Skip to content

Fubini and Tonelli Theorems

Let (X,F,μ)(X, \mathcal{F}, \mu) and (Y,G,ν)(Y, \mathcal{G}, \nu) be σ\sigma-finite measure spaces. The product σ\sigma-algebra is F⊗G=σ({A×B:A∈F, B∈G})\mathcal{F} \otimes \mathcal{G} = \sigma(\{A \times B : A \in \mathcal{F},\ B \in \mathcal{G}\}).

Theorem 8.1 (Existence of Product Measure). There exists a unique measure μ×ν\mu \times \nu on F⊗G\mathcal{F} \otimes \mathcal{G} such that

(μ×ν)(A×B)=μ(A)⋅ν(B)(\mu \times \nu)(A \times B) = \mu(A) \cdot \nu(B)

for all A∈FA \in \mathcal{F} and B∈GB \in \mathcal{G}.

Theorem 8.2 (Tonelli). If f:X×Y→[0,∞]f : X \times Y \to [0, \infty] is F⊗G\mathcal{F} \otimes \mathcal{G}-measurable, then:

∫X×Yf d(μ×ν)=∫X(∫Yf(x,y) dν)dμ=∫Y(∫Xf(x,y) dμ)dν\int_{X \times Y} f\, d(\mu \times \nu) = \int_X \left(\int_Y f(x, y)\, d\nu\right) d\mu = \int_Y \left(\int_X f(x, y)\, d\mu\right) d\nu

Proof sketch. The theorem is proved by a standard monotone class argument. First verify the statement for characteristic functions of measurable rectangles A×BA \times B. Then extend to non-negative simple functions by linearity. Finally, approximate any non-negative measurable ff by an increasing sequence of simple functions and apply the monotone convergence theorem to pass to the limit. The σ\sigma-finiteness condition ensures the iterated integrals are well-defined.

Corollary 8.3 (Layer Cake Representation). For a non-negative measurable function ff on X×YX \times Y:

∫X×Yf d(μ×ν)=∫0∞(μ×ν)({f>t}) dt\int_{X \times Y} f\, d(\mu \times \nu) = \int_0^\infty (\mu \times \nu)(\{f > t\})\, dt

Theorem 8.4 (Fubini). If f∈L1(μ×ν)f \in L^1(\mu \times \nu), then for a.e. x∈Xx \in X, f(x,⋅)∈L1(ν)f(x, \cdot) \in L^1(\nu); for a.e. y∈Yy \in Y, f(⋅,y)∈L1(μ)f(\cdot, y) \in L^1(\mu); and

∫X×Yf d(μ×ν)=∫X(∫Yf(x,y) dν)dμ=∫Y(∫Xf(x,y) dμ)dν\int_{X \times Y} f\, d(\mu \times \nu) = \int_X \left(\int_Y f(x, y)\, d\nu\right) d\mu = \int_Y \left(\int_X f(x, y)\, d\mu\right) d\nu

Proof sketch. Write f=f+−f−f = f^+ - f^- with f+,f−≥0f^+, f^- \geq 0. Both f+f^+ and f−f^- have finite integrals (since f∈L1f \in L^1). Apply Tonelli’s theorem to each separately. The integrability condition ensures that the iterated integrals are finite.

Caution. The order of integration matters when ff is not integrable. For example, the function f(x,y)=(x2−y2)/(x2+y2)2f(x, y) = (x^2 - y^2)/(x^2 + y^2)^2 on [0,1]2[0,1]^2 has different iterated integrals:

∫01∫01f(x,y) dy dx=π4,∫01∫01f(x,y) dx dy=−π4\int_0^1 \int_0^1 f(x, y)\, dy\, dx = \frac{\pi}{4}, \quad \int_0^1 \int_0^1 f(x, y)\, dx\, dy = -\frac{\pi}{4}

This does not contradict Fubini’s theorem because f∉L1([0,1]2)f \notin L^1([0,1]^2).

Problem 1. Compute ∫0∞∫0∞e−(x2+y2) dy dx\int_0^\infty \int_0^\infty e^{-(x^2 + y^2)}\, dy\, dx using Fubini-Tonelli.

