## Change of Variables in Multiple Integrals III

Today we finish up the proof of the change of variables formula for multiple integrals:

So far, we’ve shown that we can chop up into a collection of nonoverlapping regions and into their preimages . Further, within each we can factor , where fixes each component of except the last, and fixes that one. If we can show the formula holds for each such region, then it will hold for arbitrary (compact, Jordan measurable) .

From here we’ll just drop the subscripts to simplify our notation, since we’re just concerned with one of these regions at a time. We’ve got and its preimage . We’ll also define , so that . For each real we define

Then , since preserves the last component of the vector. We also define

The lowest and highest points in along the th coordinate direction. Now we can again define and set up the iterated integral

We can apply the inductive hypothesis to the inner integral using , which only involves the first coordinates anyway. If we also rename to , this gives

Which effectively integrates as runs over . But now we see that lies within the projection of , as we defined when we first discussed iterated integrals. We want to swap the order of integration here, so we have to rewrite the limits. To this end, we write , , and define

which runs over the part of above some fixed point in . Then we can reverse the order of integration to write

Now we can perform the one-dimensional change of variables on the inner integral and swap out the variables through to write

But now we recognize the product of the two Jacobian determinants as the Jacobian of the composition:

and so we can recombine the iterated integral into the -dimensional integral

Finally, since we can replace the composition. We can also replace by since there’s no chance anymore for any evaluation of to go outside . We’re left with

Essentially, what we’ve shown is that we can always arrange to first change variables (which we handle by induction) and then by the last variable. The overall scaling factor is the -dimensional scaling factor from the first transformation times the one-dimensional scaling factor from the second, and this works because of how the Jacobian works with compositions.

This establishes the change of variables formula for regions within which we can write as the composition of two functions, one of which fixes all but the last coordinate, and the other of which fixes that one. Since we established that we can always cut up a compact, Jordan measurable set into a finite number of such pieces, this establishes the change of variables formula in general.

John,

What are the assumptions on f? I missed them if you stated them.

Can the assumptions on g be relaxed?

–rich

Comment by rich | January 2, 2011 |

should only need to be integrable, while needs to be differentiable (in the higher-dimensional sense) to even define the Jacobian determinant. I don’t think I had to strengthen that assumption, but it certainly can’t be weakened.

Comment by John Armstrong | January 2, 2011 |

I think g differentiable is a sufficient condition. I wonder whether g can be differentiable in a some sort weak sense since all takes place under and integral.

Comment by Rich Lehoucq | January 4, 2011 |

It wouldn’t entirely surprise me if there were some give to the results, but whatever improvement is possible is likely not general. That is, we can weaken one condition by strengthening some other condition. Analytic results often have complicated and fussy “boundaries”, especially as compared with algebraic or categorical ones.

Comment by John Armstrong | January 4, 2011 |