Funtional Analysis
Lecture notes for 18.102
Richard Melrose
Department of Mathematics, Massachusetts Institute of Technol
ogy
Email address: rbm@math.mit.edu
Version 0.8D; Revised: 452010; Run: April 14, 2011 .
Contents
Preface 5
Introduction 6
Chapter 1. Normed and Banach spaces 9
1. Vector spaces 9
2. Normed spaces 10
3. Banach spaces 13
4. Operators and functionals 15
5. Quotients 17
6. Completion 19
7. Examples 22
8. Baire’s theorem 23
9. Uniform boundedness 24
10. Open mapping theorem 25
11. Closed graph theorem 27
12. HahnBanach theorem 27
13. Double dual 31
14. Problems 31
15. Solutions to problems 33
Chapter 2. The Lebesgue integral 37
1. Continuous functions of compact support (2011) 38
2. Step functions 44
3. Lebesgue integrable functions 46
4. Covering lemmas 47
5. Density of step functions (2011) 48
6. Sets of measure zero 49
7. Monotonicity lemmas 51
8. Linearity of /
1
(R) 53
9. The integral is welldeﬁned 54
10. The seminorm
[f[ 57
11. Null functions 59
12. The space L
1
(R) 61
13. The three integration theorems 62
14. Notions of convergence (2011) 65
15. The space L
2
(R) (2011) 66
16. The spaces L
p
(R) 71
17. Lebesgue measure 74
18. Measures on the line 75
19. Higher dimensions (2011) 76
3
4 CONTENTS
20. Problems 78
21. Solutions to problems 83
Chapter 3. Hilbert spaces 85
1. preHilbert spaces 85
2. Hilbert spaces 86
3. Orthonormal sets 87
4. GramSchmidt procedure 87
5. Complete orthonormal bases 88
6. Isomorphism to l
2
89
7. Parallelogram law 89
8. Convex sets and length minimizer 90
9. Orthocomplements and projections 91
10. Riesz’ theorem 92
11. Adjoints of bounded operators 93
12. Compactness and equismall tails 94
13. Finite rank operators 96
14. Compact operators 98
15. Weak convergence 99
16. The algebra B(H) 102
17. Spectrum of an operator 104
18. Spectral theorem for compact selfadjoint operators 105
19. Functional Calculus 108
20. Compact perturbations of the identity 109
21. Fredholm operators 112
22. Problems 113
23. Solutions to problems 125
Chapter 4. Applications 127
1. Fourier series and L
2
(0, 2π). 127
2. Dirichlet problem on an interval 130
3. Harmonic oscillator 136
4. Completeness of Hermite basis 138
5. Fourier transform 142
6. Dirichlet problem 145
Appendix: Exam Preparation Problems 147
Solutions to problems 151
Bibliography 189
PREFACE 5
Preface
These are notes for the course ‘Introduction to Functional Analysis’ – or in the
MIT style, 18.102 for Spring 2011 and represent only a mild revision of the notes
from earlier years.
6 CONTENTS
Thanks to many people, for comments and corrections to the notes, including
most recently Greg Hersh.
Introduction
This course is intended for ‘wellprepared undergraduates’ meaning speciﬁcally
that a rigourous background in analysis at roughly the level of the ﬁrst half of
Rudin’s book [2] is assumed – at MIT this is 18.100B. In particular the basic
theory of metric spaces is used freely. Some familiarity with linear algebra is also
assumed, but not at a very sophisticated level.
The main aim of the course in a mathematical sense is the presentation of
the standard constructions of linear functional analysis, centred on Hilbert space
and its most signiﬁcant analytic realization as the Lebesgue space L
2
(R). In a one
semester course at MIT it is possible to include one or two applications such as
the existence of eigenfunctions for ‘Hill’s operator’ or the Dirichlet problem on an
interval, [0, 1] ⊂ R.
Let V : [0, 1] −→ R be a realvalued function. We are interested in ‘oscillating
modes’ on the interval; something like this arises in quantum mechanics for instance.
Namely we want to know about functions u(x) – twice continuously diﬀerentiable
on [0, 1] so that things make sense – which satisfy the diﬀerential equation
(1)
−
d
2
u
dx
2
(x) +V (x)u(x) = λu(x) and the
boundary conditions u(0) = u(1) = 0.
Here the eigenvalue, λ is an ‘unknown’ constant. More precisely we wish to to know
which such λ’s can occur. In fact all λ’s can occur with u ≡ 0 but this is the ‘trivial
solution’ which will always be there for such an equation. What other solutions are
there? The main result is that there is an inﬁnite sequence of λ’s for which there
is a nontrivial solution of (1) λ
j
∈ R – they are all real, no nonreal complex λ’s
can occur. For each of these there is at least one (and maybe more) ‘independent’
solution u
j
. We can say a lot more about everything here but one main aim of this
course is to get at least to this point.
So the journey to a discussion of the Dirichlet problem is rather extended and
apparently wayward. The relevance of Hilbert space and the Lebesgue integral
is not immediately apparent, but I hope will become clear as we proceed. The
basic idea is that we consider a space of all ‘potential’ solutions to the problem at
hand. In this case one might take the space of all twice continuously diﬀerentiable
functions on [0, 1] – we will consider such spaces at least brieﬂy below. In any case
one of the signiﬁcant properties of the equation (1) is that it is ‘linear’. So we
start with a brief discussion of linear spaces. What we are dealing with here can be
thought of as the an eigenvalue problem for an ‘inﬁnite matrix’. This in fact is not a
very good way of looking at things (there was such a matrix approach to quantum
mechanics in the early days but it was replaced by the sort of ‘operator’ theory
on Hilbert space that we will use here.) One of the crucial distinctions between
the treatment of ﬁnite dimensional matrices and an inﬁnite dimensional setting is
that in the latter topology is encountered. This is enshrined here in the notion of a
normed linear space which is the ﬁrst important topic treated.
After a brief treatment of normed and Banach spaces, the course proceeds to
the construction of the Lebesgue integral on the line, leading to the deﬁnition of
INTRODUCTION 7
the space L
1
(R). I follow here the idea of Mikusi´ nski that one can simply deﬁne
integrable functions as the almost everywhere limits of absolutely summable series
of step functions and more signiﬁcantly the basic properties can be deduced this
way. This approach is followed in the book of Debnaith and Mikusi´ nski; why did I
not just follow their book? I did try it.
After a threeweek stint of measure and integration the course proceeds to the
more gentle ground of Hilbert spaces. Here I am inﬂuenced by the book of Simmons.
We proceed to a short discussion of operators and the spectral theorem for compact
selfadjoint operators. Then in the last third or so of the semester this theory is
applied to the treatment of the Dirichlet eigenvalue problem and also the eigenvalue
problem for ‘Hill’s equation’, essentially the same question with periodic boundary
conditions. Finally various loose end are brought together, or at least that is my
hope.
CHAPTER 1
Normed and Banach spaces
There are many good references for this material and it is always a good idea
to get at least a couple of diﬀerent views. I suggest the following online sources
(1) Wilde [4]
(2) Chen [1]
(3) Ward [3]
1. Vector spaces
So, you should have some familiarity with linear, or I will usuall say ‘vector’,
spaces. Should I break out the axioms? I think not. It is a space V in which
we can add elements and multiply by scalars with rules very similar to the basic
examples of R
n
or C
n
. Note that for us the ‘scalars’ are either the real numbers of
the complex numbers – usually the latter. Let’s be neutral and denote by K either
R or C but of course consistently. Then our set V – the set of vectors with which
we will deal, comes with two ‘laws’. These are maps
(1.1) + : V V −→ V, : KV −→ V.
which we denote not by +(v, w) and (s, v) but by v + w and sv. Then we impose
the axioms of a vector space – look them up! These are commutative group axioms
for + axioms for the action of K and the distributive law.
The basic examples:
The ﬁeld K which is either R or C is a vector space over itself.
The vector spaces K
n
consisting of order ntuples of elements of K. Addition is by
components and the action of K is by multiplication on all components. You should
be reasonably familiar with these spaces and other ﬁnite dimensional vector spaces.
Seriously nontrivial examples such as C([0, 1]) the space of continuous functions
on [0, 1] (say with complex values).
In these and many other examples we will encounter below the ‘component
addition’ corresponds to the addition of functions.
Lemma 1. If X is a set then the spaces of all functions
(1.2) T(X; R) = ¦u : X −→R¦, T(X; C) = ¦u : X −→C¦
are vector spaces over R and C respectively.
NonProof. Since I have not written out the axioms of a vector space it is
hard to check this – and I leave it to you as the ﬁrst of many important exercises.
In fact, better do it more generally as in Problem 1.1 – then you can say ‘if V is
a linear space then T(X; V ) inherits a linear structure’. The main point to make
sure you understand is that, because we do know how to add and multiply in either
9
10 1. NORMED AND BANACH SPACES
R and C, we can add functions and multiply them (by constants or indeed other
functions):
(1.3) (c
1
f
1
+c
2
f
2
)(x) = c
1
f
1
(c) +c
2
f
2
(x)
deﬁnes the function c
1
f
1
+c
2
f
2
if c
1
, c
2
∈ K and f
1
, f
2
∈ T(X; K).
Here and below we sometime write K to stand for R or C consitently in an
argument when either will work.
Most of the linear spaces we will meet are either subspaces of these function
type spaces, or quotients – see Problems 1.2 and 1.3.
Although you are probably most comfortable with ﬁnite dimensional vector
spaces. This is based on the notion of linear independence of a subset of a vector
space. Thus a subset E ⊂ V is said to be linearly independent if for any ﬁnite
collection of elements v
i
∈ E, i = 1, . . . , N, and any collection of ‘constants’ a
i
∈ K,
i = 1, . . . , N the identity
(1.4)
N
¸
i=1
a
i
v
i
= 0 =⇒ a
i
= 0 ∀ i.
That is, it is a set in which there are ‘no nontrivial ﬁnite linear dependence relations
between the elements’. A vector space if ﬁnitedimensional if the is a ﬁnite and
maximal linearly independent subset – a basis – where maximal means that if any
new element is added to the set E then it is no longer linearly independent. A
basic result is that any two such ‘bases’ in a ﬁnite dimensional vector space have
the same number of elements.
Still it is time to leave this secure domain behind since we most interested in
the other case, namely inﬁnitedimensional vector spaces.
Definition 1. A vector space is inﬁnitedimensional if it is not ﬁnite dimen
sional, i.e. for any N ∈ N there exist N elements with no, nontrivial, linear
dependence relation between them.
So, ﬁnitedimensional vector spaces have ﬁnite bases, inﬁnitedimensional vec
tor spaces do not. The notion of a basis in an inﬁnitedimensional vector spaces
needs to be modiﬁed to be useful analytically. Convince yourself that the vector
space in Lemma 1 is inﬁnite dimensional if and only if X is inﬁnite.
2. Normed spaces
In order to deal with inﬁnitedimensional vector spaces we need the control
given by a metric (or more generally a nonmetric topology, but we will not quite
get that far). A norm on a vector space leads to a metric which is ‘compatible’
with the linear structure.
Definition 2. A norm on a vector space is a function, traditionally denoted
(1.5)   : V −→ [0, ∞)
with the following properties
(Deﬁniteness)
(1.6) v ∈ V, v = 0 =⇒ v = 0.
2. NORMED SPACES 11
(Absolute homogeneity) For any λ ∈ K and v ∈ V,
(1.7) λv = [λ[v.
(Triangle Inequality) The triangle inequality holds, in the sense that for any two
elements v, w ∈ V
(1.8) v +w ≤ v +w.
Note that (1.7) implies that 0 = 0. Thus (1.6) means that v = 0 is equiv
alent to v = 0. This deﬁnition is based on the same properties holding for the
standard norm(s), [z[, on R and C. You should make sure you understand that
(1.9)
R ÷ x −→ [x[ =
x if x ≥ 0
−x if x ≤ 0
∈ [0, ∞) is a norm as is
C ÷ z = x +iy −→ [z[ = (x
2
+y
2
)
1
2
.
Situations do arise in which we do not have (1.6):
Definition 3. A function (1.5) which satisfes (1.7) and (1.8) but possibly not
(1.6) is called a seminorm.
A metric, or distance function, on a set is a map
(1.10) d : X X −→ [0, ∞)
satisfying three standard conditions
d(x, y) = 0 ⇐⇒ x = y, (1.11)
d(x, y) = d(y, x) ∀ x, y ∈ X and (1.12)
d(x, y) ≤ d(x, z) +d(z, y) ∀ x, y, z ∈ X. (1.13)
If you do not know about metric spaces, then you are in trouble. I suggest that
you take the appropriate course now and come back next year. You could read the
ﬁrst few chapters of Rudin’s book [2] before trying to proceed much further but it
will be a struggle to say the least. The point of course is
Proposition 1. If   is a norm on V then
(1.14) d(v, w) = v −w
is a distance on V turning it into a metric space.
Proof. Clearly (1.11) corresponds to (1.6), (1.12) arises from the special case
λ = −1 of (1.7) and (1.12) arises from (1.8).
We will not use any special notation for the metric, nor usually mention it
explicitly – we just subsume all of metric space theory from now on. So v −w is
the distance between two points in a normed space.
Now, we need to talk about examples. The most important ones are the usual
ﬁnitedimensional spaces R
n
and C
n
with their Euclidean norms
(1.15) [x[ =
¸
i
[x
i
[
2
1
2
where it is at ﬁrst confusing that we just use single bars for the norm, just as for
R and C, but you just need to get used to that.
12 1. NORMED AND BANACH SPACES
There are other norms on C
n
(I will mostly talk about the complex case, but
the real case is essentially the same). The two most obvious ones are
(1.16)
[x[
∞
= max [x
i
[, x = (x
1
, . . . , x
n
) ∈ C
n
,
[x[
1
=
¸
i
[x
i
[
but as you will see (if you do the problems) there are also the norms
(1.17) [x[
p
= (
¸
i
[x
i
[
p
)
1
p
, 1 ≤ p < ∞.
In fact, for p = 1, (1.17) reduces to the second norm in (1.16) and in a certain sense
the case p = ∞ is consistent with the ﬁrst norm there.
I usually do not discuss the notion of equivalence of norms straight away. How
ever, two norms on the one vector space – which we can denote  
(1)
and  
(2)
are equivalent if there exist constants C
1
and C
2
such that
(1.18) v
(1)
≤ C
1
v
(2)
, v
(2)
≤ C
2
v
(1)
∀ v ∈ V.
The equivalence of the norms implies that the metrics deﬁne the same open sets –
the topologies induced are the same. You might like to check that the reverse is also
true, if two norms induced the same topologies (just meaning the same collection
of open sets) through their assoicated metrics, then they are equivalent in the sense
of (1.18).
See Problem 1.5 which shows why we are not so interested in the ﬁnitedimensional
case – namely any two norms on a ﬁnite dimensional vector space are equivalent
and so in that case a choice of norm does not tell us much, although it certainly
has its uses.
One important class of normed spaces consists of the spaces of bounded con
tinuous functions on a metric space X :
(1.19) (
0
∞
(X) = (
0
∞
(X; C) = ¦u : X −→C, continuous and bounded¦ .
That this is a linear space follows from the (obvious) result that a linear combi
nation of bounded functions is bounded and the (less obvious) result that a linear
combination of continuous functions is continuous; this we know. The norm is the
best bound
(1.20) u
∞
= sup
x∈X
[u(x)[.
That this a norm is easy to check. Absolute homogeneity is clear, λu
∞
= [λ[u
∞
and u
∞
= 0 means that u(x) = 0 for all x ∈ X which is exactly what it means
for a function to vanish. The triangle inequality ‘is inherited from C’ since for any
two functions and any point,
(1.21) [(u +v)(x)[ ≤ [u(x)[ +[v(x)[ ≤ u
∞
+v
∞
by the deﬁnition of the norms, and taking the sup of the left gives u + v
∞
≤
u
∞
+v
∞
.
Of course the norm (1.20) is deﬁned even for bounded, not necessarily contin
uous functions on X. Note that convergence of a sequence u
n
∈ (
0
∞
(X) (remember
this means with respect to the distance induced by the norm) is just uniform con
vergence
(1.22) u
n
−v
∞
→ 0 ⇐⇒ u
n
(x) → v(x) uniformly on X.
3. BANACH SPACES 13
Other examples of inﬁnite dimensional normed spaces are the space l
p
in the
problems below. Of these l
2
is the most important for us. It is in fact one form of
Hilbert space, with which we are primarily concerned:
(1.23) l
2
= ¦a : N −→C;
¸
j
[a(j)[
2
< ∞¦.
It is not immediately obvious that this is a linear space, nor that
(1.24) a
2
=
¸
¸
j
[a(j)[
2
¸
1
2
is a norm. It is. From now on we will generally use sequential notation and think
of a map from N to C as a sequence, so setting a(j) = a
j
. Thus the ‘Hilbert space’
l
2
consists of the square summable sequences.
3. Banach spaces
You are supposed to remember from metric space theory that there are three
crucial properties, completeness, compactness and connectedness. It turns out that
normed spaces are always connected, so that is not very interesting, and they are
never compact (unless you consider the trivial case V = ¦0¦) so that is not very
interesting either – altough we will ultimately be very interested in compact subsets
– so that leaves completeness. That is so important that we give it a special name.
Definition 4. A normed space which is complete with respect to the induced
metric is a Banach space.
Lemma 2. The space (
0
∞
(X), for any metric space X, is a Banach space.
Proof. This is a standard result from metric space theory – basically that the
uniform limit of a sequence of (bounded) continuous functions on a metric space is
continuous. See Problem ?? where a proper proof is outlined.
There is a space of sequences which is really an example of this Lemma. Con
sider the space c
0
consisting of all the sequence ¦a
j
¦ (valued in C) such that
lim
j→∞
a
j
= 0. As remarked above, sequences are just functions N −→ C. If
we make ¦a
j
¦ into a function on α : D = ¦1, 1/2, 1/3, . . . ¦ −→ C by setting
α(1/j) = a
j
then we get a function on the metric space D. Add 0 to D to get
D = D ∪ ¦0¦ ⊂ [0, 1] ⊂ R; clearly 0 is a limit point of D and D is, as the nota
tion dangerously indicates, the closure of D in R. Now, you will easily check (it is
really the deﬁnition) that α : D −→ C corresponding to a sequence, extends to a
continuous function on D vanishing at 0 if and only if lim
j→∞
a
j
= 0, which is to
say, ¦a
j
¦ ∈ c
0
. Thus it follows, with a little thought which you should give it, that
c
0
is a Banach space with the norm
(1.25) a
∞
= sup
j
a
j
.
What is an example of a noncomplete normed space, a normed space which is
not a Banach space? These are legion of course. The simplest way to get one is to
‘put the wrong norm’ on a space, one which does not correspond to the deﬁnition.
Consider for instance the linear space T of sequences N −→ C which ‘terminate’,
i.e. each element ¦a
j
¦ ∈ T has a
j
= 0 for j > J, where of course the J may depend
14 1. NORMED AND BANACH SPACES
on the particular sequence. The T ⊂ c
0
, the norm on c
0
deﬁnes a norm on T but
it cannot be complete, since the closure of T is easily seen to be all of c
0
– so there
are Cauchy sequences in T without limit in T .
One result we will exploit below, and I give it now just as preparation, concerns
absolutely summable series. Recall that a series is just a sequence where we ‘think’
about adding the terms. So a sequence ¦v
n
¦ is said to be an absolutely summable
series if
(1.26)
¸
n
v
n
 < ∞.
Proposition 2. The sequence of partial sums of any absolutely summable se
ries in a normed space is Cauchy and a normed space is complete if and only if
every absolutely summable series in it converges, meaning that the sequence of par
tial sums converges.
Proof. The sequence of partial sums is
(1.27) w
n
=
n
¸
j=1
v
j
.
Thus, if m ≥ n then
(1.28) w
m
−w
n
=
m
¸
j=n+1
v
j
.
It follows from the triangle inequality that
(1.29) w
n
−w
m

V
≤
m
¸
j=n+1
v
j

V
.
So if the series is absolutely summable then
∞
¸
j=1
v
j

V
< ∞and lim
n→∞
∞
¸
j=n+1
v
j

V
=
0. Thus ¦w
n
¦ is Cauchy if ¦v
j
¦ is absolutely summable. Hence if V is complete
then every absolutely summable series is summable, i.e. the sequence of partial
sums converges.
Conversely, suppose that every absolutely summable series converges in this
sense. Then we need to show that every Cauchy sequence in V converges. Let
u
n
be a Cauchy sequence. It suﬃces to show that this has a subsequence which
converges, since a Cauchy sequence with a convergent subsequence is convergent.
To do so we just proceed inductively. Using the Cauchy condition we can for every
k ﬁnd an integer N
k
such that
(1.30) n, m > N
k
=⇒ u
n
−u
m
 < 2
−k
.
Now choose an increasing sequence n
k
where n
k
> N
k
and n
k
> n
k−1
to make it
increasing. It follows that
(1.31) u
n
k
−u
n
k−1
 ≤ 2
−k+1
.
Denoting this subsequence as u
k
= u
n
k
it follows from (1.31) and the triangle
inequality that
(1.32)
∞
¸
n=1
u
n
−u
n+1
 ≤ 4
4. OPERATORS AND FUNCTIONALS 15
so the sequence v
1
= u
1
, v
k
= u
k
− u
k−1
is absolutely summable. Its sequence of
partial sums is w
j
= u
j
so the assumption is that this converges, hence the original
Cauchy sequence converges and V is complete.
Notice the idea here, of ‘speeding up the convergence’ of the Cauchy sequence
by dropping a lot of terms. We will use this idea of absolutely summable series
heavily in the discussion of Lebesgue integration.
4. Operators and functionals
I suggest that you read this somewhere else (as well) for instance Wilde, [4],
Chapter 2 to 2.7, Chen, [1], the ﬁrst part of Chapter 6 and of Chapter 7 and/or
Ward, [3], Chapter 3, ﬁrst 2 sections.
The vector space we are most intereted in are, as already remarked, spaces
of functions (or something a little more general). The elements of these are the
objects of primary interest but they are related by linear maps. A map between
two vector spaces (over the same ﬁeld, for us either R or C) is linear if it takes
linear combinations to linear combinations:
(1.33) T : V −→ W, T(a
1
v
1
+a
2
v
2
) = a
1
T(v
1
)+a
2
T(v
2
), ∀ v
1
, v
2
∈ V, a
1
, a
2
∈ K.
The sort of examples we have in mind are diﬀerential, or more especially, integral
operators. For instance if u ∈ (
0
([0, 1]) then its Riemann integral
(1.34) (Tu)(x) =
x
0
u(s)ds
is continuous in x ∈ [0, 1] and so deﬁnes a map
(1.35) T : (
0
([0, 1]) −→ (
0
([0, 1]).
This is a linear map, with linearity being one of the standard properties of the
Riemann integral.
In the ﬁnite dimensional case linearity is enough to allow maps to be studied.
However in the case of inﬁnitedimensional normed spaces we need to impose con
tinuity. Of course it makes perfectly good sense to say, demand or conclude, that
a map as in (1.33) is continuous if V and W are normed spaces since they are then
metric spaces. Recall that for metric spaces there are several diﬀerent equivalent
conditions that ensure a map is continuous:
v
n
→ v in V =⇒ Tv
n
→ Tv in W (1.36)
O ⊂ W open =⇒ T
−1
(O) ⊂ V open (1.37)
C ⊂ W closed =⇒ T
−1
(C) ⊂ V closed. (1.38)
For a linear map between normed spaces there is a simpler characterization of
continuity in terms of the norm.
Proposition 3. A linear map (1.33) between normed spaces is continuous if
and only if it is bounded in the sense that there exists a constant C such that
(1.39) Tv
W
≤ Cv
V
∀ v ∈ V.
Of course bounded for a function on a metric space already has a meaning and this
is not it! The usual sense would be Tv ≤ C but this would imply T(av) =
[a[Tv ≤ C so Tv = 0. Hence it is not so dangerous to use the term ‘bounded’ for
16 1. NORMED AND BANACH SPACES
(1.39) – it is really ‘relatively bounded’. From now on, bounded for a linear map
means (1.39).
Proof. If (1.39) holds then if v
n
→ v in V it follows that Tv − Tv
n
 =
T(v −v
n
) ≤ Cv −v
n
 → 0 as n → ∞ so Tv
n
→ Tv and continuity follows.
For the reverse implication we use second characterization of continuity above.
Thus if T is continuous then the inverse image T
−1
(B(0, 1)) of the open unit ball
around the origin contains the origin in V and so, being open, must contain some
B(0, ) in V. This means that
(1.40) T(B(0, )) ⊂ B(0, 1) so v < =⇒ Tv ≤ 1.
Now scaling if v ∈ V then v
 < where v
= v/2v which means that Tv
 ≤ 1
but this implies (1.39) with C = 2/ – it is trivially true if v = 0.
So, if T : V −→ W is continous and linear between normed spaces, or from
now on ‘bounded’, then
(1.41) T = sup
v=1
Tv < ∞.
Lemma 3. The bounded linear maps between normed spaces V and W form a
linear space B(V, W) on which T deﬁned by (1.40) or equivalently
(1.42) T = inf¦C; (1.39) holds¦
is a norm.
Proof. First check that (1.41) is equivalent to (1.42). Deﬁne T by (1.41).
Then for any v ∈ V, v = 0,
(1.43) T ≥ T(
v
v
 =
Tv
v
=⇒ Tv ≤ Tv
since as always this is trivially true for v = 0. Thus T is a constant for which
(1.39) holds.
Conversely, from the deﬁnition of T, if > 0 then there exists v ∈ V with
v = 1 such that T − < v ≤ C for any C for which (1.39) holds. Since > 0
is arbitrary, T ≤ C and hence T is given by (1.42).
From the deﬁnition of T, T = 0 implies Tv = 0 for all v ∈ V and hence
T = 0 as a map. Similarly, if λ = 0, λ ∈ K then
(1.44) λT = sup
v
λTv = [λ[T
and this is also obvious for λ = 0. This only leaves the triangle inequality to check
and for any T, S ∈ B(V, W), and v ∈ V with v = 1
(1.45) (T +S)v
W
= Tv +Sv
W
≤ Tv +W +Sv
W
≤ T +S
so taking the supremum, T +S ≤ T +S.
Thus we see that the space of bounded linear maps between two normed spaces
is a normed space, with the norm being the best constant in the estimate (1.39).
Such bounded linear maps between normed spaces are often called ‘operators’ be
cause we are thinking of the normed spaces as being like function spaces.
You might like to check boundedness for the example of a linear operator in
(1.35), namely that in terms of the supremum norm on (
0
([0, 1]), T ≤ 1.
5. QUOTIENTS 17
One particularly important case is when W = K is the ﬁeld, for us usually C.
Then a simpler notation is handy and one sets V
= B(V, C) – this is called the
dual space of V.
Proposition 4. If W is a Banach space then B(V, W) with the norm (1.41)
is a Banach space.
Proof. We simply need to show that if W is a Banach space then every Cauchy
sequence in B(V, W) is convergent. The ﬁrst thing to do is to ﬁnd the limit. To
says that T
n
∈ B(V, W) is Cauchy, is just to say that given > 0 there exists N
such that n, m > N implies T
n
−T
m
 < . By the deﬁnition of the norm, if v ∈ V
then T
n
v −T
m
v
W
≤ T
n
−T
m
v
V
so T
n
v is Cauchy in W for each v ∈ V. By
assumption, W is complete, so
(1.46) T
n
v −→ w in W.
However, the limit can only depend on v so we can deﬁne a map T : V −→ W by
Tv = w in (1.46).
This map deﬁned from the limits is linear, since T
n
(λv) = λT
n
v −→ λTv and
T
n
(v
1
+v
2
) = T
n
v
1
+T
n
v
2
−→ Tv
2
+Tv
2
= T(v
1
+v
2
). Moreover, [T
n
 −T
n
[ ≤
T
n
−T
m
 so T
n
 is Cauchy in [0, ∞) and hence converges, with limit S, and
(1.47) Tv = lim
n→∞
T
n
v ≤ Sv
so T ≤ S shows that T is bounded.
Returning to the Cauchy condition above and passing to the limit in T
n
−
T
m
v ≤ v as m → ∞ shows that T
n
−T ≤ if n > M and hence T
n
→ T in
B(V, W) which is therefore complete.
One simple consequence of this is:
Corollary 1. The dual space of a normed space is always a Banach space.
However you should be a little suspicious here since we have not shown that
the dual space V
is nontrivial, meaning we have not eliminated to possibility that
V
= ¦0¦ even when V = ¦0¦. The HahnBanach Theorem, discussed below, takes
care of this.
5. Quotients
The notion of a linear subspace of a vector space is natural enough, and you
are likely quite familiar with it. Namely W ⊂ V where V is a vector space is
a (linear) subspace if any linear combinations λ
1
w
1
+ λ
2
w
2
∈ W if λ
1
, λ
2
∈ K
and w
1
, w
2
∈ W. Thus W ‘inherits’ its linear structure from V. There is a second
very important way to construct new linear spaces from old. Namely we want to
make a linear space out of ‘the rest’ of V, given that W is a linear subspace. In
ﬁnite dimensions one way to do this is to give V an inner product and then take
the subspace orthogonal to W. One problem with this is that the result depends,
although not in an essential way, on the inner product. Instead we adopt the usual
‘myopia’ approach and take an equivalance relation on V which identiﬁes points
which diﬀer by an element of W. The equivalence classes are then ‘planes parallel
to W’. I am going through this construction quickly here under the assumption
that it is familiar to most of you, if not you should think about it carefully since
we need to do it several times later.
18 1. NORMED AND BANACH SPACES
So, if W ⊂ V is a linear subspace of V we deﬁne a relation on V – remember
this is just a subset of V V with certain properties – by
(1.48) v ∼
W
v
⇐⇒ v −v
∈ W ⇐⇒ ∃ w ∈ W s.t. v = v
+w.
This satisﬁes the three conditions for an equivalence relation:
(1) v ∼
W
v
(2) v ∼
W
v
⇐⇒ v
∼
W
v
(3) v ∼
W
v
, v
∼
W
w
=⇒ v ∼
W
v
which means that we can regard it as a ‘coarser notion of equality.’
Then V/W is the set of equivalence classes with respect to ∼
W
. You can think
of the elements of V/W as being of the form v + W – a particular element of V
plus an arbitrary element of W. Then of course v
∈ v +W if and only if v
−v ∈ W
meaning v ∼
W
v
.
The crucial point here is that
(1.49) V/W is a vector space.
You should check the details – see Problem ??. Note that the ‘is’ in (1.49) should
really be expanded to ‘is in a natural way’ since as usual the linear structure is
inherited from V :
(1.50) λ(v +W) = λv +W, (v
1
+W) + (v
2
+W) = (v
1
+v
2
) +W.
The subspace W appears as the origin in V/W.
Now, two immediate cases of this are of interest to us, the second less so.
Proposition 5. If   is a seminorm on V then
(1.51) E = ¦v ∈ V ; v = 0¦ ⊂ V
is a linear subspace and
(1.52) v +E
V/E
= v
deﬁnes a norm on V/E.
Proof. That E is linear follows from the properties of a seminorm, since
λv = [λ[v shows that λv ∈ E if v ∈ E and λ ∈ K. Similarly the triangle
inequalty shows that v
1
+v
2
∈ E if v
1
, v
2
∈ E.
To check that (1.52) deﬁnes a norm, ﬁrst we need to check that it makes sense
as a function  
V/E
−→ [0, ∞). This amounts to the statement that v
 is the
same for all elements v
= v + e ∈ v + E for a ﬁxed v. This however follows from
the triangle inequality applied twice:
(1.53) v
 ≤ v +e = v ≤ v
 + −e = v
.
Now, I leave you the exercise of checking that  
V/E
is a norm, see Problem ??
The second application is more serious, but in fact we will not use it for some
time so I usually do not do this in lectures at this stage.
Proposition 6. If W ⊂ V is a closed subspace of a normed space then
(1.54) v +W
V/W
= inf
w∈W
v +w
V
deﬁnes a norm on V/W; if V is a Banach space then so is V/W.
For the proof see Problems ?? and ??.
6. COMPLETION 19
6. Completion
A normed space not being complete, not being a Banach space, is considered
to be a defect which we might, indeed will, wish to rectify.
Let V be a normed space with norm  
V
. A completion of V is a Banach
space B with the following properties:
(1) There is an injective (i.e. 11) linear map I : V −→ B
(2) The norms satisfy
(1.55) I(v)
B
= v
V
∀ v ∈ V.
(3) The range I(V ) ⊂ B is dense in B.
Notice that if V is itself a Banach space then we can take B = V with I the
identity map.
So, the main result is:
Theorem 1. Each normed space has a completion.
There are several ways to prove this, we will come across a more sophisticated one
(using the HahnBanach Theorem) later. However, we want a ‘handson’ proof
which motivates (I hope) the construction of the Lebesgue integral – which is in
our near future.
‘Proof’ (the last bit is left to you). Let V be a normed space. First
we introduce the rather large space
(1.56)
¯
V =
¦u
k
¦
∞
k=1
; u
k
∈ V and
∞
¸
k=1
u
k
 < ∞
¸
the elements of which, if you recall, are said to be absoutely summable. Notice that
the elements of
¯
V are sequences, valued in V so two sequences are equal, are the
same, only when each entry in one is equal to the corresponding entry in the other
– no shifting around or anything is permitted as far as equality is concerned. We
think of these as series (remember this means nothing except changing the name, a
series is a sequence and a sequence is a series), the only diﬀerence is that we ‘think’
of taking the limit of sequence but we ‘think’ of summing the elements of a series,
whether we can do so or not being a diﬀerent matter.
Now, each element of
¯
V is a Cauchy sequence – meaning the corresponding
sequence of partial sums v
N
=
N
¸
k=1
u
k
is Cauchy if ¦u
k
¦ is absolutely summable.
This is simply because if M ≥ N then
(1.57) v
M
−v
N
 = 
M
¸
j=N+1
u
j
 ≤
M
¸
j=N+1
u
j
 ≤
¸
j≥N+1
u
j

gets small with N by the assumption that
¸
j
u
j
 < ∞ (time to polish up your
understanding of the convergence of series of positive real numbers?)
Moreover,
¯
V is a linear space, where we add sequences, and multiply by con
stants, by doing the operations on each component:
(1.58) t
1
¦u
k
¦ +t
2
¦u
k
¦ = ¦t
1
u
k
+t
2
u
k
¦.
20 1. NORMED AND BANACH SPACES
This always gives an absolutely summable series by the triangle inequality:
(1.59)
¸
k
t
1
u
k
+t
2
u
k
 ≤ [t
1
[
¸
k
u
k
 +[t
2
[
¸
k
u
k
.
Within
¯
V consider the linear subspace
(1.60) S =
¦u
k
¦;
¸
k
u
k
 < ∞,
¸
k
u
k
= 0
¸
of those which converge to 0. As discussed above, we can form the quotient
(1.61) B =
¯
V /S
the elements of which are the ‘cosets’ of the form ¦u
k
¦ + S ⊂
¯
V where ¦u
k
¦ ∈
¯
V .
We proceed to check the following properties of this B.
(1) A norm on B is deﬁned by
(1.62) b
B
= lim
n→∞

n
¸
k=1
u
k
, b = ¦u
k
¦ +S ∈ B.
(2) The original space V is imbedded in B by
(1.63) V ÷ v −→ I(v) = ¦u
k
¦ +S, u
1
= v, u
k
= 0 ∀ k > 1
and the norm satisﬁes (1.55).
(3) I(V ) ⊂ B is dense.
(4) B is a Banach space with the norm (1.62).
So, ﬁrst that (1.62) is a norm. The limit on the right does exist since the limit
of the norm of a Cauchy sequence always exists – namely the sequence of norms
is itself Cauchy but now in R. Moreover, adding an element of S to ¦u
k
¦ does not
change the norm of the sequence of partial sums, since the addtional term tends
to zero in norm. Thus b
B
is welldeﬁned for each element b ∈ B and b
B
= 0
means exactly that the sequence ¦u
k
¦ used to deﬁne it tends to 0 in norm, hence is
in S hence b = 0 in B. The other two properties of norm are reasonably clear, since
if b, b
∈ B are represented by ¦u
k
¦, ¦u
k
¦ in
¯
V then tb and b +b
are reprented by
¦tu
k
¦ and ¦u
k
+u
k
¦ and
(1.64)
lim
n→∞

n
¸
k=1
tu
k
 = [t[ lim
n→∞

n
¸
k=1
u
k
,
lim
n→∞

n
¸
k=1
(u
k
+u
k
) = A =⇒
for > 0 ∃ N s.t. ∀ n ≥ N, A− ≤ 
n
¸
k=1
(u
k
+u
k
) =⇒
A− ≤ 
n
¸
k=1
u
k
 +
n
¸
k=1
u
k
) ∀ n ≥ N =⇒
A− ≤ b
B
+b

B
∀ > 0 =⇒
b +b

B
≤ b
B
+b

B
.
6. COMPLETION 21
Now the norm of the element I(v) = v, 0, 0, , is the limit of the norms of the
sequence of partial sums and hence is v
V
so I(v)
B
= v
V
and I(v) = 0
therefore implies v = 0 and hence I is also injective.
We need to check that B is complete, and also that I(V ) is dense. Here is
an extended discussion of the diﬃculty – of course maybe you can see it directly
yourself (or have a better scheme). Note that I ask you to write out your own
version of it carefully in one of the problems.
Okay, what does it mean for B to be a Banach space, well as we above it means
that every absolutely summable series in B is convergent. Such a series ¦b
n
¦ is
given by b
n
= ¦u
(n)
k
¦ +S where ¦u
(n)
k
¦ ∈
¯
V and the summability condition is that
(1.65) ∞ >
¸
n
b
n

B
=
¸
n
lim
N→∞

N
¸
k=1
u
(n)
k

V
.
So, we want to show that
¸
n
b
n
= b converges, and to do so we need to ﬁnd the
limit b. It is supposed to be given by an absolutely summable series. The ‘problem’
is that this series should look like
¸
n
¸
k
u
(n)
k
in some sense – because it is supposed
to represent the sum of the b
n
’s. Now, it would be very nice if we had the estimate
(1.66)
¸
n
¸
k
u
(n)
k

V
< ∞
since this should allow us to break up the double sum in some nice way so as to get
an absolutely summable series out of the whole thing. The trouble is that (1.66)
need not hold. We know that each of the sums over k – for given n – converges,
but not the sum of the sums. All we know here is that the sum of the ‘limits of the
norms’ in (1.65) converges.
So, that is the problem! One way to see the solution is to note that we do not
have to choose the original ¦u
(n)
k
¦ to ‘represent’ b
n
– we can add to it any element
of S. One idea is to rearrange the u
(n)
k
– I am thinking here of ﬁxed n – so that it
‘converges even faster.’ Given > 0 we can choose p
1
so that for all p ≥ p
1
,
(1.67) [
¸
k≤p
u
(n)
k

V
−b
n

B
[ ≤ ,
¸
k≥p
u
(n)
k

V
≤ .
Then in fact we can choose successive p
j
> p
j−1
(remember that little n is ﬁxed
here) so that
(1.68) [
¸
k≤p
j
u
(n)
k

V
−b
n

B
[ ≤ 2
−j
,
¸
k≥p
j
u
(n)
k

V
≤ 2
−j
∀ j.
Now, ‘resum the series’ deﬁning instead v
(n)
1
=
p
1
¸
k=1
u
(n)
k
, v
(n)
j
=
p
j
¸
k=p
j−1
+1
u
(n)
k
and
do this setting = 2
−n
for the nth series. Check that now
(1.69)
¸
n
¸
k
v
(n)
k

V
< ∞.
Of course, you should also check that b
n
= ¦v
(n)
k
¦ +S so that these new summable
series work just as well as the old ones.
22 1. NORMED AND BANACH SPACES
After this ﬁddling you can now try to ﬁnd a limit for the sequence as
(1.70) b = ¦w
k
¦ +S, w
k
=
¸
l+p=k+1
v
(p)
l
∈ V.
So, you need to check that this ¦w
k
¦ is absolutely summable in V and that b
n
→ b
as n → ∞.
Finally then there is the question of showing that I(V ) is dense in B. You can
do this using the same idea as above – in fact it might be better to do it ﬁrst. Given
an element b ∈ B we need to ﬁnd elements in V, v
k
such that I(v
k
) −b
B
→ 0 as
k → ∞. Take an absolutely summable series u
k
representing b and take v
j
=
N
j
¸
k=1
u
k
where the p
j
’s are constructed as above and check that I(v
j
) → b by computing
(1.71) I(v
j
) −b
B
= lim
→∞

¸
k>p
j
u
k

V
≤
¸
k>p
j
u
k

V
.
7. Examples
Let me collect some examples of normed and Banach spaces. Those mentioned
above and in the problems include:
• c
0
the space of convergent sequences in C with supremum norm, a Banach
space.
• l
p
one space for each real number 1 ≤ p < ∞; the space of psummable
series with corresponding norm; all Banach spaces. The most important
of these for us is the case p = 2, which is (a) Hilbert space.
• l
∞
the space of bounded sequences with supremumb norm, a Banach space
with c
0
⊂ l
∞
a closed subspace with the same norm.
• (
0
([a, b]) or more generally (
0
(M) for any compact metric space M – the
Banach space of continuous functions with supremum norm.
• (
0
∞
(R), or more generally (
0
∞
(M) for any metric space M – the Banach
space of bounded continuous functions with supremum norm.
• (
0
0
(R), or more generally (
0
0
(M) for any metric space M – the Banach
space of continuous functions which ‘vanish at inﬁnity’ (see Problem ??
with supremum norm. A closed subspace, with the same norm, in (
0
∞
(M).
• (
k
([a, b]) the space of k times continuously diﬀerentiable (so k ∈ N) func
tions on [a, b] with norm the sum of the supremum norms on the function
and its derivatives. Each is a Banach space – see Problem ??.
• The space (
0
([0, 1]) with norm
(1.72) u
L
1 =
b
a
[u[dx
given by the Riemann integral of the absolute value. A normed space, but
not a Banach space. We will construct the concrete completion, L
1
([0, 1])
of Lebesgue integrable ‘functions’.
• The space {([a, b]) of Riemann integrable functions on [a, b] with u
deﬁned by (1.72). This is only a seminorm, since there are Riemann
integrable functions (note that u Riemann integrable does imply that [u[
is Riemann integrable) with vanishing Riemann integral but which are
8. BAIRE’S THEOREM 23
not identically zero. This cannot happen for continuous functions. So the
quotient is a normed space, but it is not complete.
• The same spaces – either of continuous or of Riemann integrable functions
but with the (semi in the second case) norm
(1.73) u
L
p =
b
a
[u[
p
1
p
.
Not complete in either case even after passing to the quotient to get a
norm for Riemann integrable functions.
Here is an example to see that the space of continuous functions on [0, 1] with
norm (1.72) is not complete; things are even worse than this example indicates! It
is a bit harder to show that the quotient of the Riemann integrable functions is not
complete, feel free to give it a try!
Take a simple nonnegative continuous function on R for instance
(1.74) f(x) =
1 −[x[ if [x[ ≤ 1
0 if [x[ > 1.
Then
1
−1
f(x) = 1. Now scale it up and in by setting
(1.75) f
N
(x) = Nf(N
3
x) = 0 if [x[ > N
−3
.
So it vanishes outside [−N
−3
, N
−3
] and has
1
−1
f
N
(x)dx = N
−2
. It follows that the
sequence ¦f
N
¦ is absolutely summable with respect to the integral norm in (1.72)
on [−1, 1]. The pointwise series
¸
N
f
N
(x) converges everywhere except at x = 0 –
since at each point x = 0, f
N
(x) = 0 if N
3
[x[ > 1. The resulting function, even if we
ignore the problem at x = 0, is not Riemann integrable because it is not bounded.
You might respond that the sum of the series is ‘improperly Riemann inte
grable’. This is true but does not help much.
It is at this point that I start doing Lebesgue integration in the lectures. The
following material is from later in the course but ﬁts here quite reasonably.
8. Baire’s theorem
At least once I wrote a version of the following material on the blackboard
during the ﬁrst midterm test, in an an attempt to distract people. It did not work
very well – its seems that MIT students have already been toughened up by this
stage. Baire’s theorem will be used later (it is also known as ‘Baire category theory’
although it has nothing to do with categories in the modern sense).
This is a theorem about complete metric spaces – it could be included in the
earlier course ‘Real Analysis’ but the main applications are in Functional Analysis.
Theorem 2 (Baire). If M is a nonempty complete metric space and C
n
⊂ M,
n ∈ N, are closed subsets such that
(1.76) M =
¸
n
C
n
then at least one of the C
n
’s has an interior point.
24 1. NORMED AND BANACH SPACES
Proof. We can assume that the ﬁrst set C
1
= ∅ since they cannot all be
empty and dropping some empty sets does no harm. Let’s assume the contrary of
the desired conclusion, namely that each of the C
n
’s has empty interior, hoping to
arrive at a contradiction to (1.76) using the other properties. This means that an
open ball B(p, ) around a point of M (so it isn’t empty) cannot be contained in
any one of the C
n
.
So, choose p ∈ C
1
. Now, there must be a point p
1
∈ B(p, 1/3) which is not
in C
1
. Since C
1
is closed there exists
1
> 0, and we can take
1
< 1/3, such that
B(p
1
,
1
) ∩ C
1
= ∅. Continue in this way, choose p
2
∈ B(p
1
,
1
/3) which is not in
C
2
and
2
> 0,
2
<
1
/3 such that B(p
2
,
2
) ∩ C
2
= ∅. Here we use both the fact
that C
2
has empty interior and the fact that it is closed. So, inductively there is a
sequence p
i
, i = 1, . . . , k and positive numbers 0 <
k
<
k−1
/3 <
k−2
/3
2
< <
1
/3
k−1
< 3
−k
such that p
j
∈ B(p
j−1
,
j−1
/3) and B(p
j
,
j
) ∩C
j
= ∅. Then we can
add another p
k+1
by using the properties of C
k
– it has nonempty interior so there is
some point in B(p
k
,
k
/3) which is not in C
k+1
and then B(p
k+1
,
k+1
) ∩C
k+1
= ∅
where
k+1
> 0 but
k+1
<
k
/3. Thus, we have a sequence ¦p
k
¦ in M. Since
d(p
k+1
, p
k
) <
k
/3 this is a Cauchy sequence, in fact
(1.77) d(p
k
, p
k+l
) <
k
/3 + +
k+l−1
/3 < 3
−k
.
Since M is complete the sequence converges to a limit, q ∈ M. Notice however that
p
l
∈ B(p
k
, 2
k
/3) for all k > l so d(p
k
, q) ≤ 2
k
/3 which implies that q / ∈ C
k
for
any k. This is the desired contradiction to (1.76).
Thus, at least one of the C
n
must have nonempty interior.
In applications one might get a complete mentric space written as a countable
union of subsets
(1.78) M =
¸
n
E
n
, E
n
⊂ M
where the E
n
are not necessarily closed. We can still apply Baire’s theorem however,
just take C
n
= E
n
to be the closures – then of course (1.76) holds since E
n
⊂ C
n
.
The conclusion of course is then that
(1.79) For at least one n the closure of E
n
has nonempty interior.
9. Uniform boundedness
One application of this is often called the uniform boundedness principle or
BanachSteinhaus Theorem.
Theorem 3 (Uniform boundedness). Let B be a Banach space and suppose
that T
n
is a sequence of bounded (i.e. continuous) linear operators T
n
: B −→ V
where V is a normed space. Suppose that for each b ∈ B the set ¦T
n
(b)¦ ⊂ V is
bounded (in norm of course) then sup
n
T
n
 < ∞.
Proof. This follows from a pretty direct application of Baire’s theorem to B.
Consider the sets
(1.80) S
p
= ¦b ∈ B, b ≤ 1, T
n
b
V
≤ p ∀ n¦, p ∈ N.
Each S
p
is closed because T
n
is continuous, so if b
k
→ b is a convergent sequence
then b ≤ 1 and T
n
(p) ≤ p. The union of the S
p
is the whole of the closed ball
10. OPEN MAPPING THEOREM 25
of radius one around the origin in B :
(1.81) ¦b ∈ B; d(b, 0) ≤ 1¦ =
¸
p
S
p
because of the assumption of ‘pointwise boundedness’ – each b with b ≤ 1 must
be in one of the S
p
’s.
So, by Baire’s theorem one of the sets S
p
has nonempty interior, it therefore
contains a closed ball of positive radius around some point. Thus for some p, some
v ∈ S
p
, and some δ > 0,
(1.82) w ∈ B, w
B
≤ δ =⇒ T
n
(v +w)
V
≤ p ∀ n.
Since v ∈ S
p
is ﬁxed it follows that T
n
w ≤ T
n
v+p ≤ 2p for all w with w] ≤ δ.
Moving v to (1 − δ/2)v and halving δ as necessary it follows that this ball
B(v, δ) is contained in the open ball around the origin of radius 1. Thus, using the
triangle inequality, and the fact that T
n
(v)
V
≤ p this implies
(1.83) w ∈ B, w
B
≤ δ =⇒ T
n
(w)
V
≤ 2p =⇒ T
n
 ≤ 2p/δ.
The norm of the operator is sup¦Tw
V
; w
B
= 1¦ =
1
δ
sup¦Tw
V
; w
B
= δ¦
so the norms are uniformly bounded:
(1.84) T
n
 ≤ 2p/δ
as claimed.
10. Open mapping theorem
The second major application of Baire’s theorem is to
Theorem 4 (Open Mapping). If T : B
1
−→ B
2
is a bounded and surjective
linear map between two Banach spaces then T is open:
(1.85) T(O) ⊂ B
2
is open if O ⊂ B
1
is open.
This is ‘wrong way continuity’ and as such can be used to prove the continuity of
inverse maps as we shall see. The proof uses Baire’s theorem pretty directly, but
then another similar sort of argument is needed.
Proof. What we will try to show is that the image under T of the unit open
ball around the origin, B(0, 1) ⊂ B
1
contains an open ball around the origin in B
2
.
The ﬁrst part, of the proof, using Baire’s theorem shows that the closure of the
image, so in B
2
, has 0 as an interior point – i.e. it contains an open ball around
the origin in B
2
:
(1.86) T(B(0, 1) ⊃ B(0, δ), δ > 0.
To see this we apply Baire’s theorem to the sets
(1.87) C
p
= cl
B
2
T(B(0, p))
the closure of the image of the ball in B
1
of radius p. We know that
(1.88) B
2
=
¸
p
T(B(0, p))
since that is what surjectivity means – every point is the image of something. Thus
one of the closed sets C
p
has an interior point, v. Since T is surjective, v = Tu for
some u ∈ B
1
. The sets C
p
increase with p so we can take a larger p and v is still
26 1. NORMED AND BANACH SPACES
an interior point, from which it follows that 0 = v −Tu is an interior point as well.
Thus indeed
(1.89) C
p
⊃ B(0, δ)
for some δ > 0. Rescaling by p, using the linearity of T, it follows that with δ
replaced by δ/p, we get (1.86).
Having applied Baire’s thereom, consider now what (1.86) means. It follows
that each v ∈ B
2
with v = δ is the limit of a sequence Tu
n
where u
n
 ≤ 1.
What we want to ﬁnd is such a sequence which converges. To do so we need to
choose the sequence more carefully. Certainly we can stop somewhere along the
way and see that
(1.90) v ∈ B
2
, v = δ =⇒ ∃ u ∈ B
1
, u ≤ 1, v −Tu ≤
δ
2
=
1
2
v
where of course we could replace
δ
2
by any positive constant but the point is the
last inequality relative to the norm of v. Now, again scaling if we take any v = 0 in
B
2
and apply (1.90) to v/v we conclude that (for C = p/δ a ﬁxed constant)
(1.91) v ∈ B
2
=⇒ ∃ u ∈ B
1
, u ≤ Cv, v −Tu ≤
1
2
v
where the size of u only depends on the size of v; of course this is also true for v = 0
by taking u = 0.
Using this we construct the desired better approximating sequence. Given
w ∈ B
1
, choose u
1
= u according to (1.91) for v = w = w
1
. Thus u
1
 ≤ C,
and w
2
= w
1
− Tu
1
satisﬁes w
2
 ≤
1
2
w. Now proceed by induction, supposing
that we have constructed a sequence u
j
, j < n, in B
1
with u
j
 ≤ C2
−j+1
p and
w
j
 ≤ 2
−j+1
w for j ≤ n, where w
j
= w
j−1
− Tu
j−1
– which we have for
n = 1. Then we can choose u
n
, using (1.91), so u
n
 ≤ Cw
n
 ≤ C2
−n+1
w
and such that w
n+1
= w
n
− Tu
n
has w
n+1
 ≤
1
2
w
n
 ≤ 2
−n
w to extend the
induction. Thus we get a sequence u
n
which is absolutely summable in B
1
, since
¸
n
u
n
 ≤ 2Cw, and hence converges by the assumed completeness of B
1
this
time. Moreover
(1.92) w −T(
n
¸
j=1
u
j
) = w
1
−
n
¸
j=1
(w
j
−w
j+1
) = w
n+1
so Tu = w and u ≤ 2Cw.
Thus ﬁnally we have shown that each w ∈ B(0, 1) in B
2
is the image of some
u ∈ B
1
with u ≤ 2C. Thus T(B(0, 3C)) ⊃ B(0, 1). By scaling it follows that the
image of any open ball around the origin contains an open ball around the origin.
Now, the linearity of T shows that the image T(O) of any open set is open,
since if w ∈ T(O) then w = Tu for some u ∈ O and hence u+B(0, ) ⊂ O for > 0
and then w +B(0, δ) ⊂ T(O) for δ > 0 suﬃciently small.
One important corollary of this is something that seems like it should be obvi
ous, but deﬁnitely needs the completeness to be true.
Corollary 2. If T : B
1
−→ B
2
is a bounded linear map between Banach
spaces which is 11 and onto, i.e. is a bijection, then it is a homeomorphism –
meaning its inverse, which is necessarily linear, is also bounded.
12. HAHNBANACH THEOREM 27
Proof. The only confusing thing is the notation. Note that T
−1
is used to
denote the inverse maps on sets. The inverse of T, let’s call it S : B
2
−→ B
1
is
certainly linear. If O ⊂ B
1
is open then S
−1
(O) = T(O), since to say v ∈ S
−1
(O)
means S(v) ∈ O which is just v ∈ T(O), is open by the Open Mapping theorem, so
S is continuous.
11. Closed graph theorem
For the next application you should recall that the product of two Banach
spaces, B
1
B
2
, – which is just the linear space of all pairs (u, v), u ∈ B
1
and
v ∈ B
2
, is a Banach space with respect to the sum of the norms
(1.93) (u, v) = u
1
+v
2
.
Theorem 5 (Closed Graph). If T : B
1
−→ B
2
is a linear map between Banach
spaces then it is bounded if and only if its graph
(1.94) Gr(T) = ¦(u, v) ∈ B
1
B
2
; v = Tu¦
is a closed subset of the Banach space B
1
B
2
.
Proof. Suppose ﬁrst that T is bounded, i.e. continuous. A sequence (u
n
, v
n
) ∈
B
1
B
2
is in Gr(T) if and only if v
n
= Tu
n
. So, if it converges, then u
n
→ u and
v
n
= Tu
n
→ Tv by the continuity of T, so the limit is in Gr(T) which is therefore
closed.
Conversely, suppose the graph is closed. This means that viewed as a normed
space in its own right it is complete. Given the graph we can reconstruct the map
it comes from (whether linear or not) in a little diagram. From B
1
B
2
consider
the two projections, π
1
(u, v) = u and π
2
(u, v) = v. Both of them are continuous
since the norm of either u or v is less than the norm in (1.93). Restricting them to
Gr(T) ⊂ B
1
B
2
gives
(1.95) Gr(T)
π
1
x
x
x
x
x
x
x
x
π
2
##
F
F
F
F
F
F
F
F
B
1
T
//
B
2
.
This little diagram commutes. Indeed there are two ways to map a point (u, v) ∈
Gr(T) to B
2
, either directly, sending it to v or ﬁrst sending it u ∈ B
1
and then to
Tu. Since v = Tu these are the same.
Now, as already noted, Gr(T) ⊂ B
1
B
2
is a closed subspace, so it too is a
Banach space and π
1
and π
2
remain continuous when restricted to it. The map π
1
is 11 and onto, because each u occurs as the ﬁrst element of precisely one pair,
namely (u, Tu) ∈ Gr(T). Thus the Corollary above applies to π
1
to show that its
inverse, S is continuous. But then T = π
2
◦ S, from the commutativity, is also
continuous proving the theorem.
12. HahnBanach theorem
Now, there is always a little pressure to state and prove the HahnBanach
Theorem. This is about extension of functionals. Stately starkly, the basic question
is: Does a normed space have any nontrivial continuous linear functionals on it?
That is, is the dual space always nontrivial (of course there is always the zero linear
functional but that is not very amusing). We do not really encounter this problem
28 1. NORMED AND BANACH SPACES
since for a Hilbert space, or even a preHilbert space, there is always the space
itself, giving continuous linear functionals through the pairing – Riesz’ Theorem
says that in the case of a Hilbert space that is all there is. I could have used the
HahnBanach Theorem to show that any normed space has a completion, but I
gave a more direct argument for this, which was in any case much more relevant
for the cases of L
1
(R) and L
2
(R) for which we wanted concrete completions.
Theorem 6 (HahnBanach). If M ⊂ V is a linear subspace of a normed space
and u : M −→C is a linear map such that
(1.96) [u(t)[ ≤ Ct
V
∀ t ∈ M
then there exists a bounded linear functional U : V −→ C with U ≤ C and
U
M
= u.
First, by computation, we show that we can extend any continuous linear func
tional ‘a little bit’ without increasing the norm.
Lemma 4. Suppose M ⊂ V is a subspace of a normed linear space, x / ∈ M
and u : M −→ C is a bounded linear functional as in (1.96) then there exists
u
: M
= ¦t
∈ V ; t
= t +ax¦, a ∈ C such that
(1.97) u
M
= u, [u
(t +ax)[ ≤ Ct +ax
V
, ∀ t ∈ M, a ∈ C.
Proof. Note that the decompositon t
= t + ax of a point in M
is unique,
since t +ax =
˜
t + ˜ ax implies (a − ˜ a)x ∈ M so a = ˜ a, since x / ∈ M and hence t =
˜
t
as well. Thus
(1.98) u
(t +ax) = u
(t) +au(x) = u(t) +λa, λ = u
(x)
and all we have at our disposal is the choice of λ. Any choice will give a linear
functional extending u, the problem of course is to arrange the continuity estimate
without increasing the constant. In fact if C = 0 then u = 0 and we can take
the zero extension. So we might as well assume that C = 1 since dividing u by C
arranges this and if u
extends u/C then Cu
extends u and the norm estimate in
(1.97) follows. So we are assuming that
(1.99) [u(t)[ ≤ t
V
∀ t ∈ M.
We want to choose λ so that
(1.100) [u(t) +aλ[ ≤ t +ax
V
∀ t ∈ M, a ∈ C.
Certainly when a = 0 this represents no restriction on λ. For a = 0 we can divide
through by a and (1.100) becomes
(1.101) [a[[u(
t
a
) −λ[ = [u(t) +aλ[ ≤ t +ax
V
= [a[
t
a
−x
V
and since t/a ∈ M we only need to arrange that
(1.102) [u(t) −λ[ ≤ t −x
V
∀ u ∈ M
and the general case follows.
So, we will choose λ to be real. A complex linear functional such as u can be
recovered from its real part, so set
(1.103) w(t) = Re(u(t)) ∀ t ∈ M
12. HAHNBANACH THEOREM 29
and just try to extend w to a real functional – it is not linear over the complex
numbers of course, just over the reals, but what we want is the anaogue of (1.102):
(1.104) [w(t) −λ[ ≤ t −x
V
∀ t ∈ M
which does not involve linearity. What we know about w is the norm estimate
(1.99) which implies
(1.105) [w(t
1
) −w(t
2
)[ ≤ [u(t
1
) −u(t
2
)[ ≤ t
1
−t
2
 ≤ t
1
−x
V
+t
2
−x
V
.
Writing this out usual the reality we ﬁnd
(1.106)
w(t
1
) −w(t
2
) ≤ t
1
−x
V
+t
2
−x
V
=⇒
w(t
1
) −t
1
−x ≤ w(t
2
) +t
2
−x
V
∀ t
1
, t
2
∈ M.
We can then take the sup on the right and the inf on the left and choose λ in
between – namely we have shown that there exists λ ∈ R with
(1.107) w(t) −t −x
V
≤ sup
t
2
∈M
(w(t
1
) −t
1
−x) ≤ λ
≤ inf
t
2
∈M
(w(t
1
) +t
1
−x) ≤ w(t) +t −x
V
∀ t ∈ M.
This in turn implies that
(1.108) −t −x
V
≤ −w(t) +λ ≤ t −x
V
=⇒ [w(t)λ[ ≤ −t −x
V
∀ t ∈ M.
This is what we wanted – we have extended the real part of u to
(1.109) w
(t +ax) = w(t) −(Re a)λ and [w
(t +ax)[ ≤ t +ax
V
.
Now, ﬁnally we get the extension of u itself by ‘complexifying’ – deﬁning
(1.110) u
(t +ax) = w
(t +ax) −iw
(i(t +ax)).
This is linear over the complex numbers since
(1.111) u
(z(t +ax)) = w
(z(t +ax)) −iw
(iz(t +ax)
= w
(Re z(t +ax) +i Imz(t +ax)) −iw
(i Re z(t +ax)) +iw
(Imz(t +ax))
= (Re z +i Imz)w
(t +ax) −i(Re z +i Imz)(w
(i(t +ax)) = zu
(t +ax).
It certainly extends u from M – since the same identity gives u in terms of its real
part w.
Finally then, to see the norm estimate note that (as we did long ago) there
exists a uniqe θ ∈ [0, 2π) such that
(1.112)
[u
(t +ax)[ = Re e
iθ
u
(t +ax) = Re u
(e
iθ
t +e
iθ
ax)
= w
(e
iθ
u +e
iθ
ax) ≤ e
iθ
(t +ax)
V
= t +ax
V
.
This completes the proof of the Lemma.
Of HahnBanach. This is an application of Zorn’s Lemma. I am not going
to get into the derivation of Zorn’s Lemma from the Axiom of Choice, but if you
believe the latter – and you are advised to do so, at least before lunchtime – you
should believe the former.
So, Zorn’s Lemma is a statement about partially ordered sets. A partial order
on a set E is a subset of E E, so a relation, where the condition that (e, f) be in
the relation is written e ≺ f and it must satisfy
(1.113) e ≺ e, e ≺ f and f ≺ e =⇒ e = f, e ≺ f and f ≺ g =⇒ e ≺ g.
30 1. NORMED AND BANACH SPACES
So, the missing ingredient between this and an order is that two elements need not
be related at all, either way.
A subsets of a partially ordered set inherits the partial order and such a subset
is said to be a chain if each pair of its elements is related one way or the other.
An upper bound on a subset D ⊂ E is an element e ∈ E such that d ≺ e for all
d ∈ D. A maximal element of E is one which is not majorized, that is e ≺ f, f ∈ E,
implies e = f.
Lemma 5 (Zorn). If every chain in a (nonempty) partially ordered set has an
upper bound then the set contains at least one maximal element.
Now, we are given a functional u : M −→ C deﬁned on some linear subspace
M ⊂ V of a normed space where u is bounded with respect to the induced norm on
M. We apply this to the set E consisting of all extensions (v, N) of u with the same
norm. That is, V ⊃ N ⊃ M must contain M, v
M
= u and v
N
= u
M
. This is
certainly nonempty since it contains (u, M) and has the natural partial order that
(v
1
, N
1
) ≺ (v
2
, N
2
) if N
1
⊂ N
2
and v
2
N
1
= v
1
. You can check that this is a partial
order.
Let C be a chain in this set of extensions. Thus for any two elements (v
i
, N
1
) ∈
C, either (v
1
, N
1
) ≺ (v
2
, N
2
) or the other way around. This means that
(1.114)
˜
N =
¸
¦N; (v, N) ∈ C for some v¦ ⊂ V
is a linear space. Note that this union need not be countable, or anything like that,
but any two elements of
˜
N are each in one of the N’s and one of these must be
contained in the other by the chain condition. Thus each pair of elements of
˜
N is
actually in a common N and hence so is their linear span. Similarly we can deﬁne
an extension
(1.115) ˜ v :
˜
N −→C, ˜ v(x) = v(x) if x ∈ N, (v, N) ∈ C.
There may be many pairs (v, N) satisfying x ∈ N for a given x but the chain
condition implies that v(x) is the same for all of them. Thus ˜ v is well deﬁned, and
is clearly also linear, extends u and satisﬁes the norm condition [˜ v(x)[ ≤ u
M
v
V
.
Thus (˜ v,
˜
N) is an upper bound for the chain C.
So, the set of all extension E, with the norm condition, satisﬁes the hypothesis
of Zorn’s Lemma, so must – at least in the mornings – have an maximal element
(˜ u,
˜
M). If
˜
M = V then we are done. However, in the contary case there exists
x ∈ V `
˜
M. This means we can apply our little lemma and construct an extension
(u
,
˜
M
) of (˜ u,
˜
M) which is therefore also an element of E and satisﬁes (˜ u,
˜
M) ≺
(u
,
˜
M
). This however contradicts the condition that (˜ u,
˜
M) be maximal, so is
forbidden by Zorn.
There are many applications of the HahnBanach Theorem, one signiﬁcant one
is that the dual space of a nontrivial normed space is itself nontrivial.
Proposition 7. For any normed space V and element 0 = v ∈ V there is a
continuous linear functional f : V −→C with f(v) = 1 and f = 1/v
V
.
Proof. Start with the onedimensional space, M, spanned by x and deﬁne
u(zx) = z. This has norm 1/x
V
. Extend it using the HahnBanach Theorem and
you will get a continuous functional f as desired.
14. PROBLEMS 31
13. Double dual
Let me give another application of the HahnBanach theorem, although I have
never covered this in lectures. If V is a normed space, we know its dual space, V
,
to be a Banach space. Let V
= (V
)
be the dual of the dual.
Proposition 8. If v ∈ V then the linear map on V
:
(1.116) T
v
: V
−→C, T
v
(v
) = v
(v)
is continuous, and so deﬁnes an isometric linear injection V → V
, T
v
 = v.
Proof. The deﬁnition of T
v
is ‘tautologous’, meaning it is almost the deﬁnition
of V
. First check T
v
in (1.116) is linear. Indeed, if v
1
, v
2
∈ V
and λ
1
, λ
2
∈ C then
T
v
(λ
1
v
1
+ λ
2
v
2
) = (λ
1
v
1
+ λ
2
v
2
)(v) = λ
1
v
1
(v) + λ
2
v
2
(v) = λ
1
T
v
(v
1
) + λ
2
T
v
(v
2
).
That T
v
∈ V
, i.e. is bounded, follows too since [T
v
(v
)[ = [v
(v)[ ≤ v

V
v
V
;
this also shows that T
v

V
≤ v. On the other hand, by Proposition 7 above,
if v = 1 then there exists v
∈ V
such that v
(v) = 1 and v

V
= 1. Then
T
v
(v
) = v
(v) = 1 shows that T
v
 = 1 so in general T
v
 = v. It also needs
to be checked that V ÷ v −→ T
v
∈ V
is a linear map – this is clear from the
deﬁnition. It is necessarily 11 since T
v
 = v.
Now, it is deﬁnitely not the case in general that V
= V in the sense that this
injection is also a surjection. Since V
is always a Banach space, one necessary
condition is that V itself should be a Banach space. In fact the closure of the image
of V in V
is a completion of V. If the map to V
is a bijection then V is said
to be reﬂexive. It is pretty easy to ﬁnd examples of nonreﬂexive Banach spaces,
the most familiar is c
0
– the space of inﬁnite sequences converging to 0. Its dual
can be identiﬁed with l
1
, the space of summable sequences. Its dual in turn, the
bidual of c
0
, is the space l
∞
of bounded sequences, into which the embedding is the
obvious one, so c
0
is not reﬂexive. In fact l
1
is not reﬂexive either. There are useful
characterizations of reﬂexive Banach spaces. You may be interested enough to look
up James’ Theorem: A Banach space is reﬂexive if and only if every continuous
linear functional on it attains its supremum on the unit ball.
14. Problems
Problem 1.1. Show that if V is a vector space (over R or C) then for any set
X the space
(1.117) T(X; V ) = ¦u : X −→ V ¦
is a linear space over the same ﬁeld, with ‘pointwise operations’.
Problem 1.2. If V is a vector space and S ⊂ V is a subset which is closed
under addition and scalar multiplication:
(1.118) v
1
, v
2
∈ S, λ ∈ K =⇒ v
1
+v
2
∈ S and λv
1
∈ S
then S is a vector space as well (called of course a subspace).
Problem 1.3. If S ⊂ V be a linear subspace of a vector space show that the
relation on V
(1.119) v
1
∼ v
2
⇐⇒ v
1
−v
2
∈ S
is an equivalence relation and that the set of equivalence classes, denoted usually
V/S, is a vector space in a natural way.
32 1. NORMED AND BANACH SPACES
Problem 1.4. In case you do not know it, go through the basic theory of
ﬁnitedimensional vector spaces. Deﬁne a vector space V to be ﬁnitedimensional
if there is an integer N such that any N elements of V are linearly dependent – if
v
i
∈ V for i = 1, . . . N, then there exist a
i
∈ K, not all zero, such that
(1.120)
N
¸
i=1
a
i
v
i
= 0 in V.
Call the smallest such integer the dimension of V and show that a ﬁnite dimensional
vector space always has a basis, e
i
∈ V, i = 1, . . . , dimV which are not linearly
dependent and such that any element of V can be written as a linear combination
(1.121) v =
dimV
¸
i=1
b
i
e
i
, b
i
∈ K.
Problem 1.5. Show that any two norms on a ﬁnite dimensional vector space
are equivalent.
Problem 1.6. Show that if two norms on a vector space are equivalent then
the topologies induced are the same – the sets open with respect to the distance
from one are open with respect to the distance coming from the other. The converse
is also true, you can use another result from this section to prove it.
Problem 1.7. Write out a proof (you can steal it from one of many places but
at least write it out in your own hand) either for p = 2 or for each p with 1 ≤ p < ∞
that
l
p
= ¦a : N −→C;
∞
¸
j=1
[a
j
[
p
< ∞, a
j
= a(j)¦
is a normed space with the norm
a
p
=
¸
∞
¸
j=1
[a
j
[
p
¸
1
p
.
This means writing out the proof that this is a linear space and that the three
conditions required of a norm hold.
Problem 1.8. The ‘tricky’ part in Problem 1.1 is the triangle inequality. Sup
pose you knew – meaning I tell you – that for each N
¸
N
¸
j=1
[a
j
[
p
¸
1
p
is a norm on C
N
would that help?
Problem 1.9. Prove directly that each l
p
as deﬁned in Problem 1.1 is complete,
i.e. it is a Banach space. At the risk of oﬀending some, let me say that this means
showing that each Cauchy sequence converges. The problem here is to ﬁnd the limit
of a given Cauchy sequence. Show that for each N the sequence in C
N
obtained by
truncating each of the elements at point N is Cauchy with respect to the norm in
Problem 1.2 on C
N
. Show that this is the same as being Cauchy in C
N
in the usual
sense (if you are doing p = 2 it is already the usual sense) and hence, this cutoﬀ
15. SOLUTIONS TO PROBLEMS 33
sequence converges. Use this to ﬁnd a putative limit of the Cauchy sequence and
then check that it works.
Problem 1.10. The space l
∞
consists of the bounded sequences
(1.122) l
∞
= ¦a : N −→C; sup
n
[a
n
[ < ∞¦, a
∞
= sup
n
[a
n
[.
Show that it is a Banach space.
Problem 1.11. Another closely related space consists of the sequences con
verging to 0 :
(1.123) c
0
= ¦a : N −→C; lim
n→∞
a
n
= 0¦, a
∞
= sup
n
[a
n
[.
Check that this is a Banach space and that it is a closed subspace of l
∞
(perhaps
in the opposite order).
Problem 1.12. Consider the ‘unit sphere’ in l
p
. This is the set of vectors of
length 1 :
S = ¦a ∈ l
p
; a
p
= 1¦.
(1) Show that S is closed.
(2) Recall the sequential (so not the open covering deﬁnition) characterization
of compactness of a set in a metric space (e .g . by checking in Rudin).
(3) Show that S is not compact by considering the sequence in l
p
with kth
element the sequence which is all zeros except for a 1 in the kth slot. Note
that the main problem is not to get yourself confused about sequences of
sequences!
Problem 1.13. Show that the norm on any normed space is continuous.
Problem 1.14. Finish the proof of the completeness of the space B constructed
in DD.
15. Solutions to problems
Solution 1.1 (1.1). If V is a vector space (over K which is R or C) then for
any set X consider
(1.124) T(X; V ) = ¦u : X −→ V ¦.
Addition and scalar multiplication are deﬁned ‘pointwise’:
(1.125) (u +v)(x) = u(x) +v(x), (cu)(x) = cu(x), u, v ∈ T(X; V ), c ∈ K.
These are welldeﬁned functions since addition and multiplication are deﬁned in K.
So, one needs to check all the axioms of a vector space. Since an equality
of functions is just equality at all points, these all follow from the corresponding
identities for K.
Solution 1.2 (1.2). If S ⊂ V is a (nonempty) subset of a vector space and
S ⊂ V which is closed under addition and scalar multiplication:
(1.126) v
1
, v
2
∈ S, λ ∈ K =⇒ v
1
+v
2
∈ S and λv
1
∈ S
then 0 ∈ S, since 0 ∈ K and for any v ∈ S, 0v = 0 ∈ S. Similarly, if v ∈ S
then −v = (−1)v ∈ S. Then all the axioms of a vector space follow from the
corresponding identities in V.
34 1. NORMED AND BANACH SPACES
Solution 1.3. If S ⊂ V be a linear subspace of a vector space consider the
relation on V
(1.127) v
1
∼ v
2
⇐⇒ v
1
−v
2
∈ S.
To say that this is an equivalence relation means that symmetry and transitivity
hold. Since S is a subspace, v ∈ S implies −v ∈ S so
v
1
∼ v
2
=⇒ v
1
−v
2
∈ S =⇒ v
2
−v
1
∈ S =⇒ v
2
∼ v
1
.
Similarly, since it is also possible to add and remain in S
v
1
∼ v
2
, v
2
∼ v
3
=⇒ v
1
−v
2
, v
2
−v
3
∈ S =⇒ v
1
−v
3
∈ S =⇒ v
1
∼ v
3
.
So this is an equivalence relation and the quotient V/ ∼= V/S is welldeﬁned –
where the latter is notation. That is, and element of V/S is an equivalence class of
elements of V which can be written v +S :
(1.128) v +S = w +S ⇐⇒ v −w ∈ S.
Now, we can check the axioms of a linear space once we deﬁne addition and scalar
multiplication. Notice that
(v +S) + (w +S) = (v +w) +S, λ(v +S) = λv +S
are welldeﬁned elements, independent of the choice of representatives, since adding
an lement of S to v or w does not change the right sides.
Now, to the axioms. These amount to showing that S is a zero element for
addition, −v +S is the additive inverse of v +S and that the other axioms follow
directly from the fact that the hold as identities in V.
Solution 1.4 (1.4). In case you do not know it, go through the basic theory of
ﬁnitedimensional vector spaces. Deﬁne a vector space V to be ﬁnitedimensional
if there is an integer N such that any N elements of V are linearly dependent – if
v
i
∈ V for i = 1, . . . N, then there exist a
i
∈ K, not all zero, such that
(1.129)
N
¸
i=1
a
i
v
i
= 0 in V.
Call the smallest such integer the dimension of V and show that a ﬁnite dimensional
vector space always has a basis, e
i
∈ V, i = 1, . . . , dimV which are not linearly
dependent and such that any element of V can be written as a linear combination
(1.130) v =
dimV
¸
i=1
b
i
e
i
, b
i
∈ K.
Solution 1.5 (1.5). Show that any two norms on a ﬁnite dimensional vector
space are equivalent.
Solution 1.6 (1.6). Show that if two norms on a vector space are equivalent
then the topologies induced are the same – the sets open with respect to the distance
from one are open with respect to the distance coming from the other. The converse
is also true, you can use another result from this section to prove it.
15. SOLUTIONS TO PROBLEMS 35
Solution 1.7 (1.7). Write out a proof (you can steal it from one of many
places but at least write it out in your own hand) either for p = 2 or for each p
with 1 ≤ p < ∞ that
l
p
= ¦a : N −→C;
∞
¸
j=1
[a
j
[
p
< ∞, a
j
= a(j)¦
is a normed space with the norm
a
p
=
¸
∞
¸
j=1
[a
j
[
p
¸
1
p
.
This means writing out the proof that this is a linear space and that the three
conditions required of a norm hold.
Solution 1.8 (1.8). The ‘tricky’ part in Problem 1.1 is the triangle inequality.
Suppose you knew – meaning I tell you – that for each N
¸
N
¸
j=1
[a
j
[
p
¸
1
p
is a norm on C
N
would that help?
Solution 1.9 (1.9). Prove directly that each l
p
as deﬁned in Problem 1.1 is
complete, i.e. it is a Banach space. At the risk of oﬀending some, let me say that
this means showing that each Cauchy sequence converges. The problem here is to
ﬁnd the limit of a given Cauchy sequence. Show that for each N the sequence in
C
N
obtained by truncating each of the elements at point N is Cauchy with respect
to the norm in Problem 1.2 on C
N
. Show that this is the same as being Cauchy
in C
N
in the usual sense (if you are doing p = 2 it is already the usual sense)
and hence, this cutoﬀ sequence converges. Use this to ﬁnd a putative limit of the
Cauchy sequence and then check that it works.
Solution 1.10 (1.10). The space l
∞
consists of the bounded sequences
(1.131) l
∞
= ¦a : N −→C; sup
n
[a
n
[ < ∞¦, a
∞
= sup
n
[a
n
[.
Show that it is a Banach space.
Solution 1.11 (1.11). Another closely related space consists of the sequences
converging to 0 :
(1.132) c
0
= ¦a : N −→C; lim
n→∞
a
n
= 0¦, a
∞
= sup
n
[a
n
[.
Check that this is a Banach space and that it is a closed subspace of l
∞
(perhaps
in the opposite order).
Solution 1.12 (1.12). Consider the ‘unit sphere’ in l
p
. This is the set of vectors
of length 1 :
S = ¦a ∈ l
p
; a
p
= 1¦.
(1) Show that S is closed.
(2) Recall the sequential (so not the open covering deﬁnition) characterization
of compactness of a set in a metric space (e .g . by checking in Rudin).
36 1. NORMED AND BANACH SPACES
(3) Show that S is not compact by considering the sequence in l
p
with kth
element the sequence which is all zeros except for a 1 in the kth slot. Note
that the main problem is not to get yourself confused about sequences of
sequences!
Solution 1.13 (1.13). Since the distance between two points is x − y the
continuity of the norm follows directly from the ‘reverse triangle inequality’
(1.133) [x −y[ ≤ x −y
which in turn follows from the triangle inequality applied twice:
(1.134) x ≤ x −y +y, y ≤ x −y +x.
Solution 1.14 (1.14). Finish the proof of the completeness of the space B
constructed in DD.
CHAPTER 2
The Lebesgue integral
This semester, ‘Spring’ 2011, I have decided to circumvent the discussion of
step functions below and to proceed directly by completing the Riemann integral.
For the moment I will leave the old material in – I hope the parallel development is
not too confusing. The advantage of this change is (I hope) that the treatment is
a little simpler and faster. The disadvantages are ﬁrst that I will rely on an earlier
treatement of the Riemann integral (which is covered in 18.100) – so this is not
much of an issue – but slightly more seriously the extension to higher dimensions
becomes a little more involved.
Maybe there are other issues too, we will ﬁnd out. The new sections have a
2011 in the title.
Things I could possibly add.
(1) Higher dimension more systematically.
(2) Fubini’s theorem
(3) Other measures on the line
(4) Riesz representation on the line – in Problems.
(5) The Banach space L
∞
(R).
(6) Duality between L
p
(R) and L
q
(R), 1/p +1/q = 1, from forward reference
to Riesz’ representation for Hilbert space.
The treatment of the Lebesgue integral here is intentionally compressed. In
the text everything is done for R but in such a way that the extension to higher
dimensions – carried out in the problems – is not much harder. Some further
extensions are discussed in the problems.
Here is a narrative for a later reading: If you can go through this item by item,
reconstruct the deﬁnitions and results as you go and see how thing ﬁt together then
you are doing well!
• Intervals and length.
• Covering lemma.
• Step functions and the integral.
• Monotonicity lemma.
• /
1
(R) and absolutely summable approximation.
• /
1
(R) is a linear space.
•
: /
1
(R) −→C is well deﬁned.
• If f ∈ /
1
(R) then [f[ ∈ /
1
(R) and
(2.1)
[f[ = lim
n→∞
[
n
¸
j=1
f
j
[, lim
n→∞
[f −
n
¸
j=1
f
j
[ = 0
for any absolutely summable approximation.
• Sets of measure zero.
37
38 2. THE LEBESGUE INTEGRAL
• Convergence a.e.
• If ¦g
j
¦ in /
1
(R) is absolutely summable then
(2.2)
g =
¸
j
g
j
a.e. =⇒ g ∈ /
1
(R),
¦x ∈ R;
¸
j
[g
j
(x)[ = ∞¦ is of measure zero
g =
¸
j
g
j
,
[g[ = lim
n→∞
[
n
¸
j=1
g
j
[, lim
n→∞
[g −
n
¸
j=1
g
j
[ = 0.
• The space of null functions A = ¦f ∈ /
1
(R);
[f[ = 0¦ consists precisely
of the functions vanishing almost everywhere, A = ¦f : R −→ C; f =
0 a.e.¦.
• /
1
(R) = /
1
(R)/A is a Banach space with L
1
norm.
• Montonicity for Lebesgue functions.
• Fatou’s Lemma.
• Dominated convergence.
• The Banach spaces L
p
(R) = /
p
(R)/A, 1 ≤ p < ∞.
• Measurable sets.
1. Continuous functions of compact support (2011)
Recall that the Riemann integral is deﬁned for a continuous function u :
[a, b] −→ C. It depends on the compactness of the interval but can be extended
to an ‘improper integral’ (meaning some of the good properties fail) on certain
functions on the whole line. This is NOT what we will do. Rather we consider the
space of continuous functions ‘with compact support’:
(2.3)
(
c
(R) = ¦u : R −→C; u is continuous and ∃ R such that u(x) = 0 if [x[ > R¦.
Thus each element u ∈ (
c
(R) vanishes outside an interval [−R, R] where the R
depends on the u.
Lemma 6. The Riemann integral deﬁnes a continuous linear functional on the
normed space (
c
(R), with respect to the L
1
norm
(2.4)
R
u = lim
R→∞
[−R,R]
u(x)dx,
u
L
1 = lim
R→∞
[−R,R]
[u(x)[dx,
[
R
u[ ≤ u
L
1.
The limits here are trivial in the sense that the functions involved are constant for
large R.
Proof. Basic properties of the Riemann integral.
With this preamble we can directly deﬁne the ‘space’ of Lebesgue integrable
functions on R.
1. CONTINUOUS FUNCTIONS OF COMPACT SUPPORT (2011) 39
Definition 5. A function f : R −→ C is Lebesgue integrable, written f ∈
/
1
(R), if there exists a sequence f
n
∈ (
c
(R) which is absolutely summable,
(2.5)
¸
n
[f
n
[ < ∞
and such that
(2.6)
¸
n
[f
n
(x)[ < ∞ =⇒
¸
n
f
n
(x) = f(x).
This is a somewhat convoluted deﬁnition. Its virtue is that it is all there. The
problem is that it takes a bit of unravelling. Notice that we only say ‘there exists’
an absolutely summable sequence and that it is required to converge to the function
only at points at which the pointwise sequence is absolutely summable. At other
points anything is permitted.
It is not immediately obvious that this is a linear space, nor is it obvious that
the integral of such a function is deﬁned. We want to deﬁne it to be
(2.7)
R
f =
¸
n
f
n
which is ﬁne in so far as the series on the left (of complex numbers) does converge –
since we demanded that it converge absolutely – but not ﬁne in so far as the answer
might well depend on which sequence we choose which ‘converges to f’ in the sense
of the deﬁnition.
So, the immediate problem is to prove these two things. First however, observe
Lemma 7. If f ∈ /
1
(R) the real and imaginary parts, Re f, Imf ∈ /
1
(R) and
for a real function the approximating sequence can be chosen to be real.
Proof. To prove this (it is proved below in the older version) we need to
‘take an approximating sequence apart’. So, suppose f
n
∈ (
c
(R) is a sequence the
existence of which is guaranteed by the deﬁnition above. Then consider g
n
= Re f
n
,
h
n
= Imf
n
. These are both elements of (
c
(R). Now, consider the doctored sequence
(2.8) u
k
=
g
n
if k = 3n −2
h
n
if k = 3n −1
−h
n
if k = 3n.
This deﬁnes u
k
∈ (
c
(R) for all k ∈ N. Furthermore, it is an absolutely summable
series since
(2.9)
¸
k
[u
k
[ ≤ 3
¸
n
[f
n
[,
using the fact that [g
n
[ ≤ [f
n
[ and [h
n
[ ≤ [f
n
[.
When is
¸
k
[u
k
(x)[ < ∞? Only if both
¸
n
[g
n
(x)[ < ∞ and
¸
n
[h
n
(x)[ < ∞. This
is in fact precisely the reason that we go to the trouble of inserting the otherwise
useless ±h
n
in (2.8). Together these imply that
¸
n
[f
n
(x)[ < ∞ and the converse is
40 2. THE LEBESGUE INTEGRAL
also true! Thus
(2.10)
¸
k
[u
k
(x)[ < ∞ =⇒
¸
n
[f
n
(x)[ < ∞
=⇒
¸
n
f
n
(x) = f(x) =⇒
¸
n
g
n
(x) = Re f(x)
=⇒
¸
k
u
k
(x) = Re f(x).
The last step follows from [h
n
(x)[ → 0 since we are successively adding and then
subtracting h
n
(x) and by the absolute convergence of the sum, h
n
(x) → 0. So
indeed, Re f ∈ /
1
(R) and it has a real approximating sequence. Reversing the
roles of g
n
and h
n
gives the Lebesgue integrability of Imf.
Next we want to show that the integral is well deﬁned. To do so, we can
now just think about real functions. I also need to recall another theorem from
18.100B. This describes a case where uniform convergence follows from pointwise
convergence. It works on general compact metric space but for the moment I will
just think about the case at hand.
Lemma 8. If u
n
∈ (
c
(R) is a decreasing sequence of nonnegative functions
such that lim
n→∞
u
n
(x) = 0 for each x ∈ R then u
n
→ 0 uniformly on R and
(2.11) lim
n→∞
u
n
= 0.
Proof. Since all the u
n
(x) ≥ 0 and they are decreasing (which means non
increasing) any where u
1
(x) = 0 all the other u
n
(x) = 0 as well. Thus there is
one R > 0 such that u
n
(x) = 0 if [x[ > R for all n. Thus in fact we only need
consider what happens on [−R, R] which is compact. For any > 0 look at the sets
S
n
= ¦x ∈ [−R, R]; u
n
(x) ≥ ¦. This can also be written S
n
= u
−1
n
([, ∞))∩[−R, R]
and since u
n
is continuous this is closed and hence compact. Moreover the fact that
the u
n
(x) are decreasing means that S
n+1
⊂ S
n
for all n. Finally,
¸
n
S
n
= ∅ since,
by assumption, u
n
(x) → 0 for each x. Now the property of compact sets in a metric
space that we use is that if such a sequence of decreasing compact sets has empty
intersection then the sets themselves are empty from some n onwards. This means
that there exists N such that sup
x
u
n
(x) < for all n > N. Since > 0 was
arbitrary, u
n
→ 0 uniformly.
One of the basic properties of the Riemann integral is that the integral of the
limit of a uniformly convergent sequence (even of Riemann integrable functions but
here just continuous) is the limit of the sequence of integrals, which is (2.11) in this
case.
We can easily extend this in a useful way.
Lemma 9. If v
n
∈ (
c
(R) is an increasing sequence such that lim
n→∞
v
n
(x) ≥ 0
for each x ∈ R (where the possibility v
n
(x) → ∞ is included) then
(2.12) lim
n→∞
v
n
dx ≥ 0 including possibly +∞.
1. CONTINUOUS FUNCTIONS OF COMPACT SUPPORT (2011) 41
Proof. This is really a corollary of the preceding lemma. Consider the se
quence of function
(2.13) w
n
(x) =
0 if v
n
(x) ≥ 0
−v
n
(x) if v
n
(x) < 0.
Since this is the maximum of two continuous functions, namely −v
n
and 0, it is
continuous and it vanishes for large x, so w
n
∈ (
c
(R). Since v
n
(x) is increasing,
w
n
is decreasing and it follows that limw
n
(x) = 0 for all x, either it gets there for
some ﬁnite x and then stays 0 or the limit of v
n
(x) is zero. Thus Lemma 8 applies
to w
n
so
lim
n→∞
R
w
n
(x)dx = 0.
Now, v
n
(x) ≥ −w
n
(x) for all x, so for each n,
v
n
≥ −
w
n
. From properties of
the Riemann integral, v
n+1
≥ v
n
implies that
v
n
dx is an increasing sequence and
it is bounded below by one that converges to 0, so (2.12) is the only possibility.
Lemma 10. Suppose f
n
∈ (
c
(R) is an absolutely summable sequence of real
valued functions, so
¸
n
[f
n
[dx < ∞, and
(2.14)
¸
n
[f
n
(x)[ < ∞ =⇒
¸
n
f
n
(x) = 0
then
(2.15)
¸
n
f
n
dx = 0.
Proof. As already noted, the series (2.15) does converge, since the inequality
[
f
n
[dx ≤
[f
n
[dx shows that it is absolutely convergent (hence Cauchy, hence
convergent).
The trick is to get ourselves into a position to apply Lemma 9. To do this, just
choose some integer N (large but it doesn’t matter yet). Now consider the sequence
of functions – it depends on N but I will suppress this dependence –
(2.16) F
1
(x) =
N+1
¸
n=1
f
n
(x), F
j
(x) = [f
N+j
(x)[, j ≥ 2.
Now, this is a sequence in (
c
(R) and it is absolutely summable – the convergence
of
¸
j
[F
j
[dx only depends on the ‘tail’ which is the same as for f
n
. For the same
reason,
(2.17)
¸
j
[F
j
(x)[ < ∞ ⇐⇒
¸
n
[f
n
(x)[ < ∞.
Now the sequence of partial sums
(2.18) g
p
(x) =
p
¸
j=1
F
j
(x) =
N+1
¸
n=1
f
n
(x) +
p
¸
j=2
[f
N+j
[
42 2. THE LEBESGUE INTEGRAL
is increasing with p – since we are adding nonnegative functions. If the two equiv
alent conditions in (2.17) hold then
(2.19)
¸
n
f
n
(x) = 0 =⇒
N+1
¸
n=1
f
n
(x) +
∞
¸
j=2
[f
N+j
(x)[ ≥ 0 =⇒ lim
p→∞
g
p
(x) ≥ 0,
since we are only increasing each term. On the other hand if these conditions do
not hold then the tail, any tail, sums to inﬁnity so
(2.20) lim
p→∞
g
p
(x) = ∞.
Thus the conditions of Lemma 9 hold for g
p
and hence
(2.21)
N+1
¸
n=1
f
n
+
¸
j≥N+2
[f
j
(x)[dx ≥ 0.
Using the same inequality as before this implies that
(2.22)
∞
¸
n=1
f
n
≥ −2
¸
j≥N+2
[f
j
(x)[dx.
This is true for any N and as N → ∞, lim
N→∞
¸
j≥N+2
[f
j
(x)[dx = 0. So
the ﬁxed number on the left in (2.22), which is what we are interested in, must be
nonnegative. In fact the signs in the argument can be reversed, considering instead
(2.23) h
1
(x) = −
N+1
¸
n=1
f
n
(x), h
p
(x) = [f
N+p
(x)[, p ≥ 2
and the ﬁnal conclusion is the opposite inequality in (2.22). That is, we conclude
what we wanted to show, that
(2.24)
∞
¸
n=1
f
n
= 0.
Definition 6. A set E ⊂ R is of measure zero if there exists an absolutely
summable series h
n
∈ (
c
(R),
¸
n
[h
n
[ < ∞ such that
(2.25) E ⊂ ¦x ∈ R;
¸
n
[h
n
(x)[ = ∞¦.
Lemma 11. If f : R −→ C and there exists an absolutely summable series
g
n
∈ (
c
(R), so
¸
n
[g
n
[ < ∞, such that
(2.26) f(x) =
¸
n
g
n
(x) on R ` E
for some set of measure zero, E, then f ∈ /
1
(R).
So this shows that a slightly weaker deﬁnition gives the same result.
1. CONTINUOUS FUNCTIONS OF COMPACT SUPPORT (2011) 43
Proof. Let h
n
be an absolutely summable series as in (2.25) and consider the
sequence
(2.27) f
k
=
g
n
if k = 3n −2
h
n
if k = 3n −1
−h
n
if k = 3n.
Then, as in the arguments above, ¦f
k
¦ is absolutely summable and
(2.28)
¸
k
[f
k
(x)[ < ∞ =⇒
¸
n
[g
n
(x)[ < ∞ and
¸
n
[h
n
(x)[ < ∞ =⇒ x ∈ R`E and f(x) =
¸
k
f
k
(x)
so indeed f ∈ /
1
(R).
This slight weakening of the deﬁnition makes the arguments a little less rigid.
We deﬁne the notion of equality almost everywhere to mean
(2.29)
f(x) = g(x) on R ` E for some set of measure zero E
⇐⇒ f = g a.e.
where the second line is notation.
Proposition 9. The (Lebesgue) integral of an element f ∈ /
1
(R) is well
deﬁned as
(2.30)
f =
¸
n
f
n
for any absolutely summable series f
n
∈ (
c
(R) such that f =
¸
n
f
n
a.e. and then
(2.31) [
f[ ≤
¸
n
[f
n
[.
Proof. This follows from Lemma 10. First, we can weaken the hypothesis
of the lemma to the assumption that
¸
n
f
n
(x) = 0 a.e. by using the argument in
Lemma 11. Then if g
n
and g
n
are two absolutely summable series in (
c
(R) both
converging to f almost everywhere, the sequence with alternating terms g
n
, −g
n
is
absolutely summable and converges to 0 a.e. so the strengthened Lemma 10 shows
that
(2.32)
¸
n
g
n
=
¸
n
g
n
by rearrangement of an absolutely convergent series in C. Thus the limit in (2.30)
is indeed independent of approximating series. The last part, (2.31), follows from
(2.30).
Now, (in Spring 2011), you can go to Section 10 and proceed, except for the
moment you will have to replace the phrase ‘model functions’ by ‘continuous func
tion of compact support’ (and there maybe be some backward references that I will
need to ﬁx.
44 2. THE LEBESGUE INTEGRAL
2. Step functions
We will start our development of the Lebesgue integral in a way that is really
a simpliﬁcation of the approach in Rudin’s book [2] to the Riemann integral. Since
we only deal initially with step functions the discussion is quite elementary – and
in lectures I take quite a lot for granted – until we get to the covering lemmas.
For the discussion of Lebesgue integral we will limit the term interval to mean
a semiopen set [a, b) – an interval closed on the left and open on the right. There
is nothing magical about these – we could certainly use the opposite convention –
but it saves a lot of eﬀort to work with them. The basic property they have is that
we can decompose such an interval into ﬁnitely many subintervals without overlap.
This of course is not possible for open or closed intervals and corresponds to the
‘partitions’ in Riemann theory. In fact the ﬁnite unions of such intervals, which are
the sets we are working with, form an ‘algebra’ of sets – closed under ﬁnite unions,
ﬁnite intersections and diﬀerences.
In particular we deﬁne the length of the interval I = [a, b) to be len(I) = b −a.
This only vanishes when the interval is empty (not true for closed intervals of
course) and if we decompose an interval, in this sense, into two disjoint intervals
by choosing any interior point:
(2.33) [a, b) = [a, t) ∪ [t, b), a < t < b, I = I
1
∪ I
2
, I
1
∩ I
2
= ∅
then len(I) = len(I
1
) + len(I
2
).
Proposition 10. Any ﬁnite union of intervals S = ∪
N
i=1
[a
i
, b
1
) can be written
uniquely as a union of such intervals with disjoint closures
(2.34) S =
k
¸
i=1
I
k
, I
k
= [A
i
.B
i
), I
k
∩ I
j
= ∅ if k = j,
and then len(S) =
¸
k
len(I
k
) has the ﬁnite additivity property that
(2.35) S =
¸
p
J
p
, J
p
∩ J
q
= ∅ if p = q =⇒ len(S) =
¸
p
len(I
p
).
In lectures I treat this as ‘obvious’. Let’s make sure that it is true!
Proof. Take the set S in (2.34) which we can assume to be nonempty and
let A
1
= inf S. The closure of S is the union of the closures of the intervals, so
A
1
is in the closure of one of these, but since it is (no larger than) the inﬁmum
of the interval, it is in one of the intervals – it must be an a
i
. Then let B
1
be the
supremum of the set ¦b ∈ R; [A
1
, b) ⊂ S¦. Then B
1
> A
1
and [A
1
, B
1
) ⊂ S. This
can be true for no larger B
1
so we have our ﬁrst interval and either S = [A
1
, B
1
) or
A
2
= inf¦a ∈ S, a ≥ B
2
¦ exists and A
2
> B
1
. Now continue in this way to generate
a decomposition into disjoint and ‘maximal’ intervals. Any interval contained in
S must be contained in one of the [A
i
, B
i
) which gives the uniqueness of this
decomposition. Hence the length is well deﬁned.
Now, to check that (2.35) holds, observe that any disjoint decomposition in
intervals has to be a disjoint decomposition of each of the [A
i
, B
i
) so we can assume
that S = [A, B). Now proceed (if you haven’t given up yet) to induction over the
number of intervals in the decomposition. Check the result for one and two and
then check what happens if you remove the top interval and ﬁnish.
2. STEP FUNCTIONS 45
So the standard notion of length is a ﬁnitely additive on our sets – which are
the ﬁnite unions of semiopen intervals.
Lemma 12. If S
0
⊂
¸
N
i=1
S
i
where the S
i
are each a ﬁnite union of semiopen
intervals then
(2.36) len(S
0
) ≤
N
¸
i=1
len(S
i
)
and if T
j
j = 1, . . . , M are disjoint sets of this type such that S
0
⊃
¸
j
T
j
then
(2.37) len(S
0
) ≥
¸
j
len(T
j
).
Again pretty obvious, but there are sticklers for precision out there!
Proof. To understand this really properly it is perhaps wise to check at this
point something mentioned above; that our sets S – by deﬁnition each being a
(possibly empty) ﬁnite union of semiopen intervals – form a collection of subsets
of R with the closure properties that if S
1
, S
2
are of this form then so are
(2.38) S
1
∩ S
2
, S
1
∪ S
2
and S
1
` S
2
.
The second is clear by deﬁnition. The ﬁrst follows from the fact that the intersec
tion of two intervals is either empty or is an interval – so the intersections of the
nontrivial intervals in the minimal decomposition of S
1
and S
2
gives a minimal
decomposition of S
1
∩S
2
. Similary [A, B) ` [a, b) is either empty, an interval or the
union of two intervals with disjoint closures so a similar argument applies to the
diﬀerence. Now check the properties of lengths
(2.39) len(S
1
∩ S
2
) ≤ len(S
1
), len(S
1
∪ S
2
) ≤ len(S
1
) + len(S
2
),
len(S
1
∪ S
2
) = len(S
1
) + len(S
2
) if S
1
∩ S
2
= ∅,
len(S
1
) −len(S
2
) ≤ len(S
1
` S
2
) ≤ len(S
1
)
from the disjoint decompositions as intervals. The general case then follows by
induction.
Now, by a step function
(2.40) f : R −→C
(although sometimes we will restrict to functions with real values) we mean a func
tion which vanishes outside some ﬁnite union of disjoint intervals and is constant
on each of the intervals. This is equivalent to saying that f(R) is ﬁnite – these
function only take ﬁnitely many values – and
(2.41) f
−1
(c) is a ﬁnite union of disjoint intervals, c = 0.
Of course f
−1
(0) will be the complement in R of a ﬁnite union of intervals, which
is not a ﬁnite union of intervals in our current sense. It is also often convenient to
write a step function as a sum
(2.42) f =
N
¸
i=1
c
i
χ
[a
i
,b
i
)
, χ
[a,b)
(x) =
1 if x ∈ [a, b)
0 otherwise,
of multiples of the characteristic functions of our intervals. Note that such a ‘pre
sentation’ is not unique but can be made so by demanding that the intervals be
46 2. THE LEBESGUE INTEGRAL
disjoint and ‘maximal’ – so f does not take the same value on two intervals with
intersecting closures.
A constant multiple of a step function is a step function and so is the sum of
two step functions – clearly the range is ﬁnite, consists of some of the elements
in the sums of the ranges and the inverse image of nonzero values is a union of
intervals.
A similar argument shows that the integral, deﬁned by
(2.43)
R
f =
¸
i
c
i
(b
i
−a
i
)
from (2.42) is independent of the ‘presentation’ used to deﬁne it. It is of course
equal to the Riemann integral which is one way of seeing that it is welldeﬁned (but
of course the result is much more elementary). Note that if f is a step function
then so is [f[ and that
(2.44) [
f[ ≤
[f[
since on any interval on which f is constant, [f[ is constant too.
Proposition 11. The step functions on R in the sense deﬁned above form a
normed space with respect to the L
1
norm
(2.45) f
L
1 =
R
[f[.
Proof. The property that a norm only vanishes on the zero function is the
most delicate one to check, but the integral of [f[ is the sum of positive terms –
the products of the lengths of the intervals and the values of the function – so can
only vanish if all these vanish, and this does imply that f ≡ 0 because any ﬁnite
union of intervals of length 0 is empty. This is one good reason to stick with our
semiopen intervals.
3. Lebesgue integrable functions
The idea is to complete this normed space instead of the space of continuous
functions – it is both more standard and a little easier. The approach adopted here,
to the direct construction of a ‘concrete’ completion, is due to Mikusi´ nski. Already
at this stage we can deﬁne the notion of a Lebesgue integrable function, however
this deﬁnition is rather convoluted and we need to do some work to ﬂesh it out.
The idea is to use the notion of an ‘absolutely summable’ series which is discussed
above, in the normed space of step functions.
Definition 7. A function f : R −→C is Lebesgue integrable if there exists an
absolutely summable sequence of step functions f
n
, i.e. satisfying
(2.46)
¸
n
[f
n
[ < ∞,
such that
(2.47) f(x) =
¸
n
f
n
(x) ∀ x ∈ R such that
¸
n
[f
n
(x)[ < ∞.
We will denote the space of such functions as /
1
(R).
4. COVERING LEMMAS 47
This deﬁnition is at ﬁrst glance a little weird – there must exist a sequence of
step functions, the sum of the integrals of the absolute values of which converges,
such that the sum itself converges to the function but only at the points of absolute
converge of the (pointwise) series. Tricky, but one can get used to it – and ultimately
we will simplify it. The main attraction of this deﬁnition is that it is selfcontained
and in principle ‘everything’ can be deduced from it. The basic idea is that the
absolute summability in (2.46) ensures that the pointwise series in (2.47) converges
for ‘most’ points x. So (2.47) almost determines f itself and does so up to an error
which does not aﬀect the integral.
What we need to show then is that the ‘integral’ of such a function is well
deﬁned by setting it equal to
(2.48)
f =
¸
i
f
i
where ¦f
i
¦ is any approximating sequence of step functions as in the deﬁnition.
The sum on the right converges, since it converges absolutely using (2.44) which
shows that (in the real numbers)
(2.49)
¸
i
[
f
i
[ ≤
¸
i
[f
i
[ < ∞.
The problem of course is to show that the answer in (2.48) does not depend on
which approximating sequence we use. This is not so obvious and is indeed the
core of the deﬁnition that we are using.
4. Covering lemmas
The ﬁrst thing we need is the covering lemma for our semiopen intervals. If
we were proceeding more generally this would be the countable additivity of our
‘measure’ – len – on these sets which are ﬁnite unions intervals. The properties of
countable collections of our ‘intervals’ arise as soon as we look at a sequence, or
series, of step functions.
So, we want to extend Lemma 12 to countable collections of intervals.
Proposition 12. If C
i
= [a
i
, b
i
), i ∈ N, is a countable collection of intervals
then
(2.50) C
i
⊂ [a, b) ∀ i and C
i
∩ C
j
= ∅ ∀ i = j =⇒
∞
¸
i=1
(b
i
−a
i
) ≤ (b −a)
and
(2.51) [a, b) ⊂
N
¸
i=1
C
i
=⇒
∞
¸
i=1
(b
i
−a
i
) ≥ (b −a).
Proof. You might think these are completely obvious, and the ﬁrst is. Namely
if we consider any ﬁnite collection of the C
i
then we can apply Lemma 12 to see
that the result holds, but the inﬁnite sum is the supremum of all the ﬁnite sums,
so it too is less than or equal to b −a.
On the other hand (2.51) is not quite so obvious since we cannot just proceed
step by step since there may be all sorts of limit points of the a
i
and b
i
. Instead
we use HeineBorel, which makes the argument ‘nontrivial’. To be able to apply
48 2. THE LEBESGUE INTEGRAL
Lemma 12 choose δ > 0. Now extend each interval by replacing the lower limit by
a
i
−2
−i
δ and consider the open intervals which therefore have the property
(2.52) [a, b −δ] ⊂ [a, b) ⊂
¸
i
(a
i
−2
−i
δ, b
i
).
Now, by HeineBorel – the compactness of closed bounded intervals – a ﬁnite sub
collection of these open intervals already covers [a, b −δ) so Lemma 12 does apply
to this ﬁnite collection of semiopen intervals [a
i
−2
−1
δ, b
i
) and shows that for some
ﬁnite N
(2.53)
N
¸
i=1
(b
i
−a
i
) −2
−i
δ
≥ b −a −δ =⇒
∞
¸
i=1
(b
i
−a
i
) ≥ b −a −2δ
where the last sum here might be inﬁnite, but then it is all the more true. The fact
that this is true for all δ > 0 now proves (2.51).
Welcome to measure theory.
5. Density of step functions (2011)
This section is inserted here to connect the approach via continuous functions
and the Riemann integral, in Section 1, to the more usual approach via step func
tions starting in Section 2 (which does not use the Riemann integral). We prove
the ‘density’ of step functions in /
1
(R) and this leads below to the proof that
Deﬁnition 5 is equivalent to Deﬁnition 7 so that one can use either.
A step function h : R −→ C is by deﬁnition a function which is the sum
of multiples of characteristic functions of (ﬁnite) intervals. Mainly for reasons of
consistency we use halfopen intervals here, we deﬁne χ
(a,b]
= 1 when x ∈ (a, b]
(which if you like is empty when a ≥ b) and vanishes otherwise. So a step function
is a ﬁnite sum
(2.54) h =
M
¸
i=1
c
i
χ
(a
i
,b
i
]
where it doesn’t matter if the intervals overlap since we can cut them up. Anyway,
that is the deﬁnition.
Proposition 13. The linear space of step functions is a subspace of /
1
(R),
on which
[h[ is a norm, and for any element f ∈ /
1
(R) there is an absolutely
summable series of step functions ¦h
i
¦,
¸
i
[h
i
[ < ∞
(2.55) f(x) =
¸
i
h
i
(x) a.e.
Proof. The characteristic function χ
(a,b]
∈ /
1
(R) – this is one of the problems,
see Problem**. In fact it is straightforward, just take the decreasing sequence of
continuous functions
(2.56) u
n
(x) =
0 if x < a −1/n
n(x −a + 1/n) if
1 if a < x ≤ b
1 −n(x −b) if b < x ≤ b + 1/n
0 if x > b + 1/n.
6. SETS OF MEASURE ZERO 49
This is continuous because each piece is continuous and the limits from the two
sides at the switching points are the same. This is clearly a decreasing sequence of
continuous functions which converges pointwise to χ
(a,b]
(not uniformly of course).
It follows that detelescopy this sequence gives an absolutely summable series of
continuous functions which converges pointwise to χ
(a,b]
which is therefore in /
1
(R).
Now, conversely, each element f ∈ ((R) is the uniform limit of step functions –
this follows directly from the uniform continuity of continuous functions on compact
sets. It suﬃces to suppose that f is real and then combine the real and imaginery
parst. Suppose f = 0 outside [−R, R]. Take the subdivision of (−R, R] into 2n
equal intervals of lenght R/n and let h
n
be the step function which is sup f on the
closure of that interval. Choosing n large enough, sup f − inf f < on each such
interval, by uniform continuity, and so sup [f −h
n
[ < . Again this is a decreasing
sequence of step functions with integral bounded below so in fact it is the sequence
of partial sums of the absolutely summable series obtained by detelescoping.
Certainly then for each element f ∈ (
c
(R) there is a sequence of step functions
with
[f − h
n
[ → 0. The same is therefore true of any element g ∈ /
1
(R) since
then there is a sequence f
n
∈ (
c
(R) such that f −f
n

