I try to calculate the Lebesgue measure of this set: $ S_3:=\{(x,y,z)\in \mathbb{R}^3:x+y+z\leq 1\} $. Here is a picture of the set:
At fisrt I set the integration limits:
$ x\leq 1-y-z $ so $ 0\leq x \leq 1-y-z $
$ y\leq 1-x-z $ so $ 0\leq y \leq 1-x-z $
and $ 0\leq z \leq 1 $
As far correct?
Then I integrate three times:
$ \begin{align} \lambda^3(S_3)&=\int\limits_{S_3}1\ d\lambda^3\\&=\int\limits_0^1\Bigg(\int\limits_0^{1-x-z}\Bigg(\int\limits_0^{1-y-z} 1\ dx\Bigg)dy\Bigg)dz \\&=\int\limits_0^1\Bigg(\int\limits_0^{1-x-z}\Bigg(1-y-z\Bigg)dy\Bigg)dz\\&=\int\limits_0^1\Bigg(\dfrac{\left(z-x-1\right)\left(z+x-1\right)}{2} \Bigg)dz\\&=-\dfrac{3x^2-1}{6} \end{align} $
But I has to be $ \lambda^3(S_3)=\frac{1}{6} $. What went wrong here?
$ S_3 $" />
Your integration limits should be $$\int_0^1 \left( \int_0^{1-z} \left( \int_0^{1-y-z} 1 \, dx \right) dy \right) dz.$$ You have an extra $x$ lying around in the integration limit.
Edit to answer comment: When you are performing a multiple integration you are integrating one variable while leaving other constants. In this problem you performed it in the following sequence: $$\begin{aligned} g(y,z) & = \int_m^n f(x,y,z) \, dx \\ h(z) & = \int_c^d g(y,z) \, dy \\ V & = \int_a^b h(z) \, dz \end{aligned}$$
In this particular case, you are integrating slices of a plane perpendicular to the $x$-axis up to the tetrahedron face where $x+y+z=1$. Once you are done with this integration $x$ no longer plays a role. Next, you are integrating on the $yz$ plane from the $y$ axis to the line where $y+z=1$. Finally, you find that value for $z$ in the interval $[0,1]$.