Analysis

Course 221
David Simms
School of Mathematics
Trinity College
Dublin
Typesetting
Eoin Curran.
1
2
Contents
1 Lebesgue Measure 7
1.1 Algebra of Subsets . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2 The Interval Algebra . . . . . . . . . . . . . . . . . . . . . . . 9
1.3 The length measure . . . . . . . . . . . . . . . . . . . . . . . . 11
1.4 The σ-algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.5 The outer measure . . . . . . . . . . . . . . . . . . . . . . . . 14
1.6 Extension of measure to σ-algebra, using outer measure . . . . 16
1.7 Increasing Unions, Decreasing Intersections . . . . . . . . . . . 20
1.8 Properties of Lebesgue Measure . . . . . . . . . . . . . . . . . 22
1.9 Borel Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
2 Integration 29
2.1 Measure Space, Measurable sets . . . . . . . . . . . . . . . . . 29
2.2 Characteristic Function . . . . . . . . . . . . . . . . . . . . . . 30
2.3 The Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.4 Monotone Convergence Theorem . . . . . . . . . . . . . . . . 34
2.5 Existence of Monotone Increasing Simple Functions converg-
ing to f . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
2.6 ’Almost Everywhere’ . . . . . . . . . . . . . . . . . . . . . . . 39
2.7 Integral Notation . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.8 Fundamental Theorem of Calculus . . . . . . . . . . . . . . . 46
2.9 Fatou’s Lemma . . . . . . . . . . . . . . . . . . . . . . . . . . 48
2.10 Dominated Convergence Theorem . . . . . . . . . . . . . . . . 49
2.11 Differentiation under the integral sign . . . . . . . . . . . . . . 50
3 Multiple Integration 53
3.1 Product Measure . . . . . . . . . . . . . . . . . . . . . . . . . 53
3.2 Monotone Class . . . . . . . . . . . . . . . . . . . . . . . . . . 56
3.3 Ring of Subsets . . . . . . . . . . . . . . . . . . . . . . . . . . 57
3.4 Integration using Product Measure . . . . . . . . . . . . . . . 59
3.5 Tonelli’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 63
3
3.6 Fubini’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 64
4 Differentiation 71
4.1 Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
4.2 Normed Space . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
4.3 Metric Space . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
4.4 Topological space . . . . . . . . . . . . . . . . . . . . . . . . . 73
4.5 Continuous map of topological spaces . . . . . . . . . . . . . . 75
4.6 Homeomorphisms . . . . . . . . . . . . . . . . . . . . . . . . . 77
4.7 Operator Norm . . . . . . . . . . . . . . . . . . . . . . . . . . 77
4.8 Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
4.9 Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
4.10 C
r
Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
4.11 Chain Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
5 Calculus of Complex Numbers 89
5.1 Complex Differentiation . . . . . . . . . . . . . . . . . . . . . 89
5.2 Path Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
5.3 Cauchy’s Theorem for a triangle . . . . . . . . . . . . . . . . . 95
5.4 Winding Number . . . . . . . . . . . . . . . . . . . . . . . . . 98
5.5 Cauchy’s Integral Formula . . . . . . . . . . . . . . . . . . . . 101
5.6 Term-by-term differentiation, analytic functions, Taylor series 104
6 Further Calculus 107
6.1 Mean Value Theorem for Vector-valued functions . . . . . . . 107
6.2 Contracting Map . . . . . . . . . . . . . . . . . . . . . . . . . 108
6.3 Inverse Function Theorem . . . . . . . . . . . . . . . . . . . . 109
7 Coordinate systems and Manifolds 115
7.1 Coordinate systems . . . . . . . . . . . . . . . . . . . . . . . . 115
7.2 C
r
-manifold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
7.3 Tangent vectors and differentials . . . . . . . . . . . . . . . . . 118
7.4 Tensor Fields . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
7.5 Pull-back, Push-forward . . . . . . . . . . . . . . . . . . . . . 125
7.6 Implicit funciton theorem . . . . . . . . . . . . . . . . . . . . 127
7.7 Constraints . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
7.8 Lagrange Multipliers . . . . . . . . . . . . . . . . . . . . . . . 132
7.9 Tangent space and normal space . . . . . . . . . . . . . . . . . 133
7.10 ?? Missing Page . . . . . . . . . . . . . . . . . . . . . . . . . . 134
7.11 Integral of Pull-back . . . . . . . . . . . . . . . . . . . . . . . 135
7.12 integral of differential forms . . . . . . . . . . . . . . . . . . . 136
4
7.13 orientation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
8 Complex Analysis 145
8.1 Laurent Expansion . . . . . . . . . . . . . . . . . . . . . . . . 145
8.2 Residue Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 147
8.3 Uniqueness of analytic continuation . . . . . . . . . . . . . . . 151
9 General Change of Variable in a multiple integral 153
9.1 Preliminary result . . . . . . . . . . . . . . . . . . . . . . . . . 153
9.2 General change of variable in a multiple integral . . . . . . . . 156
5
6
Chapter 1
Lebesgue Measure
1.1 Algebra of Subsets
Definition Let X be a set. A collection / of subsets of X is called an
algebra of subsets of X if
1. ∅ ∈ /
2. E ∈ / =⇒ E

∈ /. E

= ¦x ∈ X : x ∈ E¦
3. E
1
, . . . , E
k
∈ / =⇒ E
1
∪ E
2
∪ ∪ E
k
∈ /. i.e., / is closed under
complements and under finite unions. Hence / is closed under finite
intersection. (because E
1
∩ ∩ E
k
= (E
1

∪ ∪ E
k

)

)
Example Let 1 be the collection of all finite unions of intervals in R of the
form:
1. (a, b] = ¦x ∈ R : a < x ≤ b¦
2. (−∞, b] = ¦x ∈ R : x ≤ b¦
3. (a, ∞) = ¦x ∈ R : a < x¦
4. (−∞, ∞) = R
1 is an algebra of subsets of R, called the Interval Algebra.
£
¢
£
¢
£
¢
7
We want to assign a ‘length’ to each element of the interval algebra 1, so
we want to allow ‘∞’ as a length. We adjoin to the real no’s the 2 symbols
∞ and −∞ to get the Extended Real Line:
Definition The Extended Real Line:
R∪ ¦−∞, ∞¦ = [−∞, ∞]
We extend ordering, addition, multiplication to [−∞, ∞] by:
1. −∞< x < ∞∀x ∈ R
2. Addition
(a) ∞+∞= x +∞ = ∞+x = ∞
(b) (−∞) + (−∞) = x + (−∞) = (−∞) +x = −∞
(Don’t define ∞+ (−∞) or (−∞) +∞.)
3. Multiplication
(a) ∞∞= ∞= (−∞)(−∞)
(b) ∞(−∞) = (−∞)∞= −∞
(c) x∞ = ∞x =

∞ x > 0
0 x = 0
−∞ x < 0

(d) x(−∞) = (−∞)x =

−∞ x > 0
0 x = 0
∞ x < 0

Definition If A ⊂ [−∞, ∞] then
1. supA = ∞ if ∞∈ A or if A has no upper bound in R.
2. infA = −∞ if −∞ ∈ A or if A has no lower bound in R.
Definition Let / be an algebra of subsets of X. A function m : / −→[0, ∞]
is called a measure on / if:
1. m(∅) = 0
2. if E =
¸

j=1
E
j
is countably disjoint with E
j
∈ / ∀j then m(E) =
¸

j=1
m(E
j
). (m is Countably Additive.)
8
E
Figure 1.1: E is a disjoint union of sets
Note:
1. Countable means that E
1
, E
2
, . . . is either a finite sequence or can be
labelled by (1, 2, 3, . . .).
2. Disjoint means that E
i
∩ E
j
= ∅ ∀i = j
3. m(E) =
¸

j=1
m(E
j
) means either:
(a)
¸

j=1
m(E
j
) is a convergent series of finite no’s with the sum of
the series as m(E)
(b)
¸

j=1
m(E
j
) is a divergent series with m(E) = ∞
(c) m(E
j
) = ∞ for some j, and m(E) = ∞
1.2 The Interval Algebra
Definition For each E ∈ 1, the interval algebra (See Section 1.1), write
E = E
1
∪ ∪ E
k
(disjoint) where each E
i
is of the form (a, b], (−∞, b], (a, ∞), or(−∞, ∞). The
length of E is m(E) = m(E
1
) +m(E
2
) + +m(E
k
) where m(a, b] = b −a.
m(−∞, b] = m(a, ∞) = m(−∞, ∞) = ∞
Definition a set V ⊂ R is called an Open Subset of R if:
for each a ∈ V ∃ > 0 s.t.(a −, a +) ⊂ V
£
¢

¡
£
¢

¡
a − a + a
i.e., every point is an interior point: it has no end points.
9
Theorem 1.2.1. (Heine-Borel-Lebesgue) The closed interval is compact.
Let ¦V
i
¦
i∈I
be a family of open sets in R which cover the closed interval
[a, b]. Then ∃ a finite number of them: V
i
1
, . . . , V
i
k
(say) which cover [a, b]
(i.e. [a, b] ⊂ V
i
1
∪ ∪ V
i
k
.)
Proof. Put
K = ¦x ∈ [a, b] s.t. ∃( finite set ¦i
1
, . . . , i
r
¦ ⊂ I s.t. [a, x] ⊂ V
i
1
∪ ∪V
ir

c a b
a ∈ K =⇒ K = ∅
Let
c = sup K
Then
a ≤ c ≤ b c ∈ V
j
(say)
V
j
is open, therefore
∃ > 0 s.t. (c −, c +) ⊂ V
j
and
∃ k ∈ K s.t. c − < k ≤ c,
[a, k] ⊂ V
i
1
∪ ∪ V
ir
(say)
Then
[a, min(c +

2
, b)] ⊂ (V
i
1
∪ ∪ V
ir
∪ V
j
)
therefore
min(c +

2
, b) ∈ K
But c +

2
∈ K (as c = sup K) =⇒ b ∈ K as required.
10
1.3 The length measure
Theorem 1.3.1. The length function
m : 1 −→[0, ∞]
is a measure on the interval algebra 1
Proof. We have to check that m is countably additive, which reduces to
showing that if
(a, b] =

¸
j=1
(a
j
, b
j
]
is a countable disjoint union then

¸
j=1
(b
j
−a
j
)
is a convergent series with sum b −a.
Take the first n intervals and relabel them:
(a
1
, b
1
], . . . , (a
n
, b
n
]
so that:
a a
1
b
1
a
2
b
2
a
3
b
3
an bn b
then
¸
n
j=1
(b
j
−a
j
) = b
1
−a
1
+b
2
−a
2
+b
3
−a
3
+ +b
n
−a
n
≤ a
2
−a +a
3
−a
2
+a
4
−a
3
+ +b −a
n
= b −a
therefore

¸
j=1
(b
j
−a
j
)
converges and has sum ≤ b −a
Let > 0 and put
0
=

2
,
1
=

4
, . . . ,
j
=

2
j+1
, . . .
so
j
> 0 and
¸

j=1

j
=
Then
(a −
0
, a +
0
), (a
1
, b
1
+
1
), (a
2
, b
2
+
2
), . . .
is a family of open sets which cover [a, b]
11
By the compactness of [a, b] ∃ a finite number of these open sets which
cover [a, b], and which by renumbering and discarding some intervals if nec-
essary we can take as:
(a −
0
, a +
0
), (a
1
, b
1
+
1
), . . . , (a
n
, b
n
+
n
)
so that:
a −
0
a +
0
a a
1
a
2
b
2
+
2
b
1
+
1
a
3
b
3
+
3
a
n−1
b
n−1
+
n−1
b
an bn + n
b −a = a
1
−a +a
2
−a
1
+ +a
n
−a
n−1
+b −a
n
<
0
+(b
1
+
1
−a
1
) + +(b
n−1
+
n−1
−a
n−1
) +(b
n
+
n
−a
n
)
< +
¸

j=1
(b
j
−a
j
)
is true ∀ > 0. Therefore
b −a ≤

¸
j=1
(b
j
−a
j
)
Therefore

¸
j=1
(b
j
−a
j
) = b −a
as required.
Let m :−→[0, ∞] be a measure m on an algebra / of subsets of X.
E ⊂ F =⇒

Thenm(E) ≤ m(F)
and
m(F ∩ E

) = m(F) −m(E) if m(F) = ∞

Then
F = E ∪ (F ∩ E

)
E
F
is a disjoint union, and
m(F) = m(E) +m(F ∩ E

)
12
Theorem 1.3.2. (m is subadditive on countable unions)
m(

¸
j=1
) ≤

¸
i=1
m(E
i
)
Proof. We proceed as follows:
Let
F
n
= E
1
∪ E
2
∪ ∪ E
n
1
E E
2
E
3
E
n

¸
j=1
E
j
= E
1
∪ (E
2
∩ F
1

) ∪ (E
3
∩ F
2

) ∪
m(
¸

j=1
E
j
) = m(E
1
) +m(E
2
∩ F
1

) +m(E
3
∩ F
2

) +
≤ m(E
1
) +m(E
2
) +m(E
3
) +
hence the result:
m(

¸
j=1
E
j
) ≤

¸
j=1
m(E
j
)
m is subadditive on countable unions.
1.4 The σ-algebra
Our aim is to extend the notion of length to a much wider class of subsets of
R. In particular to sets obtainable from 1 by a sequence of taking countable
unions and taking complements.
Definition an algebra / of subsets of X is called a σ-algebra if for each
sequence
E
1
, E
2
, E
3
, . . .
of elements of /, their union
E
1
∪ E
2
∪ E
3

is also an element of /.
So / is closed under countable unions, and hence also under countable
intersections.
13
1.5 The outer measure
Definition We define the outer measure ˆ m associated with m to be the
function:
ˆ m : ¦all subsets of X¦ −→ [0, ∞]
given by:
ˆ m(E) = inf

¸
j=1
m(E
j
)
where the inf is taken over all sequences E
j
of elements of / such that:
E ⊂

¸
j=1
E
j
Theorem 1.5.1. ˆ m(E) = m(E) ∀E ∈ / (i.e. ˆ m agrees with m on /)
Proof. 1. if
E ∈ /
and
E ⊂

¸
j=1
E
j
with E
j
∈ /
then:
m(E) ≤

¸
j=1
m(E
j
)
therefore
m(E) ≤ ˆ m(E)
2. if
E ∈ /
then
E, ∅, ∅, . . .
is a sequence of elements of / whose union contains E. Therefore:
ˆ m(E) ≤ m(E) + 0 + 0 +
therefore
ˆ m(E) ≤ m(E)
14
Theorem 1.5.2. E ⊂ F =⇒ ˆ m(E) ≤ ˆ m(F)
Proof. if E ⊂ F then each sequence in / which covers F will also cover E.
Therefore:
ˆ m(E) ≤ ˆ m(F)
Theorem 1.5.3. ˆ m is subadditive on countable unions
ˆ m(

¸
j=1
E
j
) ≤

¸
j=1
ˆ m(E
j
)
for all sequences E
1
, E
2
, . . . of subsets of X.
Proof. Let > 0. Choose:

0
,
1
,
2
, . . . > 0
such that

¸
j=0

j
=
choose B
ij
∈ / s.t.
E
i
⊂ B
i1
∪ B
i2
∪ ∪ B
ij

and s.t.

¸
j=1
m(B
ij
) ≤ ˆ m(E
i
) +
i
Then

¸
i=1
E
i


¸
i=1

¸
j=1
B
ij
and

¸
i=1

¸
j=1
m(B
ij
) ≤

¸
i=1
ˆ m(E
i
) +
therefore
ˆ m(

¸
j=1
E
j
) ≤

¸
j=1
ˆ m(E
j
)
as required.
15
Definition We call a subset E ⊂ X measurable w.r.t m if:
ˆ m(A) = ˆ m(A∩ E) + ˆ m(A∩ E

)
for all A ⊂ X
(E splits every set A into two pieces whose outer measures add up.)
E
A
1
2
1.6 Extension of measure to σ-algebra, using
outer measure
We can now prove the central:
Theorem 1.6.1. Let m be a measure on an algebra / of subsets of X, ˆ m
the associated outer measure, and M the collection of all subsets of X which
are measurable with respect to m.
Then M is a σ-algebra containing / and ˆ m is a (countably additive)
measure on M.
Corollary 1.6.2. the measure m on the algebra / can be extended to a
measure (also denoted by m) on the σ-algebra M by defining:
m(E) = ˆ m(E) ∀E ∈ M
in particular:
Corollary 1.6.3. the length measure m on the interval algebra 1 can be
extended to a measure (also denoted by m) on the σ-algebra M of measurable
sets w.r.t. m. We call the elements of M the Lebesgue Measureable sets,
and the extended measure the (one-dimensional) Lebesgue Measure.
1 ⊂ ¦Lebesgue Measurable Sets¦ ⊂ all subsets of R
length measure m Lebesgue measure outer measure ˆ m
(countably additive) (not countably additive
=⇒ not a measure)
` ↓
[0, ∞]
16
Proof. 1. / ⊂ M
Let E ∈ /, let A ⊂ X
Need to show:
ˆ m(A) = ˆ m(A∩ E) + ˆ m(A ∩ E

)
For > 0. Let
F
1
, F
2
, . . .
be a sequence in / s.t.
A ⊂

¸
j=1
F
j
and s.t.

¸
j=1
m(F
j
) ≤ ˆ m(A) +
E
A
F
i
Then
ˆ m(A) ≤ ˆ m(A∩ E) +ˆ m(A∩ E

) since ˆ m is subadditive
≤ ˆ m(
¸

j=1
F
j
∩ E) +ˆ m(
¸

j=1
F
j
∩ E

)

¸

j=1
ˆ m(F
j
∩ E) +
¸

j=1
ˆ m(F
j
∩ E

)
=
¸

j=1
m(F
j
∩ E) +
¸

j=1
m(F
j
∩ E

) since F
j
∩ E, F
j
∩ E

∈ /
and ˆ m = m on /
=
¸

j=1
m(F
j
) since m is additive
≤ ˆ m(A) +
17
therefore,
ˆ m(A) ≤ ˆ m(A ∩ E) + ˆ m(A∩ E

) ≤ ˆ m(A) +
∀ > 0, and therefore
ˆ m(A) = ˆ m(A∩ E) + ˆ m(A∩ E

)
as required.
2. M is an algebra
let E, F ∈ M; Let A ⊂ X
4
A
F
E
1
2
3
Then
ˆ m(A) = ˆ m(1 + 2) +ˆ m(3 + 4) since E ∈ M
= ˆ m(1 + 2) +ˆ m(3) +ˆ m(4) since F ∈ M
= ˆ m(1 + 2 + 3) +ˆ m(4) since E ∈ M
therefore
E ∪ F ∈ M
and M closed under finite unions.
Also, M closed under complements by symmetry in the definition.
3. M is a σ-algebra
Let E =
¸

i=1
E
i
be a countable disjoint union with E
i
∈ M. We need
to show that E ∈ M. Put
F
n
= E
1
∪ E
2
∪ ∪ E
n
18
n
1
A
E E
n 2
F
E
F
n
∈ M since M is an algebra. Let A ⊂ X. Then
ˆ m(A) = ˆ m(A∩ F
n
) +ˆ m(A∩ F
n

) since F
n
∈ M
=
¸
n
k=1
ˆ m(A∩ E
k
) +ˆ m(A∩ F
n

) since E
1
, . . . , E
n
∈ M,
and are disjoint

¸
n
k=1
ˆ m(A ∩ E
k
) +ˆ m(A∩ E

) since E

⊂ F
n

is true ∀n. Therefore:
ˆ m(A) ≥
¸

k=1
ˆ m(A ∩ E
k
) +ˆ m(A∩ E

)
≥ ˆ m(
¸

k=1
A∩ E
k
) +ˆ m(A∩ E

) since ˆ m is countably subadditive

(*)
= ˆ m(A∩ E) +ˆ m(A∩ E

)
≥ ˆ m(A) since ˆ m is subadditive
All the above are equalities:
ˆ m(A) = ˆ m(A∩ E) + ˆ m(A ∩ E

)
therefore
E ∈ M
and M is closed under countable disjoint unions. But any countable
union:
E
1
∪ E
2
∪ E
3

19
can be written as a countable disjoint union
E
1
∪ (E
2
∩ F
1

) ∪ (E
3
∩ F
2

) ∪
where
F
n
= E
1
∪ ∪ E
n
therefore M is closed under countable unions as required.
4. ˆ m is countably additive on M
Put A = E in (*) to get

¸
k=1
ˆ m(E
k
) = ˆ m


¸
k=1
E
k

as required.
1.7 Increasing Unions, Decreasing Intersec-
tions
Definition We use the notation E
j
↑ E to denote that
2
1
E
E
E
E
1
⊂ E
2
⊂ ⊂ E
j

is an increasing sequence of sets such that

¸
j=1
E
j
= E
Definition We use the notation E
j
↓ E to denote that
1
E
E
2
E
20
E
1
⊃ E
2
⊃ ⊃ E
j

is a decreasing sequence of sets such that

¸
j=1
E
j
= E
Theorem 1.7.1. E
j
↑ E =⇒ lim
j→∞
m(E
j
) = m(E)
Proof. 1. if m(E
j
) = ∞ for some j then the result holds
2. if m(E
j
) is finite ∀j then
E = E
1
∪ (E
2
∩ E
1

