TheoremBase

Existence and Uniqueness of the Product Measure

Two σ-finite measures have exactly one product measure on the product σ-algebra, determined by its values μ(A)ν(B) on measurable rectangles; it is σ-finite, and the measure of every product-measurable set is the integral of the measures of its sections, in either order.

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 μ\mu and 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, x∈Xx\in X and y∈Yy\in Y let ExE_{x} and EyE^{y} be the sections of EE at xx and at yy.

Existence and uniqueness. There is exactly one measure π\pi on (X×Y,F⊗G)(X\times Y,\mathcal{F}\otimes\mathcal{G}) with

π(A×B)=μ(A) ν(B)for all A∈F and B∈G.\pi(A\times B)=\mu(A)\,\nu(B)\qquad\text{for all }A\in\mathcal{F}\text{ and }B\in\mathcal{G}.

σ\sigma-finiteness. The measure π\pi of (i) is σ\sigma-finite.

Measures of sections. For every E∈F⊗GE\in\mathcal{F}\otimes\mathcal{G}, the functions x↦ν(Ex)x\mapsto\nu(E_{x}) and y↦μ(Ey)y\mapsto\mu(E^{y}) lie in M+(X,F)\mathcal{M}^{+}(X,\mathcal{F}) and M+(Y,G)\mathcal{M}^{+}(Y,\mathcal{G}), and the measure π\pi of (i) satisfies

π(E)=∫Xν(Ex) dμ(x)=∫Yμ(Ey) dν(y).\pi(E)=\int_{X}\nu(E_{x})\,d\mu(x)=\int_{Y}\mu(E^{y})\,d\nu(y).

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