Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/d/d4/i/solution

For product measure spaces, Tonelli's theorem states that for a nonnegative measurable function the product-space integral equals either iterated integral, allowing the value . Fubini's theorem states that if a measurable function has finite integral of its absolute value, then its sections are integrable almost everywhere, both iterated integrals exist and equal the product-space integral. The absolute-integrability hypothesis is what permits this conclusion for a signed function. These statements apply to the Lebesgue product spaces used here, which are sigma-finite.

New to topics? Read the docs here!