L
1 → 0. So just choosing a
step function h
n
with f
n
−h
n
 < 1/n ensures that f −h
n

L
1 → 0.
Now to get an absolutely summable series of step function ¦g
n
¦ with f −
N
¸
n=1
g
n
 → 0 we just have to drop elements of the approximating sequence to speed
up the convergence and then detelescope the sequence. For the moment I do not
say that
(2.57) f(x) =
¸
n
g
n
(x) a.e.
although it is true! It follows from the fact that the right side does deﬁne an
element of /
1
(R) and by the triangle inequality the diﬀerence of the two sides
has vanishing L
1
norm, i.e. is a null function. So we just need to check that null
functions vanish outside a set of measure zero. This is Proposition 22 below, which
uses Proposition 23. Taking a little out of the proof of that proposition proves
(2.57) directly.
6. Sets of measure zero
Deﬁnition 7 would not make much sense unless the sets on which our absolutely
summable series diverge are ‘ignorable’; we give them a name which makes this seem
likely.
Definition 8. A set E ⊂ R is of measure zero if there exists an absolutely
summable series of step functions f
n
such that
(2.58)
¸
n
[f
n
(x)[ = ∞ ∀ x ∈ E.
Although it is really not necessary for the logical development of the subject
– at least not yet – it may be helpful at this stage to focus a little on just what
these sets are. This of course is an exercise in the manipulation of series of step
functions.
Proposition 14. A set E ⊂ R is of measure zero if and only if for every > 0
there is a countable cover of E by intervals of total length at most .
50 2. THE LEBESGUE INTEGRAL
Proof. Suppose ﬁrst that E satisﬁes the condition of the Proposition. Then
we need to ﬁnd an absolutely summable series of step functions which diverges
(absolutely) on E. Taking = 2
−n
for n ∈ N, there must exist a(n at most)
countable collection I
n,i
= [a
n,i
, b
n,i
) of intervals with (b
n,i
> a
n,i
and)
(2.59)
¸
i
(b
n,i
−a
n,i
) ≤ 2
−n
, E ⊂
¸
i
I
n,i
.
Now, consider the characteristic functions χ
[a
n,i
,b
n,i
)
and order these in some way
as f
k
. This is an absolutley summable series of step functions since
(2.60)
¸
k
[f
k
[ =
¸
n,i
(b
n,i
−a
n,i
) ≤ 2.
Note that all the terms are positive, so the order is immaterial here. On the other
hand, if x ∈ E then for each n there is at least one i such that x ∈ I
n,i
. Thus there
is a subsequence of the f
k
on which f
n
k
(x) = 1 so the pointwise series does diverge
at all points of E.
To the converse. Supposing we have an absolutely summable series, ¦f
j
¦, of
step functions which diverges on E, we need to construct a countable cover of E by
intervals with lengths summing to less than 1/n. Using the absolutely summability,
if we choose N large enough
(2.61)
¸
k>N
[f
k
[ < 1/n.
Now for each i ≥ 1 consider the set where
i
¸
k=1
[f
k
(x)[ > 2
i+1
. This is a ﬁnite union of
disjoint intervals (since this is a step function) and the lower bound on the integral
(2.62) 1/n >
i
¸
k=1
[f
N+k
(x)[ > 2
i+1
len(J
n,i
)
implies that len(J
n,i
) < 2
−i−1
/n. Taking all of these countably many intervals
together (for ﬁxed n) the sum of their lengths is therefore at most 1/n and they
must cover E since the inﬁnite series diverges at each point of E.
Note that the covering lemma, in particular (2.51), then implies
Corollary 3. A set of measure zero cannot contain a nonempty interval
[a, b).
So, this is supposed to indicate to you that these sets are indeed small.
Here is another indication of this.
Proposition 15. If g ∈ /
1
(R) and g
: R −→ C is such that g
= g on R ` E
where E is of measure zero, then g
∈ /
1
(R).
Proof. What we have to play with here is an absolutely summable series, f
n
,
of step functions which approximates g and another one, f
n
, which is such that
¸
n
[f
n
(x)[ = ∞ for all x ∈ E. So, to approximate g
consider the interlaced series
7. MONOTONICITY LEMMAS 51
with terms
(2.63) h
n
(x) =
f
k
(x) n = 3k −2
f
k
(x) n = 3k −1
−f
k
(x) n = 3k.
Thus we add, but then subtract, f
k
. This series is absolutely summable with
(2.64)
¸
n
[h
n
[ =
¸
k
[f
k
[ + 2
¸
k
[f
k
[.
When does the pointwise series converge absolutely? We must have
(2.65)
¸
k
[f
k
(x)[ + 2
¸
k
[f
k
(x)[ < ∞.
The ﬁniteness of the second term implies that x / ∈ E and the ﬁniteness of the ﬁrst
means that
(2.66)
¸
n
h
n
(x) = g(x) = g
(x) when (2.65) holds
since the ﬁnite sum is always
N
¸
k=1
f
k
(x), or this plus f
N
(x) – which tends to zero with
N by the absolute convergence of the series in (2.65). So indeed g
∈ /
1
(R).
7. Monotonicity lemmas
Okay, now the basic result on which most of the properties of integrable func
tions hinge is the following monotonicity lemma.
Lemma 13. Let f
n
be a sequence of (realvalued) step functions which decreases
monotonically to 0
(2.67) f
n
(x) ↓ 0 ∀ x ∈ R,
then
(2.68) lim
n→∞
f
n
= 0.
Note that ‘decreases’ here means that f
n
(x) is, for each x, a nonincreasing
sequence which has limit 0. Of course this means that all the f
n
are nonnegative.
Moreover the ﬁrst one vanishes outside some interval [a, b) hence so do all of them.
The crucial thing about this lemma is that we get the vanishing of the limit of the
sequence of integrals without having to assume uniformity of the limit.
Proof. Going back to the deﬁnition of the integral of step functions, clearly
f
n
(x) ≥ f
n+1
(x) for all x implies that
f
n
is a decreasing (meaning nonincreasing)
sequence. So there are only two possibilities, it converges to 0, as we claim, or it
converges to some positive value. The second possibility means that there is some
δ > 0 such that
f
n
≥ δ for all n, so we just need to show that this is not so.
Given an > 0 consider the sets
(2.69) S
j
= ¦x ∈ [a, b); f
j
(x) ≤ ¦
52 2. THE LEBESGUE INTEGRAL
where [a, b) is an interval outside which f
1
vanishes. Each of the S
j
is a ﬁnite union
of intervals. Moreover
(2.70)
¸
j
S
j
= [a, b)
since f
n
(x) → 0 for each x. In fact the S
j
increase with j, S
j+1
⊃ S
j
, and if we
look at the successive diﬀerences by setting B
1
= S
1
and
(2.71) B
j
= S
j+1
` S
j
then the B
j
are all disjoint, each consists of ﬁnitely many intervals and
(2.72)
¸
j
B
j
= [a, b).
Thus, both halves of Proposition 12 apply to the intervals forming the B
j
. Thus
(2.73)
¸
j
len(B
j
) = b −a.
Now, let A be such that f
1
(x) ≤ A – and hence it is an upper bound for all the
f
n
’s. In view of (2.73) we can choose N so large that
(2.74)
¸
j≥N
len(B
j
) < .
Dividing the integral for f
k
, k ≥ N + 1, into the part over S
N+1
, where N is
determined by the choice of , and the rest we see that
(2.75)
f
k
≤ (b −a) +A.
The ﬁrst estimate comes for the fact the fact that f
k
≤ on S
N+1
, and the second
from our having arranged that the total lengths of the remaining intervals forming
[a, b) ` S
N+1
is no more than (and the function is no bigger than A.)
Thus, by choosing (b−a)+A < δ we conclude that the integrals are eventually
smaller than any δ > 0.
We can make this result look stronger as follows.
Proposition 16. Let g
n
be a sequence of realvalued step functions which is
nondecreasing and such that
(2.76) lim
n→∞
g
n
(x) ∈ [0, ∞] ∀ x ∈ R
(where we allow +∞ on the right) then
(2.77) lim
n→∞
g
n
∈ [0, ∞].
I have written out [0, ∞] on the right here to make sure that it is clear that we only
demand that the nondecreasing sequence g
n
(x) ‘becomes 0 or positive’ in the limit
– including the possibility that it ‘converges’ to +∞ and the same may be true of
the sequence of integrals.
Proof. Consider the functions
(2.78) f
n
(x) = max(0, −g
n
(x)) ∀ x ∈ R.
8. LINEARITY OF L
1
(R) 53
This is a sequence of nonnegative step functions which decreases to 0 at each point
and
(2.79)
g
n
≥ −
f
n
.
Thus, as claimed, the result follows from the lemma.
8. Linearity of /
1
(R)
As promised we will soon proceed to show that the deﬁnition of a Lebesgue
integrable function above makes some sense. In particular that the integral is well
deﬁned by (2.48). However, let’s ﬁrst do a warmup exercise to see what the issues
are.
Recall that /
1
(R) denotes the space of Lebesgue integrable functions on the
line – as in Deﬁnition 7.
Proposition 17. The set /
1
(R) is a linear space.
Proof. The space of all functions on R is linear, so we just need to check that
/
1
(R) is closed under multiplication by constants and addition. The former is easy
enough – multiplication by 0 gives the zero function which is integrable because we
can use the approximation sequence f
j
≡ 0. If g ∈ /
1
(R) then by deﬁnition there
is an absolutely summable series of step function with elements f
n
such that
(2.80)
¸
n
[f
n
[ < ∞, g(x) =
¸
n
f
n
(x) ∀ x s.t.
¸
n
[f
n
(x)[ < ∞.
Then if c = 0, cf
n
‘works’ for cg with the crucial point being that
¸
n
[cf
n
(x)[
converges if and only if
¸
n
[f
n
(x) converges.
The sum of two functions g and g
∈ /
1
(R) is a little trickier. The ‘obvious’
thing to do is to take the sum of the series of step functions. This will lead to trouble!
Instead, suppose that f
n
and f
n
are the terms in the series of step functions showing
that g, g
∈ /
1
(R). Then consider the ‘intertwined sum’
(2.81) h
n
(x) =
f
k
n = 2k −1
f
k
n = 2k.
This is absolutely summable since
(2.82)
¸
n
[h
n
[ =
¸
k
[f
k
[ +
¸
k
[f
k
[ < ∞.
More signiﬁcantly, the series
¸
n
[h
n
(x)[ converges if and only if both the series
¸
k
[f
k
(x)[ and the series
¸
k
[f
k
(x)[ converge. Then, because absolutely convergent
series can be rearranged, it follows that
(2.83)
¸
n
[h
n
(x)[ < ∞ =⇒
¸
n
h
n
(x) =
¸
k
f
k
(x) +
¸
k
f
k
(x) = g(x) +g
(x).
Thus, g +g
∈ /
1
(R).
So, the message here is to be a bit careful about the selection of the ‘approxi
mating’ absolutely summable series.
54 2. THE LEBESGUE INTEGRAL
9. The integral is welldeﬁned
To show that the integral of an element of /(R) is welldeﬁned, observe that
we can restrict our attention to realvalued functions, which is important since our
only tool is monotonicity.
Lemma 14. If f ∈ /
1
(R) then Re f and Imf ∈ /
1
(R) and can be approximated
by real absolutely summable series.
Of course the converse is clear since we can just use the linearity with f = Re f +
i Imf.
Proof. If f
i
is an absolutely summable approximating series for f let g
i
be
the series obtained by intertwining Re f
k
, Imf
k
and −Imf
k
. This is absoutely
summable and converges absolutely exactly where the series for f
j
converges ab
solutely (meaning
¸
i
[f
i
(x)[ converges). Thus Re f ∈ /
1
(R) and linearity shows
Imf ∈ /
1
(R) too.
That the original deﬁnition makes some sense, starts to become clear when we
check:
Proposition 18. For any element f ∈ /
1
(R) the integral
(2.84)
f =
¸
n
f
n
is welldeﬁned in that it is independent of which approximating absolutely summable
series of step functions satisfying (2.80) is used to deﬁne it.
Proof. We can suppose that f
n
and f
n
are two real absolutely summable
series as in (2.80). Now that we have a little experience, it is probably natural to
look at
(2.85) h
n
(x) =
f
k
(x) n = 2k −1
−f
k
(x) n = 2k.
This is absolutely summable and the pointwise series is absolutely convergent only
when both series are absolutely convergent. The individual terms then tend to zero
and so we see that
(2.86)
¸
n
[h
n
(x)[ < ∞ =⇒
¸
n
h
n
(x) = 0.
Moreover, from the absolute convergence of the sequence of integrals –
(2.87)
¸
n
[
h
n
[ ≤
¸
n
[h
n
[ < ∞
it follows that we can rearrange the series to see that
(2.88)
¸
n
h
n
=
¸
k
f
k
−
¸
k
f
k
.
Now, what we want is that these two sums are equal, so we want to see that the
left side of this equality vanishes. This follows directly from the next result which
is just a little more general than needed here so is separated oﬀ.
9. THE INTEGRAL IS WELLDEFINED 55
Proposition 19. If an absolutely summable series of step functions satisﬁes
(2.80) with f = 0 a.e. (meaning f vanishes oﬀ a set of measure zero) then
(2.89)
¸
n
f
n
= 0.
Proof. We can assume that the series consists of realvalued functions. The
only thing we have at our disposal is the monotonicity result above. The trick to
using it is to choose an N ∈ N and consider the new series of step functions with
terms
(2.90) g
1
(x) =
N
¸
j=1
f
j
(x), g
k
(x) = [f
N+k−1
(x)[, k > 1.
Now, this is absolutely summable, since convergence is a property of the ‘tail’ and
in any case
(2.91)
¸
k
[g
k
[ ≤
¸
n
[f
n
[.
Moreover, since all the terms after the ﬁrst are nonnegative, the partial sums of
the series
(2.92) G
p
(x) =
p
¸
k=1
g
p
(x) is nondecreasing.
It is again a sequence of step functions. Note that there are two possibilities,
depending on x. If the original series
¸
n
[f
n
(x)[ diverges, i.e. converges to +∞,
then the same is true of G
p
– since this is also a property of the tails. On the other
hand, if
¸
n
[f
n
(x)[ is ﬁnite, then for large p,
(2.93) G
p
(x) =
N
¸
k=1
f
k
(x) +
p−1
¸
j=1
[f
N+j
(x)[ ≥
p+N−1
¸
k=1
f
k
(x).
By assumption the right side converges to zero, so the limit of this series (which is
ﬁnite) is nonnegative. So, Proposition 16 applies to G
p
and shows that
(2.94) lim
p→∞
G
p
≥ 0
where divergence to +∞ is a possibility. This however means that, for the N we
originally chose,
(2.95)
N
¸
j=1
f
k
+
∞
¸
k=1
[f
N+k
[ ≥ 0.
This then is true for every N. On the other hand, the series of integrals is ﬁnite, so
given δ > 0 there exists M such that if N > M,
(2.96)
¸
k≥M
[f
k
[ < δ =⇒
N
¸
j=1
f
k
≥ −δ ∀ N > M.
56 2. THE LEBESGUE INTEGRAL
This then implies that
(2.97)
¸
k
f
k
≥ 0.
This is half of what we want, but the other half follows by applying the same
reasoning to −f
k
.
Thus the Proposition is proved for real series. For complex series we can work
with the real and imaginary parts as in Lemma 14
This is a pretty ﬁne example of measureintegration reasoning.
Corollary 4. The integral is a welldeﬁned linear map
(2.98)
: /
1
(R) −→C
deﬁned by setting
(2.99)
f =
¸
n
f
n
for any approximating sequence as in (2.80).
Proof. If one is needed. The alternating diﬀerences of two approximating
series to f satisﬁes the hypothesis of the Proposition above, so the sums of the
integrals are the same. The linearity of this functional is left as an exercise.
In particular this integral is not trivial. Namely, if f is actually a step func
tion then the sequence f
1
= f, f
j
= 0 for all j > 1 is absoutely summable and
approximates f in the sense of (2.80) so
(2.100)
f is consistent with the integral on step functions.
So, we must be onto something here!
Here is another example of a result – really out of order in the development of
the integral – which uses the same ‘trickery’ and reading the proof now may help
get things clear.
Proposition 20. A countable union of sets of measure zero has measure zero.
Proof. By the deﬁnition above, a set E is of measure zero if there exists an
absolutely summable series of step functions, f
n
, so
¸
n
[f
n
[ < ∞ such that
(2.101)
¸
n
[f
n
(x)[ = +∞ on E.
The data here gives us a countable collection E
j
, j = 1, . . . , of sets and for each of
them we have an absolutely summable series of step functions f
(j)
n
such that
(2.102)
¸
n
[f
(j)
n
[ < ∞, E
j
⊂ ¦x ∈ R;
¸
n
[f
(j)
n
(x)[ = +∞¦.
The idea is to look for one series of step functions which is absolutely summable
and which diverges absolutely on each E
j
. The trick is to ﬁrst ‘improve’ the f
(j)
n
.
Namely, the divergence in (2.102) is a property of the ‘tail’ – it persists if we toss
10. THE SEMINORM
f 57
out any ﬁnite number of terms. The absolute convergence means that for each j
we can choose an N
j
such that
(2.103)
¸
n≥N
j
[f
(j)
n
[ < 2
−j
∀ j.
Now, simply throw away the all the terms in f
(j)
n
before n = N
j
. If we relabel this
new sequence as f
(j)
n
again, then we still have (2.102) but in addition we have not
only absolute summability but also
(2.104)
¸
n
[f
(j)
n
[ ≤ 2
−j
∀ j =⇒
¸
j
¸
n
[f
(j)
n
[ < ∞.
Thus, the double sum (of integrals of absolute values) is absolutely convergent.
Now, let h
k
be the f
(j)
n
ordered in some reasonable way – say by working along
each row j + n = p in turn – in fact any enumeration of the double sequence will
work. This is an absolutely summable series, because of (2.104). Moreover the
pointwise series
(2.105)
¸
k
[h
k
(x)[ = +∞ if
¸
n
[f
(j)
n
(x)[ = +∞ for any j
since the second sum is contained in the ﬁrst. Thus
¸
k
[h
k
(x)[ diverges at each
point of each E
j
, so the union has measure zero.
10. The seminorm
[f[
This is the ﬁrst section where the new (as in Spring 2011) and old treatments
come together. I will use the term ‘model function’ to stand for ‘element of (
c
(R) if
you are following the 2011 treatment, it means ‘step function’ if you are following
the previous approach.
By now the structure of the proofs should be getting somewhat routine – but
I will go on to the point that I hope it all becomes clear!
The next thing we want to show is that the putative norm on L
1
does make
sense.
Proposition 21. If f ∈ /
1
(R) then [f[ ∈ /
1
(R) and if f
n
is an absolutely
summable series of model functions (meaning elements of (
c
(R) or step function
depending on where you are coming from) converging to f almost everywhere (that
is, on the complement of a set of measure zero) then
(2.106)
[f[ = lim
N→∞
[
N
¸
k=1
f
k
[ =⇒ [
f[ ≤
[f[ and
lim
n→∞
[f −
n
¸
j=1
f
j
[ = 0.
So in some sense the deﬁnition of the Lebesgue integral ‘involves no cancellations’.
There are various extensions of the integral which do exploit cancellations – I invite
you to look into the deﬁnition of the Henstock integral (and its relatives).
58 2. THE LEBESGUE INTEGRAL
Proof. By deﬁnition if f ∈ /
1
(R) then it is the limit, on the set of absolute
convergence, of a summable series of modle functions, ¦f
n
¦. We need to make such
a series for [f[. The idea in this case is not too surprising – we know that
(2.107)
n
¸
j=1
f
j
(x) → f(x) if
¸
j
[f
j
(x)[ < ∞.
So, set
(2.108) g
1
(x) = [f
1
(x)[, g
k
(x) = [
k
¸
j=1
f
j
(x)[ −[
k−1
¸
j=1
f
j
(x)[ ∀ x ∈ R.
Then, for sure,
(2.109)
N
¸
k=1
g
k
(x) = [
N
¸
j=1
f
j
(x)[ → [f(x)[ if
¸
j
[f
j
(x)[ < ∞.
So, what we need to check, for a start, is that ¦g
j
¦ is an absolutely summable series
of model functions.
The triangle inequality in the ‘reverse’ form [[v[ −[w[[ ≤ [v −w[ shows that, for
k > 1,
(2.110) [g
k
(x)[ = [[
k
¸
j=1
f
j
(x)[ −[
k−1
¸
j=1
f
j
(x)[[ ≤ [f
k
(x)[.
Thus
(2.111)
¸
k
[g
k
[ ≤
¸
k
[f
k
[ < ∞
so the g
k
’s do indeed form an absolutely summable series. From its construction
we know that
(2.112)
N
¸
k=1
g
k
(x) = [
N
¸
j=1
f
j
(x)[ → [f(x)[ if
¸
n
[f
n
(x)[ < ∞.
So, this is what we want except that the set on which
¸
k
[g
k
(x)[ < ∞ may be larger
than the set for which we have convergence here. Now, we have actually handled
this earlier but we can simply make the series converge less rapidly by adding a
‘pointless’ subseries. Namely replace g
k
by
(2.113) h
n
(x) =
g
k
(x) if n = 3k −2
f
k
(x) if n = 3k −1
−f
k
(x) if n = 3k.
This series converges absolutely if and only if both the [g
k
(x)[ and [f
k
(x)[ series
converge – the convergence of the latter implies the convergence of the former so
(2.114)
¸
n
[h
n
(x)[ < ∞ ⇐⇒
¸
k
[f
k
(x)[ < ∞.
On the other hand when this holds,
(2.115)
¸
n
h
n
(x) = [f(x)[
11. NULL FUNCTIONS 59
since each partial sum is either a sum for g
k
, or this with f
n
(x) added. Since
f
n
(x) → 0, (2.115) holds whenever the series converges absolutely, so indeed [f[ ∈
/
1
(R).
Then the ﬁrst part of (2.106) follows from the deﬁnition of the integral applied
to [f[ and this series, the second part by comparing the integral of the series term
by term and the third part by applying the same arguments to the seris ¦f
k
¦
k>n
,
as an absolutely summable series approximating f −
n
¸
j=1
f
j
and observing that the
integral is bounded by
(2.116)
[f −
n
¸
k=1
f
k
[ ≤
∞
¸
k=n+1
[f
k
[ → 0 as n → ∞.
11. Null functions
Now, the next thing we want to know is when the ‘norm’, which is in fact only
a seminorm, on /
1
(R), vanishes. That is, when does
[f[ = 0? One way is fairly
easy. The full result we are after is:
Proposition 22. For an integrable function f ∈ /
1
(R), the vanishing of
[f[
implies that f is a null function in the sense that
(2.117) f(x) = 0 ∀ x ∈ R ` E where E is of measure zero.
Conversely, if (2.117) holds then f ∈ /
1
(R) and
[f[ = 0.
Proof. The main part of this is the ﬁrst part, that the vanishing of
[f[
implies that f is null. This I will prove using the next Proposition. The converse
is the easier direction in the sense that we have already done it.
Namely, if f is null in the sense of (2.117) then, by the deﬁnition of a set of
measure zero, there exists an absolutely summable series of model functions, f
n
,
such that
(2.118) E ⊂ ¦x ∈ R;
¸
n
[f
n
(x)[ = ∞¦.
Note that it is possible that the absolute series here diverges on a larger set than
E. Still, if we consider the alternating series
(2.119) g
n
(x) =
f
k
(x) if n = 2k −1
−f
k
(x) if n = 2k
then
(2.120)
¸
n
g
n
(x) = 0 whenever
¸
n
[g
n
(x)[ < ∞,
since the latter condition is equivalent to
¸
n
[f
n
(x)[ < ∞. So in fact
(2.121)
¸
n
[g
n
(x)[ < ∞ =⇒ f(x) =
¸
n
g
n
(x) = 0
because of (2.118). Thus the null function f ∈ /
1
(R), and so is [f[ and from (2.121)
(2.122)
[f[ =
¸
k
g
k
= lim
k→∞
f
k
= 0
60 2. THE LEBESGUE INTEGRAL
where the last statement follows from the absolute summability.
For the converse argument we will use the following result, which is also closely
related to the completeness of L
1
(R).
Proposition 23. If f
n
∈ /
1
(R) is an absolutely summable series, in the sense
that
¸
n
[f
n
[ < ∞ then
(2.123) E = ¦x ∈ R;
¸
n
[f
n
(x)[ = ∞¦ has measure zero
and if f : R −→C and
(2.124) f(x) =
¸
n
f
n
(x) ∀ x ∈ R ` E
then f ∈ /
1
(R),
(2.125)
f =
¸
n
f
n
,
[
f[ ≤
[f[ = lim
n→∞
[
n
¸
j=1
f
j
[ ≤
¸
j
[f
j
[,
lim
n→∞
[f −
n
¸
j=1
f
j
[ = 0.
So this basically says we can replace ‘model function’ by ‘integrable function’ in
the deﬁnition (whichever one you started with) and get the same result. Of course
this makes no sense without the original deﬁnition.
Proof. The proof is very like the proof of completeness of the ‘completion’ of
a normed space outlined in the preceding chapter, here it is a little more concrete.
Thus, by assumption each f
n
∈ /
1
(R), so there exists an absolutely summable
series of model functions f
n,j
, so
¸
j
[f
n,j
[ < ∞ and
(2.126)
¸
j
[f
n,j
(x)[ < ∞ =⇒ f
n
(x) =
¸
j
f
n,j
(x).
We can expect f(x) to be given by the sum of the f
n,j
(x) over both n and j, but
in general, this double series is not absolutely summable. However we can make it
so. Simply choose N
n
for each n so that
(2.127)
¸
j>N
n
[f
n,j
[ < 2
−n
.
This is possible by the assumed absolute summability – so the tail of the series is
small. Having done this, we replace the series f
n,j
by
(2.128) f
n,1
=
¸
j≤N
n
f
n,j
(x), f
n,j
(x) = f
n,N
n
+j−1
(x) ∀ j ≥ 2.
This still converges to f
n
on the same set as in (2.126). So in fact we can simply
replace f
n,j
by f
n,j
and we have in addition the estimate
(2.129)
¸
j
[f
n,j
[ ≤
[f
n
[ + 2
−n+1
∀ n.
12. THE SPACE L
1
(R) 61
This follows from the triangle inequality since, using (2.127),
(2.130)
[f
n,1
+
N
¸
j=2
f
n,j
[ ≥
[f
n,1
[ −
¸
j≥2
[f
n,j
[ ≥
[f
n,1
[ −2
−n
and the left side converges to
[f
n
[ by (2.106) as N → ∞. Using (2.127) again
gives (2.129).
So, now dropping the primes from the notation and using the new series as f
n,j
we can let g
k
be some enumeration of the f
n,j
– say be the standard diagonalization
procedure, but it really does not matter. This gives a new series of model functions
which is absolutely summable since
(2.131)
N
¸
k=1
[g
k
[ ≤
¸
n,j
[f
n,j
[ ≤
¸
n
(
[f
n
[ + 2
−n+1
) < ∞.
Now, using the freedom to rearrange absolutely convergent series we see that
(2.132)
¸
n,j
[f
n,j
(x)[ < ∞ =⇒ f(x) =
¸
k
g
k
(x) =
¸
n
¸
j
f
n,j
(x).
The set where (2.132) fails is a set of measure zero, by deﬁnition. If necessary, take
another absolutely summable series of model functions h
k
which diverges on E (at
least) and inserting h
k
and −h
k
between successive g
k
’s as before. This new series
still coverges to f by (2.132) and shows that f ∈ /
1
(R) as well as (2.123). The ﬁnal
result (2.125) also follows by rearranging the double series for the integral (which
is also absolutely convergent).
For the moment we only need the weakest part, (2.123), of this. That is, for
any absolutely summable series of integrable functions the absolute pointwise series
converges oﬀ a set of measure zero – can only diverge on a set of measure zero. It
is rather shocking but this allows us to prove the rest of Proposition 22! Namely,
suppose f ∈ /
1
(R) and
[f[ = 0. Then Proposition 23 applies to the series with
each term being [f[. This is absolutely summable since all the integrals are zero.
So it must converge pointwise except on a set of measure zero. Clearly it diverges
whenever f(x) = 0,
(2.133)
[f[ = 0 =⇒ ¦x; f(x) = 0¦ has measure zero
which is what we wanted to show to ﬁnally complete the proof of Proposition 22.
12. The space L
1
(R)
Finally this allows us to deﬁne the standard Lebesgue space
(2.134) L
1
(R) = /
1
(R)/A, A = ¦null functions¦
and to check that
[f[ is indeed a norm on this space.
Theorem 7. The space L
1
(R) deﬁned by (2.134) is a Banach space in which
the model functions are a dense subspace.
The elements of L
1
(R) are equivalence classes of functions
(2.135) [f] = f +A, f ∈ /
1
(R).
62 2. THE LEBESGUE INTEGRAL
That is, we ‘identify’ two elements of /
1
(R) if (and only if) their diﬀerence is null,
which is to say they are equal oﬀ a set of measure zero. Note that the set which is
ignored here is not ﬁxed, but can depend on the functions.
Proof. For an element of L
1
(R) the integral of the absolute value is well
deﬁned by Proposition 18
(2.136) [f]
L
1 =
[f[.
The integral of the absolute value,
[f[ is a seminorm on /
1
(R) – it satisﬁes all
the properties of a norm except that
[f[ = 0 does not imply f = 0, only f ∈ A.
It follows that on the quotient, [f is indeed a norm.
The completeness of L
1
(R) is a direct consequence of Proposition 23. Namely,
we showed earlier that to show a normed space is complete it is enough to check that
any absolutely summable series converges. Namely, if [f
j
] is an absolutely summable
series in L
1
(R) then f
j
is absolutely summable in /
1
(R) and by Proposition 23 the
sum of the series exists so we can use (2.124) to deﬁne f of the set E and take it to
be zero on E. Then, f ∈ /
1
(R) and the last part of (2.125) means precisely that
(2.137) lim
n→∞
[f] −
¸
j<n
[f
j
]
L
1 = lim
n→∞
[f −
¸
j<n
f
j
[ = 0
shows the desired completeness.
Note that despite the fact that it is technically incorrect, everyone says ‘L
1
(R)
is the space of Lebesgue integrable functions’ even though it is really the space
of equivalence classes of these functions modulo equality almost everywhere. Not
much harm can come from this mild abuse of language.
13. The three integration theorems
There are three standard results on convergence of sequences of integrable func
tions which are powerful enough to cover most situations that arise in practice –
a Monotonicity Lemma, Fatou’s Lemma and Lebesgue’s Dominated Convergence
theorem.
Lemma 15 (Montonicity). If f
j
∈ /
1
(R) is a monotone sequence, either f
j
(x) ≥
f
j+1
(x) for all x ∈ R and all j or f
j
(x) ≤ f
j+1
(x) for all x ∈ R and all j, and
f
j
is bounded then
(2.138) ¦x ∈ R; lim
j→∞
f
j
(x) is ﬁnite¦ = R ` E
where E has measure zero and
(2.139)
f = lim
j→∞
f
j
(x) a.e. is an element of /
1
(R)
with
f = lim
j→∞
f
j
and lim
j→∞
[f −f
j
[ = 0.
In the usual approach through measure one has the concept of a measureable, non
negative, function for which the integral ‘exists but is inﬁnite’ – we do not have
this (but we could easily do it, or rather you could). Using this one can drop the
assumption about the ﬁniteness of the integral but the result is not signiﬁcantly
stronger.
13. THE THREE INTEGRATION THEOREMS 63
Proof. Since we can change the sign of the f
i
it suﬃces to assume that the f
i
are monotonically increasing. The sequence of integrals is therefore also montonic
increasing and, being bounded, converges. Turning the sequence into a series, by
setting g
1
= f
1
and g
j
= f
j
−f
j−1
for j ≥ 1 the g
j
are nonnegative for j ≥ 1 and
(2.140)
¸
j≥2
[g
j
[ =
¸
j≥2
g
j
= lim
n→∞
f
n
−
f
1
converges. So this is indeed an absolutely summable series. We therefore know
from Proposition 23 that it converges absolutely a.e., that the limit, f, is integrable
and that
(2.141)
f =
¸
j
g
j
= lim
n→∞
f
j
.
The second part, corresponding to convergence for the equivalence classes in L
1
(R)
follows from the fact established earlier about [f[ but here it also follows from the
monotonicity since f(x) ≥ f
j
(x) a.e. so
(2.142)
[f −f
j
[ =
f −
f
j
→ 0 as j → ∞.
Now, to Fatou’s Lemma. This really just takes the monotonicity result and
applies it to a sequence of integrable functions with bounded integral. You should
recall that the max and min of two realvalued integrable functions is integrable
and that
(2.143)
min(f, g) ≤ min(
f,
g).
This follows from the identities
(2.144) 2 max(f, g) = [f −g[ +f +g, 2 min(f, g) = −[f −g[ +f +g.
Lemma 16 (Fatou). Let f
j
∈ /
1
(R) be a sequence of realvalued integrable and
nonnegative functions such that
f
j
is bounded above then
(2.145)
f(x) = liminf
n→∞
f
n
(x) exists a.e., f ∈ /
1
(R) and
liminf f
n
=
f ≤ liminf
f
n
.
Proof. You should remind yourself of the properties of liminf as necessary!
Fix k and consider
(2.146) F
k,n
= min
k≤p≤k+n
f
p
(x) ∈ /
1
(R).
As discussed above this is integrable. Moreover, this is a decreasing sequence, as n
increases, because the minimum is over an increasing set of functions. Furthermore
the F
k,n
are nonnegative so Lemma 15 applies and shows that
(2.147) g
k
(x) = inf
p≥k
f
p
(x) ∈ /
1
(R),
g
k
≤
f
n
∀ n ≥ k.
64 2. THE LEBESGUE INTEGRAL
Note that for a decreasing sequence of nonnegative numbers the limit exists every
where and is indeed the inﬁmum. Thus in fact,
(2.148)
g
k
≤ liminf
f
n
∀ k.
Now, let k vary. Then, the inﬁmum in (2.147) is over a set which decreases as k
increases. Thus the g
k
(x) are increasing. The integrals of this sequence are bounded
above in view of (2.148) since we assumed a bound on the
f
n
’s. So, we can apply
the monotonicity result again to see that
(2.149)
f(x) = lim
k→∞
g
k
(x) exists a.e and f ∈ /
1
(R) has
f ≤ liminf
f
n
.
Since f(x) = liminf f
n
(x), by deﬁnition of the latter, we have proved the Lemma.
Now, we apply Fatou’s Lemma to prove what we are really after:
Theorem 8 (Dominated convergence). Suppose f
j
∈ /
1
(R) is a sequence of
integrable functions such that
(2.150)
∃ h ∈ /
1
(R) with [f
j
(x)[ ≤ h(x) a.e. and
f(x) = lim
n→∞
f
j
(x) exists a.e.
then f ∈ /
1
(R) and
f = lim
n→∞
f
n
(including the assertion that this limit
exists).
Proof. First, we can assume that the f
j
are real since the hypotheses hold for
the real and imaginary parts of the sequence and together give the desired result.
Moroever, we can change all the f
j
’s to make them zero on the set on which the
estimate in (2.150) does not hold. Then this bound on the f
j
’s becomes
(2.151) −h(x) ≤ f
j
(x) ≤ h(x) ∀ x ∈ R.
In particular this means that g
j
= h − f
j
is a nonnegative sequence of integrable
functions and the sequence of integrals is also bounded, since (2.150) also implies
that
[f
j
[ ≤
h, so
g
j
≤ 2
h. Thus Fatou’s Lemma applies to the g
j
. Since we
have assumed that the sequence g
j
(x) converges a.e. to h −f we know that
(2.152)
h −f(x) = liminf g
j
(x) a.e. and
h −
f ≤ liminf
(h −f
j
) =
h −limsup
f
j
.
Notice the change on the right from liminf to limsup because of the sign.
Now we can apply the same argument to g
j
(x) = h(x) +f
j
(x) since this is also
nonnegative and has integrals bounded above. This converges a.e. to h(x) +f(x)
so this time we conclude that
(2.153)
h +
f ≤ liminf
(h +f
j
) =
h + liminf
f
j
.
In both inequalities (2.152) and (2.153) we can cancel an
h and combining them
we ﬁnd
(2.154) limsup
f
j
≤
f ≤ liminf
f
j
.
14. NOTIONS OF CONVERGENCE (2011) 65
In particular the limsup on the left is smaller than, or equal to, the liminf on the
right, for the same real sequence. This however implies that they are equal and
that the sequence
f
j
converges. Thus indeed
(2.155)
f = lim
n→∞
f
n
.
Generally in applications it is Lebesgue’s dominated convergence which is used
to prove that some function is integrable. Of course, since we deduced it from
Fatou’s lemma, and the latter from the Monotonicity lemma, you might say that
Lebesgue’s theorem is the weakest of the three! However, it is very handy.
We have been dealing with two basic notions of convergence. Namely conver
gence almost everywhere and convergence in the mean where the latter means pre
cisely convergence with respect to the norm in L
1
. In fact neither of these implies the
other. Lebesgue’s theorem on dominated convergence gives one connection between
them – if one has convergence almost everywhere and the sequence is dominated
by one integrable function then it converges in the mean. Conversely, a sequence
(of integrable functions) which converges in the mean is necessarily Cauchy in the
mean, i.e. in L
1
(R), and has a subsequence which is the sequence of partial sums of
an absolutely summable series. Thus convergence in the mean implies convergence
almost everywhere (and dominated) along a subsequence (of any subsequence).
14. Notions of convergence (2011)
This might be a good point to clarify the diﬀerent notions of convergence we
are dealing with. Here are four:
(1) Convergence of a sequence in L
1
(R) (or by slight abuse of language in
/
1
(R)) – f and f
n
∈ L
1
(R) and
(2.156) f −f
n

L
1 → 0 as n → ∞.
(2) Convergence almost every where: For some sequence of functions f
n
and
function f,
(2.157) f
n
(x) → f(x) as n → ∞ for x ∈ R ` E
where E ⊂ R is of measure zero.
(3) Dominated convergence: Now f
j
∈ L
1
(R) (or representatives in /
1
(R))
such that [f
j
[ ≤ F (a.e.) for some F ∈ L
1
(R) and (2.157) holds.
(4) What we might call ‘absolutely summable convergence’. Again f
n
∈ L
1
(R)
now such that f
n
=
n
¸
j=1
g
j
where g
j
∈ L
1
(R) and
¸
j
[g
j
[ < ∞. Then
(2.157) holds for some f.
(5) Monotone convergence. If f
j
∈ /
1
(R) are real valued and montonic with
f
j
bounded then f
j
→ f almost everywhere, in /
1
and
f = lim
j
f
j
.
So, one important point to know is that 1 does not imply 2. Nor conversely
does 2 imply 1 even if we assume that all the f
j
and f are in L
1
(R).
However, Montone convergence implies Dominated convergence. Namely if
f is the limit then [f
j
[ ≤ [f[ and f
j
→ f almost everywhere. Also, Monotone
convergence implies convergence with absolute summability simply by taking the
sequence to have ﬁrst term f
1
and subsequence terms f
j
− f
j−1
(assuming that
66 2. THE LEBESGUE INTEGRAL
f
j
is monotonic increasing) one gets an absolutely summable series with sequence
of ﬁnite sums converging to f. Similarly absolutely summable convergence implies
dominated convergence for the sequence of partial sums; by montone convergence
the series
¸
n
[f
n
(x)[ converges a.e. and in L
1
to some function F which dominates
the partial sums which in turn converge pointwise.
15. The space L
2
(R) (2011)
So far we have discussed the Banach space L
1
(R). The real aim is to get a
good hold on the (Hilbert) space L
2
(R). This can be approached in several ways.
Here I will proceed in close parallel to what has been done above to get L
1
as a
completion of (
c
(R) with respect to the appropriate norm. So, the initial deﬁnition
has the same ‘tricky’ structure as the deﬁnition of /
1
(R) but we will arrive at a
useful sensible characterization below.
So, here the appropriate norm is given by
(2.158) f
2
L
2 =
R
[f[
2
= lim
R→∞
R
−R
[f(x)[
2
dx
where the integral is a Riemann integral. To check that this really is a norm we
use the CauchySchwarz inequality. Namely if f, g ∈ (
c
(R) then
(2.159) [
R
fg[ ≤ f
L
2g
L
2.
At this point you should read Section 1 of the next chapter. It is straightforward
to check that (
c
(R) with the inner product
(2.160) (f, g) =
fg
is a preHilbert space and hence a normed space with the norm being precisely the
L
2
norm.
The objective then is to give a concrete completion of this, following the same
path as for L
1
(R) but now with a little more machinery to work with! The result
will be a Hilbert space. Given our experience up to this point I will ‘telescope’ the
deﬁnition.
Definition 9. The space /
2
(R) consists of those functions f : R −→ C such
that there exists a sequence F
j
∈ (
c
(R) which comes from an absolutely ‘square
summable’ in the sense that
(2.161)
∞
¸
n=2
F
n
−F
n−1

L
2 < ∞
and such that
(2.162) f(x) = lim
j→∞
F
j
(x) on R ` E, E of measure zero.
In particular the sequence in (2.162) must converge oﬀ a set of measure zero
for the statement to make sense. Of course we can set f
1
= F
1
and f
n
= F
n
−F
n−1
for n > 1 and recover our earlier form of absolute summability (now with respect
15. THE SPACE L
2
(R) (2011) 67
to the L
2
norm):
(2.163)
f
j
∈ (
c
(R),
¸
j
f
j

L
2 < ∞
f(x) =
¸
j
f
j
(x) a.e.
It is also convenient to deﬁne another space
Definition 10. A function f : R −→C is in /
1
loc
(R) if for each r > 0
(2.164) f
(r)
(x) =
f(x) if [x[ ≤ r
0 if [x[ > r
is in /
1
(R).
Note that you should be now be used to the fact that this absolute (square
in this case) summability just means that the sequence of partial sums, F
n
(x) =
n
¸
j=1
f
j
(x) is Cauchy in (
c
(R) with respect to the L
2
norm and in a uniform sense,
namely that
(2.165)
¸
n
F
n
−F
n−1

L
2 < ∞ =⇒ if q > p, F
p
−F
q

L
2 ≤
¸
j≥p
f
j

L
2 → 0 as p → ∞.
So we proceed to examine the properties that follow from this deﬁnition and
our work to date. This is to some extent ‘revision’ of the treatment of L
1
(R).
Theorem 9. The space /
2
(R) is linear and
(1) If f ∈ /
2
(R) then [f[, f, Re f, (Re f)
+
are in /
2
(R).
(2) If f ∈ /
2
(R) then [f[
2
∈ /
1
(R) and f
2
L
2
=
[f[
2
is a seminorm on
/
2
(R) with null space A the space of null functions (vanishing oﬀ some
set of measure zero).
(3) If f ∈ /
2
(R) then f ∈ /
1
loc
(R).
(4) If f, g ∈ /
2
(R) then fg ∈ /
1
(R) and (2.159) holds.
(5) The space L
2
(R) = /
2
(R)/A is a Banach space (and in fact a Hilbert
space) with the norm  
L
2.
(6) If f ∈ /
1
loc
(R) and [f[
2
∈ /
1
(R) then f ∈ /
2
(R).
Proof. So, the objective here is not to work too hard.
The linearity of /
2
(R) follows as for /
1
(R). Namely the zero function is in
/
2
(R) and if c ∈ C and f ∈ /
2
(R) has approximating sequence as in the deﬁnition
then cf
j
is an approximating sequence for cf. If g ∈ /
2
(R) is another element
with approximating sequence g
j
then take the sequence with alternating f
j
and g
j
.
It is absolutely summable and converges to f(x) + g(x) where the two sequences
converge to f(x) and g(x) respectively, which is to say oﬀ a set of measure zero.
Similarly if f ∈ /
2
(R) has approximating sequence f
j
then
(2.166) g
1
= [f
1
(x)[, g
j
(x) = [
j
¸
k=1
f
k
(x)[ −[
k−1
¸
k=1
f
k
(x)[
is a sequence in (
c
(R) which converges to [f(x)[ when (2.162) holds. So, it is enough
to show that it is absolutely summable but this follows from the triangle inequality
68 2. THE LEBESGUE INTEGRAL
since
(2.167) g
j

L
2 = [
j
¸
k=1
f
k
(x)[ −[
k−1
¸
k=1
f
k
(x)[
L
2 ≤ f
j

L
2, j ≥ 2.
That Re f, Imf and hence f are in /
2
(R) follows by taking the appropriate se
quences and (Re f)
+
=
1
2
(Re f +[ Re f[).
Now, if f ∈ /
2
(R) and f
j
is an absolutely summable approximating sequence
consider the sequence of partial sums F
j
(x) =
j
¸
k=1
f
k
(x) ∈ ((R) and then set
g
j
(x) = [F
j
(x)[ ≤
¸
k≤j
[f
k
(x)[ so also, [g
j
− g
j−1
[ ≤ [f
j
[. Expanding out the norm
using the CauchySchwarz inequality and using the triangle inequality on the second
factor
(2.168)
[g
2
j
−g
2
j−1
[
=
[g
j
−g
j−1
[(g
j
+g
j−1
) ≤ g
j
−g
j−1

L
2g
j
+g
j−1

L
2
≤ 2f
j

L
2(
j
¸
k=1
f
k

L
2 ≤ Cf
j
[
L
2
=⇒
[g
1
[
2
+
¸
j≥2
[g
2
j
−g
2
j−1
[ < ∞,
where the constant in the second last line comes from the absolute summability in
L
2
. So, detelescoping as usual, the sequence g
2
j
= [F
j
[
2
is the sequence of partial
sums of an absolutely summable series, namely with ﬁrst term g
2
1
and subsequent
terms g
2
j
−g
2
j−1
, with respect to the L
1
norm. Thus, essentially from the deﬁnition
of /
1
(R), the limit
(2.169) [f(x)[
2
= lim
j→∞
[F
j
(x)[
2
a.e.
is an element of /
1
(R) as claimed. Moreover,
(2.170)
[f[
2
= lim
j→∞
[F
j
[
2

L
1 exists
and satisﬁes at least the ﬁrst conditions of a seminorm – weak positivity and ho
mogeneity. We still need to check the triangle inequality. In fact if f, g ∈ /
2
(R)
and f
j
, g
j
are approximating sequences then f
j
+g
j
is an approximating sequence
for f +g – by the triangle inequaltiy on ((R) it is absolutely summable in L
2
and
the series converges to f(x) +g(x) a.e. Thus
(2.171)
[f +g[
2
= lim
j→∞
[F
j
+G
j
[
2

L
1 = lim
j→∞
F
j
+G
j

2
L
2
≤ lim
j→∞
(F
j

L
2 +G
j

L
2)
2
= (f
L
2 +g
L
2)
2
so the triangle inequality does hold and  
L
2 is a seminorm on /
2
(R).
15. THE SPACE L
2
(R) (2011) 69
Next take r > 0 and for an absolutely summable series in L
2
consider the
cutoﬀ series with nth term
(2.172) f
(r)
n
(x) =
f
n
(x) if [x[ ≤ r
0 if [x[ > r
just as in (2.164). This is certainly a sequence of integrable functions (maybe not
continuous since they might jump at the ends of the interval). Moreover
(2.173) f
(r)
j

L
2 ≤ f
j

L
2
so the cutoﬀ series is absolutely summable in L
2
. In fact it is absolutely summable
in L
1
by an application of the CauchySchwarz inequality:
(2.174)
[f
(r)
j
(x)[ =
r
−r
[f
j
[ ≤ (2r)
1
2
(
r
−r
[f
j
[
2
)
1
2
where we expand using f
j
= f
j
1. Thus the series
¸
j
f
j
(x) converges almost
everywhere on the interval (−r, r) and to zero outside it, the limit f
(r)
a.e. is
therefore in /
1
(R), which is the statement that f ∈ /
1
loc
(R).
Next consider two elements f, g ∈ /
2
(R) with corresponding approximating se
quences and partial sums F
j
, G
j
as above. Applying the CauchySchwarz inequality
shows that
(2.175)
F
j
G
j
−F
j−1
G
j−1

L
1 = F
j
G
j
−F
j
G
j−1
+F
j
G
j−1
−F
j−1
G
j−1

L
1
≤ F
j

L
2G
j
−G
j−1

L
2 +G
j−1

L
2F
j
−F
j−1

L
2.
The norms F
j

L
2 and G
j

L
2 converge and are therefore bounded, so the sequence
F
j
G
j
is the partial sum of an absolutely summable series in L
1
. Thus its limit a.e. is
an element of /
1
(R), but this is fg. Thus the product is in /
1
(R) and the Cauchy
Schwarz inequality extends by continuity to /
2
(R),
(2.176) [
fg[ = lim
j→∞
[
F
j
G
j
[ ≤ lim
j→∞
F
j

L
2G
j

L
2 = f
L
2g
L
2.
Next to the completeness of L
2
(R) = /
2
(R)/A to which the seminorm descends
as a norm. It suﬃces to show that an absolutely summable series converges. You
can do this readily following the double sequence argument used for L
1
(R). Instead
let me use the last part to prove it.
So instead we proceed to prove that
(2.177) f ∈ /
1
loc
(R) and [f[
2
∈ /
1
(R) =⇒ f ∈ /
2
(R).
Since it is the only approach available, we need to construct an approximating
sequence in (
c
(R) which is a absolutely summable with respect to the L
2
norm.
First we simplify a little by observing that we can assume that f in (2.177)
is real and nonnegative. The initial assumption that f ∈ /
1
loc
(R) implies , Re f
[f[ ∈ /
1
loc
(R) (by the properties of /
1
(R)). So consider
g = (Re f)
+
=
1
2
(Re f +[ Re f[) ∈ /
1
loc
(R),
we would like to see that g
2
∈ /
1
(R) which is not immediately obvious. Still, for
any r > 0, g
(r)
∈ /
1
(R) and so we can take a real sequence F
j
∈ (
c
(R) such that
F
j
→ g
(r)
in L
1
and F
j
(x) → g
(r)
(x) almost everywhere (take the partial sums of
an absolutely summable series converging to g
(r)
). Moreover, we can replace the F
j
70 2. THE LEBESGUE INTEGRAL
by their positive parts and still get convergence to g
(r)
a.e. and in /
1
(R) (because
it is still absolutely summable so converges with respec to the L
1
seminorm to its
limit a.e.) Now consider the sequence of functions
(2.178) h
j
= min(F
j
, [f[).
This is a sequence in /
1
(R) – since it vanishes outside some interval (depending
on j) and within that interval is the minimum of two L
1
functions. Moreover, h
2
j
∈
/
1
(R) as well, since it has the same properties – using the fact that [f[
2
∈ /
1
(R).
Since g
(r)
≤ (Re f)
+
≤ [f[ wherever F
j
(x) → g
(r)
(x), which is to say a.e., it follows
that h
j
(x) → g
(r)
(x) as well – since the limit is between 0 and [f(x)[. So it follows
that h
2
j
→ (g
(r)
(x))
2
on the same set, so a.e., but also [h
j
(x)
2
[ ≤ [f[
2
∈ /
1
(R).
So Lebesgue’s Theorem of dominated convergence implies that the limit, (g
(r)
)
2
∈
/
1
(R) and that
[(g
(r)
)
2
[ ≤
[f[
2
. Now, let r → ∞; the sequence (g
(r)
)
2
is in
/
1
(R), is increasing and has bounded norm, so by Monotone convergence its limit,
g
2
, is in /
1
(R).
So this means that in proving (2.177), which is to say (6) in the statement of
the theorem, we can assume that f ≥ 0. Since we can then apply the result to
(Re f)
+
and (Imf)
+
and their negative parts – by the same argument applied to
−if etc. Then the result follows for f is a linear combination of these.
Now, what we have gained is positivity, then the fact that f
2
∈ /
1
(R) alone
does indeed imply that f ∈ /
2
(R). We can see this by choosing an approximat
ing, absolutely summable (in L
1
norm), sequence f
j
∈ (
c
(R) with sequence of
partial sums, F
j
, converging to f
2
a.e.; then
[F
j
− f
2
[ → 0 as well. The abso
lute summability with respect to L
1
implies that H(x) =
¸
j
[f
j
(x)[ ∈ /
1
(R) so
the convergence is also dominated, [F
j
(x)[ ≤ H(x). Now, replace the F
j
by their
positive parts. Since the a.e. limit, f
2
, is nonnegative this new sequence still con
verges a.e. to f
2
and it is still dominated, so
[(F
j
)
+
− f
2
[ → 0 by Lebesgue’s
theorem again. Thus we can assume that F
j
≥ 0 – this is still a sequence in
(
c
(R). Finally consider h
j
(x) = (F
j
(x))
1
2
which is also a sequence in (
c
(R). It con
verges a.e. to f(x) = (f
2
(x))
1
2
(always taking positve squareroots of course). Thus
[h
j
(x) −f(x)[
2
→ 0 a.e. and
(2.179) [h
j
(x) −f(x)[
2
≤ 2h
2
j
(x) + 2f
2
(x) ≤ 2H(x) + 2f
2
(x)
is bounded by a ﬁxed function in /
1
(R). Thus in fact h
j
−f
L
2 → 0 by Dominated
Convergence. From this in turn it follows that h
j
is Cauchy with respect to the L
2
seminorm (it is converging with respect to it) and hence if we pass to a suﬃciently
sparse subsequence we can arrange that
(2.180) h
j+1
−h
j

L
2 ≤ 2
−j
.
This gives (after detelescoping) an absolutely square summable series in (
c
(R), i.e.
summable with respect to the L
2
norm, which converges a.e. to f. Thus, f ∈ /
2
(R)
which is what we wanted to show.
So, we have proved everything in Theorem 9 except perhaps completeness.
However, if g
k
is now a sequence in /
2
(R) which is absolutely summable with
respect to the L
2
norm then the limit of the sequence or partial sums, G
k
exists
almost everywhere – since the sequence is absolutely summable with respect to L
1
on [−r, r]. This limit f ∈ /
1
loc
(R) and [f[
2
∈ /
1
(R) is the limit of [G
j
[
2
in /
1
(R)
16. THE SPACES L
p
(R) 71
from the argument above. So in fact f ∈ /
2
(R) and G
k
− f
L
2 → 0, which is
what we want.
So, we have shown that (6) in the Theorem is an equivalent deﬁnition of L
2
(R).
This, and its generalization, is what is used as the deﬁnition in the section on L
p
below. For later purposes we really only need L
2
(R) but you might want to read
about L
p
(R) as further mental exercise!
16. The spaces L
p
(R)
First, we deﬁne locally integrable functions. Thus f : R −→ C is locally
integrable if
(2.181) F
[−N,N]
=
f(x) x ∈ [−N, N]
0 x if [x[ > N
=⇒ F
[−N,N]
∈ /
1
(R) ∀ N.
For example any continuous function on R is locally integrable.
Lemma 17. The locally integrable functions form a linear space, /
1
loc
(R).
Proof. Follows from the linearity of /
1
(R).
Definition 11. The space /
p
(R) for any 1 < p < ∞consists of those functions
in /
1
loc
such that [f[
p
∈ /
1
(R).
It is important to note that [f[
p
∈ /
1
(R) is not, on its own, enough to show
that f ∈ /
p
(R) – it does not in general imply the local integrability of f.
What are some examples of elements of /
p
(R)? One class, which we use below,
comes from cutting oﬀ elements of /
1
loc
(R). Namely, we can cut oﬀ outside [−R, R]
and for a real function we can cut oﬀ ‘at height R’ (it doesn’t have to be the same
R but I am saving letters)
(2.182) f
(R)
(x) =
0 if [x[ > R
R if [x[ ≤ R, [f(x)[ > R
f(x) if [x[ ≤ R, [f(x)[ ≤ R
−R if [x[ ≤ R, f(x) < −R.
For a complex function apply this separately to the real and imaginary parts. Now,
f
(R)
∈ /
1
(R) since cutting oﬀ outside [−R, R] gives an integrable function and
then we are taking min and max successively with ±Rχ
[−R,R]
. If we go back to the
deﬁnition of /
1
(R) but use the insight we have gained from there, we know that
there is an absolutely summable sequence of model functions, f
j
, with sum con
verging a.e. to f
(R)
. The absolute summability means that [f
j
[ is also an absolutely
summable series, and hence its sum a.e., denoted g, is an integrable function by the
Monotonicity Lemma above – it is increasing with bounded integral. Thus if we let
F
n
be the partial sum of the series
(2.183) F
n
→ f
(R)
a.e., [F
n
[ ≤ g
and we are in the setting of Dominated convergence – except of course we already
know that the limit is in /
1
(R). However, we can replace F
n
by the sequence of
cutoﬀ model functions F
(R)
n
without changing the convergence a.e. or the bound.
Now,
(2.184) [F
(R)
n
[
p
→ [f
(R)
[
p
a.e., [F
(R)
n
[
p
≤ R
p
χ
[−R,R]
72 2. THE LEBESGUE INTEGRAL
and we see that [f
(R)
[ ∈ /
p
(R) by Lebesgue Dominated convergence.
We can encapsulate this in a lemma:
Lemma 18. If f ∈ /
1
loc
(R) then with the deﬁnition from (2.182), f
(R)
∈ /
p
(R),
1 ≤ p < ∞ and there exists a sequence s
n
of model functions converging a.e. to
f
(R)
with [s
n
[ ≤ Rχ
[−R,R]
.
Theorem 10. The spaces /
p
(R) are linear, the function
(2.185) f
L
p =
[f[
p
1/p
is a seminorm on it with null space A, the space of null functions on R, and
L
p
(R) = /
p
(R)/A is a Banach space in which the model functions include as a
dense subspace.
Proof. First we need to check the linearity of /
p
(R). Clearly λf ∈ /
p
(R) if
f ∈ /
p
(R) and λ ∈ C so we only need consider the sum. Then however, we can
use Lemma 18. Thus, if f and g are in /
p
(R) then f
(R)
and g
(R)
are in /
p
(R) for
any R > 0. Now, the approximation by model functions in the Lemma shows that
f
(R)
+ g
(R)
∈ /
p
(R) since it is in /
1
(R) and [f
(R)
+ g
(R)
[
p
∈ /
1
(R) by dominated
convergence (the model functions being bounded). Now, letting R → ∞ we see
that
(2.186)
f
(R)
(x) +g
(R)
(x) → f(x) +g(x) ∀ x ∈ R
[f
(R)
+g
(R)
[
p
≤ [[f
(R)
[ +[g
(R)
[[
p
≤ 2
p
([f[
p
+[g[
p
)
so by Dominated Convergence, f +g ∈ /
p
(R).
That f
L
p is a seminorm on /
p
(R) is an integral form of Minkowski’s inequal
ity. In fact we can deduce if from the ﬁnite form. Namely, for two step functions
f and g we can always ﬁnd a ﬁnite collection of intervals on which they are both
constant and outside which they both vanish, so the same is true of the sum. Thus
(2.187)
f
L
p =
¸
n
¸
j=1
[c
i
[
p
(b
i
−a
i
)
¸
1
p
, g
L
p =
¸
n
¸
j=1
[d
i
[
p
(b
i
−a
i
)
¸
1
p
,
f +g
L
p =
¸
n
¸
j=1
[c
i
+d
i
[
p
(b
i
−a
i
)
¸
1
p
.
Absorbing the lengths into the constants, by setting c
i
= c
i
(b
i
− a
i
)
1
p
and d
i
=
d
i
(b
i
−a
i
)
1
p
, Minkowski’s inequality now gives
(2.188) f +g
L
p =
¸
i
[c
i
+d
i
[
p
1
p
≤ f
L
p +g
L
p
which is the integral form for step functions. Thus indeed, f
L
p is a norm on the
step functions.
For general elements f, g ∈ /
p
(R) we can use the approximation by step
functions in Lemma 18. Thus for any R, there exist sequences of step functions
s
n
→ f
(R)
, t
n
→ g
(R)
a.e. and bounded by R on [−R, R] so by Dominated Conver
gence,
[f
(R)
[
p
= lim
[s
n
[
p
,
[g
(R)
[
p
and
[f
(R)
+g
(R)
[
p
= lim
[s
n
+t
n
[
p
. Thus
16. THE SPACES L
p
(R) 73
the triangle inequality holds for f
(R)
and g
(R)
. Then again applying dominated
convergence as R → ∞ gives the general case. The other conditions for a seminorm
are clear.
Then the space of functions with
[f[
p
= 0 is again just A, independent of p,
is clear since f ∈ A ⇐⇒ [f[
p
∈ A. The fact that L
p
(R) = /
p
(R)/A is a normed
space follows from the earlier general discussion, or as in the proof above for L
1
(R).
So, only the comleteness of L
p
(R) remains to be checked and we know this
is equivalent to the convergence of any absolutely summable series. So, we can
suppose f
n
∈ /
p
(R) have
(2.189)
¸
n
[f
n
[
p
1
p
< ∞.
Consider the sequence g
n
= f
n
χ
[−R,R]
for some ﬁxed R > 0. This is in /
1
(R) and
(2.190) g
n

L
1 ≤ (2R)
1
q
f
n

L
p
by the integral form of H¨older’s inequality
(2.191)
f ∈ /
p
(R), g ∈ /
q
(R),
1
p
+
1
q
= 1 =⇒ fg ∈ /
1
(R) and [
fg[ ≤ f
L
p[g
L
q
which can be proved by the same approximation argument as above, see Problem 20.
Thus the series g
n
is absolutely summable in L
1
and so converges absolutely almost
everywhere. It follows that the series
¸
n
f
n
(x) converges absolutely almost every
where – since it is just
¸
n
g
n
(x) on [−R, R]. The limit, f, of this series is therefore
in /
1
loc
(R).
So, we only need show that f ∈ /
p
(R) and that
[f − F
n
[
p
→ 0 as n → ∞
where F
n
=
n
¸
k=1
f
k
. By Minkowski’s inequality we know that h
n
= (
n
¸
k=1
[f
k
[)
p
has
bounded L
1
norm, since
(2.192) [h
n
[
1
p
L
1
= 
n
¸
k=1
[f
k
[
L
p. ≤
¸
k
f
k

L
p.
Thus, h
n
is an increasing sequence of functions in /
1
(R) with bounded integral,
so by the Monotonicity Lemma it converges a.e. to a function h ∈ /
1
(R). Since
[F
n
[
p
≤ h and [F
n
[
p
→ [f[
p
a.e. it follows by Dominated convergence that
(2.193) [f[
p
∈ /
1
(R), [f[
p

1
p
L
1
≤
¸
n
f
n

L
p
and hence f ∈ /
p
(R). Applying the same reasoning to f −F
n
which is the sum of
the series starting at term n + 1 gives the norm convergence:
(2.194) f −F
n

L
p ≤
¸
k>n
f
k

L
p → 0 as n → ∞.
74 2. THE LEBESGUE INTEGRAL
17. Lebesgue measure
In case anyone is interested in how to deﬁne Lebesgue measure from where we
are now we can just use the integral.
Definition 12. A set A ⊂ R is measurable if its characteristic function χ
A
is
locally integrable. A measurable set A has ﬁnite measure if χ
A
∈ /
1
(R) and then
(2.195) µ(A) =
χ
A
is the Lebesgue measure of A. If A is measurable but not of ﬁnite measure then
µ(A) = ∞ by deﬁnition.
Functions which are the ﬁnite sums of constant multiples of the characteristic
functions of measurable sets of ﬁnite measure are called ‘simple functions’ and
behave rather like out step functions. One of the standard approaches to Lebesgue
integration is to ‘complete’ the space of simple functions with respect to the integral.
We know immediately that any interval (a, b) is measurable (indeed whether
open, semiopen or closed) and has ﬁnite measure if and only if it is bounded –
then the measure is b −a. Some things to check:
Proposition 24. The complement of a measurable set is measurable and any
countable union or countable intersection of measurable sets is measurable.
Proof. The ﬁrst part follows from the fact that the constant function 1 is
locally integrable and hence χ
R\A
= 1 −χ
A
is locally integrable if and only if χ
A
is
locally integrable.
Notice the relationship between a characteristic function and the set it deﬁnes:
(2.196) χ
A∪B
= max(χ
A
, χ
B
), χ
A∩B
= min(χ
A
, χ
B
).
If we have a sequence of sets A
n
then B
n
=
¸
k≤n
A
k
is clearly an increasing
sequence of sets and
(2.197) χ
B
n
→ χ
B
, B =
¸
n
A
n
is an increasing sequence which converges pointwise (at each point it jumps to 1
somewhere and then stays or else stays at 0.) Now, if we multiply by χ
[−N,N]
then
(2.198) f
n
= χ
[−N,N]
χ
B
n
→ χ
B∩[−N,N]
is an increasing sequence of integrable functions – assuming that is that the A
k
’s are
measurable – with integral bounded above, by 2N. Thus by the monotonicity lemma
the limit is integrable so χ
B
is locally integrable and hence
¸
n
A
n
is measurable.
For countable intersections the argument is similar, with the sequence of char
acteristic functions decreasing.
Corollary 5. The (Lebesgue) measurable subsets of R form a collection, ´,
of the power set of R, including ∅ and R which is closed under complements, count
able unions and countable intersections.
Such a collection of subsets of a set X is called a ‘σalgebra’ – so a σalgebra
Σ in a set X is a collection of subsets of X containing X, ∅, the complement of
18. MEASURES ON THE LINE 75
any element and countable unions and intersections of any element. A (positive)
measure is usually deﬁned as a map µ : Σ −→ [0, ∞] with µ(∅) = 0 and such that
(2.199) µ(
¸
n
E
n
) =
¸
n
µ(E
n
)
for any sequence ¦E
m
¦ of sets in Σ which are disjoint (in pairs).
As for Lebesgue measure a set A ∈ Σ is ‘measurable’ and if µ(A) is not of ﬁnite
measure it is said to have inﬁnite measure – for instance R is of inﬁnite measure
in this sense. Since the measure of a set is always nonnegative (or undeﬁned if it
isn’t measurable) this does not cause any problems and in fact Lebesgue measure
is countably additive provided as in (2.199) provided we allow ∞ as a value of the
measure. It is a good exercise to prove this!
18. Measures on the line
Going back to starting point for Lebesgue measure and the Lebesgue integral,
the discussion can be generalized, even in the onedimensional case, by replacing
the measure of an interval by a more general function. As for the Stieltjes integral
this can be given by an increasing (meaning of course nondecreasing) function
m : R −→ R. For the discussion in this chapter to go through with only minor
changes we need to require that
(2.200)
m : R −→R is nondecreasing and continuous from below
limx ↑ ym(x) = m(y) ∀ y ∈ R.
Then we can deﬁne
(2.201) µ([a, b)) = m(b) −m(a).
For open and closed intervals we will expect that
(2.202) µ((a, b)) = lim
x↓a
m(x) −m(b), µ([a, b]) = m(a) −lim
x↓b
m(x).
To pursue this, the ﬁrst thing to check is that the analogue of Proposition 10 holds
in this case – namely if [a, b) is decomposed into a ﬁnite number of such semiopen
intervals by choice of interior points then
(2.203) µ([a, b)) =
¸
i
µ([a
i
, b
i
)).
Of course this follows from (2.201). Similarly, µ([a, b)) ≥ µ([A, B)) if A ≤ a and
b ≤ B, i.e. if [a, b) ⊂ [A, B). From this it follows that the analogue of Lemma 12
also holds with µ in place of Lebesgue length.
Then we can deﬁne the µintegral,
fdµ, of a step function, we do not get
Proposition ?? since we might have intervals of µ length zero. Still,
[f[dµ is
a seminorm. The deﬁnition of a µLebesgueintegrable function (just called µ
integrable usually), in terms of absolutely summable series with respect to this
seminorm, can be carried over as in Deﬁnition 7.
So far we have not used the continuity condition in (2.202), but now consider
the covering result Proposition 12. The ﬁrst part has the same proof. For the
second part, the proof proceeds by making the intervals a little longer at the closed
end – to make them open. The continuity condition (2.202) ensures that this can be
done in such a way as to make the diﬀerence µ(b
i
) −m(a
i
−
i
) < µ([a
i
, b
i
)) +δ2
−i
76 2. THE LEBESGUE INTEGRAL
for any δ > 0 by choosing
i
> 0 small enough. This covers [a, b −] for > 0 and
this allows the ﬁnite cover result to be applied to see that
(2.204) µ(b −) −µ(a) ≤
¸
i
µ([a
i
, b
i
)) + 2δ
for any δ > 0 and > 0. Then taking the limits as ↓ 0 and δ ↓ 0 gives the ‘outer’
intequality. So Proposition 12 carries over.
From this point the discussion of the µ integral proceeds in the same way with
a few minor exceptions – Corollary 3 doesn’t work again because there may be
intervals of length zero. Otherwise things proceed pretty smoothly right through.
The construction of Lebesgue measure, as in ' 17, leasds to a σalgebra Σ
µ
, of
subsets of R which contains all the intervals, whether open, closed or mixed and all
the compact sets. You can check that the resulting countably additive measure is
a ‘Radon measure’ in that
(2.205)
µ(B) = inf¦
¸
i
µ((a
i
b
i
)); B ⊂
¸
i
(a
i
, b
i
)¦, ∀ B ∈ Σ
µ
,
µ((a, b)) = sup¦µ(K); K ⊂ (a, b), K compact¦.
Conversely, every such positive Radon measure arises this way. Continuous func
tions are locally µintegrable and if µ(R) < ∞ (which corresponds to a choice of m
which is bounded) then
fdµ < ∞ for every bounded continuous function which
vanishes at inﬁnity.
Theorem 11. [Riesz’ other representation theorem] For any f ∈ (C
0
(R)) there
are four uniquely determined (positive) Radon measures, µ
i
, i = 1, . . . , 4 such that
µ
i
(R) < ∞ and
(2.206) f(u) =
fdµ
1
−
fdµ
2
+i
fdµ
3
−i
fdµ
4
.
How hard is this to prove? Well, a proof is outlined in the problems.
19. Higher dimensions (2011)
I do not actually plan to cover this in lectures, but put it in here in case someone
is interested (which you should be) or if I have time at the end of the course to
cover a problem in two or more dimensions (I have the Dirichlet problem in mind).
So, we want – with the advantage of a little more experience – to go back to
the beginning and deﬁne /
1
(R
n
), L
1
(R
n
), /
2
(R
n
) and L
2
(R
n
). In fact relatively
little changes but there are some things that one needs to check a little carefully.
The ﬁrst hurdle is that I am not assuming that you have covered the Riemann
integral in higher dimensions. Fortunately we do not reall need that since we can
just iterated the onedimensional Riemann integral for continuous functions. So,
deﬁne
(2.207) (
c
(R
n
) = ¦u : R
n
−→C; continuous and such that u(x) = 0 for [x[ > R¦
where of course the R can depend on the element. Now, if we hold say the last
n−1 variables ﬁxed, we get a continuous function of 1 variable which vanishes when
[x[ > R :
(2.208) u(, x
2
, . . . , x
n
) ∈ (
c
(R) for each (x
2
, . . . , x
n
) ∈ R
n−1
.
19. HIGHER DIMENSIONS (2011) 77
So we can integrate it and get a function
(2.209) I
1
(x
2
, . . . , x
n
) =
R
u(x, x
1
, . . . , x
n
), I
1
: R
n−1
−→C.
Lemma 19. For each u ∈ (
c
(R
n
), I
1
∈ (
c
(R
n−1
).
Proof. Certainly if [(x
2
, . . . , x
n
)[ > R then u(, x
2
, . . . , x
n
) ≡ 0 as a function of
the ﬁrst variable and hence I
1
= 0 in [(x
2
, . . . , x
n
)[ > R. The continuity follows from
the uniform continuity of a function on the compact set [x[ ≤ R, [(x
2
, . . . , x
n
) ≤ R
of R
n
. Thus given > 0 there exists δ > 0 such that
(2.210) [x −x
[ < δ, [y −y
[
R
n−1 < δ =⇒ [u(x, y) −u(x
, y
)[ < .
From the standard estimate for the Riemann integral,
(2.211) [I
1
(y) −I
1
(y
)[ ≤
R
−R
[u(x, y) −u(x, y
)[dx ≤ 2R
if [y −y
[ < δ. This implies the (uniform) continuity of I
1
. Thus I
1
∈ (
c
(R
n−2
)
The upshot of this lemma is that we can integrate again, and hence a total of
n times and so deﬁne the (iterated) Riemann integral as
(2.212)
R
n
u(z)dz =
R
−R
R
−R
. . .
R
−R
u(x
1
, x
2
, x
3
, . . . , x
n
)dx
1
dx
2
. . . dx
n
∈ C.
Lemma 20. The interated Riemann integral is a welldeﬁned linear map
(2.213) (
c
(R
n
) −→C
which satisﬁes
(2.214) [
u[ ≤
[u[ ≤ (2R)
n
sup [u[ if u ∈ (
c
(R
n
) and u(z) = 0 in [z[ > R.
Proof. This follows from the standard estimate in one dimension.
Now, one annoying thing is to check that the integral is independent of the
order of integration (although be careful with the signs here!) Fortunately we can
do this later and not have to worry.
Lemma 21. The iterated integral
(2.215) u
L
1 =
R
n
[u[
is a norm on (
c
(R
n
).
Proof. Straightforward.
Definition 13. The space /
1
(R
n
) (resp. /
2
(R
n
)) is deﬁned to consist of those
functions f : R
n
−→ C such that there exists a sequence ¦f
n
¦ which is absolutely
summable with respect to the L
1
norm (resp. the L
2
norm) such that
(2.216)
¸
n
[f
n
(x)[ < ∞ =⇒
¸
n
f
n
(x) = f(x).
78 2. THE LEBESGUE INTEGRAL
Proposition 25. If f ∈ /
1
(R
n
) then [f[ ∈ /
1
(R
n
), Re f ∈ /
1
(R
n
) and the
space /
1
(R
n
) is lienar. Moreover if ¦f
j
¦ is an absolutely summable sequence in
(
c
(R
n
) with respect to L
1
such that
(2.217)
¸
n
[f
n
(x)[ < ∞ =⇒
¸
n
f
n
(x) = 0
then
f
n
→ 0 and in consequence the limit
(2.218)
R
n
f =
¸
n→∞
f
n
is welldeﬁned on /
1
(R
n
).
Proof. Remarkably enough, nothing new is involved here. For the ﬁrst part
this is pretty clear, but also holds for the second part. There is a lot to work
through, but it is all pretty much as in the onedimensional case.
20. Problems
Missing
Problem 2.1. Let’s consider an example of an absolutely summable sequence
of step functions. For the interval [0, 1) (remember there is a strong preference
for leftclosed but rightopen intervals for the moment) consider a variant of the
construction of the standard Cantor subset based on 3 proceeding in steps. Thus,
remove the ‘central interval [1/3, 2/3). This leave C
1
= [0, 1/3) ∪ [2/3, 1). Then
remove the central interval from each of the remaining two intervals to get C
2
=
[0, 1/9) ∪ [2/9, 1/3) ∪ [2/3, 7/9) ∪ [8/9, 1). Carry on in this way to deﬁne successive
sets C
k
⊂ C
k−1
, each consisting of a ﬁnite union of semiopen intervals. Now,
consider the series of step functions f
k
where f
k
(x) = 1 on C
k
and 0 otherwise.
(1) Check that this is an absolutely summable series.
(2) For which x ∈ [0, 1) does
¸
k
[f
k
(x)[ converge?
(3) Describe a function on [0, 1) which is shown to be Lebesgue integrable
(as deﬁned in Lecture 4) by the existence of this series and compute its
Lebesgue integral.
(4) Is this function Riemann integrable (this is easy, not hard, if you check
the deﬁnition of Riemann integrability)?
(5) Finally consider the function g which is equal to one on the union of all
the intervals which are removed in the construction and zero elsewhere.
Show that g is Lebesgue integrable and compute its integral.
Problem 2.2. The covering lemma for R
2
. By a rectangle we will mean a set
of the form [a
1
, b
1
) [a
2
, b
2
) in R
2
. The area of a rectangle is (b
1
−a
1
) (b
2
−a
2
).
(1) We may subdivide a rectangle by subdividing either of the intervals –
replacing [a
1
, b
1
) by [a
1
, c
1
) ∪ [c
1
, b
1
). Show that the sum of the areas of
rectangles made by any repeated subdivision is always the same as that
of the original.
(2) Suppose that a ﬁnite collection of disjoint rectangles has union a rectangle
(always in this same halfopen sense). Show, and I really mean prove, that
the sum of the areas is the area of the whole rectange. Hint: proceed by
subdivision.
20. PROBLEMS 79
(3) Now show that for any countable collection of disjoint rectangles contained
in a given rectange the sum of the areas is less than or equal to that of
the containing rectangle.
(4) Show that if a ﬁnite collection of rectangles has union containing a given
rectange then the sum of the areas of the rectangles is at least as large of
that of the rectangle contained in the union.
(5) Prove the extension of the preceeding result to a countable collection of
rectangles with union containing a given rectangle.
Problem 2.3. (1) Show that any continuous function on [0, 1] is the uni
form limit on [0, 1) of a sequence of step functions. Hint: Reduce to the
real case, divide the interval into 2
n
equal pieces and deﬁne the step func
tions to take inﬁmim of the continuous function on the corresponding
interval. Then use uniform convergence.
(2) By using the ‘telescoping trick’ show that any continuous function on [0, 1)
can be written as the sum
(2.219)
¸
i
f
j
(x) ∀ x ∈ [0, 1)
where the f
j
are step functions and
¸
j
[f
j
(x)[ < ∞ for all x ∈ [0, 1).
(3) Conclude that any continuous function on [0, 1], extended to be 0 outside
this interval, is a Lebesgue integrable function on R and show that the
Lebesgue integral is equal to the Riemann integral.
Problem 2.4. If f and g ∈ /
1
(R) are Lebesgue integrable functions on the
line show that
(1) If f(x) ≥ 0 a.e. then
f ≥ 0.
(2) If f(x) ≤ g(x) a.e. then
f ≤
g.
(3) If f is complex valued then its real part, Re f, is Lebesgue integrable and
[
Re f[ ≤
[f[.
(4) For a general complexvalued Lebesgue integrable function
(2.220) [
f[ ≤
[f[.
Hint: You can look up a proof of this easily enough, but the usual trick
is to choose θ ∈ [0, 2π) so that e
iθ
f =
(e
iθ
f) ≥ 0. Then apply the
preceeding estimate to g = e
iθ
f.
(5) Show that the integral is a continuous linear functional
(2.221)
: L
1
(R) −→C.
Problem 2.5. If I ⊂ R is an interval, including possibly (−∞, a) or (a, ∞),
we deﬁne Lebesgue integrability of a function f : I −→ C to mean the Lebesgue
integrability of
(2.222)
˜
f : R −→C,
˜
f(x) =
f(x) x ∈ I
0 x ∈ R ` I.
The integral of f on I is then deﬁned to be
(2.223)
I
f =
˜
f.
80 2. THE LEBESGUE INTEGRAL
(1) Show that the space of such integrable functions on I is linear, denote it
/
1
(I).
(2) Show that is f is integrable on I then so is [f[.
(3) Show that if f is integrable on I and
I
[f[ = 0 then f = 0 a.e. in the
sense that f(x) = 0 for all x ∈ I ` E where E ⊂ I is of measure zero as a
subset of R.
(4) Show that the set of null functions as in the preceeding question is a linear
space, denote it A(I).
(5) Show that
I
[f[ deﬁnes a norm on L
1
(I) = /
1
(I)/A(I).
(6) Show that if f ∈ /
1
(R) then
(2.224) g : I −→C, g(x) =
f(x) x ∈ I
0 x ∈ R ` I
is integrable on I.
(7) Show that the preceeding construction gives a surjective and continuous
linear map ‘restriction to I’
(2.225) L
1
(R) −→ L
1
(I).
(Notice that these are the quotient spaces of integrable functions modulo
equality a.e.)
Problem 2.6. Really continuing the previous one.
(1) Show that if I = [a, b) and f ∈ L
1
(I) then the restriction of f to I
x
= [x, b)
is an element of L
1
(I
x
) for all a ≤ x < b.
(2) Show that the function
(2.226) F(x) =
I
x
f : [a, b) −→C
is continuous.
(3) Prove that the function x
−1
cos(1/x) is not Lebesgue integrable on the
interval (0, 1]. Hint: Think about it a bit and use what you have shown
above.
Problem 2.7. [Harder but still doable] Suppose f ∈ /
1
(R).
(1) Show that for each t ∈ R the translates
(2.227) f
t
(x) = f(x −t) : R −→C
are elements of /
1
(R).
(2) Show that
(2.228) lim
t→0
[f
t
−f[ = 0.
This is called ‘Continuity in the mean for integrable functions’. Hint: I
will add one!
(3) Conclude that for each f ∈ /
1
(R) the map (it is a ‘curve’)
(2.229) R ÷ t −→ [f
t
] ∈ L
1
(R)
is continuous.
20. PROBLEMS 81
Problem 2.8. In the last problem set you showed that a continuous function
on a compact interval, extended to be zero outside, is Lebesgue integrable. Using
this, and the fact that step functions are dense in L
1
(R) show that the linear space
of continuous functions on R each of which vanishes outside a compact set (which
depends on the function) form a dense subset of L
1
(R).
Problem 2.9. (1) If g : R −→ C is bounded and continuous and f ∈
/
1
(R) show that gf ∈ /
1
(R) and that
(2.230)
[gf[ ≤ sup
R
[g[
[f[.
(2) Suppose now that G ∈ (([0, 1][0, 1]) is a continuous function (I use ((K)
to denote the continuous functions on a compact metric space). Recall
from the preceeding discussion that we have deﬁned L
1
([0, 1]). Now, using
the ﬁrst part show that if f ∈ L
1
([0, 1]) then
(2.231) F(x) =
[0,1]
G(x, )f() ∈ C
(where is the variable in which the integral is taken) is welldeﬁned for
each x ∈ [0, 1].
(3) Show that for each f ∈ L
1
([0, 1]), F is a continuous function on [0, 1].
(4) Show that
(2.232) L
1
([0, 1]) ÷ f −→ F ∈ (([0, 1])
is a bounded (i.e. continuous) linear map into the Banach space of con
tinuous functions, with supremum norm, on [0, 1].
Problem 2.10. Let f : R −→C be an element of /
1
(R). Deﬁne
(2.233) f
L
(x) =
f(x) x ∈ [−L, L]
0 otherwise.
Show that f
L
∈ /
1
(R) and that
[f
L
−f[ → 0 as L → ∞.
Problem 2.11. Consider a realvalued function f : R −→ R which is locally
integrable in the sense that
(2.234) g
L
(x) =
f(x) x ∈ [−L, L]
0 x ∈ R ` [−L, L]
is Lebesgue integrable of each L ∈ N.
(1) Show that for each ﬁxed L the function
(2.235) g
(N)
L
(x) =
g
L
(x) if g
L
(x) ∈ [−N, N]
N if g
L
(x) > N
−N if g
L
(x) < −N
is Lebesgue integrable.
(2) Show that
[g
(N)
L
−g
L
[ → 0 as N → ∞.
(3) Show that there is a sequence, h
n
, of step functions such that
(2.236) h
n
(x) → f(x) a.e. in R.
82 2. THE LEBESGUE INTEGRAL
(4) Deﬁning
(2.237) h
(N)
n,L
=
0 x ∈ [−L, L]
h
n
(x) if h
n
(x) ∈ [−N, N], x ∈ [−L, L]
N if h
n
(x) > N, x ∈ [−L, L]
−N if h
n
(x) < −N, x ∈ [−L, L]
.
Show that
[h
(N)
n,L
−g
(N)
L
[ → 0 as n → ∞.
Problem 2.12. Show that /
2
(R) is a Hilbert space.
First working with real functions, deﬁne /
2
(R) as the set of functions f : R −→
R which are locally integrable and such that [f[
2
is integrable.
(1) For such f choose h
n
and deﬁne g
L
, g
(N)
L
and h
(N)
n
by (2.234), (2.235) and
(2.237).
(2) Show using the sequence h
(N)
n,L
for ﬁxed N and L that g
(N)
L
and (g
(N)
L
)
2
are in /
1
(R) and that
[(h
(N)
n,L
)
2
−(g
(N)
L
)
2
[ → 0 as n → ∞.
(3) Show that (g
L
)
2
∈ /
1
(R) and that
[(g
(N)
L
)
2
−(g
L
)
2
[ → 0 as N → ∞.
(4) Show that
[(g
L
)
2
−f
2
[ → 0 as L → ∞.
(5) Show that f, g ∈ /
2
(R) then fg ∈ /
1
(R) and that
(2.238) [
fg[ ≤
[fg[ ≤ f
L
2g
L
2, f
2
L
2 =
[f[
2
.
(6) Use these constructions to show that /
2
(R) is a linear space.
(7) Conclude that the quotient space L
2
(R) = /
2
(R)/A, where A is the space
of null functions, is a real Hilbert space.
(8) Extend the arguments to the case of complexvalued functions.
Problem 2.13. Consider the sequence space
(2.239) h
2,1
=
c : N ÷ j −→ c
j
∈ C;
¸
j
(1 +j
2
)[c
j
[
2
< ∞
.
(1) Show that
(2.240) h
2,1
h
2,1
÷ (c, d) −→ 'c, d` =
¸
j
(1 +j
2
)c
j
d
j
is an Hermitian inner form which turns h
2,1
into a Hilbert space.
(2) Denoting the norm on this space by  
2,1
and the norm on l
2
by  
2
,
show that
(2.241) h
2,1
⊂ l
2
, c
2
≤ c
2,1
∀ c ∈ h
2,1
.
Problem 2.14. In the separable case, prove Riesz Representation Theorem
directly.
Choose an orthonormal basis ¦e
i
¦ of the separable Hilbert space H. Suppose
T : H −→C is a bounded linear functional. Deﬁne a sequence
(2.242) w
i
= T(e
i
), i ∈ N.
21. SOLUTIONS TO PROBLEMS 83
(1) Now, recall that [Tu[ ≤ Cu
H
for some constant C. Show that for every
ﬁnite N,
(2.243)
N
¸
j=1
[w
i
[
2
≤ C
2
.
(2) Conclude that ¦w
i
¦ ∈ l
2
and that
(2.244) w =
¸
i
w
i
e
i
∈ H.
(3) Show that
(2.245) T(u) = 'u, w`
H
∀ u ∈ H and T = w
H
.
Problem 2.15. If f ∈ L
1
(R
k
R
p
) show that there exists a set of measure
zero E ⊂ R
k
such that
(2.246) x ∈ R
k
` E =⇒ g
x
(y) = f(x, y) deﬁnes g
x
∈ L
1
(R
p
),
that F(x) =
g
x
deﬁnes an element F ∈ L
1
(R
k
) and that
(2.247)
R
k
F =
R
k
×R
p
f.
Note: These identities are usually written out as an equality of an iterated
integral and a ‘regular’ integral:
(2.248)
R
k
R
p
f(x, y) =
f.
It is often used to ‘exchange the order of integration’ since the hypotheses are
the same if we exchange the variables.
21. Solutions to problems
Problem 2.16. Suppose that f ∈ /
1
(0, 2π) is such that the constants
c
k
=
(0,2π)
f(x)e
−ikx
, k ∈ Z,
satisfy
¸
k∈Z
[c
k
[
2
< ∞.
Show that f ∈ /
2
(0, 2π).
Solution. So, this was a good bit harder than I meant it to be – but still in
principle solvable (even though no one quite got to the end).
First, (for half marks in fact!) we know that the c
k
exists, since f ∈ /
1
(0, 2π)
and e
−ikx
is continuous so fe
−ikx
∈ /
1
(0, 2π) and then the condition
¸
k
[c
k
[
2
< ∞
implies that the Fourier series does converge in L
2
(0, 2π) so there is a function
(2.249) g =
1
2π
¸
k∈C
c
k
e
ikx
.
Now, what we want to show is that f = g a .e . since then f ∈ /
2
(0, 2π).
84 2. THE LEBESGUE INTEGRAL
Set h = f − g ∈ /
1
(0, 2π) since /
2
(0, 2π) ⊂ /
1
(0, 2π). It follows from (2.249)
that f and g have the same Fourier coeﬃcients, and hence that
(2.250)
(0,2π)
h(x)e
ikx
= 0 ∀ k ∈ Z.
So, we need to show that this implies that h = 0 a .e . Now, we can recall from
class that we showed (in the proof of the completeness of the Fourier basis of L
2
)
that these exponentials are dense, in the supremum norm, in continuous functions
which vanish near the ends of the interval. Thus, by continuity of the integral we
know that
(2.251)
(0,2π)
hg = 0
for all such continuous functions g. We also showed at some point that we can
ﬁnd such a sequence of continuous functions g
n
to approximate the characteristic
function of any interval χ
I
. It is not true that g
n
→ χ
I
uniformly, but for any
integrable function h, hg
n
→ hχ
I
in /
1
. So, the upshot of this is that we know a
bit more than (2.251), namely we know that
(2.252)
(0,2π)
hg = 0 ∀ step functions g.
So, now the trick is to show that (2.252) implies that h = 0 almost everywhere.
Well, this would follow if we know that
(0,2π)
[h[ = 0, so let’s aim for that. Here
is the trick. Since g ∈ /
1
we know that there is a sequence (the partial sums of
an absolutely convergent series) of step functions h
n
such that h
n
→ g both in
L
1
(0, 2π) and almost everywhere and also [h
n
[ → [h[ in both these senses. Now,
consider the functions
(2.253) s
n
(x) =
0 if h
n
(x) = 0
h
n
(x)
h
n
(x)
otherwise.
Clearly s
n
is a sequence of step functions, bounded (in absolute value by 1 in fact)
and such that s
n
h
n
= [h
n
[. Now, write out the wonderful identity
(2.254) [h(x)[ = [h(x)[ −[h
n
(x)[ +s
n
(x)(h
n
(x) −h(x)) +s
n
(x)h(x).
Integrate this identity and then apply the triangle inequality to conclude that
(2.255)
(0,2π)
[h[ =
(0,2π)
([h(x)[ −[h
n
(x)[ +
(0,2π)
s
n
(x)(h
n
−h)
≤
(0,2π)
([[h(x)[ −[h
n
(x)[[ +
(0,2π)
[h
n
−h[ → 0 as n → ∞.
Here on the ﬁrst line we have used (2.252) to see that the third term on the right
in (2.254) integrates to zero. Then the fact that [s
n
[ ≤ 1 and the convergence
properties.
Thus in fact h = 0 a .e . so indeed f = g and f ∈ /
2
(0, 2π). Piece of cake,
right! Mia culpa.
CHAPTER 3
Hilbert spaces
There are really three ‘types’ of Hilbert spaces (over C). The ﬁnite dimensional
ones, essentially just C
n
, with which you are pretty familiar and two inﬁnite dimen
sional cases corresponding to being separable (having a countable dense subset) or
not. As we shall see, there is really only one separable inﬁnitedimensional Hilbert
space and that is what we are mostly interested in. Nevertheless some proofs (usu
ally the nicest ones) work in the nonseparable case too.
I will ﬁrst discuss the deﬁnition of preHilbert and Hilbert spaces and prove
Cauchy’s inequality and the parallelogram law. This can be found in all the lecture
notes listed earlier and many other places so the discussion here will be kept suc
cinct. Another nice source is the book of G.F. Simmons, “Introduction to topology
and modern analysis”. I like it – but I think it is out of print.
1. preHilbert spaces
A preHilbert space, H, is a vector space (usually over the complex numbers
but there is a real version as well) with a Hermitian inner product
(3.1)
(, ) : H H −→C,
(λ
1
v
1
+λ
2
v
2
, w) = λ
1
(v
1
, w) +λ
2
(v
2
, w),
(w, v) = (v, w)
for any v
1
, v
2
, v and w ∈ H and λ
1
, λ
2
∈ C which is positivedeﬁnite
(3.2) (v, v) ≥ 0, (v, v) = 0 =⇒ v = 0.
Note that the reality of (v, v) follows from the second condition in (3.1), the posi
tivity is an additional assumption as is the positivedeﬁniteness.
The combination of the two conditions in (3.1) implies ‘antilinearity’ in the
second variable
(3.3) (v, λ
1
w
1
+λ
2
w
2
) = λ
1
(v, w
1
) +λ
2
(v, w
2
)
which is used without comment below.
The notion of ‘deﬁniteness’ for such an Hermitian inner product exists without
the need for positivity – it just means
(3.4) (u, v) = 0 ∀ v ∈ H =⇒ u = 0.
Lemma 22. If H is a preHilbert space with Hermitian inner product (, ) then
(3.5) u = (u, u)
1
2
is a norm on H.
85
86 3. HILBERT SPACES
Proof. The ﬁrst condition on a norm follows from (3.2). Absolute homogene
ity follows from (3.1) since
(3.6) λu
2
= (λu, λu) = [λ[
2
u
2
.
So, it is only the triangle inequality we need. This follows from the next lemma,
which is the CauchySchwarz inequality in this setting – (3.8). Indeed, using the
‘sesquilinearity’ to expand out the norm
(3.7) u +v
2
= (u +v, u +v)
= u
2
+ (u, v) + (v, u) +v
2
≤ u
2
+ 2uv +v
2
= (u +v)
2
.
Lemma 23. The CauchySchwartz inequality,
(3.8) [(u, v)[ ≤ uv ∀ u, v ∈ H
holds in any preHilbert space.
Proof. For any nonzero u, v ∈ H and s ∈ R positivity of the norm shows
that
(3.9) 0 ≤ u +sv
2
= u
2
+ 2s Re(u, v) +s
2
v
2
.
This quadratic polynomial is nonzero for s large so can have only a single minimum
at which point the derivative vanishes, i.e. it is where
(3.10) 2sv
2
+ 2 Re(u, v) = 0.
Substituting this into (3.9) gives
(3.11) u
2
−(Re(u, v))
2
/v
2
≥ 0 =⇒ [ Re(u, v)[ ≤ uv
which is what we want except that it is only the real part. However, we know that,
for some z ∈ C with [z[ = 1, Re(zu, v) = Re z(u, v) = [(u, v)[ and applying (3.11)
with u replaced by zu gives (3.8).
2. Hilbert spaces
Definition 14. A Hilbert space H is a preHilbert space which is complete
with respect to the norm induced by the inner product.
As examples we know that C
n
with the usual inner product
(3.12) (z, z
) =
n
¸
j=1
z
j
z
j
is a Hilbert space – since any ﬁnite dimensional normed space is complete. The
example we had from the beginning of the course is l
2
with the extension of (3.12)
(3.13) (a, b) =
∞
¸
j=1
a
j
b
j
, a, b ∈ l
2
.
Completeness was shown earlier.
The whole outing into Lebesgue integration was so that we could have the
‘standard example’ at our disposal, namely
(3.14) L
2
(R) = ¦u ∈ /
1
loc
(R); [u[
2
∈ /
1
(R)¦/A
4. GRAMSCHMIDT PROCEDURE 87
where A is the space of null functions. and the inner product is
(3.15) (u, v) =
uv.
3. Orthonormal sets
Two elements of a preHilbert space H are said to be orthogonal if
(3.16) (u, v) = 0 ⇐⇒ u ⊥ v.
A sequence of elements e
i
∈ H, (ﬁnite or inﬁnite) is said to be orthonormal if
e
i
 = 1 for all i and (e
i
, e
j
) = 0 for all i = j.
Proposition 26 (Bessel’s inequality). If e
i
, is an orthonormal sequence in a
preHilbert space H, then
(3.17)
¸
i
[(u, e
i
)[
2
≤ u
2
∀ u ∈ H.
Proof. Start with the ﬁnite case, i = 1, . . . , N. Then, for any u ∈ H set
(3.18) v =
N
¸
i=1
(u, e
i
)e
i
.
This is supposed to be ‘the projection of u onto the span of the e
i
’. Anyway,
computing away we see that
(3.19) (v, e
j
) =
N
¸
i=1
(u, e
i
)(e
i
, e
j
) = (u, e
j
)
using orthonormality. Thus, u −v ⊥ e
j
for all j so u −v ⊥ v and hence
(3.20) 0 = (u −v, v) = (u, v) −v
2
.
Thus v
2
= [(u, v)[ and applying the CauchySchwarz inequality we conclude that
v
2
≤ vu so either v = 0 or v ≤ u. Expanding out the norm (and
observing that all crossterms vanish)
v
2
=
N
¸
i=1
[(u, e
i
)[
2
≤ u
2
which is (3.17).
In case the sequence is inﬁnite this argument applies to any ﬁnite subsequence,
since it just uses orthonormality, so (3.17) follows by taking the supremum over
N.
4. GramSchmidt procedure
Definition 15. An orthonormal sequence, ¦e
i
¦, (ﬁnite or inﬁnite) in a pre
Hilbert space is said to be maximal if
(3.21) u ∈ H, (u, e
i
) = 0 ∀ i =⇒ u = 0.
Theorem 12. Every separable preHilbert space contains a maximal orthonor
mal set.
88 3. HILBERT SPACES
Proof. Take a countable dense subset – which can be arranged as a sequence
¦v
j
¦ and the existence of which is the deﬁnition of separability – and orthonormalize
it. Thus if v
1
= 0 set e
i
= v
1
/v
1
. Proceeding by induction we can suppose to
have found for a given integer n elements e
i
, i = 1, . . . , m, where m ≤ n, which are
orthonormal and such that the linear span
(3.22) sp(e
1
, . . . , e
m
) = sp(v
1
, . . . , v
n
).
To show the inductive step observe that if v
n+1
is in the span(s) in (3.22) then the
same e
i
’a work for n +1. So we may as well assume that the next element, v
n+1
is
not in the span in (3.22). It follows that
(3.23) w = v
n+1
−
n
¸
j=1
(v
n+1
, e
j
)e
j
= 0 so e
m+1
=
w
w
makes sense. By construction it is orthogonal to all the ealier e
i
’s so adding e
m+1
gives the equality of the spans for n + 1.
Thus we may continue indeﬁnitely, since in fact the only way the dense set
could be ﬁnite is if we were dealing with the space with one element, 0, in the ﬁrst
place. There are only two possibilities, either we get a ﬁnite set of e
i
’s or an inﬁnite
sequence. In either case this must be a complete orthonormal sequence. That is,
we claim
(3.24) H ÷ u ⊥ e
j
∀ j =⇒ u = 0.
This uses the density of the v
n
’s. There must exist a sequence w
j
where each w
j
is a v
n
, such that w
j
→ u in H, assumed to satisfy (3.24). Now, each each v
n
, and
hence each w
j
, is a ﬁnite linear combination of e
k
’s so, by Bessel’s inequality
(3.25) w
j

2
=
¸
k
[(w
j
, e
k
)[
2
=
¸
k
[(u −w
j
, e
k
)[
2
≤ u −w
j

2
where (u, e
j
) = 0 for all j has been used. Thus w
j
 → 0 and u = 0.
Now, although a noncomplete but separable Hilbert space has a maximal or
thonormal sets, these are not much use without completeness.
5. Complete orthonormal bases
Definition 16. A maximal orthonormal sequence in a separable Hilbert space
is called a complete orthonormal basis.
This notion of basis is not quite the same as in the ﬁnite dimensional case
(although it is a legitimate extension of it).
Theorem 13. If ¦e
i
¦ is a complete orthonormal basis in a Hilbert space then
for any element u ∈ H the ‘FourierBessel series’ converges to u :
(3.26) u =
∞
¸
i=1
(u, e
i
)e
i
.
Proof. The sequence of partial sums of the FourierBessel series
(3.27) u
N
=
N
¸
i=1
(u, e
i
)e
i
7. PARALLELOGRAM LAW 89
is Cauchy. Indeed, if m < m
then
(3.28) u
m
−u
m

2
=
m
¸
i=m+1
[(u, e
i
)[
2
≤
¸
i>m
[(u, e
i
)[
2
which is small for large m by Bessel’s inequality. Since we are now assuming
completeness, u
m
→ w in H. However, (u
m
, e
i
) = (u, e
i
) as soon as m > i and
[(w −u
n
, e
i
)[ ≤ w −u
n
 so in fact
(3.29) (w, e
i
) = lim
m→∞
(u
m
, e
i
) = (u, e
i
)
for each i. Thus in fact u − w is orthogonal to all the e
i
so by the assumed com
pleteness of H must vanish. Thus indeed (3.26) holds.
6. Isomorphism to l
2
A ﬁnite dimensional Hilbert space is isomorphic to C
n
with its standard inner
product. Similarly from the result above
Proposition 27. Any inﬁnitedimensional separable Hilbert space (over the
complex numbers) is isomorphic to l
2
, that is there exists a linear map
(3.30) T : H −→ L
2
which is 11, onto and satisﬁes (Tu, Tv)
l
2 = (u, v)
H
and Tu
l
2 = u
H
for all u,
v ∈ H.
Proof. Choose an orthonormal basis – which exists by the discussion above
and set
(3.31) Tu = ¦(u, e
j
)¦
∞
j=1
.
This maps H into l
2
by Bessel’s inequality. Moreover, it is linear since the entries
in the sequence are linear in u. It is 11 since Tu = 0 implies (u, e
j
) = 0 for all j
implies u = 0 by the assumed completeness of the orthonormal basis. It is surjective
since if ¦c
j
¦
∞
j=1
then
(3.32) u =
∞
¸
j=1
c
j
e
j
converges in H. This is the same argument as above – the sequence of partial sums is
Cauchy by Bessel’s inequality. Again by continuity of the inner product, Tu = ¦c
j
¦
so T is surjective.
The equality of the norms follows from equality of the inner products and the
latter follows by computation for ﬁnite linear combinations of the e
j
and then in
general by continuity.
7. Parallelogram law
What exactly is the diﬀerence between a general Banach space and a Hilbert
space? It is of course the existence of the inner product deﬁning the norm. In fact
it is possible to formulate this condition intrinsically in terms of the norm itself.
Proposition 28. In any preHilbert space the parallelogram law holds –
(3.33) v +w
2
+v −w
2
= 2v
2
+ 2w
2
, ∀ v, w ∈ H.
90 3. HILBERT SPACES
Proof. Just expand out using the inner product
(3.34) v +w
2
= v
2
+ (v, w) + (w, v) +w
2
and the same for v −w
2
and see the cancellation.
Proposition 29. Any normed space where the norm satisﬁes the parallelogram
law, (3.33), is a preHilbert space in the sense that
(3.35) (v, w) =
1
4
v +w
2
−v −w
2
+iv +iw
2
−iv −iw
2
is a positivedeﬁnite Hermitian inner product which reproduces the norm.
Proof. A problem below.
So, when we use the parallelogram law and completeness we are using the
essence of the Hilbert space.
8. Convex sets and length minimizer
The following result does not need the hypothesis of separability of the Hilbert
space and allows us to prove the subsequent results – especially Riesz’ theorem –
in full generality.
Proposition 30. If C ⊂ H is a subset of a Hilbert space which is
(1) Nonempty
(2) Closed
(3) Convex, in the sense that v
1
, v
1
∈ C implies
1
2
(v
1
+v
2
) ∈ C
then there exists a unique element v ∈ C closest to the origin, i.e. such that
(3.36) v
H
= inf
u∈C
u
H
.
Proof. By deﬁnition of inf there must exist a sequence ¦v
n
¦ in C such that
v
n
 → d = inf
u∈C
u
H
. We show that v
n
converges and that the limit is the
point we want. The parallelogram law can be written
(3.37) v
n
−v
m

2
= 2v
n

2
+ 2v
m

2
−4(v
n
+v
m
)/2
2
.
Since v
n
 → d, given > 0 if N is large enough then n > N implies 2v
n

2
<
2d
2
+
2
/2. By convexity, (v
n
+ v
m
)/2 ∈ C so (v
n
+ v
m
)/2
2
≥ d
2
. Combining
these estimates gives
(3.38) n, m > N =⇒ v
n
−v
m

2
≤ 4d
2
+
2
−4d
2
=
2
so ¦v
n
¦ is Cauchy. Since H is complete, v
n
→ v ∈ C, since C is closed. Moreover,
the distance is continuous so v
H
= lim
n→∞
v
n
 = d.
Thus v exists and uniqueness follows again from the parallelogram law. If v
and v
are two points in C with v = v
 = d then (v +v
)/2 ∈ C so
(3.39) v −v

