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This document provides a rigorous proof of Fubini's Theorem, which states that the order of integration can be changed when evaluating a double integral over a rectangle. Specifically: 1) It considers a function f that is integrable over a rectangle R and shows that if f's integral with respect to x exists for each y, and this iterated integral is integrable with respect to y, then the double integral of f over R is equal to the iterated integral integrating first with respect to x and then y. 2) The proof takes partitions of the x and y intervals and uses comparisons of lower and upper sums to show the double integral is equal to the iterated integral, regardless of the

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Rania Adila
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45 views2 pages

Note1 PDF

This document provides a rigorous proof of Fubini's Theorem, which states that the order of integration can be changed when evaluating a double integral over a rectangle. Specifically: 1) It considers a function f that is integrable over a rectangle R and shows that if f's integral with respect to x exists for each y, and this iterated integral is integrable with respect to y, then the double integral of f over R is equal to the iterated integral integrating first with respect to x and then y. 2) The proof takes partitions of the x and y intervals and uses comparisons of lower and upper sums to show the double integral is equal to the iterated integral, regardless of the

Uploaded by

Rania Adila
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Here is a rigorous proof of Fubini’s Theorem on the equality of double and iterated

integrals. The present version is slightly more general than the one stated in the textbook.

Fubini’s Theorem. Let f be an integrable function on the rectangle R D Œa; b  Œc; d .


Rb
Suppose that for each y 2 Œc; d , the integral a f .x; y/ dx exists and moreover
Rb
a f .x; y/ dx as a function of y is integrable on Œc; d . Then
“ Z dZ b
f dA D f .x; y/ dx dy:
R c a

Of course a similar statement holds with the role of x; y changed. When f is continuous
on the rectangle R, all the integrability assumptions hold automatically and we have
“ Z dZ b Z bZ d
f dA D f .x; y/ dx dy D f .x; y/ dy dx:
R c a a c

The proof begins as follows. Take arbitrary partitions x0 D a < x1 <    < xm D b of
Œa; b and y0 D c < y1 <    < yn D d of Œc; d . Let P be the partition of R into the mn
sub-rectangles Rij D Œxi 1 ; xi   Œyj 1 ; yj . As usual, set
xi D xi xi 1 yj D yj yj 1 mij D inf f Mij D sup f:
Rij Rij

Since
mij  f .x; y/  Mij for .x; y/ 2 Rij ;
the comparison property of the integral in dimension 1 shows that
Z xi
mij xi  f .x; y/ dx  Mij xi if y 2 Œyj 1 ; yj :
xi 1

Summing over all i from 1 to m, we obtain


Xm Z b m
X
mij xi  f .x; y/ dx  Mij xi if y 2 Œyj 1 ; yj :
iD1 a i D1

Applying comparison once more gives


m m
! Z yj Z !
X b X
mij xi yj  f .x; y/ dx dy  Mij xi yj :
i D1 yj 1 a i D1

Summing up over j from 1 to n, we obtain


X n Xm Z dZ b n X
X m
mij xi yj  f .x; y/ dx dy  Mij xi yj :
j D1 i D1 c a j D1 i D1
Thus, for every partition P of the rectangle R,
Z dZ b
L.f; P/  f .x; y/ dx dy  U.f; P/:
c a

’ the other hand, since by the assumption f is integrable on R, the double integral
On
R f dA is the unique number which satisfies
“
L.f; P/  f dA  U.f; P/
R
for every partition P. Therefore, we must have
“ Z dZ b
f dA D f .x; y/ dx dy;
R c a
as claimed.

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