Professional Documents
Culture Documents
802647S
Lecture Notes
1st Edition
Fourth printing
Valery Serov
University of Oulu
2014
3 Fourier coefficients 11
6 Riemann-Lebesgue lemma 22
9 Absolute convergence 38
Index 77
i
1 Preliminaries
Definition 1.1. A function f (x) of one variable x is said to be periodic with period
T > 0 if the domain D(f ) of f contains x + T whenever it contains x and, if for any
x ∈ D(f ) it holds that
f (x + T ) = f (x). (1.1)
Remark. If also x − T ∈ D(f ) then
f (x − T ) = f (x).
It follows that if T is a period of f then mT is also a period for any integer m > 0.
The smallest value of T > 0 for which (1.1) holds is called the fundamental period of
f.
For example, the functions
mπx mπx mπx
sin , cos , ei L , m = 1, 2, . . .
L L
are periodic with fundamental period T = 2L m
. Note also that they are periodic with
common period 2L.
If some function f is defined on the interval [a, a + T ], T > 0 and f (a) = f (a + T ),
then f can be extended periodically with period T on the whole line as
Therefore, we may assume from now on that any periodic function is defined on the
whole line.
We say that f is p-integrable, 1 ≤ p < ∞, on the interval [a, b] if
Z b
|f (x)|p dx < ∞.
a
The set of all such functions is denoted by Lp (a, b). When p = 1 we say that f is
integrable. If f is p-integrable and g is p′ -integrable on [a, b], where
1 1
+ ′ = 1, 1 < p < ∞, 1 < p′ < ∞
p p
then their product is integrable on [a, b] and
Z b Z b 1/p Z b 1/p′
p p′
|f (x)g(x)|dx ≤ |f (x)| dx |g(x)| dx .
a a a
This inequality is called the Hölder’s inequality for integrals. The Fubini’s theorem
states that Z bZ d Z dZ b
F (x, y)dydx = F (x, y)dxdy,
a c c a
1
where F (x, y) ∈ L1 ((a, b) × (c, d)) is positive. P
If f1 , f2 , . . . , fn are p-integrable on [a, b] for 1 ≤ p < ∞ then so is their sum nj=1 fj
and
Z b Xn
p !1/p
Xn Z b 1/p
p
fj (x) dx ≤ |fj (x)| dx .
j=1a
j=1 a
The difference in the brackets is equal to zero due to periodicity of f . Thus, (1.3) holds
for a > 0.
If a < 0 then we proceed similarly as
Z a+T Z 0 Z a+T
f (x)dx = f (x)dx + f (x)dx
a a 0
Z 0 Z T Z T
= f (x)dx + f (x)dx − f (x)dx
a 0 a+T
Z T Z 0 Z T
= f (x)dx + f (x)dx − f (x)dx .
0 a a+T
Again, the periodicity of f implies that the difference in brackets is zero. Thus lemma
is proved.
Definition 1.2. Let us assume that the domain of f is symmetric with respect to {0},
i.e. if x ∈ D(f ) then −x ∈ D(f ). A function f is called even if
f (−x) = f (x), x ∈ D(f )
and odd if
f (−x) = −f (x), x ∈ D(f ).
2
Lemma 1.2. If f is integrable on any finite interval and if it is even then
Z a Z a
f (x)dx = 2 f (x)dx
−a 0
f (c ± 0) := lim f (x).
x→c±
The number n
X
Vab (f ) := sup |f (xj ) − f (xj−1 )| (1.4)
x0 ,x1 ,...,xn
j=1
is called the full variation of f on the interval [a, b]. For any x ∈ [a, b] we can also
define Vax (f ) by (1.4).
Exercise 2. Prove that
3
1. Vax (f ) is monotone increasing in x
ωh (f ) ≤ Chα
with some constant C > 0. This inequality is called the Hölder condition with exponent
α.
Definition 1.7. We say that f belongs to Sobolev space Wp1 (a, b), 1 ≤ p < ∞ if
f ∈ Lp (a, b) and there is g ∈ Lp (a, b) such that
Z x
f (x) = g(t)dt + C (1.7)
a
4
Lemma 1.3. Suppose that f ∈ Wp1 (a, b), 1 ≤ p < ∞. Then f is of bounded variation.
Moreover, if p = 1 then f is also continuous and if 1 < p < ∞ then f ∈ C 1−1/p [a, b].
Proof. Let first p = 1. Then there is an integrable g such that (1.7) holds with some
constant C. Hence for fixed x ∈ [a, b] with x + h ∈ [a, b] we have
Z x+h
f (x + h) − f (x) = g(t)dt.
x
It follows that Z
x+h
|f (x + h) − f (x)| = g(t)dt → 0, h→0
x
since g is integrable. This proves the continuity of f . At the same time for any
{x0 , x1 , . . . , xn } such that a = x0 < x1 < · · · < xn = b we have
n Z xj
n Z xj Z b
X n X X
|f (xj ) − f (xj−1 )| = g(t)dt ≤ |g(t)|dt = |g(t)|dt.
xj−1 xj−1 a
j=1 j=1 j=1
Rb
Hence, Definition 1.5 is satisfied with constant c0 = a |g(t)|dt and f is of bounded
variation.
If 1 < p < ∞ then using Hölder’s inequality for integrals we obtain for h > 0 that
Z x+h Z x+h 1/p′ Z x+h 1/p
p
|f (x + h) − f (x)| ≤ |g(t)|dt ≤ dt |g(t)| dt
x x x
Z b 1/p
1−1/p p
≤ h |g(t)| dt ,
a
where 1/p + 1/p′ = 1. By Definition 1.6 it means that f ∈ C 1−1/p [a, b]. Lemma is
proved.
Remark. Since any f ∈ Wp1 (a, b), 1 ≤ p < ∞ is continuous then the constant C in (1.7)
is equal to f (a).
Definition 1.8. Two functions u and v are said to be orthogonal on [a, b] if the product
uv is integrable and Z b
u(x)v(x)dx = 0.
a
A set of functions is said to be mutually orthogonal if each distinct pair in the set is
orthogonal on [a, b].
5
form a mutually orthogonal set on the interval [−L, L] as well as on the interval [0, 2L].
In fact,
Z L Z 2L (
mπx nπx mπx nπx 0, m 6= n
cos cos dx = cos cos dx = , (1.8)
−L L L 0 L L L, m = n
Z L Z 2L
mπx nπx mπx nπx
cos sin dx = sin cos
dx = 0, (1.9)
−L L L 0 L L
Z L Z 2L (
mπx nπx mπx nπx 0, m 6= n
sin sin dx = sin sin dx = (1.10)
−L L L 0 L L L, m = n
and
Z L Z 2L Z L Z 2L
mπx mπx mπx mπx
sin dx = sin dx = cos dx = cos dx = 0. (1.11)
−L L 0 L −L L 0 L
Proof. Due to Lemma 1.1 it is enough to prove the equalities (1.8), (1.9), (1.10) and
(1.11) only for integrals over [−L, L]. Let us derive, for example, (1.9). Using the
equality
1
cos α sin β = (sin(α + β) − sin(α − β))
2
we have for m 6= n that
Z L Z Z
mπx nπx 1 L (m + n)πx 1 L (m − n)πx
cos sin dx = sin dx − sin dx
−L L L 2 −L L 2 −L L
!
(m+n)πx L
!
(m−n)πx L
1 − cos L 1 − cos L
= (m+n)π
− (m−n)π
=0
2 2
L −L L −L
since sine is odd. Other identities can be proved in a similar manner and are left to
the readers. Lemma is proved.
nπx
Remark. This lemma holds also for the functions ei , n = 0, ±1, ±2, . . . in the form
L
Z L Z 2L (
nπx mπx nπx mπx 0, n 6= m
ei L e−i L dx = ei L e−i L dx =
−L 0 2L, n = m.
6
2 Formulation of Fourier series
Let us consider a series of the form
a0 X mπx
∞
mπx
+ am cos + bm sin . (2.1)
2 m=1
L L
This series consists of 2L-periodic functions. Thus, if the series (2.1) converges for all
x, then the function to which it converges will also be 2L-periodic. Let us denote this
limiting function by f (x) i.e.
a0 X mπx
∞
mπx
f (x) := + am cos + bm sin . (2.2)
2 m=1
L L
for each fixed n = 1, 2, . . . . It follows from the orthogonality relations (1.8), (1.9) and
(1.11) that the only nonzero term on the right hand side is the one for which m = n
in the first summation. Hence
Z
1 L nπx
an = f (x) cos dx, n = 1, 2, . . . . (2.3)
L −L L
A similar expression for bn is obtained by multiplying (2.2) by sin nπx
L
and integrating
termwise from −L to L. The result is
Z
1 L nπx
bn = f (x) sin dx, n = 1, 2, . . . . (2.4)
L −L L
Using (1.11) we can easily obtain that
Z L
1
a0 = f (x)dx. (2.5)
L −L
Definition 2.1. Let f be integrable (not necessarily periodic) on the interval [−L, L].
The Fourier series of f is the trigonometric series (2.1), where the coefficients a0 , am
and bm are given by (2.5), (2.3) and (2.4), respectively. In that case we write
a0 X mπx
∞
mπx
f (x) ∼ + am cos + bm sin . (2.6)
2 m=1
L L
7
Remark. This definition does not imply that the series (2.6) converges to f or that f
is periodic.
Definition 2.1 and Lemma 1.2 imply that if f is even on [−L, L] then the Fourier
series of f has the form
∞
a0 X mπx
f (x) ∼ + am cos (2.7)
2 m=1
L
and if f is odd then
∞
X mπx
f (x) ∼ bm sin . (2.8)
m=1
L
The series (2.7) and (2.8) are called the Fourier cosine series and Fouries sine series,
respectively.
If L = π then the Fourier series (2.6) ((2.7) and (2.8)) transforms to
∞
a0 X
f (x) ∼ + (am cos mx + bm sin mx) , (2.9)
2 m=1
where the coefficients a0 , am and bm are given by (2.3), (2.4) and (2.5) with L = π.
There are different approaches if function f is defined on a nonsymmetric interval
[0, L] with an arbitrary L > 0.
1. Even extension. Define a function g(x) on the interval [−L, L] as
(
f (x), 0≤x≤L
g(x) =
f (−x), −L ≤ x < 0.
Then g(x) is even and its Fourier (cosine) series (2.7) represents f on [0, L].
2. Odd extension. Define a function h(x) on the interval [−L, L] as
(
f (x), 0≤x≤L
h(x) =
−f (−x), −L ≤ x < 0.
Then h(x) is odd and its Fourier (sine) series (2.8) represents f on [0, L].
8
Z L
2 2mπx
am (fe) = (−1) m
f (x) cos dx = (−1)m am (f ),
L 0 L
and
Z L
2 2mπx
bm (fe) = (−1)m f (x) sin dx = (−1)m bm (f ).
L 0 L
Hence,
∞
a0 X
fe(t) ∼ + (am cos mt + bm sin mt)
2 m=1
tL L
where a0 , am and bm are the same and x = + .
2π 2
These three alternatives allow us to consider (for simplicity) only the case of symmetric
interval [−π, π] such that the Fourier series will be of the form (2.9) i.e.
∞
a0 X
f (x) ∼ + (am cos mx + bm sin mx) .
2 m=1
Using Euler’s formula we will rewrite this series in the complex form
∞
X
f (x) ∼ cn einx , (2.10)
n=−∞
for n = 0, ±1, ±2, . . .. We call cn (f ) the nth Fourier coefficient of f . It can be checked
that
cn (f ) = c−n (f ). (2.13)
9
Exercise 3. Prove formulas (2.10), (2.11), (2.12) and (2.13).
b) |x|, −1 ≤ x ≤ 1.
c) x, −1 ≤ x ≤ 1.
