Change of Variables in Multiple Integrals

Author(s): Peter D. Lax

Source: The American Mathematical Monthly, Vol. 106, No. 6 (Jun. - Jul., 1999), pp. 497-501
Published by: Mathematical Association of America
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 Change ofVariables in MultipleIntegrals
PeterD. Lax
Dedicatedtothememory ClydeKlipple,whotaughtmereal variables
ofProfessor
bytheR. L. Mooremethodat TexasA & M in 1944.

1. Let y = 9(x) be a differentiable mappingof the intervalS = [c, d]. Denote by

T the interval[a, b] with p(c) = a, 9p(d)= b. Let f be a continuousfunctionof y.
The change of variableformulasays that

ff(9(x)) d " x f(y)dy. (1.1)

dx
The usual proof uses the fundamentaltheorem of calculus. Denote by g an
of f:
anti-derivative
d
f= _g (1.2)
dy
Accordingto the fundamentaltheoremof calculus,

ff(y) dy= g(b) - g(a), (1.3)

where a and b are the endpointsof the intervalT. On the otherhand,bythe chain
rule the derivativeof the compositeg o p is givenby
d dg d9p
g( ~(X))
dixg( (x)) =dy dx
Using (1.2) we see that the x derivativeof go0p is the integrandon the leftin
(1.1); thereforeby the fundamentaltheoremof calculus,
dep
-
|f ( D(px)) dx = g( (p(d)) - g( (p(c)) ' (1.4)
where c and d are the endpointsof the intervalS. Since 9(c) = a and 9p(d)= b,
the rightsides of (1.3) and (1.4) are the same; thiscompletesthe proofof (1.1).
The usual proof of the change of variable formulain several dimensionsuses
the approximationof integralsby finitesums; see forinstance[7]. The purpose of
thisnote is to show how to use the fundamentaltheoremof calculus to prove the
change of variable formulafor functionsof any numberof variables.Then, as a
surprising byproduct, we obtaina proofof the Brouwerfixedpointtheorem.In the
last sectionwe compare our proofwithother knownanalyticproofsof the fixed
pointtheorem.
I thank Daniel Velleman for suggestinga substantialsimplificationof the
argument.

2. In this section we studymappings 9(x) = y of n-dimensionalx space into

n-dimensionaly space. We impose two assumptions:
i) 9 is once differentiable.
ii) 9 is the identityoutside some sphere,say the unit sphere:
9(x) = x forlxl 2 1.

1999] CHANGE OF VARIABLES IN MULTIPLE INTEGRALS 497

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Change of variable theorem:.Let f be a continuousfunctionof compactsupport.
Then

f(9p(x))J(x) dx = ff(y) dy, (2.1)

whereJ is theJacobiandeterminant
of themapping(p:
d9p
J(x) = det d; (2.2)
dxi
here (pjis thejth componentof 9p.

We prove thisforfunctionsf that are once differentiable and formappings9

thatare twicedifferentiable; since functionsand mappingscan be approximatedby
differentiableones, this suffices.The approximationcan be accomplished by
mollification, thatis, by convolvingeach componentof 9 witha smooth,nonnega-
tive,sphericallysymmetric functionm withsmall supportwhose integralequals 1.
As the supportof m shrinksto zero, m * 9 and itsfirstderivativestend to those of
p. If 9 is the identity,
so is m * 9p.

Define

g(Y1IY2,.. IY,l)
~~ =
=j~~~Yi
|0 f(yy, dz.
f(ZlY21 ..y)nYnd 23
(2.3)

Clearly, g = f. Since f is once differentiable,

so is g. Since f has compact
support,we can choose c so large thatf is zero outside the c-cube
IyiI < c, i = 1,2, ...,In.
It followsfrom(2.3) that g(y1,... , Yn) = 0 when 1yj1 2 c foranyj * 1, and when
Yi < -c.
Take c > 1; then the c-cube contains the unit ball. Since 9 is the identity
outside the unit ball, f( p(x)) is zero outside the c-cube in x-space. So in the
integralsin (2.1) we mayrestrictintegrationto the c-cube.
In the leftside of (2.1), expressf as the partialderivativeof g:

| ( 9(x)) J(x) dx. (2.4)

