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Author(s): R. H. Cameron and W. T. Martin

Source: The Annals of Mathematics, Second Series, Vol. 45, No. 2 (Apr., 1944), pp. 386-396

Published by: Annals of Mathematics

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ANNEA OF MATHEMATICS

Vol. 45, No. 2, April, 1944

BY R. H. CAMERON AND WV. T. MARTIN

Introduction

In his paper on Generalized Harmonic Analysis (in which referencesto his

earlierwork are given) N. Wiener [I] definesan average or integralover the

space C of all functionsx(t) continuousin 0 ? t ? 1 and vanishingat t = 0.

The integralproved to be very useful in the theorydeveloped there. More

recently,the presentauthors[II] have shownthat the solutionof a fairlygeneral

non-linearequation can be expressedin termsof certainWienerintegrals. In

view of these ratherdistinctproblemsin whichthe Wienerintegralshave been

useful,it seems worthwhileto develop furthercertain aspects of the Wiener

integral. In the presentpaper we show how the integraltransformsunder a

translation,and we considerspecial cases of translationswhichseem to lead to

ratherinterestingresults. Our first(restricted)transformation theoremis as

follows:

THEOREM 1. Let F[y] be a functionaldefinedand WienersummableoverC,

boundedset,and let F[y] be

let F[y] be boundedin y(.) for y(-) in any uniformly

continuousin thesense thatif Iy(n)(t) is any sequenceof functionsof C which

converge uniformlyin 0 < t ? 1 to y(t) then

(1.1) lim F[y(n) - F[y].

xo(t) of boundedvariation

Let xo(t) be a givenfunctionof C witha firstderivative

in 0 ? t ? 1. Then underthetranslation

(1.2) y(t) = x(t) + xo(t)

the Wienerintegralundergoesthetransformation

W -f z[x't) I'dI t

J = I + -f 0x()d

0 d

(1.3) F[y]d y

et

F[x xo]e . x

integerand let H(,1q, ***, n) be a functionofn numericalvariables,j }, -* , qn -

Consider a functionalH[y(t1),* , y(tn)] for t , -, ttn fixed. If H is Wiener

summableand if 0 < t1 < t ?. <* _ <n 1, then by the theory,the Wiener

integralof H is given by

y(tg)] d

(1.4) -

n[wnt(t2

(t. 1. - t ..)]12 f;d1 ... d'qn{HQ,

( 'iXn)

2

~exp [- ('i6

[ 1('132-

(71_ v)2 (1_1_)2] I1)

386

TRANSFORMATION OF WIENER INTEGRALS 387

the functionalF[y] by some functionalwhichdepends only upon the values of

ytt)at some set of n points. This will enable us to use the relation (1.4) and

thus to work with the known transformation formulasof Lebesque integrals.

Our second (and more general) theoremis obtained by approximatingthe

characteristicfunctionalof a quasi-intervalby continuous functionals,thus

obtainingthe measureof a translatedquasi-interval. From limitsof sums of

quasi-intervalswe findthe measure of generaltranslatedsets and fromit the

translationformulaforunrestrictedWienersummablefunctionals.

THEOREM 2. Let xo(t) be a givencontinuousfunctionvanishingat t = 0

and havinga derivative x'(t) of boundedvariation0 < t < 1; let r be a Wiener

measurablesubsetof C, and let TF be thetranslationof r by xo(t); i.e., let TF

consistofall functionsx(.) ofC forwhichx(t) -y(t) - xo(t)and y(.) e F. Then

(1.5)

(1 s5) [rl =

~~measw[F] J1~~~f[

efo[0)]d

[w(j) ] 2dt

f W -2f

Tr

efo

Ix

I(0dx( (0)

dwx.

forwhicheithermember

Moreoverif F[y] is anyfunctional of (1.6) (below)exists,

thentheothermemberalso existsand theequation(1.6) holds:

T~~~~~~~~~r

o 0 dzt dx.

2. Proofof Theorem 1

Let n be a positiveinteger,denote by tj the point

(2.1) 1i -

n

and forany functiony(t) ofC definea polygonalizedformofy(t) by the relations

4+1 4. j =0, 1, - *, n - 1.

The subscriptn on a functiony(t),x(t), xo(t)etc.,willdenotethat thispolygon-

alizing processhas been carriedout on the function.

