FOUNDATIONS

OF MODERN
ANALYSIS
AVNER FRIEDMAN
Northwestern University

I ..

'

' '
'
!' '

Dover Publications, Inc.

New York
 PREFACE
To my father,
Moshe Simcha Friedman

This book is aimed to serve as a first-year graduate course in modern

analysis. The material includes measure and integration, metric spaces, the
elements of functional analysis in Banach spaces, and spectral theory in Hilbert
spaces. There are various books in the literature where all these topics are
Copyright 1970,19!!2 by Avner Friedman.
All rights reserved under Pan American and International Copy- dealt with; however, we have not felt that we could use any of them system-
right Conventions. atically as a text book. They are either written at a level not consistent with
Published in Canada by General Publishing Company, Ltd., 30 that of a first-year graduate student or else they do not have the choice of
Lesmill Road, Don Mills, Toronto, Ontario. topics we would like to see.
Published in the United Kingdom by Constable and Company, Ltd., ln Chapters I and 2 we present the theory of measure and integration.
10 Orange Street, London WC2H 7EG.
It has been our experience that there are too many definitions and too many
This Dover edition, first published in 1982, is an unabridged and theorems for the student to memorize, and that as a result of this, he often
corrected republication of the work originally published in 1970 by
Hoi t, Rinehart and Winswn, Inc., New York. fails to grasp what is really essential in the theory. This motivated us to cut
down on many details and to give a general, yet compact, presentation.
Manufactured in the United States of America In Chapters 3 to 6 we present the most fundamental theorems of func-
Dover Publications, Inc. tional analysis. At the same time we give some applications to important
180 Varick Street
New York, N.Y. 10014 problems in ordinary and partial differential equations, and in integral
equations. This, we hope, will illustrate to the student the invaluable role
played by functional analysis in solving concrete problems in analysis.
Library of Congress Cataloging in Publication Data At the end of each section there are problems for the reader. The solu-
Friedman, Avner. tion of some of these problems is used in the text itself.
Foundations of modern analysis.
The material of this book is somewhat more than can be covered in a
Reprint. Originally published: New York: Holt, one-year course. One might omit some topics that are rather independent of
Rinehart, and Winston, [1970]
Bibliography: p. the rest of the material, such as Section 3.3, Theorem 3.6.3, Section 3.7, and
Includes index. Sections 4.2, 4.11, and 4.12 (with the exception of Theorem 4.12.3). The
1. Mathematical analvsis--Foundations. I. Title. applications of functional analysis to differential and integral equations and
[QA299.8.F74 1982] . 515 81-17312 to the Dirichlet problem are given in Sections 3.3, 3.8, 4.7, 4.9, 5.4, and 6.9.
ISBN 0-486-64062-0 (pbk.) AACR2
They are not used in the remaining sections of the book.

l~J.3{lo Evanston, lllinois

}yvc~ 1~y! i"nvl !episto February 1970 Avner Friedman
Mate ... :::':c,'; iultos
iii
l"''CJO (IS! vl_ i- At:.
 CONTENTS V

2.9 Lebesgue's Bounded Convergence Theorem, 54

2.10 Applications of Lebesgue's Bounded Convergence Theorem, 57
CONTENTS 2.11 The Riemann Integral, 61
2.12 The Radon-Nikodym Theorem, 67
2.13 The Lebesgue Decomposition, 72
2.14 The Lebesgue Integral on the Real Line, 74
2.15 Product of Measures, 78
2.16 Fubini's Theorem, 84
Chapter 3. METRIC SPACES, 90
Preface, iii 3.1 Topological and Metric Spaces, 90
Chapter 1. MEASURE THEORY, 1 3.2 U Spaces, 95

1.1 Rings and Algebras, 1 3.3 Completion of Metric Spaces; H"' Spaces, 99
1.2 Definition of Measure, 4 3.4 Complete Metric Spaces, 105
I .3 Outer Measure, 7 3.5 Compact Metric Spaces, 107
1.4 Construction of Outer Measures, 11 3.6 Continuous Functions on Metric Spaces, 110
1.5 Completion of Measures, 12 3.7 The Stone-Weierstrass Theorem, 116
1.6 The Lebesgue and the Lebesgue-Stieltjes Measures, 13 3.8 A Fixed-Point Theorem and Applications, liB
1.7 Metric Spaces, 15 Chapter 4. ELEMENTS OF FUNCTIONAL ANALYSIS IN
BANACH SPACES, 123
1.8 Metric Outer Measure, 17
4.1 Linear Normed Spaces, 123
1.9 Construction of Metric Outer Measures, 20
4.2 Subspaces and Bases, 129
1.10 Signed Measures, 25
4.3 Finite-Dimensional Normed Linear Spaces, 132
Chapter 2. INTEGRATION, 29 4.4 Linear Transformations, 135
2.1 Definition of Measurable Fuctions, 29 4.5 The Principle of Uniform Boundedness, 139
2.2 Operations on Measurable Functions, 32 4.6 The Open-Mapping Theorem and the Closed-Graph Theorem, 141
2.3 Egoroff's Theorem, 35 4.7 Applications to Partial Differential Equations, 145
2.4 Convergence in Measure, 37 4.8 The Hahn-Banach Theorem, 150
2.5 Integrals of Simple Functions, 40 4.9 Applications to the Dirichlet Problem, 155
2.6 Definition of the Integral, 42 4.10 Conjugate Spaces and Reflexive Spaces, 159
2.7 Elementary Properties of Integrals, 48 4.1l Tychonoff's Theorem, 164
2.8 Sequences of Integrable Functions, 51 4.12 "'{eak Topology in Conjugate Spaces, 168
iv
 Vi CONTENTS

4.13 Adjoint Operators, 172 CHAPTER 1

4.14 The Conjugates of U and C [0, 11, 176

Chapter 5.

5.1
COMPLETELY CONTINUOUS OPERATORS
186
Basic Properties, 186
,
MEASURE
5.2
5.3
The Fredholm-Riesz-Schauder Theory, 189
Elements of Spectral Theory, 194
THEORY
5.4 Application to the Dirichlet Problem, 197

Chapter 6. HILBERT SPACES AND SPECTRAL THEORY

201 ,
6.1 Hilbert Spaces, 201
6.2 The Projection Theorem, 204
6.3 Projection Operators, 209
6.4 Orthonormal Sets, 213
6.5 Self-Adjoint Operators, 218
6.6 Positive Operators, 221
1.1 RINGS AND ALGEBRAS
6.7 Spectral Families of Self-Adjoint Operators, 226
6.8 Let X be a set of elements. We call X also a space and its elements
The Resolvent of Self-Adjoint Operators, 233
points. X will he fixed throughout the whole chapter. We shall refer to subsets
6.9 Eigenvalue Problems for Differential Equations, 237 of X briefly as sets (of X), and we shall refer to sets of subsets of X also as
Bibliography, 244 classes of sets. Given a set E, we denote by Ec the complement of E (in X)-
that is,
Index, 247 Ec = {x EX; X}.
The union of two sets E and F is the set {x; x E E or x E F}, and it is denoted
byE u F. The difference E- F is defined as {x E ; x F}. Note that in this
definition F is not required to be a subset of E. The intersection E n F is
defined as {x; x E E and x E F}. We denote by 0 the empty set. If En F = 0,
then we say that the sets E and F are disjoint.
Let A be any set of elements and, for each ct E A, let ~ be a set. The
union U ~is defined as the set consisting of those elements which belong to
~~A

at least one of the sets E~. The inter section n

~~A
E~ is defined as the set consisting

of those elements which belong to all the sets E,. The following relations can
easily be verified:
(u ,)" n
~-e A
= ~.
~E:=.A
(1.1.1)

(n = u
~!:";:A.
~)<
. i%E A
~. (1.1.2)
2 MEASURE THEORY RINGS AND ALGEBRAS 3

Let {En} be a sequence of sets (n = 1,2, ... ). The superior limit of {En} is, (b) and (d) also hold. Indeed, (d) follows from (f) with A = 0. and (b)
is the set consisting of those points which belong to infinitely many En. follows from
We denote it by
A - B = A n B" = (Ac u B)".
E* =lim sup E.= flm E.= Tiii1 E.
I"'""""'GC n-+~
A disjoint union is a union of sets that are mutually disjoint. We intro-
duce a condition that is weaker than (c), namely:
Similarly, the inferior limit
(c') If A E 9t, Be 9t and An B = 0, then Au BE !Jt.
E* =lim inf E.= lim E.= lim E.
n-+oo n-+oo n ~~ We then have: A class 9t satisfying (a), (b), (c') is a ring. Indeed, (c)
is the set consisting of all those points which belong to all {uta finite number follows from A u B = A u (B - A).
of theE,. If E* = E*, then we say that the sequence {E.} has a limit, and we Next we introduce a condition weaker than (e):
denote the set '1' by lim E, or lim E.
tt-[1:) " (e') Any countable disjoint union of sets A. (n = 1,2, ... ) which belong
Note that if {E.} is monotone increasing (decreasing)-that is, if to !X also belongs to !X.
E. c ,+ 1 (. => E,+ 1) for all n 2 I, then limE, exists.
Theorem 1 .1.1 If !X satisfies (a), (b), (e') [and {d)], then 3 is a cr-ring
"
The following two definitions are fundamental in measure theory. (a-algebra).

Definition I .I .I A class fJt of sets is called a ring if it has the following Proof. Taking, in (e'), A. = 0 for n 2 3, we see that (c') holds. ~ence
properties : (c) follows, and 9f is a ring. To prove (e), let {A.} be a sequence of sets m 9f.
Then the sets B., defined by
(a) 0 e 3.
(b) If A E fJf and Be at, then A -Be 3.
(c) If A e .11 and Be fft, then A v Be Bf.
A ring 3 is called an algebra if it has the additional property: also belong to 91. Since B. n B,. = 0 if n #- m and UB. = UA., (e') implies
that U A. e 91. " "
(d) X efH.
f"\ "
Note that if !f/1. is a ring and if A, B e fft, then A --' B = A - (A - B) is in
!f/1.. Note also that if !f/1. is a ring, then any finite union and any finite intersection PROBLEMS
of sets in ffi are in ffi.
Definition 1.1.1 A class 3 of sets is called a u-ring if it has the properties
1.1.1. (tim E.)"= Jim~. (rm E.)"= tim~.
" n " . .,
(a), (b), and the additional property:

(e) If A. E fJt for n = 1,2, ... , then

00
U A. e 81.
1./.2. flm E.=
l'l!
nU
k= 1 n=k
E, lim.=
n
U rl ,.
k:::;r 1 n~ l

= I 1.1.3. If !His au-ring and E. E 9f, then

A u-ring is called a u-a/gebra if it has the additional property (d).
If 3 is a u-ring (u-algebra), then we can take A. = 0 for n ~ 3 in
(e), and thereby established the condition (c). Thus, a u-ring (u-algebra)
is a ring (algebra).
If fJt is an algebra, then the following condition clearly holds;
(f) If A E 91, then Ace fft.
Conversely, if the conditions (a), (c), and (f) hold, then fJt is an algebra-that
n"' E. E 91,
n=l
" "
1.1.4. The intersection of any col!ection of rings (algebras, u-rings,
or a-algebras) is also a ring (an algebra, u-ring, or u-algebra).
1.1.5. If q; is any class of sets, then there exists a unique ring fKo suc_h
tht (i) at 0 ::::;, 9J, and (ii.) any ring 9f containing :11 contains also Bfo fKo IS
called the ring generated by :2, and is denoted by 9f(f?).
 DEFINITION OF MEASURE 5
4 MEASURE THEORY
A real-valued set function /.1 is said to be additive if its domain :!l is a
1.1.6. If 2 is any cla% of sets, then there exists a unique u-ring !/' 0 ring and if
such that (i) :/ 0 ==> 21, and (ii) any u-ring containing if contains also 9" 0
We call .'/'0 the a-rin,q generated by !1, and denote it by 9'(::1). A similar
j.t(E u F)= /l() + J.i(F) (1.2.2)

re5ult holds for u-algehras, and we speak of the rr-algebra generated by 2. whenever E Em,
,., FE (}l
'
En F = 0- r, is called finitely additive if, for any
1.1.7. If 2 i5 any class of sets, then every set in :Jf(ft) can be covered by positive integer m,
(that is, is contained in) a finite union of sets of 2. [ Hinl: The class .X' of sets
that can he covered by finite unions of sets of 9 forms a ring.]
1.1.8. If 9 is any class of sets, then every set in .:1'(9) can be covered
/leo\ Ej) j~l J.i(Ej)
=
(1.2.3)

by countable union of sets of ::1. ""(J'-1 m) E-n.=0 if j#-k. Taking in (1.2.1)

whenever EJ E"" - , ... , ' ' . .
1.1.9. Let 9 consist of those sets which arc either finite or have a E = 0 for n > m and using (iv), we see that a measure IS fimt7ly addttive.
finite complement. Then q is an algebra. If X is not finite, then 9 is not a 8
If /l(X) < 00 , we say that J.i is a .finite measure (or a totally fimte measure).
u-algebra.
If X= UE. and p(.) < 00 for all n, then we say that/lis au--finite measure.
1.1.W. let Ci consist of all sets of the form (J J "'
<~I
where the J k are n-l

mutually disjoint intervals on the real line, having the form {1; a< t:::; h}, "1 Let".. he a measure with domain Ci. Then
where a.b are any real numbers. Then (i is a ring but not an algebra. Tlreorem 1.....
1.1. I 1. Find W/.(01) when 1!1! consists of two distinct sets, each consisting (i) 1fE E fi, FE (i, E c F, then l!(E)::::;; l!(F).
of one point.
(ii) /fEE (i, FE (i, E c F, J.l(F) < oo, then
1.2 DEFINITION OF MEASURE (1.2.4)
tt(F - E) = p(f) - J.i(E).
We introduce two symbols, "+oo" (or, briet1y, oo) and "-oo"
(ca \led " pi us infinity " and " minus infinity "), and the following relations: (iii) If {En} is a monotone-increasing sequence of sets of Ci, then
- oo < x < oo if x is real. Any entity that is either a real number or one of
(1.2.5)
these two symbols will be called an extended real number. We also define
arithmetic relations by: x oo = :n. oo + (x) = oo, x(oo) =
u-J if x > 0, x( co)= + oc if x < 0, and so forth. The relations (iv) if {En} is a monotone-decreasing sequence of sets of Ci, and if
+ oo + (- oo), 0( oo) are not defined. J.l(Eno) < oo for some no, then (1.2.5) holds.
A srcrfunction pis a function defmcd on a class :JJ of sets. It is said to be
extended real-valued, if its values are extended real numbers. iis called the Proof. To prove (i), write F as a disjoint union F = E u (F - E). Then
domain (of definition) of tL
J.i(F) = J.l(E) + fJ(F- ). (1.2.6)
Let p be a set function defined on a ring :Jf. We say that p is completely
additiue if Since fJ(F _ E) ~ O, (i) follows. If /l(F) < oo, then /.1(E) < oo, and ( 1.2.4)
follows from (l.2.6). To prove (iii) we first note, by Problem 1.1.3, that
(1.2.1)
lim E. belongs to fi. Next, setting Eu = 0, we have
whenever the E" are mutually disjoint sets of-'* such that U E. is also in H.
Definition 1.2.1 A measure is an extended real-valued set function
p. having the following properties:
(i) The domain fi of /l is a u-algcbra.
(ii) J1 is nonnegative on fi.
(iii) Jl is completely additive on fi. which proves (iii).
(iv) J.i(0) = 0.
 6 MEASURE THEORY
OUTER MEASURE 7
To prove (iv), we use (ii):
Corollary 1.2.3 1fli~ En exists and if llCQ E.) < oo, then
1
II [1i"m (E. E.)] = p[E." - Ii:n E.J = p(E.J - .u(li:n E.).
0 -

Next, by (iii) and (ii),

p(lim
"-o:::
E.)= lim il"'-o:;()
p(E.). (1.2.11)

.ullim (. 0 - E.)]. =lim ,u(E. 0

- .) = p(E. 0 ) -lim 11 (E.). PROBLEMS
n " "
1.2.1. If ,u satisfies the properties (i)-(iii) in Definition 1.2.1, and if
Comparing these two results, (iv) follows.
p.(E) < oo for at least one set E, then (iv) is also satisfied.
1.2.2. let X be an infinite space. Let a be the class of all subsets of X.
Theorem 1.2.2 Let 1.1 be a measure with domain (t and let En (n = I ,2, ... ) Define t~(E) = 0 if E is finite and J.1(E) = oo if E is infinite. Then J.1. is finitely
be sets of Ci. Then
additive but not completely additive.
a, a,
~~cgl E.)~ Jl p(E.).
1.2.3. If J.l. is a measure on au-algebra and if E, Fare sets of then
(1.2.7)
p() + p(F) = t~(E u F) + p(E n F).
~~(!~.o E.) ~ !~~ p(.), ( 1. 2.ll)
1.2.4. Let {11.} be a sequence (finite or infinite) of measures defined

.~~~~by (J/)(E) = .tp.(E)

t~(!~n; E.)~~ t~(E.) provided JiCQ E.)< en. ( 1.2. 9)
on the same u-algebra a. Define for every
1
E E
"' 11.. is a measure.
a. Prove that L
Proof Let n=!
Let X consist of a sequence {xm} and let {pm} be a sequence of
1.2.5.
nonnegative numbers. For any subset A c: X, let
(n ~ 2). (1.2.10)
J.I.(A) = L Pm
Then F. c: Eno UF.= U.,and the F. are mutually disjoint. Hence
n n
.x1:"1:e A

Then J.t is a u-finite measure.

1{01 E.)= ~~col F.)= Jl JI(F.) ~ Jl ,u(.). 1.2.6. Give an example of a measure 11 and a monotone-decreasing
sequence {E.} of a such that Ji(E.)
= oo for all n, and p(li~ E.) = 0.
To prove ( 1.2.8) we use Problem 1.1.2 and Theorem 1.2.l(iii). We then
get
1.3 OUTER MEASURE
~~(li~ E.)= ~~r: .uCok .).
An extended real-valued set function vis said to be subadditive if
Since .O,E c: E,, Theorem 1.2.l(i) gives t~(/J,E.):::; 11 (,). Therefore
v(E v F) s v() + v(F)
11 (lim
ill
E.)~ lim ,u(E,).
,l.:-4 ::Q whenever E, F, and E v F belong to the domain of v. It is called finitely
subadditive if, for any positive integer n,
Fi~ally, (1.2.9) follows by applying (1.2.8) to the sets E: = LV/kJ -E. and
(1.3.1)
usmg Problem 1.1.1.
 OUTER MEASUIU: 'I

8 MEASURE THEORY
Proof. We shall give the proof in several steps.
whenever the sets 1 and their union belong to the domain of v. Finally, (i) If J.t*() = O, then E is measurable. Indeed, for any set A we have
it is called countahly subadditive if
J.l*(A n ) + J.l*(A -E) :S J.t*(E) + p*(A) = p*(A)

(1.3.2) -that is, (1.3.4) holds. Hence (1.3.3) is satisfied.

(ii) 0 e a,
since p-*(0) = 0.
whenever the 1 and their union belong to the domain of~- (iii) If E E a, then C Ea. Indeed,
An extended real-valued set function v is said to be monotone if J.t*(A n C)+ ,u*(A .:__ Ec) = J.t*(A- f.)+ ,u*(A n E)= Jt*(A).
v(E) :S v(F) whenever E, F are in the domain of v and E c F.
(iv) If 1 and 2 belong to a, then also E 1 u 2 belongs to ~- To
prove it, we write (!.3.3) forE= 1 and A and forE= f-2 and A - Et
Definition 1.3.1 An outer measure is an extended real-valued set
function Jt* having the following properties: ,u*(A) E1) + ,u*(A - 1),
= ,u*(A n
,u*(A - 1) = ,u*[(A - E 1) n 2] + J.l*[(A - Et) - EzJ.
(i) The domain of p* consists of all the subsets of X.
(ii) J.l* is nonnegative. Adding these qualities and noting that (A- Ed- Ez = A - (EI u E2),
(iii) J.l* is countably subadditive. [(A- 1 )n 2 ] u (An E1 ] =A n(Et u E2),
(iv) p* is monotone.
(v) J.l*(0) = 0. we get, after using the subadditivity of Jt*,

Taking 1 = 0 in (1.3.2), for j:?: n, and using (v), we see that an outer ,u*(A) ;::-: ,u*[A n ( 1 u EJ] + J.l*[A - (El u E2)].
measure is finitely subadditive. Since A is an arbitrary set. the ,u*-mcasurability of E 1 u 2 fol\ows.
It is obvious that every measure whose domain consists of all the
subsets of X is an outer measure. (v) Jf
1
,
2
belong to a, then E 1 - 2 belongs to a. Indeed, this
The usefulness of outer measures is primarily in the role they play in follows from the relation
the construction of measures. On one hand, it is fairly easy (see Section 1.4) to
construct outer measures. On the other hand, one can always construct a
measure from an outer measure. The latter assertion will be proved in this using {iii) and (iv).
section (Theorem 1.3.1). We have proved so far that ct is an algebra.
(vi) Let {E.} be a sequence of mutually disjoint sets of a and let
Definition 1.3.2 Given an outer measure J.l*, we say that a set E is
J.t*-measurable (or, briefly, measurable) if s
"
= lJ Em. Then, for any
m=l
n:?: 1,
n
p*(A) = p*(A n ) + J.l*(A - E) (1.3.3) p*(A n s.) = I J.l*(A n Em) (1.3.5)
m-=1

for any subset A of X. for all sets A. The proof of (1.3.5) is by induction on n. The case n = 1 ts
The (vague) motivation for this definition is that the sets we want to
obvious. The passage from n ton + 1 is given by
single out as measurable should be such that p* will become additive on them.
Since 11* is subadd iti ve, ( 1.3.3) is equivalent to the inequality: p*(A n s.+ tl = J.l*(A n s.+ I n S.) + {l*(A n s.,! - s.)
J.t"'(A):?: J.l*(A n E)+ p*(A - ). ( 1.3.4) = !t*(A n S.) + p*(A n E., 1)
n+ 1

Theorem 1.3.1 Let 1-1* be an outer measure and denote by a the class
= I
m-=1
J.l*(A n Em)+ ,u*(A n E.i-1) = J 1
J.l*(A n Eml

of all p*-measurable sets. Then a is a a-algebra, and the restriction of 1-1* to a

is a measure. Here we have used the measurability of s.
 10 MEASURE THEORY
CONSTRUCTION OF UUI!:K II'I~<A~u.._~ , ,

(vii) Let {.} be a sequence of disjoint sets of a, and let S = U

""
Em. 1.3.4. If p* is an outer measure and B is a fixed set, then the set
Then, for any set A, m~ function v* given by v*(A) = J.J.*(A n B) is an outer measure. Find the relation

.
I

between the measurable sets of p* and v*.

t1 (A n S) = I"' t~"(A n E..,). 1.3.5. If {t~:} is a sequence of outer measures, then L
J.i:, defined by
1"11=1 (1.3.6) "
(~ J.i:)<A) = ~ J.l:(A), is also an outer measure.
Indeed, by the monotonicity of J.l.* and (1.3.5),
1.3.6. Prove that if an outer measure is finitely additive, then it is a
J.J.*(A n S) ~ J.I.*(A n S.) = f
m~J
J.I.*(A n E.,). measure.

Taking n--. 00 , we get

1.4 CONSTRUCTION OF OUTER MEASURES
t1 *(A n S) ~ L"' p*(A n E,).
m=l Let :f be a class of sets (of X). We call % a sequenlial covering class
Since the reverse inequalit f ll f (of X) if (i) 0 E :%, and (ii) for every set A there is a sequence {E.} in %
(1.3.6) is completely proveJ. o ows rom the countable subadditivity oft~*, such that
.
tn a (viii) A countable disjoint union of sets E ( -
Indeed by ( ") fi
' VI , or any set A,
n n - I ,2, ... ) of (l
.
IS
.
agam

J.I.*(A) = t~"(A n S.) + J.I.*(A- S.) For example, the bounded open intervals on the real line form a sequential
covering class of the real line.
~ J.," tt*(A n E,) + t~*(A - S). Let A. be an extended real-valued, nonnegative set function, with domain
.i:, such that J.(0) = 0. For each set A (of X), let
Taking n __,. OC! and using (I
. .3.6) , v.e
. get

J.I.*(A} ~ J.J.*(A n S) + J.l*(A - S} (1.4.1)

-that is, Sis measurable.
Theorem 1.4.1 For any sequential covering class :% and for an_F non-
We have proved that a is an algebra a d h ... negatiFe, extended real-mlued set function/.. with domain:% and with /..(0) = 0,
union of sets of a is again in .., H b Thn t at a countable, disJomt
. ......... ence, y corem 1 1 1 a 1 b the set .function~ defined by (1.4.1) is an outer measure.
Tthe res~nction J.l. of J.J.* to a clearly satisfies (i}, (ii), and (iv). ~f D~~~i~-oangle 2ral.
I remams to prove that .. .
with A = S. J.iiS comp 1etely addlhve. But this follows from (1.3.6) Proof. The conditions (i), (ii), and (v) in Definition 1.3.1 are trivially
satisfied. The monotonicity condition (iv) is also fairly obvious. Thus it
remains to verify (iii). Let {A.} be any sequence of sets. We have to prove that
PROBLEMS

1.3.1. Define J.J.*(E) as the n b f . . . . (1.4.2)

J.I. *(EJ. -- 00 1"f E IS
. . fi . um er o pomts m E If E IS finite and
tn mte. Show that *
measurable sets. 11 Is an outer measure. Determine the
Let c be any positive number. For each positive integer n there is a sequence
1.3.2. Define J.l*(0) = 0, J.l*(E) = I if E 0. Show that * . {.} in :% such that
outer measure, and determine the measurable sets J.l IS an
if E i 1.3.3. Let x. have a ~oncountable numbe~ of points. Set J.l*(E) = 0
s countable, J.l. (E)= I If E is noncountable Show that J.l* .
measure, and determine the measurable sets. . IS an outer
(1.4.3)
12 MEASURE THEORY THE LEBESGUE AND THE LEBESG UE-STIELTIES MEASURES 13

~he double sequence {E.k}. with indices nand k, then satisfies We call ji the completion of II
:(. ~

U A. c n,k=l
n=l
U E.k Proof. We first shov. that R is a a-algebra. Let E e Ci, l';' c A E Ci.
(A) = 0. Then " - A = 0 n A" c E" n ,\'" = (E u l'>i"Y c E". Hence,
Hence, by the definition ( 1.4.1) and by ( 1.4.3). r u NY= (Ec- A) u N' where N' c: A. Since [Ec- A] E (i, it follows that
(E u N)' Ea. Si!!ce 1 - 2 ': (] u 2y, it remains to show that a countable
Jl*CV! AnJ ~ n.~l }(.) ~ ntl l~~*(A.) +f.!~ ntl /I*(Arr) + r;. union of sets of (i is again in (i. Let these sets be En U Nm where Nn C An,
p(An) = 0. Then "' (" cc )
Since is arbitrary, ( 1.4.2) follows.
f. U (E.uN.)= U En uN,
"=1 n=l ,
Theorems 1.4.1 and 1.3. I enable us to construct a measure frolllany
given pair .If", ..1.. where N =

UN.. Since N UA.= A and p(A)
~1
c:
n~I _
= 0, the assertion follows .

PROBLEMS We shall how show that ji is well defined on Ci. Let

1.4.1. Let .If" consist of X, 0. and all the one-point sets. Let ),(X)= oo,
/.(0) = 0, i.(E) = 1 if E #-X. E #- 0. Describe the outer measure.
1.4. 2. Let X he a no m:ou nta ble space and ..W be as in Pro hlem I .4. l .
Let J.(X) = I, A.(E) = 0 if E =1- X. Describe the outer measure.
1.4.3. Show that, under the conditions of Theorem 1.4.1, p*( E)~ i. (E)
if E E.:*-. Give an example where inequality holds.
1.4.4. If% is a a-algebra and; is a measure on%, then i<*(A) = J.(A)
for any A %. [Hint: 11*(A) = inf {i.(E); E E ..W, E =>A}.]
1.4.5. If.:"- is a a-algebra and ,1, is a measure on )f"', then every set in
% is p*-measurable.
The last two problems show that if we begin with a measure ;_ on a
u-algebra :;f. then by applying Theorem 1.4.1 and then Theorem 1.3.1 we
get another measure that is an extension of)_,
1 uN 1 = 2 uN 2 ,
where E; e (i, N 1 c A 1, /.l(A 1) = 0. Then
E 1 cE 2 uA 2 , E 2 cE 1 uA 1 .
It follows that t~(E 1 ) = 11( 2 ). Hence the definition (1.5.1) is unambiguous.
It is now easy to verify that ji satisfies all the properties of a complete measure.
PROBLEMS
1.5 .1. Let J.1 be a com p!ete measure. A set for which p( N) = 0 is called
a null set. Show that the class of null sets is a a-ring. Is it also a a-algebra?
1.5.2. Let the conditions of Theorem 1.5.1 hold and denote by Ci* the
class of all sets of the form E-N where E e (i and N is any subset of (i
having measure zero. Then (i* = 1I.

1.5 COMPLETION OF MEASURES

1.6 THE LEBESGUE AND THE
A measure p with domain (i is said to be complete if for any two sets LEBESGUE-STIELTJES MEASURES
N, E the following holds: If ,I>,' c E, E E (i and p(E) = 0, then N Ea. Note
that the measure constructed in Theorem !.3.1 is complete. Denote by R" the Euclidean space of n dimensions. The points of R"
In the next theorem it is shown that any measure mn be extended into a are written in the form x = (x 1 , ... ,x.). By an open interral we shall mean a
complete measure. set of the form
J.,b = {x = (x 1 ..... x.); ai < x, < b, fori= 1.. ... n}. ' (1.6.1)
Theorem 1.5.1 ret ).1 be a measure on a cr-algebra (i and let (i denote
the class of all sets of the form E u N. where E E G, and N is any subset of a set where a= (a , ... ,a"), b = (b 1 .... ,b.) are points in R". The s:t ..lf- of_all open
1
of G, of measure zero. Then ct is a cr-algebra and the set function li defined by intervals forms a sequential covering class of R". Let i be g1ven by 1.(0) = 0
and
ji(E u N) = p(B) (1.5.1)
is a complete measure on fi. A.(I,,b) = n" (b; -a;)
j..:..:.l
if a =1- h. ( 1.6.2)
 METRIC SPACES l:>
14 MEASURE THEORY

Proof Denote by ~ any irrational number and als~ the number 0.

The outer measure determined by this pair <:lf"J. (in accordance with Theorem
1.4. !) is called the Lebesgue outer measure. The (complete) measure deter-
mined by this outer measure (in accordance with Theorem 1.3.1) is called the
Lebesgue measure. The measurable sets are called Lebes.que-measurabfe sets
or, simply, Lebesgue sets.
Let f(x) be a real-valued, monotone-increasing function defined on
the real line R 1 We assume that f(x) is right wntinuous-that is,
lim f(x) = f(_v).
Denote by R a sequence {r"} of all the rational numbers. Fmally, denote by
E th~ set g + r; r e R}. Clearly~, n E,, = 0 if #- E~, From each set
E,,
: we now select one number 1J such that 0::::; 1J ::S: t. (If two sets .f!~ E~o are
equal, then they have the same 11 .) The set of all these numbers 1J Is denoted
by f. We shall prove that F is not Lebesgue-measurable.
For each positive integer k ;;::: 2, denote by F k the set {IJ + (lfk); 1J E F}:
Then f n F.= 0 if k i=). Indeed, otherwise we have 1J1 + 1/k = 1/2 + 1/J,
1
where
111
e ;,, 1/z e E::,, and::,, n E~, = 0 (since 1J1 #- 1J2). We get

Let .:>r consist of all the open intervals (a.b) of R 1 and defme A by ).(0) =0
and
A{(a.b)} f(b) -f(a) if a< b. (1.6.3)
which is impossible (since this would imply that ~, n E~, i=_ 0).
=

The outer measure pj determined by this pair .:.f-, ). is ca!led the Lebesgue- Suppose now that F is measurable. By ~robl.em 1.6.5, each set Fk
Stieltjes outer measure induced by f The measure 11 1 corresponding to this (k 2: 2) is then also measurable, and p(Fk) = p(f). Smce all the sets Fk are
outer measure is called the Lebesgue-Stieltjes measure induced by f disjoint and are contained in [0, 1], it fo!lows that
It will be proved later on that closed sets and open sets are Lebesgue-
mt-1
measurable. mJ-1-(F) = L.
k= 2
p(f 1,) :-::; I for any integer m.

PROBLEMS
Hence p(F) = 0. . .
1.6.1. The Lebesgue measure of a point is zero. Consider next the sets G, = {r + 1/; 1J e F}, where r ts any ratwnal
1.6.2. The Lebesgue measure of a countable set of points is zero. number. By Problem 1.6.5, G, is measurable and J-1-(G,) = 0. If r and s are
1.63. The outer Lebesgue measure of a closed bounded interval distinct rational numbers, then G, n G, = 0. Since, further
[a,b] on the rea! line is equal to h - a. [Hint: Usc the Heine-Bore\ theorem ry,

to replace a countable covering by a finite covering.] U G,"=(-co,co),

I .6.4. The outer Lebesgue measure of each of the intervals (a,h), n=1

[a,b),(a,b] is equal to h- a.
it follows that J-1-{(- oc ,co)} = 0, which is impossible.
1.6.5. Consider the transformation Tx = :xx + fl from the real line
on1o itself, where :x.# are real numbers and 11. # 0. It maps sets E onto sets T(E).
Denote by J.1 (!t"') the Lebesgue measure (outer measure) on the real line.
Prove: 1.7 METRIC SPACES
(a) For any set , !<*(T(E)) = l:xllt*(t.:). Suppose that there exists a real-valued fun~tion p de~ned for every
(b) E is Lebesgue-measurable if and only if T(E) is Lebesgue-measur- ordered pair (x,_r) of points of X, having the followmg propertieS:
able.
(c) If E is Lebesgue-measurable, then J-1-(T(EJ) = l:;~lp(). (i) p(x,y) 2: 0, and p(x.y) = 0 if and only if x = y.
Additional information on the Lebesgue measure (in n dimensions) (ii) p(x.y) = p(y.x) (symmetry). . . .
wi l! he given in Problems 1. 9. 1-1 .9. I I . J\.1 ore information on the Lebcsgue- (iii) p(x,z) :-::; p(x.y) + p(y,z) (the tnangle mequahty).

The function p is then called a metric function (or a di~tance functi~n.) on X,

Stieltjcs measure will be given in Problems 1.9.13-1.9.15.
and the pair (X,p) is called a metric space. When there 1s no confuswn about
Theorem 1.6.1 There exisls a set on the rea/line that is not Lebesgue-
measurable.
p, we denote the metric space simply hy X.
16 MEASURE THEORY METRIC OUTER MEASURE 17

Example. The function A set is said to be closed if its complement is an open set. Note that the
112
p(x,y) =lx - Yl ={E(x, - J= I
}';)
2
} (1.7.1) closed balls are closed sets.
The interior of a set E is the set of all points y in such that there is an
is a metric function in the Euclidean space W. We call it the Euclidean metric. ~:-neighborhood of y contained in E. We denote the interior of E by int E.
When we speak of R" as a metric space, the metric we usua11y have in mind is A sequence {xnl is called a Caurhy sequence if p(x",x,)-> 0 as n.m .... CXJ.
the one given by (1.7.1). Note that every convergent sequence is a Cauchy sequence. Also. a Cauchy
We define the distance between two sets A and B by sequence cannot have more than one point of accumulation. If every Cauchy
sequence is convergent, then we say that the metric space is complete. The
p(A,B) = inf p(x,y). Euclidean space (with the Euclidean metric) is complete, but the subset
X~A
y~B consisting of all points with rational components forms an incomplete metric
If A = {x}, then we also write p(x,B) for p(A,B). space (under the Euclidean metric).
A set A in a metric space (X,p) is said to be bounded if its diameter, 1n the next section we shall need the following definition:

d(A) =sup p(x,y), Definition Denote by g the tHing generated by the class of all the
'<$A
y~.t
open sets of X. The sets of /4 are called Borel sets.
is finite. For any x EX, e > 0, the set Note that dd coincides with the u-algebra generated by the class of all
B(y,e) = {y; p(x,y) < e} the open sets of X.

is called the open ball with center y and radius e, or an -neighborhood of y.

The set PROBLEMS
B(y,e) = {y; p(x,y) s e}
1. 7.1. A sequence {xn} is convergent to y if and only if every sub-
is cal1ed the closed ball with center y and radius e. sequence {x",} is convergent to y. _
A sequence {xn} is called a convergent sequence if there is a point y 1.7.2. A set D is closed if and only if D = D.
such that p(x",y)-> 0 as n-> GO. We then say that {x"} converges to y and 1.7.3. (a) A v B =A v 8; (b) ii =A.
write 1.7.4. A set E is open if and only if E = int E.
lim Xn = y or x~-> y as n-> oo. 1.7.5. Let A be any set and x,y any two points. If p(x,A) > :x,
J"'--+a::.
p(y,A) < f3 and :x > fl, then p(x,y) > Ct - fl.
We call y the limit of the sequence {x"}. It is easily seen that a sequence 1.7.6. If A is a closed set and x A, then p(x,A) > 0.
cannot have two distinct limits. It is also clear that a sequence {x"} is con- 1.7.7. Denote by 9 the a-ring generated by-the class of all the closed
vergent to y if and only if every e-neigh!:JOrhood of y contains all but a finite sets of X. Show that :2 = ;;j.
number of the x . 1.7.8. Denote by?/' the class of aU half-open intervals [a,b) on the real
A set E is called an open set if for any y E E there is a ball B(y,e) that line. Show that the u-ring generated by &' coincides with the class &I of the
is contained in . Every open ball is an open set. It is easy to verify that a Borel sets on the real line.
finite intersection of open sets is an open set, and a union of any class of open
sets is an open set.
A pointy is called a point of accumulation of a set D if any hall B(y,e)
1.8 METRIC OUTER MEASURE
contains points of D other than y. It is easily seen that y is a point of accumu-
lation of D if and only if there is a sequence {x.} in D - {y} that converges
Let X be a metric space with metric p.
to y.
Denote by D' the set of all the points of accumulation of D. The set Definition 1.8.1 An outer measure 11* on X is called a metric outer
D v D' is ca1led the closure of D, and it is denoted by !5.
measure if it satisfies the following property:
(vi) If p(A,B) > 0, then 11*(A v B) = 11*(A) + 11*(8).
 METRIC OUTER MEASURE 19
18 MEASURE THEORY

n-1
LemiiUJ 8.1.1 Let 11* be a metric outer measure and let A, B be any Using the relation A 2 ~ => U Gzk and the property (vi) of metric outer measures,
k~t
sets such that A c B, B open, 11--*(A) < "" For any positive integer n, let
we get
A"= {x; x E A, p(x,B<) ~ ~} ii"'(A) ~ Ji*(Az.) 2: Ji* cv: Gn) = :t: J1*(G2k)

Then Since p*(A) < oo, this shows that the series

. _Proof . Since A. c A.+ 1 and p* is monotone, the sequence {Ji*(A.)} is convergent. Similarly one shows that the series
ISan mcreasmg sequence. Also, .u*(A") :::;: ii"'(A). It therefore suffices to show
that
lim ~t*(A 2 ") ~ I!*( A). (1.8.1)
n~oo is convergent. Taking n--> ro in (1.8.3), we then obtain
Each point y of A lies in the open set B. Hence there is some ~:-neighbor
hood of Y that is contained in B. It follows that p(y,B") > e. This shows that

"' This proves (1.8.1).

Ac U A .
n=l
T/u!orem 1.8.2 If 11* is a metric outer measure, then every closed set is
Since A. c A for all n, we have measurable.

(1.8.2) Proof. Let F be a closed set. For any set A with p*(A) < oo, A - F is
contained in the open set F. Hence, by Lemma 1. 8.1, there is a sequence E. of
Let G" =An+ I -An for n ~ l. Then (1.8.2) implies that, for any subsets of A - F such that
n ~ 1,
(n = 1,2, ... ), (1.8.4)

lim ~t*(E.) = ~t*(A -F). (1.8.5)

Hence,
Using the property (vi) of a metric outer measure and ( 1.8.4), we get
(1.8.3)

FromthedefinitionofthesetsA n wehave ifxe GU y e G 2k+2 l <

- k , then
Taking n --> co and using ( 1.8.5), we obtain
1 1
p(x,B<) > - - , p(y,B<) < ~t*(A) ~ ~t*(A n F) + Ji*(A - F).
21+1 2k+2
If ~t""(A) = oo, this inequality is trivial. Since A is an arbitrary set, F is
Consequently (see Problem 1.7.5), measurable.
1 1 Corolhlry 1.8.3 I/11* is a metric outer measure, then every Borel set is
p(Gzt,G2k+2) ~ - - - - - - > 0
2k+1 2k+2. measurable.
20 MEASURE THEORY CONSTRUCTION OF METRIC OUTER MEASURES 2J

Proof Denote by a the a-algebra of all the p*-measurable sets. Taking n ....... ro, we get
Every open set E has the form E = X - F, where X E a and FE a (since F
is closed). Hence E E a. It follows that a contains the a-ring generated by
the class of all the open sets-that is, a ::::> !Jd.
p~col E.)= !~n; ~~:col El) ~ J~ ll~(Ed.
Jt remains to prove the condition (vi) in Definition 1.8.1. I~ p(A,B) > 0,
PROBLEMS then p(A,B) > lin for all n 2: n 0 For any e > 0 and n :?: n 0 , there ts a sequence
1.8 .I. Prove the converse of Corollary I .8. 3-that is, if ll * is an outer {E.k} in f . such that
measure and if every open set is measurable, then ll* is a metric outer measure.
1.8.2. Let fJ be a measure with domain a. For any two sets E and A v B c:
"' .,,
U
Fin a, let p(E,F) = 11[(- F) u (F-E)]. Prove that p(E,F) = p(F,E) and I<= I

+ p(F,G).
p(E,G) .:-::; p(E,F)
1.8.3. Let (X,p) be a metric space and let {x.} be a sequence of points f
k=l
A.( E)::::::; p:(A v B) + B.
in X. Deft ne p*( E) to be the n urn her of points x. that belong to E. Prove that
JJ* is a metric outer measure. . d(E ) < 1/n no set E k can intersect both A and B. Hence the sequence
Stnce nk ' " {E } d {E } the
1.8.4. Let (X,p) be a metric space. Define JJ*() = I if E i= 0 and {E.d can be written as a disjoint union of two sequences . an nk"'
!< *(0) = 0. Is ll * a rnctric outer measure'! first being a covering of A and the second being a covenng B. lt follows that

1.9 CONSTRUCTION OF METRIC OUTER

p:(A) + p:(B)::::::; .t 1:(E ) ~ 11:(A v B)+ e.

MEASURES
Taking n _, ro, and then c-> 0, we get
Let f be a sequential covering class with 0 E f, and let p~(A) + p~(B) .:-::; JI~(A v B).

f.={AEf;d(A):::::;~} [we define d(0) =OJ Since the reverse inequality is obvious, the proof is complete.

for any positive integer n. Then .ff.+ 1 c .ff. Assume that each f . is a
Theorem 1.9.2 Let the assumption on .ff,"A made in Theorem 1.9.1
sequential covering dass. Let A. be a nonnegative, extended real-valued set
hold. Assume further that for each set A E f , for any E > 0, and for any
function defined on f , with }.(0) = 0, and denote by J-1: the outer measure
positive integer n, there exists a sequence {Ex} in ..ff n such that
defined by each pair fn,A. (according to Theorem 1.4.1). Clearly
J-l:(A) s J-1:+ 1 (A)
for any set A. Let

,--+.:o
(1.9.1) L"' ..l(11 )::::::; i.(A) +e.
11=1

Theorem 1.9.1 Let the foregoing assumptions on f,). hold. Then the
Then the outer measure ~* defined by ( 1.4.1) coincides with the metric outer
set function )1~, defined by ( 1.9.1 ), is a metric outer measure.
measure constructed by (1.9.1 ).
Proof The conditions (il, (ii), (iv), and (v) in Definition 1.3.1 hold for
each p:.Taking n-> w, we sec that they hold also for fJ~. To prove (iii), Proof. Since f => f n we have
we note that p:(A) s ~~~(A). Hence, \1.9.2)
for any set A and n = I ,2, ....

P:(Ql .) .:-: ; ltl f.I:(E.)::::::; Jl .uUE.). We shaH now prove the reverse inequality. From the
d fi . . f * it
e mtwn o P
22 MEASURE THEORY CONSTRUCTION OF METRIC OUTER MEASURES 23

follows that for each set A and r. > 0, there exists a sequence {Ei} in :;(" E. with diameter < 1fm, such that L, ..1.( Ei) < e. J can be covered by a finite
such that n~mber of (n - 1)-dimensional intervals Ej lying on xi = a; + r ,b; and having
diameter < 1/2m. Let C =I
I.(Ej). Take '1 < t/2C, '1 < lf4m, and let
Ei = {x; (x1 , ... ,x,_ 1 , a,+ y/J;, x,+ 1 , .. ,x.) E Ej, a,+ y,b,- '1 < x, < a1

"" e + y,b, + '1-1 .

Ij~! ..l(Ej) :o;; tt*(A) +-. 1.9.4. Let Jc (k = l, ... ,m) form a covering of a closed mterval
2 1.. Let r be any p~~itive integer and let b; = (b,- aJjr. Show that there is
By one of the hypotheses of the theorem, for each set Ei there is a sequence a covering of 1. ~ by intervals Ia . ~. (k = I, ... ,m), where :.t:k = (o:u, .,:.t:k.) and
{Bid of sets of%" such that p, = (J1. 1, ... ,fJb) have the form
(y; integer),
"'
Ei c U BJ.,
1.~ I (y;' integer),

f
k~l
A.( Bid :o;; ..i.(Ej) + .: I.
~
c
Since UBil< covers A, we have 1.( I~ ~.) $ ..1.(1 Ck J + -;:- (C independent of r).
j.k

[Hint: Let c" = (cuc""), ek = (e, 1, ... ,e... ). Let o:ki be the largest number
of the form a,+ y;b, that is less than c.,. Let {l.; be the smallest number of the
form a~., +ri'b; that is larger than eki. Then lck ... c 1,.. ~.-Also
Taking e-> 0, we get tt:(A):::;: tt(A). Combining this with (1.9.2), we get
= tt*(A). Hence J.i~(A) = 1-1*(A).
tt:(A) (C' constant).

PROBLEMS
Now use Problem 1.9.2.]
1.9.1. Let a,< a1 + .5,. < ai + 23i < <a,+ r,o, = b;for i = I,2, ... ,n. I .9.5. Let i . b be the closure of a bounded interval la,b in R". Show
Denote by I . b.y the open interval that
a,+(!';- l)b; < x; <a, + y,b, (I :::;: i:::;: n)
when the l'; vary from 1 to 'i Let ..1. be defmed by ( 1.6.2). Prove that
[Hint: ttU .):::;: p.*(l.-,,0+.) for any > 0. Use Problem 1.9.2 to deduce
..1.(/d) = I A.U.,b,)-
&

' " (b;-

p.*U.b) :-:;;: TI a,.).
[Hint: The number of terms in the sum is r 1 r2 r. and A.(l.,b,,) = [::::rl
,)l,)l ... ()nJ
/.9.2. Denote by la-e,b+e ( > 0) the open interval determined by To prove the converse inequality, take any covering of i . h by intervals !J
(a1 - e,a 2 - e, ... ,a. - e), (b 1 + e,b 2 + e, ... ,b. + e). Then i.(I.-,.H,) - J.(l.,b) By the Heine-Bore! theorem, a finite number, say E 1 , ,Em, forms a covermg
< ce (c constant). of l a b It suffices to show that, for any e > 0,
1.9.3. Show that every Borel set in R" is a Lebesgue set. [Hint: We
wish to apply Theorem 1.9.2 and Corollary 1.8.3. We thus have to verifv fi (b,- a;):::;: I
i~ 1 k= I
A.(.)+ e.
the condition on%,). imposed in Theorem 1.9.2. Divide I . b by hyperplane-s
X;= a,+'/;<'!; with I 3 1 < 1/m, m any given positive integer. By Problem Write = 1 . Divide R" by hyperplanes X;= a;+ y,b 1, where b; =
h \
1.9.1, L J.(I.,b.j) = ;u. b)- It remains to show that, for any c > 0, each set
k Ck,.k

(b j _a.)' I'r ' "\)'i integers Let 1., P'

be as in Problem 1.9.4, and c oose r so arge
[ ( )
J = {x e l . b: x, =a,+ ")';.5;} can be covered by a finite number of intervals that mC/r<e. Show that for any k = 1, .. . ,m, each interval I. b.y ")' = "1'!,---l'n
24 MEASURE THEORY SIGNED MEASURES 25

y, integers] either lies entirely in I~ . p, or does not intersect I.,,p, By Problem (compare Problem 1.5.2) the Lebesgue measure is the completion of its
1.9.1, ),(!~ !1.) = I(J:J I
..1.(/.,b.y), A.U. b) = ..1.(/.,b,y)- Since restriction to the Borel sets.
We conclude this section with a few results that we shall not prove.
(They will not be used in the sequeL) .
It is known that not every Lebesgue set 1s a Borel set. In fact, the two
it follows that every term J.Ua,b.,) that occurs in the last sum must also occur
in at least one of the sums I (kl_ This gives classes of sets have different cardinal numbers. _
Denote by f-t* the Lebesgue outer measure o_n R". Then for_any bounde~
,. m m m
interval Ia.b the following is true: a sel E c Ia,b IS measurable 1f and only 1f
TI (b;- a;):=::; I A.U. ,.> :=::; I A.Un.~.) + t: = I l(Ed + e.J
i~J J:-1 J:~J k~l
/--1-(la,b) = /--1-*(E) + /--1-*(la,b - ),
1.9.6. Let Ia,b be an open bounded interval in R". Show that
n The inner measure Jl* is defined by
p(l.,b) = p*(l.,b) = !--1-0a,b) = ..i.(I.,b) = D (b;- a;).
i=l 11 *(E) =sup (Jl(F); F c E, F Lebesgue-measurable}.
1.9.7. If a set F in R" is Lebesgue-measurable and if p(F) < oo, then It is known that
for any t: > 0 there exists an open set E such that E ::;, F and Jl(E) < Jl(F) + e.
1.9 .8. If a set F in R" is Lebesgue-measurable, then there exists a Borel Jl,(E) = ftUa.b) - ;t*Ua,o- E)
set E such that E => F and Jl(E- F)= 0. [Hint: Consider first the case where for any subset E of Ia,b Consequently, E is measurable iF and only if
p(F) < 00.1 Jl*(E) = II*(E).
1.9.9. A straight line in R" (n ~ 2) has Lebesgue measure zero. More
generally, a k-dimensional plane in R" (n 2 k + 1) has Lebesgue measure zero.
1.9.10. The boundary of a ball in R" has Lebesgue measure zero.
1.9.11. Consider the transfonnation Tx = Ax+ kin R", where A is a 1.10 SIGNED MEASURES
nonsingular n x n matrix and x, k are column n-vectors. T maps sets E onto
sets T(E). Assume that ).[T(l.,b)] = ]det A ]A.(l.,b)- (This will be proved in Definition An ex.tended real-valued set function 11 is ca\led a si~ne_d
Problems 2. 16.7 and 2.16.8.) Prove that T satisfies the properties (a)-{ c) measure if it assumes at most one of the value~ + oo and - oo, and tf 1t
of Problem I. 6. 5, with I:t:] replaced by Idet A 1- satisfies the conditions (i}, (iii), (iv) of Definition 1.2. I.
1.9.12. Extract from the interval (0,1) the middle third-that is. the The motivation for this notion comes by looking at the difference
interval I 1 = (-i,t). Next extract from the two remaining intervals, (0,-j-) and ll = p 1 - p 2 of two measures p 1 ,p 2 , one of which is finite, defined by
(1,1), the middle thirds I 1 and 13 [12 = {i-,-t), I 3 = (-i-.t)J, and so on. Let (E E <i), (1.10.1)
I= I 1 u I 2 u 13 u ... , The set C = [0,1]- I is called Cantor's set. Prove
that the Lebesgue measure of Cis zero. (It can be shown that Cis not count- where fit , 112 have the same domain a.
It is clear that J1 is a signed measure.
able; in fact, it has the cardinal number of the continuum.) More generally, any linear combination (with real coefficients) of measures
1.9.13. The Lebcsgue-Stieltjes outer measure 1-11 , induced by a mono- having the same domain, defined in the obvious way (analogously to 1.10.1)
tone function f (continuous on the right), satisfies is a signed measure, provided all but one of the measures are lin ite. .
fl/a,h] = f(b)- f(a). 1n this sect ion we shall prove that every signed measure is neccssanly
of the form (1. 10.1 }.
1. 9 .14. The Lebcsgue-Stiel tjes outer measure is a metric outer measure. Let fl be a signed measure with domain a.
A measurable set E is called
1.9.15. Let f(x) = 0 if x < 0, f(x) = 1 if x 2 0. Prove that positive (negatire) with respect top if f-t(E n A) 2 0 ( :S 0) for any measurable
J11 {(- I ,0)} </(0) -/(-I), set A.

As we have seen, every Borel set in R" is a Lebesgue (measurable) set. Theorem 1.10.1 Ij)J is a signed measure, then there exist two measurable
From Problem I .9.8 it also follows that every Lebesgue set has the form sets A and B such that A is positire and B is negative with respect to 1-1-. and
E - N, where E is a Borel set and N is a null set [that is, Jl(N) = 0]. Thus X= A u B, A n B = 0-
 SIGNED MEASURES 27
26 MEASURE THEORY

contains a measurable subset 2 with J.1.(E 2) ~ I/m 2 . Continuing. this con-

We say that A and B form a Hahn decomposition of X with respect to struction step by step indefinitely, we obtain at the kth step an 1~teger m,
JL The decomposition is not unique, in general.
with the property that m, is the smallest positive integer for which there
We shall need the following lemma.
k-1 ]
exists a subset Ek of E 0 - [ ,l), E, such that
Lemma 1.10.2 Let l..l be a signed measure. If E and F are measurable
sets such that E c:: F, ll..l(F)I < oo, then ll..l(E)I < oo. (1.10.3)

The proof follows easily from the relation

p(F) = J.!(F - E) + J.!(E). We fix E, as a subset of E0 Cv:
- 1] for which (I .I 0.3) holds.

To prove Theorem 1.10.1 we shall assume that By Lemma 1.10.2, J.I.CQ. ,) < oo. Since the sets Ek are mutually disjoint,
-oo < p(E)::::; oo for all E E ct. (1.10.1) it follows that JJ.(E,)-> 0 as k -> oo. Hence
The case where - oo ::::; I'( E) < oo for all E E (i can be treated by looking . 1
at -J.!. l!m- = 0.
Observe that the difference of two negative sets is again a negative set
-"" m,
00
and that the union of two negative sets is a negative set. Since also the count- It follows that every measurable subset F of Fo = Eo - kl),E satisfies
able disjoint union of negative sets is a negative set, we conclude (by Theorem
1.1.1) that any countable union of negative sets is a negative set. 1
Define J.l.(F)::::; - - - + 0 if k-+ 00
mk- I
P= inf J.!(B 0 ), B 0 varies over all the negative sets.
-that is, J.!(F) = 0. Thus F 0 i~ a negative set. Since
Then there is a sequence {Bj} of negative sets such that J.!(Bi)-+ p. The set 00

B
00

= UBj is then a negative set and, therefore, J.!(B) .:-:;; p(Bi). It follows that J.I.(F0 ) = JJ.(E 0 ) - L
k; I
p(Ek) < p( 0 ) < 0,
j;\
we get II(B u F 0 ) = p(B) + p(F0 ) < 11(B). Since 11(8 u F0 ) ~ p (for B U Fo is
p = p(B). (1.10.2)
a negative set), we get a contradiction to ( 1. 10.2).
Note, by (1.10.1), that p > - oo. Set
We shall show that the set A =X - B is positive; this will complete (l.\0.4)
the proof of the theorem. p +(E)= 11( n A),
If A is not positive, then there is a measurable set E0 c:: A such that Then p + and p- are measures, and at least one. ~f them is finite. They are
ll(E 0 ) < 0. E 0 cannot be a negative set, for otherwise B u E 0 is a negative independent of the particular Hahn decompositiOn (see .Problem 1.10.4).
set and thus Also, p() = p +(E)- 11 -(E). We can now state the followmg result, known
p::::; J.!(B u E 0) = J.!(B) + p(E0 ) = p + ,u(Eo) < fi. as the Jordan decomposition of a signed measure.

