Lebesgue substitution on an interval
ID: lebesgue-substitution-on-an-interval
Let be a diffeomorphism between open intervals, which may be unbounded. The change of variables formula holds for every nonnegative Lebesgue measurable function , allowing infinite integrals. Applying it to also proves equivalence of Lebesgue integrability of and of the transformed integrand; for an integrable signed or complex the same identity then holds by splitting into positive and negative, or real and imaginary, parts. The absolute value of the derivative is essential for a decreasing substitution such as . Endpoints can be omitted because they are null sets.
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