We formour functionalF[yn] forthe functionsof (2.2). Since yn(t)depends

only upon the values of y(t) at the n points t1, ***, tn, it followsthat there

existsa function

of C. The set Cm consistsof all functionsy(-) of C forwhich I y(l) I ? M for

388 R. H. CAMERON AND W. T. MARTIN

which I y&j/n)1 5 M forj = 1, ***, n. We note that

CMn CM,2, , lim CM.2n = CM

(2.5)

CM C CM, if M < M', lim Ck = C.

MW--ao

lation (1.2). For example, TCM consistsof all functionsx(.) of C for which

x(t) = y(t) - xo(t) and y(.) eCM.

Now by (1.4) and (2.4) we have

J F[y.] d. y

(2.6) cMu, ii

=7%

M

... H'(771 * * n)e

7

tj -j-2 qj-tl dili... d-q,,

where

,Y" V-n /2Rl(2 .l

W . . (tn-t_)

and if x,(t), xo,,(t)and y,(t) are the polygonalizedfunctionscorrespondingto

x(t), xo(t)and y(t) respectively,

then

If we write

I , = x(t,), aj = xo(t,), j = 0, 1, .* , n,

thenunder (2.7) the t's undergothe translation

On applyingthe transformation

(2.9) to the n-foldLebesgue integralin (2.5)

we findthat

(2.10)

-e j (i-'.-. e i-i 'q-j-l *e - l

it thiswayand using(2.8) and thefactthat

(see (1.4)). Interpreting

_r.j =_ _

j,

_

zet z.

_ _

' ,

TRANSFORMATION OF WIENER INTEGRALS 389

we find

W [zg(ti)-zg(t1-l) 12 .W

(2.11) TCM.S

*e s-2 d.x.

This gives us a transformation formulaover C M,, and hence over CA,2Mfor

the polygonalizedfunctionsunderthe translation(2.7). To obtain our desired

transformation formula(1.3) we let n approach infinity,(over the sequence

1, 2, 22, 23 ... ), and thenMl. We willuse thefollowingtwolemmas.

LEMMA 1. If yn(t) is thepolygonalized formofy(t) as in (2.2) then

LEMMA 2.

(2.13) - -t-

dx(t),

theconvergencebeingboundedin x(.) for all x(.) in any uniformlyboundedset.

REMARK: Since n now varies,it must be mentionedthat the points tj = j/n

vary with n. For the sake of simplicityin writing,we do not add another

index n to the tj.

Lemmas 1 and 2 whenapplied to (2.11) willyieldthe desiredtheoremat once.

3. Proofof Lemma 1

Let y(t) be a givenfunctionof C and let e be a positivenumber. Then there

existsan integerno = no(e)such that

E ~~~~~~~1

(3.1) jy(t') - y(t") j < forall t'- t"j -.

Y(4) It - t I + j

y(t) - y(t)j

(3.2) ~ ~ Sn..1 =(

1n- 2n 2

Hence

(3.3) Urmy.(t) = yi(t) uniformlyin 0 - ? 1,

a-,.

390 R. H. CAMERON AND W. T. MARTIN

(3.4) lim F[y] = F[y].

bounded fory(.) in CM. Thus (2.12) hOldsforeach fixedpositivenumberM.

This yields Lemma 1.

4. Proofof Lemma 2

For conveniencein writingwe define

(4.1) 4t[x(.); t] = xo(t) + 2x(t)

and

xX(tH..G1)

- t)] - 0x(); -ill.

j t4.

Then by the mean-valuetheorem

n

(4.3) Pn[x]= Ex0(t*) {[x(); tJ - 0W(); ti 11I

j-=1

x0(t) is of bounded variation and 4/[x(.), t] is continuousin t, this expression

Pn[x] approaches the integral

show that the convergence is bounded in x(.) for all x(s) in any uniformly

bounded set. This is quite easy. Let B be any uniformly bounded set of C.

This means that there is a constant K = KB such that

n-1

(4.6) Pn(X) = Xo(tn)O (Ix); i - EI {xo(t*+) - X?(t*') 4}x( ); tiI

Now 46[x(*); t] xo(t) + 2x(t) is bounded in. t and x(*) for 0 < t _ 1, x(.) e B,

and also xo(t) is of bounded variation in 0 < t < 1. Hence the Pf[x] are bounded

in n and x(.) e B. This yields Lemma 2.

On applying Lemmas 1 and 2 and the convergence property (1.1) of F to equa-

tion (2.11) we obtain

W W f|1 [z'(0)2d9-2f1z(9) dz(9)

(4.7) 1CMF[y]dwy= J F[x + xo]e ? ? d.x.

