Professional Documents
Culture Documents
Kalyan Sinha
Sachi Srivastava
Theory of
Semigroups
and Applications
Texts and Readings in Mathematics
Advisory Editor
C.S. Seshadri, Chennai Mathematical Institute, Chennai
Managing Editor
Rajendra Bhatia, Indian Statistical Institute, New Delhi
Editors
Manindra Agrawal, Indian Institute of Technology, Kanpur
V. Balaji, Chennai Mathematical Institute, Chennai
R.B. Bapat, Indian Statistical Institute, New Delhi
V.S. Borkar, Indian Institute of Technology, Mumbai
T.R. Ramadas, Chennai Mathematical Institute, Chennai
V. Srinivas, Tata Institute of Fundamental Research, Mumbai
Technical Editor
P. Vanchinathan, Vellore Institute of Technology, Chennai
The Texts and Readings in Mathematics series publishes high-quality textbooks,
research-level monographs, lecture notes and contributed volumes. Undergraduate
and graduate students of mathematics, research scholars, and teachers would find
this book series useful. The volumes are carefully written as teaching aids and
highlight characteristic features of the theory. The books in this series are
co-published with Hindustan Book Agency, New Delhi, India.
Theory of Semigroups
and Applications
123
Kalyan B. Sinha Sachi Srivastava
Jawaharlal Nehru Centre for Advanced Department of Mathematics
Scientific Research University of Delhi
Bangalore New Delhi
India India
This work is a co-publication with Hindustan Book Agency, New Delhi, licensed for sale in all countries
in electronic form only. Sold and distributed in print across the world by Hindustan Book Agency, P-19
Green Park Extension, New Delhi 110016, India. ISBN: 978-93-86279-63-7 © Hindustan Book Agency
2017.
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017
This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part
of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations,
recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission
or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar
methodology now known or hereafter developed.
The use of general descriptive names, registered names, trademarks, service marks, etc. in this
publication does not imply, even in the absence of a specific statement, that such names are exempt from
the relevant protective laws and regulations and therefore free for general use.
The publisher, the authors and the editors are safe to assume that the advice and information in this
book are believed to be true and accurate at the date of publication. Neither the publisher nor the
authors or the editors give a warranty, express or implied, with respect to the material contained herein or
for any errors or omissions that may have been made. The publisher remains neutral with regard to
jurisdictional claims in published maps and institutional affiliations.
Kalyan B. Sinha is professor and the SERB-fellow at the Jawaharlal Nehru Centre
for Advanced Scientific Research (JNCASR), and at the Indian Institute of Science
(IISc), Bengaluru. Professor Sinha is an Indian mathematician who specialised in
mathematical theory of scattering, spectral theory of Schrödinger operators, and
quantum stochastic processes. He was awarded in 1988 the Shanti Swarup
Bhatnagar Prize for Science and Technology, the highest science award in India, in
the mathematical sciences category. A Fellow of the Indian Academy of Science
(IASc), Bengaluru, Indian National Science Academy (INSA), New Delhi, and The
World Academy of Sciences (TWAS), Italy, he completed his PhD from the
University of Rochester, New York, U.S.A.
Sachi Srivastava is associate professor at the Department of Mathematics,
University of Delhi, India. She obtained her DPhil degree from Oxford University,
UK and the MTech degree from the University of Delhi, India. Her areas of interest
are functional analysis, operator theory, abstract differential equations, operator
algebras. She is also a life member of the American Mathematical Society and
Ramanujan Mathematical Society.
v
Preface
October 2016
Contents
Preface vii
1 Vector-valued functions 1
1.1 Vector-valued functions . . . . . . . . . . . . . . . . . . . . . 1
1.2 The Bochner integral . . . . . . . . . . . . . . . . . . . . . . 5
1.3 Measurability implies continuity . . . . . . . . . . . . . . . . 10
1.4 Operator valued functions . . . . . . . . . . . . . . . . . . . . 12
1.5 Semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2 C0 -semigroups 21
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.2 The generator . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.3 The Hille-Yosida Theorem . . . . . . . . . . . . . . . . . . . 32
2.4 Adjoint semigroups . . . . . . . . . . . . . . . . . . . . . . . 36
2.5 Examples of C0 -semigroups and their generators . . . . . . . 39
Appendix 147
A.1 Unbounded operators . . . . . . . . . . . . . . . . . . . . . . 147
A.2 Fourier transforms . . . . . . . . . . . . . . . . . . . . . . . . 153
A.3 Sobolev spaces . . . . . . . . . . . . . . . . . . . . . . . . . . 158
References 161
Index 165
Chapter 1
Vector-valued functions
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 1
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7_1
2 Vector-valued functions
For the case X = C, it is clear that (2) ⇒ (1) and (3). If μ(Ω) < ∞, then
(1) ⇒ (2) and (3). Further, if (3) holds, then there exists a subsequence {fnk }
converging almost everywhere to f.
and
x ≥ |x∗n0 (x)| = x∗n0 (yn0 ) + x∗n0 (x − yn0 ) ≥ yn0 − ≥ x − 2.
sup |x∗ (xn )| : xn ∈ Λ0 = sup |x∗ (x)|, x ≤ 1 = x∗ .
The next theorem gives a very useful criterion for strong measurability of
a vector-valued function, involving measurability of scalar functions, which is
easier to check.
That the limit in (1.3) above exists is a consequence of the fact that (1.2) forces
the sequence Ω fn (t) dt to be Cauchy.
This limit is independent of the choice of the sequence fn . Indeed, suppose
{fn } and {gn } are two sequences satisfying (1.2) for the given f , and set
Let r2n (t) = fn (t), r2n−1 (t) = gn (t). Then we see that the sequence {rn } also
satisfies the conditions of Definition (1.2.1), so that limn Ω rn (t) dt exists. Since
a, b are limit points of the convergent sequence Ω rn (t) dt, it follows that a = b.
In fact, in the above definition, we can choose fn to be step functions,
that is, simple functions for which the sets k are disjoint intervals of R. Note
that if X = C, then the Bochner integral of f is nothing but the Lebesgue
integral.
(a) f is the limit of a sequence of countably valued functions in ess sup norm,
that is, ess supt∈Ω f (t) − fn (t) → 0, and
f (t) dt ≤ f (t) dt. (1.4)
Ω Ω
Proof. Suppose first that f is Bochner integrable. Then, there exists a sequence
{fn } of simple functions which approximate f in the sense of Definition 1.2.1.
Thus, f is strongly measurable and the function t → f (t) is measurable.
Since
f (t) dt = lim fn (t) dt
Ω n
Ω
Note that if for t ∈ Ω \ Ω0 , f (t) = 0, then fn (t) = 0 for all n. On the other
hand, if f (t) = 0, then the set {n ∈ N : gn (t) > 2f (t)(1 + n−1 )} must be
finite. Indeed if this set is infinite, then we can find a subsequence {nk } ⊂ N
such that
gnk > 2f (t)(1 + n−1
k ). (1.5)
b
b
b
f (t + δ) − f (t) dt ≤ f (t + δ) − fn (t + δ) dt + f (t) − fn (t) dt
a a a
b
+ fn (t + δ) − fn (t) dt
a
b
≤ 2(b − a) + fn (t + δ) − fn (t) dt. (1.7)
a
1.2. The Bochner integral 9
Set
∞
fn (t) = xk χk (t). (1.8)
k=1
for some constant M. Using (1.8) and (1.9) we get that sup∞
k=1 xk ≤ M1 .
Writing k − δ = {s − δ : s ∈ k }, we therefore have
b
fn (t + δ) − fn (t) dt (1.10)
a
b ∞
= xk [χk −δ (t) − χk (t)] dt
a k=1
∞
b
≤ xk χk −δ (t) − χk (t) dt
a k=1
∞
≤ sup xk m([a, b] ∩ [(k \ (k − δ)) ∪ ((k − δ) \ k )]
k k=1
∞
≤ M1 m([a, b] ∩ [(k \ (k − δ)) ∪ ((k − δ) \ k )]
k=1
→ 0 as δ → 0, (1.11)
by the Dominated Convergence Theorem. Now (1.7) together with (1.11) es-
tablishes the claim.
The next lemma defines the vector-valued Riemann integral and collects
a few simple but useful results.
(ii) Let A be a closed operator in X and let f be as in (i) above. Assume that
f (s) ∈ D(A) for every s ∈ [a, b] such that the map s → Af (s) from [a, b]
to X is continuous. Then
b
b
A f (s) ds = Af (s) ds. (1.12)
a a
Proof. The proof of (i) is identical to that in the scalar case, using the fact
that the continuity of f implies uniform continuity over I.
Now suppose A and f are as in (ii). Then by (i) both the Riemann
b b
integrals a f (s) ds and the integral a Af (s) ds exist. Thus the sequence
{Ψ(f, Pn , a, b)} ⊂ D(A) where
We now explore the relation between measurability and continuity for vector-
valued functions defined on (0, ∞). If f : (0, ∞) → X is continuous, then clearly
f is weakly measurable and the countable set {f (t) : t ∈ Q ∩ (0, ∞)} is dense in
the range of f. Therefore, by Theorem 1.1.5, f is strongly measurable. Thus, as
in the scalar case, continuity implies measurability. The following result shows
that the converse is also true for some special functions. For the purpose of
the next theorem, we define a Banach algebra: An algebra X which is also a
Banach space with respect to a norm · such that xy ≤ xy, ∀x, y ∈ X,
is called a Banach algebra. Recall that a function g : (0, ∞) → R is said to be
subadditive if g(t + s) ≤ g(t) + g(s) ∀ t, s ∈ (0, ∞).
Proof. Since f is strongly measurable, it follows from Theorem 1.1.5 and The-
orem 1.1.4 that t → f (t) is measurable.
Suppose first that f (t) = 0 for all t ∈ (0, ∞). Since for t1 , t2 ∈ (0, ∞),
f (t1 + t2 ) ≤ f (t1 )f (t2 ), we have that
Therefore, by an argument similar to one used above, we have that for every
n ∈ N, the set
En = {t ∈ (0, d) : α(t) ≥ n}
has measure m(En ) > 2c . This implies that the function α takes the value ∞
on a set of measure at least c/2. This is a contradiction. Thus α is bounded
above on (, −1 ) for all 1 > > 0. Let
and hence
c−b
(b − a)f (c + ) − f (c) ≤ [f (τ + ) − f (τ )]f (c − τ ) dτ
c−a
c−b
≤M f (τ + ) − f (τ ) dτ
c−a
→ 0, as → 0,
Remark 1.3.2. Caution: Note that the conclusion of the above Lemma is only
for the open right half line (0, ∞) and not for [0, ∞).
1.5 Semigroups
Proof. By the Uniform Boundedness Principle, it suffices to show that for every
x ∈ X, the set {T (t)x : α ≤ t ≤ β} is bounded. Suppose that this is not true.
Then for some x ∈ X there exists a c ∈ [α, β] and a sequence tn ⊂ [α, β] such
that tn → c as n → ∞ and T (tn )x ≥ n for all n. Strong measurability of T
together with Theorem 1.1.4 and Theorem 1.1.5 implies that t → T (t)x is
measurable. An application of Lusin’s Theorem [23, Lusin’s Theorem, page 66]
yields that there exists an M > 0 and a measurable set E ⊂ [0, c] with measure
c
m(E) > such that
2
sup T (t)x ≤ M.
t∈E
Now set En = {tn − η : η ∈ E ∩ [0, tn ]}. This is a measurable set and for large
c
enough n, m(En ) ≥ . Therefore,
2
n ≤ T (tn )x ≤ T (tn − η)T (η)x ≤ M T (tn − η) (1.15)
Thus, T (t) ≥ n
M for all t ∈ En . Denoting lim supn En by F , it follows that
T (t) = ∞ ∀ t ∈ F. But m(F ) ≥ c
2 > 0, implying that T (t) is not defined for
t in a set of strictly positive measure, leading to a contradiction.
Proof. Let x ∈ X and 0 < a < t < b < s. Suppose > 0 is so small that
< s − t. Using the identity T (s)x = T (t)T (s − t)x, we have
b
(b − a)[T (s ± ) − T (s)]x = T (t)[T (s ± − t) − T (s − t)]x dt.
a
1.5. Semigroups 15
From Lemma 1.5.3 it follows that there exists an M > 0 such that T (t) ≤ M
for all t ∈ [a, b]. Therefore,
b
(b − a)[T (s ± ) − T (s)]x = T (t)[T (s ± − t) − T (s − t)]x dt
a
b
≤M [T (s ± − t) − T (s − t)]x dt
a
s−a
=M [T (u ± ) − T (u)]x dt
s−b
→ 0 as → 0,
by Lemma 1.2.4.
Proof. Recall that weak one-sided continuity implies weak measurability. For
any a, b with 0 < a < b < ∞, and x ∈ X fixed,
Since every strongly closed linear subspace is weakly closed (as a consequence
of the Hahn-Banach Theorem), it follows therefore that the weakly closed linear
span of {T (t)x : t ∈ Q ∩ [a, b]} is equal to the strongly closed linear span of
{T (t)x : t ∈ Q ∩ [a, b]}.
Therefore t → T (t)x from [a, b] to X is separably valued. It follows from
Theorem 1.1.5 that this map is strongly measurable and then from Theorem
1.5.4 that it is strongly continuous. Since a, b ∈ (0, ∞) are arbitrary, the result
follows.
Then T is strongly continuous but not uniformly continuous. Indeed, for h, s >
0, t ≥ 0 fixed, f ∈ C0 (R+ ), and f ≤ 1,
2 2
T (t + h)f (s) − T (t)f (s) = (e−s (t+h)
− e−s t )f (s)
2 2
= e−s t (e−s h
− 1)f (s).
2 2
Therefore, T (t + h)f − T (t)f = sup |e−s t (1 − e−s h )f (s)|. (1.16)
s≥0
Let > 0. Then there is a compact set K ⊂ [0, ∞), such that
for all h such that 0 < h < δ. Thus for each f ∈ C0 (R+ ), T (t)f −T (t+h)f → 0
as h ↓ 0. On the other hand,
2
T (t) − T (t + h) = sup |1 − e−s h | = 1 for all h = 0.
s≥0
Lemma 1.5.8, when applied to the function f (t) = log T (t), where t ∈
(0, ∞), gives
log T (t) log T (t)
w0 (T ) := inf = lim < ∞. (1.18)
t>0 t t→∞ t
This w0 (T ) is called the type of the semigroup T . It is also referred to as the
exponential growth bound of the semigroup T . The reason for this is apparent
from the next result where some simple properties of the type of a semigroup
are listed.
18 Vector-valued functions
In fact,
2. If w0 > −∞, then the spectral radius of T (t) is given by ew0 t for each
t ∈ (0, ∞).
Using Lemma 1.5.3 and (1.19) we can find an Mw such that T (t) ≤ Mw ewt
for all t > 0. Thus w ≥ α. Since w > w0 was arbitrary, it follows that w0 ≥ α.
Conversely, let w ∈ R be such that T (t) ≤ Mw ewt for all t > 0. Therefore,
for t > 0,
log T (t) log Mw
≤ + w.
t t
log T (t)
So limt→∞ ≤ w. This implies that w0 ≤ w so that w0 ≤ α. There-
t
fore, α = w0 .
By the spectral radius formula (see [5]) and definition of type, for t ∈
(0, ∞),
A semigroup T for which T (t) ≤ 1, for all t > 0, that is, the choice
w = 0 and Mw = 1 is permissible, is called a contraction semigroup . Note that
we have not yet assumed strong continuity at t = 0. A semigroup T which is
strongly continuous (equivalently, measurable) on [0, ∞) and T (0) = I is called
a C0 -semigroup, which will be the subject of discussion in the next chapter.
The following is an example of a contraction C0 -semigroup.
Note that the inequality (1.20) actually holds for any semigroup. This
shows that if a semigroup {T (t)}t≥0 is exponentially bounded on [0, ∞), then
strong continuity at 0 is sufficient for the semigroup to be strongly continuous
on all of [0, ∞). We postpone giving further examples of C0 -semigroups and
illustrations of the concept of type until the next chapter, where C0 -semigroups
are studied in detail.
Chapter 2
C0-semigroups
2.1 Introduction
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 21
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7_2
22 C0 -semigroups
Proof. Note that the integral exists as a Riemann integral as well as a Bochner
integral (Lemma 1.2.5) and that
t
t
−1 −1
t f (s) ds − f (0) = t [f (s) − f (0)] ds.
0 0
−1 t t
t f (s) ds − f (0) ≤ t−1 f (s) − f (0) ds < for 0 < t < δ.
0 0
T (η)x − x
Aη x = , η > 0, and (2.1)
η
A0 x = lim+ Aη x, (2.2)
η→0
whenever the limit exists. From now on we shall refer to the infinitesimal gen-
erator as simply the generator.
The domain D(A0 ) of A0 is the set of all x ∈ X such that the limit in
(2.2) above exists. Then D(A0 ) is a linear subspace and A0 is a linear operator.
In general, the operator A0 may not be closed, nor densely defined. But, D(A0 )
is always non-empty:
that
β
β
1 1
Aη xα,β = T (t + η)y dt − T (t)y dt
η α η α
β+η
α+η
1 1
= T (t)y dt − T (t)y dt
η β η α
η
η
1 1
= T (t + β)y dt − T (t + α)y dt
η 0 η 0
−→ (T (β)y − T (α)y),
as η → 0+ , by Lemma 2.1.2.