) ∪ (E
3
∩ E
2

) ∪
is a countable disjoint union and
m(E) = m(E
1
) + [m(E
2
) −m(E
1
)] + [m(E
3
) −m(E
2
)] +
= lim
n→∞

m(E
1
) + [m(E
2
) −m(E
1
)] + + [m(E
n
) −m(E
n−1
)]

= lim
n→∞
m(E
n
)
as required.
Theorem 1.7.2.
E
j
↓ E
m(E
1
) = ∞

=⇒ lim
j→∞
m(E
j
) = m(E)
Proof.
(E
1
∩ E
j

) ↑ (E
1
∩ E

)
therefore:
lim
j→∞
m(E
1
∩ E
j

) = m(E
1
∩ E

)
and
lim
j→∞
[m(E
1
) −m(E
j
)] = m(E
1
) −m(E)
so
lim
j→∞
m(E
j
) = m(E)
as required.
21
Example
(a −
1
n
, b] ↓ [a, b]
£
¢
a −
1
n
a b
for Lebesgue measure m:
m[a, b] = lim
n→∞
m(a −
1
n
, b]
= lim
n→∞
(b −a +
1
n
)
= b −a
as expected.
1.8 Properties of Lebesgue Measure
We now show that the Lebesgue measure is the only way of extending the
‘length’ measure on the interval algebra 1 to a measure on the Lebesgue
measurable sets.
We need:
Definition a measure m on an algebra / of subsets of X is called σ-finite
if ∃ a sequence X
i
in / such that
X
i
↑ X
and m(X
i
) is finite for all i.
Example the Lebesgue measure m is σ-finite because:
(−n, n] ↑ R
and m(−n, n] = 2n is finite
£
¢
−n O n
22
Theorem 1.8.1. (Uniqueness of Extension) Let m be a σ-finite measure on
an algebra / of subsets of X.
Let M be the collection of measurable sets w.r.t. m.
Let l be any measure on M which agrees with m on /.
Then l(E) = ˆ m(E) ∀E ∈ M
Proof. Let E ∈ M. Then for each sequence ¦A
i
¦, A
i
∈ / covering E:
E ⊂

¸
j=1
A
i
we have
l(E) ≤
¸

i=1
l(A
i
) =
¸

i=1
m(A
i
) since l = m on /
Therefore,
(∗) l(E) ≤ ˆ m(E) by definition of the outer measure ˆ m
Now let X
i
↑ X and m(X
i
) finite, X
i
∈ /. Consider
E
i
X
l(X
i
∩ E) +l(X
i
∩ E

) = l(X
i
) = m(X
i
) = ˆ m(X
i
∩ E) + ˆ m(X
i
∩ E)
By (*) it follows that
l(X
i
∩ E) = ˆ m(X
i
∩ E)
Take lim
i→∞
to get l(E) = ˆ m as required.
As a consequence we have:
Lemma 1.8.2. Let m be the Lebesgue measure on R. Then for each mea-
surable set E and each c ∈ R we have:
1. m(E +c) = m(E). m is translation invariant
2. m(cE) = [c[m(E)
Proof. Let M be the collection of measurable sets
23
1. define a measure m
c
on M by
m
c
(E) = m(E +c)
then
m
c
(a, b] = m(a +c, b +c] = (b +c) −(a +c) = b −a = m(a, b]
therefore m
c
agrees with m on the interval algebra 1. Therefore m
c
agrees with m on M.
2. define a measure m
c
on M by
m
c
(E) = m(cE)
Then
m
c
(a, b] = m(c(a, b])
=

m(ca, cb] c > 0
m¦0¦ c = 0
m[cb, ca) c < 0

=

cb −ca
0
ca −cb

= [c[(b −a)
= [c[m(a, b]
Therefore m
c
agrees with [c[m on the interval algebra. Therefore m
c
agrees with [c[m on M.
1.9 Borel Sets
Definition if 1 is any collection of subsets of X, we denote by G(1) the
intersection of all the σ-algebras of subsets of X which contain 1. We have:
1. G(1) is a σ-algebra containing 1
2. if J is any σ-algebra which contains 1 then
1 ⊂ G(1) ⊂ J
24
Thus G(1) is the smallest σ-algebra of subsets of X which contains 1. G(1)
is called the σ-algebra generated by 1.
Definition The σ-algebra generated by the open sets of R is called the
algebra of Borel Sets of R.
Theorem 1.9.1. The σ-algebra generated by the interval algebra 1 is the
algebra of Borel sets of R.
Proof. Let 1 be the collection of open sets of R
1. (a, b] =
¸

n=1
(a, b +
1
n
) is the intersection of a countable family of open
sets. Therefore (a, b] ∈ G(1).
Therefore
1 ⊂ G(1)
and
G(1) ⊂ G(1)
2. let V be an open set in R. For each a ∈ V choose an interval I
a
∈ 1
with rational endpoints s.t. a ∈ I
a
⊂ V .
£
¢

¡
a
£
¢
Ia
V
V =
¸
a∈V
I
a
so V is the union of a countable family of elements of 1. Therefore
V ∈ G(1)
implies
1 ⊂ G(1) =⇒ G(1) ⊂ G(1)
So, combining these two results,
G(1) = G(1) = algebra of Borel sets
25
We have:
1 ⊂ Borel Sets in R ⊂ Lebesgue measurable Sets in R
The following theorem shows that any Lebesgue measurable set in R can
be obtained from a Borel set by removing a set of measure zero.
Theorem 1.9.2. Let E be a Lebesgue measurable subset of R. Then there
is a Borel set B containing E such that
B −E = B ∩ E

has measure zero, and hence
m(B) = m(E)
B
E
B-E
Proof. 1. Suppose m(E) is finite. Let k be an integer > 0. Choose a
sequence
I
1
, I
2
, I
3
, . . .
in 1 such that
E ⊂

¸
i=1
I
i
and s.t.
m(E) ≤

¸
i=1
m(I
i
) ≤ m(E) +
1
k
Put B
k
=
¸

i=1
I
i
then E ⊂ B
k
, B
k
is Borel, and
m(E) ≤ m(B
k
) ≤ m(E) +
1
k
Put B =
¸

k=1
B
k
. Then E ⊂ B, B is Borel, and
m(E) ≤ m(B) ≤ m(E) +
1
k
for all k. So
m(E) = m(B) =⇒ m(B −E) = 0
since m(E) is finite.
26
2. Suppose m(E) = ∞.
−(k + 1) −k k k + 1
Put
E
k
= ¦x ∈ E : k ≤ [x[ < k + 1¦
Then
E =

¸
k=0
E
k
is a countable disjoint union and m(E
k
) is finite.
For each integer k choose a Borel set B
k
s.t.
E
k
⊂ B
k
and
m(B
k
−E
k
) = 0
Put B =
¸

k=1
B
k
. Then E ⊂ B, B is Borel, and
B −E ⊂

¸
k=1
(B
k
−E
k
)
therefore
m(B −E) ≤

¸
k=1
m(B
k
−E
k
) =

¸
k=1
0 = 0
as required.
E
1
E
2
B
1
B
2
27
28
Chapter 2
Integration
2.1 Measure Space, Measurable sets
Definition We fix a set X, a σ-algebra M of subsets of X, and a measure
m on M. The triple (X, M, m) is then called a measure space, the elements
of M are called the measurable sets of the measure space.
Definition We call a function
f : X −→ [−∞, ∞]
measurable if
f
−1
(α, ∞] = ¦x ∈ X : f(x) > α¦
is a measurable ∀α ∈ R.
f
R
α
>α >α
Example The collection
¦E ⊂ R : f
−1
(E) is measurable¦
29
is a σ-algebra containing the sets
¦(α, β] : α, β ∈ R¦
therefore contains the Borel sets. Therefore f
−1
is measurable for each Borel
set B ⊂ R.
2.2 Characteristic Function
Definition If E ⊂ X, we denote by χ
E
the function on X:
χ
E
(x) =

1 x ∈ E
0 x ∈ E
χ
E
is called the characteristic function of E.
E
R
1
E
Definition A real valued function
φ : X −→R
is called simple if it takes only a finite number of distinct values
a
1
, a
2
, . . . , a
n
(say). Each simple function φ can be written in a unique way as:
φ = a
1
χ
E
1
+ +a
n
χ
En
where a
1
, . . . , a
n
are distinct and
X = E
1
∪ ∪ E
n
is a disjoint union.
30
2.3 The Integral
Definition If φ is a non-negative measurable simple function with φ =
a
1
χ
E
1
+ +a
n
χ
En
; X = E
1
∪ ∪E
n
disjoint union we define the integral
of φ w.r.t. the measure m to be

φdm = a
1
m(E
1
) + +a
n
m(E
n
) ∈ [0, ∞]
1
R
E E
a
1 2
2
a
Recall that 0.∞= 0, a.∞= ∞ if a > 0.
Definition if E is a measurable subset of X and φ is a non-negative mea-
surable simple function on X, we define the integral of φ over E w.r.t. the
measure m to be:

E
φdm =

φχ
E
dm
We note that:
1.

(φ +ψ) dm =

φdm+

ψ dm
2.

cφdm = c

φdm ∀c ≥ 0
To see 1. we put:
φ =
¸
a
i
χ
E
i
ψ =
¸
b
j
χ
F
j
Let ¦c
k
¦ be the set of distinct values of ¦a
i
+b
j
¦. Then
φ +ψ =
¸
c
k
χ
G
k
where G
k
=
¸
E
i
∩ F
j
, the union taken over ¦i, j : a
i
+b
j
= c
k
¦.
31

(φ +ψ) =
¸
c
k
m(G
k
)
=
¸
k
c
k
¸
{i,j:a
i
+b
j
=c
k
}
m(E
i
∩ F
j
)
=
¸
i,j
(a
i
+b
j
)m(E
i
∩ F
j
)
=
¸
a
i
m(E
i
∩ F
j
) +
¸
b
j
m(E
i
∩ F
j
)
=
¸
i
a
i
m(E
i
) +
¸
j
b
j
m(F
j
)
=

φdm+

ψ dm
which proves 1.
A very useful property of the integral is:
Theorem 2.3.1. Fix a simple non-negative measurable function φ on X.
For each E ∈ M put
λ(E) =

E
φdm
Then λ is a measure on M.
Proof. Let
φ = a
1
χ
E
1
+ a
n
χ
En
for a
i
≥ 0. Then
λE =

E
φdm
=

φχ
E
dm
=

(a
1
χ
E
1
∩E
+ +a
n
χ
En∩E
) dm
= a
1
m(E
1
∩ E) + +a
n
m(E
n
∩ E)
= a
1
m
E
1
(E) + +a
n
m
En
(E)
therefore
λ = a
1
m
E
1
+ +a
n
m
En
is a linear combination of measures with non-negative coefficients. Therefore
λ is a measure.
32
Corollary 2.3.2. 1. If E =
¸

n=1
E
n
is a countable disjoint union then

E
φdm =

¸
n=1

En
φdm
2. If E =
¸

n=1
E
n
is a countable increasing union then

E
φdm = lim
n→∞

En
φdm
3. If E =
¸

n=1
E
n
is a countable decreasing intersection and

E
1
φdm <
∞ then

E
φdm = lim
n→∞

En
φdm
We can now define the integral of any non-negative measurable function.
Definition Let f : X −→ [0, ∞] be a measurable function. Then we define
the integral of f w.r.t. the measure m to be:

f dm = sup
φ

φdm
where the sup is taken over all simple measurable functions φ such that:
0 ≤ φ ≤ f
f
φ
Definition If E is a measurable subset of X then we define the integral of
f over E w.r.t. m to be:

E
f dm =


E
dm
33
f
Ε
PSfrag replacements

E
We then have:
1. f ≤ g =⇒

f dm ≤

g dm
2. E ⊂ F =⇒

E
f dm ≤

F
f dm
2.4 Monotone Convergence Theorem
We can now prove our first important theorem on integration.
Theorem 2.4.1. (Monotone Convergence Theorem, MCT) Let ¦f
n
¦ be a
monotone increasing sequence of non-negative measurable functions. Then

limf
n
dm = lim

f
n
dm
Proof. We write f
n
↑ f to denote that ¦f
n
¦ is an increasing sequence of
functions with limf
n
= f. We need to prove that:
lim

f
n
dm =

f dm
1.
f
n
≤ f
n+1
≤ f
for all n. Therefore:

f
n
dm ≤

f
n+1
dm ≤

f dm
for all n. Therefore:
lim

f
n
dm ≤

f dm
34
2. Let φ be a simple measurable function s.t.:
0 ≤ φ ≤ f
f
f
φ
n
Let 0 < α < 1. For each integer n > 0 put
E
n
= ¦x ∈ X : f
n
(x) ≥ αφ(x)¦
so E
n
↑ X. Now:
n
f
E
n
f
αφ

En
αφdm ≤

En
f
n
dm ≤

f
n
dm
Let n →∞:
α

φdm ≤ lim

f
n
dm
is true ∀0 < α < 1. Therefore:

φdm ≤ lim

f
n
dm
so:
f dm ≤ lim

f
n
dm
hence

f dm = lim

f
n
dm
35
Definition In probability theory we have a measure space:

¸
X , M , P
sample events
space

with P(X) = 1. X is the sure event.
A measurable function:
f : X −→R
is called a random variable.
P¦x : f(x) ∈ B¦
is the probability that the random variable f takes value in the Borel set
B ⊂ R. If
f = a
1
χ
E
1
+ +a
n
χ
En
with a
1
, . . . , a
n
; E
1
, . . . , E
n
disjoint, and E
1
∪ ∪ E
n
= X, then the proba-
bility that f takes value a
i
is
P¦x ∈ X : f(x) = a
i
¦ = P(E
i
)
and

f dP = a
1
P(E
1
) + +a
n
P(E
n
)
is the average value or the expectation of f.
We define the expectation of any random variable f to be:
E(f) =

f dP
2.5 Existence of Monotone Increasing Simple
Functions converging to f
In order to apply the MCT effectively we need:
Theorem 2.5.1. Let f be a non-negative measurable function f : X −→
[0, ∞]. Then there exists a monotone increasing sequence φ
n
of simple mea-
surable functions converging to f
36
Proof. Put each integer n > 0:
φ
n
(x) =

k
2
n
k
2
n
≤ f(x) <
k+1
2
n
k = 0, 1, 2, . . . , n2
n
−1
n f(x) ≥ n
n
0
PSfrag replacements
k
2
n
k+1
2
n
Then
1. 0 ≤ φ
n
(x) ≤ φ
n+1
(x)
2. each φ
n
is simple and measurable
3. lim
n→∞
φ
n
(x) = f(x)
Theorem 2.5.2. Let f, g be non-negative measurable functions mapping X
to [0, ∞] and c ≥ 0. Then
1.

cf dm = c

f dm
2.

(f +g) dm =

f dm+

g dm
Proof. Let φ
n
, ψ
n
be monotonic increasing sequences of non-negative simple
functions with f = limφ
n
, g = limψ
n
. Then
1.

cf dm
MCT
= lim


n
dm = c lim

φ
n
dm
MCT
= = c

f dm
2.

(f + g) dm
MCT
= lim


n
+ ψ
n
) = lim

φ
n
dm + lim

ψ
n
dm
MCT
=

f dm+

g dm
This enables us to deal with series:
37
Theorem 2.5.3. Let f
n
be a sequence of non-negative measurable functions
X −→[0, ∞]. Then:

(

¸
n=1
f
n
) dm =

¸
n=1

f
n
dm
Proof. put s
n
= f
1
+ +f
n
sum to n terms. s
n
is monotone increasing:

( lim
n→∞
s
n
) dm
MCT
= lim
n→∞

s
n
dm = lim
n→∞

n
¸
r=1
f
r
dm = lim
n→∞
n
¸
r=1

f
r
dm
Therefore:

(

¸
r=1
f
r
) dm =

¸
r=1

f
r
dm
Theorem 2.5.4. Let f : X −→[0, ∞] be a non-negative measurable and put
λ(E) =

E
f dm
for each E ∈ M. Then λ is a measure in M.
Proof. Let E =
¸

k=1
E
k
be a countable disjoint union. Then
λ(E) =

E
f dm
=


E
dm
=

(
¸

k=1

E
k
) dm
MCT
=
¸

k=1


E
k
dm
=
¸

k=1

E
k
f dm
=
¸

k=1
λ(E
k
)
therefore λ is countably additive, as required.
Corollary 2.5.5. 1. if E =
¸

k=1
E
k
countable disjoint union then

E
f dm =

¸
k=1

E
k
f dm
2. if E
k
↑ E then lim
k→∞

E
k
f dm =

E
f dm
3. If E
k
↓ E and

E
1
f dm < ∞, then lim
k→∞

E
k
f dm =

E
f dm
38
2.6 ’Almost Everywhere’
Definition Let f, g : X −→ [0, ∞]. Then we say that f = g almost every-
where (a.e.) or f(x) = g(x) almost all x ∈ X (a.a.x) if ¦x ∈ X : f(x) = g(x)¦
has measure zero.
Theorem 2.6.1. Let f : X −→ [0, ∞] be non-negative measurable. Then

f dm = 0 ⇔f = 0 a.e.
Proof. Put E = ¦x ∈ X : f(x) = 0¦
1. Put
E
n
= ¦x ∈ X : f(x) >
1
n
¦
for each integer n > 0, so
f >
1
n
χ
En
E
PSfrag replacements
1
n
E
n
Suppose that

f dm = 0. Then
0 =

f dm ≥
1
n
m(E
n
)
so
m(E
n
) = 0
for all n. But E
n
↑ E, so
m(E) = limm(E
n
) = lim0 = 0
therefore
f = 0 a.e.
2. Suppose f = 0 a.e., so m(E) = 0. Now,
0 ≤ f ≤ limnχ
E
39
E
PSfrag replacements

E
therefore
0 ≤

f dm

limnχ
E
dm
MCT
= lim


E
dm
= limnm(E)
= lim0 = 0
so

f dm = 0
Corollary 2.6.2. Let f : X −→ [0, ∞] be non-negative and measurable and
let E have measure zero. Then

E
f dm = 0
Proof.

