[Math] Change of variables in integration

integrationmeasure-theory

Under certain conditions on the functions $g:\mathbb{R}^n \to \mathbb{R}$ and $f:\mathbb{R} \to \mathbb{R}$ involved I have seen formulas such as
$$
\int \limits _{\mathbb{R}^n} f\circ g (x) \,dx = \int f(t) \, d \nu (t) ,
$$
where
$$
\nu (t) = – \int \limits _{g(x) \ge t} \,dx .
$$
Sometimes this formula comes without the minus sign and the inequality reversed, which I suppose is so that it is an increasing function. Is the integration in $t$ for all $t$ or just positive $t$?

It appears clear that this is related to the general change of variables formula
$$
\int f\circ g \, d\mu = \int f \, d\nu
$$
where $\nu (B) = \mu (g^{-1}(B))$, but I must admit I can't see the exact chain of equalities linking them together.

Is there any good reference explaining these things, or is it really easy to see?

Best Answer

Here's my take on it. Let $\lambda$ denote the Lebesgue measure on $\mathbb{R}^n$. The function $$ t\mapsto \nu(t)=-\int_{g(x)\geq t}\,\mathrm dx=-\lambda(\{g\geq t\}) $$ is an increasing right-continuous function on $\mathbb{R}$, and therefore gives rise to a Lebesgue-Stieltjes measure $\mu$ characterized by $$ \mu(]a,b])=\nu(b)-\nu(a),\quad a,b\in\mathbb{R},\;a<b. $$ What I take the integral $\int f(t)\,\mathrm d\nu(t)$ to mean is exactly $\int f\,\mathrm d\mu$. So we have to prove that $$ \int f\,\mathrm d\mu=\int f\circ g\,\mathrm d\lambda $$ but since $\int f\circ g\,\mathrm d\,\lambda = \int f\,\mathrm d (\lambda\circ g^{-1})$ it is enough to show that $\mu=\lambda\circ g^{-1}$. So let $a,b\in\mathbb{R}$, $a<b$, then

$$ \mu(]a,b])=\nu(b)-\nu(a)=\lambda(\{g\geq a\})-\lambda(\{g\geq b\})=\lambda(\{g\in [a,b[\})=\lambda\circ g^{-1}([a,b[), $$ but here I am stuck unfortunately. I really want to conclude that $\lambda\circ g^{-1}([a,b[)=\lambda\circ g^{-1}(]a,b])$, but I don't think that this is true for a general $g$. Maybe the assumptions you are mentioning will ensure this?

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