2
= 2v
2
+ 2v

2
−4(v +v
)/2
2
≤ 0 =⇒ v = v
.
9. ORTHOCOMPLEMENTS AND PROJECTIONS 91
9. Orthocomplements and projections
Proposition 31. If W ⊂ H is a linear subspace of a Hilbert space then
(3.40) W
⊥
= ¦u ∈ H; (u, w) = 0 ∀ w ∈ W¦
is a closed linear subspace and W ∩ W
⊥
= ¦0¦. If W is also closed then
(3.41) H = W ⊕W
⊥
meaning that any u ∈ H has a unique decomposition u = w + w
⊥
where w ∈ W
and w
⊥
∈ W
⊥
.
Proof. That W
⊥
deﬁned by (3.40) is a linear subspace follows from the lin
earity of the condition deﬁning it. If u ∈ W
⊥
and u ∈ W then u ⊥ u by the
deﬁnition so (u, u) = u
2
= 0 and u = 0. Since the map H ÷ u −→ (u, w) ∈ C is
continuous for each w ∈ H its null space, the inverse image of 0, is closed. Thus
(3.42) W
⊥
=
¸
w∈W
¦(u, w) = 0¦
is closed.
Now, suppose W is closed. If W = H then W
⊥
= ¦0¦ and there is nothing to
show. So consider u ∈ H, u / ∈ W. Consider
(3.43) C = u +W = ¦u
∈ H; u
= u +w, w ∈ W¦.
Then C is closed, since a sequence in it is of the form u
n
= u + w
n
where w
n
is a
sequence in W and u
n
converges if and only if w
n
converges. Also, C is nonempty,
since u ∈ C and it is convex since u
= u + w
and u
= u + w
in C implies
(u
+u
)/2 = u + (w
+w
)/2 ∈ C.
Thus the length minimization result above applies and there exists a unique
v ∈ C such that v = inf
u
∈C
u
. The claim is that this v is perpendicular to
W – draw a picture in two real dimensions! To see this consider an aritrary point
w ∈ W and λ ∈ C then v +λw ∈ C and
(3.44) v +λw
2
= v
2
+ 2 Re(λ(v, w)) +[λ[
2
w
2
.
Choose λ = te
iθ
where t is real and the phase is chosen so that e
iθ
(v, w) = [(v, w)[ ≥
0. Then the fact that v is minimal means that
(3.45)
v
2
+ 2t[(v, w))[ +t
2
w
2
≥ v
2
=⇒
t(2[(v, w)[ +tw
2
) ≥ 0 ∀ t ∈ R =⇒ [(v, w)[ = 0
which is what we wanted to show.
Thus indeed, given u ∈ H ` W we have constructed v ∈ W
⊥
such that u =
v + w, w ∈ W. This is (3.41) with the uniqueness of the decomposition already
shown since it reduces to 0 having only the decomposition 0 +0 and this in turn is
W ∩ W
⊥
= ¦0¦.
Since the construction in the preceding proof associates a unique element in W,
a closed linear subspace, to each u ∈ H, it deﬁnes a map
(3.46) Π
W
: H −→ W.
This map is linear, by the uniqueness since if u
i
= v
i
+w
i
, w
i
∈ W, (v
i
, w
i
) = 0 are
the decompositions of two elements then
(3.47) λ
1
u
1
+λ
2
u
2
= (λ
1
v
1
+λ
2
v
2
) + (λ
1
w
1
+λ
2
w
2
)
92 3. HILBERT SPACES
must be the corresponding decomposition. Moreover Π
W
w = w for any w ∈ W
and u
2
= v
2
+w
2
, Pythagorus’ Theorem, shows that
(3.48) Π
2
W
= Π
W
, Π
W
u ≤ u =⇒ Π
W
 ≤ 1.
Thus, projection onto W is an operator of norm 1 (unless W = ¦0¦) equal to its
own square. Such an operator is called a projection or sometimes an idempotent
(which sounds fancier).
Lemma 24. If ¦e
j
¦ is any ﬁnite or countable orthonormal set in a Hilbert space
then the orthogonal projection onto the closure of the span of these elements is
(3.49) Pu =
¸
(u, e
k
)e
k
.
Proof. We know that the series in (3.49) converges and deﬁnes a bounded
linear operator of norm at most one by Bessel’s inequality. Clearly P
2
= P by the
same argument. If W is the closure of the span then (u−Pu) ⊥ W since (u−Pu) ⊥
e
k
for each k and the inner product is continuous. Thus u = (u −Pu) +Pu is the
orthogonal decomposition with respect to W.
10. Riesz’ theorem
The most important application of these results is to prove Riesz’ representation
theorem (for Hilbert space, there is another one to do with measures).
Theorem 14. If H is a Hilbert space then for any continuous linear functional
T : H −→C there exists a unique element φ ∈ H such that
(3.50) T(u) = (u, φ) ∀ u ∈ H.
Proof. If T is the zero functional then w = 0 satisﬁes (3.50). Otherwise there
exists some u
∈ H such that T(u
) = 0 and then there is some u ∈ H, namely
u = u
/T(u
) will work, such that T(u) = 1. Thus
(3.51) C = ¦u ∈ H; T(u) = 1¦ = T
−1
(¦1¦) = ∅.
The continuity of T and the second form shows that C is closed, as the inverse
image of a closed set under a continuous map. Moreover C is convex since
(3.52) T((u +u
)/2) = (T(u) +T(u
))/2.
Thus, by Proposition 30, there exists an element v ∈ C of minimal length.
Notice that C = ¦u + v; v ∈ N¦ where N = T
−1
(¦0¦) is the null space of T.
Thus, as in Proposition 31 above, v is orthogonal to N. In this case it is the unique
element orthogonal to N with T(v) = 1.
Now, for any u ∈ H,
(3.53)
u−T(u)v satisﬁes T(u−T(u)v) = T(u)−T(u)T(v) = 0 =⇒ u = w+T(u)v, w ∈ N.
Then, (u, v) = T(u)v
2
since (w, v) = 0. Thus if φ = v/v
2
then
(3.54) u = w + (u, φ)v =⇒ T(u) = (u, φ)T(v) = (u, φ).
11. ADJOINTS OF BOUNDED OPERATORS 93
11. Adjoints of bounded operators
As an application of Riesz’ we can see that to any bounded linear operator on
a Hilbert space
(3.55) A : H −→ H, Au
H
≤ Cu
H
∀ u ∈ H
there corresponds a unique adjoint operator.
Proposition 32. For any bounded linear operator A : H −→ H on a Hilbert
space there is a unique bounded linear operator A
∗
: H −→ H such that
(3.56) (Au, v)
H
= (u, A
∗
v)
H
∀ u, v ∈ H and A = A
∗
.
Proof. To see the existence of A
∗
v we need to work out what A
∗
v ∈ H should
be for each ﬁxed v ∈ H. So, ﬁx v in the desired identity (3.56), which is to say
consider
(3.57) H ÷ u −→ (Au, v) ∈ C.
This is a linear map and it is clearly bounded, since
(3.58) [(Au, v)[ ≤ Au
H
v
H
≤ (Av
H
)u
H
.
Thus it is a continuous linear functional on H which depends on v. In fact it is just
the composite of two continuous linear maps
(3.59) H
u−→Au
−→ H
w−→(w,v)
−→ C.
By Riesz’ theorem there is a unique element in H, which we can denote A
∗
v (since
it only depends on v) such that
(3.60) (Au, v) = (u, A
∗
v) ∀ u ∈ H.
Now this deﬁnes the map A
∗
: H −→ H but we need to check that it is linear and
continuous. Linearity follows from the uniqueness part of Riesz’ theorem. Thus if
v
1
, v
2
∈ H and c
1
, c
2
∈ C then
(3.61) (Au, c
1
v
1
+c
2
v
2
) = c
1
(Au, v
1
) +c
2
(Au, v
2
)
= c
1
(u, A
∗
v
1
) +c
2
(u, A
∗
v
2
) = (u, c
1
A
∗
v
2
+c
2
A
∗
v
2
)
where we have used the deﬁnitions of A
∗
v
1
and A
∗
v
2
– by uniqueness we must have
A
∗
(c
1
v
1
+c
2
v
2
) = c
1
A
∗
v
1
+c
2
A
∗
v
2
.
Since we know the optimality of Cauchy’s inequality
(3.62) v
H
= sup
u=1
[(u, v)[
it follows that
(3.63) A
∗
v = sup
u=1
[(u, A
∗
v)[ = sup
u=1
[(Au, v)[ ≤ Av.
So in fact
(3.64) A
∗
 ≤ A
which shows that A
∗
is bounded.
The deﬁning identity (3.56) also shows that (A
∗
)
∗
= A so the reverse equality
in (3.64) also holds and so
(3.65) A
∗
 = A.
94 3. HILBERT SPACES
12. Compactness and equismall tails
A compact subset in a general metric space is one with the property that any
sequence in it has a convergent subsequence, with its limit in the set. You will recall,
with pleasure no doubt, the equivalence of this condition to the (more general since
it makes good sense in an arbitrary topological space) covering condition, that any
open cover of the set has a ﬁnite subcover. So, in a separable Hilbert space the
notion of a compact set is already ﬁxed. We want to characterize it, actually in
several ways.
A general result in a metric space is that any compact set is both closed and
bounded, so this must be true in a Hilbert space. The HeineBorel theorem gives a
converse to this, for R
n
or C
n
(and hence in any ﬁnite dimensional normed space)
in which any closed and bounded set is compact. Also recall that the convergence
of a sequence in C
n
is equivalent to the convergence of the n sequences given by its
components and this is what is used to pass ﬁrst from R to C and then to C
n
. All
of this fails in inﬁnite dimensions and we need some condition in addition to being
bounded and closed for a set to be compact.
To see where this might come from, observe that
Lemma 25. In any metric space a set, S, consisting of the points of a convergent
sequence, s : N −→ M, together with its limit, s, is compact.
Proof. The set here is the image of the sequence, thought of as a map from
the integers into the metric space, together with the limit (which might or might
not already be in the image of the sequence). Certainly this set is bounded, since
the distance from the intial point is bounded. Moreover it is closed. Indeed, the
complement M ` S is open – if p ∈ M ` S then it is not the limit of the sequence,
so for some > 0 and some N, if n > N then s(n) / ∈ B(p, ). Shrinking further if
necessary, we can make sure that all the s(k) for k ≤ N are not in the ball either
– since they are each at a positive distance from p. Thus B(p, ) ⊂ M ` S.
Finally, S is compact since any sequence in S has a convergent subsequence.
To see this, observe that a sequence ¦t
j
¦ in S either has a subsequence converging
to the limit s of the original sequence or it does not. So we only need consider the
latter case, but this means that for some > 0 d(t
j
, s) > ; but then t
j
takes values
in a ﬁnite set, since S ` B(s, ) is ﬁnite – hence some value is repeated inﬁnitely
often and there is a convergent subsequence.
Lemma 26. The image of a convergent sequence in a Hilbert space is a set with
equismall tails with respect to any orthonormal sequence, i.e. if e
k
is an othonormal
sequence and u
n
→ u is a convergent sequence then given > 0 there exists N such
that
(3.66)
¸
k>N
[(u
n
, e
k
)[
2
<
2
∀ n.
Proof. Bessel’s inequality shows that for any u ∈ 1,
(3.67)
¸
k
[(u, e
k
)[
2
≤ u
2
.
The convergence of this series means that (3.66) can be arranged for any single
element u
n
or the limit u by choosing N large enough, thus given > 0 we can
12. COMPACTNESS AND EQUISMALL TAILS 95
choose N
so that
(3.68)
¸
k>N
[(u, e
k
)[
2
<
2
/2.
Consider the closure of the subspace spanned by the e
k
with k > N. The
orthogonal projection onto this space (see Lemma 24) is
(3.69) P
N
u =
¸
k>N
(u, e
k
)e
k
.
Then the convergence u
n
→ u implies the convergence in norm P
N
u
n
 → P
N
u,
so
(3.70) P
N
u
n

2
=
¸
k>N
[(u, e
k
)[
2
<
2
, n > n
.
So, we have arranged (3.66) for n > n
for some N. This estimate remains valid if
N is increased – since the tails get smaller – and we may arrange it for n ≤ n
by
chossing N large enough. Thus indeed (3.66) holds for all n if N is chosen large
enough.
This suggest one useful characterization of compact sets in a separable Hilbert
space.
Proposition 33. A set K ⊂ 1 in a separable Hilbert space is compact if
and only if it is bounded, closed and has equismall tails with respect to any (one)
complete orthonormal basis.
Proof. We already know that a compact set in a metric space is closed and
bounded. Suppose the equismallness of tails condition fails with respect to some
orthonormal basis e
k
. This means that for some > 0 and all p there is an element
u
n
p
∈ K, such that
(3.71)
¸
k>p
[(u
n
p
, e
k
)[
2
≥
2
.
Consider the subsequence ¦u
n
p
¦ generated this way. No subsequence of it can have
equismall tails (recalling that the tail decreases with p). Thus, by Lemma 26, it
cannot have a convergent subsequence, so K cannot be compact in this case.
Thus we have proved the equismallness of tails condition to be necessary for
the compactness of a closed, bounded set. It remains to show that it is suﬃcient.
So, suppose K is closed, bounded and satisﬁes the equismall tails condition
with respect to an orthonormal basis e
k
and ¦u
n
¦ is a sequence in K. We only
need show that ¦u
n
¦ has a Cauchy subsequence, since this will converge (1 being
complete) and the limit will be in K (since it is closed). Consider each of the
sequences of coeﬃcients (u
n
, e
k
) in C. Here k is ﬁxed. This sequence is bounded:
(3.72) [(u
n
, e
k
)[ ≤ u
n
 ≤ C
by the boundedness of K. So, by the HeineBorel theorem, there is a subsequence
of u
n
l
such that (u
n
l
, e
k
) converges as l → ∞.
We can apply this argument for each k = 1, 2, . . . . First extracting a subse
quence of ¦u
n
¦ so that the sequence (u
n
, e
1
) converges ‘along this subsequence’.
Then extract a subsequence of this subsequence so that (u
n
, e
2
) also converges
along this sparser subsequence, and continue inductively. Then pass to the ‘diago
nal’ subsequence of ¦u
n
¦ which has kth entry the kth term in the kth subsequence.
96 3. HILBERT SPACES
It is ‘eventually’ a subsequence of each of the subsequences previously constructed
– meaning it coincides with a subsequence from some point onward (namely the
kth term onward for the kth subsquence). Thus, for this subsequence each of the
(u
n
l
, e
k
) converges.
Now, let’s relabel this subsequence v
n
for simplicity of notation and consider
Bessel’s identity (the orthonormal set e
k
is complete by assumption) for the diﬀer
ence
(3.73)
v
n
−v
n+l

2
=
¸
k≤N
[(v
n
−v
n+l
, e
k
)[
2
+
¸
k>N
[(v
n
−v
n+l
, e
k
)[
2
≤
¸
k≤N
[(v
n
−v
n+l
, e
k
)[
2
+ 2
¸
k>N
[(v
n
, e
k
)[
2
+ 2
¸
k>N
[(v
n+l
, e
k
)[
2
where the parallelogram law on C has been used. To make this sum less than
2
we may choose N so large that the last two terms are less than
2
/2 and this may
be done for all n and l by the equismallness of the tails. Now, choose n so large
that each of the terms in the ﬁrst sum is less than
2
/2N, for all l > 0 using the
Cauchy condition on each of the ﬁnite number of sequence (v
n
, e
k
). Thus, ¦v
n
¦ is
a Cauchy subsequence of ¦u
n
¦ and hence as already noted convergent in K. Thus
K is indeed compact.
13. Finite rank operators
Now, we need to starting thinking a little more seriously about operators on a
Hilbert space.
Definition 17. An operator T ∈ B(1) is of ﬁnite rank if its range has ﬁ
nite dimension (and that dimension is called the rank of T); the set of ﬁnite rank
operators is denoted {(B).
Why not T(B)? Because we want to use this for the Fredholm operators.
Clearly the sum of two operators of ﬁnite rank has ﬁnite rank, since the range
is contained in the sum of the ranges (but is often smaller):
(3.74) (T
1
+T
2
)u ∈ Ran(T
1
) + Ran(T
2
) ∀ u ∈ 1.
Since the range of a constant multiple of T is contained in the range of T it follows
that the ﬁnite rank operators form a linear subspace of B(1).
What does a ﬁnite rank operator look like? It really looks like a matrix.
Lemma 27. If T : H −→ H has ﬁnite rank then there is a ﬁnite orthonormal
set ¦e
k
¦
L
k=1
in H such that
(3.75) Tu =
L
¸
i,j=1
c
ij
(u, e
j
)e
i
.
Proof. By deﬁnition, the range of T, R = T(H) is a ﬁnite dimensional sub
space. So, it has a basis which we can diagonalize in H to get an orthonormal basis,
e
i
, i = 1, . . . , p. Now, since this is a basis of the range, Tu can be expanded relative
to it for any u ∈ H :
(3.76) Tu =
p
¸
i=1
(Tu, e
i
)e
i
.
13. FINITE RANK OPERATORS 97
On the other hand, the map u −→ (Tu, e
i
) is a continuous linear functional on H,
so (Tu, e
i
) = (u, v
i
) for some v
i
∈ H; notice in fact that v
i
= T
∗
e
i
. This means the
formula (3.76) becomes
(3.77) Tu =
p
¸
i=1
(u, v
i
)e
i
.
Now, we can apply GramSchmidt to orthonormalize the sequence e
1
, . . . , e
p
, v
1
. . . , v
p
resulting in e
1
, . . . , e
L
. This means that eact v
i
is a linear combination which we
can write as
(3.78) v
i
=
L
¸
j=1
c
ij
e
j
.
Inserting this into (3.77) gives (3.75) (where the constants for i > p are zero).
It is clear that
(3.79) B ∈ B(1) and T ∈ {(B) then BT ∈ {(B).
Indeed, the range of BT is the range of B restricted to the range of T and this is
certainly ﬁnite dimensional since it is spanned by the image of a basis of Ran(T).
Similalry TB ∈ {(1) since the range of TB is contained in the range of T. Thus
we have in fact proved most of
Proposition 34. The ﬁnite rank operators form a ∗closed ideal in B(1),
which is to say a linear subspace such that
(3.80) B
1
, B
2
∈ B(1), T ∈ {(1) =⇒ B
1
TB
2
, T
∗
∈ {(1).
Proof. It is only left to show that T
∗
is of ﬁnite rank if T is, but this is an
immediate consequence of Lemma 27 since if T is given by (3.75) then
(3.81) T
∗
u =
N
¸
i=1
c
ij
(u, e
i
)e
j
is also of ﬁnite rank.
Lemma 28 (Row rank=Colum rank). For any ﬁnite rank operator on a Hilbert
space, the dimension of the range of T is equal to the dimension of the range of T
∗
.
Proof. From the formula (3.77) for a ﬁnite rank operator, it follows that the
v
i
, i = 1, . . . , p must be linearly independent – since the e
i
form a basis for the
range and a linear relation between the v
i
would show the range had dimension less
than p. Thus in fact the null space of T is precisely the orthocomplement of the
span of the v
i
– the space of vectors orthogonal to each v
i
. Since
(3.82)
(Tu, w) =
p
¸
i=1
(u, v
i
)(e
i
, w) =⇒
(w, Tu) =
p
¸
i=1
(v
i
, u)(w, e
i
) =⇒
T
∗
w =
p
¸
i=1
(w, e
i
)v
i
the range of T
∗
is the span of the v
i
, so is also of dimension p.
98 3. HILBERT SPACES
14. Compact operators
Definition 18. An element K ∈ B(1), the bounded operators on a separable
Hilbert space, is said to be compact (the old terminology was ‘totally bounded’
or ‘completely continuous’) if the image of the unit ball is precompact, i.e. has
compact closure – that is if the closure of K¦u ∈ 1; u
H
≤ 1¦ is compact in 1.
Notice that in a metric space, to say that a set has compact closure is the same
as saying it is contained in a compact set.
Proposition 35. An operator K ∈ B(1), bounded on a separable Hilbert space,
is compact if and only if it is the limit of a normconvergent sequence of ﬁnite rank
operators.
Proof. So, we need to show that a compact operator is the limit of a conver
gent sequence of ﬁnite rank operators. To do this we use the characterizations of
compact subsets of a separable Hilbert space discussed earlier. Namely, if ¦e
i
¦ is
an orthonormal basis of 1 then a subset I ⊂ 1 is compact if and only if it is closed
and bounded and has equismall tails with respect to ¦e
i
¦, meaning given > 0
there exits N such that
(3.83)
¸
i>N
[(v, e
i
)[
2
<
2
∀ v ∈ I.
Now we shall apply this to the set K(B(0, 1)) where we assume that K is
compact (as an operator, don’t be confused by the double usage, in the end it turns
out to be constructive) – so this set is contained in a compact set. Hence (3.83)
applies to it. Namely this means that for any > 0 there exists n such that
(3.84)
¸
i>n
[(Ku, e
i
)[
2
<
2
∀ u ∈ 1, u
H
≤ 1.
For each n consider the ﬁrst part of these sequences and deﬁne
(3.85) K
n
u =
¸
k≤n
(Ku, e
i
)e
i
.
This is clearly a linear operator and has ﬁnite rank – since its range is contained in
the span of the ﬁrst n elements of ¦e
i
¦. Since this is an orthonormal basis,
(3.86) Ku −K
n
u
2
H
=
¸
i>n
[(Ku, e
i
)[
2
Thus (3.84) shows that Ku −K
n
u
H
≤ . Now, increasing n makes Ku −K
n
u
smaller, so given > 0 there exists n such that for all N ≥ n,
(3.87) K −K
N

B
= sup
u≤1
Ku −K
n
u
H
≤ .
Thus indeed, K
n
→ K in norm and we have shown that the compact operators are
contained in the norm closure of the ﬁnite rank operators.
For the converse we assume that T
n
→ K is a norm convergent sequence in
B(1) where each of the T
n
is of ﬁnite rank – of course we know nothing about the
rank except that it is ﬁnite. We want to conclude that K is compact, so we need to
show that K(B(0, 1)) is precompact. It is certainly bounded, by the norm of K. By
a result above on compactness of sets in a separable Hilbert space we know that it
suﬃces to prove that the closure of the image of the unit ball has uniformly small
15. WEAK CONVERGENCE 99
tails. Let Π
N
be the orthogonal projection oﬀ the ﬁrst N elements of a complete
orthonormal basis ¦e
k
¦ – so
(3.88) u =
¸
k≤N
(u, e
k
)e
k
+ Π
N
u.
Then we know that Π
N
 = 1 (assuming the Hilbert space is inﬁnite dimensional)
and Π
N
u is the ‘tail’. So what we need to show is that given > 0 there exists
n such that
(3.89) u ≤ 1 =⇒ Π
N
Ku < .
Now,
(3.90) Π
N
Ku ≤ Π
N
(K −T
n
)u +Π
N
T
n
u
so choosing n large enough that K − T
n
 < /2 and then using the compactness
of T
n
(which is ﬁnite rank) to choose N so large that
(3.91) u ≤ 1 =⇒ Π
N
T
n
u ≤ /2
shows that (3.89) holds and hence K is compact.
Proposition 36. For any separable Hilbert space, the compact operators form
a closed and ∗closed twosided ideal in B(H).
Proof. In any metric space (applied to B(H)) the closure of a set is closed,
so the compact operators are closed being the closure of the ﬁnite rank operators.
Similarly the fact that it is closed under passage to adjoints follows from the same
fact for ﬁnite rank operators. The ideal properties also follow from the correspond
ing properties for the ﬁnite rank operators, or we can prove them directly anyway.
Namely if B is bounded and T is compact then for some c > 0 (namely 1/B
unless it is zero) cB maps B(0, 1) into itself. Thus cTB = TcB is compact since
the image of the unit ball under it is contained in the image of the unit ball under
T; hence TB is also compact. Similarly BT is compact since B is continuous and
then
(3.92) BT(B(0, 1)) ⊂ B(T(B(0, 1))) is compact
since it is the image under a continuous map of a compact set.
15. Weak convergence
It is convenient to formalize the idea that a sequence be bounded and that each
of the (u
n
, e
k
), the sequence of coeﬃcients of some particular FourierBessel series,
should converge.
Definition 19. A sequence, ¦u
n
¦, in a Hilbert space, 1, is said to converge
weakly to an element u ∈ 1 if it is bounded in norm and (u
j
, v) → (u, v) converges
in C for each v ∈ 1. This relationship is written
(3.93) u
n
u.
In fact as we shall see below, the assumption that u
n
 is bounded and that u
exists are both unnecessary. That is, a sequence converges weakly if and only if
(u
n
, v) converges in C for each v ∈ 1. Conversely, there is no harm in assuming
it is bounded and that the ‘weak limit’ u ∈ 1 exists. Note that the weak limit is
unique since if u and u
both have this property then (u−u
, v) = lim
n→∞
(u
n
, v) −
lim
n→∞
(u
n
, v) = 0 for all v ∈ 1 and setting v = u −u
it follows that u = u
.
100 3. HILBERT SPACES
Lemma 29. A (strongly) convergent sequence is weakly convergent with the
same limit.
Proof. This is the continuity of the inner product. If u
n
→ u then
(3.94) [(u
n
, v) −(u, v)[ ≤ u
n
−uv → 0
for each v ∈ 1 shows weak convergence.
Lemma 30. For a bounded sequence in a separable Hilbert space, weak con
vergence is equivalent to component convergence with respect to an orthonormal
basis.
Proof. Let e
k
be an orthonormal basis. Then if u
n
is weakly convergent
it follows immediately that (u
n
, e
k
) → (u, e
k
) converges for each k. Conversely,
suppose this is true for a bounded sequence, just that (u
n
, e
k
) → c
k
in C for each
k. The norm boundedness and Bessel’s inequality show that
(3.95)
¸
k≤p
[c
k
[
2
= lim
n→∞
¸
k≤p
[(u
n
, e
k
)[
2
≤ C
2
sup
n
u
n

2
for all p. Thus in fact ¦c
k
¦ ∈ l
2
and hence
(3.96) u =
¸
k
c
k
e
k
∈ 1
by the completeness of 1. Clearly (u
n
, e
k
) → (u, e
k
) for each k. It remains to show
that (u
n
, v) → (u, v) for all v ∈ 1. This is certainly true for any ﬁnite linear
combination of the e
k
and for a general v we can write
(3.97) (u
n
, v) −(u, v) = (u
n
, v
p
) −(u, v
p
) + (u
n
, v −v
p
) −(u, v −v
p
) =⇒
[(u
n
, v) −(u, v)[ ≤ [(u
n
, v
p
) −(u, v
p
)[ + 2Cv −v
p

where v
p
=
¸
k≤p
(v, e
k
)e
k
is a ﬁnite part of the FourierBessel series for v and C is a
bound for u
n
. Now the convergence v
p
→ v implies that the last term in (3.97)
can be made small by choosing p large, independent of n. Then the second last term
can be made small by choosing n large since v
p
is a ﬁnite linear combination of the
e
k
. Thus indeed, (u
n
, v) → (u, v) for all v ∈ 1 and it follows that u
n
converges
weakly to u.
Proposition 37. Any bounded sequence ¦u
n
¦ in a separable Hilbert space has
a weakly convergent subsequence.
This can be thought of as an analogue in inﬁnite dimensions of the HeineBorel
theorem if you say ‘a bounded closed subset of a separable Hilbert space is weakly
compact’.
Proof. Choose an orthonormal basis ¦e
k
¦ and apply the procedure in the
proof of Proposition 33 to extract a subsequence of the given bounded sequence
such that (u
n
p
, e
k
) converges for each k. Now apply the preceeding Lemma to
conclude that this subsequence converges weakly.
Lemma 31. For a weakly convergent sequence u
n
u
(3.98) u ≤ liminf u
n
.
15. WEAK CONVERGENCE 101
Proof. Choose an orthonormal basis e
k
and observe that
(3.99)
¸
k≤p
[(u, e
k
)[
2
= lim
n→∞
¸
k≤p
[(u
n
, e
k
)[
2
.
The sum on the right is bounded by u
n

2
independently of p so
(3.100)
¸
k≤p
u, e
k

2
≤ liminf
n
u
n

2
by the deﬁnition of liminf . Then let p → ∞ to conclude that
(3.101) u
2
≤ liminf
n
u
n

2
from which (3.98) follows.
Lemma 32. An operator K ∈ B(1) is compact if and only if the image Ku
n
of any weakly convergent sequence ¦u
n
¦ in 1 is strongly, i.e. norm, convergent.
Proof. First suppose that u
n
u is a weakly convergent sequence in 1 and
that K is compact. We know that u
n
 < C is bounded so the sequence Ku
n
is contained in CK(B(0, 1)) and hence in a compact set (clearly if D is compact
then so is cD for any constant c.) Thus, any subsequence of Ku
n
has a convergent
subseqeunce and the limit is necessarily Ku since Ku
n
Ku (true for any bounded
operator by computing
(3.102) (Ku
n
, v) = (u
n
, K
∗
v) → (u, K
∗
v) = (Ku, v).)
But the condition on a sequence in a metric space that every subsequence of it has
a subsequence which converges to a ﬁxed limit implies convergence. (If you don’t
remember this, reconstruct the proof: To say a sequence v
n
does not converge to
v is to say that for some > 0 there is a subsequence along which d(v
n
k
, v) ≥ .
This is impossible given the subsequence of subsequence condition (converging to
the ﬁxed limit v.))
Conversely, suppose that K has this property of turning weakly convergent
into strongly convergent sequences. We want to show that K(B(0, 1)) has compact
closure. This just means that any sequence in K(B(0, 1)) has a (strongly) con
vergent subsequence – where we do not have to worry about whether the limit is
in the set or not. Such a sequence is of the form Ku
n
where u
n
is a sequence in
B(0, 1). However we know that the ball is weakly compact, that is we can pass to
a subsequence which converges weakly, u
n
j
u. Then, by the assumption of the
Lemma, Ku
n
j
→ Ku converges strongly. Thus u
n
does indeed have a convergent
subsequence and hence K(B(0, 1)) must have compact closure.
As noted above, it is not really necessary to assume that a sequence in a Hilbert
space is bounded, provided one has the Uniform Boundedness Principle, Theorem 3,
at the ready.
Proposition 38. If u
n
∈ H is a sequence in a Hilbert space and for all v ∈ H
(3.103) (u
n
, v) → F(v) converges in C
then u
n

H
is bounded and there exists w ∈ H such that u
n
w (converges
weakly).
102 3. HILBERT SPACES
Proof. Apply the Uniform Boundedness Theorem to the continuous function
als
(3.104) T
n
(u) = (u, u
n
), T
n
: H −→C
where we reverse the order to make them linear rather than antilinear. Thus, each
set [T
n
(u)[ is bounded in C since it is convergent. It follows from the Uniform
Boundedness Principle that there is a bound
(3.105) T
n
 ≤ C.
However, this norm as a functional is just T
n
 = u
n

H
so the original sequence
must be bounded in H. Deﬁne T : H −→C as the limit for each u :
(3.106) T(u) = lim
n→∞
T
n
(u) = lim
n→∞
(u, u
n
).
This exists for each u by hypothesis. It is a linear map and from (3.105) it is
bounded, T ≤ C. Thus by the Riesz Representation theorem, there exists w ∈ H
such that
(3.107) T(u) = (u, w) ∀ u ∈ H.
Thus (u
n
, u) → (w, u) for all u ∈ H so u
n
w as claimed.
16. The algebra B(H)
Recall the basic properties of the Banach space, and algebra, of bounded oper
ators B(1) on a separable Hilbert space 1. In particular that it is a Banach space
with respect to the norm
(3.108) A = sup
u
H
=1
Au
H
and that the norm satisﬁes
(3.109) AB ≤ AB
as follows from the fact that
ABu ≤ ABu ≤ ABu.
Consider the set of invertible elements:
(3.110) GL(1) = ¦A ∈ B(1); ∃ B ∈ 1(1), BA = AB = Id¦.
Note that this is equivalent to saying A is 11 and onto in view of the Open Mapping
Theorem, Theorem 4.
This set is open, to see this consider a neighbourhood of the identity.
Lemma 33. If A ∈ B(1) and A < 1 then
(3.111) Id −A ∈ GL(1).
Proof. This follows from the convergence of the Neumann series for A. If
A < 1 then A
j
 ≤ A
j
, from (3.109), and it follows that the Neumann series
(3.112) B =
¸
j=0
∞
A
j
16. THE ALGEBRA B(H) 103
is absolutely summable in B(1) since
1
¸
j=0
A
j
 converges. Since B(H) is a Banach
space, the sum converges. Moreover by the continuity of the product with respect
to the norm
(3.113) AB = A lim
n→∞
n
¸
j=0
A
j
= lim
n→∞
n+1
¸
j=1
A
j
= B −Id
and similarly BA = B − Id . Thus (Id −A)B = B(Id −A) = Id shows that B is a
(and hence the) 2sided inverse of Id −A.
Proposition 39. The invertible elements form an open subset GL(1) ⊂ B(1).
Proof. Suppose G ∈ GL(1), meaning it has a twosided (and unique) inverse
G
−1
∈ B(1) :
(3.114) G
−1
G = GG
−1
= Id .
Then we wish to show that B(G; ) ⊂ GL(1) for some > 0. In fact we shall see
that we can take = G
−1

−1
. To show that G+B is invertible set
(3.115) E = −G
−1
B =⇒ G+B = G(Id +G
−1
B) = G(Id −E)
From Lemma 33 we know that
(3.116) B < 1/G
−1
 =⇒ G
−1
B < 1 =⇒ Id −E is invertible.
Then (Id −E)
−1
G
−1
satisﬁes
(3.117) (Id −E)
−1
G
−1
(G+B) = (Id −E)
−1
(Id −E) = Id .
Moreover E
= −BG
−1
also satisﬁes E
 ≤ BG
−1
 < 1 and
(3.118) (G+B)G
−1
(Id −E
)
−1
= (Id −E
)(Id −E
)
−1
= Id .
Thus G+B has both a ‘left’ and a ‘right’ inverse. The associtivity of the operator
product (that A(BC) = (AB)C then shows that
(3.119) G
−1
(Id −E
)
−1
= (Id −E)
−1
G
−1
(G+B)G
−1
(Id −E
)
−1
= (Id −E)
−1
G
−1
so the left and right inverses are equal and hence G+B is invertible.
Thus GL(1) ⊂ B(1), the set of invertible elements, is open. It is also a group
– since the inverse of G
1
G
2
if G
1
, G
2
∈ GL(1) is G
−1
2
G
−1
1
.
This group of invertible elements has a smaller subgroup, U(1), the unitary
group, deﬁned by
(3.120) U(1) = ¦U ∈ GL(1); U
−1
= U
∗
¦.
The unitary group consists of the linear isometric isomorphisms of 1 onto itself –
thus
(3.121) (Uu, Uv) = (u, v), Uu = u ∀ u, v ∈ 1, U ∈ U(1).
This is an important object and we will use it a little bit later on.
The groups GL(H) and U(H) for a separable Hilbert space may seem very
similar to the familiar groups of invertible and unitary n n matrices, GL(n) and
U(n), but this is somewhat deceptive. For one thing they are much bigger. In fact
there are other important qualitative diﬀerences – you can ﬁnd some of this in the
problems. One important fact that you should know, even though we will not try
prove it here, is that both GL(H) and U(1) are contractible as a metric spaces –
104 3. HILBERT SPACES
they have no signiﬁcant topology. This is to be constrasted with the GL(n) and
U(n) which have a lot of topology, and are not at all simple spaces – especially for
large n. One upshot of this is that U(1) does not look much like the limit of the
U(n) as n → ∞. Another important fact that we will show is that GL(H) is not
dense in B(H), in contrast to the ﬁnite dimensional case.
17. Spectrum of an operator
Another direct application of Lemma 33, the convergence of the Neumann se
ries, is that if A ∈ B(H) and λ ∈ C has [λ[ > A then λ
−1
A < 1 so (Id −λ
−1
A)
−1
exits and satisﬁes
(3.122) (λId −A)λ
−1
(Id −λ
−1
A)
−1
= Id = λ
−1
(Id −λ
−1
A)
−1
(λ −A).
This, λ−A ∈ GL(H) has inverse (λ−A)
−1
= λ
−1
(Id −λ
−1
A)
−1
. Thus the resolvent
set
(3.123) ¦λ ∈ C; (λId −A) ∈ GL(H)¦ ⊂ C
is an open, and nonempty, set called the resolvent set (usually (A−λ)
−1
is called
the resolvent). The complement of the resolvent set is called the spectrum of A
(3.124) Spec(A) = ¦λ ∈ C; λId −A / ∈ GL(H)¦.
As follows from the discussion above it is a compact set – it cannot be empty.
For a bounded selfadjoint operator we can say more.
Proposition 40. If A : H −→ H is a bounded operator on a Hilbert space
and A
∗
= A then A −λId is invertible for all λ ∈ C ` R and either A −A Id or
A+A Id is not invertible.
The proof of the last part depends on a diﬀerent characterization of the norm
in the selfadjoint case.
Lemma 34. If A
∗
= A then
(3.125) A = sup
u=1
(Au, u).
Proof. Certainly, ['Au, u`[ ≤ Au
2
so the right side can only be smaller
than or equal to the left. Suppose that
sup
u=1
['Au, u`[ = a.
Then for any u, v ∈ H, ['Au, v`[ = 'Ae
iθ
u, v` so we can arrange that 'Au, v` =
['Au
, v`[ is nonnegative and u
 = 1 = u = v. Dropping the primes and
computing using the polarization identity
(3.126)
4'Au, v` = 'A(u+v), u+v`−'A(u−v), u−v`+i'A(u+iv), u+iv`−i'A(u−iv), u−iv`.
By the reality of the left side we can drop the last two terms and use the bound to
see that
(3.127) 4'Au, v` =≤ a(u +v
2
+u −v
2
) = 2C(u
2
+v
2
) = 4a
Thus, A = sup
u=v=1
['Au, v`[ ≤ a and hence A = a.
18. SPECTRAL THEOREM FOR COMPACT SELFADJOINT OPERATORS 105
Proof of Proposition 40. If λ = s+it where t = 0 then A−λ = (A−s)−it
and A − s is bounded and selfadjoint, so it is enough to consider the special case
that λ = it. Then for any u ∈ H,
(3.128) Im'(A−it)u, u` = −tu
2
.
So, certainly A − it is injective, since (A − it)u = 0 implies u = 0 if t = 0. The
adjoint of A − it is A + it so the adjoint is injective too. It follows that the range
of A − it is dense in H. Indeed, if v ∈ H and v ⊥ (A − it)u for all u ∈ H, so v is
orthogonal to the range, then
(3.129) 0 = Im'(A−it)v, v` = tv
2
.
It follows that the range is dense. So, if w ∈ H there exists a sequence u
n
in
H with (A − it)u
n
→ w. But this implies that u
n
 is bounded, since tu
2
=
−Im'(A − it)u
n
, u
n
` and hence we can pass to a weakly convergent subsequence,
u
n
u. Then (A − it)u
n
(A − it)u = v so A − it is 11 and onto. From the
Open Mapping Theorem, (A−it) is invertible.
Finally then we need to show that one of A ± A Id is NOT invertible. This
follows from (3.125). Indeed, by the deﬁnition of sup there is a sequence u
n
∈ H
with u
n
 = 1 such that either 'Au
n
, u
n
` → A or 'Au
n
, u
n
` → −A. In the ﬁrst
case this means '(A−u)u
n
, u
n
` → 0. Then
(3.130) (A−A)
2
u
n

2
= Au
n

2
−2'(A−A)u
n
, u
m
` +A
2
u
n

2
.
The second two terms here have limit A
2
by assumption and the ﬁrst term is
less than or equal to A
2
. Since the sequence it positive it follows that (A −
A)
2
u
n
 → 0. This means that A − A Id is not invertible, since if it had a
bounded inverse B then 1 = u
n
 ≤ B(A − A)
2
u
n
 which is impossible.
The other case is similar (or you can replace A by −A) so one of A ± A is not
invertible.
18. Spectral theorem for compact selfadjoint operators
One of the important diﬀerences between a general bounded selfadjoint op
erator and a compact selfadjoint operator is that the latter has eigenvalues and
eigenvectors – lots of them.
Theorem 15. If A ∈ /(1) is a selfadjoint, compact operator on a separable
Hilbert space, so A
∗
= A, then H has an orthonormal basis consisting of eigenvec
tors of A, u
j
such that
(3.131) Au
j
= λ
j
u
j
, λ
j
∈ R ` ¦0¦,
consisting of an orthonormal basis for the possibly inﬁnitedimensional (closed)
null space and eigenvectors with nonzero eigenvalues which can be arranged into a
sequence such that [λ
j
[ is a nonincreasing and λ
j
→ 0 as j → ∞ (in case Nul(A)
⊥
is ﬁnite dimensional, this sequence is ﬁnite).
The operator A maps Nul(A)
⊥
into itself so it may be clearer to ﬁrst split oﬀ the null
space and then look at the operator acting on Nul(A)
⊥
which has an orthonormal
basis of eigenvectors with nonvanishing eigenvalues.
Before going to the proof, let’s notice some useful conclusions. One is that we
have ‘Fredholm’s alternative’ in this case.
106 3. HILBERT SPACES
Corollary 6. If A ∈ /(1) is a compact selfadjoint operator on a separable
Hilbert space then the equation
(3.132) u −Au = f
either has a unique solution for each f ∈ 1 or else there is a nontrivial ﬁnite
dimensional space of solutions to
(3.133) u −Au = 0
and then (3.132) has a solution if and only if f is orthogonal to all these solutions.
Proof. This is just saying that the null space of Id −A is a complement to
the range – which is closed. So, either Id −A is invertible or if not then the range
is precisely the orthocomplement of Nul(Id −A). You might say there is not much
alternative from this point of view, since it just says the range is always the ortho
complement of the null space.
Let me separate oﬀ the heart of the argument from the bookkeeping.
Lemma 35. If A ∈ /(1) is a selfadjoint compact operator on a separable
(possibly ﬁnitedimensional) Hilbert space then
(3.134) F(u) = (Au, u), F : ¦u ∈ 1; u = 1¦ −→R
is a continuous function on the unit sphere which attains its supremum and inﬁmum
where
(3.135) sup
u=1
[F(u)[ = A.
Furthermore, if the maximum or minimum of F(u) is nonzero it is attained at an
eivenvector of A with this extremal value as eigenvalue.
Proof. Since [F(u)[ is the function considered in (3.125), (3.135) is a direct
consequence of Lemma 34. Moreover, continuity of F follows from continuity of A
and of the inner product so
(3.136) [F(u)−F(u
)[ ≤ [(Au, u)−(Au, u
)[ +[(Au, u
)−(Au
, u
)[ ≤ 2Au−u

since both u and u
have norm one.
If we were in ﬁnite dimensions this ﬁnishes the proof, since the sphere is then
compact and a continuous function on a compact set attains its sup and inf. In the
general case we need to use the compactness of A. Certainly F is bounded,
(3.137) [F(u)[ ≤ sup
u=1
[(Au, u)[ ≤ A.
Thus, there is a sequence u
+
n
such that F(u
+
n
) → sup F and another u
−
n
such that
F(u
−
n
) → inf F. The weak compactness of the unit sphere means that we can pass
to a weakly convergent subsequence in each case, and so assume that u
±
n
u
±
converges weakly. Then, by the compactness of A, Au
±
n
→ Au
±
converges strongly,
i.e. in norm. But then we can write
(3.138) [F(u
±
n
) −F(u
±
)[ ≤ [(A(u
±
n
−u
±
), u
±
n
)[ +[(Au
±
, u
±
n
−u
±
)[
= [(A(u
±
n
−u
±
), u
±
n
)[ +[(u
±
, A(u
±
n
−u
±
))[ ≤ 2Au
±
n
−Au
±

to deduce that F(u
±
) = limF(u
±
n
) are respectively the sup and inf of F. Thus
indeed, as in the ﬁnite dimensional case, the sup and inf are attained, as in max
18. SPECTRAL THEOREM FOR COMPACT SELFADJOINT OPERATORS 107
and min. Note that this is NOT typically true if A is not compact as well as
selfadjoint.
Now, suppose that Λ
+
= sup F > 0. Then for any v ∈ 1 with v ⊥ u
+
the curve
(3.139) L
v
: (−π, π) ÷ θ −→ cos θu
+
+ sin θv
lies in the unit sphere. Computing out
(3.140) F(L
v
(θ)) =
(AL
v
(θ), L
v
(θ)) = cos
2
θF(u
+
) + 2 sin(2θ) Re(Au
+
, v) + sin
2
(θ)F(v)
we know that this function must take its maximum at θ = 0. The derivative there
(it is certainly continuously diﬀerentiable on (−π, π)) is Re(Au
+
, v) which must
therefore vanish. The same is true for iv in place of v so in fact
(3.141) (Au
+
, v) = 0 ∀ v ⊥ u
+
, v = 1.
Taking the span of these v’s it follows that (Au
+
, v) = 0 for all v ⊥ u
+
so A
+
u
must be a multiple of u
+
itself. Inserting this into the deﬁnition of F it follows
that Au
+
= Λ
+
u
+
is an eigenvector with eigenvalue Λ
+
= sup F.
The same argument applies to inf F if it is negative, for instance by replacing
A by −A. This completes the proof of the Lemma.
Proof of Theorem 15. First consider the Hilbert space 1
0
= Nul(A)
⊥
⊂
1. Then, as noted above, A maps 1
0
into itself, since
(3.142) (Au, v) = (u, Av) = 0 ∀ u ∈ 1
0
, v ∈ Nul(A) =⇒ Au ∈ 1
0
.
Moreover, A
0
, which is A restricted to 1
0
, is again a compact selfadjoint operator
– where the compactness follows from the fact that A(B(0, 1)) for B(0, 1) ⊂ 1
0
is
smaller than (actually of course equal to) the whole image of the unit ball.
Thus we can apply the Lemma above to A
0
, with quadratic form F
0
, and ﬁnd
an eigenvector. Let’s agree to take the one associated to sup F
A
0
unless sup
A
0
<
−inf F
0
in which case we take one associated to the inf . Now, what can go wrong
here? Nothing except if F
0
≡ 0. However in that case we know from Lemma 34
that A = 0 so A = 0.
So, we now know that we can ﬁnd an eigenvector with nonzero eigenvalue
unless A ≡ 0 which would implies Nul(A) = 1. Now we proceed by induction.
Suppose we have found N mutually orthogonal eigenvectors e
j
for A all with norm
1 and eigenvectors λ
j
– an orthonormal set of eigenvectors and all in 1
0
. Then we
consider
(3.143) 1
N
= ¦u ∈ 1
0
= Nul(A)
⊥
; (u, e
j
) = 0, j = 1, . . . , N¦.
From the argument above, A maps 1
N
into itself, since
(3.144) (Au, e
j
) = (u, Ae
j
) = λ
j
(u, e
j
) = 0 if u ∈ 1
N
=⇒ Au ∈ 1
N
.
Moreover this restricted operator is selfadjoint and compact on 1
N
as before so
we can again ﬁnd an eigenvector, with eigenvalue either the max of min of the new
F for 1
N
. This process will not stop uness F ≡ 0 at some stage, but then A ≡ 0
on 1
N
and since 1
N
⊥ Nul(A) which implies 1
N
= ¦0¦ so 1
0
must have been
ﬁnite dimensional.
Thus, either 1
0
is ﬁnite dimensional or we can grind out an inﬁnite orthonormal
sequence e
i
of eigenvectors of A in 1
0
with the corresponding sequence of eigen
values such that [λ
i
[ is nonincreasing – since the successive F
N
’s are restrictions
108 3. HILBERT SPACES
of the previous ones the max and min are getting closer to (or at least no further
from) 0.
So we need to rule out the possibility that there is an inﬁnite orthonormal
sequence of eigenfunctions e
j
with corresponding eigenvalues λ
j
where inf
j
[λ
j
[ =
a > 0. Such a sequence cannot exist since e
j
0 so by the compactness of A,
Ae
j
→ 0 (in norm) but [Ae
j
[ ≥ a which is a contradiction. Thus if null(A)
⊥
is
not ﬁnite dimensional then the sequence of eigenvalues constructed above must
converge to 0.
Finally then, we need to check that this orthonormal sequence of eigenvectors
constitutes an orthonormal basis of 1
0
. If not, then we can form the closure of the
span of the e
i
we have constructed, 1
, and its orthocomplement in 1
0
– which
would have to be nontrivial. However, as before F restricts to this space to be
F
for the restriction of A
to it, which is again a compact selfadjoint operator.
So, if F
is not identically zero we can again construct an eigenfunction, with non
zero eigenvalue, which contracdicts the fact the we are always choosing a largest
eigenvalue, in absolute value at least. Thus in fact F
≡ 0 so A
≡ 0 and the
eigenvectors form and orthonormal basis of Nul(A)
⊥
. This completes the proof of
the theorem.
19. Functional Calculus
So the nonzero eigenvalues of a compact selfadjoint operator form the image of
a sequence in [−A, A] either converging to zero or ﬁnite. If f ∈ (
0
([−A, A)
then one can deﬁne an operator
(3.145) f(A) ∈ B(H), f(A)u =
¸
i
f(λ
u
)(u, e
i
)e
i
where ¦e
i
¦ is a complete orthonormal basis of eigenfunctions. Provided f(0) = 0
this is compact and if f is real it is selfadjoint. This formula actually deﬁnes a
linear map
(3.146) (
0
([−A, A]) −→ B(H) with f(A)g(A) = (fg)(A).
Such a map exists for any bounded selfadjoint operator. Even though it may
not have eigenfunctions – or not a complete orthonormal basis of them anyway, it
is still possible to deﬁne f(A) for a continous function deﬁned on [−A, A] (in
fact it only has to be deﬁned on Spec(A) ⊂ [−A, A] which might be quite a lot
smaller). This is an eﬀective replacement for the spectral theorem in the compact
case.
How does one deﬁne f(A)? Well, it is easy enough in case f is a polynomial,
since then we can factorize it and set
(3.147)
f(z) = c(z −z
1
)(z −z
2
) . . . (z −z
N
) =⇒ f(A) = c(A−z
1
)(A−z
2
) . . . (A−z
N
).
Notice that the result does not depend on the order of the factors or anything like
that. To pass to the case of a general continuous function on [−A, A] one can
use the norm estimate in the polynomial case, that
(3.148) f(A) ≤ sup
z∈[−A,A
[f(z)[.
20. COMPACT PERTURBATIONS OF THE IDENTITY 109
This allows one to pass f in the uniform closure of the polynomials, which by the
StoneWeierstrass theorem is the whole of (
0
([−A, A]). The proof of (3.148) is
outlined in Problem 3.3 below.
20. Compact perturbations of the identity
I have generally not had a chance to discuss most of the material in this section,
or the next, in the lectures.
Next we head towards the spectral theory of selfadjoint compact operators.
This is rather similar to the spectral theory of selfadjoint matrices and has many
useful applications as we shall see. There is a very eﬀective spectral theory of
general bounded but selfadjoint operators but I do not expect to have time to do
this. There is also a pretty satisfactory spectral theory of nonselfadjoint compact
operators. There is no satisfactory spectral theory for general noncompact and
nonselfadjoint operators as you can easily see from examples (such as the shift
operator).
Compact operators are, as we know, ‘small’ in the sense that the are norm
limits of ﬁnite rank operators. If you accept this, then you will want to say that an
operator such as
(3.149) Id −K, K ∈ /(1)
is ‘big’. We are quite interested in this operator because of spectral theory. To say
that λ ∈ C is an eigenvalue of K is to say that there is a nontrivial solution of
(3.150) Ku −λu = 0
where nontrivial means other than than the solution u = 0 which always exists. If
λ is an eigenvalue of K then certainly λ ∈ Spec(K), since λ−K cannot be invertible.
For general operators the converse is not correct, but for compact operators it is.
Lemma 36. If K ∈ B(H) is a compact operator then λ ∈ C`¦0¦ is an eigenvalue
of K if and only if λ ∈ Spec(K).
Proof. Since we can divide by λ we may replace K by λ
−1
K and consider the
special case λ = 1. Now, if K is actually ﬁnite rank the result is straightforward.
By Lemma 27 we can choose a basis so that (3.75) holds. Let the span of the e
i
be W – since it is ﬁnite dimensional it is closed. Then Id −K acts rather simply –
decomposing H = W ⊕W
⊥
, u = w +w
(3.151) (Id −K)(w +w
) = w + (Id
W
−K
)w
, K
: W −→ W
being a matrix with respect to the basis. Now, 1 is an eigenvalue of K if and only
if 1 is an eigenvalue of K
as an operator on the ﬁnitedimensional space W. Now,
a matrix, such as Id
W
−K
, is invertible if and only if it is inective, or equivalently
surjective. So, the same is true for Id −K.
Now in the general case we use the approximability of K by ﬁnite rank opera
tors. Thus, we can choose a ﬁnite rank operator F such that K−F < 1/2. Thus,
(Id −K +F)
−1
= Id −B is invertible. Then we can write
(3.152) Id −K = Id −(K −F) −F = (Id −(K −F))(Id −L), L = (Id −B)F.
Thus, Id −K is invertible if and only if Id −L is invertible. Thus, if Id −K is not
invertible then Id −L is not invertible and hence has null space and from (3.152) it
follows that Id −K has nontrivial null space, i.e. K has 1 as an eigenvalue.
110 3. HILBERT SPACES
A little more generally:
Proposition 41. If K ∈ /(1) is a compact operator on a separable Hilbert
space then
(3.153)
null(Id −K) = ¦u ∈ 1; (Id
K
)u = 0¦ is ﬁnite dimensional
Ran(Id −K) = ¦v ∈ 1; ∃u ∈ 1, v = (Id −K)u¦ is closed and
Ran(Id −K)
⊥
= ¦w ∈ 1; (w, Ku) = 0 ∀ u ∈ 1¦ is ﬁnite dimensional
and moreover
(3.154) dim(null(Id −K)) = dim
Ran(Id −K)
⊥
.
Proof of Proposition 41. First let’s check this in the case of a ﬁnite rank
operator K = T. Then
(3.155) Nul(Id −T) = ¦u ∈ 1; u = Tu¦ ⊂ Ran(T).
A subspace of a ﬁnite dimensional space is certainly ﬁnite dimensional, so this
proves the ﬁrst condition in the ﬁnite rank case.
Similarly, still assuming that T is ﬁnite rank consider the range
(3.156) Ran(Id −T) = ¦v ∈ 1; v = (Id −T)u for some u ∈ 1¦.
Consider the subspace ¦u ∈ 1; Tu = 0¦. We know that this this is closed, since T
is certainly continuous. On the other hand from (3.156),
(3.157) Ran(Id −T) ⊃ Nul(T).
Remember that a ﬁnite rank operator can be written out as a ﬁnite sum
(3.158) Tu =
N
¸
i=1
(u, e
i
)f
i
where we can take the f
i
to be a basis of the range of T. We also know in this
case that the e
i
must be linearly independent – if they weren’t then we could write
one of them, say the last since we can renumber, out as a sum, e
N
=
¸
j<N
c
i
e
j
, of
multiples of the others and then ﬁnd
(3.159) Tu =
N−1
¸
i=1
(u, e
i
)(f
i
+c
j
f
N
)
showing that the range of T has dimension at most N − 1, contradicting the fact
that the f
i
span it.
So, going back to (3.158) we know that Nul(T) has ﬁnite codimension – every
element of 1 is of the form
(3.160) u = u
+
N
¸
i=1
d
i
e
i
, u
∈ Nul(T).
So, going back to (3.157), if Ran(Id −T) = Nul(T), and it need not be equal, we
can choose – using the fact that Nul(T) is closed – an element g ∈ Ran(Id −T) `
Nul(T) which is orthogonal to Nul(T). To do this, start with any a vector g
in
Ran(Id −T) which is not in Nul(T). It can be split as g
= u
+ g where g ⊥
Nul(T) (being a closed subspace) and u
∈ Nul(T), then g = 0 is in Ran(Id −T)
and orthongonal to Nul(T). Now, the new space Nul(T) ⊕ Cg is again closed and
contained in Ran(Id −T). But we can continue this process replacing Nul(T) by
20. COMPACT PERTURBATIONS OF THE IDENTITY 111
this larger closed subspace. After a a ﬁnite number of steps we conclude that
Ran(Id −T) itself is closed.
What we have just proved is:
Lemma 37. If V ⊂ 1 is a subspace of a Hilbert space which contains a closed
subspace of ﬁnite codimension in 1 – meaning V ⊃ W where W is closed and there
are ﬁnitely many elements e
i
∈ 1, i = 1, . . . , N such that every element u ∈ 1 is
of the form
(3.161) u = u
+
N
¸
i=1
c
i
e
i
, c
i
∈ C,
then V itself is closed.
So, this takes care of the case that K = T has ﬁnite rank! What about the
general case where K is compact? Here we just use a consequence of the approxi
mation of compact operators by ﬁnite rank operators proved last time. Namely, if
K is compact then there exists B ∈ B(1) and T of ﬁnite rank such that
(3.162) K = B +T, B <
1
2
.
Now, consider the null space of Id −K and use (3.162) to write
(3.163) Id −K = (Id −B) −T = (Id −B)(Id −T
), T
= (Id −B)
−1
T.
Here we have used the convergence of the Neumann series, so (Id −B)
−1
does exist.
Now, T
is of ﬁnite rank, by the ideal property, so
(3.164) Nul(Id −K) = Nul(Id −T
) is ﬁnite dimensional.
Here of course we use the fact that (Id −K)u = 0 is equivalent to (Id −T
)u = 0
since Id −B is invertible. So, this is the ﬁrst condition in (3.153).
Similarly, to examine the second we do the same thing but the other way around
and write
(3.165) Id −K = (Id −B) −T = (Id −T
)(Id −B), T
= T(Id −B)
−1
.
Now, T
is again of ﬁnite rank and
(3.166) Ran(Id −K) = Ran(Id −T
) is closed
again using the fact that Id −B is invertible – so every element of the form (Id −K)u
is of the form (Id −T
)u
where u
= (Id −B)u and conversely.
So, now we have proved all of (3.153) – the third part following from the ﬁrst
as discussed before.
What about (3.154)? This time let’s ﬁrst check that it is enough to consider
the ﬁnite rank case. For a compact operator we have written
(3.167) (Id −K) = G(Id −T)
where G = Id −B with B <
1
2
is invertible and T is of ﬁnite rank. So what we
want to see is that
(3.168) dimNul(Id −K) = dimNul(Id −T) = dimNul(Id −K
∗
).
However, Id −K
∗
= (Id −T
∗
)G
∗
and G
∗
is also invertible, so
(3.169) dimNul(Id −K
∗
) = dimNul(Id −T
∗
)
112 3. HILBERT SPACES
and hence it is enough to check that dimNul(Id −T) = dimNul(Id −T
∗
) – which is
to say the same thing for ﬁnite rank operators.
Now, for a ﬁnite rank operator, written out as (3.158), we can look at the
vector space W spanned by all the f
i
’s and all the e
i
’s together – note that there is
nothing to stop there being dependence relations among the combination although
separately they are independent. Now, T : W −→ W as is immediately clear and
(3.170) T
∗
v =
N
¸
i=1
(v, f
i
)e
i
so T : W −→ W too. In fact Tw
= 0 and T
∗
w
= 0 if w
∈ W
⊥
since then
(w
, e
i
) = 0 and (w
, f
i
) = 0 for all i. It follows that if we write R : W ←→ W for
the linear map on this ﬁnite dimensional space which is equal to Id −T acting on
it, then R
∗
is given by Id −T
∗
acting on W and we use the Hilbert space structure
on W induced as a subspace of 1. So, what we have just shown is that
(3.171)
(Id −T)u = 0 ⇐⇒ u ∈ W and Ru = 0, (Id −T
∗
)u = 0 ⇐⇒ u ∈ W and R
∗
u = 0.
Thus we really are reduced to the ﬁnitedimensional theorem
(3.172) dimNul(R) = dimNul(R
∗
) on W.
You no doubt know this result. It follows by observing that in this case, every
thing now on W, Ran(W) = Nul(R
∗
)
⊥
and ﬁnite dimensions
(3.173) dimNul(R) + dimRan(R) = dimW = dimRan(W) + dimNul(R
∗
).
21. Fredholm operators
Definition 20. A bounded operator F ∈ B(1) on a Hilbert space is said to be
Fredholm if it has the three properties in (3.153) – its null space is ﬁnite dimensional,
its range is closed and the orthocomplement of its range is ﬁnite dimensional.
For general Fredholm operators the rowrank=columrank result (3.154) does not
hold. Indeed the diﬀerence of these two integers
(3.174) ind(F) = dim(null(Id −K)) −dim
Ran(Id −K)
⊥
is a very important number with lots of interesting properties and uses.
Notice that the last two conditions in (3.153) are really independent since the
orthocomplement of a subspace is the same as the orthocomplement of its closure.
There is for instance a bounded operator on a separable Hilbert space with trivial
null space and dense range which is not closed. How could this be? Think for
instance of the operator on L
2
(0, 1) which is multiplication by the function x.
This is assuredly bounded and an element of the null space would have to satisfy
xu(x) = 0 almost everywhere, and hence vanish almost everywhere. Moreover the
density of the L
2
functions vanishing in x < for some (nonﬁxed) > 0 shows
that the range is dense. However it is clearly not invertible.
Before proving this result let’s check that the third condition in (3.153) really
follows from the ﬁrst. This is a general fact which I mentioned, at least, earlier but
let me pause to prove it.
22. PROBLEMS 113
Proposition 42. If B ∈ B(1) is a bounded operator on a Hilbert space and
B
∗
is its adjoint then
(3.175) Ran(B)
⊥
= (Ran(B))
⊥
= ¦v ∈ 1; (v, w) = 0 ∀ w ∈ Ran(B)¦ = Nul(B
∗
).
Proof. The deﬁnition of the orthocomplement of Ran(B) shows immediately
that
(3.176) v ∈ (Ran(B))
⊥
⇐⇒ (v, w) = 0 ∀ w ∈ Ran(B) ←→ (v, Bu) = 0 ∀ u ∈ 1
⇐⇒ (B
∗
v, u) = 0 ∀ u ∈ 1 ⇐⇒ B
∗
v = 0 ⇐⇒ v ∈ Nul(B
∗
).
On the other hand we have already observed that V
⊥
= (V )
⊥
for any subspace –
since the right side is certainly contained in the left and (u, v) = 0 for all v ∈ V
implies that (u, w) = 0 for all w ∈ V by using the continuity of the inner product
to pass to the limit of a sequence v
n
→ w.
Thus as a corrollary we see that if Nul(Id −K) is always ﬁnite dimensional for
K compact (i. e. we check it for all compact operators) then Nul(Id −K
∗
) is ﬁnite
dimensional and hence so is Ran(Id −K)
⊥
.
22. Problems
Problem 3.1. Let H be a normed space in which the norm satisﬁes the par
allelogram law:
(3.177) u +v
2
+u −v
2
= 2(u
2
+v
2
) ∀ u, v ∈ H.
Show that the norm comes from a positive deﬁnite sesquilinear (i.e. ermitian) inner
product. Big Hint: Try
(3.178) (u, v) =
1
4
u +v
2
−u −v
2
+iu +iv
2
−iu −iv
2
!
Problem 3.2. Let H be a ﬁnite dimensional (pre)Hilbert space. So, by deﬁ
nition H has a basis ¦v
i
¦
n
i=1
, meaning that any element of H can be written
(3.179) v =
¸
i
c
i
v
i
and there is no dependence relation between the v
i
’s – the presentation of v = 0 in
the form (3.179) is unique. Show that H has an orthonormal basis, ¦e
i
¦
n
i=1
satis
fying (e
i
, e
j
) = δ
ij
(= 1 if i = j and 0 otherwise). Check that for the orthonormal
basis the coeﬃcients in (3.179) are c
i
= (v, e
i
) and that the map
(3.180) T : H ÷ v −→ ((v, e
i
)) ∈ C
n
is a linear isomorphism with the properties
(3.181) (u, v) =
¸
i
(Tu)
i
(Tv)
i
, u
H
= Tu
C
n ∀ u, v ∈ H.
Why is a ﬁnite dimensional preHilbert space a Hilbert space?
Problem 3.3. : Prove (3.148). The important step is actually the fact that
Spec(A) ⊂ [−A, A] if A is selfadjoint, which is proved somewhere above. Now,
if f is a real polynomial, we can assume the leading constant, c, in (3.147) is 1.
If λ / ∈ f([−A, A]) then f(A) is selfadjoint and λ − f(A) is invertible – it is
114 3. HILBERT SPACES
enough to check this for each factor in (3.147). Thus Spec(f(A)) ⊂ f([−A, A])
which means that
(3.182) f(A) ≤ sup¦z ∈ f([−A, A])¦
which is in fact (3.147).
Problem 3.4. Let H be a separable Hilbert space. Show that K ⊂ H is
compact if and only if it is closed, bounded and has the property that any sequence
in K which is weakly convergent sequence in H is (strongly) convergent.
Hint (Problem ??) In one direction use the result from class that any bounded
sequence has a weakly convergent subsequence.
Problem 3.5. Show that, in a separable Hilbert space, a weakly convergent
sequence ¦v
n
¦, is (strongly) convergent if and only if the weak limit, v satisﬁes
(3.183) v
H
= lim
n→∞
v
n

H
.
Hint (Problem 3.5) To show that this condition is suﬃcient, expand
(3.184) (v
n
−v, v
n
−v) = v
n

2
−2 Re(v
n
, v) +v
2
.
Problem 3.6. Show that a subset of a separable Hilbert space is compact if
and only if it is closed and bounded and has the property of ‘ﬁnite dimensional
approximation’ meaning that for any > 0 there exists a linear subspace D
N
⊂ H
of ﬁnite dimension such that
(3.185) d(K, D
N
) = sup
u∈K
inf
v∈D
N
¦d(u, v)¦ ≤ .
See Hint 22
Hint (Problem ??) To prove necessity of this condition use the ‘equismall
tails’ property of compact sets with respect to an orthonormal basis. To use the
ﬁnite dimensional approximation condition to show that any weakly convergent
sequence in K is strongly convergent, use the convexity result from class to deﬁne
the sequence ¦v
n
¦ in D
N
where v
n
is the closest point in D
N
to v
n
. Show that v
n
is weakly, hence strongly, convergent and hence deduce that ¦v
n
¦ is Cauchy.
Problem 3.7. Suppose that A : H −→ H is a bounded linear operator with
the property that A(H) ⊂ H is ﬁnite dimensional. Show that if v
n
is weakly
convergent in H then Av
n
is strongly convergent in H.
Problem 3.8. Suppose that H
1
and H
2
are two diﬀerent Hilbert spaces and
A : H
1
−→ H
2
is a bounded linear operator. Show that there is a unique bounded
linear operator (the adjoint) A
∗
: H
2
−→ H
1
with the property
(3.186) (Au
1
, u
2
)
H
2
= (u
1
, A
∗
u
2
)
H
1
∀ u
1
∈ H
1
, u
2
∈ H
2
.
Problem 3.9. Question: Is it possible to show the completeness of the Fourier
basis
exp(ikx)/
√
2π
by computation? Maybe, see what you think. These questions are also intended to
get you to say things clearly.
22. PROBLEMS 115
(1) Work out the Fourier coeﬃcients c
k
(t) =
(0,2π)
f
t
e
−ikx
of the step func
tion
(3.187) f
t
(x) =
1 0 ≤ x < t
0 t ≤ x ≤ 2π
for each ﬁxed t ∈ (0, 2π).
(2) Explain why this Fourier series converges to f
t
in L
2
(0, 2π) if and only if
(3.188) 2
¸
k>0
[c
k
(t)[
2
= 2πt −t
2
, t ∈ (0, 2π).
(3) Write this condition out as a Fourier series and apply the argument again
to show that the completeness of the Fourier basis implies identities for
the sum of k
−2
and k
−4
.
(4) Can you explain how reversing the argument, that knowledge of the sums
of these two series should imply the completeness of the Fourier basis?
There is a serious subtlety in this argument, and you get full marks for
spotting it, without going ahead a using it to prove completeness.
Problem 3.10. Prove that for appropriate constants d
k
, the functions d
k
sin(kx/2),
k ∈ N, form an orthonormal basis for L
2
(0, 2π).
See Hint 22
Hint (Problem 3.17 The usual method is to use the basic result from class plus
translation and rescaling to show that d
k
exp(ikx/2) k ∈ Z form an orthonormal
basis of L
2
(−2π, 2π). Then extend functions as odd from (0, 2π) to (−2π, 2π).
Problem 3.11. Let e
k
, k ∈ N, be an orthonormal basis in a separable Hilbert
space, H. Show that there is a uniquely deﬁned bounded linear operator S : H −→
H, satisfying
(3.189) Se
j
= e
j+1
∀ j ∈ N.
Show that if B : H −→ H is a bounded linear operator then S+B is not invertible
if <
0
for some
0
> 0.
Hint (Problem 3.18) Consider the linear functional L : H −→ C, Lu =
(Bu, e
1
). Show that B
u = Bu − (Lu)e
1
is a bounded linear operator from H
to the Hilbert space H
1
= ¦u ∈ H; (u, e
1
) = 0¦. Conclude that S +B
is invertible
as a linear map from H to H
1
for small . Use this to argue that S +B cannot be
an isomorphism from H to H by showing that either e
1
is not in the range or else
there is a nontrivial element in the null space.
Problem 3.12. Show that the product of bounded operators on a Hilbert space
is strong continuous, in the sense that if A
n
and B
n
are strong convergent sequences
of bounded operators on H with limits A and B then the product A
n
B
n
is strongly
convergent with limit AB.
Hint (Problem 3.19) Be careful! Use the result in class which was deduced from
the Uniform Boundedness Theorem.
Problem 3.13. Show that a continuous function K : [0, 1] −→ L
2
(0, 2π) has
the property that the Fourier series of K(x) ∈ L
2
(0, 2π), for x ∈ [0, 1], converges
116 3. HILBERT SPACES
uniformly in the sense that if K
n
(x) is the sum of the Fourier series over [k[ ≤ n
then K
n
: [0, 1] −→ L
2
(0, 2π) is also continuous and
(3.190) sup
x∈[0,1]
K(x) −K
n
(x)
L
2
(0,2π)
→ 0.
Hint (Problem 3.13) Use one of the properties of compactness in a Hilbert space
that you proved earlier.
Problem 3.14. Consider an integral operator acting on L
2
(0, 1) with a kernel
which is continuous – K ∈ (([0, 1]
2
). Thus, the operator is
(3.191) Tu(x) =
(0,1)
K(x, y)u(y).
Show that T is bounded on L
2
(I think we did this before) and that it is in the
norm closure of the ﬁnite rank operators.
Hint (Problem 3.13) Use the previous problem! Show that a continuous function
such as K in this Problem deﬁnes a continuous map [0, 1] ÷ x −→ K(x, ) ∈ (([0, 1])
and hence a continuous function K : [0, 1] −→ L
2
(0, 1) then apply the previous
problem with the interval rescaled.
Here is an even more expanded version of the hint: You can think of K(x, y) as
a continuous function of x with values in L
2
(0, 1). Let K
n
(x, y) be the continuous
function of x and y given by the previous problem, by truncating the Fourier series
(in y) at some point n. Check that this deﬁnes a ﬁnite rank operator on L
2
(0, 1)
– yes it maps into continuous functions but that is ﬁne, they are Lebesgue square
integrable. Now, the idea is the diﬀerence K−K
n
deﬁnes a bounded operator with
small norm as n becomes large. It might actually be clearer to do this the other
way round, exchanging the roles of x and y.
Problem 3.15. Although we have concentrated on the Lebesgue integral in
one variable, you proved at some point the covering lemma in dimension 2 and
that is pretty much all that was needed to extend the discussion to 2 dimensions.
Let’s just assume you have assiduously checked everything and so you know that
L
2
((0, 2π)
2
) is a Hilbert space. Sketch a proof – noting anything that you are not
sure of – that the functions exp(ikx+ily)/2π, k, l ∈ Z, form a complete orthonormal
basis.
Problem 3.16. Question: Is it possible to show the completeness of the Fourier
basis
exp(ikx)/
√
2π
by computation? Maybe, see what you think. These questions are also intended to
get you to say things clearly.
(1) Work out the Fourier coeﬃcients c
k
(t) =
(0,2π)
f
t
e
−ikx
of the step func
tion
(3.192) f
t
(x) =
1 0 ≤ x < t
0 t ≤ x ≤ 2π
for each ﬁxed t ∈ (0, 2π).
(2) Explain why this Fourier series converges to f
t
in L
2
(0, 2π) if and only if
(3.193) 2
¸
k>0
[c
k
(t)[
2
= 2πt −t
2
, t ∈ (0, 2π).
22. PROBLEMS 117
(3) Write this condition out as a Fourier series and apply the argument again
to show that the completeness of the Fourier basis implies identities for
the sum of k
−2
and k
−4
.
(4) Can you explain how reversing the argument, that knowledge of the sums
of these two series should imply the completeness of the Fourier basis?
There is a serious subtlety in this argument, and you get full marks for
spotting it, without going ahead a using it to prove completeness.
Problem 3.17. Prove that for appropriate constants d
k
, the functions d
k
sin(kx/2),
k ∈ N, form an orthonormal basis for L
2
(0, 2π).
Hint: The usual method is to use the basic result from class plus translation
and rescaling to show that d
k
exp(ikx/2) k ∈ Z form an orthonormal basis of
L
2
(−2π, 2π). Then extend functions as odd from (0, 2π) to (−2π, 2π).
Problem 3.18. Let e
k
, k ∈ N, be an orthonormal basis in a separable Hilbert
space, H. Show that there is a uniquely deﬁned bounded linear operator S : H −→
H, satisfying
(3.194) Se
j
= e
j+1
∀ j ∈ N.
Show that if B : H −→ H is a bounded linear operator then S+B is not invertible
if <
0
for some
0
> 0.
Hint: Consider the linear functional L : H −→ C, Lu = (Bu, e
1
). Show that
B
u = Bu − (Lu)e
1
is a bounded linear operator from H to the Hilbert space
H
1
= ¦u ∈ H; (u, e
1
) = 0¦. Conclude that S+B
is invertible as a linear map from
H to H
1
for small . Use this to argue that S +B cannot be an isomorphism from
H to H by showing that either e
1
is not in the range or else there is a nontrivial
element in the null space.
Problem 3.19. Show that the product of bounded operators on a Hilbert space
is strong continuous, in the sense that if A
n
and B
n
are strong convergent sequences
of bounded operators on H with limits A and B then the product A
n
B
n
is strongly
convergent with limit AB.
Hint: Be careful! Use the result in class which was deduced from the Uniform
Boundedness Theorem.
Problem 3.20. Let H be a separable (partly because that is mostly what I
have been talking about) Hilbert space with inner product (, ) and norm  . Say
that a sequence u
n
in H converges weakly if (u
n
, v) is Cauchy in C for each v ∈ H.
(1) Explain why the sequence u
n

H
is bounded.
Solution: Each u
n
deﬁnes a continuous linear functional on H by
(3.195) T
n
(v) = (v, u
n
), T
n
 = u
n
, T
n
: H −→C.
For ﬁxed v the sequence T
n
(v) is Cauchy, and hence bounded, in C so by
the ‘Uniform Boundedness Principle’ the T
n
 are bounded, hence u
n

is bounded in R.
(2) Show that there exists an element u ∈ H such that (u
n
, v) → (u, v) for
each v ∈ H.
Solution: Since (v, u
n
) is Cauchy in C for each ﬁxed v ∈ H it is
convergent. Set
(3.196) Tv = lim
n→∞
(v, u
n
) in C.
118 3. HILBERT SPACES
This is a linear map, since
(3.197) T(c
1
v
1
+c
2
v
2
) = lim
n→∞
c
1
(v
1
, u
n
) +c
2
(v
2
, u) = c
1
Tv
1
+c
2
Tv
2
and is bounded since [Tv[ ≤ Cv, C = sup
n
u
n
. Thus, by Riesz’ the
orem there exists u ∈ H such that Tv = (v, u). Then, by deﬁnition of
T,
(3.198) (u
n
, v) → (u, v) ∀ v ∈ H.
(3) If e
i
, i ∈ N, is an orthonormal sequence, give, with justiﬁcation, an ex
ample of a sequence u
n
which is not weakly convergent in H but is such
that (u
n
, e
j
) converges for each j.
Solution: One such example is u
n
= ne
n
. Certainly (u
n
, e
i
) = 0 for all
i > n, so converges to 0. However, u
n
 is not bounded, so the sequence
cannot be weakly convergent by the ﬁrst part above.
(4) Show that if the e
i
form an orthonormal basis, u
n
 is bounded and
(u
n
, e
j
) converges for each j then u
n
converges weakly.
Solution: By the assumption that (u
n
, e
j
) converges for all j it follows
that (u
n
, v) converges as n → ∞ for all v which is a ﬁnite linear combi
nation of the e
i
. For general v ∈ H the convergence of the FourierBessell
series for v with respect to the orthonormal basis e
j
(3.199) v =
¸
k
(v, e
k
)e
k
shows that there is a sequence v
k
→ v where each v
k
is in the ﬁnite span
of the e
j
. Now, by Cauchy’s inequality
(3.200) [(u
n
, v) −(u
m
, v)[ ≤ [(u
n
v
k
) −(u
m
, v
k
)[ +[(u
n
, v −v
k
)[ +[(u
m
, v −v
k
)[.
Given > 0 the boundedness of u
n
 means that the last two terms can be
arranged to be each less than /4 by choosing k suﬃciently large. Having
chosen k the ﬁrst term is less than /4 if n, m > N by the fact that (u
n
, v
k
)
converges as n → ∞. Thus the sequence (u
n
, v) is Cauchy in C and hence
convergent.
Problem 3.21. Consider the two spaces of sequences
h
±2
= ¦c : N −→C;
∞
¸
j=1
j
±4
[c
j
[
2
< ∞¦.
Show that both h
±2
are Hilbert spaces and that any linear functional satisfying
T : h
2
−→C, [Tc[ ≤ Cc
h
2
for some constant C is of the form
Tc =
∞
¸
j=1
c
i
d
i
where d : N −→C is an element of h
−2
.
Solution: Many of you hammered this out by parallel with l
2
. This is ﬁne, but
to prove that h
±2
are Hilbert spaces we can actually use l
2
itself. Thus, consider
the maps on complex sequences
(3.201) (T
±
c)
j
= c
j
j
±2
.
22. PROBLEMS 119
Without knowing anything about h
±2
this is a bijection between the sequences in
h
±2
and those in l
2
which takes the norm
(3.202) c
h
±2
= Tc
l
2.
It is also a linear map, so it follows that h
±
are linear, and that they are indeed
Hilbert spaces with T
±
isometric isomorphisms onto l
2
; The inner products on h
±2
are then
(3.203) (c, d)
h
±2
=
∞
¸
j=1
j
±4
c
j
d
j
.
Don’t feel bad if you wrote it all out, it is good for you!
Now, once we know that h
2
is a Hilbert space we can apply Riesz’ theorem to
see that any continuous linear functional T : h
2
−→C, [Tc[ ≤ Cc
h
2
is of the form
(3.204) Tc = (c, d
)
h
2
=
∞
¸
j=1
j
4
c
j
d
j
, d
∈ h
2
.
Now, if d
∈ h
2
then d
j
= j
4
d
j
deﬁnes a sequence in h
−2
. Namely,
(3.205)
¸
j
j
−4
[d
j
[
2
=
¸
j
j
4
[d
j
[
2
< ∞.
Inserting this in (3.204) we ﬁnd that
(3.206) Tc =
∞
¸
j=1
c
j
d
j
, d ∈ h
−2
.
(1) In P9.2 (2), and elsewhere, (
∞
(S) should be (
0
(S), the space of continuous
functions on the circle – with supremum norm.
(2) In (3.219) it should be u = Fv, not u = Sv.
(3) Similarly, before (3.220) it should be u = Fv.
(4) Discussion around (3.222) clariﬁed.
(5) Last part of P10.2 clariﬁed.
This week I want you to go through the invertibility theory for the operator
(3.207) Qu = (−
d
2
dx
2
+V (x))u(x)
acting on periodic functions. Since we have not developed the theory to handle this
directly we need to approach it through integral operators.
Problem 3.22. Let S be the circle of radius 1 in the complex plane, centered
at the origin, S = ¦z; [z[ = 1¦.
(1) Show that there is a 11 correspondence
(3.208) (
0
(S) = ¦u : S −→C, continuous¦ −→
¦u : R −→C; continuous and satisfying u(x + 2π) = u(x) ∀ x ∈ R¦.
(2) Show that there is a 11 correspondence
(3.209) L
2
(0, 2π) ←→ ¦u ∈ /
1
loc
(R); u
(0,2π)
∈ /
2
(0, 2π)
and u(x + 2π) = u(x) ∀ x ∈ R¦/A
P
120 3. HILBERT SPACES
where A
P
is the space of null functions on R satisfying u(x + 2π) = u(x)
for all x ∈ R.
(3) If we denote by L
2
(S) the space on the left in (3.209) show that there is
a dense inclusion
(3.210) (
0
(S) −→ L
2
(S).
So, the idea is that we can think of functions on S as 2πperiodic functions on
R.
Next are some problems dealing with Schr¨odinger’s equation, or at least it is
an example thereof:
(3.211) −
d
2
u(x)
dx
2
+V (x)u(x) = f(x), x ∈ R,
(1) First we will consider the special case V = 1. Why not V = 0? – Don’t
try to answer this until the end!
(2) Recall how to solve the diﬀerential equation
(3.212) −
d
2
u(x)
dx
2
+u(x) = f(x), x ∈ R,
where f(x) ∈ (
0
(S) is a continuous, 2πperiodic function on the line. Show
that there is a unique 2πperiodic and twice continuously diﬀerentiable
function, u, on R satisfying (3.212) and that this solution can be written
in the form
(3.213) u(x) = (Sf)(x) =
0,2π
A(x, y)f(y)
where A(x, y) ∈ (
0
(R
2
) satisﬁes A(x+2π, y+2π) = A(x, y) for all (x, y) ∈
R.
Extended hint: In case you managed to avoid a course on diﬀerential
equations! First try to ﬁnd a solution, igonoring the periodicity issue. To
do so one can (for example, there are other ways) factorize the diﬀerential
operator involved, checking that
(3.214) −
d
2
u(x)
dx
2
+u(x) = −(
dv
dx
+v) if v =
du
dx
−u
since the cross terms cancel. Then recall the idea of integrating factors to
see that
(3.215)
du
dx
−u = e
x
dφ
dx
, φ = e
−x
u,
dv
dx
+v = e
−x
dψ
dx
, ψ = e
x
v.
Now, solve the problem by integrating twice from the origin (say) and
hence get a solution to the diﬀerential equation (3.212). Write this out
explicitly as a double integral, and then change the order of integration
to write the solution as
(3.216) u
(x) =
0,2π
A
(x, y)f(y)dy
where A
is continuous on R[0, 2π]. Compute the diﬀerence u
(2π)−u
(0)
and
du
dx
(2π) −
du
dx
(0) as integrals involving f. Now, add to u
as solution
22. PROBLEMS 121
to the homogeneous equation, for f = 0, namely c
1
e
x
+c
2
e
−x
, so that the
new solution to (3.212) satisﬁes u(2π) = u(0) and
du
dx
(2π) =
du
dx
(0). Now,
check that u is given by an integral of the form (3.213) with A as stated.
(3) Check, either directly or indirectly, that A(y, x) = A(x, y) and that A is
real.
(4) Conclude that the operator S extends by continuity to a bounded operator
on L
2
(S).
(5) Check, probably indirectly rather than directly, that
(3.217) S(e
ikx
) = (k
2
+ 1)
−1
e
ikx
, k ∈ Z.
(6) Conclude, either from the previous result or otherwise that S is a compact
selfadjoint operator on L
2
(S).
(7) Show that if g ∈ (
0
(S)) then Sg is twice continuously diﬀerentiable. Hint:
Proceed directly by diﬀerentiating the integral.
(8) From (3.217) conclude that S = F
2
where F is also a compact selfadjoint
operator on L
2
(S) with eigenvalues (k
2
+ 1)
−
1
2
.
(9) Show that F : L
2
(S) −→ (
0
(S).
(10) Now, going back to the real equation (3.211), we assume that V is contin
uous, realvalued and 2πperiodic. Show that if u is a twicediﬀerentiable
2πperiodic function satisfying (3.211) for a given f ∈ (
0
(S) then
(3.218) u +S((V −1)u) = Sf and hence u = −F
2
((V −1)u) +F
2
f
and hence conclude that
(3.219) u = Fv where v ∈ L
2
(S) satisﬁes v + (F(V −1)F)v = Ff
where V −1 is the operator deﬁned by multiplication by V −1.
(11) Show the converse, that if v ∈ L
2
(S) satisﬁes
(3.220) v + (F(V −1)F)v = Ff, f ∈ (
0
(S)
then u = Fv is 2πperiodic and twicediﬀerentiable on R and satisﬁes
(3.211).
(12) Apply the Spectral theorem to F(V −1)F (including why it applies) and
show that there is a sequence λ
j
in R` ¦0¦ with [λ
j
[ → 0 such that for all
λ ∈ C ` ¦0¦, the equation
(3.221) λv + (F(V −1)F)v = g, g ∈ L
2
(S)
has a unique solution for every g ∈ L
2
(S) if and only if λ = λ
j
for any j.
(13) Show that for the λ
j
the solutions of
(3.222) λ
j
v + (F(V −1)F)v = 0, v ∈ L
2
(S),
are all continuous 2πperiodic functions on R.
(14) Show that the corresponding functions u = Fv where v satisﬁes (3.222) are
all twice continuously diﬀerentiable, 2πperiodic functions on R satisfying
(3.223) −
d
2
u
dx
2
+ (1 −s
j
+s
j
V (x))u(x) = 0, s
j
= 1/λ
j
.
(15) Conversely, show that if u is a twice continuously diﬀerentiable, 2πperiodic
function satisfying
(3.224) −
d
2
u
dx
2
+ (1 −s +sV (x))u(x) = 0, s ∈ C,
122 3. HILBERT SPACES
and u is not identically 0 then s = s
j
for some j.
(16) Finally, conclude that Fredholm’s alternative holds for the equation (3.211)
Theorem 16. For a given realvalued, continuous 2πperiodic func
tion V on R, either (3.211) has a unique twice continuously diﬀerentiable,
2πperiodic, solution for each f which is continuous and 2πperiodic or
else there exists a ﬁnite, but positive, dimensional space of twice continu
ously diﬀerentiable 2πperiodic solutions to the homogeneous equation
(3.225) −
d
2
w(x)
dx
2
+V (x)w(x) = 0, x ∈ R,
and (3.211) has a solution if and only if
(0,2π)
fw = 0 for every 2π
periodic solution, w, to (3.225).
Problem 3.23. Check that we really can understand all the 2π periodic eigen
functions of the Schr¨odinger operator using the discussion above. First of all, there
was nothing sacred about the addition of 1 to −d
2
/dx
2
, we could add any positive
number and get a similar result – the problem with 0 is that the constants satisfy
the homogeneous equation d
2
u/dx
2
= 0. What we have shown is that the operator
(3.226) u −→ Qu = −
d
2
u
dx
2
u +V u
applied to twice continuously diﬀerentiable functions has at least a left inverse
unless there is a nontrivial solution of
(3.227) −
d
2
u
dx
2
u +V u = 0.
Namely, the left inverse is R = F(Id +F(V −1)F)
−1
F. This is a compact selfadjoint
operator. Show – and there is still a bit of work to do – that (twice continuously
diﬀerentiable) eigenfunctions of Q, meaning solutions of Qu = τu are precisely the
nontrivial solutions of Ru = τ
−1
u.
What to do in case (3.227) does have a nontrivial solution? Show that the
space of these is ﬁnite dimensional and conclude that essentially the same result
holds by working on the orthocomplement in L
2
(S).
By now you should have become reasonably comfortable with a separable
Hilbert space such as l
2
. However, it is worthwhile checking once again that it
is rather large – if you like, let me try to make you uncomfortable for one last time.
An important result in this direction is Kuiper’s theorem, which I will not ask you
to prove
1
. However, I want you to go through the closely related result sometimes
known as Eilenberg’s swindle. Perhaps you will appreciate the little bit of trickery.
First some preliminary results. Note that everything below is a closed curve in the
x ∈ [0, 1] variable – you might want to identify this with a circle instead, I just did
it the primitive way.
Problem 3.24. Let H be a separable, inﬁnite dimensional Hilbert space. Show
that the direct sum of two copies of H is a Hilbert space with the norm
(3.228) H ⊕H ÷ (u
1
, u
2
) −→ (u
1

2
H
+u
2

2
H
)
1
2
1
Kuiper’s theorem says that for any (norm) continuous map, say from any compact metric
space, g : M −→GL(H) with values in the invertible operators on a separable inﬁnitedimensional
Hilbert space there exists a continuous map, an homotopy, h : M × [0, 1] −→ GL(H) such that
h(m, 0) = g(m) and h(m, 1) = Id
H
for all m ∈ M.
22. PROBLEMS 123
either by constructing an isometric isomorphism
(3.229) T : H −→ H ⊕H, 11 and onto, u
H
= Tu
H⊕H
or otherwise. In any case, construct a map as in (3.229).
Problem 3.25. One can repeat the preceding construction any ﬁnite number
of times. Show that it can be done ‘countably often’ in the sense that if H is a
separable, inﬁnite dimensional, Hilbert space then
(3.230) l
2
(H) = ¦u : N −→ H; u
2
l
2
(H)
=
¸
i
u
i

2
H
< ∞¦
has a Hilbert space structure and construct an explicit isometric isomorphism from
l
2
(H) to H.
Problem 3.26. Recall, or perhaps learn about, the winding number of a closed
curve with values in C
∗
= C ` ¦0¦. We take as given the following fact:
2
If Q =
[0, 1]
N
and f : Q −→ C
∗
is continuous then for each choice of b ∈ C satisfying
exp(2πib) = f(0), there exists a unique continuous function F : Q −→C satisfying
(3.231) exp(2πiF(q)) = f(q), ∀ q ∈ Q and F(0) = b.
Of course, you are free to change b to b + n for any n ∈ Z but then F changes to
F +n, just shifting by the same integer.
(1) Now, suppose c : [0, 1] −→C
∗
is a closed curve – meaning it is continuous
and c(1) = c(0). Let C : [0, 1] −→ C be a choice of F for N = 1 and
f = c. Show that the winding number of the closed curve c may be deﬁned
unambiguously as
(3.232) wn(c) = C(1) −C(0) ∈ Z.
(2) Show that wn(c) is constant under homotopy. That is if c
i
: [0, 1] −→C
∗
,
i = 1, 2, are two closed curves so c
i
(1) = c
i
(0), i = 1, 2, which are homo
topic through closed curves in the sense that there exists f : [0, 1]
2
−→C
∗
continuous and such that f(0, x) = c
1
(x), f(1, x) = c
2
(x) for all x ∈ [0, 1]
and f(y, 0) = f(y, 1) for all y ∈ [0, 1], then wn(c
1
) = wn(c
2
).
(3) Consider the closed curve L
n
: [0, 1] ÷ x −→ e
2πix
Id
n×n
of nn matrices.
Using the standard properties of the determinant, show that this curve
is not homotopic to the identity through closed curves in the sense that
there does not exist a continuous map G : [0, 1]
2
−→ GL(n), with values in
the invertible nn matrices, such that G(0, x) = L
n
(x), G(1, x) ≡ Id
n×n
for all x ∈ [0, 1], G(y, 0) = G(y, 1) for all y ∈ [0, 1].
Problem 3.27. Consider the closed curve corresponding to L
n
above in the
case of a separable but now inﬁnite dimensional Hilbert space:
(3.233) L : [0, 1] ÷ x −→ e
2πix
Id
H
∈ GL(H) ⊂ B(H)
taking values in the invertible operators on H. Show that after identifying H with
H ⊕H as above, there is a continuous map
(3.234) M : [0, 1]
2
−→ GL(H ⊕H)
2
Of course, you are free to give a proof – it is not hard.
124 3. HILBERT SPACES
with values in the invertible operators and satisfying
(3.235)
M(0, x) = L(x), M(1, x)(u
1
, u
2
) = (e
4πix
u
1
, u
2
), M(y, 0) = M(y, 1), ∀ x, y ∈ [0, 1].
Hint: So, think of H ⊕H as being 2vectors (u
1
, u
2
) with entries in H. This allows
one to think of ‘rotation’ between the two factors. Indeed, show that
(3.236) U(y)(u
1
, u
2
) = (cos(πy/2)u
1
+sin(πy/2)u
2
, −sin(πy/2)u
1
+cos(πy/2)u
2
)
deﬁnes a continuous map [0, 1] ÷ y −→ U(y) ∈ GL(H ⊕ H) such that U(0) = Id,
U(1)(u
1
, u
2
) = (u
2
, −u
1
). Now, consider the 2parameter family of maps
(3.237) U
−1
(y)V
2
(x)U(y)V
1
(x)
where V
1
(x) and V
2
(x) are deﬁned on H⊕H as multiplication by exp(2πix) on the
ﬁrst and the second component respectively, leaving the other ﬁxed.
Problem 3.28. Using a rotation similar to the one in the preceeding problem
(or otherwise) show that there is a continuous map
(3.238) G : [0, 1]
2
−→ GL(H ⊕H)
such that
(3.239) G(0, x)(u
1
, u
2
) = (e
2πix
u
1
, e
−2πix
u
2
),
G(1, x)(u
1
, u
2
) = (u
1
, u
2
), G(y, 0) = G(y, 1) ∀ x, y ∈ [0, 1].
Problem 3.29. Now, think about combining the various constructions above
in the following way. Show that on l
2
(H) there is an homotopy like (3.238),
˜
G :
[0, 1]
2
−→ GL(l
2
(H)), (very like in fact) such that
(3.240)
˜
G(0, x) ¦u
k
¦
∞
k=1
=
¸
exp((−1)
k
2πix)u
k
¸
∞
k=1
,
˜
G(1, x) = Id,
˜
G(y, 0) =
˜
G(y, 1) ∀ x, y ∈ [0, 1].
Problem 3.30. “Eilenberg’s swindle” For an inﬁnite dimenisonal separable
Hilbert space, construct an homotopy – meaning a continuous map G : [0, 1]
2
−→
GL(H) – with G(0, x) = L(x) in (3.233) and G(1, x) = Id and of course G(y, 0) =
G(y, 1) for all x, y ∈ [0, 1].
Hint: Just put things together – of course you can rescale the interval at the end
to make it all happen over [0, 1]. First ‘divide H into 2 copies of itself’ and deform
from L to M(1, x) in (3.235). Now, ‘divide the second H up into l
2
(H)’ and apply
an argument just like the preceding problem to turn the identity on this factor into
alternating terms multiplying by exp(±4πix) – starting with −. Now, you are on
H ⊕ l
2
(H), ‘renumbering’ allows you to regard this as l
2
(H) again and when you
do so your curve has become alternate multiplication by exp(±4πix) (with + ﬁrst).
Finally then, apply the preceding problem again, to deform to the identity (always
of course through closed curves). Presto, Eilenberg’s swindle!
Problem 3.31. Check that we really can understand all the 2π periodic eigen
functions of the Schr¨odinger operator using the discussion above. First of all, there
was nothing sacred about the addition of 1 to −d
2
/dx
2
, we could add any positive
number and get a similar result – the problem with 0 is that the constants satisfy
the homogeneous equation d
2
u/dx
2
= 0. What we have shown is that the operator
(3.241) u −→ Qu = −
d
2
u
dx
2
u +V u
23. SOLUTIONS TO PROBLEMS 125
applied to twice continuously diﬀerentiable functions has at least a left inverse
unless there is a nontrivial solution of
(3.242) −
d
2
u
dx
2
u +V u = 0.
Namely, the left inverse is R = F(Id +F(V −1)F)
−1
F. This is a compact selfadjoint
operator. Show – and there is still a bit of work to do – that (twice continuously
diﬀerentiable) eigenfunctions of Q, meaning solutions of Qu = τu are precisely the
nontrivial solutions of Ru = τ
−1
u.
What to do in case (3.242) does have a nontrivial solution? Show that the
space of these is ﬁnite dimensional and conclude that essentially the same result
holds by working on the orthocomplement in L
2
(S).
23. Solutions to problems
CHAPTER 4
Applications
The last part of the course includes some applications of Hilbert space – the
completeness of the Fourier basis, some spectral theory for operators on an interval
or the circle and enough of a treatment of the eigenfunctions for the harmonic
oscillator to show that the Fourier transform in an isomorphism on L
2
(R). Once
one has all this, one can do a lot more, but there is no time left. Such is life.
1. Fourier series and L
2
(0, 2π).
Let us now try applying our knowledge of Hilbert space to a concrete Hilbert
space such as L
2
(a, b) for a ﬁnite interval (a, b) ⊂ R. You showed that this is indeed a
Hilbert space. One of the reasons for developing Hilbert space techniques originally
was precisely the following result.
Theorem 17. If u ∈ L
2
(0, 2π) then the Fourier series of u,
(4.1)
1
2π
¸
k∈Z
c
k
e
ikx
, c
k
=
(0,2π)
u(x)e
−ikx
dx
converges in L
2
(0, 2π) to u.
Notice that this does not say the series converges pointwise, or pointwise almost
everywhere since this need not be true – depending on u. We are just claiming that
(4.2) lim
n→∞
[u(x) −
1
2π
¸
k≤n
c
k
e
ikx
[
2
= 0
for any u ∈ L
2
(0, 2π).
Our abstract Hilbert space theory has put us quite close to proving this. First
observe that if e
k
(x) = exp(ikx) then these elements of L
2
(0, 2π) satisfy
(4.3)
e
k
e
j
=
2π
0
exp(i(k −j)x) =
0 if k = j
2π if k = j.
Thus the functions
(4.4) e
k
=
e
k
e
k