E
= 0 a.e.
therefore
E
f dm =


E
dm = 0
Corollary 2.6.3. Let f, g : X −→ [0, ∞] be non-negative and measurable
and f = g a.e. then

f dm =

g dm
40
Proof. Let f = g on E and m(E

) = 0 then

f dm =

E
f dm+

E

f dm =

E
g dm+

E

g dm =

g dm
Thus changing f on a set of measure zero makes no difference to

f dm.
Also
Theorem 2.6.4. If f
n
are non-negative and f
n
↑ f a.e. then
lim

f
n
dm =

f dm
Proof. suppose f
n
≥ 0 and f
n
↑ f on E with m(E

) = 0. Then

f dm =

E
f dm+

E

f dm
MCT
= lim

E
f
n
dm+ 0
= lim

E
f
n
dm+

E

f
n
dm

= lim

f
n
dm
So far we have dealt with functions
X −→[0, ∞]
which are non-negative, but have allowed the value ∞.
Now we look at functions
X −→R
which may be negative and we do not allow ∞ as a value.
Definition Let f : X −→R be measurable. Put
f
+
(x) =

f(x) f(x) ≥ 0
0 f(x) ≤ 0

f

(x) =

−f(x) f(x) ≤ 0
0 f(x) ≥ 0

41
f
PSfrag replacements
f
+
f
PSfrag replacements
f

Thus f = f
+
− f

and both f
+
, f

are non-negative. We say that f is
integrable w.r.t. m if

f
+
dm < ∞ and

f

dm < ∞
and we write
f dm =

f
+
dm−

f

dm
and call it the integral of f (w.r.t. measure m).
If E is measurable we write

E
f dm =


E
dm =

E
f
+
dm−

E
f

dm
Theorem 2.6.5. Let f = f
1
−f
2
where f
1
, f
2
are non-negative and measur-
able and
f
1
dm < ∞ and

f
2
dm < ∞
Then f is integrable and

f dm =

f
1
dm−

f
2
dm
42
Proof. 1. f = f
1
−f
2
, therefore f
+
≤ f
1
; f

≤ f
2
. So

f
+
dm ≤

f
1
dm < ∞;

f

dm ≤

f
2
dm < ∞
therefore f is integrable.
2. f = f
1
−f
2
= f
+
−f

. So
f
1
+f

= f
+
+f
2
therefore

f
1
dm+

f

dm =

f
+
dm+

f
2
dm
so

f
1
dm−

f
2
dm =

f
+
dm−

f

dm =

f dm
as required.
Theorem 2.6.6. Let f, g be integrable and f = g a.e. Then

f dm =

g dm
Proof.
f
+
= g
+
a.e. =⇒

f
+
dm =

g
+
dm
f

= g

a.e. =⇒

f

dm =

g

dm
so

f dm =

f
+
dm−

f

dm =

g
+
dm−

g

dm =

g dm
So when integrating we can ignore sets of measure zero.
Theorem 2.6.7. Let f : X −→R be measurable. Then
1. f is integrable ⇔ [f[ is integrable
2. if f is integrable then

f dm

[f[ dm
43
Proof. 1.
f integrable ⇔

f
+
dm < ∞ and

f

dm < ∞

(f
+
+f

) dm < ∞

[f[ dm < ∞
⇔ [f[ integrable
2.

f dm

=

f
+
dm−

f

dm

f
+
dm+

f

dm
=

[f[ dm
Definition A complex valued function f : X −→C with
f(x) = f
1
(x) +if
2
(x)
(say) (f
1
, f
2
real) is called integrable if f
1
and f
2
are integrable and we define:

f dm =

f
1
dm+i

f
2
dm
Thus
'

f dm =

('f) dm
·

f dm =

(·f) dm
We have [f
1
[ ≤ [f[, [f
2
[ ≤ [f[, and therefore
[f[ integrable ⇔ [f
1
[ and [f
2
[ integrable ⇔ f
1
and f
2
integrable ⇔ f
integrable.
We also have:
f, g integrable and c ∈ C =⇒ f +g and cf integrable, and

(f +g) dm =

f dm+

g dm
and

(cf) dm = c

f dm
44
Thus, the set L(X, R, m) of all integrable real valued functions on X is
a real vector space, and the set L(X, C, m) of all integrable complex valued
functions on X is a complex vector space. And on each space:
f −→

f dm
is a linear form.
If f : X −→C is integrable then

f dm =

f dm

e

(say) θ real
therefore
(real)

f dm

= e
−iθ

f dm
=
(real)

e
−iθ
f dm
=

'[e
−iθ
f] dm

e
−iθ
f

dm
=

[f[ dm
therefore

f dm

[f[ dm
2.7 Integral Notation
Definition When dealing with 1-dimensional Lebesgue measure we write

[a,b]
f dm =

b
a
f(x) dx = −

a
b
f(x) dx
if a ≤ b. It follows that

b
a
f(x) dx +

c
b
f(x) dx =

c
a
f(x) dx
and

b
a
dx = b −a
45
∀a, b, c.
Notice that x is a dummy symbol and that

b
a
f(x) dx =

b
a
f(y) dy =

b
a
f(t) dt =
just as
n
¸
i=1
a
i
b
i
=
n
¸
j=1
a
j
b
j
=
2.8 Fundamental Theorem of Calculus
Theorem 2.8.1. Fundamental Theorem of Calculus Let f : R −→ R be
continuous and put
F(t) =

t
a
f(x) dx
then
F

(t) = f(t)
Proof. Let t ∈ R, let > 0. Then ∃δ > 0 s.t.
[f(t +h) −f(t)[ ≤ ∀[h[ ≤ δ
by continuity of f. Therefore

F(t+h)−F(t)
h
−f(t)

=

1
h

t+h
t
f(x) dx −
1
h

t+h
t
f(t) dx

=
1
|h|

t+h
t
[f(x) −f(t)] dx


1
|h|
[h[ =
for all [h[ ≤ δ; h = 0, and hence the result.
Corollary 2.8.2. If G : R −→ R is C
1
(i.e. has a continuous derivative)
then

b
a
G

(x) dx = G(b) −G(a).
Proof. put F(t) =

t
a
G

(x) dx. Then
F

(t) = G

(t)
46
for all t. Therefore
F(t) = G(t) +c
for all t, where c is constant. Therefore
G(b) −G(a) = F(b) −F(a) =

b
a
G

(x) dx
as required.
Theorem 2.8.3. (Change of Variable)
Let
[t
3
, t
4
]
g
−→[t
1
, t
2
]
f
−→R
with f continuous and g ∈ C
1
; g(t
3
) = t
1
, g(t
4
) = t
2
. Then

t
2
t
1
f(x) dx =

t
4
t
3
f(g(y))g

(y) dy
Proof. Put
G(t) =

t
t
1
f(x) dx
then G

(t) = f(t), and therefore:

t
4
t
3
f(g(y))g

(y) dy =

t
4
t
3
G

(g(y)g

(y) dy
=

t
4
t
3
[
d
dy
G(g(y))] dy
= G(g(t
4
)) −G(g(t
3
))
= G(t
2
) −G(t
1
)
=

t
2
t
1
f(x) dx
as required.
To deal with sequences which are not monotone we need the concepts of
liminf and limsup.
Definition Let
¦a
n
¦ = a
1
, a
2
, a
3
, . . .
47
be a sequence in [−∞, ∞]. Put
b
n
= inf¦a
n
, a
n+1
, a
n+2
, . . .¦
c
n
= sup¦a
n
, a
n+1
, a
n+2
, . . .¦
Then
b
1
≤ b
2
≤ b
n
≤ b
n+1
≤ ≤ c
n+1
≤ c
n
≤ ≤ c
2
≤ c
1
Define:
liminf a
n
= limb
n
limsup a
n
= limc
n
Then
liminf a
n
≤ limsup a
n
and a
n
converges iff liminf a
n
= limsup a
n
(= lima
n
).
2.9 Fatou’s Lemma
Theorem 2.9.1. (Fatou’s Lemma) Let f
n
be a sequence of non-negative
measurable functions:
f
n
: X −→ [0, ∞]
Then
liminf f
n
dm ≤ liminf

f
n
dm
Proof. Put
g
r
= inf¦f
r
, f
r+1
, . . .¦
so that
≤ g
r
≤ g
r+1

Now:
f
n
≥ g
r
∀n ≥ r
=⇒

f
n

g
r
∀n ≥ r
=⇒ liminf

f
n

g
r
∀r
=⇒ liminf

f
n
≥ lim

g
r
MCT
=

limg
r
=

liminf f
n
as required.
48
2.10 Dominated Convergence Theorem
Theorem 2.10.1. Lebesgue’s Dominated Convergence Theorem, DCT Let
f
n
be integrable and f
n
→f. Let
[f
n
[ ≤ g
for all n where g is integrable. Then f is integrable and

f = lim

f
n
Proof. [f[ = lim[f
n
[ ≤ g. Therefore [f[ is integrable, and therefore f is
integrable. Now
g ±f
n
≥ 0
therefore
liminf[g ±f
n
] ≤
FATOU
liminf

[g ±f
n
]
so
[g ±f] ≤

g + liminf ±

f
n
so
±

f ≤ liminf ±

f
n
Which gives:
:

f ≤ liminf

f
n
: −

f ≤ −limsup

f
n
therefore
f ≤ liminf

f
n
≤ limsup

f
n

f
which is equivalent to:
lim

f
n
=

f
as required.
For series this leads to:
Theorem 2.10.2. Dominated convergence theorem for series Let f
n
be a
sequence of integrable functions such that

¸
n=1

[f
n
[ dm < ∞
Then
¸

n=1
f
n
is (equal a.e. to) an integrable function and

(

¸
n=1
f
n
) dm =

¸
n=1

f
n
dm
49
Proof. Put
s
n
= f
1
+f
2
+ +f
n
sum to n terms. Then
[s
n
[ ≤ [f
1
[ + +[f
n
[ ≤

¸
r=1
[f
r
[ = g
(say). Then

g dm =
¸

r=1
[f
r
[ dm
MCT
=
¸

r=1

[f
r
[ dm < ∞
Therefore g is integrable (a.e. equal to an integrable fn). Therefore lims
n
is
integrable and

lims
n
dm
DCT
= lim

s
n
dm
therefore


¸
r=1
f
r
dm =

¸
r=1

f
r
dm
as required.
2.11 Differentiation under the integral sign
Another useful application.
Theorem 2.11.1. Differentiation under the integral sign Let f(x, t) be an
integrable function of x ∈ X for each a ≤ t ≤ b and differentiable w.r.t t.
Suppose

∂f
∂t
(x, t)

≤ g(x)
for all a ≤ t ≤ b, where g is integrable. Then
d
dt

f(x, t) dx =

∂f
∂t
(x, t) dx
Proof. Put
F(t) =

f(x, t) dx
50
Let a ≤ t ≤ b. Choose a sequence t
n
in [a, b] s.t. limt
n
= t and t
n
= t. Then,
by the Mean Value Theorem:
[f(x, t
n
) −f(x, t)[ =[t
n
−t[

∂f
∂t
(x, c(n, x, t))

≤ [t
n
−t[g(x)
Therefore

f(x, t
n
) −f(x, t)
t
n
−t

≤ g(x)
so
lim
F(tn)−F(t)
tn−t
= lim

f(x,tn)−f(x,t)
tn−t
dx
DCT
=

lim
f(x,tn)−f(x,t)
tn−t
dx
=

∂f
∂t
(x, t) dx
and therefore
dF
dt
=

∂f
∂t
(x, t) dx
as required.
51
52
Chapter 3
Multiple Integration
3.1 Product Measure
We have established the Lebesgue measure and Lebesgue integral on R. To
consider integration on
R
2
= R R
we use the concept of a product measure.
We proceed as follows:
Definition Let l be a measure on a σ-algebra L of subsets of X. Let m be
a measure on a σ-algebra ´ of subsets of Y .
Call
¦AB : A ∈ L, B ∈ ´¦
the set of rectangles in X Y
B
A
PSfrag replacements
A B
53
Lemma 3.1.1. Let AB =
¸

i=1
A
i
B
i
be a rectangle written as a countable
disjoint union of rectangles. Then
l(A)m(B) =

¸
i=1
l(A
i
)m(B
i
)
Proof. We have
χ
A×B
=

¸
i=1
χ
A
i
×B
i
=⇒ χ
A
(x)χ
B
(y) =

¸
i=1
χ
A
i
(x)χ
B
i
(y)
Fix x and integrate w.r.t. m term by term using the Monotone Convergence
Theorem:
χ
A
(x)m(B) =

¸
i=1
χ
A
i
(x)m(B
i
)
Now integrate w.r.t. x using MCT to get:
l(A)m(B) =

¸
i=1
l(A
i
)m(B
i
)
as required.
Definition Let / be the collection of all finite unions of rectangles in XY .
Each element of / is a finite disjoint union of rectangles. For each E ∈ /
such that
E =

¸
i=1
A
i
B
i
is a countable disjoint union of rectangles we define:
π(E) =

¸
i=1
l(A
i
)m(B
i
)
Theorem 3.1.2. π is well-defined and is a measure on /.
Proof. 1. well-defined
Suppose
E =

¸
i=1
A
i
B
i
=

¸
j=1
C
j
D
j
54
then
A
i
B
i
=

¸
j=1
(A
i
∩ C
j
) (B
i
∩ D
j
)
Therefore, by Lemma 3.1.1
l(A
i
)m(B
i
) =

¸
j=1
l(A
i
∩ C
j
)m(B
i
∩ D
j
)
and hence,
¸

i=1
l(A
i
)m(B
i
) =
¸

i=1
¸

j=1
l(A
i
∩ C
j
)m(B
i
∩ D
j
)
=
¸

j=1
l(C
j
)m(D
j
)
Dj
Bi
PSfrag replacements
A
i
C
j
D
i
B
j
2. countably additive Let E =
¸

i=1
E
i
be a countable disjoint union with
E, E
i
∈ /.
E
i
=
n
i
¸
j=1
A
ij
B
ij
is a finite disjoint union (say). Then
E =

¸
i=1
n
i
¸
j=1
A
ij
B
ij
Therefore
π(E) =

¸
i=1
n
i
¸
j=1
l(A
ij
)m(B
ij
) =

¸
i=1
π(E
i
)
Therefore π is countably additive, as required.
55
Definition The measure π on / extends to a measure (also denoted by π
and called the product of the measures l and m) on the σ-algebra (denoted
L ´) of all subsets of X Y which are measurable w.r.t. π.
Similarly, if
(X
1
, M
1
, m
1
), . . . , (X
n
, M
n
, m
n
)
is a sequence of measure spaces then we have a product measure on a σ-
algebra of subsets of
X
1
X
n
s.t.
π(E
1
E
n
) = m
1
(E
1
)m
2
(E
2
) . . . m
n
(E
n
)
In particular, starting with 1-dimensional Lebesgue measure on R we get
n-dimensional Lebesgue Measure on
R R = R
n
Example If we have two successive, independent events with independent
probability measures, P
1
, P
2
, then the probability of the first event E and
the second event F is:
P(E F) = P[(E Y ) ∩ (X F)]
= P(E Y )P(X F) by independence
= P
1
(E)P
2
(F)
(i.e. product measure)
3.2 Monotone Class
Definition A non-empty collection M of subsets of X is called a monotone
class if
1. E
n
↑ E, E
n
∈ M =⇒ E ∈ M
2. E
n
↓ E, E
n
∈ M =⇒ E ∈ M
i.e. M is closed under countable increasing unions and under countable
decreasing intersections.
We have: M is a σ-algebra =⇒ M is a monotone class. Therefore, there
are more monotone classes than σ-algebras.
56
Definition If 1 is a non-empty collection of subsets of X and if M is the
intersection of all the monotone classes of subsets of X which contain 1, then
M is a monotone class, called the monotone class generated by 1.
M is the smallest monotone class containing 1 and
1 ⊂ monotone class ⊂ σ-algebra
generated by 1 generated by 1
3.3 Ring of Subsets
Definition A non-empty collection R of subsets of X is called a ring of
subsets of X if:
E, F ∈ R =⇒

E ∪ F ∈ R
E ∩ F

∈ R
i.e. R is closed under finite unions and under relative complements.
Example The collection of all finite unions of rectangles contained in the
interior X of a fixed circle in R
2
is a ring of subsets of X.
Note:
1. if R is a ring then R is closed under finite intersections since E ∩ F =
E ∩ (E ∩ F

)

.
2. if R is a ring then ∅ ∈ R since E ∩ E

= ∅
3. if R is a ring of subsets of X and if X ∈ R then R is an algebra of
subsets of X since E

= X ∩ E

, so R is closed under complements.
Theorem 3.3.1. (Monotone class lemma)
Let R be a ring of subsets of X and let M be the monotone class generated
by R.
Then M is a ring.
Proof. We have to show M is closed under finite unions and relative comple-
ments. i.e. that:
E ∩ F

, E ∪ F, E

∩ F ∈ M
for all E, f ∈ M. So for each E ∈ M put
M
E
= ¦F ∈ M : E ∩ F

, E ∪ F, E

∩ F ∈ M¦
and we must show
M
E
= M
for all E ∈ M. Now
57
1. M
E
⊂ M by definition
2. M
E
is a monotone class, because:
F
n
↑ F, F
n
∈ M
E
=⇒ (E ∩ F
n

) ↓ (E ∩ F

) (E ∪ F
n
) ↑ (E ∪ F) (E

∩ F
n
) ↑ (E

∩ F)
with E ∩ F
n

E ∪ F
n
E

∩ F
n
all ∈ M
=⇒ E ∩ F

E ∪ F E

∩ F all ∈ M
(Mi monotone)
=⇒ F ∈ M
E
therefore M
E
is closed under countable increasing unions, and similarly
M
E
is closed under countable decreasing intersections.
3. E ∈ R
=⇒ R ⊂ M
E
since R is a ring. Therefore M
E
= M by (i), (ii) since
M is smallest monotone class containing R.
4. F ∈ M
E
∀E ∈ R, F ∈ M by (iii). Therefore E ∈ M
F
∀E ∈ R, F ∈
M.
Therefore
R ⊂ M
F
∀F ∈ M
and therefore
M
F
= M ∀F ∈ M
as required.
Corollary 3.3.2. Let M be the monotone class generated by a ring R, and
let X ∈ M.
Then M = ((R) the σ-algebra generated by R.
Proof. M is a ring and X ∈ M
E ∈ M =⇒ E

= E

∩ X ∈ M
therefore M closed under compliments, and therefore M is an algebra.
58
Also, if E
n
is a sequence in M and E =
¸

1
E
n
put
F
n
= E
1
∪ ∪ E
n
∈ M
then F
n
↑ E, and therefore E ∈ M.
Therefore, M is a σ-algebra, hence the result.
Corollary 3.3.3. Let M be the monotone class generated by an algebra /.
Then M = ((/) the σ-algebra generated by /.
Proof. X ∈ / =⇒ X ∈ M, and hence the result by previous corollary.
3.4 Integration using Product Measure
Let l be a measure on a σ-algebra L of subsets of X.
Let m be a measure on a σ-algebra ´ of subsets of Y .
Let / be the algebra of finite unions of rectangles AB; A ∈ L, B ∈ ´.
Let π be the product measure on the σ-algebra ((/).
If
f : X −→ [0, ∞]
g : Y −→ [0, ∞]
F : X Y −→ [0, ∞]
are non-negative measurable, write:

f dl =

X
f(x) dx

f dm =

Y
g(y) dy

F dπ =

X×Y
F(x, y) dxdy
If E ⊂ X Y write
E
x
= ¦y ∈ Y : (x, y) ∈ E¦
E
y
= ¦x ∈ X : (x, y) ∈ E¦
59
E
x
y
x
E
y
Theorem 3.4.1. if E ∈ G(A) and l, m are σ-finite then:
π(E) =

X
m(E
x
) dx =

Y
l(E
y
) dy
Proof. To show
π(E) =

X
m(E
x
) dx (3.1)
1. Suppose l, m are finite measures: l(X) < ∞, m(Y ) < ∞. Let ^ be
the collection of all E ∈ ((/) s.t. Equation (3.1) holds. We will show
that N is a monotone class containing /:
/ ⊂ N ⊂ ((/)
and hence N = ((/) since by the corollary to the monotone class
lemma, ((/) is the monotone class generated by /.
(a) / ∈ N.
If E = AB is a rectangle then
m(E
x
) = χ
A
(x)m(B)
60
B
E
A
x
then

X
m(E
x
) dx = l(A)m(B) = π(E)
therefore E ∈ N. Now each element of / can be written as a
finite disjoint union of rectangles, therefore
/ ⊂ N
(b) Let E
n
↑ E, E
n
∈ N. So,
(E
n
)
x
↑ E
x
for each x ∈ X.
x
E
E
n
61
Then

X
m(E
x
) dx =

X
limm((E
n
)
x
) dx
MCT
= lim

X
m((E
n
)
x
) dx
= limπ(E
n
)
= π(E)
therefore E ∈ N, and N is closed under converging unions.
(c) Let E ∈ N. Then

X
m((E

)
x
) dx =

X
[m(Y ) −m(E
x
)] dx
= l(X)m(Y ) −π(E)x
= π(X Y ) −π(E)
= π(E

).
Therefore E

∈ N, and N is closed under complements. Therefore
N is a monotone class, and therefore N = ((/).
2. Suppose l, m are σ-finite,
A
n
↑ X, B
n
↑ Y
(say) with
l(A
n
) < ∞, m(B
n
) < ∞
Then
Z
n
↑ (X Y )
where Z
n
= A
n
B
n
and π(Z
n
) < ∞.
Let E ∈ ((/). Then (E ∩ Z
n
) ↑ E, and
(E ∩ Z
n
)
x
↑ E
x
for all x ∈ X.
62
x
E
Z
n
So:

X
m(E
x
) dx =

X
limm((E ∩ Z
n
)
x
) dx
MCT
= lim

X
m((E ∩ Z
n
)
x
) dx
(since Z
n
has finite measure)
= limπ(E ∩ Z
n
)
= π(E)
as required.
3.5 Tonelli’s Theorem
Theorem 3.5.1. (Repeated integral of a non-negative funtcion)
Let F : X Y −→[0, ∞] be non-negative measurable. Then

X
¸
Y
F(x, y) dy

dx =

X×Y
F(x, y) dxdy =

Y
¸
X
F(x, y) dx

dy
(notation as before.)
63
Proof. To show

X
¸
Y
F(x, y) dy

dx =

X×Y
F(x, y) dxdy (3.2)
1. Equation 3.2 holds for F = χ
E
, since

X
¸
Y
χ
E
(x, y) dy

dx =

X
m(E
x
) dx = π(E) =

X×Y
χ
E
(x, y) dxdy
therefore Equation 3.2 also holds for any simple function.
2. (General Case)
∃ monotone increasing sequence of non-negative measurable functions
with F = limF
n

X

Y
F(x, y) dy

dx =

X

Y
limF
n
(x, y) dy

dx
MCT
=

X

lim

Y
F
n
(x, y) dy

dx
MCT
= lim

X

Y
F
n
(x, y) dy

dx
(1.)
= lim

X×Y
F
n
(x, y) dxdy
MCT
=

X×Y
limF
n
(x, y) dxdy
=

X×Y
F(x, y) dxdy
3.6 Fubini’s Theorem
Theorem 3.6.1. (Repeated Integral of an integrable function)
Let F be an integrable function on X Y . Then:

X
¸
Y
F(x, y) dy

dx =

X×Y
F(x, y) dxdy =

Y
¸
X
F(x, y) dx

dy
Where

Y
F(x, y) dy is equal to an integrable function of x a.e., and

X
F(x, y) dx
is equal to an integrable function of y a.e.
64
Proof.

X×Y
F(x, y) dxdy =

X×Y
F
+
(x, y) dxdy −

X×Y
F

(x, y) dxdy
Tonelli
=

X

Y
F
+
(x, y) dy

dx −

X

Y
F

(x, y) dy

dx
Therefore

Y
F
+
(x, y) dy, and

Y
F

(x, y) dy are each finite a.a.x., and each
has a finite integral w.r.t. x. (*)
So:
F(x, y) = F
+
(x, y) −F

(x, y)
is integrable w.r.t y a.e., and:

Y
F(x, y) dy =

Y
F
+
(x, y) dy −

Y
F

(x, y) dy
for a.a.x, and is an integrable function of x (by (*)), with:

X

Y
F(x, y) dy

dx =

X

Y
F
+
(x, y) dy

dx −

X

Y
F

(x, y) dy

dx
=

X×Y
F(x, y) dxdy
Theorem 3.6.2. Let f be an integrable function R −→R. Then
1.

f(x +c) dx =

f(x) dx
2.

f(cx) dx =
1
|c|

f(x) dx (c = 0)
Proof. These are true for f = χ
E
, because:
1.

