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Real Analysis J. Yeh

Real Analysis J. Yeh

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Lemma 14.15. Let f be a convex function on an open interval I in R. Then for any
x\,... ,xn
e I and X\,... , Xn e [0, 1] such that X\ + • • • + Xn = I, we have

(1)

f&lXl + •••+ XnXn) < M/Ol) + • • • + Xnf(xn).

Proof. Let then points x\,... ,xn in /be so numbered that x\ < • • • < xn. LetA.],... , Xn e
[0, 1] be such that X H

hA„ = 1. If we let £ = X\xi-\

h X„xn, then f e [x\,x„] C /.
Take an arbitrary real number m e [(Dif)(%), (Dr/)(^)]. By (2) of Theorem 14.8, we
have f(x) > m(x - ^) + /(f) forx s /. Then

n

n

Y.^fixk) > YJX

k\m{xk - |) + /(?)}

k=\

k=\

n

= m £>*(**-£) +/(£)

k=\

= /(M*i H

hA.„x„). I

Let us observe that for n = 2, the inequality (1) in Lemma 14.15 is the convexity
condition and in fact (1) can be derived directly from the convexity condition by induction
on n and furthermore it is not necessary to assume that the interval / is an open one in this
derivation. The proof given above is of interest in that the proof for the Jensen's Inequality
below resembles this proof.

Lemma 14.15 has the following equivalent statement: Let / be a convex function on
an open interval / in R. Then for any x\,... ,xn e I and t\,... , t„ e [0, oo) such that
t\-\

h tn > 0, we have

ft\x\ H

\-tnxn\

< hf(x\) H

\-tnf{xn)

V ti +••• + !„ ) ~

h + • • • + tn

This form resembles more closely Jensen's Inequality.

Theorem 14.16. (Jensen's Inequality) Let (X, 21, /x) be a measure space. Let g be a real-
valued ^.-measurable and fi-integrable function on a set D e
21 with IJ,(D) e (0, oo). If
f is a convex function on an open interval I in
R and if g{D) C I, then

Proof. Being a real-valued 2t-measurable function on D e 21, g is a 2l/25R-measurable
mapping from (X, 21) to (R, 25R) by Theorem 4.6. The convexity of / on the open interval
/ implies that / is a real-valued continuous function on / by (b) of Theorem 14.5 and

§14 Convex Functions

321

then / is a *8R/*8R-measurable mapping from (R, *8R) to (R, *8K) by Theorem 4.27 and
Theorem 4.6 and therefore / o g is a 2l/25R-measurable mapping from (X, 21) to (R, 25R)
by Theorem 1.40, that is, / o g is a real-valued 2l-measurable function on D.
Let the open interval I be given by / = (a, b) where — oo < a < 6 < oo. We have
foSdn e R by the /it-integrability of g on D. The assumption g(D) c (a, b) implies
a < g < b on D and hence jDgdfx e (a/j.(D), b/j,(D)). Let

(2)

£ = —I— (

gdii€(a,b).

V(D)jD

!

Then the convexity of / on (a, &) implies that if we take an arbitrary real number m in the
range [(£>*/)(£), (Dr/)(f)]thenby (b) of Theorem 14.8 we have /(*) > m(*-|) + /(f)
for every x e (a, fc). Since g(y) e (a, 6) for every y e Z), we have

/(g(y)) > m{g(y) - !} + /(£) foryeD.

Integrating with respect to /i. and recalling the definition of § by (2), we have

j fogd,x>m\j

gdn-i;fi(D)\+f($)Li(D)

= f(l:)n(D).

Dividing both sides by n(D), we have the inequality (1). I

For r € (1, co), the function f(x) = xr

is a convex function forx e [0, oo) which can
be extended to be a convex function on R by setting f(x) = 0 for x € (-co, 0). Applying
Theorem 14.16 to this convex function, we have the following Proposition.

Proposition 14.17. Let (X, 21, p.) be a measure space. Let g be an extended real-valued 21-
measurable function on a set D e 21 with IJ-(D) e (0, oo). Then for any 0 < p < q < oo,
we have

(1)

P) jD '*• n - U(D) yD

LM(O)

l£l9

^

V?

Proof. If 0 < p < q < oo, then q/p e (1, oo). Define a real-valued function / on R by

x*?^ for x € [0,oo),

0

for* € (-oo,0).

Then / is differentiable everywhere on R and its derivative is given by

f ±x(qlp)-\

fOrxe[0,oo),

[ 0

for* e (-oo.O).

Thus /' is a real-valued increasing function on R and this implies according to (b) of
Theorem 14.10 that / is a convex function on R.

322

Chapter 3 Differentiation and Integration

For every n e N, let gn = \g\ A n on D. Then \gn\P < np

on D. Since fi(D) < oo,

|g„ \p

is ju,-integrable on £). Also / o \gn \p

= \gn \i on D. Thus by Theorem 14.16, we have

.nkLl8n

\p

q/p

kfo18

"

lx(D)

\*dn

and then

(2)

[^/^HM^/»ig

H 1/9

Since |g„| f |g| on D as n —• oo, we have |gn|p

f |g|p

and Ignl9

t l/l9

- By Theorem 8.5

(Monotone Convergence Theorem), we have lim / \g„\p

dfi = I \g\p

d/x. Applying

"^COJD

JD

these to (2), we have (1). I

Chapter 4

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