Solution. By Tonelli’s theorem (since e−(x2+y2)≥0e^{-(x^2+y^2)} \geq 0):

∫0∞∫0∞e−(x2+y2) dy dx=∫0∞e−x2 dx⋅∫0∞e−y2 dy=(π2)2=π4\int_0^\infty \int_0^\infty e^{-(x^2 + y^2)}\, dy\, dx = \int_0^\infty e^{-x^2}\, dx \cdot \int_0^\infty e^{-y^2}\, dy = \left(\frac{\sqrt{\pi}}{2}\right)^2 = \frac{\pi}{4}

■\blacksquare

Problem 2. Compute ∫01∫01x2y3/2e−x2/y dy dx\int_0^1 \int_0^1 \frac{x^2}{y^{3/2}} e^{-x^2/y}\, dy\, dx.

Solution. Note that f(x,y)=x2y−3/2e−x2/y≥0f(x,y) = x^2 y^{-3/2} e^{-x^2/y} \geq 0. By Tonelli, we can swap the order:

∫01∫01x2y3/2e−x2/y dx dy\int_0^1 \int_0^1 \frac{x^2}{y^{3/2}} e^{-x^2/y}\, dx\, dy

For the inner integral, substitute u=x2/yu = x^2/y, dx=y/(2u) dudx = \sqrt{y}/(2\sqrt{u})\, du:

∫01x2y3/2e−x2/y dx=12∫01/yue−u du\int_0^1 \frac{x^2}{y^{3/2}} e^{-x^2/y}\, dx = \frac{1}{2}\int_0^{1/y} \sqrt{u} e^{-u}\, du

The full integral becomes ∫0112(1−e−1/y(1+1/y)) dy=12(1−e−1)\int_0^1 \frac{1}{2}(1 - e^{-1/y}(1 + 1/y))\, dy = \frac{1}{2}(1 - e^{-1}). ■\blacksquare

Problem 3. Show that ∫−∞∞e−x2/2 dx=2π\int_{-\infty}^\infty e^{-x^2/2}\, dx = \sqrt{2\pi}.

Solution. Let I=∫−∞∞e−x2/2 dxI = \int_{-\infty}^\infty e^{-x^2/2}\, dx. Then:

I2=∫−∞∞∫−∞∞e−(x2+y2)/2 dx dyI^2 = \int_{-\infty}^\infty \int_{-\infty}^\infty e^{-(x^2+y^2)/2}\, dx\, dy

Using Tonelli, convert to polar coordinates x=rcos⁡θx = r\cos\theta, y=rsin⁡θy = r\sin\theta:

I2=∫02π∫0∞e−r2/2r dr dθ=2π∫0∞e−r2/2r dr=2πI^2 = \int_0^{2\pi} \int_0^\infty e^{-r^2/2} r\, dr\, d\theta = 2\pi \int_0^\infty e^{-r^2/2} r\, dr = 2\pi

Hence I=2πI = \sqrt{2\pi}. ■\blacksquare

Application 1: Integration of Convolutions. For f,g∈L1(Rn)f, g \in L^1(\mathbb{R}^n), define the convolution (f∗g)(x)=∫f(x−y)g(y) dy(f * g)(x) = \int f(x-y)g(y)\, dy. Then:

∫Rn(f∗g)(x) dx=(∫Rnf(x) dx)(∫Rng(x) dx)\int_{\mathbb{R}^n} (f * g)(x)\, dx = \left(\int_{\mathbb{R}^n} f(x)\, dx\right)\left(\int_{\mathbb{R}^n} g(x)\, dx\right)

This follows directly from Tonelli (for non-negative functions) or Fubini (for integrable functions).

Application 2: The Gamma Function. The gamma function Γ(s)=∫0∞ts−1e−t dt\Gamma(s) = \int_0^\infty t^{s-1} e^{-t}\, dt satisfies:

Γ(s)Γ(t)=∫0∞∫0∞us−1vt−1e−u−v du dv=∫0∞e−rrs+t−1 dr⋅∫01xs−1(1−x)t−1 dx\Gamma(s)\Gamma(t) = \int_0^\infty \int_0^\infty u^{s-1} v^{t-1} e^{-u-v}\, du\, dv = \int_0^\infty e^{-r} r^{s+t-1}\, dr \cdot \int_0^1 x^{s-1}(1-x)^{t-1}\, dx

Using the substitution u=rxu = rx, v=r(1−x)v = r(1-x) with Jacobian rr, and applying Tonelli.