TRANSFORMATION OF WIENER INTEGRALS 391

5. Proofof Theorem2

We begin our proofby eastblishing(1.5) and we firstdo this in the special

case in whichr = I, whereI is the quasi-interval

(51)~~~~~~~' n

(5.1) {< Y~,

y(t

j) ' ~ ~< ti <0 ... < <tn

(It is permissiblefor any t to be -c and any {, to be + co.) Now let

e > 0 and let jbe a continuous"trapezoidal" functionwhichequals zero

outside the interval e < v < t'i + e, equals unity inside the interval

to -

,t' <

',< and is linear on the remainingintervals. (If h, takes on the im-

propervalue - oo,so does -e, e etc.)

Let x'(y) be the characteristicfunctionalof I, (i.e., xl(y) = 1 if y e I and 0

otherwise),and let

n

(5.2) XiIe(Y) =llIe(Y(tD).

i-i

)

It is easy to see that F(y) = xl,,(y) satisfiesthe hypothesesof Theorem 1, for

boundednessand Wiener summabilityare obvious, and continuityin the uni-

formtopology followsfromthe continuityof the individual Hence j

I fw[-1' o( t )j]2d t W _ x; ( t )dz ( t)

e

(5.3) XJ,e (y) d. y = )]d Xi,e[x + xo~e fZ(~d~)d.. x.

if y e I, x',[y] = 1 forall e, while if y 4 I, at least one of the inequalities (5.1)

is not satisfied,and forsufficient

small e the corresponding (pj,(y(tj)) willbe zero.

Thus lettinge -> 0 and applying the principleof monotonicconvergenceto

(5.3), we have

] XJ~x+ xole_,

0

Xi(y) d.y =

ef 250 d. x,

We next establish (1.5) in generalby progressivelyenlargingthe scope of r.

Since bothsides of (1.5) are completelyadditivefunctionsof r, it followsat once

that (1.5) holdsforany enumerableset ofquasi-intervalswhichhave onlybound-

ary pointsin common. But any measurableset P can be expressedas a set ro

of measurezero plus the limitof a decreasingsequence of sets IF D P2 D .*-

in whicheach Pk is the sum of an enumerableset of quasi-intervalswith only

boundarypoints in common. Applying(1.5) to each rk and taking the limit

as k -a o, we obtain (1.5) for r by monotonicconvergence. Thus (1.5) holds

in general.

Coming now to a considerationof (1.6), we note that

(154 E x2dt-2) I0(t)d(t)

(5.4) E(x)e-- ??

392 R. H. CAMERON AND W. T. MARTIN

F(y) on r impliesthe measurabilityofE(x)F[x + xo]on TP. We need therefore

only considerthe absolute value of the functionalso far as integrabilityis

concerned.

Let us firstconsiderthe case in whichthe functionalF is bounded and non-

negative. Let 0 < F(y) < M on r, whereM is an integer,and let us consider,

for& fixedpositiveintegern, thesets rk suchthaty e r1' if y e r and if

k

(5.5) -* F(y) < - k = 1,2, Mn.

Then we have

meaE6 (y) d. y -

(5.6) n (rk () ) fr: n meas, (rk),

dx

(5.7) n? f rk

n Trk n

But (5.6) and (5.7) implythat

, Or, n

and we obtain on adding for k = 1, 2, *.,Mn

I

F[y] d4y - F[x + xoJE(x)dx ? measw(r).

fr for n

Lettingn -- A, we obtainthe equalityoftheseintegrals,and (1.6) is established

for non-negativebounded functionals.

Next take a non-negativefunctionalF whichis not bounded,and let FM(y)

nun (M, F(y)). Then we have (1.6) holdingforFM, and hence forF, by mono-

tonic convergence. Finally, if F is any real functional,the theoremholds for

I F I . Then if the integralsexist for I F I, they exist for the positive part of

F and the negativepart of F, and (1.6) holds forboth and hence forF itself.

This concludesthe proofof Theorem2.

6. An applicationofthe translationtheorem

By applyingthe translationformulasof Theorems1 and 2 to various special

cases of functional FMY]we are able to obtain formulasfor the evaluation of

various Wiener integrals. To illustratethis, we shall give a new proof of a

special case of a theoremof Paley and Wiener[III].

TRANSFORMATION OF WIENER INTEGRALS 393

be so normalizedthat

(6.1) a(1) = 0.

Let

(6.2) A = i/f[a(t)]2dt

functiondefinedon -

and letG(u) be a (real or complex)measurable X0 < u < X .