(
0, −L ≤ x ≤ 0
d) f (x) =
L, 0 < x ≤ L.
Exercise 6. Show that if N is odd then sinN x can be written as a finite sum of the
form
XN
ak sin kx.
k=1
It means that this finite sum is the Fourier series of sinN x and the coefficients ak
(which are real) are the Fourier coefficients of sinN x.
Exercise 7. Show that if N is odd then cosN x can be written as a finite sum of the
form
XN
ak cos kx.
k=1
10
3 Fourier coefficients and their properties
Definition 3.1. We say that a trigonometric series
∞
X
cn einx
n=−∞
exists,
exists uniformly,
These three different types of convergence appear frequently in the sequel and
they are presented above from the weakest to strongest. In other words, absolute
convergence implies uniform convergence which in turn implies pointwise convergence.
If f is integrable on the interval [−π, π] then the Fourier coefficients cn (f ) are
uniformly bounded with respect to n = 0, ±1, ±2, . . . i.e.
Z Z π
1 π 1
|cn (f )| = f (x)e −inx
dx ≤ |f (x)|dx, (3.1)
2π −π 2π −π
where the upper bound does not depend on n. Suppose that a sequence {cn }∞
n=−∞ is
such that ∞
X
|cn | < ∞.
n=−∞
11
converges uniformly in x ∈ [−π, π] and defines a continuous function
∞
X
f (x) := cn einx (3.2)
n=−∞
∞
X
|n|k |cn | < ∞
n=−∞
for some integer k > 0. Then the series (3.2) defines a function which is k times
differentiable with ∞
X
f (k) (x) = (in)k cn einx (3.3)
n=−∞
being a continuous function. This follows from the fact that the series (3.3) converges
uniformly with respect to x ∈ [−π, π].
Let us consider one more useful example where the Fourier coefficients are applied.
If 0 ≤ r < 1 then the geometric progression series gives
X ∞
1
= rn einx (3.4)
1 − reix n=0
and this series converges absolutely. Using the definition of the Fourier coefficients we
obtain Z π −inx
n 1 e
r = dx, n = 0, 1, 2, . . .
2π −π 1 − reix
and Z π
1 einx
0= dx, n = 1, 2, . . . .
2π −π 1 − reix
From the representation (3.4) we may conclude also that
∞
X ∞
1 − r cos x 1 n 1 1 X |n| inx
= Re = r cos nx = + r e (3.5)
1 − 2r cos x + r2 1 − reix n=0
2 2 n=−∞
and
∞
X ∞
r sin x 1 n i X |n|
= Im = r sin nx = − r sgn(n)einx . (3.6)
1 − 2r cos x + r2 1 − reix n=1
2 n=−∞
12
The formulas (3.5) and (3.6) can be rewritten as
∞
X 1 − r2
r|n| einx = := Pr (x) (3.7)
n=−∞
1 − 2r cos x + r2
and ∞
X 2r sin x
−i sgn(n)r|n| einx = := Qr (x). (3.8)
n=−∞
1 − 2r cos x + r2
Definition 3.2. The function Pr (x) is called the Poisson kernel while Qr (x) is called
the conjugate Poisson kernel .
Exercise 9. Prove that both Pr (x) and Qr (x) are solutions of the Laplace equation
ux 1 x 1 + ux 2 x 2 = 0
in the disk x21 + x22 < 1, where x1 + ix2 = reix with 0 ≤ r < 1 and x ∈ [−π, π].
∆n a = an − an−1 .
Then for any two sequences an and bn and for any integers M < N the formula
N
X N
X
ak ∆ k b = aN b N − aM b M − bk−1 ∆k a (3.9)
k=M +1 k=M +1
13
Pn
Proof. Let bn = k=0 eikx . Since
1 − eix(n+1)
bn = , x 6= 0
1 − eix
then
2 1
|bn | ≤ =
ix
|1 − e | | sin x2 |
for x ∈ [−π, π] \ {0}. Applying (3.9) shows that for M < N we have
N N k k−1
! N
X X X X X
ikx ilx ilx
ck e = ck e − e = ck ∆ k b
k=M +1 k=M +1 l=0 l=0 k=M +1
N
X
= c N bN − c M bM − bk−1 ∆k c.
k=M +1
Thus
N
X N
X
ikx
c k e ≤ c |b
N N | + c |b
M M | + |bk−1 |∆k c
k=M +1 k=M +1
N
!
1 X
≤ cN + cM + |ck − ck−1 |
| sin x2 | k=M +1
1 2cM
= x (cN + cM + cM − cN ) = →0
| sin 2 | | sin x2 |
14
we introduce the tail sum by
X
En := |ck |, n = 0, 1, 2, . . . . (3.11)
|k|>n
There is a good connection between the modulus of continuity (1.6) and (3.11). Indeed,
if f (x) denotes the series (2.10) and h > 0 we have
∞
X X X
|f (x + h) − f (x)| ≤ |cn ||einh − 1| = |cn ||einh − 1| + |cn ||einh − 1|
n=−∞ |n|h≤1 |n|h>1
X X
≤ h |n||cn | + 2 |cn | := I1 + I2 ,
|n|≤[1/h] |n|>[1/h]
where [x] denotes the entire part of x. If we denote [1/h] by Nh then I2 = 2ENh and
X Nh
X
I1 = h |n| E|n|−1 − E|n| = −h l (El − El−1 ) .
|n|≤Nh l=1
1
Since hNh = h[1/h] ≤ h · h
= 1 then these formulas for I1 and I2 imply that
Nh
X Nh −1
1 X
ωh (f ) ≤ 2ENh − hNh ENh + h En−1 ≤ 2ENh + En . (3.12)
n=1
Nh n=0
Here and throughout, the notation A = O(B) on a set X means that |A| ≤ C|B| on
the set X with some constant C > 0. Similarly, A = o(B) means that A/B → 0.
We summarize (3.13) as follows: if the tail of the trigonometric series (2.10) behaves
as O(n−α ) for some 0 < α < 1 then the function f to which it converges belongs to
Hölder space C α [−π, π].
15
4 Convolution and Parseval equality
Let the trigonometric series (2.10) be such that
∞
X
|cn | < ∞.
n=−∞
Then the function f to which it converges is continuous and periodic. If g(x) is any
continuous function then the product f g is also continuous and hence integrable on
[−π, π] and
Z ∞ Z π ∞
1 π
1 X inx
X
f (x)g(x)dx = cn (f ) g(x)e dx = cn (f )c−n (g), (4.1)
2π −π 2π n=−∞ −π n=−∞
where integration of the series term by term is justified by the uniform convergence of
Fourier series. Putting g = f in (4.1) yields
Z π ∞
X ∞
X
1
|f (x)|2 dx = cn (f )c−n (f ) = |cn (f )|2 (4.2)
2π −π n=−∞ n=−∞
by (2.13).
Definition 4.1. Equality (4.2) is called the Parseval equality for the trigonometric
Fourier series.
The formula (4.1) can be generalized as follows.
Exercise 12. Let periodic f be defined by absolutely convergent Fourier series (2.10)
and let g be integrable and periodic. Prove that
Z π X∞
1
f (x)g(y − x)dx = cn (f )cn (g)einy
2π −π n=−∞
16
Proof. We note first that the convolution (4.3) is well defined as an L1 -function by the
Fubini theorem. Indeed,
Z π Z π Z π Z π−y
|f1 (y)| · |f2 (x − y)|dy dx = |f1 (y)| |f2 (z)|dz dy
−π −π −π −π−y
Z π Z π
= |f1 (y)| |f2 (z)|dz dy
−π −π
by Lemma 1.1. The Fourier coefficients of the convolution (4.3) are equal to
Z π Z π Z π
1 −inx 1
cn (f1 ∗ f2 ) = (f1 ∗ f2 )(x)e dx = f1 (y)f2 (x − y)dy e−inx dx
2π −π (2π)2 −π −π
Z π Z π
1 −inx
= f1 (y) f2 (x − y)e dx dy
(2π)2 −π −π
Z π Z π−y
1 −in(y+z)
= f1 (y) f2 (z)e dz dy
(2π)2 −π −π−y
Z π Z π
1 −iny −inz
= f1 (y)e f2 (z)e dz dy = cn (f1 )cn (f2 )
(2π)2 −π −π
Exercise 13. Prove that if f1 and f2 are integrable and periodic then their convolution
is symmetric and periodic.
Remark. We are going to prove in Chapter 10 that for any periodic and continuous
function f the limit
lim (f ∗ Pr )(x) = f (x)
r→1−
exists uniformly in x.
17
5 Fejér means of Fourier series. Uniqueness of the
Fourier series.
Let us denote the partial sum of Fourier series of f ∈ L1 (−π, π) by
X
SN (f ) := cn (f )einx
|n|≤N
S0 (f ) + · · · + SN (f )
σN (f ) := .
N +1
Writing this out in detail we see that
N X
X N
X X
ikx
(N + 1)σN (f ) = ck (f )e = ck (f )eikx
n=0 |k|≤n |k|≤N n=|k|
X
= (N + 1 − |k|)ck (f )eikx
|k|≤N
18
where (
1, |k| ≤ N
1[−N,N ] (k) =
0, |k| > N.
Let us assume now that f is periodic. Then Exercise 12 and Theorem 2 lead to
Z π X∞
1 |k|
f (y)KN (x − y)dy = 1[−N,N ] (k) 1 − ck (f )eikx . (5.5)
2π −π k=−∞
N + 1
Exercise 17. Prove (5.5).
Hence, the Fejér means can be represented as
σN (f )(x) = (f ∗ KN )(x) = (KN ∗ f )(x). (5.6)
The properties (5.3), (5.4) and (5.6) allow us to prove
Theorem 3. Let f ∈ Lp (−π, π) be periodic with 1 ≤ p < ∞. Then
Z π 1/p
p
lim |σN (f )(x) − f (x)| dx = 0. (5.7)
N →∞ −π
If, in addition, f has right and left limits f (x0 ± 0) at a point x0 ∈ [−π, π] then
1
lim σN (f )(x0 ) = (f (x0 + 0) + f (x0 − 0)) . (5.8)
N →∞ 2
Proof. Let us first prove (5.7). Indeed, (5.4) and (5.6) give
Z π 1/p Z π 1/p
p p
|σN (f )(x) − f (x)| dx = |(f ∗ KN )(x) − f (x)| dx
−π −π
Z π
Z π Z π p 1/p
1 1
= KN (y)f (x − y)dy − KN (y)f (x)dy dx
2π 2π −π
−π −π
Z π Z π p 1/p
1
= K (y)(f (x − y) − f (x))dy dx
2π N
−π −π
Z π Z p 1/p
1
≤ K (y)(f (x − y) − f (x))dy dx
2π N
−π |y|<δ
Z π Z p 1/p
1
+ K (y)(f (x − y) − f (x))dy dx := I1 + I2 .
2π N
−π π≥|y|>δ
19
as δ → 0 since f ∈ Lp (−π, π). Quite similarly,
Z Z π 1/p
1 p
I2 ≤ KN (y) |f (x − y) − f (x)| dx dy
2π π≥|y|>δ −π
Z π 1/p Z
p 1
≤ 2 |f (x)| dx KN (y)dy (5.10)
−π 2π π≥|y|>δ
1 1 1 π2
KN (y) ≤ · y ≤ · 2
N + 1 sin2 2
N +1 δ
and Z
1 π 2 2(π − δ) π2 π2
KN (y)dy ≤ · < < √ →0
2π π≥|y|>δ 2πδ 2 N + 1 δ 2 (N + 1) N
as N → ∞ if we choose δ = N −1/4 . From (5.9) and (5.10) we may conclude that (5.7)
is proved. In order to prove (5.8) we use (5.4) to represent the difference
1
σN (f )(x0 ) − (f (x0 + 0) + f (x0 − 0))
Z π 2
1 1
= KN (y) f (x0 − y) − (f (x0 + 0) + f (x0 − 0)) dy
2π −π 2
Z π
1
= KN (y)g(y)dy, (5.11)
2π −π
where
1
g(y) = f (x0 − y) −
(f (x0 + 0) + f (x0 − 0)) .