χ
E
(x +c) dx =

χ
E−c
(x) dx = m(E −c) = m(E) =

χ
E
(x) dx
2.

χ
E
(cx) dx =

χ1
c
E
(x) dx = m(
1
c
E) =
1
[c[
m(E) =
1
[c[

χ
E
(x) dx
Therefore, these are true for f simple, and therefore true for f non-negative
measurable (by MCT), since ∃f
n
simple, s.t. f
n
↑ f. Therefore, these are
true for f = f
+
−f

integrable.
65
We now see how to deal with integration on change of variable on R
n
.
Recall

f(cx) dx =
1
|c|

f(x) dx.
Theorem 3.6.3. (Linear change of variable)
Let R
n
A
−→R
n
be an invertable matrix, then

f(Ax) dx =
1
[ det A[

f(x) dx
Proof. we can reduce A to the unit matrix I by a sequence of elementary
row operations.
1. To replace row i by row i + c row j, multiply A by:
N =

¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
1
.
.
.
.
.
.
.
.
.
1 c
.
.
.
1
.
.
.

with c in the i,j position.
2. To interchange row i and row j, multiply A by:
P =

¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
1
.
.
.
.
.
.
1
.
.
.
.
.
.
0 1
.
.
. 1
.
.
.
.
.
.
.
.
. 1
.
.
.
1 0
1
.
.
.
1

66
3. To replace row i by c row j, multiply A by:
D =

¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
1
.
.
.
1
c
1
.
.
.
1

Therefore, there exists matrices B
1
, . . . , B
k
, each of type N, P or D s.t.
B
1
B
2
B
k
A = I
and therefore,
A = B
−1
k
B
−1
2
B
−1
1
is a product of matrices of type N, P or D.
Now, if the theorem holds for matrices A, B then it also holds for AB
since:

f(ABx) dx =
1
[ det B[

f(Ax) dx =
1
[ det B[[ det A[

f(x) dx =
1
[ det AB[

f(x) dx
therefore, it is sufficient to prove it for matrices of type N, P, D.
1. Let
N =

¸
¸
¸
¸
¸
¸
¸
¸
1 c 0 0
0 1 0 0
0 0 1 0
.
.
.
.
.
.
1

(say). det N = 1. Then

f(Nx) dx =

f(x
1
+cx
2
, x
2
, . . . , x
n
) dx
1
dx
2
dx
n
=

f(x
1
, x
2
, . . . , x
n
) dx
1
dx
2
dx
n
(by Fubini, and translation invariance)
=
1
| det N|

f(x) dx
67
2. Let
P =

¸
¸
¸
¸
¸
¸
¸
¸
0 1 0 0
1 0 0 0
0 0 1 0
.
.
.
.
.
.
1

(say). det P = −1. Then

f(Px) dx =

f(x
2
, x
1
, . . . , x
n
) dx
1
dx
2
dx
n
=

f(x
1
, x
2
, . . . , x
n
) dx
1
dx
2
dx
n
(by Fubini)
=
1
| det P|

f(x) dx
3. Let
D =

¸
¸
¸
¸
¸
¸
¸
¸
c 0 0 0
0 1 0 0
0 0 1 0
.
.
.
.
.
.
1

(say). det N = c. Then

f(Dx) dx =

f(cx
1
, x
2
, . . . , x
n
) dx
1
dx
2
dx
n
=
1
|c|

f(x
1
, x
2
, . . . , x
n
) dx
1
dx
2
dx
n
(by Fubini)
=
1
| det D|

f(x) dx
Corollary 3.6.4. if E ⊂ R
n
is measurable and R
n
A
−→R
n
is a linear homo-
morphism then
m(A(E)) = [ det A[m(E)
Proof.
m(E) =

χ
E
(x) dx
=

χ
A(E)
(AX) dx
=
1
| det A|

χ
A(E)
(x) dx
=
1
| det A|
m(A(E))
68
as required.
69
70
Chapter 4
Differentiation
4.1 Differentiation
If R
f
−→R is a real valued function od a real variable then the derivative of
f at a is defined to be:
f

(a) = lim
h−→0
f(a +h) −f(a)
h
(4.1)
We want to define the derivative f

(a) when f is a vector-valued function of
a vector variable:
f : M −→ N
where m, N are real (or complex) vector spaces.
We cannot use Equation (4.1) directly since we don’t know how to divide
f(a +h) −f(a), which is a vector in N, by h, which is a vector in M
So, we rewrite Equation (4.1) as:
f(a +h) = f(a)
....
(constant)
+ f

(a)h
. .. .
(linear in h)
+ φ(h)
....
(remainder)
where
lim
h−→0
φ(h)
h
=
f(a +h) −f(a)
h
−f

(a)
This suggests that we take M, N to be normed spaces and define f

(a) to
be a linear operator such that
f(a +h) = f(a) +f

(a)h +φ(h)
where
lim
h−→0
|φ(h)|
|h|
= 0
71
(h)
a
h
a+h
f
f(a)
f’(a) h
a+h
f(a+h)
φ
This f

(a)h is the linear approx to the change in f when variable changes by
h from a to a +h.
4.2 Normed Space
Definition let M be a real or complex vector space. Then M is called a
normed space if a function |.| exists,:
M −→R
x −→ |x|
is given on M (called the norm on M), such that:
1. |x ≥ 0
2. |x| = 0 ⇔ x = 0
3. |αx| = [α[ |x| ∀ scalar α
4. |x +y| ≤ |x| +|y| (triangle inequality)
Example 1. R
n
with |(α
1
, . . . , α
n
)| =

α
2
1
+ +α
2
n
is called the Eu-
clidean Norm on R
n
.
2. C
n
with |(α
1
, . . . , α
n
)| =


1
[
2
+ +[α
n
[
2
is called the Hilbert
Norm on C
n
.
3. C
n
with |(α
1
, . . . , α
n
)| = max¦[α
1
[, . . . , [α
n
[¦ is called the sup norm
on C
n
.
4. if (X, M, m) is a measure space the the set of integrable functions
L

(X, R, m) with
|f| =

[f[ dm
is called the L

-norm (functions are to be regarded as equal if they are
equal a.e.)
72
4.3 Metric Space
Definition a set X is called a metric space if a function
D : X X −→R
is given (called a metric on X) such that
1. d(x, y) ≥ 0
2. d(x, y) = 0 ⇔ x = y
3. d(x, z) ≤ d(x, y) +d(y, z). This is known as the triangle inequality
Definition If a ∈ X and r > 0 the we write
B
X
(a, r) = ¦x ∈ X : d(a, x) < r¦
and call it the ball in X centre a, radius r.
Example if M is a normed space then M is also a metric space with
d(x, y) = |x −y|
4.4 Topological space
Definition a set X is called a topological space id a collection 1 of subsets
of X is given (called the topology on X) such that:
1. ∅ and X belong to 1
2. if ¦V
i
¦
i∈I
is any family of elements of 1 then
¸
i∈I
v
i
belongs to 1. i.e.
1 is closed under unions
3. if U and V belong to 1 then U ∩V belongs to 1. i.e. 1 is closed under
finite intersections.
We call the elements of 1 the open sets of the topological space X, or open
in X.
Example Let X be a metric space. Then X is a topological space where we
define a set V to be open in V if V ⊂ X and each a ∈ V ∃ r > 0 s.t.
B
X
(a, r) ⊂ V
73
a
r
V
Theorem 4.4.1. if X is a metric space then each c ∈ X and s > 0 the ball
B
X
(c, s) is open in X.
Proof. Let a ∈ B
X
(c, s). Put r = s −d(a, c) > 0.
Then
x ∈ B
X
(a, r)
=⇒ d(x, a) < r = s −d(a, c)
=⇒ d(x, a) +d(a, c) < s
=⇒ d(x, c) < s
=⇒ x ∈ B
X
(c, s)
74
a
r
c
x
s
PSfrag replacements
B
X
(a, r)
B
X
(c, s)
and, therefore BX(a, r) ⊂ B
X
(c, s), as required.
4.5 Continuous map of topological spaces
Definition a map f : X −→ Y of topological spaces is called continuous if:
V open in Y =⇒ f
−1
V open in X
Theorem 4.5.1. let X, Y be metric spaces, then:
f : X −→ Y
is continuous if and only if,
for each a ∈ X, > 0
∃ δ > 0 s.t.
d(x, a) < δ =⇒ d(f(x), f(a)) <
(4.2)
i.e.
fB
X
(a, δ) ⊂ B
Y
(f(a), )
Proof. 1. Let f be continuous. Let a ∈ X, > 0. Then B
Y
(f(a), ) is
open in Y . Therefore, f
−1
B
Y
(f(a), ) is open in X.
75
a
δ
ε
f(a)
PSfrag replacements
f
−1
B
Y
(f(a), )
B
Y
(f(a), )
∃δ > 0 s.t.
B
X
(a, δ) ⊂ f
−1
B
Y
(f(a), )
and
fB
X
(a, δ) ⊂ B
Y
(f(a), )
therefore Equation (4.2) holds.
2. Let Equation (4.2) hold. Let V be open in Y , a ∈ f
−1
V , and so
f(a) ∈ V .
Now, ∃ > 0 s.t.
B
Y
(f(a), ) ⊂ V
f(a)
V
a
PSfrag replacements
f
−1
V
and ∃δ > 0 s.t.
fB
X
(a, δ) ⊂ B
Y
(f(a), ) ⊂ V
therefore,
B
X
(a, δ) ⊂ f
−1
V
so, f
−1
V is open in X, and f is continuous.
76
4.6 Homeomorphisms
Definition a map f : X −→Y of topolgical spaces is called homeomorphism
if:
1. f is bijective
2. f and f
−1
are continuous
Definition X is homeomorphic to Y (topologically equivalent) if ∃ a home-
omorphism X −→ Y . i.e. ∃ a beijective map under which the open sets of
X correspond to the open sets of Y .
Definition a property P of a topological space is called a topological prop-
erty if X has property P and X homeomorphic to Y =⇒ Y has property
P.
Example ’compactness’ is a topolgical property
Note: we have a category with topological spaces as objects, and con-
tinuous maps as morphisms.
4.7 Operator Norm
Definition Let M, N be finite dimensional normed spaces. Then we can
make the vector space
L(M, N)
of all linear operators T : M −→ N, into a normed space by defining:
|T| = sup
x∈M
x=0
|Tx|
|x|
|T| is called the operator norm of T.
We have:
1. If x = 0 and y =
x
x
then
|y| =
1
|x|
|x| = 1
77
x
PSfrag replacements
x
x
i.e. y has unit norm. Therefore
|Tx|
|x|
=

T
x
|x|

= |Ty|
and
|T| = sup
y∈M
y=1
|Ty|
T
y
y
PSfrag replacements
|T|
2. if α is a scalar then
|αT| = sup
y=1
|αTy| = [α[ sup
y=1
|Ty| = [α[|T|
3. if S, T : M −→N then
|S+T| = sup
y=1
|(S+T)y| ≤ sup
y=1
(|Sy|+|Ty|) ≤ sup |Sy|+sup|Ty| = |S|+|T|
78
4.
|T| = 0 ⇐⇒ sup
x=0
Tx
x
= 0
⇐⇒ |Tx| = 0 ∀x
⇐⇒ Tx = 0 ∀x
⇐⇒ T = 0
(by 2,3,4 the operator norm is a norm).
Theorem 4.7.1. 1. if T : M −→N and x ∈ M then
|Tx| ≤ |T| |x|
2. If L
T
−→M
S
−→N then
|ST| ≤ |S| |T|
Proof. 1.
|Tx|
|x|
≤ |T|
∀x = 0, be definition. therefore,
|Tx| ≤ |T| |x|
for all x
2.
|ST| = sup
y=1
|STy|
≤ sup |S| |Ty| (by 1.)
≤ sup
y=1
|S| |T| |y| (by 1.)
= |S| |T|
Note:
1. if M is finite dimensional then every choice of norm on M defines the
same topology on M
2. a sequence x
r
of points in a topological space X is said to converge to
a ∈ M if, for each open set V containing a ∃N s.t. x
r
∈ V ∀ r ≥ N.
For a normed space M this is the same as: for each > 0 ∃N s.t.
|x
r
−a| < ∀ r ≥ N.
79
4.8 Differentiation
Definition let
M ⊃ V
f
−→N
where M, N are normed spaces and V is open in M. Let a ∈ V . THen f is
differentiable at a if ∃ a linear operator
M
f

(a)
−→ N
such that
f(a +h) = f(a0) +f

(a)h +φ(h)
where
|φ(h)|
|h|
−→ 0 as |h| −→0
Theorem 4.8.1. if f is differentiable at a the the operator f

(a) is uniquely
determined by:
f

(a)h = lim
t−→0
f(a+th)−f(a)
t
= directional derivative of f at a along h
=
d
dt
f(a +th)

t=0
a
a+th
a+h
f

(a) is called the derivative of f at a
Proof.
f(a +th) = f(a) +f

(a)th +φ(th)
therefore,

f(a +th) −f(a)
t
−f

(a)h

=

φ(th)
t

=
|φ(th)|
|th|
|h|
tends to 0 as t −→ 0.
80
f’(a) h
a
a+th
a+h h
f
f(a)
f(a+th)
f(a+h)
Example 1. f : R −→R, f(x) = x
3
. Then
f(a + h) = (a +h)
3
= a
3
....
f(a)
+3a
2
h
....
f

(a)h
+3ah
2
+h
3
. .. .
φ(h)
so f

(a) = 3a
2
.
2. f : R
n×n
−→R
n×n
, f(X) = X
3
.
f(A+H) = (A +H)
3
= A
3
....
f(A)
+A
2
H +AHA+HA
2
. .. .
f

(A)H
+AH
2
+HAH +H
2
A +H
3
. .. .
φ(H)
taking (say) Euclidean norm on R
n
and operator norm on R
n×n
=
L(R
n
, R
n
).
φ(H)
H
=
AH
2
+HAH+H
2
A+H
3

H

3A H
2
H
= 3|A| |H| −→ 0
as |H| −→0
therefore, f is differentiable at A, and
f

(A) : R
n×n
−→R
n×n
is given by
f

(A)H = A
2
H +AHA+HA
2
81
Theorem 4.8.2. Let R
n
⊃ V
f
−→R
m
be a differentiable function with
f = (f
1
, . . . , f
m
) = (f
i
)
Then
f

=

∂f
i
∂x
j

Proof. For each a ∈ V we have
f

(a) : R
n
−→R
m
is a linear operator. Therefore, f

(a) is an mn matrix whose j
th
column is
f

(a)e
j
= lim
t−→0
f(a+te
j
)−f(a)
t
=
∂f
∂x
j
(a)
=

∂f
1
∂x
j
(a), . . . ,
∂f
m
∂x
j
(a)

therefore,
f

(a) =

∂f
i
∂x
j
(a)

for all a ∈ V . Therefore,
f

=

∂f
i
∂x
j

which is the Jacobian matrix.
Theorem 4.8.3. Let M ⊃ V
f
−→N
1
N
k
where
f(x) =

f
1
(x), . . . , f
k
(x)

Then f
1
, . . . , f
k
differentiable at a ∈ V =⇒ f is differentiable at a, and
f

(a)h =

f
1

(a)h, . . . , f
k

(a)h

.
Proof. (k = 2)
M ⊃ V
f
−→N
1
N
2
f(x) =

f
1
(x), f
2
(x)

Take any norms on M, N
1
, N
2
and define a norm on N
!
N
2
by
|(y
1
, y
2
)| = |y
1
| +|y
2
|
82
Then
f(a +h) = (f
1
(a +h), f
2
(a +h))
=

f
1
(a) +f
1

(a)h +φ
1
(h), f
2
(a) +f
2

(a)h +φ
2
(h)

= (f
1
(a), f
2
(a)) +

f
1

(a)h, f
2

(a)h

. .. .
linear in h
+

φ
1
(h), φ
2
(h)

. .. .
remainder
Now:
| (φ
1
(h), φ
2
(h)) |
|h|
=

1
(h)|
|h|
+

2
(h)|
|h|
tends to 0 as h −→0. Therefore, f is differentiable at am and
f

(a)h =

f
1

(a)h, f
2

(a)h

as required.
4.9 Notation
1. Given a function of n variables
R
n
⊃ V
f
−→R
V open, we shall denote by
x
1
, x
2
, . . . , x
n
the usual co-ordinate functions on R
n
and shall often denote the partial
derivative of f at a w.r.t. j
th
variable by:
∂f
∂x
j
(a) = lim
t−→0
f(a
1
,a
2
,...,a
j
+t,...,an)−f(a
1
,a
2
,...,a
j
,...,an)
t
=
d
dt
f(a +te
j
)

t=0
Notice that the symbol x
j
does not appear in the definition: it is a
’dummy symbol’ indicating deriv w.r.t. j
th
’slot’, sometimes written as
f,
j
(a).
2. given a function
R
2
⊃ V
f
−→R
83
V open, we often denote by x, y the usual co-ordinate functions instead
of x
1
, x
2
and write
∂f
∂x
for
∂f
∂x
1
∂f
∂y
for
∂f
∂x
2
etc.
3. given
M ⊃ V
f
−→N
V open, if f is differentiable at a, ∀a ∈ V , we say that f is differentiable
on V and call the function on V :
f

: a −→ f

(a)
the derivative of f. We write:
f
(2)
= (f

)

f
(3)
= ((f

)

)

and call f C
r
if f
(r)
exists and is continuous, f C

if f
(r)
exists ∀r.
4.10 C
r
Functions
Theorem 4.10.1. Let
R
n
⊃ V
f
−→R
V open. Then f is C
1
⇐⇒
∂f
∂x
i
exists and is continuous for i = 1, . . . , n.
Proof. (case n = 2)
R
2
⊃ V
f
−→R, f(x, y)
1. if f is C
1
, then
∂f
∂x
,
∂f
∂y
exist and
f

=

∂f
∂x
,
∂f
∂y

therefore, f

is continuous, and therefore,
∂f
∂x
and
∂f
∂y
are continuous
84
2. Let
∂f
∂x
,
∂f
∂y
exists and be continuous on V . Then
f(a +h) = f(a) +
∂f
∂x
(a)h
1
+
∂f
∂y
(a)h
2
+φ(h)
(say) where h = (h
1
, h
2
). Now
φ(h) = f(a +h) −f(a +h
2
e
2
) −
∂f
∂x
(a)h
1
+f(a +h
2
e
2
) −f(a) −
∂f
∂y
(a)h
2
=
∂f
∂x
(m
1
)h
1

∂f
∂x
(a)h
1
+
∂f
∂y
(m
2
)h
2

∂f
∂x
(a)h
2
(say) by mean value theorem.
PSfrag replacements
m
1
m
2
a
a +h
a +h
2
e
2
Therefore,
|φ(h)|
|h|

∂f
∂x
(m
1
) −
∂f
∂x
(a)

[h
1
[
|h|
+

∂f
∂y
(m
2
) −
∂f
∂y
(a)

[h
2
[
|h|
−→0
as h −→ 0 since
∂f
∂x
,
∂f
∂y
are continuous at a.
Therefore, f is differentiable at a and f

(a) =

∂f
∂x
(a),
∂f
∂y
(a)

. Also,
f

=

∂f
∂x
,
∂f
∂y

is continuous.
85
Corollary 4.10.2. f is C
r
⇐⇒

r
f
∂x
i
1···∂x
ir
exists and is continuous for each
i
1
, . . . , i
r
.
Theorem 4.10.3. if
R
n
⊃ V
f
−→R V open
is C
2
then

2
f
∂x
i
∂x
j
is a symmetric matrix.
Proof. Let
R
n
⊃ V
f
−→R
be C
2
. Need to show:

2
f
∂x∂y
=

2
f
∂y∂x
V
a+h
b
b+h
a x
+
- +
-
Let (a, b) ∈ V . Let h = 0, k = 0 be such that the closed rectangle
(a, b), (a +h, b), (a +h, b +k), (a, b +k)
is contained in V . Put
g(x) = f(x, b +k) −f(x, b)
86
Then
f(a +h, b +k) −f(a +h, b)
−f(a, b +k) +f(a, b) = g(a +h) −g(a)
= hg

(c) some a ≤ c ≤ a +h by MVT
= h

∂f
∂x
(c, b +k) −
∂f
∂x
(c, b)

= hk

2
f
∂y∂x
(c, d) some b ≤ d ≤ b +k by MVT
and, similarly:
f(a +h, b +k) −f(a +h, b)
−f(a, b +k) +f(a, b) = kh

