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Let (X,M,μ),(Y,N,ν)(X,\mathscr{M},\mu),(Y,\mathscr{N},\nu )(X,M,μ),(Y,N,ν) be σ-finite measure spaces. There exists a unique measure on (X×Y,P)(X\times Y,\mathscr{P})(X×Y,P) (where P\mathscr{P}P is the product σ-algebra) denoted by μ×ν\mu\times \nuμ×ν satisfying μ×ν(A×B)=μ(A)ν(B)\mu\times \nu(A\times B)=\mu(A)\nu(B)μ×ν(A×B)=μ(A)ν(B)∀A∈M,∀B∈N\forall A\in\mathscr{M},\forall B\in\mathscr{N}∀A∈M,∀B∈N. Furthermore, (X×Y,P,μ×ν)(X\times Y,\mathscr{P}, \mu \times \nu)(X×Y,P,μ×ν) is σ-finite.
Fubini-Tonelli
Summary of MATH 895