Therefore E0 contains a set 1 with J.!(1 ) > 0. Let m 1 be the smallest positive Theorem 1.10.3 Let ].1 be a signed measure. Then at least one of the
integer for which such a set E 1 exists with JJ.(E 1) ~ 1 jm 1 By Lemma 1.10.2, measures ll + ,l..l-, given by ( 1.1 0.4), is finite, and
J.!(Ed < oo. Since
p = J.1. + - J.!- . ( 1.1 0.5)

Note that the decomposition of a signed measure into .a ditfere~ce of

two measures is not unique. The Jordan decomposition IS a particular
we can apply to 0 - 1 the argument that has just been applied _to E0
decomposition.
Thus there is a smallest positive integer m 2 with the property that E 0 - 1
28 MEASURE THEORY

. !he measures 1-l + ~- given by (1.10.4) are called the upper and lower
CHAPTER 2
vanotwns of J.l (re~p~ctJvely). The measure Lui given by II' I = J.l + + J.l- is
c~lled the total vanatwn of 1-l Note that II' I( E) = J.l +(E) + J.l-(E) is genera!!
different from Lu(E)I = Lu +(E) - ~~-(E) I.
A signed measure is said to be .finite (a-finite) if 11-11 is finite (o--fmite).
y
INTEGRATION
PROBLEMS

.lJ/ and
00

1.10.1. If X= f.l is a signed measure with 11-l(A")I < 00 for

all n, then tl + and~~- are a-finite. (Hence, by definition, 11 is u-finite.)
1.10.2. Let 1-l b~ a signed measure and let {E.} be a monotone sequence
of measurable sets [w1th lt~(Edl < oo if {E.} is decreasing]. Then

t~(li~ E.)= I~m p(E").

1.10.3. Give an example of a signed measure for which the Hahn
decomposition is not unique.
!.10.4. If X= A1 v B,, X= A 2 v B 2 are two Hahn decompositions
of a signed measure p, then for any measurable set E,
2.1 DEFINITION OF MEASURABLE FUNCTIONS
p.(E n A1 ) = p(E n A2 ), !-l(E n B1 ) = p.(E n B2 ).
1.1?.5. A: c~mplex measure is, by definition, a finite complex-valued By a measure space we mean a triple (X,Ci,tJ), where X is a space,
set fun~twn sahsfymg the properties (i), (iii), (iv) of Definition 1.2.1. Prove a is a a-algebra of subsets of X, and f.! is a measure with domain a. When
that J.llS a complex measure with domain <i if and only if their exist finite there is no confusion about a and p, we refer to (X,ct), or just to X, as the
measures p,,J.lz,p 3,p 4 with the same domain a such that measure space. The sets of a are called p.-measurable (or just measurable)
sets. The Lebesgue measure space (Borel measure space) R" is the triple
f.!= f.!J - 112 + ip3 - ip4. (X,a,IJ) where X = R", a is the class of the Lebesgue (Borel) sets, and p. is
the Lebesgue measure.
The measure space is said to be finite (or totally finite) if p(X) < w,
and u-finite if p is a-finite. The measure space is complete if !1 is a complete
measure.
Let f be a real-valued function defined on a measurable set X 0 of a
measure space. We say that/ is a measurable function (on X 0 , or in Xol if the
inverse image of any open set in R 1 is measurable-that is, for any open set M
in R 1, the set f- '(Ml = {y e X 0 ; f(y) e M} is a measurable set. When X
is the Lebesgue space (Borel space), then we say that f is Lebesgue-measurable
(Boref-measurable) on X 0
We sha!l need the concept of measurability also for extended 1
real-
valued functions. In this case we add the requirement that the sets /- ( + oc),
f- 1( - oc) be measurable.
Theorem 2.1.1 Let f be an extended real-cafued function defined on a
measurable set X0 c X, X a measure space. f is measurable if and only if (i)
29
30 INTEGRATION f)EFINITION OF MEASURABLE FUNCTIONS 31
A real-valued function f defined on an open set X 0 of a metric space
for euery real number c, the set f- 1 { ( - oo ,c)} is measurable, and (ii) the sets 1
X is said to be continuous if the inverse image of any open set in R is an
r-Ic+ 00), f-Ie- 00) are measurable. open set in X. Corollary 1.8.3 implies:
Proof Since (- oo, c) is an open set in R \ if f is measurable, then
1 Theorem 2.1.2 Let X be a metric space and let )l be the measure
/- oo,c)} is a measurable set. The condition (ii) also holds for a measur-
{(-
corresponding (by Theorem 1.3.1) to a metric outer measure 11* Iff is a con-
able function f Suppose conversely that f is a function satisfying (i) and (ii).
tinuous function defined on an open subset X 0 , then f is a measurable function
We shall prove thatfis measurable. Since
on Xo.

Theorem 2.1.3 Let X he a measure space. Iff is a measurable function

on X, then, for any Borel set B of R I, f - 1(B) is a measurable set.
the set/ - 1 { ( - oo,c]} is measurable for any real number c. Writing

r- 1
{(a,b)} =/- 1 {(-oo,b)} -r 1
{(-co,a]}, Proof Consider the class Q! of all the sets Eon the real line for which
f - 1(E) is measurable. It is easy to verify that !1! is a a-ring. Si nee 9 contains
we see that /- 1 {(a,h)} is measurable. Since every open set M is a countable all the open sets, it also contains all the Borel sets.
union of open intcrvals,/- 1 (M) is also a measurable set. This, together with
(ii), shows that f is measurable. PROBLEMS
2.1.6. The characteristic function of a set E is the function XE defined
PROBLEMS
by
2.1.1. Let (X,CL,Jl) be a measure space and let Ybe a measurable set. 1 ifx EE,
XE(X) = { ' if X j: E.
Denote by eLy the class of all the measurable sets that are subsets of Y and 0,
denote by Pr the restriction of p. to eLy. Prove that (Y,CLy,Jiy) is a me;sure
Prove that the set E is measurable if and only if the function XE is measurable.
space. It is called a measure subspace of(X,CL,p).
2.1. 7. Let {EJ be a sequence of sets and let E* = fiffi E. Prove that
2.1.2. Let Z be a subset of a space X, and let {Z,al,v) be a measure n
space. Denote by CL the class of all sets E in X such that En Z is in fM and
define a set function 11 by p(E) = v(E n Z). Then (X,CL,11) is a measure ~pace
and (Z,.:.l1,r) coincides with (Z,dz,Jlz). 2 .1.8. The positive part f + of a function f is defined by
2.1. 3. A function I defined on a measurable set Y of a measure space
f+(x) = {.f(x), if f(x) > 0,
(X,CL,p) is measurable if and only if it is measurable as a function on Y if f(x)::::;; 0.
0,
considered as a set in the measure space (Y,dy,l/r).
Similarly, the negathe part f- off is defined by
Let f! be a Lebesgue-measurable set in R". The measure subspace of
the Lebesgue space R" corresponding to f! is 1alled the Lebesgue measure rex)= {0,- f(x), ~f f(x) > 0,
If f(x) ::::;; 0.
space of f!. By Problem 2.1.3, f is measurable on the measure space f! if
and only iff is Lebesgue-measurable on f! (as a subset of the Lebesgue Prove thatfis measurable if and only iff+ and/- are measurable.
space R"). 2.1.9. lfjis measurable, then 1/1 and IJY arc measurable.
2.1.10. A monotone function defined on the real line is Lebesgue-
2.1.4. Prove that a function/is measurable if and only if: (i) the sets measurable .
.r 1{(- co ,c]} are me as ura ble for all real numbers c, and (ii) the set sf- 1( + GO), 2.1.11. A function f(X), defined in a metric space X, is said to he
f- 1 ( - cr;) are measurable. upper-semicontinuous (lower-semicontinuous) if for any point x EX,
2.1.5. Prove that a function f is measurable if and only if (i) the sets
1 1
/ - {(c,oo)} (or the setsf- {[c,GO)}) are measurable for any real number c, rrm f(y)::::;; f(x) [ lim f(y) :2= f(x)].
r
and (ii) the set sf - 1( +X ).. 1( - GO) are measurable. ,... " ,... "
 OPERA T!ONS ON MEASURABLE FUNCTIONS 33
32 INTEGRATION

For any sequence Un} offunctions, we define sup fn> lliTI fn by

Prove that upper (or lower) semicontinuous functions in a metric measure n "
space as in Corollary 2.1.2 are measurable.
2.1.12. A complex-valued function f is said to be measurable if, for
any open set Min the complex plane,f- 1(M) is a measurable set. Prove that
f is measurable if and only if both its real and imaginary parts are measurable
Similarly, we define inff,, limf.
(real-valued) functions. n n

Theorem 2.2.3 If {f"} is a sequence of measurable functions, then

2.2 OPERATIONS ON MEASURABLE FUNCTIONS sup fn, inf fn, lim fn and lim f" are measurable functions.
n n

In this section and in the following ones, X is a fixed measure space. Proof The assertion for sup/~ follows from Problem 2.1.4 and the
Furthermore, unless the contrary is explicitly stated, all measurable functions
are defined on the whole space and are extended real-valued functions. relations

Lemma 2.2.1 If f and g are measurable functions, then the set

E = {x; f(x) < g(x)} is a measurable set.
{x; s~p fn(x) :0:: c} = /J {x; fn(x) :0:: c},

Proof Let {r.} be a sequence of all the rational numbers. Then

(s~pf.)- 1 (oo) = .,0 .V/;;
1
1
(m, oo], (s~p J.)-J(-oc) = 1
/)/;; (-oo).

E = {x; f(x) < g(x)} = U [{x; f(x) < r.} n {x; g(x) > r.}]. The assertion for inff. follows from inf f~ = -sup (-/.). Now use the
'" relations
Since each set on the right is measurable, E is also measurable.
When we consider the sum f + g of two measurable functions f and g, lim fn = inf sup fn,
k P1:::.k
we always tacitly assume that at no point x, f(x) = oo, g(x) = - oo or
f(x) = - oo, g(x) = oo. Similarly, when we consider the productfg, we always lim fn = sup inf f .
l il1 ~k
assume that at no point x, f(x) = 0, g(x) = oo or f(x) = oo, g(x) = 0.
n

Definition A property P concerning the points x of the measur~ space

Theorem 1.2,2 Iff and g are measurable functions, then f g and fg
are measurable functions.
Proof Using Problem 2.1.5, we easily verify that, for any real number
c, c- g(x) is a measurable function. We next have
E ={x;f(x) + g(x) < c} = {x;f(x) < c- g(x)}.
X is said to be true almost everywhere (briefly, a. e.) if the set E of pomts for
which p is not true has measure zero. lf E = 0, then we say that P is true
everywhere.
Note that iff and g are two extended real-valued functions such that
jis measurable and g = fa.e., and if X is complete, then g is also measurable.

Since the set on the right is measurable (by Lemma 2.2.1), also E is measur- Definition A sequence {/") of functions is said to be (pointwise)
able. Next, the sets (f + g)- 1(oo) = f- 1 (oo) v g- 1(oo) and(/+ g)- 1 ( - 00 ) = convergent almost everywhere (or ererywhere) if there exists a function g such
f -J ( - oo) u g - 1 ( - oo) are also measurable. Now apply Theorem 2.1.1 to that
conclude that/+ g is measurable. Similarly one proves that f- g is measur-
able. lim f.(x) = g(x) a.e. (or everywhere).
The measurability of fg follows from the measurability of If+ gj 2
and If- gj 2 (compare Problem 2.1.9), and the relation We then say that {fn} conrerges (pointlrise) almost ererywhere (or everywhere)
tog, and write limfn = g a.e.
fg =i {(f + g)2 - (f- g)2}. n
 EGOROFF'S THEOREM 35
34 INTEGRATION

2.2.2. Let g(uv ... ,u,) be a continuous function in R\ and let

Corollary 2.2.4 If a sequence {f"} of measurable functions converges
be measurable functions. Prove that the composite function h(x) =
(/) , . ,(/)k
everywhere to a function g, then g is measurable. If X is complete and {f } 1
g[qJ 1 (x), .. .,qJk(x)] is a measurable function. Note that as a special case we
conrerges tog a.e., then g is measurable. "
may conclude that

Indeed, by Theorem 2.2.3, g 0 =lim/. is a measurable function. From

this the assertions of the corollary imme"diatcly follow. are measurable functions.
A function f is called a simple function if there is a finite number of 2.2.3. Let f(x) be a measurable function and define
mutually disjoint measurable sets 1 , ... , and real numbers a rJ. :!

such that "' "" ., m

f(x) = (CI:;,
if x e E, (i = 1,2, ... ,rn), g(x) = {f~x)' if f(x) #- 0,

0, if f(x) = 0.
u
m
0, if X t 1,
j;::l
Prove that g is measurable.
We can write 2.2.4. The nth Baire class :11. is a class of functions/ defined as follows:
fe :11. if and only iff is the pointwise limit everywhere of a sequence of
f(x) = L'"
j::::o:J
Cl.;X,(x). functions belonging to :11. _ 1 , and 81 0 is the class of all continuous functions.
Prove that all the functions of :11. are measurable.
2.2.5. Show that the characteristic function of the set of rational
. Theorem 2,2,5 Let f be a nonnegative measurable function. Then there
numbers in R1 belongs to J4 2 .
ex1sts a monotone-increasing sequence {f"} of simple nonnegatit'e functions,
2.2.6. Letfbe a measurable function, and define
such that {fn} comerges to f everywhere.

{~:
if f(x) is rational,
Proof. For each integer n ;:::: 1 and for each x eX, let y(x) = if f(x) is irrationaL

i-1 i- 1 i Prove that g is measurable.

if -2"- -< f(x) < -2" , I = 1, 2, ... ,n 2" ,
fn(x)=
2"' 2.2.7. A measurable function is the pointwise limit everywhere of a
{ sequence of simple functions.
II, if f(x);::: n. 2.2.8. Iff is a bounded measurable function, then f is the uniform
limit of a sequence of simple functions.
Then the/" arc simple nonnegative functions, andf,+ 1 (x) c_J.(x). At a point
x wherej(x) < oo,

1 2.3 EGOROFF'S THEOREM

0 :s:; f(x)- f"(x) $-;;,
2

At a point x where f(x) = oo, /,(x) = n. This shows that, for any point
if n > f(x).
A measurable function f is said to be a.e. real-ralued if the set
{x; lf(x)l = oo} has measure zero.
I
i
L
x, j~(x)--> f(x) as n--> oo. (
Dejinitian A sequence {/"} of a.e. real-valued, measurable functions,
PROBLEMS in a measure space (X ,<l,J.I), is said to conrerge almost uniformly to a measur-
able function f if for any t: > 0 there exists a measurable set E such that
2.2.1. If g is an extended real-valued Bord-measurable function on the
J.I(E) < e and {f"} converges to f uniformly on X - E. Note that f is neces-
real line and iff !s a real-.valued measurable function on a measure space x,
sarily a.e. real-valued.
then the composite functwn h(x) = g[f(x)] is a measurable function on X.
 CONVERGENCE IN MEASURE 37
,,
36 INTEGRATION
1
I
Theorem 2.3.1 If a sequence {f"} of a.e. real-valued, measurable PROBLEMS 'i
:I
functions conrerges almost uniformly to a measurable function f, then {f"}
23.1. Let X be the Lebesgue measure space on the real line and let
comerges to f a.e.
f. be the characteristic function of (n,oo ). Show that Un} is convergent to
Proof For every positive integer m there is a measurable set ,such zero a.e., but not almost uniformly.
that p(,) < 1/m and {/,} converges uniformly to f on ':..=X-,. The 23.2. Let {f.} be a sequence of measurable fum:tions in a finite
sequence {/,} is then convergent to f on the set measure space X. Suppose that for almost every x, {f,(x)} is a bounded set.
Then for any e > 0 there exist a positive number c and a measurable set E
F = mQl E~= U]l E,r with p(X - E) < 6, such that 1/,(x)l :<:;; c for all x E E, n = 1,2, ....

Since p(fc) = I' CO/) :<:;; p(Em) < I /m for any positive integer m, f.l.(f<) = 0.
2.4 CONVERGENCE IN MEASURE
Hence {f.} converges to f a.e.
If X is a finite measure space, then the following converse of Theorem Definition A sequence {f.} of a.e. real-valued, measurable functions
2.3.1 is also true, and is known as Egoroff's theorem. is said to be convergent in measure if there is a measurable function f such
that, for any e > 0,
Theorem 2.3.2 Let X be a finite measure space. If a sequence {f.}
lim f.l.[{x; lfnCx)- f(x)l ~ e}] = 0. (2.4.1)
of a. e. real-mlued, measurable functions converges a.e. to an a.e. real-l'alued,
measurable function f, then {f.} converges to f almost uniformly.
We then say that {f.} converges in measure tof
Proof We may assume that f and the f, are real-valued everywhere.
For any two positive integers k and n, let It is easily seen that if {f.} converges in measure to two functions,
f and g, then f = g a.e. Also, if {f.} converges to fin measure, then f is a.e.
E~ = ,{J. {x; lfm(x)- f(x)l < ~} real-valued.

Then : c E~ + 1 , Since {fn} converges a.e. to f, lim ~ = E, where E is a set

n
Theorem 2.4.1 If a sequence {f"} of a.e. real-valued, measurable
with p(X- E)= 0. By Theorem L2.1(iv), functions converges almost uniformly to a measurable function f, then {f"}
lim p(X - E~) = f.!.( X - E) = 0. comerges in measure to f.

Hence, for any E > 0 there is an integer nk such that Proof For any e > 0, b > 0, there is a set E with p(E) < b such that
\f.(x) - f(x)l < 6 for all x EX - E and n sufficiently large (independently
f.I.(X -E.)<
k
2iie of x). But this immediately implies convergence in. measure.

Let F =
k~
n"' E~. This is a measurable set, and
I
Corollary 2.4.2 If Jl(X) < oo, then any sequence {fn} of a.e. real-
valued, measurable functions that converges a.e. to an a.e. real-valued, measure-

f.I.(X- F)= f.I.L0 (X- E!J] :<:;; J

1 1
.u(X- E~J <e.
able function f is also comergent to fin measure.

The sequence {fn} is uniformly convergent, on F, to f In fact, this follows This fo!lows from Theorem 2.4. t and Egoroff's theorem.
from the inequalities
Definition A sequence {fn} of a.c. real-valued, measurable functions
1
lf.(x) - f(x)l < k if x E F c ~.. n ~ n,. is called a Cauchy sequence in measure if, for any 6 > 0,
f.l.[ {x; lf.(x)- };,(x)l ~ e}] ..... 0 as m,n _, oo.
The proof is thereby completed.
38 INTEGRATION CONVERGENCE IN MEASURE

CfH"olhlry 2.4.4 If {fn} is a sequence of a.e. real-valued, measurable

39 I
!:
It is easily seen that if {f,} converges to fin measure, then {f,} is Cauchy
in measure. The converse will be proved later on in this section. functions that is Cauchy in measure, then there is an a. e. real-valued, measurable
We have seen so far that almost uniform convergence implies both function f such that {f"} converges to fin measure.
convergence a.e. and convergence in measure. Furthermore, if t~(X) < co,
then almost uniform convergence is equivalent to convergence a.e. We shall This follows from the relation
now prove that convergence in measure of a sequence implies almost uniform
convergence of some subsequence. In fact, the following theorem gives a {x; 1/K(x)- f(x)l ~ e} c {x; lfn(x)- J.(x)l2 ~} u {x; lf,Jx)- f(x)l2 ~}
somewhat stronger result.
and from the fact that {f,.} converges to f almost uniformly (and thus in
measure).
Theorem 2.4.3 If a sequence {f"} of a.e. real-ralued, measurable
functions is Cauchy in measure, then there is a measurable function f and a
PROBLEMS
subsequence {f"J such that {fnJ co1werges to f almost uniformly.
2.4.1. Let X be a finite measure space. Let {f.} be a sequence of a.e.
Proof. For any positive integer k there is an integer n" such that real-valued, measurable functions that is convergent a.e. to f, and let f oF- 0
a.e., fn =F 0 a.e. for all n. For any e > 0 there is a positive number b and a
Jl[{x; lfn(x)- j.,(x)l ~ ~}] < ~ measurable set, such that If,(x)l 2: bon,, and~(~) < e. [Hint: Prove the
assertion first for f.]
We may assume that n 1 < n2 < .. . Then {f.J ts an infmite subsequence 2.4.2. Let X be a finite measure space. Let {f,} and {g,} be sequences
of {f.}. Let of a.e. real, measurable functions that converge in measure to f and g,
respectively. Let ct and f3 be any real numbers. Then:
(a) {ctf. + fJg,} converges in measure to r:tf + flg.
(b) {lf,l} converges in measure to lfl.
(c) {f..g} converges in measure to fg.
(d) Un Bn} converges in measure to fg. [Hint: Consider first the case
'
f= 0, g = 0.] t
Then
(e) If fn '/= 0 a.e. and iff'/= 0 a.e., then {l,f.} converges in measure to f.

if X EX - Fm )~ h ~ m.
I If [Hint: Use Problem 2.4.1.] ~
2.4.3. Prove the following result (which immediately yields another 1
1
proof of Corollary 2.4.2): Let f.. (n = 1,2, ... ) andfbc a.e. real-valued measur- I
Thus, on each set X - F"" {/,,} satisfies tL: Cauchy criterion for uniform
convergence. It follows that there exists a function f defined on able functions in a finite measure space. For any e > 0, n ~ l, let ''
E,(e) = {x; lf,(x)- f(x)l ~ e}.
"'
A= U (X- F'")
m=.:.l Then {f..} converges a.e. to f if and only if
such that {f.;} con verges to f uniformly on every set X - F.,. By the first
part of Corollary 2.2.4, fis measurable on A. Definef(x) = 0 for x EX- A. !~~ ~L.Q. Em(e)] = 0 for any e > 0. (2.4.2)

Then, as easily seen, f is a measurable function on X. Since .,

and since {/,,} converges to f uniformly on any set X - Fm it follows that
{f.) wnverges to _f almost uniformly.
[Hint: Let F = {x; {f.(x)} is not convergent tof(x)}. Thenf = U lliil .(1/k).
k= 1 n
Show that ~(F)= 0 if and only if (2.4.2) holds. J
2.4.4. Let X be the set of all positive integers, a the class of all subsets
of X, and p(E) (for any E E CL) the number of points in E. Prove that in this
measure space, convergence in measure is equivalent to uniform convergence.
 INTEGRALS OF SIMPLE FUI'<CTIONS 41
40 INTEGRATION

Xt!.[is also an integrable simple function. We define the integral off over E by
2.4.5. Definefunetionsf~(x) on [0,1) byf~(x) = 1 ifxE [(m- 1)/n, m/n)
and j:,(x) = 0 otherwise. Enumerate the/:, in any way, and call the sequence (2.5.2)
thus obtained {op1}. For instance, op 1 =fi, op 2 = fi, op 3 =Jf, op4 =f~, ....
Prove that {op1} converges in measure to zero, but lim op /x) docs not exist
In particular we have
for any XE [0,1).
2.4.6. If {fn} is a sequence of a.e. real-valued measurable functions
in X, and if t~(X) < oo, then there exist positive constants }." such that
{f,/A,} converges a.e. to zero. [Hint: lf..(x)l s const. on a set En with if Eisa measurable set with finite measure.
p.(X- E") < rM.J The following theorem contains some basic results on integrals. The
proofs are all rather obvious and are left for the reader.

2.5 INTEGRALS OF SIMPLE FUNCTIONS Theorem 2.5.1 Let f and g be integrable simple functions, and let a, {1
be real numbers. Then:
M

A simple function!= L a, XE, on a measure space (X,<i,p) is said to (a) crf + ~g is an integrable simple function, and
!=I
be integrable if ,u(E;) < w for all the indices i for which
M
a; f= 0. The integral
J(af + f1g) dp. =a Jf dt~ + fJ J9 dJ-1.
ofjis the number L a;!-l( 1), where we agree to take et. 1 J1(E 1) = 0 for all the
i=I
(b) lf f:::::. 0 a. e., then f f d!l :::::. 0.
indices i for which Ct.; = 0, Jl(E;) = oo. We denote this sum also by f(x) dp(x) J J J
(c) Jf f : : :_ g a.e., then f dj.l :::::. g dj.l.
J
or f d!J. Thus,
(d) If I is an integrable simple function, and

(2.5.1} 1s1 dJ-11 s s111 dp..

Suppose f is written in form:
m
L f1JXF. Then clearly Ct.;= p1 if (e) JIf+ gl d11 s JIf I dJ.l + J lgl dj.l. .
j=l J (f) If m sfs M a.e. on a measurable set E wlth ll(E) < w, then
E, r. F1 i= 0. Also,
" E, m
m ,u(E) s tf dp s M p(E).
F1 c: U* if {J1 i= 0, E; c: U"' Fi if Ct.; i= 0.
i-1 i-1 (g) Jf f : : :_ 0 a.e., and if E and F are measurable sets with E c F, then
where the asterisk by the first (second) union symbol indicates that the union
is taken only over the sets 1(Fi) for which et. 1 f= 0 ({11 i= 0). We conclude that tf dp. s tf d,u.
,u(F1) < oo if f1 1 i= 0. Hence f is integra blc according to the representation
L fJ1 XF 1 Write YiJ = a, = f1 1 if E; n Fi i= 0. It follows that (h) If is a disjoint union "' Em of measurable sets, then
U
m~l
m m tt n m
L /Ji,u(Fi) = i-1
i-1
L Pi i-1
L Jl(F1 r. Ej) = i=l
L j=l
L Yiit~(E; n Fj)

~ "' M

= L a, i-1
i-l
L Jl(E; n F,) = L Ct.;J1(E;).
i-1
Definition A sequence {f.} of integrable simple functions is said to be
a Cauchy sequence in the mean if
Consequently, the definition (2.5.1) of the integral is independent of the
representation of j, and is thus unambiguously defined.
If E is any measurable set andjis an integrable simple function, then
f IJn - /,.1 dt~-> Q as n,m ...... oo. (2.5.3)
 42 INTEGRATION
DEFINITION OF THE INTEGRAL 43

Lemma 2.5.2 If {f"} is a sequence of integrable simple functions that function g. Theorems 2.4.3 and 2.3.1 imply that there is a subsequence
is Cauchy in the mean, then there is an a.e. real-ralued, measurable function f U~J of UnJ that converges a.e ..to g. Since (~) holds, g =fa. e. Hence {f"}
such that {fn} converges in measure to f.
converges in measure to f-that IS, (a) and (b ) hold. . ..
Suppose conversely that f is integrable accordmg to the defim~wn
Proof For any c > 0, let (a), (b'). That means that there is a sequence {g"} ofintegrable_simplc functiOns
E"m = {x; lf,(x)- /,.(x)l :2:: t}. such that {g"} is Cauchy in the mean and {g"} converges 1n measure to f
By Theorems 2.4.3, 2.3.1 there is a subsequence {.qn.} of {g"} .that is convergent
Since.f" -/,.,is integrable, ""' has finite measure. From Theorem 2.5.1 we to f a.e. Denote this subsequence by {fd. ~~en {f~} satisfies (a) and (b).
then get
Thusfis integrable according to the first defimtwn [w1th (a), (b)].
From (b') we conclude: Iff is integrable, thenfis a. e. real-valued.

It follows that J.I.(Enm)....,. 0 if n,m ..... oo. Thus UnJ is a Cauchy sequence in
measure. The assertion of the lemma now follows from Corollary 2.4.4.
PROBLEMS
Definition 2.6.2 Let f be an integrable function and let _(a), (b) hold.
The integral off is defined to be the number ~J f" dJ-1., and IS denoted by
Jf(x) d/l(x) or Jf djJ. Thus

2.5.1.Iff and g are integrable simple functions, then fg is also an Jf(x) d{J(X) = Jf dJ-1. = ~~~ Jfn d{J. (2.6.1)
integrable simple function.
2.5.2. An integrable simple functionfis equal a.e. to zero if and only Note that
if JEf d{J = 0 for any measurable set E.
2.5.3. If/is a nonnegative integrable simple function and if ffdf.l = 0,
thenf = 0 a. e. ifn,m....,. oo,

2.6 DEFINITION OF THE INTEGRAL so that the limit on the right-hand side of (2.6.1) indeed exists. .,
,;

Theorem 2.6.2 The definition of the integral, as given by (2.6.1), is ' ~

Definition 2.6.1 An extended real-valued, measurable function f,
on a measure space (X,G.,f.l) is said to be integrable if there exists a sequence independent of the choice of the sequence {fn} [satisfying (a), (b)].
UnJ of Integrable simple functions having the following properties:
The proof depends upon two lemmas.
(a) {f.} is a Cauchy sequence in the mean.
(b) limfn{x) = f(x) a.e. Lemma 2.6.3 Let {fn} be a sequence of integrable simple functions
satisfying (a), (b), and let
We shall compare this defmition with another one whereby (b) 1s
replaced by
.!
(b') {/"} converges in measure to f
J.(E) = lim
j1--+S()
Jf" df.l
E

Theorem 2.6.1 A function f is integrable according to the first definition for any measurable set E. Then !.(E) Lv a complete/}' additire set function.
[~tith (a), (b)] if and only if it is inte_qrable according to the second definition
[with (a), (b')]. Proof The limit defining ).(E) exists uniformly with respect to E.
Indeed, this follows from
Proof Suppose f is integrable according to the first definition. By
Lemma 2.5.2, (f.} converges in measure to an a.e. real-valued, measurable It fn dJ-1. - t fm d{JI =:;; t lfn - f.,l djt =:;; JIf. - fml d{J (2.6.2)

I
,;
;I
-i"
44 INTEGRA TI0:-.1
DEFINITION OF THE INTEGRAL 45

nd (a). Note also that J.(El is finitely additive. Now let E be a disjoint union
The first integral on the right is less than sp(). The second integral is
"' E, of measurable sets E;.
U Then estimated by
i:-= 1

IJ.()- it! i.(;)1 :s; IJ.(E)- J~ f. dpl +liE f. dp - Jl IS; f. dpl

+ IJ ~ i = 1
E; f. dp-
For any e > 0, the first and third terms on the right are less than c,/2 for all
n ;::; n0 , where 11 0 is sufficiently large, depending on c:, but not on m. Hence,
;{01 E;)l
.
if n 0 is sufficiently large and n ;::; n 0 . With n 0 fixed, we have lfnol :s; c a.e.,
where c is a finite number. Since p(.)--> 0 as n--> oo, we can choose n 1
sufficiently large so that

I itl I + It
i.()- J.(E;) S e ho dp - itl t; fno dp I J EnEJ1.
lfnol dj.l :s; cp(E n E.) < e

Taking m ....... cJ::; and using Theorem 2.5.1 (h), we get We conclude that

2~~, I}.() - Jl i.(;)1 :::: .

JEf".En
lf.l dJ.l :s; 2e

Since e is arbitrary, the assertion follows. The third integral on the right-hand side of (2.6.3) is estimated in the same
way.
Lemma 2.6.4 Let {fn} and {gn} be two Cauchy sequences in the mean Combining the estimates for the integrals on the right-hand side of
of integrable simple functions, such that (2.6.3), we get

lim f. = lim g. = f a.e. J If. -

E
g.l dp s ep(E) + 4e.
For any measurahfe set E, let Hence

I.( E) = lim I' f. dp, v(E) = lim r g. dp. II.() - v()1 s lmi I If. - g.l dp s t:J.l(E) + 4e.
~t---+oc... .f .
n--'~- '::1." L' E it.l-::t:! ... E
Since e is arbitrary, .l.(E) = v() provided p(E) < oo.
!fE is a-finite, then ).(E)= v(E).
Consider now the case where E is cr-finite. Then we can write E as
Proof Consider first the case where p(E) < w. By the proof of a countable union "" Ei
U of sets with finite measure. Taking F 1 = E 1 ,
Theorem 2.6.1 we have that Unl and {g.} converge in measure to f For
any e > 0, F1 = Ei- [v:E,J, j~J

we see that Eisa countable union of the sets Fi, which

E.= {x; lf,,(x)- g.(x)l;::; c} c: {x; lf"(x)- f(x)j;::; ~} are mutually disjoint and have a finite measure. By what we have already
proved, ).(F)= I'(F) for all j. Since }. and v are completely additive (by
Lemma 2.6.3), it follows that .l.() = v(E).
U{x; lg.(x)- f(x)l ~ ~). We shall now complete the proof of Theorem 2.6.2. We introduce the
sets
Hence p(E.)--> 0 if n--> oc-. Next,
N(f.) = {x; fn(x) #- 0}, N(g.) = {x; g.(x) #- 0},

r If. -
.. E
9.1 dp s 1
"'E- 11
If.- g"l dp + r
.... Er.Et\
If. I dp + r
.. E,.En
IY"I dp. (2.6.3)
N = [.QI N(fn)J v LQI N(g")J .
 DEFINITION OF THE INTEGRAL 47
46 INTEGRATION

Iff and g are integrable functions, then they are a.e. real-valued. Hence
Since each of the sets N(f"), N(q") has a finite measure, N is a-finite. Lemma
2.6.4 then gives
f +g and f" g are defined a.e. In what follows we shall think off+ g and
f" g as everywhere defined measurable functions. All we have to do is define
lim
,.._a."::!
J In dJ1
N
= lim
n--+a."::!
J Bn dJ1.
!V
(2.6.4) f(x) + g(x) [or f(x) g(x)] on the set
E= [/- 1 (::D) n g- 1 ( - co)] u [/- 1 ( -oo) n g- 1 (co)]
But, clearly.fn = x"f.., gn = XNgn everywhere on X. Hence,
(or E = [f- 1(0) n g- 1 {co,-CQ}] n [/- 1 {oo,-co} n g- 1(0)]) such that
the resulting function f + g (or f"g) is measurable. This can be done, for
instance, by setting/+ g = 0 (or fg = 0) on E. Theorems concerning con-
Combining this with (2.6.4), we get vergence a.c., almost uniformly, and in measure are obviously unaffected by
the particular definition off+ g (or f"g) on E. Also, by Problem 2.6.1, the
lim
n__,.~
JIn dJ1 = lim JBn dp.
,._,.oo
integrals J (f + g) dp., J (/g) dp. are independent of the definition off+ g,
f"g on E. In fact, none of the results given in this book will depend on the
This completes the proof of Theorem 2. 6. 2. particular definition used for f + g, f" g on the sets E.

Definition 2.6.3 Let f be an integrable function and let E be any PROBLEMS

measurable set. The integral off over E is defined by
2.6. I. Iff is integrable and if g is measurable and g = f a.e., then g is
integrable and J f dp. = J g dp..
(2.6.5) 2.6.2. Iff is integrable, then the set N(/) = {x;f(x) I' 0} is u-finite.
2.6.3. Let f be a measurable function. Prove that f is integrable if
Note that XEf is integra hie, so that the expression on the right is well defined. and only iff+ and f- are integrable, or if and only if I/I is integrable.
2.6.4. Let X be the measure space described in Problem 2.4.4. Then
Definition 2.6.4 Let E be a measurable set and let f be a measurable
function on E. If XEf is integrable, then we say that f is integrable on E. We /is integrable if and only if the series I"' 1/(n)l is convergent. Iff is integrable, i.
n=l
define the integral off over E by (2.6.5).
then
Definition 2.6.5 If (X,<l,Jl) is the Lebesgue measure space, then we
say that f is Lebesgue-integrable (on E) if and only iff is integrable (on E). JI dp = J 1
l(n).
The integral J Ef dp is then called the Lebesgue integral off over E. It is often
2.6.5. A function tp on a real interval (a,b) is called a step function
denoted by Jt:f(x) dx.
if there exist points X; (i = I, ... ,n) and real numbers c, (i = l, ... ,n) such that
Similarly we define the Lehesgue-Stieltjes integral over E, when J1 is the
a= x 0 < x 1 < < Xn-t <X,.= band tp(x) = c, if x,_ 1 < x < x,(i = 1, ... ,n).
Lebesgue-Stieltjes measure /).g induced by a monotone-increasing function g.
Prove that iff is lebesgue-integrable over a bounded interval (a,b), then there
It is denoted by
exists a sequence {tpm} of step functions such that J If- tpml dp. ....... 0 as m......,. en,

Jf
E
dg or Jl(x) dg(x).
E
and lim (()m =fa. e. [Hint: Prove it first when f is a simple function using
"' 1.9.7.]
Problem
We finally give the following useful definition. 2.6.6. letfbe a Lebesgue-integrable function over a bounded interval
(a,b). Prove that for any e > 0, i5 > 0, there exists a continuous function g
Definition 2.6.6 If f is a nonnegative measurable function (on a in [a,b] such that lg(x) - f(x)l < e for ull x in a subset E of (a,b), and
measurable set E) and if/ is not integrable (on E), then we say that the J.l[(a,b) - E] < <l.
integral off (over E) is equal to infinily, and write 2.6.7. A complex-valued function f is said to be simple if it has the
n
form I c; XE , where E, are measurable sets and ci are complex numbers.
J~l '
48 INTEGRATION ELEMENTARY PROPERTIES OF INTEGRALS 49

f is then said to be integrable if 11( 1} < oo for any i for which c; -# 0. The in the mean and that satisfies: lim f. = f a.e. Then {II. I} is also a Cauchy
n
integral off is defined by .L C; J.l(;). Now let I
~~~
be any measurable complex- sequence in the mean, and lim lf.l = fa.e. Hence
n

valued function. f is said to be integrable if there exists a sequence {/,}

of complex-valued, integrable simple functiop.s, such that (a) and (b) in Jf dp. f
= !~n:. 1/.1 d!l :::-: 0.
Definition 2.6. I hold. Prove that I= 11 + i/2 ( /1 , f 2 are the real and imaginary
(c) follows from (b). The integrability of lfl follows from Problem
parts of/) is integrable if and only if J; and 12 are integrable, and 1 d11 = I 2.6.3. The inequality in (d) follows from (c). Next, (e)-{g) follow easily from
I I
f.. dp. + i 1~ dj.l.
(c). Finally, to prove (h), suppose 11() = oo. By Problem 2.6.2, E is u-fmite.
Hence there exists a monotone-increasing sequence of sets Ei having finite
measure, such that lim Ei =E. By (g), (f),
2.7 ELEMENTARY PROPERTIES OF INTEGRALS

We begin by extending Theorem 2.5.1 to integrable functions.

as j _,. oo-a contradiction.
Theorem 2.7.1 Let f and g be integrable functions and let a,IJ be real
numbers. Then Definition 2.7.1 A sequence {U of integrable functions {J,} is said
(a) cr:f + ~g is integrable and to be a Cauchy sequence in the mean if

Jl!.- fml d11-o as n,m _,. oo.

(b) Iff~ 0 a.e., then If dll ~ 0. If there is an integrable function/such that

(c) Iff~ g a.e., then If d11 ~ g diJ.. I
(d) If I is integrable and JIf. - /I djl __,. 0 as n _,. oo,

II 1 dill:=:; J111 dp..

then we say that {f.} converges in the mean to I
It is clear that if a sequence {J,} i~ convergent in the mean (to some
;.,

integrable function f), then it is also Cauchy in the mean. The converse is
Ce) I If+ gl ctli .:=::; I If I ct11 + I lgl d11. also true and will be proved in Section 2.8.
(f) lfm $ f $ M a.e. on a measurable set E, and 1/l-t(E) < oo, then
Theorem 2.7.2 II {f"} is a sequence of integrable functions that con-
mp.(E) .:=::; JI
.
d11 $ M p.(E). verges in the mean to an integrable function f, then {f.,} conrerges in measure
to f.
(g) Iff:::-: 0 a.e. and if E and F are two measurable sets with E c:: F,
then Proof For any c > 0, let

r 1 dp.. E.= {x; 1/.(x)- f(x)l ~ }. I!

ff
1 dp. $
F
By Theorem 2.7.l(h), )1(.) < -::.o. Applying Theorem 2.7.1(g) and (f), we get
(h) Iff~ m > 0 on a measurable set E, then ll(E) <
J1/n - /I djl ;::.: t
a:;.

1/n - /I djl ~ )1(.).

Proof. (a) follows from Theorem 2.5.1 by taking limits. To prove
(b), let {f.} be a sequence of integrable simple functions that is Cauchy Hence JllE.) .... 0 as n _,. w. This proves the assertion.
 l'
50 INTEGRATION
SEQUENCES OF INTEGRABLE FUNCTIONS 51

Theorem 2.7.3 Iff is an a.e. nonnegative, integrable function, then

Jf djl = 0 if and only iff= 0 a.e. (b) A simple function f is /-1;-integrable (that is, integrable with respect
to 1-1J for i = l and i = 2 if and only iff is 1-1-integrable, and we then have
I
t;
Proof. If f = 0 a.e., then, by Problem 2.6.1, Sf dji = 0. Suppose I
(2.7.1) I
J
conversely thaI f dJl = 0. There exists a seq u~ncc Un} that is Cauchy in the
!,
mean and that is wnvergent in measure to f. Since f;::: 0, the same i~ true of
the sequence {Ifni}. Hence (c) A measurable function f is Jl;-integrable for i = I and i = 2 if
and only iff is p-integrable, and then (2.7.1) holds.
~~~. Jl!.l d!-1 = f f dp = 0.
1.7.2. Iff is an integrable function, g is a simple function, and
lf(x)l C. lg(x)l, then g is integrable.
It follows that {fn} converges in the mean to zero. Theorem 2. 7.2 then implies 2.7.3. Let f be an integrable function. Prove: (a) if hfdi-1 C. 0 for
that {fn} converges in measure to zero. Since thi~ sequence is also convergent all measurable sets E, then fz 0 a.e.; (b) if p(X) < co and if hf dJt ~ 11()
to fin measure, we get f = 0 a.e. for all measurable sets E, then f ~ 1 a.e.
2.7.4. Show that the function f(x) =sin x +cos x is not Lebesgue-
Theorem 2.7.4 Let f be a measurable function and let E be a set of integrable on the real line.
measure zero. Then f is integrable onE and 2.7.5. Show that the function f(x) =(sin x)fx is not Lebesgue-
j:
integrable over the interval (I, co).
1.7.6. Show that the function f(x) = I fx is not Lebesgue-integrable
in the interval (0,1).
Proof. xrf= Oa.e. ByProblem2.6.1, xdisintegrableandj zddp = 0. 2.7.7. Prove that Theorem 2.7.1(0 is valid for any measurable set E,
Now usc Definition 2.6.4. provided m > 0.

Theorem 2.7.5 Let f he an integrable function that is posit he ererywhere

J
on a measurable set E. If 10 f d11 = 0, then ).l(E) = 0. 2.8 SEQUENCES OF INTEGRABLE FUNCTIONS

Proof. Let En = { x E E ;f(x) C. 1./n}. Then {E.} is an increasing We begin with a lemma that is concerned with Definition 2.6.1. ~
'< :J
seq lienee of sets and E - U En has measure zero. Hence It( E) = lim p(E.).
Lemma 2.8.I Jff is an integrable function and if {fn} is a sequence of

i
n=1

integrable simple functions satisfying (a ),(b) [or (a ),(b')] then

0= _I
.
f dp ;::: t" j

dJt ;:::
1
ni-!(En);::: 0, lim
ii'J--Ii'~;
!11- J.l dfl =0.
...
;
j
~

so that p(.) = 0 for all n. Hence p() = 0.

Proof. For each fixed positive integer n, the sequence {If. - f,l}
Tlleorem 2.7.6 ret f be an imegrable function. If JE f d11 = 0 for every J
is Cauchy in the mean, since llfn- f,l- If.- fill dp ~ lfm- fil d1-1-> 0 J
measurable set E, then f = 0 a. e. if m,j-> co. It also converges a.e. (or, in measure, if (b') holds] to If. -fl.
Hence, by Defmition 2.6.2,
Proof By Theorem 2.7.5, the set E wheref(x) > 0 has measure zero.
Similarly, the set E wheref(x) < 0 has measure zero. Hence}"= 0 a.e.
Jlfn- fl dJ1 = lim
m->c<>
JIf.- f,l dJl.
PROBLEMS
From this the assertion follows.
2.7.1. Let (X,fi.p 1 ) and (X,<i,)l}) be two measure spaces, and let The following theorem shows that if we try to extend the definition
Jl = p 1 + j1 1 . Then: of the integral by starting with integrable functions (instead of integrable
(a) (X,fi.Jl) is a measure space. simple functions), then we do not get anything new.
52 INTJ'GRA TION SEQUENCES OF INTEGRABLE FUNCTIONS 53

Theorem 2.8.2 If {f"} is a sequence of integrable functions satisfying Theorem 2.8.4 Let f be an integrable function and let l be the set
the conditions (a),(b) [or (a),(b')] in Definition 2.6.1, then f is integrable and Junction defined by
J J
f d).t = lim f" d1-1.
J.(E) = f dp J (2.8.1)
E

Proof Suppose that (a) and (b') hold. By Lemma 2.8.1, for each n for all the measurable sets E. Then '"A is completely additive and absolutely
there is an integrable simple function!, such that continuous.

. 1 The set function A. is called the indefinite integral off

jiJn- fnl dJI < 2n
Proof. The complete additivity of l follows from Lemma 2.6.3. To
prove absolute continuity, let {fn} be a sequence of integrable simple functions
It follows (cf. the proof of Theorem 2.7 .2) that satisfying (a),(b) in Definition 2.6.l. Then

11[{x; lfnCx)- fn(x)l ~ ~}] <~. It J ~ ItdJII fn dpl + It fn d~J - t J d~Jl

By Lemma 2.8.1,
1t is clear that {]"} satisfies the conditions (a),(b') (with the same f). Hence f
is integrable, and It fn dJI - t f dJII ::::; t 1/n - /I dp :::::; f 1/n - /I d~J < ~
if n 2. n0 , where n0 is a number depending on e, but not on E. The simple
function fno satisfies IJ.Jx)l ::::; c a. e., where c is a finite number. Taking
~ ~ r.j2c, we thus find that
If (a),(b) hold, then we take a subsequence {_t;,J satisfying (a) and (b'). We
J J
conclude that/ is integrable, and f dJ1 = lim Jt"k dJ1 = Jim f, dp. if p(E) <b.
We now state an important theorem.

This completes the proof.

Theorem 2.8.3 If {fn} is a sequence of integrable functions that is Theorem 2.8.4 shows that if f is an integrable function, then
Cauchy. in the mean, then there is an integrable function f st~ch that {f0 } con- l(E) is a finite signed measure. A Hahn decomposition for ). is given by
urges m the mean to f. A= {x;f(x);.::: 0}, B = {x;f(x) <0}. Applying Corollary 1.2.3 to the
measures l +,A.-, we conclude:
Proof The proof of Lemma 2.5.2 extends word by word to sequences
Corollary 2.8.5 Iff is integrable and {E 0 } is a sequence of measurable
of any integrable functions. We thus conclude that {/"} is convergent in
measure to a measurable function f By Theorem 2.8.2, f is integrable. The
sets with lim En = E, t-t(E) = 0, then ii
i
sequence {lfn- fl} is then a sequence of integrable functions that is Cauchy I
in the mean, and that converges in measure to 0. By Theorem 2.8.1, lim
li""""'CCJ
J f dJ.l =0.
En
I

lim ( lfn - /I dp = 0.
We conclude this section with a few definitions that will be needed I
"_,.a:: ..J
in Section 2.14.
A function g(x) defined on a real interval (a,b) is said to be absolutely
continuous if for any e > 0 there is a b > 0 such that for any sequence of
Definition 2.8.1 A real-valued set function l is said to be absolutely
continuous if for any <. > 0 there exists a number b > 0 such that, for any
mutually disjoint intervals (a 1,b;) in (a,b), with (b 1 - a;) < b, L
measurable set E with JI(E) < b, II.(E)I < ~- I lg(bJ - g(a1)1 < e.
54 INTEGRATION
LEBESGUE'S BOUNDED CONVERGEXCE THEOREM 55

A functionf(x) on a real interval [a,b] is said to be of bounded mriation converges either in measure or a.e. to a measurable function f. If lfn(x)l :'S: g(x)
if there is a constant K such that for any partition a = x 0 < x 1 < < x._ 1 < a.e.for all n, where g is an integrable function, then f is integrable and
x. = b of (a,b),
L lf(x,)- f(x,_,)J :<S: K. lim
n-~
fIf. - fl d11 = 0.
...
(2.9.1)

The g. I. b. of all the constants K is called the total rariation off in (a,b).
Proof Consider first the case where {/.} converges to fin measure.
PROBLEMS We shall prove that {/.} is a Cauchy sequence in the mean. Let
2.8.1. A measurable function f is called a null jimction iff= 0 a.e. 00

We shall say thatfis equivalent tog (and write/ ..... g) iff- g is a null function. E = U {x; f.(x) # 0}.
Denote by J the class of all measurable functions that arc equivalent to f
n~ I
00
We denote by L1(X,Ci,J1), or, more briefly, by L1(X,).l), the set of a!! classes J
for which f is integrable, and define on it the function
Then, by Problem 2.6.2, E is a-finite. We can therefore write E UEk,
=k=!
where E~ c EH 1 and 11(Ek) < oo, for all k. Let Fk E- Ek. Then
p(J,g) = p(f,g) = JIf- ol dJ1. =

[Note that if fo Ef, g 0 E iJ, then p([0 ,g 0 ) = p(.{,g).] Prove that L1(X,J1) is a f
F,
lfm- !.1 d11 ~
Fo
I (1!... 1+ lf.D d11 :<S: 2 J h
g dJ.l.
complete metric space with the metric p.
2.8.2. For any Lebesgue-integrable function g(y) on a bounded Noting that Fk ~ Fk+ 1 , lim Fk = 0, we can apply Corollary 2.8.5 and con-
interval (a,b), the function clude that, for any '1 > 0,

f(x) = J
(o,x)
g(J') dy (2.9.2)

is absolutely continuous.
where k 0 is a large positive integer that depends on '1 but not on m,n.
2.8.3. A function f(x) is of bounded variation in a bounded interval
For any e > 0, introduce the sets
(a,b) if and only if it is the difference g 1 (x) - gix) of monotone-increasing
functions g 1 ,g2 If f(x) is also continuous, then g 1(x) and gix) can be taken G... ~= {x; lf...(x)- f"(x)l ~ e}.
to be continuous monotone-increasing functions. [Hint: Take g 1 (x) to be the
total variation off in the interval (a,x).] We have
2.8.4. If f(x) is absolutely continuous, then it is of bounded variation.
2.8.5. Prove that the function .f(x) = x sin (1 ;'x), for 0 < x <I, is fE~t
If.., - f.j d/1 = f Ek- Gm,.
lfm - f"j d)1 + f EknG;r11,"
If,. - fnl dJ.l
uniformly continuous but not of bounded variation. (2.9.3)
2.8.6. Iff is not integrable, then the absolute continuity of ..1.() (in
Theorem 2.8.4) can still be proved, provided fis integrable on sets E of finite
:<S: eJ.l(Et) +2 f EhnG'"'J'l:
g d11.

measure (see Corollary 2.12.3). However, the same extension does not hold Since {f,.} converges to fin measure, /1(Gm.)-> 0 if m,n-> oo. Theorem 2.8.4
for the property of complete additivity. Give an example.
then gives

2.9 LEBESGUE'S BOUNDED CONVERGENCE 2 fE~t.il.Grnn

g dp. :'S: 2 J G.mn
g dJ.l < B
(2.9.4)

THEOREM
where n0 is a large positive integer depending only on e and g. Combining
One of the most important theorems in the theory of integration is the (2.9.2)-(2.9.4), we get
following one, known as Lebesgue's bounded convergence theorem.

Theorem 1.9,1 Let {f"} be a sequence of integrable functions that

56 INTEGRATION APPLICATIONS OF LEBESGUE'S BOUNDED CONVERGENCE THEOREM 57

Taking m,n--> oo, we get Let

Since e is arbitrary, we get

llm
m,,.. ....... o::.
J1/m - f~l dp. 5 '1 + e + ep.(Ek).
Mk) = r~
0,
if 1 :-;:,; k :-;:,; n,

if k > n.

Urn
m~"-to-ro
f lfm - fnl dp. $ '1 Then {f..} is a sequence of integrable functions that converges uniformly to
f f f
=:= 0, but lim f.. dp. =1- f dp.. This example again shows that the bounded-
Since 11 is arbitrary, we find that Um} is indeed a Cauchy sequence in the mean. ness condition If. I ::;; gin Theorem 2.9.1 is essentiaL
We now use Theorem 2.8.3. We conclude that there exists an integrable 2.9.3. Let (X,<i,JJ.) be the measure space introduced in Problem 2.4.4.
function h such that Let

lim
n-ro
Jlfn- hi dJl = 0. (2.9.5) f..(k) = r~. if 1 :-;:,; k::;; n,

0, ifk > n,
Theorem 2.7.2 shows that {f.} converges in measure to h. Sincefis also the
limit in measure of {f.}, we get f = h a.e. Thus, f is integrable. Finally, and f(k) = 1,ik for all k ;::= I. Then {f.} is a sequence of integrable functions
(2.9.1) follows from (2.9.5). that converges uniformly to f, but f is not integrable.
Suppose next that {f..} converges a.e. to f (instead of in measure). If 2.9.4. If J.J(X) < oo and if {f.} is a sequence of measurable func-
we prove that {f.} converges to fin measure, then the proof of the theorem tions that converges uniformly to a function f, then f is integrable and
is completed, by the previous part. Denote by N the set of points for which lim fl. dJ.l = ff dp..
either 1/(x)l > g(x) or lf,(x)l> g(x) for some n. Then, for any e > 0,

2.10 APPLICATIONS OF LEBESGUE'S

E.= ,U {x; lfix)- /(x)l ;::= e} c {x; g(x} ;::= ~} u N, p.(N) = 0. BOUNDED CONVERGENCE THEOREM
1-n 2

Since g is integrable, p.(E.) < oo (by Problem 2. 7.2). The hypothesis that Theorem 2.10.1 Let f and g be measurable functions. If If I ::0:: g a. e. and
g is integrable, then f is integrable.
Ii:;nf.. =f a.e. implies that JJ.(j~\E) = 0. Hence, by Theorem 1.2.1(iv),
lim p.(E.) = 0. Since Proof It suffices to prove that 1/1 is integrable (sec Problem 2.6.3).
By Theorem 2.2.5 there is an increasing sequence {h"f of simple nonnegative
"
functions such that lim h. = 1/1 a.e. The relations h. :-;:,; g show that the h.
{x; lfix)- f(x)l;:::: e} c E.,
are integrable simple functions (by the result of Problem 2.7.2). Now use
it follows that {f..} converges to fin measure. the Lebesgue bounded convergence theorem to conclude that Ill is integrable.

Definition A measurable functionj(x) is said to be essentialfy bounded

PROBLEMS if there is a (fmite) constant c such that lf(xll ::;; c a.e. The g.l.b. of these
2.9.1. Let f..(x) = n if 0::;; x < 1/n, f.(x) = 0 if I ;::= x ;::>: 1/n. Then constants c is called the essential supremum off and is denoted by
J
limf..(x) = 0 a.e. on [0,1], but lim f. dJ-1. = I (J.l the Lebesgue integral).
ess sup lf(x)l or ess sup lfl.
" example shows that the boundedness
This " condition Ifni ::;; g in Theorem 2. 9.1
xoX X

is essential. Corollary 2.10.2 I/f(x) is integrable and g is a measurable, essentialfy

2.9.2. Let (X,ct,J.l) be the measure space introduced in Problem 2.4.4. bounded function, then fg is integrable.
58 INTEGRATION
APPLICATIONS OF LEBESGUE'S BOUNDED CONVERGENCE THEOREM 59

This follows from Theorem 2.10.1, noting that 1/91 .:5 cl/1 a.e. and
cl/1 is integrable. (2.10.4)

Corollary 1.10.3 If a measurable function f is essentially bounded on a If, in particular, lim Jfn dj.t < oo, then f is integrable.
n
measurable set E with finite measure, then f is integrable over E.