We denote by D the gradientwith respect to x; the columns of the Jacobian
matrixd0p/dxare Dj1, ..., D9 n
Observation:.The integrand
in (2.4) can be written
as thefollowingdeterminant:
det(Dg( 9p),D92, ... , D9,,). (2.5)

Proof: By the chain rule

n
Dg(p) = E (dyjg)D9j. (2.6)
J=1
We set thisintothe firstcolumnin (2.5). Formula(2.6) expressesDg(9D) as a linear
combinationof the vectorsD91, D92, ..., D9,,; the last n - 1 of thesevectorsare
the last n - 1 columnsof the matrixin (2.5), and thereforethesecan be subtracted
fromDg( p) withoutalteringthevalue of the determinant (2.5). This leaves us with

498 CHANGE OF VARIABLES IN MULTIPLE INTEGRALS [June-July

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det((Wd8g(G))D91,D92, ..., D9n); factoring out the scalar (dy,)g(G) gives
(d8,)gGp)J,the integrandin (2.4). U

The nextstep is to expand the determinant(2.5) accordingto the firstcolumn;

we obtain
Mldxlg(9) + * +Mn dx,g( P), (2.7)
where M1,..., Mn are the cofactorsof the firstcolumn of the Jacobian matrix.
Setting(2.7) into the integrandin (2.4) we get

f(Mlax1g((P) + * +Mndx,,g(p)) dx. (2.8)

Since p is twice differentiable,

we can integrateeach termby parts over the
c-cube and obtain

- g( cp)(dxMl + + dx8Mn)dx + boundaryterms. (2.9)

We use now the followingclassical identity:

dxMl + *** + dx,Mn 0 -(2.10)
We sketcha proof:We can writethe leftside of (2.10) symbolically
as
det(D, D92, ..., D9,l). (2.11)
For n = 2 we have
det(D, D902)= d1d2P92-d2 dl92 = 0.
For n > 2 we note thatthe cofactorsMi are multilinearfunctionsof the pj.Using
the productrule of differentiation, as
we write(2.11), again symbolically,

- det(D, D92, ..., D9fn)k, (2.12)

2<k<n
operatorD in the firstcolumn
where the subscriptk means that the differential
acts onlyon the kthcolumn.We leave it to the reader to verifythat each of the
determinants in the sum (2.12) is zero.
The identity(2.10) showsthatthe n-foldintegralin (2.9) is zero.
We turn now to the boundaryterm in (2.9). Since g( p(x)) = g(x) on the
boundaryof the c-cube,the onlynonzeroboundarytermis fromthe side xl = c;
since M1 = 1 when 9(x) x, thatboundarytermis

Jg(c, X2,. **, Xtz)dx2 dXn. (2.13)

Using the definition(2.3) of g in (2.13) gives

fff(z,x2x....X,l)dzdx2..dX,l

whichis the rightside of equation (2.1). This completesthe proofof the change of
variablesformula.

3. In our proofof the change of variablesformula,we assumed neitherthat 9 is

one-to-one,nor thatit is onto. We claim:
A mapping9 havingproperties i) and ii) of thechangeof variablestheoremmaps
R onto R .

1999] CHANGE OF VARIABLES IN MULTIPLE INTEGRALS 499

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 Suppose some point yo were not the image of any x. Since p is the identity
outsidethe unitball, yo would lie inside the unitball. Since 9 maps lxI < 1 intoa
closed set, it would followthat some ball Bo centered at yo would be free of
images of p. Now take any functionf supportedin the ball Bo, whose integralis
nonzero:

Jdy 0. (3.1)

By the change of variableformula

ff(9(x))Jdx = ffdy * 0. (3.2)

Since the range of p avoids Bo, and since the support of f lies in Bo, the
integrandon the left in (3.2) is identicallyzero; then so is the integral.This
contradicts(3.1), and so the claim is established.
IntermediateValue Theorem:. Let 9 be a continuousmap oftheunitball in R" into
Rk thatis theidentity
on theboundary:

9 ( x) = x for lxi = 1.