2
Since Fejér kernel KN (y) is even we can rewrite the right hand side of (5.11) as
Z π
1
KN (y)h(y)dy,
2π 0
where h(y) = g(y) + g(−y). It is clear that h(y) is L1 -function. But we have more,
namely,
lim h(y) = 0. (5.12)
y→0+
20
We will proceed as in the proof of (5.7) i.e. we split
Z π Z δ Z π
1 1 1
KN (y)h(y)dy = KN (y)h(y)dy + KN (y)h(y)dy := I1 + I2 .
2π 0 2π 0 2π δ
Proof. Since Z π
lim |σN (f )(x) − f (x)| dx = 0
N →∞ −π
by (5.7) then in the case when all Fourier coefficients are zero, we have
Z π
|f (x)| dx = 0.
−π
21
6 Riemann-Lebesgue lemma
Theorem 5 (Riemann-Lebesgue lemma). If f is periodic with period 2π and belongs
to L1 (−π, π) then Z π
lim f (x + z)e−inz dz = 0 (6.1)
n→∞ −π
uniformly in x ∈ R. In particular, cn (f ) → 0 as n → ∞.
Proof. Since f is periodic with period 2π then
Z π Z π+x Z π
−inz −in(y−x) inx
f (x + z)e dz = f (y)e dy = e f (y)e−iny dy (6.2)
−π −π+x −π
by Lemma 1.1. Formula (6.2) shows that to prove (6.1) it is enough to show that the
Fourier coefficients cn (f ) tend to zero as n → ∞. Indeed,
Z π Z π+π/n Z π
−iny −iny
2πcn (f ) = f (y)e dy = f (y)e dy = f (t + π/n)e−int e−iπ dt
−π −π+π/n −π
Write
cn (f ) = cn (g) + cn (f − g).
The first term tends to zero as n → ∞ since g is continuous, whereas the second term
is less than ε/(2π). It implies that
ε
sup lim |cn (f )| ≤ .
n→∞ 2π
Since ε is arbitrary then
lim |cn (f )| = 0.
n→∞
This fact together with (6.2) gives (6.1). Theorem is thus proved.
22
Corollary. Let f be as in Theorem 5. If periodic g is continuous on [−π, π] then
Z π
lim f (x + z)g(z)e−inz dz = 0
n→∞ −π
and
Z π Z π
lim f (x + z)g(z) sin(nz)dz = lim f (x + z)g(z) cos(nz)dz = 0
n→∞ −π n→∞ −π
Exercise 19. Show that if f satisfies the Hölder condition with exponent α ∈ (0, 1]
then cn (f ) = O(|n|−α ) as n → ∞.
Exercise 20. Suppose that f satisfies the Hölder condition with exponent α > 1.
Prove that f ≡ constant.
Exercise 21. Let f (x) = |x|α , where −π ≤ x ≤ π and 0 < α < 1. Prove that
cn (f ) ≍ |n|−1−α as n → ∞.
Remark. The notation a ≍ b means that there exist 0 < c1 < c2 such that
Let us introduce for any 1 ≤ p < ∞ and for any periodic f ∈ Lp (−π, π) the
Lp -modulus of continuity of f by
Z π 1/p
p
ωp,δ (f ) := sup |f (x + h) − f (x)| dx .
|h|≤δ −π
Exercise 22. Suppose that ωp,δ (f ) ≤ Cδ α for some C > 0 and α > 1. Prove that f is
constant almost everywhere.
Hint. First show that ωp,2δ (f ) ≤ 2ωp,δ (f ), then iterate this to obtain a contradiction.
23
Suppose that f ∈ L1 (−π, π) but not necessarily periodic. We can consider Fourier
series corresponding to f i.e.
∞
X
f (x) ∼ cn einx ,
n=−∞
where cn are the Fourier coefficients cn (f ). The series in the right hand side is consid-
ered formally in the sense that we know nothing about its convergence. However, the
limit Z π X Z π
inx
lim cn (f )e dx = f (x)dx (6.4)
N →∞ −π |n|≤N −π
exists. Indeed,
Z π X Z π X Z π
inx
cn (f )e dx = c0 (f ) dx + cn (f ) einx dx = 2πc0 (f )
−π |n|≤N −π 0<|n|≤N −π
Z π
= f (x)dx.
−π
The existence of the limit (6.4) shows us that we can always integrate the Fourier series
of an L1 -function term by term.
24
7 Fourier series of square-integrable function. Riesz-
Fischer theorem.
The set of square-integrable functions L2 (−π, π) is a linear Euclidean space equipped
with inner product Z π
1
(f, g)L2 (−π,π) = f (x)g(x)dx. (7.1)
2π −π
We can measure the degree of approximation by the mean square distance
Z π
1
|f (x) − g(x)|2 dx = (f − g, f − g)L2 (−π,π) .
2π −π
P
In particular, if g(x) = |n|≤N bn einx is a trigonometric polynomial then
Z π Z π Z π
1 2 1 2 1
|f (x) − g(x)| dx = |f (x)| dx + |g(x)|2 dx
2π −π 2π −π 2π −π
Z π
1
− 2Re f (x)g(x)dx
2π −π
Z π Z π X X
1 2 1
= |f (x)| dx + bn einx bk e−ikx dx
2π −π 2π −π
|n|≤N |k|≤N
Z π X
1
− 2Re f (x) bn e−inx dx
2π −π |n|≤N
Z π Z π
1 2 1 X 2
= |f (x)| dx + |bn | dx
2π −π 2π −π
|n|≤N
X
− 2Re bn cn (f )
|n|≤N
Z π X X
1
= |f (x)|2 dx + |bn |2 − 2Re bn cn (f )
2π −π
|n|≤N |n|≤N
X X
+ |cn (f )|2 − |cn (f )|2
|n|≤N |n|≤N
Z π X X
1
= |f (x)|2 dx − |cn (f )|2 + |bn − cn (f )|2 .
2π −π |n|≤N |n|≤N
25
2. For N = 1, 2, . . . it is true that
X Z π
2 1
|cn (f )| ≤ |f (x)|2 dx
2π −π
|n|≤N
and, in particular,
∞
X Z π
1 2
|cn (f )| ≤ |f (x)|2 dx. (7.3)
n=−∞
2π −π
holds.
Proof. By Bessel’s inequality (7.3) we have for any f ∈ L2 (−π, π) that
2
Z πX X X
1
inx
cn (f )e − cn (f )e dx =
inx
|cn (f )|2 → 0
2π −π
|n|≤N |n|≤M M +1≤|n|≤N
It remains to show that F (x) = f (x) almost everywhere. To do this, we compute the
Fourier coefficients cn (F ) by writing
Z π Z π X
2πcn (F ) = F (x)e−inx dx = F (x) − ck (f )eikx e−inx dx
−π −π |k|≤N
X Z π
+ ck (f ) ei(k−n)x dx.
|k|≤N −π
26
If N > |n| then the last sum is equal to 2πcn (f ). Thus, by Hölder’s inequality,
Z π X
2π|cn (F ) − cn (f )| ≤ F (x) − c (f )e ikx dx
k
−π |k|≤N
2 1/2
Z X
√ π
≤ 2π F (x) − ck (f )e dx → 0
ikx
−π |k|≤N
cn (f ).
Proof. Completely the same as the proof of Theorem 6.
Theorem 7. Suppose that f ∈ L2 (−π, π) is periodic with period 2π and that its Fourier
coefficients satisfy
X∞
|n|2 |cn (f )|2 < ∞. (7.6)
n=−∞
Proof. Since (7.6) holds then by Riesz-Fischer theorem there is a unique g(x) ∈
L2 (−π, π) such that
X∞
g(x) ∼ incn (f )einx .
n=−∞
27
On the other hand, cn (g) = incn (f ). Thus, by uniqueness of Fourier series, we obtain
that F (x) − f (x) = constant almost everywhere or f ′ (x) = g(x) almost everywhere. It
means that Z x
f (x) = g(t)dt + constant,
−π
where g ∈ L (−π, π). Therefore, f ∈ W21 (−π, π) and
2
∞
X
′
f (x) = g(x) ∼ incn (f )einx .
n=−∞
where we have used the basic inequality 2ab ≤ a2 + b2 for real numbers a and b.
Using Parseval’s equality (7.5) we can obtain for any periodic f ∈ L2 (−π, π) and
for any N = 1, 2, . . . that
2
Z πX X
1
c (f )e inx
− f (x) dx = |cn (f )|2 . (7.8)
2π −π
n
|n|≤N |n|>N
28
Proof. From (7.9) we have for any integer M > 0 that
Z π X X
1
|f (x + h) − f (x)|2 dx ≤ n2 h2 |cn (f )|2 + 4 |cn (f )|2 (7.12)
2π −π
|n|≤M |n|>M
if M h ≤ 1. If (7.10) holds then the second sum is O(M −2α ). To estimate the first sum
we use summation by parts. Writing
X
In := |ck (f )|2
|k|≤n
we have
X M
X M
X
2 2 2 2 2 2
n |cn (f )| = M IM −0·I0 − In−1 (n −(n−1) ) = M IM − (2n−1)In−1 −I0 .
1≤|n|≤M n=1 n=2
By hypothesis,
I∞ − In = O(n−2α ), n = 1, 2, . . . .
Thus,
M
X
2
M IM − (2n − 1) I∞ + O((n − 1)−2α )
n=2
M
X M
X
2 −2α
=M I∞ + O(M ) − I∞ (2n − 1) − (2n − 1)O((n − 1)−2α )
n=2 n=2
M
! M
X X
= O(M 2−2α ) − I∞ M2 − (2n − 1) − (2n − 1)O((n − 1)−2α )
n=2 n=2
| {z }
=1
= O(M 2−2α ) + O(M 2−2α ) = O(M 2−2α ).
Exercise 24. Prove that
PM 2
1. n=1 (2n − 1) = M
PM −2α
2. n=2 O((2n − 1)(n − 1) ) = O(M 2−2α ) for 0 < α < 1.
Combining these two estimates we may conclude from (7.12) that there is C > 0
such that Z π
1
|f (x + h) − f (x)|2 dx ≤ C h2 M 2−2α + M −2α .
2π −π
Since 0 < α < 1 then choosing M = [1/|h|] we obtain
Z π
1
|f (x + h) − f (x)|2 dx ≤ C h2 [1/|h|]2−2α + [1/|h|]−2α
2π −π
≤ C h2 (1/|h|)2−2α + (1/|h| − {1/|h|})−2α
≤ C |h|2α + (1/|h| − 1)−2α
= C |h|2α + |h|2α /(1 − |h|)2α ≤ C|h|2α
29
if |h| ≤ 1/2. Here {1/|h|} denotes the fractional part of 1/|h| i.e. {1/|h|} = 1/|h| −
[1/|h|] ∈ [0, 1).