= T (α/2)xα/2,β−α/2 ∈ X0 .
1
Since lim xα,β = T (α)y = x, it follows that D(A0 ) is dense in X0 ,
β→α β−α
that is,
X0 ⊂ D(A0 ) ∩ X0 . (2.5)
(see Lemma 1.2.5) and therefore, limt→0+ T (t)x exists and equals x. Thus
x ∈ X0 and D(A0 ) ⊂ X0 . This along with (2.5) implies that D(A0 ) = X0 .
Proof. By Theorem 1.5.4, T (t) is strongly continuous on (0, ∞). By the Uniform
Boundedness Theorem, J is a bounded operator on X. Moreover, for t, s > 0
and x ∈ X, T (s)T (t)x = T (s+t)x = T (t)T (s)x. Letting t → 0+ in this equation
yields,
T (s)Jx = T (s)x = JT (s)x, for all s > 0, x ∈ X. (2.6)
2. t → T (t) is strongly continuous on [0, ∞), that is, limt→s T (t)x = T (s)x,
for all s ≥ 0 and for each x ∈ X.
3. T (0) = I.
Note from A.1.4 that for a closed operator A, the resolvent set of A is
given by ρ(A) = {λ ∈ C : (λ − A)−1 ∈ B(X)} and R(λ, A) = (λ − A)−1 is called
the resolvent of A, while the spectrum of A is given by σ(A) := C \ ρ(A).
The next theorem sums up some of the important properties of a C0 -
semigroup and its generator.
(a) There exists M > 0 and β ∈ R such that T (t) ≤ M eβt for all t ≥ 0,
that is, T (t) is exponentially bounded.
d
(b) T (t)Ax = AT (t)x = T (t)x for all x ∈ D(A), where A is the generator
dt
of T.
t
(c) T (s)x ds ∈ D(A), for all t ≥ 0, x ∈ X. Furthermore,
0
⎧
t
⎪
⎪
⎨A T (s)x ds if x ∈ X
T (t)x − x =
t0 (2.7)
⎪
⎪
⎩ T (s)Ax ds if x ∈ D(A).
0
(d) The generator A of the semigroup is a densely defined, closed linear op-
erator.
1
1 t t
T (h)x0,t − x0,t = T (s + h)x ds − T (s)x ds
h h 0 0
t+h
h
1 1
= T (s)x ds − T (s)x ds
h t h 0
(d) In view of Theorem 2.2.3 and the discussion following immediately after
Theorem 2.2.4, D(A) = X0 = X, so that A is densely defined. To see that
A is closed, let {xn }n be a sequence in D(A), converging to x and suppose
that Axn → y as n → ∞ for some y ∈ X. By (c) we have that
t
T (t)xn − xn = T (s)Axn ds (2.9)
0
28 C0 -semigroups
t t
(T (s)Axn − T (s)y) ds ≤ M Axn − y eβs ds → 0 as n → ∞.
0 0
t
Therefore, T (t)x − x = T (s) y ds, so that by Lemma 2.1.2
0
η
−1
Aη x = η T (s)y ds → y as η → 0+ .
0
d
T (t)x = T (t)Ax = T (t)(A − z)x + zT (t)x.
dt
d −zt ∗
For x∗ ∈ X ∗ , we have that e x , T (t)x = e−zt x∗ , T (t)(A − z)x.
dt
Since T (0) = I, we have on integrating, that for x ∈ D(A),
t
e−zt x∗ , T (t)x − x∗ , x = e−zs x∗ , T (s)(A − z)x ds
0
t
∗ −zt ∗
or, x , x = e x , T (t)x − e−zs x∗ , T (s)(A − z)x ds.
0
∗ ∗
Thus, for all x ∈ X , x ∈ D(A),
t
|x , x| ≤ M x e(β− Re z)t x +
∗ ∗
e(β− Re z)s (A − z)x .
0
so that,
(A − z)x ≥ M −1 ( Re z − β)x, (2.10)
2.2. The generator 29
xn − xm ≥ M −1 ( Re z − β)yn − ym .
d ∗
x , T (t)y = x∗ , AT (t)y
dt
= x∗ , (A − z)T (t)y + zx∗ , T (t)y = zx∗ , T (t)y,
since by (b), T (t) maps D(A) into itself. This implies that
Therefore,
∗
x , y ≤ M x∗ ye−( Re z−β)t → 0 as t → ∞, for Re z > β.
Thus x∗ , y = 0, for all y ∈ D(A). Since A is densely defined, that is,
D(A) = X, it follows that x∗ , x = 0 for all x ∈ X. This forces x∗ to be
0.
a
a
a
−zt −zt d
A e T (t)x dt = e
AT (t)x dt = e−zt T (t)x dt
0 0 0 dt
a
−za
=e T (a)x − x + z e−zt T (t)x dt.
0
∞
Letting a → ∞ in the above shows that A e−zt T (t)x dt exists and
0
that
∞
∞
A e−zt T (t)x dt = −x + z e−zt T (t)x dt
0 0
∞
or, (z − A) e−zt T (t)x dt = x.
0
where we have used the facts that A is a closed operator and that T is
of type β so that e−zt T (t)x ≤ M e−( Re z−β)t x. Since z ∈ ρ(A), this
implies that for x ∈ D(A),
∞
−1
(z − A) x= e−zt T (t)x dt. (2.11)
0
Since (z − A)−1 is bounded and since the integral in (2.11) is well defined
for all x ∈ X it follows that (2.11) holds for all x ∈ X.
3. T (0) = I.
Remark 2.2.10. Note that the limit in the definition of the generator of a
C0 -group is a two-sided one, not just right-sided, which is the case for C0 -
semigroups. Also see Remark 2.3.4(2).
32 C0 -semigroups
Then there exists a unique C0 -semigroup {T (t)}t≥0 such that A is its generator
and T (t) ≤ M eβt .
Then, An ∈ B(X) for each n and for every x ∈ D(A), limn→∞ An x = Ax.
Indeed, for x ∈ D(A),
so that Tn (t) ≤ M. Now, Tm (t) = etAm and An , being functions of Im and
In respectively, commute. Therefore, for x ∈ D(A) and n, m ∈ N, one gets that
t
0 d
Tn (t)x − Tm (t)x = Tn (t − s)Tm (s)x t = − Tn (t − s)Tm (s)x ds
0 ds
t
= Tn (t − s)(An − Am )Tm (s)x ds
0
t
= Tn (t − s)Tm (s)(An x − Am x) ds.
0
Therefore,
Tn (t)x − Tm (t)x ≤ M 2 tAn x − Am x → 0 as n, m → ∞.
Thus {Tn (t)x}n is a Cauchy sequence for each t ∈ [0, ∞) and x ∈ D(A).
Moreover, the sequence is uniformly Cauchy for all t in compact subsets of
[0, ∞). Since Tn (t) is uniformly bounded and D(A) is dense in X it follows
that {Tn (t)x}n is a Cauchy sequence for each t ∈ [0, ∞) and x ∈ X. Set
for all x ∈ X and t ∈ [0, ∞). As we have noted earlier, the convergence Tn (t)x →
T (t)x as n → ∞ is uniform for all t in compact subsets of [0, ∞), for each
x ∈ D(A). This uniform convergence extends to all of x ∈ X. Indeed, for
> 0, x ∈ X, and a compact subset K of [0, ∞), one can choose a y ∈ D(A),
such that x − y < and an n0 depending on and y such that
4M
Tn (t)y − T (t)y < for all n > n0
2
34 C0 -semigroups
Tn (t)x − T (t)x ≤ (Tn (t) − T (t))(x − y) + (Tn (t) − T (t))y
≤ 2M x − y + (Tn (t) − T (t))y <
for all n > n0 and for all t ∈ K, leading to the strong convergence, uniformly
with respect to t, in compact subsets of [0, ∞). Since Tn (t)Tn (s)x = Tn (t + s)x
for all n ∈ N, x ∈ X, taking strong limit as n → ∞ in the above, it follows that
T (t)T (s) = T (t + s) for t, s ≥ 0. Furthermore, for any x ∈ X,
where the interchange in the order of limits is permissible due to uniform con-
vergence, and T (0)x = limn→∞ Tn (0)x = x. Thus, {T (t)}t≥0 is a C0 -semigroup.
We show next that A is the generator of this semigroup. For x ∈ D(A) and
n ∈ N we have from Theorem 2.2.7 (c) that
t
Tn (t)x − x = Tn (s)An x ds. (2.15)
0
The left hand side of (2.15) converges to T (t)x − x. On the right hand side of
(2.15), An x → Ax while Tn (s) → T (s), strongly and uniformly for s ∈ [0, t], as
n → ∞. Therefore, taking limit as n → ∞ in (2.15), we obtain,
t
T (t)x − x = T (s)Ax ds for all x ∈ D(A),
0
Thus Ãx = Ax for all x ∈ D(A), where à denotes the generator of the semi-
group T (t) constructed above. Now, let x ∈ D(Ã) and set v = (Ã − 1)x. By
hypothesis, 1 ∈ ρ(A). Therefore, there exists w ∈ D(A) such that v = (A− 1)w.
This implies that,
By Theorem 2.2.7 (e), and since T (t) ≤ M it follows that 1 ∈ ρ(Ã), that is,
(Ã − 1)−1 ∈ B(X). Therefore, (2.16) implies that x = w ∈ D(A). Thus A = Ã.
2.3. The Hille-Yosida Theorem 35
d
(T̃ (t − s)T (s)x) = −T̃ (t − s)AT (s)x + T̃ (t − s)AT (s)x = 0.
ds
Thus, T̃ (t − s)T (s)x is independent of s for 0 < s < t. Therefore, for
x ∈ D(A),
The following version of the Hille-Yosida Theorem is often useful and its
proof is left as an exercise (Exercise 2.3.2).
(b) the resolvent set ρ(A) of A contains the interval (0, ∞) and
R(λ, A) ≤ λ−1 for all λ > 0.
(b) the resolvent set ρ(A) of A contains the interval (β, ∞) and
R(λ, A)n ≤ M (λ − β)−n for all λ > β, and n = 1, 2, . . . .
The verification of the above claims and using them, the writing of
an alternative proof for the Hille-Yosida Theorem are left as an exercise
(Exercise 2.3.5).
2. The approximation in (1) above may be used to show that A is the gen-
erator of a C0 -group {T (t)}t∈R if and only if ±A each generate respec-
tively the C0 -semigroup {T± (t)}t≥0 where T+ (t) := T (t), for all t ≥ 0,
and T− (t) := T (−t), for all t ≥ 0. The details of the proof are left as an
exercise (Exercise 2.3.6).
which implies à ⊂ A∗ since D(A) is dense. For all x∗ ∈ D(A∗ ) and x ∈ D(A),
t
∗ ∗ ∗
∗ ∗
T (t)x − x , x = x , T (t)x − x = x , AT (s)x ds
0
t
∗
= T (s)A∗ x∗ , x ds,
0
t
leading to the identity T ∗ (t)x∗ − x∗ = T ∗ (s)A∗ x∗ ds, since D(A) is dense
0
in X. But this implies, by Lemma 2.1.2, that x∗ ∈ D(Ã) and Ãx∗ = A∗ x∗ .
Therefore, A∗ ⊂ Ã and hence A∗ = Ã.
for all t > 0. Thus T ∗ is not strongly continuous, and it follows that BU C(R+ )
is not a reflexive Banach space.
2.5. Examples of C0 -semigroups and their generators 39
Example 2.5.1. Let X = Lp (R+ ) for some p be such that 1 ≤ p < ∞ and set
For f ∈ Lp (R+ ),
∞
(T (t) − I)f pp = |f (s + t) − f (s)|p ds.
0
Recall that Cc∞ (R+ ), the linear space of arbitrarily often differentiable (or
smooth) functions on R+ with compact support, is dense in Lp (R+ ) ([18,
Proposition 5.5.9 ]). Let f ∈ Cc∞ (R+ ) and suppose that the support of
f, supp f ⊂ [a, b] for some 0 < a < b < ∞. Then, for |t| < 1,
∞
b+1
|f (s + t) − f (s)| ds =
p
|f (s + t) − f (s)|p ds.
0 a−1
This is true for all f ∈ Cc∞ (R+ ). The density of Cc∞ (R+ ) now allows us to
extend the above convergence to all f ∈ Lp (R+ ), on observing that T (t) ≤ 1
for all t ≥ 0. Thus T is a strongly continuous contraction semigroup on Lp (R+ ).
We shall now determine its generator A. Recall that (see Appendix A.3)
∞
W 1,p (R+ ) = f ∈ Lp [0, ∞) : |f (s)|p ds < ∞ ,
0
and that the two sets on the right hand side of (2.17) coincide due to Lemma
A.3.2.
40 C0 -semigroups
Let φ ∈ Cc∞ (R+ ) with supp φ ⊂ [c, d] for 0 < c < d < ∞, and let
f ∈ D(A). Then
∞
t−1 (T (t)f − f ), φ = t−1 [f (s + t) − f (s)]φ(s) ds
0
∞
φ(s − t) − φ(s)
= f (s) + φ (s) ds
0 t
∞
t
f (s)φ(s − t)
− f (s)φ (s) ds − ds (2.18)
t
0 ∞ 0
= I1 − f (s)φ (s) ds + I2 , (2.19)
0
where I1 and I2 represent the first and the last integrals respectively appearing
on the right hand side of (2.18). Note that φ(s − t) = 0 for 0 ≤ s ≤ t because of
the support properties of φ, rendering I2 = 0. Since both the sets supp φ and
supp φ ⊂ [c, d] and since t−1 (φ(s − t) − φ(s)) converges to −φ (s) uniformly in
s ∈ [c, d], as t → 0+ , I1 converges to 0 as t → 0+ . Hence, taking the limit as
t → 0+ in (2.19) we obtain that
∞
Af, φ = − f (s)φ (s) ds.
0
s
Next, we set g(s) = (Af )(τ ) dτ which makes g a well defined absolutely
0
continuous function and an integration by parts leads to the equality
∞
∞
− f (s)φ (s) ds = Af, φ = − g(s)φ (s) ds
0 0
Remark 2.5.2. (1) The semigroups of operators in Example 2.5.1 above and
Example 2.4.2 are called translation semigroups or shifts (left translations
or left shifts to be precise). Different translation semigroups with distinct
generators can be constructed by changing the underlying Banach space.
For example, one could replace Lp (R+ ) or BU C(R+ ) in the above exam-
ples by Lp (R) or BU C(R) respectively, or with C0 (R), C0 (R+ ) and other
such function spaces. Here we shall restrict our attention to Lp and BU C
spaces. In both theses cases, the generator is again differentiation, but
with suitably altered domains. The verification of these properties is left
as an exercise (Exercise 2.5.3).
(b) Let X = Lp (R) where 1 ≤ p < ∞ and let (T (t)f )(s) = f (s + t) for
all f ∈ X and s, t ∈ R. Then {T (t)}t∈R is a C0 -group of isometries
with generator A given by Af = f , ∀ f ∈ D(A) = W 1,p (R) (see
Appendix A.3).
(2) Let X = BU C(R) or Lp (R). The inverse of T (t), the left shift operator on
X, is the right shift operator S(t), given by (S(t)f )(s) = f (s − t) for all
f ∈ X and t, s ∈ R. Moreover, {S(t)}t∈R forms a C0 -group of isometries
with generator −A, where A is the generator of the left shift group defined
in (1a) or (1b) respectively.
where φ is given by
We refer the reader to [1] and [21] for a detailed discussion of such operators.
See also Theorem A.1.13.
Example 2.5.4. Let X = Lp (Ω, μ), where (Ω, , μ) is a σ-finite measure space
and p ∈ [1, ∞) is fixed. Further, let q : Ω → C be a measurable function satis-
fying supλ∈ess ran q Re λ < ∞. Define T (t) ∈ B(X) by
tq(s) p
T (t)f − f =
p (e − 1)f (s) μ(ds),
Ω
and since
tq(s)
e − 1 ≤ 1 + etk for 0 ≤ t ≤ 1,
Moreover,
t−1 etq(s) − 1 − tq(s) → 0 for μ-almost all s as t → 0+ .
−1 tq(s) p
t (e − 1)f (s) − q(s)f (s) μ(ds) → 0 as t → 0+ .
Ω
This implies that limt→0+ t−1 T (t)f − f = qf in X. Hence f ∈ D(A) and
Af = qf = Mq f. Thus Mq ⊂ A.
The example we discuss next – Gaussian semigroups – are representa-
tives of a very important class of semigroups, called convolution semigroups.
Gaussian semigroups, also called heat semigroups or diffusion semigroups, by
themselves are an important class of C0 -semigroups, occurring very frequently
in applications.
Example 2.5.5 (Convolution Semigroups). Convolution semigroups occur in
many areas of applications, particularly in probability theory and are also of
interest by themselves. Special examples of some of them, particularly the heat
semigroup, play important roles in the theory of Brownian motion, of diffusion
processes and in geometry.
