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Tonelli's theorem for nonnegative measurable functions on a sigma-finite product
Statement
Let and be sigma-finite measure spaces, and let be product-measurable. Then and are measurable, and
Facts & Assumptions
Given: Sigma-finite measure spaces and , and a product-measurable function .
Sections of a product-measurable function are measurable. (Every section of a product-measurable function is measurable)
For a measurable set , the indicator function satisfies (For sigma-finite measures, the two section-measure integrals of a measurable set agree)
Every nonnegative measurable function admits an increasing sequence of nonnegative simple functions converging pointwise to it. (Every nonnegative measurable function admits an explicit increasing sequence of simple approximations)
Monotone convergence passes increasing limits through the integral. (Monotone convergence for the integral)
The nonnegative integral is additive for finite sums of measurable nonnegative functions. (Additivity of the nonnegative Lebesgue integral)
Proof
If is a nonnegative simple function, write with and measurable sets . Applying [L2] to each indicator and summing by [L5] yields The inner integral functions are measurable because the same is true for each and simple combinations preserve measurability.
Choose simple functions by [L3]. Then for each and one has and , so [L4] gives Applying [L4] once more to the equalities of step 1.1 yields the stated measurability and the equality of all three integrals.
Depends on
For sigma-finite factors, the product measure exists, has the rectangle formula, is sigma-finite, and is unique
Every section of a product-measurable function is measurable
For sigma-finite measures, the two section-measure integrals of a measurable set agree
Every nonnegative measurable function admits an explicit increasing sequence of simple approximations
Monotone convergence for the integral
Additivity of the nonnegative Lebesgue integral