A 7→ P (A) = f dm
A