Thena necessaryand sufficient conditionthat

G [f x(t) dac(t)]

be a Wienermeasurablefunctionof x(.) overC is that

e-u G(Au)

be ofclass L1 on - Xo < u < Xo. Moreover,

if thisconditionis satisfied,

COROLLARY. Let ,B(t)be a realfunctionofclass L1 on 0 < t < 1, let

necessaryand sufficient

conditionthat

G [| (t)x(t) dt]

we will thenhave

Moreover,

ple, if G(u) = u2n we find

| [A %(t)x(t)

dt( x -0U2n du

({;.7) = (2n + 1)

~~~~~~A;

n

394 R. H. CAMERON AND W. T. MARTIN

7. Proofof Lemma 3

We carrythroughthe proofof Lemma 3 in successivestages.

STEP 1. We establish (6.3) for

(7.1) G(u) = e

where X is an arbitraryreal number. Take

(7.2) xo0) = fa a )d

fldwy

under the translationy(t) = x(t) + xo(t). Thus

W fc W -f (t) ]2d t-2fI 00

(

(7.3) 1= J ?. Lee l' (t) d(t)

xoe,

so that

0

(7.4) - fcWe d) x,

or

A2f1[a (tfl2dt W la( x(

(7.5) f7

W (efda

- (') d

A directcalculationyields

ax

v- L eU2eXAu du =

1 2A2

(7.6) 4

(7.7) L e fo d.x = d u

e A2e>Adu.

Wiener integralis originallydefinedforreal functionals,we can easily extend

the definition to complexfunctionalsby breakinginto real and imaginaryparts).

If A is real, we have (6.3) forG(u) = eAUand eAu and hence forG(u) = cosh

Au; the existenceof the integralis guaranteedby our translationtheorem,as

applied in Step 1. Now in the domain I X I < A, the function eXUis dominated

by 2 cosh Au. If we considerthe leftmemberof (7.7) as a functionof X and

TRANSFORMATION OF WIENER INTEGRALS 395

by the mixed Fubini theorem. But the integrande 0 is analytic in

X foreach x(.) in C, and its integralaround a closed contourin the X-plane is

zero. Hence, by Morera's theoremthe integral

W exfs(t)da(t)

both membersof (7.7) are analyticin X and since they are equal forX real, the

equality (7.7) must persistforcomplexvalues of X. This completesStep 2.

STEP 3. We establish(6.3) whenG(u) is a real absolutelycontinuousfunction

vanishingoutsidea finiteintervaland havingan essentiallyboundedderivative.

Let g(v) be the Fouriertransform

(7.&) g(v)

e-iuWG(u)

= 2- L du.

00

00

Thus

= 1 L e- G(At) dt,

justifiedby Fubini's theorem,sinceg(v) is of class L1, and the complexexponen-

tials are of absolute value 1).

STEP 4. We establish(6.3) whenG(u) is a real bounded measurablefunction

vanishingoutsidea finiteinterval. This is done by the use ofa smoothingproc-

ess on G(u) and the principleof dominatedconvergence. We omit the details.

STEP 5. We next establish the generaltheoremfor real non-negativeG(u).

This is establishedin the customaryway by use of the principleof monotone

396 R. H. CAMERON AND W. T. MARTIN

convergence. The existenceof one side proves the existenceof the other,and

hence,we obtain the desirednecessaryand sufficientconditionof Wienersum-

mability.

STEP 6. The case of general complex-valuedfunctionsis established by

combiningthe fourparts, real positive,real negative,pure imaginarypositive

and pure imaginarynegative.

This establishesthe generallemma,includingsummabilityof the integral.

Lemma 3 and the Corollary furnishmeans of calculating various Wiener

integrals.

THE MASSACHUSETTS INSTITUTE OF TECHNOLOGY

CAMBRIDGE, MASSACHUSETTS, AND

SYRACUSEUNIVERSITY, SYRAcusE, NEW YOR

BIBLIOGRAPHY

I. N. WIENER, "Generalized Harmonic Analysis," Acta Mathematica, 55 (1930), pp.

117-258, esp. p. 214-234.

II. R. H. CAMERON AND W. T. MARTIN, "An Expression for theSolution of a Class of Non-

Linear Integral Equations," to appear in American Journal of Mathematics.

III. PALEY AND WIENER, "Fourier Transformsin the Comples Domain," American Mathe-

matical Society Colloquium, Vol. XIX, pp. 151 and 156.

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