Here's one option:

The code:
\documentclass{article}
\usepackage{amsmath,amssymb}
\usepackage{tikz}
\usetikzlibrary{patterns}
\tikzset{
smalldot/.style={
circle,
fill,
inner sep=1.2pt
}
}
\begin{document}
\begin{tikzpicture}[>=latex]
\draw[->]
(-5,0) -- (5,0);
\draw[->]
(0,-1) -- (0,5);
\begin{scope}
\clip
(-5,0) rectangle (5,5);
\draw
(0,0) circle [radius=3cm];
\draw
(0,0) circle [radius=4cm];
\end{scope}
\draw
(-1,1) circle [radius=0.65cm] node[smalldot,label={below:$x_{0}$}] {};
\begin{scope}
\clip
(0,0) circle [radius=3cm];
\draw[pattern=north east lines]
(45:3cm) circle [radius=0.65cm];
\end{scope}
\draw
(45:3cm) circle [radius=0.65cm] node[smalldot,label={right:$x_{0}$}] {};
\draw
(-1,1) -- node[above left=-2pt] {$\rho$} ++(30:0.65cm);
\foreach \Posicion\Label in
{(3,0)/$r$,(-3,0)/$-r$,(4,0)/$1$,(-4,0)/$-1$}
{
\node[below] at \Posicion {\strut\Label};
}
\node[anchor=north west] at (5,0)
{$x'\in\mathbb{R}^{N-1}$};
\node[anchor=west] at (0,5)
{$x_{N}$};
\draw[->,help lines]
(70:3cm) to[out=40,in=180] ++(2cm,20pt) node[right,text=black] {$I^{\ast}(r)$};
\draw[->,help lines]
(70:4cm) to[out=40,in=180] ++(2cm,20pt) node[right,text=black] {$I^{\ast}(1)$};
\end{tikzpicture}
\end{document}
In comments it was requested to add dome color:
\documentclass{article}
\usepackage{amsmath,amssymb}
\usepackage{tikz}
\usetikzlibrary{patterns}
\tikzset{
smalldot/.style={
circle,
fill,
inner sep=1.2pt
}
}
\begin{document}
\begin{tikzpicture}[>=latex]
\begin{scope}
\clip
(-5,0) rectangle (5,5);
\filldraw[fill=orange!20]
(0,0) circle [radius=4cm];
\filldraw[fill=cyan!30]
(0,0) circle [radius=3cm];
\end{scope}
\draw[->]
(-5,0) -- (5,0);
\draw[->]
(0,-1) -- (0,5);
\draw
(-1,1) circle [radius=0.65cm] node[smalldot,label={below:$x_{0}$}] {};
\begin{scope}
\clip
(0,0) circle [radius=3cm];
\filldraw[fill=red!50]
(45:3cm) circle [radius=0.65cm];
\end{scope}
\draw
(45:3cm) circle [radius=0.65cm] node[smalldot,label={right:$x_{0}$}] {};
\draw
(-1,1) -- node[above left=-2pt] {$\rho$} ++(30:0.65cm);
\foreach \Posicion\Label in
{(3,0)/$r$,(-3,0)/$-r$,(4,0)/$1$,(-4,0)/$-1$}
{
\node[below] at \Posicion {\strut\Label};
}
\node[anchor=north west] at (5,0)
{$x'\in\mathbb{R}^{N-1}$};
\node[anchor=west] at (0,5)
{$x_{N}$};
\draw[->,help lines]
(70:3cm) to[out=40,in=180] ++(2cm,20pt) node[right,text=black] {$I^{\ast}(r)$};
\draw[->,help lines]
(70:4cm) to[out=40,in=180] ++(2cm,20pt) node[right,text=black] {$I^{\ast}(1)$};
\end{tikzpicture}
\end{document}