=
1
√
2π
e
ikx
form an orthonormal set in L
2
(0, 2π). It follows that (4.1) is just the FourierBessel
series for u with respect to this orthonormal set:
(4.5) c
k
=
√
2π(u, e
k
) =⇒
1
2π
c
k
e
ikx
= (u, e
k
)e
k
.
So, we already know that this series converges in L
2
(0, 2π) thanks to Bessel’s iden
tity. So ‘all’ we need to show is
127
128 4. APPLICATIONS
Proposition 43. The e
k
, k ∈ Z, form an orthonormal basis of L
2
(0, 2π), i.e.
are complete:
(4.6)
ue
ikx
= 0 ∀ k =⇒ u = 0 in L
2
(0, 2π).
This however, is not so trivial to prove. An equivalent statement is that the ﬁ
nite linear span of the e
k
is dense in L
2
(0, 2π). I will prove this using Fej´er’s method.
In this approach, we check that any continuous function on [0, 2π] satisfying the
additional condition that u(0) = u(2π) is the uniform limit on [0, 2π] of a sequence
in the ﬁnite span of the e
k
. Since uniform convergence of continuous functions cer
tainly implies convergence in L
2
(0, 2π) and we already know that the continuous
functions which vanish near 0 and 2π are dense in L
2
(0, 2π) this is enough to prove
Proposition 43. However the proof is a serious piece of analysis, at least it is to
me! There are other approaches, for instance we could use the StoneWeierstrass
Theorem.
So, the problem is to ﬁnd the sequence in the span of the e
k
. The trick is to use
the Fourier expansion that we want to check. The idea of Ces`aro is to make this
Fourier expansion ‘converge faster’, or maybe better. For the moment we can work
with a general function u ∈ L
2
(0, 2π) – or think of it as continuous if you prefer.
So the truncated Fourier series is
(4.7) U
n
(x) =
1
2π
¸
k≤n
(
(0,2π)
u(t)e
−ikt
dt)e
ikx
where I have just inserted the deﬁnition of the c
k
’s into the sum. This is just a
ﬁnite sum so we can treat x as a parameter and use the linearity of the integral to
write this as
(4.8) U
n
(x) =
(0,2π)
D
n
(x −t)u(t), D
n
(s) =
1
2π
¸
k≤n
e
iks
.
Now this sum can be written as an explicit quotient, since, by telescoping,
(4.9) 2πD
n
(s)(e
is/2
−e
−is/2
) = e
i(n+
1
2
)s
−e
−i(n+
1
2
)s
.
So in fact, at least where s = 0,
(4.10) D
n
(s) =
e
i(n+
1
2
)s
−e
−i(n+
1
2
)s
2π(e
is/2
−e
−is/2
)
and of course the limit as s → 0 exists just ﬁne.
As I said, Ces`aro’s idea is to speed up the convergence by replacing U
n
by its
average
(4.11) V
n
(x) =
1
n + 1
n
¸
l=0
U
l
.
Again plugging in the deﬁnitions of the U
l
’s and using the linearity of the integral
we see that
(4.12) V
n
(x) =
(0,2π)
S
n
(x −t)u(t), S
n
(s) =
1
n + 1
n
¸
l=0
D
l
(s).
1. FOURIER SERIES AND L
2
(0, 2π). 129
So again we want to compute a more useful form for S
n
(s) – which is the Fej´er
kernel. Since the denominators in (4.10) are all the same,
(4.13) 2π(n + 1)(e
is/2
−e
−is/2
)S
n
(s) =
n
¸
l=0
e
i(n+
1
2
)s
−
n
¸
l=0
e
−i(n+
1
2
)s
.
Using the same trick again,
(4.14) (e
is/2
−e
−is/2
)
n
¸
l=0
e
i(n+
1
2
)s
= e
i(n+1)s
−1
so
(4.15)
2π(n + 1)(e
is/2
−e
−is/2
)
2
S
n
(s) = e
i(n+1)s
+e
−i(n+1)s
−2
=⇒ S
n
(s) =
1
n + 1
sin
2
(
(n+1)
2
s)
2π sin
2
(
s
2
)
.
Now, what can we say about this function? One thing we know immediately is
that if we plug u = 1 into the disucssion above, we get U
n
= 1 for n ≥ 0 and hence
V
n
= 1 as well. Thus in fact
(4.16)
(0,2π)
S
n
(x −) = 1.
Looking directly at (4.15) the ﬁrst thing to notice is that S
n
(s) ≥ 0. Also, we
can see that the denominator only vanishes when s = 0 or s = 2π in [0, 2π]. Thus
if we stay away from there, say s ∈ (δ, 2π −δ) for some δ > 0 then – since sin(t) is
a bounded function
(4.17) [S
n
(s)[ ≤ (n + 1)
−1
C
δ
on (δ, 2π −δ).
We are interested in how close V
n
(x) is to the given u(x) in supremum norm,
where now we will take u to be continuous. Because of (4.16) we can write
(4.18) u(x) =
(0,2π)
S
n
(x −t)u(x)
where t denotes the variable of integration (and x is ﬁxed in [0, 2π]). This ‘trick’
means that the diﬀerence is
(4.19) V
n
(x) −u(x) =
(0,2π)
S
x
(x −t)(u(t) −u(x)).
For each x we split this integral into two parts, the set Γ(x) where x −t ∈ [0, δ] or
x −t ∈ [2π −δ, 2π] and the remainder. So
(4.20)
[V
n
(x) −u(x)[ ≤
Γ(x)
S
x
(x −t)[u(t) −u(x)[ +
(0,2π)\Γ(x)
S
x
(x −t)[u(t) −u(x)[.
Now on Γ(x) either [t −x[ ≤ δ – the points are close together – or t is close to 0 and
x to 2π so 2π −x+t ≤ δ or conversely, x is close to 0 and t to 2π so 2π −t +x ≤ δ.
In any case, by assuming that u(0) = u(2π) and using the uniform continuity of a
continuous function on [0, 2π], given > 0 we can choose δ so small that
(4.21) [u(x) −u(t)[ ≤ /2 on Γ(x).
130 4. APPLICATIONS
On the complement of Γ(x) we have (4.17) and since u is bounded we get the
estimate
(4.22) [V
n
(x)−u(x)[ ≤ /2
Γ(x)
S
n
(x−t)+(n+1)
−1
C
(δ) ≤ /2+(n+1)
−1
C
(δ).
Here the fact that S
n
is nonnegative and has integral one has been used again to
estimate the integral of S
n
(x−t) over Γ(x) by 1. Having chosen δ to make the ﬁrst
term small, we can choose n large to make the second term small and it follows
that
(4.23) V
n
(x) → u(x) uniformly on [0, 2π] as n → ∞
under the assumption that u ∈ (([0, 2π]) satisﬁes u(0) = u(2π).
So this proves Proposition 43 subject to the density in L
2
(0, 2π) of the contin
uous functions which vanish near (but not of course in a ﬁxed neighbourhood of)
the ends. In fact we know that the L
2
functions which vanish near the ends are
dense since we can chop oﬀ and use the fact that
(4.24) lim
δ→0
(0,δ)
[f[
2
+
(2π−δ,2π)
[f[
2
= 0.
The L
2
functions which vanish near the ends are in the closure of the span of
the step functions which vanish near the ends. Each such step function can be
approximated in L
2
((0, 2π)) by a continuous function which vanishes near the ends
so we are done as far as density is concerned. This proves Theorem 17.
2. Dirichlet problem on an interval
I want to do a couple more ‘serious’ applications of what we have done so
far. There are many to choose from, and I will mention some more, but let me
ﬁrst consider the Diriclet problem on an interval. I will choose the interval [0, 2π]
because we looked at it before. So, we supposed to be trying to solve
(4.25) −
d
2
u(x)
dx
2
+V (x)u(x) = f(x) on (0, 2π), u(0) = u(2π) = 0
where the last part are the Dirichlet boundary conditions. I will assume that
(4.26) V : [0, 2π] −→R is continuous and realvalued.
Now, it certainly makes sense to try to solve the equation (4.25) for say a given
f ∈ (
0
([0, 2π]), looking for a solution which is twice continuously diﬀerentiable on
the interval. It may not exist, depending on V but one thing we can shoot for,
which has the virtue of being explicit, is the following:
Proposition 44. If V ≥ 0 as in (4.26) then for each f ∈ (
0
([0, 2π]) there
exists a unique twice continuously diﬀerentiable solution, u, to (4.25).
You will see that it is a bit hard to approach this directly – especially if you
have some ODE theory at your ﬁngertips. There are in fact various approaches
to this but we want to go through L
2
theory – not surprisingly of course. How to
start?
Well, we do know how to solve (4.25) if V ≡ 0 since we can use (Riemann)
integration. Thus, ignoring the boundary conditions for the moment, we can ﬁnd
2. DIRICHLET PROBLEM ON AN INTERVAL 131
a solution to −d
2
v/dx
2
= f on the interval by integrationg twice:
(4.27) v(x) = −
x
0
y
0
f(t)dtdy satiﬁes −d
2
v/dx
2
= f on (0, 2π).
Moroever v really is twice continuously diﬀerentiable if f is continuous. So, what
has this got to do with operators? Well, we can change the order of integration in
(4.27) to write v as
(4.28) v(x) = −
x
0
x
t
f(t)dydt =
2π
0
a(x, t)f(t)dt, a(x, t) = (t −x)H(x −t)
where the Heaviside function H(y) is 1 when y ≥ 0 and 0 when y < 0. Thus a(x, t)
is actually continuous on [0, 2π] [0, 2π] since the t −x factor vanishes at the jump
in H(t −x). So (4.28) shows that v is given by applying an integral operator, with
continuous kernel on the square, to f.
Before thinking more seriously about this, recall that there is also the matter
of the conditions. Clearly, v(0) = 0 since we integrated from there. However, there
is no particular reason why
(4.29) v(2π) =
2π
0
(t −2π)f(t)dt
should vanish. However, we can always add to v any linear function and still satify
the diﬀerential equation. Since we do not want to spoil the vanishing at x = 0 we
can only aﬀord to add cx but if we choose c correctly, namely consider
(4.30) c =
1
2π
2π
0
(2π −t)f(t)dt, then (v +cx)(2π) = 0.
So, ﬁnally the solution we want is
(4.31) w(x) =
2π
0
b(x, t)f(t)dt, b(x, t) = min(t, x) −
tx
2π
∈ (([0, 2π]
2
)
with the formula for b following by simpleo manipulation from
(4.32) b(x, t) = a(x, t) +x −
tx
2π
Thus there is the unique, twice continuously diﬀerentiable, solution of −d
2
w/dx
2
=
f in (0, 2π) which vanishes at both end points and it is given by the integral operator
(4.31).
Lemma 38. The integral operator (4.31) extends by continuity from (
0
([0, 2π])
to a compact, selfadjoint operator on L
2
(0, 2π).
Proof. Since w is given by an integral operator with a continuous realvalued
kernel which is even in the sense that (check it)
(4.33) b(t, x) = b(x, t)
we might as well give a more general result.
Proposition 45. If b ∈ (
0
([0, 2π]
2
) then
(4.34) Bf(x) =
2π
0
b(x, t)f(t)dt
132 4. APPLICATIONS
deﬁnes a compact operator on L
2
(0, 2π) if in addition b satisﬁes
(4.35) b(t, x) = b(x, t)
then B is selfadjoint.
Proof. If f ∈ L
2
((0, 2π)) and v ∈ (([0, 2π]) then the product vf ∈ L
2
((0, 2π))
and vf
L
2 ≤ v
∞
f
L
2. This can be seen for instance by taking an absolutely
summable approcimation to f, which gives a sequence of continuous functions con
verging a.e. to f and bounded by a ﬁxed L
2
function and observing that vf
n
→ vf
a.e. with bound a constant multiple, sup [v[, of that function. It follows that for
b ∈ (([0, 2π]) the product
(4.36) b(x, y)f(y) ∈ L
2
((0, 2π))
for each x ∈ [0, 2π]. Thus Bf(x) is welldeﬁned by (4.35) since L
2
((0, 2π) ⊂
L
2
((0, 2π)).
Not only that, but Bf ∈ (([0, 2π]) as can be seen from Schwarz inequality,
(4.37)
[Bf(x
) −Bf(x)[ = [
(b(x
, y) −b(x, y))f(y)[ ≤ sup
y
[b(x
, y −b(x, y)[(2π)
1
2
f
L
2.
Essentially the same estimate shows that
(4.38) sup
x
Bf(x) ≤ (2π)
1
2
sup
(x,y)
[b[f
L
2
so indeed, B : L
2
((0, 2π)) −→ (([0, 2π]) is a bounded linear operator.
When b satisﬁes (4.35) and f and g are continuous
(4.39)
BF(x)g(x) =
f(x)Bg(x)
and the general case follows by approximation by continuous functions.
So, we need to see the compactness. If we ﬁx x then b(x, y) ∈ (([0, 2π]) and
then if we let x vary,
(4.40) [0, 2π] ÷ x −→ b(x, ) ∈ (([0, 2π])
is continuous as a map into this Banach space. Again this is the uniform continuity
of a continuous function on a compact set, which shows that
(4.41) sup
y
b(x
, y) −b(x, y)[ → 0 as x
→ x.
Since the inclusion map (([0, 2π]) −→ L
2
(90, 2π)) is bounded, i.e continuous, it
follows that the map (I have reversed the variables)
(4.42) [0, 2π] ÷ y −→ b(, y) ∈ L
2
((0, 2π))
is continuous and so has a compact range.
Take the Fourier basis e
k
for [0, 2π] and expand b in the ﬁrst variable. Given
> 0 the compactness of the image of (4.42) implies that for some N
(4.43)
¸
k>N
[(b(x, y), e
k
(x))[
2
< ∀ y ∈ [0, 2π].
The ﬁnite part of the Fourier series is continuous as a function of both arguments
(4.44) b
N
(x, y) =
¸
k≤N
e
k
(x)c
k
(y), c
k
(y) = (b(x, y), e
k
(x))
2. DIRICHLET PROBLEM ON AN INTERVAL 133
and so deﬁnes another bounded linear operator B
N
as before. This operator can
be written out as
(4.45) B
N
f(x) =
¸
k≤N
e
k
(x)
c
k
(y)f(y)dy
and so is of ﬁnite rank – it always takes values in the span of the ﬁrst 2N + 1
trigonometric functions. On the other hand the remained is given by a similar
operator with corresponding to q
N
= b −b
N
and this satisﬁes
(4.46) sup
y
q
N
(, y)
L
2
((0,2π))
→ 0 as N → ∞.
Thus, q
N
has small norm as a bounded operator on L
2
((0, 2π)) so B is compact –
it is the norm limit of ﬁnite rank operators.
Now, recall from one of the Problem sets that u
k
= c sin(kx/2), k ∈ N, is
also an orthonormal basis for L
2
(0, 2π) (it is not the Fouier basis!) Moreover,
diﬀerentiating we ﬁnd straight away that
(4.47) −
d
2
u
k
dx
2
=
k
2
4
u
k
.
Since of course u
k
(0) = 0 = u
k
(2π) as well, from the uniqueness above we conclude
that
(4.48) Bu
k
=
4
k
2
u
k
∀ k.
Thus, in this case we know the orthonormal basis of eigenfunctions for B. They
are the u
k
, each eigenspace is 1 dimensional and the eigenvalues are 4k
−2
. So, this
happenstance allows us to decompose B as the square of another operator deﬁned
directly on the othornormal basis. Namely
(4.49) Au
k
=
2
k
u
k
=⇒ B = A
2
.
Here again it is immediate that A is a compact selfadjoint operator on L
2
(0, 2π)
since its eigenvalues tend to 0. In fact we can see quite a lot more than this.
Lemma 39. The operator A maps L
2
(0, 2π) into (
0
([0, 2π]) and Af(0) =
Af(2π) = 0 for all f ∈ L
2
(0, 2π).
Proof. If f ∈ L
2
(0, 2π) we may expand it in FourierBessel series in terms of
the u
k
and ﬁnd
(4.50) f =
¸
k
c
k
u
k
, ¦c
k
¦ ∈ l
2
.
Then of course, by deﬁnition,
(4.51) Af =
¸
k
2c
k
k
u
k
.
Here each u
k
is a bounded continuous function, with the bound on u
k
being in
dependent of k. So in fact (4.51) converges uniformly and absolutely since it is
uniformly Cauchy, for any q > p,
(4.52) [
q
¸
k=p
2c
k
k
u
k
[ ≤ 2[c[
q
¸
k=p
[c
k
[k
−1
≤ 2[c[
¸
q
¸
k=p
k
−2
¸
1
2
f
L
2
134 4. APPLICATIONS
where CauchySchwartz has been used. This proves that
A : L
2
(0, 2π) −→ (
0
([0, 2π])
is bounded and by the uniform convergence u
k
(0) = u
k
(2π) = 0 for all k implies
that Af(0) = Af(2π) = 0.
So, going back to our original problem we try to solve (4.25) by moving the V u
term to the right side of the equation (don’t worry about regularity yet) and hope
to use the observation that
(4.53) u = −A
2
(V u) +A
2
f
should satisfy the equation and boundary conditions. In fact, let’s hope that u =
Av, which has to be true if (4.53) holds with v = −AV u+Af, and look instead for
(4.54) v = −AV Av +Af =⇒ (Id +AV A)v = Af.
So, we know that multiplication by V, which is real and continuous, is a bounded
selfadjoint operator on L
2
(0, 2π). Thus AV A is a selfadjoint compact operator so
we can apply our spectral theory to Id +AV A. It has a complete orthonormal basis
of eigenfunctions and is invertible if and only if it has trivial null space.
An element of the null space would have to satisfy u = −AV Au. On the other
hand we know that AV A is positive since
(4.55) (AV Aw, w) = (V Av, Av) =
(0,2π)
V (x)[Av[
2
≥ 0 =⇒
(0,2π)
[u[
2
= 0,
using the nonnegativity of V. So, there can be no null space – all the eigenvalues
of AV A are at least nonnegative so −1 is not amongst them.
Thus Id +AV A is invertible on L
2
(0, 2π) with inverse of the form Id +Q, Q
again compact and selfadjoint. So, to solve (4.54) we just need to take
(4.56) v = (Id +Q)Af ⇐⇒ v +AV Av = Af in L
2
(0, 2π).
Then indeed
(4.57) u = Av satisﬁes u +A
2
V u = A
2
f.
In fact since v ∈ L
2
(0, 2π) from (4.56) we already know that u ∈ (
0
([0, 2π]) vanishes
at the end points.
Moreover if f ∈ (
0
([0, 2π]) we know that Bf = A
2
f is twice continuously
diﬀerentiable, since it is given by integrations – that is where B came from. Now,
we know that u is L
2
satisﬁes u = −A
2
(V u) + A
2
f. Since V u ∈ L
2
((0, 2π) so is
A(V u) and then, as seen above, A(A(V u) is continuous. So combining this with
the result about A
2
f we see that u itself is continuous and hence so is V u. But
then, going through the routine again
(4.58) u = −A
2
(V u) +A
2
f
is the sum of two twice continuously diﬀerentiable functions. Thus is so itself. In
fact from the properties of B = A
2
it satisifes
(4.59) −
d
2
u
dx
2
= −V u +f
2. DIRICHLET PROBLEM ON AN INTERVAL 135
which is what the result claims. So, we have proved the existence part of Proposi
tion 44. The uniqueness follows pretty much the same way. If there were two twice
continuously diﬀerentiable solutions then the diﬀerence w would satisfy
(4.60) −
d
2
w
dx
2
+V w = 0, w(0) = w(2π) = 0 =⇒ w = −Bw = −A
2
V w.
Thus w = Aφ, φ = −AV w ∈ L
2
(0, 2π). Thus φ in turn satisﬁes φ = AV Aφ and
hence is a solution of (Id +AV A)φ = 0 which we know has none (assuming V ≥ 0).
Since φ = 0, w = 0.
This completes the proof of Proposition 44. To summarize what we have shown
is that Id +AV A is an invertible bounded operator on L
2
(0, 2π) (if V ≥ 0) and then
the solution to (4.25) is precisely
(4.61) u = A(Id +AV A)
−1
Af
which is twice continuously diﬀerentiable and satisﬁes the Dirichlet conditions for
each f ∈ (
0
([0, 2π]).
Now, even if we do not assume that V ≥ 0 we pretty much know what is
happening.
Proposition 46. For any V ∈ (
0
([0, 2π]) realvalued, there is an orthonormal
basis w
k
of L
2
(0, 2π) consisting of twicecontinuously diﬀerentiable functions on
[0, 2π], vanishing at the endpoints and satisfying −
d
2
w
k
dx
2
+ V w
k
= T
k
w
k
where
T
k
→ ∞ as k → ∞. The equation (4.25) has a (twice continuously diﬀerentiable)
solution for given f ∈ (
0
([0, 2π]) if and only if
(4.62) T
K
= 0 =⇒
(0,2π)
fw
k
= 0,
i.e. f is orthogonal to the null space of Id +A
2
V, which is the image under A of
the null space of Id +AV A, in L
2
(0, 2π).
Proof. Notice the form of the solution in case V ≥ 0 in (4.61). In general, we
can choose a constant c such that V +c ≥ 0. Then the equation
(4.63) −
d
2
w
dx
2
+V w = Tw
k
⇐⇒ −
d
2
w
dx
2
+ (V +c)w = (T +c)w.
Thus, if w satisﬁes this eigenequation then it also satisﬁes
(4.64) w = (T +c)A(Id +A(V +c)A)
−1
Aw ⇐⇒
Sw = (T +c)
−1
w, S = A(Id +A(V +c)A)
−1
A.
Now, we have shown that S is a compact selfadjoint operator on L
2
(0, 2π) so we
know that it has a complete set of eigenfunctions, e
k
, with eigenvalues τ
k
= 0. From
the discussion above we then know that each e
k
is actually continuous – since it is
Aw
with w
∈ L
2
(0, 2π) and hence also twice continuously diﬀerentiable. So indeed,
these e
k
satisfy the eigenvalue problem (with Dirichlet boundary conditions) with
eigenvalues
(4.65) T
k
= τ
−1
k
+c → ∞ as k → ∞.
The solvability part also follows in much the same way.
136 4. APPLICATIONS
3. Harmonic oscillator
As a second ‘serious’ application of our Hilbert space theory – but not this time
the spectral theorem, at least not immediately, I want to discuss the Hermite basis
for L
2
(R). Note that so far we have not found an explicit orthonormal basis on the
whole real line, even though we know L
2
(R) to be separable, so we certainly know
that such a basis exists. How to construct one explicitly and with some handy
properties? One way is to simply orthonormalize – using GramSchmidt – some
countable set with dense span. For instance consider the basic Gaussian function
(4.66) exp(−
x
2
2
) ∈ L
2
(R).
This is so rapidly decreasing at inﬁnity that the product with any polynomial is
also square integrable:
(4.67) x
k
exp(−
x
2
2
) ∈ L
2
(R) ∀ k ∈ N
0
= ¦0, 1, 2, . . . ¦.
Orthonormalizing this sequence gives an orthonormal basis, where completeness
can be shown by an appropriate approximation technique but as usual is not so
simple.
Rather than proceed directly we will work up to this by discussing the eigen
functions of the harmonic oscillator
(4.68) H = −
d
2
dx
2
+x
2
which we want to think of as an operator – although for the moment I will leave
vague the question of what it operates on.
The ﬁrst thing to observe is that the Gaussian is an eigenfunction of H
(4.69) He
−x
2
/2
= −
d
dx
(−xe
−x
2
/2
+x
2
e
−x
2
/2
−(x
2
−1)e
−x
2
/2
+x
2
e
−x
2
/2
= e
−x
2
/2
with eigenvalue 1 – for the moment this is only in a formal sense.
In this special case there is an essentially algebraic way to generate a whole
sequence of eigenfunctions from the Gaussian. To do this, write
(4.70) Hu = (−
d
dx
+x)(
d
dx
+x)u +u = (CA+ 1)u,
C = (−
d
dx
+x), A = (
d
dx
+x)
again formally as operators. Then note that
(4.71) Ae
−x
2
/2
= 0
which again proves (4.69). The two operators in (4.70) are the ‘creation’ operator
and the ‘annihilation’ operator. They almost commute in the sense that
(4.72) (AC −CA)u = 2u
for say any twice continuously diﬀerentiable function u.
Now, set u
0
= e
−x
2
/2
which is the ‘ground state’ and consider u
1
= Cu
0
. From
(4.72), (4.71) and (4.70),
(4.73) Hu
1
= (CAC +C)u
0
= C
2
Au
0
+ 3Cu
0
= 3u
1
.
3. HARMONIC OSCILLATOR 137
Thus, u
1
is an eigenfunction with eigenvalue 3.
Lemma 40. For j ∈ N
0
= ¦0, 1, 2, . . . ¦ the function u
j
= C
j
u
0
satisﬁes Hu
j
=
(2j + 1)u
j
.
Proof. This follows by induction on j, where we know the result for j = 0
and j = 1. Then
(4.74) HCu
j
= (CA+ 1)Cu
j
= C(H −1)u
j
+ 3Cu
j
= (2j + 3)u
j
.
Again by induction we can check that u
j
= (2
j
x
j
+q
j
(x))e
−x
2
/2
where q
j
is a
polynomial of degree at most j −2. Indeed this is true for j = 0 and j = 1 (where
q
0
= q
1
≡ 0) and then
(4.75) Cu
j
= (2
j+1
x
j+1
+Cq
j
)e
−x
2
/2
.
and q
j+1
= Cq
j
is a polynomial of degree at most j − 1 – one degree higher than
q
j
.
From this it follows in fact that the ﬁnite span of the u
j
consists of all the
products p(x)e
−x
2
/2
where p(x) is any polynomial.
Now, all these functions are in L
2
(R) and we want to compute their norms.
First, a standard integral computation
1
shows that
(4.76)
R
(e
−x
2
/2
)
2
=
R
e
−x
2
=
√
π
For j > 0, integration by parts (easily justiﬁed by taking the integral over [−R, R]
and then letting R → ∞) gives
(4.77)
R
(C
j
u
0
)
2
=
R
C
j
u
0
(x)C
j
u
0
(x)dx =
R
u
0
A
j
C
j
u
0
.
Now, from (4.72), we can move one factor of A through the j factors of C until it
emerges and ‘kills’ u
0
(4.78) AC
j
u
0
= 2C
j−1
u
+
CAC
j−1
u
0
= 2C
j−1
u
0
+C
2
AC
j−2
u
0
= 2jC
j−1
u
0
.
So in fact,
(4.79)
R
(C
j
u
0
)
2
= 2j
R
(C
j−1
u
0
)
2
= 2
j
j!
√
π.
A similar argument shows that
(4.80)
R
u
k
u
j
=
R
u
0
A
k
C
j
u
0
= 0 if k = j.
Thus the functions
(4.81) e
j
= 2
−j/2
(j!)
−
1
2
π
−
1
4
C
j
e
−x
2
/2
form an orthonormal sequence in L
2
(R).
1
To compute the Gaussian integral, square it and write as a double integral then introduct
polar coordinates
(
R
e
−x
2
dx)
2
=
R
2
e
−x
2
−y
2
dxdy =
∞
0
2π
0
e
−r
2
rdrdθ = π
−e
−r
2
∞
0
= π.
138 4. APPLICATIONS
We would like to show this orthonormal sequence is complete. Rather than
argue through approximation, we can guess that in some sense the operator
(4.82) AC = (
d
dx
+x)(−
d
dx
+x) = −
d
2
dx
2
+x
2
+ 1
should be invertible, so one approach ist to try to construct its ‘inverse’ and show
this really is a compact, selfadjoint operator on L
2
(R) and that its only eigenfunc
tions are the e
i
in (4.81). Rather than do this I will proceed more indirectly.
4. Completeness of Hermite basis
Starting from the ground state for the harmonic oscillator
(4.83) H = −
d
2
dx
2
+x
2
, Hu
0
= u
0
, u
0
= e
−x
2
/2
and using the creation and annihilation operators
(4.84) A =
d
dx
+x, C = −
d
dx
+x, AC −CA = 2 Id, H = CA+ Id
we have constructed the higher eigenfunctions:
(4.85) u
j
= C
j
u
0
= p
j
(x)u
0
(c), p(x) = 2
j
x
j
+ l.o.ts, Hu
j
= (2j + 1)u
j
and shown that these are orthogonal, u
j
⊥ u
k
, j = k, and so when normalized give
an orthonormal system in L
2
(R) :
(4.86) e
j
=
u
j
2
j/2
(j!)
1
2
π
1
4
.
Now, what we want, is that these e
j
form an orthonormal basis of L
2
(R),
meaning they are complete as an orthonormal sequence. There are various proofs
of this, but the only ‘simple’ ones I know involve the Fourier inversion formula and
I want to use the completeness to prove the Fourier inversion formula, so that will
not do. Instead I want to use a version of Mehler’s formula.
To show the completeness of the e
j
’s it is enough to ﬁnd a compact selfadjoint
operator with these as eigenfunctions and no null space. It is the last part which
is tricky. The ﬁrst part is easy. Remembering that all the e
j
are real, we can ﬁnd
an operator with the e
j
;s as eigenfunctions with corresponding eigenvalues λ
j
> 0
(say) by just deﬁning
(4.87) Au(x) =
∞
¸
j=0
λ
j
(u, e
j
)e
j
(x) =
∞
¸
j=0
λ
j
e
j
(x)
e
j
(y)u(y).
For this to be a compact operator we need λ
j
→ 0 as j → ∞, although for bound
edness we just need the λ
j
to be bounded. So, the problem with this is to show
that A has no null space – which of course is just the completeness of the e
j
since
(assuming all the λ
j
are positive)
(4.88) Au = 0 ⇐⇒ u ⊥ e
j
∀ j.
Nevertheless, this is essentially what we will do. The idea is to write A as an
integral operator and then work with that. I will take the λ
j
= w
j
where w ∈ (0, 1).
The point is that we can ﬁnd an explicit formula for
(4.89) A
w
u =
∞
¸
j=0
w
j
e
j
(x)e
j
(y) = A(w, x, y).
4. COMPLETENESS OF HERMITE BASIS 139
To ﬁnd A(w, x, y) we will need to compute the Fourier transforms of the e
j
.
Recall that
(4.90)
T : L
1
(R) −→ (
0
∞
(R), T(u) = ˆ u,
ˆ u(ξ) =
e
−ixξ
u(x), sup [ˆ u[ ≤ u
L
1.
Lemma 41. The Fourier transform of u
0
is
(4.91) (Tu
0
)(ξ) =
√
2πu
0
(ξ).
Proof. The Fourier transform is the limit of a Riemann integral
(4.92) ˆ u
0
(ξ) = lim
R→∞
R
−R
e
iξx
u
0
(x)
since u
0
(x) is continuous and rapidly decreasing at inﬁnity. Now, for such a Rie
mann integral we can diﬀerentiate under the integral sign and see that
(4.93)
d
dξ
ˆ u
0
(ξ) = lim
R→∞
R
−R
ixe
iξx
u
0
(x)
= lim
R→∞
i
R
−R
e
iξx
(−
d
dx
u
0
(x)
= lim
R→∞
−i
R
−R
d
dx
e
iξx
u
0
(x)
−ξ lim
R→∞
R
−R
e
iξx
u
0
(x)
= −ξˆ u
0
(ξ).
Maybe this deserves a little more discussion! Still, this means that ˆ u
0
is annihilated
by A :
(4.94) (
d
dξ
+ξ)ˆ u
0
(ξ) = 0.
Thus, it follows that ˆ u
0
(ξ) = c exp(−ξ
2
/2) since these are the only functions in
annihilated by A. The constant is easy to compute, since
(4.95) ˆ u
0
(0) =
e
−x
2
/2
dx =
√
2π
proving (4.91).
We can use this formula, of if you like the argument to prove it, to show that
(4.96) v = e
−x
2
/4
=⇒ ˆ v =
√
πe
−ξ
2
.
Changing the names of the variables this just says
(4.97) e
−x
2
=
1
2
√
π
R
e
ixs−s
2
/4
ds.
The deﬁnition of the u
j
’s can be rewritten
(4.98) u
j
(x) = (−
d
dx
+x)
j
e
−x
2
/2
= e
x
2
/2
(−
d
dx
)
j
e
−x
2
as is easy to see inductively – the point being that e
x
2
/2
is an integrating factor for
the creation operator. Plugging this into (4.97) and carrying out the derivatives –
140 4. APPLICATIONS
which is legitimate since the integral is so strongly convergent – gives
(4.99) u
j
(x) =
e
x
2
/2
2
√
π
R
(−is)
j
e
ixs−s
2
/4
ds.
Now we can use this formula twice on the sum on the left in (4.89) and insert
the normalizations in (4.86) to ﬁnd that
(4.100)
∞
¸
j=0
w
j
e
j
(x)e
j
(y) =
∞
¸
j=0
e
x
2
/2+y
2
/2
4π
3/2
R
2
(−1)
j
w
j
s
j
t
j
2
j
j!
e
isx+ity−s
2
/4−t
2
/4
dsdt.
The crucial thing here is that we can sum the series to get an exponential, this
allows us to ﬁnally conclude:
Lemma 42. The identity (4.89) holds with
(4.101) A(w, x, y) =
1
√
π
√
1 −w
2
exp
−
1 −w
4(1 +w)
(x +y)
2
−
1 +w
4(1 −w)
(x −y)
2
Proof. Summing the series in (4.100) we ﬁnd that
(4.102) A(w, x, y) =
e
x
2
/2+y
2
/2
4π
3/2
R
2
exp(−
1
2
wst +isx +ity −s
2
/4 −t
2
/4)dsdt.
Now, we can use the same formula as before for the Fourier transform of u
0
to
evaluate these integrals explicitly. I think the clever way, better than what I did in
lecture, is to change variables by setting
(4.103) s = (S +T)/
√
2, t = (S −T)/
√
2 =⇒ dsdt = dSdT,
−
1
2
wst +isx+ity −s
2
/4 −t
2
/4 = iS
x +y
√
2
−
1
4
(1 +w)S
2
iT
x −y
√
2
−
1
4
(1 −w)T
2
.
The formula for the Fourier transform of exp(−x
2
) can be used, after a change of
variable, to conclude that
(4.104)
R
exp(iS
x +y
√
2
−
1
4
(1 +w)S
2
)dS =
2
√
π
(1 +w)
exp(−
(x +y)
2
2(1 +w)
)
R
exp(iT
x −y
√
2
−
1
4
(1 −w)T
2
)dT =
2
√
π
(1 −w)
exp(−
(x −y)
2
2(1 −w)
).
Inserting these formulæ back into (4.102) gives
(4.105) A(w, x, y) =
1
√
π
√
1 −w
2
exp
−
(x +y)
2
2(1 +w)
−
(x −y)
2
2(1 −w)
+
x
2
2
+
y
2
2
which after a little adjustment gives (4.101).
Now, this explicit representation of A
w
as an integral operator allows us to
show
Proposition 47. For all realvalued f ∈ L
2
(R),
(4.106)
∞
¸
j=1
[(u, e
j
)[
2
= f
2
L
2.
4. COMPLETENESS OF HERMITE BASIS 141
Proof. By deﬁnition of A
w
(4.107)
∞
¸
j=1
[(u, e
j
)[
2
= lim
w↑1
(f, A
w
f)
so (4.106) reduces to
(4.108) lim
w↑1
(f, A
w
f) = f
2
L
2.
To prove (4.108) we will make our work on the integral operators rather simpler
by assuming ﬁrst that f ∈ (
0
(R) is continuous and vanishes outside some bounded
interval, f(x) = 0 in [x[ > R. Then we can write out the L
2
inner product as a
doulbe integral, which is a genuine (iterated) Riemann integral:
(4.109) (f, A
w
f) =
A(w, x, y)f(x)f(y)dydx.
Here I have used the fact that f and A are realvalued.
Look at the formula for A in (4.101). The ﬁrst thing to notice is the factor
(1 − w
2
)−
1
2
which blows up as w → 1. On the other hand, the argument of the
exponential has two terms, the ﬁrst tends to 0 as w → 1 and the second blows up,
at least when x −y = 0. Given the signs, we see that
(4.110)
if > 0, X = ¦(x, y); [x[ ≤ R, [y[ ≤ R, [x −y[ ≥ ¦ then
sup
X
[A(w, x, y)[ → 0 as w → 1.
So, the part of the integral in (4.109) over [x −y[ ≥ tends to zero as w → 1.
So, look at the other part, where [x −y[ ≤ . By the (uniform) continuity of f,
given δ > 0 there exits > 0 such that
(4.111) [x −y[ ≤ =⇒ [f(x) −f(y)[ ≤ δ.
Now we can divide (4.109) up into three pieces:
(4.112) (f, A
w
f) =
S∩{x−y≥}
A(w, x, y)f(x)f(y)dydx
+
S∩{x−y≤}
A(w, x, y)(f(x) −f(y))f(y)dydx
+
S∩{x−y≤}
A(w, x, y)f(y)
2
dydx
where S = [−R, R]
2
.
Look now at the third integral in (4.112) since it is the important one. We can
change variable of integration from x to t =
1+w
1−w
(x −y) and then this becomes
(4.113)
S∩{x−y≤}
A(w, y +t
1 −w
1 +w
, y)f(y)
2
dydt,
A(w, y+t
1 −w
1 +w
, y)
=
1
√
π(1 +w)
exp
−
1 −w
4(1 +w)
(2y +t
√
1 −w)
2
exp
−
t
2
4
.
142 4. APPLICATIONS
Here y is bounded; the ﬁrst exponential factor tends to 1 so it is straightforward to
show that for any > 0 the third term in (4.112) tends to
(4.114) f
2
L
2 as w → 1 since
e
−t
2
/4
= 2
√
π.
Noting that A ≥ 0 the same sort of argument shows that the second term is
bounded by a constant multiple of δ. So this proves (4.108) (ﬁrst choose δ then )
and hence (4.106) under the assumption that f is continuous and vanishes outside
some interval [−R, R].
However, the general case follows by continuity since such continuous functions
vanishing outside compact sets are dense in L
2
(R) and both sides of (4.106) are
continuous in f ∈ L
2
(R).
Now, (4.108) certainly implies that the e
j
form an orthonormal basis, which is
what we wanted to show – but hard work! I did it really to remind you of how we
did the Fourier series computation of the same sort and to suggest that you might
like to compare the two arguments.
5. Fourier transform
Last time I showed the completeness of the orthonormal sequence formed by
the eigenfunctions of the harmonic oscillator. This allows us to prove some basic
facts about the Fourier transform, which we already know is a linear operator
(4.115) L
1
(R) −→ (
0
∞
(R), ˆ u(ξ) =
e
ixξ
u(x)dx.
Namely we have already shown the eﬀect of the Fourier transform on the ‘ground
state’:
(4.116) T(u
0
)(ξ) =
√
2πe
0
(ξ).
By a similar argument we can check that
(4.117) T(u
j
)(ξ) =
√
2πi
j
u
j
(ξ) ∀ j ∈ N.
As usual we can proceed by induction using the fact that u
j
= Cu
j−1
. The integrals
involved here are very rapidly convergent at inﬁnity, so there is no problem with
the integration by parts in
(4.118)
T(
d
dx
u
j−1
) = lim
T→∞
T
−T
e
−ixξ
du
j−1
dx
dx
= lim
T→∞
T
−T
(iξ)e
−ixξ
u
j−1
dx +
e
−ixξ
u
j−1
(x)
T
−T
= (iξ)T(u
j−1
),
T(xu
j−1
) = i
de
−ixξ
dξ
u
j−1
dx = i
d
dξ
T(u
j−1
).
Taken together these identities imply the validity of the inductive step:
(4.119) T(u
j
) = T((−
d
dx
+x)u
j−1
) = (i(−
d
dξ
+ξ)T(u
j−1
) = iC(
√
2πi
j−1
u
j−1
)
so proving (4.117).
So, we have found an orthonormal basis for L
2
(R) with elements which are all
in L
1
(R) and which are also eigenfunctions for T.
5. FOURIER TRANSFORM 143
Theorem 18. The Fourier transform maps L
1
(R) ∩ L
2
(R) into L
2
(R) and
extends by continuity to an isomorphism of L
2
(R) such that
1
√
2π
T is unitary with
the inverse of T the continuous extension from L
1
(R) ∩ L
2
(R) of
(4.120) T(f)(x) =
1
2π
e
ixξ
f(ξ).
Proof. This really is what we have already proved. The elements of the
Hermite basis e
j
are all in both L
1
(R) and L
2
(R) so if u ∈ L
1
(R) ∩L
2
(R) its image
under T because we can compute the L
2
inner products and see that
(4.121) (T(u), e
j
) =
R
2
e
j
(ξ)e
ixξ
u(x)dxdξ =
T(e
j
)(x)u(x) =
√
2πi
j
(u, e
j
).
Now Bessel’s inequality shows that T(u) ∈ L
2
(R) (it is of course locally integrable)
since it is continuous).
Everything else now follows easily.
Notic in particular that we have also proved Parseval’s and Plancherel’s identities:
(4.122) T(u)
L
2 =
√
2πu
L
2, (T(u), T(v)) = 2π(u, v), ∀ u, v ∈ L
2
(R).
Since we are at the end of the course, more or less, I do not have any time to
remind you of the many applications of the Fourier transform. However, let me
just indicate the deﬁnitions of Sobolev spaces and Schwartz space and how they
are related to the Fourier transform.
First Sobolev spaces. We now see that T maps L
2
(R) isomorphically onto
L
2
(R) and we can see from (4.118) for instance that it ‘turns diﬀerentiations by
x into multiplication by ξ’. Of course we do not know how to diﬀerentiate L
2
functions so we have some problems making sense of this. One way, the usual
mathematicians trick, is to turn what we want into a deﬁnition.
Definition 21. The the Sobolev spaces of order s, for any s ∈ (0, ∞), are
deﬁned as subspaces of L
2
(R) :
(4.123) H
s
(R) = ¦u ∈ L
2
(R); (1 +[ξ[
2
)
s
2
ˆ u ∈ L
2
(R)¦.
It is natural to identify H
0
(R) = L
2
(R).
Exercise 1. Show that the Sobolev spaces of positive order are Hilbert spaces
with the norm
(4.124) u
s
= (1 +[ξ[
2
)
s
2
ˆ u
L
2.
Having deﬁned these spaces, which get smaller as s increases it can be shown
for instances that if n ≥ s is an integer then the set of n times continuously
diﬀerentiabel functions on R which vanish outside a compact set are dense in H
s
.
This allows us to justify, by continuity, the following statement:
Proposition 48. The bounded linear map
(4.125)
d
dx
: H
s
(R) −→ H
s−1
(R), s ≥ 1, v(x) =
du
dx
⇐⇒ ˆ v(ξ) = iξˆ u(ξ)
is consistent with diﬀerentiation on n times continuously diﬀerentiable functions of
compact support, for any integer n ≥ s.
One of the more important results about Sobolev spaces – of which there are
many – is the relationship between these ‘L
2
derivatives’ and ‘true derivatives’.
144 4. APPLICATIONS
Theorem 19 (Sobolev embedding). If n is an integer and s > n +
1
2
then
(4.126) H
s
(R) ⊂ (
n
∞
(R)
consists of n times continuosly diﬀerentiable functions with bounded derivatives to
order n.
This is actually not so hard to prove.
These are not the only sort of spaces with ‘more regularity’ one can deﬁne
and use. For instance one can try to treat x and ξ more symmetrically and deﬁne
smaller spaces than the H
s
above by setting
(4.127) H
s
iso
(R) = ¦u ∈ L
2
(R); (1 +[ξ[
2
)
s
2
ˆ u ∈ L
2
(R), (1 +[x[
2
)
s
2
u ∈ L
2
(R)¦.
Exercise 2. Find a norm with respect to which these (‘isotropic Sobolev
spaces’) H
s
iso
(R) are Hilbert spaces.
Exercise 3. (Probably too hard) Show that the harmonic oscillator extends
by continuity to an isomorphism
(4.128) H : H
s+2
iso
(R) −→ H
s
iso
(R) ∀ s ≥ 2.
Finally in this general vein, I wanted to point out that Hilbert, and even Ba
nach, spaces are not the end of the road! One very important space in relation to
a direct treatment of the Fourier transform, is the Schwartz space. The deﬁnition
is reasonably simple. Namely we denote Schwartz space by o(R) and say
(4.129)
u ∈ o(R) ⇐⇒ u : R −→C
is continuously diﬀerentiable of all orders and for every n and ,
u
n
=
¸
k+p≤n
sup
x∈R
(1 +[x[)
k
[
d
p
u
dx
p
[ < ∞.
All these inequalities just mean that all the derivatives of u are ‘rapidly decreasing
at ∞’ in the sense that they stay bounded when multiplied by any polynomial.
So in fact we know already that o(R) is not empty since the elements of the
Hermite basis, e
j
∈ o(R) for all j.
As you can see from the deﬁnition in (4.129) this is not likely to be a Banach
space. Each of the  
n
is a norm. However, o(R) is pretty clearly not going to be
complete with respect to any one of these. However it is complete with respect to
all, countably many, norms. What does this mean? In fact o(R) is a metric space
with the metric
(4.130) d(u, v) =
¸
n
2
−n
u −v
n
1 +u −v
n
as you can check, with some thought perhaps required. So the claim is that o(R)
is comlete as a metric space – such a thing is called a Fr´echet space.
What has this got to do with the Fourier transform? The point is that
(4.131)
T : o(R) −→ o(R) is an isomorphism and T(
du
dx
) = iξT(u), T(xu) = −i
dT(u)
dξ
where this now makes sense. The Sobolev embedding theorem implies that
(4.132) o(R) =
n
H
s
iso
(R).
6. DIRICHLET PROBLEM 145
The dual space of o(R) is the space, denoted o
(R), of tempered distributions on
R.
6. Dirichlet problem
As a ﬁnal application, which I do not have time to do in full detail in lectures,
I want to consider the Dirichlet problem again, but now in higher dimensions. Of
course this is a small issue, since I have not really gone through the treatment of
the Lebesgue integral etc in higher dimensions – still I hope it is clear that with a
little more application we could do it and for the moment I will just pretend that
we have.
So, what is the issue? Consider Laplace’s equation on an open set in R
n
. That
is, we want to ﬁnd a solution of
(4.133) −(
∂
2
u(x)
∂x
2
1
+
∂
2
u(x)
∂x
2
2
+ +
∂
2
u(x)
∂x
2
n
) = f(x) in Ω ⊂ R
n
.
Now, maybe some of you have not had a rigorous treatment of partical deriva
tives either. Just add that to the heap of unresolved issues. In any case, partial
derivatives are just onedimensional derivatives in the variable concerned with the
other variables held ﬁxed. So, we are looking for a function u which has all partial
derivatives up to order 2 existing everywhere and continous. So, f will have to be
continuous too. Unfortunately this is not enough to guarantee the existence of a
twice continuously diﬀerentiable solution – later we will just suppose that f itself
is once continuously diﬀerentiable.
Now, we want a solution of (4.133) which satisﬁes the Dirichlet condition. For
this we need to have a reasonable domain, which has a decent boundary. To short
cut the work involved, let’s just suppose that 0 ∈ Ω and that it is given by an
inequality of the sort
(4.134) Ω = ¦z ∈ R
n
; [z[ < ρ(z/[z[)
where ρ is another once continuously diﬀerentiable, and strictly positive, function
on R
n
(although we only care about its values on the unit vectors). So, this is no
worse than what we are already dealing with.
Now, the Dirichlet condition can be stated as
(4.135) u ∈ (
0
(Ω), u
z[ = ρ(z/[z[) = 0.
Here we need the ﬁrst condition to make much sense of the second.
So, what I want to approach is the following result – which can be improved a
lot and which I will not quite manage to prove anyway.
Theorem 20. If 0 < ρ ∈ (
1
(R
n
), and f ∈ (
1
(R
n
) then there exists a unique
u ∈ (
2
(Ω) ∩ (
0
(Ω) satisfying (4.133) and (4.135).
CHAPTER
Appendix: Exam Preparation Problems
EP.1 Let H be a Hilbert space with inner product (, ) and suppose that
(.1) B : H H ←→C
is a(nother) sesquilinear form – so for all c
1
, c
2
∈ C, u, u
1
, u
2
and v ∈ H,
(.2) B(c
1
u
1
+c
2
u
2
, v) = c
1
B(u
1
, v) +c
2
B(u
2
, v), B(u, v) = B(v, u).
Show that B is continuous, with respect to the norm (u, v) = u
H
+ v
H
on
H H if and only if it is bounded, in the sense that for some C > 0,
(.3) [B(u, v)[ ≤ Cu
H
v
H
.
EP.2 A continuous linear map T : H
1
−→ H
2
between two, possibly diﬀerent,
Hilbert spaces is said to be compact if the image of the unit ball in H
1
under T is
precompact in H
2
. Suppose A : H
1
−→ H
2
is a continuous linear operator which
is injective and surjective and T : H
1
−→ H
2
is compact. Show that there is a
compact operator K : H
2
−→ H
2
such that T = KA.
EP.3 Suppose P ⊂ H is a (nontrivial, i.e. not ¦0¦) closed linear subspace of
a Hilbert space. Deduce from a result done in class that each u in H has a unique
decomposition
(.4) u = v +v
, v ∈ P, v
⊥ P
and that the map π
P
: H ÷ u −→ v ∈ P has the properties
(.5) (π
P
)
∗
= π
P
, (π
P
)
2
= π
P
, π
P

B(H)
= 1.
EP.4 Show that for a sequence of nonnegative step functions f
j
, deﬁned on
R, which is absolutely summable, meaning
¸
j
f
j
< ∞, the series
¸
j
f
j
(x) cannot
diverge for all x ∈ (a, b), for any a < b.
EP.5 Let A
j
⊂ [−N, N] ⊂ R (for N ﬁxed) be a sequence of subsets with the
property that the characteristic function, χ
j
of A
j
, is integrable for each j. Show
that the characteristic function of
(.6) A =
¸
j
A
j
is integrable.
EP.6 Let e
j
= c
j
C
j
e
−x
2
/2
, c
j
> 0, C = −
d
dx
+ x the creation operator, be
the orthonormal basis of L
2
(R) consisting of the eigenfunctions of the harmonic
oscillator discussed in class. Deﬁne an operator on L
2
(R) by
(.7) Au =
∞
¸
j=0
(2j + 1)
−
1
2
(u, e
j
)
L
2e
j
.
(1) Show that A is compact as an operator on L
2
(R).
147
148 APPENDIX: EXAM PREPARATION PROBLEMS
(2) Suppose that V ∈ (
0
∞
(R) is a bounded, realvalued, continuous function
on R. What can you say about the eigenvalues τ
j
, and eigenfunctions v
j
,
of K = AV A, where V is acting by multiplication on L
2
(R)?
(3) Show that for C > 0 a large enough constant, Id +A(V +C)A is invertible
(with bounded inverse on L
2
(R)).
(4) Show that L
2
(R) has an orthonormal basis of eigenfunctions of J =
A(Id +A(V +C)A)
−1
A.
(5) What would you need to show to conclude that these eigenfunctions of J
satisfy
(.8) −
d
2
v
j
(x)
dx
2
+x
2
v
j
(x) +V (x)v
j
(x) = λ
j
v
j
?
(6) What would you need to show to check that all the squareintegrable,
twice continuously diﬀerentiable, solutions of (.8), for some λ
j
∈ C, are
eigenfunctions of K?
EP.7 Test 1 from last year (N.B. There may be some confusion between /
1
and L
1
here, just choose the correct interpretation!):
Q1. Recall Lebesgue’s Dominated Convergence Theorem and use it to show
that if u ∈ /
2
(R) and v ∈ /
1
(R) then
(Eq1)
lim
N→∞
x>N
[u[
2
= 0, lim
N→∞
[C
N
u −u[
2
= 0,
lim
N→∞
x>N
[v[ = 0 and lim
N→∞
[C
N
v −v[ = 0.
where
(Eq2) C
N
f(x) =
N if f(x) > N
−N if f(x) < −N
f(x) otherwise.
Q2. Show that step functions are dense in L
1
(R) and in L
2
(R) (Hint: Look at
Q1 above and think about f −f
N
, f
N
= C
N
fχ
[−N,N]
and its square. So it
suﬃces to show that f
N
is the limit in L
2
of a sequence of step functions.
Show that if g
n
is a sequence of step functions converging to f
N
in L
1
then C
N
g
n
χ
[−N,N]
is converges to f
N
in L
2
.) and that if f ∈ L
1
(R) then
there is a sequence of step functions u
n
and an element g ∈ L
1
(R) such
that u
n
→ f a.e. and [u
n
[ ≤ g.
Q3. Show that L
1
(R) and L
2
(R) are separable, meaning that each has a count
able dense subset.
Q4. Show that the minimum and the maximum of two locally integrable func
tions is locally integrable.
Q5. A subset of R is said to be (Lebesgue) measurable if its characteristic
function is locally integrable. Show that a countable union of measurable
sets is measurable. Hint: Start with two!
Q6. Deﬁne /
∞
(R) as consisting of the locally integrable functions which are
bounded, sup
R
[u[ < ∞. If A
∞
⊂ L
∞
(R) consists of the bounded functions
which vanish outside a set of measure zero show that
(Eq3) u +A
∞

L
∞ = inf
h∈N
∞
sup
x∈R
[u(x) +h(x)[
APPENDIX: EXAM PREPARATION PROBLEMS 149
is a norm on L
∞
(R) = L
∞
(R)/A
∞
.
Q7. Show that if u ∈ L
∞
(R) and v ∈ L
1
(R) then uv ∈ L
1
(R) and that
(Eq4) [
uv[ ≤ u
L
∞v
L
1.
Q8. Show that each u ∈ L
2
(R) is continuous in the mean in the sense that
T
z
u(x) = u(x −z) ∈ L
2
(R) for all z ∈ R and that
(Eq5) lim
z→0
[T
z
u −u[
2
= 0.
Q9. If ¦u
j
¦ is a Cauchy sequence in L
2
(R) show that both (Eq5) and (Eq1)
are uniform in j, so given > 0 there exists δ > 0 such that
(Eq6)
[T
z
u
j
−u
j
[
2
< ,
x>1/δ
[u
j
[
2
< ∀ [z[ < δ and all j.
Q10. Construct a sequence in L
2
(R) for which the uniformity in (Eq6) does not
hold.
EP.8 Test 2 from last year.
(1) Recall the discussion of the Dirichlet problem for d
2
/dx
2
from class and
carry out an analogous discussion for the Neumann problem to arrive at
a complete orthonormal basis of L
2
([0, 1]) consisting of ψ
n
∈ (
2
functions
which are all eigenfunctions in the sense that
(NeuEig)
d
2
ψ
n
(x)
dx
2
= γ
n
ψ
n
(x) ∀ x ∈ [0, 1],
dψ
n
dx
(0) =
dψ
n
dx
(1) = 0.
This is actually a little harder than the Dirichlet problem which I did in
class, because there is an eigenfunction of norm 1 with γ = 0. Here are
some individual steps which may help you along the way!
What is the eigenfunction with eigenvalue 0 for (NeuEig)?
What is the operator of orthogonal projection onto this function?
What is the operator of orthogonal projection onto the orthocom
plement of this function?
The crucual part. Find an integral operator A
N
= B −B
N
, where
B is the operator from class,
(BDef) (Bf)(x) =
x
0
(x −s)f(s)ds
and B
N
is of ﬁnite rank, such that if f is continuous then u = A
N
f is
twice continuously diﬀerentiable, satisﬁes
1
0
u(x)dx = 0, A
N
1 = 0 (where
1 is the constant function) and
(GI)
1
0
f(x)dx = 0 =⇒
d
2
u
dx
2
= f(x) ∀ x ∈ [0, 1],
du
dx
(0) =
du
dx
(1) = 0.
Show that A
N
is compact and selfadjoint.
Work out what the spectrum of A
N
is, including its null space.
Deduce the desired conclusion.
150 APPENDIX: EXAM PREPARATION PROBLEMS
(2) Show that these two orthonormal bases of L
2
([0, 1]) (the one above and the
one from class) can each be turned into an orthonormal basis of L
2
([0, π])
by change of variable.
(3) Construct an orthonormal basis of L
2
([−π, π]) by dividing each element
into its odd and even parts, resticting these to [0, π] and using the Neu
mann basis above on the even part and the Dirichlet basis from class on
the odd part.
(4) Prove the basic theorem of Fourier series, namely that for any function
u ∈ L
2
([−π, π]) there exist unique constants c
k
∈ C, k ∈ Z such that
(FS) u(x) =
¸
k∈Z
c
k
e
ikx
converges in L
2
([−π, π])
and give an integral formula for the constants.
EP.9 Let B ∈ (([0, 1]
2
) be a continuous function of two variables.
Explain why the integral operator
Tu(x) =
[0,1]
B(x, y)u(y)
deﬁnes a bounded linear map L
1
([0, 1]) −→ (([0, 1]) and hence a bounded
operator on L
2
([0, 1]).
(a) Explain why T is not surjective as a bounded operator on L
2
([0, 1]).
(b) Explain why Id −T has ﬁnite dimensional null space N ⊂ L
2
([0, 1])
as an operator on L
2
([0, 1])
(c) Show that N ⊂ (([0, 1]).
(d) Show that Id −T has closed range R ⊂ L
2
([0, 1])) as a bounded op
erator on L
2
([0, 1]).
(e) Show that the orthocomplement of R is a subspace of (([0, 1]).
EP.10 Let c : N
2
−→ C be an ‘inﬁnite matrix’ of complex numbers
satisfying
(.9)
∞
¸
i,j=1
[c
ij
[
2
< ∞.
If ¦e
i
¦
∞
i=1
is an orthornomal basis of a (separable of course) Hilbert space
1, show that
(.10) Au =
∞
¸
i,j=1
c
ij
(u, e
j
)e
i
deﬁnes a compact operator on 1.
CHAPTER
Solutions to problems
Solution .1 (Problem 1.1). Write out a proof (you can steal it from one of
many places but at least write it out in your own hand) either for p = 2 or for each
p with 1 ≤ p < ∞ that
l
p
= ¦a : N −→C;
∞
¸
j=1
[a
j
[
p
< ∞, a
j
= a(j)¦
is a normed space with the norm
a
p
=
¸
∞
¸
j=1
[a
j
[
p
¸
1
p
.
This means writing out the proof that this is a linear space and that the three
conditions required of a norm hold.
Solution: We know that the functions from any set with values in a linear space
form a linear space – under addition of values (don’t feel bad if you wrote this out,
it is a good thing to do once). So, to see that l
p
is a linear space it suﬃces to see
that it is closed under addition and scalar multiplication. For scalar multiples this
is clear:
(.1) [ta
i
[ = [t[[a
i
[ so ta
p
= [t[a
p
which is part of what is needed for the proof that  
p
is a norm anyway. The fact
that a, b ∈ l
p
imples a + b ∈ l
p
follows once we show the triangle inequality or we
can be a little cruder and observe that
(.2)
[a
i
+b
i
[
p
≤ (2 max([a[
i
, [b
i
[))
p
= 2
p
max([a[
p
i
, [b
i
[
p
) ≤ 2
p
([a
i
[ +[b
i
[)
a +b
p
p
=
¸
j
[a
i
+b
i
[
p
≤ 2
p
(a
p
+b
p
),
where we use the fact that t
p
is an increasing function of t ≥ 0.
Now, to see that l
p
is a normed space we need to check that a
p
is indeed a
norm. It is nonnegative and a
p
= 0 implies a
i
= 0 for all i which is to say a = 0.
So, only the triangle inequality remains. For p = 1 this is a direct consequence of
the usual triangle inequality:
(.3) a +b
1
=
¸
i
[a
i
+b
i
[ ≤
¸
i
([a
i
[ +[b
i
[) = a
1
+b
1
.
For 1 < p < ∞ it is known as Minkowski’s inequality. This in turn is deduced
from H¨older’s inequality – which follows from Young’s inequality! The latter says
if 1/p + 1/q = 1, so q = p/(p −1), then
(.4) αβ ≤
α
p
p
+
β
q
q
∀ α, β ≥ 0.
151
152 SOLUTIONS TO PROBLEMS
To check it, observe that as a function of α = x,
(.5) f(x) =
x
p
p
−xβ +
β
q
q
if nonnegative at x = 0 and clearly positive when x >> 0, since x
p
grows faster
than xβ. Moreover, it is diﬀerentiable and the derivative only vanishes at x
p−1
=
β, where it must have a global minimum in x > 0. At this point f(x) = 0 so
Young’s inequality follows. Now, applying this with α = [a
i
[/a
p
and β = [b
i
[/b
q
(assuming both are nonzero) and summing over i gives H¨older’s inequality
(.6)
[
¸
i
a
i
b
i
[/a
p
b
q
≤
¸
i
[a
i
[[b
i
[/a
p
b
q
≤
¸
i
[a
i
[
p
a
p
p
p
+
[b
i
[
q
b
q
q
q
= 1
=⇒ [
¸
i
a
i
b
i
[ ≤ a
p
b
q
.
Of course, if either a
p
= 0 or b
q
= 0 this inequality holds anyway.
Now, from this Minkowski’s inequality follows. Namely from the ordinary tri
angle inequality and then Minkowski’s inequality (with q power in the ﬁrst factor)
(.7)
¸
i
[a
i
+b
i
[
p
=
¸
i
[a
i
+b
i
[
(p−1)
[a
i
+b
i
[
≤
¸
i
[a
i
+b
i
[
(p−1)
[a
i
[ +
¸
i
[a
i
+b
i
[
(p−1)
[b
i
[
≤
¸
i
[a
i
+b
i
[
p
1/q
(a
p
+b
q
)
gives after division by the ﬁrst factor on the right
(.8) a +b
p
≤ a
p
+b
p
.
Thus, l
p
is indeed a normed space.
I did not necessarily expect you to go through the proof of YoungH¨older
Minkowksi, but I think you should do so at some point since I will not do it in
class.
Solution .2. The ‘tricky’ part in Problem 1.1 is the triangle inequality. Sup
pose you knew – meaning I tell you – that for each N
¸
N
¸
j=1
[a
j
[
p
¸
1
p
is a norm on C
N
would that help?
Solution. Yes indeed it helps. If we know that for each N
(.9)
¸
N
¸
j=1
[a
j
+b
j
[
p
¸
1
p
≤
¸
N
¸
j=1
[a
j
[
p
¸
1
p
+
¸
N
¸
j=1
[b
j
[
p
¸
1
p
SOLUTIONS TO PROBLEMS 153
then for elements of l
p
the norms always bounds the right side from above, meaning
(.10)
¸
N
¸
j=1
[a
j
+b
j
[
p
¸
1
p
≤ a
p
+b
p
.
Since the left side is increasing with N it must converge and be bounded by the
right, which is independent of N. That is, the triangle inequality follows. Really
this just means it is enough to go through the discussion in the ﬁrst problem for
ﬁnite, but arbitrary, N.
Solution .3. Prove directly that each l
p
as deﬁned in Problem 1.1 – or just
l
2
– is complete, i.e. it is a Banach space. At the risk of oﬀending some, let me
say that this means showing that each Cauchy sequence converges. The problem
here is to ﬁnd the limit of a given Cauchy sequence. Show that for each N the
sequence in C
N
obtained by truncating each of the elements at point N is Cauchy
with respect to the norm in Problem 1.2 on C
N
. Show that this is the same as being
Cauchy in C
N
in the usual sense (if you are doing p = 2 it is already the usual
sense) and hence, this cutoﬀ sequence converges. Use this to ﬁnd a putative limit
of the Cauchy sequence and then check that it works.
Solution. So, suppose we are given a Cauchy sequence a
(n)
in l
p
. Thus, each
element is a sequence ¦a
(n)
j
¦
∞
j=1
in l
p
. From the continuity of the norm in Problem
1.5 below, a
(n)
 must be Cauchy in R and so converges. In particular the sequence
is norm bounded, there exists A such that a
(n)

p
≤ A for all n. The Cauchy
condition itself is that given > 0 there exists M such that for all m, n > M,
(.11) a
(n)
−a
(m)

p
=
¸
i
[a
(n)
i
−a
(m)
i
[
p
1
p
< /2.
Now for each i, [a
(n)
i
− a
(m)
i
[ ≤ a
(n)
− a
(m)

p
so each of the sequences a
(n)
i
must
be Cauchy in C. Since C is complete
(.12) lim
n→∞
a
(n)
i
= a
i
exists for each i = 1, 2, . . . .
So, our putative limit is a, the sequence ¦a
i
¦
∞
i=1
. The boundedness of the norms
shows that
(.13)
N
¸
i=1
[a
(n)
i
[
p
≤ A
p
and we can pass to the limit here as n → ∞ since there are only ﬁnitely many
terms. Thus
(.14)
N
¸
i=1
[a
i
[
p
≤ A
p
∀ N =⇒ a
p
≤ A.
Thus, a ∈ l
p
as we hoped. Similarly, we can pass to the limit as m → ∞ in the
ﬁnite inequality which follows from the Cauchy conditions
(.15) (
N
¸
i=1
[a
(n)
i
−a
(m)
i
[
p
)
1
p
< /2
154 SOLUTIONS TO PROBLEMS
to see that for each N
(.16) (
N
¸
i=1
[a
(n)
i
−a
i
[
p
)
1
p
≤ /2
and hence
(.17) a
(n)
−a < ∀ n > M.
Thus indeed, a
(n)
→ a in l
p
as we were trying to show.
Notice that the trick is to ‘back oﬀ’ to ﬁnite sums to avoid any issues of inter
changing limits.
Solution .4. Consider the ‘unit sphere’ in l
p
– where if you want you can set
p = 2. This is the set of vectors of length 1 :
S = ¦a ∈ l
p
; a
p
= 1¦.
(1) Show that S is closed.
(2) Recall the sequential (so not the open covering deﬁnition) characterization
of compactness of a set in a metric space (e .g . by checking in Rudin).
(3) Show that S is not compact by considering the sequence in l
p
with kth
element the sequence which is all zeros except for a 1 in the kth slot. Note
that the main problem is not to get yourself confused about sequences of
sequences!
Solution. By the next problem, the norm is continuous as a function, so
(.18) S = ¦a; a = 1¦
is the inverse image of the closed subset ¦1¦, hence closed.
Now, the standard result on metric spaces is that a subset is compact if and
only if every sequence with values in the subset has a convergent subsequence with
limit in the subset (if you drop the last condition then the closure is compact).
In this case we consider the sequence (of sequences)
(.19) a
(n)
i
=
0 i = n
1 i = n
.
This has the property that a
(n)
−a
(m)

p
= 2
1
p
whenever n = m. Thus, it cannot
have any Cauchy subsequence, and hence cannot have a convergent subsequence,
so S is not compact.
This is important. In fact it is a major diﬀerence between ﬁnitedimensional
and inﬁnitedimensional normed spaces. In the latter case the unit sphere cannot
be compact whereas in the former it is.
Solution .5. Show that the norm on any normed space is continuous. Solution:
Right, so I should have put this problem earlier!
The triangle inequality shows that for any u, v in a normed space
(.20) u ≤ u −v +v, v ≤ u −v +u
which implies that
(.21) [u −v[ ≤ u −v.
This shows that   is continuous, indeed it is Lipschitz continuous.
SOLUTIONS TO PROBLEMS 155
Solution .6. Finish the proof of the completeness of the space B constructed
in lecture on February 10. The description of that construction can be found in the
notes to Lecture 3 as well as an indication of one way to proceed.
Solution. The proof could be shorter than this, I have tried to be fairly
complete.
To recap. We start of with a normed space V. From this normed space we
construct the new linear space
˜
V with points the absolutely summable series in V.
Then we consider the subspace S ⊂
˜
V of those absolutely summable series which
converge to 0 in V. We are interested in the quotient space
(.22) B =
˜
V /S.
What we know already is that this is a normed space where the norm of b = ¦v
n
¦+S
– where ¦v
n
¦ is an absolutely summable series in V is
(.23) b
B
= lim
N→∞

N
¸
n=1
v
n

V
.
This is independent of which series is used to represent b – i.e. is the same if an
element of S is added to the series.
Now, what is an absolutely summable series in B? It is a sequence ¦b
n
¦, thought
of a series, with the property that
(.24)
¸
n
b
n

B
< ∞.
We have to show that it converges in B. The ﬁrst task is to guess what the limit
should be. The idea is that it should be a series which adds up to ‘the sum of the
b
n
’s’. Each b
n
is represented by an absolutely summable series v
(n)
k
in V. So, we
can just look for the usual diagonal sum of the double series and set
(.25) w
j
=
¸
n+k=j
v
(n)
k
.
The problem is that this will not in generall be absolutely summable as a series in
V. What we want is the estimate
(.26)
¸
j
w
j
 =
¸
j

¸
j=n+k
v
(n)
k
 < ∞.
The only way we can really estimate this is to use the triangle inequality and
conclude that
(.27)
∞
¸
j=1
w
j
 ≤
¸
k,n
v
(n)
k

V
.
Each of the sums over k on the right is ﬁnite, but we do not know that the sum
over k is then ﬁnite. This is where the ﬁrst suggestion comes in:
We can choose the absolutely summable series v
(n)
k
representing b
n
such that
(.28)
¸
k
v
(n)
k
 ≤ b
n

B
+ 2
−n
.
156 SOLUTIONS TO PROBLEMS
Suppose an initial choice of absolutely summable series representing b
n
is u
k
, so
b
n
 = lim
N→∞

N
¸
k=1
u
k
 and
¸
k
u
k

V
< ∞. Choosing M large it follows that
(.29)
¸
k>M
u
k

V
≤ 2
−n−1
.
With this choice of M set v
(n)
1
=
M
¸
k=1
u
k
and v
(n)
k
= u
M+k−1
for all k ≥ 2. This does
still represent b
n
since the diﬀerence of the sums,
(.30)
N
¸
k=1
v
(n)
k
−
N
¸
k=1
u
k
= −
N+M−1
¸
k=N
u
k
for all N. The sum on the right tends to 0 in V (since it is a ﬁxed number of terms).
Moreover, because of (.29),
(.31)
¸
k
v
(n)
k

V
= 
M
¸
j=1
u
j

V
+
¸
k>M
u
k
 ≤ 
N
¸
j=1
u
j
 + 2
¸
k>M
u
k
 ≤ 
N
¸
j=1
u
j
 + 2
−n
for all N. Passing to the limit as N → ∞ gives (.28).
Once we have chosen these ‘nice’ representatives of each of the b
n
’s if we deﬁne
the w
j
’s by (.25) then (.26) means that
(.32)
¸
j
w
j

V
≤
¸
n
b
n

B
+
¸
n
2
−n
< ∞
because the series b
n
is absolutely summable. Thus ¦w
j
¦ deﬁnes an element of
˜
V
and hence b ∈ B.
Finally then we want to show that
¸
n
b
n
= b in B. This just means that we
need to show
(.33) lim
N→∞
b −
N
¸
n=1
b
n

B
= 0.
The norm here is itself a limit – b −
N
¸
n=1
b
n
is represented by the summable series
with nth term
(.34) w
k
−
N
¸
n=1
v
(n)
k
and the norm is then
(.35) lim
p→∞

p
¸
k=1
(w
k
−
N
¸
n=1
v
(n)
k
)
V
.
Then we need to understand what happens as N → ∞! Now, w
k
is the diagonal
sum of the v
(n)
j
’s so sum over k gives the diﬀerence of the sum of the v
(n)
j
over the
ﬁrst p antidiagonals minus the sum over a square with height N (in n) and width
SOLUTIONS TO PROBLEMS 157
p. So, using the triangle inequality the norm of the diﬀerence can be estimated by
the sum of the norms of all the ‘missing terms’ and then some so
(.36) 
p
¸
k=1
(w
k
−
N
¸
n=1
v
(n)
k
)
V
≤
¸
l+m≥L
v
(m)
l

V
where L = min(p, N). This sum is ﬁnite and letting p → ∞ is replaced by the sum
over l + m ≥ N. Then letting N → ∞ it tends to zero by the absolute (double)
summability. Thus
(.37) lim
N→∞
b −
N
¸
n=1
b
n
B = 0
which is the statelent we wanted, that
¸
n
b
n
= b.
Problem .1. Let’s consider an example of an absolutely summable sequence
of step functions. For the interval [0, 1) (remember there is a strong preference
for leftclosed but rightopen intervals for the moment) consider a variant of the
construction of the standard Cantor subset based on 3 proceeding in steps. Thus,
remove the ‘central interval [1/3, 2/3). This leave C
1
= [0, 1/3) ∪ [2/3, 1). Then
remove the central interval from each of the remaining two intervals to get C
2
=
[0, 1/9) ∪ [2/9, 1/3) ∪ [2/3, 7/9) ∪ [8/9, 1). Carry on in this way to deﬁne successive
sets C
k
⊂ C
k−1
, each consisting of a ﬁnite union of semiopen intervals. Now,
consider the series of step functions f
k
where f
k
(x) = 1 on C
k
and 0 otherwise.
(1) Check that this is an absolutely summable series.
(2) For which x ∈ [0, 1) does
¸
k
[f
k
(x)[ converge?
(3) Describe a function on [0, 1) which is shown to be Lebesgue integrable
(as deﬁned in Lecture 4) by the existence of this series and compute its
Lebesgue integral.
(4) Is this function Riemann integrable (this is easy, not hard, if you check
the deﬁnition of Riemann integrability)?
(5) Finally consider the function g which is equal to one on the union of all
the subintervals of [0, 1) which are removed in the construction and zero
elsewhere. Show that g is Lebesgue integrable and compute its integral.
Solution. (1) The total length of the intervals is being reduced by a
factor of 1/3 each time. Thus l(C
k
) =
2
k
3
k
. Thus the integral of f, which
is nonnegative, is actually
(.38)
f
k
=
2
k
3
k
=⇒
¸
k
[f
k
[ =
∞
¸
k=1
2
k
3
k
= 2
Thus the series is absolutely summable.
(2) Since the C
k
are decreasing, C
k
⊃ C
k+1
, only if
(.39) x ∈ E =
¸
k
C
k
does the series
¸
k
[f
k
(x)[ diverge (to +∞) otherwise it converges.
158 SOLUTIONS TO PROBLEMS
(3) The function deﬁned as the sum of the series where it converges and zero
otherwise
(.40) f(x) =
¸
k
f
k
(x) x ∈ R ` E
0 x ∈ E
is integrable by deﬁnition. Its integral is by deﬁnition
(.41)
f =
¸
k
f
k
= 2
from the discussion above.
(4) The function f is not Riemann integrable since it is not bounded – and
this is part of the deﬁnition. In particular for x ∈ C
k
` C
k+1
, which is not
an empty set, f(x) = k.
(5) The set F, which is the union of the intervals removed is [0, 1) `E. Taking
step functions equal to 1 on each of the intervals removed gives an abso
lutely summable series, since they are nonnegative and the kth one has
integral 1/3 (2/3)
k−1
for k = 1, . . . . This series converges to g on F so
g is Lebesgue integrable and hence
(.42)
g = 1.
Problem .2. The covering lemma for R
2
. By a rectangle we will mean a set
of the form [a
1
, b
1
) [a
2
, b
2
) in R
2
. The area of a rectangle is (b
1
−a
1
) (b
2
−a
2
).
(1) We may subdivide a rectangle by subdividing either of the intervals –
replacing [a
1
, b
1
) by [a
1
, c
1
) ∪ [c
1
, b
1
). Show that the sum of the areas of
rectangles made by any repeated subdivision is always the same as that
of the original.
(2) Suppose that a ﬁnite collection of disjoint rectangles has union a rectangle
(always in this same halfopen sense). Show, and I really mean prove, that
the sum of the areas is the area of the whole rectange. Hint: proceed by
subdivision.
(3) Now show that for any countable collection of disjoint rectangles contained
in a given rectange the sum of the areas is less than or equal to that of
the containing rectangle.
(4) Show that if a ﬁnite collection of rectangles has union containing a given
rectange then the sum of the areas of the rectangles is at least as large of
that of the rectangle contained in the union.
(5) Prove the extension of the preceeding result to a countable collection of
rectangles with union containing a given rectangle.
Solution. (1) For the subdivision of one rectangle this is clear enough.
Namely we either divide the ﬁrst side in two or the second side in two at
an intermediate point c. After subdivision the area of the two rectanges
is either
(.43)
(c −a
1
)(b
2
−a
2
) + (b
1
−c)(b
2
−a
2
) = (b
1
−c
1
)(b
2
−a
2
) or
(b
1
−a
1
)(c −a
2
) + (b
1
−a
1
)(b
2
−c) = (b
1
−c
1
)(b
2
−a
2
).
SOLUTIONS TO PROBLEMS 159
this shows by induction that the sum of the areas of any the rectangles
made by repeated subdivision is always the same as the original.
(2) If a ﬁnite collection of disjoint rectangles has union a rectangle, say
[a
1
, b
2
) [a
2
, b
2
) then the same is true after any subdivision of any of
the rectangles. Moreover, by the preceeding result, after such subdivi
sion the sum of the areas is always the same. Look at all the points
C
1
⊂ [a
1
, b
1
) which occur as an endpoint of the ﬁrst interval of one of
the rectangles. Similarly let C
2
be the corresponding set of endpoints of
the second intervals of the rectangles. Now divide each of the rectangles
repeatedly using the ﬁnite number of points in C
1
and the ﬁnite number
of points in C
2
. The total area remains the same and now the rectangles
covering [a
1
, b
1
) [A
2
, b
2
) are precisely the A
i
B
j
where the A
i
are a set
of disjoint intervals covering [a
1
, b
1
) and the B
j
are a similar set covering
[a
2
, b
2
). Applying the onedimensional result from class we see that the
sum of the areas of the rectangles with ﬁrst interval A
i
is the product
(.44) length of A
i
(b
2
−a
2
).
Then we can sum over i and use the same result again to prove what we
want.
(3) For any ﬁnite collection of disjoint rectangles contained in [a
1
, b
1
)[a
2
, b
2
)
we can use the same division process to show that we can add more disjoint
rectangles to cover the whole big rectangle. Thus, from the preceeding
result the sum of the areas must be less than or equal to (b
1
−a
1
)(b
2
−a
2
).
For a countable collection of disjoint rectangles the sum of the areas is
therefore bounded above by this constant.
(4) Let the rectangles be D
i
, i = 1, . . . , N the union of which contains the
rectangle D. Subdivide D
1
using all the endpoints of the intervals of D.
Each of the resulting rectangles is either contained in D or is disjoint from
it. Replace D
1
by the (one in fact) subrectangle contained in D. Proceed
ing by induction we can suppose that the ﬁrst N −k of the rectangles are
disjoint and all contained in D and together all the rectangles cover D.
Now look at the next one, D
N−k+1
. Subdivide it using all the endpoints
of the intervals for the earlier rectangles D
1
, . . . , D
k
and D. After subdi
vision of D
N−k+1
each resulting rectangle is either contained in one of the
D
j
, j ≤ N − k or is not contained in D. All these can be discarded and
the result is to decrease k by 1 (maybe increasing N but that is okay). So,
by induction we can decompose and throw away rectangles until what is
left are disjoint and individually contained in D but still cover. The sum
of the areas of the remaining rectangles is precisely the area of D by the
previous result, so the sum of the areas must originally have been at least
this large.
(5) Now, for a countable collection of rectangles covering D = [a
1
, b
1
)[a
2
, b
2
)
we proceed as in the onedimensional case. First, we can assume that
there is a ﬁxed upper bound C on the lengths of the sides. Make the
kth rectangle a little larger by extending both the upper limits by 2
−k
δ
where δ > 0. The area increases, but by no more than 2C2
−k
. After
extension the interiors of the countable collection cover the compact set
[a
1
, b
1
− δ] [a
2
, b
1
− δ]. By compactness, a ﬁnite number of these open
160 SOLUTIONS TO PROBLEMS
rectangles cover, and hence there semiclosed version, with the same end
points, covers [a
1
, b
1
−δ)[a
2
, b
1
−δ). Applying the preceeding ﬁnite result
we see that
(.45) Sum of areas + 2Cδ ≥ Area D −2Cδ.
Since this is true for all δ > 0 the result follows.
I encourage you to go through the discussion of integrals of step functions – now
based on rectangles instead of intervals – and see that everything we have done can
be extended to the case of two dimensions. In fact if you want you can go ahead
and see that everything works in R
n
!
Problem 2.4
(1) Show that any continuous function on [0, 1] is the uniform limit on [0, 1)
of a sequence of step functions. Hint: Reduce to the real case, divide
the interval into 2
n
equal pieces and deﬁne the step functions to take
inﬁmim of the continuous function on the corresponding interval. Then
use uniform convergence.
(2) By using the ‘telescoping trick’ show that any continuous function on [0, 1)
can be written as the sum
(.46)
¸
i
f
j
(x) ∀ x ∈ [0, 1)
where the f
j
are step functions and
¸
j
[f
j
(x)[ < ∞ for all x ∈ [0, 1).
(3) Conclude that any continuous function on [0, 1], extended to be 0 outside
this interval, is a Lebesgue integrable function on R.
Solution. (1) Since the real and imaginary parts of a continuous func
tion are continuous, it suﬃces to consider a real continous function f and
then add afterwards. By the uniform continuity of a continuous function
on a compact set, in this case [0, 1], given n there exists N such that
[x − y[ ≤ 2
−N
=⇒ [f(x) − f(y)[ ≤ 2
−n
. So, if we divide into 2
N
equal
intervals, where N depends on n and we insist that it be nondecreasing
as a function of n and take the step function f
n
on each interval which is
equal to min f = inf f on the closure of the interval then
(.47) [f(x) −F
n
(x)[ ≤ 2
−n
∀ x ∈ [0, 1)
since this even works at the endpoints. Thus F
n
→ f uniformly on [0, 1).
(2) Now just deﬁne f
1
= F
1
and f
k
= F
k
−F
k−1
for all k > 1. It follows that
these are step functions and that
(.48)
n
¸
k=1
= f
n
.
Moreover, each interval for F
n+1
is a subinterval for F
n
. Since f can
varying by no more than 2
−n
on each of the intervals for F
n
it follows
that
(.49) [f
n
(x)[ = [F
n+1
(x) −F
n
(x)[ ≤ 2
−n
∀ n > 1.
Thus
[f
n
[ ≤ 2
−n
and so the series is absolutely summable. Moreover, it
actually converges everywhere on [0, 1) and uniformly to f by (.47).
SOLUTIONS TO PROBLEMS 161
(3) Hence f is Lebesgue integrable.
(4) For some reason I did not ask you to check that
(.50)
f =
1
0
f(x)dx
where on the right is the Riemann integral. However this follows from the
fact that
(.51)
f = lim
n→∞
F
n
and the integral of the step function is between the Riemann upper and
lower sums for the corresponding partition of [0, 1].
Solution .7. If f and g ∈ /
1
(R) are Lebesgue integrable functions on the line
show that
(1) If f(x) ≥ 0 a.e. then
f ≥ 0.
(2) If f(x) ≤ g(x) a.e. then
f ≤
g.
(3) If f is complex valued then its real part, Re f, is Lebesgue integrable and
[
Re f[ ≤
[f[.
(4) For a general complexvalued Lebesgue integrable function
(.52) [
f[ ≤
[f[.
Hint: You can look up a proof of this easily enough, but the usual trick
is to choose θ ∈ [0, 2π) so that e
iθ
f =
(e
iθ
f) ≥ 0. Then apply the
preceeding estimate to g = e
iθ
f.
(5) Show that the integral is a continuous linear functional
(.53)
: L
1
(R) −→C.
Solution. (1) If f is real and f
n
is a realvalued absolutely summable
series of step functions converging to f where it is absolutely convergent
(if we only have a complexvalued sequence use part (3)). Then we know
that
(.54) g
1
= [f
1
[, g
j
= [f
j
[ −[f
j−1
[, f ≥ 1
is an absolutely convergent sequence converging to [f[ almost everywhere.
It follows that f
+
=
1
2
([f[+f) = f, if f ≥ 0, is the limit almost everywhere
of the series obtained by interlacing
1
2
g
j
and
1
2
f
j
:
(.55) h
n
=
1
2
g
k
n = 2k −1
f
k
n = 2k.
Thus f
+
is Lebesgue integrable. Moreover we know that
(.56)
f
+
= lim
k→∞
¸
n≤2k
h
k
= lim
k→∞
¸
[
k
¸
j=1
f
j
[ +
k
¸
j=1
f
j
¸
where each term is a nonnegative step function, so
f
+
≥ 0.
162 SOLUTIONS TO PROBLEMS
(2) Apply the preceeding result to g −f which is integrable and satisﬁes
(.57)
g −
f =
(g −f) ≥ 0.
(3) Arguing from ﬁrst principles again, if f
n
is now complex valued and an
absolutely summable series of step functions converging a .e . to f then
deﬁne
(.58) h
n
=
Re f
k
n = 3k −2
Imf
k
n = 3k −1
−Imf
k
n = 3k.
This series of step functions is absolutely summable and
(.59)
¸
n
[h
n
(x)[ < ∞ ⇐⇒
¸
n
[f
n
(x)[ < ∞ =⇒
¸
n
h
n
(x) = Re f.
Thus Re f is integrable. Since ±Re f ≤ [f[
(.60) ±
Re f ≤
[f[ =⇒ [
Re f[ ≤
[f[.
(4) For a complexvalued f proceed as suggested. Choose z ∈ C with [z[ = 1
such that z
f ∈ [0, ∞) which is possible by the properties of complex
numbers. Then by the linearity of the integral
(.61)
z
f =
(zf) =
Re(zf) ≤
[z Re f[ ≤
[f[ =⇒ [
f[ = z
f ≤
[f[.
(where the second equality follows from the fact that the integral is equal
to its real part).
(5) We know that the integral deﬁnes a linear map
(.62) I : L
1
(R) ÷ [f] −→
f ∈ C
since
f =
g if f = g a.e. are two representatives of the same class in
L
1
(R). To say this is continuous is equivalent to it being bounded, which
follows from the preceeding estimate
(.63) [I([f])[ = [
f[ ≤
[f[ = [f]
L
1
(Note that writing [f] instead of f ∈ L
1
(R) is correct but would normally
be considered pedantic – at least after you are used to it!)
(6) I should have asked – and might do on the test: What is the norm of I
as an element of the dual space of L
1
(R). It is 1 – better make sure that
you can prove this.
Problem 3.2 If I ⊂ R is an interval, including possibly (−∞, a) or (a, ∞),
we deﬁne Lebesgue integrability of a function f : I −→ C to mean the Lebesgue
integrability of
(.64)
˜
f : R −→C,
˜
f(x) =
f(x) x ∈ I
0 x ∈ R ` I.
SOLUTIONS TO PROBLEMS 163
The integral of f on I is then deﬁned to be
(.65)
I
f =
˜
f.
(1) Show that the space of such integrable functions on I is linear, denote it
/
1
(I).
(2) Show that is f is integrable on I then so is [f[.
(3) Show that if f is integrable on I and
I
[f[ = 0 then f = 0 a.e. in the
sense that f(x) = 0 for all x ∈ I ` E where E ⊂ I is of measure zero as a
subset of R.
(4) Show that the set of null functions as in the preceeding question is a linear
space, denote it A(I).
(5) Show that
I
[f[ deﬁnes a norm on L
1
(I) = /
1
(I)/A(I).
(6) Show that if f ∈ /
1
(R) then
(.66) g : I −→C, g(x) =
f(x) x ∈ I
0 x ∈ R ` I
is in /
1
(R) an hence that f is integrable on I.
(7) Show that the preceeding construction gives a surjective and continuous
linear map ‘restriction to I’
(.67) L
1
(R) −→ L
1
(I).
(Notice that these are the quotient spaces of integrable functions modulo
equality a.e.)
Solution:
(1) If f and g are both integrable on I then setting h = f + g,
˜
h =
˜
f + ˜ g,
directly from the deﬁnitions, so f +g is integrable on I if f and g are by
the linearity of /
1
(R). Similarly if h = cf then
˜
h = c
˜
f is integrable for
any constant c if
˜
f is integrable. Thus /
1
(I) is linear.
(2) Again from the deﬁnition, [
˜
f[ =
˜
h if h = [f[. Thus f integrable on I
implies
˜
f ∈ /
1
(R), which, as we know, implies that [
˜
f[ ∈ /
1
(R). So in
turn
˜
h ∈ /
1
(R) where h = [f[, so [f[ ∈ /
1
(I).
(3) If f ∈ /
1
(I) and
I
[f[ = 0 then
R
[
˜
f[ = 0 which implies that
˜
f = 0 on
R ` E where E ⊂ R is of measure zero. Now, E
I
= E ∩ I ⊂ E is also of
measure zero (as a subset of a set of measure zero) and f vanishes outside
E
I
.
(4) If f, g : I −→C are both of measure zero in this sense then f +g vanishes
on I ` (E
f
∪ E
g
) where E
f
⊂ I and E
f
⊂ I are of measure zero. The
union of two sets of measure zero (in R) is of measure zero so this shows
f + g is null. The same is true of cf + dg for constant c and d, so A(I)
is a linear space.
(5) If f ∈ /
1
(I) and g ∈ A(I) then [f + g[ − [f[ ∈ A(I), since it vanishes
where g vanishes. Thus
(.68)
I
[f +g[ =
I
[f[ ∀ f ∈ /
1
(I), g ∈ A(I).
Thus
(.69) [f]
I
=
I
[f[
164 SOLUTIONS TO PROBLEMS
is a welldeﬁned function on L
1
(I) = /
1
(R)/A(I) since it is constant
on equivalence classes. Now, the norm properties follow from the same
properties on the whole of R.
(6) Suppose f ∈ /
1
(R) and g is deﬁned in (.66) above by restriction to I.
We need to show that g ∈ /
1
(R). If f
n
is an absolutely summable series
of step functions converging to f wherever, on R, it converges absolutely
consider
(.70) g
n
(x) =
f
n
(x) on
˜
I
0 on R `
˜
I
where
˜
I is I made halfopen if it isn’t already – by adding the lower
endpoint (if there is one) and removing the upper endpoint (if there is
one). Then g
n
is a step function (which is why we need
˜
I). Moreover,
[g
n
[ ≤
[f
n
[ so the series g
n
is absolutely summable and converges
to g
n
outside I and at all points inside I where the series is absolutely
convergent (since it is then the same as f
n
). Thus g is integrable, and since
˜
f diﬀers from g by its values at two points, at most, it too is integrable
so f is integrable on I by deﬁnition.
(7) First we check we do have a map. Namely if f ∈ A(R) then g in (.66) is
certainly an element of A(I). We have already seen that ‘restriction to I’
maps /
1
(R) into /
1
(I) and since this is clearly a linear map it deﬁnes (.67)
– the image only depends on the equivalence class of f. It is clearly linear
and to see that it is surjective observe that if g ∈ /
1
(I) then extending it
as zero outside I gives an element of /
1
(R) and the class of this function
maps to [g] under (.67).
Problem 3.3 Really continuing the previous one.
(1) Show that if I = [a, b) and f ∈ L
1
(I) then the restriction of f to I
x
= [x, b)
is an element of L
1
(I
x
) for all a ≤ x < b.
(2) Show that the function
(.71) F(x) =
I
x
f : [a, b) −→C
is continuous.
(3) Prove that the function x
−1
cos(1/x) is not Lebesgue integrable on the
interval (0, 1]. Hint: Think about it a bit and use what you have shown
above.
Solution:
(1) This follows from the previous question. If f ∈ L
1
([a, b)) with f
a repre
sentative then extending f
as zero outside the interval gives an element
of /
1
(R), by deﬁntion. As an element of L
1
(R) this does not depend on
the choice of f
and then (.67) gives the restriction to [x, b) as an element
of L
1
([x, b)). This is a linear map.
(2) Using the discussion in the preceeding question, we now that if f
n
is an
absolutely summable series converging to f
(a representative of f) where
it converges absolutely, then for any a ≤ x ≤ b, we can deﬁne
(.72) f
n
= χ([a, x))f
n
, f
n
= χ([x, b))f
n
SOLUTIONS TO PROBLEMS 165
where χ([a, b)) is the characteristic function of the interval. It follows
that f
n
converges to fχ([a, x)) and f
n
to fχ([x, b)) where they converge
absolutely. Thus
(.73)
[x,b)
f =
fχ([x, b)) =
¸
n
f
n
,
[a,x)
f =
fχ([a, x)) =
¸
n
f
n
.
Now, for step functions, we know that
f
n
=
f
n
+
f
n
so
(.74)
[a,b)
f =
[a,x)
f +
[x,b)
f
as we have every right to expect. Thus it suﬃces to show (by moving the
end point from a to a general point) that
(.75) lim
x→a
[a,x)
f = 0
for any f integrable on [a, b). Thus can be seen in terms of a deﬁning
absolutely summable sequence of step functions using the usual estimate
that
(.76) [
[a,x)
f[ ≤
[a,x)
[
¸
n≤N
f
n
[ +
¸
n>N
[a,x)
[f
n
[.
The last sum can be made small, independent of x, by choosing N large
enough. On the other hand as x → a the ﬁrst integral, for ﬁxed N, tends
to zero by the deﬁnition for step functions. This proves (.76) and hence
the continuity of F.
(3) If the function x
−1
cos(1/x) were Lebesgue integrable on the interval (0, 1]
(on which it is deﬁned) then it would be integrable on [0, 1) if we deﬁne
it arbitrarily, say to be 0, at 0. The same would be true of the absolute
value and Riemann integration shows us easily that
(.77) lim
t↓0
1
t
x[ cos(1/x)[dx = ∞.
This is contrary to the continuity of the integral as a function of the limits
just shown.
Problem 3.4 [Harder but still doable] Suppose f ∈ /
1
(R).
(1) Show that for each t ∈ R the translates
(.78) f
t
(x) = f(x −t) : R −→C
are elements of /
1
(R).
(2) Show that
(.79) lim
t→0
[f
t
−f[ = 0.
This is called ‘Continuity in the mean for integrable functions’. Hint: I
will add one!
(3) Conclude that for each f ∈ /
1
(R) the map (it is a ‘curve’)
(.80) R ÷ t −→ [f
t
] ∈ L
1
(R)
is continuous.
Solution:
166 SOLUTIONS TO PROBLEMS
(1) If f
n
is an absolutely summable series of step functions converging to f
where it converges absolutely then f
n
( −t) is such a series converging to
f( −t) for each t ∈ R. Thus, each of the f(x −t) is Lebesgue integrable,
i.e. are elements of /
1
(R)
(2) Now, we know that if f
n
is a series converging to f as above then
(.81)
[f[ ≤
¸
n
[f
n
[.
We can sum the ﬁrst terms and then start the series again and so it follows
that for any N,
(.82)
[f[ ≤
[
¸
n≤N
f
n
[ +
¸
n>N
[f
n
[.
Applying this to the series f
n
( −t) −f
n
() we ﬁnd that
(.83)
[f
t
−f[ ≤
[
¸
n≤N
f
n
( −t) −f
n
()[ +
¸
n>N
[f
n
( −t) −f
n
()[
The second sum here is bounded by 2
¸
n>N
[f
n
[. Given δ > 0 we can
choose N so large that this sum is bounded by δ/2, by the absolute con
vergence. So the result is reduce to proving that if [t[ is small enough
then
(.84)
[
¸
n≤N
f
n
( −t) −f
n
()[ ≤ δ/2.
This however is a ﬁnite sum of step functions. So it suﬃces to show that
(.85) [
g( −t) −g()[ → 0 as t → 0
for each component, i.e. a constant, c, times the characteristic function
of an interval [a, b) where it is bounded by 2[c[[t[.
(3) For the ‘curve’ f
t
which is a map
(.86) R ÷ t −→ f
t
∈ /
1
(R)
it follows that f
t+s
= (f
t
)
s
so we can apply the argument above to show
that for each s,
(.87) lim
t→s
[f
t
−f
s
[ = 0 =⇒ lim
t→s
[f
t
] −[f
s
]
L
1 = 0
which proves continuity of the map (.86).
Problem 3.5 In the last problem set you showed that a continuous function
on a compact interval, extended to be zero outside, is Lebesgue integrable. Using
this, and the fact that step functions are dense in L
1
(R) show that the linear space
of continuous functions on R each of which vanishes outside a compact set (which
depends on the function) form a dense subset of L
1
(R).
Solution: Since we know that step functions (really of course the equivalence
classes of step functions) are dense in L
1
(R) we only need to show that any step
function is the limit of a sequence of continuous functions each vanishing outside a
SOLUTIONS TO PROBLEMS 167
compact set, with respect to L
1
. So, it suﬃces to prove this for the charactertistic
function of an interval [a, b) and then multiply by constants and add. The sequence
(.88) g
n
(x) =
0 x < a −1/n
n(x −a + 1/n) a −1/n ≤ x ≤ a
0 a < x < b
n(b + 1/n −x) b ≤ x ≤ b + 1/n
0 x > b + 1/n
is clearly continuous and vanishes outside a compact set. Since
(.89)
[g
n
−χ([a, b))[ =
1
a−1/n
g
n
+
b+1/n
b
g
n
≤ 2/n
it follows that [g
n
] → [χ([a, b))] in L
1
(R). This proves the density of continuous
functions with compact support in L
1
(R).
Problem 3.6
(1) If g : R −→ C is bounded and continuous and f ∈ /
1
(R) show that
gf ∈ /
1
(R) and that
(.90)
[gf[ ≤ sup
R
[g[
[f[.
(2) Suppose now that G ∈ (([0, 1][0, 1]) is a continuous function (I use ((K)
to denote the continuous functions on a compact metric space). Recall
from the preceeding discussion that we have deﬁned L
1
([0, 1]). Now, using
the ﬁrst part show that if f ∈ L
1
([0, 1]) then
(.91) F(x) =
[0,1]
G(x, )f() ∈ C
(where is the variable in which the integral is taken) is welldeﬁned for
each x ∈ [0, 1].
(3) Show that for each f ∈ L
1
([0, 1]), F is a continuous function on [0, 1].
(4) Show that
(.92) L
1
([0, 1]) ÷ f −→ F ∈ (([0, 1])
is a bounded (i.e. continuous) linear map into the Banach space of con
tinuous functions, with supremum norm, on [0, 1].
Solution:
(1) Let’s ﬁrst assume that f = 0 outside [−1, 1]. Applying a result form Prob
lem set there exists a sequence of step functions g
n
such that for any R,
g
n
→ g uniformly on [0, 1). By passing to a subsequence we can arrange
that sup
[−1,1]
[g
n
(x) −g
n−1
(x)[ < 2
−n
. If f
n
is an absolutly summable se
ries of step functions converging a .e . to f we can replace it by f
n
χ([−1, 1])
as discussed above, and still have the same conclusion. Thus, from the
uniform convergence of g
n
,
(.93) g
n
(x)
n
¸
k=1
f
k
(x) → g(x)f(x) a.e. on R.
168 SOLUTIONS TO PROBLEMS
So deﬁne h
1
= g
1
f
1
, h
n
= g
n
(x)
n
¸
k=1
f
k
(x) −g
n−1
(x)
n−1
¸
k=1
f
k
(x). This series
of step functions converges to gf(x) almost everywhere and since
(.94)
[h
n
[ ≤ A[f
n
(x)[ + 2
−n
¸
k<n
[f
k
(x)[,
¸
n
[h
n
[ ≤ A
¸
n
[f
n
[ + 2
¸
n
[f
n
[ < ∞
it is absolutely summable. Here A is a bound for [g
n
[ independent of n.
Thus gf ∈ /
1
(R) under the assumption that f = 0 outside [0, 1) and
(.95)
[gf[ ≤ sup [g[
[f[
follows from the limiting argument. Now we can apply this argument to
f
p
which is the restriction of p to the interval [p, p + 1), for each p ∈ Z.
Then we get gf as the limit a .e . of the absolutely summable series gf
p
where (.95) provides the absolute summablitly since
(.96)
¸
p
[gf
p
[ ≤ sup [g[
¸
p
[p,p+1)
[f[ < ∞.
Thus, gf ∈ /
1
(R) by a theorem in class and
(.97)
[gf[ ≤ sup [g[
[f[.
(2) If f ∈ L
1
[(0, 1]) has a representative f
then G(x, )f
() ∈ /
1
([0, 1)) so
(.98) F(x) =
[0,1]
G(x, )f() ∈ C
is welldeﬁned, since it is indpendent of the choice of f
, changing by a
null function if f
is changed by a null function.
(3) Now by the uniform continuity of continuous functions on a compact met
ric space such as S = [0, 1] [0, 1] given δ > 0 there exist > 0 such that
(.99) sup
y∈[0,1]
[G(x, y) −G(x
, y)[ < δ if [x −x
[ < .
Then if [x −x
[ < ,
(.100) [F(x) −F(x
)[ = [
[0,1]
(G(x, ) −G(x
, ))f()[ ≤ δ
[f[.
Thus F ∈ (([0, 1]) is a continuous function on [0, 1]. Moreover the map
f −→ F is linear and
(.101) sup
[0,1]
[F[ ≤ sup
S
[G[
[0,1]
[[f[
which is the desired boundedness, or continuity, of the map
(.102) I : L
1
([0, 1]) −→ (([0, 1]), F(f)(x) =
G(x, )f(),
I(f)
sup
≤ sup [G[f
L
1.
SOLUTIONS TO PROBLEMS 169
You should be thinking about using Lebesgue’s dominated convergence at sev
eral points below.
Problem 5.1
Let f : R −→C be an element of /
1
(R). Deﬁne
(.103) f
L
(x) =
f(x) x ∈ [−L, L]
0 otherwise.
Show that f
L
∈ /
1
(R) and that
[f
L
−f[ → 0 as L → ∞.
Solution. If χ
L
is the characteristic function of [−N, N] then f
L
= fχ
L
. If
f
n
is an absolutely summable series of step functions converging a.e. to f then
f
n
χ
L
is absolutely summable, since
[f
n
χ
L
[ ≤
[f
n
[ and converges a.e. to f
L
, so
f
L
/
1
(R). Certainly [f
L
(x)−f(x)[ → 0 for each x as L → ∞ and [f
L
(x)−f(x)[ ≤
[f
l
(x)[ +[f(x)[ ≤ 2[f(x)[ so by Lebesgue’s dominated convergence,
[f −f
L
[ → 0.
Problem 5.2 Consider a realvalued function f : R −→ R which is locally
integrable in the sense that
(.104) g
L
(x) =
f(x) x ∈ [−L, L]
0 x ∈ R ` [−L, L]
is Lebesgue integrable of each L ∈ N.
(1) Show that for each ﬁxed L the function
(.105) g
(N)
L
(x) =
g
L
(x) if g
L
(x) ∈ [−N, N]
N if g
L
(x) > N
−N if g
L
(x) < −N
is Lebesgue integrable.
(2) Show that
[g
(N)
L
−g
L
[ → 0 as N → ∞.
(3) Show that there is a sequence, h
n
, of step functions such that
(.106) h
n
(x) → f(x) a.e. in R.
(4) Deﬁning
(.107) h
(N)
n,L
=
0 x ∈ [−L, L]
h
n
(x) if h
n
(x) ∈ [−N, N], x ∈ [−L, L]
N if h
n
(x) > N, x ∈ [−L, L]
−N if h
n
(x) < −N, x ∈ [−L, L]
.
Show that
[h
(N)
n,L
−g
(N)
L
[ → 0 as n → ∞.
Solution:
(1) By deﬁnition g
(N)
L
= max(−Nχ
L
, min(Nχ
L
, g
L
)) where χ
L
is the charac
teristic funciton of −[L, L], thus it is in /
1
(R).
(2) Clearly g
(N)
L
(x) → g
L
(x) for every x and [g
(N)
L
(x)[ ≤ [g
L
(x)[ so by Dom
inated Convergence, g
(N)
L
→ g
L
in L
1
, i.e.
[g
(N)
L
− g
L
[ → 0 as N → ∞
since the sequence converges to 0 pointwise and is bounded by 2[g(x)[.
(3) Let S
L,n
be a sequence of step functions converging a.e. to g
L
– for ex
ample the sequence of partial sums of an absolutely summable series of
step functions converging to g
L
which exists by the assumed integrability.
170 SOLUTIONS TO PROBLEMS
Then replacing S
L,n
by S
L,n
χ
L
we can assume that the elements all van
ish outside [−N, N] but still have convergence a.e. to g
L
. Now take the
sequence
(.108) h
n
(x) =
S
k,n−k
on [k, −k] ` [(k −1), −(k −1)], 1 ≤ k ≤ n,
0 on R ` [−n, n].
This is certainly a sequence of step functions – since it is a ﬁnite sum of
step functions for each n – and on [−L, L] ` [−(L − 1), (L − 1)] for large
integral L is just S
L,n−L
→ g
L
. Thus h
n
(x) → f(x) outside a countable
union of sets of measure zero, so also almost everywhere.
(4) This is repetition of the ﬁrst problem, h
(N)
n,L
(x) → g
(N)
L
almost everywhere
and [h
(N)
n,L
[ ≤ Nχ
L
so g
(N)
L
∈ /
1
(R) and
[h
(N)
n,L
−g
(N)
L
[ → 0 as n → ∞.
Problem 5.3 Show that /
2
(R) is a Hilbert space – since it is rather central to
the course I wanted you to go through the details carefully!
First working with real functions, deﬁne /
2
(R) as the set of functions f : R −→
R which are locally integrable and such that [f[
2
is integrable.
(1) For such f choose h
n
and deﬁne g
L
, g
(N)
L
and h
(N)
n
by (.104), (.105) and
(.107).
(2) Show using the sequence h
(N)
n,L
for ﬁxed N and L that g
(N)
L
and (g
(N)
L
)
2
are in /
1
(R) and that
[(h
(N)
n,L
)
2
−(g
(N)
L
)
2
[ → 0 as n → ∞.
(3) Show that (g
L
)
2
∈ /
1
(R) and that
[(g
(N)
L
)
2
−(g
L
)
2
[ → 0 as N → ∞.
(4) Show that
[(g
L
)
2
−f
2
[ → 0 as L → ∞.
(5) Show that f, g ∈ /
2
(R) then fg ∈ /
1
(R) and that
(.109) [
fg[ ≤
[fg[ ≤ f
L
2g
L
2, f
2
L
2 =
[f[
2
.
(6) Use these constructions to show that /
2
(R) is a linear space.
(7) Conclude that the quotient space L
2
(R) = /
2
(R)/A, where A is the space
of null functions, is a real Hilbert space.
(8) Extend the arguments to the case of complexvalued functions.
Solution:
(1) Done. I think it should have been h
(N)
n,L
.
(2) We already checked that g
(N)
L
∈ /
1
(R) and the same argument applies to
(g
(N)
L
)
,
namely (h
(N)
n,L
)
2
→ g
(N)
L
almost everywhere and both are bounded
by N
2
χ
L
so by dominated convergence
(.110)
(h
(N)
n,L
)
2
→ g
(N)
L
)
2
≤ N
2
χ
L
a.e. =⇒ g
(N)
L
)
2
∈ /
1
(R) and
[h
(N)
n,L
)
2
−g
(N)
L
)
2
[ → 0 a.e. ,
[h
(N)
n,L
)
2
−g
(N)
L
)
2
[ ≤ 2N
2
χ
L
=⇒
[h
(N)
n,L
)
2
−g
(N)
L
)
2
[ → 0.
(3) Now, as N → ∞, (g
(N)
L
)
2
→ (g
L
)
2
a .e . and (g
(N)
L
)
2
→ (g
L
)
2
≤ f
2
so
by dominated convergence, (g
L
)
2
∈ /
1
and
[(g
(N)
L
)
2
− (g
L
)
2
[ → 0 as
N → ∞.
(4) The same argument of dominated convergence shows now that g
2
L
→ f
2
and
[g
2
L
−f
2
[ → 0 using the bound by f
2
∈ /
1
(R).
SOLUTIONS TO PROBLEMS 171
(5) What this is all for is to show that fg ∈ /
1
(R) if f, F = g ∈ /
2
(R) (for
easier notation). Approximate each of them by sequences of step functions
as above, h
(N)
n,L
for f and H
(N)
n,L
for g. Then the product sequence is in /
1
– being a sequence of step functions – and
(.111) h
(N)
n,L
(x)H
(N)
n,L
(x) → g
(N)
L
(x)G
(N)
L
(x)
almost everywhere and with absolute value bounded by N
2
χ
L
. Thus
by dominated convergence g
(N)
L
G
(N)
L
∈ /
1
(R). Now, let N → ∞; this
sequence converges almost everywhere to g
L
(x)G
L
(x) and we have the
bound
(.112) [g
(N)
L
(x)G
(N)
L
(x)[ ≤ [f(x)F(x)[
1
2
(f
2
+F
2
)
so as always by dominated convergence, the limit g
L
G
L
∈ /
1
. Finally,
letting L → ∞ the same argument shows that fF ∈ /
1
(R). Moreover,
[fF[ ∈ /
1
(R) and
(.113) [
fF[ ≤
[fF[ ≤ f
L
2F
L
2
where the last inequality follows from Cauchy’s inequality – if you wish,
ﬁrst for the approximating sequences and then taking limits.
(6) So if f, g ∈ /
2
(R) are realvalue, f +g is certainly locally integrable and
(.114) (f +g)
2
= f
2
+ 2fg +g
2
∈ /
1
(R)
by the discussion above. For constants f ∈ /
2
(R) implies cf ∈ /
2
(R) is
directly true.
(7) The argument is the same as for /
1
versus L
1
. Namely
f
2
= 0 implies
that f
2
= 0 almost everywhere which is equivalent to f = 0 a@˙ e. Then
the norm is the same for all f +h where h is a null function since fh and
h
2
are null so (f + h)
2
= f
2
+ 2fh + h
2
. The same is true for the inner
product so it follows that the quotient by null functions
(.115) L
2
(R) = /
2
(R)/A
is a preHilbert space.
However, it remains to show completeness. Suppose ¦[f
n
]¦ is an ab
solutely summable series in L
2
(R) which means that
¸
n
f
n

L
2 < ∞. It
follows that the cutoﬀ series f
n
χ
L
is absolutely summable in the L
1
sense
since
(.116)
[f
n
χ
L
[ ≤ L
1
2
(
f
2
n
)
1
2
by Cauchy’s inequality. Thus if we set F
n
=
n
¸
k−1
f
k
then F
n
(x)χ
L
con
verges almost everywhere for each L so in fact
(.117) F
n
(x) → f(x) converges almost everywhere.
We want to show that f ∈ /
2
(R) where it follows already that f is locally
integrable by the completeness of L
1
. Now consider the series
(.118) g
1
= F
2
1
, g
n
= F
2
n
−F
2
n−1
.
172 SOLUTIONS TO PROBLEMS
The elements are in /
1
(R) and by Cauchy’s inequality for n > 1,
(.119)
[g
n
[ =
[F
2
n
−F
n−1
[
2
≤ F
n
−F
n−1

L
2F
n
+F
n−1

L
2
≤ f
n

L
22
¸
k
f
k

L
2
where the triangle inequality has been used. Thus in fact the series g
n
is
absolutely summable in /
1
(.120)
¸
n
[g
n
[ ≤ 2(
¸
n
f
n

L
2)
2
.
So indeed the sequence of partial sums, the F
2
n
converge to f
2
∈ /
1
(R).
Thus f ∈ /
2
(R) and moroever
(.121)
(F
n
−f)
2
=
F
2
n
+
f
2
−2
F
n
f → 0 as n → ∞.
Indeed the ﬁrst term converges to
f
2
and, by Cauchys inequality, the
series of products f
n
f is absulutely summable in L
1
with limit f
2
so the
third term converges to −2
f
2
. Thus in fact [F
n
] → [f] in L
2
(R) and we
have proved completeness.
(8) For the complex case we need to check linearity, assuming f is locally
integrable and [f[
2
∈ /
1
(R). The real part of f is locally integrable and the
approximation F
(N)
L
discussed above is square integrable with (F
(N)
L
)
2
≤
[f[
2
so by dominated convergence, letting ﬁrst N → ∞ and then L → ∞
the real part is in /
2
(R). Now linearity and completeness follow from the
real case.
Problem 5.4
Consider the sequence space
(.122) h
2,1
=
c : N ÷ j −→ c
j
∈ C;
¸
j
(1 +j
2
)[c
j
[
2
< ∞
.
(1) Show that
(.123) h
2,1
h
2,1
÷ (c, d) −→ 'c, d` =
¸
j
(1 +j
2
)c
j
d
j
is an Hermitian inner form which turns h
2,1
into a Hilbert space.
(2) Denoting the norm on this space by  
2,1
and the norm on l
2
by  
2
,
show that
(.124) h
2,1
⊂ l
2
, c
2
≤ c
2,1
∀ c ∈ h
2,1
.
Solution:
(1) The inner product is well deﬁned since the series deﬁning it converges
absolutely by Cauchy’s inequality:
(.125)
'c, d` =
¸
j
(1 +j
2
)
1
2
c
j
(1 +j
2
)
1
2
d
j
,
¸
j
[(1 +j
2
)
1
2
c
j
(1 +j
2
)
1
2
d
j
[ ≤ (
¸
j
(1 +j
2
)[c
j
[
2
)
1
2
(
¸
j
(1 +j
2
)[d
j
[
2
)
1
2
.
SOLUTIONS TO PROBLEMS 173
It is sesquilinear and positive deﬁnite since
(.126) c
2,1
= (
¸
j
(1 +j
2
)[c
j
[
2
)
1
2
only vanishes if all c
j
vanish. Completeness follows as for l
2
– if c
(n)
is a
Cauchy sequence then each component c
(n)
j
converges, since (1 + j)
1
2
c
(n)
j
is Cauchy. The limits c
j
deﬁne an element of h
2,1
since the sequence is
bounded and
(.127)
N
¸
j=1
(1 +j
2
)
1
2
[c
j
[
2
= lim
n→∞
N
¸
j=1
(1 +j
2
)[c
(n)
j
[
2
≤ A
where A is a bound on the norms. Then from the Cauchy condition
c
(n)
→ c in h
2,1
by passing to the limit as m → ∞ in c
(n)
−c
(m)

2,1
≤ .
(2) Clearly h
2,2
⊂ l
2
since for any ﬁnite N
(.128)
N
¸
j=1
[c
j
[
2
N
¸
j=1
(1 +j)
2
[c
j
[
2
≤ c
2
2,1
and we may pass to the limit as N → ∞ to see that
(.129) c
l
2 ≤ c
2,1
.
Problem 5.5 In the separable case, prove Riesz Representation Theorem di
rectly.
Choose an orthonormal basis ¦e
i
¦ of the separable Hilbert space H. Suppose
T : H −→C is a bounded linear functional. Deﬁne a sequence
(.130) w
i
= T(e
i
), i ∈ N.
(1) Now, recall that [Tu[ ≤ Cu
H
for some constant C. Show that for every
ﬁnite N,
(.131)
N
¸
j=1
[w
i
[
2
≤ C
2
.
(2) Conclude that ¦w
i
¦ ∈ l
2
and that
(.132) w =
¸
i
w
i
e
i
∈ H.
(3) Show that
(.133) T(u) = 'u, w`
H
∀ u ∈ H and T = w
H
.
Solution:
(1) The ﬁnite sum w
N
=
N
¸
i=1
w
i
e
i
is an element of the Hilbert space with norm
w
N

2
N
=
N
¸
i=1
[w
i
[
2
by Bessel’s identity. Expanding out
(.134) T(w
N
) = T(
N
¸
i=1
w
i
e
i
) =
n
¸
i=1
w
i
T(e
i
) =
N
¸
i=1
[w
i
[
2
and from the continuity of T,
(.135) [T(w
N
)[ ≤ Cw
N