Indeed, the function IXE/1 is bounded a.e. by CXE where cis -a (finite) Proof. If lim J/.
d;t = oo, then (2.10.4) is obviously true. It thus
real number, and eX is an integrable function. Now apply Theorem 2.10.1. remains to consider the case where lim Jf~ d).l < c.o. Let Un(x) = inf f/x).
j~n
The next theorem is often referred to as the Lebesgue monotone con- Then {g.} is a monotone-increasing sequence of nonnegative integrable
rergence theorem. functions, and Un .::s;J It follows that

Theorem 1.10.4 Let {f,} be a monotone increasing sequence of non-

negative integrable functions, and let f(x) = lim fn(x). Then
lim
n-+C()
IOn d).l ~ lim I fn d).l < c.o.
n-+-:o
(2.10.5)
n
Since lim g. = limfn = f, the Lebesgue monotone convergence theorem
implies that f is integrable and
lim
n ... cc ~
Ifn d).l = If d).l. ...
(2.10.1)

Recall that iff is not integra hie then the integral on the right of (2.1 0. 1)
If d;t = !~~ JOn djl.

is taken in the sense of Definition 2.6.6. Combining the last equality with (2.10.5}, we obtain the inequality (2.10.4).

Proof lf f is integrable, then the ineq ua\ity fn .:5 f implies that

PROBLEMS
(2.10.2)
2.10.1. Let f and g be measurable functions. Prove: (a) f and g are
Iff is not integrable, then (2. 10. 2) is also true, since the integral on the right integrable if (j2 + g 2 ) 1i 2 is integrable. (b) 1f / 2 and g 2 are integrable, then fg
is equal to oo (by Definition 2.6.6). Thus, in either case (2. 10.2) holds. Taking is integrable.
n ...... oo, we get 2.10.2. Derive the Lebesgue monotone convergence theorem from
Fatou's lemma.
lim
j"l"-+':1':,..
r1. a ).I .:5
...
11 d;t. (2.10.3) 2.10.3. 1n a finite measure space, a sequence {/nl of a.e. real-valued
measurable functions is convergent in measure to zero if and only if
It remains to show that if lim Jf. dJl < oo, then f is integrable and the
"
equality (2.10.1) holds. If m ;::.: n, then/, ;:o>:f. Consequently r_lbl_
, 1+
d --> 0
lf.l tl
as n--> c.o.

2.10.4. Denote hy Z the space of all classes J of a.e. real-valued

Jl!~- ~, 1 = Jl.
d;t d;t- Jt: dp--. o ifm;:o>:n--.c.o.
measurable functions f on a finite measure space (X,a,;t), with J = iJ if and
only iff= g a.e. (ef. Problem 2.8.1). Define, on Z,
Thus {.(.,) is a Cauchy seq uenee in the mean and/, _,.fa. c. By Theorem 2. 8.2
it follows thatfis integrable and (2.10.1) holds.
p(J,g)
_ = p(f,g) = r1 +If-
If- gl
Bl d).l.
The next result, known as Fatou's lemma, is very useful.

Themem 1.10.5 Let {f"} be a sequence of nonnegatire integrable Prove that Z is a complete metric space with the metric p.
functions, and let f(x) = lim f,(x). Then 2.10.5. Let J.l(X) < oo and let .f(x,t) be a function of x EX, l E (a,b).
Assume that for each fixed t,f(x,t) is integrable, and that the partial derivative
 THE RIEMANN INTEGRAL 61
60 INTEGRATION

i:f(x,t)/ct exists and is uniformly bounded for x EX, t E (a,b). Then, for each
2.10.14. Give an example where Fatou's lemma holds with strict
t E (a,h), rif(x,l),.-'a is integrable, Jf(x,t) d;1(x) is differentiable, and inequality.
2.10.15. Let/be a real-valued measurable function in a finite measure
a I f(x,t) dji(x) = I(:Ft f(x,t) dji(x).
dt space. Let

2.10.6. Let f(x) be Lebesgue-measurable on the real line, and let

J
f(x) "2.: 0, (O.:c)flx) dx < oo. Prove that the function
s. = ~=~"' ~ Jl[{x; ~ < f(x) ~ k; 1
}]
(n = 1,2, ... ).

Iff is integrable, then each series is absolutely convergent and

g(t) = I
(O,_c)
e-'xf(x) dx (0 < t < w)
(2.10.6)
is differentiable, and g'(t) = - J(O,x) xe-'xf(x) dx.
2.10. 7. Let {f.} be a sequence of integrable functions. Prove that if Conversely, if one of the series s. is absolutely convergent, then /is integrable
~ "'
L J 1/,1 df.l < oc, then the series L f.(x) is convergent to an integrable and (2.10.6) holds. [Hint: Iff is nonnegative and integrable, then apply
n~l n~l
Theorem 2.10.4 with
function.f(x), and
k . k k +1
Jf dJl = JI
1
f. d;c
f.(x) = Y. tf- < f(x) < - -
2"- 2"
(k = 0,1,2, ... ).

2.10.8. Let {f.} be a sequence of nonnegative integrable functions. If f"";?,O and one series, say that of s., is convergent, then use the inequality
Prove that if the series .f(xl = :[f.(x) is an integrable function, then f(x) ~[,(x) + 1/2".]
2.10.16. With the notation of Problem 2.8.1, we denote by L"'(X,6.,,J1)
L"' Jfn dJl < OC. or, more briefly, L"'(X ,f.l), the space of all classesJof measurable and essentially
n=l
2.10.9. Let f and .f. (n = 1,2, ... ) be integrable functions such that bounded functions[ Prove that L""(X,p) is a complete metric space with the
0 5,f.(x) -5,/(x) a.e. Then metric
p(f~g) = p(f,g) = ess sup lf(x)- g(x)l.
I (li~ t.) dp "2.: 11~ Jt. dp "2.: 11!11 It. a,..2 I (1i~ t") a,... ~Ex

2. JO.W. Extend the result of Problem 2. 10.9 to the case where

lf.Cx)l -5, f(x) a.e. [instead of 0 ~ fn(x)
~ f(x) a.e. ]. 2.11 THE RIEMANN INTEGRAL
2.IO.ll. Let X = "' ., E.
U c: En+l for all n. Let f be a nonnegative
n..::l Let [a,b] be a bounded closed interval on the real line and let f(x)
measurable function. Prove that be a bounded function on [a,b]. For any partition n: a= Xo < x, < ...
< x._ 1 < x. = b of [a,b], form the sums
I1 djJ.. = lim 1 t aJl.
n_,.~ "'E"
Sn = L"
j:::.!l
M;(x,- x,_,),
2.10.12. Let.fbe a nonnegative measurable function and let

f.(x) = {~:x), if f(x) s n, s0 = L" m;(x,- x 1 _ 1),

if f(x) > n. L=l

Prove that lim Jf" dJ1 = Jf dJ1. where

" M, = sup m, = inf f(x).
2.10.13. If / 1 , ... , /1 are integrable functions, then max Cfu ... ,JJ is f(x),
Xl-t :5:.x::;:x~ Xj -t.:$X~.'(i
an integrable function.
 THE RIEMANN INTEGRAL 63
62 INTEGRATION
Proof of Theorem 2.11.1. Suppose f is Riemann-integrable. For each
The number lfll = max (x,- x,_ 1 ) is called the mesh of the partition, and positive integer k, let

S",s" arc called the upper and lower Darboux sums associated with the par- Ek = {x; lim sup lf(y)- f(z)l > ~}
tition IT. Note that sll 2 Sn. ~-o ly-xl <~
1::-...T <J
00

Definition f is said to be Darhoux-integrable if lim Sn and lim sn The set E where f is not continuous coincides with
o
U Ek.
k~l
Iff is not con-
exist as ITI I --+ 0, and if
tinuous a.e., then p*( 0 ) > 0. Therefore also
lim Sn = lim sn. (2.1l.l) p*(Ek) = rx > 0 for some k.
llll->0 Iili-O

The common limit is then denoted by k is now fixed. .. . < x = b and let
Take any parttt1on II. a= Xo < X1 < < Xn-1 ". _
1
b 1 = {x~" ... ,x"}. The intervals (x 0 ,x 1), ,(x._ 1 ,x.) form a covenn~ ~f Ek
a
r f(x) dx and p*(Ek _ J) = p*(Ek) = rx. Denote by J' the subset of J consistmg of all
the points x, for which
and is called the integral off from a to b, in the sense of Darboux. (x;-t>X;) n Ek "# 0 -that is,

Definition Consider the Riemann sums By the monotonicity of J.l*,

L (x,- x,_ 1 ) 2: rx.
T= I" f(y,)(x,- X;_ 1 ) for any Y; E [x,_ 1 ,x;]. .xeJ'
i= 1
Since M; _ m; > 1/k if (x,_ 1 ,x,) n Ek #- 0, we then have
f is said to be Riemann-integrable on (a, b) if there exists a number K such rx
that lim T = K. The number K is then called the integral off from a to b in s - s = I (M 1 - m;)(x;- x;_ 1 ) 2 L1 (M;- m;)(x;- x,_,) > k.
lnl-0 n II x e- J .l'j e: ~
the sense of Riemann. Hence (2.11.1) is not satisfied. We have thus derived a contradiction to our
assumption that f is Riemann-integrable.
It is well known that/is Riemann-integrable if and only if it is Darboux- Suppose now that f is continuous a.e., ~~d let lf(x)l : : ; M for a::::;; x_::::;; b.
integrable, and then the two integrals coincide. From now on we shall refer For any 6 > 0, cover the set Eo of discontmulties of_{ by an open set E wtth
to the common integral as the Riemann integraL
B (2.1 1.3)
The Lebesgue integral off over [a,b J will be denoted in this section by J.l(E) < 4M.

r
"[d,b]
f(x) dx. On the closed set f = [a,b] - E, f is continuous and, therefore, uniformly
continuous. Hence there exists a J > 0 such that
We shall prove the following two theorems. (2.11.4)
lf(x)- f(y)l < 2(b -a)
if X E f, lx- J!l < J.
Theorem 2./1.1
is Riemann-integrable
A bounded function f on the bounded intenal [a,b]
if and only if it is continuous a. e.
Let II, (k = 1,2) be partitions wit_h. me~h <J, given b_:: sets
{ x1, ... ,x~i:" 1 ,x~.= b}, and let II be the partltlon given by the set 1 - 11 u 12 -
Jk:
{xl' ... ,xn-l'x" = b}. We shall compare sums
Themem 2.11.2 If a bounded function f over a bounded interval [a,b]
is Riemann-integrable, then it is also Lebesgue-integrable and the two integrals
S, = L f(y~)(x7 - X~-1) (k = l,l),
Xik e: Jk
agree-that is,
S= L J(zi)(x,-xi_ 1),
ta
f(x) dx = r
[a,b]
f(x) dx. (2.11.2)
)[j~J
 64 INTEGRATION THE RIEMANN INTEGRAL 65

where x~ = x 0 = a, y~ e [x7 _ 1 ,x';], and z1 E F n [x1 -I>x1] if the latter set is For any x e E 1 with f(x) e I there is an open interval lx about x with
not empty. If f(lJ c I. (Here we needed the fact that xi= a, xi= b.) Denote by J the set
F n [x 1 _ 1 ,x1] = 0. (2.11.5)
U J x when x varies over the set 1 n f- 1(I). J is an open set and /1 1 (1) =
1 n J. Since 1 and J are measurable sets, also/1- 1(I) is a measurable set.
we require only that z1 e [x1 _ux1]. As for the sct/2- 1 (1), it is a subset of the set E 2 of measure zero. Hence it is a
We can clearly write a measurable set. From (2.11.7) it then follows that f- 1 (1) is a measurable
set. Hencefis a measurable function.
Since f is a bounded, measurable function, it is Lebesgue-integrable
where y1 =
1
y ; if [x1 _ 1 ,x1 ] c [xl_ 1 x}]. Then (by Corollary 2. I0. 3). It remains to show that (2. 11. 2) is valid.
We shaH associate with each Darboux lower sum Sn a step function
IS- S1l :=:: L
Xj ~ j
lf(z1) - f(Yj)l(x 1 - x 1- 1 ). u0 defined by
un(x) = m 1 if x,_ 1 < x:::; x,.
Denote by J' the subset of J consisting of those points x 1 for which (2.11.5)
holds, and let J" be the set J- J'. Recalling that jz1 - y 1 j < b and using Since f(x);?. un(x), J1a.b1f(x) dx;?. b.bl un(X) dx. However,
(2.11.3), (2.11.4), we get

IS- S1l :=:: L lf(z)- f(y)j(x 1 - x 1 _ 1 ) j' u 0 (x) dx = Lm 1 tt{[x,_ Hx;]} = L m;(x; - x,_ 1) = sn.
"' [a~b] i i
Xj ~J

Hence
+ L lf(zj)-f(y1)1(x1 -x1 _ 1)
.;t"jE'J"
I!

c ~ j(x) dx ;?. lim Sn = r /(x) dx.

:=:: 2Mtt(E) + (b- a) <c. Ja,b] llll-+0 a
2(b -a) The reverse inequality is proved similarly, employing upper Darboux sums.
A similar bound holds for S- S 2 . Hence, The proof of Theorem 2.11.2 is thereby completed.
IS1 -S 2 j:.-;2c For uubounded functions or for unbounded intervals of integration,
(2.11.6)
one defines the Riemann integral as an improper integraL Thus, for example,
Choosing the Yl ,JJ such that if f(x) is a bounded Riemann-integrable function in any bounded interval,
one defines
IS1 - Sn 1 1< e,
we get
I"'
... -w
f(x) dx = lim (
A-+-cr;. A
f(x) dx.
ISn, - Sn,l < 4.:. B--~o oc

It follows that lim Sn exists as ITil --> 0. Similarly lim s0 exists as ITil --> 0. A function f may then be Riemann-integrable without its absolute value
Next take I1 1 = Il 2 and choose the y,J such that jS1 - S[J,J < e and the yi2 1/1 being Riemann-integrable. This situation cannot occur for Lebesgue-
such that IS 2 - s[J 1 <e. We then obtain
1 integrable functions.

This proves (2.11.1 ). Hence f is Riemann-integrable.
Proof of Theorem 2 .11.2. We shall first prove that f is measurable.
Denote by l 1 the set of points where/is continuous and let E 1 == 1 - {a,b}.
The set E 2 == [a,b] - 1 has measure zero. Denote by/; (i = 1,2) the restric-
tion of /toE,. For any open interval I on the real line,
(2.11. 7)
PROBLEMS
2.11.1. Prove the following theorem of Darboux: Let f(x) be a
bounded function in a bounded interval [a,b]. Then there is a number S
such that for any sequence n .. of partitions of [a,h] such that ITiml ..... 0,
Sn, _,. S.
2.11.2. Prove that a bounded monotone function can have at most a
countable number of points of discontinuity. (Hence, it is Riemann-
integrable on any bounded interval.)
66 INTEGRATION THE RADON-NIKODYM THEOREM 67

2.11.3. The function f(x) =(sin x)/x is Riemann-integrable (but 2.11.8. Analogously to the Darboux integral f(x) dx, one defines J:
not Lebesgue-integrable, by Problem 2.7.5) over the interval (l,c.c ). the Riemann-Stieltjes integral as follows: Consider upper Darboux-Stieltjes
2.ll.4. Construct a sequence {f"} of Riemann-integrable functions
sums
on the interval [0, 1], such that lfn(x)l ::<::; 1 for all 0 ::<::; x ::::; 1, n = 1,2, ... , and n
limj~(x) =f(x) exists everywhere, but f(x) is not Riemann-integrable on 50 = I M;[g(x;) - g(X;-t )]
[0,1]. i=l

2.11.5. Let{, fn (n = 1,2, ... ) be bounded Riemann-integrable functions and lower Darboux-Stieltjes sums
on the interval [0, 1]. Assume that there is a constant K such that Ifn(x) I ::::; K
s 0 =I m;[g(x,)- g(x,_t)].
for 0 ::::; x ::::; 1, n = 1,2, .... Show that if Iimfn(x) =fix) a.e., then
1 1 If Jim S and lim s exist, as IIII ---> 0, and if they are equal, then we say that
lim J fn(X) dx = ( f(x) dx. f is Darboux-Stiel:;es integrable (with respect to g) ~nd _the_ limit is denot_ed
,._,.00 0 ... 0
by J: fix) dg(x). This limit is called the f!a~bo~x-Stlelt!es mtegral off :'It?
2.11.6. Let f be a bounded Riemann integrable function on bounded respect tog, from a to b. The Riemann-SIIelt;es mtegralis defined as the_lm_ut
intervals of the real line. Assume that lfl is Riemann-integrable on (- co,oc)-
that is, lim
"~"'
r"1/(x)l dx < w. Prove that f is Lebesgue-integrable on
of D~ 1 f(y,)[g(x;)- g(x,)] when IDI--+ 0; it is equal to the Darboux-StJeltJe.s
integral. In the above sum, they, are any points in [x,_ 1 ,x;~ Prove t~at_ 1f
1 is continuous and g of bounded variation, then the Rtemann-StteltJeS
(- w,w) and

I (~oo,oo)
J(x) dx = r
~a:,
f(x) dx.
integral exists. .
2.11.9. Prove that iff is continuous in [a,b] and g Js monotone
increasing and continuous from the right, then
2.11. 7. Let R be a rectangle given by a ::<::; x 5 b, c ::<::; y ::<::; d, and let f
be a bounded function on R. Let II 1 : a= x 0 < x 1 < ... < x" = b be a
partition of (a,b) and let II 2 : c = Yo < y 1 < ... < Ym = d be a partition of
J f(x) dg(x) = J
b
a (a,b]
f(x) dg(x),

(c,d). Let where dg = dJ1g, and p. 9 is the Lebesgue-Stieltjes measure induced by _9

2.11.10. Letfbe continuous on [a,b] and g(x) be of bounded vana-
M,J = supf(x,.v), m;i = infj(x,y)
tion; then
when
X;-1::::; X::::; X;,
If f(x) dg(x)l ::::; V(g) a!~~b lf(x)l,
where V(g) is the total variation of g over [a,b]. .
2.11.11. If f(t) is Lebesgue-integrable over (- co,c.c) and 1f - w < a
n '" < b < co, then for any real number h,
Sn = I I Alu(x,- x,_d(Yi- .\"j-1),
j, r
j= 1 j= l 1'( )d f(x)dx wherefh(x)=f(x+h).
11 Plj
[a,l>l J h X X = Jra+h,b+ hi '

su = L L
;~ l j~ l
mii(x; - x,_ 1)(yi - Yi-1 ).

If lim Sn and lim sn exist as IIII __,. 0, and if they are equal, then we say that 2.12 THE RADON-NIKODYM THEOREM
f is Darboux-illlegrable on R. We then define the integral off orer R to be
lim Sn. Similarly one defines the Riemann integral off over R as the limit In this section we consider measure spaces (X ,C1,J1), where fl. ts a
JnJ~o signed measure.
of the Riemann sums If('., 1"/i)(x, - x,_ 1)(yi- Yi- 1 ), when III I---> 0. It is
well known that the Riemann integral exists if and only if the Darboux Definition 2.12.1 Let (X,C1,J.I) be a measure. space and let v. be a
integral exists, and then the two integrals coincide. signed measure with the domain a.
We say that v IS absolutely contmuous
Prove: Iff is measura hie, then the Lebesgue integral off over R is equal with respect to , and write v 4 11 , if v(E) = 0 for any measurable set E for
11
to the Riemann integral off m'er R. which lp.I(E) = 0.
 68 INTEGRA T!ON THE RADON-NJKODYM THfOREM 69

Notice that if Jt is a measure and if r is absolutely wntinuous with function /..{E) defined by (2.8.1) is absolutely continuous in the sense of Definition
respect to J1 according to Definition 2. 8.1, then I' is also absolutely continuous 2.8.1.
with respect to p according to Definition 2.12.1. We shall prove (Theorem We now state the theorem of Radon-Nikodym.
2. 12.2) that if IvI is finite on every set where p is finite, then the two concepts
of absolute continuity are equivalent. Theorem 2.12.4 Let (X,ct,11) be a a-finite measure space with 11 a
measure, and let v be a cr-finite signed measure on a, absolutely continuous
Lemma 2.12./ For any two signed measures 11 and v, the following with respect to 11 Then there exists a real-ralued measurable function f on X
three conditions are equiralenl: such that
{a) r4p;
(b) v+ 4 11 and r- 4 11; v(E) =
'E
rf d11 (2.12.1)
(c) il'l4p.
for every measurable set Efor which lvi(E) < w.lfg is another function such
Proof. Let X =A u B be a Hahn decomposition with respect to v. that v(E) = h g dl! for any measurable set E for which lvi(E) < w, then
Suppose (a) holds and let ltti(E) = 0. Then ltti(E n A) = 0, l;ti(E n B)= 0. f = g a.e. with respect to 11
Hencev+(E) = v(EnA) = O,v-(E) = v(EnB) = O.Thisproves(b).Next,(b)
implies (c), since lrl = v+ + v-. Finally, (c) implies (a), since 0 .s;lv(E)I.s; Note that f is not asserted to be integrable. In fact, it is clear that f ~s
lvi(E). . integrable if and only if Ivi( X) < w. Thus if~~ 11 and lvi(X) < w, then v 1s
the indefinite integral of some ,u-integrable function f
Theorem 2.12.2 Let )..l be a signed measure and let v be a s(qned measure Note also that iff is any measurable function, then, by Theorem 2.7.4,
such that lvi(E) < wfor any measurable set Efor which IJ..li(E) < w. Suppose the set function v(E), defined for all measurable sets E for which JE lfld;t < w,
o
that v 4 )..l. Then for any 1: > 0 there is a > 0 such that lvi(E) < 1: for any satisfies lvi(E) = 0 if IJli(E) = 0. If, further,fis integrabl~ on any measura?le
measurable set Efor which 1111(E) < 8. set E with 1111() < w, then (by Corollary 2.12.3) v(E) 1s absolutely contm-
uous in the sense of Definition 2. 8.1.
Proof. If the assertion is false, then there is an e > 0 and a sequence
{"} for measurable sets such that 1111(") < 1/2" and lvi(E,);;:: e for all Definition The function f occurring in (2.12.1) is ca!led the Radon-
n :2': I. Let E = ITmE,. Then Nikodym derivative of I' with respect to ,u, and one writes
n
dv
f = d,u' ordv = f d,u. (2.12.2)
for any n;;:: I.

m ~ Proof. We can write X as a countable disjoint union of sets Xi,

Hence Ittl() = 0. On the other hand Ivi(U Ej) < oc- (since IPI(U E ;) .s; each havi~g a finite ,u-measure {that is, 11(X) < oo]. We can also write each
<">:
j= 1 i-= l
set X.1 as a countable disjoint union of sets Yi 11 , each having a finite v-measure
L
i=-:1
ltti(E;) .$ 1) and, therefore, by Theorem 1.2.2,
[that is, lvi(Yil,) < oo]. Write the double sequence {Yjh} as a sequence
{Z,}. Suppose we can prove the existence part of the theorem for each sub-
space Z". Then on each Z, we have a 11-integrable function f" such that
This contradicts the assumption v 4 p.
From Theorem 2.12.2 lind the fact (sec Theorem 2. 7.4) that Jrf d11 = 0
v( n Z,) = J
E{"'Z11
!, dp, EEtt.

if p() = 0, we immediately obtain the following generalization of that part of

Definef(x) = f,(x) if x E Z,.fis dearly a measurable function. If lvi{E) < w,
Theorem 2.8.4 which is concerned with absolute continuity.
then
Corollary 2.12.3 ~f f is a measurable function, integrable on erery
measurable set E offinite measure (J..l is assumed to be a measure), then the set
L JEn.Z,..
n
1/1 d11 = L, Ivi( n Z,) = Ivi (E) < oo.
n
 70 INTEGRATION THE RADON-NIKODYM THEOREM 71

It follows (by Problem 2.1 0. 7 with f. = .fxEnz) that f is J.l-i ntegrable on E Consider the set function ..1.() = v(E) - ftf dJ.l. If we show that A 0, =
an? (by Theorem 2.8.4) that (2.12.1) holds. As for uniqueness, if g is a function then we have completed the proof of the theorem. Note that A<:>; J.l, and . 1.
as m the last part of Theorem 2.12.4, then JF g d}' = JF f dJ.l for any measurable is a measure.
subset of each set z. Hence, by Theorem 2.7.6, g = f a.e. in Z". Therefore Suppose A" 0 and let X= Am v Bm be a Hahn decomposition for
also g =fa .e. in X. We have thus shown that it suffices to prove the existence the signed measure A- (1/m)J.l (m = 1,2, ... ). Write
part of the theorem in each subspace z., where I' and v are both finite. Thus,
without loss of generality we may assume that J.l(X) < oo, [v[(X) < oo. A0 =
"'
U
11'1=1
A,, B0 = n"' B,..
m.= I
Let X= A v B be a Hahn decomposition for v. The argument above
shows that it suffices to prove the existence part of the theorem in each of the Since B 0 c: B,.,
subspaces A and B separately. Since vis a measure on A and -vis a measure
on B, we may assume, without loss of generality, that vis already a measure 0 5, i.(B 0 ) .:-::; ..!_ J.l(B 0 )-0 if m-oo.
m
on X.
We now consider the case where J.l and v are finite measures, and prove Hence A..(B0 ) = 0. Since i. " 0 and A 0 n B0 = 0, A 0 u B0 =X, we must
the existence off Denote by !2 the class of all nonnegative functions j have A(A 0 ) > 0. By absolute continuity of . 1. with respect to J.', we also have
integrable with respect to J.l, such that ' p(A 0 ) > 0. Hence J.l(Am) > 0 for at least one m. Denoting l/m by ;; and
Am by A, we then have [by the positivity of Am with respect to A- (1/m)J.l]:
J J dp .:-::; v(E) for all E Ea.

Let
E
ep(E n A).:-::; ..1.( n A)= v(E n A}- f
"EnA
f dJ.l

for any measurable set E.

a= sup
/d)
JJ dp.. (2.12.3) Consider the function g = f +ex,~. lt satisfies

Then there is a sequence {f.} in 9 such that t g dp. = tf d}' + BJ.l(E n A).:-::; t-.-~ f dJ1 + v(E n A)

lim
-a::
Jf. dp. = a. .:-::; v(E - A) + v(E n A) = v()

Let g.= max (/1 , .. ,/.). We write each measurable set E as a disjoint union for any measurable set E. Hence g E !2. However, by (2.12.4),

i 1)"1 E1 of measura hie sets E1 defined as follows: x E 1 if J;_ (x) ;:.: fix) for f g d}' = f f dJ.l + CJ.l(A) > !X,
2 =::;j =::; n; x E 2 if x f. 1 and if / 2 (x) zfj(x) for 3 =:;;j .:-::; n; and so on. It
follows that g,(x) = ~(x) for x E 1. Hence thereby contradicting (2.12.3). We have thus proved that . 1. = 0.
let (X,a,J.l) be a measure space, with p a signed measure, and let
n " J.l = p. + - J.l- be the Jordan decomposition of J.l. A measurable function f is
f g. dJ.l
E
= .L r J, dJ.l .:-::; I
J=l 1 j=!
v(Ej) = v(E).
said to be integrable (on E) if it is integrable (on E) with respect to the measure
Let fo(x) = sup f.(x). Then / 0(x) = lim g.(x), and {g.} is a monotone- [p[. The integral of/(over E) is then defined by
"
increasing sequence of nonnegative integrable functions. The Lebesgue
monotone convergence theorem then implies thatf0 (x) is integrable, fo dJ.l = J (f f dJ.l f f dJ.l+ - f f dJ.l-)

=
f. E
(2.12.5)

I
~ _and r:lo dp. .:-::; v(E) for any E E a (so that foE.@). Since fo is integrable,
PROBLEMS
II IS real-valued a.e. Let f be a real-valued function that is equal a.e. to j .
0
Thenfalso belongs to !2, and 2.12.1. Prove that iff is integrable with respect to J.l then it is also
integrable with respect to J1 + and p.-. [Therefore the integrals in (2.12. 5)
(2.12.4) are well defined.)
 THE LEBESGUE DECOMPOSITION 73
72 INTEGRATION

v; and J.l., then X= [(A 1 n A 2 ) u (A 1 n B 2 ) u (Al n B 1)] u (B1 n B 2 ) is

2.12.2. The Radon-Nikodym theorem remains true in case 11 is a
a decomposition relative to v and J.l..]
a-finite signed measure.
2.13.3. If v 4: 11 and v .l J.l., then I' = 0.
2.12.3. If v and fl are a-finite signed measures and v 4: J.l., then the set
{x; (dvfdp.)(x) = 0} has v-measure zero.
Theorem 2.13.1 Let J.l and v be cr-jinite signed measures in a measure
2.12.4. Let v and J.1. be a-finite signed measures and let v 4: p.. For
space (X,G.). Then there exist a-finite signed measures v0 and v1 such that
any v-integrable function tp, the function rp(dv fdJ.I.) is p.-integrable and
(2.13.1.)
I dv =I
rp rp : ; ap.. (2.12.6)
The pair (v 0 ,v1 ) is uniquely determined.

[Hint: Consider first the case where 11 and v are measures and rp is a simple The decomposition of v, given by (2 .13 .I), is called the Lebesgue
function.]
decomposition of v relative to 11-
2.12.5. Let J,J.I. be u-finite measures and let v be a u-finite signed
measure. Assume that v 4: J.l., f1 4 J. Then Proof As in the proof of Theorem 2.12.4, we first reduce the general
dv = dv dJ.I. situation to the special one where 11 and v are finite. We may further assume
a. e. with respect to J. that J.l. is a measure, since v0 .l 1111 and v1 4 1111 imply that v0 .l JJ. and v1 4: J.l..
d). dl1 d).
Finally, we may assume that v is a measure, for otherwise we can treat v+
2.12.6. Let J.1. be a a-finite measure and let v1 , v2 be a-finite signed and 1'- separately.
measures such that v1 4: J.l., v2 4 p.. Then v1 + vl 4 /J. and Since p. and v are measures, v is absolutely continuous with respect to
d(v 1 + v2 ) dv 1 dv /). + v. By the Radon-Nikodym theorem, there exists an integrable function/
dp.
-2 .
=dj.l.- +dp. such that

2.12. 7. Let J.1. and v be a-finite measures and assume that 11 - v is v(E) = j"E f d!< + rf d1 (2.13.2)

a measure. If v 4p.- v, then the set of points where dvfdfl = 1 has zero
p.-measure. for any measurable set E. Since 0 ~ v(E):::; JJ.(E) + v(E), we have (by Problem
2. 7.3) 0 ~ f:::; 1 a.e. with respect to the mea~ ure p. + I'. Hence 0 :::; f:::; I a .e.
with respect to the measure v. Let
2.13 THE LEBESGUE DECOMPOSITION B= X-A.
A= {x:j(x) = 1},
Let fl and v be two signed measures defined in the measure space Then
(X,G.). We say that fl and v are mutually singular, and write /J. .L v, if there
exist measurable sets A and B such that v(A) = j"
A
dtt +
"A
I' dv = J.I.(A) + v(A).
X= A uB, A nB=0,
Since v(A) < oc, it follows that JJ.(A) = 0. Therefore, if we define
and (E E Ci),
v0 (E) = v(E n A),
l.ui(A) = 0, lvi(B) = 0.
then v0 .l p. It is also clear that v0 + 1' 1 = v.
We also say that /). is singular relatire to v (or that v is singular relative to JJ.). It remains to prove that v1 4 p.. Suppose p(E) = 0. Then (2.13.2) gives

PROBLEMS (
~ f.'nB
dl' = r
~ EnB
f dv
2.13.1. For each signed measure JJ., J.l.+ .L ~~-, p.+ 4: IJJ.I, /J.- <:t; 11'1-
2.13.2. If v1 and vl are singular relative to /)., then v1 + v2 is also
-that is, )E,.,B (I -f) d1 = 0. Since, on En B, l - f> 0 a. e. with respect
singular relative to p.. [Hint: If X = A 1 u B; is a decomposition relative to to v, we must have 1'(E n B)= 0-that is, v1(E) = 0.
 74 INTEGRATION
THE I:EBESGlJfi INTEGRAL ON THE REA LINE 75

T~ prove uniqueness, suppose v = v0 + i'J is another decomposition The assertion g'(x) = f(x) a.e. can also be stated as follows:
of v, With v0 J. p., v1 ~ p.. Then, the signed measure ..1. = v0 - v0 = v - v
is both singular (by Problem 2.13.2) and absolutely continuous with r~spec~ 1 rx+h f(t) dt =
lim- f(x) a.e.
to fJ. Hence, by Problem 2.13.3, A= 0. Thus Vo = Vo and VI = vl" -o
h x

PROBLEM We shall need a few lemmas.

2.13.4. Let A be a sequence {x.,} in the Euclidean space R~. and let Lemma 2.14.2 Let f(x) be a Lebesgue-integrable function on (a,b).
{p,} be a sequence of positive numbers. Denote by v the u-finite measure If J: f(t) dt = 0 a.e., then f(x) = 0 a.e.
(cf. Problem 1.2.5) given by
Proof. The assumptions on/imply that ftJ(x) dx = 0 for any interval
v(E) = L
XmE'E
Pm (E any subset of R"). E. Since the set function J,J(x) dx is completely additive, it vanishes on any
open set E. Hence it vanishes also on every closed set E of (a,b). Suppose now
Find the Lebesgue decomposition of I' with respect to the Lebesgue measure that the assertion is false. Then there is a set F of positive measure such that
p. of R~. either f> 0 on For f < 0 on F. It is enough to consider the first case. Since
p.[(a,b)- F] < b- a, there is (by Problem 1.9.7) an open set E containing
(a,b) - F such that p(E) < b- a. The set G = (a,b)- E is a closed subset
2.14 THE LEBESGUE INTEGRAL of F and p.(G) > 0. Since j> 0 on G, we get (by Theorem 2.7.5)
ON THE REAL LINE JGf(x) dx > 0, a contradiction.

In this section we restrict our interest to the real line, and find a con- Lemma 2.14.3 ljf(x) is bounded and Lebesgue-integrable on (a, b), then
nection between integrals and derivatives. This connection, stated in Theorem the assertion of Theorem 2.14.1 is mlid.
2.14.1, generalizes the Fundamental Theorem of Calculus. It will have
implications for some of the abstract theorems we have previously proved, Proof. Write
such as the Radon-Nikodym theorem.
We shall denote the Lebesgue integral of a functionf(t) over an interval
(c,d) by Jed f(t) dt. We also define f.{ f(t) dt = - J~ f(t) dt, Jccf(t) dt = 0. We
g(x) = r
"'a
r(t) dt- r r<tl
"'"
dt. (2.14.2)

shall take (a,b) to be a fixed bounded interval. Each of the indefinite integrals is a monotone-increasing function. But it is
known (the proof, which is rather involved, is omitted) that monotone
Definition Iff is Lebesgue-integrable on (a,b), then the function functions are differentiable a.e. Hence g'(x) exists a.e. Let 1/(x)l .:<:;; M for all

g(x) = r ~
f(t) dt +c (c any constant) (2. 14.1)
a< x < b. Then, if 0 < h < b - x,

Ig(x + h~- g(x)l =I~ (+h f(t)dtl.:<:;; M.

is called the indefinite integral off
Since also
Note the similarity between the definitions of the indefinite integral
. g(x +h)- g(x)
given here and in Section 2.8. I 1m = g '( x ) a.e.,
~-o h
By Problem 2.8.2, g(x) is an absolutely continuous function. We shall
prove the following important result. the Lebesgue-bounded convergence theorem shows that g'(x) is integrable
and
Theorem 2.14.1 Iff is a Lebesgue-integrable function on (a, b), then its
indefinite integral g(x) is differentiable a.e., and g'(x) = f(x) a.e. ( g(l +h)- g(t) dt _
~ h
r a
g'(t) dt. (2. 14.3)
 76 f~TEGRATIOK
THE LEBESGUE INTEGRAL ON THE REAL LINE 77

The integral on the left in (2.14.3) is equal to {here we usc Problem

g'(x) Z./n(x) a.e. It follows that g'(x) Z. f(x) a.e. Therefore,
2.11.11)
1 ,x + 1' J ,., J . x h [ " "'h
.o
j g'(x) dx Z.
r" f(x) dx =
1 g(b)- g(a).
1 ,1 g(t)dt-- 1 q(l)dt=-1 q(t)dt--1 u<tldt, ... a ... a
I o+h 1la hx ha
Using Lemma 2.14.4, we get the reverse inequality. Consequently,
and this tends to _q(x) - g(al as h --> 0. Hem:c

r g'(t) dt = g(x)- g(a)

rh

a
[g'(x) - f(x)] dx = 0.
a
Since, however, g'(x) Z.j(x) a.e., we get g'(x) = f(x) a.e.
-that is, Recall (see Problem 2.8.2) that the indefinite integral is an absolutely
coni inuous function.
I' [g'(t)- f(l)] dt = 0 The converse is also true, namely, if g(x) is an absolutely continuous
function in (a, b) then there exists a Lebesgue-integrable function f(x) such that
for all x. Lemma 2.14.2 then gives g'(xl = f(x) a.c.

Lemn.a 2.14.4 If <:p(x l is a continuous nondecreasing function in [a,b ],

g(x) = g(a) + r
a
f(t) dt.

then <:p'(xl 1s integrable, and We shall briefly indicate the proof. From Problems 2.8.3 and 2.8.4
,.h
we know that g(x) can be written as a difference oft wo monotone-increasing,
j <;J'(x) dx::;; 09(6)- <p(a). (2.14.4) continuous functions, say g(x) = g 1(x)- _qlx). Lemma 2.14.4 shows that
a g'1 (x) and g1(x) arc integrable. Hence g'(x) is integrable. Consider the function

Proof Define ~.p(x) = ip(b) if x > b and ~.p(x) = ~.p(a) if x <a. Since <P(x) = g(x)- r~ g'(t) dt.
[~~(x + hl - ip(xl}'h Z. 0 and [ip(x + h) - rp(x)].ih ..... ip'(x) a.e. as h __. O, a
Fatou's kmma gives
'P is absolutely continuous and ~.p'(x) = 0 a.e. But it can be shown (we omit
. .o rp(x +h)- rp(x) -" . the proof, which is rather involved) that such a function is necessarily a
hm 1
h 0 a h
dx ::0: I
a
rp(x)dx; constant.

if the left-hand sidt is fmitt. then <p'(xi is integrable. The integral on the kft
PROBLEMS
can be eva I uatcd in the same way as the integral on the left in (2.14.3). We
fmd that, ash....,. 0, this integral converges to <p(h)- ~.p(a). This proves (2.14.4). 2.14.1. To every function /, monotone-increasing and continuous
We can now compkte the proof of Theorem 2.14.1. We may suppose from the right on (a,b), there corresponds a Lebcsgue-Stieltjes measure,
~hat /(x) Z. 0 a.e., for otherwise we can treat each of the indefmite integrals which we denote by 111 . Every fundionfof bounded variation and continuous
m (2.14.2) separately. Sinc:c g(x) i~ monotone. g'(x) exists a.e. Deline from the right can be written in the form f = J; -/2 , where / 1 and / 2 arc
/,(x) =min {f(xl,n}. Then/(x)- fl'(l Z. 0. It follov.s that monotone-increasing and continuous from the right. We write /lf = p. 1 ,
- p. h' Prove thaI the function f(x) is absolutely continuous if and only if the
'
I [f(tJ-J..<nJdt signed measure )lf is absolutely continuous with respect to the Lebesgue
measure (which we shall denote by) Jlx
is nondccrcasing. Henn~ its derivative (whi<.:h exists a.c.) is ;:::0. This gives 2.14.2. Let /(x) be absolutely continuous on (a,b). Prove that
dJ1 1 /dp. .. =f'(x) a.e., and that for any Printegrable function 'f,
d d
-,. I
i .\ a
,x
f(t) dt ;::: -I
dx 0
X

f"(l) dt.
f ~ df =
0
r <Pf' dx.
"(a,b) a
By Lemma 2.14.3, the expression on the right is equal to f"(x) a. e. Hence Here we use the notation: df = dJ1 1 .
78 INTEGRATION
PRODUCT OF MEASURES 79

2.14.3. Let f(x) be Lebesgue-integrable on (a,b) and let g(x) be

absolutely continuous on (a,b). Then the following integration-by-parts
A rectangle A X B with A c a,
BE I'J will be called a rectangle of X ffl. a
If E c X x Yand xis any point of X, we call the set Ex= {y; (x,y) E E}
formula holds:
an X-section of E. Similarly, P = {x; (x,y) e E} is called the -section of E.
b b
J fg dx = F(b)g(b)- F(a)g(a)-
a
( Fg' dx.
a Lemma 2.15.1 Et-ery X-section of a set in a X fJI is a set of ffl, and
where F(x) is any indefinite integral of f(x). every Y -sect ion of a set in a
X rJB is a ser of a.

2.14.4. If f(x) and g(x) are absolutely continuous functions on

(a,b), then Proof Denote by !!} the class of all sets in X fJI with the propertya
that every X-section is in rM. q; clearly contains all the rectangles of a x 1!4.
I
(o,b)
f dg +J
(o,bj
g df = f(b)g(b)- f(a)g(a). l t is also a a-algebra of subsets of X x Y. Hence it must coincide with a x rM.
The proof for Y-sections is similar.

(This is actually true iff and g are just assumed to be continuous and of
Lemma 2.15.2 Let (X,a,)l) and (Y,M,v) be measure spaces. Denote
bounded variation.)
by ff the class of afl finite disjoint unions of rectangles of (i X ff4 that are
2.14.5. A function f(x) is called singular if f'(x) = 0 a.e. Show that
contained in a fixed subset of X x Y. Then :F is a ring.
every function g of bounded variation in (a,b) can be written as a sum
9 = 9 1 + 9 2 , where g 1 is absolutely continuous and 9 2 is singular. Show also
that this decomposition is unique, except for an additive constant. Proof :F is clearly dosed under the formation of finite disjoint
2.14.6. Let g, 9 1 , g 2 be as in Problem 2.14.5. Show that in the de- unions. One easily verifies the relations
composition f/.g = f/.g, + f/.g,, p. 9 , is absolutely continuous with respect to
fl.x and f/. 92 is singular relative to /J,..
2.14.7. If f(x) is a continuous function in (a,b) and if f'(x) exists
/)
1
(Aj x B;) =col A~) x Co~ Bj) (2.15.1)

everywhere in (a,b) and is bounded, then J;

f'(t) dt = f(x) - f(a) for any (A 1 x B 1) - (A 2 x B 2 ) = [(A 1 n A 2 ) x (B 1 - B2)] v (A 1 - A2) X B 1 ].
a <x <b. (2.15.2)
2.14.8. For any measurable set E on the real line, write E(x 0 ,h) =
E n [x 0 - h,x0 + h]. Denote by fl. the Lebesgue measure. A point x 0 on We shall use these relations to prove that if E and F belong to 9', then also
the real line is called a point of density 0 with respect toE if p.[E(x 0 ,h)]/2h--> 0 E- F belongs to :F. This will complete the proof that :F is a ring.
n
as h .... 0. Prove that almost every point of E is a point of density I, and almo:>t Write E and F as disjoint unions of rectangles of ax @: E= UE,,
every point of R 1 -Eisa point of density 0. [Hint: Suppose E is contained ;~I

in a bounded interval [a,.BJ and let g(x) = J;_, xit) dt. Then 9'(x) = x.dx)
m
F = UF1. Then
a.e. Note now that 9(x +h) - 9(x- h) = p.[E(x, h)].] j~l

m
n (E,-F).
~

E-F= UI
i~ j~ I
2.15 PRODUCT OF MEASURES
By (2.15.2), for each i and j, E,- F, =D11 v D 12 , where Di! and DJ2 are
Let X and Y be two spaces. The Cartesian product X x Y is the set disjoint rectangles of a x rM (depending on i). We shall use the relation
of ali ordered pairs (x,y), where x E X, y e Y. Any subset of X x Y of the
form A x B, where A c X, B c Y, is called a generalized rectangle (or, n (D
m

J~ I
11 v D12 ) = U [Du, n
I.
... n Dmd where k, = 1,2; s = l, ... ,m.
briefly, a rectangle) with sides A and B.
Let <i be a a-algebra of subsets of X and let I'J be a a-algebra of subsets Noting that the sets in the union, on the right, are mutually disjoint, and
of Y. We shall denote by <i x I'J the a-algebra generated by all the rectangles using (2.15.1 ), we see that each set G, = n
(E, - F;) is in 9'. Since E - F
j
A X B with A E <i, BE 14. We call a X 14 the Cartesian product of a and f!l. is a disjoint union of the G 1, it also belongs to :F.

80 INTEGRATION
Lemma 2.15.3 If f.! and v are cr-fi'nite measures, then every set in X x Y
can be covered by a countable disjoint union of rectangles of Ci x f!4 having
sides offinite measure.
Proof It is sufficient to cover X x Y. Let X = UXn be a countable
disjoint union of sets in Ci with fi(Xn) < co. Similarly: let Y = U Ym
countable disjoint union of sets in f!4 with v(Y.,) <co. Th~n X x y
= U (X" x Ym) gives the desired covering of X x Y.
n,m
Definition A class .it of sets is called monotone, if for any monotone
sequence {"} of sets in J! we have: lim E" is in J!.
Lemma 2.15.4 A monotone ring & is a a-ring.
Proof We have to show that if is closed under the formation of
countable unions. Thus, let {E.. } be a sequence in &. Since rJt is a ring, the
finite unions F" = lJ Em belong to&. Since :1 is monotone, UEm= lim F"
m=l m=l ,.
is also in rJt.
Lemma 2.15.5 If a monotone class Jt contains a ring 9t, then it contains
also the o-ring Y'(9t) generated by :Ji.
Proof The class of all subsets of X is a monotone class and the inter-
section of any collection of monotone classes is a monotone class. Hence
for any class% of sets there exists the smallest monotone class Jl 0 (%) con-
taining %. Let J! 0 = Jt 0 ( .o/1). If we prove that J! 0 is a ring, then, by Lemma
2.15.4, J! 0 is a CT-ring and hence A => j { 0 => Sl'(.o/1). To prove the .It 0 is a
ring, we introduce for each set F the cl.1ss% r of all sets E for which E- F,
F - E, and E v F are all in J! 0 Note that E E % r if and only if F E .ff E
% r is a monotone class, since, for any monotone sequence {.} in f(' F>
lim" - F =lim (" - F) E .4/ 0 ,
" v(B 0 ) < co. Let {E.) be a monotone sequence of sets in ct x :$ such that
F -limE"= lim (F-E") E J/ 0 ,
n n
Jf FE if, then E E.? implies E E Jf' F Hence :Jf c % r Therefore .If0 c% F
This implies that if E E J! 0 , FE:!!, then FE% E Thus .ffE => Jf. From the
-~~-
'C
PRODUCT OF MEASURES 81
definition of Jt 0 it follows that .1( 10 ::::> Jt 0 . Since this is true for all E E J! 0 ,
.it 0 is a ring.
If !?); is a class of sets and A is any set, we denote the class of all sets
E n A, where E E 2, by :2 n A.
be a Lemma 2.15.6 Let P be any class of sets and A any subset of X. Then
9(2) n A = .9'('2 n A).
Proof Since Y(P) n A is a a-ring containing 2 n A, it contains also
Y"(f? n A). To prove the converse, denote by % the class of all sets of the
form B v (C- A), where BE Y'(Y n A) and C E 9(f?). Writing E =
(E n A) v (E -A) for any E E 9, we sec that 2 c %. Since, as easily
verified,% is a a-ring, we find that .9'(9) c %. Hence Y(.') n A c ,1{ n A.
Noting, however, that.'>( n A = Y'(EZ n A), we get Y'(.Q') n A c 9(0: n A).
Theorem 2.15,7 Let (X,ct,f.l) and (Y,.;il',v) be a-finite measure spaces
and let E he any set in a x JQ. Define functions f and g by f(x) = v(E.) jor all
x EX and g(y) = IJ-(P).for ally E Y. Then f and g are measurable functions, and
Jf d11 J dv.
= g (2.15.3)
Proof Note that, by Lemma 2.15.1,/and g are well defined. We shall
break up the proof into several steps.
(a) Denote by q the class of all the sets E in a X :Ja for which the
assertion of the theorem is true. It is clear that if 9 contains a sequence of
mutually disjoint sets, then 9 contains also their union.
{b) 9 contains all the rectangles E = A x B of ct x .16 with sides
having fmite measure. Indeed, in this case f = I'(B)l.A- g = f1(A)x 8. It follows
thatfand g are measurable and
(c) Let 0 = A 0 x 8 0 be a rectangle of ct x .!8 with Jl(A 0 ) <co,
E. c 0 if n ~ 1. We claim that iff,. E 9 for all n::::: I, then also E =lim E.
is in . Since a X :Ja is a a-algebra, E belongs to ct X .@, The sequence of
X -sections E".x of E. (for each fixed x) clearly converges monotonically to the
corresponding X-section Ex of E. Similarly, {t~} wnverges toP. Denote by
/,and g,. the functions f and g corresponding to E. Then {.f.l and {g"} con-
verge monotonil:ally tofand g, respectively, and
0 s; J~ s; v(B 0 1,
-~
 82 INTEGRATION
PRODUCT OF MEASURES 83

The Lebesgue-bounded convergence theorem implies that .f and Suppose A: is another measure satisfying (2.15.5). By Lemma 2.15.3,
integrable and g are
we can write X x Y as a countable disjoint union of rectangles E" of x [JIJ a
with sides having finite measure. Denote by Pl. the class of all sets in
Jf dt~ = li:U Jfn dt~ = li:n I g" dv = Jg dv. {ct x .14) n E. on which ..l and X agree. Denote by X. the class of all finite
disjoint unions of rectangles of <l x [j contained in E,.. Clearly X,. c '21:,. and 21:.
Hence E belongs to !0. is a monotone class (by Theorem 1.2.1 (iii)). Since, by Lemma 2.15.2, X,. is a
(d) ~t E be a rectangle in a
x .14 with sides having finite measure. ring, Lemma 2.15.5 implies that~. contains the class X n E,., where X is the
Denote by 9 the class of all subsets of 9 that are contained in E. Denote class of all the rectangles of a x !4. It follows (using Lemma 2.15.6) that '21:. =
by !1' E the class of all finite disjoint unions of rectangles of a
x rJ6 that (a )( .14) n E". Writing any set fin a x_M in the form f= UCF n .)and using
are subsets of E. By Lemma 2.15.2, !J' E is a ring. By (c) and (a), (b), q E is the last result, it follows that ..I.( F)= J.(F). Thus l =l
a n:onotone class and qE ::J JE. Hence, by Lemma 2.15.5, 9iE contains the The rectangles of a x J6 are also called measurable rectangles. The
a-nng genemted by jT f." Denote by ,-;J;' the class of all rectangles of X ::Jd.a reason for this name is that if a rectangle A x B is a set in a
x M, then (by
Then .:f n 1:.: = {FE .X; F c }. ~on~equently, .9"(. ...) ::J 9"(.)( n ). By Lemma 2.15.1), A E a, BE !4.
Lemma 2.15.6, the latter class comc1des with SI'(Jf") n -that is, with
(ax Jl) n E. Thus, 9 => PE ::J (a x 86) n E. PROBLEMS
a
(e) Let F be any set of x iJI. By Lemma 2.15.3, F is wntained in a 2.15.0. Prove that 2lim X 00k = OOm+k
countable disjoint union nY/n""
of rectangles En of aX J having sides of 2.15 .] . A Borel set E in R" is called a G ~set if it has the form E = n
k~ I
Ak,
fin!te measure. By ~d), ea~h set F n E" is in !2. Hence. by (a), the disjoint where the A 1 are open sets. From Problems 1.9.7, 1.9.8 we have that every
unJOn V
(F n E") IS also m 9-that is, FE 2. This completes the proof. bounded Lebesgue set Fin R" has the form F =E-N, where Eisa G~ set
and t~(N) = 0. Verify (2.15.1) for m = co, thereby concluding that if A and B
are GJ sets in R" and R', respectively, then A x B is a GJ set in R"H.
Theorem 2.15.8 Let (X,a,J.l) and (Y,b.?,v) be cr-finile measure spaces.
Then Ihe set function ), defined for erery set E in X :3d by a 2.15.2. Let N be a set in R" having Lebesgue measure 0. Then for any
set B in R\ N x B is a Lebesgue set in R"+k having Lebesgue measure 0.
).(E)= I v(Ex) dt~(x) = J,u{P) dv(y) (2.15.4)
[llinl: Consider first the case where B is bounded.]
2.1 5.3. Denote by 2'" and !t'" the classes of the Lebesgue sets in R"
and R", respectively. Then any bounded rectangle of !!'" x !t'" has the form
is a cr-finite measure on ax 36, haring the property that, for any rectangle
E-N, where E = 1 x E 1 is a G 10 set in R"+~<, N is a set of Lebesgue measure
A X 8 oj'a X :.H
0, and 1 , E 1 are GJ sets of R" and R', respectively. It follows that !t'" x !t'"
..I.( A X B) = ,u(A). I'( B). (2.15.5) is contained in the a-algebra a
of all sets E- N, where E is any Borel set in
This last properly determines ), uniquely. R"+" and N is any set in R"u having Lebesgue measure 0. Note (compare
Problem 2.15.1) that a coincides with the class !t'"H of all Lebesgue sets
in R"+k.
Definition ~he. measure ..l is called the product of the measures 11 2.15.4. Every open set in R"H is in fl!" x fl!k. Hence fl!" x !'"
~nd 1,and we wrJte ..t = 1-1 x v. The measure space (X x Y, a x .JA, /.1 x v) contains all the Borel sets of R"u.
JS called the Cartesian product of the measure spaces (X,a,/.1) and ( Y,ai', v). 2.15.5. Prove that!!'" x !'" #- ff!"+k.
2.15.6. Denote by [Rm,fl!m,(dx)m] the Lebesgue measure space in
Pro_of. Since v(E,) is a nonnegative measurable function, its integral Rm. Prove that the measure (dx)"+k and the product (dx)" x (dx)k coincide on
...l(E) IS e1ther a nonnegative real number or +co. The complete additivity rectangles A x B with bounded sides, when (i) A and Bare intervals; (ii) A
of A follows from the complete additivity of l' and from the Lebesgue mono- and Bare open sets; (iii) A and Bare G ~sets, and, finally, (iv) A and B are any
tone con vergence theorem (compare Problem 2. 10.7 J. Si nee X x y can be Lebesgue sets.
covered by a countable class of rectangles of a x J whose sides have finite 2.15.7. Prove that the measure space (R"+k,fl!n+~<,(dx)"+") is the
measure, ...l is a-finite. It thus remains to prove uniqueness. completion of the Cartesian product [(R",!i'",(dx)") x (R\!t'k,(dxl]. Prove

_\
84 INTEGRATION FlJBIN!'S THEOREM 85

also that the latter product is an extension of the restriction of For any measurable function h on X x Y, we write the integral Jh dJ..
(R"+k,!l'H,(dx)"+k) to the Borel u-algebra of R"H. (l = J1 x v) also in the form
2.15.8. If fJ 1 ~ f.J 2 , v, ""!1 v2 , then Jl1 x v1 ""!1 f.J2 X Vz; the p,;, v; are finite
measures.
2.15.9. A function tp in a subset Q of R" is called a special simple
Jh(x,y) d..\(x,y) or Jh(x,y) d(!-l x v)(x,y).
function if there is a finite number of intervals I "bk and real numbers ck We call it the double integral of h. Note that here h is assumed either to be
such that tp = L
ck x.. where Xk is the characteristic function of !"'" Prove integrable or, if it is not integrable, to be nonnegative (and then h d).. = co J
that iff is Lebesgue-integrable in a bounded open set Q of R", then there
by definition). .
exists a sequence {cp,} of special simple functions such that Jn
If- cp,l dx....,. 0 By Lemma 2.16.1, the X-sections h"' are measurable functions. We set
as m-+ co, and lim tp, = f a.e. in n. [Hint: Compare Problem 2.6.5, and use
Problem l.9.7.]
2.15.10. Iff is Lebesgue-integrable on a bounded open set Q of R",
f(x) = Jh,(y) dv(y) (2.16.1)

then there exists a sequence {cpm} of continuous functions, of the form

p
if h,. is integrable, or if it is nonnegative. If f(x) is either integrable or non-
L
j::::; 1
t/1 n(x1)!/J ;2 (x 2 ) ... 1/1 jx.), with 1/1 ii continuous on the real line, such that negative and measurable, then we write
Jo If- cp,l dx-+ 0 as m-+ Xl, and lim tp, = f a.e. in Q.
2.15.ll. Iff is an a.e. real-valued measurable function on a bounded
open set Q of R", then for any > 0, i5 > 0 there exists a continuous func-
J f dJ1 = Jf h(x,y) dv(y) d11(x) = Jd1-1(x) Jh(x,y) dv(y)
tion g(x) in n such that lg(x) - f(x)j < e for all X in a subset E of n, and and call it an iterated integral of h. Similarly we define the iterated integral
.u(.Q- E) < i5.
Jg dv = Jf h(x,y) d.u(x) dv(y) = Jdv(y) Jh(x,y) d11(x),
2.16 FUBINI'S THEOREM
where
We maintain the notation of Section 2.15.
Iff is a function defined on a subset E of X x Y, then, for each x in X, g(y) = JhY(x) d~J(x). (2.16.2)
we call the function
The connection between the double integral and the iterated integrals
f,(y) = f(x,y) for y E Ex
is given by the following theorem, known as Fubini's theorem.
an X-section off Similarly, a -section ofjis defined by
Theorem 2.16.2 If h is a nonnegative, measurable function on X x Y,
fY(x) = f(x,y) for x E EY.
then the functions f(x) and g{y) defined by (2.16.1) and (2.16.2) are measurable,
Lemma 2.16.1 Erery X-section (Y-section) of a measurable function and
in the measure space (X x Y, a x !B, )l x v) is a measurable function in (2.16.3)
the measure space (Y,.>i,v) [(X,<i,ll)].

