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Let $(X,\mu)$ be a measure space.

For a measurable function $\iota:X\to X$, we have for all measurable $E\subset X$,

$$\int_{\iota^{-1}(E)}g\circ\iota \, d\mu = \int_{E}g \, d(\iota^{*}\mu),$$ where by definition $\iota^{*}(\mu)[A] = \mu(\iota(A))$.


I'm trying to reconcile this with the more elementary process I used to refer to as "$u$ substitution".

Consider the case of $X = \mathbb{R}$ and $\mu$ the Lebesgue measure, and the integral $\int_{[0,2]}f \, d\mu$, where $f(x) = (x^3)^2 \cdot 3x^2$.


In the notation of Calculus II, I might done something like:

Let $u = x^3$. Then $du = 3x^2 \, dx$ and thus

\begin{eqnarray*} \int_0^2 f(x) \, dx &=& \int_0^2 (x^3)^2 3x^2 \, dx\\ &=& \int_0^8 u \, du \end{eqnarray*}


I am trying to do the same transformation using the more abstract notation. Setting $\iota(x) = x^3$, then $g(x) = x^2$, I get

\begin{eqnarray*} \int_{[0,2]}f(x) \, d\mu(x) &=& \int_{\iota^{-1}[0,8]}g(\iota(x))3x^2 \, d\mu(x)\\ &=& \int_{\iota^{-1}[0,8]}g(\iota(x)) \, d\lambda(x)\text{, where }\lambda(E) := \int_{E}3x^2 \, d\mu(x)\\ &=& \int_{[0,8]}g(y) \, d[\iota^{*}\lambda](y)\text{, using the law above} \end{eqnarray*}

which seems to me to make sense only if $\iota^{*}(\lambda) = \mu$. At this point I feel like I'm losing grip on things. How can I prove that

$$\mu(E) = \int_{\iota(E)}3x^2 \, d\mu(x)?$$

I understand this is probably not how these calculations are performed in practice but I'm just trying to convince myself that the law stated above truly is a generalization of the one I learned in my first year of studies.

roo
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    As far as I know, change of variables in that form is not a general measure space thing, it's specific to $\mathbb{R}^n$ with Lebesuge measure. The proofs I know of use translation invariance and regularity of the measure, and compactness of the unit ball in some form or another. – nullUser May 25 '13 at 04:33
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    There is of course the notion of a pushforward measure (http://en.wikipedia.org/wiki/Pushforward_measure) which comes with a change of variables formula (see the wiki), but this isn't quite the same kind of change of variables as you are talking about. Proof of the change of variables formula for pushforward measures proceeds by monotone class or standard machine argument. – nullUser May 25 '13 at 04:34
  • But since $\iota(x) = x^{3}$ is a measurable function, the pushforward measure formula must hold in this case. So can I at least conclude that $\iota^{*}\lambda = \mu$, even if its not easy to check? – roo May 26 '13 at 00:07
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    @Kyle: shouldn't it be $\iota^*(\mu)[A] = \mu[\iota^{-1}(A)]$? Anyways, similar question have been asked here and there, but have not received answers. This is only a couple that I've found via a quick search, perhaps there are more on MSE or on MO. Maybe, something like that is treated in geometric measure theory book like Federer's one? – SBF May 26 '13 at 17:12
  • It looks like you're right, and also the bearer of bad news.... I need to re-check the last 3 weeks' work..... :<

    Thanks for pointing this out.

    – roo May 26 '13 at 23:09
  • @Kyle: sorry to hear that – SBF Jun 03 '13 at 15:38

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