H
=⇒ w
N

2
H
≤ Cw
N

H
=⇒ w
N

2
≤ C
2
174 SOLUTIONS TO PROBLEMS
which is the desired inequality.
(2) Letting N → ∞ it follows that the inﬁnite sum converges and
(.136)
¸
i
[w
i
[
2
≤ C
2
=⇒ w =
¸
i
w
i
e
i
∈ H
since w
N
−w ≤
¸
j>N
[w
i
[
2
tends to zero with N.
(3) For any u ∈ H u
N
=
N
¸
i=1
'u, e
i
`e
i
by the completness of the ¦e
i
¦ so from
the continuity of T
(.137) T(u) = lim
N→∞
T(u
N
) = lim
N→∞
N
¸
i=1
'u, e
i
`T(e
i
)
= lim
N→∞
N
¸
i=1
'u, w
i
e
i
` = lim
N→∞
'u, w
N
` = 'u, w`
where the continuity of the inner product has been used. From this and
Cauchy’s inequality it follows that T = sup
u
H
=1
[T(u)[ ≤ w. The
converse follows from the fact that T(w) = w
2
H
.
Solution .8. If f ∈ L
1
(R
k
R
p
) show that there exists a set of measure zero
E ⊂ R
k
such that
(.138) x ∈ R
k
` E =⇒ g
x
(y) = f(x, y) deﬁnes g
x
∈ L
1
(R
p
),
that F(x) =
g
x
deﬁnes an element F ∈ L
1
(R
k
) and that
(.139)
R
k
F =
R
k
×R
p
f.
Note: These identities are usually written out as an equality of an iterated
integral and a ‘regular’ integral:
(.140)
R
k
R
p
f(x, y) =
f.
It is often used to ‘exchange the order of integration’ since the hypotheses are
the same if we exchange the variables.
Solution. This is not hard but is a little tricky (I believe Fubini never under
stood what the fuss was about).
Certainly this result holds for step functions, since ultimately it reduces to the
case of the characterisitic function for a ‘rectrangle’.
In the general case we can take an absolutely summable sequence f
j
of step
functions summing to f
(.141) f(x, y) =
¸
j
f
j
(x, y) whenever
¸
j
[f
j
(x, y)[ < ∞.
This, after all, is our deﬁnition of integrability.
Now, consider the functions
(.142) h
j
(x) =
R
p
[f
j
(x, )[
SOLUTIONS TO PROBLEMS 175
which are step functions. Moreover this series is absolutely summable since
(.143)
¸
j
R
k
[h
j
[ =
¸
j
R
k
×R
p
[f
j
[.
Thus the series
¸
j
h
j
(x) converges (absolutely) on the complement of a set E ⊂ R
k
of measure zero. It follows that the series of step functions
(.144) F
j
(x) =
R
p
f
j
(x, )
converges absolutely on R
k
` E since [f
j
(x)[ ≤ h
j
(x). Thus,
(.145) F(x) =
¸
j
F
j
(x) converges absolutely on R
k
` E
deﬁnes F ∈ L
1
(R
k
) with
(.146)
R
k
F =
¸
j
R
k
F
j
=
¸
j
R
k
×R
p
f
j
=
R
k
×R
p
f.
The absolute convergence of
¸
j
h
j
(x) for a given x is precisely the absolutely
summability of f
k
(x, y) as a series of functions of y,
(.147)
¸
j
R
p
[f
j
(x, )[ =
¸
j
h
j
(x).
Thus for each x / ∈ E the series
¸
j
f
k
(x, y) must converge absolutely for y ∈ (R
p
`E
x
)
where E
x
is a set of measure zero. But (.141) shows that the sum is g
x
(y) = f(x, y)
at all such points, so for x / ∈ E, f(x, ) ∈ L
1
(R
p
) (as the limit of an absolutely
summable series) and
(.148) F(x) =
R
p
g
x
.
With (.146) this is what we wanted to show.
Problem 4.1
Let H be a normed space in which the norm satisﬁes the parallelogram law:
(.149) u +v
2
+u −v
2
= 2(u
2
+v
2
) ∀ u, v ∈ H.
Show that the norm comes from a positive deﬁnite sesquilinear (i.e. Hermitian)
inner product. Big Hint: Try
(.150) (u, v) =
1
4
u +v
2
−u −v
2
+iu +iv
2
−iu −iv
2
!
Solution: Setting u = v, even without the parallelogram law,
(.151) (u, u) =
1
4
2u
2
+i(1 +i)u
2
−i(1 −i)u
2
= u
2
.
So the point is that the parallelogram law shows that (u, v) is indeed an Hermitian
inner product. Taking complex conjugates and using properties of the norm, u +
iv = v −iu etc
(.152) (u, v) =
1
4
v +u
2
−v −u
2
−iv −iu
2
+iv +iu
2
= (v, u).
176 SOLUTIONS TO PROBLEMS
Thus we only need check the linearity in the ﬁrst variable. This is a little tricky!
First compute away. Directly from the identity (u, −v) = −(u, v) so (−u, v) =
−(u, v) using (.152). Now,
(.153)
(2u, v) =
1
4
u + (u +v)
2
−u + (u −v)
2
+iu + (u +iv)
2
−iu + (u −iv)
2
=
1
2
u +v
2
+u
2
−u −v
2
−u
2
+i(u +iv)
2
+iu
2
−iu −iv
2
−iu
2
−
1
4
u −(u +v)
2
−u −(u −v)
2
+iu −(u +iv)
2
−iu −(u −iv)
2
=2(u, v).
Using this and (.152), for any u, u
and v,
(.154)
(u +u
, v) =
1
2
(u +u
, 2v)
=
1
2
1
4
(u +v) + (u
+v)
2
−(u −v) + (u
−v)
2
+i(u +iv) + (u −iv)
2
−i(u −iv) + (u
−iv)
2
=
1
4
u +v +u
+v
2
−u −v −u
−v
2
+i(u +iv)
2
+iu −iv
2
−iu −iv −iu
−iv
2
−
1
2
1
4
(u +v) −(u
+v)
2
−(u −v) −(u
−v)
2
+i(u +iv) −(u −iv)
2
−i(u −iv) = (u
−iv)
2
= (u, v) + (u
, v).
Using the second identity to iterate the ﬁrst it follows that (ku, v) = k(u, v) for any
u and v and any positive integer k. Then setting nu
= u for any other positive
integer and r = k/n, it follows that
(.155) (ru, v) = (ku
, v) = k(u
, v) = rn(u
, v) = r(u, v)
where the identity is reversed. Thus it follows that (ru, v) = r(u, v) for any rational
r. Now, from the deﬁnition both sides are continuous in the ﬁrst element, with
respect to the norm, so we can pass to the limit as r → x in R. Also directly from
the deﬁnition,
(.156) (iu, v) =
1
4
iu +v
2
−iu −v
2
+iiu +iv
2
−iiu −iv
2
= i(u, v)
so now full linearity in the ﬁrst variable follows and that is all we need.
Problem 4.2
Let H be a ﬁnite dimensional (pre)Hilbert space. So, by deﬁnition H has a
basis ¦v
i
¦
n
i=1
, meaning that any element of H can be written
(.157) v =
¸
i
c
i
v
i
and there is no dependence relation between the v
i
’s – the presentation of v = 0 in
the form (.157) is unique. Show that H has an orthonormal basis, ¦e
i
¦
n
i=1
satisfying
SOLUTIONS TO PROBLEMS 177
(e
i
, e
j
) = δ
ij
(= 1 if i = j and 0 otherwise). Check that for the orthonormal basis
the coeﬃcients in (.157) are c
i
= (v, e
i
) and that the map
(.158) T : H ÷ v −→ ((v, e
i
)) ∈ C
n
is a linear isomorphism with the properties
(.159) (u, v) =
¸
i
(Tu)
i
(Tv)
i
, u
H
= Tu
C
n ∀ u, v ∈ H.
Why is a ﬁnite dimensional preHilbert space a Hilbert space?
Solution: Since H is assumed to be ﬁnite dimensional, it has a basis v
i
, i =
1, . . . , n. This basis can be replaced by an orthonormal basis in n steps. First
replace v
1
by e
1
= v
1
/v
1
 where v
1
 = 0 by the linear indepedence of the basis.
Then replace v
2
by
(.160) e
2
= w
2
/w
2
, w
2
= v
2
−(v
2
, e
1
)e
1
.
Here w
2
⊥ e
1
as follows by taking inner products; w
2
cannot vanish since v
2
and e
1
must be linearly independent. Proceeding by ﬁnite induction we may assume that
we have replaced v
1
, v
2
, . . . , v
k
, k < n, by e
1
, e
2
, . . . , e
k
which are orthonormal
and span the same subspace as the v
i
’s i = 1, . . . , k. Then replace v
k+1
by
(.161) e
k+1
= w
k+1
/w
k+1
, w
k+1
= v
k+1
−
k
¸
i=1
(v
k+1
, e
i
)e
i
.
By taking inner products, w
k+1
⊥ e
i
, i = 1, . . . , k and w
k+1
= 0 by the linear
independence of the v
i
’s. Thus the orthonormal set has been increased by one
element preserving the same properties and hence the basis can be orthonormalized.
Now, for each u ∈ H set
(.162) c
i
= (u, e
i
).
It follows that U = u −
n
¸
i=1
c
i
e
i
is orthogonal to all the e
i
since
(.163) (u, e
j
) = (u, e
j
) −
¸
i
c
i
(e
i
, e
j
) = (u.e
j
) −c
j
= 0.
This implies that U = 0 since writing U =
¸
i
d
i
e
i
it follows that d
i
= (U, e
i
) = 0.
Now, consider the map (.158). We have just shown that this map is injective,
since Tu = 0 implies c
i
= 0 for all i and hence u = 0. It is linear since the c
i
depend
linearly on u by the linearity of the inner product in the ﬁrst variable. Moreover
it is surjective, since for any c
i
∈ C, u =
¸
i
c
i
e
i
reproduces the c
i
through (.162).
Thus T is a linear isomorphism and the ﬁrst identity in (.159) follows by direct
computation:
(.164)
n
¸
i=1
(Tu)
i
(Tv)
i
=
¸
i
(u, e
i
)
= (u,
¸
i
(v, e
i
)e
i
)
= (u, v).
Setting u = v shows that Tu
C
n = u
H
.
178 SOLUTIONS TO PROBLEMS
Now, we know that C
n
is complete with its standard norm. Since T is an
isomorphism, it carries Cauchy sequences in H to Cauchy sequences in C
n
and T
−1
carries convergent sequences in C
n
to convergent sequences in H, so every Cauchy
sequence in H is convergent. Thus H is complete.
Hint: Don’t pay too much attention to my hints, sometimes they are a little oﬀ
thecuﬀ and may not be very helpfult. An example being the old hint for Problem
6.2!
Problem 6.1 Let H be a separable Hilbert space. Show that K ⊂ H is compact
if and only if it is closed, bounded and has the property that any sequence in K
which is weakly convergent sequence in H is (strongly) convergent.
Hint: In one direction use the result from class that any bounded sequence has
a weakly convergent subsequence.
Problem 6.2 Show that, in a separable Hilbert space, a weakly convergent
sequence ¦v
n
¦, is (strongly) convergent if and only if the weak limit, v satisﬁes
(.165) v
H
= lim
n→∞
v
n

H
.
Hint: To show that this condition is suﬃcient, expand
(.166) (v
n
−v, v
n
−v) = v
n

2
−2 Re(v
n
, v) +v
2
.
Problem 6.3 Show that a subset of a separable Hilbert space is compact if
and only if it is closed and bounded and has the property of ‘ﬁnite dimensional
approximation’ meaning that for any > 0 there exists a linear subspace D
N
⊂ H
of ﬁnite dimension such that
(.167) d(K, D
N
) = sup
u∈K
inf
v∈D
N
¦d(u, v)¦ ≤ .
Hint: To prove necessity of this condition use the ‘equismall tails’ property of
compact sets with respect to an orthonormal basis. To use the ﬁnite dimensional
approximation condition to show that any weakly convergent sequence in K is
strongly convergent, use the convexity result from class to deﬁne the sequence ¦v
n
¦
in D
N
where v
n
is the closest point in D
N
to v
n
. Show that v
n
is weakly, hence
strongly, convergent and hence deduce that ¦v
n
¦ is Cauchy.
Problem 6.4 Suppose that A : H −→ H is a bounded linear operator with the
property that A(H) ⊂ H is ﬁnite dimensional. Show that if v
n
is weakly convergent
in H then Av
n
is strongly convergent in H.
Problem 6.5 Suppose that H
1
and H
2
are two diﬀerent Hilbert spaces and
A : H
1
−→ H
2
is a bounded linear operator. Show that there is a unique bounded
linear operator (the adjoint) A
∗
: H
2
−→ H
1
with the property
(.168) (Au
1
, u
2
)
H
2
= (u
1
, A
∗
u
2
)
H
1
∀ u
1
∈ H
1
, u
2
∈ H
2
.
Problem 8.1 Show that a continuous function K : [0, 1] −→ L
2
(0, 2π) has
the property that the Fourier series of K(x) ∈ L
2
(0, 2π), for x ∈ [0, 1], converges
uniformly in the sense that if K
n
(x) is the sum of the Fourier series over [k[ ≤ n
then K
n
: [0, 1] −→ L
2
(0, 2π) is also continuous and
(.169) sup
x∈[0,1]
K(x) −K
n
(x)
L
2
(0,2π)
→ 0.
Hint. Use one of the properties of compactness in a Hilbert space that you
proved earlier.
Problem 8.2
SOLUTIONS TO PROBLEMS 179
Consider an integral operator acting on L
2
(0, 1) with a kernel which is contin
uous – K ∈ (([0, 1]
2
). Thus, the operator is
(.170) Tu(x) =
(0,1)
K(x, y)u(y).
Show that T is bounded on L
2
(I think we did this before) and that it is in the
norm closure of the ﬁnite rank operators.
Hint. Use the previous problem! Show that a continuous function such as K in
this Problem deﬁnes a continuous map [0, 1] ÷ x −→ K(x, ) ∈ (([0, 1]) and hence
a continuous function K : [0, 1] −→ L
2
(0, 1) then apply the previous problem with
the interval rescaled.
Here is an even more expanded version of the hint: You can think of K(x, y) as
a continuous function of x with values in L
2
(0, 1). Let K
n
(x, y) be the continuous
function of x and y given by the previous problem, by truncating the Fourier series
(in y) at some point n. Check that this deﬁnes a ﬁnite rank operator on L
2
(0, 1)
– yes it maps into continuous functions but that is ﬁne, they are Lebesgue square
integrable. Now, the idea is the diﬀerence K−K
n
deﬁnes a bounded operator with
small norm as n becomes large. It might actually be clearer to do this the other
way round, exchanging the roles of x and y.
Problem 8.3 Although we have concentrated on the Lebesgue integral in one
variable, you proved at some point the covering lemma in dimension 2 and that is
pretty much all that was needed to extend the discussion to 2 dimensions. Let’s just
assume you have assiduously checked everything and so you know that L
2
((0, 2π)
2
)
is a Hilbert space. Sketch a proof – noting anything that you are not sure of – that
the functions exp(ikx +ily)/2π, k, l ∈ Z, form a complete orthonormal basis.
P9.1: Periodic functions
Let S be the circle of radius 1 in the complex plane, centered at the origin,
S = ¦z; [z[ = 1¦.
(1) Show that there is a 11 correspondence
(.171) (
0
(S) = ¦u : S −→C, continuous¦ −→
¦u : R −→C; continuous and satisfying u(x + 2π) = u(x) ∀ x ∈ R¦.
Solution: The map E : R ÷ θ −→ e
2πiθ
∈ S is continuous, surjective
and 2πperiodic and the inverse image of any point of the circle is precisly
of the form θ + 2πZ for some θ ∈ R. Thus composition deﬁnes a map
(.172) E
∗
: (
0
(S) −→ (
0
(R), E
∗
f = f ◦ E.
This map is a linear bijection.
(2) Show that there is a 11 correspondence
(.173) L
2
(0, 2π) ←→ ¦u ∈ /
1
loc
(R); u
(0,2π)
∈ /
2
(0, 2π)
and u(x + 2π) = u(x) ∀ x ∈ R¦/A
P
where A
P
is the space of null functions on R satisfying u(x + 2π) = u(x)
for all x ∈ R.
Solution: Our original deﬁnition of L
2
(0, 2π) is as functions on R
which are squareintegrable and vanish outside (0, 2π). Given such a func
tion u we can deﬁne an element of the right side of (.173) by assigning a
180 SOLUTIONS TO PROBLEMS
value at 0 and then extending by periodicity
(.174) ˜ u(x) = u(x −2nπ), n ∈ Z
where for each x ∈ R there is a unique integer n so that x−2nπ ∈ [0, 2π).
Null functions are mapped to null functions his way and changing the
choice of value at 0 changes ˜ u by a null function. This gives a map as in
(.173) and restriction to (0, 2π) is a 2sided invese.
(3) If we denote by L
2
(S) the space on the left in (.173) show that there is a
dense inclusion
(.175) (
0
(S) −→ L
2
(S).
Solution: Combining the ﬁrst map and the inverse of the second gives
an inclusion. We know that continuous functions vanishing near the end
points of (0, 2π) are dense in L
2
(0, 2π) so density follows.
So, the idea is that we can freely think of functions on S as 2πperiodic functions
on R and conversely.
P9.2: Schr¨odinger’s operator
Since that is what it is, or at least it is an example thereof:
(.176) −
d
2
u(x)
dx
2
+V (x)u(x) = f(x), x ∈ R,
(1) First we will consider the special case V = 1. Why not V = 0? – Don’t
try to answer this until the end!
Solution: The reason we take V = 1, or at least some other positive
constant is that there is 1d space of periodic solutions to d
2
u/dx
2
= 0,
namely the constants.
(2) Recall how to solve the diﬀerential equation
(.177) −
d
2
u(x)
dx
2
+u(x) = f(x), x ∈ R,
where f(x) ∈ (
0
(S) is a continuous, 2πperiodic function on the line. Show
that there is a unique 2πperiodic and twice continuously diﬀerentiable
function, u, on R satisfying (.177) and that this solution can be written
in the form
(.178) u(x) = (Sf)(x) =
0,2π
A(x, y)f(y)
where A(x, y) ∈ (
0
(R
2
) satisﬁes A(x+2π, y+2π) = A(x, y) for all (x, y) ∈
R.
Extended hint: In case you managed to avoid a course on diﬀerential
equations! First try to ﬁnd a solution, igonoring the periodicity issue. To
do so one can (for example, there are other ways) factorize the diﬀerential
operator involved, checking that
(.179) −
d
2
u(x)
dx
2
+u(x) = −(
dv
dx
+v) if v =
du
dx
−u
SOLUTIONS TO PROBLEMS 181
since the cross terms cancel. Then recall the idea of integrating factors to
see that
(.180)
du
dx
−u = e
x
dφ
dx
, φ = e
−x
u,
dv
dx
+v = e
−x
dψ
dx
, ψ = e
x
v.
Now, solve the problem by integrating twice from the origin (say) and
hence get a solution to the diﬀerential equation (.177). Write this out
explicitly as a double integral, and then change the order of integration
to write the solution as
(.181) u
(x) =
0,2π
A
(x, y)f(y)dy
where A
is continuous on R[0, 2π]. Compute the diﬀerence u
(2π)−u
(0)
and
du
dx
(2π) −
du
dx
(0) as integrals involving f. Now, add to u
as solution
to the homogeneous equation, for f = 0, namely c
1
e
x
+c
2
e
−x
, so that the
new solution to (.177) satisﬁes u(2π) = u(0) and
du
dx
(2π) =
du
dx
(0). Now,
check that u is given by an integral of the form (.178) with A as stated.
Solution: Integrating once we ﬁnd that if v =
du
dx
−u then
(.182) v(x) = −e
−x
x
0
e
s
f(s)ds, u
(x) = e
x
x
0
e
−t
v(t)dt
gives a solution of the equation −
d
2
u
dx
2
+u
(x) = f(x) so combinging these
two and changing the order of integration
(.183)
u
(x) =
x
0
˜
A(x, y)f(y)dy,
˜
A(x, y) =
1
2
e
y−x
−e
x−y
u
(x) =
(0,2π)
A
(x, y)f(y)dy, A
(x, y) =
1
2
(e
y−x
−e
x−y
) x ≥ y
0 x ≤ y.
Here A
is continuous since
˜
A vanishes at x = y where there might other
wise be a discontinuity. This is the only solution which vanishes with its
derivative at 0. If it is to extend to be periodic we need to add a solution
of the homogeneous equation and arrange that
(.184) u = u
+u
, u
= ce
x
+de
−x
, u(0) = u(2π),
du
dx
(0) =
du
dx
(2π).
So, computing away we see that
(.185)
u
(2π) =
2π
0
1
2
e
y−2π
−e
2π−y
f(y),
du
dx
(2π) = −
2π
0
1
2
e
y−2π
+e
2π−y
f(y).
Thus there is a unique solution to (.184) which must satify
(.186)
c(e
2π
−1) +d(e
−2π
−1) = −u
(2π), c(e
2π
−1) −d(e
−2π
−1) = −
du
dx
(2π)
(e
2π
−1)c =
1
2
2π
0
e
2π−y
f(y), (e
−2π
−1)d = −
1
2
2π
0
e
y−2π
f(y).
182 SOLUTIONS TO PROBLEMS
Putting this together we get the solution in the desired form:
(.187)
u(x) =
(0.2π)
A(x, y)f(y), A(x, y) = A
(x, y) +
1
2
e
2π−y+x
e
2π
−1
−
1
2
e
−2π+y−x
e
−2π
−1
=⇒
A(x, y) =
cosh([x −y[ −π)
e
π
−e
−π
.
(3) Check, either directly or indirectly, that A(y, x) = A(x, y) and that A is
real.
Solution: Clear from (.187).
(4) Conclude that the operator S extends by continuity to a bounded operator
on L
2
(S).
Solution. We know that S ≤
√
2π sup [A[.
(5) Check, probably indirectly rather than directly, that
(.188) S(e
ikx
) = (k
2
+ 1)
−1
e
ikx
, k ∈ Z.
Solution. We know that Sf is the unique solution with periodic
boundary conditions and e
ikx
satisﬁes the boundary conditions and the
equation with f = (k
2
+ 1)e
ikx
.
(6) Conclude, either from the previous result or otherwise that S is a compact
selfadjoint operator on L
2
(S).
Soluion: Selfadjointness and compactness follows from (.188) since
we know that the e
ikx
/
√
2π form an orthonormal basis, so the eigenvalues
of S tend to 0. (Myabe better to say it is approximable by ﬁnite rank
operators by truncating the sum).
(7) Show that if g ∈ (
0
(S)) then Sg is twice continuously diﬀerentiable. Hint:
Proceed directly by diﬀerentiating the integral.
Solution: Clearly Sf is continuous. Going back to the formula in
terms of u
+ u
we see that both terms are twice continuously diﬀeren
tiable.
(8) From (.188) conclude that S = F
2
where F is also a compact selfadjoint
operator on L
2
(S) with eigenvalues (k
2
+ 1)
−
1
2
.
Solution: Deﬁne F(e
ikx
) = (k
2
+ 1)
−
1
2
e
ikx
. Same argument as above
applies to show this is compact and selfadjoint.
(9) Show that F : L
2
(S) −→ (
0
(S).
Solution. The series for Sf
(.189) Sf(x) =
1
2π
¸
k
(2k
2
+ 1)
−
1
2
(f, e
ikx
)e
ikx
converges absolutely and uniformly, using Cauchy’s inequality – for in
stance it is Cauchy in the supremum norm:
(.190) 
¸
k>p
(2k
2
+ 1)
−
1
2
(f, e
ikx
)e
ikx
[ ≤ f
L
2
for p large since the sum of the squares of the eigenvalues is ﬁnite.
(10) Now, going back to the real equation (.176), we assume that V is contin
uous, realvalued and 2πperiodic. Show that if u is a twicediﬀerentiable
2πperiodic function satisfying (.176) for a given f ∈ (
0
(S) then
(.191) u +S((V −1)u) = Sf and hence u = −F
2
((V −1)u) +F
2
f
SOLUTIONS TO PROBLEMS 183
and hence conclude that
(.192) u = Fv where v ∈ L
2
(S) satisﬁes v + (F(V −1)F)v = Ff
where V −1 is the operator deﬁned by multiplication by V −1.
Solution: If u satisﬁes (.176) then
(.193) −
d
2
u(x)
dx
2
+u(x) = −(V (x) −1)u(x) +f(x)
so by the uniquenss of the solution with periodic boundary conditions,
u = −S(V −1)u +Sf so u = F(−F(V −1)u +Ff). Thus indeed u = Fv
with v = −F(V −1)u +Ff which means that v satisﬁes
(.194) v +F(V −1)Fv = Ff.
(11) Show the converse, that if v ∈ L
2
(S) satisﬁes
(.195) v + (F(V −1)F)v = Ff, f ∈ (
0
(S)
then u = Fv is 2πperiodic and twicediﬀerentiable on R and satisﬁes
(.176).
Solution. If v ∈ L
2
(0, 2π) satisﬁes (.195) then u = Fv ∈ (
0
(S) sat
isﬁes u + F
2
(V − 1)u = F
2
f and since F
2
= S maps (
0
(S) into twice
continuously diﬀerentiable functions it follows that u satisﬁes (.176).
(12) Apply the Spectral theorem to F(V −1)F (including why it applies) and
show that there is a sequence λ
j
in R` ¦0¦ with [λ
j
[ → 0 such that for all
λ ∈ C ` ¦0¦, the equation
(.196) λv + (F(V −1)F)v = g, g ∈ L
2
(S)
has a unique solution for every g ∈ L
2
(S) if and only if λ = λ
j
for any j.
Solution: We know that F(V − 1)F is selfadjoint and compact so
L
2
(0.2π) has an orthonormal basis of eigenfunctions of −F(V −1)F with
eigenvalues λ
j
. This sequence tends to zero and (.196), for given λ ∈
C ` ¦0¦, if and only if has a solution if and only if it is an isomorphism,
meaning λ = λ
j
is not an eigenvalue of −F(V −1)F.
(13) Show that for the λ
j
the solutions of
(.197) λ
j
v + (F(V −1)F)v = 0, v ∈ L
2
(S),
are all continuous 2πperiodic functions on R.
Solution: If v satisﬁes (.197) with λ
j
= 0 then v = −F(V −1)F/λ
j
∈
(
0
(S).
(14) Show that the corresponding functions u = Fv where v satisﬁes (.197) are
all twice continuously diﬀerentiable, 2πperiodic functions on R satisfying
(.198) −
d
2
u
dx
2
+ (1 −s
j
+s
j
V (x))u(x) = 0, s
j
= 1/λ
j
.
Solution: Then u = Fv satisﬁes u = −S(V − 1)u/λ
j
so is twice
continuously diﬀerentiable and satisﬁes (.198).
(15) Conversely, show that if u is a twice continuously diﬀerentiable, 2πperiodic
function satisfying
(.199) −
d
2
u
dx
2
+ (1 −s +sV (x))u(x) = 0, s ∈ C,
and u is not identically 0 then s = s
j
for some j.
184 SOLUTIONS TO PROBLEMS
Solution: From the uniquess of periodic solutions u = −S(V −1)u/λ
j
as before.
(16) Finally, conclude that Fredholm’s alternative holds for the equation (.176)
Theorem 21. For a given realvalued, continuous 2πperiodic func
tion V on R, either (.176) has a unique twice continuously diﬀerentiable,
2πperiodic, solution for each f which is continuous and 2πperiodic or
else there exists a ﬁnite, but positive, dimensional space of twice continu
ously diﬀerentiable 2πperiodic solutions to the homogeneous equation
(.200) −
d
2
w(x)
dx
2
+V (x)w(x) = 0, x ∈ R,
and (.176) has a solution if and only if
(0,2π)
fw = 0 for every 2πperiodic
solution, w, to (.200).
Solution: This corresponds to the special case λ
j
= 1 above. If λ
j
is not an
eigenvalue of −F(V −1)F then
(.201) v +F(V −1)Fv = Ff
has a unque solution for all f, otherwise the necessary and suﬃcient condition is
that (v, Ff) = 0 for all v
satisfying v
+F(V −1)Fv
= 0. Correspondingly either
(.176) has a unique solution for all f or the necessary and suﬃcient condition is
that (Fv
, f) = 0 for all w = Fv
(remember that F is injetive) satisfying (.200).
Problem P10.1 Let H be a separable, inﬁnite dimensional Hilbert space. Show
that the direct sum of two copies of H is a Hilbert space with the norm
(.202) H ⊕H ÷ (u
1
, u
2
) −→ (u
1

2
H
+u
2

2
H
)
1
2
either by constructing an isometric isomorphism
(.203) T : H −→ H ⊕H, 11 and onto, u
H
= Tu
H⊕H
or otherwise. In any case, construct a map as in (.203).
Solution: Let ¦e
i
¦
i∈N
be an orthonormal basis of H, which exists by virtue of
the fact that it is an inﬁnitedimensional but separable Hilbert space. Deﬁne the
map
(.204) T : H ÷ u −→ (
∞
¸
i=1
(u, e
2i−1
)e
i
,
∞
¸
i=1
(u, e
2i
)e
i
) ∈ H ⊕H
The convergence of the Fourier Bessel series shows that this map is welldeﬁned
and linear. Injectivity similarly follows from the fact that Tu = 0 in the image
implies that (u, e
i
) = 0 for all i and hence u = 0. Surjectivity is also clear from the
fact that
(.205) S : H ⊕H ÷ (u
1
, u
2
) −→
∞
¸
i=1
((u
1
, e
i
)e
2i−1
+ (u
2
, e
i
)e
2i
) ∈ H
is a 2sided inverse and Bessel’s identity implies isometry since S(u
1
, u
2
)
2
=
u
1

2
+u
2

2
Problem P10.2 One can repeat the preceding construction any ﬁnite number
of times. Show that it can be done ‘countably often’ in the sense that if H is a
separable, inﬁnite dimensional, Hilbert space then
(.206) l
2
(H) = ¦u : N −→ H; u
2
l
2
(H)
=
¸
i
u
i