Proof Let/be a measurable function. For any open interval I on the Proof If h is a characteristic function of a set E, then
real line,
J; 1(J) = {yJ,(y) E J} = {y;f(x,y) E J} Jh(x,y) dv(y) = v(EJ, Jh(x,y) d!-l(x) = Jl(P),
1 1
= {y; (x,y) E/- (I)} = [f - (1) Jx arid the assertion follows from Theorem 2.15. 7. By linearity, the assertion
Since f- 1(1) is in a X @, the set on the right is in @ (by Lemma 2. I 5.1). follows also when h is a nonnegative simple function. By Theorem 2.2.5,
Thus f, is measurable. The proof for fY is similar. there exists an increasing sequence {hn} of nonnegative simple functions that

\
 ..
1-"J?;-
~~.

86 INTEGRATION
FUBIN!'S THEOREM 87
converges to h everywhere. By the Lebesgue monotone convergence theorem
we then have are indeed defined. Furthermore,

lim Jh. d/ = j' h dl.. (2.16.4) JIhi d(JJ. x v) = fJ lhl dp dv = fJ Ihi dv di!.
"-+"' J
Hence lhl d(p x v) < oo. We conclude that lhl is integrable on X x Y.
J
Letf,.(x) = hJx,y) dv(y). Then {/.}is a nonnegative increasing sequence It follows that his also integrable. Now apply Theorem 2.16.3.
of measurable functions and, again by the Lebesgue monotone convergence Theorem 2.16.2 for h a characteristic function of a measurable set E,
theorem,
or Theorem 2.15.8, gives

lim f"(x)
jl'l-+:))
= rh(x,y) dv(y) = f(x).
...
/() = Jv(EJ dJJ.(X) = Jfl(Y) dv(y). (2.16.5)

Hence f(x) is measurable and nonnegative, and

Corollary 2.16.5 A measurable set E of X x Y has measure zero if and
!~'!! Jf. dfl = Jf di!.
only if almost et,ery X-section (or almost every Y-section) of E has measure
zero.
Combining this with (2.16.4), and recalling that (2.16.3) holds for each h.,
we get Indeed, if v(E,) = 0 a.e., then }.(E)= 0 by (2.16.5). Conversely, if
J
J..() = 0, then v(Ex) dfl(X) = 0 and v(E.J ;;:-: 0 a.e. imply that v(EJ = 0 a. e.
The Cartesian product of n measure spaces (X i(j, illi) can be defined
by induction. It obeys the associate law. The product
Similarly one proves that g is nonnegative and measurable, and h dJ.. = g dv. J J
The following theorem, which follows almost immediately from 1! = Ill X "' X fln = TI" /!;
i=l
Theorem 2.16.2, is also usually referred to as Fubini's theorem.
is uniquely determined by the requirement that for any n-rectangle
Theorem 2.16.3 If h is an integrable function on X x Y, then almost A 1 X" X A, of ct 1 X" X (j,no
aery section of h is integrable, the functions f(x) and g(y) defined in (2.16.1) n
and (2.16.2) are integrable, and (2. 16.3) holds. JJ.(AI X ... X A,)= TI p/AJ
i=l

Proof. We may suppose that h ;;:-: 0, for otherwise we write h = h + - h-
and consider each of the functions h+,h- separately. The integrability off
J
and g follows from (2.16.3) and the fact that h d1: < oo. Since f and g are
then finitevalued a.e., it follows that almost all sections of h are integrable.
We give another version, perhaps the most useful one, of Fubini's
theorem.
Theorem 2.16.4 If h is a measurable function on X x Y and if eilher
JJIhi UJ.l dv < w or JJ
Ihi dv d!-! < XJ, then h is integrable on X x Y and the
assertions of Theorem 2.16.3 are ralid.
The Lebesgue measure space of R" coincides with the completion of the pro-
1
duct of n measure spaces, each being the Lebesgue measure space of R .
Fubini's theorem also extends to the case of a product of n measure spaces.
PROBLEMS
2.16.1. If E and F are measurable sets of X x Y such that v(E,J =
v(F.,) for almost all x E X, then .l.() = J..(F) (). = J.1 x v).
2.16.2. Let f(x) and g(y) be integrable functions on X and Y, re~
spectively. Then the function h(x,y) = f(x)g(y) is integrable on X x Y, and

Proof. By Theorem 2.16.2, applied to lhl, it follows that J lhl dJ-1.,

J lhl dv arc measurable functions, so that the integrals, 2.16.3. Show that

JJ Ihi di! dv, ttf

I I
dx dy -#
I 1
Jo Jo f dy dx
 FUD!Nt's THEORE\1 89
88 INTEGRATION

2.16.4. If j(x,y) is a nonnegative Borel-measurable function in R"+k has continuous derivatives of a!! orders in 0:, and
J
(x E R", y E R'), then ff(x,y) dx, f(x,y) dy are Borcl-mea~urable and
D;h(x) = ~ D':f(x,_v) g(y) dy.
Jf(x,y) dx dy = J J
dy f(x,y) dx = J J
dx f(x,y) dy.
c
Here IY; denote-; any partial derivative of order m. Note that the assertion
Here dx dy is the product of the Lebesgue measures dx and dy. form = I, n = I is similar lo the assertion in Problem 2.1 0. 5.
2.16.5. Let E be a planar domain bounded by two continuous curves 2.16.Il. Let n be a bounded open -;ct in R". Let f(xl and g(x) be
Y = <P 1(x), Y = tp 2 (x) for a::;;; x::;;; b, where <P 1 (x) < tpAx) if a< x <b. functions having continuous derivatives in X En, of all orders s; m. A~sume
Prove that iff is a Lebesgue-integrable, Bord-measurable function on, then further that g(x) = 0 outside a compact sttbset of n. Prove that for any
partial derivative n:
of order m
I f(x,y) dp = I
. b ('PI(X)
f(x,y) dy dx, (2.16.6)
... .. a ~ I".P'tL~)

f f(x)D';g(x) dx
Q
= (-I)'" J D;J(x) g(x) dx.
'!l
where Jl is the Lebesgue measure in R 2 .
2.16.6. The formula (2.16.6) remains true (with the same proof) if x [Hint: Suppose m = I, n; = iJi1~x 1 . Replace 0: by an interval containing it
1
varies in a bounded domain of R'" instead of the interval [a,b] of R 1 Using and use Fubini's theorem with X = R 1, Y = R"- , and Problem 2.14.3.]
this formula, compute the volume of the unit ball in R".
2.16.7. Consider the transformation Tx = Ax+ k in R", where A is a
nonsingular n x n matrix and x,k arc column n-vectors. Denote by ). the
Lebesgue measure in R". Prove the relation
(2.16.7)
for n = 2. [Hint: use (2.16.6).]
2.16.8. Prove the relation (2.16.7) for any n;;:: 2. [Hint: Proceed by
induction, and assume that the assertion is true for n - l. Write A = B 1
Bk A 0 , where the Bi arc elementary matrices and A 0 is the unit matrix. Usc
Problem 2.16.1 and the inductive assumption to prove that A.[B/E)] =
ldet Bil..i.(E) for any interval ; hence, by Problem l.9.11, also for any
Lebesgue set.]
2.16.9. Let f.! be a bounded open set in R''. Let Tx = Ax+ k
be a linear map of R" into itself with det A =1- 0. Denote by 0' the image of 0
under the map T. Prove: If f(y) is Lebesgue-integrable for y E 0', then
f(Tx) is Lebesgue-integrable as a function of x in 0, and

Q'
r f(y) dy =
Q
r f(Tx) ldet AI dx.
[Hint: Use Problem 1.9.11.]
2.16.10. Let G be a bounded open set in R" and let n be an open set in
R". Let f(x,y) be a function of (x,y) E n X G, and a~sume that all its deriva-
tives with respect to x exist and arc bounded measurable functions in n x G.
Let g(y) be a Lebesgue-integrable function in G. Prove that the function

h(x) = J f(x,y)g(y) dy
G
 I.
CHAPTER 3 Let X be a topological space. A neighborhood of a set B (point x) is
METRIC
SPACES
3.1 TOPOLOGICAL AND METRIC SPACES
Let X be a set. We call X also a space and we call its elements also
points. Let .)(" be a class of subsets of X having the fallowing properties:
(i) 0 and X belong to .Jf".
(ii) The intersection of any finite number of sets of.)( is in %.
(iii) The union of any class of sets of .Jf" is in %.
We then say that.)(" defines a topology on X, and we call the pair (X,.Jf")
a topological space and the sets of.)( open sets. For brevity, we often denote
the topological space by X. A set B is called a closed set if its complement
X - B is an open set.
A topological space is called a Hausdorff topological spa("e if it satisfies
the following property:
(iv) For any two distinct points x and y there exist disjoint open
sets A and B such that x e A andy e B.
Note that (iv) implies the following:
(v) Sets consisting of single points are closed.
A Hausdorff topological space is called normal if it satisfies the following
property:
(vi) For any pair of disjoint dosed sets E and F there exist disjoint
open sets A and B such that E c A and F c B.
Note that (v) and (vi) together imply (iv).
90
TOPOLOGICAL AND METRIC SPACES 91
any open set A containing B (x).
It is easily verified that the intersection of any class of closed sets is a
dosed set, and that a finite union of dosed sets is a closed set. Given a set A,
we define the closure of A to be the smallest closed set containing A. It
coincides with the intersection of all the closed sets containing A. The closure
of A is denoted by A.
The interior of a set A is the set consisting of all the points of A that
have neighborhoods contained in A. It is denoted by int A.
It is easily verified that Au B =Au B, A= A. Furthermore, x e A if
and only if every neighborhood of x intersects A.
If A is closed and B is open, then A - B is closed, since X- (A -B)=
(X- A) u B is open.
Let Y be a subset of X. With the aid of the topology .)(" on X we can
define a topology on Y as follows: a subset B of Yis in ,)f' y (that is, is open)
if and only if there exists a set D in .Jf" such that B = D n Y. We call ( Y,.)f' r)
(or, simply, Y) a topolo_qical subspace of X, and we say that it has the topology
induced by (X,%) (or, simply, by X).
An open COFering of X is a class of open sets whose union contains X.
A topological space X is called ("Ompact if every open covering of X contains
a finite subclass that forms a covering of X. A subset Y of X is called compact
if it is a compact space in the induced topology. This is the case if and only
if every open covering of Yby sets of X contains a finite subclass that forms
a covering of Y.
In a topological space one defines concepts such as convergence,
points of accumulation. and so on. Since. however, we shall be interested
primarily in topological spaces \vith a special structure, namely, metric spaces,
we shall proceed directly to consider these notions in a metric space.
Recall that a space X is called a metric space with metric p if to any
two points x,y there corresponds a real number p(x,y) such that
(i) p(x,y) ~ 0, and p(x,y) = 0 if and only if x = y,
(ii) p(x,y) = p(y,x) (symmetry),
(iii) p(x,z) .:-::; p(x,y) + p(y,z) (the triangle inequality).
We have defined in Section L 7 the concept of an open set. It is easily
seen that the class of open sets defines a topology. Moreover, metric
spaces are normal. Indeed, to prove (iv) take A= {z; p(:c,x) < p(x,y)},
B = {z; p(z,y) < ip(x,y)). To prove (vi), ,.e take
A = {x; p(x,E) < p(x,F)}, B = {x: p(x,F) < p(x,E)},
where, by dcfmition,
p( C. D) = inf p(x,y), p(x.D) = p( {x},D).
::u:C
y~D
92 METRIC SPACES TOPOLOGICAL AND METRIC SPACF.S 93

It is easily seen that A and Bare open sets, and, obviously (sec Problem 1. 7.6), If y = (f1 1 ,1h, ... ,rf", ... ) is another point of l\ we define
E cA,F c B, An B = 0.
A subset Y of a metric space X is called bounded if sup p(x,y) < a:_. p(x,y) = L"'
n=l
I~"- l"lnl
:x.reY
N ole that a set is bounded if and only if i I is con I ai ned in some ball. 1
Note that/'"' and / 1 are special cases of the spaces L""(X,J.t) and L (X,J.i.)
If Y is a subset of a metric space X, then we can make Y into a metri~: introduced in Problems 2.10.16 and 2.8.1, respectively. Indeed, they are
space (called a metric subspace of X) by taking its metric to he the restriction obtained by taking X to consist of all the positive integers and J.I(E), for any
of the metric p of X to Y. We call this metric the one imluced bv the metric subset E of X, to be the number of positive integers contained in E.
of X.
A subset Y of a metric space X is called sequentiafly compact if cwry Example 4. The space c is the metric subspace of I"' consisting of all se-
sequence {rnl in Y has a subsequence {y".} that converges to a point in quences ( ( 1 , ~ 2 , ... , ~"' .. ) for which lim ~" exists. The space c0 is the metric
Y--that is, p(y"k'y)--> 0 as n,--> w, for some y E Y.
"
subspace of c consisting of all the sequences for which lim ~" = 0,
A subset Y of X is called dense if f = X. Y is called nowhere dense if
n
f has no interior points.
A space X is called separable if it contains a countable dew,e set ExampleS. The spaces consists of all the sequences x = (~1 .~ 2 , ... ~"''".) with
We finally recall that a metric space is called complete if any Caucl1y real componcn ts. Let y = ( f1 1 ,11 2 , .. , 1J" ... ) be another sequence. Then we define
sequence {x"} [that is, p(x",x,.,) __, 0 as m,n--> w] is convergent.
We shall derive later on various relations between some of the. concepts "" 1 1~. - '1.1 (3.1.2)
defined ahove. In particular, it viill be shown that a set Y is comp:H.:t if and p(x,y) = ~ 2" 1 + I"<::;" -
n -I fin
I
only if it is sequentially compact.
To prove the triangle inequality, it suffices to show that for any real numbers
Example I. R", the n-dimensional Euclidean space, is a metric space with a,b,

__:[a__
+hi:...._ < - [a
-I- Ihi
+ ---. (3.1,3)
p(x,y) = {.f (x;- J)<}l/2,
[....:.1
(3.1.1) l + Ia + bl- I +lui I + lhl
Suppose a and b have the same sign, say both are positive. Then
where x = (x1 , ... ,x"), y = (y 1 , ... ,y"). R" is not compact. The Heine-Bore! , ' a+b
----=
a
+
h
<--+--.
a h
theorem asserts that bounded closed subsets of R" arc compact sets. R" is 1+a+b l+a+b l+a+b l+a. l+h
complete. It is also separable, since the points x = (x1 , ... ,x") with rational
componcn ts x, (I ::;; i ::;; n) form a dense sequence. Suppose next that a and h have different signs. We may assume that lal C. lbl,
so that Ia + bl ::::; Ia[. Since the function x/(1 + x) is monotone increasing
Example 2. The real (complex) space !'". Its clements are sequences x = for x > 0, we get
(~1.~2~", ... ) with real (complex) components~"' such that sup1("1 < oc-. [a+ bl
----'--- < - - - < - - -
lui lal lhl
+ ---
n
If y = (ll!J/ 2.... ,1/ 0 , . ) is another point ofF', we define 1 +[a+ hi - 1 + lal - I + lal 1 + lbl'
Example 6. Let - w < a < b < w. C[a,b] is the space of all continuous
p(x,y) = sup I(, - 1/,J functions on [a,b] (real-valued for the real space C[a,b], and complex-
valued for the complex space C[a,b].) If f,g arc two continuous functions on
A sequence {x"'} in I, with x, = (:;'.,. 1 ,. .. ,~,.,"'" .. ), is convergent to y = [a,b], then we define
(r 1 , .. .. y., .. .) if and only if lim x.,." = y, uniformly with respect to n. p(f,g) = max lf(t)- g(t)l. (3.1.4)
"' Q~t:5b

Example 3. The real (complex) space 11 . Its elements are sequences x = We call this metric the maximum metric. Convergence of a sequence in
(~ 1 .( 2 , ... ,(", . . ) with real (complex) wmponcnts .;., such that L
l~nl < CXJ. C[a,b] (with the maximum metric) means that the sequence of functions is
94 METRIC SPACES LP SPACES 95

uniformly convergent on [a.b]. For this reason we call the metric (3.1.4) 3.1.2. Let X,p,p be as in Problem 3.1.1. Prove that p(xmx)-0
also the uniform metric. if and only if j)(x.,,x) ...... 0. Give an example shmving that p and p arc not
equivalent in general.
Definition T"'o mdrics p and p on a space X are called equiralent 3.1.3. Prove that the Cartesian product (X,p) dc!ined in Example 7
if there exist positive constants :x and {3 such that is a complete (separable) space if and only if each space (X,,p;) is complete
:x/i(x,r) ::::; p(x,r) ::::; {3p(x.y) (separable).
for all x,y in X. 3.1.4. Prove that a sequence {x.,}, with x., = (x'" 1 , ... ,Xmn> .) in the
Cartesian prod net defmcd in Example 8, is convergent if and only if, for each
For example, the metrics
n, {x., .. } is a convergent sequence in (X".p"). Prove aho that (X,p) is complete
fi(x,y) =
I
sup
~i~n
lx, - Yd. p(x,y) = J" 1
lx, - .\";I if and only if each space (X",p") is complete.
3.1.5. Prove that the spaces / 1 ,f"",s,c,c0 , and C[a,h] are complete
arc both equivalent to the Euclidean metric (3.1.1) of W. metric spaces.
3.1.6. Prove that the spaces f1 ,s,c,c 0 arc separable metric spaces.
Example 7. Let (X 1 ,p 1 ), .. . ,(Xm,Pml be metric spaces. Their Cartesian product
3.1.7. Prove 1l1at /" is not separahle. [Hint: Consider the points
x~ = (~t.~ 2 .... ~n), where each~ .. is either 0 or I. This is a nondcnumerable
(X, p) is defined as follows: X is the Cartesian product xl X ... X xm
set, and p(x~,x, ) = 1 if ~ #- ('. The open halls B~ of radius j and center ,;
-that is, its clements arc n-tuples x ~, (x 1 , .. . ,xml with x 1 E X., and
satisfy B~ n B:; = 0 if ~ #- ~. If {x111 } is any sequence, then there exist
m
indices ~ such that xm ~ B; for all 111. Another proof: Suppose A = {xm}
p(x,y) = L p,(x; ,y;) (3.1.5)
i.= 1 is a dense sequence, and xm = (<:';' ..... ~:, ... ).Construct a point~ = (.::-1 , ... ,.::-", .. )
not in .-1.]
if y = (y 1 .... ,y.,J Note that if c 1 , .. .,em are any positive numbers, then the
3.1.8. Construct. in each of the spaces l 1 ,fa,s,c,c0 ,C[a,b], bounded
metric
m closed sets that are not seq ucn tia!ly compact.
Pc(x,y) = L
j-J
c, p,(x; ,y;) 3.1.9. Let X be a metric space, and let Ybe a metric subspace of X.
Prove that Y is also a topological subspace or X.
is equivalent to p.
3.1.10. If p(x".x)-+ 0, p(y ... y)--> 0, then p(xn,Yn) --> p(x,y).
Example H. Let {(X,.p;)} be an infinite sequence of metric spaces. Let X 3.1.11. For what values of pis p(x.r) = lx- !Y a metric on the real
be the Cartesian produtt X 1 x X 2 x .,. x X., x. -that is, it consists of !inc?
points x = (x1 ,x 2 , ... ,x.. , .. .), with X; EX i We cannot define p simply by 3.1.12. If K is a dosed subset of a topological space X, and if Lis a
(3. 1. 5) with m = X, since the series may not converge. Instead we define closed subset or the topological subspace K, then Lis a dosed subset of X.

(3. 1.6)
3.2 U SPACES
where .r = (v 1 .y 2 , ... ,y.,, ... ). We call (X,p) the Cartesian product of the Let (X .ct,ft) be a measurable space, and let p he any positive number.
sequence {(X;.p;)} . .!'\ole that the spaces is obtained as a special case, with We denote by ..'f'P(X,p) the class of all measurable functions f such that
all the X; coinciding with R 1 . J.fiP is integrable. We write
PROBLEMS ( j'IJIp 1 'P
I PI1
IIJ.. p = (. t . (3.2.1)
3.1.1. Prove that if(X,p) is a metric space, and if
Similarly, ::t"(X,p) is the class of all measurable and essentially bounded
A( ) _ p(x,y)
p X,J - ' functions. We write
1 + p(x,y)
'f!l., =esssupl.fl. (3.2.2)
then also (X,fi) is a metric space. [Hint: Cf. the proof of l3.!.3).] X

/
96 METRIC SPACES LP SPACES 97

We shall derive an important inequality known as Holder's inequality. Proof. The assertions for p = I and for p = oo are rather obvious.
We shallthcrefore assume that I < p < oo. From
Theorem 3.2.1 Let p and q be extended real numbers, I p :;; co,
P {2P lf(x)]P, if lf(x)] ~ ]g(x)],
$

I :;; q :;; oo, 1/p + 1/q = l. Iff E ,!l'P(X,j.l.), g E .!l'q(X,11), then fg E 2' 1(X,11) lf(x) + g(x)l 5 2P lg(x)IP, if ]g(x)l ~ lf(x)l,
and
it follows that 1/ + giP s 2P]fiP + 2P]g]P. Hence f + g belongs to ZP(X,p).
11/gill :;; I /II Pile I q (3.2.3) Next, using Holder's inequality, we can write

Proof. The assertions for p = l and for p = oo are rather obvious.

We therefore shall assume that I < p < oo. We shall need the elementary
II!+ gl]/ = JIf+ giP dJ1
inequality
s J1!11! + g]p- 1
f
dp. + lg]]f + g lp- 1 dp

(a~ 0, b ~ 0). (3.2.4)

s (J IJIP dp.) llp(J If+ g]P dp) 1 + (J lgiP dp) 1/P(J If+ giP djl)
/q )/q

To prove it, consider the function h(t) = tPfp + t-qjq. It (strictly) decreases
from co to I in the interval (0, 1], and it (strictly) increases from I to oo in the
I = (!1/llp + !1g!!p) II!+ gll~ 1 q.
interval [l,oo), and h(l) = I. Hence From this (3.2.6) immediately follows.
We say that/is equivalent tog iff= g a. e. For any measurable function
for all t > 0. f, we denote hy J the class of all the measurable functions equivalent to f.
Note that iff and g belong to ,PP(X,p), then g E}if and only if II/- BliP =0.
We denote by I!( X ,p) the space of all classes J of functions/ of !f'P(X,p)
Suppose a> 0, h > 0. Taking t = a 11 qWiP and multiplying the resulting and define
inequality by ah, (3.2.4) follows for a> 0, h > 0. The general case a~ 0,
h ~ 0 follows immediately by continuity. p(j,) = p(f,g) = 11/- ellp (3.2.7)
We may assume that II/IlP i= 0, l]g]]q i= 0, for otherwise the assertion
of the theorem is trivially true. We then take Theorem 3.2.3 If 1 s p S oo, then LP(X,).l) is a complete metric space.

lf(x)l Proof. If p(J,g) = 0, then J = g. Also, p(j,g) = p(g,j). Finally, the

a=~-

11/IIP' triangle inequality follows from Miokowski's inequality. Thus, l!(X,p)

is a metric space [with the metric given by (3.2. 7)]. We shall prove complete-
in (3.2.4). We get ness in case 1 s p < oo; the proof for p = oo is left to the reader. Let {f.,.}
be a Cauchy sequence in IJ'(X,p). Then
]f(x)g(x)] I lf(x)IP 1 ]g(xW
---<---+--- (3.2.5)
11/llp IIYIIq- P 11!11/ q llgi[/ . if m,n ..... oo. (3.2.8)

Since each of the two terms on the right is in 2' 1 (X,tJ), the same is true of 1/g].
Further, by integrating both sides of (3.2.5) we obtain (3.2.3).
We shall use Holder's inequality to derive Minkowski's inequality:
Theorem 3.2.2 Let I :!>: p s oo. Iff and g belong to .,2"P(X,Jl), then
also f + g belongs to .,2"P(X,Jl), and
(3.2.6)
The proof of Lemma 2.5.2 shows that Um} is Cauchy in measure. Henc~,
by Theorem 2.4.3, there is a subsequence {fmJ that converges almost um-
formly to a measurable function f. {fm,} then converges to f also a.e. .
Note now that (by (3.2.8)] {J lf~IP dt~} is a bounded sequence. Smce
lim 1/...]P = lfiP a.e., Fatou's lemma gives
JlfiP djl :;; li~ J1/,,lr dJI < oo.
 98 METRIC SPACES COMPLETION OF METRIC SPACES; H"'P SPAC[S 99

Hence 1/1" is integrable-that is,] E I!(X,~J). PROBLEMS

Next, again by Fatou's lemma,
3.2.1. Prove that any function I in I.!'( X,}.!) (I ::0:: p < oo) is the limit,
in the metric of U'(X,J.!), of a sequence of simple functions. [Hint: For f
J1/ - ! ..kiP d}l ::;; li~
J
JIf..; - f ...lp d}l __,. 0 if m r-> cc. (3.2.9) bounded and nonnegative, take the sequence constructed in Theorem 2.2.5.
For f nonnegative, the sequence given by f. = min (f,n) is convergent to f
Finally, by (3.2.8) and (3.2.9), for any e > 0, in I!'( X ,/<).1
3.2. 2. Let 11 be the Le besguc measure on R". Prove that if I ::0:: p < co,
p(JJ,) $ p(jJm.) + p(f.,.Jn) ::;; e then I!(R",~J) is separable. [Hint: Take the sequence of simple functions
if n ~ mk ;::>: m(e). Fixing mk ~ m(e), we get p(f,f..) ::;; e if n;::.: mk. This shows
I c1 XE; where c1 are rational and E; are intervals with rational end-points.
that p(J.,J) __,. 0 as n __,. oo. To show that I= y 10 [/<{) < c.o] is in the closure, usc Problem 1.9. 7.]
3.2.3. Show that if /E lJ(R",J.!) (iJ =Lebesgue's measure) and 1 ::0::
The completeness part of Theorem 3.2.3 is sometimes called the
Riesz-Fischer theorem. p < oc-, then there is a sequence of continuous functions/., on R" such that
[If- fmllp--' 0.
3.2.4. Prove that I P is separable if I ::0:: p < oc-.
Notation For simplicity we shall refer from now on to the elements of 3.2.5. Prove that I P is not a metric space if 0 < p < l.
I!(X,J.!) as functionsf(instead of classes]). Equality between functions/and 3.2.6. Prove that the space C[a,b] with the metric
g of I!(X,~J) then means that/= g a.e. If the functions are all extended real- b
valued (complex-valued), then we speak of the real space I!(X,J.!) [the complex
space I!(X,.u)].
p(f.g) = r lf{t)- g(t)l dt
'"
is not a complete metric space.
Definition The real (complex) fP is the space of sequences ~ = 3.2.7. Prove that equality holds in Minkowski\ inequality (3.2.6)
(~,.~1~" ... ) with real (complex) components, such that if and only if either f = 0 a. e., or g = 0 a.e., or .f(x) = i4(x) a.e., where i.
is a positive constant. [Hint: If equality holds in Holder's inequality, then
lf(x)IP = i<IB(xW a.e., where}.! is a constant.]
J .2.8. Let / 1 , . .. .fm,g 1 , . ,g., belong to I!'(X,/<), I ::::; p ::0:: c.o. Prove that
Theorems 3.2.1 and 3.2.2 yield the fo1lowi ng results as special cases
(compare the remark at the end of Example 3 in 3. 1) :
ttl JI/;+ g,[P dfl} l i p $ ttl Jlf.IP dfl} 1/P + ttl J [g.[P dJ.!} lip.

[Hint: Introduce a measure space (A,v), where A= {1,2, ... ,m}, v{i} = 1,
Corollary 3.2.4 Jf ~ = (1<':, 1~~~' 2 , ... ,"-:,n'
1< ... ) E JP and
11 = (TJ 1' 11 2, ... , 11 n~++ ) and apply Minkowski's inequality in the product of the spaces (X,J.!) and
El\ where I :s;p::;; co, 1 < q <co, 1/p + 1/q = 1, then {A,v).]
3.2.9. If j~-'" f in IJ'(X,!<) (that is, if [If. -/II" ...... 0) and if 9n ...... g
in U(X,J.!), where 1 ::;; p::;; oo, 1 ::0:: q::::; oo, 1/p + 1/q = I, then f. g.__,. fg
(3.2.10)
in J.!(X,I').

Corollary 3.2.5 Jf ~ = (~,.~ 2 , .. ,~n) and 11 = (T1J,TJ 1 , ... ,TJn, .. ) be-

long to IP, where I $ p ::;; cc, then also ~ + 11 belongs to IP, and 3.3 COMPLETION OF METRIC SPACES;
H '"P SPACES

(3.2.11) Let (X,p) and {X,,O) be two metric spaces. A map a 'om X into X is
called isometric if ;!(O"x,ay) = p(x,y) for all x,y in X. We call a also an
. Holde:'s inequality for p = q = 2 is also known as Schwarz's inequality. imbedding of(X,p) into (X,fi). If a is onto. then we say that O" is an isomorphic
The mequahty (3.2.10) for p = q = 2 is also known as Cauchy'!_i&quality. map and the two metric spaces are said to be isomorphic to each other.
 .,......
COMPLETION OF METRIC SPACES; H"'P SPACES 101
100 METRIC SPACES 1

(c) p is a metric. Indeed, clearly p(x,Y) -;::: 0. Next, if p(x,ji) = 0,

The following theorem shows that any metric space can be imbedded
then there are Cauchy sequences {x,} in xand {y.} in ji such that lim p(x,,y.) =
in a complete metric space such that its image is dense.
0. But this implies that x = y. The symmetry of jJ is obvious. Thus it
Theorem 3.3.1 Let (X,p) be a metric space. Then, there exists a metric remains to prove the triangle inequality. Let {x.} e x, {y,} e y, {z,} e z. Then
space (:\,p) with the following properties: {J(x,z) = 1im p(x. ,z.) ::-; lim p(x, ,y.) + lim p(y. ,z.) = p(x,Y) + p(y,z)
(i) (:\,p) is complete. n n n
(ii) There is an imbedding cr from X into ~ (d) Denote by x* the class containing the constant Cauchy sequence
(iii) cr(X) is dense in 5:.. {x,x, ... ,x, ... }, where X EX. Then p(x*,Y*) = p(x,y). Hence the map u: X-> x
lf (X,p) is another metric space with these three properties, then it is is an isometry of X into X.
isomorphic to (X,p). (e) We shall prove that (k,/J) is a complete space. Take a Cauchy
sequence {x.} in X. In each class Xm choose a Cauchy sequence {x,,t,x.,z, ... ,
We call (:\,p) the completion of the metric space (X,p). Xn m, ... }. Then, for each positive integer n there is a positive integer k, such

that
Proof. We divide the proof into several steps.
. (a) Two Cauchy sequences {x.} and Cr.} in X will be called equirafent 1
1f p(x,,y,)-> 0 as n-> w. This relation is reflexive, symmetric, and transitive.
p(x,,., ,Xn,kJ $-;;
We can therefore form classes x of Cauchy sequences, each class containing
only mutually equivalent Cauchy sequences, such that sequences of different Consider the sequence
classes are not equivalent to each other. We take the space X to consist of ( 3.3.3)
these classes x, and we define
We claim that this is a Cauchy sequence in X. Indeed, if x:,k. is the class
P(xS) = lim p(x, ,y.) (3.3.1) of the constant sequence of x .. then

where {x.} ex, {y,} e ji. (3.3.4)

Since
+ p(x,,y,) + p(y.,y.),
p(x,,_v.) ::::; p(x,,x,)
Hence,
we have p(x.,y.) - p(xm,J',) :$ p(x,,x'") + (p(y.,,y.). Writing also the same
inequalit)"but with m and n interchanged, we sec that
lp(x.,_v.) - p (x.,,y,.)l ::-; p(x.,x,) + p(J'.,,J.).
1 I \
It follows that the limit in (3.3. 1) exists. ::-; pe.x,,5::,.) +- +-.
(b) We shall show that the definition of pis unambiguous-that is, if n m
{)',}EX, {Y,} E j', theu
It follows that p(x.,k.,x.... J-> 0 if m,n-+ w.
lim p(x. ,J'n) =lim p(x, ,y.). (3.3.2) (f) Denote by x the class containing the Cauchy sequence of (3.3.3).
" " Then
Since

v.-e get
by (3.3.4). Since also, for any e > 0,
lim p(x, ,y.) ::-; lim p(x. ,Y.).
n p(x,x:. J = lim p(x j.k;x.,,) < e
j
The reverse inequality is obtained in a similar way.
102 MHRIC SPACES COMPLETION OF METRIC SPACES; H"'P SPACES 103

if n is sufficiently large, we conclude that PROBLEMS

lim p(x,Xn) 0. Let A be a compact subset of Rn and let B be an open set con-
= 3 .3 1 h R" h that h - l
n
tanung . A Prove that there exists a C"' functwn . on sue -
Thus the given Cauchy sequence {Xn} converges to x. This proves that (f?,{J) on A, h = 0 outside B, and 0:::; h:::; 1 in B- A. (Hmt: Let
is complete. 0, if lxl C. 1,
(3.3.6)
(g) We next show that o-(X) is dense in 5?. Let x EX. Take {xn} Ex.
Then ct~ch class x:,containing the constant sequence {x",x", ... ,xm . .. }, is in
o-(X), and /J(x,X!) = lim p(xn,xml--. 0 if n--> co.
p(x) =
( c exp {lxl 2
l
_ J if [xi< l,

fi~ally, (X ,p) d I 1- (~ x2)tl2 Take

(h) Suppose, that is another metric space satisfying
(i)-(~i). Denote the corresponding imbedding from X into X by ii. For any
where c is a constant such that fR" p(x) dx = I ' an x - ;'~:1 '

.\i E X, let {x"} be a seq ucncc in X such that a(x.) --. ~. Since ii is an isometry, jX- }')
{xn} is a Cauchy sequence. Denote by
a correspundcm:e /' by ;(~) =x.
x a class containing it.
Note that if y EX
We then define
and a'(y.) _,.p,
{y"} E y,
h(x) = e- f p\-e- G dy,

then, by Problem 3.LIO, where G is a bounded open set, A c: G c: G c: B, and e > 0 sufficiently small.
Use Problems 2.16.9, 2.16.10.] P( ) h
p(ty) =lim Niixn,GY") =lim p(x.,y.) = (J(x,S'). 3 3 2 We denote by ll'(O) (I 5 P < oo) the space ~ X,fl' :' er.e
n d" t pen set n m R
(X,fl) is the Lebesgue measure space correspon mg o an o .
Thus }' is an isometry. r is also an isomorphy. Indeed, every E 1? con- x Let u e ll'(0:), and define
tains a Cauchy sequence {x"}. The sequence {ax.} is a Cauchy sequence
in X. It we denote by~ its limit in X, then dearly;.'(.~)= This completes x. (J,u)(x) = e- fa r(x ~ y)u(y) dy (e > 0). (3.3.7)
the proof of the theorem.

Theorem 3.3.1 shows that metric spaces can be completed. However, We call J.u a mollifier of u. Prove that
the e Iemen ts of the completed space are more complicated entities than those
(i) J,u is in C'''(R"). hes outside
of the original space. In many instances when this completion needs to be (ii) If u vanishes outside a subset A of n, then J u vanJ s
carried out, the problem arises of giving a simple characterization of the -neighborhood of A (that is, outside the set {x; p(x,A) < e}}.
clements of the completed space. We shall give one important example. an e h (K R" - !1) > () > 0 then
(iii) If K is a closed subset of Q wtt P - '
Let 0: be a bounded open set in R". We denote by cm(n) the set of
functions u(x) that are continuous in n together with all their first m deriva-
tives. The subset consisting of the functions that have a compact support
(J u)(x) = e-

J
]y-xl<<
p(x - Y)u(y) dy =
e
f11< 1
p(z)u(x - ez) dz

(that is, that vanish outside a compact subset of n) is denoted by C~(n).

for any x e K, provided e < b.
The corresponding spaces of iRfinitcly differentiable functions are denoted
by C''(Q:) and cg (0:). We also write C(fl) = C 0 (0:) and C 0(0:) = C8(0:). 3.3.3. If u e ll'(Q) and K, e are as in Problem 3.3.2, then
V.le write JY = D~' ... D:", where DJ = 2/cx;. and let IIJ. u II LP(K) :::; !I u II L P(O)
Here we have used . 11 [I
t he notatwn. Jt . L P(Gl -
- [[wiiG [Hint:
P ,
Use Holder's
(l:s;p<oo), (3.3.5)
inequality.] 32 h
33.4_ If u e l!'(Q) and K,e are as in Problem 3.. , t en
where the integral is taken in the sense of lebesgue, and the summation
is taken over all the indices '1 = ('1 1 , ... ,::~.) with led = '1 1 + ... + '1" :::; m.
1\J,u- ullu(Jrl __,. 0
as E __,. 0.
We also write lluiiP = llu' ~ = llull~.p; the latter is defined for any measurable . f . Th n approximate u by con-
[Hint: Prove it first for contmuous unctwns. e
set n in R" and for any u measurable on n. tinuous functions, using Problem 3.2.3.]
 104 METRIC SPACES COMPLETE METRIC SPACES 105

3 .3.5. Cij(Q) is dense in I!'(!l). a Cauchy sequence {urn} in the metric (3.3.8) of functions that belong to cm(O),

[Hint: Prove that fx d~- On Eq>

J f
3 .3.6. Let f E I!'( 0:) If fi dx 0 f
= or all 'P e Cg'(O), then!= 0 a.e.
such that Jn Iurn - ul P dx --> 0 as m .....,. oo.
D _,. 0 E - any compact subset of 0: ]
enote by L- '"(0:) the subset of C"'(O:)
for which llull,. < oo. Then C"'(O:) . . conSIStm~ of those functions u PROBLEMS
'" ts a metnc space wtth the metric
3.3.7. If u E H"'"(O) and v e C0(0), then uu belongs to H'""(O:).
. p(u,v) = jju - vii,.,". (3.3.8) 3.3.8. The components u occurring in (3.3.10) are called the :t:th
Note that the tnangle inequality follows from Preble 3 2 8 strong derivatiFes of u. Prove that if v e C'"(Q) and u e H'""(O), then, for any
Let {u,.} be a Cauchy seq
(3.3.8}--that is, uence m
C"'( .m
Q) with respect to the metric open set no with rlo c:: n,
./
) f
lls'" n ID~u '" - D'uk 1" dX__,. o as m,k __,. oo. (3.3.9)
as elements of 1!'(00 ),

- 1"1
By Theorem 3.2.3 there exist functions u (0 < "'" -< m ) m
. '"(,....)
u such that J..; where D"(uv), D~u are taken as strong derivatives, and fi :.-;:; tt means that
fi, ,:.-; :t:; for all i.
L Jn JLPu, -
11 "'"' u"']Pdx __,. 0 as m __,. oo. (3. 3.10)
Any two equivalent Cauchy se u
Thus, each class of equivale~t e~C:~ ~ve the same u ~as elements of I!'(Q)].
i:
{u~; 0:::::; jrtj :::;; m} with components bc~):uences grves a unique vector
3.4 COMPLETE METRIC SPACES
Theorem 3.4.1 Let {Fn} be a monotone-decreasing sequence of non-
Lemma 3.3.2 For any rp e C"' (0), empty closed sets, in a complete metric space (X,p). If the sequence of the
diameters d(Fn) converges to zero, then there exists one and only one point
t u({J dx = ( -1)11 I uolP({J dx. (3.3.11) that belongs to
n~t
nF
~

Proof Integration by parts gives This theorem is an extension to metric spaces of the nested sequence

t D"u,. ({J dx = ( -l)ll I u, D"([J dx. theorem on the realli ne, with F n being closed intervals.

Proof There cannot be two distinct points x and y that belong to

Now take m __,. oo.
nF., for otherwise p(x,y) ,:.-;; d(F.) __,. 0 as n-> oo-that is, p(x,y) = 0. To
Corollary 3.3.3 If uo = 0, then u = 0 for all 0:::;; jaj :::;; m. "
prove that nf" is nonempty, choose in each fm a point Xn Then p(Xm Xm):.-;;
n

Indeed, if uo = 0, then, by (3.3.11) J d (Fm)---+0 if n :?: m----><>C. Thus {x"} is a Cauchy sequence. Denote by x its limit.
Now use Problem 3.3.6. ' n u 'P dx = 0 for all ({J e CQ'(O).
Since each set f" is a closed set that contains all the xn, with m :?: n, we have
by uo.The corollary shows that the u for 0 < jrtj <
- m are de termtne
. d umquely
.
X E F.. Hence X E nFn.
We denote the completion of C'"(Q) . "
by H'""(Q) W h with respect to the metric (3 3 8)
e can t en state :

Theorem 3.3.4 The elements ofHm"(!l) . .

of P(O). A function u in L"(O:) belon m,~an b~ Identified With functions
gs to H (Q) if and only if there exists
 106 METRIC SPACES

. Definition A metric space is said to be of the first category if it can be

_wnuen as a countable union of sets that are nowhere dense. If a metric space
.i,_,
I
:

i ,.r
. ~-
_-
.' COMPACT METRIC SPACES

accumulation (compare Problem 3.1.7). Write it as a double sequence {xm.}

107

and take F~ = {x.. i; 1 5, m < oo, n 5,j < oo }.]

IS not of the first category, then we say it is of the second category. i f. 3.4.5. A set Yin a metric space X is said to be of the first category in
The space of rational numbers on the real line with the Euclidean I ::
-1( _, X if it is contained in a countable union of nowhere dense sets of X. If Y is
?Ietric is clearly a space of the first category. On the other hand, the real line ,. -
1 -~- not of the first category in X, then it is said to be of the second category
IS a space of.the second category. In fact, the last assertion is a special case
in X. The real line with the Euclidean metric is a space of the second category.
of the followmg general theorem, known as the Baire category theorem:
Prove, however, that, as a subset of the Euclidean plane, the real line is a set
of the first category.
Theorem 3.4.2 A complete metric space is a space of the second categor:r. 3.4.6. A countable union of subsets (of X) of the first category in X
is again a set of the first category in X.
"'
Proof. Suppose X= U
i= l
Xi, where Xi are nowhere dense-that is
'
the 3.4.7. Let f(x) be a real-valued function on the real line. Prove that
there is a nonempty interval (a,b) and a positive number c such that for any
sets Xi have no interior points. Fix a ball B(x0 ,1). Since X 1 does not contain
x E (a,b) there is a sequence {x.} such that x. _,. x and lf(x.)l 5, c.
B(xo, I), there is a point x 1 in B(x0 , 1) such that x 1 X 1 But then there is also
a ball B(x1 ,r.) such that B(x1 ,r.) c B(x0 ,1) and B(x1 ,rt) n X = 0. We
1
may assume that r1 < 1-. Similarly, there is a point x 2 such that B(x r ) c
B( ) - - z, 2
. x~,rt and B(xz,r 2) n X 2 = 0. We may assume that r 2 < }. Proceeding 3.5 COMPACT METRIC SPACES
similarly st~ by step,_we get a sequence of decreasing closed balls B(xnorn)
such that B(xn,rn) n Xj = 0 if I 5, j 5,n, and r. _,. 0. By Theorem 3.4.1 A subset Y of a subset Z of a space X is called dense in Z if Y => Z.
there is a point x that belongs to all the closed balls B(x.,r.). But the~ If Z has a countable subset that is dense (in Z) then we say that Z is separable.
X f.xi u
for all j ;:::: I. Hence X f. X j = X' a contradiction.
j
Theorem 3.5.1 A sequentially compact suhset of a metric space is
_Let 0 be a bounded open set of Rn. We denote by C'"(r.i) the spaces of a closed set.
functions u(x) all of whose first m derivatives are uniformly continuous in n
(and thus can be extended, by continuity, to Q). If u E C'"(r.i) then the number
Proof. Let K be a sequentially corn pact subset of a metric space ~.
Jul ... n =Jul .. = ) sup ID'uj (3.4.1) We have to show that if {x.} is any sequence in K that converges to a pOint
1~H,m n yin X, then y E K. By assumption, {x.} has a subsequence {x.J that con-
is finite. verges to a point x in K. Since, clearly, y = x, we conclude that y E K.

PROBLEMS Theorem 3.5.2 A sequentially compact subset of a metric space is

bounded.
3.4.1. Prove that C'"(fi) is a complete metric space with the metric
p(u,v) = ju- vj,. Proof. If a sequentially compact subset K of a metric space X is not
(3.4.2)
bounded, then it contains a sequence {x.} such that p(x.,z) _,. oo as n ..... oo,
When m = 0, we call this metric the maximum metric, or the un(/orm metric. where z is any given fixed point. But then, for any pointy and for any sub-
3.4.2. Prove that the metrics (3.3.8) and (3.4.2) on cm(f!) are not sequence {x.J of {x.}, p(x.k,y) __. oo as k ..... w. Thus {x"} does not have a
equivalent.
convergent subsequence.
3.4.3. Give an example of a sequence of monotone-decreasing closed
sets F. in a complete metric space such that d(F.) = ro and F.= 0. n Theorem 3.5.3 A sequentially compact subset of a metric space is
3.4.4. Give an example of a sequence of monotone-d~creasing closed separable.
sets F. in a complete metric space such that d(F 1 ) < ro, lim d(F.) > O, and
n
n
F. = 0- [Hint: Let {yJ be any bounded sequence with no points of
Proof. Let K be a compact subset of a metric space X. Take any
point x 0 and let d0 =sup p(x0 ,x). By Theorem 3.5.2, d0 < w. Now choose
XEK
108 MFTRIC SPACES COMPACT METRIC SPACES 109

x, inK such that p(x0,x1);.;:: d0/2. Proceeding by induction, we choose xn+l
in K such that min f!(X1,x. + 1 ) ;.::: d.i2, where d, = sup min p(xi,x).
1 :::;_j.:::;;P1 xEK 1
Let B 1 ,B 2 , ... be the sequence of all the balls B(Ym 1/n') that occur in
the above way when G varies over the sets E~- Each BJ is contained in some
set E~ The sets {~;} then form an open covering on K We can now apply
1
::;.j~n

Clearly d0 ;.::: d 1 ;.::: .. . If d. ;.::: .5 > 0 for all n, then no subsequence of {x,} is a
the result of the last paragraph.
Cauchy sequence. This, however, contradicts the assumption that K i~
Combining Theorems 3.5.1-3.5.4, we get:
sequentially compact. Hence d._,. 0 as n ___,.co. But this implies that {x.}
is dense in K-that is, K is separable.
Corollary 3.5.5 A compact subset of a metric space is closed, bounded,
Theorem 3.5.4 A subset of a metric space is compact if and only if' it is
sequentially compact.
r and separable.

