Bourbaki

Exercise 3, § 1

Integration, VI, p. 57

Let S, T, Y be three locally compact spaces, countable at infinity, with Y having a countable base. Let ρ\rho (resp. σ\sigma) be a positive measure on S (resp. T), ν=ρ⊗σ\nu = \rho \otimes \sigma, and let (λs,t)(s,t)∈S×T(\lambda_{s,t})_{(s,t) \in S \times T} be a ν\nu-adequate1^1 family of positive measures on Y. Then, there exists a ρ\rho-negligible set N such that, for every s∉Ns \notin N, the family (λs,t)t∈T(\lambda_{s,t})_{t \in T} is σ\sigma-adequate; the family s↦∫λs,tdσ(t)s \mapsto \int \lambda_{s,t} d\sigma(t) (defined almost everywhere) is ρ\rho-adequate, and

∬λs,tdρ(s)dσ(t)=∫dρ(s)∫λs,tdσ(t). \iint \lambda_{s,t} d\rho(s) d\sigma(t) = \int d\rho(s) \int \lambda_{s,t} d\sigma(t).

(Apply Exer. 2 to the space X=S×TX = S \times T, on noting that ν=∫(εs⊗σ)dρ(s).\nu = \int (\varepsilon_s \otimes \sigma) d\rho(s).)

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