Could you please help me with this:
show that for -T<t<T, the function defined by
is Lebesgue integrable and that
We are allowed to use results from Lebesgue integration.
Thanks in advance!
Integrate with respect to t to see that . Now use Fubini to change the order of integration and deduce that (after replacing T by t).
Now repeat the process: integrate from t=0 to T again, use Fubini, and conclude that . Finally, integrate by parts to see that .