Definition 2.5.6. A convolution semigroup on Rd is a family of probability
measures {μt }t∈R satisfying, (i) μt ∗ μs = μt+s , (ii) μ0 = limt→0+ μt = δ0 ,
where δ0 is the Dirac delta measure concentrated at 0 ∈ Rd and the limit exists
in the sense that for every f ∈ Cc (Rd ), lim μt (dx)f (x) = f (0).
t→0+ Rd
In the above, the convolution μ∗ν of two finite measures μ and ν is defined
as the unique finite measure such that
Proof. Since
p
|(T (t)f )(x)|p ≤ |f (x − y)|μt (dy)
Rd
and since [0, ∞) λ → λ is a convex function for each p ∈ [1, ∞), we have by
p
(T (t)f )(x)p ≤ |f (x − y)|p μt (dy)
and therefore
This means that T (t) is a contraction on Lp (Rd ). Next, for t, s > 0, f ∈ Lp (Rd ),
(T (t)T (s)f )(x) = (T (s)f )(x − y)μt (dy) = f (x − y − z)μs (dz) μt (dy)
= f (x − y ) μs (d(y − y))μt (dy) = f (x − y)(μs ∗ μt )(dy),
where we have made use of Fubini’s theorem to interchange the order of inte-
gration, made a change of variable and used the definition of the convolution
of two measures μs and μt . Thus we get that
proving the semigroup property. Next we show strong continuity. Noting that
and applying Jensen’s inequality [23, Jensen’s Inequality, page 133], the above
leads to
T (t)f − f p ≤ dx |f (x − y) − f (x)|p μt (dy). (2.27)
p
46 C0 -semigroups
dx |f (x − y) − f (x)| μt (dy) = dx
p
|f (x − y) − f (x)|p μt (dy)
|y|<β
+ dx |f (x − y) − f (x)|p μt (dy)
|y|>β
= I1 + I2 .
Now
I1 = dx |f (x − y) − f (x)|p μt (dy)
x∈(supp f +β) |y|<β
Since Cc∞ (Rd ) is dense in Lp (Rd ) for 1 ≤ p < ∞, and T (t) is uniformly
bounded, we are able to extend the said convergence to the whole of Lp (Rd ),
showing that {T (t)}t≥0 is a C0 -semigroup. That {T (t)}t≥0 is positive is clear
from the definition and the fact that the μt ’s are probability measures. Let
(S(a)f )(x) = f (x − a) for all a ∈ Rd , x ∈ Rd and f ∈ Lp (Rd ), so that
{S(a)}a∈Rd is the group of translations. In fact, {S(a)}a∈R is a C0 -group of
isometries on Lp (Rd ) (compare with Remark 2.5.2 (2)). One notes that
= μt (dy) f (x − y) dx = f 1 .
(i) the heat and Cauchy measures satisfy the convolution semigroup proper-
ties of measures, as given in Definition 2.5.6, and
(ii) that the proof of Theorem 2.5.7 holds with Lp (R) replaced by C0 (R), the
Banach space with supremum norm of continuous functions on R which
vanish at infinity.
d
∂2f
D(A) = f ∈ Lp (Rd ) : 2
∈ Lp (Rd ) = W 2,p (Rd ),
i=1
∂xj
1 ∂2f
d
1
Af = Δf = , for all f ∈ D(A),
2 2 j=1 ∂xj 2
that is, the generator of the heat semigroup is the Laplacian with maximal
domain, multiplied by 1/2 (see Section A.3).
Proof. For simplicity we will work with d = 1. Fix p ∈ [1, ∞). From Theorem
2.5.7 we know already that the heat semigroup associated with the convolution
48 C0 -semigroups
2
(T (t)f − f )(x) = (f (x − y) − f (x))(2πt)−1/2 e−y /2t
dy
R
√ 2
= (f (x − tu) − f (x))(2π)−1/2 e−u /2 du
R √
= (f (x − tu) − f (x))N (u) du, (2.30)
R
√
where we have made a change of variable y = tu, and have set N (u) =
2
(2π)−1/2 e−u /2
as the standard normal distribution function. Formally, we can
expand the expression in the parenthesis in (2.30) to get, for a sufficiently
smooth function f, that
√ √ 1
f (x − tu) − f (x) = −( tu)f (x) + (tu2 )f (x) + O(t3/2 ), (2.31)
2
as t → 0+ . Therefore,
since uN (u) du = 0 and u2 N (u) du = 1. Now we make this formal argument
2
rigorous. Let f ∈ D( dx
d
2 ) ⊂ L (R) (see Appendix A.3). Then proceeding as
p
above, we have
1
t−1 (T (t)f − f )(x) − f (x)
2
√ t
= N (u) du t f (x − tu) − f (x) − f (x)
−1
2
R
√ √ t
= N (u) du t−1 f (x − tu) − f (x) + tuf (x) − u2 f (x)
R 2
−u√t
α
−1
= N (u) du t dα dβ f (x + β) − f (x) ,
R 0 0
where we used the fact that f ∈ L1loc (R), the space of locally integrable func-
tions defined on R, and hence the fundamental theorem of integral calculus is
valid for it. Next, using the fact that R+ λ → λp is a convex function for
2.5. Examples of C0 -semigroups and their generators 49
− tu α p
≤ N (u) du dxt−1 dα dβ f (x + β) − f (x)
R 0 0
√
1
2 (p−1)
|u| t α
≤ N (u) du t −p
tu dα dβ f (x + β) − f (x)p dx
R 2 0 0 R
|u|√t
α
−1 1 2 (p−1)
p
= N (u) du t u dα dβ f (· + β) − f (·)p
|u|>δt−1/2 2 0 0
|u|√t
α
−1 1 2 (p−1)
p
+ N (u) du t u dα dβ (S(β) − I)f p
|u|<δt−1/2 2 0 0
= I1 + I2 ,
√
where δ > 0. We have used the fact that the simplex 0 ≤ β ≤ α ≤ u t has
the total area = (u2 t/2) and set {S(β)}β∈R as the C0 -group of isometries of
translation in Lp (R). Next, for any > 0,
u2 p
I1 ≤ 2p f pp N (u) du
|u|>δt−1/2 2
Therefore,
u2 (p−1) tu2
u2 p
I2 ≤ N (u) t−1 du < N (u) du
|u|<δt−1/2 2 2 2
1 d2 1 d2
showing that 2 dx2 ⊂ A. For the other inclusion, that is, A ⊂ 2 dx2 , we start
with the resolvent formula
∞
(z − A)−1 f = e−zt T (t)f dt, for z ∈ C such that Rez > ω, (2.32)
0
50 C0 -semigroups
so that
Next we prove the lemma that was used in the proof in the preceding
paragraph.
In the second integral on the right hand side another change of variable σ =
cα−1 converts the said integral into
0
2 c2
− √ e− σ + σ2 dσ
c
0 2π 0
Chapter 3
The Hille Yosida Theorem 2.3.1 and another version of it in Theorem 2.3.3
gives a characterisation for the generator of a contraction semigroup in terms
of certain resolvent estimates. Another, very different characterisation for such
generators is available via the notion of dissipative operators. We first define
dissipative operators on Hilbert spaces and then generalise to Banach spaces
before presenting the Lumer-Phillips characterisation, the primary goal of this
section.
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 53
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7_3
54 Dissipative operators and holomorphic semigroups
( For definition of W 1,2 (0, 1) see Appendix A.3.) Then, for f ∈ D(A), |f f | ∈
L1 [0, 1] and f is absolutely continuous. Therefore,
1
1 1
Re f, Af = Re
f (t)f (t) dt = (f (t)f (t) + f (t)f (t)) dt
0 2 0
1 1 d 1
= (f (t)f (t)) dt = |f (1)|2 ≥ 0.
2 0 dt 2
Thus, A is accretive and −A is a dissipative operator.
The proof of the following useful lemma is very simple and we leave the
details to the reader (Exercise 3.1.4).
Theorem 3.1.6. For an operator A on a Hilbert space, the following are equiv-
alent:
(a) A is dissipative;
(b) (A − λ)f ≥ Re λf for all f ∈ D(A) and λ ∈ C with Re λ > 0;
Therefore,
(A − λ)f f ≥ Re f, (A − λ)f = − Re f, (A − λ)f ≥ Re λf 2 .
and therefore any vector orthogonal to Ran(A0 − λ) for some λ > 0 will be
the solution in D(A∗0 ) of the equation A∗0 f = λf. This equation can be seen
to be a classical differential equation and has a solution f (t) = ceiλt , where
c is a constant. This f ∈ L2 [0, 1] and therefore, Ran(A0 − λ) = L2 [0, 1]. The
verification of these statements is left as an exercise (Exercise 3.1.8).
The property of being dissipative is stable under closure. This is made
precise in the following lemma.
Lemma 3.1.9. Any densely defined dissipative operator on a Hilbert space is
closable. The closure of A is again dissipative. Thus, a maximal dissipative
operator which is densely defined is closed.
Proof. Let A be a densely defined dissipative operator on the Hilbert space H
with domain D(A). Let {un }n ⊂ D(A) be a sequence converging to 0 such that
Aun → v as n → ∞. For any u ∈ D(A) and α ∈ C, we have
Since α is arbitrary, it follows that u, v = 0 for any u ∈ D(A). The density of
D(A) implies therefore that v = 0. Thus A is closable. Now A, the closure of
A is given by setting
Au = v.
Then Re u, Au = limn Re un , Aun ≤ 0, for all u ∈ D(A). Thus A is also
dissipative. The second part of the lemma now follows from the property of
maximality.
Proof. In view of Lemma 3.1.9 we may assume, without loss of generality, that
A is a closed, densely defined dissipative operator. Let λ be such that Re λ > 0
and set N = (Ran(A − λ))⊥ . Then for v ∈ N and u ∈ D(A),
Then à is a linear operator with D(Ã) = D̃ and A ⊂ Ã. We will now show that
à is a maximal dissipative extension of A. Let u ∈ D(A) and v ∈ N . Then
Lemma 3.1.12. The following three statements are equivalent for a densely
defined, dissipative operator A on a Hilbert space H.
Proof. (i) ⇒ (ii): Let λ ∈ C be such that Re λ > 0. Assume that Ran (A − λ)
is not the whole of H. Then Ran(A − λ) is a proper, closed subspace of H. Set
58 Dissipative operators and holomorphic semigroups
fx = xf x .
(i) A is dissipative;
Proof. For u, v ∈ X, with u ≤ u − αv for all α > 0, we claim that there
exists fu ∈ X ∗ such that Re fu (v) ≤ 0. Indeed, for u = 0, choose fu = 0.
If u = 0, pick the dual injection fu−αv and denote it as fα for brevity. Set
gα = fα /fα . Then gα = 1 and by the w∗ -compactness of the unit ball in
60 Dissipative operators and holomorphic semigroups
u − αv2 fα (u − αv)
u ≤ u − αv = =
fα fα
= gα (u − αv) = Re gα (u) − α Re gα (v)
≤ u − α Re gα (v), (3.2)
which implies that Re gα (v) ≤ 0, ∀ α > 0 and thus Re g(v) ≤ 0. On the other
hand, taking the limit as α → 0+ in (3.2) we get that Re g(u) ≥ u which
combined with the fact that Re g(u) ≤ |g(u)| ≤ u leads to the conclusion
that Re g(u) = u. Set f = ug ∈ X ∗ . Then f (u) = ug(u) = u2 = f 2 .
Thus f = fu and Re fu (v) = u Re g(v) ≤ 0, thereby establishing the claim.
(iii) ⇒ (i): Suppose (A − λ)u ≥ λu for all λ > 0 and u ∈ D(A). Then
u − λ−1 Au = λ−1 (A − λ)u ≥ u
or u ≤ u − αAu for all α > 0. From the first part of the proof, this implies
that there exists fu ∈ X ∗ such that Re fu (Au) ≤ 0. Thus, A is dissipative.
(i) ⇒ (ii): Let u ∈ D(A) and Re λ > 0. Since A is dissipative, there
is a dual injection fu such that Re fu (Au) ≤ 0. Since Re fu ((A − λ)u) =
Re fu (Au) − Re λfu (u) ≤ − Re λu2 , we have that
(A − λ)uu = (A − λ)ufu ≥ fu ((A − λ)u)
≥ Re fu (A − λ)u) ≥ Re λu2 .
(λ − A)f = λf + f = g.
defines a classical linear ordinary differential equation. Solving the above dif-
ferential equation yields, for t ∈ [0, 1],
t
f (t) = e−λ(t−s) g(s) ds. (3.3)
0
Therefore,
t etλ − 1
−λt
|f (t)| ≤ ge esλ ds ≤ ge−λt ,
0 λ
where we have noted that the inverse of the term in the square parenthesis
exists in B(X) as the limit of a convergent Neumann series, since |λ − 1| < 1.
Then Ran R = D(A) and
−1
(A − λ)R = (A − 1 − (λ − 1))(A − 1)−1 1 − (λ − 1)(A − 1)−1 = I.
R (A − λ)u
−1
= (A − 1)−1 1 − (λ − 1)(A − 1)−1 1 − (λ − 1)(A − 1)−1 (A − 1)u
= u.
Thus, (0, 2) ⊂ ρ(A) and every λ ∈ (0, 2) satisfies (3.4). Now fix λ0 ∈ (1, 2) and
let μ > 0 with |λ0 − μ| < (A − λ0 )−1 −1 . Proceeding as before, but with 1
replaced by λ0 we obtain that μ ∈ ρ(A) and (A − μ)−1 ≤ μ−1 . Continuing
in this way, we can cover all of (0, ∞), that is, we obtain (0, ∞) ⊂ ρ(A) and
that (3.4) holds for all λ ∈ (0, ∞). Note that since (A − λ0 )−1 −1 ≥ λ0 > 1
initially, all of (0, ∞) can indeed be covered in the above mentioned manner.
Conversely, suppose {T (t)}t≥0 is a C0 -semigroup of contractions with gen-
erator A. Let x ∈ X and let fx be a dual injection. Then
If x ∈ D(A), limt→0+ (T (t)x − x)/t = Ax. It follows therefore, that for any x ∈
D(A), Re fx (Ax) ≤ 0. Finally, by Theorem 2.3.1, every z ∈ C with Re z > 0 is
in ρ(A) so that 1 ∈ ρ(A) and Ran(A − 1) = X.
3.1. Dissipative operators 63
Remark 3.1.19. Note that the statement of Theorem 3.1.18 does not mention
explicitly that A is a closed operator. However, it must be so in order to be
the generator of a C0 -semigroup. And indeed the conditions of dissipativity
and surjectivity of (A − 1) imply closedness of A. Let {un } ⊂ D(A) converge to
u ∈ X and suppose that Aun → v as n → ∞. Then (A−1)un → v−u as n → ∞.
But since A is dissipative, it follows from Theorem 3.1.16 that (A−I)u ≥ u
for all u ∈ D(A). This, along with the hypothesis Ran (A − 1) = X implies
that 1 ∈ ρ(A), and (A − 1)−1 ∈ B(X). Therefore, un → (A − 1)−1 (v − u) as
n → ∞, or, u = (A − 1)−1 (v − u) leading to the conclusion that u ∈ D(A) and
Au = v.
From Appendix A.2, one finds that (F (Δf ))(k) = −ψ(k)(F f )(k) and thus, if
for any g ∈ L2 (Rd ), we set u = F −1 (Mφ F g), it follows from Lemma A.3.1 that
u ∈ H 2 (Rd ) ⊂ L2 (Rd ). Furthermore, Mψ F u = Mψ Mφ F f. Therefore,
it follows, from Theorem 2.4.1 and the above discussion, on letting t → 0 that
x ∈ D(A∗ ) if and only if x ∈ D(A), and in that case, A∗ x = −Ax. Thus,
(iA)∗ = iA, that is, iA is selfadjoint.
∗
Conversely, assume that iA is selfadjoint, so that D(A) = D(A), and
A∗ x = −Ax for all x ∈ D(A). Then
Thus Re Ax, x = 0 for all x ∈ D(A), so that both A and −A are dissipative.
Note that since A∗ is closed, being the generator of the C0 -semigroup U− , A
is densely defined, that is, D(A) = H. Furthermore, A is closed since every
adjoint operator is necessarily closed (see Appendix A.1). By Theorem 3.1.18,
A generates a C0 -semigroup, provided Ran(A − 1) = H. We establish this fact
next. From Remark 3.1.7 we have that (A− 1) is injective, and that Ran(A− 1)
is closed. Now suppose that g ⊥ Ran(A − 1). Then
−Ag − g = A∗ g − g = (A − 1)∗ g = 0.
Therefore,
Re Ag, g = Ag, g = −g2. (3.6)
Moreover,
Ag, g = −A∗ g, g = −g, Ag = −Ag, g.
associated with selfadjoint operators (see [20, Theorem VIII.5, page 262 ]), we
can write
U+ (t) = etA = e−it(iA) , U− (t) = e−tA = eit(iA) .
Using the above mentioned functional calculus one can check that the family
{U (t)}t∈R forms a group. Further, since U+ and U− are strongly continuous
and
It turns out that these two notions of holomorphy are actually equivalent,
by an application of Cauchy’s Theorem and of the Uniform Boundedness Prin-
ciple (Exercise 3.3.2). For the theory of vector-valued functions of a complex
variable, in particular the above mentioned property, the reader is referred to
[2, Appendix A].
We denote, for 0 < θ ≤ π, by Sθ , the sector
Sθ := z ∈ C \ {0} : | arg z| < θ .
(1) T (0) = I;
(5) T (z) ≤ M for all z ∈ Sθ− and for all such that θ > > 0,
then {T (z)}z∈Sθ ∪{0} is called a bounded holomorphic semigroup.
