Here I have a rather naive question concerning integral representation of probability measures. In general I have problems with it, so here there is a super basic setting:
- $(X, \Sigma, \mu)$ probability space,
- $A, B \in \Sigma$,
- $\chi_B \in [0,1]^X$ indicator function of $B$ (measurable),
- $\int_X \chi_B \mu$.
Problem:
Considering that $A \in \Sigma$ is arbitrary, can we proceed with the following equivalence:
$$ \int_{A} \chi_B \mu = \mu(A) ?$$
Questions:
I think we can in general, but I am not sure why.
- Is it true that we can?
- If yes, why?
Any feedback as always it is greatly appreciated.
Thank you for your time.
For the sake of an answer: $$ ∫_A1_Bdμ=∫_X1_A1_Bdμ=∫_X1_{A∩B}dμ=μ(A∩B). $$