Definition A subset K of a metric space X is called totally bounded

Proof Suppose K is a compact subset of a metric space X. If it is if for any > 0 there is a finite number of balls B(x 1,e), with x 1 EX, that
not sequentially compact, then there exi~ts a sequence {x.} in K having no cover K. These balls arc said to form an -covering.
points of accumulation in K. This sequence contains an infinite subsequence of
mutually distinct elements. Denote this subsequence by {_r"}. Since each point Theorem 3.5.6 Let X be a complete metric space. A closed subset K is
Ym is not a limit point of the sequence {y.}, and since r. #- y'" if n #- m, there compacl if and only if it is totally bounded.
is a ball B(ym,r ml such that B(y'",r ml n K docs not contain any of the points y.
with n #- m. The sequence {B(y'",r'") n K}, together with the set K- {y,},form
Proof Suppose K is compact. For any & > 0, the class of balls
an open covering of K. Since no finite subclass of these open sets can cover
{B(x,s); x e K} forms an open covering-of K. Hence there is a finite subclass,
K, we have obtained a contradiction to the as~umption that K is compact.
say {B(x 1,e); i = l, ... ,m}, that covers K. Thus K is totally bounded.
Suppose conversely that K is sequentially compact. We shall show first
Conversely, let K be closed and totally bounded. We shall prove that
that any countable open (in X) covering of K has a finite subclass of open
K is sequentially compact. Let {y,} be a sequence of points in K Take a
sets that cover K. Let {E;} be the open sets of the covering. Suppose that for
finite 1-covering of K: {B(x1 , 1), .. . ,B(x,, I)}. At least one of the balls B(x;, I)
any n, " E does
U not cover K. Then there exists a sequence {x.} in K such contains an infinite subsequence {y., 1 } of tv.}- Next, take a -!-covering of K
1
j-1
by a finite number of balls, and extract a subsequence {r. ,z} from {J'. l}
that x, rf- " E;. Let {x,J be a subsequence of {x.} that converges to a point
U that is completely contained in one of the balls of radius 1. Proceeding in this
j~l
way step by step, we extract in the mth step a subsequence {_)lm,.}, of {J .... -1 },
"
yin K. Since X - U
j~
Ei is a closed set containing all the points x'" v.ith m :2: n,
l
which is contained in a ball of radius 1/n. The diagonal sequence {r,. ... } is
~1 ~
then a Cauchy sequence. Since X is complete, lim Ym.m exists in X. This
)' belongs to this set. But then _r E (X- UE;)-that is, y rf- UEi. Thus y K, m
limit also belongs to K, since K is closed. Thus K is sequentially compact.
i~ 1 j~ I
which is impossible.
Now take any covering of K by a class {EJ of open sets in X. By Theorem PROBLEMS
3.5.3. there is a dense sequence {_r,} in K. The sequence of balls
3.5.1. A subset Y of a metric space X is separable if there exists a
sequence of points in X whose closure contains Y.
where m.n = 1.2, (3.5.1) 3.5.2. A subset K of a metric space X is totally bounded if for any
e > 0 there is a finite covering of K by open balls with centers in X.
then has the following property: for any open set C of X there is a subclass 3. 5.3. Let Y, Z, U be s ubscts of a metric space X. If Y is dense in Z and
of the balls from (3.5.1 ), say {B(_r ... , 1/n'l} such that G n K is the union of the Z is dense in U, then Yis dense in U.
sets K n B(y,., lfn'). Indeed, for any x E C n K there is a ball B(x,r) in G. Take 3.5.4. A subset F of a compact metric space is compact if and only
Ym such that p(y.,,x) < l,in, where 2./il < r. i'i integer. Then x E B(y;;;-,1/il) c G. if it is closed.
Now denote by B(_r,. .. l/n') the distinct halls B(y"'.l/i1) obtained when x 3.5.5. A subset Y of a metric space is totally bounded if and only if
varies in G n K. its closure f is totally bounded.
 CONTINUOUS fUNCTIONS ON METRIC SPACES 111
110 METRIC SPACES
IJ(y"J- f(x,.)l _:::; lf(Y.k)- J(y)l + lf(x)- f(xn.)l--+ 0
3.5.6. The intersection of any number of compact subsets of a metric
ask--+ w, which contradicts (3.6.1).
space is a compact set.
3.5.7. A subset of a separable metric space is a separable space. Theorem 3.6.2 A real-valued continuous function on a compact subset
3.5.8. Show that a metric space is compact if and only if it has the y of a metric space X is bounded and has both maximum and minimum.
following property: for every collection of closed subsets {Fj, if any finite
subcollection has a noncmpty intersection, then the whole collection has a
Proof Let M = sup f. Then there exists a sequence {y,} in Y such
nonempty intersection. y
3.5.9. Prove that a closed set K of points x = (xl>x~, . .. ) in /P ;
I that f(y")--+ M. Let {Y,.} be a convergent su~sequence of {Yn}, and denote
its limit by y. Thenf(y,.) -+((y) as n--+ w. Th1s shows that M < w_ and t_h~t
(1 ~ p < YJ) is compact if (i) I"' lx.IP ~ C for all x
"=- 1
stant, and (ii) for any c > 0 there is an n0 such that
E K, where C is a con-

I"' '
lx.IP :::; e for all I f(y) = M. Thus/has a maximum on Y. The proof thatfhas a (fimte) mml-
mum is similar.
The following result is usually called the Tietze extension theorem.
XE K. I
3.5.10. The Cartesian product of a countable number of compact I Theorem 3.6.3 Let f be a hounded, real-valued, continuous function on.
metric spaces is a compact metric space. a closed set y of a metric space X. Then there is a continuous function F
defined on X with F(x) = f(x)for x E Y, and

inf F = inf f, sup F =sup f. (3.6.2)

3.6 CONTINUOUS FUNCTIONS X y
X y
ON METRIC SPACES
Proof Suppose first that f;::.: 0. Consider the function
A function f (real- or complex-valued) defined on a subset Y of a
metric space is said to be continuous a1 a point Yo of Yif for any e > 0 there
is a o > 0 such that lf(x)- /(J'o)l < c for all x E Y n B(y 0 ,b). If fis contin-
M/r) = sup f.
uous at each point of Y, then we say that/is continuous on Y. This defmition
t.
I
Y'"1B(x.)

is equivalent to the one given in 2.1. A function f is said to be uniformly
o
continuous on Y if for llny E > 0 there is a > 0 such that lf(y) - f(x)l < e
whenever y and x belong to Yllnd p(y,x) <b.
One easily verifies that f is continuous at y 0 if and only if for any
For each x EX, Mx(r) is bounded and monotone increasi~g in r. Hence it
is integrable on finite r-intcrvals. We define F by F(x) = flx) 1f x E Y, and
1 H(x)

sequence {x.} in Y such that p(xn,Yu)--+ 0 as n ..... co, /(x") --+f(y 0 ) as n--+ 'X!.
f(x) = ~
o(x)
J O{x)
MAr) dr (3.6.3)

Theorem 3.6.1 Tl f is a continuous function on a compact suhset Y of a if x 1- Y. where (i(x) = p(x, Y). N ole that b(x! > 0 if x ~ Y, since Y is closed.
metric space X, then f is uniformly continuous on Y . We first prove that F is continuous at any pomt y E Y. Smce, for x 1- Y,

Proof. if the assertion is false, then there is an e > 0 and sequences min f ~ F(x):::; max f, where o= p(x,y),
{y.}, {x"} in Y such that Yntl{y.Jol) Y,-,!l(y,Jol)

(3.6.1) and since 3.5 __, 0 as x -+ y (x f$ Y). it follows that, for any e > 0, IF(x)- f(y)l
< if x 1- y and b(x) :::; () 0 , where ,) 0 is sufficiently small. On the_ othe~ ?and,
and p(y.,x,)--+ 0. There exist subsequences {y"J and {x.J that converge to IF(x) - f(y)l = lf(x) - f(y)l < e ifx E Yandp(x,y) :s b 1 , whereo1 tssuffiCJently
points y and x, respectively, belonging to Y. Since small. Thus F(x) is continuous at y. . .
Consider next the continuity of F at a pomt z f Y. Let X be any P?lllt
p(y,x) :::; p(y,y"J + p(.r,,,xnJ + p(x,,,x)--+ 0 as k --+ a:;, in X with p(x,z) < ~p(z,Y). Let h = p(x,z). Then 2h < p(x, Y). Smce
we have p(y,x) = 0--that is, y = x. Hence
 112 METRIC SPACES
CO~TINUOUS FUNCTIONS ON METRIC SPACES 113
lb(x) - o(z)j :5" h, Mz(r) :<::: M:.;(r- h), and M.(r);:::: 0, we have
Theorem 3.6.4 Let % be a family of functions, uniformly bounded and
equicontinuous on a compact metric space X. Then any sequence {fn} offunctions
F(x)- F(z) of % has a subsequence that is uniformly convergent in X to a continuous
function.
1 .2~( x) 1 2~(<)
= b(
X
) J6(x) M,Jr) dr- -J
o(z) ~(z)
Mz(r) dr
Proof Let {xm} be a dense sequence in X. Since the sequence {f,(x 1 )}
is bounded, there is a subsequence {f.. 1 (x1)} that is convergent. Next, the

:5" b()
1 (26(x)
A..J_.(r) dr-
1
(
2~(;<)- 2h
M (r _h) dr
sequence {f,,,(Xz)} ~s bounded. Hence it has a subsequence u..
2(Xz)} that
X ~(-') O(X) + h '&(x)+h x is convergent. We proceed in this way step by step. In the kth step, we extract
.
a convergent subsequence u~ (x._)} of the bounded sequence Un.k-I(xd}.
1 26(x)- 3h 1 2~(><) Consider now the diagonal sequence {/,,,} of the double sequence {f...~},
= .<:(x)
-
U
J~(x)
M x (r) dr + -J:( )
u X
J l~(x)- Jh
M "( r) d r and write g, =!.. .. Then {gnCx.)} is convergent for every k, since, except for
the first k terms, it is a subsequence of {f.,1 (x1)}.
1 2~(x)- Jh We shall prove that {g.} is uniformly convergent in X. Since the family
- b(x) + h J.,.,) M_.(s) ds {g,} is equicontinuous, for any e > 0 there is a b > 0 such that

lu.(x)- g.(y)l < e whenever p(x,y) < b,

- h flli(.<)-3h 1 2~(x) 4hM
- Mx(r) dr + - M r dr < - - for all x,y in X and I s n < oo. For any x EX we now write
b(x)[b(x) + h] o(x) b(x) J26(x)- Jh ..( ) - b(x) '

where M = s~pf A similar inequality holds with x and z interchanged.

where x 1 is such that p(x,xJ < 8. Then
Hence F(x)---> F(z) as p(x,z)---> 0.
It is now easy to complete the proof of the theorem. Let c = infj and (3.6.4)
J = f- c. Then 0 :::;; J:::;; C - c, where C ~ sup f
consider the function
The continuous extension i given by (3.6.3), with f replaced by J, satisfies j We now claim that there is a finite number of the points xk, say x 1, ... ,xh,
such that for any x EX there is a point x" with I :::;; k s h such that p(x,xk) < b.
Indeed, take a finite (J/2)-covering of X by balls B 1 , .. . ,BP and choose in each
0 :::;; F(x) :5" C - c. Hence the function F = i + c is a continuous extension
of /into X and it satisfies c :5" F(x) :::;; C-that is, it satisfies (3.6.2). ball Hi a point x~, from the sequence {xm} Then the claim above holds with
h =max (:x 1, ... ,o:P).
For each k, I _:::;; k s h, there is a positive integer n1 such that
Definition A family U~} of functions defined on a set Zis said to be
uniformly bounded if there is a constant C such that lfix)j :::;; C for all a: and
for all x E Z.
Using this in (3.6.4), we get jg,(x)- Ym(x)l < 3e if m ~ n :<::: il, where n =
Definition A family {f~} of continuous functions defined on a subset max (n 1 , . .. ,nh). Thus {g,} is uniformly convergent. Denote by /(x) the
Z of a metric space (X,p) is said to be equicontinuous if for any e > 0 there uniform limit of {g,(x)}. Then, for any e > 0,
exists a b > 0 such that
1/(x)- /(.r)l :::;; lf(x)- g.(x)l + lg,(x)- giy)l + lg.(y)- f{y)l
1/_.(x) - f~(Y)I < e if p(x,y) < b, < 2e + lg.(x) - g,(y)l
for all x,y in Z and for all a:. if n is sufficiently large. We now fix n. The uniform continuity of g, then
We can now state the following result known as the lemma of Asco/i- implies that lg,(x)- g.(y)l < c if p(x,y) < 8. Hence lf(x)- /(y)l < 3e if
Arzela. p(x,y) < 6. Thus,f(x) is continuous, and the proof ofthe theorem is complete.
I
114 METRIC SPACES
CONTINUOUS FUNCTIONS ON METRIC SPACES 1\5
For any compact metric space X, we denote by C(X) the space of all
functions f(x) that are continuous on X. We introduce in this space the PROBLEMS
uniform metric
I' 3.6.1. Let Q be an open set in R", and let {Q'"} be an increasing
sequence of bounded open sets such that n.. c n,. +I ,Q = mld"' \Qm Prove that
p(f,g) =max lf(x)- g(x)[. (3.6.5)
,..x C(Q) is a complete metric space with the metric

C(X) is then a metric space. It is easily seen that C(X) is also complete. "' ~axIf- g[
1

Dejinitio_n A subset K of a metric space is called relatively compact

p(f,g) = Jt 2"' I :~ax If - g[
n~
(3.6.8)

(or conditionally compact) if its closure K is compact.
We can now state a criterion for relative compactness of subsets of C(X).
Theorem 3.6.5 Let X be a compact metric space. A family Jf" of/unctions
ofC(X) is relatively compact in C(X) if and only if Jf" is both uniformly hounded
and equicontfnuous.
Proof The lemma of Ascoli-Arzela shows that if Jf" is uniformly
bounded and equicontinuous, then any sequence of functions {/.} in Jf" has
a subsequence that converges in the metric of C(X) to an element of C(X).
From this it easily follows that the closure :it of JY" is sequentially compact
and, hence, compact. Thus X is relatively compact.
Suppose conversely that Jf" is relatively compact. By Theorem 3.5.2,
JY" is a bounded set in C(X). But this is equivalent to Jf" being a uniformly
bounded family of functions. To prove that the family .Jf" is equicontinuous,
take an e-covering of Jf. by a finite number of balls whose centers arc func-
tions / 1, .. . ,fh Then, for any /E Jf' there is an jj, with l .,;, j.,;, h, such that
p(f,jj) < e. That means that
lf(x) - //x)l < e
for all x EX. (3.6.6)
Since each of the functions / 1 , .. . ,fh is uniformly continuous (by Theorem
3.6.1), there is a b > 0 such that
lfj(y) -.f/z)l < e if p(y,z) <,) (3.6.7)
for all y,z in X and for alii 5} _.,;,h. Combining (3.6.6), (3.6.7), we get
IJ(y) - j{z-)[ < 3e if p(y,z) < b.
This proves the equicontinuity of the family Jf".
Prove also that p(f.,,f)--> 0 if and only if Um} converges to f uniformly on
compact subsets of Q.
3.6.2. Let Q be an open set in the complex plane. Denote ~y !fCQ)
the space of all the complex analytic functions that arc holom~rph1c m Q.
Let {Om} be as in Problem 3.6.1, and defi~e p(f,g), for f and g m H(Q), by
(3.6.8). Prove that H(Q) is a complete metnc _space. . . .
3.6.3. A family sF of complex analytiC functwns holo~orph1c 1_n Q
that are uniformly bounded on every compact subset of Q 1s a relatively
compact subset of H(Q). [Hint: Use Cauchy's formula and the lemma of
Ascoli-Arzela.] ..
3.6.4. A function f that is upper semicontinuous (for defimtton, see
Problem 2.1.11) on a compact metric space is bounded from above and has
a maximum. .
3.6.5. Let z be a set of functions u in I!'(Q) (1 $ p < co), where Q
is a bounded open set in W, and extend each u into R" - Q by 0. Prov~ that
z is relatively com pact in I!'( Q) if the following conditions are sat! sfied:
(i) p(J,u,u) =. [[J,u - u[[ l.P(R"l--> 0 as e ..... 0, u~iformly w.ith res?ect ~o u E Z,
an d ('")
u
11 u 11 < C for all u E Z Here J ' u Js . the funct
LP(n) - .
wn defined m (3.3. 7).
k
[Hint: It suffices to show that Z has a finite b-covenng for any o > 0..Ta c
eo>O such that [[J, 0 u-u[ILP(R"J<M2 for all UEZ. It s~fficcs to find a
finite (b/2)-coveringof W = {1, 0 u; u E Z}. Show that W is uniformly bounded
and equicontinuous and usc Theorems 3.5.4, 3.5.6, and 3.6.4.]
3.6.6. Let Z be a set of functions u in l!(Q), 1 $ p < oo, where Q
is a bounded open set in R", and extend each u into R"- ~ by 0. Prove
that if z is relatively compact, then the conditions (i) and (u) of Problem
3. 6. 5 arc satisfied. .
3.6.7. In every infinite metric space there is an infimte sequence such
that no point of accumulation of 1he sequence is a point of the sequence.
3.6.8. If a compact metric space X is such that bounded cl~sed sub~ets
of C(X) are compact, then X consists of a finite number of pomts. [Hmt:
Use Problem 3.6.7 and the Tietze extension theorem.]
3.6.9. IfF is a Lebesgue-measurable bounded set in R", then .for any
E > 0 there exists a closed set G c F such that p( G) > p( f) - c. [ Hm t: Use
Problem 1.9.8.]
 '
THE STONE-WEIERSTRASS THEOREM 117
]]6 ~HRTC SPACES
\
2 112
3.6.10. Prove Lusin's theorem: lctf(x) be an a.e. real-valued Lebesgue- Proof One can easily check that the function (te + t) has a
measurable function on a Lebesgue-measurable and bounded set E c R". uniformly convergent Taylor series (about t = t) for 0 :<::; t ~ I. Hence there is
Then, for any h > 0, there is a continuous function 'P(X) in R" such that a polynomial q(t) such that
;t{x;f(x) #- 'P(x)} < 3. Furthermore, if lf(x) I :<::; C a.e., then I'P(x)l:<::; C. E
[Hint: Use Prohlem 2.15.11, Egoroff's theorem, Problem 3.6.9, and the ](}cl + t)112 _ q(t)i < 2: if 0 :<::; t :<::; l.
Tietze extension theorem.]
Now, if -1 :<::;A.:<::; I,
IIA.I - q(A.z)l :-s; IIA.I- ({-62 +A.2)ll21 + 1(!62 + A.2)112- q(A.2)1 <e.
3.7 THE STONE-WEIERSTRASS THEOREM
2
Thus, the assertion follows with p(A.) = q(A. ).
Let X be a compact metric space. In the real metric space C(X) ,,.e
introduce the following operations for any ;;_q in C(X) and}. a real number: Proof of Theorem 3.7.1. We first prove tha_t if fEll, then 1.(1 Ea.

(f + _q)(x) = f(x) + g(x),

Suppose first that max lfl :<::; I. Let p(A) = L
p).l _be the polynomtal oc
(fg)(x) = f(x)g(x),
curring in Lemma 3.7.2, and let p(j) = Then p(f) E a, andLPJJ.
(jf)(x) = )/(x).
llf(x)l- p[f(x)]l < 6 for all x EX. This shows that If I belongs to a-that
is, to ll.If max If I > I, thenlttflE ll, where tt = 1/(max lfi). Hence alsol./lE ll.
A subset G. of C(X) is called an algebra iffor anyf,g in G. and A. real we have: The function min (f,g) defined by
f + g E a, fg E (i and )./Ea.
[min (_(,g)](x) =min U(x),g(x)]
One easily verifies that the intersection of any number of algebras is
again an algebra. In particular, the intersection of all the algebras containing can be written in the form
a given set Yl of C(X) is an algebra. We call it the algebra generated by i#J. min (f,g) = tU +g) - !If- gl.
a
It is also easily verified that if is an algebra, then also its closurea Hence, iff and g belong to a, then also min (J,g) belongs to a. Similarly,
[in C(X)] is an algebra.
the function max (_(,g) defined by
A set f?1J in C(X) is said to distinguish between the points of X if for any
[max (f,g)](x) = max [f(x),g(x)]
two distinetpoints x and)' in X there is a function/ E :fi such thatf(x) -:p. f(y).
For example, in C[a.b] (- oo <a< b < oo) the algebra generated by belongs to a, since it can be written in the form ~U +g)+ !If- g~. .
the constant function I and x is the set P of all polynomials. P distinguishes We shall now approximate any function j of C(X) by functtons m a..
between the points of [a,b]. The classical Weierstrass theorem states that Let x,y EX with x - y. By assumption, there is a function hE with a_
every continuous fum:tionf(x) on [a,b] is the uniform limit of polynomials. /r(x) - h(y). But then one can find real numbers }.,p such that the functiOn
That means that P = ~[a,b]. The following theorem, called the Stone- f~y=A.h+w1
Weierstrass theorem, gives a far-reaching generalization of the Weierstrass
theorem. satisfies: fxy(x) = f(x), fx/Y) = .f(y). Note that J_xy E ll. .
Let 6 be any positive number. Then there Is a ball By with center .Y such
Theorem .1.7.1 Lei X be a compact metric .1pace and let abe a dosed thatfn(z) <.f(z) + e for all z E By. Since X is compact, we can cover It by a
a!gehra in the metric space C(X) of continuous reaf-~alued functions. lf a finite number of such balls; call them B,, , ... ,BYm" Let
contains the constant jimclion 1 and if it also distinyuishes between the points fx = min Cfxy 1
, .. -Jx,.,).
of X. then a= C(X). By that which was proved above, fx E a. Note that f ..(x) = f(x) and

The proof depends upon the follov.ing lemma, which is a special case fiz) <f(z) + e for all z EX.
There is a ball D, with center x such that.f,(z) > f(z)- e for all z E Dx
of the V.'eierstrass theorem. Since X is compact, we can cover it by a finite number of such balls; call them

Lemma 3.7.1 Let }.. be a real rariahfe. For an~y <: > 0 !here exists a Dx 1 , ... ,Dx. The function
polynomial p(f...) such that ii/...1- p().)l <<:for -I $ ). :<::; I.
 118 METRIC SPACES A flXED-PO!NT THEOREM AND APPLICATIONS 119

belongs to a, and it satisfies g(z) > f(z) -

for all z EX. Since it also satisfies
E Theorem 3.8.1 Let X andY be metric spaces and let Y be complete.
g(z!._<f(z) + c, we have p(g,f) <B. Since c is arbitrary, we conclude that
f E 11 = 11. This completes the proof.
PROBLEMS
3.7.1. A continuous functionf(real- or complex-valued) on a compact
set G of R" can be approximated uniformly on G by a sequence of polynomials.
3.7.2. For every continuously differentiable functionf(t) on 0 :-::;; 1 :-::;; 1
there exists a sequence of polynomials Pm(t) such that
max jp,(t)- f(t)i + max I:!___ p,.(t)- !!._ f(t)j-. 0 if Ill->
O:o:t,; I 0
_,;t,; 1 dt dt
. The algebra generated by I and a subset :Z c C(X) coincides
3.7.3.
with the class of all polynomials with real coefficients whose variables are
elements of 21. This algebra is separable if 2 is separable.
3.7.4. Let {x.} be a dense sequence in a compact metric space X.
Let Xnm(x) = I /m- p(x,x.) if p(x,x.) :-::;; 1/m and X.m(x) = 0 if p(x,x") > I /m,
when m = 1,2, .... Let fJ6 = Unm where 1 :-::;: n < CD, 1 :-::;; m < Xl }. Prove that
the algebra a generated by :14 is separable, and that it distinguishes between
the points of X.
3.7.5. If X is a compact metric space, then C(X) b separable.
3.7.6. Let A and B be any disjoint closed subsets of a metric space.
Then there. exists a continuous bounded function f on X such that f = 1
on A,f = 0 on B, and 0 :-::;; f :-: ;: l on X. In particular it follows that C(X), for
X compact, distinguishes between the points of X. [Hint: Use the Tietze
extension theorem.]
3.7.7. Show, by an example, that the Stone-Weierstrass theorem is
generally false for the 'metric space C(X) of complex-valued functions.
{Hint: Consider the algebra generated by 1 and z in any domain of the
complex plane.]
If f is a uniformly continuous function from a dense subset X 0 of X into
Y, then f has a unique continuous extension/ from X into Y. This extension is
uniformly continuous on X.
Proof For any x E (X - X 0 ), take a sequence {x"} c X 0 such that
lim x. = x. Define f(x) = limf(x"). It is easily seen that the limit exists and
is independent of the choice of the sequence. The uniform continuity of J
follows readily from the uniform continuity off Finally it is clear that there
can be no other continuous extension of f.
A map T from a subset X 0 of a metric space (X,p) into X is called a
CD. contraction (on X 0 ) if there is a number 8, 0 < 8 < 1, such that
p(Tx,Ty) :-::;; Op(x,y) (3.8.1)
for all x,y in X 0 . Here, and in what follows, we often write Tx instead of T(x).
Theorem 3.8.2 LetT be a map of a complete metric space X into itself.
IfT is a contraction, then there exists a unique point z such that Tz = z.
A point z for which Tz = z is called a fixed point of T. Theorem 3. 8.2
is a fixed-point theorem. Fixed-point theorems are very important in analysis.
They are used to prove the existence of solutions of differential equations,
integral equations, and so 011. We shall give some such applications later on.
Proof Fix a point x 0 in X and define inductively xn+l = T(x.) for
n = 0,1,2, .... Then
p(x.+ 1 ,x") = p(Tx., Tx"_ 1 ) $ 8p(x.,x. _ 1 )
:-::;; 8 2 p(x._ 1,x. _ 2) :-::;; .. .:-:;; 8"p(x uXo),
Hence
p(xn+p,xn) $ p(xn+pXn+p-1) + ... + p(xn+l>xn)
:-::;;(en+ p-I + ... + 0")p(x 1 ,x0 ) :-::;; KO",

where K = p(x1 ,x 0 )/(1 - 8). We conclude that {x.} is a Cauchy sequence.

Since X is complete, there is a point z EX such that p(x.,z)-> 0 as n-> oo.
3.8 A FIXED-POINT THEOREM We claim that Tz = z-that is, p(z, Tz) = 0. Indeed,
AND APPLICATIONS
p(z,Tz) $ p(z,x") + p(x.,Tz) = p(z,x.) + p(Tx._ 1 ,Tz)

Let
.
(X,p)
.
and (Y,a) be metric spaces. A function .(from a subset X 0 c X :-::;: p(z,x.) + Op(xn-I ,z)-> 0 if n -> CD.
mto Y IS satd to be cant inuous at a point y E X 0 if I~H any e > 0 there is a
b > 0 such. that f~r all x E X 0 with p(x,y) < J, the inequality a[((x),f(y)] < 10 It remains to show that z is the unique fixed point of T. Suppose then
holds. lffts contlnuous at each pointy of X 0 then we say thatfh continuous that y is also a fixed point of T. Then
on X o and if. furthermore, b can be taken to be independent of y, then we say p(y,z) = p(TJ,Tz) :-::;; Op(y,z).
thatfis uniformly continuous on X 0 .
The following result is very useful. Since 8 .P 1, we conclude that p(y,z) = 0-that is, y = z.
 120 METRIC SPACES A FIXDPOINT THEOREM AND APPLICATIONS 121

We restate Theorem 3.8.2 in a form that is often more convenient: and jq>(x) - Yol ::5: M/5. (3.8.6)
y is a closed subset of C(1 6). We define a transformation T from Y into
Theorem 3.8.3 Let Y be a closed subset of a complete metric space X C(I 6 ) as follows :
IjT is a map from Y into itself, and ifT is a contraction (on Y), then there exists
a unique point z in Y such that Tz = z. (Trp)(x) =Yo+ r
xo
f(t,rp(t)) dt for x E JJ. (3.8.7)

In applying this theorem one has to verify two facts about T: (i) T Tis well defined, since the points (t,q>(t)) lie in R.
maps Yinto itself, and (ii) Tis a contraction on Y. If y(x) is a fixed point of T, then y(x) f>atisfies (3.8.5) and is thus a
Letf(x,y) be a real-valued function defined on an open set 0 of the solution of (3.8.3). (3.8.4). Conversely, every solution of (3.8.3), (3.8.4) in
Euclidean plane R 2 We say thatf(x,y) is uniformly Lipschitz continuous with I~ is a solution of (3.8.5) and it thus satisfies (3.8.6)-that is, it bel.ongs to Y.
respect toy in !l if there is a constant K such that It is therefore a fixed point of T. Thus what we have to show JS that the
1/(x,y,)- j(x,y2)l :::;; KIYI - Y21 transformation T has a unique fixed point in Y.
(3.8.2)
T maps Yinto itself, since (Tq>)(x 0 ) = Yo and since
for all (x,yd and (x,y 2 ) in !l.
Consider the ordinary differential equation
j(Ttp)(x)- Yo I S: I( f(t,tp(t)) dt IS: M lx- Xol :;<; M/5.
dy
dx = f(x,y) (3.8.3) Next, T is a contraction since

with the initial condition

I(Tqt 1 )(x)- (Ttp 2 )(x)l ::5: I( [f(t,tp 1(t))- j(t.tp2(t))] dtl
(3.8.4)
:;<; Kb max jq>, - q>2l,
where (x(),y 0 ) is a fixed point in !l. Denote by I~ the interval x 0 - /5:::;; x:::;; x 0 '
+ /5. By a solution of the differential system (3.8.3), (3.8.4) in I 6 we mean a and Kb < 1. Thus, by Theorem 3.8.3, T has a unique fixed point in Y. This
continuously differentiable function y(x) defined on I 6 such that (x,y(x)) E a
completes the proof.
for all x E I 6 , y'(x) = f(x,y(x)) for all x E I 6 , and y(x 0 ) = y 0
PROBLEMS
Theorem 3.8.4 Assume that f(x,y) is a continuous bounded function in
0, and uniformly Lipschitz continuous with respect to y. Then there exists a 3.8.1. If {is a continuous function from a compact metric space X
uniqlie solution of (3.8.3), (3.8.4) in some interval 16 . into a metric space Y, then/is uniformly continuous.
3.8.1. lf f is a continuous function from a compact metric space X
Proof Observe that y(x) is a solution of (3.8.3), (3.8.4) on I~ if and into a metric space Y, then its imagej{X) = {f(x); x EX} is compact.
only if 3.8.3. Let !l be a bounded open set in R" and let K(x.y) be a Lebesgue-
measurable function on the product space n x 0 such that
y(x) = Yo + r
xo
f(t,y(t)) dt for all x E I~. (3.8.5)
rf
!l !l
IK(x,yW dx dy < 00.
Let M be a bound on 1/1 in !l. We take /5 such that the rectangle
Letf(x) be a function in L2(0). Consider the integral equation
R = {(x,y); Xo- (j:::;; x:::;; Xo + /5, Yo- M/5 S: y ;5; Yo+ M/5}
u(x) = f(x) + AJ K(x,y)u(y) dy, (3.8.8)
lies in !l and such that K/5 < I, where K is the constant occurring in (3.8.2). !l

In the space C(I 6) we consider the subset Y consisting of those continuous where A is a complex number. Prove that there exists a small positive ~um
functions q>(t) for which ber }.0 such that, for any complex number J., with ]).1 < }.o, there ex1sts a
122 METRIC SPACES

unique solution u(x) of (3.8.8). [Hint: Consider the operator (Tu)(x) = f(x)
CHAPTER 4
J
+A K(x,y)u(y) dy on L2 (0:).]
3.8.4. Let 0 be the closed unit ball B(O,l) in the Euclidean metric space
(R~,~). Let T be a map ?f n into itself such that p(Tx,Ty)::;; p(x,y) for all
x,y m n. Then there exists at least one fixed point ofT. [Hint: Consider
(1 - 1/k)T.]
ELEMENTS OF
3.8.5. Give an example where n (in R~) is not a unit ball {but is a
. and the assertion of the last problem is false-that is , T has no
closed set) FUNCTIONAL
fi xed pomts.

ANALYSIS IN
BANACH SPACES

4.1 LINEAR NORMED SPACES

We denote by IR the field of the real numbers, and by C the field of the
complex numbers. Let " denote either IR or C. The elements of" are often
called scalars.

Definition 4.1.1 A linear vector space consists of a space X, a mapping

1 + y of X x X into X, and a mapping (}.,x) _,. ).x of " x X into
(x,y) _,. x
X, such that the following conditions are satisfied:
(i) X is an abelian group with the group operation + ;
(ii) the associative law ..l(t~x) = {).tJ)X holds;
(iii) thedistributivelaws(..1. + lt)X = ).x + ltX,..1.(x + yl = ..lx + ..lyhold;
(iv) lx = x.
We recall that the condition (i) means that:

(i 1 ) x + (y + z) = (x + y) + z;
(iJ x +y = y + x;
(i 3 ) there is an element 0 (the zero element) such that x + 0 = x for
all x EX; and
(i 4 ) for every x EX there is an element ( -x) (the inverse of x) such
that x + ( -x) = 0.
We shall denote by 0 both the scalar 0 and the zero element of the group
X; this should cause no confusion.
123
 124 ELEME~TS OF FUNCTIONAL ANALYSIS I~ BANACH SPACES LINEAR NORMED SPACES J25

From the rdations p.x = p.(x + 0) = p.x + p.O we get p.O = 0. Hence if The vector sum A + B of two sets A and B is the set {a + b; a E A, bE B} .
.-lx = 0 and .-1. "# 0, then We also define A.A = {.-lx; x E A}.

x= lx = (~ })x = ! (Ax) = ! 0 =
). ..1. .-1.
0 Definition 4.1.3 A normed linear space is a linear vector space X on
which there is defined a function x ...... llxll, called a norm, having the fol!owing
-that is, x = 0. The last property is equivalent to any one of the following properties:
properties:
(a) i:xll ~ 0, and llxll = 0 if and only if x = 0;
if }.x = 0 and x # 0, then .-1. = 0; (b) IIJ.xll = 1;.1 !lx!i;
if}# 0, X# 0, then A.x # 0; (c) llx + y'll ::<::,; r.x!l + IIYII-
if J.x = JlX and ;_ # Jl, then x = 0.
Definition 4.1.4 A metric linear spaee is a linear vector space X that is
The reader may easily verify that, in a linear vector space, also a metric space, with metric p, having the following additional property:
Ox= 0, (-l)x= -x. Tf )."-+ ..1., Jln--+ )1, x,--+ X, y"--+ y, then A,Xn + finYn-+ AX + JlY

Definition 4.1.2 A real (complex) linear vector space is a linear vector The last property is equivalent to the statement that the maps (x,y)--+
space with sF = :R (,9" =C). x +yand (A.,x) ...... }.x are continuous maps from the metric spaces X x X
and.' x X, respectively, into X.
Elements x 1 , ... ,x" of X arc called linearly independent if there exist no
numbers } 1 , ... ,}." in. such that Definition 4./.5 A Frechet space is a metric linear space X having the
additional properties:
and I" IJ-j12 > o.
j~l
(4.1.1) (a) p(x,y) = p(x- y,O);
(/3) X is complete.
If there exist numbers ..1. 1 , ... ,}." such that (4.1.1) holds, then we say that
Given a normed linear space we introduce on it a function p by
x 1 , ... ,x" are linearly dependent. We can then express any one of the x,, with
}.J # 0, as a Iinear combination of the others: p(x,y) = llx - Yll- (4.1.2)

A1 },J-1 ),J+! J." We then have:

X j = - -)_ x1- ... -__...,---
_ Xj_ 1 - - , - X J + I - ... --:-X".
1 A1 J.j J.j
Theorem 4.1.1 A normed linear space is u metric linear space [with the
If for any positive integer n there exist n linearly independent elements metric p defined by (4.1.2)].
in X, then we say that X is of infinite dimension. If X is not infinite-dimensional,
then it is easily seen that there is a positive integer n with the following Proof. It is easily seen that p satisfies the metric conditions. Thus it
properties: remains to show that if A.. _,. 1., Jl, -.cop., :';x" - xll --+ 0, llYn - y';i --+ 0, then
(a) there is a set of 11 elements that arc linearly independent; (4.1.3)
(bl if m > n, then any m clements are linearly dependent.
Noting that {llx"ll} and {IIY,II} are bounded sequences, and making use of
We call 11 the dimension of X. Any set e 1 , . .. ,e" of linearly independent (b) and (c) in Definition 4.1.3, one can easily verify (4.1.3}.
elements is said to form a basis. The elements x of X can be represented in A metric linear space with metric p is said to be a normcd linear space
a unique way in the form if there exists a norm i II such that p(x,y) = llx- y!'. If this is the case, then,
of course,
p(x,y) = p(x - y,O), ( 4.1.4)
The numbers J.H ... )." arc called the coordinates of x with respect to the basis
p(.-lx,..ly) = 1/.Jp(x,y). (4.1.5)
e1 , ... ,e".
 LINEAR NORMED SPACES 127
126 ELEMENTS OF FUNCTIONAL A:-:ALYSIS IN BANACH SPACES

Proof Since
Conversely, if p satisfies (4. 1.4), ( 4.1.5), then I x I = p(x,O) is a norm and the
m
space is a normcd linear space. The metric space corresponding to it by
Theorem 4.1.1 is the originally given metric linear spao::e.
llsm- sk\1 :::;; I
n~k+l
llx.ll--+ 0 ifm > k---> oo,

Since (by Theorem 4.1.1) a normed linear space is also a metric space, the sequence {s... ) is a Cauchy ~equence in X. Since X is complete, this
the theory of Chapter 3 applies to it. We recall that x.---> x if llx. - x I ---> 0;
sequence has a limit. . . .
{x.} is a Cauchy sequence if llx. - xm il ---> 0 as n,m--+ oo; if every Cauchy We note that a set A in a normed linear space X ts bounded 1f and only
sequence is convergent, then X is called complete. Note that if x.---> x, then if there is a positive number R sue h that !i x I :::;; R for all x E A
"x.ll---> 11x11. and if {x.} is a Cauchy sequence, then {1\x,J} is a Cauchy
sequence. Definition 4.1.8 Two norms 11 11 1 and i\ 11 2 on a linear vector space
x are said to be equivalent if there exist positive numbers a and f1 such that
Definition 4.1.6 A real (complex) normcd linear space that is complete
is called a real (complex) Banach space. all x lit :::;; I x!lz :::;; fll';x'!lt for all x EX.
This is clearly the case if and only if the metrics corresponding to them by
Note that Banao::h spaces are Frechet spaces. ( 4.1.2) are equivalent in the sense defined in Section 3.1.
Theorem 3.3.1 implies that every normed linear spao::c X can be com-
pleted as a metric spao::c. But actually the completed space X can be made Example 1. The spaces LP( X ,Jl) (I ::s; p :::;; oo) _are linear vector spao::es with
into a linear vector space by defining f + g and If defined in the obvious way-that Is,
(f + g)(x) = f(x) + g(x),
x+J=z, J3 =u (4.1.6)
(A.f)(x) = ..lf(x).
as follov.s: if {x.} Ex and {y.} E J\ then z is the class containing the sequence
{x. + r.} and il is the class containing the sequeno::e {ix"}. :? is a normcd Furthermore, the function/---> ';i/11 given by
space with the norm given by
if 1:::;; p < oo, ( 4.l.7)
I!_\' II= lim l:x.ll
and (4.1.8)
Thus, for every normed linear space X there is a Banach space X such that X is 11!11 = ess sup lfl if p = oo,
isomorphic to a dense subset u(X) of X; the map a from X into :? preserces X

the algebraic operarions of' addition and of' multiplication hy scalars. is a norm. Unless the contrary is explicitly ~tatcd, we shall ~!ways co~slid7er
U(X,Jl) to be the normcd hncar space w1t~ the norm given by ( ),
Definition 4.1.7 Let {x"} be a sequence in a normed linear space X ( 4.1.8). U( X ,Jl) is a Banach space. If the functwns fare ta_ken to be a.e. real-
"' valued, then F(X,p) is a real Banach space. If the functw~s fare taken to
and let s., = I x . If the sequence {sm} has a limit s, then we say that the
be wmplex-valued, then LP(X ,Jl) can be con~idered 10 be etther a real or a
.,, l"i:-1

series I x. is convergent and its sum iss. We then write complex Banach space.
h-1
."!;_.
Example 2. The spaces 1r (I :::;; p ::s; oo) are Banach spaces. Here addition
.Iii= LXII' and multiplio::ation by scalars are defined in the obvious way, and the norm
n= l
is given by
If I
m

'j'i=: 1
I x" '' < oo, then we say that the series
m
I
n= 1
x. is ahsolut e~r converyent. WI = Ltl l~.lp} l/P if 1 :::;; p < oo,

'il(il =sup IU if p = oo,

Theorem 4.1.2 Let X be a Banach space and let {X 0 } c X. If the series n
~-

(I X0 is absolutely conrergent, then it is also convergent.

n~ 1
 128 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
SUBSPACES AND BASES 129
Example 3. The space C(X), X a compact metric space, is a Banach space
with the operations defined in ( 4.1.6) and with the uniform norm 4.1.4. If {x.} is a convergent sequence in a normed linear space, with
limit x, then also the sequence with elements (x 1 + .. + x.lln is convergent
11!11 = max 1/(x)j. to x.
x~x
-;..
4.1.5. The direct sum of a finite number of Banach spaces is a Banach
If the functions are real-valued, then it is a real Banach space, and if they are space. . .
complex-valued, then it can be considered either as a real or as a complex 4.1.6. A normed linear space is a Banach space 1f the followmg
I! Banach space. property is satisfied: every a bsolutdy convergent series is convergent.
j
Example 4. The space s (Example 5 of Section 3.1) is not a normed linear
I space, since its metric fails to satisfy the condition ( 4.1.5). However, s is a 4.2 SUBSPACES AND BASES
Frechet space.
I In Section 3.I we have defined the concepts of a topological subspace
and of a metric subspace. We shall now consider the concept of a subspace
Example 5. Let X; (I~ i ~ n) be linear vector spaces. Their direct sum X
J is_ a linear vector space whose elements x have the form x = (xj, ... ,x.),
of a linear vector space.
With X; E X 1, and the algebraic operations are defined by Definition 4.2.1 A subset Y of a linear vector space X is call_ed a
'I linear subspace (or, briefly, a subspace) if for any ..1., J1 E fF_ an~ x,~ m Y,
A.(x,, ... ,x.) + ~(yj, ... ,y.) = (lx 1 + ~y1 , ... ,A.x. + ~y.). the point ..lx + !lY is in Y. If X is a normed linear space, and 1f Y Is g1ven the
norm induced by the norm of X, then we call Y a linear subspace (or,
We write X= L
i=l
X;. If each X, has a norm II 1 1, then we can make X a briefly, a subspace) of the normed linear space X.
normed linear space with any of the norms
The intersection of any number of linear subspaces is again a linear
" subspace. If K is any subset of X, then the intersection of all _the linear su?-
llxll = L
1~1
llx;ll;, llxll = max
ISisn
llx;ll;, spaces containing K is a subspace that contains K and that IS cont:U~ed m
any subspace containing K. Thus it is the minimal subspace_ contammg K.
llxll = (t, llx,ur}" 2

(4.1.9)
We call it the linear subspau spanned (or generated) by K. It IS the set of all
points of the form ..1. 1 x 1 + ... + J.,.x,., where m is any positive integer, the X;
Note that all these norms are equivalent. The linear space with any one of vary inK, and the ..1.; vary in fF.
these norms is called the direct sum of the normed linear spaces X , ... ,X. A closed linear subspace is a subspace that is closed. As in the case of
1
" linear subspaces, one can easily show that for any set K there exists a minimal
and is denoted by. L X 1 The direct sum is often called the direct product of 11
I
l= l closed subspace containing K. We call it the closed linear subspace spanned
X,, ... , X. and it is then denoted by X 1 x ... x x . by K.
Let y0 be a linear subspace. Decompose X into cosets Y: two elements
Definition 4.1.9 A set K in a linear space is called convex if for x 1 and x2 belong to the same Y if and only if x 1 - x2 E Y0 . We make the space
any two points x andy in K, each point tx +(I - t)y, with 0 < t < I, also of the cosets a linear vector space by defining
belongs to K.

PROBLEMS I as follows. Take y 1 E Y1 and Y2 E Y2 . Then Y 3 is the coset containing t~e

clement}\ + Jl, and Y4 is the coset containing the elemen_t ..1.y1 We call th1s
4.1.1. In a normed linear space, every ball is a convex set.
linear space afac/or space and denote it by X/Y0 . _No_tice t~at the set of
4.1.2. If K and L are convex sets, then their vector sum K +Lis also
a convex set.
I points (of X) contained in a sum of co sets Y1 + Y2 comc1des With the vector
4.1.3. Two norms on a linear vector space are equivalent if and only
if every set that is bounded in one of the norms is bounded in the: other
norm.
1 sum of the sets of points contained in Y1 and Y2.
If X is normed, then we define
II Y11 = inf I xll for any Y E X/Y0 . (4.2.1)
~~1'
\
 130 ELEMENTS OF FUNCTIONAL ANALYSIS TN BANACH SPACES
IJ
I.
SUBSPACES AND BASES 131
Theorem 4.2.1 Let X be a normed linear space and let Y 0 be a closed
linear subspace. Then X/Y 0 is a normed linear space with the norm (4.2.1).
' A set (i such as in the assertion of Theorem 4.2.3 is called a Hamel basis
I
...
for X. If we denote a Hamel basis by {y~}, then every element x EX has a
unique representation
Proof. We first prove that each coset Y is a closed set. Let {x~} c: Y, i.
X~- X. Then Xn- Xm E Yo and X" - xm .... X~- X. Since Yo is closed, (finite sum), (4.2.2)
I,
x"- x E Y0 . Hence the coset of x is the same as the coset of x"-that is, it is
Y. This means that x E Y where the l, are scalars.
To prove that II Yll is a norm, suppose first that II Yll "" 0. Then there is
a sequence {x"} in Y such that llx~ll -> 0. Since Y is closed and xn _. 0, we get Proof of Theorem 4.2.3. Consider the set S, whose elements are all
0 E Y .;_that is, Y = Y0 . The homogeneity of the norm-that is, the condition those subsets of X which consist of linearly independent elements. We denote
(b) in Definition 4.1.3-follows from these subseb by a, :14, and so on. Introduce a partial ordering by inclusion
-that is, a s :14 if a c: :11. Then every tota!ly ordered set {<l~} has an upper
ji).YJI = inf II.A.xll = j.A.j inf llxll =
xeY xe-Y
1..1.111 Yll. bound :J1 given by 91 = U a~. To prove this we have to show that any finite

Finally, the condition (c) in Definition 4.1.3 is proved as follows: number of elements of J4 are linearly independent Denote such elements by
x 1 , ... ,xm and let x; E a~, for I ::::; is n. Since the set {<l~J is totally orde~ed,
II Y1 + Y2ll = :q~:tJ
inf llxt + x 2 ll s inf llx 1 ll
x1~Y1
+ x2.:=Y.1
inf llx2JI = IIY1 II + II Y2 ll. one of the subsets Cia, contaim all the others. Denote that set by a"". Smce
X;2.E':t"2
{x 1 , ... ,X"} c: a"", the elements XI, .. . ,Xn are linearly indcpend~nt.
Definition A partially ordered set is a nonempty set S together with a
Applying Zorn's lemma, we conclude that S has a maxtmal element a.
We shall show that every y EX is a finite linear combination of elements
relation " 2:: " subject to the following conditions:
of a. If this is not the case, then the set fJ = {a,y} belongs to S, a : : ; J4,
(i) x s x; but not ::;w sa. This contradicts the maximality of a.
(ii) if x s y and y s z, then x s z.
If for every two elements x,y in Sat least one of two relations x s y, y s x PROBLEMS
holds, then we say that S is a totally ordered set. 4.2.1. Let X be a normed linear space and let Y0 be a closed linear
subspace. Let { Y"} and Y belong to X I Y0 Prove: :: Y" - Y II -> 0 as n -> OCJ if
Definition Let T he a subset of a partially ordered set S. An element
and only if there exists a sequence {y.} with Yn E Y. and a point x_o E Y such
x of S is called an upper bound of T if y s x for all y E T.
that llYn - Xo il ...... 0 as n .... OC!. [Hint: If II Y. - Yl! = em there extst. x. E Y",
x~ E Y such that llxn- x~i! S 2e". Fix x 0 E Y and define Yn = Xo- x.- x . ]
Definition Let S be a partially ordered set. An element x of Sis called
maximal if for any element yES, the relation x s y implies that y s x. 4.2.2. Let X be a Banach space and let Y0 be a dosed linear subspace.
Prove that X 1Y0 is a Banach space. .
The following result is known as Zorn's lemma. 4.23. Let X be a normed linear space and let Y0 be a closed hnear
subspace that is complete. If X/Y0 is a Banach space, then X is a Banach
Theorem 4.2.2 If S is a partially ordered set in which et>ery totally space.
ordered subset has an upper bound, then S has a maximal element. 4.2.4. Show that c is a closed linear subspace of/"" and that it is no-
where dense in /~.
This theorem is equivalent to both the well-ordering theorem and the 4.2.5. Is C[a,h] a dosed linear subspace of U(a,b) (I ::::; p S oo)? .
axiom of choice. We shall not give here the proof of the theorem. 4.2.6. If a linear vector space is infinite-dimensional, then there cxtst
We shall use Zorn's lemma in the proof of the next theorem. on it norms that are not equivalent. [Hint: Let {y.} be a Hamel hasis and d~fi.nc
norms by llx11 2 =I ca1X.1 2 , where x has the form (4.2.2) and Ca are postttve
Theorem 4.2.3 Every linear vector space X contains a set Ci of linearly
independent elements such that the linear subspace spanned by coincides a numbers.]
with X. 4.2.7. If a normed linear space has a countable Hamel hasis, then it is
separable.
 132 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
FINlTE-DIMENSIONAL NORMED LINEAR SPACES 133

that tends to oo. For simplicity we denote this sequence again by {Am}. Since
4.3 FINITE-DIMENSIONAL NORMED {y,} is a convergent sequence, it is also a bounded set. Hence
LINEAR SPACES
IIY,I1_. 0 as m oo. (4.3.3)
. V.:e shall characterize in this section the normcd linear spaces of finite --+

dtmenswn. We shall need the following lemma. I

r
The sequence {Z,} of points
A,.

(;.~m)
Lemma 4.3.1 Let Y be a closed proper linear subspace of a normed
linear space X. Then, /or any t > 0, there exists a point z EX, ;lz'' = I, such
z, = ,... , ..1,~"'))
A
A, "m
that liz- yll > I - efor alt y E Y.
on the unit sphere in n dimensions has a convergent subsequence {Zm}.
Thus,
Proof Take a point x 0 EX, x 0 Y and define n

d = inf llx 0 - Yil- ... :L

.i= 1
lr;l 2 = 1. (4.3.4)
yoY
Dividing both sides of (4.3.1) by A, and taking m = m'--. oo, we get, after
If d = 0, then there exists a sequence {}~} in Y such that y" ...... x Since Y is using (4. 3. 3), (4 .3.4),
0
closed, we then get x 0 E Y, which is impos~ible. Thus d > 0. For any > 0
there is a point y 0 E Y such that 11 I"
i=l
fl;e; = 0,
d::::.: /; X 0 - Yo I : : .: d +'I This is impossible, since the e; arc linearly independent.
Having proved (4.3.2), we can now extract a convergent sub~equence
The point z = (xo- Yo)/llx 0 - Yoi satisfies iizll = I, and, for any y E Y, from the sequence of vectors (..1.\m\ ... ,..1.~"' 1). Denoting its limit by (vJ, ... ,v"),

=~::II - y II= llxo ~ Yoi! llxo- y'!l

we have
liz- Yll = 1111:: lim Ym = I" V;e;,
m1 .i=l
I d 'I
:2:-:--llxo-.r'll :2:-:--= 1 - - - , where m' is the index of the subsequence. Since, however, y = limy,, we
d+YJ d+YJ d+YJ m
conclude that y = L v 1e; E Y.
where y' =Yo+ llxo- Yo''y E Y Taking 11 such that 11/(d +If)<, we get
liz- J'il > I -e. This completes the proof. We can now state the main result on the characterization of finite-
dimensional normed linear spaces.
Theorem 4.3.2 If Y is a finite-dimensional linear subspace of a normed Theorem 4.3.3 A normed linear space is finite-dimensional if and only 1j
linear space X, then Y is closed.
every bounded subset is relatively compact.

Proof. Let {y'"}_ c: Y, Ym--+ y as m--> oo. We have to show that y E Y. Proof. Suppose first that X is finite-dimensional. We have to show
We fix a basts e 1 , .. . ,e" m Y and write every clement y'" in the form that every bounded sequence has a convergent.subsequence. Let {y.,} be a
bounded sequence. Choose a ba~is e1 , ,e. in X and represent the Ym in the
(4.3.1) form (4.3.1). The arguments used in the proof of Theorem 4.3.2 show that
there is a constant C such that (4.3.2) holds. But, again by the arguments used
We claim that there is a constant C such that in the proof of Theorem 4.3.2, there is a subsequence {m'} of the sequence
n of natural numbers such that
:L
i= 1
14~'" 1 1
2
sc for all m. ( 4.3.2) (..1.\"'"\ ... ,).~'"'1) ...... (v 1 , ... ,v") as m'--+ 00.
Indeed, otherwise, the sequence of numbers Am= I IJ.)'"ll 2 has a subsequence Hence, y., ....... I v;e; as m' ...... oo. This completes the proof of one part of the
i theorem.
] 34 ELEMENTS OF FUNCTIONAL !I."''AL YSJS II\ BA"''ACH SPACES
LINEAR TRANSFORMATIONS 135

Suppose now that X has the property that bounded subsets are rela-
tively compact, and suppose that X is infinite-dimensional. We shall derive a
contradiction. First we take a point x 1 such that llx 1:: = l. We now apply
Lemma 4.3.1 with Y being the linear space spanned by x 1 . We conclude that
there exists a point Xz linearly independent of x 1 such that llx 2 1! = 1,
<ix 2 -x1 :: > J.
Next we apply Lemma 4.3.1 with Y the linear space spanned by x 1 and
x 2 We conclude that there exists a point x 3 linearly independent of x 1 ,x 2
such that
~xJII = 1, 11x3 -xJ > {-.
4.4 LINEAR TRANSFORMATIONS
Let X and y be two linear vector spaces, and let T be a function from a
j T
subset Dr of X into Y. We call T also an operator, a mapping. or a transforma-
tion. The set Dr where Tis defined is called the domain ofT. If Y = Tx. then
we call y the image of x and we call x an inverse image of y. For any subset A
of Dr we write T(A) = {Tx; x E A}. The set T(D 1 ) is called the range _of T.
'f We shall often use the notation T(x) = Tx. Tis called a linear operator If Dr
! is a linear subspace of X and if

Proceeding in this way by induction, we get a sequence {xn} such that T(A. 1 x 1 + }. 2 x 2 ) = J.. 1 Tx 1 + A. 2 Tx 2

llx.ll = 1, ifn>j. for all x ,x in Dr and }.1 .}.. 2 scalars. It follows that T(O) = T(2 0)
1 2
= 2T(O),
so that T(O) = 0.
Note that at each step, the linear space Y that is used is finite-dimensional Unless the contrary is explicitly stated, we shall always assume that
and hence (by Theorem 4.3.2) closed. Thus Lemma 4.3.1 can in fact be Dr= X -that is, Tis defined on the whole space X. If T(X) = Y, then we
employed. Since the sequence {x.} is bounded, and since it obviously has no say that T maps X onto Y. If Tx 1 = Tx 2 implies x 1 = x::, then we s~y that T
convergent subsequences, we ha vc arrived at a contradiction. is a one-to-one map. When Tis linear, Tis one-to-one 1f and only If Tx = 0
implies x = 0.
PROBLEMS Let X and y be metric linear spaces. A continuous linear transfor-
4.3.1. Let X be a finite-dimebsionallinear space. Then any two norms mation T from X into Y is a linear transformation that is also continuous-
on X are equivalent. (According to Problem 4.2.6, the assertion is false if X that is, if x.---> x, then Tx.-+ Tx.
is infinite-dimensional.)
4.3.2. Let Y be a finite-dimensional linear subspace of a normed Theorem 4.4.1 Let X and Y be normed linear spaces. A linear trans-
linear space X, and let x 0 EX, x 0 ~ Y Then there exists a point y 0 E Y such formation T from X into Y is continuous if and only if it is continuous at one
that point.
inf ilx 0 - Yll = llxo- Yol:.
yEl' Proof. Let The continuous at a point z. If x.-+ x, then x.- x + z---> z.
4.3.3. A norm II II is said to be strictly convex if !! x !' = 1, llyll = 1, Hence T(x"- x + z)-+ Tz, so that Tx.- Tx + Tz---> Tz. Thus Tx.-+ Tx.
II x + y II = 2 imply that x = y. Prove that if the norm of X is strictly convex, Let X and Y be normed linear spaces, and let T be a linear map from
then the point Yo occurring in the assertion of Problem 4.3.2 is unique. X into Y. If there is a constant K such that, for all x E X,
4.3.4. Prove that the norm of LP(X,JJ.) is strictly convex if 1 < p < oo, IITxii-::;KII~II,
( 4.4.1)
and is not strictly convex if p = 1 or if p = oo.
4.3.5. Prove that in C[a,b] the uniform norm is not equivalent to then we say that Tis bounded and we call T a bounded linear map: No_te that
the LP norm (for 1 -::; p < oo ). the norms on the different, sides of the last inequality are taken m different
4.3.6. Let 0 be a bounded open set in R" and let I -::; q < r-::; p < oo. ' ' _j .
spaces. , -v>"- ; . .
(

} fU I0 1,I~ i
_ .
'

',
.
Prove that in the linear vector space U(O) the norms of U(O.) and of The g.l.b. of all the constants K for wh1ch (4.4.1) Is satisfied IS denot_ed
L'(O) are not equivalent. by IITII and is called the norm of T. It is obvious that (4.4.1) holds with
4.3.7. Let n be a positive integer, I -::; p < cc, and let f(x) be a con- K =II Til-that is,
(4.4.2)
tinuous function on 0 -::; x -::; I. Then there exists a unique polynomial Q" of IITxll -::; IITII llxll-
degree n such that for any other polynomial P" of degree n We also have {.(~ h \
) IITxll ( 4.4.3)
1 .I
II Til= l.u.b.- = l.u.b. IITxll-
( lf(x)- P"(x)IP dx > j lf(x)- Q"(x)IP dx. "*o llx11 - llxll ~ 1
o o
 LINEAR TRANSFORMATIONS 137
136 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES

Proof Let {T.} be a Cauchy sequence in .'JI(X, Y). Then, in particular,

Theorem 4.4.2 A linear transformation T from a normed linear space
the sequence is bounded-that is, there is a constant K such that
X into a normed linear space Y is continuous if and only if it is bounded.
for all x EX, n :?: I. (4.4.4)
Proof. If T is bounded and x" ___,. 0, then, by ( 4.4.1 ), Tx. ___,. 0. Thus T
IIT"xll :::; Kllxll
is continuous at x = 0. By Theorem 4.4.1, Tis then continuous everywhere.
Since IIT.x- Tmxll :::; liT.- Tm!l llxll ---> 0 if 11?: ~---> oo, t?e sequence {T"x}
Suppose, conversely, that Tis continuous. If Tis not bounded, then for any is a Cauchy sequence in Y. Since Yis complete, hm r.x ex1sts. Define
positive integer n there is a point x~ such that IITx~ll > nllx~ll Let xM =
x~/(n II x~ II). Then xM ---> 0, I Tx" II > I. Since TO = 0, T cannot be continuous at (4.4.5)
x = 0-a contradiction.
The space of all linear transformations from a linear vector space X
into a linear vector space Y can be made into a linear space by defining It is clear that Tis a linear operator. From ( 4.4.4), (4.4.5) it also follows that
IITxll sKIIxll for any xEX. Hence TEYI(X,Y). It remains to show that
(T + S)(x) = Tx + Sx, I . ~:

i. I T- T~ll ___,. 0 as n---> oo. .