Proof. Choose such that 0 < < α. Fix |θ| ≤ α − and set S(t) = T (teiθ )
for all t ≥ 0. Then, as {T (z)}z∈Sθ ∪{0} satisfies the semigroup property,
S(s)Bx = lim S(s)t−1 (S(t)x − x) = lim t−1 (T ((t + s)eiθ )x − T (seiθ )x)
t→0+ t→0+
−1
=e iθ
lim t (T (t + se )x − T (seiθ )x)
iθ
t→0+
This implies that S(s)D(B) ⊂ D(A) for any s > 0. As s → 0, the left
hand side of the above equation approaches Bx and, as A is closed, it fol-
lows that x ∈ D(A). In a similar manner, one can show that if x ∈ D(A), then
lims→0+ s−1 (S(s)x − x) exists and equals eiθ Ax, so that
On the other hand, since |θ| ≤ α − , with 0 < α ≤ π/2, if − π2 < γ + θ < π
2,
then
π π
− − (α − ) < γ + θ < + (α − )
2 2
so that cos(arg w + θ) ≥ sin(α − ). Thus, it follows that
π
w : | arg w| < + (α − ) ⊂ ρ(A)
2
and, for all such w,
M M
(w − A)−1 ≤ = .
|w| sin(α − ) |w|
The next theorem shows that every sectorial operator of angle less than
π/2 is the generator of a bounded holomorphic semigroup.
1
T (z) := ewz R(w, A) dw (3.9)
2πi Γ
converges for a suitable smooth curve Γ in Sα+ π2 , for every z ∈ Sα . Moreover,
the family {T (z)}Sα∪{0} with T (0) = I, satisfies (2), (3), (4) and (5) of Def-
inition 3.3.3, thus forming a bounded holomorphic semigroup, with generator
A.
70 Dissipative operators and holomorphic semigroups
Γ3
Γ
Γ2
θ
δ
Γ1
Proof. We first note that since the map w → ewz R(w, A) is holomorphic for
w ∈ Sα+ π2 , the integral in (3.9), if it exists, is independent of the choice of
Γ due to Cauchy’s Integral Theorem. We of course need to verify that the
contribution to the difference of the two integrals vanish in the limit as the
appropriate radius parameter increases to infinity (Exercise 3.3.7). We choose
Γ as follows.
Let be a suitably small positive number. Choose θ = π
2 + α − /2. Let
Γ = Γ1 ∪ Γ2 ∪ Γ3 oriented anti-clockwise (see Figure 3.1) where
Γ1 = re−iθ : δ < r < ∞
Γ2 = δeiβ : −θ < β < θ
Γ3 = reiθ : δ < r < ∞
We first prove that the integral in (3.9) converges uniformly in B(X) for
z ∈ Sα− . Using the hypothesis on the resolvent of A, we have for z = reiψ
where |ψ| < α − ,
wz Re (wz)
e R(w, A) ≤ e N
. (3.10)
|w|
For w = reiθ ∈ Γ3 and z = |z|eiψ , Re (wz) = r|z| cos(θ + ψ). Since |ψ| < α − ,
it follows that
π π
+ α − /2 − (α − ) < ψ + θ < + α − /2 + α − ;
2 2
and since 0 < α − < α < π
2 we have that π
2 + /2 < ψ + θ < 3π/2 − /2.
Therefore, cos(θ + ψ) ≤ − sin /2 and
wz −|w||z| sin(/2)
e R(w, A) ≤ e N
(3.11)
|w|
for all z ∈ Sα− and w ∈ Γ3 . Similarly, it can be shown that (3.11) is true for
all z ∈ Sα− and w ∈ Γ1 . For w ∈ Γ2 with δ = |z|−1 and z ∈ Sα− ,
wz
e R(w, A) ≤ e N = e N |z|. (3.12)
|w|
Therefore, for all z ∈ Sα− ,
3
1
1
e (w − A) dw =
wz −1
ewz (w − A)−1 dw
2πiΓ 2π Γk
k=1
−|w||z| sin(/2)
1 e N 1
≤ + d|w| + eN |z| d|w|
2π Γ1 Γ3 |w| 2π Γ2
N ∞ 1 −r|z| sin(/2) 1
≤ e dr + e N |z|2π|z|−1
π 1/|z| r 2π
N ∞ 1 −r sin
≤ e 2 dr + eN
(3.13)
π 1 r
showing that the integral defining T (z) converges in B(X) absolutely and uni-
formly for all z ∈ Sα− . Since the above holds for every > 0, it follows that
the map z → T (z) is holomorphic on Sα , the details of the verification of which
is left as (Exercise 3.3.8). Moreover, it also follows that there exists a constant
M > 0 such that T (z) ≤ M ∀z ∈ Sα− . Next we check the semigroup
property. Let Γ be another contour, chosen as shown in Figure 3.1. Then as
noted in the beginning of this proof,
1
T (z) = ewz R(w, A) dw, z ∈ Sα . (3.14)
2πi Γ
72 Dissipative operators and holomorphic semigroups
Thus for z1 , z2 ∈ Sα− , using the resolvent equation (Appendix A.1) we get
that
−2
= (2πi) ewz1 +λz2 (λ − w)−1 R(w, A) − R(λ, A) dw dλ
w∈Γ
λ∈Γ
= (2πi)−2 ewz1 +λz2 (λ − w)−1 R(w, A) dw dλ
λ∈Γ
w∈Γ
−2
− (2πi) ewz1 +λz2 (λ − w)−1 R(λ, A) dw dλ
w∈Γ λ∈Γ
ewz1 (λ − w)−1 dw = 0
w∈Γ
= (2πi)2 T (z1 + z2 ),
= eλz2 ewz1 (λ − w)−1 dw R(λ, A) dλ
λ∈Γ w∈Γ
= 0.
It now follows from (3.15) that T (z1 )T (z2 ) = T (z1 + z2 ). To complete the
proof, we need to show that the map z → T (z) is strongly continuous in Sα−
3.3. Holomorphic semigroups 73
dn d n
T (n) (t)x := T (t)x = T (s) x = An T (t)x = [AT (t/n)]n x,
dtn ds t
s= n
(3.16)
and An T (t) ∈ B(X) for all t > 0, x ∈ X and n ∈ N.
Proof. Suppose t > t0 > 0. Then T (t)x = T (t − t0 )T (t0 )x. Since T (t0 )x ∈
D(A), using (b) of Theorem 2.2.7 we have that T (t)x exists and T (t)x =
T (t − t0 )AT (t0 )x = AT (t)x = T (t/2)AT (t/2)x ∈ D(A). Repeating the same
74 Dissipative operators and holomorphic semigroups
The equality (3.16) follows now by induction (Exercise 3.3.10). Next we note
that for t > 0, the linear operator AT (t) is defined everywhere, that is,
D(AT (t)) = X, and since A is closed, it is easy to see that AT (t) is closed.
Therefore, by the Closed Graph Theorem, AT (t) ∈ B(X), for each t > 0. By
(3.16), it follows then that for t > 0, and n ∈ N,
(iii) There exists a positive constant K > 0 such that for all a > 0 and b = 0,
R(a + ib, A) ≤ K . (3.17)
|b|
Proof. (i) ⇒ (ii): Since T (t)X ⊂ D(A), it follows from Lemma 3.3.9 that T (t)
is infinitely differentiable, and for all t > 0 and n = 1, 2, . . . ,
t n t
n
n
T (n) (t) = T t/n = t/nAT t/n .
n n
Hence t n t
n
T (n) (t) = AT t/n ≤ M n, (3.18)
n n
by the hypothesis. Now (3.18) leads to the estimate that
(z − t)n nn (z − t)n
n
T (n) (t) = n
(t/n)n T (n) (t)
n! t n!
(nM )n z − t n n
n z − t
≤ ≤ (M e) ,
n! t t
3.3. Holomorphic semigroups 75
converges in B(X) in operator norm, uniformly for all z ∈ C such that |z − t| <
t/(M e). Setting
∞
(z − t)n T (n) (t)
T (z) := (3.20)
n=0
n!
we see that T (z) = T (t) for z = t ∈ R and that T (t) has a strong holo-
morphic extension T (z) to the sector Sα , where tan α = 1/eM. Since the
family {T (t)}t≥0 satisfies the semigroup property, the Identity Theorem for
holomorphic functions ([2, Proposition A.2]) ensures that so does {T (z)}z∈Sα .
Indeed, for fixed t > 0, the analytic map Sα z → T (t)T (z) satisfies
T (t)T (z) = T (t + z) for all z ∈ Sα ∩ R+ . Therefore, by the Identity Theorem,
T (t)T (z) = T (t + z) ∀ z ∈ Sα . Now, repeating this argument, with t replaced
by an arbitrary, but fixed z1 ∈ Sα yields finally T (z1 )T (z2 ) = T (z1 + z2 ) for all
z 1 , z 2 ∈ Sα .
Next we prove uniform boundedness. Let 0 < α < α and choose k ∈ (0, 1)
such that tan α = k/eM. For z = a + ib ∈ Sα , we have, using the power series
for T (z) given in (3.20) and estimates obtained earlier in the proof,
∞
1
T (a + ib) = T (a) + (ib)n T (n) (a)
n=1
n!
∞
eM n
≤ T (a) + |b|n
n=1
a
∞
k n 1
≤ T (a) + (eM )n = T (a) − 1 + , (3.21)
n=1
eM 1−k
This, along with the facts that {T (t)}t≥0 is a C0 -semigroup and that the map
z → T (z + t)x is holomorphic in a neighbourhood of z = 0, and the estimate
(3.21) leads to the conclusion that T (z)x → x as z → 0 in Sα for each x ∈ X
(Exercise 3.3.12).
(ii) ⇒ (iii): By Theorem 3.3.4, A is sectorial. In particular, (3.17) holds.
(iii) ⇒ (i): We first show that if (3.17) holds, then A is sectorial in the sense
of Definition 3.3.5. Since {T (t)}t≥0 is uniformly bounded, by Theorem 2.2.7,
(e) and (f) we have that {λ ∈ C : Re λ > 0} ⊂ ρ(A) and for λ = a + ib, a > 0,
R(a + ib, A) ≤ C
a
for some constant C > 0. This estimate combined with (3.17) implies that
R(λ, A) ≤ K for all λ such that Re λ > 0. (3.22)
|λ|
Writing now the Taylor expansion for R(λ, A) (see (A.2)) around λ0 where
λ0 = a + ib, a > 0, we have
∞
R(λ, A) = R(λ0 , A)(n+1) (λ0 − λ)n . (3.23)
n=0
In particular, this implies that Sα+π/2 ⊂ ρ(A), where tan α = 1/K. To obtain
the estimate on the resolvent in this region, we use the expansion in (3.23) to
get,
∞
∞
K n
R(λ, A) ≤ R(λ0 , A)(n+1) |λ0 − λ|n ≤ k
n=0
|b| n=0
√
K K2 + 1 M
= ≤ = .
(1 − k)|b| (1 − k)|λ| |λ|
3.4. Some examples of holomorphic semigroups 77
Thus A is sectorial.
Therefore, by Theorem 3.3.6, A generates a bounded holomorphic semi-
group {T (z)}z∈Sα , which extends the semigroup {T (t)}t≥0 . In particular, the
map (0, ∞) t → T (t)x is differentiable for all x ∈ X, implying that the limit
lim+ s−1 T (t + s) − T (t) x = lim+ s−1 T (s) − I T (t)x
s→0 s→0
exists for all x ∈ X and t > 0 so that T (t)X ⊂ D(A) for all t > 0. From the
proof of Theorem 3.3.6, with the same notations as in Figure 3.1, it follows by
using Lemma 1.2.5(ii) that for t > 0
1 1
AT (t) = A eλt R(λ, A) dλ = eλt (λR(λ, A) − I) dλ
2πi Γ 2πi Γ
1
= λeλt R(λ, A) dλ.
2πi Γ
As in the proof of Theorem 3.3.6, we choose Γ2 such that δ = t−1 . Thus, using
(3.11) and (3.12), we have
1
λt
AT (t) = + + λe R(λ, A) dλ
2πi Γ1 Γ2 Γ3
∞
θ
1
≤ 2 N e−rt sin(/2) dr + eN δ dα
2π δ −θ
1 2N
1 M
≤ + πe = .
2π t sin(/2) t
Recall from (2.23) that σ(Mq ) = ess ran q. From Theorem 3.3.4 it follows
that if Mq generates a bounded holomorphic semigroup of angle α then (3.24)
holds. To prove the converse, we invoke Theorem 3.3.6 and Theorem A.1.13 (i).
78 Dissipative operators and holomorphic semigroups
So suppose that Sα+π/2 ⊂ ρ(Mq ) = C \ ess ran q. Let > 0 be arbitrary and
suitably small. For λ ∈ Sα+π/2− , we have, on using (2.23) and the discussion
preceding it, that,
1
R(λ, Mq ) = Mψ = ψ∞ = sup : s ∈ ess ran q
|q(s) − λ|
1 1
= ≤
dist(λ, ess ran q) dist(λ, C \ Sα+π/2 )
N
≤
|λ|
that A satisfies the conditions of Example 3.4.2 with γ = 0 and the heat
semigroup is bounded holomorphic of angle π/2.
Remark 3.4.4. The probability measure on Rd associated with the heat semi-
group as given in (2.29) makes sense for a complex parameter z replacing t :
|x|2
μz (dx) = (2πz)−d/2 exp − dx, (3.26)
2z
√
with Re z > 0, and the branch of the square root is chosen such that Re z > 0.
We can verify (Exercise 3.4.5) that the associated heat semigroup T (z), as de-
fined in Theorem 2.5.7 is well defined in Lp (Rd ) (1 ≤ p < ∞) as a holomorphic
semigroup of angle π/2. It is interesting to note that though the line Re z = 0
is not in the domain of holomorphy, {T (it)}t∈R does make sense as a unitary
group in L2 (Rd ), and as a family of bounded maps from L1 (Rd ) into L∞ (Rd ).
In fact, we can define
⎧
2
⎨(2π|t|)−d/2 e−idπ/4 exp i|x| dx if t > 0,
2t
μit (dx) =
2
⎩
(2π|t|)−d/2 eidπ/4 exp i|x|
2t dx if t < 0,
and it can be shown that the associated semigroup has the above mentioned
properties (Exercise 3.4.6). The unitary group resulting from this exercise is
called the Schrödinger free evolution group and is of interest in Quantum Me-
chanics. For further reading in this area, the reader is referred to [1] and [21].
Chapter 4
In this chapter, the stability of various classes of semigroups under suitable sets
of perturbations will be studied, viz. for general C0 -semigroups and contraction
semigroups. The methods involved will be the expansion of either the perturbed
semigroup itself in terms of the unperturbed one and the perturbation of the
generator or in terms of the resolvents concerned.
where
I0 (t)x = T (t)x
t
I1 (t)x = T (t − t1 )BT (t1 )x dt1
0
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 81
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7_4
82 Perturbation and convergence of semigroups
t
I2 (t)x = T (t − t2 )BI1 (t2 )x dt2
0
t
t2
= T (t − t2 )B dt2 T (t2 − t1 )BT (t1 )x dt1
0 0
This follows by rewriting the infinite sum on the right hand side of (4.1) as
∞
t
S(t)x − T (t)x = T (t − s)BIn−1 (s)x ds
n=1 0
∞
t
= T (t − s)B In−1 (s)x ds
0 n=1
∞
t
= T (t − s)B In−1 (s)x + T (s)x ds
0 n=2
t
= T (t − s)BS(s)x ds,
0
4.1. Perturbation of the generator of a C0 -semigroup 83
S(t + s) − S(t)S(s)
t+s
= T (t + s) + T (t + s − v)BS(v) dv
0
t
− T (t) + T (t − u)BS(u) du S(s)
0
s
= T (t + s) − T (t) T (s) + T (s − u)BS(u) du
0
t+s
t
+ T (t + s − v)BS(v) dv − T (t − u)BS(u)S(s) du
0 0
s
t+s
=− T (t + s − u)BS(u) du + T (t + s − v)BS(v) dv
0 0
t
− T (t − u)BS(u)S(s) du
0
t
= T (t − u)B(S(u + s) − S(u)S(s)) du.
0
The left hand side is independent of n while the right hand side converges to 0
as n → ∞, showing that S satisfies the semigroup property. Now, using (4.3)
for x ∈ D(A), we have that
t
−1 −1 −1
t (S(t) − I)x = t (T (t) − I)x + t T (t − s)BS(s)x ds, (4.4)
0
Proof. Let a and b be as in (4.5). Set x(t) = S(t)T (t)e−tλ x with x ∈ D(A) ⊆
D(B). Then for t > 0 and λ > 0,
and therefore
[λ − (A + B)]x ≥ λx
for all x ∈ D(A) and λ > 0, which implies that λ − (A + B) is injective. Recall
that λ ∈ ρ(A) for all λ > 0, hence by Theorem 2.2.7
for sufficiently large λ, since a < 1/2. This along with the equality
implies that Ran(λ − (A + B)) = X for sufficiently large λ, say for λ > λ0 , and
hence, for such λ > λ0 , (λ − (A + B))−1 ≤ λ−1 . Next, let 0 < μ < λ0 < λ
and note that
yielding that
−1 −1 −1
[μ − (A + B)] = [1 + (μ − λ)(λ − (A + B))−1 ] [λ − (A + B)] ,
∞
|μ − λ| n
(μ − (A + B))−1 ≤ λ−1 = μ−1 ,
n=0
λ
proving the necessary estimate for all μ > 0. Furthermore, by Theorem 4.2.1(i)
A + B, defined on D(A) is closed. An application of The Hille-Yosida Theorem
2.3.3(i) leads to the desired result.
or
Bx ≤ a(1 − aα)−1 (A + αB)x + b(1 − aα)−1 x
Observe that in view of Theorem 3.1.18, the condition that the relatively
bounded operator B be the generator of a contraction C0 -semigroup in Theorem
4.1.3 may be replaced with the condition that B is dissipative and Ran(B−1) =
X. However, the range condition may be done away with completely. More
precisely, the following holds (see [19, Corollary 3.3.3]):
where we have used the estimate in Theorem 2.2.7(f). This leads to the result
that BR(z, A) ∈ B(X).
