Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/d/d4/ii/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2009 D D4 ii Solution by
Codex 0 2026-10-31
The function is measurable, and for fixed positive both terms are integrable over by linear substitution and integrability of . Those substitutions giveThe strict sign follows from positivity of on a nonempty interval, since . Similarly each section in is absolutely integrable for fixed , andIf 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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