Here is a rigorous proof of Fubini’s Theorem on the equality of double and iterated

integrals. The present version is slightly more general than the one stated in the textbook.

Fubini’s Theorem. Let f be an integrable function on the rectangle R D Œa; b  Œc; d .

Rb
Suppose that for each y 2 Œc; d , the integral a f .x; y/ dx exists and moreover
Rb
a f .x; y/ dx as a function of y is integrable on Œc; d . Then
“ Z dZ b
f dA D f .x; y/ dx dy:
R c a

Of course a similar statement holds with the role of x; y changed. When f is continuous
on the rectangle R, all the integrability assumptions hold automatically and we have
“ Z dZ b Z bZ d
f dA D f .x; y/ dx dy D f .x; y/ dy dx:
R c a a c

The proof begins as follows. Take arbitrary partitions x0 D a < x1 <


< xm D b of
Œa; b and y0 D c < y1 <


< yn D d of Œc; d . Let P be the partition of R into the mn
sub-rectangles Rij D Œxi 1 ; xi   Œyj 1 ; yj . As usual, set
xi D xi xi 1 yj D yj yj 1 mij D inf f Mij D sup f:
Rij Rij

Since
mij  f .x; y/  Mij for .x; y/ 2 Rij ;
the comparison property of the integral in dimension 1 shows that
Z xi
mij xi  f .x; y/ dx  Mij xi if y 2 Œyj 1 ; yj :
xi 1

Summing over all i from 1 to m, we obtain

Xm Z b m
X
mij xi  f .x; y/ dx  Mij xi if y 2 Œyj 1 ; yj :
iD1 a i D1

Applying comparison once more gives

m m
! Z yj Z !
X b X
mij xi yj  f .x; y/ dx dy  Mij xi yj :
i D1 yj 1 a i D1

Summing up over j from 1 to n, we obtain

X n Xm Z dZ b n X
X m
mij xi yj  f .x; y/ dx dy  Mij xi yj :
j D1 i D1 c a j D1 i D1
Thus, for every partition P of the rectangle R,
Z dZ b
L.f; P/  f .x; y/ dx dy  U.f; P/:
c a

’ the other hand, since by the assumption f is integrable on R, the double integral
On
R f dA is the unique number which satisfies
“
L.f; P/  f dA  U.f; P/
R
for every partition P. Therefore, we must have
“ Z dZ b
f dA D f .x; y/ dx dy;
R c a
as claimed.