Solution

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

The function is measurable, and for fixed positive both terms are integrable over by linear substitution and integrability of . Those substitutions give
The strict sign follows from positivity of on a nonempty interval, since . Similarly each section in is absolutely integrable for fixed , and
If were absolutely integrable on the stated rectangle, Fubini would make the two finite iterated integrals equal. The first would be strictly negative and the second strictly positive, which is impossible. Therefore . The one-dimensional section integrability does not rescue the missing product-space hypothesis.

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