Let (gn) be a sequence in M+, then
∫(∑∞n=1gn)dμ=∑∞n=1(∫gndμ)
proof: Let fn=g1+⋯+gn, then fn is a monotone increasing sequence of functions in M+. I wan t use Monotone Convergence Theorem but I don't know how to guarantee that fn converges to f=limn→∞∑ni=1gn=∑∞i=1gn.
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