Application 3: Differentiating Under the Integral. If f(x,t)f(x, t) is measurable and ∣∂f/∂t∣≤g(x)|\partial f/\partial t| \leq g(x) with g∈L1g \in L^1, then Fubini justifies swapping differentiation and integration.

Application 4: Expectation of Products. If XX and YY are independent random variables with densities fXf_X and fYf_Y, then E[g(X)h(Y)]=E[g(X)] E[h(Y)]\mathbb{E}[g(X)h(Y)] = \mathbb{E}[g(X)]\,\mathbb{E}[h(Y)] follows from Tonelli: ∬g(x)h(y)fX(x)fY(y) dx dy=∫g(x)fX(x) dx⋅∫h(y)fY(y) dy\iint g(x)h(y) f_X(x) f_Y(y)\, dx\, dy = \int g(x)f_X(x)\, dx \cdot \int h(y)f_Y(y)\, dy.

Application 5: Marginal and Joint Distributions. Given a joint density f(x,y)f(x,y) on R2\mathbb{R}^2, the marginal density of XX is fX(x)=∫f(x,y) dyf_X(x) = \int f(x,y)\, dy. Fubini justifies: ∫AfX(x) dx=∫A∫f(x,y) dy dx=P(X∈A)\int_A f_X(x)\, dx = \int_A \int f(x,y)\, dy\, dx = P(X \in A).

Application 6: Characteristic Functions. The characteristic function of a random vector (X,Y)(X,Y) is φX,Y(s,t)=E[ei(sX+tY)]\varphi_{X,Y}(s,t) = \mathbb{E}[e^{i(sX+tY)}]. Fubini justifies swapping expectation and integration when differentiating under the integral to compute moments.

  1. Use Tonelli to compute ∫01∫01x−y(x+y)3 dy dx\int_0^1 \int_0^1 \frac{x-y}{(x+y)^3}\, dy\, dx and verify Fubini does not apply because the function is not integrable.
  2. Show that ∫0∞∫0∞e−xysin⁡x dy dx=∫0∞sin⁡xx dx=π2\int_0^\infty \int_0^\infty e^{-xy} \sin x\, dy\, dx = \int_0^\infty \frac{\sin x}{x}\, dx = \frac{\pi}{2}.
  3. Prove that L1(μ×ν)L^1(\mu \times \nu) is isometrically isomorphic to the projective tensor product L1(μ)⊗^πL1(ν)L^1(\mu) \widehat{\otimes}_\pi L^1(\nu).
  4. Let f(x,y)=e−xy−2e−2xyf(x,y) = e^{-xy} - 2e^{-2xy} on (0,∞)2(0,\infty)^2. Show that the iterated integrals differ and explain why this does not contradict Fubini.
  1. Forgetting σ\sigma-finiteness. Tonelli and Fubini require σ\sigma-finite measure spaces. Counterexample: Let X=Y=[0,1]X = Y = [0,1] with μ\mu = counting measure and ν\nu = Lebesgue measure. Then ∫X∫Y1Δ dν dμ=∫X0 dμ=0\int_X \int_Y 1_{\Delta}\, d\nu\, d\mu = \int_X 0\, d\mu = 0 but ∫Y∫X1Δ dμ dν=∫Y1 dν=1\int_Y \int_X 1_{\Delta}\, d\mu\, d\nu = \int_Y 1\, d\nu = 1.

  2. Applying Fubini without integrability. Always verify f∈L1(μ×ν)f \in L^1(\mu \times \nu) or use Tonelli for non-negative functions first.

  3. Non-measurable sections. If ff is not product-measurable, the sections f(x,⋅)f(x, \cdot) may fail to be measurable, making iterated integrals ill-defined.