().T)(x) = 2Tx. I. Since {T.} is a Cauchy sequence, for any e > 0 there rs a number n0
such that IITm- T.ll $ e if m ~ 11:?: n 0 Thus, for all x EX,
We shall denote this space by !l'(X, Y). When X and Y are normed linear
spaces, we denote by .'B(X,Y) the subspace of .P(X,Y) consisting of all the
continuous linear transformations. If X = Y, then we write !l'(X) = .P(X,X), i ,:,
at( X) = .'B(X,X). Taking m ___,. co, we get
IITx- T"xll $ tllxll-
I
Theorem 4.4.1 Let X andY be normed linear spaces. Then .'B(X,Y)
is a normed linear space with the norm liT II defined by (4.4.3). Hence, II T - T" !I :::; e if 11 ~ 11o. This proves that !IT - r. I ___,. 0 as n .... co.
Proof. We have to show that T satisfies the conditions (aHc) in Definition 4.4.2 Let X be a Banach space, and let :here_ be d~fined a
Definition 4.1.3. As for (a), I Til is clearly ~ 0, and, if liT II = 0, then by multiplication (x,y) ___,. xy from X x X into X: such that (r) X 1s a r.r.ng (not
(4.4.2) Tx = 0 for all x EX -that is, T = 0. The conditions (b), (c) follow necessarily with identity) with the operatJOns x + y,xy, and (n) llxyll
. .
from I .
:::; llxl\ IIYII. Then we call X a Banach algebra.

ll.tTII = sup ll(..lT)xll = 1..1.1 sup IITxll = IA.IIITIJ, Example t. Let X be a compact metric space. Then C(X) is a Banach algebra
llx!l~l llxll-1
with (fg)(x) =f(x)g(x).
liT+ Sll = sup II(T + S)xll s: sup iiTxll + sup IISxll =II Til+ IISII.
llxll=l llxll-1 llxii=I Example 2. If X is a Banach space, then &l(X) is a Banach algebra with
(ST)(x) = S(Tx). Indeed,
Definition 4.4.1 A sequence {T"} of bounded linear operators, from
a normed linear space X into a normed linear space Y, is said to be uniformly IISTII = sup II(ST)xll = sup IIS(Tx)ll:::; !!S'.'. su~ !ITxl!, = iiSii liT'.!
convergent if there exists a bounded linear operator T from X into Y such ll:xll ~ 1 l;x'.'. ~ 1 llx'l-1
that I TM - Til ---> 0 as n ___,. oo. We then say that {T.} is uniformly convergent
YI(X) has an identity/, given by /x. = x. . .
toT. If x = R", ::ll'(X) can be identified wrth the space of 11 x n matnces.
Note that uniform convergence means convergence in the norm of
.'B(X, Y).
PROBLEMS
Theorem 4.4.4 If X is a normed linear space and Y is a Banach space, 4.4.1. Let X be a normed linear space and let Y be a Ban~ch space.
then 1/(X,Y) is a Banach space. Let T be a linear operator from X into Y with domain Dr dense Ill X. If T
 THE PRINCIPL OF UNIFOR~ BOUNDED NESS 139
138 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES

is bounde~-that is, if (4.4.1) holds for all x E D:r-then there exists a unique
bounded hnear operator Tfrom the whole space X into Y such that fx = 4.5 THE PRINCIPLE OF UNIFORM
Tx for all x E Dr. We call T the continuous extension of T. BOUNDEDNESS
4.4.2. let The an additive operator [that is, T(x 1 + x 2 ) = Tx 1 + Tx 2 J The following important theorem is known as the Banach-Steinhaus
from a real normed linear space X into a normed linear space Y. If T is con- I -~
theorem and also as the principle of uniform boundedness.
tinuous, then T is homogeneous [that is, T().x) = A.Tx]. [Hint: Prove that
T[(m/n)x] = (mfn)Tx, where m,n are integers.] Theorem 4.5.1 Let X be a Banach space and let Y be a normed linear
. ~ 4.~.3. Let A be a symmetric n x n matrix. Consider A as an operator
space. Lei {T.} be a family of bounded linear operators from X into Y. If for
m R g1ven by x ..... Ax. Prove that IIAII =max IA.il, where }.j are the eigen-
j each x EX the set {T.x} is bounded, then the set {liT. II} is bounded.
values of A.
Proof If there exists a ball B(x 0 ,e) on which {T.x} are uniformly
4.4.4. let f(z) = I"' anz" be an entire complex analytic function.
boundr:;d-that is, for some constant K,
n=O

Prove that for every T

~
E bli'(X), X a Banach space, the series I
P1 =0
anT" (T 0 = I) if llx- x 0 , < e (4.5.1)

IS absolutely convergent in "'(X). One definesf(T) by -then we can easily complete the proof of the theorem. Indeed, for any
y - 0 define
s
f(T) = I"" a. P. z= lfYjf Y + X 0 .
n=O

4.4.5. Let f(z), g(z) be entire complex analytic functions, and let Since liz- x 0 ll $ e, (4.5.1) implies that IIToz!! $ K. Hence
h(z) = f(z)g(z). Prove that for any TE @(X), X a Banach space, h(T) =
f(T)g(T). In particular we have: euel'r = e(J.+pJr_ _c_IIT v\l- liT x 0 ll
!! y II "~ '
$11-/:--
li Y II
T.y + T,x 0 ll
I
= IIT.z',i $ K.
4.4.6. Find the norm of the operator A E "'(X) given by (Af)(t) = tf(t)
(0 :$ t :$ 1), whe~e (a) X= C[O,I], (b) X= U(O, I) and (I ::-; p :$ cx:;). . We thus ge:t
4.4.7. A lmear operator from a normed linear space X into a normed K + IIT.xoll K + K' ...
linear space Y is bounded if and only if it maps bounded sets onto bounded IIT.rll =:; ll_r!l :S - - tr:l,
s c
sets.
4.4.8. A linear operator from a normed linear space X into a normed where K' =sup .T.x 0 1l < oc. We conclude that IIT.!I $ (K + K')/e, and the
a
linear space Y is continuous if and only if it maps sequences wnverging to 0
assertion of the theorem fol!ows.
into bounded sequences. To complete the proof of the theorem we only have to show that there
4.4.9. Let (X,p) and (Y,v) be measure spaces and consider the operator exists a baH on which the {T,x} are uniformly bounded. We shall wppose
A defined by that no such ba11 exists, and derive: a contradiction.
Fix a ball B 0 . Then there exists a point x 1 in B 0 such that
(Af)(x) = JK(x,y)f(y) dv(y) IIT.x 1 11 > I
for some index 'l 1 . By continuity we have II r.,x" > 1 in some ball B(x~>el)
from L'(Y,r) into U(X,p), where 1/p + 1/r =I, I <p < CJJ. Prove that if
lying in 8 . We take c1 < l. ln this new ball the family {T,x) is not uniformly
K(x,y) E U(X x Y,p x v), then A is a bounded operator. 0

4.4.10. Prove that L 1(R") is a Banach algebra if multiplication is hounded. Hence there exists a point x 2 E B(x 1 ,e 1 ) such that
defined by convolution--that is, :;r.,x) > 2
for some index a 2 , a} 1= a 1. By continuity, 1.::r.,xl\ > 2 in some ball B(xl,c2)
(f g)(x) = JRn f(x- y)g(y) dy. lying in B(x ,e ). We take e2 < 1- We can proceed in this way to define
1 1
 THE OPEN-MAPPING THEOREM AND THE CL.OSED-GRAPH THEOREM 141
140 ELEMENTS OF FCNCTIOi'OAL ANALYSIS IN BA'\ACH SPACES

4.5.3. The Fourier series of an integrable function f(x) defined on

points x3,x4,x... , indices x 3 ,'l 4 , ... ,'ln and positive numbers e3 ,c 4 , ... ,c... ,
such that B(xm;;.) c: B(x._ 1 ,;;"_ Jl, f." < I/n, 'l" =F r:x1 if 1 :s; j < n, and (0,2rr) is the series
1 z~ .
; ranxll > n for all X E B(x.,e.). s(x) = L
c:

ame'"'x, where a, = -2
1! 0
r f(~)e-''"~ d~.
m=-::t::

n B(xn,tnl Since ii T,nzll ~ n for

a
By Theorem 3.4.1, there exists a point z
all n ~
E
"- 1
1, we get a contradiction to the asss umptio n that { T,z} is a bounded
Set s"(x) = f a,"e'"'X,f(x + 2rr) = f(x) (0 < x < 2n). Prove that
m= -"
set. 1
s.(y) =- f
2rr o
h
f(y + x)D"(x) dx,
Definition 4.5.1 A sequence {T.} of bounded linear operators, from
a normed l!near space X int? a normed linear space Y, is said to be strongly
where
comJergent 1f, for any x EX, hm r.x exists. Ifthere is a bounded linear operator
n sin (n + -})x
T such that lim T.x = Tx, then we say that {T.} is strongly conrergent to T. D.(x) = . l
sm 2X
n
Note that uniform convergence implies strong convergence. 4.5.4. Denote by X the Banach space of all continuo~s functions
f(x) on 0 :::::; x :::::; 211, with f(O) = [(211), provided wi:h the umform norm.
Theorem 4.5.2 Let X be a Banach space and let Y he a normed linear
Denote by y the Euclidean space R1 . Prove that the linear operator
space. If' a sequence jT,} of bounded linear operators from X into Y is srrongly
T.(f) = - 1 r'~ f(x)D"(x) dx
comergent, then there exisrs a bounded linear o'Perator T surh that {ToJc i~,
strongly conrergent to T. 211o

Prooj: For any x EX the sequence {T.x} is hounded, sim:e it is con- from X into Y is hounded, and
vergent. The principle of uniform houndcdness implies that II T" !I :::::; K for all 1 .2n
n ~ 1, where K is a constant. Hence, II T.ll = - J
2n o
IDn(x)l dx.

forallxEX. (4.5.2)
4.5.5. There exists a continuotts function f(x) on 0 ::0:: x $ 211, with
Now define Tx = li~n T.x. [t is clear that Tis a linear operator. Fro in (4.5.2) f(O) = f( 2n:), such that its Fourier series diverges at x = 0. [Hint: Use
Problems 4.5.2, 4.5.4, and the Banach-Steinhaus theorem.]
it_ also follows that ;iTx, ::0:: Kl!xl!. Thus Tis a bounded linear operator.
Fmally, by the definition of T it follows that {T"} is strongly convergent
toT. THE OPEN-MAPPING THEOREM
4.6
AND THE CLOSED-GRAPH THEOREM
PROBLEMS
4.5. I. Let X, Y, T, he as in Theorem 4.5.1. Let The following theorem is called the open-mappin_q theorem.

.
X.= {x; sup IIT,xll ::0:: n!lxii}. Theorem 4.6.1 Let X and Y be Banach spaces and let T be a bounded
linear map from X onto Y. Then T maps open sets of X onto open sets ofY.
Then X = l) X n L' se 1he Baire category theorem to give a (somewhat)

different proof of Theorem 4. 5. I . Proof. We give the proof in three parts. .

4.5.2. Show that (a) For any e > 0, denote by Xe and Y,, the balls in X andY, re~pectrvely,

,.2n I sin (n + nx I with center 0 and radius. We shall prove that for any e > 0 there 1s a J such
I I
o I
-,
SlllzX
ldx----> X asn---->oo.
that
( 4.6.1)
[flint: lsin lxl ::0:: lx.]
 142 ELEMENTS OF FUNCTIONAL ANALYSIS!~ BA"'ACH SPACES
THE OPEN-MAPPING THEOREM AND THE CLOSED-GRAPH THEOREM 143

Since, obviously, X = UnX, we have y

"~ 1
= T(X) _
-
u"' nTX,. By the Ba1re
_ G is open, there is a ball X, such that x + X, c: G. By (b), T(X,) =' ~ for
1 some 1J > 0. Hence
category theorem (Theorem 3.4.2} it follows that for "s- TX .
_ . - , orne n, n , contams
some ball B(~,r) m y TX, then contains the ball B( o) h T(G) => T(x +X,)= 1x + T{X,) => y + Y~.
o = r/n. The set >'o w ere Yo = z/n,
Let T be a one-to-one linear operator from a linear vector space X into
I' = {yl - Y2; J\ E B(y 0 ,o), Y2 E B(y 0 ,o J} a linear vector space Y. We then define the Jf_l_t~e_r_!!_e]_~:. of T by
is then contained in the closure of the set TQ . w h ere if Tx = y .
Q={x1-x 2 ;x 1 EX,x 2 EX,}. It is easily verified that the domain of r- 1 is a linear subspace of Y and that
Since Q is clearly a subset of X . we get TX p W .. . T - I is a 1inear opera tor. T maps X onto Y if and only if the domain of T - I
in tl f ( 2<- 2< =' . ntmg any pomt y E Y. is the whole space Y. We have the relations:
IC orm Y = y + Yol- Yo. we see that y~ c P, and (4.6.1) follows. o
(b) We shall prove that for anv .,_ > 0 the - , T- 1Tx =X for all x EX,
" "" rc IS a uo > 0 such that
rr-ly=y for all y E D 1 -- ,,
( 4.6.2)
Choose a sequence {~:.} of positive numbers such that .:f:: . As an application of the open-mapping theorem we shall prove the
L tn < to. B~ (a), following result.
1
there exists a sequence {J.} of positive numbers such tha; =
Theorem 4.6.2 Let X and Y be Banach spaces and let T be a one-to-
TX," =' Yo" for n = 0,1,2, .... (4.6.3) one bounded linear map from X onto Y. Then T- 1 is a bounded linear map.
We may take ihc 6" such that 6.----. 0 as n----. w.
' Let y E !"au
By (4.6.3) (with n = 0) there is a point x EX such h Proof. Since r- 1 is a linear operator, we only have to show that it is
II;-_~ Txoll-::: 61. Smce (y- Tx 0 ) E 1-J,, (4.6.3) (with n =I) i~plic~ that t~e~ :
1
continuous. By Theorem 4.6.1, (T- 1 ) - l = T maps open sets in X onto open
ex1s s a p01m x 1 EX,, such that lly- Tx _ Tx ,, < ~ p d' . sets in Y. Thus T- 1 has the following property: the inverse images of open
wa t b . , o 1 ,, u2. rocee mg m this
y s ep y step we obtam a sequence {x } such that x EX _,
1J ,. .tl't anu
sets are open sets. Hence, by the definition of continuity, 1
r-
is continuous.

Corollary 4.6.3 Let X be a Banach space with any one of two norms
(4.6.4)
1 1 , ilb Assume that there is a constant K such that
The series L x. is absolutely convergent
"
~incc , x I <
I " _ e. an
d \
L.. c. < oo. By for all x EX. (4.6.5)

Theorem 4.1.2, the series"

Then
to x. is then also convergent; denote its sum by x.
Then the two norms are equivalent-that is there is a constant K' such that

for all x EX. (4.6.6)

::(_ ~

!!xll s; L\ ,',.-x.ll s; L\ ~,." < 2oc-o Proof. Denote by X 1 and X 2 the Banach spaces obtained by providing
n=O n=O X with the norms ','1 1 1 and I 1i 2 , respectively. Consider the map Tx = x
Since T is continuous, and since ti ----.0 as n----. w (4 61 4) - . from X 1 onto X 1 . By (4.6.5), Tis bounded. Hence, by Theorem 4.6.2, T- 1 is
h h " - - gl\es y = Tx We also bounded. This gives (4.6.6).
ave t us shown that for any y E }Jo there exists a point x EX such. that
TX= Y Th1s proves (4.6.2). 2
'"
Definition 4.6.1 Let T be a linear operator from a linear vector space
(c) We shall prove that for any open ~el c 1 r X' d r
_,_T_ - l an tOr anv pomt X into a linear vector space Y, having a domain Dr- The graph GrofT is the
J-- x, x E G, there IS a ball Y, (IJ > 0) ~uch that v + y c T(C) Th- "II
show that T(u) is open, and thus establish the assertion of"the th' . ISS_wl set or all points (x, Tx) in X x Y, where x varies in Dr- If Gr is a dosed set
eorem. mce in the Cartesian product X x Y. then we say that Tis a closed operator.
 144 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
APPLICATIONS TO PARTIAL DIFFERENTIAL EQUATIONS 145

Note that Gr is a linear subspace in X x Y. Thus T is closed if and
only if Gr is a closed linear subspace. Note also that Tis closed if and only if
Xn E Dr, Xn---> X, Txn---> y imply that x E Dr and Tx = y.
The following theorem is known as the closed-graph theorem.
Theorem 4.6.4 Let X and Y he Banach spaces and Jet T be a linear
operator from X into Y (with Dr =X). IfT is closed, then it is continuous.
4.6. 6. Let X and Y be Banach spaces and let T be a linear map from
a linear subspace Dr of X into Y. If Dr (in X) and the graph ofT (in X X Y)
are closed, then T is bounded-that is, IITxll ~ Kllxll for all x e Dr (K
constant).
4.6.7. Let X be a normed linear space with any one of two norms
11 1 , II II~ If II Xn11 2 ---> 0 implies II x.";i 1 ---> 0, then (4.6.5) holds.

Proof The graph Gr ofT is a closed linear subspace in the Cartesian

prod~ct X x Y (with ll(x,y)li = llxll + IIYII). Hence Gr is itself a Banach space.
~ons1de~ the bounded linear map J from Gr onto X given by J(x,Tx) = x.
Stnce J IS one-to-one, Theorem 4.6.2 implies that J- 1 is a bounded linear 4.7 APPLICATIONS TO PARTIAL DIFFERENTIAL
operator from X into Gr-that is, EQUATIONS

ll(x,Tx)ll = llr 1 x[[ ~ Kl!xll (for all x E X) j Definition 4.7.1 Let T be a linear operator from a linear vector space
X into a linear vector space Y, having domain Dr. A linear operator S from
for some constant K. Consequently, llxll
bounded.
+ IITxil ~ Kllxll, and Tis therefore
I X into Y is called an extension ofT if Ds :::1 Dr and Tx = Sx for all x E Dr.

PROBLEMS
Definition 4.7.2 LetT be a linear operator from a normed linear space
If T,S,T- \S-
1
4.6.1. belong to !?B(X), then (TSr 1 E !?B(X) and X into a normed linear space Y with domain Dr. Suppose there exists an
crs)- 1 = s-~r- 1 . operator S with the following properties: (i) S is a closed linear operator;
4.6.2. Let X be a Banach space and let A e .Jd(X), II A II < I. Prove (ii) S is an extension of T, and (iii) if S' is any operator with the properties
that (/ + A) -J exists and is given by (i), (ii), then S' is an extension of S. Then we call S the closure of T. When
the closure of T exists, we often denote it by f.
(/+A)-1 =I "' (~ltA", The following theorem gives a necessary and sufficient condition forT
,. .. o to have a closure.
where the series is absolutely convergent [in .'I( X)]. Show also that

IIU+A)- 1 11~ 1/{1-IIAII). Theorem 4.7.1 Let T be a linear operator from a linear subspace DT
4.6.3. Let X be a Banach space and let T and r- belong to .:B(X). 1 of a Banach space X into a Banach space Y. T has a closure T if and only if the
Prove that if S E Ji'(X) and II S- Til < 1/11 r- 1 11, then S -J exists and is a following condition is satisfied:
bounded operator, and imply (4.7.1)

Proof. If r has a closure f, and if y and x. arc as in (4.7.1) then

fO = y. Hence y = 0. Suppose conversely that (4. 7.!) holds, and denote by
[Hint: S = [(S- TlT- 1 + l]T.J A the set of all points x' for which there exists sequem:es {x~} such that
_4.6.4. L~~ X and Y be two linear vector spaces. Find necessary and x~---> x', Tx~---> y' for some y'e Y. We define fx' = y'. This definition is un-
suffic~ent condtt1ons for a subset G of X x Y to be the graph of a linear .
amhtguous, f or, r
1 x"" ..... x,
r x.---> .. o, T( x.-
" y , t hen x. - x"..... x"") ___., y' - _,L" ,
operator from X into Y. and, therefore, by (4.7.1), y' = y". It is easily seen that f is a linear operator
4.6.5. Let X and Y be Banach spaces and let T be a bounded linear It is also clear that if S is a do~ed linear operator that is an extension of T,
map from X into Y. If T(X) is of the second category (in Y), then T(X) = Y. then Sis also an extension of f. Thus it remains to show that Tis closed.
 146 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES APPLICATIO~S TO PARTIAL DfFFERE~TIAL EQUATIONS 147

Let z. E Dr, z"---> z, Tz.---> u for some u E Y. Then, for each n we can Ask___,. XJ, the integrals on the right converge to zero, whereas the integrals
find a point x. in D-r such that on the left converge to Jn v r.p dx. Hence

- 1
IITz.- Tx.!l < -.
n
J v <p dx = 0
ll

We then have: x. E Dr, x" ..... z, Tx.---> u. Hence z E Dr and Tz = u. Thus Tis for all r.p E C~(O). By the result of Problem 3.3.6 we conclude that u = 0.
indeed a closed operator. In the remaining parl of this section we shall consider the differential
Let P(z) = P(z 1 , ,z.) be a polynomial inn variables z1 , .. ,z. of degree
operator P(iD) (where i = \ ../~-1) rather than P(D).
m, say
P(z) -- '\
L. aa1o:P1 z"' z~"
1 1'1
E.:.:J5m Definition The polynomial P(z) [or the operator l'(iD)] is hypoelliptic
We shal! use th_e notation: ::x = (o:1 , .. ,o:"), lo:l = o: 1 + ... + o:., z~ = z~' ... z~". if every function u E C"'(O:) that satisfies P(iD)u = 0 inn is in C''(O:).
Then we can wnte There are necessarv and sufficient conditions for P(z) to be hypoelliptic.
P(z) = L a~z~. These conditions are independent of 0:. Denote by .-\'(P} the set of complex
l~l.:<;m zeros of the polynomial P(z). We can then state:
We write Di = c;'i!xi, D~ = D~' D:", and define

P(D) = L a~D~. (4.7.2) Theorem 4.7.3 P{z} is hypoelliptic if and only if any one of the following
1~1sm conditions holds:
We call P( D) a parti~l differential operator with constant coefficients of degree (i) For any constant A > 0 there exists a constant B > 0 such that all
~- P(D) can be considered as an operator from C"'(O:) into itself, where 0:
the points s =a + ir of N(P) satisfy the inequality
IS any open subset of R". It maps a function u(x) into the function

L a~D~u(x).
[P(D)u](x) = {4.7.3) lrl 2 A log lal - B.
'~',;'" (ii) If Ia I ---> oo, a + ir E N(P}, then lrl ..... w.
We can also consider it as an operator from Ck{O:) into ck-"'(0:) for an
k ~ m. However, if k < m or if Ck(O:) is replaced by the space U(O), the~ (iii) For any 9 ERn,
:(D)u cannot be defined on the whole space. Tn some important problems it P(O" + 0)-->
IS necessary to consider P( D) in spaces LP(Q) (I :-::;: p < w ). What we then do
1 as a E R", lal --> x.
P(a)
is de~ne P_(D) !sin (4.7.3) on the linear subspace cm{Q) consisting of all the
functwns m C (.0.) that have a finite norm (iv) For any il., lctl 2 0,
D"P(a) ___,. O
(4.7.4) ds O" E R", IO"I ---> oo.
P(rr)
Tt is often desirabl~ t_o exte~d P(D) to a closed linear operator in L~'(O:). We
shall prove that thrs rs possible. The proof of this theorem is beyond the scope of this book. However,
one part of it, namely, condition (ii) as a necessary condition for hypoellip-
Theorem 4.7.2 The operator P(D) from P(O) (1 :-::;: p <co) into itself, ticity, will be derived here as an application of the dosed-graph theorem. In
with domain (m(n), has a closure. fact, we shall prove the following stronger theorem.

Proof ln view of,Theorem 4.7.1 it suffices to show that ifuk E Cm(O:), Theorem 4.7.4 Assume that there exists a domain Q in Rn such that
- Vii o.p--> 0, then v = 0. Let r.p E cg (0:). r ntcgration by
I uk I O.p ____,. 0, I P( D)uk all the solutions of P(iD)u = 0 in Q that belong to C 11 (0:) (for some h ~ m)
parts gives belong also to C 11 + 1(0:). Then the condition (ii) of Theorem 4. 7.3 holds.

J P(D)u< r.p dx
Q
= J'Q
u, P( -D)<p dx. Proof For simplicity we may assume that 0 En. Denote by X the
148 F I.E MEI'TS OF FU ..... CTIONA L A1\ALYSJS IN BAN ACJJ SPACES APPLICATIONS TO PARTIAL DIFFERENTIAL EQUATIONS 149

space of all the functions of Ch(f!) that arc solutions in fl of P(i D)u = 0 and Tf u and v are in U(O) (I -::;, p < oo) and if for any compact subset K of n
that have a finite norm there exists exists a sequence {tpi} in ciI(Q) such that

(4.7.5) f ID"tp
'K
1 -vi~' dx----> 0 asj ...... oo, (4.7.8)

X is a Banach space. Let fl 0 be a bounded domain containing 0 and whose then we say that r is the ath LP strong derivatil'e of u and write Du = 1' (s.d.).
closure lieS in fl, and denote by Y the Space of functiOnS in Ch+ 1(Q 0 ), having For example, the functions u(x) of the space H'"-P(Q) introduced in 3.3
a finite norm have LP strong derivatives of any order -::;, m, and all these derivatives belong
llull' = sup L ID'u(x)j. to U(O).
xE:n(ll'l:sn~l

Y is abo a Banach space. We shall denote by u' the rcstril:tion of u (in Q) to PROBLEMS
fl 0 . By assumption, if u EX, then u' E Y. Consider now the map Tu = u'
4.7.1. If D'u = v (s.d.), then D"u = v (w.d.).
from X into Y. Tis closed. Indeed, if
4.7.2. If D'u = v (w.d.) and D 11 v = w (w.d.), then DP+au = w (w.d.).
4. 7.3. If II and v belong to u locally in n (I :::; p < 00 ), and if D"u = v
(w.d.), then also D"u = v (s.d.). [Hint: Take tp 1 = J,;(u), e.i----> 0, and use
then clearly r = u' _, Tu. The closed-graph theorem l:an now be used. It Problems 3.3.2, 3.3.4 and the relation D"J.u = J,v.]
implies that T is a bounded map-that is. 4.7.4. Denote the closure of P(D) in U(O:) again by P(D) and denote
its domain by Dp. Prove that if the polynomial P(z) has degree m, then
ilu!l' = 'u' ':0: K u (K constant). (4.7.6) H"'P(Q) c Dp-
4.7.5. Prove that H'"~'(O:) = (] DIY>-
If s E N(P), then u(x} = e-j~- belongs to X. Hence, by (4.7.6), 11 ,lm
4.7.6. Prove that P(D) cannot be extended into a bounded linear
lsi sup ex :0: K' sup exp [ -lxl 2 +x r], operator from U( fl) into itself.
_"'( f:ilo xeO
4.7.7. Introduce in C''(f!), n a bounded open set in R", the norms
where K' is a constant. Since 0 E fl 0 , the term on the left is ;::.: lsi- Since lui'"= sup L ]fful. Denote by C*(Q) the subset of C''(!l) consisting of
n o :;;11 ,;'"
, lrl 2 all functions with lulm < oo for all m :2: 1. Introduce in C*(O) a metric
-lxl 2 + x r :0: -lxl- + lxllrl :0:
4 , p(u,v) = p(u - v,O) by

we get ~ I lui .. I
p(u,O) = ,1;1 2'" 1 + lulm.
[I~
2

lo-1 :0: lsi :0: K* exp ] (K* constant).

Then P( D) is a linear operator from the metric linear space C*(!l) into itself.
Hence, lrl ----> co if lo-1 ----> CJJ. Determine whether it is a continuous operator.
4. 7.8. Find which of the following polynomials is hypoelliptic:
Definition let n be a bounded domain and let IU' be locally integrable
functions in Q (that is, integrable on compact subsets of Q). If for any (a i constants);
(p E C,{(fll

I 11D'rp dx = (- 1)11 J-
vrp dx, (4.7.7)
(b) (z~ + zi)(z~ + 1);
-n k
(c) z"+ L aj(z!+ .. -+z;_y (a i constants).
then we say that r is the lth weak deriratire of u and write D'u = r (..d.). j~O
 150 ELEMENTS OF FUt-;CTIONAL ANALYSIS !!'>l BA'SACII SPACES
THE HAHN-BANACH THEOREM 151

To choose c that satisfies (4. 8. 1), we note that for any two points
4.8 THE HAHN-BANACH THEOREM
x,y in Y0 ,
Let X be a linear vector space. An operator (a linear operator) from X go(Y)- go(X) = go(Y- x) :$ p(y- X):$ p(y + Yr) + p(- Yt - x).
into the space :R is called a real (linear) functional on X. Next let X be a
normed linear spa<:c. A bounded linear operator from X into iRis called a real Hence
continuous linear functional (on X). Similarly we define a complex (linear) -p(- y 1 - x)- go(x) :$ p(y + Yl)- go(y).
functional (on X) and a complex continuous linear functional (on X) when X This implies that
is a complex space and iRis replaced by C. We denote by X* either one of the
spaces M(X,:R), ::2(X,C) of continuous linear fun<:tionals on X, and call it the A= sup {- p(- y 1 - x)- g 0 (x)} :$ inf {p(y + Yt)- Bo(Y)} =B.
xeYo y~Yo
conjugate (or dual) space. By Theorem 4.4.4, X* is a Banach spa<:e.
The following theorem is one of the most important results in functional Let c be any number satisfying: A:$ c :$B. Then
analysis. It will enable us to show that the space X* is ' sufficiently rich.'' It is c :$ p(y + y 1) - g 0 (y) for all y E Y0 , ( 4.8.2)
called the Hahn-Banadt lemma.
- p(- y 1 - y) - g 0 (y} :<:;; c for all y E Y0 . (4.8.3)
Theorem 4.8.1 Let X he a real linear vector .;pace and let p be a real
Multiplying both sides of(4.8.2) by A.,}> 0, and replacingy by y/}, we obtain
functional on X, satisfying
.tc :$ p(y + }.y 1) - g 0 (y). (4.8.4)
p(x + y) :$ p(x) + p(y), p(..lx) = }p(x) for afl / :?: 0, x E X, y E X.
Multiplying both sides of (4.8.3) by .A., .t < 0, and replacingy by y/1., we again
Let f he a real linear functional on a linear subspace Y of X, satisfying
obtain (4.8.4), after using the homogeneity of p. Note that (4.8.4) holds also
f(x) $ p(x) }Or all x E Y. if).= 0. Since (4.8.4) implies (4.8.1), the proof of the theorem is complete.
The following theorem, whose proof is based on Theorem 4.8.1, is
Then there exists a real linear functional F on X such that
called the Hahn-Banach theorem.
F(x) = f(x) for all x E Y, F(x) :$ p(x) for afl x EX.
Proof Denote by .;(" the set of all pairs ( Y~,g~), where Ya is a linear Theorem 4.8.2 Let X be a normed linear space and let Y be a linear
subspace of X that contains Y, and 9a is a real linear functional on Y~ satisfying subspace. Then to every ~* E Y * there corresponds an ,x,* EX* such that

llx*ll = IIY*II. -x*(y) = y*(y) for ally E Y.

ga(x) = f(x) for all x E Y, gix) $ p(x) for a!! x E Y~.

We define a relation"$" by (Y~,gJ $ (}p.gp) if Y, c Yp and ga = gp on Y. Proof. If X is a real space, then the assertion follows from the Hahn-
Then .%' becomes a partially ordered set. Every totally ordered subset =
Banach lemma withp(x) = i\y*ll iixll..f(x) y*(x) and x* =F. To prove that
{( Y11 ,gP)} clearly has an u ppcr bound ( Y' ,g') given by: Y' = U Yp, g' = g fi lix*ll $ lly*ll, write for any x EX, x*(x) = 81x*(x)i, where 0 = I. Then
on Yp. Hence, by Zorn's lemma (Theorem 4.2.2), there is a maximal clement
( Y0 ,g 0 ). If we can show that Y0 = X, then the proof of the theorem is complete
lx*(x)l = tlx*(x) = x*(8x) :<:;; p(8x) = lly*ll 118x = lly*ll llxll-
11
,

(with F = g 0 ). This shows that II x* II :<:;; IIY* 11. The reverse inequality is obvious.
We shall assume that Y0 #- X and derive a contradiction. Let Y1 EX, Suppose now that X is a complex normed linear space and define real
Y1 Y0 , and consider the linear manifold Y1 spanned by Y0 and y 1 Each point functlonalsf1 ,f} over Y by
X in Yr has the form X= y + AYr. where y E Yo and ;, E IR are uniquely
determined (for otherwise we get J\ E Y0). Define a linear functional g 1 on
y*(y) =ft(y) + !MYl
Y1 by g 1(y + ;_Y1) = g 0 (y) + ),c. If we can choose the constant c such that From the relations
Bo(Y) + ;_c :$ p(y + }.yl) (4.8.1) y*(Xy + A'y') = ft(}.y + }'y') + if2(J..y + A'y'),
for all }. E IR, y E Y0 , then ( Y1,g 1) E ,;f" and (Y0 ,g0 ) :$ ( Y1,g 1), Y0 #- Y1 . This y*(.ty + }'y') = }y*(y) + }'y*(y') = }[.f,(y) + i.fl(y)] + A'[.f,(y') + ifiy')]
contradicts the maximality of ( Y0 ,g 0 ).
it follows that if .l.-, )_' E IR, thenf1(.l.-y + A'y') = A/1(y) + A'f1(y'). We a[so have
 THE HAHN-BA~ACH THEOREM 153
152 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES

1/l(y)l ~ ly*{y)l ~ lly*ll llyll. Thus, regarding X as a real normed linear
space, w_e can appl~ the result of Theorem 4.8.2 for X real and conclude that
there eXIsts a real hnear functional F 1 on X such that
for ally e Y.
Now define x* on the complex linear space X by
x*(x) = F1 (x) - iF1(ix).
x* .is clearly a~ditive, and x*().::) ~ .h*(x) if . 1. is real. Also, x*(ix) = F 1 (ix)
- '.Ft( -x) = 1x*(x). Hence x* IS lmear. To prove that x'" is an extension of
y* 1t suffices to show that
Thus \',z'!! = Ijd. Applying Theorem 4.8.2. withy* replaced by z*, we get the
assertion of the theorem.
Corollary 4.8.4 Let X be a normed linear space. For any x #- 0 there
(4.8.5) exists an x* eX* with llx':i =I, x*(x) = 11 x.',.
Indeed, by Theorem 4.8.3 with Y = {0}, there exists a z* r= X* such that
liz* I = 1/llxll, z'"(x) = I. Take x* = llxllz*.
Corollary 4.8 .5 If y and z are distinc 1 points in a normed linear space X,
then there exists an x* E X* such that x*(y) #- x*{z).

ifye Y This follows from Corollary 4.8.4 with x = y- z.

-that is, thatfz{y) = - /1 (iy). But this follows from Corollary 4.8.6 For any x in a normed linear space X,
ft(iy) + if2(iy) = y*(iy) = iy*(y) = if!(y) - fiy). lx*(x)l
ilxll = sup--,..,-= sup ]x*(x)l. (4.8.7)
It remains to prove that 11 x* I ~ 11 y*jl. For any x e x, write x'"(x) = re;e llx il
"';<0 !'x,, = 1
where r ~ 0, (J real. Then, by (4.8.5), ' lo
The right-hand side is clearly less than or equal to the left-hand side.
lx*(x)l = lx*(e-; x)l = F1(e-ex) ~ lly*ll lle-' xll = liy*llll x 11.
6 6
On the other hand, by Corollary 4.8.4, there exists an x~ such that x~(x) =
Thus llx*ll ~ lly*ll. I xi!, 11x:;11 = 1. Hence the left-hand side of (4.8.7) is less than or equal to the
We shall use the Hahn-Banach theorem to prove the following useful right-hand side.
result.
Corollary 4.8.7 Let Y be a linear subspace of a normed linear space
Theorem 4.8.3 Let Y be a linear subspace of a normed linear space X X. If Y is not dense in X, then there exists a functional x* #- 0 such that
and let x 0 e X be such that ' x*(y) = Ofor ally E Y.
inf IIY- x 0 ll = d > 0. (4.8.6)
1eY Indeed, if Y =f. X, then there is a point x 0 satisfying (4.8.6). Now we
Then there exists a point x'" eX* such that can apply Theorem 4.8.3.
Let X be a normed linear space and let x* EX*. The null space of x*
is the set N". = {x; x*(x) = 0}. If x* #- 0, then there exists an element
for ally e Y.
x 0 =f. 0 such that x*(x 0 ) = I. Each element x eX can then be written in the
I form x = z + .h 0 , where l = x*(x) and z = x - J.x 0 E ;\,. This gives a
Proof Denote by Y1 the linear space spanned by Y and x . Since
x 0 Y, every p_oint x in Y1 ~as the form x = y + ..1.x 0 , where y e y ~nd the
decomposition of X into a direct sum of N., and the one-dimensional space
scalar A are umquely determmed. Consider the linear function z* defined by spanned by x 0 .
Let X be a normcd linear space and let x* E X*, x* #- 0. For any real
z*(y + ..1.x 0 ) = A. If }. #- 0, then
number c, the set {x; Re x*(x) = c} is called a hyperplane. It divides the
space X into two half-spaces defined by the inequalities Re {x*(x)} ~ c
IIY + holl = lAIII I+ II~ Ill d.
Xo and Re {x*(x)} ::;;:; c. If X is a real space, then this hyperplane wineides with
the vector sum Nx + cx 0 , where x 0 is any point for which x*(x 0 ) = 1.
Hence iz*(x)l ~ llxll/d for all x e Y1 -that is, liz* II~ Ijd. Now let {y} c. y
I Xo - Y.ll ..... d. Then n '
Definition 4.8.1 Let K be a subset of a normed linear space X and let
1 = z*(xo- y.) ~ llz*ll llxo- Y.ll-+ llz*lld. x E K. If an x* eX* satisfies Rc {x*(x)} ::;;:; Re {x*{x 0 )} for all x E K, then
0
I,
154 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
APPLICATION TO THE DIRICHLET PROBLEM !55

we say that x* supports Kat x 0 (or that it is tangent to Kat x 0 ). The hyperplane topology), then we say that A (I) is uniformly differentiable. Prove that
Re {x*(x)} =II x 0 ll is called a supporting (or a tangent) hyperplane to K at x 0 . eA [A E .':f(X)] is uniformly differentiable and de'Afdt = Ae'A. .
Corollary 4.8.4 can now be rephrased in a geometric language as 4.8.10. Let X be a real normed linear space, and let u(t) be contmuous
follows: and strongly differentiable in (a,b). Then for any a< cc < f3 < b,

Corollary 4.8.8 Let X be a normed linear space and let x0 belong to the du(t) II
llu(,B)- u(o:)ll $ (,8 ~ ct) ~:~~P dt
boundary of the unit ball (that is, llxoll = 1). Then there exists a tangent 1\
hyperplane to the unit ball at x0
[Hint: Apply x* to u(,B) ~ u(o:).]
PROBLEMS 4.8.11. Let X be a Banach space and let A E &l(X). Prove that for
any x 0 EX there exists a unique solution u(t) of
4.8.1. let X be a normed linear space and let {x.} c X. A point y 0
n
is the limit of linear combinations L cixi if and only if x*(y 0 ) = 0 for all x*
-du + Au = 0 (0..;, t $ 1), u(O) = Xo
j= 1
for which x*(x) = 0 for l ..;,} < oo. dt
4.8.2. Any two Hamel bases in a linear vector space X have the same
[Hint: To prove uniqueness, show that e'Au(t) is indcp~ndent of 1.]
cardinal num her. This n urn her is called the dimension of X.
4.8. 12. For every n ormed linear space X there 1s a set A such that. X
4.8.3. Two linear vector spaces X and Y are called isomorphic if there
is isomorphic to a subspace of the Banach space .of functions f on. A w1th
is a one-to-one linear map T from X onto Y. Prove that X and Y are iso-
norm 11111 = sup lf(t)l. If X is separable, A 1s countable. [Hmt: Let
morphic if and only if they have the same dimension.
4.8.4. Prove that dim 1~ = c, where c is the cardinal number of the {x,; o: E A} be d;nse in X. Let f(x,cc) be the bounded linear f~nctional.(in
continuum. [Hint: The elements ().,2 2 , .. . ,..1." ... ), 0 <A.< 1, are linearly x EX) satisfying llf(.,:dll = J,f(x~,:x) = llx~ll Define the 1somorph1sm
independent.] x _,. g,(o:), where g,(cc) = f(x,ct). Prove: llf(x,:xJI.~ .llx Ill ..;, 211.x~ ~ xll.]
4.8.5. Let X be an infinite-dimensional Banach space. Prove that 4 .8. 13. A separable n ormed li ncar space Is IsomorphiC to a subspace
there exists an infinite, strictly decreasing sequence { r.} of infinite-dimensional of/"". f . I
closed linear subspaces of X. [Hint: Take Y1 to be the null space of some 4.8.14. Let x, y be Banach spaces and letf(x,y) be a unctwna o.n
xi # 0 in X*. Take Y2 to be the null space of some x! -,t. 0 in Y~, and so on.] X x Y, continuous and linear in each variable separatc.ly .. Then f(x,y) IS
4.8.6. Let X be an infinite-dimensional Banach space. Prove that the continuous in the variable (x,y). [Hint: To prove contmmty at (0,0), l~t
linear space I"' is isomorphic to a Iinear subspace of X. [Hint: Take x" E r. _1 , ym = {y; liYII $ 1/m}, c > 0, A"= {XE X; lf(x,y)l'"'{, e for. all yE Yn}. A" IS
x. f: Y. with Y" as in Problem 4.8.5, Y0 = X, such that II x":J = 1/2", and con- closed [since f(x,yl is continuous in x] and UA.
=X [smce f(x,y) IS con-
sider the map {(.} -> L (.x".] tinuous in y]. Use the Baire category theorem to deduce that .lf(x,y)l ..;, 2e
4.8. 7. Prove that the dimension of an infinite-dimensional Banach if x E u, y E y'" for some m and for some neighborhood U of 0 m X.]
space is 2 c.
4.8.8. A Banach space X is finite-dimensional if and only if every
linear subspace is closed. [Hint: Consider the linear space spanned by the
4.9 APPLICATION TO THE DIRICHLET PROBLEM
x" in Problem 4.8.6.]
4.8.9. Let u(t) be a function defined on a< 1 < b with values in a
Rn d 1 t A - ~ ' 1 !'~ 1 The equation
Banach space X. We say that u(t) is strongly differentiable at t [on (a.b)] if Let n be a hounded domam m an e '-' ~ ;~t c r.~, 1
lim {[u(t +h) ~ u(t)]ih} exists [for all t E (a,b)]. The limit is denoted by 2
L\u = 0 is called the Laplace equation. Any function in C (Q) that satisfies the
h~O

du(t)/dt and is called the derimtive of u( 1). For functions A(l) with values in Laplace equation in Q is called a harmonic jimction in f.!_ We shall denote hy
~(X), if lim {[A(t + h)x- A(t)x]/h} exists for any x EX, then we say that an the boundary of n. We say that an is in C 1 if an can be covered by _a
h~O
finite number of open subsets G;, with each G,ncn having a paramctnc
A(t) has a strong derimtive. If lim {[A(t + h) - A(t)](h} exists (in the uniform 2
h~O represe n ta ti on in terms of functions in C .
 !56 ELEME~TS OF FU>JCTlOl'iAL A~IILYSIS IN ll!INACH SPliCES APPLICATION TO THE DIRICHLET PROBLEM 157

The Dirichlet problem is the follov.ing one: given a continuous function Definition 4.9.1 A function G(x,y), defined for each y E 0: and
f on Dn, find a function u in C 1 (Ql, continuous in O, and satisfying X E n- {y}, is called Green's function (for the Laplace operator in Q) if:
1w = 0 inn, (4.9.1) {i) G(x,y) = k(x,y) + h(x,y), where h{x,y) is harmonic in x when
U=f on en. (4.9,2)
X En.
(ii) G(x,y) is continous in x when x E 0: - {y}.
Theorem 4.9.1 The Dirichlet problem has at most one solution. (iii) G(x,y) = 0 for x E DO:.

This follows immediately from the following re,ult, known as the One can usc Green's function in order to represent the solution u of
(ll"eak) maximum principle. the Dirichlet pro hlem (4. 9.1 ), ( 4. 9. 2) in terms of an integral i nvo! ving the
boundary values f (compare Problem 4.9.2). What we shall now do is con-
Theorem 4.9.2 Let u be a h armomc'
f'unction in struct Green's function hy using, as a tool, the Hahn-Banach theorem. We
n, continuous in n.
Then max u = max u. shall wnsider only the case n = 2, which is somewhat ~mpler than the case
1~ tn where n ~ 3. We shall assume that an consists of a finite number of con-
tinuously differentiable closed curves. The following condition then holds (the
Proof. If the assertion is not true, then there is a pointy E Q such that proof is omitted):
u(y) > ';: ~X u. Consider the function r(x) = u(x) + jx _ yj2. If > 0 is
1 ( P) For any z near an,
denote by T" the tangent plane to at the en
point on (;Q nearest to z. Denote by z' the reflection of z with respect to Tz-
sufficiently small, then v(y) = u(y) >max v. Hence the maximum of v on n Then
. . en
JS attamed at a point z in n. At that point, jz- xi
max------1
xen I='- xi
(i = l, .... n). Theorem 4.9.4 lfn = 2 and en is in C 1
, then Green's(unction exists.

Hence t..r :"0: 0 at z. However, Proof Denote by X the Banach space of all continuous functions on
an with the maximum norm, and denote by X' the linear subspace consisting
of those functions f for which the Dirichlet problem (4.9.1), (4.9.2) ha' a
-a contradiction. solution. For any y E n, consider the linear functional Ly on X' defined by
As for the existence of a solution to the Dirichlet problem. we quote the Ly(fl = u(y), where u is the solution of (4.9.1 ), ( 4. 9.2). From Theorem 4.9.2
following result: . it follows that LY i' bounded and that its norm is 1.
By the Hahn-Banach theorem L, can be extended into a bounded linear
Theorem 4.9.3 lf Zn is in C 2 then for any continuous function f on en functional on X, having norm i. We denote such an extension again hy Ly.
there exists a solution to the Dirichlet problem (4.9.1 ), (4. 9.2). For each z an consider the element(, of X given by
h(x) =log jx- zj (x E an),
Theorem 4.9.3 is much deeper than Theorem 4.9. I. There are various
methods of proving it, hut each of them require' lengthy developments. We and define k,(z) = Ly(f,). We claim that k,(z) is a harmonic function. To
shall present one of these methods in Section 5.4. o,
prove it let z' = (z 1 + z 2 ). Then
Consider now the function
ky(z')- ky(z) = L {f,- f.).
2 0 b .
k(x. r) = /I
X - l'j

-"
' if II> 3.
y \

]-log lx- Yl. ifn = 2. o

As -+ 0, (f,. - f,)/J -> i"f,/ Dz1 , where i'fz./ uz 1 is the element D(log jx - zi)/2z 1
of X. Si nee Ly is a continuous operator on X, we gel
We call it a fundamental solution of the Laplace cq uation. It satisfies the
Laplace equation in x, when x varies in n- {y}, and it grows to X as
X--+ y.
aky(z)
OZt exi~ts and equals
(Dh)
Ly azl .
 158 ELEMENTS OF FU"'CTIONAL A:-:ALYSIS IN BANACH SPACES CONJUGATE SPACES A"''D REFLEXIVE SPACES 159

In the same way one shows that k,(z) has any number of derivatives
and these arc equal to the application of Ly to the corresponding derivatives 4.10 CONJUGATE SPACES
o~ f.. In particular, L>.k,(z) = Ly(L>.f.). Sim:c, however, L>.f, is the function AND REFLEXIVE SPACES

/.... c~ (1 og Ix- z1l ,.:cz

2
"' " 21 = o, we conclude that k/z) is harmonic outside DO:. Theorem 4.10.1 Let X be a normed linear space. If X" is separable, then
j-1

Since log lx - zi is harmonic in X E 0: when z n, we have X is separable.

ky(z) = Ly(f.J =log [y- z[ if z n. (4.9.3) The converse is not true in general (see Section 4.14).
Now take a point z in 0: and near 20:. Denote by z' its reflection with
respect to T" [see the condition (P) above]. Then Proof. Let {x~} be a dense sequence in X*, and choose x. EX such
. 1:- x[ that 11x.11 = 1. fx!(x.)l > Jlx!::/2. Denote by A the set of all linear combina-
!If,- j,:! =max log-,-----. 0 if Z-+ Zo, z0 E i30:, tions of the x. with rational coefficients. A is countable, and it suffices to
XEcn [.::: - xl
show that it is dense in X. If A -1= X, then, by Corollary 4.8.7, there exists an
Tt follows that L).(f, - j~.)---> 0-that is, x"' -1= 0 such that x*(x) = 0 for all x EA. Let {x:} be a subsequence of
{x~} that converges to x*. Then
ky(z)- ky(z')--+ 0 if z---> z0 .

But, by ( 4. 9.3), lim kJ(z') exists and equals log [y - z 0 [. Hence k,.(z) (z E 0:) * C. l(x * - x.)(x.,)l
llx * ""'x.;ll * * II x.~
) I C. - II
~an be~extended,into _a continuous fum:tio~n ky(z) inn, and k,(z) =log IY- z[
= lx._(x., ~-
2
~f z E cO:. The function -log [x - y[ + k).(x) satisfies the condition (i)-{iii)
111 the definition 4. 9. I of Green's function. Hence x:,---> 0. It follows that x* = 0-a contradiction.

PROBLEMS Definition 4.10.1 Let X and Y be normed linear spaces. Suppose there
2
exists a one-to-one linear map T from X onto Y. Then we say that X and Yare
4.9. 1. If cO: is in C and I' denotes the out ward normal to cO:, then linearly isomorphic (or, briefly, isomorphic) and we call T a linear isomorphism

I. (u L>.v - Ii"n (. u (_!v0cr - v cu)

(or, briefly, an isomorphism). If, further, IITxll = llxll for all x EX, then we
v L>.u) dx = -::- dS say that X and Y arc isometrically isomorphic and we call T an isometric
~n ~ cv .
isomorphism.
for any two functions u, /.'that are uniformly conti-nuous in Q together with
their tirst and second derivatives. [lfinl: Use the integration-by-parts formula
Consider now the conjugate of X*. We denote it by X*" To each
Cw . x EX we can correspond an element x in X** by x(.x*) = x*(x) for all
{ ~ dx
'n ex,
=
-en
I w cos (v,x;) dS.] x* E X . We write x = ~>.;X and call~.: the natural imheddin_q of X into X**. We
also write X = K(X).
4.9.2. Let 11 be a solution of (4.9.1), (4.9.2), and assume that its first ' .
and second derivatives arc uniformly continuous in 0:. Then for any y E 0:, Theorem 4.10.2 Let X be a normed linear space. Then the natural
2 imbedding from X into X** is an isometric isomorphism between X and~-
I f(x)-::-
e

u(y) = - c G(x,y) dS,

ov
The linearity of K is obvious. The relation IIKxll = llxil follows from
where C(x,y) is Green's function (assumed to exist and to be twice differentiable Corollary 4.1\.6.
in X E fl- {y}J and Cis a positive COnstant depending only On n. The natural imbedding of X into X** is useful even for deriving results
4.9.3. Green's function, if existing, is unique. concerning X and X* only. We giv~ such a result in the following theorem.
4. 9.4. Prove that Green's function is nonnegative.
4.9.5. Green's function is symmetric-that is, G(x,y) = G(y,x). [As- Theorem 4.10.3 Let {x,} he a set of elements in a normed linear space
sume, in the proof, that G(x,_r) has two continuous derivatives in x E X. Suppose that sup [x*(x,ll < x for any x* EX*. Then sup llx~ll < oo.
0-{y}.] ~

160 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
Proof We can apply the principle of uniform boundedness to the
family {i,.}. We conclude that sup lli~ll < oo. From this the assertion follows.
~
Definition A Banach space X is called reflexive if K(X) =X""".
We shall prove later on (in Section 4.14) that LP spaces are reflexive if
1 <p < oo, but are not reflexive if p = I, p = oo.
Lemma 4.10.4 Let X and Y be isometrically isomorphic normed linear
spaces. If Y is reflexive, then X is reflexive.
Proof Let a be the isometric isomorphism from X onto Y. Define a
map -r from X"' into Y"' by
(n"')(y) = x"'(a- 1y).
It is easily seen that r is an isometric isomorphism from X* onto Y*. Similarly
define an isometric isomorphism p from X*"' onto Y"'* by
(px**)(y"') = x**(-r- 1y*).
Denote by K1 and K2 the natural imbeddings of X into X** and of Y onto
Y**, respectively. Now take any element x;i* in X*"' and define x 0 =
a- 1Kz 1 px~*. The point x 0 is in X and, for any x* EX*,
x*(xo) = x"'[a- 1(K2 1 px6*)] = (tx*)(K2 1 px~*) = px6*(n*) = x6*(x*)
Thus K 1 x 0 = x~*. We have thus shown that K1(X) = X"'*-that is, X 1s
reflexive.
Theorem 4.10.5 A closed linear subspace of a reflexive Banach space is
reflexive.
Proof Let Y be a closed linear subspace of a reflexive Banach space
X. Consider the map a: x .....
Y* defined by (ax*)(y) = x"'(y) for y E Y. Note
that !lax* II :S: ilx*ll Next define for y** E Y**, (-ry**)(x"') = y**(ax*) for
x EX"'. Then l(ry"'*)(x*)l :S: lly"'*ll !lux* II :S: lly"'*ll llx*ll. Hence ry*"' EX*"'.
Since X is reflexive, the natural imbedding K maps X onto X**. Hence
K _,( Ty"'*) is a well-defined element of X. We shall prove that it belongs to
Y. If x = K- 1(Ty*"') 1/: Y, then there exists an x* eX* with x*(y) = 0 for all
y e Y and x*(x) # 0. Since x"'(y) = 0 for all y e Y, ax"' = 0. Hence
0 = y**(ax*) = (-ry**)(x*) = (Kx)(x*) = x*(x)
-a contradiction. We have thus proved "- 1 [T(Y*"')] c:: Y.
CONJUGATE SPACES AND REFLEXIVE SPACES ]61
,; .. Now let y~"' e Y*"' and define x 0 = K- 1(qri*). For any y* e Y*, let
x be any extension of y to an element of X*. Then y* = ax*, and
y6*(y*) = (r.r6*)(x*) = (Kx 0 )(x*) = x"'(x 0 ) = y*(x 0 ),
since x 0 e Y. Thus y~* is the image of x 0 under the natural imbedding of
Y into Y **. This proves that Y is reflexive.
Theorem 4.10.6 A Banach space is reflexive if and only if its conjugate
is rejlexire.
Proof. If X is reflexive, then the same is true also of X*"', which is
then iso~etrically isomorphic to X (with the map K). It is obvious that
(X"')*"'= [(X"')*]*= (X*"')*. Now let x~** e (X*)*"'. Then x~** E (X**)*.
Thus the functional x~ = x~**K defined by x~(x) = x&*"'(KX) for x EX is
in X*, and ,
x**(x~) = (Kx)(x~) = x~(x) = x6*"'(Kx) = x~*"'(x**)
for any x"'* EX**. Hence x~** is the image of x~ under the natural imbedding.
Since x&"'* is an arbitrary element of (X"')**, we conclude that X* is reflexive.
Suppose conversely that X* is reflexive. Then, by what we have just proved,
x is reflexive. Since K(X) is a closed linear subspace of X**, Theorem
4.10.5 shows that it is reflexive. Hence, by Lemma 4.10.4, also X is reflexive.
We now introduce an important concept of convergence.
Definition 4.10.2 Let X be a normed linear space. A sequence {x.}
in X is said to be weakly convergent if there exists an element x EX such that
Jim x*(x.) = x*(x) for any x* EX"'. We call x the weak limit of {x.} and we
s;y that {x.} com,erges weakly to x. A set K c: X is called weakly sequentially
compact if every sequence {x.} in K contains a subsequence that converges
weakly to a point in K. A sequence {x.} in X is ca1led a weak Cauchy sequence
if {x"'(x.)} is a Cauchy sequence for any x* eX*. The space X is called
weakly complete if every weak Cauchy sequence has a weak limit. A set
K c: X is weakly closed if the weak limit of any w~akly convergent sequence
{x.} in K is also in K.
PROBLEMS
4.10.1. A sequence {x.} t:annot have two distinct weak limits.
4.10.2. Let X be a normed linear space and let B be a dense subset of
X*. If a sequence {x.} in X is bounded, and if lim x*(x.) exists for each
n
x E B, then lim x*(x.) exists for all x* in X*.
"
162 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES I!
I:'!:
CONHJGATE SPACES AND REFLEXIVE SPACES 163

! :
Theorem 4.10.7 Let {X 0 } be a weakly convergent sequence in a normed exists a y** e Z** such that lim (Ky.)(z*) = y**(z*) for all z* e Z*. Since Z
k
linear space X, then: is reflexive there is then a pointy E z such that its image in Z* * (by the natural
(a) {x 0 } is bounded; ,..
imbedding) is y**. Hence,
(b) its weak limit x belongs to the closed linear subspace spanned by
{x 1 ,x 2 ~. ~ .,xnP .. }; Jim z*(yx) = z*(y) for any z* E Z".
k
(c) llxll ~lim llx.ll.
n Now take any x* e X*. It determines an element z* E Z* by z*(z) = x"(z)
for a11 z e z. Since {y.} c: Z, y e Z, we conclude that
Proof. The assertion (a) follows from Theorem 4.10.3. Next, if (b) is
not true, then by Theorem 4.8.3 there is an x* eX* such that x*(x.) = 0 for lim x*(.rd = x*(y).
k
all n ;::: I, but x*(x) =1- 0. This is impossible, since {x.} converges weakly to
Hence {y } is weakly convergent toy. Since K is weakly closed, y E K. Thus
x. Finally, from x*(x) =lim x*(x.) we get 1
J K is weakly sequentially compact.
"
lx"'(x)l =lim lx*(x.)l ~lim {llx"'llllx.ll} = llx*ll fim llx.ll- Theorem 4.10.9 A reflexil;e normed linear space X is weakly complete.
n

Now use Corol:lary 4.8.6. Proof. Let {x.} be a weak Cauchy sequence in X. Then li~ x*(x.)
The next two results are concerned with important properties of
exists for all x* ex. By Theorem....4.10.7, {x.} is bounded. From the proof of
reflexive spaces.
Theorem 4.10.8 it then follows that there is a subsequence {x.;} that converges
Theorem 4.10.8 Let X be a reflexive Banach space. A set K c: X is weakly to some element x E X. But then
weakly sequentially compact if and only if it is both bounded and weakly closed. lim x*(x.) = lim x*(x.) = x"'(x) for any x* E X
n;

Proof. Suppose K is weakly sequentially compact. Then K is weakly Thus {x.} is weakly convergent to x.
closed. Indeed, let {x,} c: K, {x,} weakly convergent to x. There is asubsequence
{x . } that is weakly convergent to a point y in K. Since x = y, x e K. Next, PROBLEMS
K is bounded. Indeed, otherwise there is a sequence {x.} c K such that 4.10.3. In a finite-dimensional normed linear space, the concepts of
llx.ll > n. By our assumption on K, there is a subsequence {x~.} that is weakly
convergence and weak convergence coincide. . .
convergent. But then, by Theorem 4.10.7 (a), {x.,} is bounded, which is 4.10.4. A weakly closed set is closed. [The convers~ 1s not true, Problem
impossible since llx.; I > n;. 4.14.6 shows that the closed set {x; ll_x\'1 = I~ in L (0, \)IS not ~eakly closed.]
2