Conversely, if (7.11) holds then
∞
X
(1 − cos(nh))|cn (f )|2 ≤ Ch2α
n=−∞
with some C > 0. Integrating this inequality with respect to h over the interval
[0, l], l > 0 we have
∞
X Z l Z l
2
|cn (f )| (1 − cos(nh))dh ≤ C h2α dh
n=−∞ 0 0
or ∞
X sin(nl)
2
|cn (f )| l− ≤ Cl2α+1
n=−∞
n
or ∞
X sin(nl)
2
|cn (f )| 1− ≤ Cl2α .
n=−∞
nl
It follows that
X
2α 2 sin(nl) 1 X
Cl ≥ |cn (f )| 1− ≥ |cn (f )|2 . (7.13)
nl 2
|n|l≥2 |n|l≥2
30
For any integrable function f periodic on the interval [−π, π] let us introduce the
mapping
f 7→ {cn (f )}∞
n=−∞ ,
31
8 Besov and Hölder spaces
In this chapter we will consider 2π-periodic functions f which are defined via trigono-
metric Fourier series in L2 (−π, π) as
∞
X
f (x) ∼ cn (f )einx , (8.1)
n=−∞
We will introduce new spaces of functions (that are actually subspaces of L2 (−π, π))
in terms of Fourier coefficients. The motivation of such approach is the following: we
proved (see Theorem 7 and Exercise 25) that periodic f belongs to W21 (−π, π) if and
only if
X∞
|n|2 |cn (f )|2 < ∞.
n=−∞
W2α (−π, π)
for some α ≥ 0 if
∞
X
|n|2α |cn (f )|2 < ∞. (8.4)
n=−∞
32
Definition 8.3. We say that a 2π-periodic function f belongs to Nikol’skii space
H2α (−π, π)
for some α ≥ 0 if X
sup |n|2α |cn (f )|2 < ∞. (8.6)
j=0,1,2,...
2j ≤|n|<2j+1
Definition 8.4 (See also Definition 1.6). 1. We say that a 2π-periodic function f
α
belongs to Hölder space C [−π, π] for some non-integer α > 0 if f is continuous
on the interval [−π, π], there is a continuous derivative f (k) of order k = [α] on
the interval [−π, π] and for all h 6= 0 small enough, we have
sup |f (k) (x + h) − f (k) (x)| ≤ C|h|α−k , (8.7)
x∈[−π,π]
with some integer k ≥ 0 and some 0 < α < 1 then f belongs to Hölder space
C k+α [−π, π].
The definitions 8.1-8.3 imply the following equalities and imbeddings:
α
1. B2,2 (−π, π) = W2α (−π, π), α ≥ 0.
2. W20 (−π, π) = L2 (−π, π).
α α
3. B2,1 (−π, π) ⊂ B2,θ (−π, π) ⊂ H2α (−π, π), α ≥ 0, 1 ≤ θ < ∞.
0
4. B2,θ (−π, π) ⊂ L2 (−π, π), 1 ≤ θ ≤ 2 and L2 (−π, π) ⊂ B2,θ
0
(−π, π), 2 ≤ θ < ∞.
5. L2 (−π, π) ⊂ H20 (−π, π).
Exercise 26. Prove imbeddings 3, 4 and 5.
More imbeddings are formulated in the following theorems.
Theorem 9. If α ≥ 0 then
33
Proof. Let us prove the first claim only for integer α ≥ 0. If α = 0 then
C[−π, π] ⊂ L2 (−π, π) = W20 (−π, π).
If α = k > 0 is an integer then Definition 8.4 implies that
Z π
1
|f (k−1) (x + h) − f (k−1) (x)|2 dx ≤ Ch2 .
2π −π
Using Parseval equality we obtain
∞
X
|n|2k−2 |cn (f )|2 |einh − 1|2 ≤ Ch2
n=−∞
or ∞
X
4 |n|2k−2 |cn (f )|2 sin2 (nh/2)) ≤ Ch2 .
n=−∞
It follows that X
|n|2k−2 |cn (f )|2 n2 h2 ≤ Ch2
|nh|≤2
or X
|n|2k |cn (f )|2 ≤ C.
|n|≤2/|h|
Letting h → 0 yields
∞
X
|n|2k |cn (f )|2 ≤ C
n=−∞
i.e. f ∈ W2k (−π, π). For non-integer α one needs to use interpolation between the
spaces C [−π, π] and C [α]+1 [−π, π].
[α]
Now let us consider the second claim. As above, for f ∈ C α [−π, π], we have
Z π
1
|f (k) (x + h) − f (k) (x)|2 dx ≤ C|h|2(α−k) ,
2π −π
where k = [α] if α is not an integer and k = α − 1 if α is an integer. By Parseval
equality,
∞
X
|n|2k |cn (f )|2 |einh − 1|2 ≤ C|h|2(α−k)
n=−∞
or ∞
X
2 |n|2k |cn (f )|2 (1 − cos(nh)) ≤ C|h|2(α−k) .
n=−∞
It suffices to consider h > 0. If we integrate the last inequality with respect to h > 0
from 0 to l then ∞
X sin(nl)
2k 2
|n| |cn (f )| 1 − ≤ Cl2(α−k) .
n=−∞
nl
34
For 1 ≤ |n|l ≤ 2 we obtain
X
|n|2k |cn (f )|2 ≤ Cl2(α−k)
1≤|n|l≤2
or, equivalently, X
|n|2k l2(k−α) |cn (f )|2 ≤ C,
1≤|n|l≤2
where constant C > 0 does not depend on l. Since 2(k − α) < 0 then it follows that
X
|n|2α |cn (f )|2 ≤ C
1/l≤|n|≤2/l
Theorem 10. Assume that α > 1/2 and that α − 1/2 is not an integer. Then
Proof. Let k = [α] so that α = k + {α}, where {α} denotes the fractional part of α.
Note that, in general, 0 ≤ {α} < 1 and in this theorem {α} 6= 1/2. We will assume
first that {α} = 0, i.e. α = k is integer and k ≥ 1. If f ∈ H2k (−π, π) then there is a
constant C > 0 such that
X
|m|2k |cm (f )|2 ≤ C (8.10)
2j ≤|m|<2j+1
35
Here and throughout, 2j0 ∼ n means that 2j0 ≤ n < 2j0 +1 . Therefore, we obtain
X
|m|k−1 |cm (f )| ≤ Cn−1/2 ,
|m|≥n
where the constant C > 0 is independent of n. It means that (see (8.8)) f belongs to
C k−1+1/2 [−π, π] = C k−1/2 [−π, π].
If α > 1/2 is not an integer and α − 1/2 is not an integer then for f ∈ H2α (−π, π)
we have instead of (8.10) the estimate
X
|m|2k+2{α} |cm (f )|2 ≤ C, (8.11)
2j ≤|m|<2j+1
where k = [α], 0 < {α} < 1 and {α} 6= 1/2. If k = 0 then 1/2 < α = {α} < 1.
Repeating now the above procedure we obtain easily
1/2 1/2
X ∞
X X X
|cm (f )| ≤ |m|2α |cm (f )|2 |m|−2α
|m|≥n j=j0 2j ≤|m|<2j+1 2j ≤|m|<2j+1
2j0 ∼n
1/2
∞
X X ∞
X
≤ C |m| −2α
≤C 2−(α−1/2)j ≤ Cn−(α−1/2)
j=j0 2j ≤|m|<2j+1 j=j0
2j0 ∼n 2j0 ∼n
This means again that f ∈ C k−1+1/2+{α} [−π, π] = C α−1/2 [−π, π]. In the second case
1/2 < {α} < 1 we proceed as follows:
1/2 1/2
X ∞
X X X
|m|k |cm (f )| ≤ |m|2k+2{α} |cm (f )|2 |m|−2{α}
|m|≥n j=j0 2j ≤|m|<2j+1 2j ≤|m|<2j+1
2j0 ∼n
∞
X
≤C 2−({α}−1/2)j ≤ Cn−{α}+1/2 .
j=j0
2j0 ∼n
36
It means that f ∈ C k+{α}−1/2 [−π, π] = C α−1/2 [−π, π]. Hence, this theorem is com-
pletely proved.
Corollary 1. Assume that α = k + 1/2 for some integer k ≥ 1. Then
H2α (−π, π) ⊂ C β−1/2 [−π, π] (8.12)
for any 1/2 < β < α.
Corollary 2. Assume that α > 1/2 and α − 1/2 is not an integer. Then
α
B2,θ (−π, π) ⊂ C α−1/2 [−π, π]
for any 1 ≤ θ < ∞.
Exercise 27. Prove Corollaries 1 and 2.
Exercise 28. Prove that the Fourier series (8.1) with coefficients
1
cn (f ) = , n 6= 0, c0 (f ) = 1
|n| log(1 + |n|)
1/2
defines a function from Besov space B2,θ (−π, π) for any 1 < θ < ∞ but not for θ = 1.
Exercise 29. Prove that the Fourier series (8.1) with coefficients
1
cn (f ) = , n 6= 0, c0 (f ) = 1
|n|3/2 log(1 + |n|)
1
defines a function from Besov space B2,θ (−π, π) for any 1 < θ < ∞ but not for θ = 1.
Exercise 30. Consider the Fourier series (8.1) with coefficients
1
cn (f ) = β
, n 6= 0, c0 (f ) = 1.
|n|2 log (1 + |n|)
Prove that
3/2
1. f ∈ H2 (−π, π) if β ≥ 0
3/2
2. f ∈ W2 (−π, π) if β > 1/2
3. f ∈ C 1 [−π, π] if β > 1 but f ∈
/ C 1 [−π, π] if β ≤ 1.
Exercise 31. Let ∞
X
ak cos(bk x)
k=0
be a trigonometric series, where b = 2, 3, . . . and 0 < a < 1. Prove that the series
defines a function from C 1 [−π, π] if 0 < ab < 1 and a function from Hölder space
C γ [−π, π], γ < 1 if ab = 1.
Exercise 32. Assume that a = 1/b2 in Exercise 31. Is it true that f ∈ C 1 [−π, π]?
37
9 Absolute convergence. Bernstein and Peetre the-
orems.
We prove first that if 2π-periodic function f belongs to Nikol’skii space H2α (−π, π) for
some 0 < α < 1 in the sense of Definition 8.3 then it is equivalent to the L2 -Hölder
condition of order α, i.e.
Z π
1
|f (x + h) − f (x)|2 dx ≤ K|h|2α (9.1)
2π −π
with some constant K > 0 and for all h 6= 0 small enough. Indeed, due to Parseval
equality we have
Z π ∞
X
1 2
|f (x + h) − f (x)| dx = |cn (f )|2 |einh − 1|2
2π −π n=−∞
X X
≤ |n|2 |h|2 |cn (f )|2 + 4 |cn (f )|2 , (9.2)
|n|≤2j0 |n|≥2j0
1
where j0 is chosen so that 2j0 ≤ |h|
≤ 2j0 +1 . The first sum on the right-hand side of
(9.2) is estimated from above as
j0
X X X
2 2 2 2
|h| |n| |cn (f )| ≤ |h| |n|2 |cn (f )|2
|n|≤2j0 j=0 2j ≤|n|<2j+1
j0
X 2−2α X
2
≤ |h| 2j+1 |n|2α |cn (f )|2
j=0 2j ≤|n|<2j+1
j0 j +2
X j+1 (22−2α ) 0 − 22−2α
2
≤ C|h| 22−2α = C|h|2
j=0
22−2α − 1
2−2α
2−2α 1
≤ C|h|2 2j0 ≤ C|h| 2
= C|h|2α (9.3)
|h|
if 0 < α < 1. We have used this condition for α since we considered geometric
progression with multiplier 22−2α 6= 1. The second sum on the right-hand side of (9.2)
is estimated from above as
∞
X X ∞
X X
2α −2α 2
4 |n| |n| |cn (f )| ≤ 4 2−2αj |n|2α |cn (f )|2
j=j0 2j ≤|n|<2j+1 j=j0 2j ≤|n|<2j+1
∞
X
≤ C 2−2αj ≤ C2−2j0 α ≤ C(2|h|)2α ≤ C|h|2α
j=j0
1
since |h| ≤ 2j0 +1 and the criterion of Definition 8.3 holds. Thus, (9.1) is proved.