The converse is simpler and is left as an exercise (Exercise 4.2.3).
Now let BR(z, A) be compact for some z ∈ ρ(A), and let {xn } ⊂ D(A)
and {Axn } be bounded sequences. Since (z − A)xn ≤ |z|xn + Axn , it
follows that {(z − A)xn } is also a bounded sequence and therefore the sequence
{Bxn }n = {BR(z, A)(z − A)xn )}n will have a convergent subsequence. Hence
B is A-compact. The converse follows by retracing the steps of this argument.
That the property of boundedness or compactness of BR(z, A) is independent
of the choice of z ∈ ρ(A) is an easy consequence of the resolvent equation (A.1)
and in left as an exercise (Exercise 4.2.4).
When the Banach space X is a Hilbert space, there are more specific
results, as given in the next theorem. But before that, we need to introduce
the concept of essential spectrum of a selfadjoint operator, recalling that the
spectrum of A is defined in Appendix A.1.
which can be made less than 1 by choosing α large enough, since a < 1. Hence,
for such a choice of α, (I + BR(±iα, A))−1 is in B(H). Therefore, for x ∈ D(A),
the identity
(A + B) ± iα x = I + BR(±iα, A) (±iα − A)x, (4.7)
along with the criterion of selfadjointness in Theorem A.1.12 implies that A+B
is selfadjoint on D(A). If A is bounded below, say A ≥ γ, (γ ∈ R) that is, there
exists γ ∈ R such that Ax, x ≥ γx, x for all x ∈ D(A), then choose κ < γ,
so that A − κ > 0. Hence R(κ, A) ∈ B(H) by Theorems A.1.13 and A.1.15,
and the preceding argument can be repeated to show that for any z ∈ C with
Re z = κ < γ,
(v) There exists a core D for A in X0 (see Appendix A.1), such that for every
x ∈ D, there exists an x(λ) ∈ D(A(λ) ) ⊆ X for each λ ∈ (0, 1] satisfying
x(λ) −→ x and A(λ) x(λ) −→ x strongly as λ −→ 0+ .
Proof. That (ii) and (iv) imply (i) and (iii) respectively, is trivial. For the
implication (i) ⇒ (ii), note that for t0 ∈ (0, ∞), t ∈ [0, t0 ] and x ∈ X0 ,
(λ)
T (t + t0 )x − T (t + t0 )x
≤ T (λ) (t)(T (λ) (t0 )x − T (t0 )x) + (T (λ) (t) − T (t))T (t0 )x
≤ M eβt T (λ) (t0 )x − T (t0 )x + (T (λ) (t) − T (t))T (t0 )x.
Therefore, limλ−→0+ sup0≤t≤2t0 T (λ) (t)x − T (t)x = 0. Proceeding this way
in N steps one has that
Using the bound for the semigroup T (λ) , one has that
−1
(λ)
sup z − A(λ) T (t) − T (t) (z − A)−1 x
t∈[0,t0 ]
t0
≤ M e|β|t0 (z − A)−1 − (z − A(λ) )−1 T (s)x ds. (4.12)
0
Applying (iv) to the first term in (4.14) and (4.13) to the second term of
(4.14) leads to the conclusion that they converge strongly to zero as λ −→ 0+ ,
uniformly for t ∈ [0, t0 ].
It is clear that by (iv) the third term in (4.14) converges to zero for every
t as λ → 0+ . To show that this convergence is uniform with respect to t ∈ [0, t0 ]
we proceed as follows. For x ∈ X0 and any ε > 0, choose y ∈ D(A) ⊆ X0 such
that x − y < εe−|β|t0 ( Re z − β)/8M 2 and then note that, using (2.7),
z − A(λ) −1 − (z − A)−1 T (t)x
≤ 2M 2 e|β|t0 ( Re z − β)−1 x − y
t0
−1
+ z − A(λ) − (z − A)−1 T (s)Ay ds
0
−1
+ z − A(λ) − (z − A)−1 y
which can be made less than ε by choosing λ > 0 sufficiently small, uniformly
in t ∈ [0, t0 ]. Thus combining the above considerations along with (4.14), we
get that lim sup (T (λ) (t) − T (t))(z − A)−1 x = 0, and the property (ii)
λ−→0+ t∈[0,t0 ]
follows by the density of D(A) in X0 .
94 Perturbation and convergence of semigroups
Proof. Without loss of generality, set β = 0. First, we need to extend the strong
convergence to an open set in C. For this let
S = z ∈ C : |z − z0 | < M −1 Re z0 .
Then by the assumption that T (λ) (t) ≤ M ∀t, one has that
z0 − A(λ) −1 ≤ M ( Re z0 )−1 .
∞
−m
(z0 − z)m z0 − A(λ)
This implies, therefore, that the series converges in
m=0
−1 −1
operator norm and defines the operator I + (z − z0 ) z0 − A(λ) in B(X)
for all z ∈ S. It follows from the relation
z − A(λ) = (z0 − A(λ) ) I + (z − z0 )(z0 − A(λ) )−1
4.3. Convergence of semigroups 95
that the operator z − A(λ) is injective and that its range equals X, since the
same is true for z0 − A(λ) . Hence S ⊆ ρ(A(λ) ) and
−1
−1
−1 −1
z − A(λ) = z0 − A(λ) I + (z − z0 ) z0 − A(λ)
∞
−(m+1)
= (z0 − z)m z0 − A(λ) . (4.15)
m=0
Since
Kx = lim (z0 − A(λ) )−1 x ≤ M ( Re z0 )−1 x,
λ→0+
−(m+1)
it follows that z0 − A(λ) converges strongly to K m+1 as λ −→ 0+ and
z0 − A(λ) −(m+1) − K m+1 ≤ 2[M ( Re z0 )−1 ](m+1) .
the series converging in operator norm. Next note that for any z, z ∈ S,
showing that Ran R(z) ⊆ Ran R(z ) and by symmetry between z and z one
has that Ran R(z) = Ran R(z ), that is, the range of R(z) is independent of
z ∈ S. Therefore Ran R(z) = Ran K, which is dense in X by hypothesis. Now
we define a linear operator A in X as follows. Set its domain D(A) = Ran K
and
Ax = z0 x − K −1 x ∀ x ∈ D(A). (4.16)
(z0 − A)Kx = x, for all x ∈ X and K(z0 − A)x = x for all x ∈ D(A),
96 Perturbation and convergence of semigroups
and therefore z0 ∈ ρ(A) and K = (z0 − A)−1 . This and the definition of R(z)
gives that
S ⊆ ρ(A) and R(z) = (z − A)−1 for all z ∈ S.
The conclusion of the theorem follows now by applying the Theorem 4.3.1.
In this chapter, a very interesting theorem, due to Chernoff [4], is proven and
some of its applications, viz. the Trotter-Kato Product Formula, the Feynman-
Kac Formula and the Central Limit Theorem are given. A proof of the Mean
Ergodic Theorem is also given at the end as a further application of the concept
of C0 -group and Stone’s Theorem.
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 97
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7_5
98 Chernoff ’s Theorem and its applications
∞
nr
r
Proof. Note that for x ∈ X, en(L−I) − Ln x = e−n r! L − Ln x and thus
r=0
∞
n(L−I) nr
e − Ln x ≤ e−n L|r−n|x − x
r=0
r!
nr
∞ |r−n|−1
j+1
−n
≤e L x − Lj x
r=0
r! j=0
∞
nr
≤ e−n |r − n| Lx − x
r=0
r!
√
≤ n(L − I)x.
whereas
n
t
F −1
n − I x ≤ 2 t x ≤ 2δ x if t/n ≥ δ.
n
t
Thus,
n
t
sup sup F − I x ≤ max{ + Ax, 2δ −1 x}.
n t∈[δ,t0 ] t n
This, combined with the earlier observation that T (n) (1) converges to T (t),
implies that for any x ∈ D, [F ( nt )]n x converges strongly to T (t)x as n −→ ∞,
uniformly for t ∈ [0, t0 ]. Finally, the density of D in X and the facts that
both F (t) and T (t) are contractions allow the extension of this convergence,
uniformly for t ∈ [0, t0 ], to the whole space X.
that is, F (0)x exists for every x ∈ D and equals (A + B)x. By hypothe-
sis, (A + B)|D is the generator of a C0 -semigroup {Z(t)}t≥0 and therefore by
Chernoff’s Theorem,
Remark 5.1.4. 1. Theorem 5.1.3 subsumes the classical Lie Product Formula
which motivated the above generalisation. The Lie Product theorem is as
follows: let A and B be two complex n × n matrices. Then (etA/n etA/n )n
converges to et(A+B) as n → ∞, uniformly for t in compact subsets of
[0, ∞).
Note that even if the semigroups concerned are not necessarily con-
tractive, but their generators are bounded operators in X, we can work
with their contractive modifications, viz. et(A− A ) and et(B− B ) respec-
tively, to get the limiting semigroup to be et(A+B−( A + B )) , and thereby
to the same result after an application of Theorem 5.1.3.
the group {S(t)}t∈R is easily seen to be B = iP, where P = − i dx
d
|S(R) and
S(R) is the class of smooth functions of rapid decrease (see Appendix A.2).
Next we note that A + B = i(P + MV ) and we claim that P + MV is selfadjoint
on D(P ).
This is because if f ∈ D(P ) ⊆ L2 (R), then f is bounded, uniformly
continuous and converging to 0 as |x| −→ ∞ (see Remark A.2.6(d)) and it
follows that D(P ) ⊂ D(MV ). Furthermore, for x ∈ D(P ),
and since
−1 −1/2
1/2
MV1 (P + in) ≤ (2π) V1 2 |k + in|−2 dk
R
−1/2
≤ (2n) V1 )2 → 0 as n → ∞,
t(j+1)/n
dx χ x + s − χ x + tj/n ds −→ 0 as n −→ ∞.
j=0 tj/n
Indeed this follows from the fact that for s ∈ tj/n, t(j + 1)/n ,
dxχ x + s − χ x + tj/n = 2 s − tj/n
102 Chernoff ’s Theorem and its applications
n
and this in its turn implies that exp i t/n V x + jt/n converges to
j=1
t
exp i V x + s ds pointwise almost everywhere in x, by choosing a sub-
0
sequence if necessary. Finally, an application of the Dominated Convergence
n
Theorem to (5.1) shows that T (t/n)S(t/n) converges strongly to the map
Z(t) as n −→ ∞, where Z(t)f in L2 (R) is given as
t
Z(t)f (x) = exp i V x + s ds f (x + t). (5.2)
0
However, this could also have been obtained simply by observing that if we set
x
W f (x) = exp i V y dy f (x),
0
then (i) W defines an unitary operator in L2 (R) which leaves D(P ) invariant
and (ii) it intertwines between the selfadjoint operators P and P + MV , that is,
P W f = W (P + MV )f for all f ∈ D(P ). Then Z(t) = W ∗ S(t)W and a simple
computation of the right hand side of this equality on a vector f ∈ L2 (R)
establishes (5.2).
so that the new operator S̃(t) differs from S(t) by multiplication by a scalar
and {S̃(t)}t≥0 is now a contraction C0 -semigroup. This does not make material
change in what is going to follow. In fact, now we can apply Theorem 5.1.3 to
n
get that Z(t) = s − lim T (t/n)S(t/n) , where Z(t) is a C0 -semigroup with
n−→∞
5.2. Applications of Trotter-Kato and Chernoff Theorem 103
T (t)f (x) = K(t; x − y)f (y) dy, with
Rd
|x|2
K(t; x) = (2πt)−d/2 exp − for t > 0. (5.3)
2t
One can explicitly compute to get
n
Tt/n St/n f (x)
t
dw 2
− 21 (s) ds.
0 ds
Next, we note that for most (continuous) paths w, ẇ will be quite singular
leading to the formal vanishing of the first exponential factor in (5.4) while the
104 Chernoff ’s Theorem and its applications
$
n
dxj diverges as n −→ ∞, leaving us with the tantalising possibility that
j=1
the product somehow will be meaningful. This we address next by constructing
the Wiener measure P on the linear space of continuous paths w, making sense
of the limit as n → ∞ of the right hand side of (5.4) as
t
e− 0 V (x+w(s)) ds f (x + w(t))P(dw),
where the integration is over the (infinite dimensional) linear vector space
C(R+ , Rd ) of all Rd -valued continuous paths w.
There are a few different ways of constructing the Wiener measure. We
shall present here in brief one such method, more probabilistic in spirit, using
Kolmogorov’s Extension or Consistency Theorem [17, pages 143–144 and 212–
224]. For an alternative approach to the construction of the Wiener measure,
the reader is referred to [21, pages 277–279].
The expressions (2.29) and the associated heat kernel K in (5.3) and the
right hand side of (5.4) admits probabilistic interpretations as follows. For every
Borel set B in Rd × . . . × Rd define the family of distributions Ft1 ,t2 ,t3 ,...,tn (B)
% &' (
n-fold
for 0 < t1 < t2 < · · · < tn < t < τ < ∞ as
where p(s, x; t, y) = K(t − s; y − x). The quantity Ft1 ,t2 ,t3 ,...,tn (B) is the n-
dimensional probability distribution that the stochastic process, starting at
time 0 at x ∈ Rd will arrive at time t at y ∈ Rd , after having passed through
the region B in Rdn at time-sequence t1 < t2 < . . . < tn . The collection
Ft1 ,t2 ,...,tn (B) : 0 < t1 < t2 < . . . < tn < t < τ ; B a Borel set in (Rd )n ; n ∈ N
(iii) Ft1 ,t2 ,...,tn (Rdn ) = p(0, x; t, y), which follows from the properties of a con-
volution semigroup (see Exercise 2.5.8 and Theorem 2.5.7), and
5.2. Applications of Trotter-Kato and Chernoff Theorem 105
(iv) The distributions Ft1 ,t2 ,...,tm are consistent. This means that for all Borel
sets E1 , E2 , . . . Em in Rd ,
P(w ∈ Ω : (X(0, w) = x, X(t1 , w), . . . , X(tn , w)) ∈ B) = Ft1 ,t2 ,...,tn+1 (B)
for all B ∈ Borel subsets of (Rd )n . This stochastic process {X(t)}t≥0 is called
the Brownian motion, starting at x ∈ Rd , and the associated measure Px the
Wiener measure . If we set x = 0 in (5.5), that is, if the process starts at the
origin, then X(0) = 0 and in such a case {X(t)}t≥0 is the standard Brownian
motion (S.B.M.)
Further properties of S.B.M. are as follows.
1. X(0) = 0,
= t − s.
106 Chernoff ’s Theorem and its applications
are independent Rd -valued random variables for all 0 ≤ t1 < t2 < t3 . . . <
tn−1 < tn .
E |X(t) − X(s)|α ≡ |u − v|α dFt,s (u, v)
then there exists a unique measure μ on C[0, τ ] such that all the finite-
dimensional distributions associated with μ equal Ft1 ,t2 ,...,tn (·) from which
the measure Px was constructed. In the above expression E is the expec-
tation. It is easy to see (Exercise 5.2.4) that if X(·) are the Rd -valued
S.B.M’s, then for p ≥ 2, 0 ≤ s < t, we have
d p/2
E |Xj (t) − Xj (s)|2 = (t − s)p/2 E|ξ|p ,
j=1
In some sense the original probability space is not relevant any more and
we can assume that the S.B.M. (or the Rd -valued Wiener process) is the process
R+ × C(R+ ) → Rd given by (t, w) → w(t), that is, work with the continuous
paths on R+ and the Wiener measure on them.
Now we are in a position to re-interpret (or rewrite) the expression (5.4)
n
for T (t/n)S(t/n) f (x) as
n
= exp − (t/n)V (w(tj/n)) f (w(t))Px (dw)
Ω j=1
n
= exp − (t/n)V (x + w(tj/n)) f (x + w(t))P(dw), (5.6)
Ω j=1
5.2. Applications of Trotter-Kato and Chernoff Theorem 107
where we have written Ω for C(R+ ). As in the case of Example 5.2.1, one can
approximate V by a sequence of uniformly bounded simple functions, pointwise
and since for a bounded Borel set ⊆ Rd ,
n
tj/n
P(dw) dx ds (χ (x + w(s)) − χ (x + w(tj/n))
j=1 Rd t(j−1)/n
$
tj/n d
≤ ds P(dw) 2 wk (s) − wk (tj/n) . (5.7)
j=1 t(j−1)/n k=1
$
tj/n d
≤ 2d ds P(dw) wk (s) − wk (tj/n)2 1/2
j=1 t(j−1)/n k=1
n
tj/n
= 2d |s − tj/n|d/2 ds −→ 0 as n −→ ∞. (5.8)
j=1 t(j−1)/n
t
= exp − V (w(s))ds f (w(t))Px (dw), (5.9)
Ω 0
108 Chernoff ’s Theorem and its applications
Remark 5.2.5. Feynman’s original idea ([10]) was to look for a description of
the solution of the Schrödinger equation (which in quantum mechanics gov-
erns the evolution of the wave function, describing the state of the associated
quantum mechanical physical system) in terms of all possible continuous paths
connecting the initial space time point with the final one (see also Section 7.3).