2
H
< ∞¦
SOLUTIONS TO PROBLEMS 185
has a Hilbert space structure and construct an explicit isometric isomorphism from
l
2
(H) to H.
Solution: A similar argument as in the previous problem works. Take an
orthormal basis e
i
for H. Then the elements E
i,j
∈ l
2
(H), which for each i, i consist
of the sequences with 0 entries except the jth, which is e
i
, given an orthonromal
basis for l
2
(H). Orthormality is clear, since with the inner product is
(.207) (u, v)
l
2
(H)
=
¸
j
(u
j
, v
j
)
H
.
Completeness follows from completeness of the orthonormal basis of H since if
v = ¦v
j
¦ (v, E
j,i
) = 0 for all j implies v
j
= 0 in H. Now, to construct an isometric
isomorphism just choose an isomorphism m : N
2
−→N then
(.208) Tu = v, v
j
=
¸
i
(u, e
m(i,j)
)e
i
∈ H.
I would expect you to go through the argument to check injectivity, surjectivity
and that the map is isometric.
Problem P10.3 Recall, or perhaps learn about, the winding number of a closed
curve with values in C
∗
= C ` ¦0¦. We take as given the following fact:
1
If Q =
[0, 1]
N
and f : Q −→ C
∗
is continuous then for each choice of b ∈ C satisfying
exp(2πib) = f(0), there exists a unique continuous function F : Q −→C satisfying
(.209) exp(2πiF(q)) = f(q), ∀ q ∈ Q and F(0) = b.
Of course, you are free to change b to b + n for any n ∈ Z but then F changes to
F +n, just shifting by the same integer.
(1) Now, suppose c : [0, 1] −→C
∗
is a closed curve – meaning it is continuous
and c(1) = c(0). Let C : [0, 1] −→ C be a choice of F for N = 1 and
f = c. Show that the winding number of the closed curve c may be deﬁned
unambiguously as
(.210) wn(c) = C(1) −C(0) ∈ Z.
Solution: Let C
, be another choice of F in this case. Now, g(t) =
C
(t) − C(t) is continuous and satisﬁes exp(2πg(t)) = 1 for all t ∈ [0, 1]
so by the uniqueness must be constant, thus C
(1) −C
(0) = C(1) −C(0)
and the winding number is welldeﬁned.
(2) Show that wn(c) is constant under homotopy. That is if c
i
: [0, 1] −→C
∗
,
i = 1, 2, are two closed curves so c
i
(1) = c
i
(0), i = 1, 2, which are homo
topic through closed curves in the sense that there exists f : [0, 1]
2
−→C
∗
continuous and such that f(0, x) = c
1
(x), f(1, x) = c
2
(x) for all x ∈ [0, 1]
and f(y, 0) = f(y, 1) for all y ∈ [0, 1], then wn(c
1
) = wn(c
2
).
Solution: Choose F using the ‘fact’ corresponding to this homotopy
f. Since f is periodic in the second variable – the two curves f(y, 0),
and f(y, 1) are the same – so by the uniquess F(y, 0) − F(y, 1) must be
constant, hence wn(c
2
) = F(1, 1) −F(1, 0) = F(0, 1) −F(0, 0) = wn(c
1
).
(3) Consider the closed curve L
n
: [0, 1] ÷ x −→ e
2πix
Id
n×n
of nn matrices.
Using the standard properties of the determinant, show that this curve
is not homotopic to the identity through closed curves in the sense that
there does not exist a continuous map G : [0, 1]
2
−→ GL(n), with values in
1
Of course, you are free to give a proof – it is not hard.
186 SOLUTIONS TO PROBLEMS
the invertible nn matrices, such that G(0, x) = L
n
(x), G(1, x) ≡ Id
n×n
for all x ∈ [0, 1], G(y, 0) = G(y, 1) for all y ∈ [0, 1].
Solution: The determinant is a continuous (actually it is analytic)
map which vanishes precisely on noninvertible matrices. Moreover, it is
given by the product of the eigenvalues so
(.211) det(L
n
) = exp(2πixn).
This is a periodic curve with winding number n since it has the ‘lift’ xn.
Now, if there were to exist such an homotopy of periodic curves of matri
ces, always invertible, then by the previous result the winding number of
the determinant would have to remain constant. Since the winding num
ber for the constant curve with value the identity is 0 such an homotopy
cannot exist.
Problem P10.4 Consider the closed curve corresponding toL
n
above in the case
of a separable but now inﬁnite dimensional Hilbert space:
(.212) L : [0, 1] ÷ x −→ e
2πix
Id
H
∈ GL(H) ⊂ B(H)
taking values in the invertible operators on H. Show that after identifying H with
H ⊕H as above, there is a continuous map
(.213) M : [0, 1]
2
−→ GL(H ⊕H)
with values in the invertible operators and satisfying
(.214)
M(0, x) = L(x), M(1, x)(u
1
, u
2
) = (e
4πix
u
1
, u
2
), M(y, 0) = M(y, 1), ∀ x, y ∈ [0, 1].
Hint: So, think of H ⊕H as being 2vectors (u
1
, u
2
) with entries in H. This allows
one to think of ‘rotation’ between the two factors. Indeed, show that
(.215) U(y)(u
1
, u
2
) = (cos(πy/2)u
1
+ sin(πy/2)u
2
, −sin(πy/2)u
1
+ cos(πy/2)u
2
)
deﬁnes a continuous map [0, 1] ÷ y −→ U(y) ∈ GL(H ⊕ H) such that U(0) = Id,
U(1)(u
1
, u
2
) = (u
2
, −u
1
). Now, consider the 2parameter family of maps
(.216) U
−1
(y)V
2
(x)U(y)V
1
(x)
where V
1
(x) and V
2
(x) are deﬁned on H⊕H as multiplication by exp(2πix) on the
ﬁrst and the second component respectively, leaving the other ﬁxed.
Solution: Certainly U(y) is invertible since its inverse is U(−y) as follows in the
two dimensional case. Thus the map W(x, y) on [0, 1]
2
in (.216) consists of invertible
and bounded operators on H ⊕ H, meaning a continuous map W : [0, 1]
2
−→
GL(H ⊕ H). When x = 0 or x = 1, both V
1
(x) and v
2
(x) reduce to the identiy,
and hence W(0, y) = W(1, y) for all y, so W is periodic in x. Moreove at y = 0
W(x, 0) = V
2
(x)V
1
(x) is exactly L(x), a multiple of the identity. On the other
hand, at x = 1 we can track composite as
(.217)
u
1
u
2
−→
e
2πix
u
1
u
2
−→
u
2
−e
2πx
u
1
−→
u
2
−e
4πx
u
1
−→
e
4πx
u
1
u
2
.
This is what is required of M in (.214).
Problem P10.5 Using a rotation similar to the one in the preceeding problem
(or otherwise) show that there is a continuous map
(.218) G : [0, 1]
2
−→ GL(H ⊕H)
SOLUTIONS TO PROBLEMS 187
such that
(.219) G(0, x)(u
1
, u
2
) = (e
2πix
u
1
, e
−2πix
u
2
),
G(1, x)(u
1
, u
2
) = (u
1
, u
2
), G(y, 0) = G(y, 1) ∀ x, y ∈ [0, 1].
Solution: We can take
(.220) G(y, x) = U(−y)
Id 0
0 e
−2πix
U(y)
e
2πix
0
0 Id
.
By the same reasoning as above, this is an homotopy of closed curves of invertible
operators on H ⊕H which satisﬁes (.219).
Problem P10.6 Now, think about combining the various constructions above
in the following way. Show that on l
2
(H) there is an homotopy like (.218),
˜
G :
[0, 1]
2
−→ GL(l
2
(H)), (very like in fact) such that
(.221)
˜
G(0, x) ¦u
k
¦
∞
k=1
=
¸
exp((−1)
k
2πix)u
k
¸
∞
k=1
,
˜
G(1, x) = Id,
˜
G(y, 0) =
˜
G(y, 1) ∀ x, y ∈ [0, 1].
Solution: We can divide l
2
(H) into its odd an even parts
(.222) D : l
2
(H) ÷ v −→ (¦v
2i−1
¦, ¦v
2i
¦) ∈ l
2
(H) ⊕l
2
(H) ←→ H ⊕H.
and then each copy of l
2
(H) on the right with H (using the same isometric isomor
phism). Then the homotopy in the previous problem is such that
(.223)
˜
G(x, y) = D
−1
G(y, x)D
accomplishes what we want.
Problem P10.7: Eilenberg’s swindle For an inﬁnite dimenisonal separable Hilbert
space, construct an homotopy – meaning a continuous map G : [0, 1]
2
−→ GL(H)
– with G(0, x) = L(x) in (.212) and G(1, x) = Id and of course G(y, 0) = G(y, 1)
for all x, y ∈ [0, 1].
Hint: Just put things together – of course you can rescale the interval at the end
to make it all happen over [0, 1]. First ‘divide H into 2 copies of itself’ and deform
from L to M(1, x) in (.214). Now, ‘divide the second H up into l
2
(H)’ and apply
an argument just like the preceding problem to turn the identity on this factor into
alternating terms multiplying by exp(±4πix) – starting with −. Now, you are on
H ⊕ l
2
(H), ‘renumbering’ allows you to regard this as l
2
(H) again and when you
do so your curve has become alternate multiplication by exp(±4πix) (with + ﬁrst).
Finally then, apply the preceding problem again, to deform to the identity (always
of course through closed curves). Presto, Eilenberg’s swindle!
Solution: By rescaling the variables above, we now have three homotopies,
always through periodic families. On H ⊕ H between L(x) = e
2πix
Id and the
matrix
(.224)
e
4πix
Id 0
0 Id
.
Then on H ⊕l
2
(H) we can deform from
(.225)
e
4πix
Id 0
0 Id
to
e
4πix
Id 0
0
˜
G(0, x)
with
˜
G(0, x) in (.221). However we can then identify
(.226) H ⊕l
2
(H) = l
2
(H), (u, v) −→ w = ¦w
j
¦, w
1
= u, w
j+1
= v
j
, j ≥ 1.
188 SOLUTIONS TO PROBLEMS
This turns the matrix of operators in (.225) into
˜
G(0, x)
−1
. Now, we can apply the
same construction to deform this curve to the identity. Notice that this really does
ultimately give an homotopy, which we can renormalize to be on [0, 1] if you insist,
of curves of operators on H – at each stage we transfer the homotopy back to H.
Bibliography
[1] W.W.L Chen, http://rutherglen.science.mq.edu.au/wchen/lnlfafolder/lnlfa.html Chen’s notes
[2] W. Rudin, Principles of mathematical analysis, 3rd ed., McGraw Hill, 1976.
[3] T.B. Ward, http://www.mth.uea.ac.uk/∼h720/teaching/functionalanalysis/materials/FAnotes.pdf
[4] I.F. Wilde, http://www.mth.kcl.ac.uk/∼iwilde/notes/fa1/.
189
Version 0.8D; Revised: 452010; Run: April 14, 2011 .
Contents
Preface Introduction Chapter 1. Normed and Banach spaces 1. Vector spaces 2. Normed spaces 3. Banach spaces 4. Operators and functionals 5. Quotients 6. Completion 7. Examples 8. Baire’s theorem 9. Uniform boundedness 10. Open mapping theorem 11. Closed graph theorem 12. HahnBanach theorem 13. Double dual 14. Problems 15. Solutions to problems Chapter 2. The Lebesgue integral 1. Continuous functions of compact support (2011) 2. Step functions 3. Lebesgue integrable functions 4. Covering lemmas 5. Density of step functions (2011) 6. Sets of measure zero 7. Monotonicity lemmas 8. Linearity of L1 (R) 9. The integral is welldeﬁned 10. The seminorm f  11. Null functions 12. The space L1 (R) 13. The three integration theorems 14. Notions of convergence (2011) 15. The space L2 (R) (2011) 16. The spaces Lp (R) 17. Lebesgue measure 18. Measures on the line 19. Higher dimensions (2011)
3
5 6 9 9 10 13 15 17 19 22 23 24 25 27 27 31 31 33 37 38 44 46 47 48 49 51 53 54 57 59 61 62 65 66 71 74 75 76
Weak convergence 16. Applications 1. Isomorphism to l2 7. Finite rank operators 14. Parallelogram law 8. Riesz’ theorem 11. Spectrum of an operator 18. Fourier transform 6. 2.4 CONTENTS 20. Complete orthonormal bases 6. Orthonormal sets 4. Convex sets and length minimizer 9. 21. Fourier series and L2 (0. Dirichlet problem on an interval 3. Completeness of Hermite basis 5. Dirichlet problem Appendix: Exam Preparation Problems Solutions to problems Bibliography . Problems Solutions to problems 78 83 85 85 86 87 87 88 89 89 90 91 92 93 94 96 98 99 102 104 105 108 109 112 113 125 127 127 130 136 138 142 145 147 151 189 Chapter 3. Spectral theorem for compact selfadjoint operators 19. Orthocomplements and projections 10. Functional Calculus 20. Solutions to problems Chapter 4. Adjoints of bounded operators 12. The algebra B(H) 17. Fredholm operators 22. preHilbert spaces 2. Compact operators 15. Compact perturbations of the identity 21. Harmonic oscillator 4. Hilbert spaces 3. Hilbert spaces 1. GramSchmidt procedure 5. 2π). Problems 23. Compactness and equismall tails 13.
18.PREFACE 5 Preface These are notes for the course ‘Introduction to Functional Analysis’ – or in the MIT style.102 for Spring 2011 and represent only a mild revision of the notes from earlier years. .
In particular the basic theory of metric spaces is used freely. Let V : [0. The relevance of Hilbert space and the Lebesgue integral is not immediately apparent. something like this arises in quantum mechanics for instance. The basic idea is that we consider a space of all ‘potential’ solutions to the problem at hand. centred on Hilbert space and its most signiﬁcant analytic realization as the Lebesgue space L2 (R). We can say a lot more about everything here but one main aim of this course is to get at least to this point. leading to the deﬁnition of . for comments and corrections to the notes. 1] – we will consider such spaces at least brieﬂy below. More precisely we wish to to know which such λ’s can occur. but not at a very sophisticated level. λ is an ‘unknown’ constant. the course proceeds to the construction of the Lebesgue integral on the line. Introduction This course is intended for ‘wellprepared undergraduates’ meaning speciﬁcally that a rigourous background in analysis at roughly the level of the ﬁrst half of Rudin’s book [2] is assumed – at MIT this is 18. In this case one might take the space of all twice continuously diﬀerentiable functions on [0.) One of the crucial distinctions between the treatment of ﬁnite dimensional matrices and an inﬁnite dimensional setting is that in the latter topology is encountered. After a brief treatment of normed and Banach spaces. 1] ⊂ R. Namely we want to know about functions u(x) – twice continuously diﬀerentiable on [0. Some familiarity with linear algebra is also assumed. The main aim of the course in a mathematical sense is the presentation of the standard constructions of linear functional analysis.100B. So we start with a brief discussion of linear spaces. We are interested in ‘oscillating modes’ on the interval.6 CONTENTS Thanks to many people. Here the eigenvalue. [0. In fact all λ’s can occur with u ≡ 0 but this is the ‘trivial solution’ which will always be there for such an equation. including most recently Greg Hersh. In any case one of the signiﬁcant properties of the equation (1) is that it is ‘linear’. 1] so that things make sense – which satisfy the diﬀerential equation (1) − d2 u (x) + V (x)u(x) = λu(x) and the dx2 boundary conditions u(0) = u(1) = 0. For each of these there is at least one (and maybe more) ‘independent’ solution uj . 1] −→ R be a realvalued function. What we are dealing with here can be thought of as the an eigenvalue problem for an ‘inﬁnite matrix’. So the journey to a discussion of the Dirichlet problem is rather extended and apparently wayward. In a onesemester course at MIT it is possible to include one or two applications such as the existence of eigenfunctions for ‘Hill’s operator’ or the Dirichlet problem on an interval. This is enshrined here in the notion of a normed linear space which is the ﬁrst important topic treated. This in fact is not a very good way of looking at things (there was such a matrix approach to quantum mechanics in the early days but it was replaced by the sort of ‘operator’ theory on Hilbert space that we will use here. What other solutions are there? The main result is that there is an inﬁnite sequence of λ’s for which there is a nontrivial solution of (1) λj ∈ R – they are all real. but I hope will become clear as we proceed. no nonreal complex λ’s can occur.
essentially the same question with periodic boundary conditions. Here I am inﬂuenced by the book of Simmons. This approach is followed in the book of Debnaith and Mikusi´ski. or at least that is my hope. I follow here the idea of Mikusi´ski that one can simply deﬁne n integrable functions as the almost everywhere limits of absolutely summable series of step functions and more signiﬁcantly the basic properties can be deduced this way. why did I n not just follow their book? I did try it. After a threeweek stint of measure and integration the course proceeds to the more gentle ground of Hilbert spaces.INTRODUCTION 7 the space L1 (R). We proceed to a short discussion of operators and the spectral theorem for compact selfadjoint operators. Then in the last third or so of the semester this theory is applied to the treatment of the Dirichlet eigenvalue problem and also the eigenvalue problem for ‘Hill’s equation’. Finally various loose end are brought together. .
.
The vector spaces Kn consisting of order ntuples of elements of K. Vector spaces So. better do it more generally as in Problem 1. C) = {u : X −→ C} are vector spaces over R and C respectively. which we denote not by +(v.CHAPTER 1 Normed and Banach spaces There are many good references for this material and it is always a good idea to get at least a couple of diﬀerent views. You should be reasonably familiar with these spaces and other ﬁnite dimensional vector spaces.1 – then you can say ‘if V is a linear space then F(X. Then our set V – the set of vectors with which we will deal. The basic examples: The ﬁeld K which is either R or C is a vector space over itself.1) + : V × V −→ V. F(X. w) and ·(s. NonProof. Should I break out the axioms? I think not. Then we impose the axioms of a vector space – look them up! These are commutative group axioms for + axioms for the action of K and the distributive law. 1] (say with complex values). · : K × V −→ V. I suggest the following online sources (1) Wilde [4] (2) Chen [1] (3) Ward [3] 1.2) F(X. 1]) the space of continuous functions on [0. If X is a set then the spaces of all functions (1. These are maps (1. It is a space V in which we can add elements and multiply by scalars with rules very similar to the basic examples of Rn or Cn . V ) inherits a linear structure’. Seriously nontrivial examples such as C([0. R) = {u : X −→ R}. In these and many other examples we will encounter below the ‘component addition’ corresponds to the addition of functions. you should have some familiarity with linear. or I will usuall say ‘vector’. v) but by v + w and sv. In fact. Lemma 1. Note that for us the ‘scalars’ are either the real numbers of the complex numbers – usually the latter. The main point to make sure you understand is that. comes with two ‘laws’. Since I have not written out the axioms of a vector space it is hard to check this – and I leave it to you as the ﬁrst of many important exercises. Addition is by components and the action of K is by multiplication on all components. Let’s be neutral and denote by K either R or C but of course consistently. spaces. because we do know how to add and multiply in either 9 .
So.2 and 1. This is based on the notion of linear independence of a subset of a vector space. ﬁnitedimensional vector spaces have ﬁnite bases. nontrivial.5) with the following properties (Deﬁniteness) (1. v = 0 =⇒ v = 0. f2 ∈ F(X. inﬁnitedimensional vector spaces do not. . Convince yourself that the vector space in Lemma 1 is inﬁnite dimensional if and only if X is inﬁnite. for any N ∈ N there exist N elements with no. . · : V −→ [0. we can add functions and multiply them (by constants or indeed other functions):(1. i. . i = 1. Although you are probably most comfortable with ﬁnite dimensional vector spaces.3. c2 ∈ K and f1 . Here and below we sometime write K to stand for R or C consitently in an argument when either will work. Still it is time to leave this secure domain behind since we most interested in the other case. N the identity N (1. Normed spaces In order to deal with inﬁnitedimensional vector spaces we need the control given by a metric (or more generally a nonmetric topology. . or quotients – see Problems 1. and any collection of ‘constants’ ai ∈ K. NORMED AND BANACH SPACES R and C. namely inﬁnitedimensional vector spaces. linear dependence relation between them.3) (c1 f1 + c2 f2 )(x) = c1 f1 (c) + c2 f2 (x) deﬁnes the function c1 f1 + c2 f2 if c1 . . A vector space if ﬁnitedimensional if the is a ﬁnite and maximal linearly independent subset – a basis – where maximal means that if any new element is added to the set E then it is no longer linearly independent.10 1. ∞) .6) v ∈ V. Definition 2. but we will not quite get that far). A basic result is that any two such ‘bases’ in a ﬁnite dimensional vector space have the same number of elements. . Thus a subset E ⊂ V is said to be linearly independent if for any ﬁnite collection of elements vi ∈ E. A norm on a vector space is a function. it is a set in which there are ‘no nontrivial ﬁnite linear dependence relations between the elements’. Most of the linear spaces we will meet are either subspaces of these functiontype spaces. The notion of a basis in an inﬁnitedimensional vector spaces needs to be modiﬁed to be useful analytically. 2. . traditionally denoted (1. That is. K). A vector space is inﬁnitedimensional if it is not ﬁnite dimensional. i = 1. A norm on a vector space leads to a metric which is ‘compatible’ with the linear structure.4) i=1 ai vi = 0 =⇒ ai = 0 ∀ i.e. . N. Definition 1.
I suggest that you take the appropriate course now and come back next year. Now.13) d : X × X −→ [0. satisfying three standard conditions If you do not know about metric spaces.14) · is a norm on V then d(v. The most important ones are the usual ﬁnitedimensional spaces Rn and Cn with their Euclidean norms 1 2 (1. w) = v − w is a distance on V turning it into a metric space. . The point of course is Proposition 1. You should make sure you understand that (1. z ∈ X. If (1. A metric. Proof.7) and (1. w ∈ V (1.8) v+w ≤ v + w . x) ∀ x.6) is called a seminorm.10) (1. y) ≤ d(x. d(x.11) (1.9) R x −→ x = C x −x if x ≥ 0 ∈ [0. y) = d(y. z.7) λv = λ v . Situations do arise in which we do not have (1. A function (1.7) implies that 0 = 0. This deﬁnition is based on the same properties holding for the standard norm(s). in the sense that for any two elements v. or distance function.12) arises from the special case λ = −1 of (1. ∞) d(x.2. on R and C. You could read the ﬁrst few chapters of Rudin’s book [2] before trying to proceed much further but it will be a struggle to say the least.6) means that v = 0 is equivalent to v = 0. y) ∀ x. but you just need to get used to that. (Triangle Inequality) The triangle inequality holds. (1. Note that (1.12) (1. Clearly (1.15) x = i xi 2 where it is at ﬁrst confusing that we just use single bars for the norm.6):Definition 3. on a set is a map (1.8). Thus (1.11) corresponds to (1. ∞) is a norm as is if x ≤ 0 1 z = x + iy −→ z = (x2 + y 2 ) 2 . just as for R and C. we need to talk about examples. We will not use any special notation for the metric. (1. NORMED SPACES 11 (Absolute homogeneity) For any λ ∈ K and v ∈ V.5) which satisfes (1.7) and (1.12) arises from (1.6). z) + d(z. nor usually mention it explicitly – we just subsume all of metric space theory from now on.8) but possibly not (1. y. So v − w is the distance between two points in a normed space. y ∈ X and d(x. then you are in trouble. y) = 0 ⇐⇒ x = y.
However. The norm is the best bound (1. I usually do not discuss the notion of equivalence of norms straight away. 1 In fact. . One important class of normed spaces consists of the spaces of bounded continuous functions on a metric space X : (1. (1.20) is deﬁned even for bounded. Absolute homogeneity is clear. but the real case is essentially the same). (1.21) (u + v)(x) ≤ u(x) + v(x) ≤ u ∞ + v ∞ by the deﬁnition of the norms. if two norms induced the same topologies (just meaning the same collection of open sets) through their assoicated metrics. C) = {u : X −→ C. That this is a linear space follows from the (obvious) result that a linear combination of bounded functions is bounded and the (less obvious) result that a linear combination of continuous functions is continuous.18). 1 ≤ p < ∞. You might like to check that the reverse is also true.19) 0 0 C∞ (X) = C∞ (X. The two most obvious ones are x∞ = max xi . not necessarily contin0 uous functions on X. then they are equivalent in the sense of (1. and taking the sup of the left gives u + v ∞ ≤ u ∞ + v ∞.12 1. . for p = 1.5 which shows why we are not so interested in the ﬁnitedimensional case – namely any two norms on a ﬁnite dimensional vector space are equivalent and so in that case a choice of norm does not tell us much. v (2) ≤ C2 v (1) ∀ v ∈ V.20) u ∞ = sup u(x).16) and in a certain sense the case p = ∞ is consistent with the ﬁrst norm there. See Problem 1.22) un − v ∞ → 0 ⇐⇒ un (x) → v(x) uniformly on X.18) v (1) ≤ C1 v (2) . . continuous and bounded} . The equivalence of the norms implies that the metrics deﬁne the same open sets – the topologies induced are the same. x∈X That this a norm is easy to check. this we know. NORMED AND BANACH SPACES There are other norms on Cn (I will mostly talk about the complex case. Of course the norm (1. xn ) ∈ Cn . although it certainly has its uses.17) reduces to the second norm in (1.17) xp = ( i xi p ) p . (1. . x = (x1 . Note that convergence of a sequence un ∈ C∞ (X) (remember this means with respect to the distance induced by the norm) is just uniform convergence (1. two norms on the one vector space – which we can denote · (1) and · (2) are equivalent if there exist constants C1 and C2 such that (1. λu ∞ = λ u ∞ and u ∞ = 0 means that u(x) = 0 for all x ∈ X which is exactly what it means for a function to vanish. .16) x1 = i xi  but as you will see (if you do the problems) there are also the norms (1. The triangle inequality ‘is inherited from C’ since for any two functions and any point.
1] ⊂ R. Thus the ‘Hilbert space’ l2 consists of the square summable sequences. and they are never compact (unless you consider the trivial case V = {0}) so that is not very interesting either – altough we will ultimately be very interested in compact subsets – so that leaves completeness. each element {aj } ∈ T has aj = 0 for j > J. you will easily check (it is really the deﬁnition) that α : D −→ C corresponding to a sequence. Consider the space c0 consisting of all the sequence {aj } (valued in C) such that limj→∞ aj = 0. . If we make {aj } into a function on α : D = {1.e. so that is not very interesting. j What is an example of a noncomplete normed space. . j a(j)2 < ∞}.3. .23) l2 = {a : N −→ C. extends to a continuous function on D vanishing at 0 if and only if limj→∞ aj = 0. where of course the J may depend . From now on we will generally use sequential notation and think of a map from N to C as a sequence. 1/2. compactness and connectedness. Add 0 to D to get D = D ∪ {0} ⊂ [0. which is to say. Thus it follows. It is not immediately obvious that this is a linear space. 3. It is in fact one form of Hilbert space. As remarked above. There is a space of sequences which is really an example of this Lemma. Consider for instance the linear space T of sequences N −→ C which ‘terminate’. This is a standard result from metric space theory – basically that the uniform limit of a sequence of (bounded) continuous functions on a metric space is continuous. Now. A normed space which is complete with respect to the induced metric is a Banach space. Banach spaces You are supposed to remember from metric space theory that there are three crucial properties. The simplest way to get one is to ‘put the wrong norm’ on a space. that c0 is a Banach space with the norm (1. so setting a(j) = aj . {aj } ∈ c0 . sequences are just functions N −→ C. Of these l2 is the most important for us. completeness. That is so important that we give it a special name. 1/3. nor that 1 2 (1.25) a ∞ = sup aj . the closure of D in R. BANACH SPACES 13 Other examples of inﬁnite dimensional normed spaces are the space lp in the problems below. Proof. for any metric space X. i. with which we are primarily concerned:(1. is a Banach space. The space C∞ (X). It turns out that normed spaces are always connected. See Problem ?? where a proper proof is outlined. one which does not correspond to the deﬁnition.24) a 2 = j a(j)2 is a norm. a normed space which is not a Banach space? These are legion of course. 0 Lemma 2. } −→ C by setting α(1/j) = aj then we get a function on the metric space D. with a little thought which you should give it. It is. as the notation dangerously indicates. Definition 4. clearly 0 is a limit point of D and D is.
e.27) Thus. if m ≥ n then wn = j=1 vj . Recall that a series is just a sequence where we ‘think’ about adding the terms. NORMED AND BANACH SPACES on the particular sequence. Hence if V is complete then every absolutely summable series is summable. meaning that the sequence of partial sums converges.30) n. The T ⊂ c0 . ∞ So if the series is absolutely summable then V < ∞ and limn→∞ j=n+1 vj V = 0. So a sequence {vn } is said to be an absolutely summable series if (1. Conversely. Proof. m > Nk =⇒ un − um < 2−k . Proposition 2. It follows that (1.28) wm − wn = j=n+1 vj .26) n vn < ∞. It follows from the triangle inequality that m (1. since the closure of T is easily seen to be all of c0 – so there are Cauchy sequences in T without limit in T . Now choose an increasing sequence nk where nk > Nk and nk > nk−1 to make it increasing. To do so we just proceed inductively.14 1. since a Cauchy sequence with a convergent subsequence is convergent. Using the Cauchy condition we can for every k ﬁnd an integer Nk such that (1. suppose that every absolutely summable series converges in this sense. One result we will exploit below. It suﬃces to show that this has a subsequence which converges. concerns absolutely summable series. m (1. The sequence of partial sums of any absolutely summable series in a normed space is Cauchy and a normed space is complete if and only if every absolutely summable series in it converges. Thus {wn } is Cauchy if {vj } is absolutely summable. The sequence of partial sums is n (1.29) wn − wm V ≤ j=n+1 ∞ vj vj j=1 V . Denoting this subsequence as uk = unk it follows from (1. i.32) n=1 un − un+1 ≤ 4 .31) unk − unk−1 ≤ 2−k+1 .31) and the triangle inequality that ∞ (1. the norm on c0 deﬁnes a norm on T but it cannot be complete. and I give it now just as preparation. Let un be a Cauchy sequence. the sequence of partial sums converges. Then we need to show that every Cauchy sequence in V converges.
a1 .33) T : V −→ W.4. vk = uk − uk−1 is absolutely summable. In the ﬁnite dimensional case linearity is enough to allow maps to be studied. as already remarked. Proposition 3. for us either R or C) is linear if it takes linear combinations to linear combinations:(1. A map between two vector spaces (over the same ﬁeld. the ﬁrst part of Chapter 6 and of Chapter 7 and/or Ward. For a linear map between normed spaces there is a simpler characterization of continuity in terms of the norm.38) vn → v in V =⇒ T vn → T v in W O ⊂ W open =⇒ T −1 (O) ⊂ V open C ⊂ W closed =⇒ T −1 (C) ⊂ V closed. The sort of examples we have in mind are diﬀerential. Chapter 3. demand or conclude. Operators and functionals I suggest that you read this somewhere else (as well) for instance Wilde. T (a1 v1 +a2 v2 ) = a1 T (v1 )+a2 T (v2 ).37) (1. The vector space we are most intereted in are. 1] and so deﬁnes a map (1. For instance if u ∈ C 0 ([0. 1]) −→ C 0 ([0. This is a linear map. 1]).33) between normed spaces is continuous if and only if it is bounded in the sense that there exists a constant C such that (1. However in the case of inﬁnitedimensional normed spaces we need to impose continuity. or more especially. Notice the idea here. Of course it makes perfectly good sense to say. ﬁrst 2 sections. We will use this idea of absolutely summable series heavily in the discussion of Lebesgue integration. spaces of functions (or something a little more general). [3]. 1]) then its Riemann integral x (1. Chapter 2 to 2.7. hence the original Cauchy sequence converges and V is complete. A linear map (1.39) Tv W ≤C v V ∀ v ∈ V.36) (1. The elements of these are the objects of primary interest but they are related by linear maps. Its sequence of partial sums is wj = uj so the assumption is that this converges.35) T : C 0 ([0. v2 ∈ V. [1]. that a map as in (1. Recall that for metric spaces there are several diﬀerent equivalent conditions that ensure a map is continuous: (1. a2 ∈ K. ∀ v1 .34) (T u)(x) = 0 u(s)ds is continuous in x ∈ [0. with linearity being one of the standard properties of the Riemann integral. integral operators.33) is continuous if V and W are normed spaces since they are then metric spaces. of ‘speeding up the convergence’ of the Cauchy sequence by dropping a lot of terms. OPERATORS AND FUNCTIONALS 15 so the sequence v1 = u1 . Chen. Of course bounded for a function on a metric space already has a meaning and this is not it! The usual sense would be T v ≤ C but this would imply T (av) = a T v ≤ C so T v = 0. [4]. Hence it is not so dangerous to use the term ‘bounded’ for . 4.
This only leaves the triangle inequality to check and for any T. (1. 1]). must contain some B(0.39) holds. Thus if T is continuous then the inverse image T −1 (B(0.41) is equivalent to (1. T = inf{C.44) λT = sup λT v = λ T v and this is also obvious for λ = 0.42). if > 0 then there exists v ∈ V with v = 1 such that T − < v ≤ C for any C for which (1.41) T = sup v =1 T v < ∞. from the deﬁnition of T . Deﬁne T Then for any v ∈ V.16 1. T ≤ 1. From the deﬁnition of T . T = 0 implies T v = 0 for all v ∈ V and hence T = 0 as a map.35).39). Such bounded linear maps between normed spaces are often called ‘operators’ because we are thinking of the normed spaces as being like function spaces.39) with C = 2/ – it is trivially true if v = 0. From now on.42) is a norm. 1) so v < =⇒ T v ≤ 1. ) in V. being open. )) ⊂ B(0. if λ = 0. (1.45) (T + S)v W = T v + Sv W ≤ T v + W + Sv W ≤ T + S so taking the supremum. So.43) T ≥ T( v v = Tv =⇒ T v ≤ T v v by (1. Thus T is a constant for which (1. Proof.40) T (B(0. W ). namely that in terms of the supremum norm on C 0 ([0. T + S ≤ T + S . For the reverse implication we use second characterization of continuity above. Since > 0 is arbitrary.39) – it is really ‘relatively bounded’. λ ∈ K then (1. and v ∈ V with v = 1 (1.41). Proof. if T : V −→ W is continous and linear between normed spaces. First check that (1.40) or equivalently (1. W ) on which T deﬁned by (1. The bounded linear maps between normed spaces V and W form a linear space B(V. You might like to check boundedness for the example of a linear operator in (1. Conversely. Similarly.39) holds then if vn → v in V it follows that T v − T vn = T (v − vn ) ≤ C v − vn → 0 as n → ∞ so T vn → T v and continuity follows. Thus we see that the space of bounded linear maps between two normed spaces is a normed space.42). v = 0. or from now on ‘bounded’. bounded for a linear map means (1. Lemma 3. NORMED AND BANACH SPACES (1.39). 1)) of the open unit ball around the origin contains the origin in V and so.39) holds. T ≤ C and hence T is given by (1. then (1. ≤1 Now scaling if v ∈ V then v < where v = v/2 v which means that T v but this implies (1.39) holds} since as always this is trivially true for v = 0. . S ∈ B(V. If (1. with the norm being the best constant in the estimate (1. This means that (1.
Thus W ‘inherits’ its linear structure from V. The HahnBanach Theorem. ∞) and hence converges. The equivalence classes are then ‘planes parallel to W ’. This map deﬁned from the limits is linear. If W is a Banach space then B(V. m > N implies Tn − Tm < .5.47) T v = lim n→∞ Tn v ≤ S v so T ≤ S shows that T is bounded. C) – this is called the dual space of V. Namely W ⊂ V where V is a vector space is a (linear) subspace if any linear combinations λ1 w1 + λ2 w2 ∈ W if λ1 . There is a second very important way to construct new linear spaces from old. QUOTIENTS 17 One particularly important case is when W = K is the ﬁeld. and you are likely quite familiar with it. Then a simpler notation is handy and one sets V = B(V. λ2 ∈ K and w1 . Proposition 4. W ) is Cauchy. so (1. although not in an essential way. Namely we want to make a linear space out of ‘the rest’ of V. W ) is convergent. One simple consequence of this is:Corollary 1. I am going through this construction quickly here under the assumption that it is familiar to most of you. Returning to the Cauchy condition above and passing to the limit in Tn − Tm v ≤ v as m → ∞ shows that Tn − T ≤ if n > M and hence Tn → T in B(V. for us usually C. W ) with the norm (1. By assumption. Moreover. 5. w2 ∈ W. meaning we have not eliminated to possibility that V = {0} even when V = {0}. The dual space of a normed space is always a Banach space. The ﬁrst thing to do is to ﬁnd the limit. and (1. with limit S. the limit can only depend on v so we can deﬁne a map T : V −→ W by T v = w in (1. One problem with this is that the result depends. However. W ) which is therefore complete. Quotients The notion of a linear subspace of a vector space is natural enough. on the inner product. W is complete. In ﬁnite dimensions one way to do this is to give V an inner product and then take the subspace orthogonal to W. if not you should think about it carefully since we need to do it several times later. if v ∈ V then Tn v − Tm v W ≤ Tn − Tm v V so Tn v is Cauchy in W for each v ∈ V.41) is a Banach space. discussed below. given that W is a linear subspace. To says that Tn ∈ B(V. is just to say that given > 0 there exists N such that n. However you should be a little suspicious here since we have not shown that the dual space V is nontrivial. By the deﬁnition of the norm.46). since Tn (λv) = λTn v −→ λT v and Tn (v1 + v2 ) = Tn v1 + Tn v2 −→ T v2 + T v2 = T (v1 + v2 ). We simply need to show that if W is a Banach space then every Cauchy sequence in B(V. Proof. Instead we adopt the usual ‘myopia’ approach and take an equivalance relation on V which identiﬁes points which diﬀer by an element of W.46) Tn v −→ w in W. takes care of this.  Tn − Tn  ≤ Tn − Tm so Tn is Cauchy in [0. .
I leave you the exercise of checking that · is a norm.50) λ(v + W ) = λv + W.52) deﬁnes a norm on V /E. You should check the details – see Problem ??. If W ⊂ V is a closed subspace of a normed space then (1. Then of course v ∈ v + W if and only if v − v ∈ W meaning v ∼W v . Now. You can think of the elements of V /W as being of the form v + W – a particular element of V plus an arbitrary element of W. v = v + w. The crucial point here is that (1. That E is linear follows from the properties of a seminorm. since λv = λ v shows that λv ∈ E if v ∈ E and λ ∈ K. .53) v ≤ v + e = v ≤ v + −e = v . To check that (1.49) should really be expanded to ‘is in a natural way’ since as usual the linear structure is inherited from V : (1. ∞). if W ⊂ V is a linear subspace of V we deﬁne a relation on V – remember this is just a subset of V × V with certain properties – by (1.18 1. For the proof see Problems ?? and ??.t. Proposition 6. This amounts to the statement that v is the same for all elements v = v + e ∈ v + E for a ﬁxed v. v = 0} ⊂ V v+E = v V /E Now.48) v ∼W v ⇐⇒ v − v ∈ W ⇐⇒ ∃ w ∈ W s. NORMED AND BANACH SPACES So. if V is a Banach space then so is V /W. the second less so.54) v+W V /W = inf w∈W v+w V deﬁnes a norm on V /W . (v1 + W ) + (v2 + W ) = (v1 + v2 ) + W. see Problem ?? The second application is more serious. The subspace W appears as the origin in V /W.’ Then V /W is the set of equivalence classes with respect to ∼W . Note that the ‘is’ in (1. This satisﬁes the three conditions for an equivalence relation: (1) v ∼W v (2) v ∼W v ⇐⇒ v ∼W v (3) v ∼W v . This however follows from the triangle inequality applied twice: (1. v2 ∈ E. V /E · is a seminorm on V then E = {v ∈ V . Similarly the triangle inequalty shows that v1 + v2 ∈ E if v1 . Proposition 5. If (1. but in fact we will not use it for some time so I usually do not do this in lectures at this stage.49) V /W is a vector space. two immediate cases of this are of interest to us. v ∼W w =⇒ v ∼W v which means that we can regard it as a ‘coarser notion of equality. Proof.51) is a linear subspace and (1.52) deﬁnes a norm. ﬁrst we need to check that it makes sense as a function · V /E −→ [0.
56) V = {uk }∞ . is considered to be a defect which we might. we will come across a more sophisticated one (using the HahnBanach Theorem) later.58) t1 {uk } + t2 {uk } = {t1 uk + t2 uk }. valued in V so two sequences are equal. indeed will. Let V be a normed space. we want a ‘handson’ proof which motivates (I hope) the construction of the Lebesgue integral – which is in our near future. Notice that the elements of V are sequences. where we add sequences. Completion A normed space not being complete. Let V be a normed space with norm · V . Notice that if V is itself a Banach space then we can take B = V with I the identity map. whether we can do so or not being a diﬀerent matter. A completion of V is a Banach space B with the following properties:(1) There is an injective (i. . uk ∈ V and k=1 k=1 uk < ∞ the elements of which.57) vM − vN = j=N +1 uj ≤ j=N +1 uj ≤ j≥N +1 uj gets small with N by the assumption that j uj < ∞ (time to polish up your understanding of the convergence of series of positive real numbers?) Moreover. So. This is simply because if M ≥ N then M M (1. are the same. by doing the operations on each component:(1. if you recall. and multiply by constants.e. V is a linear space. First we introduce the rather large space ∞ (1. the main result is: Theorem 1. not being a Banach space. the only diﬀerence is that we ‘think’ of taking the limit of sequence but we ‘think’ of summing the elements of a series.6. are said to be absoutely summable. only when each entry in one is equal to the corresponding entry in the other – no shifting around or anything is permitted as far as equality is concerned. However. 11) linear map I : V −→ B (2) The norms satisfy (1. wish to rectify. Each normed space has a completion. a series is a sequence and a sequence is a series). COMPLETION 19 6. (3) The range I(V ) ⊂ B is dense in B. There are several ways to prove this. ‘Proof’ (the last bit is left to you). Now.55) I(v) B = v V ∀ v ∈ V. each element of V is a Cauchy sequence – meaning the corresponding N sequence of partial sums vN = k=1 uk is Cauchy if {uk } is absolutely summable. We think of these as series (remember this means nothing except changing the name.
k uk = 0 of those which converge to 0. ∀ n ≥ N. k=1 n→∞ lim (uk + uk ) = A =⇒ k=1 n (1. ﬁrst that (1. u1 = v. (3) I(V ) ⊂ B is dense. since if b.62). The other two properties of norm are reasonably clear.62) is a norm. Within V consider the linear subspace (1. since the addtional term tends to zero in norm. uk = 0 ∀ k > 1 and the norm satisﬁes (1. b = {uk } + S ∈ B. k=1 (2) The original space V is imbedded in B by (1. (4) B is a Banach space with the norm (1.63) V v −→ I(v) = {uk } + S. adding an element of S to {uk } does not change the norm of the sequence of partial sums. We proceed to check the following properties of this B. The limit on the right does exist since the limit of the norm of a Cauchy sequence always exists – namely the sequence of norms is itself Cauchy but now in R. {uk } in V then tb and b + b are reprented by {tuk } and {uk + uk } and n n→∞ n lim tuk = t lim k=1 n n→∞ uk .55).t.64) for > 0 ∃ N s. Thus b B is welldeﬁned for each element b ∈ B and b B = 0 means exactly that the sequence {uk } used to deﬁne it tends to 0 in norm. A − ≤ n n (uk + uk ) =⇒ k=1 A− ≤ k=1 uk + k=1 B B uk ) ∀ n ≥ N =⇒ B B A− ≤ b b+b + b ≤ b ∀ + b > 0 =⇒ B. . hence is in S hence b = 0 in B.60) S= {uk }.20 1. (1) A norm on B is deﬁned by n (1. we can form the quotient (1. As discussed above. b ∈ B are represented by {uk }. k uk < ∞. So.59) k t1 uk + t2 uk ≤ t1  k uk + t2  k uk .62) b B = lim n→∞ uk . Moreover.61) B = V /S the elements of which are the ‘cosets’ of the form {uk } + S ⊂ V where {uk } ∈ V . NORMED AND BANACH SPACES This always gives an absolutely summable series by the triangle inequality: (1.
65) converges.66) n k uk (n) V <∞ since this should allow us to break up the double sum in some nice way so as to get an absolutely summable series out of the whole thing. Okay. It is supposed to be given by an absolutely summable series. (1. that is the problem! One way to see the solution is to note that we do not (n) have to choose the original {uk } to ‘represent’ bn – we can add to it any element (n) of S. vj (n) (n) = k=pj−1 +1 uk (n) and = 2−n for the nth series. The ‘problem’ (n) is that this series should look like uk in some sense – because it is supposed n k to represent the sum of the bn ’s. COMPLETION 21 Now the norm of the element I(v) = v.’ Given > 0 we can choose p1 so that for all p ≥ p1 .68)  k≤pj uk (n) V − bn B ≤ 2−j . All we know here is that the sum of the ‘limits of the norms’ in (1. and to do so we need to ﬁnd the limit b. we want to show that n bn = b converges. 0. One idea is to rearrange the uk – I am thinking here of ﬁxed n – so that it ‘converges even faster. We need to check that B is complete. and also that I(V ) is dense. Then in fact we can choose successive pj > pj−1 (remember that little n is ﬁxed here) so that (1. k≥pj (n) p1 uk (n) V ≤ 2−j ∀ j. you should also check that bn = {vk } + S so that these new summable series work just as well as the old ones. well as we above it means that every absolutely summable series in B is convergent. k≥p uk (n) V ≤ . ‘resum the series’ deﬁning instead v1 do this setting (1.69) n k = k=1 uk . Such a series {bn } is (n) (n) given by bn = {uk } + S where {uk } ∈ V and the summability condition is that N (1. pj Now. it would be very nice if we had the estimate (1. (n) Of course. So.66) need not hold. Check that now vk (n) V < ∞. Here is an extended discussion of the diﬃculty – of course maybe you can see it directly yourself (or have a better scheme).67)  k≤p uk (n) V − bn B ≤ . · · · . Note that I ask you to write out your own version of it carefully in one of the problems. 0. We know that each of the sums over k – for given n – converges. but not the sum of the sums. is the limit of the norms of the sequence of partial sums and hence is v V so I(v) B = v V and I(v) = 0 therefore implies v = 0 and hence I is also injective.65) ∞> n bn B = n N →∞ lim uk k=1 (n) V . . Now. The trouble is that (1. So.6. what does it mean for B to be a Banach space.
k • C ([a. This is only a seminorm. • The space R([a. 0 0 • C∞ (R). with the same norm. Take an absolutely summable series uk representing b and take vj = k=1 uk where the pj ’s are constructed as above and check that I(vj ) → b by computing (1. but not a Banach space. b]) the space of k times continuously diﬀerentiable (so k ∈ N) functions on [a. We will construct the concrete completion.72) u L1 = a udx given by the Riemann integral of the absolute value. A closed subspace.71) I(vj ) − b B = lim →∞ uk k>pj V ≤ k>pj uk V . 1]) of Lebesgue integrable ‘functions’. a Banach space with c0 ⊂ l∞ a closed subspace with the same norm. 0 0 • C0 (R). Finally then there is the question of showing that I(V ) is dense in B. b]) of Riemann integrable functions on [a. 1]) with norm b (1. b] with norm the sum of the supremum norms on the function and its derivatives. wk = l+p=k+1 vl (p) ∈ V. NORMED AND BANACH SPACES After this ﬁddling you can now try to ﬁnd a limit for the sequence as (1. • The space C 0 ([0. Each is a Banach space – see Problem ??. So. The most important of these for us is the case p = 2. • lp one space for each real number 1 ≤ p < ∞. A normed space. • C 0 ([a.70) b = {wk } + S. • l∞ the space of bounded sequences with supremumb norm. 7. since there are Riemann integrable functions (note that u Riemann integrable does imply that u is Riemann integrable) with vanishing Riemann integral but which are . Given an element b ∈ B we need to ﬁnd elements in V. a Banach space. L1 ([0.72). You can do this using the same idea as above – in fact it might be better to do it ﬁrst. b]) or more generally C 0 (M ) for any compact metric space M – the Banach space of continuous functions with supremum norm. Examples Let me collect some examples of normed and Banach spaces. b] with u deﬁned by (1. all Banach spaces. or more generally C∞ (M ) for any metric space M – the Banach space of bounded continuous functions with supremum norm. or more generally C0 (M ) for any metric space M – the Banach space of continuous functions which ‘vanish at inﬁnity’ (see Problem ?? 0 with supremum norm. which is (a) Hilbert space. in C∞ (M ). Those mentioned above and in the problems include: • c0 the space of convergent sequences in C with supremum norm. you need to check that this {wk } is absolutely summable in V and that bn → b as n → ∞.22 1. vk such that I(vk ) − b B → 0 as Nj k → ∞. the space of psummable series with corresponding norm.
This cannot happen for continuous functions. but it is not complete. Here is an example to see that the space of continuous functions on [0.72) on [−1. It is at this point that I start doing Lebesgue integration in the lectures. Now scale it up and in by setting fN (x) = N f (N 3 x) = 0 if x > N −3 .73) u Lp = a up . even if we ignore the problem at x = 0. This is true but does not help much. So the quotient is a normed space.8.74) Then (1. N −3 ] and has −1 fN (x)dx = N −2 . are closed subsets such that (1. Not complete in either case even after passing to the quotient to get a norm for Riemann integrable functions. It follows that the sequence {fN } is absolutely summable with respect to the integral norm in (1. 8. 1 So it vanishes outside [−N −3 .75) 1 −1 f (x) = 1 − x 0 if x ≤ 1 if x > 1. . It did not work very well – its seems that MIT students have already been toughened up by this stage. is not Riemann integrable because it is not bounded. This is a theorem about complete metric spaces – it could be included in the earlier course ‘Real Analysis’ but the main applications are in Functional Analysis.72) is not complete.76) M= n Cn then at least one of the Cn ’s has an interior point. in an an attempt to distract people. The following material is from later in the course but ﬁts here quite reasonably. things are even worse than this example indicates! It is a bit harder to show that the quotient of the Riemann integrable functions is not complete. Baire’s theorem will be used later (it is also known as ‘Baire category theory’ although it has nothing to do with categories in the modern sense). fN (x) = 0 if N 3 x > 1. The pointwise series fN (x) converges everywhere except at x = 0 – N since at each point x = 0. If M is a nonempty complete metric space and Cn ⊂ M. feel free to give it a try! Take a simple nonnegative continuous function on R for instance (1. • The same spaces – either of continuous or of Riemann integrable functions but with the (semi. f (x) = 1. Theorem 2 (Baire). Baire’s theorem At least once I wrote a version of the following material on the blackboard during the ﬁrst midterm test. 1]. n ∈ N. 1] with norm (1. You might respond that the sum of the series is ‘improperly Riemann integrable’. BAIRE’S THEOREM 23 not identically zero.in the second case) norm b 1 p (1. The resulting function.
. j ) ∩ Cj = ∅. j−1 /3) and B(pj . We can assume that the ﬁrst set C1 = ∅ since they cannot all be empty and dropping some empty sets does no harm. k+1 ) ∩ Ck+1 = ∅ where k+1 > 0 but k+1 < k /3.e. We can still apply Baire’s theorem however. This is the desired contradiction to (1. Notice however that pl ∈ B(pk . Let B be a Banach space and suppose that Tn is a sequence of bounded (i. Thus. Theorem 3 (Uniform boundedness). inductively there is a sequence pi . This means that an open ball B(p. at least one of the Cn must have nonempty interior. So.77) d(pk . we have a sequence {pk } in M. b ≤ 1. q) ≤ 2 k /3 which implies that q ∈ Ck for / any k. Since M is complete the sequence converges to a limit. Each Sp is closed because Tn is continuous. Since C1 is closed there exists 1 > 0. In applications one might get a complete mentric space written as a countable union of subsets (1. so if bk → b is a convergent sequence then b ≤ 1 and Tn (p) ≤ p. Let’s assume the contrary of the desired conclusion.78) M= n En . and we can take 1 < 1/3. 1/3) which is not in C1 . Then we can 1 /3 add another pk+1 by using the properties of Ck – it has nonempty interior so there is some point in B(pk . 2 < 1 /3 such that B(p2 . Since d(pk+1 . namely that each of the Cn ’s has empty interior. k /3) which is not in Ck+1 and then B(pk+1 . there must be a point p1 ∈ B(p. The conclusion of course is then that (1. Here we use both the fact that C2 has empty interior and the fact that it is closed. En ⊂ M where the En are not necessarily closed. i = 1. continuous) linear operators Tn : B −→ V where V is a normed space. 2 k /3) for all k > l so d(pk . Tn b V ≤ p ∀ n}. Continue in this way. just take Cn = En to be the closures – then of course (1. p ∈ N. such that B(p1 . k and positive numbers 0 < k < k−1 /3 < k−2 /32 < · · · < k−1 < 3−k such that pj ∈ B(pj−1 .80) Sp = {b ∈ B.76). . 1 /3) which is not in C2 and 2 > 0. Now.24 1. The union of the Sp is the whole of the closed ball . So. choose p2 ∈ B(p1 . in fact (1. . Thus. Consider the sets (1. 1 ) ∩ C1 = ∅. Proof. q ∈ M. . Suppose that for each b ∈ B the set {Tn (b)} ⊂ V is bounded (in norm of course) then supn Tn < ∞. NORMED AND BANACH SPACES Proof. ) around a point of M (so it isn’t empty) cannot be contained in any one of the Cn . pk+l ) < k /3 + ··· + k+l−1 /3 < 3−k . This follows from a pretty direct application of Baire’s theorem to B. 9.76) holds since En ⊂ Cn . Uniform boundedness One application of this is often called the uniform boundedness principle or BanachSteinhaus Theorem.79) For at least one n the closure of En has nonempty interior. hoping to arrive at a contradiction to (1.76) using the other properties. choose p ∈ C1 . 2 ) ∩ C2 = ∅. pk ) < k /3 this is a Cauchy sequence.
but then another similar sort of argument is needed. δ). The ﬁrst part. 0) ≤ 1} = p Sp because of the assumption of ‘pointwise boundedness’ – each b with b ≤ 1 must be in one of the Sp ’s. (1. Thus. w B = δ} Tn ≤ 2p/δ 10. OPEN MAPPING THEOREM 25 of radius one around the origin in B : (1. δ > 0. If T : B1 −→ B2 is a bounded and surjective linear map between two Banach spaces then T is open: (1.10. w B ≤ δ =⇒ Tn (w) V V ≤ 2p =⇒ Tn ≤ 2p/δ. so in B2 . Moving v to (1 − δ/2)v and halving δ as necessary it follows that this ball B(v. Cp = clB2 T (B(0. We know that (1. Thus one of the closed sets Cp has an interior point.81) {b ∈ B. some v ∈ Sp . p)) since that is what surjectivity means – every point is the image of something. has 0 as an interior point – i. w B ≤ δ =⇒ Tn (v + w) V ≤ p ∀ n. it therefore contains a closed ball of positive radius around some point. δ) is contained in the open ball around the origin of radius 1. and some δ > 0.83) w ∈ B.84) as claimed.85) T (O) ⊂ B2 is open if O ⊂ B1 is open. . it contains an open ball around the origin in B2 : (1.86) (1. What we will try to show is that the image under T of the unit open ball around the origin. by Baire’s theorem one of the sets Sp has nonempty interior. Open mapping theorem The second major application of Baire’s theorem is to Theorem 4 (Open Mapping). 1) ⊂ B1 contains an open ball around the origin in B2 . B(0.e. Proof. B The norm of the operator is sup{ T w so the norms are uniformly bounded: (1. v. This is ‘wrong way continuity’ and as such can be used to prove the continuity of inverse maps as we shall see.82) w ∈ B.87) T (B(0. using the triangle inequality. 1) ⊃ B(0. w = 1} = 1 δ sup{ T w V . p)) B2 = p To see this we apply Baire’s theorem to the sets the closure of the image of the ball in B1 of radius p. d(b. Thus for some p.88) T (B(0. Since v ∈ Sp is ﬁxed it follows that Tn w ≤ Tn v +p ≤ 2p for all w with w ] ≤ δ. using Baire’s theorem shows that the closure of the image. and the fact that Tn (v) V ≤ p this implies (1. v = T u for some u ∈ B1 . Since T is surjective. The proof uses Baire’s theorem pretty directly. The sets Cp increase with p so we can take a larger p and v is still . of the proof. So.
26 1. j < n. Thus indeed (1. ) ⊂ O for > 0 and then w + B(0. . and hence converges by the assumed completeness of B1 this (1. Thus T (B(0.86). By scaling it follows that the image of any open ball around the origin contains an open ball around the origin. using the linearity of T. where wj = wj−1 − T uj−1 – which we have for n = 1. v = δ =⇒ ∃ u ∈ B1 . Rescaling by p.91) for v = w = w1 .90) to v/ v we conclude that (for C = p/δ a ﬁxed constant) 1 v 2 where the size of u only depends on the size of v.91). it follows that with δ replaced by δ/p. It follows that each v ∈ B2 with v = δ is the limit of a sequence T un where un ≤ 1. 1). One important corollary of this is something that seems like it should be obvious. δ) for some δ > 0. consider now what (1. i. 3C)) ⊃ B(0. using (1. Using this we construct the desired better approximating sequence. supposing 2 that we have constructed a sequence uj . To do so we need to choose the sequence more carefully. NORMED AND BANACH SPACES an interior point. but deﬁnitely needs the completeness to be true. so un ≤ C wn ≤ C2−n+1 w and such that wn+1 = wn − T un has wn+1 ≤ 1 wn ≤ 2−n w to extend the 2 induction. choose u1 = u according to (1.92) w − T( j=1 uj ) = w1 − j=1 (wj − wj+1 ) = wn+1 so T u = w and u ≤ 2C w . Now proceed by induction.91) v ∈ B2 =⇒ ∃ u ∈ B1 .e. in B1 with uj ≤ C2−j+1 p and wj ≤ 2−j+1 w for j ≤ n. Corollary 2. v − T u ≤ n time. Now. from which it follows that 0 = v − T u is an interior point as well. since if w ∈ T (O) then w = T u for some u ∈ O and hence u + B(0. v − Tu ≤ δ 1 = v 2 2 δ where of course we could replace 2 by any positive constant but the point is the last inequality relative to the norm of v. then it is a homeomorphism – meaning its inverse.86) means. If T : B1 −→ B2 is a bounded linear map between Banach spaces which is 11 and onto. 1) in B2 is the image of some u ∈ B1 with u ≤ 2C. Given w ∈ B1 . of course this is also true for v = 0 by taking u = 0.89) Cp ⊃ B(0. Thus u1 ≤ C. which is necessarily linear. is a bijection. Then we can choose un . we get (1. Having applied Baire’s thereom.90) v ∈ B2 . Certainly we can stop somewhere along the way and see that (1. What we want to ﬁnd is such a sequence which converges. and w2 = w1 − T u1 satisﬁes w2 ≤ 1 w . δ) ⊂ T (O) for δ > 0 suﬃciently small. Thus we get a sequence un which is absolutely summable in B1 . Now. u ≤ 1. u ≤ C v . the linearity of T shows that the image T (O) of any open set is open. again scaling if we take any v = 0 in B2 and apply (1. since un ≤ 2C w . Thus ﬁnally we have shown that each w ∈ B(0. is also bounded. Moreover n n (1.
So. Both of them are continuous since the norm of either u or v is less than the norm in (1. as already noted. B1 × B2 . because each u occurs as the ﬁrst element of precisely one pair. Theorem 5 (Closed Graph). namely (u. v). suppose the graph is closed. 11. is a Banach space with respect to the sum of the norms (1. T u) ∈ Gr(T ). then un → u and vn = T un → T v by the continuity of T. If O ⊂ B1 is open then S −1 (O) = T (O). Thus the Corollary above applies to π1 to show that its inverse. Suppose ﬁrst that T is bounded. so it too is a Banach space and π1 and π2 remain continuous when restricted to it. from the commutativity. so S is continuous. v) = u and π2 (u. the basic question is: Does a normed space have any nontrivial continuous linear functionals on it? That is. either directly. there is always a little pressure to state and prove the HahnBanach Theorem.e. Proof. 12. v) ∈ B1 × B2 . Gr(T ) ⊂ B1 × B2 is a closed subspace.94) Gr(T ) = {(u. From B1 × B2 consider the two projections. We do not really encounter this problem . The map π1 is 11 and onto. i. if it converges. Indeed there are two ways to map a point (u. Closed graph theorem For the next application you should recall that the product of two Banach spaces. The inverse of T. vn ) ∈ B1 × B2 is in Gr(T ) if and only if vn = T un . so the limit is in Gr(T ) which is therefore closed. But then T = π2 ◦ S. Restricting them to Gr(T ) ⊂ B1 × B2 gives (1. – which is just the linear space of all pairs (u. Stately starkly. is the dual space always nontrivial (of course there is always the zero linear functional but that is not very amusing). let’s call it S : B2 −→ B1 is certainly linear. B1 This little diagram commutes.93) (u. The only confusing thing is the notation. continuous. u ∈ B1 and v ∈ B2 . HahnBanach theorem Now. Conversely. is also continuous proving the theorem. HAHNBANACH THEOREM 27 Proof. is open by the Open Mapping theorem. v = T u} is a closed subset of the Banach space B1 × B2 . If T : B1 −→ B2 is a linear map between Banach spaces then it is bounded if and only if its graph (1.93). This means that viewed as a normed space in its own right it is complete. since to say v ∈ S −1 (O) means S(v) ∈ O which is just v ∈ T (O). Now. sending it to v or ﬁrst sending it u ∈ B1 and then to T u. π1 (u.95) Gr(T ) FF FFπ2 xx π1 x FF xx FF x # xx T / B2 . This is about extension of functionals. S is continuous.12. v) = v. v) = u 1 + v 2. A sequence (un . Since v = T u these are the same. v) ∈ Gr(T ) to B2 . Note that T −1 is used to denote the inverse maps on sets. Given the graph we can reconstruct the map it comes from (whether linear or not) in a little diagram.
but I gave a more direct argument for this. ∀ t ∈ M. Proof. u (t + ax) ≤ C t + ax V . t = t + ax}. Lemma 4. which was in any case much more relevant for the cases of L1 (R) and L2 (R) for which we wanted concrete completions. Thus (1.97) follows. In fact if C = 0 then u = 0 and we can take the zero extension.96) then there exists u : M = {t ∈ V . A complex linear functional such as u can be recovered from its real part.101) (1.99) u(t) ≤ t V ∀ t ∈ M.28 1.100) u(t) + aλ ≤ t + ax V ∀ t ∈ M. We want to choose λ so that (1.103) w(t) = Re(u(t)) ∀ t ∈ M .96) u(t) ≤ C t V ∀t∈M ≤ C and then there exists a bounded linear functional U : V −→ C with U U M = u. For a = 0 we can divide through by a and (1. λ = u (x) and all we have at our disposal is the choice of λ. a ∈ C such that (1. so set (1. Theorem 6 (HahnBanach). we show that we can extend any continuous linear functional ‘a little bit’ without increasing the norm.98) u (t + ax) = u (t) + au(x) = u(t) + λa. NORMED AND BANACH SPACES since for a Hilbert space.100) becomes t au( ) − λ = u(t) + aλ ≤ t + ax a and since t/a ∈ M we only need to arrange that (1. there is always the space itself. Suppose M ⊂ V is a subspace of a normed linear space. If M ⊂ V is a linear subspace of a normed space and u : M −→ C is a linear map such that (1. a ∈ C. Note that the decompositon t = t + ax of a point in M is unique.97) u M = u. So we might as well assume that C = 1 since dividing u by C arranges this and if u extends u/C then Cu extends u and the norm estimate in (1. ˜ ˜ ˜ since t + ax = t + ax implies (a − a)x ∈ M so a = a. since x ∈ M and hence t = t ˜ ˜ / as well. we will choose λ to be real. or even a preHilbert space. I could have used the HahnBanach Theorem to show that any normed space has a completion. by computation. Any choice will give a linear functional extending u. So we are assuming that (1. giving continuous linear functionals through the pairing – Riesz’ Theorem says that in the case of a Hilbert space that is all there is. the problem of course is to arrange the continuity estimate without increasing the constant. Certainly when a = 0 this represents no restriction on λ.102) u(t) − λ ≤ t − x V V = a t −x a V ∀u∈M and the general case follows. First. So. a ∈ C. x ∈ M / and u : M −→ C is a bounded linear functional as in (1.
We can then take the sup on the right and the inf on the left and choose λ in between – namely we have shown that there exists λ ∈ R with (1. V Now. What we know about w is the norm estimate (1.12. e f and f e =⇒ e = f. .112) u (t + ax) = Re eiθ u (t + ax) = Re u (eiθ t + eiθ ax) = w (eiθ u + eiθ ax) ≤ eiθ (t + ax) V = t + ax V .106) V V =⇒ w(t1 ) − t1 − x ≤ w(t2 ) + t2 − x ∀ t1 .107) w(t) − t − x V ≤ sup (w(t1 ) − t1 − x ) ≤ λ t2 ∈M ≤ inf (w(t1 ) + t1 − x ) ≤ w(t) + t − x t2 ∈M V ∀ t ∈ M.113) e e. 2π) such that (1. so a relation. just over the reals.105) w(t1 ) − w(t2 ) ≤ u(t1 ) − u(t2 ) ≤ t1 − t2 ≤ t1 − x w(t1 ) − w(t2 ) ≤ t1 − x + t2 − x V V + t2 − x V . This in turn implies that (1.99) which implies (1. This is what we wanted – we have extended the real part of u to w (t + ax) = w(t) − (Re a)λ and w (t + ax) ≤ t + ax u (t + ax) = w (t + ax) − iw (i(t + ax)). at least before lunchtime – you should believe the former.110) − t−x V ≤ −w(t) + λ ≤ t − x V =⇒ w(t)λ ≤ − t − x V ∀ t ∈ M.108) (1.109) (1. This completes the proof of the Lemma. I am not going to get into the derivation of Zorn’s Lemma from the Axiom of Choice. This is an application of Zorn’s Lemma. Zorn’s Lemma is a statement about partially ordered sets. where the condition that (e. A partial order on a set E is a subset of E × E.102): (1. but if you believe the latter – and you are advised to do so. f ) be in the relation is written e f and it must satisfy (1. but what we want is the anaogue of (1. Writing this out usual the reality we ﬁnd (1. Finally then. . It certainly extends u from M – since the same identity gives u in terms of its real part w. Of HahnBanach. t2 ∈ M. ﬁnally we get the extension of u itself by ‘complexifying’ – deﬁning This is linear over the complex numbers since (1.111) u (z(t + ax)) = w (z(t + ax)) − iw (iz(t + ax) = w (Re z(t + ax) + i Im z(t + ax)) − iw (i Re z(t + ax)) + iw (Im z(t + ax)) = (Re z + i Im z)w (t + ax) − i(Re z + i Im z)(w (i(t + ax)) = zu (t + ax). So. e f and f g =⇒ e g. HAHNBANACH THEOREM 29 and just try to extend w to a real functional – it is not linear over the complex numbers of course. to see the norm estimate note that (as we did long ago) there exists a uniqe θ ∈ [0.104) w(t) − λ ≤ t − x V ∀t∈M which does not involve linearity.
Lemma 5 (Zorn). Proof. We apply this to the set E consisting of all extensions (v. N ) satisfying x ∈ N for a given x but the chain condition implies that v(x) is the same for all of them. You can check that this is a partial 1 order. the set of all extension E. N1 ) ∈ C. . V ⊃ N ⊃ M must contain M. That is. N1 ) (v2 . An upper bound on a subset D ⊂ E is an element e ∈ E such that d e for all d ∈ D. Let C be a chain in this set of extensions. This means we can apply our little lemma and construct an extension x∈V \M ˜ (u . Thus each pair of elements of N is actually in a common N and hence so is their linear span. (v. This however contradicts the condition that (˜. implies e = f. M. N ) of u with the same norm. satisﬁes the hypothesis of Zorn’s Lemma. Proposition 7. N v So. However. extends u and satisﬁes the norm condition ˜(x) ≤ u M v V . Start with the onedimensional space. f ∈ E. M ) be maximal. ˜ but any two elements of N are each in one of the N ’s and one of these must be ˜ contained in the other by the chain condition. with the norm condition. or anything like that. Thus for any two elements (vi . N1 ) (v2 . This has norm 1/ x V . (v. v M = u and v N = u M . M ) u ˜ u ˜ ˜ ). N2 ) if N1 ⊂ N2 and v2 N = v1 .30 1. one signiﬁcant one is that the dual space of a nontrivial normed space is itself nontrivial. either way. either (v1 . M ) and has the natural partial order that (v1 . Thus v is well deﬁned. If every chain in a (nonempty) partially ordered set has an upper bound then the set contains at least one maximal element.114) ˜ N= {N . and ˜ is clearly also linear. Similarly we can deﬁne an extension (1. This is certainly nonempty since it contains (u. N ) ∈ C. that is e f. ˜ ˜ ˜ There may be many pairs (v. N2 ) or the other way around. Now. v (x) = v(x) if x ∈ N. M ) which is therefore also an element of E and satisﬁes (˜.115) v : N −→ C. the missing ingredient between this and an order is that two elements need not be related at all. in the contary case there exists u ˜ ˜ . so must – at least in the mornings – have an maximal element ˜ (˜. M ) of (˜. There are many applications of the HahnBanach Theorem. This means that (1. Note that this union need not be countable. so is ˜ (u . Extend it using the HahnBanach Theorem and you will get a continuous functional f as desired. For any normed space V and element 0 = v ∈ V there is a continuous linear functional f : V −→ C with f (v) = 1 and f = 1/ v V . NORMED AND BANACH SPACES So. spanned by x and deﬁne u(zx) = z. N ) ∈ C for some v} ⊂ V is a linear space. A subsets of a partially ordered set inherits the partial order and such a subset is said to be a chain if each pair of its elements is related one way or the other. we are given a functional u : M −→ C deﬁned on some linear subspace M ⊂ V of a normed space where u is bounded with respect to the induced norm on M. v ˜ ) is an upper bound for the chain C. M u forbidden by Zorn. If M = V then we are done. A maximal element of E is one which is not majorized. Thus (˜. M ).
If S ⊂ V be a linear subspace of a vector space show that the relation on V (1. Let V = (V ) be the dual of the dual. is bounded. if v1 . Tv (v ) = v (v) is continuous. i. It is necessarily 11 since Tv = v . λ ∈ K =⇒ v1 + v2 ∈ S and λv1 ∈ S then S is a vector space as well (called of course a subspace). Then Tv (v ) = v (v) = 1 shows that Tv = 1 so in general Tv = v . On the other hand.A Banach space is reﬂexive if and only if every continuous linear functional on it attains its supremum on the unit ball. follows too since Tv (v ) = v (v) ≤ v V v V . Double dual Let me give another application of the HahnBanach theorem. is the space l∞ of bounded sequences. You may be interested enough to look up James’ Theorem:. It is pretty easy to ﬁnd examples of nonreﬂexive Banach spaces. Problem 1.1. If V is a normed space. is a vector space in a natural way. Problems Problem 1. so c0 is not reﬂexive. Problem 1.116) is linear. That Tv ∈ V . the most familiar is c0 – the space of inﬁnite sequences converging to 0. we know its dual space. It also needs to be checked that V v −→ Tv ∈ V is a linear map – this is clear from the deﬁnition.e. v2 ∈ S.3.118) v1 . although I have never covered this in lectures. and so deﬁnes an isometric linear injection V → V . denoted usually V /S. if v = 1 then there exists v ∈ V such that v (v) = 1 and v V = 1. Its dual can be identiﬁed with l1 . Indeed. into which the embedding is the obvious one. Tv = v .2. First check Tv in (1. v2 ∈ V and λ1 . In fact the closure of the image of V in V is a completion of V. 14. Since V is always a Banach space. V ) = {u : X −→ V } is a linear space over the same ﬁeld.119) v1 ∼ v2 ⇐⇒ v1 − v2 ∈ S is an equivalence relation and that the set of equivalence classes. . meaning it is almost the deﬁnition of V . to be a Banach space. with ‘pointwise operations’. There are useful characterizations of reﬂexive Banach spaces. Proof.14. The deﬁnition of Tv is ‘tautologous’. Proposition 8. In fact l1 is not reﬂexive either. Show that if V is a vector space (over R or C) then for any set X the space (1.117) F(X. If the map to V is a bijection then V is said to be reﬂexive. it is deﬁnitely not the case in general that V = V in the sense that this injection is also a surjection. V . Its dual in turn. the space of summable sequences. Now. by Proposition 7 above. this also shows that Tv V ≤ v . If v ∈ V then the linear map on V : (1. λ2 ∈ C then Tv (λ1 v1 + λ2 v2 ) = (λ1 v1 + λ2 v2 )(v) = λ1 v1 (v) + λ2 v2 (v) = λ1 Tv (v1 ) + λ2 Tv (v2 ). one necessary condition is that V itself should be a Banach space.116) Tv : V −→ C. the bidual of c0 . PROBLEMS 31 13. If V is a vector space and S ⊂ V is a subset which is closed under addition and scalar multiplication: (1.
then there exist ai ∈ K. Show that if two norms on a vector space are equivalent then the topologies induced are the same – the sets open with respect to the distance from one are open with respect to the distance coming from the other. i. Show that this is the same as being Cauchy in CN in the usual sense (if you are doing p = 2 it is already the usual sense) and hence. N. . Write out a proof (you can steal it from one of many places but at least write it out in your own hand) either for p = 2 or for each p with 1 ≤ p < ∞ that ∞ lp = {a : N −→ C. . .e. Call the smallest such integer the dimension of V and show that a ﬁnite dimensional vector space always has a basis.120) i=1 ai vi = 0 in V.7. . dim V which are not linearly dependent and such that any element of V can be written as a linear combination dim V (1. .32 1. bi ∈ K. Problem 1.6. this cutoﬀ . . go through the basic theory of ﬁnitedimensional vector spaces. ei ∈ V. Problem 1. let me say that this means showing that each Cauchy sequence converges. Suppose you knew – meaning I tell you – that for each N 1 p N j=1 aj p is a norm on CN would that help? Problem 1.8. . In case you do not know it. This means writing out the proof that this is a linear space and that the three conditions required of a norm hold. Show that for each N the sequence in CN obtained by truncating each of the elements at point N is Cauchy with respect to the norm in Problem 1. such that N (1. aj = a(j)} is a normed space with the norm a p ∞ 1 p = j=1 aj p . it is a Banach space.5. Problem 1. not all zero. The converse is also true. Prove directly that each lp as deﬁned in Problem 1. j=1 aj p < ∞.4.1 is the triangle inequality. The problem here is to ﬁnd the limit of a given Cauchy sequence.9.1 is complete.2 on CN . Problem 1. At the risk of oﬀending some. Show that any two norms on a ﬁnite dimensional vector space are equivalent. you can use another result from this section to prove it. Deﬁne a vector space V to be ﬁnitedimensional if there is an integer N such that any N elements of V are linearly dependent – if vi ∈ V for i = 1. i = 1. The ‘tricky’ part in Problem 1. NORMED AND BANACH SPACES Problem 1.121) v= i=1 bi ei .
Problem 1. (1) Show that S is closed. a p = 1}. If V is a vector space (over K which is R or C) then for any set X consider (1. Problem 1. if v ∈ S then −v = (−1)v ∈ S. .1 (1.123) c0 = {a : N −→ C. Solution 1.12.11. Note that the main problem is not to get yourself confused about sequences of sequences! Problem 1. Show that the norm on any normed space is continuous. λ ∈ K =⇒ v1 + v2 ∈ S and λv1 ∈ S then 0 ∈ S.2 (1. Problem 1. these all follow from the corresponding identities for K. sup an  < ∞}.1). So. one needs to check all the axioms of a vector space.14.15.13. (cu)(x) = cu(x).10. V ). Problem 1. 0v = 0 ∈ S. Another closely related space consists of the sequences converging to 0 : (1. by checking in Rudin). Consider the ‘unit sphere’ in lp . v ∈ F(X.125) F(X. Use this to ﬁnd a putative limit of the Cauchy sequence and then check that it works. lim an = 0}. Then all the axioms of a vector space follow from the corresponding identities in V. c ∈ K. (u + v)(x) = u(x) + v(x). v2 ∈ S. The space l∞ consists of the bounded sequences (1. a n→∞ ∞ = sup an .122) l∞ = {a : N −→ C. (3) Show that S is not compact by considering the sequence in lp with kth element the sequence which is all zeros except for a 1 in the kth slot.126) v1 . V ) = {u : X −→ V }. Addition and scalar multiplication are deﬁned ‘pointwise’: These are welldeﬁned functions since addition and multiplication are deﬁned in K. (2) Recall the sequential (so not the open covering deﬁnition) characterization of compactness of a set in a metric space (e . SOLUTIONS TO PROBLEMS 33 sequence converges. u. since 0 ∈ K and for any v ∈ S. If S ⊂ V is a (nonempty) subset of a vector space and S ⊂ V which is closed under addition and scalar multiplication: (1. Solutions to problems Solution 1. Since an equality of functions is just equality at all points.124) (1. n Check that this is a Banach space and that it is a closed subspace of l∞ (perhaps in the opposite order). Similarly. 15.g . n Show that it is a Banach space.2). This is the set of vectors of length 1 : S = {a ∈ lp . a n ∞ = sup an . Finish the proof of the completeness of the space B constructed in DD.
In case you do not know it.129) i=1 ai vi = 0 in V. then there exist ai ∈ K. If S ⊂ V be a linear subspace of a vector space consider the relation on V (1. −v + S is the additive inverse of v + S and that the other axioms follow directly from the fact that the hold as identities in V. v2 ∼ v3 =⇒ v1 − v2 . Solution 1. Show that any two norms on a ﬁnite dimensional vector space are equivalent.130) v= i=1 bi ei .5). i = 1. and element of V /S is an equivalence class of elements of V which can be written v + S : (1. .6).4 (1. . . independent of the choice of representatives. Call the smallest such integer the dimension of V and show that a ﬁnite dimensional vector space always has a basis.128) v + S = w + S ⇐⇒ v − w ∈ S. . since it is also possible to add and remain in S v1 ∼ v2 . since adding an lement of S to v or w does not change the right sides. Notice that (v + S) + (w + S) = (v + w) + S. Deﬁne a vector space V to be ﬁnitedimensional if there is an integer N such that any N elements of V are linearly dependent – if vi ∈ V for i = 1. such that N (1.4). The converse is also true. bi ∈ K. you can use another result from this section to prove it.3. go through the basic theory of ﬁnitedimensional vector spaces. v ∈ S implies −v ∈ S so v1 ∼ v2 =⇒ v1 − v2 ∈ S =⇒ v2 − v1 ∈ S =⇒ v2 ∼ v1 . .6 (1. Now. to the axioms. Show that if two norms on a vector space are equivalent then the topologies induced are the same – the sets open with respect to the distance from one are open with respect to the distance coming from the other. λ(v + S) = λv + S are welldeﬁned elements. To say that this is an equivalence relation means that symmetry and transitivity hold. . So this is an equivalence relation and the quotient V / ∼= V /S is welldeﬁned – where the latter is notation. dim V which are not linearly dependent and such that any element of V can be written as a linear combination dim V (1. That is.5 (1. NORMED AND BANACH SPACES Solution 1.127) v1 ∼ v2 ⇐⇒ v1 − v2 ∈ S. not all zero. Now. Since S is a subspace. Solution 1. N. v2 − v3 ∈ S =⇒ v1 − v3 ∈ S =⇒ v1 ∼ v3 . Similarly. These amount to showing that S is a zero element for addition. . . ei ∈ V.34 1. Solution 1. we can check the axioms of a linear space once we deﬁne addition and scalar multiplication.
9 (1.g .12 (1.8). SOLUTIONS TO PROBLEMS 35 Solution 1. Use this to ﬁnd a putative limit of the Cauchy sequence and then check that it works. aj = a(j)} is a normed space with the norm a p ∞ 1 p = j=1 aj p . Prove directly that each lp as deﬁned in Problem 1. This means writing out the proof that this is a linear space and that the three conditions required of a norm hold. Solution 1.15.10). let me say that this means showing that each Cauchy sequence converges. by checking in Rudin). a p = 1}. n Check that this is a Banach space and that it is a closed subspace of l∞ (perhaps in the opposite order).131) l∞ = {a : N −→ C.2 on CN . Show that this is the same as being Cauchy in CN in the usual sense (if you are doing p = 2 it is already the usual sense) and hence.7 (1. This is the set of vectors of length 1 : S = {a ∈ lp .1 is complete. At the risk of oﬀending some. Write out a proof (you can steal it from one of many places but at least write it out in your own hand) either for p = 2 or for each p with 1 ≤ p < ∞ that ∞ lp = {a : N −→ C. Solution 1.132) c0 = {a : N −→ C. i. The problem here is to ﬁnd the limit of a given Cauchy sequence. .12). The ‘tricky’ part in Problem 1.8 (1. lim an = 0}. Another closely related space consists of the sequences converging to 0 : (1.9).10 (1. j=1 aj p < ∞. n Show that it is a Banach space. Solution 1. it is a Banach space.1 is the triangle inequality.7). The space l∞ consists of the bounded sequences (1.11 (1. this cutoﬀ sequence converges. (1) Show that S is closed. Show that for each N the sequence in CN obtained by truncating each of the elements at point N is Cauchy with respect to the norm in Problem 1. a n ∞ = sup an . Solution 1.11).e. sup an  < ∞}. a n→∞ ∞ = sup an . Suppose you knew – meaning I tell you – that for each N 1 p N j=1 aj p is a norm on CN would that help? Solution 1. (2) Recall the sequential (so not the open covering deﬁnition) characterization of compactness of a set in a metric space (e . Consider the ‘unit sphere’ in lp .
14).133) (1. y ≤ x−y + x .36 1.13). which in turn follows from the triangle inequality applied twice: Solution 1.134)  x − y ≤ x−y x ≤ x−y + y . Since the distance between two points is x − y the continuity of the norm follows directly from the ‘reverse triangle inequality’ (1. Note that the main problem is not to get yourself confused about sequences of sequences! Solution 1. Finish the proof of the completeness of the space B constructed in DD. .14 (1. NORMED AND BANACH SPACES (3) Show that S is not compact by considering the sequence in lp with kth element the sequence which is all zeros except for a 1 in the kth slot.13 (1.
The advantage of this change is (I hope) that the treatment is a little simpler and faster. I have decided to circumvent the discussion of step functions below and to proceed directly by completing the Riemann integral. Step functions and the integral. Duality between Lp (R) and Lq (R). • Sets of measure zero.1) Intervals and length. The new sections have a 2011 in the title. Fubini’s theorem Other measures on the line Riesz representation on the line – in Problems. lim n→∞ f − j=1 fj  = 0 for any absolutely summable approximation. Here is a narrative for a later reading:. Covering lemma. : L1 (R) −→ C is well deﬁned. L1 (R) and absolutely summable approximation. If f ∈ L1 (R) then f  ∈ L1 (R) and n n f  = lim n→∞  j=1 fj . Maybe there are other issues too. Some further extensions are discussed in the problems. 37 . Monotonicity lemma. from forward reference to Riesz’ representation for Hilbert space.If you can go through this item by item. reconstruct the deﬁnitions and results as you go and see how thing ﬁt together then you are doing well! • • • • • • • • (2.CHAPTER 2 The Lebesgue integral This semester. ‘Spring’ 2011.100) – so this is not much of an issue – but slightly more seriously the extension to higher dimensions becomes a little more involved. For the moment I will leave the old material in – I hope the parallel development is not too confusing. (1) (2) (3) (4) (5) (6) Higher dimension more systematically. 1/p + 1/q = 1. The treatment of the Lebesgue integral here is intentionally compressed. In the text everything is done for R but in such a way that the extension to higher dimensions – carried out in the problems – is not much harder. Things I could possibly add. L1 (R) is a linear space. The disadvantages are ﬁrst that I will rely on an earlier treatement of the Riemann integral (which is covered in 18. The Banach space L∞ (R). we will ﬁnd out.
lim n→∞ g − j=1 gj  = 0. THE LEBESGUE INTEGRAL • Convergence a. j n n gj . N = {f : R −→ C. =⇒ g ∈ L1 (R). [−R. With this preamble we can directly deﬁne the ‘space’ of Lebesgue integrable functions on R. • Montonicity for Lebesgue functions. with respect to the L1 norm u = lim R R→∞ u(x)dx. .e. b] −→ C. It depends on the compactness of the interval but can be extended to an ‘improper integral’ (meaning some of the good properties fail) on certain functions on the whole line. • If {gj } in L1 (R) is absolutely summable then g= j gj a. f  = 0} consists precisely of the functions vanishing almost everywhere. g = lim n→∞  j=1 gj .e. 1.}. Continuous functions of compact support (2011) Recall that the Riemann integral is deﬁned for a continuous function u : [a. R] where the R depends on the u.3) Cc (R) = {u : R −→ C. • L1 (R) = L1 (R)/N is a Banach space with L1 norm. Lemma 6. [−R. u is continuous and ∃ R such that u(x) = 0 if x > R}. Thus each element u ∈ Cc (R) vanishes outside an interval [−R. Rather we consider the space of continuous functions ‘with compact support’: (2. Basic properties of the Riemann integral.38 2. 1 ≤ p < ∞. • Fatou’s Lemma. This is NOT what we will do. The Riemann integral deﬁnes a continuous linear functional on the normed space Cc (R). f = 0 a. Proof. gj (x) = ∞} is of measure zero (2. • The space of null functions N = {f ∈ L1 (R). • Dominated convergence. • The Banach spaces Lp (R) = Lp (R)/N .R] (2. u ≤ u The limits here are trivial in the sense that the functions involved are constant for large R.2) g= j {x ∈ R.R] L1 . • Measurable sets.e.4) u L1 = lim  R R→∞ u(x)dx.
(2. nor is it obvious that the integral of such a function is deﬁned. using the fact that gn  ≤ fn  and hn  ≤ fn . If f ∈ L1 (R) the real and imaginary parts. Its virtue is that it is all there.7) R f= n fn which is ﬁne in so far as the series on the left (of complex numbers) does converge – since we demanded that it converge absolutely – but not ﬁne in so far as the answer might well depend on which sequence we choose which ‘converges to f ’ in the sense of the deﬁnition. When is uk (x) < ∞? Only if both gn (x) < ∞ and k n n hn (x) < ∞.8) uk = hn if k = 3n − 1 −hn if k = 3n.5) n fn  < ∞ and such that (2.6) n fn (x) < ∞ =⇒ n fn (x) = f (x). So. consider the doctored sequence gn if k = 3n − 2 (2. suppose fn ∈ Cc (R) is a sequence the existence of which is guaranteed by the deﬁnition above. Now.9) k uk  ≤ 3 n fn .8). These are both elements of Cc (R). Im f ∈ L1 (R) and for a real function the approximating sequence can be chosen to be real. This deﬁnes uk ∈ Cc (R) for all k ∈ N. Proof. So. It is not immediately obvious that this is a linear space. the immediate problem is to prove these two things. To prove this (it is proved below in the older version) we need to ‘take an approximating sequence apart’. observe Lemma 7. We want to deﬁne it to be (2. it is an absolutely summable series since (2. This is in fact precisely the reason that we go to the trouble of inserting the otherwise useless ±hn in (2. Furthermore. At other points anything is permitted.1. Then consider gn = Re fn . written f ∈ L1 (R). First however. A function f : R −→ C is Lebesgue integrable. Together these imply that fn (x) < ∞ and the converse is n . hn = Im fn . if there exists a sequence fn ∈ Cc (R) which is absolutely summable. CONTINUOUS FUNCTIONS OF COMPACT SUPPORT (2011) 39 Definition 5. Notice that we only say ‘there exists’ an absolutely summable sequence and that it is required to converge to the function only at points at which the pointwise sequence is absolutely summable. This is a somewhat convoluted deﬁnition. The problem is that it takes a bit of unravelling. Re f.
Reversing the roles of gn and hn gives the Lebesgue integrability of Im f. Lemma 8. We can easily extend this in a useful way. This can also be written Sn = u−1 ([ . It works on general compact metric space but for the moment I will just think about the case at hand. Lemma 9. Now the property of compact sets in a metric space that we use is that if such a sequence of decreasing compact sets has empty intersection then the sets themselves are empty from some n onwards. . un → 0 uniformly. If vn ∈ Cc (R) is an increasing sequence such that limn→∞ vn (x) ≥ 0 for each x ∈ R (where the possibility vn (x) → ∞ is included) then (2. To do so. Since > 0 was arbitrary. I also need to recall another theorem from 18. Since all the un (x) ≥ 0 and they are decreasing (which means nonincreasing) any where u1 (x) = 0 all the other un (x) = 0 as well. Thus there is one R > 0 such that un (x) = 0 if x > R for all n. ∞))∩[−R. So indeed. Proof.40 2.11) n→∞ lim un = 0. we can now just think about real functions. If un ∈ Cc (R) is a decreasing sequence of nonnegative functions such that limn→∞ un (x) = 0 for each x ∈ R then un → 0 uniformly on R and (2. THE LEBESGUE INTEGRAL also true! Thus (2. One of the basic properties of the Riemann integral is that the integral of the limit of a uniformly convergent sequence (even of Riemann integrable functions but here just continuous) is the limit of the sequence of integrals. un (x) ≥ }. n Sn = ∅ since.11) in this case. Moreover the fact that the un (x) are decreasing means that Sn+1 ⊂ Sn for all n. hn (x) → 0. Thus in fact we only need consider what happens on [−R. by assumption. For any > 0 look at the sets Sn = {x ∈ [−R. The last step follows from hn (x) → 0 since we are successively adding and then subtracting hn (x) and by the absolute convergence of the sum. which is (2.100B. Next we want to show that the integral is well deﬁned. This describes a case where uniform convergence follows from pointwise convergence. Finally. R] n and since un is continuous this is closed and hence compact. R]. R] which is compact.10) k uk (x) < ∞ =⇒ n fn (x) < ∞ gn (x) = Re f (x) n =⇒ n fn (x) = f (x) =⇒ =⇒ k uk (x) = Re f (x).12) n→∞ lim vn dx ≥ 0 including possibly + ∞. Re f ∈ L1 (R) and it has a real approximating sequence. un (x) → 0 for each x. This means that there exists N such that supx un (x) < for all n > N.
Lemma 10. From properties of the Riemann integral. The trick is to get ourselves into a position to apply Lemma 9. Since vn (x) is increasing.16) F1 (x) = n=1 fn (x). (2.18) gp (x) = j=1 Fj (x) = n=1 fn (x) + j=2 fN +j  . Now. vn+1 ≥ vn implies that vn dx is an increasing sequence and it is bounded below by one that converges to 0. so for each n. Suppose fn ∈ Cc (R) is an absolutely summable sequence of realvalued functions. either it gets there for some ﬁnite x and then stays 0 or the limit of vn (x) is zero. j ≥ 2.1. just choose some integer N (large but it doesn’t matter yet).12) is the only possibility. so wn ∈ Cc (R). since the inequality  fn dx ≤ fn dx shows that it is absolutely convergent (hence Cauchy. vn ≥ − wn . To do this. Since this is the maximum of two continuous functions. so fn dx < ∞. it is continuous and it vanishes for large x. Fj (x) = fN +j (x). CONTINUOUS FUNCTIONS OF COMPACT SUPPORT (2011) 41 Proof. wn is decreasing and it follows that lim wn (x) = 0 for all x. the series (2. R Now. vn (x) ≥ −wn (x) for all x. and n (2. Consider the sequence of function (2. For the same reason. Now the sequence of partial sums p N +1 p (2. Proof.17) j j Fj (x) < ∞ ⇐⇒ n fn (x) < ∞. This is really a corollary of the preceding lemma.14) n fn (x) < ∞ =⇒ n fn (x) = 0 then (2.15) n fn dx = 0. namely −vn and 0. Thus Lemma 8 applies to wn so n→∞ lim wn (x)dx = 0.15) does converge.13) wn (x) = 0 −vn (x) if vn (x) ≥ 0 if vn (x) < 0. this is a sequence in Cc (R) and it is absolutely summable – the convergence of Fj dx only depends on the ‘tail’ which is the same as for fn . hence convergent). so (2. As already noted. Now consider the sequence of functions – it depends on N but I will suppress this dependence – N +1 (2.
so gn  < ∞. sums to inﬁnity so (2.17) hold then N +1 ∞ (2.23) h1 (x) = − n=1 fn (x). Using the same inequality as before this implies that ∞ (2. considering instead N +1 (2. must be nonnegative. hp (x) = fN +p (x).26) f (x) = n gn (x) on R \ E for some set of measure zero. So j≥N +2 This is true for any N and as N → ∞. A set E ⊂ R is of measure zero if there exists an absolutely summable series hn ∈ Cc (R).22) n=1 fn ≥ −2 j≥N +2 fj (x)dx.25) E ⊂ {x ∈ R. THE LEBESGUE INTEGRAL is increasing with p – since we are adding nonnegative functions.19) n fn (x) = 0 =⇒ n=1 fn (x) + j=2 fN +j (x) ≥ 0 =⇒ lim gp (x) ≥ 0. limN →∞ the ﬁxed number on the left in (2. If the two equivalent conditions in (2. fj (x)dx = 0. Thus the conditions of Lemma 9 hold for gp and hence N +1 (2. On the other hand if these conditions do not hold then the tail.20) p→∞ lim gp (x) = ∞. If f : R −→ C and there exists an absolutely summable series gn ∈ Cc (R). hn  < ∞ such that n (2. that ∞ (2. which is what we are interested in.42 2. n hn (x) = ∞}. Definition 6.21) n=1 fn + j≥N +2 fj (x)dx ≥ 0. That is.24) n=1 fn = 0. then f ∈ L1 (R).22). E. So this shows that a slightly weaker deﬁnition gives the same result. any tail. Lemma 11. we conclude what we wanted to show. . p ≥ 2 and the ﬁnal conclusion is the opposite inequality in (2. p→∞ since we are only increasing each term. In fact the signs in the argument can be reversed. such that n (2.22).
This follows from Lemma 10.1. We deﬁne the notion of equality almost everywhere to mean (2. Then. Proposition 9.30) f= n fn fn a. . follows from (2.31)  f ≤ n fn . The last part. Now. First.e. by using the argument in n Lemma 11.25) and consider the sequence gn if k = 3n − 2 (2. (2. where the second line is notation. CONTINUOUS FUNCTIONS OF COMPACT SUPPORT (2011) 43 Proof. and then n for any absolutely summable series fn ∈ Cc (R) such that f = (2. −gn is absolutely summable and converges to 0 a. the sequence with alternating terms gn . Then if gn and gn are two absolutely summable series in Cc (R) both converging to f almost everywhere.e.32) n gn = n gn by rearrangement of an absolutely convergent series in C. {fk } is absolutely summable and (2. This slight weakening of the deﬁnition makes the arguments a little less rigid. as in the arguments above.29) f (x) = g(x) on R \ E for some set of measure zero E ⇐⇒ f = g a.e.30) is indeed independent of approximating series.31).27) fk = hn if k = 3n − 1 −hn if k = 3n. Let hn be an absolutely summable series as in (2.28) fk (x) < ∞ =⇒ gn (x) < ∞ and hn (x) < ∞ =⇒ x ∈ R\E and f (x) = k n n k fk (x) so indeed f ∈ L1 (R). The (Lebesgue) integral of an element f ∈ L1 (R) is welldeﬁned as (2.e. we can weaken the hypothesis of the lemma to the assumption that fn (x) = 0 a. so the strengthened Lemma 10 shows that (2. except for the moment you will have to replace the phrase ‘model functions’ by ‘continuous function of compact support’ (and there maybe be some backward references that I will need to ﬁx. (in Spring 2011).30). Thus the limit in (2. you can go to Section 10 and proceed. Proof.
44 2. Ik ∩ Ij = ∅ if k = j. In particular we deﬁne the length of the interval I = [a. Since we only deal initially with step functions the discussion is quite elementary – and in lectures I take quite a lot for granted – until we get to the covering lemmas. There is nothing magical about these – we could certainly use the opposite convention – but it saves a lot of eﬀort to work with them. b) ⊂ S}. In fact the ﬁnite unions of such intervals. Then B1 > A1 and [A1 . Let’s make sure that it is true! Proof. Take the set S in (2. B). For the discussion of Lebesgue integral we will limit the term interval to mean a semiopen set [a. I = I1 ∪ I2 . Step functions We will start our development of the Lebesgue integral in a way that is really a simpliﬁcation of the approach in Rudin’s book [2] to the Riemann integral.34) which we can assume to be nonempty and let A1 = inf S. Any ﬁnite union of intervals S = ∪N [ai . Jp ∩ Jq = ∅ if p = q =⇒ len(S) = p len(Ip ). Any interval contained in S must be contained in one of the [Ai . to check that (2.35) holds. it is in one of the intervals – it must be an ai . Proposition 10. form an ‘algebra’ of sets – closed under ﬁnite unions. This can be true for no larger B1 so we have our ﬁrst interval and either S = [A1 . b) to be len(I) = b − a. t) ∪ [t. b1 ) can be written i=1 uniquely as a union of such intervals with disjoint closures k (2. which are the sets we are working with.Bi ). ﬁnite intersections and diﬀerences. I1 ∩ I2 = ∅ then len(I) = len(I1 ) + len(I2 ). Now. Bi ) which gives the uniqueness of this decomposition. Now continue in this way to generate a decomposition into disjoint and ‘maximal’ intervals. B1 ) ⊂ S. so A1 is in the closure of one of these. The closure of S is the union of the closures of the intervals. a ≥ B2 } exists and A2 > B1 . Hence the length is well deﬁned. len(Ik ) has the ﬁnite additivity property that k (2. This only vanishes when the interval is empty (not true for closed intervals of course) and if we decompose an interval. The basic property they have is that we can decompose such an interval into ﬁnitely many subintervals without overlap. into two disjoint intervals by choosing any interior point: (2.35) S= p Jp . b) = [a. This of course is not possible for open or closed intervals and corresponds to the ‘partitions’ in Riemann theory. Check the result for one and two and then check what happens if you remove the top interval and ﬁnish.33) [a.34) and then len(S) = S= i=1 Ik . a < t < b. Then let B1 be the supremum of the set {b ∈ R. B1 ) or A2 = inf{a ∈ S. b). observe that any disjoint decomposition in intervals has to be a disjoint decomposition of each of the [Ai . in this sense. Now proceed (if you haven’t given up yet) to induction over the number of intervals in the decomposition. In lectures I treat this as ‘obvious’. Bi ) so we can assume that S = [A. Ik = [Ai . but since it is (no larger than) the inﬁmum of the interval. THE LEBESGUE INTEGRAL 2. [A1 . b) – an interval closed on the left and open on the right. .
M are disjoint sets of this type such that S0 ⊃ (2. which is not a ﬁnite union of intervals in our current sense.bi ) . len(S1 ) − len(S2 ) ≤ len(S1 \ S2 ) ≤ len(S1 ) from the disjoint decompositions as intervals. The second is clear by deﬁnition. . that our sets S – by deﬁnition each being a (possibly empty) ﬁnite union of semiopen intervals – form a collection of subsets of R with the closure properties that if S1 . Of course f −1 (0) will be the complement in R of a ﬁnite union of intervals. Lemma 12.38) S1 ∩ S2 . Note that such a ‘presentation’ is not unique but can be made so by demanding that the intervals be . This is equivalent to saying that f (R) is ﬁnite – these function only take ﬁnitely many values – and (2. Again pretty obvious. len(S1 ∪ S2 ) ≤ len(S1 ) + len(S2 ). S1 ∪ S2 and S1 \ S2 .2. Now.41) f −1 (c) is a ﬁnite union of disjoint intervals. Similary [A.36) N i=1 Si where the Si are each a ﬁnite union of semiopen N len(S0 ) ≤ i=1 len(Si ) j and if Tj j = 1. Now check the properties of lengths (2. The ﬁrst follows from the fact that the intersection of two intervals is either empty or is an interval – so the intersections of the nontrivial intervals in the minimal decomposition of S1 and S2 gives a minimal decomposition of S1 ∩ S2 . S2 are of this form then so are (2. χ[a. by a step function (2.40) f : R −→ C (although sometimes we will restrict to functions with real values) we mean a function which vanishes outside some ﬁnite union of disjoint intervals and is constant on each of the intervals.b) (x) = 1 0 if x ∈ [a. b) otherwise. len(S1 ∪ S2 ) = len(S1 ) + len(S2 ) if S1 ∩ S2 = ∅. The general case then follows by induction. . c = 0.39) len(S1 ∩ S2 ) ≤ len(S1 ). of multiples of the characteristic functions of our intervals. It is also often convenient to write a step function as a sum N (2. . . an interval or the union of two intervals with disjoint closures so a similar argument applies to the diﬀerence. To understand this really properly it is perhaps wise to check at this point something mentioned above. but there are sticklers for precision out there! Proof.42) f= i=1 ci χ[ai . If S0 ⊂ intervals then (2. STEP FUNCTIONS 45 So the standard notion of length is a ﬁnitely additive on our sets – which are the ﬁnite unions of semiopen intervals. b) is either empty. B) \ [a.37) len(S0 ) ≥ j Tj then len(Tj ).
Proof. The step functions on R in the sense deﬁned above form a normed space with respect to the L1 norm (2. but the integral of f  is the sum of positive terms – the products of the lengths of the intervals and the values of the function – so can only vanish if all these vanish. deﬁned by (2. THE LEBESGUE INTEGRAL disjoint and ‘maximal’ – so f does not take the same value on two intervals with intersecting closures. We will denote the space of such functions as L1 (R).e. It is of course equal to the Riemann integral which is one way of seeing that it is welldeﬁned (but of course the result is much more elementary). f  is constant too. The approach adopted here. This is one good reason to stick with our semiopen intervals. The idea is to use the notion of an ‘absolutely summable’ series which is discussed above. A function f : R −→ C is Lebesgue integrable if there exists an absolutely summable sequence of step functions fn .44)  f ≤ f  since on any interval on which f is constant. Already n at this stage we can deﬁne the notion of a Lebesgue integrable function.46) n fn  < ∞. however this deﬁnition is rather convoluted and we need to do some work to ﬂesh it out. in the normed space of step functions. satisfying (2.45) f L1 = R f . .43) R f= i ci (bi − ai ) from (2. such that (2. consists of some of the elements in the sums of the ranges and the inverse image of nonzero values is a union of intervals. is due to Mikusi´ski. A constant multiple of a step function is a step function and so is the sum of two step functions – clearly the range is ﬁnite. Note that if f is a step function then so is f  and that (2. Proposition 11. The property that a norm only vanishes on the zero function is the most delicate one to check. and this does imply that f ≡ 0 because any ﬁnite union of intervals of length 0 is empty. i. Lebesgue integrable functions The idea is to complete this normed space instead of the space of continuous functions – it is both more standard and a little easier. Definition 7. to the direct construction of a ‘concrete’ completion.42) is independent of the ‘presentation’ used to deﬁne it. 3.46 2.47) f (x) = n fn (x) ∀ x ∈ R such that n fn (x) < ∞. A similar argument shows that the integral.
On the other hand (2.50) and Ci ⊂ [a. b) ⊂ i=1 Ci =⇒ i=1 (bi − ai ) ≥ (b − a). Proposition 12. COVERING LEMMAS 47 This deﬁnition is at ﬁrst glance a little weird – there must exist a sequence of step functions.51) [a. The problem of course is to show that the answer in (2.47) almost determines f itself and does so up to an error which does not aﬀect the integral. b) ∀ i and Ci ∩ Cj = ∅ ∀ i = j =⇒ i=1 (bi − ai ) ≤ (b − a) N ∞ (2. The properties of countable collections of our ‘intervals’ arise as soon as we look at a sequence. Tricky. the sum of the integrals of the absolute values of which converges. such that the sum itself converges to the function but only at the points of absolute converge of the (pointwise) series.4. If we were proceeding more generally this would be the countable additivity of our ‘measure’ – len – on these sets which are ﬁnite unions intervals. So. To be able to apply . of step functions. Covering lemmas The ﬁrst thing we need is the covering lemma for our semiopen intervals. The sum on the right converges. since it converges absolutely using (2. If Ci = [ai . so it too is less than or equal to b − a. Proof. bi ).44) which shows that (in the real numbers) (2.48) f= i fi where {fi } is any approximating sequence of step functions as in the deﬁnition. The main attraction of this deﬁnition is that it is selfcontained and in principle ‘everything’ can be deduced from it. and the ﬁrst is. is a countable collection of intervals then ∞ (2. Namely if we consider any ﬁnite collection of the Ci then we can apply Lemma 12 to see that the result holds.49) i  fi  ≤ i fi  < ∞. You might think these are completely obvious.48) does not depend on which approximating sequence we use.46) ensures that the pointwise series in (2. but one can get used to it – and ultimately we will simplify it. 4. What we need to show then is that the ‘integral’ of such a function is welldeﬁned by setting it equal to (2. Instead we use HeineBorel.47) converges for ‘most’ points x. This is not so obvious and is indeed the core of the deﬁnition that we are using.51) is not quite so obvious since we cannot just proceed step by step since there may be all sorts of limit points of the ai and bi . i ∈ N. The basic idea is that the absolute summability in (2. which makes the argument ‘nontrivial’. but the inﬁnite sum is the supremum of all the ﬁnite sums. we want to extend Lemma 12 to countable collections of intervals. or series. So (2.
53) i=1 (bi − ai ) − 2−i δ ≥ b − a − δ =⇒ i=1 (bi − ai ) ≥ b − a − 2δ where the last sum here might be inﬁnite. The linear space of step functions is a subspace of L1 (R).e. Mainly for reasons of consistency we use halfopen intervals here. 5. in Section 1. b − δ] ⊂ [a. Now extend each interval by replacing the lower limit by ai − 2−i δ and consider the open intervals which therefore have the property (2. to the more usual approach via step functions starting in Section 2 (which does not use the Riemann integral). that is the deﬁnition. The characteristic function χ(a. on which h is a norm.48 2.56) un (x) = 1 1 − n(x − b) 0 .b] = 1 when x ∈ (a.54) h= i=1 ci χ(ai . b] (which if you like is empty when a ≥ b) and vanishes otherwise. So a step function is a ﬁnite sum M (2. Anyway. but then it is all the more true. continuous functions 0 n(x − a + 1/n) (2. b) ⊂ i (ai − 2−i δ. hi  < ∞ i (2. In fact it is straightforward. Density of step functions (2011) This section is inserted here to connect the approach via continuous functions and the Riemann integral. Now. Proposition 13. by HeineBorel – the compactness of closed bounded intervals – a ﬁnite subcollection of these open intervals already covers [a.51). ∈ L1 (R) – this is one of the problems. b − δ) so Lemma 12 does apply to this ﬁnite collection of semiopen intervals [ai −2−1 δ.52) [a. THE LEBESGUE INTEGRAL Lemma 12 choose δ > 0. The fact that this is true for all δ > 0 now proves (2. Proof. and for any element f ∈ L1 (R) there is an absolutely summable series of step functions {hi }.bi ] where it doesn’t matter if the intervals overlap since we can cut them up. we deﬁne χ(a.55) f (x) = i hi (x) a. bi ) and shows that for some ﬁnite N N ∞ (2. A step function h : R −→ C is by deﬁnition a function which is the sum of multiples of characteristic functions of (ﬁnite) intervals. We prove the ‘density’ of step functions in L1 (R) and this leads below to the proof that Deﬁnition 5 is equivalent to Deﬁnition 7 so that one can use either.b] see Problem**. bi ). just take the decreasing sequence of if if if if if x < a − 1/n a<x≤b b < x ≤ b + 1/n x > b + 1/n. Welcome to measure theory.
Taking a little out of the proof of that proposition proves (2. we give them a name which makes this seem likely. Definition 8. A set E ⊂ R is of measure zero if there exists an absolutely summable series of step functions fn such that (2. R].58) n fn (x) = ∞ ∀ x ∈ E. Certainly then for each element f ∈ Cc (R) there is a sequence of step functions with f − hn  → 0. Take the subdivision of (−R.e. Proposition 14.b] (not uniformly of course).57) directly. Although it is really not necessary for the logical development of the subject – at least not yet – it may be helpful at this stage to focus a little on just what these sets are. So we just need to check that null functions vanish outside a set of measure zero. R] into 2n equal intervals of lenght R/n and let hn be the step function which is sup f on the closure of that interval. Again this is a decreasing sequence of step functions with integral bounded below so in fact it is the sequence of partial sums of the absolutely summable series obtained by detelescoping. SETS OF MEASURE ZERO 49 This is continuous because each piece is continuous and the limits from the two sides at the switching points are the same. The same is therefore true of any element g ∈ L1 (R) since then there is a sequence fn ∈ Cc (R) such that f − fn L1 → 0. by uniform continuity. 6. For the moment I do not say that (2. Suppose f = 0 outside [−R. each element f ∈ C(R) is the uniform limit of step functions – this follows directly from the uniform continuity of continuous functions on compact sets. It follows that detelescopy this sequence gives an absolutely summable series of continuous functions which converges pointwise to χ(a. Choosing n large enough. sup f − inf f < on each such interval.b] which is therefore in L1 (R). This is clearly a decreasing sequence of continuous functions which converges pointwise to χ(a. This of course is an exercise in the manipulation of series of step functions. Sets of measure zero Deﬁnition 7 would not make much sense unless the sets on which our absolutely summable series diverge are ‘ignorable’. Now to get an absolutely summable series of step function {gn } with f − N gn → 0 we just have to drop elements of the approximating sequence to speed n=1 up the convergence and then detelescope the sequence. i.6. which uses Proposition 23. A set E ⊂ R is of measure zero if and only if for every > 0 there is a countable cover of E by intervals of total length at most . is a null function. It suﬃces to suppose that f is real and then combine the real and imaginery parst. and so sup f − hn  < . . Now. although it is true! It follows from the fact that the right side does deﬁne an element of L1 (R) and by the triangle inequality the diﬀerence of the two sides has vanishing L1 norm. So just choosing a step function hn with fn − hn < 1/n ensures that f − hn L1 → 0. conversely. This is Proposition 22 below.e.57) f (x) = n gn (x) a.
Proposition 15. there must exist a(n at most) countable collection In. in particular (2. E ⊂ i In. fn . b).i − an. bn. Now. Thus there is a subsequence of the fk on which fnk (x) = 1 so the pointwise series does diverge at all points of E.i − an. Taking all of these countably many intervals together (for ﬁxed n) the sum of their lengths is therefore at most 1/n and they must cover E since the inﬁnite series diverges at each point of E.bn. What we have to play with here is an absolutely summable series. {fj }. To the converse. Using the absolutely summability. Here is another indication of this. Note that the covering lemma. Taking = 2−n for n ∈ N. On the other hand. THE LEBESGUE INTEGRAL Proof.i . Supposing we have an absolutely summable series. A set of measure zero cannot contain a nonempty interval [a. So.i (bn.i ) implies that len(Jn.51). of step functions which approximates g and another one.62) 1/n > k=1 fN +k (x) > 2i+1 len(Jn.i ) ≤ 2. So.i ) ≤ 2−n .i ) and order these in some way as fk . then g ∈ L1 (R).i .61) k>N i fk  < 1/n. if x ∈ E then for each n there is at least one i such that x ∈ In.59) i (bn. then implies Corollary 3.i and) (2. Proof. Note that all the terms are positive. consider the characteristic functions χ[an. of step functions which diverges on E. so the order is immaterial here. Then we need to ﬁnd an absolutely summable series of step functions which diverges (absolutely) on E.i . Now for each i ≥ 1 consider the set where k=1 fk (x) > 2i+1 . fn .i ) of intervals with (bn. Suppose ﬁrst that E satisﬁes the condition of the Proposition. which is such that fn (x) = ∞ for all x ∈ E. If g ∈ L1 (R) and g : R −→ C is such that g = g on R \ E where E is of measure zero.i ) < 2−i−1 /n. if we choose N large enough (2. This is an absolutley summable series of step functions since (2.60) k fk  = n.i . we need to construct a countable cover of E by intervals with lengths summing to less than 1/n. to approximate g consider the interlaced series n . this is supposed to indicate to you that these sets are indeed small.i = [an.i > an. This is a ﬁnite union of disjoint intervals (since this is a step function) and the lower bound on the integral i (2.50 2.
Let fn be a sequence of (realvalued) step functions which decreases monotonically to 0 (2.68) n→∞ fn (x) ↓ 0 ∀ x ∈ R.67) then (2.64) n hn  = k fk  + 2 k fk . a nonincreasing sequence which has limit 0. Moreover the ﬁrst one vanishes outside some interval [a. Thus we add. MONOTONICITY LEMMAS 51 with terms (2.66) n N hn (x) = g(x) = g (x) when (2. Going back to the deﬁnition of the integral of step functions. The ﬁniteness of the second term implies that x ∈ E and the ﬁniteness of the ﬁrst / means that (2.65). 7. it converges to 0. for each x.65) k fk (x) + 2 k fk (x) < ∞. Given an > 0 consider the sets (2.65) holds since the ﬁnite sum is always k=1 fk (x). fk . Lemma 13. Of course this means that all the fn are nonnegative. lim fn = 0.69) Sj = {x ∈ [a. but then subtract. The crucial thing about this lemma is that we get the vanishing of the limit of the sequence of integrals without having to assume uniformity of the limit. so we just need to show that this is not so. or it converges to some positive value. or this plus fN (x) – which tends to zero with N by the absolute convergence of the series in (2. Monotonicity lemmas Okay. The second possibility means that there is some δ > 0 such that fn ≥ δ for all n. When does the pointwise series converge absolutely? We must have (2. Proof.63) fk (x) n = 3k − 2 hn (x) = fk (x) n = 3k − 1 −fk (x) n = 3k. b) hence so do all of them. clearly fn (x) ≥ fn+1 (x) for all x implies that fn is a decreasing (meaning nonincreasing) sequence. This series is absolutely summable with (2. now the basic result on which most of the properties of integrable functions hinge is the following monotonicity lemma.7. b). Note that ‘decreases’ here means that fn (x) is. fj (x) ≤ } . So indeed g ∈ L1 (R). So there are only two possibilities. as we claim.
72) j Bj = [a.52 2.71) Bj = Sj+1 \ Sj then the Bj are all disjoint. Moreover (2. ∞]. .74) j≥N len(Bj ) < .78) fn (x) = max(0.70) j Sj = [a. Now. ∞] on the right here to make sure that it is clear that we only demand that the nondecreasing sequence gn (x) ‘becomes 0 or positive’ in the limit – including the possibility that it ‘converges’ to +∞ and the same may be true of the sequence of integrals. by choosing (b−a) + A < δ we conclude that the integrals are eventually smaller than any δ > 0.76) n→∞ lim gn (x) ∈ [0. both halves of Proposition 12 apply to the intervals forming the Bj .75) fk ≤ (b − a) + A.73) j len(Bj ) = b − a. k ≥ N + 1.) Thus. The ﬁrst estimate comes for the fact the fact that fk ≤ on SN +1 . I have written out [0. Consider the functions (2. each consists of ﬁnitely many intervals and (2. −gn (x)) ∀ x ∈ R. b) \ SN +1 is no more than (and the function is no bigger than A. Each of the Sj is a ﬁnite union of intervals. b) since fn (x) → 0 for each x. let A be such that f1 (x) ≤ A – and hence it is an upper bound for all the fn ’s. Thus. We can make this result look stronger as follows. where N is determined by the choice of . Let gn be a sequence of realvalued step functions which is nondecreasing and such that (2. Sj+1 ⊃ Sj . Thus (2. Proof. and if we look at the successive diﬀerences by setting B1 = S1 and (2. THE LEBESGUE INTEGRAL where [a.73) we can choose N so large that (2. and the rest we see that (2.77) n→∞ lim gn ∈ [0. and the second from our having arranged that the total lengths of the remaining intervals forming [a. Dividing the integral for fk . In fact the Sj increase with j. into the part over SN +1 . Proposition 16. b). In view of (2. ∞] ∀ x ∈ R (where we allow +∞ on the right) then (2. b) is an interval outside which f1 vanishes.
so we just need to check that L1 (R) is closed under multiplication by constants and addition. because absolutely convergent series can be rearranged. The former is easy enough – multiplication by 0 gives the zero function which is integrable because we can use the approximation sequence fj ≡ 0. Recall that L1 (R) denotes the space of Lebesgue integrable functions on the line – as in Deﬁnition 7. . g ∈ L1 (R). suppose that fn and fn are the terms in the series of step functions showing that g.81) hn (x) = fk fk n = 2k − 1 n = 2k. The space of all functions on R is linear. Thus. More signiﬁcantly.83) n hn (x) < ∞ =⇒ n hn (x) = k fk (x) + k fk (x) = g(x) + g (x). LINEARITY OF L1 (R) 53 This is a sequence of nonnegative step functions which decreases to 0 at each point and (2. This will lead to trouble! Instead. n fn (x) < ∞. So. Then. g(x) = n fn (x) ∀ x s. This is absolutely summable since (2. The ‘obvious’ thing to do is to take the sum of the series of step functions.8. cfn ‘works’ for cg with the crucial point being that converges if and only if n fn (x) converges. the message here is to be a bit careful about the selection of the ‘approximating’ absolutely summable series. as claimed. Linearity of L1 (R) As promised we will soon proceed to show that the deﬁnition of a Lebesgue integrable function above makes some sense. However. The set L1 (R) is a linear space.79) gn ≥ − fn . g + g ∈ L1 (R). Proposition 17.80) n fn  < ∞.48). If g ∈ L1 (R) then by deﬁnition there is an absolutely summable series of step function with elements fn such that (2. Proof. the series fk (x) and the series k k hn (x) converges if and only if both the series fk (x) converge. the result follows from the lemma. In particular that the integral is welldeﬁned by (2.82) n hn  = k n fk  + k fk  < ∞.t. it follows that (2. Thus. cfn (x) n Then if c = 0. Then consider the ‘intertwined sum’ (2. 8. let’s ﬁrst do a warmup exercise to see what the issues are. The sum of two functions g and g ∈ L1 (R) is a little trickier.
Now.87) n  hn  ≤ n hn  < ∞ it follows that we can rearrange the series to see that (2.84) f= n fn is welldeﬁned in that it is independent of which approximating absolutely summable series of step functions satisfying (2. from the absolute convergence of the sequence of integrals – (2.54 2. which is important since our only tool is monotonicity. If fi is an absolutely summable approximating series for f let gi be the series obtained by intertwining Re fk . starts to become clear when we check: Proposition 18.86) n hn (x) < ∞ =⇒ n hn (x) = 0. so we want to see that the left side of this equality vanishes. For any element f ∈ L1 (R) the integral (2. Proof. what we want is that these two sums are equal. This is absoutely summable and converges absolutely exactly where the series for fj converges absolutely (meaning fi (x) converges). We can suppose that fn and fn are two real absolutely summable series as in (2. This follows directly from the next result which is just a little more general than needed here so is separated oﬀ. The individual terms then tend to zero and so we see that (2. Lemma 14.85) hn (x) = fk (x) n = 2k − 1 −fk (x) n = 2k. . Moreover. it is probably natural to look at (2. Thus Re f ∈ L1 (R) and linearity shows i Im f ∈ L1 (R) too. Im fk and − Im fk . If f ∈ L1 (R) then Re f and Im f ∈ L1 (R) and can be approximated by real absolutely summable series. observe that we can restrict our attention to realvalued functions.80). Proof. That the original deﬁnition makes some sense.88) n hn = k fk − k fk . The integral is welldeﬁned To show that the integral of an element of L(R) is welldeﬁned. THE LEBESGUE INTEGRAL 9. Now that we have a little experience. Of course the converse is clear since we can just use the linearity with f = Re f + i Im f.80) is used to deﬁne it. This is absolutely summable and the pointwise series is absolutely convergent only when both series are absolutely convergent.
e. n then the same is true of Gp – since this is also a property of the tails. (meaning f vanishes oﬀ a set of measure zero) then (2. On the other hand.90) g1 (x) = j=1 fj (x). We can assume that the series consists of realvalued functions.89) n fn = 0. n N p−1 p+N −1 (2. converges to +∞. This then is true for every N.96) k≥M fk  < δ =⇒ j=1 fk ≥ −δ ∀ N > M.94) p→∞ lim Gp ≥ 0 where divergence to +∞ is a possibility. the series of integrals is ﬁnite. The trick to using it is to choose an N ∈ N and consider the new series of step functions with terms N (2.92) Gp (x) = k=1 gp (x) is nondecreasing. If the original series fn (x) diverges. This however means that. i. The only thing we have at our disposal is the monotonicity result above. for the N we originally chose. Proof. if fn (x) is ﬁnite. gk (x) = fN +k−1 (x).95) j=1 fk + k=1 fN +k  ≥ 0. THE INTEGRAL IS WELLDEFINED 55 Proposition 19. N (2. Proposition 16 applies to Gp and shows that (2. Note that there are two possibilities. Moreover. N ∞ (2. If an absolutely summable series of step functions satisﬁes (2. this is absolutely summable. By assumption the right side converges to zero. so given δ > 0 there exists M such that if N > M. since all the terms after the ﬁrst are nonnegative.9.91) k gk  ≤ n fn .e. k > 1. . the partial sums of the series p (2. then for large p. So.80) with f = 0 a. so the limit of this series (which is ﬁnite) is nonnegative. On the other hand. Now. It is again a sequence of step functions.93) Gp (x) = k=1 fk (x) + j=1 fN +j (x) ≥ k=1 fk (x). since convergence is a property of the ‘tail’ and in any case (2. depending on x.
80). fj = 0 for all j > 1 is absoutely summable and approximates f in the sense of (2. Proposition 20.101) n fn (x) = +∞ on E. . so the sums of the integrals are the same. a set E is of measure zero if there exists an fn  < ∞ such that absolutely summable series of step functions. we must be onto something here! Here is another example of a result – really out of order in the development of the integral – which uses the same ‘trickery’ and reading the proof now may help get things clear. . Ej ⊂ {x ∈ R.100) f is consistent with the integral on step functions. but the other half follows by applying the same reasoning to −fk . The integral is a welldeﬁned linear map (2.99) f= n : L1 (R) −→ C fn for any approximating sequence as in (2. In particular this integral is not trivial. . so n (2. Corollary 4. Proof.102) n (j) fn  < ∞. j = 1. The alternating diﬀerences of two approximating series to f satisﬁes the hypothesis of the Proposition above. of sets and for each of (j) them we have an absolutely summable series of step functions fn such that (2. The linearity of this functional is left as an exercise. For complex series we can work with the real and imaginary parts as in Lemma 14 This is a pretty ﬁne example of measureintegration reasoning. A countable union of sets of measure zero has measure zero. Namely. n (j) fn (x) = +∞}.97) k fk ≥ 0. If one is needed.98) deﬁned by setting (2. THE LEBESGUE INTEGRAL This then implies that (2. So. The trick is to ﬁrst ‘improve’ the fn .80) so (2. . By the deﬁnition above. The data here gives us a countable collection Ej . fn . Proof. Namely. Thus the Proposition is proved for real series. if f is actually a step function then the sequence f1 = f. the divergence in (2. This is half of what we want. The idea is to look for one series of step functions which is absolutely summable (j) and which diverges absolutely on each Ej .56 2.102) is a property of the ‘tail’ – it persists if we toss .
The absolute convergence means that for each j we can choose an Nj such that (2. the double sum (of integrals of absolute values) is absolutely convergent. THE SEMINORM f  57 out any ﬁnite number of terms. Now. So in some sense the deﬁnition of the Lebesgue integral ‘involves no cancellations’. I will use the term ‘model function’ to stand for ‘element of Cc (R) if you are following the 2011 treatment.105) k hk (x) = +∞ if n (j) fn (x) = +∞ for any j since the second sum is contained in the ﬁrst.10. Proposition 21. If we relabel this (j) new sequence as fn again. If f ∈ L1 (R) then f  ∈ L1 (R) and if fn is an absolutely summable series of model functions (meaning elements of Cc (R) or step function depending on where you are coming from) converging to f almost everywhere (that is.106) N →∞  k=1 fk  =⇒  n f ≤ f  and n→∞ lim f − j=1 fj  = 0. (j) Thus. let hk be the fn ordered in some reasonable way – say by working along each row j + n = p in turn – in fact any enumeration of the double sequence will work. There are various extensions of the integral which do exploit cancellations – I invite you to look into the deﬁnition of the Henstock integral (and its relatives). Thus k hk (x) diverges at each point of each Ej . Moreover the pointwise series (2. it means ‘step function’ if you are following the previous approach.103) n≥Nj (j) fn  < 2−j ∀ j. By now the structure of the proofs should be getting somewhat routine – but I will go on to the point that I hope it all becomes clear! The next thing we want to show is that the putative norm on L1 does make sense. because of (2. on the complement of a set of measure zero) then N f  = lim (2. so the union has measure zero.104) n (j) fn  ≤ 2−j ∀ j =⇒ j n (j) fn  < ∞.104). This is an absolutely summable series. (j) Now. then we still have (2. . simply throw away the all the terms in fn before n = Nj . 10.102) but in addition we have not only absolute summability but also (2. The seminorm f  This is the ﬁrst section where the new (as in Spring 2011) and old treatments come together.
gk  ≤ k k fk  < ∞ so the gk ’s do indeed form an absolutely summable series.110) Thus (2. Namely replace gk by gk (x) if n = 3k − 2 (2. is that {gj } is an absolutely summable series of model functions.113) hn (x) = fk (x) if n = 3k − 1 −fk (x) if n = 3k. From its construction we know that N N (2. So. gk (x) < ∞ may be larger k So. for a start.109) k=1 gk (x) =  j=1 fj (x) → f (x) if j fj (x) < ∞. We need to make such a series for f . This series converges absolutely if and only if both the gk (x) and fk (x) series converge – the convergence of the latter implies the convergence of the former so (2. (2.58 2. The triangle inequality in the ‘reverse’ form v − w ≤ v − w shows that. On the other hand when this holds. So. g1 (x) = f1 (x).111) gk (x) =  j=1 fj (x) −  j=1 fj (x) ≤ fk (x).108) Then. N N (2.107) j=1 fj (x) → f (x) if j fj (x) < ∞. The idea in this case is not too surprising – we know that n (2. THE LEBESGUE INTEGRAL Proof. for sure. of a summable series of modle functions.114) n hn (x) < ∞ ⇐⇒ k fk (x) < ∞. By deﬁnition if f ∈ L1 (R) then it is the limit. we have actually handled this earlier but we can simply make the series converge less rapidly by adding a ‘pointless’ subseries. gk (x) =  j=1 fj (x) −  j=1 fj (x) ∀ x ∈ R. for k > 1. this is what we want except that the set on which than the set for which we have convergence here.115) n hn (x) = f (x) . set k k−1 (2. what we need to check. {fn }. on the set of absolute convergence. Now.112) k=1 gk (x) =  j=1 fj (x) → f (x) if n fn (x) < ∞. k k−1 (2.
and so is f  and from (2.119) then (2. n fn (x) = ∞}. the vanishing of implies that f is a null function in the sense that (2.116) f − k=1 fk  ≤ k=n+1 fk  → 0 as n → ∞. fn .121) (2. Thus the null function f ∈ L1 (R). there exists an absolutely summable series of model functions. if (2. when does f  = 0? One way is fairly easy. n as an absolutely summable series approximating f − j=1 fj and observing that the integral is bounded by n ∞ (2. n gn (x) = 0 whenever since the latter condition is equivalent to n fn (x) < ∞. vanishes. 11.118) E ⊂ {x ∈ R. the next thing we want to know is when the ‘norm’. by the deﬁnition of a set of measure zero. on L1 (R). Null functions Now. That is. the second part by comparing the integral of the series term by term and the third part by applying the same arguments to the seris {fk }k>n .115) holds whenever the series converges absolutely.11.106) follows from the deﬁnition of the integral applied to f  and this series. if we consider the alternating series (2.117) f (x) = 0 ∀ x ∈ R \ E where E is of measure zero. which is in fact only a seminorm. For an integrable function f ∈ L1 (R). Note that it is possible that the absolute series here diverges on a larger set than E.120) n gn (x) = fk (x) −fk (x) if n = 2k − 1 if n = 2k gn (x) < ∞. that the vanishing of f  implies that f is null. f  = 0. Still. if f is null in the sense of (2.117) then. Conversely. (2. So in fact gn (x) = 0 n (2. Since fn (x) → 0. or this with fn (x) added.122) f  = k gk = lim k→∞ fk = 0 .121) n gn (x) < ∞ =⇒ f (x) = because of (2. This I will prove using the next Proposition. Then the ﬁrst part of (2. The main part of this is the ﬁrst part.117) holds then f ∈ L1 (R) and f  Proof. NULL FUNCTIONS 59 since each partial sum is either a sum for gk .118). The full result we are after is:Proposition 22. The converse is the easier direction in the sense that we have already done it. such that (2. Namely. so indeed f  ∈ L1 (R).