Conversely, if the L2 -Hölder condition (9.1) is fulfilled then Theorem 8 implies for each
38
N = 1, 2, . . . the inequality X
|cn (f )|2 ≤ CN −2α
|n|≥N
where the constant C is independent of N . Thus, we obtain for any integer N > 0
that X
|n|2α |cn (f )|2 ≤ C.
N ≤|n|<2N
Since N is arbitrary we may conclude that f ∈ H2α (−π, π) for 0 < α ≤ 1 in the sense
of Definition 8.3. Therefore, the L2 -Hölder condition (9.1) can be considered as an
equivalent definition of Nikol’skii space H2α (−π, π) for 0 < α < 1.
Exercise 33. Prove that if f belongs to Nikol’skii space H2α (−π, π) for any non-integer
α > 0 in the sense of Definition 8.3 then the following L2 -Hölder condition holds:
Z π
1
|f (k) (x + h) − f (k) (x)|2 dx ≤ K|h|2α−2k
2π −π
with some constant K > 0 and k = [α].
Theorem 11 (Bernstein, 1914). Assume that 2π-periodic function f satisfies the L2 -
Hölder condition with 1/2 < α ≤ 1. Then its trigonometric Fourier series converges
absolutely, i.e.
X∞
|cn (f )| < ∞.
n=−∞
Proof. Since the L -Hölder condition (9.1) is equivalent to f ∈ H2α (−π, π) for 0 < α < 1
2
39
Corollary. Theorem 11 holds for spaces C α [−π, π], B2,θ
α
(−π, π) and H2α (−π, π) for any
α > 1/2 and 1 ≤ θ < ∞.
Exercise 34. Prove this Corollary.
Theorem 12 (Peetre, 1967). Assume that 2π-periodic function f belongs to Besov
1/2
space B2,1 (−π, π). Then its trigonometric Fourier series converges absolutely.
1/2
Proof. If f ∈ B2,1 (−π, π) then
1/2
∞
X X
|n||cn (f )|2 < ∞. (9.5)
j=0 2j ≤|n|<2j+1
Hence we have
∞
X ∞
X X
|cn (f )| = |c0 (f )| + |n|1/2 |cn (f )||n|−1/2
n=−∞ j=0 2j ≤|n|<2j+1
1/2 1/2
∞
X X X
≤ |c0 (f )| + |n||cn (f )|2 |n|−1
j=0 2j ≤|n|<2j+1 2j ≤|n|<2j+1
1/2
∞
X X 1/2
≤ |c0 (f )| + |n||cn (f )|2 2−j 2j
j=0 2j ≤|n|<2j+1
1/2
∞
X X
= |c0 (f )| + |n||cn (f )|2 <∞
j=0 2j ≤|n|<2j+1
does not hold for 1 < θ < ∞ by considering the function from Exercise 28.
Exercise 36. Prove that
1/2
H2α (−π, π) ⊂ B2,1 (−π, π)
if α > 1/2.
Theorem 13. Assume that 2π-periodic function f belongs to Sobolev space Wp1 (−π, π)
with some 1 < p < ∞. Then its trigonometric Fourier series converges absolutely.
40
Proof. Since
Wp11 (−π, π) ⊂ Wp12 (−π, π)
for 1 ≤ p2 < p1 , then we may assume without loss of generality that f ∈ Wp1 (−π, π)
with 1 < p ≤ 2. Then there is a function g ∈ Lp (−π, π) with 1 < p ≤ 2 such that
Z x Z π
f (x) = g(t)dt + f (−π), g(t)dt = 0. (9.6)
−π −π
∞
!1/p′
X
p′
|cn (g)| < ∞, (9.7)
n=−∞
1 1
where p
+ p′
= 1. The facts (9.6), (9.7) and Hölder’s inequality imply that
∞
!1/p !1/p′
X X 1 X 1 X
p′
|cn (f )| = |c0 (f )|+ |cn (g)| ≤ |c0 (f )|+ |cn (g)| <∞
n=−∞ n6=0
|n| n6=0
|n|p n6=0
belongs to Sobolev space W11 (−π, π), is continuous on the interval [−π, π] but its
trigonometric Fourier series (9.8) diverges absolutely.
The next theorem is due to Zigmund (1958–1959).
Theorem 14. Suppose that f ∈ W11 (−π, π) ∩ C α [−π, π] with some 0 < α < 1. Then
its trigonometric Fourier series converges absolutely.
41
where integer N is chosen so that N |h| ≤ 1 for h 6= 0 small enough. We choose
N = [1/|h|]. Since f ∈ C α [−π, π] the right-hand side of (9.9) can be estimted as
Z π N
X
1
|f (x + kh) − f (x + (k − 1)h)|2 dx
2πN −π k=1
Z π N
X
C|h|α
≤ |f (x + kh) − f (x + (k − 1)h)|dx
2πN −π k=1
C|h|α −π π
C|h|α
≤ V−π−1 (f ) + V−π (f ) + Vππ+1 (f ) 2π ≤
2πN N
C|h|α C|h|α C|h|α C|h|α+1
= = ≤ = ≤ C|h|α+1
[1/|h|] 1/|h| − {1/|h|} 1/|h| − 1 1 − |h|
α+1
if |h| ≤ 1/2. This inequality means (see (9.9)) that f ∈ H2 2 (−π, π) with α+1
2
> 1/2
for α > 0. Using Bernstein’s theorem we may conclude that this theorem is proved.
1/2
Prove that f belongs to Nikol’skii space H2 (−π, π) but its trigonometric Fourier
series is not absolutely convergent.
Exercise 38. Let (periodic) f be defined by the absolutely convergent Fourier series
X∞
eikx
f (x) := 3/2
.
k=1
k
for 0 < |h| < 1, that is, (9.1) does not hold for α = 1.
1
2. Show that f does not belong to Besov space B2,θ (−π, π) for any 1 ≤ θ < ∞.
42
10 Dirichlet kernel. Pointwise and uniform conver-
gence.
The material of this chapter makes a central part of the theory of trigonometric Fourier
series. In this chapter we will give an answer to the question: to which value the
trigonometric Fourier series converges?
The Dirichlet kernel DN (x) which is defined by symmetric finite trigonometric sum
X
DN (x) := einx (10.1)
|n|≤N
plays the key role in this chapter. If x ∈ [−π, π] \ {0} then DN (x) from (10.1) can be
recalculated as follows. Using Euler’s formula we have
N
X N
X 2N
X 1 − ei(2N +1)x
DN (x) = einx = e−iN x ei(n+N )x = e−iN x eikx = e−iN x
n=−N n=−N k=0
1 − eix
−iN x i(N +1)x i(N +1/2)x −i(N +1/2)x
e −e e −e sin(N + 1/2)x
= = = .
1 − eix eix/2 − e−ix/2 sin x/2
sin(N + 1/2)x
DN (x) = , x 6= 0. (10.2)
sin x/2
For x = 0 we have
DN (0) = 2N + 1 = lim DN (x),
x→0
43
Hence, if f is periodic and integrable then the partial sum (10.3) can be rewritten as
(see Exercise 12)
∞
X Z π
inx 1
SN f (x) = cn (DN )cn (f )e = (f ∗ DN )(x) = DN (x − y)f (y)dy
n=−∞
2π −π
Z π Z π
1 1 sin(N + 1/2)y
= DN (y)f (x + y)dy = f (x + y) dy. (10.4)
2π −π 2π −π sin y/2
Show that
1
1. (SN f )′ (x) = 2π
(DN (x) − 1)
3. limN →∞ SN f (0) = 0.
Since the Dirichlet kernel is an even function (see (10.2)) we can rewrite (10.4) as
Z π
1 sin(N + 1/2)y
SN f (x) = (f (x + y) + f (x − y)) dy. (10.5)
2π 0 sin y/2
Using the normalization of the Dirichlet kernel (see Exercise 39) we have for any
function S(x) that
Z π
1 sin(N + 1/2)y
SN f (x) − S(x) = (f (x + y) + f (x − y) − 2S(x)) dy. (10.6)
2π 0 sin y/2
Our task is to define S(x) so that the limit of the right-hand side of (10.6) is equal to
zero. We will simplify the problem into two steps. The first simplification is connected
with
44
Proof. First we show that
z |z|3
sin z/2 − ≤ (10.8)
2 48
for all z ∈ [−π, π]. In order to prove this inequality it is enough to show that
x3
0 < x − sin x <
6
for all 0 < x < π/2. The left inequality is well-known. To prove the right inequality
we introduce h(x) as
h(x) = x − sin x − x3 /6.
Then its derivative satisfies
for all 0 < x < π/2. Thus, h(x) is monotone decreasing on the interval [0, π/2]. It
implies that
0 = h(0) > h(x) = x − sin x − x3 /6
for all 0 < x < π/2. This proves (10.8) which in turn yields
1 2 2 |z/2 − sin(z/2)| |z|3 /24 |z|3 /24 π|z| π2
− = ≤ ≤ ≤ ≤
sin z/2 z |z|| sin(z/2)| |z|| sin(z/2)| |z||z|/π 24 24
since | sin z/2| ≥ |z|/π for all z ∈ [−π, π]. This finishes the proof.
As an immediate corollary of Lemma 10.1 we obtain for any periodic and integrable
function f that the function
1 2
y 7→ (f (x + y) + f (x − y) − 2S(x)) −
sin y/2 y
45
pointwise in x ∈ [−π, π] and even uniformly in x ∈ [−π, π] if S(x) is bounded on the
interval [−π, π].
Thus, we have reduced the question of pointwise or uniform convergence in (10.6)
to proving that
Z π
sin(N + 1/2)y
lim (f (x + y) + f (x − y) − 2S(x)) dy = 0 (10.10)
N →∞ 0 y
pointwise or uniformly in x ∈ [−π, π].
For the second simplification we consider the contribution to (10.10) from the in-
terval 0 < δ ≤ y ≤ π. Note that the function
f (x + y) + f (x − y) − 2S(x)
y
is integrable in y on the interval [δ, π] uniformly in x ∈ [−π, π] if S(x) is bounded.
Hence, by the Riemann-Lebesgue lemma this contribution tends to zero when N → ∞.
We summarize these two simplifications as
Z
1 δ sin(N + 1/2)y
SN f (x) − S(x) = (f (x + y) + f (x − y) − 2S(x)) dy + oN (1)
π 0 y
(10.11)
pointwise or uniformly in x ∈ [−π, π].
Let us assume now that f is a piecewise continuous periodic function. The ques-
tion is: to which values of S(x) in (10.11) the trigonometric Fourier partial sum may
converge? The second part of Theorem 3 shows that the Fejér means converge to
1
lim σN f (x) = (f (x + 0) + f (x − 0))
N →∞ 2
for any x ∈ [−π, π] pointwise. But since
PN
Sj f (x)
j=0
σN f (x) =
N +1
then SN f (x) may converge (if it converges) only to the value
1
(f (x + 0) + f (x − 0)) .
2
We can obtain some sufficient conditions when the limit in (10.11) exists.
Theorem 15. Suppose that S(x) is chosen so that
Z δ
|f (x + y) + f (x − y) − 2S(x)|
dy < ∞ (10.12)
0 y
pointwise or uniformly in x ∈ [−π, π]. Then
lim SN f (x) = S(x) (10.13)
N →∞
46
Proof. The claim follows immediately from (10.11) and Riemann-Lebesgue lemma.
Remark. If in (10.13) we have uniform convergence then S(x) must necessarily be
periodic (S(−π) = S(π)) and continuous on the interval [−π, π].