Unlike in the above discussion on the Feynman-Kac Formula, the relevant ve-
hicle there is the unitary group given by U (t) = exp − i(H0 + V )t , and if one
tries to write down an expression similar to that in (5.4) it would be
2πit −nd/2
i n x − x 2
j j−1
(U (t)f )(x) = lim ... exp − (t/n) ×
n−→∞ n 2 j=1 t/n
n
exp − i t/nV (xj ) f (xn )dx1 ...dxn , (5.11)
j=1
that is, it replaces t in (5.4). However, unlike in the earlier case, the formal
limit of the expression in the right hand side of (5.11) as n → ∞ cannot be
made sense of. That is, there does not exist any measure νx on Cx (R+ ), the
space of continuous functions f on R+ with f (0) = x, such that (5.11) may be
reinterpreted as
t
exp −i V (w(s)) ds f (w(t))νx (dw),
Cx (R+ ) 0
as was possible in the earlier case of the construction of the Wiener measure.
Example 5.2.6 (Central Limit Theorem). Let X and Y be two independent real-
valued random variables with distributions G and H respectively; it is known
(see [18]) that X + Y is a real-valued random variable with distribution G ∗ H.
Explicitly, let
and then
Next, let {ξi }ni=1 be n independent real-valued random variables, each with
distribution G, independent of i and with mean 0 and variance 1. Then by a
simple extension of the above line of reasoning, one has that for α ∈ R,
1 n
Pr √ ξi ≤ α = (Gn ∗ Gn ∗ ... ∗ Gn )(α),
n i=1 % &' (
n-fold
√
where Gn (x) = G( nx). It is natural to set this problem up in some Banach
space X, say in X ≡ C0 (R), the Banach space of continuous complex-valued
functions vanishing at infinity, equipped with the supremum norm, and to asso-
ciate with the action of convolution a linear operator on X. For this, we define
for f ∈ X and any fixed distribution function G on R, the linear operator AG
by
thereby setting the stage for an application of Theorem 5.1.1. For that we need
first to compute F (0), which is done in the next lemma.
Lemma 5.2.7. Let F (t) = AG(1/t) for all t > 0, and define an operator Δ̃ in X
by setting
D(Δ̃) = f ∈ X : f and f ∈ X and (5.13)
1
(Δ̃f )(x) = f (x) for any f ∈ D(Δ̃) and x ∈ R. (5.14)
2
110 Chernoff ’s Theorem and its applications
and
Using Taylor’s Theorem, there exists θ ∈ (0, 1) such that the right hand side
of (5.16)
√
1
= f (x − θ tu) − f (x) u2 G(du)
2 R
√
1
= √ [f (x − θ tu) − f (x)]u2 G(du)
2 |u t|<δ
1 √
+ √ [f (x − θ tu) − f (x)]u2 G(du)
2 |u t|≥δ
= I1 (t) + I2 (t).
I1 (t) < ε/2 u2 G(du) = ε/2.
R
Having chosen this δ, now one chooses t0 with 0 < t0 < 1 such that
I2 (t) ≤ f u2 G(du) < ε/2 for t < t0 .
∞
|u|≥δt−1/2
Theorem 5.2.8 (Central Limit Theorem). Let {ξi }i≥1 be a sequence of inde-
pendent and identically distributed real-valued random variables with mean
n
0 and variance 1. Then as n −→ ∞, P r √1n ξi ≤ α converges to
i=1
α n
1 −x2 /2
√ e dx, that is, the random variable √1n ξi converges to a
2π −∞ i=1
N (0, 1)-random variable in distribution.
n
1 2
F (t/n)n f (x) = Ef x − t/n ξi −→ √ f (x − y)e−y /2t
dy
i=1
2πt
as n → ∞.
Example 5.2.9 (Mean Ergodic Theorem). Let (Ω, , μ) be a finite measure space
and let ξ be a measure preserving transformation on Ω, that is, μ(ξ −1 ()) =
μ(), ∀ ∈ . The transformation ξ is said to be ergodic if the only mea-
surable sets (up to a set of measure 0) that are invariant under ξ are the
whole set Ω and the null set ∅. This action can be lifted as a map on the
linear spaces of complex-valued measurable functions on (Ω, , μ) by setting
(Tξ f )(x) = f (ξ(x)). In particular, if we start with f ∈ L2 (Ω, , μ) ≡ X, then
we observe, that
2
Tξ f 2 = 2
|f (ξ(x))| μ(dx) = |f (x)|2 μ · ξ −1 (dx) ≤ f ,
Ω ξ(Ω)
exists and equals P f, where P is the projection onto N (A), the null space of
A. Furthermore, the subspace P (X) consists of functions which are constant μ
−1
-almost everywhere and (P f )(x) = [μ(Ω)] f (y)μ(dy) (the space average)
∀ f ∈ X.
f ∈ N (A) ≡ f ∈ D(A) ⊆ X : Af = 0 if and only if U (t)f = f for all t ∈ R.
since (U (t)1)(x) = 1( that is 1(ξt (x)) = 1 ∀t, for almost all x ∈ Ω). It is easy
1
T
to see that if g ≡ limT →∞ 2T −T U (s)f ds exists, then U (t)g = g. In fact,
T
T +t
1 1
U (t)g = lim U (t + s)f ds = lim U (s)f ds
T →∞ 2T −T T →∞ 2T −T +t
T
T +t
1 1
= lim U (s)f ds + lim U (s)f ds
T →∞ 2T −T T →∞ 2T T
−T
1
+ lim U (s)f ds = g,
T →∞ 2T −T +t
since the second and the third limits vanish. This leads to the conclusion that
g ∈ N (A), and furthermore,
T
T
1 1
g = P g = lim P U (s)f ds = lim P f ds = P f.
T →∞ 2T −T T →∞ 2T −T
For the penultimate equality, note that U (t)P = P for all t ∈ R so that
P U (t) = P for all t ∈ R on taking adjoints. Hence, for every f ∈ X, if
T
1
lim U (s)f ds ≡ g exists, then g = P f, and by the earlier discussions,
T →∞ 2T −T
g(x) = (P f )(x) = [μ(Ω)]−1 f (y)μ(dy) .
Thus to complete the chain of reasoning, we have to prove the existence of the
above-mentioned limit g. For this, note first that X = N (A) ⊕ Ran(A) since
A is selfadjoint. For arbitraryf ∈ X, set f = P f + f˜, with f˜ ∈ Ran(A), and
T
1
note that U (s)P f ds = P f. On the other hand, if h ∈ Ran(A), that is,
2T −T
h = Au for some u ∈ D(A), then
T
T
T
1 1 i d
U (s)h ds = U (s)Au ds = − U (s)u ds
2T −T 2T −T 2T −T ds
U (T )u − U (−T )u
= −i −→ 0 as T → ∞.
2T
For f˜ ∈ Ran(A) and any > 0, one can find h ∈ Ran(A), such that f˜−h < ,
and one has that
T
T
1 1
lim U (s)f˜ ds = lim U (s)(f˜ − h) ds
T →∞ 2T −T T →∞ 2T −T
T
1
+ lim U (s)h ds
T →∞ 2T −T
T
1
= lim U (s)(f˜ − h) ds,
T →∞ 2T −T
114 Chernoff ’s Theorem and its applications
1 T 1 T
lim U (s)f˜ ≤ lim U (s)(f˜ − h) ds < .
T →∞ 2T −T T →∞ 2T −T
Chapter 6
Markov semigroups
The random variables are measurable maps or functions (real, complex or more
generally vector-space valued) f : Ω → X, and their X- valued expectation is
given by
In fact, the linear space of such functions (called random variables) and the
associated probability measure are in dual relationship. More precisely, for ex-
ample, if X = C and Ω = [0, 1], equipped with the standard Borel structure,
and the space of random variables on Ω is C[0, 1], then the Riesz-Markov Theo-
rem [24, Theorem 6.19], tells us that every normalised positive linear functional
φ on C[0, 1] is given by a regular probability measure μφ such that
φ(f ) = f (x)μφ (d x)
[0,1]
2. T (t)f ∈ X+ whenever f ∈ X+ ∀ t ≥ 0.
3. T (t)I = I ∀ t ≥ 0.
To fix ideas, let us start with a finite state space Ω = {1, 2, . . . , N } and consider
a probability distribution given by a vector p = (p1 , p2 , . . . pN ) on it and a
N
i,j=1 such that tij ≥ 0 and
stochastic (or Markov) matrix (tij )N j=1 tij = 1 for
each i.
(i) The probability vector p is in one-to-one correspondence with φp , the
positive linear functionals on the space of real-valued functions f on Ω
N
such that φp (f ) = i=1 pi f (i) and φp (1) = 1. This allows one to associate
a discrete evolution T given by T (φp )(χj ) = i pi tij , where
χj is the
indicator function of the singleton set {j}.
(ii) There is a dual evolution T ∗ acting on the real-valued functions f on
Ω given by T ∗ (f )(i) = χ
j tij f (j) and we observe that (T (φp ))( j ) =
∗ χ ∗
φp (T ( j )). It can also be noted that T maps positive functions to pos-
itive functions and maps the identity function to itself.
(iii) {T n}n∈Z+ and {T ∗n }n∈Z+ provide two discrete (dynamical) semigroups,
the second being dual to the first and clearly T ∗n satisfies property (ii)
for each n.
In probabilistic terminology, the element tij of the matrix representation of the
map T denotes the (Markov) transition probability from the initial state i to
N
the final state j, thereby explaining the requirements: tij ≥ 0 and j=1 tij = 1.
Now let N be the state space of a Markov transition over (continuous)
time t ∈ R+ with transition matrix P (t) ≡ (pij (t)), (i, j = 1, 2, . . .) such that
6.2. Construction of Markov semigroups on a discrete state space 119
that is,
∞ ∞
d d
P (t)x1 = xi pij (t) = 0 for all x ∈ X+
dt dt j=1 i=1
or
P (t)x1 = P (0)x1 = x1 ∀x ∈ X,
∞
where x1 = j=1 |xj |, the l1 -norm. This means that the total probability
that the process, starting from the state i will transit to some state k ∈ N in
time t, is independent of t. Equivalently, we need to construct a C0 -semigroup
{P (t)}t≥0 acting on l1 with generator A, which satisfies (6.3).
We remark here that Feller [9] first proved the existence of a unique mini-
mal semigroup associated with the equations (6.3) and (6.2) for infinite discrete
state space, and Kato [13] constructed the same in the framework of the the-
ory of semigroups, exploiting the special nature of l1 . Here we follow Kato’s
construction.
As mentioned earlier, before the Lemma 6.1.2, we shall be dealing with
the Markov semigroup {P (t)}t≥0 acting on l1 and its dual {P ∗ (t)}t≥0 on l∞ .
Also note that the semigroup {P (t)}t≥0 or the operator A acts on the elements
120 Markov semigroups
of l1 by right action while its dual acts on the elements of l∞ by left action,
that is,
∞
(Ax)j = xi aij for x ∈ X and
i=1
∞
(A∗ y)j = ajk yk for y ∈ X ∗ .
k=1
(iii) Let D0 be the subspace of X consisting of all sequences with finite support.
Then A0 ≡ A|D0 is called the minimal operator associated with A and is
also a closable densely defined operator. (Note that A0 need not be equal
to A.)
we have that
Ax1 = |(Ax)k | ≤ a |xk | + |xj |ajk
k k k j
=k
= ax1 + |xj | ajk ≤ 2ax1 ,
j k
=j
showing that A ≤ 2a. Conversely, let supj aj = ∞. Then there exists a
(k)
subsequence {jl }, such that ajl ↑ ∞. Choose xj = δjk so that x(k) 1 = 1 ∀k
and
(k)
Ax(k) 1 = | xj ajr | = |akr | = |akk | + akr ≥ ak .
r j r r
=k
as n → ∞. Hence, yk = j xj ajk and by hypothesis y = (yk ) ∈ X. Thus,
x ∈ D(A) and y = Ax. The closability of A0 may be proven similarly.
∗
Remark 6.2.2. If condition (i) of Lemma 6.2.1 above holds, then P ∗ (t) = etA
and
d ∗ d
P (t)(I) = P ∗ (t)A∗ (I) = 0, that is, pik (t) = pij (t) ajk = 0,
dt dt j k
Q1. What are the densely defined closed operators à in X such that A0 ⊂ à ⊂
A and such that à is the generator of a positive contraction C0 -semigroup?
Q2. Of all these semigroups (as possibly given as answer to Q1), which ones
are Markov; that is, for which ones does the following equality hold?
P (t)x1 = x1 ∀x ∈ X.
Remark 6.2.3. (i) The property of conservativity: P (t)x1 = x1 for all
x ∈ X is equivalent to P (t)x1 = x1 for all x ∈ X+ , as well as to
P ∗ (t)(I) = I for all t ≥ 0, where P ∗ is the adjoint semigroup acting on
l∞ = X ∗ and I = (1, 1, 1 . . .). The first equivalence follows from the facts
that P is a positive map and the property of the l1 -norm, and the second
from the duality between l1 and l∞ , that is, P ∗ (t)y, x = y, P (t)x for
all x ∈ X and y ∈ X ∗ .
122 Markov semigroups
Remark 6.2.6. (i) D(A) is in general strictly bigger than D(H) and
D(H) = D(−H + K), that is, A ⊃ −H + K ⊃ A0 = A|D0 .
(ii) Since, in general, the bound of K relative to H is not less than 1, none
of the standard results in the theory of perturbation of contraction semi-
groups (Theorems 4.1.3 and 4.1.5, and Corollary 4.1.4) are applicable here,
though the unperturbed semigroup T (t) = exp−tH is a positive contrac-
tion semigroup. The strategy, (following Feller and Kato) is to capitalise
on the positivity property rather than the small relative bound property.
For this, we first set Gr := −H + rK for 0 ≤ r < 1 and collect some of
the relevant results in the next lemma.
Lemma 6.2.7. (i) B(λ) := K(λ + H)−1 , with K and H as in Lemma 6.2.4,
is a positive contraction in X for each λ > 0, satisfying 0 ≤ B(μ) ≤ B(λ)
for 0 < λ < μ.
Proof. (i) That B(λ) is contractive follows from Lemma 6.2.4,(iii), and that
it is positive follows from the positivity of K and of (λ + H)−1 , and the
fact that composition of two positive operators is positive. Further, by the
resolvent equation, for 0 < λ < μ, B(λ) − B(μ) = (μ − λ)B(λ)(μ + H)−1
is positive.
(λ − Gr )D+ = X+ .
Thus for g ∈ X+ ,
and
Rr (λ)g = Rr (λ)g+ + Rr (λ)g− ≤ λ−1 (g+ + g− ) = λ−1 g.
Theorem 6.2.8. For 0 ≤ r < 1, the contraction semigroup {Pr (t)}t≥0 satisfies
the following.
Proof. Fix λ > 0. Then the map (0, 1) r → Rr (λ) is positive and increasing,
since for r > s,
∞
Rr (λ) − Rs (λ) = (λ + H)−1 (rn − sn )B(λ)n
n=0
which implies that each Pr (t) is positive and also that for r > s,
Pr (t) − Ps (t)
n n−1−j
n
n n n−1
n
n j
= s − lim Rr Rr − Rs Rs
n→∞ t j=0 t t t t
for some f ∈ X+ . In such a case, since both Prn (tn ) and [P (tn ) − Prn (tn )] are
positive maps, one has that
P (tn )f = Prn (tn )f + P (tn ) − Prn (tn ) f ≥ Prn (tn )f + η
The next theorem studies the properties of the limit semigroup P in detail;
in particular it describes in the precise sense in which P is the minimal of all
semigroups constructed out of the formal sum −H + K.
Theorem 6.2.9. Let G be the generator of the semigroup P constructed in the
previous theorem and let R(λ) = (λ − G)−1 for λ > 0 be its resolvent. Then
the following hold.
(i) R(λ) ≤ λ−1 , 0 ≤ Rr (λ) ≤ R(λ) for 0 ≤ r < 1 and Rr (λ) converges
strongly to R(λ) as r ↑ 1, for each λ > 0.
n
(ii) Set R(n) (λ) = (λ + H)−1 j=0 B(λ)j for λ > 0. Then R(n) (λ) ≤ R(λ)
and R(n) (λ) converges strongly to R(λ) as n → ∞.
(iii) G is a closed extension of −H + K on D(H) and hence also of A0 = A|D0 .
Furthermore, G is a restriction of A, that is, A ⊃ G ⊃ −H + K ⊃ A0 .
(iv) (minimality) If there exists a positive C0 -semigroup {P (t)}t≥0 with gen-
erator G which extends A0 , then P (t) ≥ P (t) for all t ≥ 0.
∞
Proof. (i) We have seen that R(λ) = e−λt P (t) dt (λ > 0), by Theorem
0
2.2.7(c) and similarly,
∞
Rr (λ) = e−λt Pr (t) dt (λ > 0).
0
It is immediately clear that the positivity of the semigroups implies the
same property for the resolvents and the norm bounds follow from Theo-
rem 2.2.7(f). Note that for f ∈ X,
∞
R(λ)f − Rr (λ)f = e−λt (P (t)f − Pr (t)f ) dt
0
and therefore
α
∞
R(λ)f − Rr (λ)f ≤ e−λt P (t)f − Pr (t)f dt + 2f e−λt dt.
