Past exam of the Probability, statistics and options II course of the University of Oxford / 2007 / D / 3

A coordinate transformation is a continuously differentiable bijection from the open set $U$ onto an open subset $T(U)\subset {\mathbb{R}}^2$, with continuously differentiable inverse. Equivalently, it is a $C^1$ diffeomorphism; its Jacobian determinant never vanishes. The inverse function theorem supplies the local inverse, while global injectivity is an additional requirement.

The change of variables formula for a Lebesgue integrable function isThe absolute Jacobian determinant accounts for area regardless of orientation. The formula also holds for nonnegative measurable functions with possibly infinite integral.

Put $u=x-y$ and $v=x+y$. The square becomes $(-1,1{)}^2$, with $x=(u+v)/2$, $y=(v-u)/2$ and absolute Jacobian determinant $1/2$. On its support the denominator $v+2$ exceeds one and $|u|<1$, so the nonnegative integrand is bounded by one on a set of finite area; it is therefore Lebesgue integrable. The change of variables formula and Fubini's theorem give