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I'm reaching out because I'm genuinely stuck on a few questions from a homework assignment for my measure theory class. Despite spending the last couple of days trying to work through them, I keep hitting dead ends. Any assistance or pointers you could offer would be incredibly valuable. Here's one of the questions:

Let $f:\mathbb{R} \to \mathbb{R}$ be a lebesgue measurable function. Prove that $$\int_{\mathbb{R}} |f(x)|dm(x) = \int_{0}^{\infty} m\left( \left\{x \in \mathbb{R} \mid |f(x)| \geq t \right\} \right) dm(t)$$

Note, this assignment has been given to us after we were introduced in the lecture to product spaces, and among the rest to Fubini's/Tonelli's theorems.


Edit - My proof attempt I aim to to use Fubini's/Tonelli's theorem. By rewriting the left-hand side integral as $$ \int_{\mathbb{R}} |f(x)|dm(x) = \int_{\mathbb{R}} \left( \int_{0}^{|f(x)|} 1dm(t)\right)dm(x) $$ If I could use any of the mentioned theorems then by changing the order of integration I would get$$\int_{0}^{\infty} \left(\int_{\mathbb{R}} \mathbb{1}_\left\{\left(x,t\right) \mid 0\leq t\leq |f(x)| \right\} dm(t)\right)dm(x) = \int_{0}^{\infty} m\left( \left\{ x\in \mathbb{R} \mid|f(x)| \geq t \right\} \right)dm(t)$$ but I don't know how to justify the use of any of them.

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    $\begingroup$ Hint: Rewrite the left-hand side, $$\int |f(x)| dm(x)$$ as a double integral so that you can switch the order of integration. $\endgroup$ Commented Jun 25 at 14:45
  • $\begingroup$ math.stackexchange.com/q/1381571/42969 $\endgroup$ Commented Jun 25 at 14:47
  • $\begingroup$ I really don't understand this solution. I have been trying to figure out what is written there for the last hour. Can anyone help we with a few questions about it? $\endgroup$ Commented Jun 25 at 14:54

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Here is another solution for you. As you have notice that $$\int_{\mathbb{R}} |f(x)|dm(x) = \int_{\mathbb{R}} \left( \int_{0}^{|f(x)|} 1dm(t)\right)dm(x)=\int_{\mathbb{R}} \left( \int_{0}^{\infty} \mathbb{1} _\left\{\left(x,t\right) \mid 0\leq t\leq |f(x)| \right\} dm(t)\right)dm(x) $$ If we could have used tonelli's theorem we could have change the order of integration and get $$\int_{0}^{\infty} \left(\int_{\mathbb{R}} \mathbb{1} _\left\{\left(x,t\right) \mid 0\leq t\leq |f(x)| \right\} dm(t)\right)dm(x) = \int_{0}^{\infty} m\left( \left\{ x\in \mathbb{R} \mid|f(x)| \geq t \right\} \right)dm(t)$$ which is the desired equality. Therefore, it suffice to justify the usage of tonelli's theorem. The Lebesgue measure is complete and $\sigma$-finite thus it suffices to prove that the function $\mathbb{1}_\left\{ x\in \mathbb{R} \mid |f(x)| \geq t \right\}$ is a measurable function in the product space or, equivalently that the set $\left\{ x\in \mathbb{R} \mid |f(x)| \geq t \right\}$ is measurable.
Let $\alpha \in \mathbb{R}$. From the assumption f is lebesgue measurable (since is integrable) which implies that $|f|$ is also lebesgue measurable therefore the set $E_{\alpha} = \left\{x \in \mathbb{R} \mid |f(x)| > \alpha \right\}$ is measurable in $\left( \mathbb{R} , \mathcal{L} \left( \mathbb{R} \right) \right)$. $\mathbb{R}$ is obviously measurable and therefore the set $E_{\alpha} \times \mathbb{R}$ is a measurable rectangle which is by definition measurable in the product space. Define $$G(x,t) = |f(x)|$$and notice that $G^{-1} \left( \left(\alpha ,\infty \right)\right) = E_{\alpha} \times \mathbb{R}$. Since $\alpha$ was arbitrary this proves that $G$ is measurable. In the same way one can prove that the function $H(x,t) = t$ is measurable in the product space and therefore $$R(x,t) = G\left(x,t\right) - H\left(x,t \right) = |f(x)| - t$$ is measurable as a function from the product space to $\mathbb{R}$. Therefore the set $$\left\{ x\in \mathbb{R} \mid |f(x)| > t\right\} = R^{-1} \left( \left[0, \infty \right]\right)$$ is measurable in the product space.

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  • $\begingroup$ Thank you for this solution $\endgroup$ Commented Jun 25 at 18:49

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