2
f
∂x∂y
(c

, di

)
for some a ≤ c

≤ a +h and b ≤ d

≤ b +k. Therefore

2
f
∂y∂x
(c, d) =

2
f
∂x∂y
(c

, d

)
Now, let (h, k) −→ (0, 0). Then (c, d) −→ (a, b), and (c

, d

) −→ (a, b).
Therefore,

2
f
∂y∂x
(a, b) =

2
f
∂x∂y
(a, b)
by continuity of

2
f
∂y∂x
and

2
f
∂x∂y
4.11 Chain Rule
Theorem 4.11.1. (Chain Rule for functions on finite dimensional real or
complex vector spaces)
Let L, M, N be finite dimensional real or complex vector spaces. Let U be
open in L, V open in M and let
U
g
−→ V
f
−→N
Let g be differentiable at a ∈ U, f be differentiable at g(a). Then the compo-
sition f g is differentiable at a and
(f g)

(a) = f

(g(a)) g

(a) operator product
87
Proof. we have
f[g(a
h
)] = f [g(a) +Th +φ(h)] where T = g

(a)
and
φ(h)
h
−→0
as |h| −→0
= f[g(a) +y] where y = Th +φ(h)
so |y| ≤ |T| |h| +|φ(h)| −→0
as |h| −→0
= f(g(a)) +Sy +|y|ψ(y) where S = f

(g(a))
and |ψ(h)| −→0
as |y| −→0
= f(g(a) +S(Th +φ(h) +|y|ψ(y)
= f(g(a)) +STh +Sφ(h) +|y|ψ(y)
Now
|Sφ(h) +|y|ψ(y)|
|h|
≤ |S|
|φ(h)|
|h|
+

|T| +
|φ(h)|
|h|

|ψ(y)|
tends to 0 as |h| −→0. Therefore, f g is differentiable at a, and
(f g)

(a) = ST = f

(g(a)) g

(a)
Example
d
dt
f(g
1
(t), . . . , g
n
(t)) = (f g)

(t) = f

(g(t))
. .. .
1×n
g

(t)
....
n×1
where
R ⊃ U
g
−→V
f
−→R
V open in R
n
, and f, g differentiable. Then
f

(g(t))g

(t) =

∂f
∂x
1
(g(t)), . . .
∂f
∂x
n
(g(t))

¸
¸
d
dt
g
1
(t)
.
.
.
d
dt
g
n
(t)

=
∂f
∂x
1
(g(t))
d
dt
g
1
(t) + +
∂f
∂x
n
(g(t))
d
dt
g
n
(t)
is the usual chain rule.
88
Chapter 5
Calculus of Complex Numbers
5.1 Complex Differentiation
Definition let
C ⊃ V
f
−→C
be a complex valued function of a complex variable defined on open V . C is
a 1-dimensional complex normed space.
Let a ∈ V . Then f is differentiable at a as a function of a complex
variable if ∃ a linear map of complex spaces:
C
f

(a)
−→C
s.t.
f(a +h) = f(a) +f

(a)h +φ(h)
where
|φ(h)|
|h|
−→0 as h −→ 0. f

(a) is a 1 1 complex matrix, i.e. a complex
number, and

f(a +h) −f(a)
h
−f

(a)

=
[φ(h)[
[h[
which tends to 0 as h −→0. Therefore
f

(a) = lim
h−→0
f(a +h) −f(a)
h
We call f

(a) the derivative of f at a. f

is called holomorphic on V if
f

(a) exists ∀ a ∈ V . We write f =
df
dy
.
Example
f : C −→C, f(z) = z
n
89
then,
lim
h−→0
f(z+h)−f(z)
h
= lim
h−→0
(z+h)
n
−z
n
h
= lim
h−→0
[nz
n−1
+
n(n−1)
2
z
n−2
h + higher powers h]
= nz
n−1
therefore, f is holomorphic in C and f

(z) = nz
n−1
.
Example
f(z) = z
then,
f(z +h) −f(z)
h
=
h
h
=

1 h real
−1 h pure imaginary
which does not converge as h −→0.
The usual rules for differentiation apply:
1.
d
dy
(f +g) =
df
dy
+
dg
dy
2.
d
dy
fg = f
dg
dy
+g
df
dy
3.
d
dy
f
g
=
g
df
dy
−f
dg
dy
g
2
if g = 0
4.
d
dz
f(g(z)) = f

(g(z)) g

(z) chain rule
By definition C = R
2
z = x +iy = (x, y)
and the operation of mult by i =

−1 C
i
−→C is the operator R
2
i
−→R
2
with matrix

0 −1
1 0

, because
ie
1
= i = (0, 1) = 0e
1
+e
2
ie
2
= ii = −1 = −e
1
+ 0e
2
= (−1, 0)
Let f is (real) differentiable on V then each a ∈ v the operator
C
f

(a)
−→C i.e R
2
f

(a)
−→R
2
90
preserves addition and commutes with mult by real scalars, for each a ∈ V ,
and f is holomorphic in V iff f

(a) also commutes with multiplication by
complex scalars. ⇐⇒ f

(a) also commutes with multiplication by i.
⇐⇒

∂u
∂x
∂u
∂y
∂v
∂x
∂v
∂y

0 −1
1 0

=

0 −1
1 0

∂u
∂x
∂u
∂y
∂v
∂x
∂v
∂y

⇐⇒

∂u
∂y

∂u
∂x
∂v
∂y

∂v
∂x

=


∂v
∂x

∂v
∂y
∂u
∂x
∂u
∂y

⇐⇒
∂u
∂x
=
∂v
∂y
∂v
∂x
= −
∂u
∂y

Cauchy-Riemann Equations
so, therefore: f = u + iv is holomorphic in V ⇐⇒ f is real-differentiable
on V and satisfies the Cauchy-Riemann Equations.
Example f(z) = z
2
= (x +iy)
2
= x
2
−y
2
+ 2ixy. then
u = x
2
−y
2 ∂u
∂x
= 2x =
∂v
∂y
v = 2xy
∂v
∂x
= 2y = −
∂u
∂x
Note, if f = u +iv is holomorphic in V then
∂f
∂y
(a) = lim
h−→0
f(a+h)−f(a)
h
= lim
t−→0
f(a+t)−f(a)
t
= lim
t−→0
f(a+it)−f(a)
it
=

∂x
[u +iv] =
1
i

∂y
[u +iv]
therefore,
∂f
∂z
=
∂u
∂x
+i
∂v
∂x
=
∂v
∂y
−i
∂u
∂y
this also gives the Cauchy-Riemann Equations.
5.2 Path Integrals
Definition C
1
map
[t
1
, t
2
]
α
−→V ⊂ R
2
V open
t −→ α(t)
91
is called a (parametrical) path in R fom α(t
1
) to α(t
2
) and if f, g are complex-
valued continuous on V we write

α
(f dx +g dy) =

t
2
t
1
[f(α(t))
d
dt
x(α(t)) +g(α(t))
d
dt
y(α(t))] dt
and call it the integral of the differential form f dx+g dy over the path α. If
[s
1
, s
2
]
σ
−→[t
1
, t
2
]
is C
1
with σ(s
1
) = t
1
, σ(s
2
) = t
2
and β(s) = α(σ(s)) then β is called a
reparameterisation of α.
We have

β
(f dx +g dy) =

s
2
s
1
[f(β(s))
d
ds
x(β(s)) +g(β(s))
d
ds
y(β(s))] ds
=

s
2
s
1
[f(α(σ(s)))
d
ds
x(α(σ(s))) +g(α(σ(s)))
d
ds
y(α(σ(s)))] ds
=

s
2
s
1
[f(α(σ(s)))(x α)

(σ(s)) + g(α(σ(s)))(y α)

(σ(s))]σ

(s) ds
=

t
2
t
1
[f(α(t))
d
dt
x(α(t)) +g(α(t))
d
dt
y(α(t))] dt
=

α
(f dx +g dy)
therefore, the integral over α is independent of parmaterisation.
If we take
[t
1
, t
2
]
σ
−→ [t
1
, t
2
]
with σ(s) = t
1
+ t
2
− s, and β(s) = α(σ(s)) we have σ(t
2
) = t
1
, σ(t
1
) = t
2
then β is same path but traversed in the opposite direction and

β
(f dx +g dy) =

t
1
t
2
[f(α(t))
d
dt
x(α(t)) +g(α(t))
d
dt
y(α(t))] ds
= −

α
(f dx +g dy)
Definition If f is C
1
on V we write
df =
∂f
∂x
dx +
∂f
∂y
dy
A differential form of this type is called exact, and is called the differential
of f.
92
If α is a path from a to b, α(t
1
) = a, α(t
2
) = b, then

α
df =

t
2
t
1
[f(α(t))
d
dt
x(α(t)) +g(α(t))
d
dt
y(α(t))] dt
=

t
2
t
1
[
d
dt
f(α(t))] dt
= f(α(t
2
)) −f(α(t
1
))
= f(b) −f(a) so we have path independence
= change of value of f along α
If α is a closed path, (i.e. a = b) then

α
df = 0
If f(z) = u(x, y) + iv(x, y), for z = x + iy with u, v real, put dz = dx + idy
and
f(z) dz = [u +iv][dx +idy]
= (u dx −v dy) +i(v dx +u dy)
then

α
f(z) dz =

α
(u dx −v dy) +i

α
(v dx +u dy)
=

t
2
t
1
¸
[u(α(t)) +iv(α(t))]
d
dt
[x(α(t)) +iy(α(t))]
¸
dt
=

t
2
t
1
f(α(t)) α

(t) dt
If f is holomorphic then
df = du +i dv =
∂u
∂x
dx +
∂u
∂y
dy +i
∂v
∂x
dx +i
∂v
∂y
dy
=
∂u
∂x
dx −
∂v
∂x
dx +i
∂v
∂x
dx +i
∂u
∂x
dy
=

∂u
∂x
+i
∂v
∂x

( dx +i dy)
= f

(z) dz
therefore, if f is holomorphic on V open then
1. for any path α in V from a to b:

α
f

(z) dz = f(b) −f(a)
path independence
93
2. for any closed path α in V :

α
f

(z) dz = 0
Example 1. if α path from a to b

α
z
n
dz =

α
[
d
dz
z
n+1
n + 1
] dz =
b
n+1
−a
n+1
n + 1
n = 1
in particular,
2. if α is a closed path,

α
z
n
dz = 0 n = 1
But:
3. for the closed path α(t) = e
it
, 0 ≤ t ≤ 2π

α
dz
z
=


0
1
e
it
ie
it
dt =


0
i dt = 2πi = 0
therefore,
1
z
cannot be the derivative of a holomorphic function on C.
Definition if [t
1
, t
2
]
α
−→C is a path in C then we write
L(α) =

t
2
t
1

(t)[ dt
and call it the length of α.
If β = α σ is a reparameterisation of α with α

(s) > 0
L(β) =

s
2
s
1

(s)[ ds
=

s
2
s
1

(σ(s))σ

(s)[ ds
=

t
2
t
1

(t)[ dt
= L(α)
94
Theorem 5.2.1. (Estimating a complex integral)
Let f be bounded on α:
[f(α(t))[ ≤ M
(say), t
1
≤ t ≤ t
2
. then

α
f(z) dz

≤ ML(α)
Proof.

α
f(z) dz

=

t
2
t
1
f(α(t))α

(t) dt

t
2
t
1
[f(α(t))[ [α

(t)[ dt
≤ M

t
2
t
1

(t)[ dt
= ML(α)
5.3 Cauchy’s Theorem for a triangle
If f(z) = u(x, y) +i v(x, y) is holomorphic then

α
f(z) dz =

α
(u dx −v dy) +i

(v dx +u dy)
and

∂y
u =

∂x
(−v),

∂y
v =

∂x
u (by Cauchy-Riemann).
Therefore, the neccessary conditions for path-independence are satisfied,
but not always sufficient, e.g.f(z) =
1
z
. However, we have
Theorem 5.3.1. (Cauchy’s Theorem for a triangle)
Let C ⊃ V
f
−→ C be holomorphic on open V , and let T be a triangle
(interior plus boundary δT) ⊂ V . Then

δT
f(z) dz = 0
Proof. write
i(T) =

δt
f(z) dz
95
and join the mid-points of the sides to get 4 triangles
S
1
, S
2
, S
3
, S
4
then
i(T) =
4
¸
j=1
i(S
j
)
and therefore
[i(T)[ ≤
4
¸
j=1
[i(S
j
)[ ≤ 4[i(T
1
)[
(say) where T
1
is one of S
1
, . . . , S
4
.
1
T
T
Repeat the process to get a sequence of triangles
T
1
, T
2
, . . . , T
n
, . . .
with
[i(T)[ ≤ 4
n
[i(T
n
)[
Let
¸

j=1
T
j
= ¦c¦. Then
i(T
n
) =

δTn
f(z) dz
=

δTn
[f(c) +f

(c)(z −c) +[z −c[φ(z −c)] dz
=

δTn
[z −c[ φ(z −c) dz where [φ(z −c)[ −→0 as [z −c[ −→0
96
n
c
z
T
Let > 0. Choose δ > 0 s.t. [φ(z −c)[ < ∀ [z −c[ < δ. Let L =length of T.
Choose n s.t. length of T
n
=
l

n
< δ.
Then
[i(T
n
)[ ≤
l
2
n

l
2
n
=
l
2
4
n

therefore [i(T)[ ≤ l
2
, and therefore i(T) = 0.
Definition A set V ⊂ C is called star-shaped if ∃a ∈ V s.t.
[a, z] ⊂ V ∀ z ∈ V
a
z
V
Theorem 5.3.2. Let C ⊃ V
f
−→ C be a holomorphic function on an open
star-shaped set. Then f = F

for some complex-differentable function F on
V and hence:

α
f(z) dz = 0
for each closed curve α in V .
Proof. Choose a ∈ V s.t. [a, z] ⊂ V ∀ z ∈ V . Put F(w) =

w
a
f(z) dz. Then
97
w+h
a
w
F(w +h) =

w+h
a
f(z) dz
=

w
a
f(z) dz +

w+h
w
f(z) dz by Cauchy
= F(w) +f(w)h +

w+h
w
[f(z) −f(w)] dy
. .. .
φ(h)
Let > 0. Choose δ > 0 w.t. [f(z) −f(w)[ < ∀[z −w[ < δ. Therefore
[φ(h)[ ≤ [h[
for all [h[ < δ, and therefore
lim
h−→0
[φ(h)[
[h[
= 0
Therefore, F is differentiable at w and F

(w) = f(w) as required.
5.4 Winding Number
We have seen that

circle about o
dz
z
= 2πi
More generally:
98
Theorem 5.4.1. Let a ∈ C ad α : [t
1
, t
2
] −→C−¦a¦ be a closed path. The
1
2πi

α
dz
z −a
is an integer, called the winding number of α about a
Proof. put
β(t) =

t
t
1
α

(s)
α(s) −a
ds
so β

(t) =
α

(t)
α(t)−a
. Then
d
dt

[α(t) −a]e
−β(t)

= [α

(t) −β

(t)¦α(t) −a¦] e
−β(t)
= 0
therefore, [α(t)−a]e
−β(t)
is a constant function of t and is equal to [α(t
1
)−a],
since β(t
1
) = 0. Therefore
e
β(t)
=
α(t) −a
α(t
1
) −a
therefore,
e
β(t
2
)
=
α(t
2
) −a
α(t
1
) −a
= 1
and therefore, β(t
2
) = 2nπi, with n an integer.
a
PSfrag replacements
e
β(t)
β(t)
2nπi
99
Therefore,

α
dz
z −a
=

t
2
t
1
α

(s)
α(s) −a
ds = β(t
2
) = 2nπi
as required.
Theorem 5.4.2. Let C be a circle and a ∈ C. Then
1. if a is inside C, then C has winding number 1 about a:

C
dz
z −a
= 2πi
a
C
2. if a is outside C then winding number about a is 0.

C
dz
z −a
= 0
a
C
Proof. 1. Let a be inside C, let C
1
be a circle, centre a inside C. Let
α, β, γ be the closed paths shown, each is contained in an open star
shaped set on which
1
z−a
is holomorphic.
100
1
a
α
β
γ
C
C

α
dz
z−a
+

β
dz
z−a
+

γ
dz
z−a
=

C
dz
z−a

C
1
dz
z−a
0 + 0 = 0 =

C

C
1
therefore,

C
dz
z −a
=

C
1
dz
z −a
=


0
ire

re

dθ = 2πi
(put z = a +re

).
2. Let a be outside C, then C is contained in an open star-shaped set on
which
1
z−a
is holomorphic. Therefore,

C
dz
z −a
= 0
5.5 Cauchy’s Integral Formula
Theorem 5.5.1. (Cauchy’s Integral Formula)
Let f be holomorphic on open V in C. Let w ∈ V . Then, for any circle
C around w, such that C and it’s interior is contained in V , we have:
f(w) =
1
2πi

C
f(z)
z −w
dz
(Thus the values of f on any circle uniquely determine the values of f inside
the circle)
101
w
C
V
Proof. Let > 0. Choose a circle C
1
centre w, radius r (say) inside C such
that [f(z) −f(w)[ ≤ ∀z ∈ C
1
by continuity of f.
w
α
β
γ
C
C
1
Let α, β, γ be as indicated. Then, by integrating
f(z)
z−w
:

C

C
1
=

α
+

β
+

γ
= 0 + 0 + 0 = 0
since each of α, β, γ are contained in a star-shaped set on which
f(z)
z−w
is a
holomorphic function of z. Therefore,

C
f(z)
z−w
dz =

C
1
f(z)
z−w
dz
=

C
1
f(w)
z−w
dz +

C
1
f(z)−f(w)
z−w
dz
= 2πi f(w) + 0
because:

C
1
f(z) −f(w)
z −w
dz



r
2πr = 2π
for all > 0. Hence result.
102
Let C ⊃ V
f
−→ C be holomorphic on V open. Let w ∈ V . Pick a circle
C around w such that C and it’s interior ⊃ V . We have:
f(w) =
1
2πi

C
f(z)
z −w
dz
differentiating w.r.t. w under the integral sign:
f

(w) =
1
2πi

C
f(z)
(z −w)
2
dz
w
r z
C
PSfrag replacements
w
1
Justified since ∃ r > 0 s.t.

f(z)
(z −w
1
)
2


[f(z)[
r
2
for all w
1
on an open set containing w
1
, which is integrable w.r.t. z.
Repeating n times gives:
f
(n)
(w) =
n!
2πi

C
f(z)
(z −w)
n+1
dz (5.1)
Thus, f holomorphic on open V =⇒ f has derivatives of all orders and
f
(n)
(w) is given by Equation(5.1) for any suitable circle C (or any suitable
closed curve) around w.
103
5.6 Term-by-term differentiation, analytic func-
tions, Taylor series
Theorem 5.6.1. Let ¦f
n
(z)¦ be a sequence of functions which is uniformly
convergent to the function f(z) on a path α. Then
lim
n−→∞

α
f
n
(z) dz =

α
f(z) dz
Proof. Let > 0. Choose N s.t.
[f
n
(z) −f(z)[ ≤ ∀n ≥ N ∀ z = α(t) t
1
≤ t ≤ t
2
(definition of uniform convergence). Then

α
f
n
(z) dz −

α
f(z) dz

α
[f
n
(z) −f(z) dz[
≤ l(α) ∀ n ≥ N
hence the result.
Theorem 5.6.2. (term by term differentiation)
Let
¸

i=1
f
n
(z) be a series of holomorphic functions on an open set V ,
which converges uniformly on a circle C which, together with it’s interior, is
contained in V .
Then the series converges inside C to a holomorphic function F (say)
and
f
(k)
=

¸
n=1
f
(k)
n
inside C
Proof. Let w be inside C, then λ = inf
z∈C
[z −w[ > 0.
=⇒
1
[z −w[
k+1

1
λ
k+1
∀ z ∈ C
Therefore,
¸

n=1
fn(z)
(z−w)
k+1
converges uniformly to
f(z)
(z−w)
k+1
z ∈ C. Therefore,

¸
n=1

C
f
n
(z)
(z −w)
k+1
dz =

C
f(z)
(z −w)
k+1
dz
and therefore,

¸
n=1
f
(k)
n
(w) = f
(n)
(w)
as required.
104
Definition Let C ⊃ V
f
−→ C with V opn. Then f is called analytic on V
if, for each a ∈ V ∃ r > 0 and constants c
0
, c
1
, c
2
, . . . ∈ C, such that:
f(z) = c
0
+c
1
(z −a) = c
2
(z −a)
2
+ ∀ z s.t. [z −a[ < r
The R.H.S. is called the Taylor series of f about a.
Lemma 5.6.3. If 0 < ρ < r then the series converges uniformly on
¦z : [z −a[ ≤ ρ¦
r
R
a
PSfrag replacements
ρ
Proof. Let 0 < ρ < R < r.
¸
c
n
(z − a)
n
converges for z − a = R, and
therefore,
¸
c
n
R
n
converges. Therefore, ∃K s.t. [c
n
R
n
[ ≤ K ∀n. Therefore
[c
n
(z −a)
n
[ ≤ [c
n
[ [z −a[
n

K
R
n
ρ
n
= K

ρ
R

n
for all [z −a[ ≤ ρ.
Therefore, we can differentiate term by term n times:
f
(n)
(z) = n!c
n
+ (n + 1)!c
n+1
[z −a[ + higher powers of z −a
Therefore, f
(n)
(a) = n!c
n
, and therefore, c
n
=
1
n!
f
(n)
(a).
The Taylor coefficents are uniquely determined, f is C

