November 29 – December 1, 2021

• Theorem 11.19 Let λ be a measure on an algebra A . If A ∈ A , then

λ∗ (A) = λ(A) and A is measurable with respect to λ∗ .
Proof.SLet A ∈ A . Clearly, λ∗ (A) ≤ λ(A). Given disjoint Ak ∈ A with
A ⊂ Ak , let A0k = A P ∩ Ak0 . Then Ak 0∈ A and A is the
0
P disjoint union of
Ak . Hence, λ(A) = λ(Ak ). Since Ak ⊂ Ak , λ(A) ≤ λ(Ak ). Therefore,
0

λ(A) ≤ λ∗ (A). To show that A is measurable with respect to λ∗ , it is enough

to show that for every E ⊂ S with λ∗ (E) < +∞, we have
λ∗ (E) ≥ λ∗ (E ∩ A) + λ∗ (E \ A).
Given  > 0, choose {Ek } such that Ek ∈ A , E ⊂ Ek , and λ(Ek ) < λ∗ (E)+.
S P
Since (Ek ∩ A) ∪ (Ek \ A) = Ek , we have λ(Ek ∩ A) + λ(Ek \ A) = λ(Ek ). Hence
X X
λ(Ek ∩ A) + λ(Ek \ A) < λ∗ (E) + .
S S
Since E ∩ A ⊂ (Ek ∩ A) and E \ A ⊂ (Ek \ A),
λ∗ (E ∩ A) + λ∗ (E \ A) < λ∗ (E) + . 
• (Carathéodory-Hahn extension theorem) Let λ be a measure on an algebra
A , let λ∗ be the corresponding outer measure, and let A ∗ be the σ-algebra
of λ∗ -measurable sets.
(i) The restriction of λ∗ to A ∗ is an extension of λ.
(ii) If λ is σ-finite with respect to A , and if Σ is any σ-algebra with A ⊂
Σ ⊂ A ∗ , then λ∗ is the only measure on Σ that is an extension of λ.
Proof. (i) follows from Theorem 11.19. To prove (ii), let µ be any measure
on Σ, A ⊂ Σ ⊂SA ∗ , which agrees with λ on A . Given E ∈ Σ, consider {Ak }
such that E ⊂ Ak and each Ak ∈ A . Then
[ X X
µ(E) ≤ µ( Ak ) ≤ µ(Ak ) = λ(Ak ).
Therefore µ(E) ≤ λ∗ (E). To show that equality holds, first suppose ∃A ∈ A
with E ⊂ A and λ(A) < +∞.
µ(E) + µ(A \ E) = µ(A) = λ(A) = λ∗ (A) = λ∗ (E) + λ∗ (A \ E).
Since µ(A\E) ≤ λ∗ (A\E) and all these terms are finite, we have µ(E) ≥ λS ∗
(E).
In the general case, apply the previous result to E ∩ Sk , where S = Sk ,
disjoint, and λ(Sk ) < +∞, obtaining µ(E ∩ Sk ) = λ∗ (E ∩ Sk ). Sum over k. 
• Let µ and ν be two Borel measures on R1 which are finite and equal on
every half-open interval (a, b], −∞ < a < b < +∞. Then µ(A) = ν(B) for
every Borel set B ⊂ R1 .
• The class of finite Borel measures on R1 is identical with the class of
Lebesgue-Stieltjes measures induced by bounded increasing functions that
are continuous from the right.
Proof. Let µ be any finite Borel measure on R1 , and define fµ (x) = µ((−∞, x]).
Clearly, µ((a, b]) = fµ (b)− fµ (a). If Λ fµ denotes the Lebesgue-Stieltjes measure
constructed from fµ , then Λ fµ ((a, b]) = fµ (b) − fµ (a). 

• If µ is a Borel measure on R1 which is finite on every bounded Borel set,

then µ is regular.
1
2

Proof. Consider the restriction of µ to the algebra A generated by the (a, b],
and let µ∗ be the corresponding outer measure. Since A ⊂ B ⊂ A ∗ and µ
and µ∗ agrees on A , we have µ = µ∗ on B. We see from the definition of µ∗
that nX [ o
µ(B) = inf µ(Ak ) : B ⊂ Ak , Ak ∈ A .
Each Ak ∈ A is a countable union of disjoint (a, b]. Hence we obtain
nX [ o
µ(B) = inf µ(ak , bk ] : B ⊂ (ak , bk ] , B ∈ B.
Now, given a Borel set B and  > 0, find a cover {(ak , bk ]} of B such that
X
µ(ak , bk ] ≤ µ(B) + .
Since µ is finite,
S µ(a, b] = lim→0+ µ(a, b + ). Hence, we see that there is an
open set G = (ak , bk + k ) for sufficiently small k , containing B such that
X
µ(G) ≤ µ(ak , bk + k ) ≤ µ(B) + 2. 