Corollary. Suppose periodic f belongs to Hölder space C α [−π, π] for some 0 < α ≤ 1.
Then
lim SN f (x) = f (x)
N →∞
for 0 < y < δ. It means that the condition (10.12) holds with S(x) = f (x) uniformly
in x ∈ [−π, π]. Thus, this corollary follows.
47
For fixed x we have from (10.11) and (10.16) that
Z
1 δ
SN f (x) − S(x) = F (y)G′N (y)dy + oN (1).
π 0
Here integration by parts gives
Z δ
1 δ
SN f (x) − S(x) = F (y)GN (y)|0 − GN (y)dF (y) + oN (1)
π 0
Z δ
1
= F (δ)GN (δ) − GN (y)dF (y) + oN (1), (10.18)
π 0
where the last integral is well-defined as the Stieltjes integral with respect to function
F (y) of bounded variation and continuous function GN (y). Since the limit (10.17)
holds and GN (y) is continuous, we can consider the limit in (10.18) when N → ∞.
Hence, we obtain
Z
1 π π δ 1
lim (SN f (x) − S(x)) = F (δ) − dF (y) = (F (δ) − F (δ) + F (0)) = 0.
N →∞ π 2 2 0 2
This finishes the proof.
Corollary. If f is periodic and belongs to Sobolev space W11 (−π, π) then its trigono-
metric Fourier series converges pointwise to f (x) everywhere.
Proof. Since f ∈ W11 (−π, π) then it is of bounded variation and continuous on the
interval [−π, π]. In this case the value S(x) from (10.15) equals f (x) at any point
x ∈ [−π, π]. Thus,
lim SN f (x) = f (x)
N →∞
48
We can return now to the question of term by term integration of the trigonometric
Fourier series.
Theorem 17. Suppose f belongs to L1 (−π, π). Then
Z b Z b
lim SN f (x)dx = f (x)dx
N →∞ a a
It is clear that F (x) belongs to Sobolev space W11 (−π, π) with F (−π) = F (π) = 0
(periodicity) and
F ′ (x) = f (x) − c0 (f ).
This implies
cn (F ′ ) = incn (F ) = cn (f ), n 6= 0, c0 (F ′ ) = 0.
Corollary of Theorem 16 gives us that F (x) has everywhere convergent trigonometric
Fourier series
X cn (f )
F (x) = c0 (F ) + einx . (10.20)
n6=0
in
49
Corollary 1. If f ∈ L1 (−π, π) then the series
X cn (f ) X cn (f )(−1)n
and (10.21)
n6=0
n n6=0
n
converge.
Proof. Follows from (10.20).
Corollary 2. The series
X∞
sin(nx)
n=1
log(1 + n)
is not a Fourier series of an L1 -function.
Proof. Let us assume on the contrary that there is f ∈ L1 (−π, π) such that
X∞ ∞ ∞
sin(nx) 1 X einx 1 X e−inx
f (x) ∼ = −
n=1
log(1 + n) 2i n=1 log(1 + n) 2i n=1 log(1 + n)
∞ −∞
1 X einx 1 X sgn(n)einx 1 X sgn(n)einx
= + =
2i n=1 log(1 + n) 2i n=−1 log(1 + |n|) 2i n6=0 log(1 + |n|)
i.e. we have
1 sgn(n)
cn (f ) = , n 6= 0, c0 (f ) = 0.
2i log(1 + |n|)
Since cn (f ) = −c−n (f ) then this trigonometric Fourier series can be interpreted as the
Fourier series of some odd L1 -function. Then Corollary 1 of Theorem 17 implies that
X ∞
sgn(n) 1X 1
=
n6=0
2in log(1 + |n|) i n=1 n log(1 + n)
must be convergent. But this is not true. This contradiction proves this corollary.
Remark. If we define the function f by the series in Corollary 2 then it turns out that
Z π Z π
f (x)dx = 0, |f (x)|dx = +∞.
−π −π
The Corollary of Theorem 15 shows us that this series converges to Pr (x) uniformly in
x ∈ [−π, π].
50
Theorem 18. Suppose that f ∈ C[−π, π] is periodic. Then
lim (Pr ∗ f )(x) = f (x) (10.22)
r→1−
uniformly in x ∈ [−π, π] or
∞
X
lim r|n| cn (f )einx = f (x) (10.23)
r→1−
n=−∞
we have
Z π
1
(Pr ∗ f )(x) − f (x) = Pr (y)(f (x − y) − f (x))dy
2π −π
Z
1
= Pr (y)(f (x − y) − f (x))dy
2π |y|≤δ
Z
1
+ Pr (y)(f (x − y) − f (x))dy := I1 + I2 .
2π δ≤|y|≤π
Since f is continuous on [−π, π] then I1 can be estimated as
Z π
1
|I1 | ≤ sup |f (x − y) − f (x)| Pr (y)dy = sup |f (x − y) − f (x)| → 0
x∈[−π,π],|y|≤δ 2π −π x∈[−π,π],|y|≤δ
uniformly in x ∈ [−π, π]. The equality (10.23) follows from this fact and Exercise 12.
This completes the proof.
51
We will prove now the well-known Hardy’s theorem and then apply it to the uniform
convergence of the trigonometric sum SN f (x).
Theorem 19 (Hardy, 1949). Let {ak }∞
k=0 be a sequence of complex numbers such that
k|ak | ≤ M, k = 0, 1, 2, . . . , (10.24)
exists then
lim (σn − sn ) = 0,
n→∞
Pn
where sn = j=0 aj , i.e. also
lim sn = a. (10.26)
n→∞
Indeed,
m
X
(m + 1)σm − (n + 1)σn − (m + 1 − j)aj
j=n+1
m
X n
X m
X
= (m + 1 − j)aj − (n + 1 − j)aj − (m + 1 − j)aj
j=0 j=0 j=n+1
X n X n Xn
= (m + 1 − j)aj − (n + 1 − j)aj = (m − n)aj = (m − n)sn .
j=0 j=0 j=0
That’s why,
m
X
(m + 1)σm − (n + 1)σn − (m + 1 − j)aj − (m − n)σn = (m − n)sn − (m − n)σn
j=n+1
or, equivalently,
m
X
m(σm − σn ) + (σm − σn ) − (m + 1 − j)aj = (m − n)(sn − σn )
j=n+1
52
i.e. m
m+1 m+1 X j
(σm − σn ) − 1− aj = s n − σ n .
m−n m − n j=n+1 m+1
Let m > n → ∞ such that m/n ∼ 1 + δ (i.e. limm,n→∞ m/n = 1 + δ) with some
positive δ to be chosen. Since σm is a Cauchy sequence by (10.25) then
m+1
(σm − σn ) → 0, m > n → ∞.
m−n
At the same time, the condition (10.24) implies that
m m
m + 1 X j m+1 X j M
1− aj ≤ 1−
m − n m+1 m − n j=n+1 m+1 j
j=n+1
Xm
1 1
∼ M (1 + 1/δ) −
j=n+1
j m+1
m
!
X 1 m−n
= M (1 + 1/δ) −
j=n+1
j m+1
Z m
1 m−n
≤ M (1 + 1/δ) dξ −
n ξ m+1
m m−n
= M (1 + 1/δ) log −
n m+1
δ
∼ M (1 + 1/δ) log(1 + δ) −
1 + δ + 1/n
∼ M (1 + 1/δ) δ − δ /2 + o(δ 2 ) − δ(1 − δ + O(δ 2 ))
2
= M (1 + 1/δ) δ 2 /2 + o(δ 2 ) ≤ 2M δ
if δ is chosen small enough. Since δ is arbitrary we may conclude that also the second
term converges to zero. This proves the theorem.
Corollary 1. Suppose that f ∈ C[−π, π] is periodic and that its Fourier coefficients
satisfy
M
|cn (f )| ≤ , n 6= 0
|n|
with positive constant M which does not depend on n. Then the trigonometric Fourier
series of f converges to f uniformly in x ∈ [−π, π].
Proof. Since f ∈ C[−π, π] is periodic then Theorem 3 gives the convergence of Fejér
means
lim σN f (x) = f (x)
N →∞
53
Then n
X
sn ≡ ak (x) = SN f (x)
k=0
and n n
1 X 1 X
σn f (x) = Sk f (x) = sk .
n + 1 k=0 n + 1 k=0
Thus, we are in the frame of Hardy’s theorem because
2M
|ak (x)| ≤ , k = 1, 2, . . . .
k
Since this inequality is uniform in x ∈ [−π, π] applying Hardy’s theorem we obtain
that
lim sN ≡ lim SN f (x) = f (x)
N →∞ N →∞
Thus, f ′ = g and
cn (g) = incn (f )
or, equivalently,
cn (g) M
|cn (f )| = ≤ , n 6= 0.
in |n|
Due to imbedding (see Lemma 1.3) the function f is continuous on the interval [−π, π].
Using again Hardy’s theorem we obtain
54
and ∞
X cos(nx)
f2 (x) = . (10.28)
n=1
n log(1 + n)
These functions are well-defined for all x ∈ [−π, π] \ {0}, see Theorem 1. In addition,
f1 (0) = 0 whereas f2 (0) is not defined since the series (10.28) diverges at zero. We will
show that f2 (x) does not belong to W11 (−π, π) but f1 (x) does.
If we assume on the contrary that f2 ∈ W11 (−π, π) then its derivative f2′ has the
Fourier series ∞
X sin(nx)
f2′ (x) ∼ − .
n=1
log(1 + n)
But due to Corollary 2 of Theorem 17 this is not a Fourier series of an L1 -function.
This contradiction proves that f2 6∈ W11 (−π, π).
Concerning the series (10.27) let us prove first that it converges uniformly in x ∈
[−π, π] i.e. f1 (x) is (at least) continuous on the interval [−π, π]. Indeed, by summation
by parts we obtain for 0 ≤ M < N that
N N n n−1
!
X sin(nx) X 1 X X
= sin(kx) − sin(kx)
n=M +1
n log(1 + n) n=M +1 n log(1 + n) k=1 k=1
sin(N x) sin(M x)
= −
N log(1 + N ) M log(1 + M )
N n
!
X X 1 1
− sin(kx) − . (10.29)
n=M +1 k=1
(n + 1) log(2 + n) n log(1 + n)
The first two terms on the right-hand side of (10.29) converge to zero as N > M → ∞
uniformly in x ∈ [−π, π]. The sum on the right-hand side of (10.29) becomes, using
(10.30),
N
X sin(nx/2) sin((n + 1)x/2) n log 2+n
1+n
+ log(2 + n)
−
n=M +1
sin x/2 n(n + 1) log(1 + n) log(2 + n)
XN 2+n
sin(nx/2) sin((n + 1)x/2) log 1+n
=−
n=M +1
sin x/2 (n + 1) log(1 + n) log(2 + n)
XN
sin(nx/2) sin((n + 1)x/2) 1
− = I1 + I2 .
n=M +1
sin x/2 n(n + 1) log(1 + n)
55
Let us consider two cases: n|x| < 1 and n|x| > 1. In the first case,
sin(nx/2) sin((n + 1)x/2) n|x|/2 · 1 πn
≤ = .
sin x/2 |x|/π 2
Then
[ |x|
1
] [ |x|
1
]
π X n log (1 + 1/(n + 1)) π X n n1
|I1 | ≤ <
2 n=M +1 (n + 1) log(1 + n) log(2 + n) 2 n=M +1 n log2 n
∞
π X 1
< →0 (10.31)
2 n=M +1 n log2 n
Then
N
X XN
n log (1 + 1/(n + 1)) n n1
|I1 | ≤ π <π
(n + 1) log(1 + n) log(2 + n) n log2 n
n=[ |x|
1
] n= [ |x| ]
1
X ∞
1
< π → 0, M → ∞ (10.33)
n log2 n
n=[ |x| ]≥M
1
56
uniformly in x. For I2 we have, by integration by parts,
N
X Z ∞
1 1 1 dt
|I2 | ≤ 2
≤π 2
| sin x/2| n log n |x| [ |x|
1
]≥M t log t
n=[ |x|
1
]+1
∞ Z ∞ !