, and
f(z) =

¸
n=1
1
n!
f
(n)
(z −a)
n
on [z −a[ < r
Thus, f analytic on V =⇒ f holomorphic on V .
Conversely,
105
Theorem 5.6.4. Let C ⊃ V
f
−→ C be holomorphic on open V . Let C be
any circle, centre a s.t. C and it’s interior are contained in V . Then f has
a Taylor series about a convergent inside C. Hence f is analytic on V .
Proof. Let w be inside C. Then
f(w) =
1
2πi

C
f(z)
z−w
dz
=
1
2πi

C
f(z)
(z−a)−(w−a)
dz
=
1
2πi

C
f(z)
(z−a)[1−
w−a
z−a
]
dz
=
1
2πi

C
f(z)
z−a
¸

n=1

w−a
z−a

n
dz
=
¸

n=1
(w −a)
n
1
2πi

C
f(z)
(z −a)
n=1
dz
. .. .
cn
=
¸

n=0
1
n!
f
(n)
(c)(w −a)
n
as required.
106
Chapter 6
Further Calculus
6.1 Mean Value Theorem for Vector-valued
functions
Theorem 6.1.1. (Mean value theorem for vector valued functions)
Let M, N be finite dimensional normed spaces and let
M ⊃ V
f
−→ N
be a C
1
function, where V is open in M. Let x, y ∈ V and [x, y] ⊂ V . Then
|f(x −f(y)| ≤ k |x −y|
where k = sup
z∈[x,y]
|f

(z)|
Proof.
f(y) −f(x) =

1
0
d
dt
f[ty + (1 −t)x] dt
=

1
0
f

[ty + (1 −t)x]
. .. .
operator
(y −x)
. .. .
vector
dt
Therefore,
|f(y) −f(x)| ≤

1
0
|f

[ty + (1 −t)x]| |y −x| dt

1
0
k |y −x| dt
= k |y −x|
as required.
107
6.2 Contracting Map
Theorem 6.2.1. Let M be a finite dimensional real vector space with norm.
Let
M ⊃ V
f
−→M
be a C
1
function, V open in M, f(0) = 0, f

(0) = 1.
Let 0 < < 1, and let B be a closed ball centre O s.t.
|1 −f

(x)| ≤ ∀x ∈ B
Then
1.
|f(x) −f(y)| ≥ (1 −) |x −y| ∀ x, y ∈ B (6.1)
Thus f
B
is injective.
2. (1 −)B ⊂ f(B) ⊂ (1 +)B
r
B
f
PSfrag replacements
(1 −)r
(1 +)r
f(B)
Proof. Let r =radius of B
1.
|f

(x)| = |1 + (f

(x) −1)| ≤ 1 + ∀x ∈ B
therefore,
|f(x)| = |f(x) −f(0)|
MV T
≤ (1 +)|x| ≤ (1 +)r
for all x ∈ B. Therefore, f(B) ⊂ (1 +)B
108
2.
|(1 −f)(x) −(1 −f)(y)|
MV T
≤ |x −y| ∀ x, y ∈ B
therefore, |x −y[ −|f(x) −f(y)| ≤ |x −y|, and so
|f(x) −f(y)| ≥ (1 −)|x −y|
and hence Eqn(6.1).
3. To show (1−)B ⊂ f(B). Let a ∈ (1−)B, define g(x) = x−f(x) +a.
Then
|g

(x)| = |1 −f

(x)| ≤ ∀x ∈ B
therefore,
|g(x) −g(y)|
MV T
≤ |x −y|
therefore, g is a contracting map (shortens distances).
Also,
|g(x)| = |g(x) −g(0) +a| since a = g(0)
≤ |g(x) −g(0)| +|a|
≤ |x| +|a|
≤ r + (1 −)r ∀ x ∈ B
= r
therefore, g(x) ∈ B ∀ x ∈ B. So g maps B into B and is contracting.
Therefore, by the contraction mapping theorem ∃x ∈ B s.t. g(x) = x.
i.e. x −f(x) +a = x
i.e. f(x) = a. Therefore, a ∈ f(B), and (1 −)B ⊂ f(B) as required.
6.3 Inverse Function Theorem
Definition Let M ⊃ V
f
−→ W ⊂ N where M, N are finite dimensional
normed spaces. Then f is called a C
r
diffeomorphism if
1. V open in M, W open in N
2. V
f
−→W is bijective
109
3. f and f
−1
are C
r
V is C
r
diffeomorphic to W if ∃ a C
r
-diffeomorphism V −→W.
Example
R
f
−→ (0, ∞)
f(x) = e
x
is C

, and f
−1
(x) = lnx is C

. Therefore, f is a C

diffeomor-
phism.
PSfrag replacements
x = ln y
y = e
x
Theorem 6.3.1. (Inverse Function Theorem)
Let M ⊃ V
f
−→ N be C
r
where M, N are finite dimensional normed
spaces and V is open in M. Let a ∈ V be a point at which
f

(a) : M −→N
is invertible. Then ∃ open neighbourhood W of a such that
f
W
: W −→f(W)
is a C
r
diffeomorphism.
110
M
N
f(W)
a
W
Proof. Let T be the inverse of f

(a) and let F be defined by
F(x) = Tf(x +a) −Tf(a)
We have:
F(0) = Tf(a) −Tf(a) = 0
0
U
+a
a
f
F
f(a)
0
T f(a)
- T f(a)
T
F(U)
U+a
f(U+a)
We prove that F maps an open neighbourhood U of 0 onto an open
neighbourhood F(U) of 0. It the follows that f maps open U +a onto open
111
f(U +a) by a C
r
diffeomorphism. Now
F

(x) = T f

(x +a)
=⇒ F

(0) = T f

(a) = 1
M
Choose a closed ball B centre 0 of positive radius s.s.
|F

(x) −1
M
| ≤
1
2
∀ x ∈ B
and also s.t. det F

(x) = 0. Then by the previous theorem (with =
1
2
) we
have:
F
B
is injective
and
|F(x) −F(y)| ≥
1
2
|x −y| ∀ x, y, ∈ B
and
1
2
B ⊂ F(B)
B
U
F(B)
F
PSfrag replacements
1
2
B
F
−1
therefore, F
−1
:
1
2
B −→ B is well-defined and continuous. Let B
0
be the
interior of B, an open set. Put U = F
−1
(
1
2
B
0
) ∩ B
0
, an open set. F(U) is
open since F
−1
is continuous. So F
U
: U −→ F(U) is a homeomorphism of
open U onto open F(U).
Let G be it’s inverse. To show G is C
r
.
112
F
G
U
y
y+l
x
x+h
F(U)
Let x, x +h ∈ F(U), G(x) = y, G(x +h) = y +l (say), and |h| ≥
1
2
|l|.
Let F

(y) = S. Then F(y + h) = F(y) +Sl +φ(l), where
φ(l)
l
−→ 0 as
|l| −→ 0.
=⇒ x +h = x +Sl +φ(l),
=⇒ l = S
−1
h −S
−1
φ(l)
=⇒ G(x +h) = y +l = G(x) +S
−1
h −S
−1
φ(l)
Now,
|S
−1
φ(l)|
|h|
≤ |S
−1
|
|φ(l)|
|l|
|l|
|h|
−→ 0
as |h| −→0 since |l| ≤ 2|h| =⇒
l
h
≤ 2.
So, G is differentiable at x ∀x ∈ F(U) and
G

(x) = S
−1
= [F

(y)]
−1
= [F

(G(x))]
−1
It follows that if G is C
s
for some 0 ≤ s < r then G

is C
s
since G

is a
composition of C
s
functions
F

, G, []
−1
and therefore G is C
s+1
. So
G C
s
=⇒ G C
s+1
∀0 ≤ s < r
therefore G is C
r
as required.
113
Example Let f, g be C
r
on an open set containing (a, b)
W
x a
y
b
W’
g(a,b)
t
f(a,b)
z
Let
∂(f, g)
∂(x, y)
=

∂f
∂x
∂f
∂y
∂g
∂x
∂g
∂y

= 0
at (a, b). Then (f, g) maps an open neighbourhood W of (a, b) onto an open
neighbourhood W

of (f(a, b), g(a, b) by a C
r
diffeomorphism. Therefore, for
each z, t ∈ W

∃ unique (x, y) ∈ W such that
z = f(x, y)
t = g(x, y)
and x = h(z, t), y = k(z, t) where h and k are C
r
.
114
Chapter 7
Coordinate systems and
Manifolds
7.1 Coordinate systems
Definition Let X be a topological space. Let V be open in X. A sequence
y = (y
1
, . . . , y
n
)
of real-valued functions on V is called an n-dimensional coordinate system
on X with domain V if
X ⊃ V
y
−→y(V ) ⊂ R
n
x :−→y(x) = (y
1
(x), . . . , y
n
(x))
is a homeomorphism of V onto an open set y(V ) in R
n
.
x V
X
y(V)
y(x)
PSfrag replacements
R
n
y
n
(x)
y
1
(x)
115
Example On the set V = ¦y = 0 or x > 0¦ in R
2
the functions r, θ given
by
x = r cos θ
y = r sin θ
−π < θ < π
map V homomorphically onto an open set in R
2
.
r
(x,y)
v
PSfrag replacements
−π
θ
π
(r, θ)
θ
θ
Therefore, (r, θ) is a 2-dimensional coordinate system on R
2
with domain
V .
Definition If y = (y
1
, . . . , y
n
) is a coordinate system with domain V and if
f is a real-valued function on V then
f = F(y
1
, . . . , y
n
)
for a unique function F on y(V ) s.t. F = f y
−1
We call f a C
r
function of y
1
, . . . , y
n
if F is C
r
and we write
∂f
∂y
i
=
∂F
∂x
i
(y
1
, . . . , y
n
)
and call it the partial derivative w.r.t Y
i
in the coord system y
1
, . . . , y
n
.
116
Note:
∂f
∂y
i
(a) =
∂F
∂x
i
(y
1
(a), . . . , y
n
(a))
=
d
dt
F(y(a) +te
i
)

t=0
=
d
dt
f(α
i
(t))

t=0
= rate of change of f along curve α
i
in V
a
PSfrag replacements
α
i
(t)
y(a)
y(a) +te
i
where α
i
is the curve given by:
y(α
i
(t)) = y(a) +te
i
= (y
1
(a), . . . , y
i
(a) +t, . . . , y
n
(a))
therefore, along curve α
i
all coords y
1
, . . . , y
n
are constant except i
th
coord
y
i
and α
i
(t) is parameterised by change t in i
th
coord y
i
.
α
i
is called the i
th
coordinate curve at a.
7.2 C
r
-manifold
Definition Let y
1
, . . . , y
n
with domain V , and z
1
, . . . , z
n
with domain W
be two coordinate systems on X. Then these two systems are called C
r
-
compatible if each z
i
is a C
r
function of y
1
, . . . , y
n
, and each y
i
is a C
r
function of z
1
, . . . , z
n
on V ∩ W.
We call X an n-dimensional C
r
-manifold if a collection of n-dimensional
coordinate systems is given whose domains cover X and which are C
r
-
compatible.
117
Example the 2-sphere S
2
given by:
x
1
+y
1
+z
2
= 1 in R
3
The function x, y with domain ¦z > 0¦ is a 2-dimensional coordinate system
on S
2
.
y
z
x
Similarly the functions x, z with domain ¦y > 0¦ is a 2-dimensional co-
ordinate system
On the overlap ¦y > 0, z > 0¦ we have:
x = x x = x
y =

1 −x
2
−y
2
z =

1 −x
2
−y
2
these systems are C

-compatible. In this way, we make S
2
into a C

-
manifold.
7.3 Tangent vectors and differentials
Definition Let a ∈ X, X a manifold. Let y
1
, . . . , y
n
be co-ords on X at a
(i.e. domain an open neighbourhood of a). Then, the linear operators

∂y
1

a
, ,

∂y
n

a
(7.1)
118
act on the differentiable functions f at a (i.e. functions f which are real-
valued differentiable functions of y
1
, . . . , y
n
on an open neighbourhood of a)
and are defined by:

∂y
j

a
f =
∂f
∂y
j
(a)
The operators (7.1) are linearly independent since
¸
α
j

∂y
j

a

y
i
= α
j
∂y
i
∂y
j
(a) = α
j
δ
i
j
= α
i
(7.2)
=⇒ α
j

∂y
j

a
= 0 =⇒ α
i
= 0 ∀i (7.3)
The real vector space with basis (7.1) is denoted T
a
X and is called the tangent
space of X at a. If v ∈ T
a
X then (7.2) shows that v has components vy
i
w.r.t. basis (7.1)
Definition If α(t) is a curve in X then the velocity vector ˙ α(t) ∈ T
α(t)
X is
the tangent vector at α(t) given by taking rate of change along α(t) w.r.t. t:
PSfrag replacements
α(t)
˙ α(t)
i.e.
˙ α(t)f =
d
dt
f(α(t))
=
d
dt
F(y
1
(α(t)), . . . , y
n
(α(t)) if f = F(y
1
, . . . , y
n
)
=
∂F
∂x
j
(y
1
(α(t)), . . . , y
n
(α(t)))
d
dt
y
j
(α(t))
=
∂f
∂y
j
(α(t))
d
dt
y
j
(α(t))
=
¸
d
dt
y
j
(α(t))

∂y
j

α(t)

f
119
therefore,
˙
α(t) is the tangent vector with components
d
dt
y
j
(α(t)) = ˙ y
j
(t)
i.e.
˙ α(t) = ˙ y
j
(t)

∂y
j

α(t)
The tangent space T
a
X does not depend on the choice of (compatible) coor-
dinates at a since if z
1
, . . . , z
n
is another coordinate system at a, then

∂z
j

a
= velocity vector of j
th
coordinate curve of z
1
, . . . , z
n
at a
=
∂y
i
∂z
j

∂y
i

a
∈ T
a
X
therefore,

∂z
1

a
, ,

∂z
n

a
is also a basis for T
a
X, and
∂y
i
∂z
j
(a) is the transition matrix from z
1
, . . . , z
n
to
y
1
, . . . , y
n
.
Note also that the curve α(t) with coordinates:
y(α(t)) = (y
1
(a) +α
1
t, . . . , y
n
(a) +α
n
t)
has velocity vector
˙ α(0) = α
1

∂y
1

a
+ α
n

∂y
n

a
Therefore, every tangent vector (at a) is the velocity vector of some curve,
and vice versa.
Definition Let a ∈ X and f be a differentiable function at a. Then for each
v ∈ T
a
X with v = ˙ α(t) (say), define
'df
a
, v` = vf = ˙ α(t)f =
d
dt
f(α(t)) = rate of change of f along v
Thus df
a
is a linear form on T
a
X, called the differential of f at a df
a
measures
the rate of change of f at a. If y
1
, . . . , y
n
are coordinates on X at a then

dy
i
a
,

∂y
j
a

=

∂y
j

a
y
i
=
∂y
i
∂y
j
(a) = δ
i
j
120
therefore, dy
1
a
, . . . , dy
n
a
is the basis of T
a
X

which is dual to the basis

∂y
1

a
, ,

∂y
n

a
of T
a
X.
Thus the linear form dy
i
a
gives the i
th
component of tangent vectors at a:
'dy
i
a
, v` = i
th
component of v = vy
i
Also, df
a
has components:

df
a
,

∂y
j
a

=


j
a
f =
∂f
∂y
j
(a)
therefore,
df
a
=
∂f
∂y
j
(a) dy
j
a
(which is called the chain rule for differentials.)
7.4 Tensor Fields
From now on assume manifolds, functions are C

.
Definition Let W be an open set in a manifold X. A tensor field S on X
with domain W is a function on W:
x −→ S
x
which assigns to each x ∈ W a tensor of fixed type over the tangent space
T
a
X at x. e.g.
S
x
: T
x
X (T
x
X)

T
x
X −→R
We can add tensor fields, contract them, form tensor products and wedge
products by carrying out these operations at each point x ∈ W. e.g.
(R +S)
x
= R
x
+S
x
(R ⊗S)
x
= R
x
⊗S
x
Definition A tensor field with no indices is called a scalar field (i.e. a real-
valued function); a tensor field with one upper index is called a vector field;
a tensor field with r skew-symmetric lower indices is called a differential r-
form; a tensor field with two lower indices is called a metric tensor if it is
symmetric and non-singular at each point.
121
If y
1
, . . . , y
n
is a coordinate system with domain W and S is a tensor field
on W with (say) indices of type down-up-down, then
S = α
i
j
k
dy
i


∂y
k
⊗dy
k
where the scalar fields α
i
j
k
are the components of S w.r.t. the coordinates
y
i
.
If f is a scalar field, then df is a differential 1-form. If v is a vector field,
then vf is the scalar field defined by:
(vf)
x
= v
x
f = 'df
x
, v
x
` = 'df, v`
x
i.e. vf = 'df, v` = rate of change of f along v.
If ([) is a metric tensor on X then for any two vector fields u, v with
common domain W we define the scalar field (u[v) by
(u[v)
x
= (u
x
[v
x
)
x
if v is a vector field then we can lower it’s index to get a differential 1-form
ω such that
'ω, u` = (v[u)
Conversely, raising the index of a 1-form gives a vector field. Raising the
index of df gives a vector field gradf called the gradient of f:
(gradf[u) = 'df, u` = uf = rate of change of f along u
If ([) is positive definite then for |u| = 1 we have:
[(gradf[u)[ ≤ |gradf|
Thus the maximum rate of change of f is |gradf| and is attained in the
direction of gradf.
A metric tensor ([) defines a field ds
2
of quadratic forms called the
associated line element by:
ds
2
(v) = (v[v) = |v|
2
if metric is positive definite
If y
i
are coordinates with domain W then, on W:
each vector field u = α
i ∂
∂y
i
with components α
i
each differential r-form ω = ω
i
1
...ir
dy
i
1
∧ ∧ dy
ir
each differential 1-form ω = ω
i
dy
i
'ω, u` = α
i
ω
i
122
if f is a scalar field df =
∂f
∂y
i
dy
i
'df, u` = uf = α
i
∂f
∂y
i
if


∂y
i


∂y
j

= g
ij
then
([) = g
ij
dy
i
⊗dy
j
and
ds
2
= g
ij
dy
i
dy
j
gradf has components
g
ij
∂f
∂y
j
therefore,
gradf = g
ij
∂f
∂y
j

∂y
i
so
|gradf| = (gradf[gradf) = 'df, gradf` = g
ij
∂f
∂y
i
∂f
∂y
j
Example On R
3
with the usual coordinate functions x, y, z the usual metric
tensor is
([) = dx ⊗dx +dy ⊗dy +dz ⊗dz
with components
g
ij
=

¸
¸
¸
¸
¸
1 0 0
0 1 0
0 0 1

= g
ij

∂x
,

∂y
,

∂z
are orthonormal vector fields
df =
∂f
∂x
dx +
∂f
∂y
dy +
∂f
∂y
dy
and
gradf =
∂f
∂x

∂x
+
∂f
∂y

∂y
+
∂f
∂z

∂z
The line element is
ds
2
= (dx)
2
+ (dy)
2
+ (dz)
2
123
If r, θ, φ are spherical polar cordinates on R
3
then
x = r sin θ cos φ
y = r sin θ sin φ
z = r cos θ
therefore,
ds
2
= (dx)
2
+ (dy)
2
+ (dz)
2
= (sin θ cos φdr +r cos θ cos φdθ −r sin θ sin φdφ)
2
+(sin θ sin φdr +r cos θ sin φdθ +r sin θ cos φdφ)
2
+(cos θdr −r sin θdθ)
2
= (dr)
2
+r
2
(dθ)
2
+r
2
sin
2
θ(dφ)
2
therefore,
g
ij
=

¸
1 0 0
0 r
2
0
0 0 r
2
sin
2
θ

and
g
ij
=

¸
1 0 0
0
1
r
2
0
0 0
1
r
2
sin
2
θ

so
df =
∂f
∂r
dr +
∂f
∂θ
dθ +
∂f
∂φ

and df has components:

∂f
∂r
,
∂f
∂θ
,
∂f
∂φ

therefore, gradf has components

∂f
∂r
,
1
r
2
∂f
∂θ
,
1
r
2
sin
2
θ
∂f
∂φ

therefore,
gradf =
∂f
∂r

∂r
+
1
r
2
∂f
∂θ

∂θ
+
1
r
2
sin
2
θ
∂f
∂φ

∂φ
124
7.5 Pull-back, Push-forward
Definition Let X and Y be manifolds and
X
φ
−→Y
a continuous map. Then for each scalar field f on Y we have a scalr field
φ

f = f φ
on X (we assume that φ

f is C

for each C

f).
φ

f is called the pull-back of f to X under φ.
X
Y
a
f
PSfrag replacements
φ
φ

f
φ(a)


f)(x) = f(φ(x))
For each a ∈ X we have a linear operator
T
a
X
φ∗
−→T
a
Y
If v = ˙ α(t) ∈ T
a
X then we define φ

v by:


v]f =
d
dt
f(φ(α(t))) = ˙ α(t)[f φ] = v[f φ] = v[φ

f]
for each scalar field f on Y at φ(a).
PSfrag replacements
a
α(t)
˙ α(t)
φ
φ(α(t))
φ

˙ α(t)
φ(a)
125
Thus the velocity vector of α(t) pushes forward to the velocity vector of
φ(α(t))
Theorem 7.5.1. Let X
φ
−→ Y and let y
1
, . . . , y
n
be coordinates on X at a
and let
φ
1
(x), . . . , φ
n
(x)
be the coordinates of φ(x) w.r.t. a coordinate system z
1
, . . . , z
n
on Y at φ(a).
Then the push-forward
T
a
X
φ∗
−→T
φ(a)
Y
has matrix
∂φ
i
∂y
j
(x)
Proof.
i
th
component of φ


∂y
j
a
=

φ


∂y
j
a

z
i
=

∂y
j
a


z
i
]
=
∂φ
i
∂y
j
(a)
since φ
i
(x) = z
i
(φ(x)), so φ
i
= φ

z
i
.
Thus the matrix of φ

is the same as the matrix of the derivative in the
case R
n
−→ R
n
. The push-forward φ

is often called the derivative of φ at
a.
The chain rule for vector spaces
(ψ φ)

(x) = ψ

(φ(x)) φ

(x)
corresponds, for manifolds, to:
Theorem 7.5.2. (Chain rule for maps of manifolds; functorial property of
the push-forward)
Let X
φ
−→Y
ψ
−→Z be maps of manifolds. Then
(ψ φ)

= ψ

φ

Proof. Let ˙ α(t) be a tangent vector on X, then:
(ψ φ)

˙ α(t) = velocity vector of ψ(φ(α(t)))
= ψ

[velocity vector of φ(α(t))]
= ψ



˙ α(t)]
as required.
126
Definition Let X
φ
−→ Y be a map of manifolds and ω a tensor field on Y
with r lower indices. Then we define the pull-back of ω to X under φ to be
the tensor field φ

ω on X having r lower indices and defined by:


ω)
x
[v
1
, . . . , v
r
] = ω
φ(x)


v
1
, . . . , φ

v
r
]
all v
1
, . . . , v
r
∈ T
x
X, ∀x ∈ X. i.e.