Thentheimageof 9 coversevery
pointin theunitball.

Proof: Extend 9 to be the identityoutside the unit ball. Then approximatethe

extended map by differentiablemaps, each the identityoutside the unit ball.
Accordingto our claim,each of these maps coversthe unitball. By compactness,
so does theirlimit. U

The followingwell-knownargumentshows how to deduce the Brouwerfixed

pointtheoremfromthe intermediatevalue theorem.
Let fr be a continuousmappingof the unitball intothe unitball; we claim that
it leaves a pointfixed.If not thenforeveryx thereis a rayfrom+r(x) throughx.
This ray pierces the unit ball at a point thatwe denote by 9(x). Clearly,9 is a
continuousmapping;it is the identityforx on the unit sphere and maps the unit
ball intotheunitsphere.This contradictsthe intermediate value theorem. U

4. The Brouwer fixedpoint theoremhas many analyticalproofs. How do they

compare withthe presentone? Hadamard [3] employedthe identity(2.10) about
the Jacobianmatrix;so did Dunford-Schwartz [2, pp. 467-470].
Samelson [6] used Stokes' theorem to give an extremelyshort proof of the
Brouwerfixedpoint theorem.This proofwas rediscoveredby Kannai [5]. Accord-
ing to Laurent Schwartz,as related by Haim Brezis, such a proofwas currentin
Paris in the thirties.
Baez-Duarte [1] provedformula(2.1) usingexteriorformsand Stokes' theorem
and deduced fromit the intermediatevalue theorem.My deductionis the same as
Baiez-Duarte's.
The integrationof exteriorforms over chains presupposes the change of
variable formulaformultipleintegrals.It is amusingthat the change of variables
formulaalone impliesBrouwer'stheorem.
In conclusiQnwe call attentionto ErhardtHeinz's beautifulanalytictreatment
of the Brouwerdegree of a mapping.

500 CHANGE OF VARIABLES IN MULTIPLE INTEGRALS [June-July

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REFERENCES

1. L. Baez-Duarte,Brouwer'sFixed-Point
Theoremanda Generalization oftheFormulaforChange
ofVariablesin MultipleIntegrals,
J. Math.Anal.Appl.177(1993)412-414.
2. N. DunfordandJ.Schwartz, LinearOperators,
PartI, Wiley-Interscience,
NewYork,1958.
3. J. Hadamard,Sur quelquesapplicationsde l'indicede Kronecker,pp. 437-477in J. Tannery,
Introduction
a' la the'orie
desfonctionsdune variable,vol. 2, Paris, 1910.
4. E. Heinz,An Elementary
AnalyticTheoryof the Degree of Mappingn-Dimensional
Space,
J. Math. Mech. 8 (1959) 231-248.
5. Y. Kannai,An elementary
proofof theno retractiontheorem, Amer.Math.Monthly 88 (1981)
264-268.
6. H. Samelson,
On theBrouwerfixedpointtheorem, Math.22 (1963)189-191.
Portugal.
7. J.Schwartz,
The formula
forchangein variablesin a multiple Amer.Math.Monthly
integral, 61
(1954) 81-85.
PETER LAXwasborninHungary in 1926;he cameto theU.S. inDecember,1941on thelastboat.He
is a fixture
at the CourantInstituteof New York University; his mathematical
interests
are too
numerous to mention.He hasalwayslikedto teachat all levels,hencethispaper.
CourantInstitute,
NY, 251 Mercer-
St.,New York,NY 10012
1ax@cims.nyu.edu

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1999] CHANGEOF VARIABLESIN MULTIPLEINTEGRALS 501

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