this double series is not absolutely summable. The proof is very like the proof of completeness of the ‘completion’ of a normed space outlined in the preceding chapter.124) then f ∈ L1 (R).123) E = {x ∈ R.129) j fn. f= n n f (x) = n fn (x) ∀ x ∈ R \ E fn . .j (x) over both n and j. so there exists an absolutely summable series of model functions fn.126).j (x).j and we have in addition the estimate (2.j (x). we replace the series fn.j  < 2−n . n fn (x) = ∞} has measure zero and if f : R −→ C and (2. For the converse argument we will use the following result. which is also closely related to the completeness of L1 (R).j  ≤ fn  + 2−n+1 ∀ n.128) fn. So in fact we can simply replace fn. in the sense that fn  < ∞ then n (2. n→∞ lim f − j=1 fj  = 0.j  < ∞ and j (2. THE LEBESGUE INTEGRAL where the last statement follows from the absolute summability. Thus. Having done this. This is possible by the assumed absolute summability – so the tail of the series is small.Nn +j−1 (x) ∀ j ≥ 2.j by fn. here it is a little more concrete. We can expect f (x) to be given by the sum of the fn.127) j>Nn fn. so fn.  j=1 n (2. Of course this makes no sense without the original deﬁnition. fn.125)  f ≤ f  = lim n→∞ fj  ≤ j fj . but in general.j .126) j fn. Proof. If fn ∈ L1 (R) is an absolutely summable series. However we can make it so.j (x) = fn. Simply choose Nn for each n so that (2. Proposition 23. by assumption each fn ∈ L1 (R).j (x) < ∞ =⇒ fn (x) = j fn. This still converges to fn on the same set as in (2.60 2.1 = j≤Nn fn.j by (2. So this basically says we can replace ‘model function’ by ‘integrable function’ in the deﬁnition (whichever one you started with) and get the same result.
by deﬁnition. now dropping the primes from the notation and using the new series as fn. THE SPACE L1 (R) 61 This follows from the triangle inequality since.j  ≥ fn.j  ≤ n ( fn  + 2−n+1 ) < ∞. . (2. So.123).1  − 2−n and the left side converges to fn  by (2.129).131) k=1 gk  ≤ n. using the freedom to rearrange absolutely convergent series we see that (2. The space L1 (R) deﬁned by (2.j – say be the standard diagonalization procedure. Using (2.134) and to check that L1 (R) = L1 (R)/N .132) and shows that f ∈ L1 (R) as well as (2.j (x) < ∞ =⇒ f (x) = k gk (x) = n j fn. This new series still coverges to f by (2. The ﬁnal result (2. 12.1  − j≥2 fn. f (x) = 0} has measure zero which is what we wanted to show to ﬁnally complete the proof of Proposition 22.125) also follows by rearranging the double series for the integral (which is also absolutely convergent). of this. (2.j fn. The space L1 (R) Finally this allows us to deﬁne the standard Lebesgue space (2. f ∈ L1 (R). That is.127) again gives (2.127). Clearly it diverges whenever f (x) = 0.133) f  = 0 =⇒ {x. If necessary.134) is a Banach space in which the model functions are a dense subspace. It is rather shocking but this allows us to prove the rest of Proposition 22! Namely. N (2. take another absolutely summable series of model functions hk which diverges on E (at least) and inserting hk and −hk between successive gk ’s as before. using (2.130) fn. For the moment we only need the weakest part.106) as N → ∞. This is absolutely summable since all the integrals are zero.135) [f ] = f + N .132) n. for any absolutely summable series of integrable functions the absolute pointwise series converges oﬀ a set of measure zero – can only diverge on a set of measure zero.1 + j=2 fn. The set where (2. Theorem 7. Then Proposition 23 applies to the series with each term being f .132) fails is a set of measure zero. N = {null functions} f  is indeed a norm on this space.j we can let gk be some enumeration of the fn.j fn. So it must converge pointwise except on a set of measure zero. This gives a new series of model functions which is absolutely summable since N (2. Now. suppose f ∈ L1 (R) and f  = 0.123). but it really does not matter.12.j (x).j  ≥ fn. The elements of L1 (R) are equivalence classes of functions (2.
Namely. which is to say they are equal oﬀ a set of measure zero. [f is indeed a norm. Note that despite the fact that it is technically incorrect. Fatou’s Lemma and Lebesgue’s Dominated Convergence theorem. Lemma 15 (Montonicity). Then.124) to deﬁne f of the set E and take it to be zero on E. If fj ∈ L1 (R) is a monotone sequence. only f ∈ N . In the usual approach through measure one has the concept of a measureable. The integral of the absolute value. nonnegative. lim fj (x) is ﬁnite} = R \ E j→∞ where E has measure zero and f = lim fj (x) a. is an element of L1 (R) j→∞ (2. and fj is bounded then (2. THE LEBESGUE INTEGRAL That is. either fj (x) ≥ fj+1 (x) for all x ∈ R and all j or fj (x) ≤ fj+1 (x) for all x ∈ R and all j. The completeness of L1 (R) is a direct consequence of Proposition 23. or rather you could).125) means precisely that (2. we ‘identify’ two elements of L1 (R) if (and only if) their diﬀerence is null. Proof. Note that the set which is ignored here is not ﬁxed. f  is a seminorm on L1 (R) – it satisﬁes all the properties of a norm except that f  = 0 does not imply f = 0. Not much harm can come from this mild abuse of language.138) {x ∈ R.136) [f ] L1 = f . function for which the integral ‘exists but is inﬁnite’ – we do not have this (but we could easily do it. Using this one can drop the assumption about the ﬁniteness of the integral but the result is not signiﬁcantly stronger.139) with f = lim j→∞ fj and lim j→∞ f − fj  = 0. we showed earlier that to show a normed space is complete it is enough to check that any absolutely summable series converges.137) n→∞ lim [f ] − [fj ] j<n L1 = lim n→∞ f − j<n fj  = 0 shows the desired completeness. if [fj ] is an absolutely summable series in L1 (R) then fj is absolutely summable in L1 (R) and by Proposition 23 the sum of the series exists so we can use (2. f ∈ L1 (R) and the last part of (2. For an element of L1 (R) the integral of the absolute value is welldeﬁned by Proposition 18 (2. 13.e. It follows that on the quotient. Namely. . but can depend on the functions. The three integration theorems There are three standard results on convergence of sequences of integrable functions which are powerful enough to cover most situations that arise in practice – a Monotonicity Lemma.62 2. everyone says ‘L1 (R) is the space of Lebesgue integrable functions’ even though it is really the space of equivalence classes of these functions modulo equality almost everywhere.
Moreover. g) = −f − g + f + g. as n increases.140) j≥2 gj  = j≥2 gj = lim n→∞ fn − f1 converges. that the limit. You should recall that the max and min of two realvalued integrable functions is integrable and that (2. You should remind yourself of the properties of lim inf as necessary! Fix k and consider (2.e. Turning the sequence into a series. p≥k gk ≤ fn ∀ n ≥ k. being bounded.. converges. THE THREE INTEGRATION THEOREMS 63 Proof. to Fatou’s Lemma. .n are nonnegative so Lemma 15 applies and shows that (2. corresponding to convergence for the equivalence classes in L1 (R) follows from the fact established earlier about f  but here it also follows from the monotonicity since f (x) ≥ fj (x) a.141) f= j gj = lim n→∞ fj . Let fj ∈ L1 (R) be a sequence of realvalued integrable and nonnegative functions such that fj is bounded above then f (x) = lim inf fn (x) exists a. is integrable and that (2. Now. This really just takes the monotonicity result and applies it to a sequence of integrable functions with bounded integral. The sequence of integrals is therefore also montonic increasing and. g) = f − g + f + g. We therefore know from Proposition 23 that it converges absolutely a. g) ≤ min( f. So this is indeed an absolutely summable series. Proof.. f. g). by setting g1 = f1 and gj = fj − fj−1 for j ≥ 1 the gj are nonnegative for j ≥ 1 and (2.146) Fk. Since we can change the sign of the fi it suﬃces to assume that the fi are monotonically increasing. 2 min(f.e. This follows from the identities (2.147) gk (x) = inf fp (x) ∈ L1 (R). this is a decreasing sequence. because the minimum is over an increasing set of functions.142) f − fj  = f− fj → 0 as j → ∞. As discussed above this is integrable. The second part. Furthermore the Fk. so (2. Lemma 16 (Fatou). f ∈ L1 (R) and n→∞ (2.e.144) 2 max(f.145) lim inf fn = f ≤ lim inf fn .13.n = k≤p≤k+n min fp (x) ∈ L1 (R).143) min(f.
we can assume that the fj are real since the hypotheses hold for the real and imaginary parts of the sequence and together give the desired result. f = limn→∞ fn (including the assertion that this limit Proof. Notice the change on the right from liminf to limsup because of the sign.147) is over a set which decreases as k increases.152) and (2. Now. since (2. to h − f we know that h − f (x) = lim inf gj (x) a. Thus Fatou’s Lemma applies to the gj .150) does not hold. Thus in fact. we can change all the fj ’s to make them zero on the set on which the estimate in (2. Moroever.e. so gj ≤ 2 h. n→∞ then f ∈ L1 (R) and exists). to h(x) + f (x) so this time we conclude that (2.148) since we assumed a bound on the fn ’s.150) also implies that fj  ≤ h. THE LEBESGUE INTEGRAL Note that for a decreasing sequence of nonnegative numbers the limit exists everywhere and is indeed the inﬁmum. we apply Fatou’s Lemma to prove what we are really after:Theorem 8 (Dominated convergence).64 2. First. Since f (x) = lim inf fn (x).154) lim sup fj ≤ f ≤ lim inf fj . Now we can apply the same argument to gj (x) = h(x) + fj (x) since this is also nonnegative and has integrals bounded above.152) h− f ≤ lim inf (h − fj ) = h − lim sup fj . h and combining them .e. In both inequalities (2. we can apply the monotonicity result again to see that f (x) = lim gk (x) exists a. Thus the gk (x) are increasing. and f (x) = lim fj (x) exists a. So.e and f ∈ L1 (R) has k→∞ (2. Now.e. let k vary.148) gk ≤ lim inf fn ∀ k. and (2.e. we have proved the Lemma.153) we can cancel an we ﬁnd (2.149) f ≤ lim inf fn . Since we have assumed that the sequence gj (x) converges a.153) h+ f ≤ lim inf (h + fj ) = h + lim inf fj . the inﬁmum in (2.e.151) −h(x) ≤ fj (x) ≤ h(x) ∀ x ∈ R. The integrals of this sequence are bounded above in view of (2. In particular this means that gj = h − fj is a nonnegative sequence of integrable functions and the sequence of integrals is also bounded.150) ∃ h ∈ L1 (R) with fj (x) ≤ h(x) a. Suppose fj ∈ L1 (R) is a sequence of integrable functions such that (2. Then. (2. Then this bound on the fj ’s becomes (2. by deﬁnition of the latter. This converges a.
Then (2.) for some F ∈ L1 (R) and (2.Now fj ∈ L1 (R) (or representatives in L1 (R)) such that fj  ≤ F (a. in L1 (R). it is very handy. and the latter from the Monotonicity lemma. in L1 and f = limj fj . Thus convergence in the mean implies convergence almost everywhere (and dominated) along a subsequence (of any subsequence). Notions of convergence (2011) This might be a good point to clarify the diﬀerent notions of convergence we are dealing with. Nor conversely does 2 imply 1 even if we assume that all the fj and f are in L1 (R). So. (2. This however implies that they are equal and that the sequence fj converges. Conversely. or equal to.e.14. a sequence (of integrable functions) which converges in the mean is necessarily Cauchy in the mean. Thus indeed (2. you might say that Lebesgue’s theorem is the weakest of the three! However. one important point to know is that 1 does not imply 2. Again fn ∈ L1 (R) n now such that fn = j=1 gj where gj ∈ L1 (R) and j gj  < ∞. i. Namely convergence almost everywhere and convergence in the mean where the latter means precisely convergence with respect to the norm in L1 . (4) What we might call ‘absolutely summable convergence’. If fj ∈ L1 (R) are real valued and montonic with fj bounded then fj → f almost everywhere. Generally in applications it is Lebesgue’s dominated convergence which is used to prove that some function is integrable. (3) Dominated convergence:.155) f = lim n→∞ fn . Monotone convergence implies convergence with absolute summability simply by taking the sequence to have ﬁrst term f1 and subsequence terms fj − fj−1 (assuming that . Namely if f is the limit then fj  ≤ f  and fj → f almost everywhere.157) fn (x) → f (x) as n → ∞ for x ∈ R \ E where E ⊂ R is of measure zero. since we deduced it from Fatou’s lemma. Of course. In fact neither of these implies the other. Lebesgue’s theorem on dominated convergence gives one connection between them – if one has convergence almost everywhere and the sequence is dominated by one integrable function then it converges in the mean.157) holds. Montone convergence implies Dominated convergence. We have been dealing with two basic notions of convergence. the liminf on the right.157) holds for some f. Also. (5) Monotone convergence. for the same real sequence.For some sequence of functions fn and function f.156) f − fn L1 → 0 as n → ∞.e. and has a subsequence which is the sequence of partial sums of an absolutely summable series. NOTIONS OF CONVERGENCE (2011) 65 In particular the limsup on the left is smaller than. Here are four:(1) Convergence of a sequence in L1 (R) (or by slight abuse of language in L1 (R)) – f and fn ∈ L1 (R) and (2. 14. However. (2) Convergence almost every where:.
Definition 9. by montone convergence the series fn (x) converges a. following the same path as for L1 (R) but now with a little more machinery to work with! The result will be a Hilbert space.158) f 2 L2 = R f 2 = lim R→∞ f (x)2 dx −R where the integral is a Riemann integral.159)  R f g ≤ f L2 g L2 . Similarly absolutely summable convergence implies dominated convergence for the sequence of partial sums. The space L2 (R) consists of those functions f : R −→ C such that there exists a sequence Fj ∈ Cc (R) which comes from an absolutely ‘square summable’ in the sense that ∞ (2. j→∞ In particular the sequence in (2. The space L2 (R) (2011) So far we have discussed the Banach space L1 (R). THE LEBESGUE INTEGRAL fj is monotonic increasing) one gets an absolutely summable series with sequence of ﬁnite sums converging to f. here the appropriate norm is given by R (2. So. Given our experience up to this point I will ‘telescope’ the deﬁnition. Namely if f. It is straightforward to check that Cc (R) with the inner product (2. This can be approached in several ways. The real aim is to get a good hold on the (Hilbert) space L2 (R). Here I will proceed in close parallel to what has been done above to get L1 as a completion of Cc (R) with respect to the appropriate norm.162) f (x) = lim Fj (x) on R \ E. and in L1 to some function F which dominates n the partial sums which in turn converge pointwise. the initial deﬁnition has the same ‘tricky’ structure as the deﬁnition of L1 (R) but we will arrive at a useful sensible characterization below. Of course we can set f1 = F1 and fn = Fn − Fn−1 for n > 1 and recover our earlier form of absolute summability (now with respect .160) (f.161) n=2 Fn − Fn−1 L2 <∞ and such that (2. So. g) = fg is a preHilbert space and hence a normed space with the norm being precisely the L2 norm. 15.66 2. At this point you should read Section 1 of the next chapter. g ∈ Cc (R) then (2.e.162) must converge oﬀ a set of measure zero for the statement to make sense. To check that this really is a norm we use the CauchySchwarz inequality. The objective then is to give a concrete completion of this. E of measure zero.
15. THE SPACE L2 (R) (2011)
67
to the L2 norm): fj ∈ Cc (R), (2.163) f (x) =
j j
fj
L2
<∞
fj (x) a.e.
It is also convenient to deﬁne another space Definition 10. A function f : R −→ C is in L1 (R) if for each r > 0 loc (2.164) is in L1 (R). Note that you should be now be used to the fact that this absolute (square in this case) summability just means that the sequence of partial sums, Fn (x) =
n
f (r) (x) =
f (x) 0
if x ≤ r if x > r
fj (x) is Cauchy in Cc (R) with respect to the L2 norm and in a uniform sense,
j=1
namely that (2.165) Fn − Fn−1
n
L2
< ∞ =⇒ if q > p,
Fp − Fq
L2
≤
j≥p
fj
L2
→ 0 as p → ∞.
So we proceed to examine the properties that follow from this deﬁnition and our work to date. This is to some extent ‘revision’ of the treatment of L1 (R). Theorem 9. The space L2 (R) is linear and (1) If f ∈ L2 (R) then f , f , Re f, (Re f )+ are in L2 (R). (2) If f ∈ L2 (R) then f 2 ∈ L1 (R) and f 2 2 = f 2 is a seminorm on L L2 (R) with null space N the space of null functions (vanishing oﬀ some set of measure zero). (3) If f ∈ L2 (R) then f ∈ L1 (R). loc (4) If f, g ∈ L2 (R) then f g ∈ L1 (R) and (2.159) holds. (5) The space L2 (R) = L2 (R)/N is a Banach space (and in fact a Hilbert space) with the norm · L2 . (6) If f ∈ L1 (R) and f 2 ∈ L1 (R) then f ∈ L2 (R). loc Proof. So, the objective here is not to work too hard. The linearity of L2 (R) follows as for L1 (R). Namely the zero function is in 2 L (R) and if c ∈ C and f ∈ L2 (R) has approximating sequence as in the deﬁnition then cfj is an approximating sequence for cf. If g ∈ L2 (R) is another element with approximating sequence gj then take the sequence with alternating fj and gj . It is absolutely summable and converges to f (x) + g(x) where the two sequences converge to f (x) and g(x) respectively, which is to say oﬀ a set of measure zero. Similarly if f ∈ L2 (R) has approximating sequence fj then
j k−1
(2.166)
g1 = f1 (x), gj (x) = 
k=1
fk (x) − 
k=1
fk (x)
is a sequence in Cc (R) which converges to f (x) when (2.162) holds. So, it is enough to show that it is absolutely summable but this follows from the triangle inequality
68
2. THE LEBESGUE INTEGRAL
since
j k−1
(2.167)
gj
L2
= 
k=1
fk (x) − 
k=1
fk (x)
L2
≤ fj
L2 ,
j ≥ 2.
That Re f, Im f and hence f are in L2 (R) follows by taking the appropriate sequences and (Re f )+ = 1 (Re f +  Re f ). 2 Now, if f ∈ L2 (R) and fj is an absolutely summable approximating sequence
j
consider the sequence of partial sums Fj (x) =
k=1
fk (x) ∈ C(R) and then set
gj (x) = Fj (x) ≤
k≤j
fk (x) so also, gj − gj−1  ≤ fj . Expanding out the norm
using the CauchySchwarz inequality and using the triangle inequality on the second factor
2 2 gj − gj−1 
= (2.168)
gj − gj−1 (gj + gj−1 ) ≤ gj − gj−1
j
L2
gj + gj−1
L2
≤ 2 fj =⇒
L2 ( k=1
fk
L2
≤ C fj L2
g1 2 +
j≥2
2 2 gj − gj−1  < ∞,
where the constant in the second last line comes from the absolute summability in 2 L2 . So, detelescoping as usual, the sequence gj = Fj 2 is the sequence of partial 2 sums of an absolutely summable series, namely with ﬁrst term g1 and subsequent 2 2 1 terms gj − gj−1 , with respect to the L norm. Thus, essentially from the deﬁnition of L1 (R), the limit (2.169) f (x)2 = lim Fj (x)2 a.e.
j→∞
is an element of L1 (R) as claimed. Moreover, (2.170) f 2 = lim Fj 2
j→∞ L1
exists
and satisﬁes at least the ﬁrst conditions of a seminorm – weak positivity and homogeneity. We still need to check the triangle inequality. In fact if f, g ∈ L2 (R) and fj , gj are approximating sequences then fj + gj is an approximating sequence for f + g – by the triangle inequaltiy on C(R) it is absolutely summable in L2 and the series converges to f (x) + g(x) a.e. Thus f + g2 = lim Fj + Gj 2 (2.171)
j→∞ j→∞ L2 L1
= lim Fj + Gj
j→∞ L2
2 L2
≤ lim ( Fj
+ Gj
L2 )
2
=( f
+ g
2 L2 )
so the triangle inequality does hold and
·
L2
is a seminorm on L2 (R).
15. THE SPACE L2 (R) (2011)
69
Next take r > 0 and for an absolutely summable series in L2 consider the cutoﬀ series with nth term (2.172)
(r) fn (x) =
fn (x) 0
if x ≤ r if x > r
just as in (2.164). This is certainly a sequence of integrable functions (maybe not continuous since they might jump at the ends of the interval). Moreover (2.173) fj
(r) L2
≤ fj
L2
so the cutoﬀ series is absolutely summable in L2 . In fact it is absolutely summable in L1 by an application of the CauchySchwarz inequality: (2.174) fj (x) =
(r) r −r
fj  ≤ (2r) 2 (
−r
1
r
fj 2 ) 2 fj (x) converges almost
j
1
where we expand using fj = fj · 1. Thus the series
everywhere on the interval (−r, r) and to zero outside it, the limit f (r) a.e. is therefore in L1 (R), which is the statement that f ∈ L1 (R). loc Next consider two elements f, g ∈ L2 (R) with corresponding approximating sequences and partial sums Fj , Gj as above. Applying the CauchySchwarz inequality shows that Fj Gj − Fj−1 Gj−1 L1 = Fj Gj − Fj Gj−1 + Fj Gj−1 − Fj−1 Gj−1 L1 (2.175) ≤ Fj L2 Gj − Gj−1 L2 + Gj−1 L2 Fj − Fj−1 L2 . The norms Fj L2 and Gj L2 converge and are therefore bounded, so the sequence Fj Gj is the partial sum of an absolutely summable series in L1 . Thus its limit a.e. is an element of L1 (R), but this is f g. Thus the product is in L1 (R) and the CauchySchwarz inequality extends by continuity to L2 (R), (2.176)  f g = lim 
j→∞
Fj Gj  ≤ lim Fj
j→∞
L2
Gj
L2
= f
L2
g
L2 .
Next to the completeness of L2 (R) = L2 (R)/N to which the seminorm descends as a norm. It suﬃces to show that an absolutely summable series converges. You can do this readily following the double sequence argument used for L1 (R). Instead let me use the last part to prove it. So instead we proceed to prove that (2.177) f ∈ L1 (R) and f 2 ∈ L1 (R) =⇒ f ∈ L2 (R). loc Since it is the only approach available, we need to construct an approximating sequence in Cc (R) which is a absolutely summable with respect to the L2 norm. First we simplify a little by observing that we can assume that f in (2.177) is real and nonnegative. The initial assumption that f ∈ L1 (R) implies , Re f loc f  ∈ L1 (R) (by the properties of L1 (R)). So consider loc 1 (Re f +  Re f ) ∈ L1 (R), loc 2 we would like to see that g 2 ∈ L1 (R) which is not immediately obvious. Still, for any r > 0, g (r) ∈ L1 (R) and so we can take a real sequence Fj ∈ Cc (R) such that Fj → g (r) in L1 and Fj (x) → g (r) (x) almost everywhere (take the partial sums of an absolutely summable series converging to g (r) ). Moreover, we can replace the Fj g = (Re f )+ =
70
2. THE LEBESGUE INTEGRAL
by their positive parts and still get convergence to g (r) a.e. and in L1 (R) (because it is still absolutely summable so converges with respec to the L1 seminorm to its limit a.e.) Now consider the sequence of functions (2.178)
1
hj = min(Fj , f ).
This is a sequence in L (R) – since it vanishes outside some interval (depending on j) and within that interval is the minimum of two L1 functions. Moreover, h2 ∈ j L1 (R) as well, since it has the same properties – using the fact that f 2 ∈ L1 (R). Since g (r) ≤ (Re f )+ ≤ f  wherever Fj (x) → g (r) (x), which is to say a.e., it follows that hj (x) → g (r) (x) as well – since the limit is between 0 and f (x). So it follows that h2 → (g (r) (x))2 on the same set, so a.e., but also hj (x)2  ≤ f 2 ∈ L1 (R). j So Lebesgue’s Theorem of dominated convergence implies that the limit, (g (r) )2 ∈ L1 (R) and that (g (r) )2  ≤ f 2 . Now, let r → ∞; the sequence (g (r) )2 is in L1 (R), is increasing and has bounded norm, so by Monotone convergence its limit, g 2 , is in L1 (R). So this means that in proving (2.177), which is to say (6) in the statement of the theorem, we can assume that f ≥ 0. Since we can then apply the result to (Re f )+ and (Im f )+ and their negative parts – by the same argument applied to −if etc. Then the result follows for f is a linear combination of these. Now, what we have gained is positivity, then the fact that f 2 ∈ L1 (R) alone does indeed imply that f ∈ L2 (R). We can see this by choosing an approximating, absolutely summable (in L1 norm), sequence fj ∈ Cc (R) with sequence of partial sums, Fj , converging to f 2 a.e.; then Fj − f 2  → 0 as well. The absolute summability with respect to L1 implies that H(x) = fj (x) ∈ L1 (R) so
j
the convergence is also dominated, Fj (x) ≤ H(x). Now, replace the Fj by their positive parts. Since the a.e. limit, f 2 , is nonnegative this new sequence still converges a.e. to f 2 and it is still dominated, so (Fj )+ − f 2  → 0 by Lebesgue’s theorem again. Thus we can assume that Fj ≥ 0 – this is still a sequence in 1 Cc (R). Finally consider hj (x) = (Fj (x)) 2 which is also a sequence in Cc (R). It con1 verges a.e. to f (x) = (f 2 (x)) 2 (always taking positve squareroots of course). Thus hj (x) − f (x)2 → 0 a.e. and (2.179) hj (x) − f (x)2 ≤ 2h2 (x) + 2f 2 (x) ≤ 2H(x) + 2f 2 (x) j
is bounded by a ﬁxed function in L1 (R). Thus in fact hj −f L2 → 0 by Dominated Convergence. From this in turn it follows that hj is Cauchy with respect to the L2 seminorm (it is converging with respect to it) and hence if we pass to a suﬃciently sparse subsequence we can arrange that (2.180) hj+1 − hj
L2
≤ 2−j .
This gives (after detelescoping) an absolutely square summable series in Cc (R), i.e. summable with respect to the L2 norm, which converges a.e. to f. Thus, f ∈ L2 (R) which is what we wanted to show. So, we have proved everything in Theorem 9 except perhaps completeness. However, if gk is now a sequence in L2 (R) which is absolutely summable with respect to the L2 norm then the limit of the sequence or partial sums, Gk exists almost everywhere – since the sequence is absolutely summable with respect to L1 on [−r, r]. This limit f ∈ L1 (R) and f 2 ∈ L1 (R) is the limit of Gj 2 in L1 (R) loc
we have shown that (6) in the Theorem is an equivalent deﬁnition of L2 (R).e. is an integrable function by the Monotonicity Lemma above – it is increasing with bounded integral. f (x) > R (2. f (x) ≤ R −R if x ≤ R. The absolute summability means that fj  is also an absolutely summable series. loc Proof.. we know that there is an absolutely summable sequence of model functions. denoted g.N ] ∈ L1 (R) ∀ N. with sum converging a. Namely. The spaces Lp (R) First.R] .e.R] . Fn  ≤ g and we are in the setting of Dominated convergence – except of course we already know that the limit is in L1 (R)... which we use below. The locally integrable functions form a linear space. Now. Thus f : R −→ C is locally integrable if (2. f (x) < −R. f (R) ∈ L1 (R) since cutting oﬀ outside [−R. to f (R) . If we go back to the deﬁnition of L1 (R) but use the insight we have gained from there. For a complex function apply this separately to the real and imaginary parts.183) Fn → f (R) a.e. THE SPACES Lp (R) 71 from the argument above. For later purposes we really only need L2 (R) but you might want to read about Lp (R) as further mental exercise! 16. we deﬁne locally integrable functions. and its generalization. comes from cutting oﬀ elements of L1 (R).184) (R) (R) Fn p → f (R) p a. we can replace Fn by the sequence of (R) cutoﬀ model functions Fn without changing the convergence a.182) f (R) (x) = f (x) if x ≤ R.e. What are some examples of elements of Lp (R)? One class. Follows from the linearity of L1 (R). which is So. However. is what is used as the deﬁnition in the section on Lp below. or the bound. 0 x if x > N For example any continuous function on R is locally integrable.e. fj .16. So in fact f ∈ L2 (R) and Gk − f what we want.181) F[−N. and hence its sum a. Definition 11. L1 (R). Now. This. The space Lp (R) for any 1 < p < ∞ consists of those functions in L1 such that f p ∈ L1 (R). loc It is important to note that f p ∈ L1 (R) is not. Thus if we let Fn be the partial sum of the series (2. R] gives an integrable function and then we are taking min and max successively with ±Rχ[−R. on its own. N ] =⇒ F[−N. we can cut oﬀ outside [−R. R] loc and for a real function we can cut oﬀ ‘at height R’ (it doesn’t have to be the same R but I am saving letters) if x > R 0 R if x ≤ R. Fn p ≤ Rp χ[−R.N ] = f (x) x ∈ [−N. L2 → 0. Lemma 17. enough to show that f ∈ Lp (R) – it does not in general imply the local integrability of f. (2.
f (R) ∈ Lp (R). and bounded by R on [−R. if f and g are in Lp (R) then f (R) and g (R) are in Lp (R) for any R > 0. For general elements f. Proof. letting R → ∞ we see that (2. g (R) p and f (R) + g (R) p = lim sn + tn p . and Lp (R) = Lp (R)/N is a Banach space in which the model functions include as a dense subspace. f + g ∈ Lp (R). f (R) p = lim sn p . g f +g Lp n Lp = j=1 di p (bi − ai ) .e. First we need to check the linearity of Lp (R). Namely. Theorem 10. Then however.182). Now. Thus 1 1 p p n n f (2. so the same is true of the sum. In fact we can deduce if from the ﬁnite form. g ∈ Lp (R) we can use the approximation by step functions in Lemma 18. for two step functions f and g we can always ﬁnd a ﬁnite collection of intervals on which they are both constant and outside which they both vanish. We can encapsulate this in a lemma:Lemma 18. Thus indeed. Thus. If f ∈ L1 (R) then with the deﬁnition from (2.187) Lp = j=1 ci p (bi − ai ) .188) f +g Lp = i ci + di  p ≤ f Lp + g Lp which is the integral form for step functions. Thus for any R.72 2. Clearly λf ∈ Lp (R) if f ∈ Lp (R) and λ ∈ C so we only need consider the sum. we can use Lemma 18. R] so by Dominated Convergence. the approximation by model functions in the Lemma shows that f (R) + g (R) ∈ Lp (R) since it is in L1 (R) and f (R) + g (R) p ∈ L1 (R) by dominated convergence (the model functions being bounded).e. 1 Absorbing the lengths into the constants. by setting ci = ci (bi − ai ) p and di = 1 di (bi − ai ) p . THE LEBESGUE INTEGRAL and we see that f (R)  ∈ Lp (R) by Lebesgue Dominated convergence. Now. Minkowski’s inequality now gives 1 p (2.R] . f Lp is a norm on the step functions. there exist sequences of step functions sn → f (R) . loc 1 ≤ p < ∞ and there exists a sequence sn of model functions converging a. The spaces Lp (R) are linear. That f Lp is a seminorm on Lp (R) is an integral form of Minkowski’s inequality. 1 p = j=1 ci + di p (bi − ai ) .185) f Lp = f p is a seminorm on it with null space N . tn → g (R) a. Thus . the function 1/p (2. the space of null functions on R.186) f (R) (x) + g (R) (x) → f (x) + g(x) ∀ x ∈ R f (R) + g (R) p ≤ f (R)  + g (R) p ≤ 2p (f p + gp ) so by Dominated Convergence. to f (R) with sn  ≤ Rχ[−R.
193) f p ∈ L1 (R). independent of p. The limit.16. . we can suppose fn ∈ Lp (R) have (2. Thus. of this series is therefore f − Fn p → 0 as n → ∞ n in L1 (R).R] for some ﬁxed R > 0. Since Fn p ≤ h and Fn p → f p a. it follows by Dominated convergence that (2. only the comleteness of Lp (R) remains to be checked and we know this is equivalent to the convergence of any absolutely summable series. + = 1 =⇒ f g ∈ L1 (R) and  p q f g ≤ f Lp  g Lq which can be proved by the same approximation argument as above. THE SPACES Lp (R) 73 the triangle inequality holds for f (R) and g (R) . is clear since f ∈ N ⇐⇒ f p ∈ N . Applying the same reasoning to f − Fn which is the sum of the series starting at term n + 1 gives the norm convergence: (2. to a function h ∈ L1 (R).190) gn L1 ≤ (2R) q fn 1 Lp by the integral form of H¨lder’s inequality o (2. Then the space of functions with f p = 0 is again just N . It follows that the series fn (x) converges absolutely almost everyn where – since it is just n gn (x) on [−R. The fact that Lp (R) = Lp (R)/N is a normed space follows from the earlier general discussion. so by the Monotonicity Lemma it converges a. ≤ k fk Lp . see Problem 20. By Minkowski’s inequality we know that hn = ( k=1 fk )p has bounded L1 norm. f p 1 p L1 ≤ n fn Lp and hence f ∈ Lp (R). This is in L1 (R) and (2.192) hn  1 p n L1 = k=1 fk  Lp . or as in the proof above for L1 (R).e. we only need show that f ∈ Lp (R) and that n where Fn = k=1 fk . R]. g ∈ Lq (R). hn is an increasing sequence of functions in L1 (R) with bounded integral.189) n fn  p 1 p < ∞.191) 1 1 f ∈ Lp (R). f.194) f − Fn Lp ≤ k>n fk Lp → 0 as n → ∞. since (2. So.e. The other conditions for a seminorm are clear. loc So. Thus the series gn is absolutely summable in L1 and so converges absolutely almost everywhere. So. Consider the sequence gn = fn χ[−R. Then again applying dominated convergence as R → ∞ gives the general case.
χB ). countable unions and countable intersections. including ∅ and R which is closed under complements.74 2. Thus by the monotonicity lemma the limit is integrable so χB is locally integrable and hence n An is measurable. A set A ⊂ R is measurable if its characteristic function χA is locally integrable. M. One of the standard approaches to Lebesgue integration is to ‘complete’ the space of simple functions with respect to the integral. Functions which are the ﬁnite sums of constant multiples of the characteristic functions of measurable sets of ﬁnite measure are called ‘simple functions’ and behave rather like out step functions. Some things to check:Proposition 24.) Now. χB ).195) µ(A) = χA is the Lebesgue measure of A. by 2N.198) fn = χ[−N. with the sequence of characteristic functions decreasing. The ﬁrst part follows from the fact that the constant function 1 is locally integrable and hence χR\A = 1 − χA is locally integrable if and only if χA is locally integrable. Proof. For countable intersections the argument is similar. Lebesgue measure In case anyone is interested in how to deﬁne Lebesgue measure from where we are now we can just use the integral. If A is measurable but not of ﬁnite measure then µ(A) = ∞ by deﬁnition. The complement of a measurable set is measurable and any countable union or countable intersection of measurable sets is measurable. semiopen or closed) and has ﬁnite measure if and only if it is bounded – then the measure is b − a.N ] is an increasing sequence of integrable functions – assuming that is that the Ak ’s are measurable – with integral bounded above. We know immediately that any interval (a.197) χBn → χB . the complement of . B = n Ak is clearly an increasing An is an increasing sequence which converges pointwise (at each point it jumps to 1 somewhere and then stays or else stays at 0. Corollary 5.N ] χBn → χB∩[−N. χA∩B = min(χA . The (Lebesgue) measurable subsets of R form a collection. ∅. k≤n If we have a sequence of sets An then Bn = sequence of sets and (2. Such a collection of subsets of a set X is called a ‘σalgebra’ – so a σalgebra Σ in a set X is a collection of subsets of X containing X. Notice the relationship between a characteristic function and the set it deﬁnes:(2. A measurable set A has ﬁnite measure if χA ∈ L1 (R) and then (2.N ] then (2. b) is measurable (indeed whether open. of the power set of R. Definition 12. THE LEBESGUE INTEGRAL 17.196) χA∪B = max(χA . if we multiply by χ[−N.
e. x↓a x↓b To pursue this. As for Lebesgue measure a set A ∈ Σ is ‘measurable’ and if µ(A) is not of ﬁnite measure it is said to have inﬁnite measure – for instance R is of inﬁnite measure in this sense. A (positive) measure is usually deﬁned as a map µ : Σ −→ [0. in terms of absolutely summable series with respect to this seminorm. b) ⊂ [A. can be carried over as in Deﬁnition 7. if [a.199) µ( n En ) = n µ(En ) for any sequence {Em } of sets in Σ which are disjoint (in pairs).202) ensures that this can be done in such a way as to make the diﬀerence µ(bi ) − m(ai − i ) < µ([ai . The deﬁnition of a µLebesgueintegrable function (just called µintegrable usually). b)) ≥ µ([A. Then we can deﬁne (2. µ([a. The ﬁrst part has the same proof.199) provided we allow ∞ as a value of the measure. but now consider the covering result Proposition 12. The continuity condition (2. Since the measure of a set is always nonnegative (or undeﬁned if it isn’t measurable) this does not cause any problems and in fact Lebesgue measure is countably additive provided as in (2. Measures on the line Going back to starting point for Lebesgue measure and the Lebesgue integral. of a step function. Still. b)) = lim m(x) − m(b). the ﬁrst thing to check is that the analogue of Proposition 10 holds in this case – namely if [a.201) For open and closed intervals we will expect that (2. For the discussion in this chapter to go through with only minor changes we need to require that (2. Similarly. bi )) + δ2−i .202). i. we do not get Proposition ?? since we might have intervals of µ length zero.200) m : R −→ R is nondecreasing and continuous from below lim x ↑ ym(x) = m(y) ∀ y ∈ R. bi )). It is a good exercise to prove this! 18.203) µ([a. So far we have not used the continuity condition in (2. B)) if A ≤ a and b ≤ B. b) is decomposed into a ﬁnite number of such semiopen intervals by choice of interior points then (2. ∞] with µ(∅) = 0 and such that (2. f dµ is a seminorm. the proof proceeds by making the intervals a little longer at the closed end – to make them open. µ([a. the discussion can be generalized. MEASURES ON THE LINE 75 any element and countable unions and intersections of any element. B). As for the Stieltjes integral this can be given by an increasing (meaning of course nondecreasing) function m : R −→ R. Then we can deﬁne the µintegral. b)) = i µ([ai . b)) = m(b) − m(a). From this it follows that the analogue of Lemma 12 also holds with µ in place of Lebesgue length.202) µ((a. Of course this follows from (2. b]) = m(a) − lim m(x). For the second part. even in the onedimensional case. µ([a. f dµ.201).18. by replacing the measure of an interval by a more general function.
whether open. [Riesz’ other representation theorem] For any f ∈ (C0 (R)) there are four uniquely determined (positive) Radon measures. . . every such positive Radon measure arises this way. THE LEBESGUE INTEGRAL for any δ > 0 by choosing i > 0 small enough. we want – with the advantage of a little more experience – to go back to the beginning and deﬁne L1 (Rn ). x2 . b − ] for this allows the ﬁnite cover result to be applied to see that (2. b). Now. Conversely. . . This covers [a.204) µ(b − ) − µ(a) ≤ i > 0 and µ([ai . The ﬁrst hurdle is that I am not assuming that you have covered the Riemann integral in higher dimensions. So. closed or mixed and all the compact sets. . leasds to a σalgebra Σµ . 4 such that µi (R) < ∞ and (2. Continuous functions are locally µintegrable and if µ(R) < ∞ (which corresponds to a choice of m which is bounded) then f dµ < ∞ for every bounded continuous function which vanishes at inﬁnity. . a proof is outlined in the problems. Then taking the limits as ↓ 0 and δ ↓ 0 gives the ‘outer’ intequality. µi .207) Cc (Rn ) = {u : Rn −→ C. Fortunately we do not reall need that since we can just iterated the onedimensional Riemann integral for continuous functions.205) i µ((ai bi )). K ⊂ (a. xn ) ∈ Rn−1 . i = 1. deﬁne (2. bi )}. . You can check that the resulting countably additive measure is a ‘Radon measure’ in that µ(B) = inf{ (2. From this point the discussion of the µ integral proceeds in the same way with a few minor exceptions – Corollary 3 doesn’t work again because there may be intervals of length zero. Otherwise things proceed pretty smoothly right through. So Proposition 12 carries over. if we hold say the last n−1 variables ﬁxed. bi )) + 2δ for any δ > 0 and > 0. . Theorem 11. L2 (Rn ) and L2 (Rn ).206) f (u) = f dµ1 − f dµ2 + i f dµ3 − i f dµ4 . 19. . . The construction of Lebesgue measure.76 2. we get a continuous function of 1 variable which vanishes when x > R : (2. µ((a. In fact relatively little changes but there are some things that one needs to check a little carefully. as in § 17. L1 (Rn ). K compact}. b)) = sup{µ(K). Higher dimensions (2011) I do not actually plan to cover this in lectures. but put it in here in case someone is interested (which you should be) or if I have time at the end of the course to cover a problem in two or more dimensions (I have the Dirichlet problem in mind). of subsets of R which contains all the intervals. So. . ∀ B ∈ Σµ . . continuous and such that u(x) = 0 for x > R} where of course the R can depend on the element. B ⊂ i (ai . . How hard is this to prove? Well.208) u(·. xn ) ∈ Cc (R) for each (x2 .
211) I1 (y) − I1 (y ) ≤ −R u(x.209) I1 (x2 .. I1 ∈ Cc (Rn−1 ). . The iterated integral (2.213) which satisﬁes (2. y) − u(x. (x2 . R From the standard estimate for the Riemann integral. . This follows from the standard estimate in one dimension. xn ) = R u(x. Certainly if (x2 .. . . xn ) > R then u(·.210) x − x  < δ. . . and hence a total of n times and so deﬁne the (iterated) Riemann integral as R R R (2. . xn ). Definition 13. L2 (Rn )) is deﬁned to consist of those functions f : Rn −→ C such that there exists a sequence {fn } which is absolutely summable with respect to the L1 norm (resp. . y )dx ≤ 2R if y − y  < δ. xn ) > R. −R u(x1 . . x1 . y − y Rn−1 < δ =⇒ u(x. Now. Proof. . Straightforward. . . . Lemma 19. . This implies the (uniform) continuity of I1 . Lemma 20. . y) − u(x . Thus I1 ∈ Cc (Rn−2 ) The upshot of this lemma is that we can integrate again. . Lemma 21. . one annoying thing is to check that the integral is independent of the order of integration (although be careful with the signs here!) Fortunately we can do this later and not have to worry. xn ) ≤ R of Rn . the L2 norm) such that (2. . x2 . Thus given > 0 there exists δ > 0 such that (2. . The continuity follows from the uniform continuity of a function on the compact set x ≤ R. I1 : Rn−1 −→ C. .19. . . xn )dx1 dx2 .215) is a norm on Cc (Rn ). x2 . . . The space L1 (Rn ) (resp. . xn ) ≡ 0 as a function of the ﬁrst variable and hence I1 = 0 in (x2 . . . Cc (Rn ) −→ C Proof. dxn ∈ C. . HIGHER DIMENSIONS (2011) 77 So we can integrate it and get a function (2. . .214)  u ≤ u ≤ (2R)n sup u if u ∈ Cc (Rn ) and u(z) = 0 in z > R. (2. The interated Riemann integral is a welldeﬁned linear map (2. .216) n u L1 = Rn u fn (x) < ∞ =⇒ n fn (x) = f (x). y ) < . x3 . Proof. For each u ∈ Cc (Rn ).212) Rn u(z)dz = −R −R .
7/9) ∪ [8/9. Let’s consider an example of an absolutely summable sequence of step functions. that the sum of the areas is the area of the whole rectange. c1 ) ∪ [c1 . Moreover if {fj } is an absolutely summable sequence in Cc (Rn ) with respect to L1 such that (2.78 2. Carry on in this way to deﬁne successive sets Ck ⊂ Ck−1 . each consisting of a ﬁnite union of semiopen intervals. (4) Is this function Riemann integrable (this is easy. Thus. remove the ‘central interval [1/3. . b1 ) by [a1 . but also holds for the second part. 1/9) ∪ [2/9. This leave C1 = [0. but it is all pretty much as in the onedimensional case. if you check the deﬁnition of Riemann integrability)? (5) Finally consider the function g which is equal to one on the union of all the intervals which are removed in the construction and zero elsewhere. 1) which is shown to be Lebesgue integrable (as deﬁned in Lecture 4) by the existence of this series and compute its Lebesgue integral. Problem 2. (1) Check that this is an absolutely summable series. and I really mean prove. 1/3) ∪ [2/3. (2) Suppose that a ﬁnite collection of disjoint rectangles has union a rectangle (always in this same halfopen sense). THE LEBESGUE INTEGRAL Proposition 25. b1 ) × [a2 . The area of a rectangle is (b1 − a1 ) × (b2 − a2 ). 20. The covering lemma for R2 . Then remove the central interval from each of the remaining two intervals to get C2 = [0. 1) (remember there is a strong preference for leftclosed but rightopen intervals for the moment) consider a variant of the construction of the standard Cantor subset based on 3 proceeding in steps.1. Show. b1 ). 1/3) ∪ [2/3. (2) For which x ∈ [0. consider the series of step functions fk where fk (x) = 1 on Ck and 0 otherwise. (1) We may subdivide a rectangle by subdividing either of the intervals – replacing [a1 . 1) does fk (x) converge? k (3) Describe a function on [0. By a rectangle we will mean a set of the form [a1 . Now. Re f ∈ L1 (Rn ) and the space L1 (Rn ) is lienar. There is a lot to work through. Hint:. If f ∈ L1 (Rn ) then f  ∈ L1 (Rn ). not hard.proceed by subdivision. For the ﬁrst part this is pretty clear. Proof.2. b2 ) in R2 .217) n fn (x) < ∞ =⇒ n fn (x) = 0 then (2.218) fn → 0 and in consequence the limit f= Rn n→∞ fn is welldeﬁned on L1 (Rn ). Problems Missing Problem 2. nothing new is involved here. For the interval [0. Show that g is Lebesgue integrable and compute its integral. 1). Remarkably enough. Show that the sum of the areas of rectangles made by any repeated subdivision is always the same as that of the original. 2/3). 1).
1) where the fj are step functions and j fj (x) < ∞ for all x ∈ [0. (4) For a general complexvalued Lebesgue integrable function (2. If I ⊂ R is an interval. 1).Reduce to the real case. (1) Show that any continuous function on [0. extended to be 0 outside this interval. 1) of a sequence of step functions. we deﬁne Lebesgue integrability of a function f : I −→ C to mean the Lebesgue integrability of (2. 1] is the uniform limit on [0. f (x) = f (x) x ∈ I 0 x ∈ R \ I.220)  f ≤ f . Problem 2. Hint: You can look up a proof of this easily enough. is Lebesgue integrable and  Re f  ≤ f . If f and g ∈ L1 (R) are Lebesgue integrable functions on the line show that (1) If f (x) ≥ 0 a. 1]. Problem 2. ∞). Then use uniform convergence. (4) Show that if a ﬁnite collection of rectangles has union containing a given rectange then the sum of the areas of the rectangles is at least as large of that of the rectangle contained in the union.e. The integral of f on I is then deﬁned to be (2. (5) Prove the extension of the preceeding result to a countable collection of rectangles with union containing a given rectangle. (3) If f is complex valued then its real part. divide the interval into 2n equal pieces and deﬁne the step functions to take inﬁmim of the continuous function on the corresponding interval. (3) Conclude that any continuous function on [0.223) I f= . Re f. (2) By using the ‘telescoping trick’ show that any continuous function on [0. Problem 2. is a Lebesgue integrable function on R and show that the Lebesgue integral is equal to the Riemann integral. (2) If f (x) ≤ g(x) a.4. Then apply the preceeding estimate to g = eiθ f.221) : L1 (R) −→ C. but the usual trick is to choose θ ∈ [0. PROBLEMS 79 (3) Now show that for any countable collection of disjoint rectangles contained in a given rectange the sum of the areas is less than or equal to that of the containing rectangle. 2π) so that eiθ f = (eiθ f ) ≥ 0. ˜ f.3. 1) can be written as the sum (2.e.20. Hint:. then f ≤ g.219) i fj (x) ∀ x ∈ [0.222) ˜ ˜ f : R −→ C. a) or (a. then f ≥ 0. (5) Show that the integral is a continuous linear functional (2.5. including possibly (−∞.
226) F (x) = Ix f : [a.e. in the sense that f (x) = 0 for all x ∈ I \ E where E ⊂ I is of measure zero as a subset of R. This is called ‘Continuity in the mean for integrable functions’. b) −→ C is continuous.80 2. (7) Show that the preceeding construction gives a surjective and continuous linear map ‘restriction to I’ (2. (Notice that these are the quotient spaces of integrable functions modulo equality a. denote it N (I). (4) Show that the set of null functions as in the preceeding question is a linear space. (2) Show that (2. Hint: I will add one! (3) Conclude that for each f ∈ L1 (R) the map (it is a ‘curve’) (2. (1) Show that for each t ∈ R the translates (2.) Problem 2. (2) Show that is f is integrable on I then so is f .229) is continuous. (3) Prove that the function x−1 cos(1/x) is not Lebesgue integrable on the interval (0. [Harder but still doable] Suppose f ∈ L1 (R).7.227) ft (x) = f (x − t) : R −→ C are elements of L1 (R). g(x) = f (x) x ∈ I 0 x∈R\I is integrable on I. Really continuing the previous one.225) L1 (R) −→ L1 (I). denote it L1 (I). Problem 2.6. b) is an element of L1 (Ix ) for all a ≤ x < b. (5) Show that I f  deﬁnes a norm on L1 (I) = L1 (I)/N (I). (1) Show that if I = [a. R t −→ [ft ] ∈ L1 (R) . 1]. b) and f ∈ L1 (I) then the restriction of f to Ix = [x. THE LEBESGUE INTEGRAL (1) Show that the space of such integrable functions on I is linear. (6) Show that if f ∈ L1 (R) then (2. (3) Show that if f is integrable on I and I f  = 0 then f = 0 a. Hint: Think about it a bit and use what you have shown above.228) t→0 lim ft − f  = 0.224) g : I −→ C. (2) Show that the function (2.e.
Show that fL ∈ L1 (R) and that fL − f  → 0 as L → ∞. 1]). with supremum norm.233) fL (x) = f (x) x ∈ [−L. (3) Show that for each f ∈ L1 ([0. ·)f (·) ∈ C (where · is the variable in which the integral is taken) is welldeﬁned for each x ∈ [0. in R. . (1) Show that for each ﬁxed L the function gL (x) if gL (x) ∈ [−N. 1]. Recall from the preceeding discussion that we have deﬁned L1 ([0. F is a continuous function on [0. 1]) then (2.231) F (x) = [0. of step functions such that (2. L] 0 otherwise. 1]) is a bounded (i. hn .9. Let f : R −→ C be an element of L1 (R). (1) If g : R −→ C is bounded and continuous and f ∈ L1 (R) show that gf ∈ L1 (R) and that (2.232) L1 ([0. using the ﬁrst part show that if f ∈ L1 ([0. L] 0 x ∈ R \ [−L. 1]×[0. on [0.20.235) gL (x) = N if gL (x) > N −N if gL (x) < −N is Lebesgue integrable. is Lebesgue integrable. (3) Show that there is a sequence. L] is Lebesgue integrable of each L ∈ N.234) gL (x) = f (x) x ∈ [−L. Deﬁne (2. 1].8. Problem 2.e. (4) Show that (2. Problem 2. continuous) linear map into the Banach space of continuous functions.e. extended to be zero outside. PROBLEMS 81 Problem 2. and the fact that step functions are dense in L1 (R) show that the linear space of continuous functions on R each of which vanishes outside a compact set (which depends on the function) form a dense subset of L1 (R). (N ) (2) Show that gL − gL  → 0 as N → ∞. Now. In the last problem set you showed that a continuous function on a compact interval. 1].1] G(x.11. 1]) is a continuous function (I use C(K) to denote the continuous functions on a compact metric space). Problem 2. Using this. Consider a realvalued function f : R −→ R which is locally integrable in the sense that (2. (2) Suppose now that G ∈ C([0. N ] (N ) (2.236) hn (x) → f (x) a.10. 1]).230) gf  ≤ sup g · R f . 1]) f −→ F ∈ C([0.
1 ⊂ l2 .242) wi = T (ei ). d = j (1 + j 2 )cj dj is an Hermitian inner form which turns h2. j (1) Show that (2. .14. N ].238)  f g ≤ f g ≤ f L2 g L2 . c 2 · 2. x ∈ [−L.1 and the norm on l2 by show that (2.L − gL  → 0 as n → ∞. Deﬁne a sequence (2. (2. i ∈ N. (1 + j 2 )cj 2 < ∞ . g ∈ L2 (R) then f g ∈ L1 (R) and that (2. ≤ c 2. (N ) (N ) (2. In the separable case. (1) For such f choose hn and deﬁne gL .82 2. (N ) (N ) (N ) (N ) (N ) (3) Show that (gL )2 ∈ L1 (R) and that (gL )2 − (gL )2  → 0 as N → ∞.1 = c : N j −→ cj ∈ C.1 × h2. x ∈ [−L.237) hn.235) and (2. (7) Conclude that the quotient space L2 (R) = L2 (R)/N . L] 0 h (x) if h (x) ∈ [−N. deﬁne L2 (R) as the set of functions f : R −→ R which are locally integrable and such that f 2 is integrable. (5) Show that f.240) h2. (N ) (N ) (N ) (2) Show using the sequence hn.1 (c.12. where N is the space of null functions. is a real Hilbert space. Problem 2.237).241) h2.1 into a Hilbert space. (2) Denoting the norm on this space by · 2. f 2 L2 = f 2 . gL and hn by (2.L (N ) Show that Problem 2. Consider the sequence space (2. First working with real functions. Show that L2 (R) is a Hilbert space. THE LEBESGUE INTEGRAL (4) Deﬁning x ∈ [−L.L )2 − (gL )2  → 0 as n → ∞. x ∈ [−L. Choose an orthonormal basis {ei } of the separable Hilbert space H. L] −N if hn (x) < −N.L for ﬁxed N and L that gL and (gL )2 are in L1 (R) and that (hn. N if hn (x) > N.239) h2.234). L] n n = .1 ∀ c ∈ h2.13. prove Riesz Representation Theorem directly. (8) Extend the arguments to the case of complexvalued functions. (6) Use these constructions to show that L2 (R) is a linear space. d) −→ c. L] hn.1 . Problem 2. (4) Show that (gL )2 − f 2  → 0 as L → ∞. Suppose T : H −→ C is a bounded linear functional.
N H for some constant C. what we want to show is that f = g a . . satisfy ck 2 < ∞. 2π) is such that the constants ck = (0.e .15.246) that F (x) = (2. So. 2π).2π) f (x)e−ikx . Note: These identities are usually written out as an equality of an iterated integral and a ‘regular’ integral: (2. It is often used to ‘exchange the order of integration’ since the hypotheses are the same if we exchange the variables.16. Problem 2. k∈C Now. ∀ u ∈ H and T = w H. 2π). Show that for every (2.243) j=1 2 wi 2 ≤ C 2 . Solutions to problems Problem 2. First. (for half marks in fact!) we know that the ck exists.248) Rk Rp f (x. SOLUTIONS TO PROBLEMS 83 (1) Now. Solution. y) deﬁnes gx ∈ L1 (Rp ). 2π) so there is a function (2. 2π) and then the condition ck 2 < ∞ k 2 implies that the Fourier series does converge in L2 (0.249) g= 1 2π ck eikx . (2) Conclude that {wi } ∈ l and that (2. k ∈ Z.245) T (u) = u. this was a good bit harder than I meant it to be – but still in principle solvable (even though no one quite got to the end). gx deﬁnes an element F ∈ L1 (Rk ) and that F = Rk ×Rp f. Suppose that f ∈ L1 (0. k∈Z Show that f ∈ L (0.247) Rk x ∈ Rk \ E =⇒ gx (y) = f (x. 2π) and e−ikx is continuous so f e−ikx ∈ L1 (0. 21. recall that T u ≤ C u ﬁnite N. y) = f.21. If f ∈ L1 (Rk × Rp ) show that there exists a set of measure zero E ⊂ Rk such that (2.244) (3) Show that (2. w H w= i wi ei ∈ H. since then f ∈ L2 (0. since f ∈ L1 (0.
2π) (h(x) − hn (x) + (0. THE LEBESGUE INTEGRAL Set h = f − g ∈ L1 (0.2π) h(x)eikx = 0 ∀ k ∈ Z.2π) h = 0. now the trick is to show that (2. we can recall from class that we showed (in the proof of the completeness of the Fourier basis of L2 ) that these exponentials are dense.2π) hg = 0 for all such continuous functions g. by continuity of the integral we know that (2.2π) (0.252) (0. Now.2π) sn (x)(hn − h) (h(x) − hn (x) + (0. So. 2π) ⊂ L1 (0. in continuous functions which vanish near the ends of the interval.84 2. Thus. so indeed f = g and f ∈ L2 (0. but for any integrable function h. and hence that (2.2π) hn − h → 0 as n → ∞. 2π). we need to show that this implies that h = 0 a . It follows from (2. . 2π) since L2 (0. the upshot of this is that we know a bit more than (2.250) (0. We also showed at some point that we can ﬁnd such a sequence of continuous functions gn to approximate the characteristic function of any interval χI .252) implies that h = 0 almost everywhere. 2π) and almost everywhere and also hn  → h in both these senses.e .254) h(x) = h(x) − hn (x) + sn (x)(hn (x) − h(x)) + sn (x)h(x). consider the functions (2.2π) hg = 0 ∀ step functions g. namely we know that (2. It is not true that gn → χI uniformly. write out the wonderful identity (2.249) that f and g have the same Fourier coeﬃcients.254) integrates to zero. Since g ∈ L1 we know that there is a sequence (the partial sums of an absolutely convergent series) of step functions hn such that hn → g both in L1 (0. bounded (in absolute value by 1 in fact) and such that sn hn = hn . Now. in the supremum norm. so let’s aim for that.255) ≤ (0. right! Mia culpa. Piece of cake. 2π). Integrate this identity and then apply the triangle inequality to conclude that h = (2. So. Clearly sn is a sequence of step functions.251).252) to see that the third term on the right in (2. Here on the ﬁrst line we have used (2.251) (0.253) sn (x) = 0 hn (x) hn (x) if hn (x) = 0 otherwise.2π) (0. So. Here is the trick. Now. Thus in fact h = 0 a . this would follow if we know that (0. Well. Then the fact that sn  ≤ 1 and the convergence properties.e . hgn → hχI in L1 .
Another nice source is the book of G.F. (w. “Introduction to topology and modern analysis”. Lemma 22.4) (u. λ2 ∈ C which is positivedeﬁnite (3.1) implies ‘antilinearity’ in the second variable (3. ) then (3.3) (v. u) 2 1 . v2 . w1 ) + λ2 (v. is a vector space (usually over the complex numbers but there is a real version as well) with a Hermitian inner product (. there is really only one separable inﬁnitedimensional Hilbert space and that is what we are mostly interested in.1). w) + λ2 (v2 . 1. I like it – but I think it is out of print.1) (λ1 v1 + λ2 v2 . H. w) for any v1 . If H is a preHilbert space with Hermitian inner product (. v) follows from the second condition in (3. v) = (v. Simmons. Note that the reality of (v. (3. Nevertheless some proofs (usually the nicest ones) work in the nonseparable case too. v and w ∈ H and λ1 . w). (v.5) is a norm on H. v) ≥ 0. essentially just Cn . λ1 w1 + λ2 w2 ) = λ1 (v. ) : H × H −→ C. w) = λ1 (v1 .CHAPTER 3 Hilbert spaces There are really three ‘types’ of Hilbert spaces (over C). The notion of ‘deﬁniteness’ for such an Hermitian inner product exists without the need for positivity – it just means (3. The combination of the two conditions in (3. I will ﬁrst discuss the deﬁnition of preHilbert and Hilbert spaces and prove Cauchy’s inequality and the parallelogram law. v) = 0 =⇒ v = 0. v) = 0 ∀ v ∈ H =⇒ u = 0. As we shall see. w2 ) which is used without comment below. preHilbert spaces A preHilbert space. The ﬁnite dimensional ones. This can be found in all the lecture notes listed earlier and many other places so the discussion here will be kept succinct. the positivity is an additional assumption as is the positivedeﬁniteness. with which you are pretty familiar and two inﬁnite dimensional cases corresponding to being separable (having a countable dense subset) or not. 85 u = (u.2) (v.
7) u+v 2 = (u + v.11) with u replaced by zu gives (3.6) λu 2 = (λu. i. v) and applying (3. b ∈ l2 . This follows from the next lemma. The example we had from the beginning of the course is l2 with the extension of (3.9) 0 ≤ u + sv 2 = u 2 + 2s Re(u. v ∈ H holds in any preHilbert space.86 3. u2 ∈ L1 (R)}/N loc .8). v ∈ H and s ∈ R positivity of the norm shows that (3. (3. z ) = j=1 zj zj is a Hilbert space – since any ﬁnite dimensional normed space is complete. Hilbert spaces Definition 14. which is the CauchySchwarz inequality in this setting – (3. v) + s2 v 2 . v) = Re z(u. we know that. The CauchySchwartz inequality. v) = (u.10) (3. it is where (3. However.2). u + v) 2 = u + (u.1) since (3.12) ∞ (3. HILBERT SPACES Proof. a. namely (3.8) (u.12) (z. v) + (v. As examples we know that Cn with the usual inner product n (3. Absolute homogeneity follows from (3. for some z ∈ C with z = 1.11) u 2 2s v 2 + 2 Re(u.9) gives − (Re(u. Lemma 23. u) + v 2 ≤ u 2 +2 u v + v 2 = ( u + v )2 . it is only the triangle inequality we need. 2 Substituting this into (3. v))2 / v ≥ 0 =⇒  Re(u. For any nonzero u. λu) = λ2 u 2 . So. Indeed. Re(zu. The whole outing into Lebesgue integration was so that we could have the ‘standard example’ at our disposal.13) (a. v) = 0.8). This quadratic polynomial is nonzero for s large so can have only a single minimum at which point the derivative vanishes. b) = j=1 aj bj . Proof. v) ≤ u v ∀ u. using the ‘sesquilinearity’ to expand out the norm (3. Completeness was shown earlier. 2.e. The ﬁrst condition on a norm follows from (3. v) ≤ u v which is what we want except that it is only the real part. A Hilbert space H is a preHilbert space which is complete with respect to the norm induced by the inner product.14) L2 (R) = {u ∈ L1 (R).
Proof. u − v ⊥ ej for all j so u − v ⊥ v and hence (3. N.20) 0 = (u − v. Thus v 2 = (u. Orthonormal sets Two elements of a preHilbert space H are said to be orthogonal if (3. This is supposed to be ‘the projection of u onto the span of the ei ’. for any u ∈ H set N (3. ei ) = 0 ∀ i =⇒ u = 0. ei )(ei . and the inner product is (3. Then. Proposition 26 (Bessel’s inequality). i = 1. ei )ei . 4. . Anyway. Start with the ﬁnite case. v) and applying the CauchySchwarz inequality we conclude that v 2 ≤ v u so either v = 0 or v ≤ u . since it just uses orthonormality. .17) follows by taking the supremum over N. (ﬁnite or inﬁnite) is said to be orthonormal if ei = 1 for all i and (ei . (ﬁnite or inﬁnite) in a preHilbert space is said to be maximal if (3. . v) = uv. Theorem 12. In case the sequence is inﬁnite this argument applies to any ﬁnite subsequence. so (3. ej ) using orthonormality. v) = 0 ⇐⇒ u ⊥ v. ej ) = (u. GRAMSCHMIDT PROCEDURE 87 where N is the space of null functions. If ei .19) (v. Expanding out the norm (and observing that all crossterms vanish) N v 2 = i=1 (u. v) = (u. ej ) = 0 for all i = j.4. v) − v 2 .17) i (u. An orthonormal sequence. Every separable preHilbert space contains a maximal orthonormal set. ei )2 ≤ u 2 which is (3.17). is an orthonormal sequence in a preHilbert space H. A sequence of elements ei ∈ H. ej ) = i=1 (u.21) u ∈ H.15) (u. ei )2 ≤ u 2 ∀ u ∈ H.18) v= i=1 (u. . 3. {ei }. then (3. GramSchmidt procedure Definition 15. . (u. computing away we see that N (3. Thus.16) (u.
ek )2 = k (u − wj .26) u= i=1 (u.25) wj 2 = k (wj . This uses the density of the vn ’s. So we may as well assume that the next element. It follows that n (3. these are not much use without completeness. i = 1. Take a countable dense subset – which can be arranged as a sequence {vj } and the existence of which is the deﬁnition of separability – and orthonormalize it. Thus wj → 0 and u = 0. Thus if v1 = 0 set ei = v1 / v1 . HILBERT SPACES Proof. m. .24). The sequence of partial sums of the FourierBessel series N (3.22) sp(e1 . .22). That is. although a noncomplete but separable Hilbert space has a maximal orthonormal sets.24) H u ⊥ ej ∀ j =⇒ u = 0. ei )ei . If {ei } is a complete orthonormal basis in a Hilbert space then for any element u ∈ H the ‘FourierBessel series’ converges to u : ∞ (3. ei )ei .27) uN = i=1 (u. Proceeding by induction we can suppose to have found for a given integer n elements ei . in the ﬁrst place. Now. Complete orthonormal bases Definition 16. ej )ej = 0 so em+1 = w w makes sense. where m ≤ n. This notion of basis is not quite the same as in the ﬁnite dimensional case (although it is a legitimate extension of it). . which are orthonormal and such that the linear span (3. 0. such that wj → u in H. Theorem 13. . is a ﬁnite linear combination of ek ’s so. ej ) = 0 for all j has been used. There must exist a sequence wj where each wj is a vn . assumed to satisfy (3. . we claim (3. and hence each wj . em ) = sp(v1 . Now. . vn+1 is not in the span in (3.22) then the same ei ’a work for n + 1. . since in fact the only way the dense set could be ﬁnite is if we were dealing with the space with one element. Thus we may continue indeﬁnitely. . vn ). There are only two possibilities. by Bessel’s inequality (3. 5. . . . each each vn . either we get a ﬁnite set of ei ’s or an inﬁnite sequence. In either case this must be a complete orthonormal sequence. By construction it is orthogonal to all the ealier ei ’s so adding em+1 gives the equality of the spans for n + 1. Proof. To show the inductive step observe that if vn+1 is in the span(s) in (3. ek )2 ≤ u − wj 2 where (u.88 3. A maximal orthonormal sequence in a separable Hilbert space is called a complete orthonormal basis. .23) w = vn+1 − j=1 (vn+1 .
33) v+w 2 2 2 + v−w =2 v + 2 w 2 . T u = {cj } so T is surjective. Proof. ei ) = (u. ei ) ≤ w − un so in fact (3.29) (w.26) holds. ∀ v. that is there exists a linear map (3. onto and satisﬁes (T u. if m < m then m (3. Thus in fact u − w is orthogonal to all the ei so by the assumed completeness of H must vanish. (um . Since we are now assuming completeness. Any inﬁnitedimensional separable Hilbert space (over the complex numbers) is isomorphic to l2 . Parallelogram law What exactly is the diﬀerence between a general Banach space and a Hilbert space? It is of course the existence of the inner product deﬁning the norm. Proposition 28. The equality of the norms follows from equality of the inner products and the latter follows by computation for ﬁnite linear combinations of the ej and then in general by continuity. T v)l2 = (u. . v)H and T u v ∈ H. = u H for all u. Thus indeed (3.28) um − um 2 = i=m+1 (u. Indeed. ei ) as soon as m > i and (w − un . ej )}∞ . ei ) m→∞ for each i.32) u= j=1 cj ej converges in H. 7. PARALLELOGRAM LAW 89 is Cauchy. Similarly from the result above Proposition 27. ei ) = lim (um . w ∈ H. 6. ei ) = (u. Isomorphism to l2 A ﬁnite dimensional Hilbert space is isomorphic to Cn with its standard inner product. Again by continuity of the inner product. In fact it is possible to formulate this condition intrinsically in terms of the norm itself. It is surjective since if {cj }∞ then j=1 ∞ (3. um → w in H. ei )2 ≤ i>m (u. j=1 This maps H into l2 by Bessel’s inequality. This is the same argument as above – the sequence of partial sums is Cauchy by Bessel’s inequality.31) T u = {(u. It is 11 since T u = 0 implies (u. Choose an orthonormal basis – which exists by the discussion above and set (3. ej ) = 0 for all j implies u = 0 by the assumed completeness of the orthonormal basis. Moreover. In any preHilbert space the parallelogram law holds – (3. it is linear since the entries in the sequence are linear in u.7.30) T : H −→ L2 l2 which is 11. However. ei )2 which is small for large m by Bessel’s inequality.
given > 0 if N is large enough then n > N implies 2 vn 2 < 2d2 + 2 /2.90 3. i. such that (3. v1 ∈ C implies 2 (v1 + v2 ) ∈ C then there exists a unique element v ∈ C closest to the origin.39) v−v 2 =2 v 2 +2 v 2 − 4 (v + v )/2 2 ≤ 0 =⇒ v = v . v) + w 2 and the same for v − w and see the cancellation. The parallelogram law can be written (3. w) = 1 4 v+w 2 − v−w 2 + i v + iw 2 − i v − iw 2 is a positivedeﬁnite Hermitian inner product which reproduces the norm.33). HILBERT SPACES Proof. Proposition 30. Convex sets and length minimizer The following result does not need the hypothesis of separability of the Hilbert space and allows us to prove the subsequent results – especially Riesz’ theorem – in full generality. since C is closed. We show that vn converges and that the limit is the point we want. Since vn → d. the distance is continuous so v H = limn→∞ vn = d. If v and v are two points in C with v = v = d then (v + v )/2 ∈ C so (3. 8. By convexity. Moreover. Thus v exists and uniqueness follows again from the parallelogram law. (vn + vm )/2 ∈ C so (vn + vm )/2 2 ≥ d2 . A problem below. So. Proof. Combining these estimates gives (3. in the sense that v1 . If C ⊂ H is a subset of a Hilbert space which is (1) Nonempty (2) Closed 1 (3) Convex.e.38) n. Just expand out using the inner product (3. w) + (w. (3. is a preHilbert space in the sense that (3. Proof. Since H is complete.37) vn − vm 2 = 2 vn 2 + 2 vm 2 − 4 (vn + vm )/2 2 . By deﬁnition of inf there must exist a sequence {vn } in C such that vn → d = inf u∈C u H . m > N =⇒ vn − vm 2 ≤ 4d2 + 2 − 4d2 = 2 so {vn } is Cauchy. Any normed space where the norm satisﬁes the parallelogram law. Proposition 29. . when we use the parallelogram law and completeness we are using the essence of the Hilbert space.35) (v.34) v+w 2 2 = v 2 + (v.36) v H = inf u u∈C H. vn → v ∈ C.
w)) + t2 w 2 2 ≥ v 2 =⇒ t(2(v. a closed linear subspace. The claim is that this v is perpendicular to W – draw a picture in two real dimensions! To see this consider an aritrary point w ∈ W and λ ∈ C then v + λw ∈ C and (3. Choose λ = teiθ where t is real and the phase is chosen so that eiθ (v. If W = H then W ⊥ = {0} and there is nothing to show. since u ∈ C and it is convex since u = u + w and u = u + w in C implies (u + u )/2 = u + (w + w )/2 ∈ C.40) is a linear subspace follows from the linearity of the condition deﬁning it. u ∈ W. w ∈ W. Thus the length minimization result above applies and there exists a unique v ∈ C such that v = inf u ∈C u . Now. the inverse image of 0. So consider u ∈ H.9. Since the construction in the preceding proof associates a unique element in W.41) with the uniqueness of the decomposition already shown since it reduces to 0 having only the decomposition 0 + 0 and this in turn is W ∩ W ⊥ = {0}. is closed. Orthocomplements and projections Proposition 31. w)) + λ2 w 2 . wi ∈ W. Consider / (3. by the uniqueness since if ui = vi + wi . suppose W is closed. w) = (v. This map is linear. u) = u 2 = 0 and u = 0.45) v 2 + 2t(v. w) = 0} is closed. Proof. since a sequence in it is of the form un = u + wn where wn is a sequence in W and un converges if and only if wn converges.43) C = u + W = {u ∈ H. w) ∈ C is continuous for each w ∈ H its null space. C is nonempty.47) λ1 u1 + λ2 u2 = (λ1 v1 + λ2 v2 ) + (λ1 w1 + λ2 w2 ) . If W is also closed then (3. Then C is closed. Since the map H u −→ (u. given u ∈ H \ W we have constructed v ∈ W ⊥ such that u = v + w. Thus indeed. w) = 0 which is what we wanted to show.42) W⊥ = w∈W {(u. wi ) = 0 are the decompositions of two elements then (3. it deﬁnes a map (3. Thus (3.40) W ⊥ = {u ∈ H. w ∈ W }.41) meaning that any u ∈ H has a unique decomposition u = w + w⊥ where w ∈ W and w⊥ ∈ W ⊥ . (u. w) = 0 ∀ w ∈ W } H = W ⊕ W⊥ is a closed linear subspace and W ∩ W ⊥ = {0}. If W ⊂ H is a linear subspace of a Hilbert space then (3. u = u + w. Then the fact that v is minimal means that (3. This is (3. w) + t w ) ≥ 0 ∀ t ∈ R =⇒ (v. ORTHOCOMPLEMENTS AND PROJECTIONS 91 9. That W ⊥ deﬁned by (3. to each u ∈ H. (vi . Also.46) ΠW : H −→ W.44) v + λw 2 = v 2 + 2 Re(λ(v. w) ≥ 0. If u ∈ W ⊥ and u ∈ W then u ⊥ u by the deﬁnition so (u.
.52) T ((u + u )/2) = (T (u) + T (u ))/2. φ)v =⇒ T (u) = (u. v ∈ N } where N = T −1 ({0}) is the null space of T. Such an operator is called a projection or sometimes an idempotent (which sounds fancier). v is orthogonal to N. by Proposition 30. ΠW u ≤ u =⇒ ΠW ≤ 1. as in Proposition 31 above. Thus. namely u = u /T (u ) will work. Thus if φ = v/ v 2 then u = w + (u. such that T (u) = 1.53) u−T (u)v satisﬁes T (u−T (u)v) = T (u)−T (u)T (v) = 0 =⇒ u = w+T (u)v. 10. φ) ∀ u ∈ H. Thus u = (u − P u) + P u is the orthogonal decomposition with respect to W. Then. Clearly P 2 = P by the same argument.50). Thus (3.92 3. v) = T (u) v (3. Lemma 24. HILBERT SPACES must be the corresponding decomposition.49) converges and deﬁnes a bounded linear operator of norm at most one by Bessel’s inequality. for any u ∈ H. ek )ek . as the inverse image of a closed set under a continuous map. T (u) = 1} = T −1 ({1}) = ∅. w ∈ N. In this case it is the unique element orthogonal to N with T (v) = 1. Now. Moreover ΠW w = w for any w ∈ W and u 2 = v 2 + w 2 . Otherwise there exists some u ∈ H such that T (u ) = 0 and then there is some u ∈ H. (u. projection onto W is an operator of norm 1 (unless W = {0}) equal to its own square. Pythagorus’ Theorem. If T is the zero functional then w = 0 satisﬁes (3. φ).50) T (u) = (u. If H is a Hilbert space then for any continuous linear functional T : H −→ C there exists a unique element φ ∈ H such that (3. v) = 0. there exists an element v ∈ C of minimal length. shows that (3.51) C = {u ∈ H. Thus. We know that the series in (3.49) Pu = (u. there is another one to do with measures). φ)T (v) = (u.48) Π2 = ΠW . If W is the closure of the span then (u−P u) ⊥ W since (u−P u) ⊥ ek for each k and the inner product is continuous. The continuity of T and the second form shows that C is closed. W Thus.54) 2 since (w. Notice that C = {u + v. Proof. Proof. Moreover C is convex since (3. If {ej } is any ﬁnite or countable orthonormal set in a Hilbert space then the orthogonal projection onto the closure of the span of these elements is (3. (3. Theorem 14. Riesz’ theorem The most important application of these results is to prove Riesz’ representation theorem (for Hilbert space.
62) it follows that (3. .64) A∗ ≤ A which shows that A∗ is bounded. c2 ∈ C then (3. A∗ v) ∀ u ∈ H. since (Au. For any bounded linear operator A : H −→ H on a Hilbert space there is a unique bounded linear operator A∗ : H −→ H such that (3. v1 ) + c2 (Au.56) also shows that (A∗ )∗ = A so the reverse equality in (3. v) = (u.63) So in fact (3. Au H ≤C u H ∀u∈H there corresponds a unique adjoint operator. To see the existence of A∗ v we need to work out what A∗ v ∈ H should be for each ﬁxed v ∈ H.56) (Au.57) (3. Proposition 32.60) (Au. c1 v1 + c2 v2 ) = c1 (Au. Thus it is a continuous linear functional on H which depends on v.11. The deﬁning identity (3. A∗ v) = sup (Au. v2 ∈ H and c1 . So. Thus if v1 . ADJOINTS OF BOUNDED OPERATORS 93 11. which we can denote A∗ v (since it only depends on v) such that (3. ﬁx v in the desired identity (3. A∗ v)H ∀ u. v) ∈ C.v) −→ C.61) (Au. v) ≤ Au H H u H. A∗ v2 ) = (u. v2 ) = c1 (u. v) u =1 v . v)H = (u.64) also holds and so (3. c1 A∗ v2 + c2 A∗ v2 ) where we have used the deﬁnitions of A∗ v1 and A∗ v2 – by uniqueness we must have A∗ (c1 v1 + c2 v2 ) = c1 A∗ v1 + c2 A∗ v2 . v) ≤ A u =1 u =1 v H = sup (u. v ∈ H and A = A∗ . By Riesz’ theorem there is a unique element in H. A∗ v = sup (u.65) A∗ = A . A∗ v1 ) + c2 (u. Proof. Linearity follows from the uniqueness part of Riesz’ theorem. v ≤( A v H) This is a linear map and it is clearly bounded. Since we know the optimality of Cauchy’s inequality (3. Now this deﬁnes the map A∗ : H −→ H but we need to check that it is linear and continuous. which is to say consider (3.58) H u −→ (Au. Adjoints of bounded operators As an application of Riesz’ we can see that to any bounded linear operator on a Hilbert space (3. In fact it is just the composite of two continuous linear maps (3.56).55) A : H −→ H.59) H −→ H u−→Au w−→(w.
HILBERT SPACES 12. To see where this might come from. observe that a sequence {tj } in S either has a subsequence converging to the limit s of the original sequence or it does not. We want to characterize it. Also recall that the convergence of a sequence in Cn is equivalent to the convergence of the n sequences given by its components and this is what is used to pass ﬁrst from R to C and then to Cn .66) can be arranged for any single element un or the limit u by choosing N large enough. Bessel’s inequality shows that for any u ∈ H. (3. So we only need consider the latter case. thought of as a map from the integers into the metric space. Lemma 26. Certainly this set is bounded. s) > . the equivalence of this condition to the (more general since it makes good sense in an arbitrary topological space) covering condition. In any metric space a set. actually in several ways.66) k>N (un . the complement M \ S is open – if p ∈ M \ S then it is not the limit of the sequence. if n > N then s(n) ∈ B(p. thus given > 0 we can . ) ⊂ M \ S. consisting of the points of a convergent sequence. The set here is the image of the sequence.e. we can make sure that all the s(k) for k ≤ N are not in the ball either – since they are each at a positive distance from p. ). ek )2 < 2 ∀ n. S. that any open cover of the set has a ﬁnite subcover. s : N −→ M. with its limit in the set. s. Thus B(p. with pleasure no doubt. Indeed. so this must be true in a Hilbert space. so for some > 0 and some N. but then tj takes values in a ﬁnite set. since the distance from the intial point is bounded. Proof. All of this fails in inﬁnite dimensions and we need some condition in addition to being bounded and closed for a set to be compact. ) is ﬁnite – hence some value is repeated inﬁnitely often and there is a convergent subsequence. together with the limit (which might or might not already be in the image of the sequence). Finally. A general result in a metric space is that any compact set is both closed and bounded. for Rn or Cn (and hence in any ﬁnite dimensional normed space) in which any closed and bounded set is compact. since S \ B(s. in a separable Hilbert space the notion of a compact set is already ﬁxed. So.67) k (u. The convergence of this series means that (3. is compact. The image of a convergent sequence in a Hilbert space is a set with equismall tails with respect to any orthonormal sequence. if ek is an othonormal sequence and un → u is a convergent sequence then given > 0 there exists N such that (3. Proof. S is compact since any sequence in S has a convergent subsequence. Compactness and equismall tails A compact subset in a general metric space is one with the property that any sequence in it has a convergent subsequence. The HeineBorel theorem gives a converse to this. Shrinking further if / necessary.94 3. together with its limit. You will recall. ek )2 ≤ u 2 . but this means that for some > 0 d(tj . observe that Lemma 25. i. Moreover it is closed. To see this.
n>n.70) PN u n 2 = k>N (u. Here k is ﬁxed. Consider the subsequence {unp } generated this way. We only need show that {un } has a Cauchy subsequence. by the HeineBorel theorem. So.68) k>N (u. ek ) in C.72) (un .66) for n > n for some N. by Lemma 26.66) holds for all n if N is chosen large enough. . bounded and satisﬁes the equismall tails condition with respect to an orthonormal basis ek and {un } is a sequence in K. there is a subsequence of unl such that (unl . ek )ek . . ek ) converges as l → ∞. since this will converge (H being complete) and the limit will be in K (since it is closed). 2. So. Thus indeed (3. Then pass to the ‘diagonal’ subsequence of {un } which has kth entry the kth term in the kth subsequence.71) k>p (unp . First extracting a subsequence of {un } so that the sequence (un . Thus we have proved the equismallness of tails condition to be necessary for the compactness of a closed. closed and has equismall tails with respect to any (one) complete orthonormal basis. ek )2 ≥ 2 . such that (3. Proof. We can apply this argument for each k = 1. and continue inductively. It remains to show that it is suﬃcient. Then the convergence un → u implies the convergence in norm PN un → PN u . This sequence is bounded: (3. Proposition 33. . ek )2 < 2 /2. This suggest one useful characterization of compact sets in a separable Hilbert space. it cannot have a convergent subsequence. ek ) ≤ un ≤ C by the boundedness of K. Suppose the equismallness of tails condition fails with respect to some orthonormal basis ek . The orthogonal projection onto this space (see Lemma 24) is (3. Consider the closure of the subspace spanned by the ek with k > N. ek )2 < 2 . we have arranged (3. Consider each of the sequences of coeﬃcients (un . Then extract a subsequence of this subsequence so that (un . This means that for some > 0 and all p there is an element unp ∈ K. suppose K is closed. No subsequence of it can have equismall tails (recalling that the tail decreases with p). So. A set K ⊂ H in a separable Hilbert space is compact if and only if it is bounded. . We already know that a compact set in a metric space is closed and bounded.12. so K cannot be compact in this case. so (3. COMPACTNESS AND EQUISMALL TAILS 95 choose N so that (3. e1 ) converges ‘along this subsequence’. Thus. e2 ) also converges along this sparser subsequence. bounded set. .69) PN u = k>N (u. This estimate remains valid if N is increased – since the tails get smaller – and we may arrange it for n ≤ n by chossing N large enough.
j=1 cij (u. ek )2 + k>N 2 (vn − vn+l . ek ) converges. . If T : H −→ H has ﬁnite rank then there is a ﬁnite orthonormal set {ek }L in H such that k=1 L (3. ej )ei . for all l > 0 using the Cauchy condition on each of the ﬁnite number of sequence (vn . Now. choose n so large that each of the terms in the ﬁrst sum is less than 2 /2N. Finite rank operators Now. since this is a basis of the range. To make this sum less than 2 we may choose N so large that the last two terms are less than 2 /2 and this may be done for all n and l by the equismallness of the tails. ek ) + 2 k>N (vn . for this subsequence each of the (unl . the range of T. let’s relabel this subsequence vn for simplicity of notation and consider Bessel’s identity (the orthonormal set ek is complete by assumption) for the diﬀerence vn − vn+l (3. Thus. . . Proof. . Definition 17. ek )2 (vn+l . . ei . Now. An operator T ∈ B(H) is of ﬁnite rank if its range has ﬁnite dimension (and that dimension is called the rank of T ).74) (T1 + T2 )u ∈ Ran(T1 ) + Ran(T2 ) ∀ u ∈ H. 13.76) Tu = i=1 (T u. it has a basis which we can diagonalize in H to get an orthonormal basis. By deﬁnition. Since the range of a constant multiple of T is contained in the range of T it follows that the ﬁnite rank operators form a linear subspace of B(H). since the range is contained in the sum of the ranges (but is often smaller): (3. ek )2 k>N (vn − vn+l . Lemma 27. Clearly the sum of two operators of ﬁnite rank has ﬁnite rank. i = 1.96 3. we need to starting thinking a little more seriously about operators on a Hilbert space. What does a ﬁnite rank operator look like? It really looks like a matrix. Thus. HILBERT SPACES It is ‘eventually’ a subsequence of each of the subsequences previously constructed – meaning it coincides with a subsequence from some point onward (namely the kth term onward for the kth subsquence). ei )ei . ek ). Now. the set of ﬁnite rank operators is denoted R(B). p.73) ≤ k≤N 2 = k≤N (vn − vn+l . R = T (H) is a ﬁnite dimensional subspace.75) Tu = i. {vn } is a Cauchy subsequence of {un } and hence as already noted convergent in K. Why not F(B)? Because we want to use this for the Fredholm operators. T u can be expanded relative to it for any u ∈ H : p (3. So. ek )2 + 2 where the parallelogram law on C has been used. Thus K is indeed compact.
.76) becomes p (3. . .75) then N (3. the range of BT is the range of B restricted to the range of T and this is certainly ﬁnite dimensional since it is spanned by the image of a basis of Ran(T ). . notice in fact that vi = T ∗ ei . .75) (where the constants for i > p are zero). Inserting this into (3. vp resulting in e1 . . u)(w. . Similalry T B ∈ R(H) since the range of T B is contained in the range of T. which is to say a linear subspace such that (3. ei ) =⇒ i=1 p (3. w) =⇒ (vi . i = 1. vi ) for some vi ∈ H. FINITE RANK OPERATORS 97 On the other hand. so (T u.77) for a ﬁnite rank operator. It is clear that (3. This means that eact vi is a linear combination which we can write as L (3. . . Since p (T u. v1 . Proof. the map u −→ (T u. For any ﬁnite rank operator on a Hilbert space. . the dimension of the range of T is equal to the dimension of the range of T ∗ . Indeed. The ﬁnite rank operators form a ∗closed ideal in B(H).78) vi = j=1 cij ej . T u) = T ∗w = (w. . T ∈ R(H) =⇒ B1 T B2 . ei )ej Lemma 28 (Row rank=Colum rank). B2 ∈ B(H).77) gives (3. From the formula (3. Now. we can apply GramSchmidt to orthonormalize the sequence e1 . eL . Thus we have in fact proved most of Proposition 34. w) = i=1 p (u. . . ei ) is a continuous linear functional on H. . . It is only left to show that T ∗ is of ﬁnite rank if T is.77) Tu = i=1 (u. This means the formula (3.80) B1 .82) (w. p must be linearly independent – since the ei form a basis for the range and a linear relation between the vi would show the range had dimension less than p. vi )(ei .13. ei )vi i=1 the range of T ∗ is the span of the vi . . Proof. vi )ei . T ∗u = i=1 cij (u. Thus in fact the null space of T is precisely the orthocomplement of the span of the vi – the space of vectors orthogonal to each vi .81) is also of ﬁnite rank. ep . ei ) = (u. but this is an immediate consequence of Lemma 27 since if T is given by (3. so is also of dimension p.79) B ∈ B(H) and T ∈ R(B) then BT ∈ R(B). T ∗ ∈ R(H). it follows that the vi .
Proof.83) applies to it.e. An operator K ∈ B(H). to say that a set has compact closure is the same as saying it is contained in a compact set. in the end it turns out to be constructive) – so this set is contained in a compact set. Namely. the bounded operators on a separable Hilbert space. meaning given > 0 there exits N such that (3. i.84) shows that Ku − Kn u H ≤ . by the norm of K. 1)) is precompact. if {ei } is an orthonormal basis of H then a subset I ⊂ H is compact if and only if it is closed and bounded and has equismall tails with respect to {ei }. u H ≤ 1. 1)) where we assume that K is compact (as an operator. Now we shall apply this to the set K(B(0. So. u H ≤ 1} is compact in H. We want to conclude that K is compact. ei )2 < 2 ∀ v ∈ I.84) i>n (Ku. has compact closure – that is if the closure of K{u ∈ H.87) K − KN B = sup u ≤1 Ku − Kn u H ≤ . (3. This is clearly a linear operator and has ﬁnite rank – since its range is contained in the span of the ﬁrst n elements of {ei }. Kn → K in norm and we have shown that the compact operators are contained in the norm closure of the ﬁnite rank operators. increasing n makes Ku − Kn u smaller. By a result above on compactness of sets in a separable Hilbert space we know that it suﬃces to prove that the closure of the image of the unit ball has uniformly small .83) i>N (v. Notice that in a metric space. Thus indeed. ei )2 < 2 ∀ u ∈ H. Namely this means that for any > 0 there exists n such that (3. For the converse we assume that Tn → K is a norm convergent sequence in B(H) where each of the Tn is of ﬁnite rank – of course we know nothing about the rank except that it is ﬁnite. don’t be confused by the double usage.98 3. It is certainly bounded. HILBERT SPACES 14.86) Ku − Kn u 2 H = i>n (Ku. Hence (3. Compact operators Definition 18. is compact if and only if it is the limit of a normconvergent sequence of ﬁnite rank operators. Since this is an orthonormal basis. is said to be compact (the old terminology was ‘totally bounded’ or ‘completely continuous’) if the image of the unit ball is precompact. To do this we use the characterizations of compact subsets of a separable Hilbert space discussed earlier. so given > 0 there exists n such that for all N ≥ n.85) Kn u = k≤n (Ku. An element K ∈ B(H). For each n consider the ﬁrst part of these sequences and deﬁne (3. ei )ei . (3. Now. bounded on a separable Hilbert space. so we need to show that K(B(0. ei )2 Thus (3. Proposition 35. we need to show that a compact operator is the limit of a convergent sequence of ﬁnite rank operators.
Definition 19. should converge. 1))) is compact since it is the image under a continuous map of a compact set. v) converges in C for each v ∈ H. Weak convergence It is convenient to formalize the idea that a sequence be bounded and that each of the (un . ek )ek + ΠN u. So what we need to show is that given > 0 there exists n such that (3. u ≤ 1 =⇒ ΠN Ku < . v) − limn→∞ (un . . H. {un }. Conversely. ek ). Proposition 36. v) converges in C for each v ∈ H. Let ΠN be the orthogonal projection oﬀ the ﬁrst N elements of a complete orthonormal basis {ek } – so (3. a sequence converges weakly if and only if (un . Proof.91) u ≤ 1 =⇒ ΠN Tn u ≤ /2 shows that (3. Then we know that ΠN = 1 (assuming the Hilbert space is inﬁnite dimensional) and ΠN u is the ‘tail’.93) un u. In any metric space (applied to B(H)) the closure of a set is closed. (3. the sequence of coeﬃcients of some particular FourierBessel series. the assumption that un is bounded and that u exists are both unnecessary. Similarly the fact that it is closed under passage to adjoints follows from the same fact for ﬁnite rank operators. Note that the weak limit is unique since if u and u both have this property then (u − u .89) holds and hence K is compact. there is no harm in assuming it is bounded and that the ‘weak limit’ u ∈ H exists. A sequence. so the compact operators are closed being the closure of the ﬁnite rank operators.90) ΠN Ku ≤ ΠN (K − Tn )u + ΠN Tn u so choosing n large enough that K − Tn < /2 and then using the compactness of Tn (which is ﬁnite rank) to choose N so large that (3. in a Hilbert space. WEAK CONVERGENCE 99 tails. v) = limn→∞ (un . the compact operators form a closed and ∗closed twosided ideal in B(H). or we can prove them directly anyway. is said to converge weakly to an element u ∈ H if it is bounded in norm and (uj .92) BT (B(0. The ideal properties also follow from the corresponding properties for the ﬁnite rank operators. In fact as we shall see below. This relationship is written (3. 1) into itself. v) → (u.15. Thus cT B = T cB is compact since the image of the unit ball under it is contained in the image of the unit ball under T . That is. 1)) ⊂ B(T (B(0. Namely if B is bounded and T is compact then for some c > 0 (namely 1/ B unless it is zero) cB maps B(0. For any separable Hilbert space.89) Now. v) = 0 for all v ∈ H and setting v = u − u it follows that u = u . 15. hence T B is also compact.88) u= k≤N (u. Similarly BT is compact since B is continuous and then (3.
Then the second last term can be made small by choosing n large since vp is a ﬁnite linear combination of the ek . For a bounded sequence in a separable Hilbert space. u . vp ) − (u. ek ) for each k. The norm boundedness and Bessel’s inequality show that (3. v) → (u. ek )ek is a ﬁnite part of the FourierBessel series for v and C is a bound for un . ek ) converges for each k. Thus in fact {ck } ∈ l and hence (3. This is the continuity of the inner product. v) for all v ∈ H and it follows that un converges weakly to u. ek ) → (u. For a weakly convergent sequence un (3.100 3. Let ek be an orthonormal basis. Thus indeed. Lemma 31. Clearly (un . ek ) → ck in C for each k. v − vp ) − (u. Proposition 37. v) − (u.94) (un . Now the convergence vp → v implies that the last term in (3. (un . just that (un . Now apply the preceeding Lemma to conclude that this subsequence converges weakly. v) − (u. v) = (un . vp ) − (u. v) − (u.98) u ≤ lim inf un . vp ) + (un . Any bounded sequence {un } in a separable Hilbert space has a weakly convergent subsequence.97) can be made small by choosing p large. Then if un is weakly convergent it follows immediately that (un . Lemma 30. Proof. ek ) → (u. v) for all v ∈ H.97) (un . v) ≤ un − u v → 0 for each v ∈ H shows weak convergence. v − vp ) =⇒ (un . It remains to show that (un . This can be thought of as an analogue in inﬁnite dimensions of the HeineBorel theorem if you say ‘a bounded closed subset of a separable Hilbert space is weakly compact’.96) u= k ck ek ∈ H by the completeness of H. HILBERT SPACES Lemma 29. v) → (u. Proof. This is certainly true for any ﬁnite linear combination of the ek and for a general v we can write (3. Conversely. If un → u then (3. ek ) converges for each k. Choose an orthonormal basis {ek } and apply the procedure in the proof of Proposition 33 to extract a subsequence of the given bounded sequence such that (unp . vp ) + 2C v − vp where vp = k≤p (v. independent of n.95) k≤p ck 2 = lim 2 n→∞ (un . weak convergence is equivalent to component convergence with respect to an orthonormal basis. Proof. suppose this is true for a bounded sequence. v) ≤ (un . ek )2 ≤ C 2 sup un k≤p n 2 for all p. A (strongly) convergent sequence is weakly convergent with the same limit.
v) → F (v) converges in C is bounded and there exists w ∈ H such that un w (converges . Proposition 38. k≤p The sum on the right is bounded by un (3. H (un . K ∗ v) = (Ku.)) Conversely. Proof. unj u. An operator K ∈ B(H) is compact if and only if the image Kun of any weakly convergent sequence {un } in H is strongly. (If you don’t remember this. suppose that K has this property of turning weakly convergent into strongly convergent sequences. any subsequence of Kun has a convergent subseqeunce and the limit is necessarily Ku since Kun Ku (true for any bounded operator by computing (3.100) k≤p independently of p so 2 n u.15. 1)) has a (strongly) convergent subsequence – where we do not have to worry about whether the limit is in the set or not. provided one has the Uniform Boundedness Principle. v) = (un . Lemma 32. Thus un does indeed have a convergent subsequence and hence K(B(0. If un ∈ H is a sequence in a Hilbert space and for all v ∈ H (3. Choose an orthonormal basis ek and observe that (3. Then. We know that un < C is bounded so the sequence Kun is contained in CK(B(0. Theorem 3.98) follows.) u 2 ≤ lim inf un n 2 But the condition on a sequence in a metric space that every subsequence of it has a subsequence which converges to a ﬁxed limit implies convergence. that is we can pass to a subsequence which converges weakly. Then let p → ∞ to conclude that (3. However we know that the ball is weakly compact. by the assumption of the Lemma. K ∗ v) → (u. it is not really necessary to assume that a sequence in a Hilbert space is bounded. Such a sequence is of the form Kun where un is a sequence in B(0.99) k≤p (u. ek 2 ≤ lim inf un by the deﬁnition of lim inf .101) from which (3. Kunj → Ku converges strongly.102) (Kun .) Thus. ek )2 . First suppose that un u is a weakly convergent sequence in H and that K is compact. convergent. As noted above. WEAK CONVERGENCE 101 Proof.e. norm. This is impossible given the subsequence of subsequence condition (converging to the ﬁxed limit v. reconstruct the proof: To say a sequence vn does not converge to v is to say that for some > 0 there is a subsequence along which d(vnk . at the ready. v) ≥ . We want to show that K(B(0. 1)) and hence in a compact set (clearly if D is compact then so is cD for any constant c. v). 1)) has compact closure. i. ek )2 = lim 2 n→∞ (un . This just means that any sequence in K(B(0.103) then un weakly). 1)) must have compact closure. 1).
and algebra. un ). It is a linear map and from (3. In particular that it is a Banach space with respect to the norm (3.110) GL(H) = {A ∈ B(H). Note that this is equivalent to saying A is 11 and onto in view of the Open Mapping Theorem. of bounded operators B(H) on a separable Hilbert space H. It follows from the Uniform Boundedness Principle that there is a bound (3. ∃ B ∈ H(H). from (3. T ≤ C. Thus. Tn : H −→ C where we reverse the order to make them linear rather than antilinear.109) as follows from the fact that ABu ≤ A Bu ≤ A B u . this norm as a functional is just Tn = un H so the original sequence must be bounded in H. u) for all u ∈ H so un 16. Theorem 4. Apply the Uniform Boundedness Theorem to the continuous functionals (3. This set is open. w as claimed.112) B= j=0∞ Aj .106) T (u) = lim Tn (u) = lim (u. Thus (un . The algebra B(H) Recall the basic properties of the Banach space. If A < 1 then Aj ≤ A j . there exists w ∈ H such that (3. Proof. Deﬁne T : H −→ C as the limit for each u : (3. Lemma 33. u) → (w. However.109). and it follows that the Neumann series (3.107) T (u) = (u. This follows from the convergence of the Neumann series for A. If A ∈ B(H) and A < 1 then (3.108) and that the norm satisﬁes (3. w) ∀ u ∈ H. BA = AB = Id}.105) Tn ≤ C. HILBERT SPACES Proof. to see this consider a neighbourhood of the identity. AB ≤ A B A = sup u H =1 Au H Consider the set of invertible elements: (3. un ). n→∞ n→∞ This exists for each u by hypothesis.105) it is bounded.104) Tn (u) = (u.111) Id −A ∈ GL(H). each set Tn (u) is bounded in C since it is convergent.102 3. Thus by the Riesz Representation theorem.
116) (3. Moreover by the continuity of the product with respect to the norm n n+1 (3. Proposition 39.121) (U u. Since B(H) is a Banach space.119) G−1 (Id −E )−1 = (Id −E)−1 G−1 (G+B)G−1 (Id −E )−1 = (Id −E)−1 G−1 so the left and right inverses are equal and hence G + B is invertible. U −1 = U ∗ }. Suppose G ∈ GL(H). ≤ B G−1 < 1 and (G + B)G−1 (Id −E )−1 = (Id −E )(Id −E )−1 = Id . U v) = (u. is that both GL(H) and U(H) are contractible as a metric spaces – . The groups GL(H) and U(H) for a separable Hilbert space may seem very similar to the familiar groups of invertible and unitary n × n matrices. Proof. THE ALGEBRA B(H) 1 103 is absolutely summable in B(H) since j=0 Aj converges. The unitary group consists of the linear isometric isomorphisms of H onto itself – thus (3. U u = u ∀ u. is open. The associtivity of the operator product (that A(BC) = (AB)C then shows that (3. U(H). This is an important object and we will use it a little bit later on. GL(n) and U(n). The invertible elements form an open subset GL(H) ⊂ B(H).114) G−1 G = GG−1 = Id .113) AB = A lim n→∞ Aj = lim j=0 n→∞ Aj = B − Id j=1 and similarly BA = B − Id . the set of invertible elements.117) (3. Then we wish to show that B(G. In fact we shall see that we can take = G−1 −1 . 2 1 This group of invertible elements has a smaller subgroup. For one thing they are much bigger. deﬁned by (3. Thus (Id −A)B = B(Id −A) = Id shows that B is a (and hence the) 2sided inverse of Id −A. even though we will not try prove it here. but this is somewhat deceptive. In fact there are other important qualitative diﬀerences – you can ﬁnd some of this in the problems. It is also a group – since the inverse of G1 G2 if G1 . To show that G + B is invertible set (3. Thus GL(H) ⊂ B(H). meaning it has a twosided (and unique) inverse G−1 ∈ B(H) : (3. v). U ∈ U(H). ) ⊂ GL(H) for some > 0. G2 ∈ GL(H) is G−1 G−1 .16. (Id −E)−1 G−1 (G + B) = (Id −E)−1 (Id −E) = Id .118) E = −G−1 B =⇒ G + B = G(Id +G−1 B) = G(Id −E) B < 1/ G−1 =⇒ G−1 B < 1 =⇒ Id −E is invertible. One important fact that you should know.115) (3. v ∈ H.120) U(H) = {U ∈ GL(H). the sum converges. From Lemma 33 we know that Then (Id −E)−1 G−1 satisﬁes Moreover E = −BG−1 also satisﬁes E Thus G + B has both a ‘left’ and a ‘right’ inverse. the unitary group.
λ Id −A ∈ GL(H)}. Thus the resolvent set (3. u  = a. Then for any u. u  ≤ A u than or equal to the left. u =1 2 Proof. λ−A ∈ GL(H) has inverse (λ−A)−1 = λ−1 (Id −λ−1 A)−1 . Proposition 40. u−v +i A(u+iv). in contrast to the ﬁnite dimensional case. By the reality of the left side we can drop the last two terms and use the bound to see that (3.  Au.122) (λ Id −A)λ−1 (Id −λ−1 A)−1 = Id = λ−1 (Id −λ−1 A)−1 (λ − A). One upshot of this is that U(H) does not look much like the limit of the U(n) as n → ∞. v ∈ H. the convergence of the Neumann series.126) 4 Au. (λ Id −A) ∈ GL(H)} ⊂ C is an open. v  ≤ a and hence A = a. is that if A ∈ B(H) and λ ∈ C has λ > A then λ−1 A < 1 so (Id −λ−1 A)−1 exits and satisﬁes (3. v so we can arrange that Au. u−iv . Dropping the primes and computing using the polarization identity (3. Suppose that u =1 so the right side can only be smaller sup  Au.124) Spec(A) = {λ ∈ C. and nonempty. v  is nonnegative and u = 1 = u = v . v  = Aeiθ u. The proof of the last part depends on a diﬀerent characterization of the norm in the selfadjoint case.104 3. set called the resolvent set (usually (A − λ)−1 is called the resolvent). .125) A = sup (Au. u+iv −i A(u−iv).127) 4 Au. HILBERT SPACES they have no signiﬁcant topology. The complement of the resolvent set is called the spectrum of A (3. Lemma 34. A = sup  Au. / As follows from the discussion above it is a compact set – it cannot be empty. v = A(u+v). u+v − A(u−v). If A : H −→ H is a bounded operator on a Hilbert space and A∗ = A then A − λ Id is invertible for all λ ∈ C \ R and either A − A Id or A + A Id is not invertible. Another important fact that we will show is that GL(H) is not dense in B(H).123) {λ ∈ C. Spectrum of an operator Another direct application of Lemma 33. 17.  Au. v =≤ a( u + v u = v =1 2 + u − v 2 ) = 2C( u 2 + v 2 ) = 4a Thus. This is to be constrasted with the GL(n) and U(n) which have a lot of topology. v =  Au . If A∗ = A then (3. For a bounded selfadjoint operator we can say more. This. and are not at all simple spaces – especially for large n. u). Certainly.
then H has an orthonormal basis consisting of eigenvectors of A. un and hence we can pass to a weakly convergent subsequence. um + A 2 un 2 . The other case is similar (or you can replace A by −A) so one of A ± A is not invertible. un u.131) Auj = λj uj . But this implies that un is bounded. un → − A . this sequence is ﬁnite). . Finally then we need to show that one of A ± A Id is NOT invertible. One is that we have ‘Fredholm’s alternative’ in this case.18. by the deﬁnition of sup there is a sequence un ∈ H with un = 1 such that either Aun . This means that A − A Id is not invertible. (A − it) is invertible. Then (3. u = −t u 2 . so it is enough to consider the special case that λ = it. un → A or Aun . (3. Theorem 15. This follows from (3. Since the sequence it positive it follows that (A − A )2 un → 0. The second two terms here have limit A 2 by assumption and the ﬁrst term is less than or equal to A 2 . certainly A − it is injective. so A∗ = A. The operator A maps Nul(A)⊥ into itself so it may be clearer to ﬁrst split oﬀ the null space and then look at the operator acting on Nul(A)⊥ which has an orthonormal basis of eigenvectors with nonvanishing eigenvalues. uj such that (3. since t u 2 = − Im (A − it)un . Indeed. then (3. compact operator on a separable Hilbert space. The adjoint of A − it is A + it so the adjoint is injective too. Then for any u ∈ H.125). v = t v 2 .130) (A − A )2 un 2 = Aun 2 − 2 (A − A )un . Spectral theorem for compact selfadjoint operators One of the important diﬀerences between a general bounded selfadjoint operator and a compact selfadjoint operator is that the latter has eigenvalues and eigenvectors – lots of them. In the ﬁrst case this means (A − u )un . if w ∈ H there exists a sequence un in H with (A − it)un → w. So. since (A − it)u = 0 implies u = 0 if t = 0. From the Open Mapping Theorem. λj ∈ R \ {0}. since if it had a bounded inverse B then 1 = un ≤ B (A − A )2 un which is impossible. If λ = s+it where t = 0 then A−λ = (A−s)−it and A − s is bounded and selfadjoint. Indeed. 18. It follows that the range is dense. Then (A − it)un (A − it)u = v so A − it is 11 and onto. If A ∈ K(H) is a selfadjoint. so v is orthogonal to the range. So. un → 0. Before going to the proof.128) Im (A − it)u. It follows that the range of A − it is dense in H. let’s notice some useful conclusions. if v ∈ H and v ⊥ (A − it)u for all u ∈ H. consisting of an orthonormal basis for the possibly inﬁnitedimensional (closed) null space and eigenvectors with nonzero eigenvalues which can be arranged into a sequence such that λj  is a nonincreasing and λj → 0 as j → ∞ (in case Nul(A)⊥ is ﬁnite dimensional. SPECTRAL THEOREM FOR COMPACT SELFADJOINT OPERATORS 105 Proof of Proposition 40.129) 0 = Im (A − it)v.
Moreover. u± − u± ) n n n n = (A(u± − u± ). Certainly F is bounded.138) F (u± ) − F (u± ) ≤ (A(u± − u± ). since the sphere is then compact and a continuous function on a compact set attains its sup and inf. as in the ﬁnite dimensional case. and so assume that u± u± n converges weakly. Lemma 35. in norm.106 3. This is just saying that the null space of Id −A is a complement to the range – which is closed. continuity of F follows from continuity of A and of the inner product so (3. the sup and inf are attained. u).135) sup F (u) = A . If we were in ﬁnite dimensions this ﬁnishes the proof. Since F (u) is the function considered in (3.133) u − Au = 0 and then (3. If A ∈ K(H) is a selfadjoint compact operator on a separable (possibly ﬁnitedimensional) Hilbert space then (3. Proof. (3. since it just says the range is always the orthocomplement of the null space. u)−(Au. u =1 Thus. as in max .136) F (u)−F (u ) ≤ (Au.135) is a direct consequence of Lemma 34. But then we can write (3. You might say there is not much alternative from this point of view. u± ) + (Au± . F : {u ∈ H. u± ) + (u± . if the maximum or minimum of F (u) is nonzero it is attained at an eivenvector of A with this extremal value as eigenvalue.137) F (u) ≤ sup (Au. Let me separate oﬀ the heart of the argument from the bookkeeping. So. u =1 Furthermore. u ) ≤ 2 A u−u since both u and u have norm one. The weak compactness of the unit sphere means that we can pass n to a weakly convergent subsequence in each case.125). In the general case we need to use the compactness of A. If A ∈ K(H) is a compact selfadjoint operator on a separable Hilbert space then the equation (3. either Id −A is invertible or if not then the range is precisely the orthocomplement of Nul(Id −A). u )+(Au. Proof. Thus n indeed. HILBERT SPACES Corollary 6. n i. Then.134) F (u) = (Au.132) has a solution if and only if f is orthogonal to all these solutions. by the compactness of A. (3. u = 1} −→ R is a continuous function on the unit sphere which attains its supremum and inﬁmum where (3.e. Au± → Au± converges strongly. u) ≤ A . A(u± − u± )) ≤ 2 Au± − Au± n n n n to deduce that F (u± ) = lim F (u± ) are respectively the sup and inf of F. there is a sequence u+ such that F (u+ ) → sup F and another u− such that n n n F (u− ) → inf F. u )−(Au .132) u − Au = f either has a unique solution for each f ∈ H or else there is a nontrivial ﬁnite dimensional space of solutions to (3.
ej ) = 0. From the argument above. This process will not stop uness F ≡ 0 at some stage. Computing out (3. what can go wrong here? Nothing except if F0 ≡ 0.18. 1) ⊂ H0 is smaller than (actually of course equal to) the whole image of the unit ball. Then for any v ∈ H with v ⊥ u+ the curve (3. since (3. for instance by replacing A by −A. The same argument applies to inf F if it is negative. v) + sin2 (θ)F (v) we know that this function must take its maximum at θ = 0. However in that case we know from Lemma 34 that A = 0 so A = 0. either H0 is ﬁnite dimensional or we can grind out an inﬁnite orthonormal sequence ei of eigenvectors of A in H0 with the corresponding sequence of eigenvalues such that λi  is nonincreasing – since the successive FN ’s are restrictions . and ﬁnd an eigenvector. Now. (Au. Thus. since Moreover this restricted operator is selfadjoint and compact on HN as before so we can again ﬁnd an eigenvector. Aej ) = λj (u. π)) is Re(Au+ . is again a compact selfadjoint operator – where the compactness follows from the fact that A(B(0. Lv (θ)) = cos2 θF (u+ ) + 2 sin(2θ) Re(Au+ . Taking the span of these v’s it follows that (Au+ .139) Lv : (−π. Note that this is NOT typically true if A is not compact as well as selfadjoint.142) (Au. Thus we can apply the Lemma above to A0 . v ∈ Nul(A) =⇒ Au ∈ H0 . as noted above. Now we proceed by induction. v) = (u. . (u. π) θ −→ cos θu+ + sin θv lies in the unit sphere. but then A ≡ 0 on HN and since HN ⊥ Nul(A) which implies HN = {0} so H0 must have been ﬁnite dimensional. . SPECTRAL THEOREM FOR COMPACT SELFADJOINT OPERATORS 107 and min. with quadratic form F0 . v) = 0 for all v ⊥ u+ so A+ u must be a multiple of u+ itself. ej ) = 0 if u ∈ HN =⇒ Au ∈ HN . Suppose we have found N mutually orthogonal eigenvectors ej for A all with norm 1 and eigenvectors λj – an orthonormal set of eigenvectors and all in H0 . So. Let’s agree to take the one associated to sup FA0 unless supA0 < − inf F0 in which case we take one associated to the inf . Then we consider (3. with eigenvalue either the max of min of the new F for HN . N }. A maps H0 into itself. Av) = 0 ∀ u ∈ H0 . A maps HN into itself. j = 1. Then. . Proof of Theorem 15. v = 1. Moreover. suppose that Λ+ = sup F > 0.144) HN = {u ∈ H0 = Nul(A)⊥ . . Inserting this into the deﬁnition of F it follows that Au+ = Λ+ u+ is an eigenvector with eigenvalue Λ+ = sup F. A0 . The derivative there (it is certainly continuously diﬀerentiable on (−π.140) F (Lv (θ)) = (ALv (θ). which is A restricted to H0 . ej ) = (u. The same is true for iv in place of v so in fact (3. This completes the proof of the Lemma. First consider the Hilbert space H0 = Nul(A)⊥ ⊂ H. we now know that we can ﬁnd an eigenvector with nonzero eigenvalue unless A ≡ 0 which would implies Nul(A) = H. 1)) for B(0. v) = 0 ∀ v ⊥ u+ .143) (3. v) which must therefore vanish.141) (Au+ . Now.
So we need to rule out the possibility that there is an inﬁnite orthonormal sequence of eigenfunctions ej with corresponding eigenvalues λj where inf j λj  = a > 0. 19. we need to check that this orthonormal sequence of eigenvectors constitutes an orthonormal basis of H0 . . Notice that the result does not depend on the order of the factors or anything like that. Such a sequence cannot exist since ej 0 so by the compactness of A. it is easy enough in case f is a polynomial. A ] either converging to zero or ﬁnite. If not. A ] which might be quite a lot smaller). and its orthocomplement in H0 – which would have to be nontrivial. A ]) −→ B(H) with f (A)g(A) = (f g)(A). which is again a compact selfadjoint operator.146) C 0 ([− A . f (A)u = i f (λu )(u. that (3. Aej → 0 (in norm) but Aej  ≥ a which is a contradiction. Even though it may not have eigenfunctions – or not a complete orthonormal basis of them anyway.145) f (A) ∈ B(H). Thus if null(A)⊥ is not ﬁnite dimensional then the sequence of eigenvalues constructed above must converge to 0. as before F restricts to this space to be F for the restriction of A to it. This formula actually deﬁnes a linear map (3. it is still possible to deﬁne f (A) for a continous function deﬁned on [− A . . with nonzero eigenvalue. If f ∈ C 0 ([− A .108 3. H . So. . then we can form the closure of the span of the ei we have constructed. A ] one can use the norm estimate in the polynomial case. if F is not identically zero we can again construct an eigenfunction. since then we can factorize it and set (3.148) f (A) ≤ sup z∈[− A . However. ei )ei where {ei } is a complete orthonormal basis of eigenfunctions. Functional Calculus So the nonzero eigenvalues of a compact selfadjoint operator form the image of a sequence in [− A . (z − zN ) =⇒ f (A) = c(A − z1 )(A − z2 ) . Finally then. . A f (z).147) f (z) = c(z − z1 )(z − z2 ) . Thus in fact F ≡ 0 so A ≡ 0 and the eigenvectors form and orthonormal basis of Nul(A)⊥ . Such a map exists for any bounded selfadjoint operator. (A − zN ). This is an eﬀective replacement for the spectral theorem in the compact case. in absolute value at least. HILBERT SPACES of the previous ones the max and min are getting closer to (or at least no further from) 0. This completes the proof of the theorem. A ) then one can deﬁne an operator (3. which contracdicts the fact the we are always choosing a largest eigenvalue. . To pass to the case of a general continuous function on [− A . Provided f (0) = 0 this is compact and if f is real it is selfadjoint. A ] (in fact it only has to be deﬁned on Spec(A) ⊂ [− A . How does one deﬁne f (A)? Well.
Thus. Now. Thus. Next we head towards the spectral theory of selfadjoint compact operators. For general operators the converse is not correct. If K ∈ B(H) is a compact operator then λ ∈ C\{0} is an eigenvalue of K if and only if λ ∈ Spec(K). as we know.148) is outlined in Problem 3. K has 1 as an eigenvalue. or equivalently surjective. Now in the general case we use the approximability of K by ﬁnite rank operators. Then Id −K acts rather simply – decomposing H = W ⊕ W ⊥ . COMPACT PERTURBATIONS OF THE IDENTITY 109 This allows one to pass f in the uniform closure of the polynomials. we can choose a ﬁnite rank operator F such that K − F < 1/2. u = w + w (3.e. Let the span of the ei be W – since it is ﬁnite dimensional it is closed. To say that λ ∈ C is an eigenvalue of K is to say that there is a nontrivial solution of (3. L = (Id −B)F. K ∈ K(H) is ‘big’.3 below. Since we can divide by λ we may replace K by λ−1 K and consider the special case λ = 1. By Lemma 27 we can choose a basis so that (3. in the lectures. 1 is an eigenvalue of K if and only if 1 is an eigenvalue of K as an operator on the ﬁnitedimensional space W. The proof of (3. ‘small’ in the sense that the are norm limits of ﬁnite rank operators. 20. A ]). such as IdW −K . There is no satisfactory spectral theory for general noncompact and nonselfadjoint operators as you can easily see from examples (such as the shift operator).75) holds. We are quite interested in this operator because of spectral theory. There is also a pretty satisfactory spectral theory of nonselfadjoint compact operators. This is rather similar to the spectral theory of selfadjoint matrices and has many useful applications as we shall see.150) Ku − λu = 0 where nontrivial means other than than the solution u = 0 which always exists.149) Id −K. So. Compact perturbations of the identity I have generally not had a chance to discuss most of the material in this section. Proof. but for compact operators it is. Then we can write (3. There is a very eﬀective spectral theory of general bounded but selfadjoint operators but I do not expect to have time to do this. If λ is an eigenvalue of K then certainly λ ∈ Spec(K). the same is true for Id −K. since λ−K cannot be invertible.152) it follows that Id −K has nontrivial null space. then you will want to say that an operator such as (3. Now. if Id −K is not invertible then Id −L is not invertible and hence has null space and from (3. Thus. i. Compact operators are.152) Id −K = Id −(K − F ) − F = (Id −(K − F ))(Id −L). Lemma 36. a matrix. Thus. . Now. is invertible if and only if it is inective. if K is actually ﬁnite rank the result is straightforward. which by the StoneWeierstrass theorem is the whole of C 0 ([− A . K : W −→ W being a matrix with respect to the basis. or the next. (Id −K + F )−1 = Id −B is invertible. If you accept this.20. Id −K is invertible if and only if Id −L is invertible.151) (Id −K)(w + w ) = w + (IdW −K )w .
going back to (3. If K ∈ K(H) is a compact operator on a separable Hilbert space then null(Id −K) = {u ∈ H. Ran(Id −K) = {v ∈ H. Ku) = 0 ∀ u ∈ H} is ﬁnite dimensional Proof of Proposition 41. and it need not be equal. if Ran(Id −T ) = Nul(T ).110 3. N Remember that a ﬁnite rank operator can be written out as a ﬁnite sum (3. It can be split as g = u + g where g ⊥ Nul(T ) (being a closed subspace) and u ∈ Nul(T ).157) Ran(Id −T ) ⊃ Nul(T ). since T is certainly continuous. start with any a vector g in Ran(Id −T ) which is not in Nul(T ).160) u=u + i=1 di ei . v = (Id −K)u} is closed and Ran(Id −K)⊥ = {w ∈ H. eN = ci ej . (IdK )u = 0} is ﬁnite dimensional (3. say the last since we can renumber. ei )(fi + cj fN ) showing that the range of T has dimension at most N − 1. u = T u} ⊂ Ran(T ). We also know in this case that the ei must be linearly independent – if they weren’t then we could write one of them. So. ei )fi where we can take the fi to be a basis of the range of T. A subspace of a ﬁnite dimensional space is certainly ﬁnite dimensional. then g = 0 is in Ran(Id −T ) and orthongonal to Nul(T ). of j<N multiples of the others and then ﬁnd N −1 (3. (w.158) we know that Nul(T ) has ﬁnite codimension – every element of H is of the form N (3. First let’s check this in the case of a ﬁnite rank operator K = T. On the other hand from (3. (3. To do this. Similarly.159) Tu = i=1 (u. u ∈ Nul(T ). out as a sum. But we can continue this process replacing Nul(T ) by . T u = 0}. ∃u ∈ H.156) Ran(Id −T ) = {v ∈ H.154) dim (null(Id −K)) = dim Ran(Id −K)⊥ . the new space Nul(T ) ⊕ Cg is again closed and contained in Ran(Id −T ). Now.156). we can choose – using the fact that Nul(T ) is closed – an element g ∈ Ran(Id −T ) \ Nul(T ) which is orthogonal to Nul(T ). So.153) and moreover (3.157). going back to (3. contradicting the fact that the fi span it. HILBERT SPACES A little more generally:Proposition 41.155) Nul(Id −T ) = {u ∈ H. Consider the subspace {u ∈ H. Then (3. still assuming that T is ﬁnite rank consider the range (3. v = (Id −T )u for some u ∈ H}. so this proves the ﬁrst condition in the ﬁnite rank case. We know that this this is closed.158) Tu = i=1 (u.
What about (3.153). so (3. If V ⊂ H is a subspace of a Hilbert space which contains a closed subspace of ﬁnite codimension in H – meaning V ⊃ W where W is closed and there are ﬁnitely many elements ei ∈ H.161) then V itself is closed. COMPACT PERTURBATIONS OF THE IDENTITY 111 this larger closed subspace. . .168) (Id −K) = G(Id −T ) 1 2 is invertible and T is of ﬁnite rank. this takes care of the case that K = T has ﬁnite rank! What about the general case where K is compact? Here we just use a consequence of the approximation of compact operators by ﬁnite rank operators proved last time.164) Nul(Id −K) = Nul(Id −T ) is ﬁnite dimensional. Id −K ∗ = (Id −T ∗ )G∗ and G∗ is also invertible. So. T = (Id −B)−1 T. After a a ﬁnite number of steps we conclude that Ran(Id −T ) itself is closed. For a compact operator we have written (3.20. by the ideal property. dim Nul(Id −K ∗ ) = dim Nul(Id −T ∗ ) However. now we have proved all of (3. . What we have just proved is: Lemma 37. ci ∈ C. B < Id −K = (Id −B) − T = (Id −B)(Id −T ). T is of ﬁnite rank.163) Here we have used the convergence of the Neumann series. So.169) . .167) where G = Id −B with B < want to see is that (3. consider the null space of Id −K and use (3. Now.162) 1 . So what we dim Nul(Id −K) = dim Nul(Id −T ) = dim Nul(Id −K ∗ ).153) – the third part following from the ﬁrst as discussed before. this is the ﬁrst condition in (3.154)? This time let’s ﬁrst check that it is enough to consider the ﬁnite rank case. Similarly. N such that every element u ∈ H is of the form N (3.166) Ran(Id −K) = Ran(Id −T ) is closed again using the fact that Id −B is invertible – so every element of the form (Id −K)u is of the form (Id −T )u where u = (Id −B)u and conversely. 2 Now. so (Id −B)−1 does exist. Here of course we use the fact that (Id −K)u = 0 is equivalent to (Id −T )u = 0 since Id −B is invertible. i = 1. to examine the second we do the same thing but the other way around and write (3. So. so (3. T is again of ﬁnite rank and (3. if K is compact then there exists B ∈ B(H) and T of ﬁnite rank such that (3.162) to write K = B + T. Namely. Now. u=u + i=1 ci ei .165) Id −K = (Id −B) − T = (Id −T )(Id −B). (3. T = T (Id −B)−1 .
21. its range is closed and the orthocomplement of its range is ﬁnite dimensional.154) does not hold. Thus we really are reduced to the ﬁnitedimensional theorem (3. In fact T w = 0 and T ∗ w = 0 if w ∈ W ⊥ since then (w . A bounded operator F ∈ B(H) on a Hilbert space is said to be Fredholm if it has the three properties in (3. (Id −T ∗ )u = 0 ⇐⇒ u ∈ W and R∗ u = 0. This is assuredly bounded and an element of the null space would have to satisfy xu(x) = 0 almost everywhere. and hence vanish almost everywhere.112 3.174) ind(F ) = dim (null(Id −K)) − dim Ran(Id −K)⊥ is a very important number with lots of interesting properties and uses. There is for instance a bounded operator on a separable Hilbert space with trivial null space and dense range which is not closed. Now. For general Fredholm operators the rowrank=columrank result (3.170) T ∗v = i=1 (v. Ran(W ) = Nul(R∗ )⊥ and ﬁnite dimensions (3.153) – its null space is ﬁnite dimensional. Now. everything now on W. Indeed the diﬀerence of these two integers (3. 1) which is multiplication by the function x. . at least. You no doubt know this result. we can look at the vector space W spanned by all the fi ’s and all the ei ’s together – note that there is nothing to stop there being dependence relations among the combination although separately they are independent. Notice that the last two conditions in (3. then R∗ is given by Id −T ∗ acting on W and we use the Hilbert space structure on W induced as a subspace of H. How could this be? Think for instance of the operator on L2 (0. This is a general fact which I mentioned. what we have just shown is that (3. Moreover the density of the L2 functions vanishing in x < for some (nonﬁxed) > 0 shows that the range is dense. for a ﬁnite rank operator.173) dim Nul(R) + dim Ran(R) = dim W = dim Ran(W ) + dim Nul(R∗ ). fi ) = 0 for all i. ei ) = 0 and (w . earlier but let me pause to prove it. So. Fredholm operators Definition 20.172) dim Nul(R) = dim Nul(R∗ ) on W. It follows by observing that in this case. HILBERT SPACES and hence it is enough to check that dim Nul(Id −T ) = dim Nul(Id −T ∗ ) – which is to say the same thing for ﬁnite rank operators. T : W −→ W as is immediately clear and N (3. fi )ei so T : W −→ W too.153) are really independent since the orthocomplement of a subspace is the same as the orthocomplement of its closure. It follows that if we write R : W ←→ W for the linear map on this ﬁnite dimensional space which is equal to Id −T acting on it. written out as (3. Before proving this result let’s check that the third condition in (3.158).153) really follows from the ﬁrst. However it is clearly not invertible.171) (Id −T )u = 0 ⇐⇒ u ∈ W and Ru = 0.
1. The deﬁnition of the orthocomplement of Ran(B) shows immediately that (3. v ∈ H. PROBLEMS 113 Proposition 42. Bu) = 0 ∀ u ∈ H ⇐⇒ (B ∗ v. v) = i (T u)i (T v)i . we check it for all compact operators) then Nul(Id −K ∗ ) is ﬁnite dimensional and hence so is Ran(Id −K)⊥ . Why is a ﬁnite dimensional preHilbert space a Hilbert space? Problem 3.179) are ci = (v. w) = 0 ∀ w ∈ Ran(B)} = Nul(B ∗ ). Let H be a normed space in which the norm satisﬁes the parallelogram law: (3. Let H be a ﬁnite dimensional (pre)Hilbert space. c.179) v= i c i vi and there is no dependence relation between the vi ’s – the presentation of v = 0 in the form (3. in (3. u H = Tu Cn ∀ u. ei ) and that the map (3. by deﬁnition H has a basis {vi }n . w) = 0 ∀ w ∈ Ran(B) ←→ (v. e. ermitian) inner product. Big Hint:. ei )) ∈ Cn is a linear isomorphism with the properties (3. So. If B ∈ B(H) is a bounded operator on a Hilbert space and B ∗ is its adjoint then (3. On the other hand we have already observed that V ⊥ = (V )⊥ for any subspace – since the right side is certainly contained in the left and (u.176) v ∈ (Ran(B))⊥ ⇐⇒ (v. : Prove (3. Show that H has an orthonormal basis. Thus as a corrollary we see that if Nul(Id −K) is always ﬁnite dimensional for K compact (i. w) = 0 for all w ∈ V by using the continuity of the inner product to pass to the limit of a sequence vn → w. (v. v) = 1 4 u+v 2 − u−v 2 + i u + iv 2 − i u − iv 2 ! Problem 3. Check that for the orthonormal basis the coeﬃcients in (3.180) T :H v −→ ((v.22. If λ ∈ f ([− A . {ei }n satisi=1 fying (ei . The important step is actually the fact that Spec(A) ⊂ [− A . which is proved somewhere above.179) is unique.177) u+v 2 + u−v 2 = 2( u 2 + v 2 ) ∀ u. meaning that any element of H can be written i=1 (3. v ∈ H. Problems Problem 3. Now. Show that the norm comes from a positive deﬁnite sesquilinear (i.181) (u.Try (3.147) is 1. ej ) = δij (= 1 if i = j and 0 otherwise). Proof.3. if f is a real polynomial. we can assume the leading constant. u) = 0 ∀ u ∈ H ⇐⇒ B ∗ v = 0 ⇐⇒ v ∈ Nul(B ∗ ). A ] if A is selfadjoint. A ]) then f (A) is selfadjoint and λ − f (A) is invertible – it is / .e.175) Ran(B)⊥ = (Ran(B))⊥ = {v ∈ H.178) (u.2. 22. v) = 0 for all v ∈ V implies that (u.148).
To use the ﬁnite dimensional approximation condition to show that any weakly convergent sequence in K is strongly convergent.5. hence strongly. Problem 3.5) To show that this condition is suﬃcient. . expand (3.147).9. u2 )H2 = (u1 . Show that if vn is weakly convergent in H then Avn is strongly convergent in H. see what you think.184) (vn − v. Problem 3. v)} ≤ .8. Hint (Problem ??) In one direction use the result from class that any bounded sequence has a weakly convergent subsequence. is (strongly) convergent if and only if the weak limit.Is it possible to show the completeness of the Fourier basis √ exp(ikx)/ 2π by computation? Maybe. convergent and hence deduce that {vn } is Cauchy. Suppose that A : H −→ H is a bounded linear operator with the property that A(H) ⊂ H is ﬁnite dimensional. Let H be a separable Hilbert space. a weakly convergent sequence {vn }. in a separable Hilbert space. Question:. These questions are also intended to get you to say things clearly. A∗ u2 )H1 ∀ u1 ∈ H1 .4. HILBERT SPACES enough to check this for each factor in (3. DN ) = sup inf {d(u. Show that a subset of a separable Hilbert space is compact if and only if it is closed and bounded and has the property of ‘ﬁnite dimensional approximation’ meaning that for any > 0 there exists a linear subspace DN ⊂ H of ﬁnite dimension such that (3. Show that K ⊂ H is compact if and only if it is closed.7.6. Hint (Problem 3. Problem 3. A ])} = lim n→∞ vn H.147). Show that. Thus Spec(f (A)) ⊂ f ([− A .114 3.185) d(K. v satisﬁes (3.183) v H f (A) ≤ sup{z ∈ f ([− A . Suppose that H1 and H2 are two diﬀerent Hilbert spaces and A : H1 −→ H2 is a bounded linear operator. Problem 3. Problem 3.186) (Au1 . Show that there is a unique bounded linear operator (the adjoint) A∗ : H2 −→ H1 with the property (3.182) which is in fact (3. A ]) which means that (3. use the convexity result from class to deﬁne the sequence {vn } in DN where vn is the closest point in DN to vn . Show that vn is weakly. Problem 3. u∈K v∈DN See Hint 22 Hint (Problem ??) To prove necessity of this condition use the ‘equismall tails’ property of compact sets with respect to an orthonormal basis. vn − v) = vn 2 − 2 Re(vn . u2 ∈ H2 . bounded and has the property that any sequence in K which is weakly convergent sequence in H is (strongly) convergent. v) + v 2 .
19) Be careful! Use the result in class which was deduced from the Uniform Boundedness Theorem.22. (2) Explain why this Fourier series converges to ft in L2 (0.Consider the linear functional L : H −→ C. Show that B u = Bu − (Lu)e1 is a bounded linear operator from H to the Hilbert space H1 = {u ∈ H. for x ∈ [0. 2π). Show that there is a uniquely deﬁned bounded linear operator S : H −→ H.13. Problem 3. Show that if B : H −→ H is a bounded linear operator then S + B is not invertible if < 0 for some 0 > 0. k ∈ N.188) 2 k>0 ck (t)2 = 2πt − t2 . Prove that for appropriate constants dk .18). PROBLEMS 115 (1) Work out the Fourier coeﬃcients ck (t) = tion (3. that knowledge of the sums of these two series should imply the completeness of the Fourier basis? There is a serious subtlety in this argument. Lu = (Bu. 1]. k ∈ N. Problem 3. Hint (Problem 3. in the sense that if An and Bn are strong convergent sequences of bounded operators on H with limits A and B then the product An Bn is strongly convergent with limit AB. Problem 3. Hint (Problem 3. See Hint 22 Hint (Problem 3. 2π) to (−2π. satisfying (3. (4) Can you explain how reversing the argument. Then extend functions as odd from (0.17 The usual method is to use the basic result from class plus translation and rescaling to show that dk exp(ikx/2) k ∈ Z form an orthonormal basis of L2 (−2π.2π) ft e−ikx of the step func 0≤x<t t ≤ x ≤ 2π for each ﬁxed t ∈ (0. 2π) has the property that the Fourier series of K(x) ∈ L2 (0. Problem 3. H. be an orthonormal basis in a separable Hilbert space.11. (u. Use this to argue that S + B cannot be an isomorphism from H to H by showing that either e1 is not in the range or else there is a nontrivial element in the null space. Show that a continuous function K : [0.189) Sej = ej+1 ∀ j ∈ N. Show that the product of bounded operators on a Hilbert space is strong continuous. t ∈ (0. Conclude that S + B is invertible as a linear map from H to H1 for small . 2π). 2π). and you get full marks for spotting it. e1 ) = 0}. (3) Write this condition out as a Fourier series and apply the argument again to show that the completeness of the Fourier basis implies identities for the sum of k −2 and k −4 . 2π) if and only if (3. 2π). 2π). the functions dk sin(kx/2). 1] −→ L2 (0.10.187) ft (x) = 1 0 (0. 2π). form an orthonormal basis for L2 (0. without going ahead a using it to prove completeness.12. converges . Let ek . e1 ).