ω)
x
= φ


φ(x)
]
We note the φ

on tensor fields preserves all the algebraic operations such
as additions, tensor products, wedge products.
We have:
Theorem 7.5.3. if X
φ
−→Y and f is a scalar field on Y , then
φ

df = dφ

f
i.e., the pull-back commutes with differentials
Proof. Let v ∈ T
x
X. Then
'(φ

df)
x
, v` = '(df)
φ(x)
, φ

v`
= [φ

v]f
= v[φ

f]
= '(dφ

f)
x
, v`
therefore, φ

df)
x
= (dφ

f)
x
∀x ∈ X, and therefore φ

df = dφ

f.
7.6 Implicit funciton theorem
Theorem 7.6.1 (Implicit Function Theorem). (on the solution spaces
of l equations in n variables)
Let f = (f
1
, . . . , f
l
) be a sequence of C
r
real-valued functions on an open
set V in R
n
. Let c = (c
1
, . . . , c
l
) ∈ R
l
and let
X = ¦x ∈ V : f(x) = c, rankf

(x) = l¦
Then for each a ∈ X we can select n − l of the usual coordinate functions
x
1
, . . . , x
n
:
x
l+1
, . . . , x
n
127
(say) so that on an open neighbourhood of a in X they form a coordinate
system on X. Any two such coordinate systems are C
r
-compatible. Thus X
is an (n −l)-dimensional C
r
manifold.
Proof.
f

=

¸
¸
∂f
1
∂x
1

∂f
1
∂x
l

∂f
1
∂x
n
.
.
.
.
.
.
.
.
.
∂f
l
∂x
1

∂f
l
∂x
l

∂f
l
∂x
n

l×n
Let a ∈ X. THen f

(a) has rank l, so the matrix f

(a) has l linearly inde-
pendent columns: the first l columns (say). Put
F = (f
1
, . . . , f
l
, x
l
+ 1, . . . , x
n
)
then
F

=

¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
∂f
1
∂x
1

∂f
1
∂x
l
0
.
.
.
.
.
.
∂f
l
∂x
1

∂f
l
∂x
l
0
0 0 1 0
.
.
.
.
.
.
.
.
.
0 0 0 1

l×n
therefore,
det F

(a) =

∂f
1
∂x
1
(a)
∂f
1
∂x
l
(a)
.
.
.
.
.
.
∂f
l
∂x
1
(a)
∂f
l
∂x
l
(a)

= 0
PSfrag replacements
R
l
R
n−l
R
l
R
l
R
n−l
R
n−l
a
W
F(W)
G
F
X
U
c
128
By the inverse function theorem, F maps an open neighbourhood W of a onto
an open neighbourhood F(W) by a C
r
-diffeomorphism with inverse G (say).
Note that F, and hence also G leave the coordinates x
l+1
, . . . , x
n
unchanged.
F maps W ∩X homeomorphically onto ¦c¦U where U is open in R
n−l
.
Thus (x
l+1
, . . . , x
n
) maps W ∩X homeomorphically onto U and is there-
fore an (n − l)-dimensional coordinate system on X with domain W ∩ X.
Also, if
G = (G
1
, . . . , G
l
, x
l+1
, . . . , x
n
)
on F(W) then
x
1
= G
1
(c
1
, . . . , c
l
, x
l+1
, . . . , x
n
)
.
.
.
.
.
.
x
l
= G
l
(c
1
, . . . , c
l
, x
l+1
, . . . , x
n
)
on W ∩ X. Therefore x
1
, . . . , x
l
and C
r
functions of x
l+1
, . . . , x
n
on W ∩ X.
Hence any two such coordinate systems on X are C
r
compatible.
Note: the proof shows that if (say) the first l columns of the matrix
∂f
i
∂x
j
(a) are linearly independent, then the l equations in n unknowns
f
1
(x
1
, . . . , x
n
) = c
1
.
.
.
.
.
.
f
l
(x
1
, . . . , x
n
) = c
l
determine x
1
, . . . , x
n
as C
r
functions of x
l+1
, . . . , x
n
on an open neighbour-
hood of a in the solution space.
Example 1.
R
n
⊃ V
f
−→R
a C
r
function.
f

=

∂f
∂x
i

1×n
=

∂f
∂x
1
, . . . ,
∂f
∂x
n

= ∇f
are the components of the gradient vector field.
If ∇f is non-zero at each point of the space X of solutions of the
equations:
f(x
1
, . . . , x
n
) = c
(one equation in n unknowns) then X is an (n − 1)-dimensional C
r
-
manifold.
129
If (say)
∂f
∂x
1
(a) = 0 at a ∈ X then
x
2
, x
3
, . . . , x
n
are coordinates on an open neighbourhood W of a in X and x
1
is a C
r
function of x
2
, . . . , x
n
on W.
2. R
n
⊃ V
f
1
,f
2
−→ R two C
r
functions.

∂f
i
∂x
j

=

∂f
1
∂x
1

∂f
1
∂x
n
∂f
2
∂x
1

∂f
2
∂x
n

If the two rows ∇f
1
, ∇f
2
are linearly independent at each point of the
space X of solutions of the two equations:
f
1
(x
1
, . . . , x
n
) = c
1
f
2
(x
1
, . . . , x
n
) = c
2
(two equations in n unknowns) then X is an (n − 2)-dimensional C
r
manifold. If (say)
∂(f
1
, f
2
)
∂(x
1
, x
2
)
= 0 at a ∈ X
then x
3
, x
4
, . . . , x
n
are coordinates on an open neighbourhood W of a
in X and x
1
and x
2
are C
r
functions of x
3
, . . . , x
n
on W.
7.7 Constraints
If f
1
, . . . , f
l
are C
r
functions on an open set V in R
n
and c = (c
1
, . . . , c
n
) we
consider the equations
f
1
= c
1
, . . . , f
l
= c
l
as a system of constraints which are satisfied by points on the constraint
manifold:
X =

x ∈ V : f
1
(x) = c
1
, . . . , f
l
(x) = c
l
, rank
∂f
i
∂x
j
(x) = l

Let X
i
−→ R
n
be the inclusion map i(x) = x∀x ∈ X. Then for each scalar
field f on V :
(i

f)(x) = f(i(x)) = f(x) ∀x ∈ X
130
the pull-back i

f is the restriction of f to X. We call i

f the constrained
function F. If ω is a differential r-form on V the i

ω is called the constrained
r-form ω. Similarly if ([) is a metric tensor on V and ds
2
the line element
the i

([) is the constrained matrix and i

ds
2
is the constrained line element.
For each a ∈ X the push-forward
T
a
X
i∗
−→T
a
R
n
is injective and enables us to identify T
a
X with a vector subspace of T
a
R
n
.
The constrained metric and constrained line element are just the restrictions
to T
a
X of the matrix and line element, for each a ∈ X.
Example Let X be the constraint surface in R
3
:
f(x, y, z) = c f C
r
We have:
df =
∂f
∂x
dx +
∂f
∂y
dy +
∂f
∂z
dz unconstrained
Pulling back to X, where f is constant, we get:
0 =
∂f
∂x
dx +
∂f
∂y
dy +
∂f
∂z
dz constrained
If (say)
∂f
∂z
= 0 at a ∈ X then, by the implicit function theorem, the con-
strained functions x, y are coordinates on X in a neighbourhood W of a and
constrained z is a C
r
function of x, y on W.
z = F(x, y)
say. Now
dz = −

∂f
∂x

∂f
∂z

dx −

∂f
∂y

∂f
∂z

dy
Therefore,

∂z
∂x

y
=
∂F
∂x
= −
∂f
∂x

∂f
∂z

∂z
∂y

x
=
∂F
∂y
= −
∂f
∂y

∂f
∂z
The usual line element on R
3
is
ds
2
= (dx)
2
+ (dy)
2
+ (dz)
2
unconstrained
131
pulling back to X gives:
ds
2
= (dx)
2
+ (dy)
2
+

∂f
∂x

∂f
∂z

dx −

∂f
∂y

∂f
∂z

dy

2
=
¸
1 +

∂f
∂x

∂f
∂z

2

(dx)
2
+ 2
∂f
∂x
∂f
∂y
(
∂f
∂y
)
2
dxdy +
¸
1 +

∂f
∂y

∂f
∂z

2

(dy)
2
The coefficients give the components of the constrained metric on X with
respect to the coordinates x and y
Example using spherical polar coordinates on R
3
the usual line element is
ds
2
= (dr)
2
+r
2
(dθ)
2
+r
2
sin
2
θ(dφ)
2
Pulling back to the sphere S
2
by the constraint:
r = const
we have:
ds
2
= r
2
(dθ)
2
+r
2
sin
2
(dφ)
2
Thus the constrained line element has components:

r
2
0
0 r
2
sin
2
θ

7.8 Lagrange Multipliers
A scalar field f on a manifold X has a critical point a ∈ X if df
a
= 0.
i.e.
∂f
∂y
i
(a) = 0 for a coordinate system y
i
at a. (e.g. a local maximum or
minimum or saddle point)
Problem given a scalar field F on V open in R
n
, to find the critical point
of constrained F, where the constraints are:
f
1
= c
1
, . . . , f
l
= c
l
and f
i
are C
r
functions on V
Method Take f
1
, . . . , f
l
, x
l+1
, . . . , x
n
(say) as coordinates on R
3
as in the
proof of the implicit function theorem, so
dF =
l
¸
i=1
∂f
∂f
i
df
i
+
n
¸
i=l+1
∂f
∂x
i
dx
i
unconstrained
132
Thus
dF = 0 +
n
¸
i=l+1
∂F
∂x
i
dx
i
constrained
This is zero at a critical point a, so
∂F
∂x
i
(a) = 0, i = l + 1, . . . , n, and
hence
dF
a
=
l
¸
i=1
∂F
∂f
i
(a)df
i
at a critical point a of constrained F. If we put
λ
i
=
∂F
∂f
i
(a) = rate of change of F at a with respect to the i
th
constraint
we have:
dF = λ
1
df
1
+ +λ
l
df
l
at a where the scalars λ
1
, . . . , λ
l
are called Lagrange multipliers.
Since dF is a linear combination of df
1
, . . . , df
l
at a we can take the
wedge product to get the equations:
dF ∧ df
1
∧ ∧ df
l
= 0
f
1
= c
1
, . . . , f
l
= c
l
which must hold at any critical point of constrained F.
7.9 Tangent space and normal space
If f is constant on the constraint manifold X then
df = 0 constrained
therefore,
'df, ˙ α(t)` = 0
for all curves in X. Hence the system of l linear equations
df
1
= 0, . . . , df
l
= 0
give the tangent space to X at each point. Also if ([) is a metric tensor
with domain V then
(gradf[ ˙ α(t)) = 'df, ˙ α(t)` = 0
133
for all curves in X. Therefore gradf is orthogonal to the tangent space to X
at each point. Hence
gradf
1
, . . . , gradf
l
is a basis for the normed space to X at each point.
At a critical point of constrained F we have:
dF = λ
1
df
1
+ +λ
l
df
l
and raising the index gives:
gradF = λ
1
gradf
1
+ +λ
l
gradf
l
thus gradF is normal to the constraint manifold X at each critical point of
constrained F.
7.10 ?? Missing Page
1. =⇒ ω is closed.
However ω is not exact because it’s integral around circle α(t) =
(cos t, sin t) 0 ≤ t ≤ 2π is

α
ω =

0
[cos t cos t −(sin t)(−sin t)]
cos
2
t + sin
2
t
dt =


0
dt = 2π = 0
Note: on R
2
−¦negative x-axis¦ we have:
x = r cos θ −π < θ < π
y = r sin θ
therefore,
ω =
r cos θ[sin θ dr +r cos θ dθ] −r sin θ[cos θ dr −r sin θ dθ]
r
2
cos
2
θ + r
2
sin
2
θ
= dθ
so.

α
ω is path-independent provided α does not cross the -ve x-axis.

α
ω = θ(b) −θ(a), and ω is called the angle-form
2. Let ω be a differential n-form with domain V open in R
n
ω = f(x
1
, . . . , x
n
)dx
1
∧ ∧ dx
n
(say) x
i
usual coord
then we define:

V
ω =

V
f(x
1
, . . . , x
n
)dx
1
dx
2
. . . dx
n
Lebesgue integral x
i
dummy
134
7.11 Integral of Pull-back
Theorem 7.11.1. Let V
φ
−→φ(V ) be a C
1
diffeomorphism of open V in R
n
onto open φ(V ) in R
n
, with det φ

> 0. Let ω be an n-form on φ(V ). Then

V
φ

ω =

φ(V )
ω
[so writing 'ω, V ` to denote integral of ω over V we have: 'φ

ω, V ` = 'ω, φV `
adjoint]
Proof.
PSfrag replacements
φ

ω
V
ω
φV
φ
Let
ω = f(x
1
, . . . , x
n
)dx
1
∧ ∧ dx
n
φ = (φ
1
, . . . , φ
n
)
i.e. φ
i
(x) = x
i
(φ(x)) i.e. φ
i
= x
i
φ = φ

x
i
.
Then
φ

ω = f(φ
1
, . . . , φ
n
)dφ
1
∧ ∧ dφ
n
= f(φ(x))
∂φ
1
∂x
i
1
dx
i
1
∧ ∧
∂φ
n
∂x
in
dx
in
= f(φ(x)) det

∂φ
i
∂x
j
(x)

dx
1
∧ ∧ dx
n
therefore,

V
φ

ω =

V
f(φ(x)) det φ

(x)dx
1
dx
2
. . . dx
n
=

φ(V )
f(x) dx
by the general change of variable theorem for multiple integrals (still to be
proved).
135
Corollary 7.11.2. Let y
1
, . . . , y
n
be positively oriented coordinates with do-
main V open in R
n
. Then

V
f(y
1
, . . . , y
n
)dy
1
∧ ∧ dy
n
. .. .
non-dummy y
i
with wedge
=

y(V )
f(y
1
, . . . , y
n
)dy
1
dy
2
. . . dy
n
. .. .
Lebesgue integral over y(V ). y
1
, . . . , yn dummy. No wedge
Proof.
PSfrag replacements
y

x
i
V
y(V )
y = (y
1
, . . . , y
n
)
x
i
y

x
i
= x
i
y = y
i
therefore,
LHS =

V
y

[f(x
1
, . . . , x
n
) dx
1
∧ cdots ∧ dx
n
]
=

y(V )
f(x
1
, . . . , x
n
) dx
1
∧ ∧ dx
n
=

y(V )
f(x
1
, . . . , x
n
) dx
1
dx
2
. . . dx
n
x
1
, . . . , x
n
dummy
= RHS
7.12 integral of differential forms
To define

X
ω where ω is an n-form and X is an n-dimensional manifold
(e.g. ω is a 2-form, X a surface) we need some topological notions:
1. A topological space X is called Hausdorff if, for each a, b ∈ X, a = b, ∃
open disjoint V, W s.t. a ∈ V, b ∈ W.
136
PSfrag replacements
a
b
V
W
X
2. A set A ⊂ X is called closed in X if it’s complement in X
A

= ¦x ∈ X : x ∈ Z¦
is open in X.
PSfrag replacements
A
X
A

3. If A ⊂ X then the intersection of all the closed subsets of X which
contain A is denoted
¯
A and is called the closure of A in X;
¯
A is the
smallest closed subset of X which contains A.
4. Let S be a tensor field on a manifold X. THe closure in X of the set
¦x ∈ X : S
x
= 0¦
is called the support of S, denoted supp S.
PSfrag replacements
S = 0
X
supp S
Theorem 7.12.1. Let X be a Hausdorff manifold and let A ⊂ X be compact.
Then ∃ scalar fields
F
1
, . . . , F
k
on X s.t.
137
1. F
i
≥ 0
2. F
1
+ +F
k
= 1 on A ( partition of unity)
3. each supp F
i
is contained in the domain V
i
of a coordinate system on
X.
Proof. (sketch) Let
g(t) =

e

1
t
t > 0
0 t ≤ 0

PSfrag replacements
1
g(t)
let
b(t) =
g[1 −t
2
]
g(1)
PSfrag replacements
1
1
1
−1
b(t)
b is C

, supp b = [−1, 1], 0 ≤ b ≤ 1. (b is for bump).
Let a ∈ A. Pick a coordinate system y on X at a with domain V . Pick
a ball centre y(a) radius 2r > 0 contained in y(V ). Put
h(x) =

b

y(x)−y(a)
r

if x ∈ V
0 if x ∈ V
¸
138
then h is C

, supp h ⊂ V , 0 ≤ h ≤ 1, h(a) = 1; ’bump’ at a.
Let W = ¦x ∈ X : h(x) > 0¦. then W is an open neighbourhood of a
and h > 0 on W.
Thus, for each a ∈ A we have an open neighbourhood W
a
of a and a
scalar field f
a
s.t. h
a
> 0 on W
a
, h
a
is C

, supp h
a
⊂ a coord domain V
a
,
0 ≤ h
a
≤ 1.
PSfrag replacements
a
W
a
V
a
y(a)
r
2r
R
n
h
a
is a bump at a, for each a ∈ A. Since A is compact we can select a
finite number of points a
1
, . . . , a
k
such that W
a
1
, . . . , W
a
k
cover A. THen put
F
i
=

ha
i
ha
1
+···+ha
k
ifh
a
i
= 0
0 ifh
a
i
= 0
¸
to get the required scalar fields F
1
, . . . , F
k
.
139
PSfrag replacements
h
a
1
h
a
2
X
F
1
F
2
F
1
+F
2
= 1
7.13 orientation
Definition Let y
1
, . . . , y
n
with domain V , z
1
, . . . , z
n
with domain W be two
coordinate systems on a manifold X. Then they have the same orientation
if
∂(y
1
, . . . , y
n
)
∂(z
1
, . . . , z
n
)
= det
∂y
i
∂z
j
> 0
on V ∩ W.
Since

∂z
j
=
∂y
i
∂z
j

∂y
i
this means that

∂z
1
a
, ,

∂z
n
a
has the same orientation in T
a
X as

∂y
1
a
, ,

∂y
n
a
each a ∈ V ∩ W.
We call X oriented if a family of mutually compatible coordinate systems
is given on X, whose domains cover X and any two of which have the same
orientation.
Example x = r cos θ, y = r sin θ. Then
∂(x,y)
∂(r,θ)
= r > 0. Therefore x, y and
r, θ have the same orientation.
140
Definition Let ω be a differential n-form with compact support on an ori-
ented n-dimensional Hausdorff manifold X. We define

X
ω
the integral of ω over X as follows:
1. Suppose supp ω ⊂ V where V is the domain of positively oriented
coordinates y
1
, . . . , y
n
and ω = f(y
1
, . . . , y
n
) dy
1
∧ ∧dy
n
on V . Then
define:

x
ω =

y(V )
f(y
1
, . . . , y
n
) dy
1
. . . dy
n
dummy y
i
PSfrag replacements
V
W
X
z(W)
ω
2
ω
1
φ
y
z
y(V )
This is independent of the choice of coordinates since if supp ω ⊂ W
where W is the domain of positively oriented coordinates z
1
, . . . , z
n
then
ω = f(y
1
, . . . , y
n
) dy
1
∧ ∧ dy
n
= g(z
1
, . . . , z
n
) dz
1
∧ ∧ dz
n
(say) on V ∩ W
= y

