Past exam of the probability, statistics and options I course of the University of Oxford / 2011 / D / 2 / Solution

For sigma-finite measures, Tonelli's theorem states that the double integral of a nonnegative measurable function equals either iterated integral, allowing $+\infty$. Fubini's theorem states that if a measurable function is absolutely integrable, its sections are integrable almost everywhere, both iterated integrals exist, and they equal the double integral.

Assign any value at $(0,0)$, which does not affect Lebesgue integrability. Near that corner set $s=x+y$ and $t=(x-y)/(x+y)$. Then $x=s(1+t)/2$, $y=s(1-t)/2$, and the absolute Jacobian determinant is $s/2$. On $0<s<1$, the full range is $-1<t<1$, soThe remaining part of the unit square has $x+y\ge 1$ and is harmless. The improper power integral is finite precisely when $\alpha <3$. Under the given restriction,For those values, the change $(x,y)\mapsto (y,x)$ preserves the square and changes the sign of $F$. Absolute integrability justifies this change of variables, givingFor $\alpha \ge 3$ the positive and negative parts each diverge, so symmetry does not define a Lebesgue integral.