1 1 dt
= π − +
|x| t log t [ 1 ]≥M [ |x|
1 2
]≥M t log t
2
|x|
Z ∞ !
1/|x| 1 dt
= π + 2
[1/|x|] log[1/|x|] |x| [ |x| 1 2
]≥M t log t
Z
[1/|x|] + 1 [1/|x|] + 1 ∞ dt
< π + 2
[1/|x|] log[1/|x|] [1/|x|] M t log t
1 + 1/M 1 + 1/M
≤ π + → 0, M → ∞ (10.34)
log M log M
uniformly in x. Finally, we may conclude that the trigonometric Fourier series (10.27)
converges uniformly on the interval [−π, π] and therefore it defines continuous function
f1 (x). This series, as well as (10.28), can be differentiated term by term for π ≥ |x| ≥
δ > 0 because the series ∞
X cos(nx)
n=1
log(1 + n)
converges uniformly (see Corollary of Theorem 1) for π ≥ |x| ≥ δ > 0. It means that
for this interval f1 (x) belongs to C 1 . Thus, it remains to investigate the behaviour
of the series (10.27) when x → 0+. But the estimates (10.31)-(10.34) show us that
(if we choose M ≍ 1/x, x → 0+) the function f1 (x) from (10.27) has the asymptotic
behaviour
C
f1 (x) ∼ . (10.35)
log x
It is possible to prove (see Zigmund: Trigonometric series, Vol. I, Chapter V, formula
(2.19)) that the asymptotic (10.35) can be differentiated and we obtain
C
f1′ (x) ∼ − .
x log2 x
This singularity is integrable at zero. Thus, the function f1 (x) belongs to W11 (−π, π).
Exercise 45. Prove that the series (10.27) and (10.28) do not converge absolutely.
57
11 Formulation of discrete Fourier transform and
its properties.
Let x(t) be 2π-periodic continuous signal. Assume that x(t) can be represented by an
absolutely convergent trigonometric Fourier series
∞
X
x(t) = cm eimt , t ∈ [−π, π], (11.1)
m=−∞
Since ei2πkl = 1 for integers k and l then the series (11.2) can be rewritten as
∞
X ∞
X X
i 2πk (m−lN ) 2πk
cm e N = cm e i N
(m−lN )
l=−∞ n=−N/2
N/2−1 ∞ N/2−1
X X X
i 2πk n 2πk
= e N cn+lN = ei N
n
Xn , (11.3)
n=−N/2 l=−∞ n=−N/2
In the calculation (11.3) we have used the fact that the series (11.1) converges abso-
lutely. Combining (11.2) and (11.3) we obtain
N/2−1
X 2πkn
xk := x(tk ) = Xn e i N . (11.5)
n=−N/2
58
The formula (11.5) can be viewed as an inverse discrete Fourier transform and it
appeared quite naturally in the discretization of a continuous periodic signal. Moreover,
the formula (11.4) becomes the main property of this approach. Since
N/2−1
(
X 0, k − m 6= 0, ±N, ±2N, . . .
i(k−m) 2πn
e N = (11.6)
n=−N/2
N, k − m = 0, ±N, ±2N, . . .
then we can solve the linear system (11.5) with respect to Xn for n = −N/2, . . . , N/2−1
and obtain
N/2−1
1 X 2πkn
Xn = xk e−i N . (11.7)
N
k=−N/2
Actually, the formulas (11.5) and (11.7) give us the inverse and direct discrete
Fourier transforms, respectively.
N/2−1
Definition 11.1. The sequence {Xn }n=−N/2 of complex numbers is called the discrete
N/2−1
Fourier transform (DFT) of the sequence {Yk }k=−N/2 if for each n = −N/2, . . . , N/2−1
we have
N/2−1
1 X 2πkn
Xn = Yk e−i N . (11.8)
N
k=−N/2
Xn = F(Yk )n
or simply X = F(Y ).
N/2−1
Definition 11.2. The sequence {Zk }k=−N/2 of complex numbers is called the in-
N/2−1
verse discrete Fourier transform (IDFT) of the sequence {Xn }n=−N/2 if for each k =
−N/2, . . . , N/2 − 1 we have
N/2−1
X 2πkn
Zk = Xn e i N . (11.9)
n=−N/2
Zk = F −1 (Xn )k
or simply Z = F −1 (X).
The properties of DFT and IDFT are collected in the following lemmas.
59
Lemma 11.1. The following equalities hold:
1) F −1 (F(Y )) = Y ;
2) F(F −1 (X)) = X;
3)
N/2−1 N/2−1
X 1 X
F(Xn )k F(Yn )k = Xn Y n .
N
k=−N/2 n=−N/2
This proves part 1). Part 2) can be proved by the same manner.
Exercise 47. Prove part 3) of Lemma 11.1.
Corollary 1 (Parseval equality).
N/2−1 N/2−1
1 X X
2
|Xn | = |F(Xn )k |2 .
N
n=−N/2 k=−N/2
Remark. Due to periodicity of the complex exponential we may extend the values of
Xm , m = −N/2, . . . , N/2 − 1 periodically to any integer by
Xm+lN = Xm , l = 0, ±1, ±2, . . . . (11.10)
N/2−1
Corollary 2. For sequence X = {Xn }n=−N/2 we define
N/2−1
Xrev = {XN −n }n=−N/2 .
Then
F −1 (X) = N F(Xrev ).
Proof. By Definition 11.2 and periodicity condition (11.10) we have
N/2−1 N/2−1 −N/2+1
X X X
−i 2πkn −i 2πkn 2πkn
N F(Xrev )k = XN −n e N = X−n e N = Xn e i N
60
N/2−1 N/2−1
Definition 11.3. The convolution of sequences X = {Xn }n=−N/2 and Y = {Yn }n=−N/2
is defined as the sequence whose elements are given by
N/2−1
X
(X ∗ Y )k = Xl Yk−l , (11.11)
l=−N/2
m=−N/2 m=N/2−l
N/2−1 N/2−1
X X
−i 2πnm 2πnm
− Ym e N = Ym e−i N
m=N/2−l m=−N/2
m=−N/2 m=N/2
N/2−l−1 N/2−1
X X
−i 2πn (m−N ) 2πnm
− Ym−N e N = Ym e−i N
m=N/2 m=−N/2
61
Lemma 11.2. The convolution (11.11) is symmetric i.e.
(X ∗ Y )k = (Y ∗ X)k
2) F −1 (X ∗ Y )n = F −1 (X)n F −1 (Y )n .
Proof. Using (11.11) we have
N/2−1 N/2−1 N/2−1
1 X 1 X X
−i 2πkn 2πkn
F(X ∗ Y )n = (X ∗ Y )k e N = Xl Yk−l e−i N
N N
k=−N/2 l=−N/2 k=−N/2
N/2−1 N/2−l−1
1 X X 2πn
= Xl Ym e−i N
(m+l)
N
l=−N/2 m=−N/2−l
N/2−1 N/2−l−1
1 X 2πnl
X 2πnm
= Xl e−i N Ym e−i N . (11.12)
N
l=−N/2 m=−N/2−l
62
Proof. Lemmas 11.1 and 11.3 imply that
e ∗ Ye = F −1 F X
X e ∗ Ye e · F(Ye ) .
= N F −1 F(X)
n n n
Similarly, we have
N/2−1 N/2−1
−1 X 2πkn X 2πkn
F (Xn )k − cn e N =
i
(Xn − cn )e N
i
n=−N/2 n=−N/2
N/2−1
X X
≤ |Xn − cn | ≤ |cν |. (11.15)
n=−N/2 |ν|≥N/2
In the formulas (11.14) and (11.15) the numbers cn are the Fourier coefficients of the
N/2−1 N/2−1
signal x(t) and {Xn }n=−N/2 is the DFT of {x(tk )}k=−N/2 with tk = 2πk/N .
Theorem 20. If x(t) is periodic and belongs to Sobolev space W2m (−π, π) for some
m = 1, 2, . . . then
1
Xn = c n + o (11.16)
N m−1/2
and
N/2−1
X
−1 i 2πkn 1
F (Xn )k = cn e N +o (11.17)
N m−1/2
n=−N/2
63
Proof. Using Hölder’s inequality we have
1/2 1/2
X X X
|cν | ≤ |ν|2m |cν |2 |ν|−2m .
|ν|≥N/2 |ν|≥N/2 |ν|≥N/2
The first sum in the right hand side tends to zero as N → ∞ due to Parseval equality for
function from Sobolev space W2m (−π, π). The second sum can be estimated precisely.
Namely, since for any m = 1, 2, . . . we have
1/2
X Z ∞ 1/2
|ν| −2m
≍ t −2m
dt ≍ N −m+1/2
|ν|≥N/2 N/2
then (11.16) and (11.17) follow from the last estimate and (11.14) and (11.15), respec-
tively.
N/2−1
2) If sequence Y = {Yk }k=−N/2 is real then show that
F(Y )n = F(Y )N −n .
64
12 Connection between discrete Fourier transform
and Fourier transform.
If function f (x) is integrable over the whole line i.e.
Z ∞
|f (x)|dx < ∞
−∞
Theorem 21 (Riemann-Lebesgue lemma). For any integrable function f (x) its Fourier
transform Ff (ξ) is continuous and
lim Ff (ξ) = 0.
ξ→±∞
Hence Z ∞
1
2|fb(ξ)| ≤ √ |f (x + π/ξ) − f (x)|dx → 0
2π −∞
65
For the first term I1 we have the estimate
Z Z ∞
1 δ
I1 ≤ √ |f (x)||xh|dx < √ |f (x)|dx → 0, δ → 0.
2π |xh|<δ 2π −∞
For the second term I2 we have
Z
2
I2 = √ |f (x)|dx → 0
2π |x|>δ/|h|
as |h| → 0. If we choose δ = |h|1/2 then both I1 and I2 tend to zero as |h| → 0. This
finishes the proof.
If function f (x) has integrable derivatives f (k) (x) of order k = 0, 1, 2, . . . , m then
we say that f belongs to Sobolev space W1m (R).
Exercise 49. Prove that if f ∈ W11 (R) then limx→±∞ f (x) = 0.
Theorem 22 (Fourier inversion formula). Suppose that f belongs to W11 (R). Then
at any point x ∈ R.
Proof. First we prove that
Z ∞ Z ∞
f (x)b
g (x)dx = fb(ξ)g(ξ)dξ
−∞ −∞
66
where f ∈ W11 (R). Letting n → ∞ we obtain
Z ∞ r Z ∞
2 sin(nx)
p.v. fb(ξ)dξ = lim f (x) dx. (12.3)
−∞ n→∞ π −∞ x
√
We will prove that the limit in (12.3) is actually equal to 2πf (0). Since
Z ∞
sin(nx)
dx = π
−∞ x
It remains to show that the latter limit is equal to zero. In order to prove this fact we
split
Z ∞
sin(t)
(f (t/n) − f (0)) dt
−∞ t
Z Z
sin(t) sin(t)
= (f (t/n) − f (0)) dt + (f (t/n) − f (0)) dt := I1 + I2 .
|t|<1 t |t|>1 t
67
Integration by parts in these integrals leads to
Z z ∞ Z ∞ Z z
sin(ny) ′ sin(ny)
I2 = (f (z) − f (0)) dy − f (z) dydz
0 y 1/n 1/n 0 y
Z z −1/n Z −1/n Z z
sin(ny) ′ sin(ny)
+ (f (z) − f (0)) dy − f (z) dydz
0 y −∞ −∞ 0 y
Z ∞ Z 1/n
sin(ny) sin(ny)
= ( lim f (z) − f (0)) dy − (f (1/n) − f (0)) dy
z→∞ 0 y 0 y
Z ∞ Z nz
sin(t)
− f ′ (z) dtdz
1/n 0 t
Z −1/n Z −∞
sin(ny) sin(ny)
+ (f (−1/n) − f (0)) dy − ( lim f (z) − f (0)) dy
0 y z→−∞ 0 y
Z −1/n Z nz
′ sin(t)
− f (z) dtdz.