[f(x
1
, . . . , x
n
) dx
1
∧ ∧ dx
n
= z

[g(x
1
, . . . , x
n
) dx
1
∧ ∧ dx
n
= y

ω
1
= z

ω
2
141
(say). So ω
1
= φ

ω2 where φ = z y
−1
: y(V ∩ W) −→ z(V ∩ W).
Therefore,

y(V )
f(x
1
, . . . , x
n
) dx
1
. . . dx
n
=

y(V )
ω
1
=

y(V ∩W)
ω
1
=

z(V ∩W)
ω
2
=

z(W)
ω
2
=

z(W)
g(x
1
, . . . , x
n
) dx
1
. . . dx
n
as required.
2. Choose a partition of unity
F
1
+ +F
k
= 1
on supp ω. Put ω
i
= F
i
ω. Then
ω
1
+ +ω
k
= ω
and supp ω
i
⊂ supp F
i
⊂ V
i
where V
i
is the domain of a coordinates
system. Define

X
ω =

X
ω
1
+ +

X
ω
k
using (1.). This is independent of the choice of partition of unity since
if
G
1
+ +G
l
= 1 on supp ω
then
¸
l
j=1

X
G
j
ω =
¸
l
j=1

X
¸
k
i=1
F
i
G
j
ω
=
¸
l
j=1
¸
k
i=1

X
F
i
G
j
ω
similarly
=
¸
k
i=1

X
F
i
ω
Definition If A ⊂ X is a Borel set we define

A
ω =

X
χ
A
ω
Example to find the area of the surface X:
x
2
+y
2
+z = 2, z > 0
We have:
2xdx + 2y dy +dz = 0
142
constrained to X. Therefore,
ds
2
= (dx)
2
+ (dy)
2
+ (2xdx + 2y dy)
2
constrained to X
= (1 + 4x
2
)(dx)
2
+ 8xy dxdy + (1 + 4y
2
)(dy)
2
g
ij
=

1 + 4x
2
4xy
4xy 1 + 4y
2

therefore,

g =

det g
ij
=

1 + 4x
2
+ 4y
2
. So, area element is

1 + 4x
2
+ 4y
2
dx∧
dy. Therefore:
area =

1 + 4x
2
+ 4y
2
dx ∧ dy
=

1 + 4r
2
r dr ∧ dθ
=


0


2
0
r

1 + 4r
2
dr


= 2π

2
3
1
8
(1 + 4r
2
)
3
2


2
0
=
π
6
[27 −1]
=
13
3
π
143
144
Chapter 8
Complex Analysis
8.1 Laurent Expansion
Theorem 8.1.1. Let f be holomorphic on V − ¦a¦ where V is open and
a ∈ V . Let C be a circle, centre a, radius r s.t. C and it’s interior is
contained in V . Then ∃ ¦c
n
¦ n = 0, ±1, ±2, . . . ∈ C s.t.
f(z) =

¸
n=−∞
c
n
(z −a)
n
in 0 < [z −a[ < r
The RHS is called the Laurent series of f about a. The coefficient c
n
are
uniquely determined by:
c
n
=
1
2πi

C
f(z)
(z −a)
n+1
dz
Proof. Let w be inside C. Choose circles C
1
, C
2
as shown with centres a, w:
PSfrag replacements
C
a
w
C
1
C
2
145
Then
f(w) =
1
2πi

C
2
f(z)
z−w
dz
=
1
2πi

C
f(z)
z−a
d −
1
2πi

C
1
f(z)
z−w
dz
=
1
2πi

C
f(z)
(z−a)−(w−a)
dz +
1
2πi

C
1
f(z)
(w−a)−(z−a)
dz
=
1
2πi

C
f(z)
(z−a)[1−
w−a
z−a
]
dz +
1
2πi

C
1
f(z)
(w−a)[1−
z−a
w−a
]
dz
=
1
2πi

C
f(z)
(z−a)
¸

n=0

w−a
z−a

n
dz +
1
2πi

C
1
f(z)
(w−a)
¸

n=0

z−a
w−a

n
dz
=
¸

n=0
(w −a)
n
1
2πi

C
f(z)
(z −a)
n+1
dz
. .. .
+ve powers (w −a)
+
¸

n=0
(w −a)
−n−1
1
2πi

C
!
f(z)
(z −a)
−n
dz
. .. .
-ve powers (w −a)
as required.
Definition If f is holomorphic in V −¦a¦ anf
f(z) =

¸
n=−∞
c
n
(z −a)
n
= +
c
−2
(z −a)
2
+
c
−1
z −a
. .. .
p(z)
+c
0
+c
1
(z −a) +
is the Laurent series of f at a. p(z) =
¸
−1
n=−∞
c
n
(z−a)
n
is called the principal
part of f at a. p(z) is holomorphic on C −¦a¦.
f(z) −p(z) is holomorphic in V (defining it’s value at 0 to be c
0
).
For any closed curve α in C −¦a¦:

α
p(z) dz =

α

+
c
−2
(z−a)
2
+
c
−1
z−a

dz
= + 0 +c
1

α
dz
z−a
= 2πi Res(f, a) W(α, a)
where W(α, a) =
1
2πi

α
dz
z−a
is the winding number of α about a. and
Res(f, a) = c
−1
is the residue of f at a
146
8.2 Residue Theorem
Theorem 8.2.1 (Residue Theorem). Let f be holomorphic on V −¦a
1
, . . . , a
n
¦
where a
1
, . . . , a
n
are distinct points in a star-shaped (or contractible) open set
V . Then for any closed curve α in V −¦a
1
, . . . , a
n
¦ we have:

α
f(z) dz = 2πi
n
¸
j=1
Res(f, a
j
) W(α, a
j
)
Proof. Let p
1
, . . . , p
n
be the principal parts of f at a
1
, . . . , a
n
respectively.
Then f−(p
1
+ +p
n
) is holomorphic on V . Therefore,

α
[f −(p
1
+ +p
n
)] dz =
0. So,

f(z) dz =
n
¸
j=1

α
p
j
(z) dz = 2πi
n
¸
j=1
Res(f, a
j
)W(α, a
j
)
as required.
Definition If f is holomorphic on a neighbourhood of a, excluding possibly
a itself, and if the Laurent expansion has at most a finite number of negative
powers:
f(z) =
¸

r=n
c
r
(z −a)
r
= c
n
(z −a)
n
+c
n+1
(z −a)
n+1
+ c
n
= 0
= (z −a)
n
[c
n
+c
n+1
(z −a) + ]
= = (z −a)
n
f
1
(z) f
1
holomorphic on a nbd of a and f
1
(a) = 0
then we say that f has order n at a.
e.g. order 2:
f(z) = c
2
(z −a)
2
+c
3
(z −a)
3
+ c
2
= 0
order -3:
f(z) =
c
−2
(z −a)
3
+
c
−2
(z −a)
2
+
c
1
(z −a)
+c
0
+c
1
(z −a) + c
−3
= 0
If n > 0 we call a a zero of f.
If n < 0 we call a a pole of f.
n = 1: simple zero; n = 2: double zero.
147
n = −1: simple pole; n = −2: double pole.
If f has order n and g has order m:
f(z) = (z −a)
n
f
1
(z) f
1
(a) = 0
g(z) = (z −a)
n
g
1
(z) g
1
(a) = 0
then:
f(z) g(z) = (z −a)
n+m
f
1
(z) g
1
(z) fg has order n +m
f(z)
g(z)
= (z −a)
n−m
f
1
(z)
g
1
(z)
f
g
has order n −m
The residue theorem is very useful for evaluating integrals:
Example to evaluate


0
x sinx
x
2
+a
2
, a > 0 we put
f(z) =
z e
iz
z
2
+a
2
[e
iz
is easier to handle than sin z]
=
z e
iz
(z−ia)(z+ia)
Simple poles at ia, −ia.
PSfrag replacements
ia
−ia
−R R
α
Choose a closed contour that goes along x-axis −R to R (say) then loops
around a pole, upper semi-circle α (say).

R
−R
xe
ix
x
2
+a
2
dx +

α
z e
iz
z
2
+a
2
dz = 2πi Res(f, ia)
148
1. if f(z) =
c
z−ia
+ c
0
+ c
1
(z − ia) + on neighbourhood of ia then
(z − ia)f(z) = c + c
0
(z − ia) + c
1
(z − ia)
2
+ on neighbourhood of
ia. Then lim
z−→ia
(z −ia)f(z) = c = Res(f, ia). Therefore
Res(f, ia) = c = lim
z−→ia
f(z)
z−ia
= lim
z−→ia
z e
iz
z+ia
=
ia
2ia
e
−a
=
1
2
e
−a
2. α(t) = Re
it
0 ≤ t ≤ π = R(cos t +i sin t). Therefore

α
z e
iz
z
2
+a
2
dz

=

π
0
Re
it
e
iR(cos t+i sin t)
iRe
it
R
2
e
2it
+a
2
dt


R
2
R
2
−a
2

π
0
e
−Rsin t
dt
which −→0 as R −→∞ since
lim
R→∞

π
0
e
−Rsint
dt
DCT
=

π
0
lim
R→∞
e
−Rsin t
dt = 0
Therefore


−∞
x(cos x +i sin x)
x
2
+a
2
dx + 0 = 2πi
e
−a
2
so


−∞
xsin x
x
2
+a
2
dx = πe
−a
Example to calculate


−∞
sinx
x
dx put f(z) =
e
iz
z
holomorphic except for
simple pole at z = 0.
PSfrag replacements
−R R
α
−r r
β
149
Choose a closed contour along x-axis from −R to −r, loops around 0 by
β(t) = re
it
then r to R then back along α(t) = Re
it
.

−r
−R
e
ix
x
dx +

β
e
iz
z
dz +

R
r
e
ix
x
dx +

α
e
iz
z
dz = 0
1. Res(f, 0) = lim
z→0
(z −0)f(z) = lim
z→0
e
iz
= 1
2.

α
e
iz
z
dz

=

π
0
e
iR(cos t+i sin t)
iRe
it
Re
it
dt

π
0
e
−Rsin t
dt
which −→0 as R −→∞.
3.
e
iz
z
=
1
z
+g(z), g holomorphic in neighbourhood of 0. Therefore

β
e
iz
z
dz =

β
dz
z
+

β
g(z) dz
Let sup [g(z)[ = M (say on a closed ball centre 0 redius δ > 0 (say).

β
g(z) dz

≤ Mπr −→0 as r −→ 0
if r ≤ δ

β
dz
z
= −

π
0
ire
it
re
it
dt = −

π
0
i dt = −iπ ∀r
therefore
lim
r−→0

β
e
iz
z
dz = −iπ
therefore

0
−∞
e
ix
x
dx −iπ +


0
e
ix
x
dx + 0 = 0
so


−∞
cos x +i sin x
x
dx = iπ
and


−∞
sin x
x
dx = π
150
8.3 Uniqueness of analytic continuation
Theorem 8.3.1 (Uniqueness of analytic continuation). Let f, g be holo-
morphic on a connected open set V . Let a ∈ V and let ¦z
k
¦ be a sequence in
V (= a) converging to a s.t.
f(z
k
) = g(z
k
) ∀k
Then f = g on V .
Proof. Put F = f −g, so F(z
k
) = 0. To show F = 0 on V .
1. F is holomorphic at a. Therefore F(z) = b
0
+b
1
(z −a)+b
2
(z −a)
2
+
on [z −a[ < R (say). F(a) = limF(z
k
) = 0. Therefore b
0
= 0.
Suppose we know that b
0
, b
1
, . . . , b
m−1
are all zero.
F(z) = (z −a)
m
[b
m
+b
m+1
(z −a) +b
m+2
(z −a)
2
+ ]
= (z −a)
m
F
m
(z)
(say). F(z
k
) = 0, so F
m
(z
k
) = 0 and F
m
(a) = 0. Therefore b
m
= 0.
b
r
= 0∀r and F = 0 on an open ball centre a.
2. Put V = W∪W

where W = ¦z ∈ V : F = 0 on an open ball centre z¦
and W

= V − W. Then W is open, and a ∈ W by 1. Therefore W
is non-empty. Suppose c ∈ W

and c is a non-interior point of W

.
Then each integer r > 0∃ w
r
∈ W s.t. [w
r
− c[ <
1
r
, F(w
r
) = 0 and
limw
r
= c. Therefore F = 0 on an open ball centre c by 1., and c ∈ W.
Therefore W

is empty.
151
152
Chapter 9
General Change of Variable in
a multiple integral
9.1 Preliminary result
Theorem 9.1.1. Let R
n
⊃ V
φ
−→ R
n
be C
1
, V open, a ∈ V , det φ

(a) = 0.
Then
lim
m(φB)
m(B)
= [ det φ

(a)[
where the limit is taken over cubes B containing a with radius B −→0.
Proof. Let | | be the sup norm on R
n
.
|(α
1
, . . . , α
n
)| = max([α
1
[, . . . , [α
n
[)
so a ball, radius r is a cube, with side 2r.
Let 0 < < 1. Put T(x) = [φ

(x)]
−1
. Fix a closed cube J containing
a and put k = sup
x∈J
|T(x)|. Choose δ > 0 s.t. |φ

(x) − φ

(y)| ≤

k
all
|x −y| ≤ 2δ; x, y ∈ J.
If B is a cube ⊂ J containing a of radius ≤ δ. and centre c (say).
Consider:
T(c)φ has derivative T(c)φ

(x) which equals 1 at x = c and
|T(c)φ

(x) −1| = |T(c)φ

(x) −T(c)φ

(c)|
≤ |T(c| |φ

(x) −φ

(c)|
≤ k

k
=
153
therefore (1 − )B
1
⊂ T(c)φB ⊂ (1 + )B
1
, where B
1
is a translate of B to
new centre T(c)φ(x). Therefore
(1 −)
n
m(B) ≤ [ det T(c)[m(φB) ≤ (1 +)
n
m(B)
=⇒ (1 −)
n
≤ [ det T(c)[
m(φB)
m(B)
≤ (1 +)
n
=⇒ lim[ det T(c)[
m(φB)
m(B)
= 1
=⇒ [ det T(a)[ lim
m(φB)
m(B)
= 1
Therefore:
lim
m(φB)
m(B)
=
1
[ det T(a)[
= [ det φ

(a)[
as required
Theorem 9.1.2. Let f be a continuous real valued function on an open
neighbourhood of a in R
n
. THen
lim

B
f(x) dx
m(B)
= f(a)
where the limit is taken over cubes B containing a with radius B −→ 0.
Proof. Let > 0. Choose δ > 0 s.t. [f(x) − f(a)[ < ∀ |x − a| < δ. Then
each cube B containing a of radius ≤
δ
2
we have:

B
f(x) dx
m(B)
−f(a)

=

B
[f(x) −f(a)] dx

m(B)

m(B)
m(B)
=
hence result.
Recall that the σ-algebra generated by the topology of R
n
is called the
collection of Borel Sets in R
n
.
Theorem 9.1.3. Let A be a Borel set in R
r
, B be a Borel set in R
s
. Then
AB is a Borel set in R
r+s
.
Proof. For fixed V open in R
r
, the sets:
¦V W : W open in R
s
¦ (9.1)
154
are all open in R
r+s
. Therefore the σ-algebra generated by Eqn(9.1):
¦V B : B Borel in R
s
¦
consists of Borel sets in R
r+s
. Hence for fixed B Borel in R
s
, the set:
¦V B : V open in R
r
(9.2)
are all Borel sets in R
r+s
. Therefore the σ-algebra generated by Eqn(9.2):
¦AB : A Borel in R
r
¦
consists of Borel sets in R
r+s
. Therefore A B is Borel for each A Borel in
R
r
, B Borel in R
s
.
Theorem 9.1.4. Let E be a lebesgue measurable subset of R
n
. THen there
is a Borel set B containing E such that
B −E = B ∩ E

has measure zero, and hence m(B) = m(E).
Proof. We already know this is true for n = 1. So we use induction on n.
Assume true for n −1. Let E ⊂ R
n
, E measurable.
1. Let m(E) < ∞. Let k be an integer > 0.
E ⊂ R
n−1
R
choose a sequence of rectangles
A
1
B −1, A
2
B
2
, . . .
covering E with A
i
⊂ R
n−1
measurable and B
i
⊂ R measurable, and
such that
m(E) ≤

¸
i=1
m(A
i
)m(B
i
) ≤ m(E) +
1
k
By the induction hypothesis choose Borel sets C
i
, D
i
s.t.
A
i
⊂ C
i
, B
i
⊂ D
i
, m(A
i
) = m(C
i
), m(B
i
) = m(D
i
)
Put B
k
=
¸

i=1
C
i
D
i
. Then E ⊂ B
k
, B
k
is Borel and m(E) ≤
m(B
k
) ≤
¸

i=1
m(C
i
)m(d
i
) ≤ m(E) +
1
k
.
Put B =
¸

k=1
B
k
. Then E ⊂ B, B is Borel and m(E) = m(B).
Therefore m(B ∩ E

) = m(B) −m(E) = 0 as required.
155
2. Let m(E) = ∞. Put E
k
= ¦x ∈ E : k ≤ [x[ < k + 1¦. E =
¸

k=0
E
k
is
a countable disjoint union, and m(E
k
) < ∞. For each integer k choose
by 1. Borel B
k
s.t. E
k
⊂ B
k
and m(B
k
∩ E

k
) = 0
Put B =
¸
B
k
. Then E ⊂ B and m(B ∩ E

) = m(B) − m(E) as
required. ???????????
9.2 General change of variable in a multiple
integral
Theorem 9.2.1 (General change of variable in a multiple integral).
Let R
n
⊃ V
φ
−→ W ⊂ R
n
be a C
1
diffeomorphism of open V onto open W.
Let f be integrable on E. Then

W
f(x) dx =

V
f(φ(x))[ det φ

(x)[ dx (Lebesgue Integrals) (9.3)
Proof. 1. we have f = f
+
−f

with f
+
, f

≥ 0. Therefore, it is sufficient
to prove Eqn(9.3) for f ≥ 0.
2. if f ≥ 0 then ∃ a monotone increasing sequence of non-negative simple
functions ¦f
n
¦ such that f = limf
n
so, using the monotone convergence
theorem, it is sufficient to prove Eqn(9.3) for f simple.
3. if f is simple then f =
¸
k
i=1
a
i
χ
E
i
with ¦E
i
¦ Lebesgue measurable,
so it is sufficient to prove Eqn(9.3) with f = χ
E
with E Lebesgue
measurable.
4. if E Lebesgue measurable ∃ Borel B s.t. E ⊂ B and Z = B − E has
measure zero. Therefore, χ
E
= χ
B
− χ
Z
, and it is sufficient to prove
Eqn(9.3) for f = χ
B
, B Borel, and for f = χ
Z
, Z measure zero.
5. If f = χ
E
with E Borel then E = φF with F Borel and Eqn(9.3)
reduces to
W
χ
φF
(x) dx =

V
χ
F
(x)[ det φ

(x)[ dx
i.e.
m(φF) =

F
[ det φ

(x)[ dx (9.4)
If Eqn(9.4) holds for each rectangle F ⊂ V then Eqn(9.4) holds for F ∈
ring R of finite disjoint unions of rectangles ⊂ V .
156
Therefore Eqn(9.4) holds for F ∈ monotone class generated by R.
Therefore Eqn(9.4) holds for F ∈ σ-algebra generated by R (monotone
class lemma). So Eqn(9.4) holds for any Borel set F ⊂ V
6. to show Eqn(9.4) holds for any rectangle F ⊂ V : for each rectangle
F ⊂ V put
λ(F) = m(φF) −

F
[ det φ

(x)[ dx
Then, λ is additive:
λ(
¸
B
j
) =
¸
λ(B
j
)
for a disjoint union.
Must prove λ(F) = 0 for each rectangle F. Suppose B is a rectangle
for which λ(B) = 0.
Suppose B is a cube. [λ(B)[ > 0. Therefore, ∃ > 0 s.t. [λ(B)[ ≥
m(B).
Divide B into disjoint subcubes, each of
1
2
the edge of B. For one such,
B
1
say,
[almbda(B
1
)[ ≥ m(B
1
)
Sivide again
[λ(B
2
)[ ≥ m(B
2
)
continuing we get a decreasing sequence of cubes ¦B
k
¦ converging to a
say, with
lim
h−→∞
[λ(B
k
)[
m(B
k
)
≥ > 0
But
lim
h→∞
λ(B
k
)
m(B
k
)
= lim
h→∞
m(φB
k
)−

B
k
| det φ

(x)| dx
m(B
k
)
= [ det φ

(a)[ −[ det φ

(a)[
= 0
a contradiction. Therefore λ(B) = 0 for all cubes B. Therefore,
m(φB) =

B
[ det φ

(x)[ dx for all cubes B as required.
7. Now suppose Z has measure zero, and choose a Borel set B s.t.
Z ⊂ B ⊂ V
and s.t. B has measure zero.
157
Then
m(φZ) ≤ m(φB) =

B
[ det φ

(x)[ dx = 0
since B has measure zero. Therefore φZ has measure zero.
Therefore under a C
1
diffeomorphism we have:
Z of measure zero =⇒ φZ of measure zero
therefore f = χ
Z
with Z of measure zero =⇒ f φ = χ
φ
−1
Z
with
φ
−1
Z of measure zero.
Therefore, Eqn(9.3) holds for f = χ
Z
since then both sides are zero.
This completes the proof.
158

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