0 α
∞
Given an > 0, choose α > 0 such that 2f e−λt dt < and for
α 2
that α, choose δ > 0, with 1 − δ < r < 1, so that
P (t)f − Pr (t)f < ∀t ∈ [0, α],
2
by using the result on uniform convergence in Theorem 6.2.8. This will
imply that for such a choice of r, R(λ)f − Rr (λ)f < , completing the
proof.
6.2. Construction of Markov semigroups on a discrete state space 127
(ii) Set
n
Rr(n) (λ) = (λ + H)−1 rm B(λ)m .
m=0
These imply that 0 ≤ R(m) (λ) ≤ R(n) (λ) ≤ R(λ) for λ > 0 and for
n ≥ m. Thus, by Lemma 6.1.2(iii), R(n) (λ) increases strongly to a bounded
(n)
operator, say R̃(λ) and R̃(λ) ≤ R(λ). On the other hand, Rr (λ) ≤
R(n) (λ) ≤ R̃(λ) and taking strong limit in the left hand side of this
inequality, first as n → ∞, and then as r ↑ 1, we get that R(λ) ≤ R̃(λ),
leading to the required result, which means that
∞
R(λ) = (λ + H)−1 B(λ)n ,
n=0
This implies that f ∈ D(G), that is, D(H) ⊂ D(G), and for such f, (λ −
G)f = (λ+H −K)f, so that G = −H +K on D(H) or G ⊃ −H +K. Thus
G is a closed extension of −H + K. Since Ran R(n) (λ) ⊂ D(H) = D(K),
we get that for f ∈ X+ ,
n+1
(λ+ H)−1 KR(n) (λ)f = (λ+ H)−1 B(λ)j f = R(n+1) (λ)f − (λ+ H)−1 f.
j=1
(6.6)
−1
The right hand side in (6.6) converges to R(λ)f − (λ + H) f as n → ∞.
Since l1 -convergence implies pointwise convergence (choosing a subse-
quence if necessary), this means that the left hand side vector in (6.6),
represented by the sequence
(n)
(λ + ak )−1 ajk yj , converges to (λ + ak )−1 ajk yj ,
j
=k j
=k
where
(n)
yj = R(n) (λ)f j , yj = R(λ)f j and ajk > 0 (j = k).
and thus
(Ky)k = (λ + ak )yk − fk = (λ + H)y k − fk or
∞
fk = ((λ + H − K)y)k = λyk − yj ajk .
j=1
where y± = R(λ)f± . This gives the result that RanR(λ) ⊂ D(A) and
(λ + H − K)R(λ)f = f for all f ∈ X. Consequently,
A ⊃ G ⊃ −H + K ⊃ A0 .
6.2. Construction of Markov semigroups on a discrete state space 129
{λ ∈ R : λ > β} ⊂ ρ(G )
Lemma 6.2.10. (i) For all x ∈ X+ and λ > 0, b(λ; x) ≡ limn→∞ B(λ)n x
exists, and defines the map b(λ, ·) as a map from the positive cone X+ into
the cone R+ , such that b(λ; αx + y) = αb(λ; x) + b(λ; y) for all x, y ∈ X+
and α > 0.
(ii) For any fixed x ∈ X+ , either b(λ; x) = 0 for all λ > 0 or b(λ; x) > 0 for
all λ > 0. Also, b(λ; x) is a non-increasing function of λ and limλ↓0 b(λ; x)
exists.
n+1
I + KR(n) (λ) = B(λ)j = (λ + H)R(n) (λ) + B(λ)n+1 , (6.8)
j=0
(ii) If b(λ; x) = 0 for some λ > 0, then it follows from (6.9) that for almost
all t, x − P (t)x = 0, and therefore, b(λ; x) = 0 for all λ > 0. That
b(λ; x) if not identically zero, is non-increasing in λ follows from the same
property of B(λ) (see Lemma 6.2.7(i)) and their positivity. The existence
of limλ↓0 b(λ; x) follows from the fact that it is a non-increasing function
of λ.
(iv) This follows in a manner similar to above and the details are left for the
reader to work out (Exercise 6.2.12).
Remark 6.2.13. (i) For x ∈ X+ , P (t)x = x if and only if b(λ; x) = 0 for
some, and hence for all λ > 0, or equivalently if and only if B(λ)n x → 0 as
n → ∞. This follows clearly from the proof of Lemma 6.2.10, in particular
from (6.9).
generator in some sense, that is used. Here, the positive operator H is the
generator of the unperturbed semigroup and K is the perturbation. But
as noted in Lemma 6.2.4(iii), K is not small relative to H and hence the
methods of Chapter 4 are not available. However, the fact that both H
and K are positive maps comes to our rescue. Nevertheless, a price has
to be paid in the sense that the uniqueness of the perturbed semigroups
is lost and one needs to concentrate on the minimal one only.
The next theorem collects all these results relevant to the conservativity
of the minimal semigroup.
(i) For some λ > 0, and hence for all λ > 0 and all x ∈ X+ ,
b(λ; x) ≡ limn→∞ B(λ)n x = 0.
(ii) For some λ > 0, the dual eigenvalue equation A∗0 x∗ = λx∗ has no non-zero
solution in X ∗ = l∞ .
Furthermore, when any of the above conditions (and hence all) is satisfied, then
the minimal semigroup P is the only semigroup, the generator of which is an
extension of A0 .
Ran(λ + H − K) is dense in X.
(λ + H − K)D(H) = (λ + H − K)D0 .
1
n
Bn (λ) = B(λ)j
(n + 1) j=0
B(λ)n x ≤ B(λ)j x if 0 ≤ j ≤ n.
Hence for x ∈ X+ ,
1
n
Bn (λ)x = B(λ)j x ≥ B(λ)n x
n + 1 j=0
To end the chapter, we discuss a few concrete examples with infinite state
space.
Example 6.2.17. (The death process) Here assume that the infinite matrix
A is lower triangular, that is, ajk = 0 ∀ k > j, and therefore B(λ)x k =
xj bjk (λ) with the matrix element bjk (λ) = 0 if k > j and = ajk /λ + aj if
j
=k
k < j. Then
ajn jn−1 ajn−1 jn−2 a a
j2 j1 j1 k
B(λ)n ej = ···· ,
k λ + ajn λ + ajn−1 λ + aj2 λ + aj1
where the summation above is taken over the n indices j1 , j2 , . . . , jn , subject
to the conditions j = jn = jn−1 , jn−1 = jn−2 , . . . j2 = j1 , j1 = k. By virtue of
the assumption on the matrix elements ajk , the above sum is non-zero only if
j = jn ≥ jn−1 + 1 ≥ jn−2 + 2 ≥ ... ≥ j1 + n − 1 ≥ k + n. This implies that
B(λ)n ej k = 0 if j < k + n and for each fixed j,
∞
B(λ)n ej = B(λ)n ej k = 0
k=1
∞
if we choose n large enough. Therefore, for x = αj ej , since B(λ) is a con-
j=1
traction,
N
N
B(λ)n x ≤ B(λ)n αj ej + x − αj ej ,
j=1 j=1
Example 6.2.18. (The birth process) In this example, the matrix ajk has the
property that aj,j+1 = −ajj = aj ≥ 0 and all other ajk = 0. This means that
for the matrix bjk (λ) ≡ B(λ)ej k all bjk (λ) = 0 except for bj,j+1 (λ) which
aj
is equal to λ+a j
. Therefore, B(λ)n ej k = 0 unless k = j + n and
$
n−1
aj+m
B(λ)n ej = B(λ)n ej =
j+n λ + aj+m
m=0
$
n−1
−1
= 1 + λa−1
j+m .
m=0
Remark 6.2.19. Many results, similar to the ones derived in this chapter, can
be obtained also in the non-commutative context. For example, one can study
the Markov or semi-Markov semigroups on B(H), or its pre-dual semigroup
on B1 (H) [6]. A more general extension of this theory to an arbitrary von
Neumann algebra or its pre-dual Banach space, respectively, can be found in
[25, Section 3.2].
Chapter 7
where
d
∂2u
Δu = .
i=1
∂x2i
Finding solutions of the above using the method of separation of variables,
which is an effective method only in the presence of some symmetry in the sys-
tem, is part of every basic course on partial differential equations, often leaving
many fundamental issues like uniqueness, completeness and so on unanswered.
However, the theory of C0 -semigroups can be employed to treat an equation
such as this in an elegant manner, yielding, in most cases pay-offs beyond just
existence and uniqueness of solutions. To begin with, given the linear partial
differential equation, one tries to write it as an abstract Cauchy problem on a
Banach space X,
u (t) = Au(t), t ≥ 0
(7.2)
u(0) = f
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 137
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7_7
138 Applications to partial differential equations
From the discussions in Appendix A.2 it follows that P (D̃) has a natural
extension as an operator acting on the space L2 (Rd ). Precisely, we have that
where MP is the multiplication operator (see Appendix A.1 and also Section
2.5) given by
(MP f )(x) = P (x)f (x), for all x ∈ Rd ,
for all f ∈ D(MP ) = f ∈ L2 (Rd ) : |P (x)f (x)|2 dx < ∞ .
Rd
We shall prove that Q(·, D̃) = Mbα D̃α is relatively bounded with re-
spect to P (D̃), in fact that its P (D̃)-bound is less than 1. Let α be a multi-index
with |α| ≤ 2m − 1. Since the map Rd y → y α is continuous where | · | is the
Euclidean norm in Rd , and since |y α |/|y|2m = |y||α|−2m converges to 0 as
|y| → ∞, we conclude that for every > 0, we can find c > 0 such that
|y α |2 ≤ c2 + 2 |y|4m ∀ y ∈ Rd .
Since P is strictly elliptic, there exists θ > 0 such that P (y) ≤ −θ|y|2m for all
y ∈ Rd , so |P (y)|2 ≥ θ2 |y|4m . Therefore, by the results in Appendix A.2, and
in view of the discussion immediately preceding Theorem 7.1.1, it follows, on
setting φα (y) = y α , that
D̃ α
f 2L2 (Rd ) = F −1
Mφα F f 2L2 (Rd )= |(Mφα F f )(y)|2 dy
Rd
= |y α |2 |F f (y)|2 dy
Rd
2 2 2
≤ c Ff + |y|4m |F (y)|2 dy
Rn
2
≤ c2 f 2 + 2 P (D̃)f 2 (7.3)
θ
2
≤ c f + P (D̃)f . (7.4)
θ
Since bα ∈ L∞ (Rd ), Mbα is a bounded operator on L2 (Rd ), and Mbα ≤
bα ∞ . Therefore, using (7.4), we get, for f ∈ D(P (D̃)),
It follows that D(P (D̃)) ⊂ D(Q(·, D̃)) and Q(·, D̃) is P (D̃)-bounded, and
since > 0 is arbitrary, the P (D̃)-bound of Q(·, D̃) is 0. Thus, by Remark 4.1.6,
it follows that P (D̃) + Q(·, D̃) generates a semigroup holomorphic in the right
half plane.
7.2. The wave equation 141
d d
Example 7.1.2. Let P (k) = − j=1 kj2 and Q(x, k) = j=1 bj (x)kj , where
∞
bj ∈ L (R ). Then P, Q satisfy all the conditions of Theorem 7.1.1. Thus
d
A = P (D̃) + Q(·, D̃) generates a holomorphic semigroup of angle π/2, that is,
d d
A = j=1 D̃j2 + j=1 bj (x)D̃j is the generator of a holomorphic semigroup of
angle π/2.
We consider the following initial value problem for the wave equation:
⎧ 2
⎪
⎪ ∂ u
⎪
⎪ (x, t) = Δu(x, t), x ∈ Rd , t > 0,
⎪
⎨ ∂t
2
Note that then the above problem may be written as the abstract Cauchy
problem u (t) = Au(t), u(0) = u0 = (f, g) on the Hilbert space H.
T (t) ≤ e2t .
Proof. We show first that for every f = (f1 , f2 ) ∈ Cc∞ (Rd ) ⊕ Cc∞ (Rd ) and real
λ = 0, there is a unique element u = (u1 , u2 ) ∈ D(A) such that (I − λA)u = f
and
1
u ≤ (1 − 2|λ|)−1 f for 0 < |λ| < .
2
Let f = (f1 , f2 ) ∈ Cc∞ (Rd ) ⊕ Cc∞ (Rd ), and let k > 2. Set
Since fi ∈ Cc∞ (Rd ) ⊂ H 2 (Rd ), (1 + | · |2 )k/2 fˆi ∈ L2 (Rd ), by Lemma A.3.1 and
thus (1 + λ2 |η|2 )(k+2)/2 w̃i (η) ∈ L2 (Rd ).
If we set
wi − λ2 Δwi = fi , i = 1, 2.
Setting u1 = w1 + λw2 , u2 = w2 + λΔw1 and u = u1 , u2 we see that
u ∈ H k (Rd ) ⊕ H k−2 (Rd ) ⊂ D(A) = H 2 (Rd ) ⊕ H 1 (Rd ) for k ≥ 3, and
(I − λA)u = u1 − λu2 , u2 − λΔu1 = w1 − λ2 Δw1 , w2 − λ2 Δw2
= f1 , f2 = f.
Observe that since fi ∈ Cc∞ (Rd ), wi ∈ S(Rd ), for i = 1, 2 and hence u1 , u2 are
in the domain of Δ. We also note here that u2 , Δu1 L2 (Rd ) = Δu2 , u1 L2 (Rd ) .
7.2. The wave equation 143
f 2H ≥ u1 − Δu1 , u1 L2 (Rd ) + u2 2L2 (Rd ) − 2|λ| Re u1 , u2 L2 (Rd )
≥ (1 − |λ|)||u||2H .
Thus, (−∞, −2) ∪ (2, ∞) ⊂ ρ(A) and R(μ, A) ≤ (|μ| − 2)−1 if |μ| > 2.
Noting that D(A) = H 2 (Rd ) ⊕ H 1 (Rd ) is dense in H, and A is closed, it
follows from Theorem 2.3.3 that A generates a C0 -semigroup {T (t)}t≥0 on H
satisfying T (t) ≤ e2t , for all t ≥ 0. Furthermore, since −A also generates a
C0 -semigroup, {T (t)}t≥0 extends to a C0 -group.
144 Applications to partial differential equations
Proof. The result follows from Stone’s Theorem 3.2 if we can show that iA =
−Δ is selfadjoint. By the results on the Fourier transform in L2 (Rn ) in Lemma
A.2.3 and Remark A.2.6(d), it follows that iA is unitarily equivalent to the
operator of multiplication by the measurable non-negative function φ(k) = k 2 ,
that is,
2
D(iA) = f ∈ L2 (Rd : φ(k)(F f )(k) dk < ∞ .
On the other hand, Theorem A.1.13 tells us that such an Mφ is selfadjoint (and
is also non-negative).
We remark here that the operator −iA discussed in this section coincides
with the operator P (D̃) discussed in Section 7.1, with the polynomial P as
in Example 7.1.2. Hence the conclusion in Theorem 7.3.3 may alternatively
be deduced from the proof of Theorem 7.1.1, where it is shown that iP (D̃)
generates a unitary C0 -group on R.
7.3. Schrödinger equation 145
Theorem 7.3.4. Let φ ∈ Lp (Rd ) where p ≥ 2 and p > d/2. Then Mφ (iA + 1)−1
is compact in L2 (Rd ).
Proof. Using results on the Fourier transform in Appendix (A.2) one con-
cludes that F (iA + 1)−1 F −1 = M(k2 +1)−1 in L2 (Rd ). For any measurable func-
tion ψ : Rd → C, the operator Mφ ψ(iA) is an integral operator with kernel
(2π)−d/2 φ(x)ψ̂(y − x) and therefore it follows easily that Mφ ψ(iA) is Hilbert-
Schmidt and hence compact if both φ and ψ ∈ L2 (Rd ). Indeed, for ψ ∈ Lp (Rd )
with p > d/2 and p ≥ 2, we have ψ(iA)fˆ ∈ Lq (Rd ), by the generalised Hölder
inequality, where q −1 = p−1 + 1/2. Thus 1 ≤ q ≤ 2, and therefore, by the
Hausdorff-Young inequality (A.14) in Appendix A.2, the inverse Fourier trans-
form F −1 (ψ(iA)fˆ) ∈ Lr (Rd ), with r−1 + q −1 = 1, such that
F −1 (ψ(iA)fˆ)r ≤ C(p)ψ(iA)fˆq .
From the two relations among p, q and r it follows that r−1 +p−1 = 1/2 and an-
other application of the generalised Hölder inequality yields that Mφ ψ(iA)f ∈
L2 (Rd ), and that
Mφ ψ(iA)f 2 ≤ φp F −1 (ψ(iA)fˆ)r
≤ C(p)φp ψ(iA)fˆq ≤ C(p)φp ψp f 2 .
This estimate, together with the uniform boundedness of φm p , implies that
Mφ ψ(iA) is the limit in operator norm of the sequence {Mφm ψm (iA)}m of
146 Applications to partial differential equations
Hilbert Schmidt operators and hence is compact. For the final conclusion it
remains only to convince ourselves that if ψ(k) = (k 2 + 1)−1 for all k ∈ Rd ,
then ψ ∈ Lp (Rd ) with p > d/2 and p ≥ 2.
