TheoremBase

Measures of Sections of a Product-Measurable Set

For a σ-finite measure ν, the ν-measure of the section at x of a product-measurable set is a measurable function of x, and integrating it against μ gives a measure on the product σ-algebra that takes the value μ(A)ν(B) on each measurable rectangle A×B; μ need not be σ-finite.

Statement

In the setting of Measurable Functions and the Lebesgue Integral: Standing Notation, let (X,F,μ)(X,\mathcal{F},\mu) and (Y,G,ν)(Y,\mathcal{G},\nu) be measure spaces with ν\nu σ\sigma-finite. Let F⊗G\mathcal{F}\otimes\mathcal{G} be the product σ\sigma-algebra on X×YX\times Y, and for E⊆X×YE\subseteq X\times Y and x∈Xx\in X let ExE_{x} be the section of EE at xx.

Measurability. For every E∈F⊗GE\in\mathcal{F}\otimes\mathcal{G}, the function x↦ν(Ex)x\mapsto\nu(E_{x}) lies in M+(X,F)\mathcal{M}^{+}(X,\mathcal{F}) (The Product σ-Algebra: Rectangles, Generators, Sections, Projections, Pairings and the Swap (iv)).

A measure on the product. The function κ:F⊗G→[0,∞]\kappa:\mathcal{F}\otimes\mathcal{G}\to[0,\infty] given by

κ(E)=∫Xν(Ex) dμ(x)\kappa(E)=\int_{X}\nu(E_{x})\,d\mu(x)

(by (i)) is a measure on (X×Y,F⊗G)(X\times Y,\mathcal{F}\otimes\mathcal{G}).

Rectangles. For all A∈FA\in\mathcal{F} and B∈GB\in\mathcal{G},

κ(A×B)=μ(A) ν(B).\kappa(A\times B)=\mu(A)\,\nu(B).

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