A Simple Proof of the Change of Variables Theorem Joo Carmona a Abstract

We present a simple proof of the classical change of variables theorem within the framework of Lebesgue integration in RN .

*** We use the sup-norm in RN , and the correspondent norm for linear transformations. We call cube to a set a + U, where U =]0, 1]N , a RN and > 0. Let A a subset of RN . By covering of A we mean a countable family of cubes whose union contains A. The diameter of A is denoted by (A), the interior by Ao and |A| denotes its Lebesgue (outer) measure. By denition |A| = inf j |Cj | , where the inf is token over all countable families of intervals of RN whose union contains A, but we can restrict, without change, the families at coverings of A with cubes C such that C A = and (C) < , where is any prexed positive number. We recall the Carathodory condition: |A| = n |A n |+|A\ n | , for sequences e of disjoint Lebesgue measurable sets n RN . We will need the following facts about measure transformation: I. Let : A RN RN . (M) If (x) (y) M x y , x, y A, then | (A)| M N |A| .
N

(Z) If is locally lipschitzian on A and |A| = 0, then | (A)| = 0. (D) If is C 1 on a open set A, then | (A)| supA D |A| .

(J) If is a dieomorphism in a neighborhood of a point x, then,

| (An ) | |J(x)| |An |

for every sequence of subsets An such that |An | > 0, (An ) 0 and x An . II. Let T : RN RN linear. (i) |T (A)| = |T (U )| |A| (ii) |T (U )| = |det(T )|. Proof: (M): By the Whitney extension formula, applied to each component i of , i (x) = sup {i (a) M x a : a A} we can extend to RN , preserving the lipschitzness with the same constant M. Let {Cj } be a covering of A. We have, A RN .

|(A)| therefore | (A)|

|(Cj )| M N |A| .

((Cj ))N

M N (Cj )N = M N

|Cj |

(Z): As RN has a countable open base, we can write A as a countable union of subsets where is lipschitzian, and the result follows from (M). (D): Take a sequence of disjoint measurable sets n such that n = .Put An = An . For each An take a covering with cubes Cj (take (Cj ) < dist(An , c ) and Cj An = ). In each Cj we have (x) (y) sup D x y , so N N | (Cj )| sup D |Cj | and then, | (An )| sup D |An |. Now, using the Carathodory condition, we have, e

| (A)|

| (An )|

sup D

|An | = sup D

|A|

and the same is true, of course, for every other open set such that A . It is a elementary exercise to verify that, for any continuous function : R, supA = inf {sup : open, A } , so we have,

| (A)|

sup D
A

|A| .

(II): If T is not invertible, T (RN ) is a proper subspace of RN , then T (RN ) = 0 and (i) and (ii) are trivial. If T is invertible, let {ai + i U } a covering of A. We have, T (A) i (T ai +i T (U )) and then (using the easy to proof case |a + B| = N |B|),

|T (A)|

|T (U )|.

i N

so |T (A)| |T (U )| |A| and also |A| |T 1 (U )| |T (A)|. But |T (U )| |T 1 (U )| = 1, because, taking a countable partition of T 1 (U )o in cubes,

T 1 (U )o = and applying T we have,

xj + j U

Uo =

T xj + j T (U ).

Thus, since T (U ) is measurable (it is a borelian),

1 = |U o | =

N |T (U )| = T 1 (U )o |T (U )| = T 1 (U ) |T (U )| j

To prove (ii) we can decompose T = S1 DS2 with S1 , S2 orthogonal and D is diagonal (see [E-G, sec. 3.2 theorems 2(i) and 1(v)]). For these transformations (ii) is easy (observe that orthogonal ones leave invariant the euclidean balls centered in origin). The conclusion follows from, |S1 DS2 (U )| = |S1 (U )| |D(U )| |S2 (U )| = |det S1 DS2 | .

