Bourbaki

Exercise 22, § 4

Integration, IV, p. 126

Let X, Y be two locally compact spaces, μ\mu a bounded measure on X, ν\nu a bounded measure on Y, so that μ⊗ν\mu \otimes \nu is a bounded measure on X×YX \times Y. Show that for every function f∈C0(X×Y;C)f \in \mathscr{C}^0(X \times Y; \mathbf{C}), the function x↦∫f(x,y)dν(y)x \mapsto \int f(x, y) d\nu(y) belongs to C0(X;C)\mathscr{C}^0(X; \mathbf{C}) and

∫f(x,y)dμ(x)dν(y)=∫dμ(x)∫f(x,y)dν(y). \int f(x, y) d\mu(x) d\nu(y) = \int d\mu(x) \int f(x, y) d\nu(y).

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