−∞ 0 t
Since limz→±∞ f (z) = 0 (see Exercise 49) and since f is continuous we obtain (when
n → ∞)
Z ∞ Z nz
π ′ sin(t)
I2 → −f (0) − lim f (z) dtdz
2 n→∞ 1/n 0 t
Z −1/n Z nz
π ′ sin(t)
− f (0) − lim f (z) dtdz
2 n→∞ −∞ 0 t
Z ∞ Z nz Z −1/n Z nz
′ sin(t) ′ sin(t)
= −πf (0) − lim f (z) dtdz − lim f (z) dtdz
n→∞ 1/n 0 t n→∞ −∞ 0 t
Z ∞ Z 0
′ π π
= −πf (0) − f (z) dz + f ′ (z) dz
0 2 −∞ 2
π π
= −πf (0) + f (0) + f (0) = 0.
2 2
Here we used again the fact that limz→±∞ f (z) = 0 and Lebesgue’s dominated conver-
gence theorem. Thus, (12.3) transforms to
Z ∞ √
p.v. fb(ξ)dξ = 2πf (0)
−∞
or equivalently,
F −1 (Ff )(0) = f (0).
In order to prove Fourier inversion formula for any x ∈ R let us note that
Z ∞
[ \ 1
fx (y)(ξ) = f (x + y)(ξ) = √ f (x + y)e−iyξ dy
2π −∞
Z ∞
1
= √ f (z)e−izξ eixξ dz = eixξ fb(ξ).
2π −∞
68
Since fx (0) = f (x) then
69
◦
Definition 12.1. We say that f ∈ W1m (−R, R) if f ∈ W1m (R) and f ≡ 0 for x ∈
/
(−R, R).
◦
Theorem 23. Suppose that f ∈ W1m (−R, R) is supported in a fixed interval [a, b] ⊂
(−R, R) with R > 0 large enough and some m = 2, 3, . . .. Then
r N/2−1
2 1 X 2n + 1 x(2n+1)
i m/(m+2) 1
f (x) = Ff eN +O
π N m/(m+2) N m/(m+2) N (2m−2)/(m+2)
n=−N/2
(12.6)
2/(m+2)
uniformly in x ∈ (−R, R) for R = N and even N .
Proof. Since f (x) = 0 for x ∈
/ (−R, R) then using Fourier inversion formula (see
Theorem 22) we have
Z ∞ Z R Z
∗ 1 ixξ 1 ixξ 1
f (x)−f (x) = √ Ff (ξ)e dξ− √ Ff (ξ)e dξ = √ Ff (ξ)eixξ dξ.
2π −∞ 2π −R 2π |ξ|>R
Lemma 12.1 implies then that
∗ 1
f (x) − f (x) = o . (12.7)
Rm−1
We divide the interval [−R, R] into N +1 subintervals [ξn , ξn+1 ], n = −N/2, . . . , N/2−1
such that
−R = ξ−N/2 < ξ−N/2+1 < · · · < ξN/2 = R,
where
2Rn 2R
ξn = , ξn+1 − ξn = .
N N
Set also
ξn + ξn+1 R
ξn∗ = = (2n + 1).
2 N
Then we obtain
Z R
∗ 1
f (x) = √ Ff (ξ)eixξ dξ
2π −R
N/2−1
1 X ∗ 2R
= √ Ff (ξn∗ )eixξn
2π n=−N/2 N
N/2−1 Z ξn+1
1 X ∗
+ √ Ff (ξ)eixξ − Ff (ξn∗ )eixξn dξ
2π n=−N/2 ξn
r N/2−1 3
2R X ixR(2n+1)/N R
= Ff (R(2n + 1)/N )e +O . (12.8)
πN N2
n=−N/2
70
Exercise 50. Prove that
1 X Z
N/2−1 ξn+1
∗
O R32 , supp f = [a, b]
√ ixξ ∗ ixξn
Ff (ξ)e − Ff (ξn )e dξ = N5
2π ξn O R 2 , supp f ⊂ (−R, R)
n=−N/2 N
71
13 Some applications of discrete Fourier transform.
At first we prove Poisson summation formula.
Remark. It is clear that fp (x) is periodic with period 2π. Hence we will consider it
only on the interval [−π, π].
then ∞ ∞
X 1 X
f (x + 2πn) = √ Ff (m)eimx . (13.3)
n=−∞
2π m=−∞
In particular, fp (x) is continuous and we have the Poisson identity
∞
X ∞
1 X
f (2πn) = √ Ff (m). (13.4)
n=−∞
2π m=−∞
72
This shows that fp is finite almost everywhere and integrable on [−π, π]. Applying the
same calculation to fp (x)e−imx allows us to integrate term by term to obtain
Z π X∞ Z π
1 −imx 1
cm (fp ) = fp (x)e dx = f (x + 2πn)e−imx dx
2π −π n=−∞
2π −π
∞
X 1 Z ∞ Z π+2πn
π+2πn
−im(t−2πn) 1 X 1
= f (t)e dt = √ √ f (t)e−imt dt
n=−∞
2π −π+2πn 2π n=−∞
2π −π+2πn
Z ∞
1 1 1
= √ √ f (t)e−imt dt = √ Ff (m).
2π 2π −∞ 2π
Now, if the series
∞
X
|Ff (m)|
m=−∞
Thus, fp (x) can be represented by its Fourier series at least almost everywhere (and
we can redefine fp (x) so that this representation holds pointwise) i.e.
∞
X
fp (x) = cm (fp )eimx .
m=−∞
73
and the Poisson identity transforms to
r ∞ ∞
π X −π2 n2 /t X 2
e = e−tm .
t n=−∞ m=−∞
Remark. If we set F (ξ) = 0 for |ξ| > 2πλ then (13.5) is the inverse Fourier transform
of F ∈ L1 (R). In that case f is bounded and continuous.
Theorem 25 (Whittaker, Shannon, Boas). Suppose that F ∈ L1 (R) and F (ξ) = 0 for
|ξ| > 2πλ. If λ ≤ 1/2 then for any t ∈ R we have
∞
X sin π(t − n)
f (t) = f (n) , (13.6)
n=−∞
π(t − n)
Proof. Let
∞
X
Fp (ξ) = F (ξ + 2πn)
n=−∞
where F(F ) denotes the Fourier transform of F (ξ). Hence, by the Poisson summation
formula, we have (see (13.3))
∞
X ∞ ∞
1 X imξ 1 X
F (ξ + 2πn) = √ f (−m)e =√ f (m)e−imξ .
n=−∞
2π m=−∞
2π m=−∞
74
Since any trigonometric Fourier series can be integrated term by term we obtain
Z π Z π X ∞ ∞ Z π
itξ itξ 1 X
Fp (ξ)e dξ = F (ξ + 2πn)e dξ = √ f (m) e−i(m−t)ξ dξ
−π −π n=−∞ 2π m=−∞ −π
∞ π
1 X ei(t−m)ξ
= √ f (m) , m 6= t
2π m=−∞ i(t − m) −π
∞
1 X ei(t−m)π − e−i(t−m)π
= √ f (m)
2π m=−∞ i(t − m)
∞
2π X sin π(t − m)
= √ f (m) .
2π m=−∞ π(t − m)
Now, if λ ≤ 1/2 then F (ξ) for |ξ| ≤ π is equal to its periodization Fp (ξ) (see Definition
13.1) and Z π √
Fp (ξ)eitξ dξ = 2πf (t).
−π
These equalities imply immediately that
∞
X sin π(t − n)
f (t) = f (n)
n=−∞
π(t − n)
so that (13.6) is proved. If λ > 1/2 then we cannot expect that F (ξ) = Fp (ξ) for
|ξ| > π but using Definition 13.1 we have
Z π Z
1 itξ 1
f (t) = √ F (ξ)e dξ + √ F (ξ)eitξ dξ
2π −π 2π π<|ξ|<2πλ
X∞ Z
e sin π(t − n) 1
= f (n) +√ F (ξ)eitξ dξ,
n=−∞
π(t − n) 2π π<|ξ|<2πλ
where Z π
1
fe(n) = √ F (ξ)einξ dξ.
2π −π
Therefore,
∞
X sin π(t − n)
f (t) = f (n)
n=−∞
π(t − n)
X∞ sin π(t − n) Z
e 1
+ f (n) − f (n) +√ F (ξ)eitξ dξ.
n=−∞
π(t − n) 2π π<|ξ|<2πλ
75
or Z !
X∞
1 sin π(t − n) inξ
−√ F (ξ) e dξ.
2π π<|ξ|<2πλ n=−∞
π(t − n)
Exercise 51. Prove that
X∞
sin π(t − n) inξ 2
e = − eitξ .
n=−∞
π(t − n) π
Thus
Z
X∞
sin π(t − n) 1 2
f (t) − f (n) ≤ √ +1 |F (ξ)|dξ.
n=−∞
π(t − n) 2π π π<|ξ|<2πλ
where Fk denotes the value of F (ξ) at the point π(2k + 1)/N . Therefore, up to the
accuracy of calculations, √
2π i πn −1
f (n) ≈ e N F (Fk )n
N
i.e. for even integer N large enough
∞ √
X 2π i πn −1 sin π(t − n)
f (t) ≈ e N F (Fk )n .
n=−∞
N π(t − n)
76
Index
L2 -Hölder condition, 38 mean square distance, 25
Lp -modulus of continuity, 23 Minkowski’s inequality, 2
p-integrable function, 1 modulus of continuity, 4
mutually orthogonal functions, 5
absolute convergence, 11
Nikol’skii space, 33
band-limited signal, 74
Besov space, 32 odd extension, 8
Bessel’s inequality, 26 odd function, 2
orthogonal functions, 5
conjugate Poisson kernel, 13
convolution, 16, 61 Parseval equality, 16, 26, 60
partial sum of Fourier series, 18
Dirichlet kernel, 43 periodic extension, 1
discrete Fourier transform, 59 periodic function, 1
even extension, 8 periodization, 72
even function, 2 piecewise continuous function, 3
pointwise convergence, 11
Fejér kernel, 18 Poisson identity, 72
Fejér means, 18 Poisson kernel, 13
Fourier coefficient, 9 Poisson summation formula, 72
Fourier cosine series, 8
Fourier inversion formula, 66 Riemann-Lebesgue lemma, 65
Fourier series, 7 Riesz-Fischer theorem, 27
Fourier transform, 65 right and left limit, 3
Fouries sine series, 8 sequence space, 31
Fubini’s theorem, 1 Sobolev space, 4, 32, 66
full variation, 3 square-integrable functions, 25
function of bounded variation, 3 Stieltjes integral, 4
fundamental period, 1 summation by parts formula, 13
generalized Minkowski’s inequality, 2 tail sum, 15
Hölder condition with exponent α, 4 trigonometric series, 7
Hölder space, 4, 33 uniform convergence, 11
Hölder’s inequality, 1
integrable function, 1
inverse discrete Fourier transform, 59
inverse Fourier transform, 65
Laplace equation, 13
77