(J): Let T = D(x).By (D) and (II) we have the two inequalities, |(An )| | det T | sup ||T 1 D||N |An |
An

|An | hence,

| det T 1 | sup ||T D1 ||N |(An )|

(An )

| det T |

sup ||T D ||
(An )

|(An )| |An |

| det T | sup ||T 1 D||N

An

and, since the local lipschitzness of implies ((An )) 0, we get the desired limit. Theorem: Let : a C 1 dieomorphism between two open subsets of RN . Then f : R is integrable in i (f ) |J| is integrable in , and the change-ofvariables formula holds:

f=

(f )|J|

Proof : Since f = f + f , we can suppose f establish the necessary condition and inequality,

0. By symmetry it is enough

(f )|J|

which applied to the inverse dieomorphism 1 and at the function (f )|J| gives the sucient condition and the opposite inequality. By approximation we can suppose also that f is a.e. continuous, because for every f 0 integrable there exists a sequence of integrable and a.e. continuous functions fn such that 0 fn (y) f (y) a.e. y and fn f , and so we can get f (f )|J| passing to limit fn (fn )|J| using (Z) and Fatous Lemma. Thus, let f 0 integrable and a.e. continuous. For each n N, take a countable partition of , Pn , in cubes with closure in and diameter smaller that 1/n (see [BW, proposition 14.2]). For each x in , denote by Kn (x) the only cube in Pn that contains (x). Let K = 1 (K) , for any K Pn . Since is an homeomorphism, K is a bounded borelian with non empty interior for all K Pn , and so 0 < |K | = K < .

f=
KPn

f |K |
K

K =
KP n

f (x)dx = |K | K
K

Kn (x)

f dx

|Kn (x)|

(f )|J|

The least inequality, including the measurability of (f )|J|, is justied by the Fatous Lemma, since we have:

Kn (x)

|Kn (x)|

f ((x))

a.e.x

by the a.e. continuity of f and (Z), and

|Kn (x)| |J(x)| x |Kn (x)| by application of (J) with An = Kn (x).

Notes: 1. The separation of (i) and (ii) in (II) seems rather forced. In fact, from the inequality |T (A)| |T (U )||A| and using the factorization T = S1 DS2 , we can directly deduce |T (A)| |det T | |A| |det T | |det T |1 |T (A)|. But it is interesting, from a measure theory point of view, to establish the formula |T (A)| = |T (U )| |A|, and then also the change of variables formula,

f=

f ((x)).|D(x)(U )|dx

without algebraic instruments.

K 2. The convergence |Kn (x) f ((x)) a.e. x , is true for every f L1 (), loc n (x)| hence unnecessary the continuity hypothesis on f and the approximation argument in the proof of the theorem. However all the proofs that I am aware of involve advanced concepts and techniques of measure theory (see [E-G, 1.7.1], [R, 7.10], [S, 14.3 exercise 9]), so, to maintain my intended simplicity, I opt by that method.

3. If we assume that f , D and are bounded (e.g. f Cc ()), the convergences at the end of the proof are dominated by sup |f | and sup D ,(see (D)) and so we can use the Lebesgue dominated convergence theorem to establish in two steps the change of variables formula,

f=
KP n

f = |K | K
K

(f )|J|dx

References: [BW] Bivar-Weinholtz, A. Integral de Riemann e Lebesgue em RN , Departamento de Matemtica, FCUL, 1998. a [C] Carmona, J. Sobre a Demonstraao do Teorema de Mudana de Varivel, c c a Boletim da Sociedade Portuguesa de Matemtica, 2001. a

[E-G] Evens, L. and Gariepy, R. Measure Theory and Fine Properties of Functions, CRC PRESS, 1999. [R] Rudin, W. Real and Complex Analysis, McGRAW-HILL, 1987. [S] Smith, K. T. Primer of Modern Analysis, Springer-Verlag, 1983.

Joo Carmona a C.M.A.F.- Faculdade de Cincias da Universidade de Lisboa e Av. Prof. Gama Pinto, 2 1649-003 Lisboa Portugal jcarmona@vizzavi.pt