We consider Bernoulli measures mu p on the interval [0, 1]. For the standard Lebesgue measure the digits 0 and 1 in the binary representation of real numbers appear with an equal probability 1/2. For the Bernoulli measures, the digits 0 and 1 appear with probabilities p and 1-p, respectively. We provide explicit expressions for various mu p-integrals. In particular, integrals of polynomials are expressed in terms of the determinants of special Hessenberg matrices, which, in turn, are constructed from the Pascal matrices of binomial coefficients. This allows us to find closed-form expressions for the Fourier coefficients of mu p in the Legendre polynomial basis. At the same time, the trigonometric Fourier coefficients are values of some special entire functions, which admit explicit infinite product expansions and satisfy interesting properties, including connections with the Stirling numbers and the polylogarithm.