193) 2 k>0 ck (t)2 = 2πt − t2 .16. 1] −→ L2 (0. Hint (Problem 3. 1) – yes it maps into continuous functions but that is ﬁne. 1]) and hence a continuous function K : [0. 2π) if and only if (3. 1]2 ). 1). exchanging the roles of x and y.1) K(x. Thus. Although we have concentrated on the Lebesgue integral in one variable. (1) Work out the Fourier coeﬃcients ck (t) = (0.15.2π) → 0. Let Kn (x. (2) Explain why this Fourier series converges to ft in L2 (0.190) sup x∈[0.2π) ft e−ikx of the step function (3. you proved at some point the covering lemma in dimension 2 and that is pretty much all that was needed to extend the discussion to 2 dimensions. the operator is (3. These questions are also intended to get you to say things clearly. 2π) is also continuous and (3. HILBERT SPACES uniformly in the sense that if Kn (x) is the sum of the Fourier series over k ≤ n then Kn : [0. they are Lebesgue square integrable. see what you think. Problem 3. by truncating the Fourier series (in y) at some point n. 1) then apply the previous problem with the interval rescaled. form a complete orthonormal basis.116 3. Sketch a proof – noting anything that you are not sure of – that the functions exp(ikx+ily)/2π. 2π)2 ) is a Hilbert space. 1] x −→ K(x. 2π). 1) with a kernel which is continuous – K ∈ C([0. t ∈ (0. Hint (Problem 3. .13) Use one of the properties of compactness in a Hilbert space that you proved earlier. It might actually be clearer to do this the other way round.1] K(x) − Kn (x) L2 (0.14. Question:. Problem 3. y)u(y). 1] −→ L2 (0. y) be the continuous function of x and y given by the previous problem. 2π). l ∈ Z.192) ft (x) = 1 0 0≤x<t t ≤ x ≤ 2π for each ﬁxed t ∈ (0.191) T u(x) = (0. k. Now. Problem 3. Consider an integral operator acting on L2 (0. Here is an even more expanded version of the hint: You can think of K(x. Let’s just assume you have assiduously checked everything and so you know that L2 ((0.13) Use the previous problem! Show that a continuous function such as K in this Problem deﬁnes a continuous map [0. y) as a continuous function of x with values in L2 (0.Is it possible to show the completeness of the Fourier basis √ exp(ikx)/ 2π by computation? Maybe. the idea is the diﬀerence K − Kn deﬁnes a bounded operator with small norm as n becomes large. ·) ∈ C([0. Show that T is bounded on L2 (I think we did this before) and that it is in the norm closure of the ﬁnite rank operators. Check that this deﬁnes a ﬁnite rank operator on L2 (0.
the functions dk sin(kx/2). Show that the product of bounded operators on a Hilbert space is strong continuous. Hint: Be careful! Use the result in class which was deduced from the Uniform Boundedness Theorem. (u. Tn : H −→ C.196) T v = lim (v. that knowledge of the sums of these two series should imply the completeness of the Fourier basis? There is a serious subtlety in this argument. 2π). (1) Explain why the sequence un H is bounded. e1 ). un ) is Cauchy in C for each ﬁxed v ∈ H it is convergent. Hint: The usual method is to use the basic result from class plus translation and rescaling to show that dk exp(ikx/2) k ∈ Z form an orthonormal basis of L2 (−2π. Show that there is a uniquely deﬁned bounded linear operator S : H −→ H.Consider the linear functional L : H −→ C. be an orthonormal basis in a separable Hilbert space. v) for each v ∈ H. k ∈ N. form an orthonormal basis for L2 (0. Then extend functions as odd from (0. Say that a sequence un in H converges weakly if (un . (4) Can you explain how reversing the argument. n→∞ . in C so by the ‘Uniform Boundedness Principle’ the Tn are bounded.194) Sej = ej+1 ∀ j ∈ N.17. H. Problem 3. Let ek . Show that B u = Bu − (Lu)e1 is a bounded linear operator from H to the Hilbert space H1 = {u ∈ H. ·) and norm · . e1 ) = 0}. un ) in C. Set (3. 2π) to (−2π. Solution: Since (v. in the sense that if An and Bn are strong convergent sequences of bounded operators on H with limits A and B then the product An Bn is strongly convergent with limit AB.19. Prove that for appropriate constants dk .18. without going ahead a using it to prove completeness. Let H be a separable (partly because that is mostly what I have been talking about) Hilbert space with inner product (·. PROBLEMS 117 (3) Write this condition out as a Fourier series and apply the argument again to show that the completeness of the Fourier basis implies identities for the sum of k −2 and k −4 . Hint:. Use this to argue that S + B cannot be an isomorphism from H to H by showing that either e1 is not in the range or else there is a nontrivial element in the null space. Solution: Each un deﬁnes a continuous linear functional on H by (3. Show that if B : H −→ H is a bounded linear operator then S + B is not invertible if < 0 for some 0 > 0. Conclude that S + B is invertible as a linear map from H to H1 for small .195) Tn (v) = (v. Problem 3. and hence bounded. v) is Cauchy in C for each v ∈ H. Tn = un . 2π).22.20. and you get full marks for spotting it. hence un is bounded in R. (2) Show that there exists an element u ∈ H such that (un . v) → (u. Problem 3. Problem 3. 2π). For ﬁxed v the sequence Tn (v) is Cauchy. Lu = (Bu. k ∈ N. un ). satisfying (3.
by Riesz’ theorem there exists u ∈ H such that T v = (v. u) = c1 T v1 + c2 T v2 n→∞ and is bounded since T v ≤ C v .198) (un . ej ) converges for each j then un converges weakly. v) ∀ v ∈ H. with justiﬁcation. give. Solution: By the assumption that (un . Thus the sequence (un . HILBERT SPACES This is a linear map. consider the maps on complex sequences (3. ei ) = 0 for all i > n. vk ) + (un .201) (T ± c)j = cj j ±2 . so converges to 0. Given > 0 the boundedness of un means that the last two terms can be arranged to be each less than /4 by choosing k suﬃciently large. v − vk ) + (um . Thus.200) (un . v − vk ). This is ﬁne. However. (3) If ei . C = supn un . Certainly (un . an example of a sequence un which is not weakly convergent in H but is such that (un . but to prove that h±2 are Hilbert spaces we can actually use l2 itself. Now. ej ) converges for each j. Consider the two spaces of sequences ∞ h±2 = {c : N −→ C. un ) + c2 (v2 .118 3. . (4) Show that if the ei form an orthonormal basis. Having chosen k the ﬁrst term is less than /4 if n. Solution: One such example is un = nen . (3. since (3. v) is Cauchy in C and hence convergent. so the sequence cannot be weakly convergent by the ﬁrst part above. un is bounded and (un . i ∈ N. un is not bounded. Thus. Show that both h±2 are Hilbert spaces and that any linear functional satisfying T : h2 −→ C. ek )ek shows that there is a sequence vk → v where each vk is in the ﬁnite span of the ej .21. T c ≤ C c for some constant C is of the form ∞ h2 Tc = j=1 ci di where d : N −→ C is an element of h−2 . vk ) converges as n → ∞. Solution: Many of you hammered this out by parallel with l2 . Problem 3. m > N by the fact that (un . by Cauchy’s inequality (3. Then.197) T (c1 v1 + c2 v2 ) = lim c1 (v1 . by deﬁnition of T. v) converges as n → ∞ for all v which is a ﬁnite linear combination of the ei . v) − (um . ej ) converges for all j it follows that (un .199) v= k (v. v) ≤ (un vk ) − (um . j=1 j ±4 cj 2 < ∞}. u). For general v ∈ H the convergence of the FourierBessell series for v with respect to the orthonormal basis ej (3. is an orthonormal sequence. v) → (u.
C ∞ (S) should be C 0 (S).202) c h±2 = Tc l2 . S = {z. d ∈ h2 . (3. 2π) ←→ {u ∈ L1 (R). continuous} −→ {u : R −→ C. d)h±2 = j=1 j ±4 cj dj . Let S be the circle of radius 1 in the complex plane.2 (2).203) (c. T c ≤ C c h2 is of the form ∞ (3. the space of continuous functions on the circle – with supremum norm. (4) Discussion around (3. d )h2 = j=1 j 4 cj dj . continuous and satisfying u(x + 2π) = u(x) ∀ x ∈ R}. u loc (0. and elsewhere.206) Tc = j=1 cj dj . d ∈ h−2 . centered at the origin.205) j j −4 dj 2 = j j 4 dj 2 < ∞. it is good for you! Now. (3) Similarly. so it follows that h± are linear.222) clariﬁed.220) it should be u = F v. before (3. Now. if d ∈ h2 then dj = j 4 dj deﬁnes a sequence in h−2 .208) C 0 (S) = {u : S −→ C. (2) In (3. 2π) and u(x + 2π) = u(x) ∀ x ∈ R}/NP .219) it should be u = F v. z = 1}.204) T c = (c. (3.2 clariﬁed. It is also a linear map.22. once we know that h2 is a Hilbert space we can apply Riesz’ theorem to see that any continuous linear functional T : h2 −→ C. (5) Last part of P10. (1) In P9. The inner products on h±2 are then ∞ (3. and that they are indeed Hilbert spaces with T ± isometric isomorphisms onto l2 . not u = Sv.207) Qu = (− Problem 3. Don’t feel bad if you wrote it all out.22. Inserting this in (3.209) L2 (0. This week I want you to go through the invertibility theory for the operator d2 + V (x))u(x) dx2 acting on periodic functions. (1) Show that there is a 11 correspondence (3. Since we have not developed the theory to handle this directly we need to approach it through integral operators. Namely. PROBLEMS 119 Without knowing anything about h±2 this is a bijection between the sequences in h±2 and those in l2 which takes the norm (3. (2) Show that there is a 11 correspondence (3.204) we ﬁnd that ∞ (3.2π) ∈ L2 (0.
2π]. Now.2π C 0 (S) −→ L2 (S).216) A (x. So. HILBERT SPACES where NP is the space of null functions on R satisfying u(x + 2π) = u(x) for all x ∈ R.213) A(x. on R satisfying (3. solve the problem by integrating twice from the origin (say) and hence get a solution to the diﬀerential equation (3. Then recall the idea of integrating factors to see that du dφ − u = ex . u.212) and that this solution can be written in the form − u(x) = (Sf )(x) = 0.120 3. x ∈ R. y)f (y)dy where A is continuous on R×[0. Extended hint: In case you managed to avoid a course on diﬀerential equations! First try to ﬁnd a solution. To do so one can (for example. add to u as solution dx dx .212).209) show that there is a dense inclusion (3. checking that (3. Compute the diﬀerence u (2π)−u (0) and du (2π) − du (0) as integrals involving f. the idea is that we can think of functions on S as 2πperiodic functions on (3. Why not V = 0? – Don’t try to answer this until the end! (2) Recall how to solve the diﬀerential equation − d2 u(x) + u(x) = f (x). igonoring the periodicity issue. or at least it is o an example thereof: (3. y) for all (x.215) (3. dx dx Now. y)f (y) where A(x. there are other ways) factorize the diﬀerential operator involved. y +2π) = A(x. Show that there is a unique 2πperiodic and twice continuously diﬀerentiable function. Write this out explicitly as a double integral. 2πperiodic function on the line. and then change the order of integration to write the solution as − u (x) = 0. φ = e−x u. ψ = ex v.211) d2 u(x) + V (x)u(x) = f (x).214) d2 u(x) dv du + u(x) = −( + v) if v = −u 2 dx dx dx since the cross terms cancel. Next are some problems dealing with Schr¨dinger’s equation.212) (3. y) ∈ R. (3) If we denote by L2 (S) the space on the left in (3. dx2 where f (x) ∈ C 0 (S) is a continuous. dx dx dv dψ + v = e−x .2π (3. x ∈ R. y) ∈ C 0 (R2 ) satisﬁes A(x+2π. dx2 (1) First we will consider the special case V = 1.210) R.
show that if u is a twice continuously diﬀerentiable. (14) Show that the corresponding functions u = F v where v satisﬁes (3. either directly or indirectly. namely c1 ex + c2 e−x .219) u + S((V − 1)u) = Sf and hence u = −F 2 ((V − 1)u) + F 2 f and hence conclude that u = F v where v ∈ L2 (S) satisﬁes v + (F (V − 1)F )v = F f where V − 1 is the operator deﬁned by multiplication by V − 1. (11) Show the converse. either from the previous result or otherwise that S is a compact selfadjoint operator on L2 (S).224) . (13) Show that for the λj the solutions of (3. f ∈ C 0 (S) then u = F v is 2πperiodic and twicediﬀerentiable on R and satisﬁes (3.217) conclude that S = F 2 where F is also a compact selfadjoint 1 operator on L2 (S) with eigenvalues (k 2 + 1)− 2 .222) are all twice continuously diﬀerentiable. PROBLEMS 121 to the homogeneous equation. (9) Show that F : L2 (S) −→ C 0 (S). dx dx check that u is given by an integral of the form (3. 2πperiodic function satisfying − − d2 u + (1 − s + sV (x))u(x) = 0. probably indirectly rather than directly.213) with A as stated. (6) Conclude. sj = 1/λj . dx2 (3.222) λj v + (F (V − 1)F )v = 0. dx2 (15) Conversely. that (3. 2πperiodic functions on R satisfying (3. y) and that A is real.220) v + (F (V − 1)F )v = F f. realvalued and 2πperiodic. (5) Check. k ∈ Z. v ∈ L2 (S). (3) Check. that if v ∈ L2 (S) satisﬁes (3.218) (3. Now. (4) Conclude that the operator S extends by continuity to a bounded operator on L2 (S). that A(y.211). Hint: Proceed directly by diﬀerentiating the integral. we assume that V is continuous. the equation (3. so that the new solution to (3.217) S(eikx ) = (k 2 + 1)−1 eikx . x) = A(x.211) for a given f ∈ C 0 (S) then (3.22. (7) Show that if g ∈ C 0 (S)) then Sg is twice continuously diﬀerentiable. (8) From (3.211). going back to the real equation (3. s ∈ C.212) satisﬁes u(2π) = u(0) and du (2π) = du (0).221) λv + (F (V − 1)F )v = g.223) d2 u + (1 − sj + sj V (x))u(x) = 0. (12) Apply the Spectral theorem to F (V − 1)F (including why it applies) and show that there is a sequence λj in R \ {0} with λj  → 0 such that for all λ ∈ C \ {0}. g ∈ L2 (S) has a unique solution for every g ∈ L2 (S) if and only if λ = λj for any j. for f = 0. Show that if u is a twicediﬀerentiable 2πperiodic function satisfying (3. are all continuous 2πperiodic functions on R. (10) Now.
w. solution for each f which is continuous and 2πperiodic or else there exists a ﬁnite.227) does have a nontrivial solution? Show that the space of these is ﬁnite dimensional and conclude that essentially the same result holds by working on the orthocomplement in L2 (S). First of all. continuous 2πperiodic function V on R. the left inverse is R = F (Id +F (V −1)F )−1 F. u −→ Qu = − By now you should have become reasonably comfortable with a separable Hilbert space such as l2 . Problem 3. What we have shown is that the operator (3. conclude that Fredholm’s alternative holds for the equation (3. 1) = IdH for all m ∈ M.2π) f w = 0 for every 2πperiodic solution.225) d2 w(x) + V (x)w(x) = 0. u2 ) −→ ( u1 2 H + u2 1 2 2 H) 1Kuiper’s theorem says that for any (norm) continuous map. it is worthwhile checking once again that it is rather large – if you like. which I will not ask you to prove1. Show – and there is still a bit of work to do – that (twice continuously diﬀerentiable) eigenfunctions of Q.227) − 2 u + V u = 0. For a given realvalued. However. First some preliminary results. there o was nothing sacred about the addition of 1 to −d2 /dx2 . I want you to go through the closely related result sometimes known as Eilenberg’s swindle.226) d2 u u+Vu dx2 applied to twice continuously diﬀerentiable functions has at least a left inverse unless there is a nontrivial solution of d2 u (3. h : M × [0.225). − Problem 3. but positive. g : M −→ GL(H) with values in the invertible operators on a separable inﬁnitedimensional Hilbert space there exists a continuous map. say from any compact metric space. HILBERT SPACES and u is not identically 0 then s = sj for some j. Show that the direct sum of two copies of H is a Hilbert space with the norm (3. x ∈ R. An important result in this direction is Kuiper’s theorem. . to (3. I just did it the primitive way. meaning solutions of Qu = τ u are precisely the nontrivial solutions of Ru = τ −1 u. Perhaps you will appreciate the little bit of trickery. dimensional space of twice continuously diﬀerentiable 2πperiodic solutions to the homogeneous equation (3.24. 0) = g(m) and h(m. either (3. let me try to make you uncomfortable for one last time. dx2 and (3. Let H be a separable.211) Theorem 16. This is a compact selfadjoint operator. dx Namely. we could add any positive number and get a similar result – the problem with 0 is that the constants satisfy the homogeneous equation d2 u/dx2 = 0. What to do in case (3.228) H ⊕H (u1 .23.211) has a unique twice continuously diﬀerentiable.211) has a solution if and only if (0. 1] −→ GL(H) such that h(m. inﬁnite dimensional Hilbert space. an homotopy. However. (16) Finally. 2πperiodic. Note that everything below is a closed curve in the x ∈ [0. Check that we really can understand all the 2π periodic eigenfunctions of the Schr¨dinger operator using the discussion above.122 3. 1] variable – you might want to identify this with a circle instead.
G(1. Show that the winding number of the closed curve c may be deﬁned unambiguously as (3. 1] −→ C∗ . 1] x −→ e2πix Idn×n of n×n matrices. (3) Consider the closed curve Ln : [0.27. One can repeat the preceding construction any ﬁnite number of times. ∀ q ∈ Q and F (0) = b. Hilbert space then (3. you are free to change b to b + n for any n ∈ Z but then F changes to F + n. 1]. 1) for all y ∈ [0. 11 and onto. We take as given the following fact:2 If Q = [0. the winding number of a closed curve with values in C∗ = C \ {0}. x) = c2 (x) for all x ∈ [0. Problem 3. Consider the closed curve corresponding to Ln above in the case of a separable but now inﬁnite dimensional Hilbert space: (3.234) M : [0. Problem 3. (1) Now. 1) for all y ∈ [0. 1]2 −→ C∗ continuous and such that f (0. u H = Tu H⊕H or otherwise.25. Using the standard properties of the determinant. 1]. In any case. are two closed curves so ci (1) = ci (0). 0) = f (y. Show that after identifying H with H ⊕ H as above. . you are free to give a proof – it is not hard.233) L : [0. construct a map as in (3. x) = Ln (x). with values in the invertible n × n matrices. 1] −→ C be a choice of F for N = 1 and f = c.231) exp(2πiF (q)) = f (q). Problem 3. x) = c1 (x). 2. inﬁnite dimensional. or perhaps learn about. That is if ci : [0. 1] −→ C∗ is a closed curve – meaning it is continuous and c(1) = c(0).22. PROBLEMS 123 either by constructing an isometric isomorphism (3. i = 1. just shifting by the same integer. such that G(0. Show that it can be done ‘countably often’ in the sense that if H is a separable.26. there exists a unique continuous function F : Q −→ C satisfying (3. then wn(c1 ) = wn(c2 ). Let C : [0. 1]N and f : Q −→ C∗ is continuous then for each choice of b ∈ C satisfying exp(2πib) = f (0). u 2 l2 (H) = i ui 2 H < ∞} has a Hilbert space structure and construct an explicit isometric isomorphism from l2 (H) to H. x) ≡ Idn×n for all x ∈ [0. Recall. 1]2 −→ GL(n). (2) Show that wn(c) is constant under homotopy. 1]. 1]2 −→ GL(H ⊕ H) 2Of course.230) l2 (H) = {u : N −→ H. f (1. i = 1. G(y. show that this curve is not homotopic to the identity through closed curves in the sense that there does not exist a continuous map G : [0. Of course. 0) = G(y.229). 1] and f (y. 2. which are homotopic through closed curves in the sense that there exists f : [0. there is a continuous map (3. 1] x −→ e2πix IdH ∈ GL(H) ⊂ B(H) taking values in the invertible operators on H.229) T : H −→ H ⊕ H.232) wn(c) = C(1) − C(0) ∈ Z. suppose c : [0.
240) ∞ ∞ ˜ G(0. x)(u1 .238). 1]. 0) = G(y. G(1. x) in (3. u2 ) = (cos(πy/2)u1 + sin(πy/2)u2 . ‘divide the second H up into l2 (H)’ and apply an argument just like the preceding problem to turn the identity on this factor into alternating terms multiplying by exp(±4πix) – starting with −. Using a rotation similar to the one in the preceeding problem (or otherwise) show that there is a continuous map (3. leaving the other ﬁxed. x) = Id and of course G(y.241) u −→ Qu = − d2 u u+Vu dx2 . think about combining the various constructions above ˜ in the following way. First of all.30. u2 ) = (e2πix u1 . 1] y −→ U (y) ∈ GL(H ⊕ H) such that U (0) = Id. Indeed. 1]. G : [0. − sin(πy/2)u1 + cos(πy/2)u2 ) deﬁnes a continuous map [0. Show that on l2 (H) there is an homotopy like (3. 1) ∀ x. Now.29. 1] −→ GL(l2 (H)). Eilenberg’s swindle! Problem 3.31. Presto. 1]2 −→ GL(H ⊕ H) Problem 3. ∀ x. M (y.235) M (0. 0) = G(y. consider the 2parameter family of maps (3. think of H ⊕ H as being 2vectors (u1 . you are on H ⊕ l2 (H).124 3. −u1 ).239) G(0. Now. (very like in fact) such that (3. there o was nothing sacred about the addition of 1 to −d2 /dx2 . 1). Problem 3. ‘renumbering’ allows you to regard this as l2 (H) again and when you do so your curve has become alternate multiplication by exp(±4πix) (with + ﬁrst). u2 ) = (u1 . ˜ ˜ ˜ G(1. 0) = M (y. Problem 3.238) such that (3. 1]. 0) = G(y. x) {uk }k=1 = exp((−1)k 2πix)uk k=1 . x)(u1 . u2 ). 1]2 −→ GL(H) – with G(0. G(y. y ∈ [0. First ‘divide H into 2 copies of itself’ and deform from L to M (1.28. x) = L(x). What we have shown is that the operator (3. Hint: So. e−2πix u2 ). x)(u1 .237) U −1 (y)V2 (x)U (y)V1 (x) where V1 (x) and V2 (x) are deﬁned on H ⊕ H as multiplication by exp(2πix) on the ﬁrst and the second component respectively. show that (3. u2 ) = (e4πix u1 . G : 2 [0. y ∈ [0.233) and G(1. construct an homotopy – meaning a continuous map G : [0. M (1. u2 ). we could add any positive number and get a similar result – the problem with 0 is that the constants satisfy the homogeneous equation d2 u/dx2 = 0. 1]. x) = Id. This allows one to think of ‘rotation’ between the two factors. to deform to the identity (always of course through closed curves). HILBERT SPACES with values in the invertible operators and satisfying (3. apply the preceding problem again. y ∈ [0. x) = L(x) in (3. 1]. 1) for all x. U (1)(u1 . Hint: Just put things together – of course you can rescale the interval at the end to make it all happen over [0. Check that we really can understand all the 2π periodic eigenfunctions of the Schr¨dinger operator using the discussion above. u2 ) with entries in H. G(y. Finally then. y ∈ [0. 1) ∀ x. Now. u2 ) = (u2 . Now.236) U (y)(u1 . “Eilenberg’s swindle” For an inﬁnite dimenisonal separable Hilbert space.235).
meaning solutions of Qu = τ u are precisely the nontrivial solutions of Ru = τ −1 u. SOLUTIONS TO PROBLEMS 125 applied to twice continuously diﬀerentiable functions has at least a left inverse unless there is a nontrivial solution of d2 u (3. dx Namely. 23. the left inverse is R = F (Id +F (V −1)F )−1 F.242) does have a nontrivial solution? Show that the space of these is ﬁnite dimensional and conclude that essentially the same result holds by working on the orthocomplement in L2 (S). Show – and there is still a bit of work to do – that (twice continuously diﬀerentiable) eigenfunctions of Q. This is a compact selfadjoint operator. What to do in case (3.242) − 2 u + V u = 0.23. Solutions to problems .
.
1) is just the FourierBessel series for u with respect to this orthonormal set:√ 1 (4. but there is no time left. ck = k∈Z (0. Let us now try applying our knowledge of Hilbert space to a concrete Hilbert space such as L2 (a. If u ∈ L2 (0. (4. One of the reasons for developing Hilbert space techniques originally was precisely the following result. It follows that (4. ek = ek 1 = √ eikx ek 2π form an orthonormal set in L2 (0. ek )ek . 1. Our abstract Hilbert space theory has put us quite close to proving this. First observe that if ek (x) = exp(ikx) then these elements of L2 (0. 2π) thanks to Bessel’s identity. Such is life. Fourier series and L2 (0. 2π). b) ⊂ R. Notice that this does not say the series converges pointwise. We are just claiming that 1 u(x) − ck eikx 2 = 0 (4. 2π So.2) lim n→∞ 2π k≤n for any u ∈ L2 (0. or pointwise almost everywhere since this need not be true – depending on u. 2π) satisfy 2π (4.2π) u(x)e−ikx dx converges in L2 (0. So ‘all’ we need to show is 127 . b) for a ﬁnite interval (a. ek ) =⇒ ck eikx = (u. 2π) then the Fourier series of u. You showed that this is indeed a Hilbert space. we already know that this series converges in L2 (0. 2π). one can do a lot more. Once one has all this.5) ck = 2π(u.1) 1 2π ck eikx . Theorem 17. 2π).3) Thus the functions (4. 2π) to u.4) ek ej = 0 exp(i(k − j)x) = 0 2π if k = j if k = j.CHAPTER 4 Applications The last part of the course includes some applications of Hilbert space – the completeness of the Fourier basis. some spectral theory for operators on an interval or the circle and enough of a treatment of the eigenfunctions for the harmonic oscillator to show that the Fourier transform in an isomorphism on L2 (R).
i. (4. 1 1 So in fact. by telescoping. The idea of Ces`ro is to make this a Fourier expansion ‘converge faster’. at least it is to me! There are other approaches. 2π).128 4. Since uniform convergence of continuous functions certainly implies convergence in L2 (0. e In this approach. l=0 Again plugging in the deﬁnitions of the Ul ’s and using the linearity of the integral we see that (4. APPLICATIONS Proposition 43.11) Vn (x) = 1 n+1 n Ul .7) Un (x) = 1 2π ( k≤n (0.8) Un (x) = (0. The trick is to use the Fourier expansion that we want to check. So. This is just a ﬁnite sum so we can treat x as a parameter and use the linearity of the integral to write this as (4. form an orthonormal basis of L2 (0. 2π] of a sequence in the ﬁnite span of the ek . This however. 2π] satisfying the additional condition that u(0) = u(2π) is the uniform limit on [0. 2π). 2π). 2π) and we already know that the continuous functions which vanish near 0 and 2π are dense in L2 (0. 2π) – or think of it as continuous if you prefer. Dn (s) = 1 2π eiks . For the moment we can work with a general function u ∈ L2 (0. is not so trivial to prove. at least where s = 0.10) ei(n+ 2 )s − e−i(n+ 2 )s Dn (s) = 2π(eis/2 − e−is/2 ) 1 1 and of course the limit as s → 0 exists just ﬁne. 2π) this is enough to prove Proposition 43.12) Vn (x) = (0. An equivalent statement is that the ﬁnite linear span of the ek is dense in L2 (0. As I said.2π) u(t)e−ikt dt)eikx where I have just inserted the deﬁnition of the ck ’s into the sum. Sn (s) = 1 n+1 n Dl (s). or maybe better. for instance we could use the StoneWeierstrass Theorem. The ek . k ∈ Z. However the proof is a serious piece of analysis.9) 2πDn (s)(eis/2 − e−is/2 ) = ei(n+ 2 )s − e−i(n+ 2 )s . are complete: (4. since. So the truncated Fourier series is (4.6) ueikx = 0 ∀ k =⇒ u = 0 in L2 (0. l=0 . the problem is to ﬁnd the sequence in the span of the ek .2π) Sn (x − t)u(t). Ces`ro’s idea is to speed up the convergence by replacing Un by its a average (4. we check that any continuous function on [0.2π) Dn (x − t)u(t). k≤n Now this sum can be written as an explicit quotient. I will prove this using Fej´r’s method. (4.e.
Now on Γ(x) either t − x ≤ δ – the points are close together – or t is close to 0 and x to 2π so 2π − x + t ≤ δ or conversely.18) u(x) = (0.2π) Sn (x − t)u(x) where t denotes the variable of integration (and x is ﬁxed in [0.13) 2π(n + 1)(eis/2 − e−is/2 )Sn (s) = l=0 ei(n+ 2 )s − l=0 1 e−i(n+ 2 )s . FOURIER SERIES AND L2 (0. For each x we split this integral into two parts. Thus in fact (4. the set Γ(x) where x − t ∈ [0.2π) Sn (x − ·) = 1. 2π).14) so (eis/2 − e−is/2 ) l=0 ei(n+ 2 )s = ei(n+1)s − 1 1 2π(n + 1)(eis/2 − e−is/2 )2 Sn (s) = ei(n+1)s + e−i(n+1)s − 2 (4.20) Vn (x) − u(x) ≤ Γ(x) Sx (x − t)u(t) − u(x) + (0. This ‘trick’ means that the diﬀerence is (4. x is close to 0 and t to 2π so 2π − t + x ≤ δ. what can we say about this function? One thing we know immediately is that if we plug u = 1 into the disucssion above.15) the ﬁrst thing to notice is that Sn (s) ≥ 0. Thus if we stay away from there. we can see that the denominator only vanishes when s = 0 or s = 2π in [0. Because of (4. we get Un = 1 for n ≥ 0 and hence Vn = 1 as well. Since the denominators in (4. So (4. 2π].16) we can write (4. 2π − δ). by assuming that u(0) = u(2π) and using the uniform continuity of a continuous function on [0. .21) u(x) − u(t) ≤ /2 on Γ(x). 2π − δ) for some δ > 0 then – since sin(t) is a bounded function (4. n n (4. 129 So again we want to compute a more useful form for Sn (s) – which is the Fej´r e kernel. 2π] and the remainder.2π) Sx (x − t)(u(t) − u(x)). s n + 1 2π sin2 ( 2 ) Now. 2π]). We are interested in how close Vn (x) is to the given u(x) in supremum norm.1. 2π]. 1 Using the same trick again. Looking directly at (4. Also. δ] or x − t ∈ [2π − δ.2π)\Γ(x) Sx (x − t)u(t) − u(x).15) =⇒ Sn (s) = (n+1) 1 sin2 ( 2 s) .16) (0. where now we will take u to be continuous.19) Vn (x) − u(x) = (0. say s ∈ (δ.10) are all the same.17) Sn (s) ≤ (n + 1)−1 Cδ on (δ. given > 0 we can choose δ so small that (4. In any case. n (4.
25) if V ≡ 0 since we can use (Riemann) integration. So this proves Proposition 43 subject to the density in L2 (0. In fact we know that the L2 functions which vanish near the ends are dense since we can chop oﬀ and use the fact that (4. 2π] as n → ∞ under the assumption that u ∈ C([0. If V ≥ 0 as in (4. it certainly makes sense to try to solve the equation (4. we can ﬁnd .17) and since u is bounded we get the estimate (4. Here the fact that Sn is nonnegative and has integral one has been used again to estimate the integral of Sn (x − t) over Γ(x) by 1. and I will mention some more. Having chosen δ to make the ﬁrst term small.δ) (2π−δ. we supposed to be trying to solve d2 u(x) + V (x)u(x) = f (x) on (0. 2π). 2.2π) δ→0 f 2 = 0. 2π]) satisﬁes u(0) = u(2π). is the following: Proposition 44. I will assume that (4.25). I will choose the interval [0. You will see that it is a bit hard to approach this directly – especially if you have some ODE theory at your ﬁngertips.24) lim f 2 + (0. APPLICATIONS On the complement of Γ(x) we have (4. which has the virtue of being explicit.25) for say a given f ∈ C 0 ([0.23) Vn (x) → u(x) uniformly on [0. So. This proves Theorem 17. u. Dirichlet problem on an interval I want to do a couple more ‘serious’ applications of what we have done so far.130 4. It may not exist. 2π] because we looked at it before. 2π]) there exists a unique twice continuously diﬀerentiable solution. ignoring the boundary conditions for the moment. 2π] −→ R is continuous and realvalued. Thus. depending on V but one thing we can shoot for.26) then for each f ∈ C 0 ([0.26) V : [0. How to start? Well. There are many to choose from. u(0) = u(2π) = 0 dx2 where the last part are the Dirichlet boundary conditions. we do know how to solve (4. Each such step function can be approximated in L2 ((0. There are in fact various approaches to this but we want to go through L2 theory – not surprisingly of course. 2π) of the continuous functions which vanish near (but not of course in a ﬁxed neighbourhood of) the ends. we can choose n large to make the second term small and it follows that (4. looking for a solution which is twice continuously diﬀerentiable on the interval. 2π]). but let me ﬁrst consider the Diriclet problem on an interval.25) − (4. Now. The L2 functions which vanish near the ends are in the closure of the span of the step functions which vanish near the ends. 2π)) by a continuous function which vanishes near the ends so we are done as far as density is concerned.22) Vn (x)−u(x) ≤ /2 Γ(x) Sn (x−t)+(n+1)−1 C (δ) ≤ /2+(n+1)−1 C (δ). to (4.
ﬁnally the solution we want is (4. Since w is given by an integral operator with a continuous realvalued kernel which is even in the sense that (check it) (4.27) to write v as x x 2π (4. Proposition 45. 2π] × [0. 2π]2 ) 2π with the formula for b following by simpleo manipulation from (4. Moroever v really is twice continuously diﬀerentiable if f is continuous. 2π) which vanishes at both end points and it is given by the integral operator (4. namely consider (4. t)f (t)dt . we can change the order of integration in (4. Lemma 38. However. 2π]2 ) then 2π (4. there is no particular reason why 2π (4.27) v(x) = − 0 0 f (t)dtdy satiﬁes − d2 v/dx2 = f on (0. a(x.28) v(x) = − 0 t f (t)dydt = 0 a(x. with continuous kernel on the square.31) w(x) = 0 b(x. 2π). The integral operator (4.30) c= 1 2π 2π 2π (2π − t)f (t)dt. b(x.28) shows that v is given by applying an integral operator. t) = (t − x)H(x − t) where the Heaviside function H(y) is 1 when y ≥ 0 and 0 when y < 0. DIRICHLET PROBLEM ON AN INTERVAL 131 a solution to −d2 v/dx2 = f on the interval by integrationg twice: x y (4. Proof. t) = a(x. Since we do not want to spoil the vanishing at x = 0 we can only aﬀord to add cx but if we choose c correctly. t) = min(t. However. solution of −d2 w/dx2 = f in (0. 2π).29) v(2π) = 0 (t − 2π)f (t)dt should vanish. So (4. t) + x − tx 2π Thus there is the unique. selfadjoint operator on L2 (0. 2π] since the t − x factor vanishes at the jump in H(t − x).2. then (v + cx)(2π) = 0. recall that there is also the matter of the conditions. what has this got to do with operators? Well. x) − tx ∈ C([0.32) b(x. 2π]) to a compact. Before thinking more seriously about this.31). Clearly.33) b(t. we can always add to v any linear function and still satify the diﬀerential equation. v(0) = 0 since we integrated from there. t)f (t)dt. So. 0 So. twice continuously diﬀerentiable. x) = b(x. Thus a(x. to f. t) we might as well give a more general result.34) Bf (x) = 0 b(x. t)f (t)dt. If b ∈ C 0 ([0. t) is actually continuous on [0.31) extends by continuity from C 0 ([0.
y) − b(x. 2π]) is continuous as a map into this Banach space. 2π]) then the product vf ∈ L2 ((0. 2π)) −→ C([0. Proof. 2π]) −→ L2 (90. ek (x)) . Essentially the same estimate shows that (4. If f ∈ L2 ((0. 2π] x −→ b(x.41) sup b(x . 2π)). 2π) ⊂ L2 ((0.35) and f and g are continuous (4.36) b(x.43) k>N (b(x. which shows that (4. of that function.37) Bf (x ) − Bf (x) =  (b(x . 2π]. 2π] y −→ b(·.e. 2π] and expand b in the ﬁrst variable.y) 1 L2 so indeed. 2π]) the product (4. y). 2π)) and vf L2 ≤ v ∞ f L2 . 2π)) is continuous and so has a compact range. Again this is the uniform continuity of a continuous function on a compact set. B : L2 ((0. y) ∈ L2 ((0. If we ﬁx x then b(x. y) − b(x. 2π)) is bounded.e continuous. 2π]) and then if we let x vary. but Bf ∈ C([0. y).35) then B is selfadjoint. 2π) if in addition b satisﬁes (4. it follows that the map (I have reversed the variables) (4. Thus Bf (x) is welldeﬁned by (4. y Since the inclusion map C([0. (4. ck (y) = (b(x. Given > 0 the compactness of the image of (4. This can be seen for instance by taking an absolutely summable approcimation to f. 2π)) for each x ∈ [0. y)f (y) ∈ L2 ((0. y) = k≤N ek (x)ck (y).e. x) = b(x. 2π]. 2π]) as can be seen from Schwarz inequality. 2π]) is a bounded linear operator. with bound a constant multiple. ek (x))2 < ∀ y ∈ [0. sup v. to f and bounded by a ﬁxed L2 function and observing that vfn → vf a.39) BF (x)g(x) = f (x)Bg(x) and the general case follows by approximation by continuous functions. It follows that for b ∈ C([0. y − b(x. APPLICATIONS deﬁnes a compact operator on L2 (0. ·) ∈ C([0. which gives a sequence of continuous functions converging a. 2π)) and v ∈ C([0. (4.132 4. The ﬁnite part of the Fourier series is continuous as a function of both arguments (4. t) L2 . Take the Fourier basis ek for [0. y) ∈ C([0. i. Not only that.40) [0.35) since L2 ((0.44) bN (x. When b satisﬁes (4. y))f (y) ≤ sup b(x .38) sup Bf (x) ≤ (2π) 2 sup b f x (x. y)(2π) 2 f y 1 b(t.42) implies that for some N (4. y) → 0 as x → x. we need to see the compactness.42) [0. So.
So. this happenstance allows us to decompose B as the square of another operator deﬁned directly on the othornormal basis. dx2 4 Since of course uk (0) = 0 = uk (2π) as well. If f ∈ L2 (0.51) converges uniformly and absolutely since it is uniformly Cauchy.49) Auk = uk =⇒ B = A2 . k ∈ N.51) Af = k 2ck uk . {ck } ∈ l2 . recall from one of the Problem sets that uk = c sin(kx/2).48) Buk = 2 uk ∀ k. In fact we can see quite a lot more than this. 2π) we may expand it in FourierBessel series in terms of the uk and ﬁnd (4. DIRICHLET PROBLEM ON AN INTERVAL 133 and so deﬁnes another bounded linear operator BN as before. 2π).50) f= k ck uk .47) − Lemma 39.52)  uk  ≤ 2c ck k ≤ 2c k f L2 k k=p k=p k=p . Thus. This operator can be written out as (4.46) sup qN (·. Then of course.2.45) BN f (x) = k≤N ek (x) ck (y)f (y)dy and so is of ﬁnite rank – it always takes values in the span of the ﬁrst 2N + 1 trigonometric functions. is also an orthonormal basis for L2 (0. 2π) since its eigenvalues tend to 0. 2π]) and Af (0) = Af (2π) = 0 for all f ∈ L2 (0. 2π) into C 0 ([0. They are the uk . in this case we know the orthonormal basis of eigenfunctions for B. On the other hand the remained is given by a similar operator with corresponding to qN = b − bN and this satisﬁes (4. by deﬁnition. So in fact (4. k Thus. y) y L2 ((0. with the bound on uk being independent of k. Proof. (4. (4. 1 2 q q q 2ck −1 −2 (4. k Here again it is immediate that A is a compact selfadjoint operator on L2 (0. k Here each uk is a bounded continuous function. qN has small norm as a bounded operator on L2 ((0. The operator A maps L2 (0. 2π) (it is not the Fouier basis!) Moreover. diﬀerentiating we ﬁnd straight away that k2 d2 uk = uk . for any q > p.2π)) → 0 as N → ∞. 2π)) so B is compact – it is the norm limit of ﬁnite rank operators. from the uniqueness above we conclude that 4 (4. Now. each eigenspace is 1 dimensional and the eigenvalues are 4k −2 . Namely 2 (4.
In fact from the properties of B = A2 it satisifes (4. Thus AV A is a selfadjoint compact operator so we can apply our spectral theory to Id +AV A. Now. Q again compact and selfadjoint. On the other hand we know that AV A is positive since (4. 2π]) we know that Bf = A2 f is twice continuously diﬀerentiable. Since V u ∈ L2 ((0. 2π).57) u = Av satisﬁes u + A2 V u = A2 f. and look instead for (4. going through the routine again (4. 2π) −→ C 0 ([0. using the nonnegativity of V. But then. we know that u is L2 satisﬁes u = −A2 (V u) + A2 f. w) = (V Av. A(A(V u) is continuous. APPLICATIONS where CauchySchwartz has been used. An element of the null space would have to satisfy u = −AV Au. 2π) with inverse of the form Id +Q. 2π) from (4. So combining this with the result about A2 f we see that u itself is continuous and hence so is V u. is a bounded selfadjoint operator on L2 (0.54) v = −AV Av + Af =⇒ (Id +AV A)v = Af.54) we just need to take (4. there can be no null space – all the eigenvalues of AV A are at least nonnegative so −1 is not amongst them.53) u = −A2 (V u) + A2 f should satisfy the equation and boundary conditions. which is real and continuous. Thus Id +AV A is invertible on L2 (0. It has a complete orthonormal basis of eigenfunctions and is invertible if and only if it has trivial null space. as seen above. This proves that A : L2 (0. 2π).53) holds with v = −AV u + Af.56) we already know that u ∈ C 0 ([0. In fact.58) u = −A2 (V u) + A2 f is the sum of two twice continuously diﬀerentiable functions. Thus is so itself.2π) u2 = 0.2π) V (x)Av2 ≥ 0 =⇒ (0.25) by moving the V u term to the right side of the equation (don’t worry about regularity yet) and hope to use the observation that (4. Av) = (0. to solve (4.55) (AV Aw. v = (Id +Q)Af ⇐⇒ v + AV Av = Af in L2 (0. So. So. So. since it is given by integrations – that is where B came from. 2π]) is bounded and by the uniform convergence uk (0) = uk (2π) = 0 for all k implies that Af (0) = Af (2π) = 0.59) − d2 u = −V u + f dx2 . going back to our original problem we try to solve (4. 2π) so is A(V u) and then. let’s hope that u = Av. we know that multiplication by V. In fact since v ∈ L2 (0. Moreover if f ∈ C 0 ([0. So. 2π]) vanishes at the end points.134 4. which has to be true if (4.56) Then indeed (4.
. w = 0. Notice the form of the solution in case V ≥ 0 in (4. The uniqueness follows pretty much the same way. 2π]) if and only if (4. The equation (4.62) TK = 0 =⇒ (0. Proof. ek . Then the equation (4.63) d2 w d2 w + V w = T wk ⇐⇒ − 2 + (V + c)w = (T + c)w. Proposition 46. dx2 Thus w = Aφ. i.60) − d2 w + V w = 0. 2π) (if V ≥ 0) and then the solution to (4. 2π).2π) f wk = 0. So indeed. Since φ = 0. there is an orthonormal basis wk of L2 (0. If there were two twice continuously diﬀerentiable solutions then the diﬀerence w would satisfy (4. The solvability part also follows in much the same way. we can choose a constant c such that V + c ≥ 0. Now.61). vanishing at the endpoints and satisfying − ddx2k + V wk = Tk wk where Tk → ∞ as k → ∞.61) u = A(Id +AV A)−1 Af which is twice continuously diﬀerentiable and satisﬁes the Dirichlet conditions for each f ∈ C 0 ([0. In general. This completes the proof of Proposition 44. φ = −AV w ∈ L2 (0. which is the image under A of the null space of Id +AV A.e.65) −1 Tk = τk + c → ∞ as k → ∞. To summarize what we have shown is that Id +AV A is an invertible bounded operator on L2 (0. DIRICHLET PROBLEM ON AN INTERVAL 135 which is what the result claims. 2π) and hence also twice continuously diﬀerentiable. 2 dx dx Thus.25) has a (twice continuously diﬀerentiable) solution for given f ∈ C 0 ([0. S = A(Id +A(V + c)A)−1 A. in L2 (0. For any V ∈ C 0 ([0. even if we do not assume that V ≥ 0 we pretty much know what is happening. we have shown that S is a compact selfadjoint operator on L2 (0. 2π]). w(0) = w(2π) = 0 =⇒ w = −Bw = −A2 V w. these ek satisfy the eigenvalue problem (with Dirichlet boundary conditions) with eigenvalues (4. we have proved the existence part of Proposition 44.25) is precisely (4. From the discussion above we then know that each ek is actually continuous – since it is Aw with w ∈ L2 (0. Now.64) w = (T + c)A(Id +A(V + c)A)−1 Aw ⇐⇒ Sw = (T + c)−1 w. 2π). f is orthogonal to the null space of Id +A2 V. So. with eigenvalues τk = 0. 2π) consisting of twicecontinuously diﬀerentiable functions on 2 w [0. Thus φ in turn satisﬁes φ = AV Aφ and hence is a solution of (Id +AV A)φ = 0 which we know has none (assuming V ≥ 0). 2π]) realvalued. 2π) so we know that it has a complete set of eigenfunctions.2. if w satisﬁes this eigenequation then it also satisﬁes − (4. 2π].
70) are the ‘creation’ operator and the ‘annihilation’ operator.71) Ae−x 2 d d + x). A = ( + x) dx dx /2 =0 which again proves (4. The ﬁrst thing to observe is that the Gaussian is an eigenfunction of H xk exp(− (4. where completeness can be shown by an appropriate approximation technique but as usual is not so simple.73) Hu1 = (CAC + C)u0 = C 2 Au0 + 3Cu0 = 3u1 .71) and (4. 2 Orthonormalizing this sequence gives an orthonormal basis. How to construct one explicitly and with some handy properties? One way is to simply orthonormalize – using GramSchmidt – some countable set with dense span. The two operators in (4. From (4. write (4. Rather than proceed directly we will work up to this by discussing the eigenfunctions of the harmonic oscillator d2 (4. To do this. .66) exp(− (4. (4. at least not immediately.72) (AC − CA)u = 2u for say any twice continuously diﬀerentiable function u. . They almost commute in the sense that (4.136 4. I want to discuss the Hermite basis for L2 (R). 2 This is so rapidly decreasing at inﬁnity that the product with any polynomial is also square integrable: (4. so we certainly know that such a basis exists. dx dx C = (− again formally as operators. APPLICATIONS 3. even though we know L2 (R) to be separable. Harmonic oscillator As a second ‘serious’ application of our Hilbert space theory – but not this time the spectral theorem. set u0 = e−x /2 which is the ‘ground state’ and consider u1 = Cu0 . In this special case there is an essentially algebraic way to generate a whole sequence of eigenfunctions from the Gaussian.69). . .68) H = − 2 + x2 dx which we want to think of as an operator – although for the moment I will leave vague the question of what it operates on.67) x2 ) ∈ L2 (R) ∀ k ∈ N0 = {0. 2 Now.70) Hu = (− d d + x)( + x)u + u = (CA + 1)u.72). Then note that (4. }. For instance consider the basic Gaussian function x2 ) ∈ L2 (R).70). Note that so far we have not found an explicit orthonormal basis on the whole real line. 1.69) He−x 2 /2 =− 2 2 d (−xe−x /2 + x2 e−x /2 dx 2 2 2 − (x2 − 1)e−x /2 + x2 e−x /2 = e−x /2 with eigenvalue 1 – for the moment this is only in a formal sense. 2. (4.
Proof. from (4.77) R (C j u0 )2 = R C j u0 (x)C j u0 (x)dx = R u0 Aj C j u0 . . This follows by induction on j. square it and write as a double integral then introduct polar coordinates ( R e−x dx)2 = R2 2 e−x 2 −y 2 ∞ 2π 0 dxdy = 0 e−r rdrdθ = π − e−r 2 2 ∞ 0 = π.74) HCuj = (CA + 1)Cuj = C(H − 1)uj + 3Cuj = (2j + 3)uj .79) R (C j u0 )2 = 2j A similar argument shows that (4.78) AC j u0 = 2C j−1 u+ CAC j−1 u0 = 2C j−1 u0 + C 2 AC j−2 u0 = 2jC j−1 u0 .80) R uk uj = R u0 Ak C j u0 = 0 if k = j. integration by parts (easily justiﬁed by taking the integral over [−R.3. First. Then (4. and qj+1 = Cqj is a polynomial of degree at most j − 1 – one degree higher than qj . R] and then letting R → ∞) gives (4. (4. } the function uj = C j u0 satisﬁes Huj = (2j + 1)uj . .81) ej = 2−j/2 (j!)− 2 π − 4 C j e−x 1 1 2 /2 form an orthonormal sequence in L2 (R). From this it follows in fact that the ﬁnite span of the uj consists of all the 2 products p(x)e−x /2 where p(x) is any polynomial. Now.76) (e−x /2 )2 = e−x = π R R For j > 0. 1. Lemma 40. Thus the functions (4.72). a standard integral computation1 shows that √ 2 2 (4. 1To compute the Gaussian integral. 2 Again by induction we can check that uj = (2j xj + qj (x))e−x /2 where qj is a polynomial of degree at most j − 2. . we can move one factor of A through the j factors of C until it emerges and ‘kills’ u0 (4. √ (C j−1 u0 )2 = 2j j! π. where we know the result for j = 0 and j = 1. R So in fact. HARMONIC OSCILLATOR 137 Thus. 2. Now. For j ∈ N0 = {0. u1 is an eigenfunction with eigenvalue 3. all these functions are in L2 (R) and we want to compute their norms. Indeed this is true for j = 0 and j = 1 (where q0 = q1 ≡ 0) and then (4. .75) Cuj = (2j+1 xj+1 + Cqj )e−x 2 /2 .
88) Au = 0 ⇐⇒ u ⊥ ej ∀ j. is that these ej form an orthonormal basis of L2 (R). but the only ‘simple’ ones I know involve the Fourier inversion formula and I want to use the completeness to prove the Fourier inversion formula.85) uj = C j u0 = pj (x)u0 (c). x. There are various proofs of this.86) ej = j/2 (j!) 1 π 1 2 4 2 Now.83) 2 d2 + x2 .87) Au(x) = j=0 λj (u. AC − CA = 2 Id. 1). what we want. Rather than argue through approximation. Instead I want to use a version of Mehler’s formula. To show the completeness of the ej ’s it is enough to ﬁnd a compact selfadjoint operator with these as eigenfunctions and no null space. this is essentially what we will do. Huj = (2j + 1)uj and shown that these are orthogonal. AC = ( 4. I will take the λj = wj where w ∈ (0. . so that will not do.82) d d d2 + x)(− + x) = − 2 + x2 + 1 dx dx dx should be invertible. meaning they are complete as an orthonormal sequence.89) Aw u = j=0 wj ej (x)ej (y) = A(w.o. Hu0 = u0 . Remembering that all the ej are real. although for boundedness we just need the λj to be bounded.84) A= + x. ej )ej (x) = j=0 λj ej (x) ej (y)u(y). Rather than do this I will proceed more indirectly. (4.138 4. uj ⊥ uk . Nevertheless.81). and so when normalized give an orthonormal system in L2 (R) : uj . we can ﬁnd an operator with the ej . y). u0 = e−x /2 dx2 and using the creation and annihilation operators d d (4. j = k. It is the last part which is tricky. Completeness of Hermite basis Starting from the ground state for the harmonic oscillator (4. The idea is to write A as an integral operator and then work with that. p(x) = 2j xj + l. C = − + x. selfadjoint operator on L2 (R) and that its only eigenfunctions are the ei in (4. For this to be a compact operator we need λj → 0 as j → ∞. we can guess that in some sense the operator (4. The ﬁrst part is easy. The point is that we can ﬁnd an explicit formula for ∞ (4. So. so one approach ist to try to construct its ‘inverse’ and show this really is a compact.s as eigenfunctions with corresponding eigenvalues λj > 0 (say) by just deﬁning ∞ ∞ (4.ts. APPLICATIONS We would like to show this orthonormal sequence is complete. the problem with this is to show that A has no null space – which of course is just the completeness of the ej since (assuming all the λj are positive) (4. H = CA + Id dx dx we have constructed the higher eigenfunctions: H=− (4.
u dξ Thus. The constant is easy to compute. The Fourier transform is the limit of a Riemann integral R (4.97) 2 1 e−x = √ 2 π eixs−s R 2 /4 ds.4. this means that u0 is annihilated ˆ by A : (4. sup ˆ ≤ u u L1 . Plugging this into (4.96) v = e−x /4 =⇒ v = πe−ξ . it follows that u0 (ξ) = c exp(−ξ 2 /2) since these are the only functions in ˆ annihilated by A. y) we will need to compute the Fourier transforms of the ej . F(u) = u. Proof. ˆ eiξx u0 (x) −R Maybe this deserves a little more discussion! Still. The Fourier transform of u0 is √ (4. x.98) uj (x) = (− 2 2 2 d d + x)j e−x /2 = ex /2 (− )j e−x dx dx 2 as is easy to see inductively – the point being that ex /2 is an integrating factor for the creation operator. since √ 2 (4. of if you like the argument to prove it.93) = lim −i R→∞ = lim i R→∞ −R R −R eiξx (− d u0 (x) dx R d iξx e u0 (x) − ξ lim R→∞ dx = −ξ u0 (ξ).91). to show that √ 2 2 (4. COMPLETENESS OF HERMITE BASIS 139 To ﬁnd A(w. for such a Riemann integral we can diﬀerentiate under the integral sign and see that d u0 (ξ) = lim ˆ R→∞ dξ R R ixeiξx u0 (x) −R (4.94) ( d + ξ)ˆ0 (ξ) = 0.97) and carrying out the derivatives – . ˆ Changing the names of the variables this just says (4.90) u(ξ) = ˆ e−ixξ u(x).95) u0 (0) = e−x /2 dx = 2π ˆ proving (4. ˆ (4.92) u0 (ξ) = lim ˆ R→∞ eiξx u0 (x) −R since u0 (x) is continuous and rapidly decreasing at inﬁnity. We can use this formula. Now. The deﬁnition of the uj ’s can be rewritten (4.91) (Fu0 )(ξ) = 2πu0 (ξ). Lemma 41. Recall that 0 F : L1 (R) −→ C∞ (R).
100) j=0 wj ej (x)ej (y) = j=0 ex 2 /2+y 2 /2 R2 4π 3/2 (−1)j wj sj tj isx+ity−s2 /4−t2 /4 e dsdt. y) = ex 2 /2+y 2 /2 4π 3/2 1 exp(− wst + isx + ity − s2 /4 − t2 /4)dsdt.140 4.104) √ x−y 1 2 π (x − y)2 exp(iT √ − (1 − w)T 2 )dT = exp(− ). better than what I did in lecture. is to change variables by setting √ √ (4. APPLICATIONS which is legitimate since the integral is so strongly convergent – gives (4. y) = √ √ exp − − + + 2(1 + w) 2(1 − w) 2 2 π 1 − w2 which after a little adjustment gives (4. Now. 2j j! The crucial thing here is that we can sum the series to get an exponential.101) A(w. Summing the series in (4. 1 x+y 1 x−y 1 − wst + isx + ity − s2 /4 − t2 /4 = iS √ − (1 + w)S 2 iT √ − (1 − w)T 2 . ej )2 = f 2 L2 . to conclude that √ x+y 1 2 π (x + y)2 √ − (1 + w)S 2 )dS = exp(iS exp(− ) 4 2(1 + w) 2 (1 + w) R (4. 2 4 4 2 2 The formula for the Fourier transform of exp(−x2 ) can be used. x. The identity (4. For all realvalued f ∈ L2 (R).99) uj (x) = ex /2 √ 2 π 2 (−is)j eixs−s R 2 /4 ds.101). Now we can use this formula twice on the sum on the left in (4. t = (S − T )/ 2 =⇒ dsdt = dSdT.86) to ﬁnd that ∞ ∞ (4.89) and insert the normalizations in (4. x.105) 1 (x + y)2 (x − y)2 x2 y2 A(w.102) A(w. I think the clever way. this allows us to ﬁnally conclude: Lemma 42. this explicit representation of Aw as an integral operator allows us to show Proposition 47. . x. 2 R2 Now. we can use the same formula as before for the Fourier transform of u0 to evaluate these integrals explicitly. after a change of variable.89) holds with 1−w 1+w 1 exp − (x + y)2 − (x − y)2 (4. y) = √ √ 2 4(1 + w) 4(1 − w) π 1−w Proof. 4 2(1 − w) 2 (1 − w) R Inserting these formulæ back into (4.106) j=1 (u.103) s = (S + T )/ 2. ∞ (4.100) we ﬁnd that (4.102) gives (4.
108) we will make our work on the integral operators rather simpler by assuming ﬁrst that f ∈ C 0 (R) is continuous and vanishes outside some bounded interval. By the (uniform) continuity of f.108) w↑1 lim(f. y ≤ R. y + t S∩{x−y≤ } 1+w 1−w (x − y) and then this becomes 1−w .109) over x − y ≥ tends to zero as w → 1.112) since it is the important one. y)f (x)f (y)dydx A(w. COMPLETENESS OF HERMITE BASIS 141 Proof. Then we can write out the L2 inner product as a doulbe integral.106) reduces to (4.109) up into three pieces:(4. Look now at the third integral in (4. So. x.110) > 0.109) (f.107) j=1 (u. the argument of the exponential has two terms. where x − y ≤ . Look at the formula for A in (4.113) A(w. which is a genuine (iterated) Riemann integral: (4. R] . Now we can divide (4. Given the signs. we see that if (4. x ≤ R. 1+w (4. Here I have used the fact that f and A are realvalued. look at the other part. ej )2 = lim(f. x. y) 1+w √ 1 1−w t2 =√ exp − (2y + t 1 − w)2 exp − 4(1 + w) 4 π(1 + w) . x. Aw f ) w↑1 so (4. We can change variable of integration from x to t = A(w. y) → 0 as w → 1. x. given δ > 0 there exits > 0 such that (4. y+t 1−w . To prove (4. X So. . x. y)f (x)f (y)dydx. Aw f ) = f 2 L2 . f (x) = 0 in x > R. the part of the integral in (4.112) (f. at least when x − y = 0.111) x − y ≤ =⇒ f (x) − f (y) ≤ δ. X = {(x. y)(f (x) − f (y))f (y)dydx S∩{x−y≤ } + + S∩{x−y≤ } 2 A(w.4. x − y ≥ } then sup A(w. y)f (y)2 dydt. The ﬁrst thing to notice is the factor 1 (1 − w2 )− 2 which blows up as w → 1. Aw f ) = S∩{x−y≥ } A(w. y)f (y)2 dydx where S = [−R.101). the ﬁrst tends to 0 as w → 1 and the second blows up. By deﬁnition of Aw ∞ (4. Aw f ) = A(w. y). On the other hand.
So.115) 0 L1 (R) −→ C∞ (R). So this proves (4. Fourier transform Last time I showed the completeness of the orthonormal sequence formed by the eigenfunctions of the harmonic oscillator. APPLICATIONS Here y is bounded. R]. which we already know is a linear operator (4. u(ξ) = ˆ eixξ u(x)dx. However. the general case follows by continuity since such continuous functions vanishing outside compact sets are dense in L2 (R) and both sides of (4.118) T d duj−1 F( uj−1 ) = lim e−ixξ dx T →∞ −T dx dx T = lim T →∞ (iξ)e−ixξ uj−1 dx + e−ixξ uj−1 (x) −T T −T = (iξ)F(uj−1 ). This allows us to prove some basic facts about the Fourier transform. dξ dξ Taken together these identities imply the validity of the inductive step: √ d d (4. so there is no problem with the integration by parts in (4.106) are continuous in f ∈ L2 (R).142 4. L Noting that A ≥ 0 the same sort of argument shows that the second term is bounded by a constant multiple of δ.108) certainly implies that the ej form an orthonormal basis.117). By a similar argument we can check that √ (4. The integrals involved here are very rapidly convergent at inﬁnity.108) (ﬁrst choose δ then ) and hence (4. Now.117) F(uj )(ξ) = 2πij uj (ξ) ∀ j ∈ N.112) tends to √ 2 (4. de−ixξ d uj−1 dx = i F(uj−1 ). the ﬁrst exponential factor tends to 1 so it is straightforward to show that for any > 0 the third term in (4. As usual we can proceed by induction using the fact that uj = Cuj−1 .119) F(uj ) = F((− + x)uj−1 ) = (i(− + ξ)F(uj−1 ) = iC( 2πij−1 uj−1 ) dx dξ F(xuj−1 ) = i so proving (4. we have found an orthonormal basis for L2 (R) with elements which are all in L1 (R) and which are also eigenfunctions for F.106) under the assumption that f is continuous and vanishes outside some interval [−R. which is what we wanted to show – but hard work! I did it really to remind you of how we did the Fourier series computation of the same sort and to suggest that you might like to compare the two arguments. (4. 5.116) F(u0 )(ξ) = 2πe0 (ξ).114) f 2 2 as w → 1 since e−t /4 = 2 π. Namely we have already shown the eﬀect of the Fourier transform on the ‘ground state’: √ (4. .
Notic in particular that we have also proved Parseval’s and Plancherel’s identities:√ (4. However. is to turn what we want into a deﬁnition. I do not have any time to remind you of the many applications of the Fourier transform.122) F(u) L2 = 2π u L2 . We now see that F maps L2 (R) isomorphically onto 2 L (R) and we can see from (4. F(v)) = 2π(u. Everything else now follows easily. are deﬁned as subspaces of L2 (R) : (4. v ∈ L2 (R). FOURIER TRANSFORM 143 Theorem 18. . Definition 21.124) u s = (1 + ξ2 ) 2 u ˆ s L2 . The elements of the Hermite basis ej are all in both L1 (R) and L2 (R) so if u ∈ L1 (R) ∩ L2 (R) its image under F because we can compute the L2 inner products and see that √ (4. R2 Now Bessel’s inequality shows that F(u) ∈ L2 (R) (it is of course locally integrable) since it is continuous).118) for instance that it ‘turns diﬀerentiations by x into multiplication by ξ’. Exercise 1. One way. (1 + ξ2 ) 2 u ∈ L2 (R)}. ej ) = ej (ξ)eixξ u(x)dxdξ = F(ej )(x)u(x) = 2πij (u. This allows us to justify. Of course we do not know how to diﬀerentiate L2 functions so we have some problems making sense of this.120) F(f )(x) = 2π Proof. Since we are at the end of the course. The Fourier transform maps L1 (R) ∩ L2 (R) into L2 (R) and extends by continuity to an isomorphism of L2 (R) such that √1 F is unitary with 2π the inverse of F the continuous extension from L1 (R) ∩ L2 (R) of 1 eixξ f (ξ). The the Sobolev spaces of order s. more or less. the usual mathematicians trick. for any s ∈ (0. for any integer n ≥ s. (F(u). Show that the Sobolev spaces of positive order are Hilbert spaces with the norm (4.5. (4. s ≥ 1. v(x) = ⇐⇒ v (ξ) = iξ u(ξ) ˆ ˆ (4. which get smaller as s increases it can be shown for instances that if n ≥ s is an integer then the set of n times continuously diﬀerentiabel functions on R which vanish outside a compact set are dense in H s . Having deﬁned these spaces. One of the more important results about Sobolev spaces – of which there are many – is the relationship between these ‘L2 derivatives’ and ‘true derivatives’.121) (F(u). This really is what we have already proved. ej ). the following statement:Proposition 48. The bounded linear map du d : H s (R) −→ H s−1 (R). let me just indicate the deﬁnitions of Sobolev spaces and Schwartz space and how they are related to the Fourier transform. ˆ s It is natural to identify H 0 (R) = L2 (R).125) dx dx is consistent with diﬀerentiation on n times continuously diﬀerentiable functions of compact support. First Sobolev spaces. v). by continuity. ∀ u. ∞).123) H s (R) = {u ∈ L2 (R).
F(xu) = −i dx dξ where this now makes sense. and even Banach. Each of the · n is a norm. with some thought perhaps required. s s Exercise 2. However. Finally in this general vein. Find a norm with respect to which these (‘isotropic Sobolev s spaces’) Hiso (R) are Hilbert spaces. As you can see from the deﬁnition in (4.132) S(R) = n s Hiso (R). APPLICATIONS Theorem 19 (Sobolev embedding). For instance one can try to treat x and ξ more symmetrically and deﬁne smaller spaces than the H s above by setting (4. S(R) is pretty clearly not going to be complete with respect to any one of these. This is actually not so hard to prove. The Sobolev embedding theorem implies that (4. .130) d(u. spaces are not the end of the road! One very important space in relation to a direct treatment of the Fourier transform. e What has this got to do with the Fourier transform? The point is that (4. (1 + x2 ) 2 u ∈ L2 (R)}.126) H (R) ⊂ s n C∞ (R) 1 2 then consists of n times continuosly diﬀerentiable functions with bounded derivatives to order n. Exercise 3. (Probably too hard) Show that the harmonic oscillator extends by continuity to an isomorphism (4. If n is an integer and s > n + (4. So the claim is that S(R) is comlete as a metric space – such a thing is called a Fr´chet space.128) s+2 s H : Hiso (R) −→ Hiso (R) ∀ s ≥ 2. dxp All these inequalities just mean that all the derivatives of u are ‘rapidly decreasing at ∞’ in the sense that they stay bounded when multiplied by any polynomial. (4. countably many. norms. What does this mean? In fact S(R) is a metric space with the metric u−v n (4. So in fact we know already that S(R) is not empty since the elements of the Hermite basis. is the Schwartz space. The deﬁnition is reasonably simple. These are not the only sort of spaces with ‘more regularity’ one can deﬁne and use. v) = 2−n 1+ u−v n n as you can check. However it is complete with respect to all. Namely we denote Schwartz space by S(R) and say u ∈ S(R) ⇐⇒ u : R −→ C is continuously diﬀerentiable of all orders and for every n and .131) dF(u) du F : S(R) −→ S(R) is an isomorphism and F( ) = iξF(u).129) u n = k+p≤n sup(1 + x)k  x∈R dp u  < ∞. (1 + ξ2 ) 2 u ∈ L2 (R). I wanted to point out that Hilbert. ej ∈ S(R) for all j.127) s ˆ Hiso (R) = {u ∈ L2 (R).129) this is not likely to be a Banach space.144 4.
u z = ρ(z/z) = 0. Dirichlet problem As a ﬁnal application. z < ρ(z/z) where ρ is another once continuously diﬀerentiable. but now in higher dimensions. So. this is no worse than what we are already dealing with. and strictly positive. what I want to approach is the following result – which can be improved a lot and which I will not quite manage to prove anyway. which I do not have time to do in full detail in lectures. To short cut the work involved. Theorem 20. partial derivatives are just onedimensional derivatives in the variable concerned with the other variables held ﬁxed. denoted S (R). Of course this is a small issue. ∂x2 ∂x2 ∂x2 n 1 2 Now. what is the issue? Consider Laplace’s equation on an open set in Rn . For this we need to have a reasonable domain. I want to consider the Dirichlet problem again. Just add that to the heap of unresolved issues. Now. DIRICHLET PROBLEM 145 The dual space of S(R) is the space. Now. maybe some of you have not had a rigorous treatment of partical derivatives either. the Dirichlet condition can be stated as (4. That is.6. So. of tempered distributions on R. So.133) and (4. function on Rn (although we only care about its values on the unit vectors). Here we need the ﬁrst condition to make much sense of the second. So. which has a decent boundary. we want a solution of (4.134) Ω = {z ∈ Rn . If 0 < ρ ∈ C 1 (Rn ). f will have to be continuous too. and f ∈ C 1 (Rn ) then there exists a unique u ∈ C 2 (Ω) ∩ C 0 (Ω) satisfying (4.133) ∂ 2 u(x) ∂ 2 u(x) ∂ 2 u(x) + + ··· + ) = f (x) in Ω ⊂ Rn . we are looking for a function u which has all partial derivatives up to order 2 existing everywhere and continous. Unfortunately this is not enough to guarantee the existence of a twice continuously diﬀerentiable solution – later we will just suppose that f itself is once continuously diﬀerentiable. we want to ﬁnd a solution of (4. since I have not really gone through the treatment of the Lebesgue integral etc in higher dimensions – still I hope it is clear that with a little more application we could do it and for the moment I will just pretend that we have. 6. let’s just suppose that 0 ∈ Ω and that it is given by an inequality of the sort −( (4. In any case.133) which satisﬁes the Dirichlet condition.135) u ∈ C 0 (Ω).135). . So.
.
cj > 0. v) = c1 B(u1 . for any a < b. N ] ⊂ R (for N ﬁxed) be a sequence of subsets with the property that the characteristic function. deﬁned on R. Show that B is continuous.6) A= j Aj is integrable. 147 . χj of Aj . v) = u H + v H × H if and only if it is bounded.2) B : H × H ←→ C B(c1 u1 + c2 u2 . v) = B(v. v ⊥ P u −→ v ∈ P has the properties B(H) (πP ) = πP .CHAPTER Appendix: Exam Preparation Problems EP. Suppose A : H1 −→ H2 is a continuous linear operator which is injective and surjective and T : H1 −→ H2 is compact.6 Let ej = cj C j e−x /2 . u1 .1) (.3 Suppose P ⊂ H is a (nontrivial. πP = 1. Deﬁne an operator on L2 (R) by ∞ (. u). Deduce from a result done in class that each u in H has a unique decomposition (. EP. B(u. EP.e. which is absolutely summable. 2 d EP. Hilbert spaces is said to be compact if the image of the unit ball in H1 under T is precompact in H2 . Show that the characteristic function of (. possibly diﬀerent. (πP )2 = πP .3) B(u. v) + c2 B(u2 . v) ≤ C u H on v H. v ∈ P.5) ∗ u = v + v . ·) and suppose that (. in the sense that for some C > 0. the series fj (x) cannot j j diverge for all x ∈ (a. u. with respect to the norm (u. C = − dx + x the creation operator. H is a(nother) sesquilinear form – so for all c1 . is integrable for each j. v).7) Au = j=0 (2j + 1)− 2 (u. i. meaning fj < ∞. 1 (1) Show that A is compact as an operator on L2 (R). b).5 Let Aj ⊂ [−N. c2 ∈ C. not {0}) closed linear subspace of a Hilbert space. EP. Show that there is a compact operator K : H2 −→ H2 such that T = KA. (.2 A continuous linear map T : H1 −→ H2 between two. be 2 the orthonormal basis of L (R) consisting of the eigenfunctions of the harmonic oscillator discussed in class.4) and that the map πP : H (. u2 and v ∈ H.4 Show that for a sequence of nonnegative step functions fj .1 Let H be a Hilbert space with inner product (·. ej )L2 ej . EP.
Q4. Id +A(V + C)A is invertible (with bounded inverse on L2 (R)). meaning that each has a countable dense subset. Show that a countable union of measurable sets is measurable.8). fN = CN f χ[−N. lim x>N N →∞ CN u − u2 = 0. There may be some confusion between L1 and L1 here. What can you say about the eigenvalues τj . for some λj ∈ C. (4) Show that L2 (R) has an orthonormal basis of eigenfunctions of J = A(Id +A(V + C)A)−1 A.e.148 APPENDIX: EXAM PREPARATION PROBLEMS 0 (2) Suppose that V ∈ C∞ (R) is a bounded. CN v − v = 0. Recall Lebesgue’s Dominated Convergence Theorem and use it to show that if u ∈ L2 (R) and v ∈ L1 (R) then (. are eigenfunctions of K? EP. Q5.) and that if f ∈ L1 (R) then there is a sequence of step functions un and an element g ∈ L1 (R) such that un → f a.7 Test 1 from last year (N. Show that L1 (R) and L2 (R) are separable. of K = AV A. Show that step functions are dense in L1 (R) and in L2 (R) (Hint:. where V is acting by multiplication on L2 (R)? (3) Show that for C > 0 a large enough constant.N ] is converges to fN in L2 . just choose the correct interpretation!):Q1. Q3. solutions of (. (Eq1) N →∞ lim v = 0 and lim x>N N →∞ where (Eq2) N if f (x) > N CN f (x) = −N if f (x) < −N f (x) otherwise.Look at Q1 above and think about f −fN . realvalued. and un  ≤ g. Hint: Start with two! Q6.B. supR u < ∞. If N∞ ⊂ L∞ (R) consists of the bounded functions which vanish outside a set of measure zero show that (Eq3) u + N∞ L∞ = inf sup u(x) + h(x) h∈N∞ x∈R . So it suﬃces to show that fN is the limit in L2 of a sequence of step functions.N ] and its square. Show that if gn is a sequence of step functions converging to fN in L1 then CN gn χ[−N. A subset of R is said to be (Lebesgue) measurable if its characteristic function is locally integrable. Q2. Show that the minimum and the maximum of two locally integrable functions is locally integrable.8) − N →∞ lim u2 = 0. (5) What would you need to show to conclude that these eigenfunctions of J satisfy d2 vj (x) + x2 vj (x) + V (x)vj (x) = λj vj ? dx2 (6) What would you need to show to check that all the squareintegrable. twice continuously diﬀerentiable. Deﬁne L∞ (R) as consisting of the locally integrable functions which are bounded. continuous function on R. and eigenfunctions vj .
8 Test 2 from last year. so given > 0 there exists δ > 0 such that (Eq6) Tz uj − uj 2 < . Show that each u ∈ L2 (R) is continuous in the mean in the sense that Tz u(x) = u(x − z) ∈ L2 (R) for all z ∈ R and that (Eq5) z→0 lim Tz u − u2 = 0.APPENDIX: EXAM PREPARATION PROBLEMS 149 is a norm on L∞ (R) = L∞ (R)/N∞ . x>1/δ uj 2 < ∀ z < δ and all j. including its null space. Q9. Q10. such that if f is continuous then u = AN f is 1 twice continuously diﬀerentiable. 1]. Work out what the spectrum of AN is. Show that if u ∈ L∞ (R) and v ∈ L1 (R) then uv ∈ L1 (R) and that (Eq4)  uv ≤ u L∞ v L1 . Here are some individual steps which may help you along the way! What is the eigenfunction with eigenvalue 0 for (NeuEig)? What is the operator of orthogonal projection onto this function? What is the operator of orthogonal projection onto the orthocomplement of this function? The crucual part. . 1]. satisﬁes 0 u(x)dx = 0. x (BDef) (Bf )(x) = 0 (x − s)f (s)ds and BN is of ﬁnite rank. (1) Recall the discussion of the Dirichlet problem for d2 /dx2 from class and carry out an analogous discussion for the Neumann problem to arrive at a complete orthonormal basis of L2 ([0. Construct a sequence in L2 (R) for which the uniformity in (Eq6) does not hold. Find an integral operator AN = B − BN . dx2 dx dx Show that AN is compact and selfadjoint. Deduce the desired conclusion. AN 1 = 0 (where 1 is the constant function) and 1 f (x)dx = 0 =⇒ (GI) 0 d2 u du du = f (x) ∀ x ∈ [0. because there is an eigenfunction of norm 1 with γ = 0. = γn ψn (x) ∀ x ∈ [0. Q8. (0) = (1) = 0. 2 dx dx dx This is actually a little harder than the Dirichlet problem which I did in class. 1]) consisting of ψn ∈ C 2 functions which are all eigenfunctions in the sense that (NeuEig) dψn dψn d2 ψn (x) (0) = (1) = 0. where B is the operator from class. If {uj } is a Cauchy sequence in L2 (R) show that both (Eq5) and (Eq1) are uniform in j. EP. Q7.
1]) (c) Show that N ⊂ C([0. EP. 1]). show that ∞ (. 1]). 1]). 1]) and hence a bounded operator on L2 ([0. k ∈ Z such that (FS) u(x) = k∈Z ck eikx converges in L2 ([−π. π]) by dividing each element into its odd and even parts. If {ei }∞ is an orthornomal basis of a (separable of course) Hilbert space i=1 H.j=1 cij (u.10 Let c : N2 −→ C be an ‘inﬁnite matrix’ of complex numbers satisfying ∞ (. π]) by change of variable. π]) and give an integral formula for the constants. (b) Explain why Id −T has ﬁnite dimensional null space N ⊂ L2 ([0. (4) Prove the basic theorem of Fourier series. (3) Construct an orthonormal basis of L2 ([−π.9) i. (a) Explain why T is not surjective as a bounded operator on L2 ([0. 1])) as a bounded operator on L2 ([0. (e) Show that the orthocomplement of R is a subspace of C([0. . y)u(y) deﬁnes a bounded linear map L1 ([0. π] and using the Neumann basis above on the even part and the Dirichlet basis from class on the odd part. ej )ei deﬁnes a compact operator on H. 1]) as an operator on L2 ([0.1] B(x. EP. resticting these to [0. π]) there exist unique constants ck ∈ C.150 APPENDIX: EXAM PREPARATION PROBLEMS (2) Show that these two orthonormal bases of L2 ([0. 1]) −→ C([0. namely that for any function u ∈ L2 ([−π. 1]).10) Au = i.j=1 cij 2 < ∞. (d) Show that Id −T has closed range R ⊂ L2 ([0.9 Let B ∈ C([0. Explain why the integral operator T u(x) = [0. 1]2 ) be a continuous function of two variables. 1]). 1]) (the one above and the one from class) can each be turned into an orthonormal basis of L2 ([0.
CHAPTER
Solutions to problems
Solution .1 (Problem 1.1). Write out a proof (you can steal it from one of many places but at least write it out in your own hand) either for p = 2 or for each p with 1 ≤ p < ∞ that
∞
lp = {a : N −→ C;
j=1
aj p < ∞, aj = a(j)}
is a normed space with the norm a
p ∞
1 p
=
j=1
aj p .
This means writing out the proof that this is a linear space and that the three conditions required of a norm hold. Solution: We know that the functions from any set with values in a linear space form a linear space – under addition of values (don’t feel bad if you wrote this out, it is a good thing to do once). So, to see that lp is a linear space it suﬃces to see that it is closed under addition and scalar multiplication. For scalar multiples this is clear:(.1) tai  = tai  so ta
p
= t a
p
which is part of what is needed for the proof that · p is a norm anyway. The fact that a, b ∈ lp imples a + b ∈ lp follows once we show the triangle inequality or we can be a little cruder and observe that ai + bi p ≤ (2 max(ai , bi ))p = 2p max(ap , bi p ) ≤ 2p (ai  + bi ) i p p p (.2) a+b = a + b  ≤ 2 ( a p + b p ),
p i i j
where we use the fact that tp is an increasing function of t ≥ 0. Now, to see that lp is a normed space we need to check that a p is indeed a norm. It is nonnegative and a p = 0 implies ai = 0 for all i which is to say a = 0. So, only the triangle inequality remains. For p = 1 this is a direct consequence of the usual triangle inequality: (.3) a+b
1
=
i
ai + bi  ≤
i
(ai  + bi ) = a
1
+ b 1.
For 1 < p < ∞ it is known as Minkowski’s inequality. This in turn is deduced from H¨lder’s inequality – which follows from Young’s inequality! The latter says o if 1/p + 1/q = 1, so q = p/(p − 1), then βq αp + ∀ α, β ≥ 0. (.4) αβ ≤ p q
151
152
SOLUTIONS TO PROBLEMS
To check it, observe that as a function of α = x, (.5) f (x) = xp βq − xβ + p q
if nonnegative at x = 0 and clearly positive when x >> 0, since xp grows faster than xβ. Moreover, it is diﬀerentiable and the derivative only vanishes at xp−1 = β, where it must have a global minimum in x > 0. At this point f (x) = 0 so Young’s inequality follows. Now, applying this with α = ai / a p and β = bi / b q (assuming both are nonzero) and summing over i gives H¨lder’s inequality o  (.6)
i
ai bi / a
p
b
q
≤
i
ai bi / a =⇒ 
i
p
b
q
≤
i p
ai p bi q p + a pp b qq q
=1
ai bi  ≤ a
b q.
Of course, if either a
p
= 0 or b
q
= 0 this inequality holds anyway.
Now, from this Minkowski’s inequality follows. Namely from the ordinary triangle inequality and then Minkowski’s inequality (with q power in the ﬁrst factor) (.7)
i
ai + bi p =
i
ai + bi (p−1) ai + bi  ai + bi (p−1) ai  +
i i 1/q
≤
ai + bi (p−1) bi 
≤
i
ai + bi p
( a
p
+ b q)
gives after division by the ﬁrst factor on the right (.8) a+b
p
≤ a
p
+ b p.
Thus, lp is indeed a normed space. I did not necessarily expect you to go through the proof of YoungH¨ldero Minkowksi, but I think you should do so at some point since I will not do it in class. Solution .2. The ‘tricky’ part in Problem 1.1 is the triangle inequality. Suppose you knew – meaning I tell you – that for each N 1 p
N
j=1
aj p
is a norm on CN
would that help? Solution. Yes indeed it helps. If we know that for each N 1 1 1 p p p
N N N
(.9)
j=1
aj + bj p ≤
j=1
aj p +
j=1
bj p
SOLUTIONS TO PROBLEMS
153
then for elements of lp the norms always bounds the right side from above, meaning 1 p
N
(.10)
j=1
aj + bj p ≤ a
p
+ b p.
Since the left side is increasing with N it must converge and be bounded by the right, which is independent of N. That is, the triangle inequality follows. Really this just means it is enough to go through the discussion in the ﬁrst problem for ﬁnite, but arbitrary, N. Solution .3. Prove directly that each lp as deﬁned in Problem 1.1 – or just l – is complete, i.e. it is a Banach space. At the risk of oﬀending some, let me say that this means showing that each Cauchy sequence converges. The problem here is to ﬁnd the limit of a given Cauchy sequence. Show that for each N the sequence in CN obtained by truncating each of the elements at point N is Cauchy with respect to the norm in Problem 1.2 on CN . Show that this is the same as being Cauchy in CN in the usual sense (if you are doing p = 2 it is already the usual sense) and hence, this cutoﬀ sequence converges. Use this to ﬁnd a putative limit of the Cauchy sequence and then check that it works.
2
Solution. So, suppose we are given a Cauchy sequence a(n) in lp . Thus, each (n) element is a sequence {aj }∞ in lp . From the continuity of the norm in Problem j=1 1.5 below, a(n) must be Cauchy in R and so converges. In particular the sequence is norm bounded, there exists A such that a(n) p ≤ A for all n. The Cauchy condition itself is that given > 0 there exists M such that for all m, n > M,
1 p
(.11)
a(n) − a(m)
(n) (m)
p
=
i
(n) ai
−
p
(m) ai p
< /2.
(n)
Now for each i, ai − ai  ≤ a(n) − a(m) be Cauchy in C. Since C is complete (.12)
(n) lim a n→∞ i
so each of the sequences ai
must
= ai exists for each i = 1, 2, . . . .
So, our putative limit is a, the sequence {ai }∞ . The boundedness of the norms i=1 shows that
N
(.13)
i=1
ai p ≤ Ap
(n)
and we can pass to the limit here as n → ∞ since there are only ﬁnitely many terms. Thus
N
(.14)
i=1
ai p ≤ Ap ∀ N =⇒ a
p
≤ A.
Thus, a ∈ lp as we hoped. Similarly, we can pass to the limit as m → ∞ in the ﬁnite inequality which follows from the Cauchy conditions
N
(.15)
(
i=1
ai
(n)
− ai
(m) p
 ) p < /2
1
Solution .20) which implies that (. it cannot have any Cauchy subsequence. Thus indeed.18) S = {a. In this case we consider the sequence (of sequences) (. Consider the ‘unit sphere’ in lp – where if you want you can set p = 2. so (. i=n 1 This has the property that a(n) − a(m) p = 2 p whenever n = m.154 SOLUTIONS TO PROBLEMS to see that for each N N (. (1) Show that S is closed. (3) Show that S is not compact by considering the sequence in lp with kth element the sequence which is all zeros except for a 1 in the kth slot. by checking in Rudin).4. Now. so S is not compact. By the next problem. Show that the norm on any normed space is continuous.16) and hence (. Thus. In the latter case the unit sphere cannot be compact whereas in the former it is. Solution . a = 1} is the inverse image of the closed subset {1}.19) ai (n) = 0 1 i=n . indeed it is Lipschitz continuous. This is the set of vectors of length 1 : S = {a ∈ lp . Notice that the trick is to ‘back oﬀ’ to ﬁnite sums to avoid any issues of interchanging limits. the norm is continuous as a function. v ≤ u−v + u . so I should have put this problem earlier! The triangle inequality shows that for any u. u ≤ u−v + v . a → a in l as we were trying to show. is continuous. the standard result on metric spaces is that a subset is compact if and only if every sequence with values in the subset has a convergent subsequence with limit in the subset (if you drop the last condition then the closure is compact).g . v in a normed space (. In fact it is a major diﬀerence between ﬁnitedimensional and inﬁnitedimensional normed spaces. Solution:Right. This is important. (2) Recall the sequential (so not the open covering deﬁnition) characterization of compactness of a set in a metric space (e . a p = 1}.21) This shows that ·  u − v ≤ u−v .17) (n) p ( i=1 ai (n) − ai p ) p ≤ /2 1 a(n) − a < ∀ n > M. hence closed. and hence cannot have a convergent subsequence. Note that the main problem is not to get yourself confused about sequences of sequences! Solution.5.
26) j wj = j j=n+k vk (n) < ∞. This is where the ﬁrst suggestion comes in:(n) We can choose the absolutely summable series vk representing bn such that (. What we want is the estimate (. . From this normed space we ˜ construct the new linear space V with points the absolutely summable series in V. The idea is that it should be a series which adds up to ‘the sum of the (n) bn ’s’. with the property that (.6.24) n bn B < ∞. ˜ Then we consider the subspace S ⊂ V of those absolutely summable series which converge to 0 in V.SOLUTIONS TO PROBLEMS 155 Solution . we can just look for the usual diagonal sum of the double series and set (. Now.28) k vk (n) ≤ bn B + 2−n . To recap. We start of with a normed space V. So. (n) The problem is that this will not in generall be absolutely summable as a series in V. The proof could be shorter than this. We have to show that it converges in B. Finish the proof of the completeness of the space B constructed in lecture on February 10. The ﬁrst task is to guess what the limit should be.e.23) b B = lim N →∞ vn n=1 V . The description of that construction can be found in the notes to Lecture 3 as well as an indication of one way to proceed. is the same if an element of S is added to the series. thought of a series. Each bn is represented by an absolutely summable series vk in V.22) ˜ B = V /S. Solution. The only way we can really estimate this is to use the triangle inequality and conclude that ∞ (.25) wj = n+k=j vk . This is independent of which series is used to represent b – i.27) j=1 wj ≤ k.n vk (n) V . I have tried to be fairly complete. but we do not know that the sum over k is then ﬁnite. We are interested in the quotient space (. What we know already is that this is a normed space where the norm of b = {vn }+S – where {vn } is an absolutely summable series in V is N (. what is an absolutely summable series in B? It is a sequence {bn }. Each of the sums over k on the right is ﬁnite.
Thus {wj } deﬁnes an element of V and hence b ∈ B.32) j wj V ≤ n bn B + n 2−n < ∞ ˜ because the series bn is absolutely summable.29).34) and the norm is then p N wk − n=1 vk (n) (. Choosing M large it follows that V (.156 SOLUTIONS TO PROBLEMS Suppose an initial choice of absolutely summable series representing bn is uk . The norm here is itself a limit – b − n=1 bn is represented by the summable series N with nth term (. With this choice of M set v1 = k=1 uk and vk (n) = uM +k−1 for all k ≥ 2. The sum on the right tends to 0 in V (since it is a ﬁxed number of terms). Then we need to understand what happens as N → ∞! Now.25) then (. This does still represent bn since the diﬀerence of the sums. so N bn = limN →∞ k=1 uk and k uk V < ∞. Passing to the limit as N → ∞ gives (. because of (. This just means that we n need to show N (. wk is the diagonal (n) (n) sum of the vj ’s so sum over k gives the diﬀerence of the sum of the vj over the ﬁrst p antidiagonals minus the sum over a square with height N (in n) and width .33) N →∞ lim b− n=1 N bn B = 0. Finally then we want to show that bn = b in B.35) p→∞ lim (wk − k=1 n=1 vk ) (n) V . (. Moreover.29) k>M M uk (n) ≤ 2−n−1 . Once we have chosen these ‘nice’ representatives of each of the bn ’s if we deﬁne the wj ’s by (.30) k=1 vk (n) − k=1 uk = − k=N uk for all N. N N N +M −1 (.26) means that (.31) M N N vk k (n) V = j=1 uj V + k>M uk ≤ j=1 uj + 2 k>M uk ≤ j=1 uj + 2−n for all N.28).
1) (remember there is a strong preference for leftclosed but rightopen intervals for the moment) consider a variant of the construction of the standard Cantor subset based on 3 proceeding in steps. Thus the integral of f. 1/3) ∪ [2/3. each consisting of a ﬁnite union of semiopen intervals.1. Carry on in this way to deﬁne successive sets Ck ⊂ Ck−1 . (1) The total length of the intervals is being reduced by a 2k factor of 1/3 each time. is actually (. Thus. N ). 1) does fk (x) converge? k (3) Describe a function on [0. (4) Is this function Riemann integrable (this is easy. (1) Check that this is an absolutely summable series. if you check the deﬁnition of Riemann integrability)? (5) Finally consider the function g which is equal to one on the union of all the subintervals of [0. remove the ‘central interval [1/3. only if (. that Problem . (2) Since the Ck are decreasing. n which is the statelent we wanted.36) (wk − k=1 n=1 vk ) (n) V ≤ l+m≥L vl (m) V where L = min(p. 1) which are removed in the construction and zero elsewhere.37) N →∞ lim b− n=1 bn B = 0 bn = b. This leave C1 = [0. 7/9) ∪ [8/9. Show that g is Lebesgue integrable and compute its integral. which is nonnegative. 1). Thus N (.39) does the series k x∈E= k Ck fk (x) diverge (to +∞) otherwise it converges. . consider the series of step functions fk where fk (x) = 1 on Ck and 0 otherwise.38) fk = 2k =⇒ 3k ∞ fk  = k k=1 2k =2 3k Thus the series is absolutely summable. not hard. 1/9) ∪ [2/9. Let’s consider an example of an absolutely summable sequence of step functions. Ck ⊃ Ck+1 . using the triangle inequality the norm of the diﬀerence can be estimated by the sum of the norms of all the ‘missing terms’ and then some so p N (. 1) which is shown to be Lebesgue integrable (as deﬁned in Lecture 4) by the existence of this series and compute its Lebesgue integral. 1/3) ∪ [2/3. Then remove the central interval from each of the remaining two intervals to get C2 = [0. 2/3). 1). Thus l(Ck ) = 3k . For the interval [0. This sum is ﬁnite and letting p → ∞ is replaced by the sum over l + m ≥ N. Then letting N → ∞ it tends to zero by the absolute (double) summability.SOLUTIONS TO PROBLEMS 157 p. Solution. (2) For which x ∈ [0. Now. So.
2. b1 ). since they are nonnegative and the kth one has integral 1/3 × (2/3)k−1 for k = 1. . 1) \ E. Problem . (3) Now show that for any countable collection of disjoint rectangles contained in a given rectange the sum of the areas is less than or equal to that of the containing rectangle. . (4) The function f is not Riemann integrable since it is not bounded – and this is part of the deﬁnition. The area of a rectangle is (b1 − a1 ) × (b2 − a2 ). After subdivision the area of the two rectanges is either (c − a1 )(b2 − a2 ) + (b1 − c)(b2 − a2 ) = (b1 − c1 )(b2 − a2 ) or (. Show. and I really mean prove. .40) f (x) = k 0 x∈E is integrable by deﬁnition. Solution. Show that the sum of the areas of rectangles made by any repeated subdivision is always the same as that of the original. c1 ) ∪ [c1 . which is not an empty set. (2) Suppose that a ﬁnite collection of disjoint rectangles has union a rectangle (always in this same halfopen sense). b1 ) × [a2 . (1) For the subdivision of one rectangle this is clear enough. Namely we either divide the ﬁrst side in two or the second side in two at an intermediate point c. The covering lemma for R2 . Hint:. (4) Show that if a ﬁnite collection of rectangles has union containing a given rectange then the sum of the areas of the rectangles is at least as large of that of the rectangle contained in the union. (1) We may subdivide a rectangle by subdividing either of the intervals – replacing [a1 . (5) The set F.42) g = 1. This series converges to g on F so g is Lebesgue integrable and hence (. . f (x) = k. By a rectangle we will mean a set of the form [a1 . b2 ) in R2 . which is the union of the intervals removed is [0. Taking step functions equal to 1 on each of the intervals removed gives an absolutely summable series. (5) Prove the extension of the preceeding result to a countable collection of rectangles with union containing a given rectangle.proceed by subdivision.41) f= k fk = 2 from the discussion above. In particular for x ∈ Ck \ Ck+1 . that the sum of the areas is the area of the whole rectange. Its integral is by deﬁnition (.43) (b1 − a1 )(c − a2 ) + (b1 − a1 )(b2 − c) = (b1 − c1 )(b2 − a2 ). b1 ) by [a1 .158 SOLUTIONS TO PROBLEMS (3) The function deﬁned as the sum of the series where it converges and zero otherwise fk (x) x ∈ R \ E (. .
For a countable collection of disjoint rectangles the sum of the areas is therefore bounded above by this constant. The total area remains the same and now the rectangles covering [a1 . we can assume that there is a ﬁxed upper bound C on the lengths of the sides. b2 ). b2 ) are precisely the Ai × Bj where the Ai are a set of disjoint intervals covering [a1 . Look at all the points C1 ⊂ [a1 . Applying the onedimensional result from class we see that the sum of the areas of the rectangles with ﬁrst interval Ai is the product (. Similarly let C2 be the corresponding set of endpoints of the second intervals of the rectangles. . after such subdivision the sum of the areas is always the same. but by no more than 2C2−k . The sum of the areas of the remaining rectangles is precisely the area of D by the previous result. for a countable collection of rectangles covering D = [a1 . a ﬁnite number of these open . So. i = 1. After subdivision of DN −k+1 each resulting rectangle is either contained in one of the Dj . b2 ) × [a2 . Moreover. Subdivide D1 using all the endpoints of the intervals of D. Proceeding by induction we can suppose that the ﬁrst N − k of the rectangles are disjoint and all contained in D and together all the rectangles cover D. All these can be discarded and the result is to decrease k by 1 (maybe increasing N but that is okay). . . Now look at the next one. b1 ) and the Bj are a similar set covering [a2 . (4) Let the rectangles be Di . b1 ) which occur as an endpoint of the ﬁrst interval of one of the rectangles. b1 − δ] × [a2 . N the union of which contains the rectangle D. from the preceeding result the sum of the areas must be less than or equal to (b1 − a1 )(b2 − a2 ). . b2 ) we can use the same division process to show that we can add more disjoint rectangles to cover the whole big rectangle. Each of the resulting rectangles is either contained in D or is disjoint from it. Thus. (2) If a ﬁnite collection of disjoint rectangles has union a rectangle. Replace D1 by the (one in fact) subrectangle contained in D. After extension the interiors of the countable collection cover the compact set [a1 . b1 − δ]. Make the kth rectangle a little larger by extending both the upper limits by 2−k δ where δ > 0. . First. By compactness. Now divide each of the rectangles repeatedly using the ﬁnite number of points in C1 and the ﬁnite number of points in C2 . Dk and D. b1 ) × [A2 . b1 )×[a2 . DN −k+1 . by the preceeding result. . (3) For any ﬁnite collection of disjoint rectangles contained in [a1 . .44) length of Ai × (b2 − a2 ). b2 ) we proceed as in the onedimensional case. b1 )×[a2 . j ≤ N − k or is not contained in D. (5) Now. Then we can sum over i and use the same result again to prove what we want. . The area increases. b2 ) then the same is true after any subdivision of any of the rectangles.SOLUTIONS TO PROBLEMS 159 this shows by induction that the sum of the areas of any the rectangles made by repeated subdivision is always the same as the original. by induction we can decompose and throw away rectangles until what is left are disjoint and individually contained in D but still cover. so the sum of the areas must originally have been at least this large. Subdivide it using all the endpoints of the intervals for the earlier rectangles D1 . say [a1 .
Since f can varying by no more than 2−n on each of the intervals for Fn it follows that (. (2) By using the ‘telescoping trick’ show that any continuous function on [0.47) f (x) − Fn (x) ≤ 2−n ∀ x ∈ [0. 1) of a sequence of step functions. extended to be 0 outside this interval. Solution. (2) Now just deﬁne f1 = F1 and fk = Fk − Fk−1 for all k > 1. b1 −δ). Then use uniform convergence.49) fn (x) = Fn+1 (x) − Fn (x) ≤ 2−n ∀ n > 1. where N depends on n and we insist that it be nondecreasing as a function of n and take the step function fn on each interval which is equal to min f = inf f on the closure of the interval then (.45) Sum of areas + 2Cδ ≥ Area D − 2Cδ. 1) can be written as the sum (. By the uniform continuity of a continuous function on a compact set. 1) since this even works at the endpoints. divide the interval into 2n equal pieces and deﬁne the step functions to take inﬁmim of the continuous function on the corresponding interval. (1) Since the real and imaginary parts of a continuous function are continuous.48) k=1 = fn . 1]. Thus fn  ≤ 2−n and so the series is absolutely summable.Reduce to the real case. 1] is the uniform limit on [0. It follows that these are step functions and that n (. it suﬃces to consider a real continous function f and then add afterwards. if we divide into 2N equal intervals. Hint:.46) i fj (x) ∀ x ∈ [0. 1]. . (3) Conclude that any continuous function on [0. Moreover. covers [a1 . and hence there semiclosed version. Moreover. is a Lebesgue integrable function on R. each interval for Fn+1 is a subinterval for Fn . 1) and uniformly to f by (. In fact if you want you can go ahead and see that everything works in Rn ! Problem 2. 1). Applying the preceeding ﬁnite result we see that (. in this case [0.4 (1) Show that any continuous function on [0. So. I encourage you to go through the discussion of integrals of step functions – now based on rectangles instead of intervals – and see that everything we have done can be extended to the case of two dimensions. it actually converges everywhere on [0. 1).47).160 SOLUTIONS TO PROBLEMS rectangles cover. given n there exists N such that x − y ≤ 2−N =⇒ f (x) − f (y) ≤ 2−n . b1 −δ)×[a2 . with the same endpoints. Since this is true for all δ > 0 the result follows. 1) where the fj are step functions and j fj (x) < ∞ for all x ∈ [0. Thus Fn → f uniformly on [0.
51) f = lim n→∞ Fn and the integral of the step function is between the Riemann upper and lower sums for the corresponding partition of [0.56) f+ = lim k→∞ hk = lim n≤2k k→∞  j=1 fj  + j=1 fj f+ ≥ 0. if f ≥ 0. then f ≥ 0.e. (4) For some reason I did not ask you to check that 1 (. (1) If f is real and fn is a realvalued absolutely summable series of step functions converging to f where it is absolutely convergent (if we only have a complexvalued sequence use part (3)). (3) If f is complex valued then its real part.SOLUTIONS TO PROBLEMS 161 (3) Hence f is Lebesgue integrable. Moreover we know that k k (. where each term is a nonnegative step function. so . 1]. is Lebesgue integrable and  Re f  ≤ f . (2) If f (x) ≤ g(x) a. (5) Show that the integral is a continuous linear functional (.53) : L1 (R) −→ C. However this follows from the fact that (. If f and g ∈ L1 (R) are Lebesgue integrable functions on the line show that (1) If f (x) ≥ 0 a. Then apply the preceeding estimate to g = eiθ f. is the limit almost everywhere 1 of the series obtained by interlacing 1 gj and 2 fj : 2 (.55) hn = 1 2 gk fk n = 2k − 1 n = 2k.54) g1 = f1 .7. gj = fj  − fj−1 . Solution .e. (4) For a general complexvalued Lebesgue integrable function (. Re f. Solution. Hint: You can look up a proof of this easily enough.52)  f ≤ f . 2π) so that eiθ f = (eiθ f ) ≥ 0.50) f= 0 f (x)dx where on the right is the Riemann integral. Then we know that (. then f ≤ g. f ≥ 1 is an absolutely convergent sequence converging to f  almost everywhere. but the usual trick is to choose θ ∈ [0. Thus f+ is Lebesgue integrable. 1 It follows that f+ = 2 (f +f ) = f.
including possibly (−∞.63) I([f ]) =  f ≤ f  = [f ] L1 (Note that writing [f ] instead of f ∈ L1 (R) is correct but would normally be considered pedantic – at least after you are used to it!) (6) I should have asked – and might do on the test: What is the norm of I as an element of the dual space of L1 (R). which follows from the preceeding estimate (. we deﬁne Lebesgue integrability of a function f : I −→ C to mean the Lebesgue integrability of (. a) or (a. It is 1 – better make sure that you can prove this. to f then deﬁne Re fk n = 3k − 2 (.e.61) z f= (zf ) = Re(zf ) ≤ z Re f  ≤ f  =⇒  f = z f≤ f . To say this is continuous is equivalent to it being bounded. Choose z ∈ C with z = 1 such that z f ∈ [0. Then by the linearity of the integral (.2 If I ⊂ R is an interval.59) n hn (x) < ∞ ⇐⇒ n fn (x) < ∞ =⇒ n hn (x) = Re f.60) ± Re f ≤ f  =⇒  Re f  ≤ f . ∞) which is possible by the properties of complex numbers. (3) Arguing from ﬁrst principles again. Thus Re f is integrable. Problem 3.62) I : L1 (R) [f ] −→ f ∈C since f = g if f = g a. This series of step functions is absolutely summable and (.64) ˜ ˜ f : R −→ C. (4) For a complexvalued f proceed as suggested. if fn is now complex valued and an absolutely summable series of step functions converging a . ∞). f (x) = f (x) x ∈ I 0 x ∈ R \ I. (5) We know that the integral deﬁnes a linear map (.e . .162 SOLUTIONS TO PROBLEMS (2) Apply the preceeding result to g − f which is integrable and satisﬁes (. are two representatives of the same class in L1 (R). Since ± Re f ≤ f  (.57) g− f= (g − f ) ≥ 0. (where the second equality follows from the fact that the integral is equal to its real part).58) hn = Im fk n = 3k − 1 − Im fk n = 3k.
so N (I) is a linear space. g(x) = f (x) x ∈ I 0 x∈R\I is in L1 (R) an hence that f is integrable on I. since it vanishes where g vanishes. (3) Show that if f is integrable on I and I f  = 0 then f = 0 a. f  = h if h = f . (7) Show that the preceeding construction gives a surjective and continuous linear map ‘restriction to I’ (. (4) Show that the set of null functions as in the preceeding question is a linear space. which. directly from the deﬁnitions. (4) If f. so f  ∈ L1 (I). h = f + g . (5) If f ∈ L1 (I) and g ∈ N (I) then f + g − f  ∈ N (I).) Solution: ˜ ˜ ˜ (1) If f and g are both integrable on I then setting h = f + g. denote it L1 (I).SOLUTIONS TO PROBLEMS 163 The integral of f on I is then deﬁned to be (. any constant c if f ˜ ˜ (2) Again from the deﬁnition. Thus (. ˜ ˜ (3) If f ∈ L1 (I) and I f  = 0 then R f  = 0 which implies that f = 0 on R \ E where E ⊂ R is of measure zero. (5) Show that I f  deﬁnes a norm on L1 (I) = L1 (I)/N (I).66) g : I −→ C. So in ˜ turn h ∈ L1 (R) where h = f . (2) Show that is f is integrable on I then so is f . so f + g is integrable on I if f and g are by ˜ ˜ the linearity of L1 (R). as we know.e. EI = E ∩ I ⊂ E is also of measure zero (as a subset of a set of measure zero) and f vanishes outside EI . Thus f integrable on I 1 ˜ ˜ implies f ∈ L (R). The union of two sets of measure zero (in R) is of measure zero so this shows f + g is null.67) L1 (R) −→ L1 (I). implies that f  ∈ L1 (R). The same is true of cf + dg for constant c and d. Thus (. (Notice that these are the quotient spaces of integrable functions modulo equality a. denote it N (I). Similarly if h = cf then h = cf is integrable for ˜ is integrable. g : I −→ C are both of measure zero in this sense then f + g vanishes on I \ (Ef ∪ Eg ) where Ef ⊂ I and Ef ⊂ I are of measure zero. g ∈ N (I).69) [f ] I = I f  . Now. (6) Show that if f ∈ L1 (R) then (. Thus L1 (I) is linear. in the sense that f (x) = 0 for all x ∈ I \ E where E ⊂ I is of measure zero as a subset of R.65) I f= ˜ f. (1) Show that the space of such integrable functions on I is linear.e.68) I f + g = I f  ∀ f ∈ L1 (I).
it converges absolutely consider (. b) and f ∈ L1 (I) then the restriction of f to Ix = [x. We have already seen that ‘restriction to I’ maps L1 (R) into L1 (I) and since this is clearly a linear map it deﬁnes (. If f ∈ L1 ([a. (6) Suppose f ∈ L1 (R) and g is deﬁned in (. Now. 1]. Then gn is a step function (which is why we need I). Thus g is integrable. If fn is an absolutely summable series of step functions converging to f wherever. b) as an element of L1 ([x. gn  ≤ fn  so the series gn is absolutely summable and converges to gn outside I and at all points inside I where the series is absolutely convergent (since it is then the same as fn ). Namely if f ∈ N (R) then g in (. it too is integrable so f is integrable on I by deﬁnition. b) is an element of L1 (Ix ) for all a ≤ x < b. It is clearly linear and to see that it is surjective observe that if g ∈ L1 (I) then extending it as zero outside I gives an element of L1 (R) and the class of this function maps to [g] under (. the norm properties follow from the same properties on the whole of R. x))fn .66) above by restriction to I. we now that if fn is an absolutely summable series converging to f (a representative of f ) where it converges absolutely. b)). (2) Using the discussion in the preceeding question. Problem 3.164 SOLUTIONS TO PROBLEMS is a welldeﬁned function on L1 (I) = L1 (R)/N (I) since it is constant on equivalence classes.70) gn (x) = fn (x) 0 ˜ on I ˜ on R \ I ˜ where I is I made halfopen if it isn’t already – by adding the lower endpoint (if there is one) and removing the upper endpoint (if there is ˜ one). (7) First we check we do have a map. b)) with f a representative then extending f as zero outside the interval gives an element of L1 (R). (2) Show that the function (. we can deﬁne (. Moreover.71) F (x) = Ix f : [a. Hint: Think about it a bit and use what you have shown above.72) fn = χ([a. (1) Show that if I = [a. and since ˜ f diﬀers from g by its values at two points.66) is certainly an element of N (I). As an element of L1 (R) this does not depend on the choice of f and then (. b))fn .67). We need to show that g ∈ L1 (R).3 Really continuing the previous one. by deﬁntion. then for any a ≤ x ≤ b. (3) Prove that the function x−1 cos(1/x) is not Lebesgue integrable on the interval (0. at most. fn = χ([x. This is a linear map. b) −→ C is continuous. Solution: (1) This follows from the previous question. on R.67) – the image only depends on the equivalence class of f.67) gives the restriction to [x.
1] (on which it is deﬁned) then it would be integrable on [0.x) fn .77) lim t↓0 t x cos(1/x)dx = ∞.b) f χ([a.b) fn + fn so f= [a. This is called ‘Continuity in the mean for integrable functions’. This is contrary to the continuity of the integral as a function of the limits just shown.x) for any f integrable on [a. we know that (. (3) If the function x−1 cos(1/x) were Lebesgue integrable on the interval (0.x) f= fn = f [x. b)) is the characteristic function of the interval. Problem 3. Thus it suﬃces to show (by moving the end point from a to a general point) that (. say to be 0.76) and hence the continuity of F. x)) = n fn .74) [a.b) f= f χ([x. b)) where they converge absolutely.x) f+ as we have every right to expect.73) [x.x) n≤N fn  + n>N [a.4 [Harder but still doable] Suppose f ∈ L1 (R). [a. Now.x) f ≤  [a. b)) = n fn .76)  [a. for ﬁxed N.75) x→a lim f =0 [a. Thus can be seen in terms of a deﬁning absolutely summable sequence of step functions using the usual estimate that (. x)) and fn to f χ([x. Hint: I will add one! (3) Conclude that for each f ∈ L1 (R) the map (it is a ‘curve’) (.78) ft (x) = f (x − t) : R −→ C are elements of L1 (R). The last sum can be made small.SOLUTIONS TO PROBLEMS 165 where χ([a. at 0. 1) if we deﬁne it arbitrarily.79) t→0 lim ft − f  = 0. This proves (.80) is continuous. It follows that fn converges to f χ([a. tends to zero by the deﬁnition for step functions. (1) Show that for each t ∈ R the translates (. (2) Show that (. independent of x. by choosing N large enough. The same would be true of the absolute value and Riemann integration shows us easily that 1 (. On the other hand as x → a the ﬁrst integral. b). Solution: R t −→ [ft ] ∈ L1 (R) . Thus (. for step functions.
86) R t −→ ft ∈ L1 (R) it follows that ft+s = (ft )s so we can apply the argument above to show that for each s.83) ft − f  ≤  n≤N fn (· − t) − fn (·) + n>N fn (· − t) − fn (·) fn . c. Given δ > 0 we can The second sum here is bounded by 2 n>N choose N so large that this sum is bounded by δ/2. i. Using this.e.85)  g(· − t) − g(·) → 0 as t → 0 for each component. Applying this to the series fn (· − t) − fn (·) we ﬁnd that (. by the absolute convergence. times the characteristic function of an interval [a. are elements of L1 (R) (2) Now.e. is Lebesgue integrable. i. each of the f (x − t) is Lebesgue integrable. (.5 In the last problem set you showed that a continuous function on a compact interval. So it suﬃces to show that (.87) t→s lim ft − fs  = 0 =⇒ lim [ft ] − [fs ] t→s L1 =0 which proves continuity of the map (.82) f  ≤  n≤N fn  + n>N fn . Problem 3. (3) For the ‘curve’ ft which is a map (. a constant. we know that if fn is a series converging to f as above then (. (. So the result is reduce to proving that if t is small enough then (. Thus.81) f  ≤ n fn . This however is a ﬁnite sum of step functions. We can sum the ﬁrst terms and then start the series again and so it follows that for any N. b) where it is bounded by 2ct.86). and the fact that step functions are dense in L1 (R) show that the linear space of continuous functions on R each of which vanishes outside a compact set (which depends on the function) form a dense subset of L1 (R). extended to be zero outside.84)  n≤N fn (· − t) − fn (·) ≤ δ/2. Solution: Since we know that step functions (really of course the equivalence classes of step functions) are dense in L1 (R) we only need to show that any step function is the limit of a sequence of continuous functions each vanishing outside a .166 SOLUTIONS TO PROBLEMS (1) If fn is an absolutely summable series of step functions converging to f where it converges absolutely then fn (· − t) is such a series converging to f (· − t) for each t ∈ R.
1]. b))] in L1 (R). 1]) is a bounded (i. ·)f (·) ∈ C (where · is the variable in which the integral is taken) is welldeﬁned for each x ∈ [0. Problem 3.89) gn − χ([a. on [0. The sequence 0 x < a − 1/n n(x − a + 1/n) a − 1/n ≤ x ≤ a (. Since 1 b+1/n (. Applying a result form Problem set there exists a sequence of step functions gn such that for any R. from the uniform convergence of gn . using the ﬁrst part show that if f ∈ L1 ([0. 1]) is a continuous function (I use C(K) to denote the continuous functions on a compact metric space). it suﬃces to prove this for the charactertistic function of an interval [a. with respect to L1 . Thus.91) F (x) = [0.SOLUTIONS TO PROBLEMS 167 compact set. If fn is an absolutly summable series of step functions converging a . 1]×[0. 1]). on R.93) gn (x) k=1 fk (x) → g(x)f (x) a. So. b)) = a−1/n gn + b gn ≤ 2/n it follows that [gn ] → [χ([a. 1]. Solution: (1) Let’s ﬁrst assume that f = 0 outside [−1.e . Recall from the preceeding discussion that we have deﬁned L1 ([0. (4) Show that (.90) gf  ≤ sup g · R f . 1]. (3) Show that for each f ∈ L1 ([0. 1]) then (. b) and then multiply by constants and add.88) gn (x) = 0 a<x<b n(b + 1/n − x) b ≤ x ≤ b + 1/n 0 x > b + 1/n is clearly continuous and vanishes outside a compact set. This proves the density of continuous functions with compact support in L1 (R).1] gn (x) − gn−1 (x) < 2−n . 1). Now. 1]) f −→ F ∈ C([0. gn → g uniformly on [0.92) L1 ([0. 1]) as discussed above. F is a continuous function on [0. continuous) linear map into the Banach space of continuous functions. 1]). By passing to a subsequence we can arrange that sup[−1. .6 (1) If g : R −→ C is bounded and continuous and f ∈ L1 (R) show that gf ∈ L1 (R) and that (. (2) Suppose now that G ∈ C([0. to f we can replace it by fn χ([−1. n (. with supremum norm.e. 1]. and still have the same conclusion.1] G(x.e.
n hn  ≤ A n fn  + 2 n fn  < ∞ it is absolutely summable.1] f  which is the desired boundedness. Thus.96) p gfp  ≤ sup g p [p.100) F (x) − F (x ) =  [0. 1]) is a continuous function on [0. I(f ) sup ≤ sup G f L1 .e . since it is indpendent of the choice of f . F (f )(x) = G(x. 1]) has a representative f then G(x. 1)) so (. ·)f (·) ∈ L1 ([0. . y) < δ if x − x  < . changing by a null function if f is changed by a null function. gf ∈ L1 (R) by a theorem in class and (.97) gf  ≤ sup g f . Thus gf ∈ L1 (R) under the assumption that f = 0 outside [0. 1]) −→ C([0.102) I : L1 ([0. y) − G(x . Moreover the map f −→ F is linear and (. This series of step functions converges to gf (x) almost everywhere and since (.168 SOLUTIONS TO PROBLEMS n n−1 So deﬁne h1 = g1 f1 .1] Then if x − x  < .99) sup G(x.1] (G(x.1] S [0. 1] × [0.95) provides the absolute summablitly since (. hn = gn (x) k=1 fk (x) − gn−1 (x) k=1 fk (x). ·)f (·) ∈ C is welldeﬁned. 1]. Then we get gf as the limit a . 1) and (. of the absolutely summable series gfp where (.1] G(x. Here A is a bound for gn  independent of n. 1]).95) gf  ≤ sup g f  follows from the limiting argument.98) F (x) = [0.p+1) f  < ∞. ·)f (·). (2) If f ∈ L1 [(0. for each p ∈ Z. Thus F ∈ C([0. 1] given δ > 0 there exist > 0 such that (. Now we can apply this argument to fp which is the restriction of p to the interval [p. (3) Now by the uniform continuity of continuous functions on a compact metric space such as S = [0. or continuity. (. ·))f (·) ≤ δ f . ·) − G(x . y∈[0.94) hn  ≤ Afn (x) + 2−n k<n fk (x). p + 1).101) sup F  ≤ sup G [0. of the map (.
Show that fL ∈ L1 (R) and that fL − f  → 0 as L → ∞.105) gL (x) = N if gL (x) > N −N if gL (x) < −N is Lebesgue integrable. L] 0 x ∈ R \ [−L. hn . Deﬁne (. thus it is in L1 (R).104) gL (x) = f (x) x ∈ [−L. Problem 5. x ∈ [−L. (N ) (2) Show that gL − gL  → 0 as N → ∞. gL → gL in L1 . so fL L1 (R). If χL is the characteristic function of [−N. . to f then fn χL is absolutely summable.L − gL  → 0 as n → ∞. (3) Show that there is a sequence.107) hn. (N ) (N ) (2) Clearly gL (x) → gL (x) for every x and gL (x) ≤ gL (x) so by Dom(N ) (N ) inated Convergence. i. N ] then fL = f χL . since fn χL  ≤ fn  and converges a.e. gL − gL  → 0 as N → ∞ since the sequence converges to 0 pointwise and is bounded by 2g(x).e. (3) Let SL. L] is Lebesgue integrable of each L ∈ N. L] −N if hn (x) < −N.n be a sequence of step functions converging a.SOLUTIONS TO PROBLEMS 169 You should be thinking about using Lebesgue’s dominated convergence at several points below.L (N ) Show that Solution: (N ) (1) By deﬁnition gL = max(−N χL .2 Consider a realvalued function f : R −→ R which is locally integrable in the sense that (.103) fL (x) = f (x) x ∈ [−L. min(N χL . Certainly fL (x) − f (x) → 0 for each x as L → ∞ and fL (x) − f (x) ≤ fl (x) + f (x) ≤ 2f (x) so by Lebesgue’s dominated convergence. (N ) (N ) hn (x) → f (x) a. to fL . L]. L] n n . Solution. L] 0 h (x) if h (x) ∈ [−N. in R. Problem 5. L] hn. N ] (N ) (. to gL – for example the sequence of partial sums of an absolutely summable series of step functions converging to gL which exists by the assumed integrability.1 Let f : R −→ C be an element of L1 (R). of step functions such that (. x ∈ [−L. N ].106) (4) Deﬁning x ∈ [−L. If fn is an absolutely summable series of step functions converging a. x ∈ [−L.e.e. gL )) where χL is the characteristic funciton of −[L. (1) Show that for each ﬁxed L the function gL (x) if gL (x) ∈ [−N. (. L] 0 otherwise.e. = N if hn (x) > N. f − fL  → 0.
(L − 1)] for large integral L is just SL. . hn.n−k 0 on [k. This is certainly a sequence of step functions – since it is a ﬁnite sum of step functions for each n – and on [−L. on R \ [−n. (1) For such f choose hn and deﬁne gL .107). (5) Show that f.L  ≤ N χL so gL (N ) (N ) ∈ L1 (R) and hn.3 Show that L2 (R) is a Hilbert space – since it is rather central to the course I wanted you to go through the details carefully! First working with real functions. g ∈ L2 (R) then f g ∈ L1 (R) and that (.n−L → gL . (4) Show that (gL )2 − f 2  → 0 as L → ∞. 1 ≤ k ≤ n.L )2 − gL )2  → 0 a. deﬁne L2 (R) as the set of functions f : R −→ R which are locally integrable and such that f 2 is integrable. =⇒ gL )2 ∈ L1 (R) and (. (N ) (N ) Problem 5. to gL .L )2 − gL )2  ≤ 2N 2 χL =⇒ (N ) (N ) (N ) hn. −(k − 1)]. (gL )2 → (gL )2 a .L )2 − (gL )2  → 0 as n → ∞. (N ) (N ) (N ) (2) Show using the sequence hn. Thus hn (x) → f (x) outside a countable union of sets of measure zero. gL and hn by (. n]. Solution: (N ) (1) Done. namely (hn. is a real Hilbert space. I think it should have been hn. (N ) (N ) (N ) (N ) (N ) (3) Show that (gL )2 ∈ L1 (R) and that (gL )2 − (gL )2  → 0 as N → ∞. (. as N → ∞. (N ) (N ) (4) This is repetition of the ﬁrst problem. Now take the sequence (. N ] but still have convergence a. (7) Conclude that the quotient space L2 (R) = L2 (R)/N .e.109)  f g ≤ f g ≤ f L2 g L2 .170 SOLUTIONS TO PROBLEMS Then replacing SL.L )2 → gL almost everywhere and both are bounded by N 2 χL so by dominated convergence (hn.L )2 − gL )2  → 0.n by SL.110) (N ) (N ) (N ) (N ) (N ) (N ) hn. and (gL )2 → (gL )2 ≤ f 2 so (N ) by dominated convergence. (8) Extend the arguments to the case of complexvalued functions. . 2 (4) The same argument of dominated convergence shows now that gL → f 2 2 2 2 1 and gL − f  → 0 using the bound by f ∈ L (R).L − gL  → 0 as n → ∞.108) hn (x) = Sk. (2) We already checked that gL ∈ L1 (R) and the same argument applies to (N ) (N ) (N ) (gL ). f 2 L2 = f 2 .e .e.L )2 → gL )2 ≤ N 2 χL a.105) and (. (6) Use these constructions to show that L2 (R) is a linear space.104).n χL we can assume that the elements all vanish outside [−N.L (x) → gL almost everywhere and hn. L] \ [−(L − 1). hn. where N is the space of null functions.L . (N ) (N ) (N ) (3) Now. −k] \ [(k − 1).e.L for ﬁxed N and L that gL and (gL )2 are in L1 (R) and that (hn. so also almost everywhere. (gL )2 ∈ L1 and (gL )2 − (gL )2  → 0 as N → ∞.
Now.L for g. Approximate each of them by sequences of step functions (N ) (N ) as above. Then the product sequence is in L1 – being a sequence of step functions – and (.SOLUTIONS TO PROBLEMS 171 (5) What this is all for is to show that f g ∈ L1 (R) if f. gn = Fn − Fn−1 . it remains to show completeness. (6) So if f.116) fn χL  ≤ L 2 ( 1 2 fn ) 2 n 1 by Cauchy’s inequality. It n follows that the cutoﬀ series fn χL is absolutely summable in the L1 sense since (.118) 2 2 2 g1 = F1 . Moreover. We want to show that f ∈ L2 (R) where it follows already that f is locally integrable by the completeness of L1 .113) F L2 where the last inequality follows from Cauchy’s inequality – if you wish. The same is true for the inner product so it follows that the quotient by null functions (. For constants f ∈ L2 (R) implies cf ∈ L2 (R) is directly true. Now consider the series (.L (x) → gL (x)GL (x) almost everywhere and with absolute value bounded by N 2 χL . Then e the norm is the same for all f + h where h is a null function since f h and h2 are null so (f + h)2 = f 2 + 2f h + h2 . Thus if we set Fn = k−1 fk then Fn (x)χL con verges almost everywhere for each L so in fact (.117) Fn (x) → f (x) converges almost everywhere.111) hn. Namely f 2 = 0 implies that f 2 = 0 almost everywhere which is equivalent to f = 0 a@˙ . let N → ∞. this sequence converges almost everywhere to gL (x)GL (x) and we have the bound 1 (N ) (N ) gL (x)GL (x) ≤ f (x)F (x) (f 2 + F 2 ) 2 so as always by dominated convergence. However. f + g is certainly locally integrable and (. Suppose {[fn ]} is an absolutely summable series in L2 (R) which means that fn L2 < ∞.L for f and Hn. Finally. letting L → ∞ the same argument shows that f F ∈ L1 (R). ﬁrst for the approximating sequences and then taking limits. hn.L (x)Hn. . F = g ∈ L2 (R) (for easier notation).114) (f + g)2 = f 2 + 2f g + g 2 ∈ L1 (R) by the discussion above. the limit gL GL ∈ L1 . g ∈ L2 (R) are realvalue.115) L2 (R) = L2 (R)/N is a preHilbert space. (7) The argument is the same as for L1 versus L1 . f F  ∈ L1 (R) and  fF ≤ f F  ≤ f L2 (N ) (N ) (N ) (N ) (.112) (. Thus (N ) (N ) by dominated convergence gL GL ∈ L1 (R).
d) −→ c.1 . the series of products fn f is absulutely summable in L1 with limit f 2 so the third term converges to −2 f 2 .119) 2 Fn − Fn−1 2 ≤ Fn − Fn−1 L2 Fn + Fn−1 L2 ≤ fn L2 2 k fk L2 where the triangle inequality has been used. Thus in fact the series gn is absolutely summable in L1 (. (1 + j 2 )cj 2 < ∞ . the Fn converge to f 2 ∈ L1 (R).120) n gn  ≤ 2( n fn 2 L2 ) .1 × h2.1 ∀ c ∈ h2.125) j j 2 1 2 1 2 (1 + j 2 ) 2 cj (1 + j 2 ) 2 dj .172 SOLUTIONS TO PROBLEMS The elements are in L1 (R) and by Cauchy’s inequality for n > 1. Problem 5. assuming f is locally integrable and f 2 ∈ L1 (R). (2) Denoting the norm on this space by · 2.124) h2. d = (.122) h2.1 = c : N j −→ cj ∈ C. c 2 · 2. j (1) Show that (.1 into a Hilbert space. 2 Thus f ∈ L (R) and moroever (. The real part of f is locally integrable and the (N ) (N ) approximation FL discussed above is square integrable with (FL )2 ≤ f 2 so by dominated convergence.121) (Fn − f )2 = 2 Fn + f2 − 2 Fn f → 0 as n → ∞.1 (c. by Cauchys inequality. 1 .1 ⊂ l2 .1 and the norm on l2 by show that (. Solution: (1) The inner product is well deﬁned since the series deﬁning it converges absolutely by Cauchy’s inequality: c. ≤ c 2. Indeed the ﬁrst term converges to f 2 and. 2 So indeed the sequence of partial sums. Now linearity and completeness follow from the real case. (8) For the complex case we need to check linearity. d = j (1 + j 2 )cj dj is an Hermitian inner form which turns h2. gn  = (.123) h2. letting ﬁrst N → ∞ and then L → ∞ the real part is in L2 (R). Thus in fact [Fn ] → [f ] in L2 (R) and we have proved completeness. (1 + j 2 )cj 2 ) 2 ( j j 1 1 1 (1 + j ) cj (1 + j 2 ) dj  ≤ ( (1 + j 2 )dj 2 ) 2 .4 Consider the sequence space (.
The limits cj deﬁne an element of h2. prove Riesz Representation Theorem directly.133) Solution: N w= i wi ei ∈ H.127) j=1 (1 + j 2 ) 2 cj 2 = lim 1 n→∞ (1 + j 2 )cj 2 ≤ A j=1 (n) where A is a bound on the norms. (2) Clearly h2.1 ≤ . Suppose T : H −→ C is a bounded linear functional. Deﬁne a sequence (.134) 2 N N = i=1 wi 2 by Bessel’s identity.128) j=1 cj 2 j=1 (1 + j)2 cj 2 ≤ c 2 2.5 In the separable case. since (1 + j) 2 cj is Cauchy. Then from the Cauchy condition c(n) → c in h2. Expanding out N n N T (wN ) = T ( i=1 w i ei ) = i=1 wi T (ei ) = i=1 wi 2 and from the continuity of T.132) (3) Show that (. (2) Conclude that {wi } ∈ l and that (. Problem 5. Completeness follows as for l2 – if c(n) is a 1 (n) (n) Cauchy sequence then each component cj converges. i ∈ N. T (u) = u. Show that for every (.135) T (wN ) ≤ C wN H =⇒ wN 2 H ≤ C wN H =⇒ wN 2 ≤ C2 . N for some constant C.129) c l2 ≤ c 2.1 . (1) The ﬁnite sum wN = i=1 wi ei is an element of the Hilbert space with norm wN (. Choose an orthonormal basis {ei } of the separable Hilbert space H. w H ∀ u ∈ H and T = w H.131) j=1 2 wi 2 ≤ C 2 .2 ⊂ l2 since for any ﬁnite N N N (.126) c 2.SOLUTIONS TO PROBLEMS 173 It is sesquilinear and positive deﬁnite since (. (.130) wi = T (ei ).1 since the sequence is bounded and N N (.1 =( j (1 + j 2 )cj 2 ) 2 1 only vanishes if all cj vanish. recall that T u ≤ C u ﬁnite N.1 and we may pass to the limit as N → ∞ to see that (.1 by passing to the limit as m → ∞ in c(n) − c(m) 2. H (1) Now.
y) = j fj (x. wN = u. H Solution . From this and Cauchy’s inequality it follows that T = sup u H =1 T (u) ≤ w . If f ∈ L1 (Rk × Rp ) show that there exists a set of measure zero E ⊂ Rk such that (.141) f (x.142) hj (x) = Rp fj (x. N (3) For any u ∈ H uN = i=1 u. In the general case we can take an absolutely summable sequence fj of step functions summing to f (. ei ei by the completness of the {ei } so from the continuity of T N (. w i=1 N →∞ where the continuity of the inner product has been used. y) = f.136) i wi 2 ≤ C 2 =⇒ w = i w i ei ∈ H since wN − w ≤ j>N wi 2 tends to zero with N. consider the functions (. y) whenever j fj (x. is our deﬁnition of integrability. (2) Letting N → ∞ it follows that the inﬁnite sum converges and (. This. after all. Certainly this result holds for step functions. This is not hard but is a little tricky (I believe Fubini never understood what the fuss was about). wi ei = lim u. The converse follows from the fact that T (w) = w 2 .139) Rk x ∈ Rk \ E =⇒ gx (y) = f (x.174 SOLUTIONS TO PROBLEMS which is the desired inequality.138) that F (x) = (. It is often used to ‘exchange the order of integration’ since the hypotheses are the same if we exchange the variables. ei T (ei ) i=1 N = lim N →∞ u. Now. since ultimately it reduces to the case of the characterisitic function for a ‘rectrangle’. y) deﬁnes gx ∈ L1 (Rp ).137) T (u) = lim T (uN ) = lim N →∞ N →∞ u. y) < ∞.8. Solution. Note: These identities are usually written out as an equality of an iterated integral and a ‘regular’ integral: (. gx deﬁnes an element F ∈ L1 (Rk ) and that F = Rk ×Rp f.140) Rk Rp f (x. ·) .
1 (.146) this is what we wanted to show. (. y) must converge absolutely for y ∈ (Rp \Ex ) where Ex is a set of measure zero.146) Rk F = j Rk Fj = j Rk ×Rp fj = Rk ×Rp f. y) at all such points.144) Fj (x) = Rp fj (x.152) (u. v) = v + u 2 − v − u 2 − i v − iu 2 + i v + iu 2 = (v. The absolute convergence of j hj (x) for a given x is precisely the absolutely summability of fk (x. Thus the series j hj (x) converges (absolutely) on the complement of a set E ⊂ Rk of measure zero. Taking complex conjugates and using properties of the norm. Thus for each x ∈ E the series / j fk (x. f (x. so for x ∈ E. v) = 4 Solution: Setting u = v.151) (u. v ∈ H. With (. y) as a series of functions of y.145) 1 F (x) = j k Fj (x) converges absolutely on Rk \ E deﬁnes F ∈ L (R ) with (. It follows that the series of step functions (.150) (u.1 Let H be a normed space in which the norm satisﬁes the parallelogram law: (. Big Hint:. v) is indeed an Hermitian inner product.e.143) j Rk hj  = j Rk ×Rp fj . 4 .SOLUTIONS TO PROBLEMS 175 which are step functions.148) F (x) = Rp gx .Try 1 u + v 2 − u − v 2 + i u + iv 2 − i u − iv 2 ! (. Hermitian) inner product. u).141) shows that the sum is gx (y) = f (x. even without the parallelogram law. ·) ∈ L1 (Rp ) (as the limit of an absolutely / summable series) and (. Moreover this series is absolutely summable since (. Show that the norm comes from a positive deﬁnite sesquilinear (i. But (. ·) converges absolutely on Rk \ E since fj (x) ≤ hj (x). u) = 2u 2 + i (1 + i)u 2 − i (1 − i)u 2 = u 2 . (. u + iv = v − iu etc 1 (.147) j Rp fj (x.149) u+v 2 + u−v 2 = 2( u 2 + v 2 ) ∀ u. 4 So the point is that the parallelogram law shows that (u. Problem 4. Thus. ·) = j hj (x).
This is a little tricky! First compute away. v) = u + (u + v) 2 − u + (u − v) 2 4 + i u + (u + iv) 2 − i u + (u − iv) 2 1 = u+v 2+ u 2− u−v 2− u 2 2 + i (u + iv) 2 + i u 2 − i u − iv 2 − i u 2 1 − u − (u + v) 2 − u − (u − v) 2 + i u − (u + iv) 2 − i u − (u − iv) 2 4 =2(u. Now. v) 4 so now full linearity in the ﬁrst variable follows and that is all we need. Show that H has an orthonormal basis. Using this and (. by deﬁnition H has a basis {vi }n . Directly from the identity (u. v). Using the second identity to iterate the ﬁrst it follows that (ku.157) v= i c i vi and there is no dependence relation between the vi ’s – the presentation of v = 0 in the form (. Thus it follows that (ru. v) = −(u. 1 (. v). {ei }n satisfying i=1 . v) + (u . v) for any u and v and any positive integer k. Now. Also directly from the deﬁnition. v) = r(u.155) (ru. so we can pass to the limit as r → x in R. 2v) 2 11 = (u + v) + (u + v) 2 − (u − v) + (u − v) 2 24 + i (u + iv) + (u − iv) 2 − i (u − iv) + (u − iv) 2 1 u+v + u +v 2− u−v − u −v 2 = (.154) 4 + i (u + iv) 2 + i u − iv 2 − i u − iv − i u − iv 2 11 (u + v) − (u + v) 2 − (u − v) − (u − v) 2 − 24 + i (u + iv) − (u − iv) 2 − i (u − iv) = (u − iv) 2 = (u. v) = rn(u . v) where the identity is reversed. v) = (ku . it follows that (. meaning that any element of H can be written i=1 (. with respect to the norm. v) = (u + u . u and v.2 Let H be a ﬁnite dimensional (pre)Hilbert space. v) for any rational r. Problem 4.152). 1 (u + u . v) = k(u. from the deﬁnition both sides are continuous in the ﬁrst element. v) = r(u.176 SOLUTIONS TO PROBLEMS Thus we only need check the linearity in the ﬁrst variable. v) = iu + v 2 − iu − v 2 + i iu + iv 2 − i iu − iv 2 = i(u. So.157) is unique. −v) = −(u. v) = k(u .153) 1 (2u. for any u. v) using (. v) so (−u.152). Then setting nu = u for any other positive integer and r = k/n. (.156) (iu.
164) = (u. .ej ) − cj = 0. . . ei )ei ) i (. Why is a ﬁnite dimensional preHilbert space a Hilbert space? Solution: Since H is assumed to be ﬁnite dimensional. ei ) (v.160) e2 = w2 / w2 . . .161) ek+1 = wk+1 / wk+1 .159) (u. v2 . . It is linear since the ci depend linearly on u by the linearity of the inner product in the ﬁrst variable. ej ) = (u. . ei ). ei )) ∈ Cn is a linear isomorphism with the properties (. u H = Tu Cn ∀ u.159) follows by direct computation:n (T u)i (T v)i = i=1 i (u. Setting u = v shows that T u Cn = u H. ej ) = δij (= 1 if i = j and 0 otherwise). ei ) = 0. By taking inner products.162) n ci = (u. consider the map (. .157) are ci = (v. Here w2 ⊥ e1 as follows by taking inner products. . ei )ei . by e1 . This basis can be replaced by an orthonormal basis in n steps. ci ei is orthogonal to all the ei since i=1 It follows that U = u − (.SOLUTIONS TO PROBLEMS 177 (ei . wk+1 ⊥ ei . e2 . ek which are orthonormal and span the same subspace as the vi ’s i = 1. . k.158) T :H v −→ ((v. Moreover it is surjective. ej ) − i ci (ei . i = 1. Check that for the orthonormal basis the coeﬃcients in (.163) (u. ei ) and that the map (. ej ) = (u. . = (u. v ∈ H. i This implies that U = 0 since writing U = Now. . di ei it follows that di = (U. v). k < n. u = ci ei reproduces the ci through (. Thus the orthonormal set has been increased by one element preserving the same properties and hence the basis can be orthonormalized. k and wk+1 = 0 by the linear independence of the vi ’s. i Thus T is a linear isomorphism and the ﬁrst identity in (. wk+1 = vk+1 − i=1 (vk+1 . . Now. since for any ci ∈ C. w2 = v2 − (v2 .158).162). Then replace vk+1 by k (. We have just shown that this map is injective. it has a basis vi . v) = i (T u)i (T v)i . . . . . since T u = 0 implies ci = 0 for all i and hence u = 0. . Proceeding by ﬁnite induction we may assume that we have replaced v1 . i = 1. . n. for each u ∈ H set (. w2 cannot vanish since v2 and e1 must be linearly independent. Then replace v2 by (. . e1 )e1 . First replace v1 by e1 = v1 / v1 where v1 = 0 by the linear indepedence of the basis. . vk .
To use the ﬁnite dimensional approximation condition to show that any weakly convergent sequence in K is strongly convergent. 2π) has the property that the Fourier series of K(x) ∈ L2 (0. Problem 6. Hint: Don’t pay too much attention to my hints. Since T is an isomorphism. vn − v) = vn 2 − 2 Re(vn . Problem 6. u2 )H2 = (u1 . in a separable Hilbert space. Show that vn is weakly.169) sup x∈[0.165) v H = lim n→∞ vn H. convergent and hence deduce that {vn } is Cauchy. DN ) = sup inf {d(u.167) d(K. bounded and has the property that any sequence in K which is weakly convergent sequence in H is (strongly) convergent.5 Suppose that H1 and H2 are two diﬀerent Hilbert spaces and A : H1 −→ H2 is a bounded linear operator. so every Cauchy sequence in H is convergent. we know that Cn is complete with its standard norm. Hint:. Show that if vn is weakly convergent in H then Avn is strongly convergent in H.In one direction use the result from class that any bounded sequence has a weakly convergent subsequence. v) + v 2 . is (strongly) convergent if and only if the weak limit.3 Show that a subset of a separable Hilbert space is compact if and only if it is closed and bounded and has the property of ‘ﬁnite dimensional approximation’ meaning that for any > 0 there exists a linear subspace DN ⊂ H of ﬁnite dimension such that (. expand (.2 Show that. converges uniformly in the sense that if Kn (x) is the sum of the Fourier series over k ≤ n then Kn : [0. a weakly convergent sequence {vn }.166) (vn − v.2π) → 0. Show that there is a unique bounded linear operator (the adjoint) A∗ : H2 −→ H1 with the property (.168) (Au1 . 2π) is also continuous and (. Problem 6.1 Let H be a separable Hilbert space. An example being the old hint for Problem 6.To show that this condition is suﬃcient.1 Show that a continuous function K : [0. 1] −→ L2 (0. Use one of the properties of compactness in a Hilbert space that you proved earlier. u∈K v∈DN Hint:. sometimes they are a little oﬀthecuﬀ and may not be very helpfult. Problem 6. Problem 8.1] K(x) − Kn (x) L2 (0.To prove necessity of this condition use the ‘equismall tails’ property of compact sets with respect to an orthonormal basis. Hint:. hence strongly. use the convexity result from class to deﬁne the sequence {vn } in DN where vn is the closest point in DN to vn . 1]. Show that K ⊂ H is compact if and only if it is closed.2 . Hint. A∗ u2 )H1 ∀ u1 ∈ H1 . v satisﬁes (.178 SOLUTIONS TO PROBLEMS Now. Problem 8. for x ∈ [0.2! Problem 6.4 Suppose that A : H −→ H is a bounded linear operator with the property that A(H) ⊂ H is ﬁnite dimensional. Thus H is complete. 2π). v)} ≤ . it carries Cauchy sequences in H to Cauchy sequences in Cn and T −1 carries convergent sequences in Cn to convergent sequences in H. u2 ∈ H2 . 1] −→ L2 (0.
form a complete orthonormal basis. 1] −→ L2 (0. centered at the origin. 2π) ←→ {u ∈ L1 (R). E ∗ f = f ◦ E. Let Kn (x.SOLUTIONS TO PROBLEMS 179 Consider an integral operator acting on L2 (0. 1]2 ). 2π). 1) with a kernel which is continuous – K ∈ C([0.173) L2 (0. Solution: Our original deﬁnition of L2 (0. yo