4 .10.5. A sequentially compact set 1s weakly se~uent~a!ly. co~pact,

Suppose now that K is bounded and weakly dosed. Let {x.} be a
(bounded) sequence inK. We shall extract a weakly convergent subsequence.
but not converse Iy. [HI.nt . Consider the closed unit ball 10 an mfimte-dlmcn-
Denote by Z the closed linear subspace spanned by {x 1 ,x 2 , ,x., ... }. Z is
sional reflexive space.] .
clearly separable and, by Theorem 4.10.5, it is reflexive. Hence Z** is also 4.10.6. Let X be a normed linear space and let Y ~e a dens! ~nea:
separable. Theorem 4.10.1 implies that Z* is separable. Let {x:J be a dense . X Prove that every y* e Y* can be extended mto an x - ay
sequence in Z*. Since the sequence {xi(x.)} is bounded, we can extract a su bspace m . . . . * X* [H" . s
of X*, and that a is an isometnc 1somorph1sm of: Y onto mt. ee
convergent subsequence {xi(x. 1 )}. Next we extract from the sequence
Theorem 3.8.1.] . 1t
{x;(x., 1 )} a convergent subsequence {x;(x., 2 )}. We proceed in this way step 4.10.7. A normed linear space that 1s weak~y comp_lete 1scomp e e ..
by step. In the kth step we extract a convergent subsequence {xt(x.,k)} from
4.10.8. Prove that either a Banach space X 1s reflex1ve or ItS successive
the bounded sequence {xt(x.,1 _ 1 )}. Let yk = x,, . Then lim x:(y.) exists for second duals X** ,X****, ... are all distinct. . .
any x:. k
Since {x:} is dense in Z* and since {yd is a bounded sequence in Z, 4 .10.9. Let X and y be Banach spaces and let {T.} be a family of
bounded linear maps from X into Y. If sup lly*(T.xh < oo for any x EX,
it follows by Problem 4.10.2 that lim z*(y.) exists for each z"' eZ*. Hence
k
lim (Kyk)(z*) exists for each z* E Z*. By Theorem 4. 5.2 it follows that there y* eX*, then sup I 1 T~II < oo.
k
 164 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
4.10.10. Let X be a normed linear space and
converges weakly to y, then there exists a sequence
scalars) that converges toy.
4.10.11. Let T be a bounded linear operator from a normed linear
space X into a normed linear space Y If {x") is a sequence in X that is weakly
convergent to x 0 , then {Tx"} (in Y) is weakly convergent to Tx 0 .
4.10.12. A sequence {x"} in a normed linear space X is weakly con-
vergent_ to x 0 if and only if the following conditions hold: (i) the sequence
{llx.ll} IS bounded, and (ii) x*(x")---> x*(x 0 ) as n .... cc, for any x* in a set B
dense in X*.
4.10. I 3. Let K be a weakly closed set in a reflexive Banach space X.
Then there exists an element x E K such that inf llx = 11-~- . Thus the func-
1
xEK
tionf(x) = xll takes a minimum on K.
1
4.10. 14. Prove that the unit ball K of a normed linear space X is
weakly closed. Prove also that if the norm is strictly convex (for definition.
see Problem 4.3.3), then the minimum of f(x) = !lxli on K is attained at one
point only.
4.11 TYCHONOFF'S THEOREM
Let X be a topologil:al space and let -X' be the dass of its open sets.
A s~Jbcl~~s X 0 of .:f is called a neighborhood basis for the topology if every
set m Jf IS a unwn of sets of .:f" 0 . Recall that a neighborhood of a point x is
any open set containing x. A neighborhood basis at a point x is a subclass
.t"o(x) of Jf having the property that every neighborhood of x contains a
set of .)(0 (x).
Suppose we an: given for every x E X a neighborhood basis J( 0 (x) at
x. Then the following properties are dearly satisfied:
(1) x E W(x) for every W(x) E ,X' 0 (x).
(2) The intersection W 1(x) n WAx) of two sets W1 (x), W 2 (x) of
.)f" 0 (x) contains a set of .>r 0 (x)_
(3) If Y E W(x), W(x) E f 0 (x), then there i~ a set W(y) of _;f' 0 (v) such
that W(y) c W(x).
Conversely, if for any x EX there is assigned a class .:f 0 (x) of sets of
X such that (I )-(3) hold, then a topology can be defined on X by taking the
open sets to be all the possible unions of sets rV(x) in Jf'0 (x) with x EX.
The proof of this fad is left to the reader. Nok that each set Jf0 (x) is then a
neighborhood basis at x.
TYCIIONOFF'S THEOREM 165
Lemma 4.Jl.1 A topological space X is compact if and only if every
class {F.} of closed sets in X with empty intersection contains a finite subclass
{F.,, ... ,F.J with empty intersection.
The proof is obtained by noting that the sets F~ = X - F~ are open,
and using the relations:
Lemma 4.11.2 A dosed subset ofa compact topological space is compact.
Proof Let B be a closed subset of a compact topological space X.
Si nee (by Problem 3.1.12) a closed subset of B is a closed subset of X, Lemma
4.11.1 yields the assertion.
A class {F.} of sets of X is called centralized (or is said to have the
finite intersection property) if any finite number of sets F, have nonempty
intersection.
Lemma 4. 11.1 im mcd iatel y yields:
Lemma 4.11.3 A topological space X is compact if and only if every
centralized class of closed sets has a nonempty intersection.
A class {M.} of sets is said to have a common point ofcontact if (') M. =fo 0.
Any point X that belongs to n M. is called a point of common contact.
We give a slightly different version of Lemma 4.11.3, the proof of which
is left to the reader.
Lemma 4.11 .4 A topological space X is compact if and only if every
centralized class of sets in X has a common point of contact.
A sequence {x"} in a topological space X is said to be convergent to x
if for any neighborhood U of x there is an n 0 such that x" E U for all n ~ n 0 .
If every sequence in X has a subsequence that is convergent to some point of
X, then we say that X is sequentially compact. X is said to satisfy the first
countability axiom if there exists a countable neighborhood basis at each point
of x.
Theorem 4.11.5 Let X be a topological space satisfying the first count-
ability axiom. If X is compact, then it is also sequentially compact.
Proof Let {x"} be a sequence in X. For every positive integer n let
M. = {x.,x"+i>-l- The class {M.} is centralized. Hence, by Lemma 4.11.4,
 TYCHONOFt''S THEOREM 167
166 ELEME!\TS OF FUNCTIONAL ANALYSIS !'i BA'iACI! SPACES

Indeed, if B is an intersection of a finite number of sets of {M'}, then

there is a point .'( of common contact-that is, X En M .
n-:-: 1
Take a l:OUntable
basis of_ neighborhoods U, at .X. The subsequence {x., 1 } of {x"} consisting
of all pomts that belong to U1 must be infinite. Indeed, otherwise U1 n M. = 0
for some n sufficiently large. But this is impossible, since .X EM. By the same
argument, the subsequence {x., 2 } of {x.} l:onsisting of all points that belong
:o n
U~ U 2 is infinite. Note that {x. 2 } is a subsequence of {x., 1 }. We proceed
m thts way step by step. In the kth step we get an infinite subsequence {x }
that is contained in u1 n u2 n ... n uk. 1t is now easily seen that seque~~e
{xk.d converges to .X.
the class { M~,B} is centralized. By the maximality of { M;.} we conclude that
{M\ B} = {M.t }-that is, B E { M;.}. The proof of (b) is similar. .
Denote the projection of a set M 1 on X~ by M;. For any~. {M~} is a
centralized class in X~. Since X, is compact, the sets {M!} have a point x~
of common contact. Let x 0 = {x~}. We shall prove that x is a point of
0
0
common contact of the class {M;.}-that is, every neighborhood U(x ) of
x0 in a neighborhood basis at x 0 intersects every set MJ..
By definition U(x 0 ) consists of points {x,}, where x~. E U(x~.) for some
indices a 1 , .. . ,a. and X a varies in X a for all ct of= et 1 , ... ,a of= a. Here U(x~;) is a0
neighborhood of x~; in X~; Denote by U,(x ) the neighborhood of x
0

Let X, (:x E A, A an ordered set) be topological spaces. Let

defined by: x,; E U(x~.) and X~ varies in xa *
for all Cl. C/.1. Then
X= TI X~
""" U(x 0 ) = n U;(x
n

i=l
0
).

be the space whose elements are the ordered sets x = {x,}. We define on X
a topology by giving a neighborhood basis .Jf 0 (x 0 ) at each point x 0 = {x 0 }. Since x~ is a point of contact of the class {M~J. U(x~) intersects each 1\.1L
A set U(x 0 ) is in f 0 (x 0 ) if there exists a finite number of indices a 1 , .. . ~ct.n Hence U;(x 0 ) intersects each set M'". By (a), U;(x ) intersects any fin~te
0

from A and neighborhoods U(x~.) of x~. in Xa, such that U(x 0 ) is the set of
all points {x~} with x.; E U(x~) for i = 1, ... ,n and x. arbitrary in X~ if
a of= :r: 1 , ... ,:r: of= a". 1t is easy to verify that the conditions (1 )-{3) for neighbor-
hood bases are satisfied. Thus X is a topological space with the classes
f 0 (x 0 ) as neighborhood bases. We call X the Cartesian product of the
topological spaces x .
Consider the function fo(x) = x, from X onto X,. The image of a set
M c X under this map is called the projection of M on X .
The next result is called the Tychonoff theorem.
0
intersection of sets of {M'}. But then (b) implies that U;(x ) is in {M"}.
0
Hence, by (a), U(x 0 ) is in {M'-}. It follows that U(x ) intersects each set M'".
PROBLEMS
4.11.1. Let X andY be topological spaces. A function/from X into
Y is called continuous if the inverse image of open sets are open sets. Prove
that f is continuous if and only if the inverse images of closed sets are closed
sets.
4.1/.2. A continuous function maps compact sets onto compact sets.

Theorem 4.11.6 The Cartesian product of any family of compact topo-

~
4 .11.3. Prove that the mapping fix) = X~ from X = X~ onto X a isn
"-
logical spaces is a compact topological space. continuous.
4.11.4. A mapping f from a topological space X into a topological
Proof Let X = TI
xa be the Cartesian product of the compact space y is continuous if for any y 0 = f(x 0 ) and for any neighborhood N of
topologtcal spaces X~ Tn view of Lemma 4.11.4 it suffices to show that every Yo there exists a neighborhood M of x 0 such thatf(M) N. . :=
centralized class of sets {K'} has at least one point of common contact. 4.11.5. A compact subset of a Hausdorff topologiCal space 1s closed.
Consider all the centralized classes of sets {/~' ~ J that contain {K'}, and define 4. 11.6. A compact Hausdorff space is normal.
a partial ordering: {N~}::::; {;W'"} if each set N'' coincides with some set M'". 4.1 /.7. A real-valued continuous function on a sequentially compact
We can apply Zorn's lemma and thus conclude that there exists a maximal topological space attains its supremum and its infimum. . .
centralized class {M~} containing {K'}. It suffices to show that {M;,} has at 4.11.8. A function X from a topological space X mto a topolog1cal
least one point of common contact. space Y is called a homeomorphism (of X onto Y) iff is a one"'to-one map
The maximality of {M'} implies: from X onto Y, and if both f and its inverse are continuous. Prove that a
continuous one-to-one map from a compact topological space onto a Haus-
(a) The intersection of any finite number of sets of {M.t} is again in
dorff space is a homeomorphism. .
{M'}. 4.ll.9. A closed interval on the real line is not homeomorphic to an
(b) If a set intersects any finite number of sets of {M;. }, then it belongs
open interval on the real line.
to {M'"}.
 I68 ELEMENTS OF FUNCTIONAL Al'iALYSIS IN BANACH SPACES
WEAK TOPOLOGY IN CONJL'GATE SPACES ]69

Having proved (1)--{3), we conclude that X* is a topological space

4.12 WEAK TOPOLOGY IN CONJUGATE SPACES having the sets Jf' 0 (y*) for neighborhood bases. To prove that X* is a
Hausdorff space, let yf i= yi. Then there exists an x 0 EX such that Yi(x 0 )
Definition 4.12.1 A set X is cal!ed a topological linear space if:
i= y~(x 0 ). Hence, if e = J}j(x 0 ) - _v!(x 0 )1/2, then the two neighborhoods
(i) X is a linear vector space.
N(yj'; x 0 ; e), N(y!; x 0 ; e)
(ii) X is a Hausdorff topological space.
(iii) The function (x,y) ->X+ y from X x X into X is continuous. arc disjoint. We have thus proved the condition (iv) of Section 3.1 for a
(iv) The function ().,x) ___,. A.x from ff x X into X is continuous. topological space to be a Hausdorff space.
Here ff is either IR or C. To complete the proof of Theorem 4.12.1 we have to establish the
properties (iii), (iv) in Definition 4.12.1. To prove (iii), take any neighbor-
Note that metric linear spaces and, in particular, normed linear spaces, hood N = N(yj + y~; x 1 , ... ,x~; F-) of _vr + }";. By Problem 4.11.4, it suffice~
are topological linear spaces.
to find neighborhoods N 1 and N 2 of _vi and _v;, respectively, such that the
. Let X be a normed linear space and let X* be its conjugate. We shall vector sum N 1 + .11,' 2 is contained in N. If we take
mtro_d uce a_ new topology on X*, different from the Banach -space topology
{_vj; Xu---,x"; ~}
considered 1n prevJOus sections. This new topology will be given by neigh-
Ni = (j = 1,2),
borhood bases % 0 (y*), y* E X*. The sets of .X0 (y*) are given by
N(y*; xJ,. .. ,xn;e) = {x*; lx*(x;)- y*(x;}l < e for I ~ i ~ n}, then, obviously, N 1 + N 2 c N.
To prove (iv) take any neighborhood N' = }V(A. 0 y*; x 1, ... ,x"; e) of
where ~is any positive number, n is any positive integer, and xl>---,x" are-
any pomts of X. A. 0 y*. It suffices to find a neighborhood 111 of }_ 0 in ff and a neighborhood
N" of y* such that {Ax*;;, EM, x* EN"} is contained inN'. Let

Theorem 4.12.1 The neighborhood bases % 0 (y*) satisfy the conditions M = {A; \A.- A. 0 1< e'}, N" = N(y*; x 1 , .. . ,x"; e').
( 1)--{3) of Section 4.11 and, therefore, determine a topology on X*. With this
topology, X* is a topological linear space. Then, if A. E M and x* EN",
~ lh*(x;)- ).0 y*(x;)l = lh*(x;)- /.y*(x;)l+ 1).- ).olly*(x;)\
. Definition The topology Introduced by the neighborhood bases.)(" (y*)
IS called the weak topology. 0 ~ \i.\e' + Ke' ~ (IA.ol + r.')B' + Ke',

where K =max Jy*(x,)l- Taking c' < 1, CIA.ol + I + K)e' < r., we find that

0
- A. y~(x )1 < e for 1 ~ i ~ n. Hence A.x* E N'. Thi~ completes the
1
Proof. The condition (1) is obvious. The condition (2) follows by
noting that the set IA.x*(x 1)
proof of (iv) and of the theorem. _
{x*; lx*(x 1) - y*(x;)l <c for I ~ i ~ n} n {x*; lx*(x;) - y*(x;)l < e' Whereas in the norm topology bounded sets in X* are not relatiVely
compact in general, they arc relatively compact in the weak topology. This
for 1 ~ f ~ m} will be proved in the next theorem, called the theorem of Alaog{u. This result
contains the set is one of the most important illustrations of the importance of the concept of
{x*; lx*(z;)- y*(z;)l < e" weak topology.
for I ~ i ~ n + m},
where e" =min (e,e'), z,- = x- if J < i < n z . = x--' if 1 < < m Theorem 4.12.2 Let X be a normed linear space. Then the closed unit
l ~ - ~ t~+~ - 1- .
To prove (3) let y! E N(y*: x 1 , ... ,xn; e). Then ball in X* is compact in the weak topology.

IY!(x;) - y*(x;)l
for some 0 < e' <e. It follows that
< e' if I ~ i:::;; n, l'roof. To each x EX we correspond the closed real interval /"' =
II, I x II] if X is a real space, and the closed disc in the complex plane
[ - 'H x
Jx = {z; lzl ~ l,',x 11} if X is a complex space. Denote by I the Cartesian product
f1 (,. By Tychonoff's theorem, I is compact.
;<eX
 170 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
WEAK TOPOLOGY IN CONJUGA"rE SPACES 171

Consider now the set r = {f} of all the elements f of x with I /!1 :::;; 1. Proof Denote by X~ (R > 0) the topological subspace {x* EX*;
We have to prove that r is compact. For each fEr, 1/(x)l :$ llxll. Thus we llx*ll ::o;; R} (with the weak topology). Its topology can be defined by the
can correspond to fa point J in /, having coordinates f(x). We shall denote neighborhood bases consisting of thersets x;
n N, where N varies over the
this correspondence by a. Thus, af = ]. Jt is clear that r:r is one-to-one. Let sets N(x*; x 1 , .. ,x,; e). Let {y"} be a dense sequence in X. For any z* E XZ,
I' = u(r). From the definition of neighborhoods in X* and in I it follows the sets
that u and its inverse are both continuous. Hence r is compact if and only
if I' is compact.
To prove that l' is compact it suffices (by Lemma 4.11.2) to show that x; n N ( z*; Yt, .. ,ykn; ~) (n = 1,2, ... ; m = 1,2, ... )
I' is closed. Let]0 be a point in 1'. We first show that the functionalf0 defined
by fo(x) =fo(x) ( = the x-coordinate of / 0 ) is linear. Take any points x ,x form a countable neighborhood basis (for the weak topology of X!) at z*.
1 2
in X and any scalars A.1 ,A.2 . Let U0 = U(]0 ; x 1 x 2,..1. 1 x 1 + ..1. 2 x 2 ; e) be a neigh- Thus, the topological linear space x:
satisfies the first countability axiom.
borhood of ] 0 consisting of the points {yJ with Now let {x:} be a sequence of continuous linear functionals with llx!ll :::;; K,
K constant. By the Alaoglu theorem, the set Xi is compact in the weak
topology. By Theorem 4. 11 .S, this set is then sequentially com pact in the
IY .. ,x, +!.,x, -loC..tixl + ).2 x2)1 < e weak topology. It follows that there is a subsequence {x:,} that is weakly
convergent.
and Y.. arbitrary if x 'I- x 1 , x -1= x 2 , x -1= A. 1 x 1 + ..1. 2 x 2 . Since ] 0 E 1', there is an
element J in I' n U 0 . It has the form J = uf, where f is a continuous linear PROBLEMS
functional. Thus
4.1 2.1. Let X be a normed linear space. A sequence {/"} in X* is
weakly convergent to fr=. X*if and only if the following conditions hold:
f
lf(ltxl + ..l.2x2) -/o(AtXI + ..\ 2x 2)1 < e, (i) the sequence {II/,;;} is bounded, and (ii) limf,(x) = f(x) for all x in a
n
and](..t,x1 + A. 2 x2) = + A.zl(x 2 ).
A.j(x1 ) Consequently, dense subset of X.
l..l.do(x,) + A.2foCx2) -/o(A.tx 1 + ..l. 2x2)l 4 .12.2. If {f..} is weakly con vergen I to f, then I Iii ::o;; lim II/,}.
4.12.3. Give a direct proof of Theorem 4.12.3. [Hint: Choose a sub-
"
:::;; IA.d 1/o(xl)- f(xdl + l..\211/o(Xl) -/(x2)1 + l]o(..tlxl + ..\ 2x 2)
sequence {x:, 1 } such _that lim x:. 1 (~d exists. Choose a subse~ue~ce {x:,z}
- fVtxl + ..t2x2)l 5 (1..1.11 + P-21 + lk of {x:.l} such that lmi. x:.ix 1 ) exists, and so on. Then {xn,n} JS weakly
convergent.]
Since e is arbitrary, we get]0 (A. 1 x 1 + ..1. 2 x 2 ) = A.j0 (x 1 ) + A.zf0(x 2 ). Thus the
4.12.4. Weak topology can be introduced in the normed linear space
functional / 0 defined by / 0 (x) = ] 0 (x) is linear. Since ] 0 (x) E !,, lf0 (x)j :::;; llxll.
X by taking as a neighborhood basis of any pointy the class of sets
It follows that fo E X* and II fo I :$ I . Hence /o E r. But then fo = ufo E !'.
We have thus proved that]' = !'.
N(y; xi, .. . ,x:; e) = {x; lxj(x) - xj(y)l < forl::o;;j::o;;n}.

Definition 4.12.2 Let X be a normed linear space. A sequence {xn in
X* is said to be weakly convergent if there exists an element x* EX* such
that lim x!(x) = x*(x) for all x EX. We then call x* the weak limit of {x!}
~
and we say that {x!} is weakly convergent to x*.
Note that a sequence {x:} cannot have two distinct weak limits.
Theorem 4.12.3 Let X be a separable normed linear space. Then etwy
bounded sequence of continuous linear functiona!s in X* has a weakly convergent
subsequence.
Prove that this turns X into a topological linear sequence. Prove also that a
sequence {x,} is convergent to x in the weak topology if and only if {x,} is
weakly convergent to x according to Definition 4.10.2.
4.12.5. If a Banach space X is reflexive, then its closed unit hall is
compact in the weak topology. (The converse is also true.)
4.12.6. Any Banach space X is isometrically isomorphic to a closed
linear subspace of the space C(r) of continuous functions on a compact
Hausdorff space with the uniform topology. [Hint: Let r be the closed unit
ball in X* provided with the weak topology. To each x EX corresponds a
x
function E C(r) by x(x*) = x*(x).]
172 ELEMENTS OF FUNCTIONAL ANALYSIS l'l BANACH SPACES ADJOINT OPERATORS 173

Proof Let x EX, y* E Y*. Then

4.13 ADJOINT OPERATORS
(T**x)(y*) = x(T*y*) = (T*y*)(x) = y*(Tx)
/"-
Definition 4.13.1 Let X and Y be normed linear spaces and let
= Tx(y*) = (fx)(y*),
T E ,q,>(X, Y). The adjoi/11 T* of Tis an operator from Y* into X* defined by
(T*y*)(x) = y*(Tx). -that is, T**x = fx. This completes the proof.

Theorem 4.13.1 The mapping T ~ T* is an isometric isomorphism of

Theorem 4.13.4 Let X be a Banach space and let Y be a normed linear
g(X,Y) into :@(Y *,X*).
space. A linear operator T E f:S'(X,Y) has a bounded inverse T~ 1 (with domain
Proof Take any y* E P. T*y* is dearly a linearJunctional on X. Y) if and only if T* has a bounded inverse (T*) ~ 1 (with domain X*). In that
Furthermore, case, (T~ 1 )* =(T*)~ 1

I(Py*)(x)l.::o:; IIY*Ii IITxll.::::; IIY*! 'Til 'xll.

Proof Suppose T- 1 exists. By Theorem 4.13.2, I* =(IT~ )* =
' 1

(T~ where J* is the identity operator in dJ( Y*, Y*). Similarly T*(T~ )*
1 )*T*, 1
Hence T* y* E X*. The map T--> T* is obviously linear. Thus it remains to
show that IIT*II = IITI! By Corollary 4.8.6 we have is the identity operator in M(X*,X*). It follows that (T*) ~ exists and is
1

equal to (T~ 1 )*.

IITxll = sup lly*(Tx)ll.
Suppose conversely that (T*)~ 1 is a bounded operator in Jd'(X*,Y*).
!'y'll ~I
Hence Then, by what we have just proved, ( T**) ~ 1 exists and is in :1!'( Y **,X**).
By Theorem 4. 13. 3, T* * is an extension of T. Hence T is one-to-one. If we
IIT*II = sup IIT*y*:! = sup sup I(T*y*)(x)l
can prove that T(X) = Y, then the proof is complete, since, on T(Xl, T~ =
1
.~-~ --= l ! }',; -=- 1 llx II= 1
(T**) ~ is a bounded operator.
1
sup sup ly*(Tx)l = sup sup lr*(Tx)l = sup liTx:.' =liT II.
Since T** has a bounded inverse and since X is a dosed subset of
'!.>' ~1 ,. ~1 llx';~l )''11~1 x =1
X**, the set T**(R') is closed [compare Problem 4.13.3(a)]. Hence T(X) is
Theorem 4.13 .2 Let X. Y ,Z be normed linear spaces and let T E i#J(X. Y), closed. Suppose now that T(X) '# Y. Then T(X) -:F Y. By Theorem 4.8.7
S E ~(Y,Z). Then (ST)* = T*S*. The adjoint of the identity I in Jl'(X) is the there exists a y* E Y* withy* =F 0, y*(Tx) = 0 for all x EX. Hence T*y* = 0.
identity in .%'(X*). This is impossible, since T* is one-to-one.

Proof Let z* E Z*. Then, for any x EX,

Definition 4.13.2 Let X be a normed linear space and let A be a
[(ST)*z*](x) = z*[(ST)x] = z*[S(Tx)] = (S*z*)(Tx) subset of X. W c shall denote by A .L the set of all x* E X"' such that x*( x) = 0
for all x EA. We call A.L the ortho.qonal complement of A. Similarly, for a set
= [T*(S*z* )](x) = [(T*S*)z*](x).
r c X* we define the orthogonal complement r.L of r to be the set of all
Thus (ST)*z* = (T*S*)z* for any z* E Z*-that is, (ST)* = T*S*. Next X EX such that x*(x) = 0 for all x* E r.
(J*x*)(x) = x*(Jx) = x*(x)-that is, /*x* = x*. Thus /* is the identity in Notice that A.L and r.L are closed linear subspaces in X* and X, re-
M(X*). spectively.
Denote by X,Y the images under the natural imbedding of X,Y into Let T E .?4( X, Y). We shall denote by N r the null space of T--that is,
X**, Y**, respectively. If T E .:H(X, Yl. then define f E .11(X, Y) by fx = y, N r = { x ; Tx = 0}. Similarly we denote by N r the nul! space of T*. rinally,
where y = Tx. If S is a linear <pcrator from a set Ds in X** into Y** such we denote by R 1 the range of an operator T. Thus, if T E iB( X, Y), then
that Ds =:> s
and S.\ = f.\ for all .\ E X' then we call s (which is an extension Rr = T(X).
of 'fl an extension ofT. If Ds = S', then we write S = T.
Theorem 4.13.5 Let X,Y be normed linear spaces and let T E ,q,>(X,Y).
Theorem 4.13.3 Let X.Y be normed linear spaces and let T E Jb(X,Y ).
Then the second adjoint T* *:X** __,. Y** is an ex tension ofT. If X is reflexh,e, Then
then T** = T. (4.13.1)
174 ELEMENTS OF FUNCTIONAL ANAL YSJS JN BANACH SPACES ADJOINT OPERATORS 175

Proof We first prove that R1- =:J N~ . What we have to show is that exists a constant K such that for any y ERr there is an x with Tx = y, llxll :$;
if y 0 rj Rr, then y 0 rj N~ By Theorem 4.8.3 there exists a y* E Y* such that Kl!yjj. Hence
y*(y 0 ) of= 0 and y*(Tx) = 0 for all x EX. Hence T*y* = 0. Since
lg(y)l = ]x*(x)] $ Kllx*ll llyll.
N~. = {y E Y; y*(.r) =0 for any y* such that T*y* = 0}, Thus g is a bounded linear functional on Rr. By the Hahn-Banach theorem
we can extend g into a continuous linear functional y"' E Y"'. Since, for any
it follows that Yo N~-
XEX,
We next prove that Rr c N~ . Let y E R.,. Then there exists a sequence
{y.} ERr such that lim Y. = y. If T*y* = 0, then y*(y.) = y*(Tx.) = (T*y*)(x) = y*(Tx) = g(Tx) = x*(x),
(T*y*)(x.) = 0, where Tx. = y . Hence also y*(y) = 0. We conclude that we have T*y* = x*. Thus x* E Rr
yEN~ . Suppose conversely that x* ER-r We shall prove that x* EN~. Let
y* E Y* be such that T*y* = x*. If x E Nr, then
Remark. Theorem 4.13.5 can be interpreted as an existence theorem
x*(x) = (T*y*)(x) = y*(Tx) = y"'(O) = 0.
for the equation Tx = y. It then implies the following result: if T* is one-to-
!'
one and Rr is closed, then Rr = Y -that is, for any given y E Y there exists a This shows that x* E Ny.
solution x in X of the equation Tx = y. In Section 5.2 we shall solve such The assertion that Rr is closed follows from (4.13.2) and the fact
equations more systematically. that Ny
is dosed.
The dual of (4.13.1) is R,. = ,v}. But this relation is not true in general.
\
We shall prove, however, the following weaker form of it.
PROBLEMS
Theorem 4.13.6 Let X and Y he Banach spaces and let T E da(X,Y). 4.13.1. Choose a basis {e1 , ... ,e.} in R" and choose a basis {ef, ... ,e:}
If Rr is closed, then Rr is closed and in R"*. To every linear operator Tin da(R",R") corresponds a matrix (al),

(4.13.2) where Tei = f

i~l
a11 e;. Similarly, to every operator S E !14(R""',R"*) corre

The proof depends upon the following lemma. sponds a metrix (af;), where Sej = t
l= 1
a7/t. Find the relation between (a; 1)
and (a;j) if S = T*. . .
Lemma 4.13.7 Let X, Y be Banach spaces and letT E ::iii'(X,Y). IfRr is 4. 13.2. Letf(z) be an entire complex analytiC functwn and letT E .>id(X).
closed, then there exists a con stall/ K such that _fi1r any y E Rr there is a point Prove that (f(T)]* = f(T*).
x EX 11'ith Tx = y and :x:l ::<; KIIY!!. 4.13 3. Let X and Y be Banach spaces and let T E .>id(X, Y). Prove :
(a) If T has a continuous inverse, then Rr is closed.
Proof By the open-mapping theorem (Theorem 4.6.1) T maps the (b) T* is one-to-one if and only if Rr is dense in Y.
(c) If T maps X onto Y, then T* has a bounded inverse with domain
unit ball 8 1 of X onto a set containing a ball in Rr with center 0 -tlmt is,
R,..
for some b > 0. 4.13.4. Let X, Y be normed linear spaces. Denote by d(x,L) the distance
(in X) from x to a set L. Let T E 9.J(X, Y). Prove that
Now let 0 of= y E R,. Then by/21lyll is in TB 1-that is, Tz = by/211YII for some
d(x,Nr) =max {x*(x); llx*! 1, ::<; 1 and x* Ny}. (4.13.3)
z, 11=11 < I. Let x = 211YIIz/b. Then Tx = y and llxll < (2/J).'y!l. E

[Ilint: Use Theorem 4.8.3.}

Proof of Theorem 4./3.6. We first prove that ;\'~ c Rp. Let x EN j:. 4.13.5. Prove the converse of Theorem 4.13.6-that is, if (4.13.2)
Define a linear functional g on Rr by g(Tx) = x*(x). g is defined unambigu- holds, then Rr is closed. [Hint: Tt suffkes to show that d(x,Nr) $ KIITxii-
ously. Indeed, if Tx 1 = Tx 2 , then (x 1 - x 2 ) E N 1 and therefore x*(x 1 - x 2 ) = Now for any x* E R,. there exists a y* such that T*y* = x*, iiy"'ll ::<; Kllx*ll.
0. Hence g(Txd- g(Txl) = x*(x 1 ) - x*(x 2 ) = 0. By Lemma 4.13.7 there Deduce that lx*(x)l ::<; KIITxll. Now use (4.13.2), (4.13.3).]
 176 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES THE CONJUGATES OF P AND C[O,l] 177

Also,
4.14 THE CONJUGATES OF LP AND C[0,1]

Let (X,Jl) be a measure space. We shall denote by llfll the norm of

Jfg dll = JIJIP II! II; P/q d!l = II! II~-- pf. = II/ lip

fin the space U(X,tJ)-that is, P

This, together with ( 4.14.4), completes the proof of (4.14.3).
To prove (b), write X=
"'
U X", where X" c Xn+l !!(Xn) < oo, and
(lsp<oo).
n=l
introduce, for any positive integer n, the function
We also write
II! II""= ess sup lfl. j(x), if jj(x)l S n, X E Xm
X
f-{x) = n, if jf(x)j > n, X EX"'
(
Theorem 4.14.1 Assume that (X.~) is a a-finite measure space and 0, ifxXn.
let I < p < oo, 1jp + 1/q = 1. Then to every continuous linear functional x
on LP(X, ~)there corresponds a unUjue element gin Lq(X, )l) such that Thenf" E U(X,J.l) If. I s lfl a.e., and ll..f.llp/' oo as n /' oo. Hence,

x(f) = Jfg dp. for all f e l!(X,p.). (4.14.1) sup max I 11" yj dp =
r1/gl dp ~ llgll.=l lltnllp ___,_ oo
llgll.=l.

Furthermore, as n ___,. oo.

(4.14.2)
Corollary 4.14.3 Let g E L~(X,)l). Then thejimctional
Proof We shall give the proof only for the complex LP(X ,p) spac,.
The proof for the real space is similar. The uniqueness of g is obvious. We G(f) = I jg dp [f E I!'(X,Il)]
shall need the following lemma:
is a continuous linear functional on LP(X.~) and II G ! = llgllq 1

Lemma 4.14.2 Let f be a measurable fimction.

lt is obvious that G is linear. The equality I!Gii = ilgilq follows from
(a) Iff e LP(X,)l), then Lemma 4.14.2(a) with p and q interchanged.
We proceed with the proof of Theorem 4.14.1. We first make the
ii!IIP = ma~
~'911.-1
IJ fg dill= max
II gil 0 ~ I
Jlfgl dp. (4.14.3) assumption that 11(X) < oo. For any measurable set, let

(b) Iff LP(X,)l), then v(E) = x*(XE)-

sup
ll9llo= 1
I lfgl dt~ = oo. v obviously is finitely additive. We shall prove that it is completely additive.
Let {Ed be a sequence of mutually disjoint measurable sets and let S" =
n cr..:

Proof To prove (a) we may clearly assume that 11/llr =1- 0. By Holder's U ~,, S = U 1
By the Lebesgue bounded convergence theorem [here
-~ l k~ l
inequality, we use the assumption that t~(X) < oo] we get

I lfgl dp s II! liP llgllq = 11/llp if llg llq = 1. (4.14.4)

as n ___,. oc.

Hence x*(xsJ ---> x*(x~.). It fol!ows that

Next let g = B(f) IfIP- 1 11/ II; p/q, where B(f) is defined by f = B(f) If I if
v(S) = x*(xs) =lim x(zsJ =lim v(S")
f # 0 and O(f) = 0 iff= 0. It is casi Iy seen that O(f) is measurable. We have n n

f lglq dp = I l/1 1p-l )q II/ II; p dll = 1. =lim

.n
I
"

m=l
v('") =
a::
L
m=l
v(E'") .
 THE CONJUGATES OF f.P AND C[O,I] 179
178 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES

We have thus proved that v is a complex measure. If 11() = 0, then XE is Sincef.g?: 0 and limf.g = lfgl a.e., Fatou's lemma gives
zero as an element in U(X,J1). Hence v(E) = x"'(XE) = x*(O) = 0. Thus the
complex measure v is absolutely continuous with respect to the measure p. I lfgl dJ1 ~ lim f!. g dp
"
= lim x*(f,)
n
~ llx* 1111/ II p
Finally, v is a finite complex measure, since any function XE is in LP(X,p.),
and thus lv(E)I= lx*(XEll < oo. Here we have used (4.14.5) with/replaced by/, (f, is bounded) and (4.14.6).
By the Radon-Nikodym theorem there exists an integrable function g We can now apply Lemma 4.14.2(b) (with the roles of p and q interchanged)
such that and conclude that g e U(X,p.).
Now let fe U(X,J1) and define J.(x) = f(x) if l.f(x)l ~ n,f.(x) = 0 if
~(E)= I
E
g dJ1 lf(x)l > n. Then {f,} converges to f in U(X,p.). (This fo!lows using, for
instance, Coro!lary 2.8.5 with f replaced by 1/1 P.) It fallows that
for any measurable set E. Hence
x*(f) =lim x"'(f.).
n

By Holder's inequality we also find that IIJ..g - fgll 1 --> 0 as n--> oo. Since
By linearity of both sides with respect to XE we get x*(f.) = J_r.,g dJ.l, we conclude that (4.14.5) holds. Having proved (4.14.1),
with g e U(X,p.), the assertion (4.14.2) follows from Lemma 4.14.2(a). We
x"'(f) = I fg dp (4.14.5)
have thus completed the proof in case p.(X) < oo.
ln the general case where X is a-finite, write X as a countable union of

for any simple function f We shall extend this relation to any bounded
monotone-increasing measurable sets X 1, where J1(X 1) < oo. Denote by x:
the restriction of x* to X.-that is, for any .fin U(X.,p.), x:(fl = x*cl.l.
measurable functionj. Writing/in the formj, -j2 + lf3 - i]4 , where tfle]; where i.
is the extension off to X by 0. By what we have already proved,
are bounded, nonnegative measurable functions, and applying Theorem there exists a functional g. in Lq(Xn,Jl.) such that, for any fin U(Xn>p),
2.2.5 to each i;,
we conclude that there exists a sequence {f.} of uniformly
bounded simple functions that converges to f everywhere on X. By the
and
Lebesgue bounded convergence theorem it follows that

lim I fn g dp. = Jfg dp.. For every fe LP(X,,p.) and for every n > m, denote by F the extension of
fto X, by 0. Then j, = F,. It follows that
"
Since (by the Lebesgue bounded convergence theorem) II/,- fliP ...... 0 as
n--> oo, we also have

I im x*(f,) = x"'(f). Therefore, Bn = g, on X, if n > m. Hence there is a function g on X defined

n
by g =g. on each set Xn. The Lebesgue monotone convergence theorem
Combining the last two relations with the fact that (4.14.5) holds with f implies that
replaced by each f., we obtain the equality (4. 14.5) for the bounded measur-
able function f
We next show that g e Lq(X,p.). Letfe LP(X,J1) and define

fn(x) = {olf,(x) IO(g), if 1/(x)l ~ n, Since

if 1/(x)l > n.

Then llf.!IP ~ llfi!p and, therefore,

we conclude that g e U(X,p) and ::ullt ~ llx"'ll-
lx*(J..)I ~ llx"'ll 11/.!IP ~ ijx*ll 11/llp (4.14.6)
 180 ElEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES THE CONJUGATES OF U AND C[O, I] 181

Letfbe any function in U(X,p.) and let(,= x.f, where Xn is the charac- Proof The proof is the same as that of Theorem 4.14.1, except for
teristic function of X . By the Lebesgue monotone convergence theorem, one difference, which occurs in part (a) of Lemma 4.14.2, when p =co (but
lim Jx" lfiP dp. = lfiP dJ1. Hence
J not when p = 1). The assertion now is that

JIf - f.lp dJ1 = J X-X"

lfiP dJ1- 0 as n _..co. 11/11"' = sup
II gil'~ l
[J fg dJ11 = sup Jifgl dp..
II gil'~ l
( 4.14.8)

We conclude that In proving (4.14.8) we may clearly assume that llf,i"' i= 0. It is clear that the
lim x*(f") = x*(f). term on the right is not larger than the term on the left. Next, from the
definition of the essential supremum it follows that for any e > 0 there is a
Also, by HOlder's inequality, llf,g- full 1 _.. 0 as n _..co. Thus, in particular, set E of positive measure such that lf(x)l > IIP,Ioc - E for all x E .Take

lim Jf.g dJ1 = Jfg dJJ. g(x) = (p.(~) fl(f), ifxE,

" 0, ifx E.
The last two equations together with (4.14. 7) give x*(f) = Sfg dJ1 for any
fe U(X,p.). We have thus completed the proof of (4.14.1), with g e U(X,/1). Then
The assertion (4.14.2) follows from Lemma 4. 14.2(a). Jfg dp. = tjg d11 > llfj[,,- B.
Denote by T the map x* __,. g given by Theorem 4.14.1. Then T is an
isometry from [U(X,/1)]* into U(X,p.). By Corollary 4.14.3 the range ofT Since e is arbitrary, the term on the left in ( 4.14. 8) is not larger than the term
is the whole space L q(X ,Jl). It is also clear that T is a linear map. Hence: on the right. We have thus completed the proof of(4.14.8). As already stated
before, all the other steps in the proof of Theorem 4.14.1 immediately extend
Corollary 4.14.4 Let(X,J.l) be a a-finite measure space and Jet I < p < co, to the present case.
1/p + 1/q = I. Then there is an isometric isomorphism 't from [LP(X,J.l)]* By Problem 4.14.2, L ""(Q) is not separable. Hence, by Theorem 4.10.1,
onto Lq(X,J.l). also its dual is not separable. Since L 1(Q) is separable, we conclude:

Corollary 4.14.5 Let (X,J.l) be a a-finite measure space and let 1 < p < oo. Corollary 4.14.7 The space L 1 (Q) is not reflexive.
Then P(X,J.l) is a reflexiFe space.
We shall now find the dual of the real space C[O, 1]. We denote by BV
Proof Take any x** in [U(X,JJ)]**. For any x* in [U(X,/1)]*, let the space of all functions g(x) on [0,1] of bounded variations, satisfying the
TX* = g and define a functional x** on Lq(X,p.) by x**(g) = x**(x*). This is a condition g(O) = 0. Denote by V(g) the total variation of g.
bounded linear functional. Hence by Theorem 4.14.1, there exists a function Let x* be a continuous linear functional over C[O,l]. Since C[O,l] is a
fin U(X,p.) such that x"'*(g) = Jfg dp.. Since the last integral is equal to closed linear subspace of L "'(0, 1), there exists a continuous linear functional
x*(_f) (by the definition of r), we get x**(x) = x*(f). This shows that x** 4l over L 00 (0, 1) that satisfies:
is the image off under the natura I imbedding. <b(f) = x*(f) if jE C[O,l] and lltPii = llx*ll.
Theorem 4.14.6 Let (X,J.l) he a a-finite measure space. Then for every For each x E [0, I] we define a function 1/1 x as follows:
x* E [U (X,J.l)]* there corresponds a unique function g in L "'(X,J.l) such that
1/J(t)={l, ifO:;;;t-5x,
x(f) = Jfq d11 X

These functions belong to L "'(0,1). Define

0, if X < I :;;; I.

Furt hemwre.
.g(x) = IP(ifr,). (4.14.9)
llx*ll = IIBII"''
and the map r: x*-" g is an isometric isomorphism from [L 1(X,J.l)]* onto
Since ifro = 0, g(O) = <b(O) = 0. We shall prove that g E BVand that
L"'(X,J.l). V(g) :;;; I x*ll (4.14.10)
 182 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES
THE CONJUGATES OF LP AND C[O,l} 183
Let 0 = x 0 < x 1 < ... < x._ 1 = x. =I, and write;= sgn [g(x;)-
g(x;_ 1 )]. Then By Problem 4.14.3, if i1 e BV, then

J f dg =I
I I

Elg(x;) -
i=l
g(x;- 1 )1 = f
i=l
e;[g(x;) - g(x; _ 1)]
0 0
f d{j for all f e C[0,1],

if and only if g = g at all points where one of the functions is continuous. Let
= L"
i~l
e;[<b(if!,) - <b(if/,,_ ,)] = <b(if/), us define equivalence " ,.., " in the space BV by saying that g ,.., {j if and only
if g and {J differ only at the points of discontinuity. Note that this set of points
where if!= L"
i-1
e;[o/,,- iflx,_ ,]. Since llo/11,., = I, we get is countable. We shall denote by BV0 the space of equivalent classes and by
[g] the class containing g.

J" I
1
g(xt) - (g; _,)1 ::::; ll<blllll/111"" = ll<bll = llx*l!.
Given any class [{J], consider the bounded linear functional x* on
C[O,I] defined by
I
This proves (4.14.10).
Now letf(t) e C[0,1], and define
x*(f) = Jf 0
d.

f.( I)= J, f (~)[iflkfn(t)- o/(k-1)/n(t)]. By the proof of Theorem 4.14.8, there exists a function g in BV such that
(4.14.11) holds and llx*ll = V(g). Since
It is easily seen that II/. - f II"' _,. 0 as n _,. co. Hence _ 1
llx*ll = sup [J f dl::::; V(g)
lim <b(f.) = <b(f) = x*(f). llfll=l 0

" and since g- {J, we see that

On the other hand (compare Problem 2.11.8)
V(g) = min V(g) = g.l.b. V(g). (4.14.13)

If>(/.)= Jl" f (k)n [g k - 1)] . . . fo f(t) dg(t)

'k) -g (k~n- I
9 o<[bl !I~

The right-hand side of (4. 14. 13) defines a norm on BV0 We shall designate
[91

the norm of [g] by II[] 11. Combining (4.14.13) with (4. 14.12), we can now
as n _,.co. We conclude that
state:
x*(f) =I 1

0
f(t) dg(t). Corollary 4.14.9 The map -r: x* ..... [g] defined in Theorem 4.14.8 is an
isometric isomorphism of the dual of C[0,1] onto the space BV 0 with norm
It follows (by Problem 2.1 1.10) that
ll[g] II= g.l.b. V().
~e[g]

lx*(f)l = 1.( f(t) dg(t) I::::; 0~~~\ 1/(t)l V(g). In every class [.ii] there is a function g as in (4.14.13). There is also a
Recalling (4.14.10), we get llx*ll = V(g). We sum up: unique g 0 having the following properties: (i) g 0 (t) is right continuous for
all 0 ;<=;; t < 1 ; (ii) g 0 (0) = 0, and (iii) g 0 (t) is left continuous at t = 1. In fact,
Theorem 4.14.8 For every continuous linear functional x* over C[O,l], g 0 (t) = g( t + 0) - g(O +) if 0 ;<=;; t < 1. We shall call g 0 the normalization of
there corresponds afunction g in BY such that [9], or of g. We shall denote by NBV the space of all these functions g 0
I This space is clearly a normed linear space with norm ll9oll = V(g 0 ).
x*(f) = Jf 0
dg for every f e C[O, 1]. (4.14.11) We claim that if g 0 is a normalization of g, then
V(g 0 ) = V(g). (4.14.14)
Further,
In view of ( 4.14.13), we only have to show that
llx*ll = V(g). (4.14.12)
V(g 0 ) ::::; V(g). (4.14.15)
\84 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES THE CONJCGA TES OF U AND C(O, J] 185

To prove (4.14.15), take any .e > 0 and any partition 4.14.3. Let g and rJ belong to BV. Prove that
,I .1
= t 0 < 11 < ... < t. _ 1 < t. = 1
0
I 1 dg = o I
o
1 drJ for all f E C[O, 1]
of [0,1]. For each 11 (0:::;; i:::;; n- 1) choose T 1 > 11 and T;- t; so small that
if and only if g(l) = rJ(t) at each point I, v.here either g or {J is continuous.
e 4.14.4. Every continuous linear functional x"' over fP (1 < p < oo)
lo(t, + O)- o(-r;)l < -.
2n can be represented in the form
Choose also Tn such that r._ 1 < -r. < 1 and 1 - T" so small that -,:_.

x*(x) = I ry 1 x 1
e i=1
lg(l - 0)- g(-r.)l <-.
2n where
Then, if 1 s i :::;; n - I,
fl = (fll>fll> .. ) E lq (~ + ~ = 1) and llx*ll = {_f lr, 1lq}t/q.
Oo(tJ- 9o(t;-l) p q = 1

= [g(t, + 0) - g(O + )] - [g(t1_ 1 + 0)- g(O+ )] 4./4.5. Every linear functional/on R" has the form
= g(t; + 0)- g(t;-1 + 0)
f(x) = L" ry 1 x;
= (g(/ 1 + 0)- g(r;)J - (g(t1 _ 1 + 0)- g(T;_ 1 )] + (g(T;)- g(T1 _ 1 )J. i-=-l

Similarly, where (Y/u .. ,fl.) E R n an d 11/-

. ;I -_ ('\
L..'li2)1.-'2
4.14.6. The functions x,(l) = sin mrt belong to L 2 (0,1 ). Prove that
9o(l)- 9oCtn-Jl = [g(l- 0)- g(-r.)] {x.} does not converge to 0 but that it converges weakly to 0. [Hint: Use the
Riemann- Lebesgue theorem, which stales that g g(r) sin mrt dt ____. 0 as n----> oo,
- [g(t._ 1 + 0)- g(-r.- 1)] + (g(r.)- g(-r._ 1 )].
for any integrable function g.]
It follows that 4.14.7. A sequence {x.) (x. = gl" 1}) in JP converges weakly to
Xo = gl 0 l) in JP if and only if: (i) {II x. Ill is a bounded sequence, and (ii) for
L"
1=1
lgo(tr)- Bo(t;-1)1:::;; L"
1=1
lg(-r;)- g(-r;-1)1 +eS V(g) +.e. any i, lim e\"1 = ~~ '
01

Hence V(g 0 ) :::;; V(g) + e. Since e is arbitrary, (4.14.15) follows. /14.8. A sequence {.f~(rl} in P(O, I) (1 < p < OC) is weakly convergent
Combining Corollary 4.14. 9 with (4.14.13) and ( 4.14.14 ), we get : tof0(t)EP(O,l) if and only if (i) {"f,!lp} is a bounded sequence, and (ii)
J
lim 0J.(t) dt = s~ j~(t) dt for any T E (0, 1}.
Corollary 4.14.1 0 Consider the map cr: x* .... g 0 where g 0 is the normaliza- " 4.14.9. Prove Helfy's principle: if {g.) is a sequem:e of monotone and
tion of g and-g is defined by Theorem 4.14.8. This map cr is an isometric iso- uniformly bounded functions, then there exists a subsequem:e {g.,} that con-
morphism/rom the conjugate of C[O, 1] onto the space NBV. verges evervwhere to a bounded monotone function. [Hint: By Alaoglu's
Recall that g 0 is related to x"' by theorem and Theorem4.14.8 we may assume that f.jj(r) dg.(r) ____,. Hf(r) dg 0(T)
I
for any continuous function f, where g 0 is monotone. Let I be a point of
x"'(f) = J f(t)dg (t). continuity of g 0 . Take f to run over a sequence tp.,, (Pm( -r) = I if 0 s r :::;; t,
0
0
IPm(T) = 0 if t + ( 1/m) .:-::; T < oo and (Pm( T) linear in [t,l + ( l /m)]. Deduce
PROBLEMS lim [g,(tl- g,(O)] :::;; g 0(t)- g 0(0). Next take .f(-r) = tp.,[T + (l/m)], and
deduce lim [.q.(t) - g.(O)] ~ Bo(t) - Bo(O).]
4.14.1. If fU(X,p) (I <p < oo), then there is a function g m 4.14.!0. Find the adjoint of the operator given in Problem 4.4.9.
U(X,p) (!jp + 1jq =
1) such thatfg ~ 0 and Jfg dp = oo.
4.14.2. Let Q be an open set in R". Prove that L "'(Q) is not separable.
[Hint: Compare with Problem 3.1.7.}
 BASIC PROPERTIES 187
CHAPTER 5 Proof Let A be a bounded set in X. For any e > 0 there exists an
operator T, such that I T, x - Txll < e/3 for every x e A. Since T,(A) is a
compact set, it is also totally bounded. It follows that there is a finite number

COMPLETELY of points x 1 , ... ,xm such that

CONTINUOUS for every x e A. But then

OPERATORS inf
1 s..is.m
I Tx - Tx;]! <E.

Thus T(A) is totally bounded. Since Y is a Banach space, it follows that

T(A) is a compact set. Hence Tis compact.

Theorem 5.1.3 Let X be a normed linear space. If S e af(X), T e ill'(X)

and Tis completely continuous, then STand TS are completely continuous.

The proof is left to the reader.

Theorem 5.1.4 Let X be a normed linear space and let Y be a Banach

5.1 BASIC PROPERTIES space. An operator T e ai'(X,Y) is completely continuous if and only if its
adjoint T* is completely continuous.
Definition Let X, Y be normed linear spaces. An operator T e !M(X, Y)
is called completely continuous or compact if it maps bounded sets of X into Proof Let The a compact operator. Each of the sets {Tx; lixll < n}
compact sets of Y. Note that Tis compact if and only if it maps bounded (n = 1,2, ... ) is relatively compact and, hence, separable. It follows that
sets of X onto relatively compact sets of Y. T(X) is separable. Let A be a dense sequence in T(X). Take any bounded
sequence {y~} in Y*. By the diagonal method, there exists a subsequence
Theorem 5.1.1 A completely continuous. linear operator maps weakly {y;} such that {y;(J.)} is convergent for any yEA. It follows (compare
convergent sequences into conver_qent sequences. Problem 4.12.1) that {_r;(y)} is convergent for any y E T(X).
Let x;* = T* Y:.. Then xf(x) = y;( Tx). It follows that {xf(x)} is con-
Proof. Let T be a completely continuous operator in .'ii(X, Y) and let vergent for any x EX. By Theorem 4.5.2 we conclude that there exists an
{xM} be a sequence in X weakly convergent to a point x 0 eX. Since Tis element x* in X* such that lim x,*(x) = x*(x) for any x e X. If we prove that
bounded, {Tx,} is weakly convergent to Tx 0 If the sequence {y,}, where
yM = Tx,, is not convergent to Yo = Tx 0 , then there exists a subsequence I xi- x"'il ..... 0 as i ..... oo, (5.1.1)
{y,.} such that IIY,.- Yo I ~ e0 for some E0 > 0 and all k. Now, the sequence
then it fol!ows that T* is compact.
{x,.} is weakly convergent and it is therefore also bounded. Since T is
compact, there exists a subsequence {y,.J of {y,J that is convergent to some Choose xi E X such that
point y e Y. But then {y,.J is also weakly convergent to y. It follows that lx"'(xJ- x,*(x;)l ~ i: x*- xi II- (5.1.2)
ji = y 0 Hence I y, . - y 0 I __,. 0 as k __,. ro-a contradiction.
Suppose now that (5. 1.1) is not true. Then there exists an '/ > 0 and a
Theorem 5.1.2 Let X be a normed linear space and let Y be a Banach subsequence {x!) of {xi} such that
space. If {Tn} is a sequence of completely continuous operators in af(X,Y)
uniformly convergent to some T e .1l(X,Y), then Tis also completely continuous. for allj.

186
 188 COMPLETELY CONTINUOUS OPERA TORS THE FREDHOLM-RIESZ-SCHAUDER THEORY 189

Using (5.l.2), we then get
IY!,(Txm) -lim y,.:',(Tx,)l ;;:=:
" J
5 .1.6. Let f(z) be an entire complex analytic function with f(O) = 0,
and let X be a Banach space. If T E .c.i'(X) is completely continuous, then
1'1 , (5. 1.3)
f(T) is also completely continuous.