Theorem 7.3.5. Suppose V (x) is real for all x ∈ Rd and V ∈ Lp (Rd ), where
p > d/2 and p ≥ 2, and let B = MV , the operator of multiplication by V. Then
A − iB is the infinitesimal generator of a group of unitary operators L2 (R2 )
and σe (iA + B) = σe (iA).
Proof. By Theorem 7.3.4, MV (iA + 1)−1 = B(iA + 1)−1 is compact and there-
fore, by Theorem 4.2.1, B is iA compact. Therefore, by Theorem 4.2.6, iA + B
is selfadjoint and since iA = −Δ ≥ 0, iA + B is also bounded below, and
σe (iA + B) = σe (iA). The selfadjointness of iA + B together with Stone’s
Theorem 3.2 implies that A − iB = −i(iA + B) generates a group of unitary
operators.
Appendix
We collect in this appendix concepts and results that are essential for the devel-
opment of the main theme of the book, though, in most cases, they constitute
basic materials. Therefore, very few proofs are included but relevant references
are given where required.
1. closed if for every Cauchy sequence {xn } ⊂ D(A) for which {Axn } is also
a Cauchy sequence, one has x ≡ limn→∞ xn ∈ D(A) and limn Axn = Ax;
One can check that the closability implies that A is a well defined operator with
D(A) ⊂ D(A), and also that A is closed if and only if A = A (Exercise A.1.2).
As an example, consider the (classical) differential operator in L2 (R),
given by
d
A = −i with D(A) = Cc∞ (R),
dx
the set of smooth functions on R with compact support, which is dense in
L2 (R). It can be shown (Exercise A.1.3) that A is closable but not closed.
For this, one may note that the function f0 (x) = exp(−|x|) is differentiable
everywhere except at x = 0 and f0 ∈ L2 (R) but f0 does not belong in Cc∞ (R).
We shall discuss this operator again in the next section on Fourier transforms.
(2) ρ(A) is open in C and the map ρ(A) λ → R(λ, A) ∈ B(X) is norm-
holomorphic in each connected component of ρ(A). In particular, R(λ, A)
admits a power series expansion
∞
R(λ, A) = R(λ0 , A)n+1 (λ0 − λ)n , for |λ − λ0 | ≤ R(λ0 , A)−1 . (A.2)
n=0
For such an operator, one has the result that A is closable if and only if its ad-
joint A∗ is densely defined and in such a case A = A∗∗ = (A∗ )∗ (Exercise A.1.6).
In a similar spirit, the adjoint A∗ for a linear, densely defined operator A
can be defined on a Banach space X :
t
−1
(ii) t T (s)y ds converges to y as t → 0+ , by Lemma 2.1.2.
0
Let x ∈ D(A), and let {xn } be a sequence of vectors in S such that xn → x and
Axn → u as n → ∞. Then by the hypothesis of the theorem, Ψ(xn , P ; t) ∈ S
for each n, and
t
lim lim t−1 Ψ(xn , P ; t) = t−1 T (s)x ds, (A.3)
n→∞ |P |→0 0
while
for every t > 0. On the other hand, since Axn → u as n → ∞, it follows that
t
lim lim t−1 Ψ(Axn , P ; t) = t−1 T (s)u ds
n→∞ |P |→0 0
Taking the limit t → 0+ in the above equality we have using (ii) that u = Ax.
This proves that S is a core for A.
showing that A0 is symmetric but not selfadjoint, that is, A0 A∗0 . One can
compute all the selfadjoint extensions of A0 (Exercise A.1.11) to find that there
are uncountably many selfadjoint extensions, denoted by Aα , for α ∈ C, |α| = 1,
with
(ii) A closed symmetric operator is selfadjoint if and only if the ranges of the
operators A ± i are both H.
From Definition A.1.4 and Theorem A.1.12, it can be shown that (see for
example [1, pages 56 and 200]) the open upper and lower half planes in C are
contained in the resolvent set of a selfadjoint operator in a Hilbert space and
hence its spectrum is a closed subset of R.
One of the simplest, in fact, almost canonical examples of a selfadjoint
operator in a Hilbert space L2 (μ) is that of an operator of multiplication by a
real-valued, measurable function φ : Ω → C with
Now suppose λ ∈
/ ess ran φ. Then there exists δ > 0 such that
(iii) If φ is real valued, then it follows from the definition that Mφ is symmetric
in the Hilbert space L2 (μ) and is closed. Furthermore, φ(x) ± i = 0, and
|(φ(x) ± i)−1 | ≤ 1 ∀ x ∈ Ω. Therefore every f ∈ L2 (μ) may be written
as f (x) = (Mφ ± i)g (x) for g(x) = (φ(x) ± i)−1 f (x) ∈ L2 (μ), and this
shows that Ran(Mφ ± i) = L2 (μ). Hence self-adjointness follows from
Theorem A.1.12(ii).
We refer to [1], [20] and [21] for proofs and discussions on the material
presented in Appendix A.1 as well as in Appendix A.2.
Here we shall define and discuss the Fourier transform, which has very wide
applications in various areas of analysis.
By a multi-index α we shall mean that α = (α1 , α2 , . . . , αd ) where
j=d
α1 , . . . , αd ∈ N {0}. Define |α| := j=1 αj , and x
α
1 x2 · · · xd , for
= xα1 α2 αd
∂ α1 ∂ α2 ∂ αd
Dα = D1α1 . . . Ddαd = α1 α2 · · · .
∂x1 ∂x2 ∂xαd
d
First we define the class S(Rd ), called the Schwartz class of functions on
Rd , the linear space of arbitrarily often differentiable complex-valued functions
of rapid decrease at infinity as:
S(Rd ) ≡ f ∈ C ∞ (Rd ) : cα,l (f ) < ∞ for every l ∈ N ∪ {0} and multi-index α
where
l/2 α
cα,l (f ) := sup 1 + |x|2 (D f )(x). (A.5)
x∈Rd
154 Appendix
A typical member of S(Rd ) is the Gaussian function h0 (x) = exp − 21 |x|2
and also note that Cc∞ (Rd ) is a strict subset of S(Rd ) and therefore S(Rd ) is
dense in L2 (Rd ), in fact in every Lp (Rd ) for 1 p < ∞. For f ∈ L1 (Rd ), define
the Fourier transform fˆ of f as:
∂ l f
(ii) xj l f k = il ∂k j
l k ∀ k ∈ Rd , j ∈ {1, 2, . . . , n}, l ∈ N.
∂lf
The proof consists of treating the defining integral (A.6) for ∂x j
l k
and xj l f k respectively as an iterated integral, performing an integration
by parts in the jth integral and using the property (A.5) of rapid decrease at in-
finity of f and all its partial derivatives. The details are left as (Exercise A.2.4).
The next theorem is an immediate consequence of this lemma and sums
up the essential properties of the Fourier transform map in the Hilbert space
L2 (Rd ).
Theorem A.2.5. (i) S(Rd ) is invariant under the Fourier transformation and
the map defined as F f (k) = fˆ(k) ∀ k ∈ Rd and f ∈ S(Rd ) maps S(Rd )
bijectively to S(Rd ).
Proof. (i) By virtue of Lemma A.2.3 and the definition of the Schwartz class
(A.5), it follows easily that fˆ ∈ C ∞ (Rd ) for every f ∈ S(Rd ). Combining both
A.2. Fourier transforms 155
l/2 ∂ |m| fˆ
1 + |k|2 (k) = F (1 − Δ)l/2 (−ix1 )m1 ...(−ixd )md f (k),
∂k1m1 ... ∂kdmd
ˆ ik,y −d/2
g(αk)f (k)e dk = (2π) g(αk) f (x)eik,y−x dx dk
Rd
y−x
= α−d f (x) (2π)−d/2 g(k)ei α ,k dk dx (A.8)
where we have used Fubini’s theorem to change the order of integration and
made a change of variable k −→ αk ∈ Rd . Continuing with the above compu-
tation, we get that the right hand side of (A.8) equals
x − y
Next we pick g to be the special function h0 and note from (A.7) that
2
ĥ0 (u)du = h0 (u)du = e−|u| /2
du = (2π)d/2
Now set h̄ = F g (which belongs to S(Rd ) by part (i)) and observe that
F f, F h L2 (Rd ) = fˆ(k)ĥ(k) dk = f, h L2 (Rd ) . (A.13)
Thus, F defined on S(Rd ) is an isometric map with range equal to S(Rd ), which
is dense in L2 (Rd ), and therefore, by standard arguments, extends to a unitary
operator in L2 (Rd ).
Remark A.2.6. (a) Note that, though the expression for f ∈ S(Rd ),
makes sense for every k ∈ Rd , the extension, viz. F f (k) for f ∈ L2 (Rd )
makes sense for almost all (Lebesgue) k ∈ Rd and the right hand side of
the above identity has to be interpreted as such. However, the sequence
of characteristic functions {χn } of balls of radius N about the origin in
L2 (Rd ) converges strongly to the identity operator in L2 (Rd ) and we have
that
F f − F (χN f )2 = f − χN f 2 −→ 0
2 2
(b) Consider Rd as the locally compact abelian group under addition (called
the translation group in Rd ) with the Lebesgue measure as the Haar (in-
variant) measure on that group. Denote the associated transformation Ty
(for y ∈ Rd ) as
Ty f (x) := f (x − y).
A.2. Fourier transforms 157
Then it is clear that for f, g ∈ L2 (Rd ), Ty f ∈ L2 (Rd ), Ty f, Ty g = f, g
and
−d/2
Ty f (k) = (2π) Ty f (x)e−ik,x dx
= (2π)−d/2 f (x − y)e−ik,x−y+y dx
= e−ik,y fˆ(k),
that is, the factor exp −i k, . is the (one-dimensional irreducible repre-
sentation) character of the translation group Rd in its regular representa-
tion in L2 (Rd ). This result can easily be extended to any Lp (Rd ) (except
for the Plancherel relation) whenever translation can be defined.
(c) So far we have only talked about the Fourier transform on L2 (Rd ) and
the question arises about how much of these results can be extended to
Lp with arbitrary p ∈ [1, ∞). By what we have said so far, it is clear that
the Fourier transform map F has the following properties.
(d) The results of Lemma A.2.3 can be used to give meaning to the operation
of differentiation, well beyond the usual classical meaning of it. In other
words, if we rewrite the result
∂
∂
F f (k) = ikj F f (k) as F = ikj F , for each j = 1, 2 . . . d,
∂xj ∂xj
then this gives rise to the following.
∂
2
D = f ∈ L2 (Rd ) : kj fˆ(k) dk < ∞
∂xj
158 Appendix
and the action is given as above. From this one can show, for example,
∂
that if f ∈ D ∂x j
(j = 1, 2, ..., d), then f is bounded and continuous, but
in general need not be classically differentiable (Exercise A.2.7).
In this section we define some Sobolev spaces and some results concerning them
that we need. Although the ideas are implicit in our treatment, we avoid using
explicitly the language of distributions. For details and proofs of the results
quoted here we refer the reader to [3] and [22].
Let Ω = Rd for d > 1, or let Ω be an open interval of R, finite or infinite.
Recall that Cc∞ (Ω) is the space of infinitely differentiable functions with com-
pact support in Ω (also called the space of test functions on Ω) while Lp (Ω)
denotes, as usual, the Lebesgue measurable functions on Ω whose pth power is
Lebesgue integrable. For k ∈ N and 1 ≤ p ≤ ∞, the Sobolev space W k,p (Ω) is
defined as
-
W k,p (Ω) = f ∈ Lp (Ω) : for each multi-index α with
where Dα has been defined earlier in Section A.2. The element fα in the above
definition is called the weak derivative of f of order α and we write Dα f := fα .
Thus, W k,p (Ω) consists of those functions f in Lp (Ω) whose weak deriva-
tive Dα f lies in Lp (Ω) for every multi-index α with |α| ≤ k; clearly, W 0,p (Ω) =
Lp (Ω).
W k,p (Ω) is a Banach space with respect to the norm
f k,p ≡ f W k,p (Ω) := Dα f p
|α|≤k
Further, we denote by W0k,p (Ω) the closure of Cc∞ (Ω) in W k,p (Ω).
For p = 2, the following defines an equivalent norm on W 2,p (Ω):
1/2
f k,2 := Dα f 22 .
|α|≤k
A.3. Sobolev spaces 159
This makes W 2,p (Ω) a Hilbert space with the inner product
f, g = Dα f Dα g dx.
|α|≤k Ω
We write
H k (Ω) := W k,2 (Ω) and H0k := W0k,2 (Ω),
as has been noted earlier in Chapter 7.
The following characterisation in terms of Fourier transforms holds for
the spaces H k (Rd ), as has been noted earlier in Remark A.2.6(d).
Lemma A.3.1. Let k ∈ N ∪ {0} and f ∈ L2 (Rd ). Then f ∈ H k (Rd ) if and only
if the function x → (1 + |x|2 )k/2 F f (x) ∈ L2 (Rd ).
When d = 1 and Ω is an interval in R (bounded or unbounded) we have
the following useful characterisation of W k,p (Ω).
Lemma A.3.2. Let 1 ≤ p < ∞ and Ω be an interval in R. Then f ∈ W k,p (Ω) if
and only if f has continuous derivatives up to order (k − 1), f (k−1) is absolutely
continuous and f (j) ∈ Lp (Ω) for j ∈ {0, 1, . . . , k}.
Proof. We include a brief sketch of a proof. From the definition of W k,p (Ω), it
follows that for k ≥ 2,
Thus, it can be seen that if the statement of the above theorem holds for
k ∈ N, then it holds for k + 1 as well. So it is enough to prove the result for
k = 1. Now if f is absolutely continuous, and f ∈ Lp (Ω), then it is clear that
f ∈ W 1,p (Ω). Conversely, f ∈ W 1,p (Ω) implies that f ∈ Lp (Ω). Therefore, by
Hölder’s inequality, it follows that f is in L1loc (Ω). The fundamental theorem
of integral calculus now implies that f is absolutely continuous.
Δf, gL2 (Ω) = F (Δf ), F gL2 = −F ∇f, F ∇gL2 = −∇f, ∇gL2 (Ω) ,
(A.16)
160 Appendix
where ∂f ∂f ∂f
∇f = gradient f = , ,..., .
∂x1 ∂x2 ∂xd
References
[1] W.O. Amerin, J.M. Jauch, and K.B. Sinha. Scattering Theory in Quantum
Mechanics. Reading, M.A; W.A. Benjamin, 1977.
[4] P.R. Chernoff. Note on product formulas for operator semigroups. Journal
of Functional Analysis, 2 (1968), 238–242.
[8] K.J. Engel and R. Nagel. One-Parameter Semigroups for Linear Evolution
Equations. Springer-Verlag, Berlin, 2000.
[10] R.P. Feynman and A.R. Hibbs. Quantum Mechanics and Path Integrals.
Dover Books on Physics, 2010.
[12] E. Hille and R.S. Phillips. Functional Analysis and Semi-groups. Amer.
Math. Soc., Providence, 1957.
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 161
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7
162 References
[14] T. Kato. Trotter Product Formula for an arbitrary pair of selfadjoint con-
tractions. Topics in functional analysis (essays dedicated to M. G. Kreĭn
on the occasion of his 70th birthday), Adv. in Math. Suppl. Stud., 3, Aca-
demic Press, New York-London, 1978, 185–195.
[16] G. Lumer and R.S. Phillips. Dissipative operators in a Banach space. Pa-
cific J. Math. No. 11, 1961, 679–698.
[21] M. Reed and B. Simon. Methods of Modern Mathematical Physics. Vol II.
Academic Press, New York, 1975.
[23] H. Royden and P. Fitzpatrick. Real Analysis. Pearson, 4th Edition, 2010.
[25] K.B. Sinha and D. Goswami. Quantum Stochastic Processes and Non-
Commutative Geometry. Cambridge Tracts in Maths 169, Cambridge Uni-
versity Press, 2007.
A∗ , 36, 149 L∞
R (Ω, , μ), 116
A, 148 Mφ , 42, 77, 151
BU C(R+ ), 19 Mn (C), 21
1 R(λ, A), 148
BU C (R+ ), 38
B(X), 1 R+ , 5
1 ρ(A), 26, 148
C [0, 1], 60
C[0, 1], 60 Sθ , 67
Cc∞ (R+ ), 39 S(Rd ), 153
C0 (R+ ), 16 σ(A), 26, 148
C0 , 19 σd (A), 88
D(·) , 22 σe (A), 88
Δ, 47, 159 T , 13
D̃, 138 T ∗ , 36
Dα , 153 T∗ , 117
E, 106, 116 W 1,p (R+ ), 39
F f , 64, 154 W k,p (Ω), 158
H 1 (Rd ), 141 X ∗, 2
H 2 (Rd ), 63 X∗ , 116
H k (Ω), 159 X, 1
lR1 , 116 χ , 1, 2, 5
lR∞ , 116
almost separably valued, 2
p
L [a, b], 42
Lp (R+ ), 39 Banach algebra, 10
p
L (R), 41 birth process, 135
L1loc (R), 48 Bochner integrable, 5
L1R (Ω, , μ), 116 Bochner integral, 6
© Springer Nature Singapore Pte Ltd. 2017 and Hindustan Book Agency 2017 165
K.B. Sinha and S. Srivastava, Theory of Semigroups and Applications,
Texts and Readings in Mathematics, DOI 10.1007/978-981-10-4864-7
166 Index