• For a 2π periodic function f ∈ L1 ((−π, π)), we associate a Fourier coefficients

Z π Z π
1 1
ck = ck [ f ] = f (t)e dt =
ikx f (t)e−ikx dt (k ∈ Z)
2π −π 2π −π
and its Fourier series
∞
X
f ∼ S[ f ] = ck eikx .
−∞

• Series of the form

+∞ ∞
X 1 X
ck eikx , a0 + (ak cos kx + bk sin kx),
−∞
2
k=1

whether they are Fourier series of not, are called trigonometric series. In
defining the convergence of +∞ ikx
P
−∞ ck e , we usually consider the limit, ordi-
nary or generalized, of the symmetric partial sums +n
P
−n , and
n n
X 1 X
ck eikx = a0 + (ak cos kx + bk sin kx),
n
2
k=1

where
1
a0 = c0 , ak = ck + c−k , bk = i(ck − c−k ).
2
• A finite sum T = n−n ck eikx is called a trigonometric polynomial of order n.
P
• If ak and bk are real, the trigonometric series
∞
1 X
S= a0 + (ak cos kx + bk sin kx)
2
k=1

is the real part of the power series

∞
1 X
a0 + (ak − ibk )zk
2
k=1
 3

on the unit circle z = eix . The imaginary part is then the series
∞
X
S̃ = (ak sin kx − bk cos kx)
k=1
P+∞ ikx
• If S is written in the complex form −∞ ck e , then
∞
X
S̃ = (−i sign k)ck eikx
−∞

which is said to be conjugate to S. If S has constant term 0, then S̃˜ = −S.

• If a periodic function f is the indefinite integral of its derivative f 0 (i.e., if f
is periodic and absolutely continuous), and if f ∼ ck eikx , then
P

+∞
X
f0 ∼ ck (ik)eikx .
−∞

In symbols, S[ f ] = S [ f ].
0 0

• If f is periodic, f ∼ ck eikx , and if F is the indefinite integral of f , then

P
F(x) − c0 x is periodic and
Xc
k ikx
F(x) − c0 x ∼ C0 + e ,
ik
k,0

where C0 is a suitable constant.

• The trigonometric system is complete. More precisely if all the Fourier
coefficients of an integrable f are zero, then f = 0 a.e.

Proof. Assume first that f is continuous and real-valued, with all ck = 0. If

| f | , 0, then | f | attains a nonzero maximum M at some point x0 . Suppose
that f (x0 ) = M > 0. The δ > 0 be so small that f (x) > 21 M in the interval
I = (x0 − δ, x0 + δ). Consider the trigonometric polynomial
t(x) = 1 + cos(x − x0 ) − cos δ.
It is strictly greater than 1 inside I and |t(x)| ≤ 1 otherwise. The hypothesis
implies that
Z π
f tN dx = 0 (N = 1, 2, . . .).
−π
The absolute value of the part of the integral over the complement of I is
≤ 2π · M · 1N = 2πM. If I0 is the middle half of I, then t(x) ≥ θ > 1 in I0 , so
that Z Z
1
N
f t dx ≥ f tN dx ≥ M · θN |I0 | → +∞.
I I0 2
Rπ
We see that −π f t dx → +∞; this contradiction shows that f ≡ 0.
N


• Parseval’s formula holds for any f ∈ L2 .

+∞ Z 2π
X 1
|ck | =
2
| f (x)|2 dx.
−∞
2π 0
4

ck eikx ∈ L2 and g ∼ dk eikx ∈ L2 . Then

P P
In fact, if f ∼
Z 2π +∞
1 X
f (x)g(x) dx = ck d k .
2π 0 −∞
• If the Fourier series of a continuous f converges uniformly, then the sum
of the series is f .
Proof. Let g be the sum of the uniformly convergent series S[ f ]. Then
ck [g] = ck [ f ] for all k, so that f ≡ g. 
• If a periodic f is the integral of a function in L2 , then S[ f ] converges ab-
solutely and uniformly. In particular, the Fourier series of a continuously
differentiable function converges uniformly to the function.
• (Riemann-Lebesgue) The Fourier coefficients ck of any integrable f tend to
0 as k → ±∞. Hence, also ak , bk → 0 as k → ∞.
Proof. Observe that
1 π
 
ck [ f ] = f (x) − f (x + ) e−ikx dx. 
4π k
• A continuous periodic function f is said to be a Lipschitz condition of order
α, 0 < α ≤ 1, if there is a finite constant M independent of x, h such that
| f (x + h) − f (x)| ≤ M|h|α .
• If f satisfies a Lipschitz condition of order α, 0 < α < 1, then
|ck [ f ]| = O(|k|−α ).
If α = 1, the stronger estimate is valid.
|ck [ f ]| = o(|k|−1 ).
• If a periodic f is of bounded variation over a period, then |ck [ f ]| = O(1/|k|).
More precisely,
V
|ck | ≤ .
2π|k|