Since ]]x.,)l = I and Tis compact, there exists a subsequence {mj} of {m } 5.1.7. Let T be a compact linear operator from a Banach space X
onto itself. If r- 1 is a bounded operator, then X is finite-dimensional.
such that lim Tx,./ = Yo exists. Hence, for any c > 0 there is an n0 such thit,
if mj ;;:=: n0 , 5.1.8. Let The a bounded linear operator in a reflexive Banach space.
If T maps weakly convergent sequences onto convergent sequences, then Tis
IIYo- Tx,/11 < e, IY!,-Cro) -limY!. (y 0 )] <e. completely continuous.
k

[Here we have used the facts that y 0 E T(X) and Lv!,(Y)} is convergent if
y e T(X).] Therefore, 5.2 THE FREDHOLM-RIESZ-SCHAUDER THEORY
IY!/(Txm/) -lim Y!.-(Tx,/)1 Throughout this section we shall denote by Ta completely continuous
" linear operator in a Banach space X, and by A a nonzero scalar. From the
s IY!;-(Tx,./ - Yo) I + IY!,-(Yo) - lim Y!.-(Yo)l + ]lim Y!.(Yo - Tx,/)1 proof of Theorem 5.1.4 we conclude that T* is completely continuous (X
s Me+ e +Me, " " need not be complete). We shall consider the bounded linear operator
AI - T and write
where lly!ll sM. Since to> 0 is arbitrary, we get a contradiction to (5.1.3).
Suppose conversely that T* is compact. By what we have just proved Nl = {x; Ax- Tx =0}, N: = {y*; ...ly*- T*y* = 0},
it follows that T** is compact. Rl = {y; y = ...lx- Tx, x EX}, R: = {x*; x* = ...ly*- T*y*,y*eX*},
Now let {x.} be any bounded sequence in X. Then the sequence {.X,}, where T* is the adjoint of T.
where .R, = KX, (K the natural imbedding of X into X**), is also bounded. It We recall the following fact proved in Section 4.3.
follows that I here exists a subsequence {i,.} such that { T** i".} is a conver-
gent sequence in X**. Since. by Theorem 4.13.3, K(Tx,) = T**i,, (here K Lemma 5.2.1 A closed linear subspace X 0 of X is finite-dimensional
is the natural imbedding of Yinto Y**), and since K is an isometry, it follows if and only if every bounded sequence in X 0 has a conLergent subsequence.
that {Tx,J is a Cauchy sequence in Y. Since Y is complete, this sequence ~~
convergent. Hence T is compact. We shall now prove:

PROBLEMS Lemma 5.2.2 N~. and N: are finitedimensional subspaces of X and

5.l.l. A coni in uous linear transformation with finite-dimensional
range is conwact.
5 ./.2. A linear com hi nation of completely continuous linear trans-
formations is completely continuous.
5.1.3. Let A be the operator defined in Problem 4.4.9 and assume that
X, Y are compact metric spaces, that open sets are measurable in X and Y, that
p,v are finite measures and that K(x,y) is continuous on X x Y. Prove that A
is a compact linear operator from E( Y, v) into I!'( X ,p).
5.1.4. Let f.! 1 ,f.! 1 , be bounded closed sets in W and let X= f.! 0
y = nl. Denote by p the Lebesgue measure. If K(x,y) E I!'( X X Y,p X p),
then A, defined in Problem 5.1.3, is compact. [Hint: Approximate K by
continuous functions and use Theorem 5.1.2.]
5.1.5. Is the operator T defined by (Tx)(t) = tx(t) (0 < t < 1) com-
pletely continuous in L2 (0, I) ?
X*, respectively.
Proof It is clear that N l is a closed linear subspace of X. Let {x;}
be any bounded sequence in N '-" Then b:; = Tx;. Since T is completely
continuous, there is a subsequence { Tx,,} of {T x;} that is convergent. Hence
{x,.} is convergent. In view of Lemma 5.2.1 it follows that N l is finite-
dimensional. The assertion for Ni is proved in a similar way.
Lemma 5.2.3 R~. and Ri are closed linear suhspaces of X and X*,
respectively.
Proof It is clear that Rl and Ri are linear subspaces. If we prove that
R;. is closed, then it also follows, by Theorem 4. 13.6, that R: is closed.
Suppose then that {y.} c Rl, y,--> y 0 . We shall prove that Yo E R;.- The proof
will be given in two steps.
 THE FREDHOLM-RJESZSCHAUDER THEORY 191
190 COMPLETELY CONTINUOUS OPERA TORS
I
If n > m, then
.(a) let Y. = ..lx.- Tx . There exists a bounded sequence {z.} such
that /,X. - Tx. = J.z. - Tz. To prove this, denote by d(x) the distance from L!'(Lx, + Tx,.) = c+ 1 x. + TL"x,. = 0.
x to N ;. If the sequence {d(x.)} is not bounded, then d(x.) _,. w for some Hence Lx. + Txm eN';_. Using the relation Tx.- Tx,. =Ax-.- (Lx. + Tx,.),
seq~ence of n;'s. Let x. = x.id(x.). Then d(S~.) = 1. Thus there exist points
it then follows that
l'., m N;. such that the points w., = x.,- !' satisfy: ilw.,ll ~ 2. But then

, _ (A.I-T)x. y
().1 - T )w., =(AI - T)x., = n, = -"-'- _,. 0.
d(x.) d(x.)
Thus the sequence {Tx,} has no convergent subsequences. Since, however,
Since T is compact, it follows that a subsequence { Tw.) of {T~~".} is {x.} is a bounded sequence, we have derived a contradiction to the assumption
convergent. Hence w. , __,. w as n; _,. w. But then (a - T) w = 0 'and
that Tis compact.
d(w) =lim d(w.) =lim d(x.) = 1. This is impossible. We have thus proved
that {d(x.)} ts a bounded sequence, say d(x.) ~ C for all n. We can there-
Lemma 5.2.6 lf R_. = X, then N _. = 0.
fore choose z. c
in N;. such that l'x.- z.ll ~ + 1. Now take zn =Xn - n z
(b) From the compactness of T it follows that there exists a sub- Proof If N ~ #- 0, then there exists a point x 0 #- 0 in Nk Since R;. =X,
sequence {z.} of {z.} such that {Tz.,} is convergent. Hence also { z } we can construct a sequence {x.} in X such that Lx 1 = x 0 , Lx 2 = x 1 , Lx 3 =
!S convergent. Denoting its limit by x 0 , we get y 0 = ..1.x0 - T.-.;: 0 . This sho~s x2, .... But then r:x. = Xo I= 0, v+ l x, = Lxo = 0. Thus N).+ I #- N~ for all n.
that y 0 E R_.. This contradicts Lemma 5.2.5.

Combining lemma 5.2.3 with Theorems 4.13.5, 4.13.6, we get: Theorem 5.2.7 R~ =X 1/and only ifN~ = 0.

Theo~~m 5.2.4 (a) RJ. = N:1_--that is, the equation }...x- Tx = y has Proof Suppose N. = 0. By Theorem 5.2.4, R1 =X*. Since T* is
a solutwn if and only ify lies in the orthogonal complement ofN*. compact, we can apply Lemma 5.2.6 to T* (instead ofT) and conclude that
( b) RJ."' = NJ:-that
' . the equation A.y*- T*y* = x*. has
1s, J.
a solution if NT = 0. Theorem 5.2.4 then gives R. =X.
and on(v if x * lies in the orthogonal complement of 1'\ i.
Lemnw 5.2.8 Let xi .... ,x~ be linearly independent elements of X*.
Let L = ..1. I - T. Then
Then there exist points Xp- .,x" in X such that x:(xJ) = 8;; (8;J = 0 if i I= j,
i'i;i = 1 ifi = j) for all 1 ~i, j ~n.

It follows that L" has the form J.l.[ - T0 , where J.l. = A." is a scalar and T0 is
Proof Denote by NJ the null space of x7 and let Mi = N 1 n n
Ni_ 1 n Ni+l n n N . We shall prove that
a c~mpact operator. Hence the null space N~ of L" is finite-dimensional.
Notlce that N~ c: N~+ 1 . MJ is not contained in Ni, 1 ~} ~ n. (5.2.1)

Lemma 5.2.5 There exists a posilire illfegrr k such that N~ I= N~+J It suffices to prove (5.2.1) for j = L lf M 1 c: N 1 , then xt(x) = 0 whenever
1
x1(x) = = x:(x) = 0. Consider the linear mllp A: X ...... 9'"- (!F the
for all n < k and N~ = N~for all n> k. field of scalars of X) given by
Proof We first show that if N~ = N~+ 1 , then N~+ 2 = N~. let Ax= [x!(x), ... ,x;(x)],
xeN~+z. Then 0=L"+ 2 x=L!'-'- 1 (Lx). Hence LxeNZ+ 1 =N;. This
and define on A{X) a linear functional ijl by
means that L"(Lx) = 0-that is, x eN~+ =N1. Continuing in this way
1

~tep by step, we deduce that NZ-'-" = N; for any positive integer h. Thus, iji(Ax) = ijl[x!(x), .. .,x!(x)] = x~(x).
Jt remams to show that N~ I= N~+ 1 cannot occur for all n. If this does
ijl is defined unambiguously. Indeed, if Ax= Ai, then x!(x- i) = =
occur, then, by Lemma 4.3.1, there exists a sequence {x } in X such that
P1+1 li x:(x- x) = 0. Hence xj(x- i) =0-that is, iji(Ax) = iji(Ai).
x. E N J. , !lx.ll = 1, and llx.- xl' > l for all x EN~.
 192 COMPLETELY CONTINUOUS OPERATORS THE FREDHOLM-RIESZ-SCHAUDER THEORY 193

By the Hahn-Banach theorem, we can extend the linear functiona1 !jJ From (5.2.2) and Theorem 5.2.7 it follows that the range of}.[- S is
into a linear functional !/1 1 in yn- 1 But then !jl 1 has the form X. Thus, in particular, there is an x eX such that }.x- Sx = Yn+I But then
n
!/lt(Y2>,Yn) I a,yl,
= i=2
where a 1 are constants. It follows that y: .r:+
since + 1 (y 1) = 0 (I :::;; i ::;;; n) and since 1 e IV~. The contradiction obtained
n
proves that n ;::= v.
xi(x) = I a,xj(x),
1=2
Applying this result to T*, we conclude that the dimension m of the
null space of A.l - T** is not larger than the dimension v of the null space of
thus contradicting the linear independence of the xj. A.J- T*-that is, v;::.: m. Since obviously m ;::= n, we get v 2': n. This completes
the proof.
From (5.2.1) it follows that there exist points xj E Mj such that Theorems 5.2.4, 5.2.7, and 5.2.9 constitute the Fredlwlm-Riesz-Schauder
x 1 ~ N 1 . This means that x{(xj) = 0 if i # j, and xj(x1) ,p 0. Now theorJ. We summarize these theorems, using the notation N 8 =null set of
take Xj = Xjjxj(x). S, R 8 =range of S:

Theorem 5.2.9 N,_ and N! have the same finite dimension. Theorem 5.2.10 Let X be a Banach space and let T be a completely
continuous linear operator in X. For any A. i= 0,
Proof In view of Lemma 5.2.2, n =dim N 1 and v =dim Ni are
finite numbers. Let x 1 , ,x. be a basis in N 1 and Jet yt, ... ,y: be a basis in dim Nu-r =dim N;.t-T' < oo, (5.2.3)
N!. By the Hahn-Banach theorem there exist elements in X"'xt, ... ,x: Ru-T= Nj,_p, Ru-T*= Nr- T (5.2.4)
such that x{(xj) = biJ for a!! I :::;; i, j:::;; n. In view of Lemma 5.2.8 there exist
elements y 1 , . . ,y. in X such that yj(y) = bu for all 1 :::;; i,j:::;; v.
Theorem 5.2.1 0 can also be stated in the following form (called the
Suppose n < v. Let
Fredholm alternatire).
[ither (a) for any y E X there exists a unique solution x of (U- T)
Sx = Tx + I" x{(x)y1 x = y, or (b) there is an x #- 0 such that (:U- T)x = 0. If (a) holds, then for
i= I
any y* eX* there exists a unique solution x* of (}.I- T*)x* = y*. If (b)
S is a finite sum of compact operators and therefore it is also a compact holds. then dim Na- r = dim ,'..,'a- r is finite and, furthermore, the equation
operator. We shall prove that (i.I ~ T)x = y [(}.!- T*)x* = y*] has a solution if and only if y (y*) is in the
orthogonal complement of Nu-J"O (NAI-T).
Nu-s= 0. (5.2.2)
Suppose x eN u-s Then Ax= Sx-that is, PROBLEMS

...lx - Tx = I"1 xi(x)y1

j;;;;
5. 2.1. Let X be a com pact set in R" and let J.l denote the Lebesgue
measure. Let K(x,y) e L2 (X x X,p x J.l). For any given g e L2 (X,p), consider
It follows that the equation, in L2 (X,fl),

0 = (...lyj- T"'yj)(x) = yj(...lx- Tx) = xj(x). f(x) = g(x) + J. JK(x,y)f(y) d{l(y). (5.2.5)

Thus xj(x) = 0 for l :::;; j :::;; n. Hence ..tx - Tx = 0-that is, x e N 1 . Con-
" We ca!l this equation an integral equation of Fredholm's type. Prove that if
sequently, x = I
I= I
...l,x,. But then 0 = xj(x) = ).1. Thus x = 0. This proves
g = 0 implies f = 0, then there exists a unique solution of (5.2.5) for any
(5.2.2). g e L2 (X,p).
194 COMPLETELY CONTINUOUS OPERATORS ELEMU...;TS OF SPECTRAL THEORY I95

5.2.2. Let X be a compact metric space and let 1-i be a finite measure (b) (..1.I - T) _,exists, but its domain is not dense in X. We then say that
on X. Let K(x,y) be continuous on X x X. Assume that the only continuous I . 1. belongs to the residual spectrum of T.
solution of
~ (c) a- Tdoes not have an inverse---that is, there is an x #- 0 satisfy-
ing lx- Tx = 0. We then say that . 1. is an eigenwlue ofT.
I
f(x) = A K(x,y)f(y) d!-i(Y) I If . 1. is an eigenvalue, then any x #- 0 satisfying ..1.x - T x = 0 is called
an eigenvector (or eigenelement) of T (corresponding to ..1.).
is f = 0. Prove that for every continuous function g(x) on X there exists a
unique continuous solution f(x) of (5.2.5).
5.2.3. Let X,p,K be as in Problem 5.2.2. Denote by <:p 1 , .. 'Pm a basis Theorem 5.3.1 Let T E al'(X), X a Banach space. Then p(T) is an open
for the space of solutions <:p of the equation set and
R(11;T)- R(J.;T) = (..1.- Jt)R(Jc;T)R(p;T) (5.3.I)
I
<:p(x) = A K(y,x)<:p(y} dp(y).
if A.,11 E p(T). Furthermore, R(A ;T) is analytic in A E p(T).
Then the equation (5.2.5) has a solution if and only if Jg(x)op;(x) d11(x) =
0 for I ::; i ::; n. Proof If Ao E p(T) and lA- ..lol < I! R(}.o;T) r 1, then . 1. E p(T).
5.2.4. Consider the Volterra integral equation Indeed,
+ (). -
f(s) = g(s) + J' K(s,t)f(t) dt
0
(0::; t ::; l), (5.2.6)
..1.1 - T = ().
0
I - T)
1
Jc 0 )I = ( ..lo I - T)[I - (J.o - ..l)R(J.o; T)].

It follows that (..1.1 - T) - exists and is equal to

where K(s,t) is continuous for 0::; s, t :-::; I. Prove that for any continuous
function g there exists a unique continuous solution f of (5.2.6).
5.2.5. The integral equation

op(t) = . 1. r 0
(sin st)op(y) dy
Next,
(..1.1- T)- 1 - (!-!I- T)- 1 = (..1.1- T)- 1 [(!11- T)- VI- nJ(pi- n- 1

for . 1. = -./2/n has an infinite number of solutions, namely, = (p.- ..l)R(Jc;nR(p;T).

a> 0. It remains to prove that R(Jc;T) is analytic in . 1. E p(T). This follows from
(5.3.l). Indeed, if fl.--> ..1.;

5.3 ELEMENTS OF SPECTRAL THEORY R(!<; T) - R(.-1.; T) = - R(Jl ;T)R(I.; n--> - [R(..l; T)]l
p-Jc
Let T be a bounded linear operator in a normed linear space X.
in the uniform topology.
Definition The resolvent set p( T) of T consists of all complex numbers
. 1. for which (..1.1 - T) _, is a bounded operator <with domain X). The spectrum Theorem 5.3.2 Let X be a Banach space ami let T he a completely
a(T) of T consists of the complement of p(T) in C. continuous linear operator in X. Then the equation x - }.Tx = 0 has nontririal
The operator R(.-1.; T) = ( ..1.1 - T)- 1 if bounded (and with domain X) solutions only for a countable set (~(complex numbers haring no finite points of
is called the resolrent of T. accumulation.
Let . 1. E a(T). Then there are three possibilities:
Proof Suppose there exi:;ts a bounded sequence {)..} of mutually
(a) The range of J.l- Tis dense in X and (AI- T)- 1 exists but is di:;tinct numbers such that x - }" Tx = 0 has a solution x = X" i= 0 for each
unbounded. We then say that . 1. belongs to the continuous spectrum ofT. n. We first claim that, for each n, x 1 ,. ,x. are linearly independent. I ndecd, if
 '.
...~
] 96 COMPLETELY CO:-IT!NUOUS OPERA TORS
I APPLICATION TO THE DIRICHLET PROBLEM I97

this is false, then there exists an integer k such that x 1 ,---,x,_ 1 are linearly PROBLEMS
independent and x 1 ,xk are linearly dependent, say 5.3.1. u(T) is nonempty.
k 5.3.2. p(T)= p(T*) and R(A. ;T*) = R(A.;T) *.
I
j= I
c,.x 1 =0 (5.3.2) 5.3.3. If A.0 E u(T) and p(z) is a polynomial, then p(A. 0) E u[p(T)].
Then [Hint: p(A. 0 )1 - p(T) = (A. 0 l - T)q(T), q(z) a polynomial. If p{A 0 )1 - p(T)
has a bounded inverse, then also A. 0 1 - Thas a bounded inverse.]
0 = )< ~
L
k
c1 Tx 1 = Ik '
/.<cJ
-,- x1. 5.3.4. If A.' E u[p(T)], p a polynomial, then A.'= p(A. 1 ) for some
j=l j~J ).j

Comparing this with (5.3.2), we get A. 1 E u(T). [Hint: p(T)- A'l = f1" (T- A.J), the l; being the zeros of p.]
i-1

5.3.5. The series L"' T"fl."+ 1 is uniformly convergent if IA.I >

-IJ
lim II Pll 11". Its sum is equal to the resolvent R(A.; T).
Since I - I.,/A. 1 #- 0 if j #- k, we get c1 = 0 if j #- k. But then also c, = 0.
k 5.3.6. If A. 0 E u(T), then [A. 0 1 5 II Tll-
This contradids the assumption that I feY > 0. 5.3.7. If A. 0 E u(T), then I..lUI ::::;; II T"ll- Hence [?. 0 1 ::::;; lim II T"il 1/".
j=l
Denote by Y" the linear space spanned by xw .. ,x. By Lemma 4.3.1 5.3.8. Let s(T) = max lA.[. Then R(A.;T) is analytic for [A.[ > s(T).
~~d(T)
there exists a sequence {_r"} in X such that i: Y. II = I, Yn E Y. and Yn - y II > 1 It can be shown that the series I T"/1."+ 1 for R(J.;T) is then convergent if
for any _r E Y._ 1 . [J.[ > s(T). Prove that Jim il Plf 11" exists and equals s(T).
Let 11.' E Y". Then H' = I" [J,x,, so that "
5.3.9. If T" is compact, then u(T) is either a finite set or a countable
i= 1
set with 0 as the only point of accumulation.
5.3.10. Denote by d(A.) the distance from }. to the spectrum of T.
Then IIR(A.;T)II ~ 1/d(A.) for A. E p(T).
Thus w- ;,"Til' E Y"_ 1 . If 11 > m, then 5.3.11. Prove the identity R(A.;S)- R(A.;T) = R(}.;S)(S- T)R().;T),
where S,Tare bounded linear operators in a normed linear space X.
IIT(A..y.)- T(/,._r,.)il =llYn- (y"- A." Ty" +A.,. Ty,.), > j,
since the last element in parentheses belongs to Y,_ 1 . ThllS {T(A."y")} has
no con vergem subsequence. Si nee, however, {)." Y.} is a bounded sequence, 5.4 APPLICATION TO THE DIRICHLET PROBLEM
we get a contradiction to the compactness of T
Denote by S the set of all complex numbers } for which the equation Let G be a bounded closed set in R" and let K(x,y) be a continuous
x- ;.Tx = 0 has a nontrivial solution. By what we have proved above, function of (x,y) for x E G, y E G, x ;:<. y. Assume that
S n {}., [;,[ < m} is a fmite set for any m = 1,2,3, .... It follows that S is
countable and that it has no finite points of accumulation. c
IK(x,y)l s; - - - (C constant) (5.4.1)
If T is compact. then, by the Fredholm-Reisz-Schaudcr theory, if 1x-y 1
), #- 0, then either ;, E p(T) or J. is an eigenvalue. If X is infinite dimensional,
for some 0 < rx < n. Then we call K an integrable kernel. Consider the
then 0 E a( T), since if T -J were bounded, then 1 = TT- 1 would have been
continuous kernels
a compact operator. Combining these remarks with Theorem 5.3.2, we get:
K( ) _ {K(x,y), if lx- Yl > e,
Corollary 53.3 Let T be a compact linear operator in an i11finite- 'x,y - K(x,y)jx- yjDe-fi, if [x - y[ s; e,
dimensional Banach space. Then cr(T) consists o{O and o{citlwr a finite number
of eiqenrafues or an infinite seque11ce (!f e(qenmlues that conrerges to 0. for some a < {3 < n. It is easily seen that

In Problems 5.3.1-5.3.10, Tis a bounded linear operator in a Banach

space X.
sup
xeG
J [K(x,y) -
G
K,(x,y)[ dy----> 0 as e----> 0. (5.4.2)
198 COMPLETELY CONTINUOCS OPERA TORS APPLICATION TO THE DIRICHLET PROBLEM 199

Theorem 5.4.1 The following alternatire holds: either (a) for erery Using Theorem 5.4.1 (or rather a variant of it, with G, dx replaced by
g E C(G) there exists a unique solution fin C(G) of S, dS), we conclude:

f(x) = g(x) +A. Jo:; K(x,y)f(y) dy, (5.4.3) Theorem 5.4.2 If A = I is not an eigenvalue of the operator 11(x) _,.
J K(x,y)ll(Y) dSr, then there exists a unique solution of the Dirichlet problem.
or, (b) there L> a nontrhial solution in C(G) of(5.4.3) when g = 0. J/(b) holds,
then the spaces of rontinuous solutions of the equations It can be shown (cf. Problem 5.4.5) that A = I is indeed not an eigenvalue.
Consider now the Neumann problem-that is, the problem of finding a
harmonic function u in n satisfying the boundary condition
tp(x) = A ~ K(x,y)tp(y) dy, (5.4.4)
''G

I' au= f on S.
l}!(x) = ,t
'G
K(y,x)l}!(y) d:y, (5.4.5) av
We now employ the simple layer potential V. It satisfies
hare the same finite dimension. Furthermore, there exists a solution of (5.4.3)
So
if and only if f(x)ljl(x) dx = 0 for any solution \j1 of (5.4.5).
(5.4.7)
A proof of Theorem 5.4.1 can be given on the basis of the results of
Problems 5.2.2 and 5.2.3 and (5.4.2). The details will not be given here. Instead, This leads to an integral equation for a with the kernel K(y ,x):
we shall show how Theorem 5.4.1 (or rather a result similar to it) can be
used to solve the Dirichlet problem. For simplicity we take n = 3. a(x 0 ) = f(x 0 ) - Js K(y,x)u(y) dSY.
Let n be a bounded domain in R 3 with the boundary Sin C2 . Consider
the functions, in 0, The number }. = -1 is an eigenvalue. But it can be shown that the only
J
nontrivial solutions of the homogeneous equation !f(x) = - K(x,y)!ft(y) dSy
V (x) -_ -I j" - u(y)
- - dS,,
are the nonzero constants. Hence the Neumann problem has a solution if
21t sx-y
1 1 and only if JsfdS = 0.
1 . j) 1
W(x) =-I
2TI s
tt(y)-A -~- dS.,
ovY lx - yl '
PROBLEMS
5.4 .I. Let K be an integrable kernel. Prove that the operator T deli. ned
where vY is the outward normal to Sat y. We call V(x) a simple layer potential by
and we call W(x) a double layer potential. If ;t is continuous, then it can be
proved that, for any x 0 ES,
1 j) 1
(Tf)(x) = t K(x,y)f(y) dy

lim W(x) = - J1(X 0 ) + -

x~xo 2n
J 11(y)- lx
s OVy .rl
dS . is a compact linear operator in C(G).
0 - Y
5.4.2. The simple layer potentials V(x) (with continuous u) are
The function W(x) is harmonic in n. Hence W(x) is the solution of the continuous functions in R 3
Dirichlet problem with boundary data - f if 5.4.3. Let 0 0 denote the complement of r.l in R 3 . Show that if
= =
V(x) const. in n 0 , then V(x) const. in 0.
(5.4.6) 5.4.4. Denote by Jlr the outward normal to S at y, S considered as
the boundary of n0 (Thus J11 = -vr) Let G,. = 0 0 n {x; lxl < m}, m large.
where One can show that the simple layer potentials V (with continuous u) satisfy
1 (! 1 -- - av av
K(x v) = - - - - -
' 2TI O\'r lx - .vi
JGm
VVVVdx= J v-
S 0Jl.y
dSy+ J
[J<[~m
v-av as,
200 COMPLETELY CONTINUOUS OPERATORS

where v is the outward normal. Use this relation to prove that if 0 V/ OiJ.y =0
CHAPTER 6
for all y e S, then V = const.
5.4.5. It is known that
. oV(x)
hm -~~ -
x->y O>'y
. oV(z)
lim~-=
z->y OiJ.y
2u(y) (yeS). (5.4.8) HILBERT SPACES
J
Prove that ..t = I is not an eigenvalue of the map u(x)-+ K(y,x)u(y) dSr It
J
foll.ows that ). = I is not an eigenvalue of the map 11(x)-+ K(x,y)!l(Y) dSr
AND SPECTRAL
[Hmt: Use (5.4.7), (5.4.8).]
THEORY

6.1 HILBERT SPACES

Definition 6.1.1 A nonempty set H is called a Hilbert space if H is a

complex linear vector space, together with a complex-valued function
(',.) from H x H into C having the following properties:
(i) (x,x) ~ 0, and (x,x) = 0 if and only if x = 0;
(ii) (x + }',z) = (x,z) + (y,z) for all x,y,z in H;
(iii) (..tx,y) = 2(x,y) for all x,y in H and ..t E C;
(iv) (x,y) = (y,x) for all x,y in H;
(v) If {x~} c H, lim (x~- x,,x"- x,)-+ 0 as n,m ... w, then there is
an element x e H such that lim (x" - x,x" - x) = 0.

The function ( , ) is called the scalar product or the inner product

of the space. The number (x,y) is called the scalar (or inner) product of x and
y. If the condition (v) is not required, then we call H a scalar-product space
(or an inner-product space). The number 1,ixll = (x,x) 1 / 2 is called the norm
of x.
If the scalar product is a real-valued function and if H is a real linear
vector space, then we call H a real 11 ilbert space. We shall consider in the
sequel only Hilbert spaces. But many of the results-in particular, all the
results of Sections 6.1 through 6.4--extend, with minor modifications in
the proofs, to real Hilbert spaces.
201
202 HILBERT SPACES AND SPECTRAL THEORY HILBERT SPACES 203
'
Note that (iii) and (iv) imply that (x,ly) = X(x,y). We also have: Indeed, the left-hand side is equal to (x + y,x + y) + (x- y,x - y) =
(x,O) = (O,x) = 0. + 211.vll 2 .
2(x,x) + 2(y,y) = 2!1x]l 2
The equation (6.1.2) is called the parallelogram law. Its interest is that
Theorem 6.1.1 Jn a Hilhert space H, it characterizes the norms that are derived from scalar products. In fact, we
have:
l(x,y)l:::;; llxllllyll. (6.l.l)
Theorem 6.1.5 Let H be a complex Banach space with norm I J
This inequality is called the Schwarz inequality. satisfying (6. 1.2). Then H is a H ifbert space with scalar product ( , ) such
that ( , ) 112 coincides with the giren norm on H.
Proof If x = 0 or y = 0, then (6.l.!) is obvious. Suppose then that
x # 0, y # 0. For any complex number A., Proof Define
0 ~ (x + ly,x + ..i.y) (X,J') = t{[llx + /.\ 2 - llx - )' 1.'2 ] + i[llx + iy li 2
- llx - iy 11
2
]} (6.1.3)
= llx11 + 11:1 IIYII + J.(y,x) + X(x,y)
2 2 2
(If H is a real Banach space, then the expression with the second square
= llx!i 2 + IXI 2 IIYII 2 + 2 Re {J.(x,y)}. brackets is to be omitted.) Since
Let ...1. = -re;e, r > 0, and choose 8 such that 8 = -arg(x,y) if (x,y) # 0.
.,
Then we get llx!l 2 + r 1 llyll 2 2 2rl(x,y)l. Taking r = iix!I/Lvll, the assertion
(6.1.1) follows.
(x,x) 112 coincides with the norm llxi To prove that ( , ) satisfies the con-
1

Theorem 6.1.2 A Hilbert space H is a Banach space with the norm dition (ii) in Definition 6. 1.1 of the scalar product, we use the parallelogram
I = ( , }112.
law to obtain:
2
Proof The only nontrivial property of the norm that has to be verified llu + v + w';l 2 + llu + v- wll 2 = 21iu + Vil 2 + 2';',wll ,
is the inequality I x + y I ~ II x I + I y 11. Since llu- v + wl!12 + llu- v- wl1 2 = 211u- tll 2 + 211wll 2 .
(x,y) + (y,x) = 2 Re {(x,y)}:::;; 211xii11YII, Hence

we have Ciu + ~, + wll 2 - llu- v + wll 2 ) + Ciu + v- wll 2 - llu- v- w!l 2 )

_~-'"
= 211u + vll 2 - 211u- vll 2
llx + y11 2 = llxll 2 + IIYII 2 + (x,y) + (y,x) Thus,
~ llxll + lly'!) 2 .
2
+ iiYII 2 + 211xiiiiYII = (llxll Re (u + w,v) + Re (u- w,v) = 2 Re (u,v).
Hence llx + yll ~ I xll + IIYII. We have proved that His a normed linear space. The relation with "Re" replaced by "lm" is proved similarly. Hence
The condition (v) in Definition 6.1.1 means that His complete.
From the proof of (6.1.!) we find that if equality holds and y i= 0,
(11 + w,v) + (u - w,r) = 2(u,!").

then x = -...ly. From the proof of Theorem 6.1.2 it then follows that if Taking w = u, we get (2u,r) = 2(u,!). Taking u + w = x, u- w = y, v = z,
llxll + llyll = llx +.vii and y i= 0, then x = -..i.y. Hence if llxll = llyll = I, we then obtain
llx + y II = 2, then l..\1 = I, II -J.I = 2. Therefore ..1. = -!-that is, x = y.
We conclude (see Problem 4.3.3):
(x,z) + (y,z) = 2 ( -X+-y, :: ) = (x + y,z).
2
Corollary 6.1.3 The norm of a Hilbert space is strictly convex.
To prove the condition (iii) in Definition 6.1.1 we first note that, by (ii),
Theorem 6.1.4 For any two elements x,y in a Hilbert space H, (mx,y) = ((m - !)x + x,y) = ((m - I )x,y) + (x.y)
llx + 2
Yll + llx - y!i
2
= 2 ilxll + 211 YV
2
(6.1.2) = ((m- 2)x,y) + 2(x,y) = = m(x,y).
204 HILBERT SPACeS AND SPECTRAL THEORY THE PROJECTION THEOREM 205

Hence also n(x/n,y) = (n(x/n),y) = (x,y). It follows that (x/n,y) = (1/n)(x,y). M .l N. We denote that Mj_ the set of all elements that are orthogonal toM.
If r =min, where m,n are any positive integers, then We call MJ. the orthogonal complement of M. It is easily seen that M~~ _a__ _
closed lineaf_S_P!I-Ce.If N .l M, then, clearly, N c MJ. .
......__.----
r(x,y) = -m(x,y) = m (x
-, y ) = ('m
- x,y ) = (rx,y). Lemma 6.2.1 Let M be a closed convex set in a Hilbert space H. For
n .n , .n
euery point x0 E H there exists a unique point Yo in M such that
Since (x,y) is a continuous functional in x, we obtain ),(x,y) = (J.x.y) for
any positive real number. If;_ < 0, then llx 0 - Yoll = inf IIXo- YII- (6.2.1)
}'E M

l.(x,y)- (i.x,_r) = /(x,y)- (1)1( -x)._r) = l.(x,y)- li.l( -x,y) Proof Denote the right-hand side of (6.2.1) by d. Then there exists
= /.(x,r) + /.(- x,y) = i.(O,y) = 0. a sequence {_r.} in M such that llx 0 - y.ll-+ d as n-+ oo. By the parallelo-
Hence (iii) holds for any real 1.. It is easily seen that (iii) also holds for ). = i. gram.law,
2
Finally, for any complex number i. = 11- + i v, 4\IXo- !(y,. + y.)ll 1 + IIYm- r.ll 1 = 2ilxo- Ymll 1 + 211Xo- Yn11
l.(x,y) = 11-(x,y) + iv(x,y) = (px,y) + i(vx.y) if m,n-+ oo.
= (!n,y) + (il'x,y) = ((fl + il)x,J) = (}.x,y). Since -1-(y,. + y.) EM, we also have
The condition (iv) is easily verified, and (vl follows from the completeness 411xo- -1-(y,. + Y.)ll 2 ~ 4d 2 -
assumption on the space H. Thus the proof is complete.
Hence IIYm- Ynll-+ 0 if m,n-+ oo. Since H is complete and M is closed,
lim _r. = y 0 exists and belongs to M. Since llx 0 - Yoil =lim llxo :- Y.ll = d,
PROBLEMS
6.1.1. Let f E L2 (0,1 ). Show that for any positive integer n there exists (6.2.1) follows.
Suppose now that there exists another point y 1 satisfying
a unique polynomial Pn of degree :s;; n such that l!f- p I ::0: III- Pn ,, for all
,.-
polynomials p of degree :s;; n. , ,._ llx 0 - Y1ll = inf llxo- YII-
j ~~M
6.1. 2. Prove that the norm of U(O, 1) does not satisfy the pa ralle lo-
gram law if p =1- 2. Then
6.1.3. If {x"} is weakly convergent to x, in a Hilbert space X, and if
lim llxn = llxll, then lim x" = x.
n
211x 0 - Yo; Yl II:<::: llx 0 - Yoll + llxo- Y1ll .
6.1.4. Is the assertion of Problem 6.1.3 true in LP(O,l),p =1- 2?
s 2:~~
6.!.5. If {x.} is weakly convergent to x, in a Hilbert space fl, then 1

there is a subsequence {.rml whose arithmetic means z" [that is, z. = (r 1 +

I x0 - Y II :s;; 211 Xo - Yo ; y II ,
+ Y.}.'n] converge toxin the norm of Jl. [llinl: Suppose x = 0. Take m 1 = 1. since (y 0 + y 1 )/2 belongs toM. Hence,
Let m 2 ( > m 1 ) be such that l(xm, ,xmll < 1 if m ::0: m 2 . Let m 3 ( > m 2 ) be such
that l(xm 1 ,xmll < i, l(xm,,xrnll < J if m ::0: m 1 , and so on. Take Yn = x'"".] J'o 2 Y1 +
2 Xo- - - II = llxo- roll+ llxo- YIII-
II

6.2 THE PROJECTION THEOREM
Definition Let x.y be two points in a Hilbert space H. If (x,_r) = 0,
then we say that x is orlhogotmf to y and write x 1 _r. Let .H be any suhset
of H. If x is orthogonal to all the elements of ;\1, then we say that x-is ortlwg-
i-
ona/ to M, and write x .l i\-1. Let l\-' be a suhset of H. If x 1 )H for all x E N,
then we say that,\' is orllrogonafto A!, and write .N .l IH. We then also have
Si nee the Hilbert norm is strictly convex (hy Corollary 6.1.3 ), we get:
x 0 - Yo= x 0 - y 1 . Thus, y 1 =Yo
We shall now prove the projection theorem.
Theorem 6.2.2 Let M be a closed linear subspace of a IIi/bert space H.
Any x 0 E H can be written in the form x 0 =Yo+ z 0 , where Yo EM, ZoE MJ..
The elemenls y 0 ,z 0 are uniquely determined hy x0 .
206 HILBERT SPACES AND SPECTRAL THEORY
THE PROJECTION THEOREM 207

Proof If Xo EM, then Yo= x 0 ,z0 = 0 give the asserted decomposition Consequently,
of Xo. If x 0 M, let Yo be the point in M satisfying

l!xo- Yoll = inf llx 0

y~ M
- y[[. (zo ) = (x,z
x *(x) -;;-, z 0 0 ).

The existence of J.'o is asserted in Lemma 6.2.1. Take now any point y EM Taking z = [ii/(z 0 ,z 0 )]z 0 , we get x*(x) = (x,z) for all x E H.
and any scalar A. Then Yo + J.y E M. It follows that Suppose that there is another point z' such that x*(x) = (x,z') for all
2
llxo - Yoll :=::; llxo- Yo- 2.rll
2
= llxo- J'oll 2 - 2 Re J.(y,x 0 - y0 ) + f,WIIYII 2 x E H. Then (x,z- z') = 0 for all x E H. Taking x = z- z', we find that
liz- z'll = 0--that is, z = z'.
Hence Next,
-2 Re J.(y,xo - Yo) + jJ.[ 2 IIY 11 2 ~ 0.
Taking J. = t > 0, dividing by t, and letting c--> 0, we obtain the inequality
llx*ll = sup lx*(x)l = sup l(x,z)l s sup (llxllll=ll) = 11=11
11-"ll=l llxll=l llxll=l
Re (y,x 0 - y 0 ) ~ 0. On the other hand,
If we take J. = - ie, e > 0, then we obtain, after dividing bye and letting ll=il 2 = (z,z) = lx*(z)l :=::; ]lx*llllzl];
-->0, .
lm (Y,Xo - Yo) :=::; 0. hence llz ~ lix*]l. We have thus proved that llx*ll = 11=11. This completes
1
,',

the proof of the theorem.

Since the two inequalities obtained for y hold also for the point - y (since
- Y EM), we conclude that (y,x 0 - y 0 ) = 0 for any y E ,l,f, Thus, the point
Zo = Xo - Jo is in AJ.1. Corollary 6.2.5 The map a: H--> H* given by (ax)(y) = (y,x) is an
isometric imbedding of H onto H*. Furthermore, a(A.x + ~z) =.l:ax +paz.
ItL remains to prove
.
uniqueness. Suppose x 0 = y 1 + z 1 ' where y 1 EM ,
Zt EM . Then the pomt .ro - }" 1 = z 1 - z 0 lies in both M and MJ.. Hence
it must be equal to O~that is, y 0 = J' 1 and z 0 = z1 From this corollary we shall deduce:
-~ .

Corollary 6.1.3 ~f M is a closed linear substance and M t= H, then
there exists an element z0 #- 0 such that z0 .l M.
Indeed, there exists a point x 0 E H, x 0 M. Let x 0 =Yo+ z 0 , where
Yo EM, z0 E MJ.. Then z 0 .l M and z 0 #- o:
Theorem 6.2.4 For every bounded linear functional x*on a Hilbert space
H there exists a unique element z of H such that x*(x) = (x,z) for all x E H,
and llx*l: = !\zl:.
This theorem is cal!ed the Riesz theorem.
Proof Denote by N the null space of x*. N is dearly a closed linear
subspace of H. If A'= H. then x* = 0 and x*(x) = (x,O). If N =1- H, then by
Corollary 6.2.3 there exists a point z0 E N.1, z0 #- 0. Clearly o: = x*(z0 ) t= 0.
For any x E H, the point x- x*(x)z 0 jx is inN. Hence
Corollary 6.1.6 A Hilbert space H is reflexive. Thus, in particular,
H is weakly complete, and a set in H is weakly compact if and only if it is
bounded and weakly closed.
.~
PrQof It is easily seen that the Banach space H* is a Hilbert space
with the scalar product (ux,ay) = (y,x). [In verifying the condition (iii)
of Definition 6.1.1 we use the fact that a(J.x) = A: ax.] Denote by '! the iso-
metric imbedding from the Hilbert space H* onto its conjugate H**. Thus
(Tay)(ax) = (ax,ay) for all x,y in H. Now letfhe any element of H**. Then
f = '!O"J! for some y E Hand, for all x E H,
f( <1x) = ( r<1y)(ux) = (<1x,ay) = (y,x) = (ax)(y).
It follows that f is the image of y under the natural in bedding K of H into
H**. Thus" maps H onto H**; His therefore reflexive.
The following extension of the Riesz theorem is called the Lax-Milgram
lemma.

(x - x*~)zo, z 0 ) = 0. Theorem 6.1.7 Let B(x,y) be a bilinear functional [that is, B(x,y) is
linear in x and B(x,y) is linear in y] in H x H, where H is a Hilbert space.
208 HILBERT SPACES AND SPECTRAL THEORY PROJECTION OPERATORS 209

Assume that Notice that the projection theorem states in effect that if M is a dosed
IB(x,y)l 5 CllxiiiiYII (C > 0), (6.2.2) linear subspace, then H = M $ M1.. Thus MJ. (M) is the orthogonal com-
plement of M (MJ.) in H.
IB(x,x)l ~ cllxll 2
(c > 0), (6.2.3)
for all x,y in H. Then for any bounded linear functional x* in H there exists a PROBLEMS
unique point z in H such that x*(x) = B(x,z) for all x E H.
6.2.1. If M and N are closed linear spaces and M .l N, then M EB N
is a closed linear space.
Proof For fixed y E H, IB(x,y)l s C'llxll (C' = CIIYII). Hence, by
6.2.2. Let .ll,f be any subset of a Hilbert space H. Then (MJ.)J. is the
Theorem 6.2.4 there exists a unique element Ty such that
dosed linear space spanned by M.
B(x,y) = (x,Ty).
T is a linear map of H into itself. Since
6.3 PROJECTION OPERATORS
II Tyll 2 = (Ty, Ty) = B(Ty,y) 5 Cll Ty IIIIYII,
Definition Let Af be a closed linear subspace. By the projection
IITyll s CIIYII-that is, Tis bounded. Next,
theorem, every x E H can be written uniquely in the form x = y + z, where
cllxll 2 s IB(x,x)l = l(x, Tx)l 5": llxllll Txll, y E M, z E M J.. The point y is cal led the projection of x in M, and the operator
so that II Txll ~ cllxll. It follows that T maps H in a one-to-one way onto a P given by Px = y is called the projeclion on .H. We also denote this operator
closed linear subspace H 0 of H. We claim that HI)= H. Indeed, otherwise by PM. We call M the subspace ofrhe projection P.
there exists (by Corollary 6.2.3) an element z #- 0 orthogonal to all the points
Tx, x EX In particular Definition Let T be a bounded linear operator in a Hilbert space
H. The adjoint T* of Tis defined by the relation (Tx,y) = (x,T*y) for all
0 = l(z,Tz)l = IB(z,z)l ~ cllzll 2 x,y in H. lf T = T*, then we say that Tis self-adjoint. When we speak of
Thus z = 0, which is impossible. self-adjoint operators we always mean bounded, linear self-adjoint operators.
Now let x* E H*. By Theorem 6.2.4 there exists a point z 0 E H such The present definition of adjoint operators is not the same as the one
that x*(x) = (x,z 0 ). Since T(H) = H, there exists a point z such that Tz = zl). given by Definition 4.13.1, with X = Y, in the case of a normed linear space
Therefore X. In view of Corollary 6.2.5, the two definitions are related by an isometri;
x*(x) = (x,Tz) = B(x,z). map a; a is additive and u(l T) = J.o-T.
Note that if T is a self-adjoint operator in a Hilbert space 11, then
To prove uniqueness, suppose B(x,z) = B(x,z') for all x E H. Then also (Tx,x) is a real number for any xE H.
B(x,z- z') = 0 for all x E H. Taking x = z- z', we obtain
0 = IB(z - z', z - z')l ~ cllz - z'll 2 PROBLEMS

Hence z' = z.
Definition Let M and N be linear subspaces of a Hilbert space H
and assume that every element in the vector sum M + N has a unique
representation of the form x + y, where x EM, yEN. Then we call M + N
the direct sum of M and N. lf M .l N, then we write M + N also in the form
M $ N. Note that M $ N is the direct sum of M and N. If Y = M $ N, then
we write N = Y 8 M and call N the orthogonal complement of M in Y.
Similarly we write M = Y 8 N and call M the orthogonal complement of
N in Y.
6.3 .1. Let T and S be bounded linear operators in a Hilbert space H,
and let }, be a scalar. Prove: (T + S)* = T* + S*, (TS)* = S*T*, (}.T)* =
.l:T*, I*= I, T** = T, IIT*II =II Til If, further, r-l is a bounded linear
map (with domain H), then also ( T*)- 1 is a bounded linear map (with do-
main ll) and (T- 1 )* = (T*)- 1 .
6.3.2. State Theorem 5.2.10 in a Hilbert space, using the definition
of '1: self-adjoint operator as given in the present section.
Theorem 6.3.I A projection P is a self-adjoint operator satisfying
P2 = P, and IIPII = 1 ifP #- O.
 PROJECTION OPERATORS 21 I
,' 210 HILBERT SPACES AND SPECTRAL THEORY

Proof If P =PM+ PN is a projection, then P 2 = P. Hence, PM PN

Proof Let P =PM and let x 1 = y 1 + Z; (for i = 1,2), where }';EM,
Z; E MJ.. Then }.lxl + ..l2 X2 = (..ltYt + A2 Y2) + Utzl + A2 z2) and
+ PNPM = 0. Multiplying on the left by PM, we get
(A1 Yt + ..1. 1 y 2) EM, (..1. 1 z1 + }.2 z 2 ) E MJ.. PMPN + PMPNPM = 0.

It follows that Multiplying on the right by PM, we get 2PMPNPM = 0. Hence PMPN = 0.
2
Conversely, if PM P.v = 0, then also PN PM= 0. Jt follows that P = P. Since
P(..l1x1 + }.2 X:z) = AtYt + ..l2 Y2 = At Px1 + ..1. 2 Px 2 P is also self-adjoint, it is a projection. Finally, Px = PMx + P.'lx varies
over M ffi N as x varies in H. Hence, P = PMffiN
Thus Pis a linear operator. Next, P 2 x 1 = P(Pxd = Py = y = Px so that
2 . 2 2 2 1 1 1
P = P. Smce llxtll = IIYtll + llztll ;::::; 11Ytl! 2 = 11Px1 11 2 it also follows that
Theorem 6.3.5 The product of two projections PM and PN is a pro-
liP II .:=::; I. If P #- 0, there is a point x #- 0 in the subspace of the projection P.
jection if and only if they commute- that is, PM PN = PN PM. In that case,
Thus, IIPxll = llxll. This gives IIPII = I. It remains to show that P is self-
adjoint. This is proved as follows; PMPN = PM,.,N

(Px!,x2) = (y,,xz) = (yt,Yz) = (xt,Y2) = (x 1 ,Px 2 ). Proof If P =PM PN is a projection, then P* = P. Hence PM P,. =
P~-P'!t = PNPM. Conversely, let PMPN = PNPM = P. Then P* = P, so that
The converse of Theorem 6.3.1 is'also true. In fact, we have: P is self-adjoint. Also, P 2 = PMPNPMPN = PiiP~ = PMPN = P. Thus P
is a projection. Further, Px = PM(PNx) = PN(PMx). Therefore, Px EM n N.
Theorem 6.1.1 A self-adjoint operator P with P 2 = P is a projection. On the other hand, if x EM n N, then Px = PM(PNx) = PMx = x. Thus
p = PM,.,N
Proof Let M = P(H). M is a linear subspace of H. It is also closed.
Indeed, if Yn = Pxn,Yn-> z, then Pyn = P 2 Xn = Px. = Yn Hence z =limy = Definition A projection PL is a part of a projection PM if L c: M.
lim Py. = Pz EM. Next, since Pis self-adjoint and P 2 = P, "
Theorem 6.3.6 A projection PL is a part of a projection PM if and only
(x- Px,Py) = (Px- P 2 x,y) = 0 for ally E H,
if one of rhe following conditions holds:
so that x_-:- Px lies in MJ.. Therefore x = Px + (x - Px) is the unique
decomposition of x as a sum y + z withy EM and z E MJ.. This shows that (i) PMPL = PL;
P is the projection on M. (ii) PLPM = PL;
(iii) IIPLx II ~ II PM x\1 for any x E H.
Definition Two projections P 1 and P 2 are orthogonal if P,P 2 = 0. Since Proof Let L c: M. Then PLx eM for any x E H. Hence PMPLx =
(PIPz)* = P; P! = P 2 P 1,P 1 P 2 = 0 if and only if P2 P 1 = 0.
PL x, and (i) follows. If (i) holds, then

Theorem 6.3.3 Two projections PM and PN are orthogonal if and only PL =Pi.= (PM Ptl* = Pi.P'!t = PLPM,
ifM .lN.
and (ii) follows. Next, if (ii) holds, then, for any x E H,
Proof Let PM PN = 0 and let x EM, yEN. Then IIPLxll = IIPLPMxll ~ IIPd IIPMxll .:=::; IIPMxll,
(x,y) = (PMx,P.v y) = (PHPMx,y) = 0. so that (iii) holds. It remains to show that if (iii) holds, then L c: M. If this is
not true, then there is a point x 0 e L, x 0 ~ M. Let x 0 = Yo + z 0 where Yo eM,
Thus M .lN. Suppose conversely that M .lN. For any x E H, P.vx EN
z 0 .l M, z 0 #- 0. Then
and therefore (PNx) .l M. Jt follows that PM(P~X) = 0. Thus f:'MPN = 0.
2 2 2
11PLxoll 2 = 11Yoll + iizoll > IIYof = IIPMxoll
Theorem 6.3.4 The sum of two projections PM and PN is a projection
This contradicts (iii).
if and only if PMPr< = 0. In that case, PM + PN = PMffiN
t
~
212 HfLBERT SPACES ANO SPECTRAL THEORY ORTHONORMAL SETS 213

Lemma 6.3.7 !f P is a projection and I is the identity operator, then

I - P is a projection. 6.4 ORTHONORMAL SETS

Proof I - P is self-adjoint and (I- P) 2 =I - P- P + P 2 =I- P. A set K in a Hilbert space H is called orthonormal if each element of
K is a unit element-that is, it has norm l, and if any two distinct elements
of H are orthogonal. An orthonormal set K is called complete if there exist
We shall now prove a theorem that contains the last lemma. no nonzero elements that are orthogonal to K -that is, if K j_ = 0.

Theorem 6.3.8 The difference P = PM- PL of two projections P'>I,PL Theorem 6.4.1 Let {x.} be an orthonormal sequence in a Hilbert space
is a projection 1jand only i/PL is a part ofP'>I. If this is the case, then P = PMeL H. Then, for any x E H,

Proof If P is a projection, then (by Lemma 6.3.7) so is I- P =

(I- PM)+ PL. 1- PM is also a projection. Applying Theorem 6.3.4, we get
L"" l(x,x.)l 2 ~ llxll 2
;n.;;;;;;l
(6.4.1)

(1- PM)PL = 0-that is, PL =PM PL. Hence, by Theorem 6.3.6, PL is a part
of PM. Suppose conversely that Pr. is a part of PM. Then (I- PM)PL = 0. This inequality is called Bessel's inequality. The scalars (x,x") are called
Hence, by Theorem 6.3.6, (I- PM)+ Pr. is a projection. Thus I - P is a the Fourier coefficients of x with respect to the sequence {x"}.
projection. By Lemma 6.3.7, also I - (I- P) =Pis projection.
Finally, if PL is a part of PM, then PM- P 1 and PL are orthogonaL Proof We have
By Theorem 6.3.4, the subspace Y of the projection PM - P L satisfies
Y$L = M. Hence Y = M 8L This completes the proof.

PROBLEMS
6.3.3. If Pis self-adjoint and P 2 is a projection, is P a projection?
6.3A. Let (X,J.l) be a measure space and denote by XE the character-
istic function of a measurable set E. Then the operator QrJ = XEf defined Therefore,
in L 2 (X,p) is a projection. Under what e-ondition onE, F is QE + QF a pro-
jection? (6.4.2)
6.3.5. Consider the operator ( Q/)(1) = a(t)f(t) in L 2 (0,1), where a(t)
is a scalar function. Find necessary and sufficient conditions on a(t) for Q
to be a projection. It follows that
6.3.6. Let A be an 11 x 11 matrix with real elements and denote by Q
the operator Qx = Ax in Rn. Find necessary and sufficient conditions on
A for Q to be (i) self-adjoint, (ii) a projection.
L"' l l(x,x.W ~ llxll 2
n~

6.3.7. If A is a self-adjoint operator in a Hilbert space, then

Now take m-+ oo.
4(Ax,y) = [(A(x + y),x + y) - (A(x - y),x - y)]
+ i[(A(x + iy),x + iy) - (A(x- iy),x - iy)]. Theorem 6.4.2 Let {x"} he an orthonormal sequence in a Hilbert space
H and let {A."} be any sequence of scalars. Then, for any positive integer m,
6.3.8. If H is a Hilbert space and A is a bounded linear operator in
H such that (Az,z) is real for all z E H, then A is self-adjoint. (This is generally
false if H is a real Hilbert space.)
 214 HILBERT SPACES AND SPECTRAL THEORY
ORTHONORMAL SETS 215
Proof Set c, = (x,x,). Then
(ii) the sum

j~~ x- J,';, ).,x, 112 = llxll J, .tc,- J J, ll,l I

2
-
m '"
..1.,2, + "' 2 Ex= (x,y)y (K, = {y;y E K and (x,y) "# 0})
1 Yt~Kx

= llxll f lc,l + f
2
-
n~ 1
2
n= 1
lc,-..1.,1 2
converges independently of the order by which the terms are taken, and
(iii) E is the projection on the closed linear space spanned by K.

;?. llxll 2 - I'"

n;::l
lc,j 2 Proof From Bessel's inequality it follows that for any e > 0 there
cannot be more than llxll 2 /e 2 points yin K for which l(x,y)l >e. Using this
Now use (6.4.2). fact withe= 1,-!-.t... , the assertion (i) follows. Next, the assertion (ii) follows
from Bessel's inequality and Theorem 6.4.3. To prove (iii), denote by K the
Theorem 6.4.3 Let {x,} be an orthonormal sequence in a Hilbert space closed linear subspace spanned by K. If x l. K, then, clearly Ex = 0. On the
~and let {~ .. } be a sequence of scalars. Then the series I tt,x, is convergent other hand, if x E K, then for any e > 0 there are scalars J.,, ... ,A., and points
if and only if I ltt .. l2 < oo, and in that case y 1 , .. ,y, inK such that

(6.4.3)

and the sum I lln x, is independent of the order in which its terms are arranged. Theorem 6.4.2 then gives
Proof If m > n,
(6.4.6)

(6.4.4) We may assume that y1 E K, for I sj s n [otherwise we strike out from the
last inequality those y i for which (x,y 1) = 0 ]. Arrange the set K ~ in a sequence
From this relation and from the completeness of H, we get the first assertion {y), where I sj s oo. From (6.4.2) we see that the left-hand side of (6.4.6)
of the theorem. Taking n = I, m---+ oo in (6.4.4), we obtain the assertion does not increase with n. Hence, taking n ..... oo, we get llx- Exll <e. Since
(6.4. 3). Now let z = I o: i. xi. be a rearrangement of the series x = I r1. . x _ e is arbitrary, Ex= x for any x E K. We have thus proved that E is the pro-
and assume that I jr1.1 j2 < oo. Then 1 1
jection on R.
Ux- zjj 2 = (x,x) + (z,z)- (x,z)- (z,x). (6.4.5)
Definition A set K is called an orthonormal basis of H if K is an
One easily verifies (x,x) = (z,z) =I la) 2 . Writing orthonormal set and if for any x E H
m
s,. = I
j-1
t:i.jXj, t., =
P1-1
I'" t:J.i.xi. x = I
JE=K;~e
(x,y)y. (6.4.7)

we also have
ro
Theorem 6.4.5 Let K be an orthonormal set in a Hilbert space H. Then
(x,z) =lim (s,.,t.. ) = jo:i1 2 I the following conditions are equivalen 1:
"' J-1
(i) K is complete;
Also (z,x) = (x,z) = (x,z). We conclude from (6.4.5) that llx- zl1 2 = 0- (ii) The closed linear subspace spanned by K isH;
that is, z = x. This completes the proof of the theorem. (iii) K is an orthonormal basis;
(iv) For any x E H,
Theorem 6.4.4 Let K be an orthonormal set in a Hilbert space H: Then, t
(i) for any x E H, (x,y) = 0 for all but a countable number of points llxll 2 = I
)'!f::K~
l(x,y)] 2 (6.4.8)
yofK;
The relation (6.4.8) is called Parseval's formula.
216 HILBERT SPACES AND SPECTRAL THEORY ORTHONORMAL SETS 217

Proof By Corollary 6.2.3, (i) implies (ii). Suppose (ii) holds. Then, by
Theorem 6.4.4, Ex= x for any x e H-that is, K is an orthonormal basis.
Suppose next that (iii) holds and arrange the elements of K"' in a sequence
{x.}. Taking in (6.4.2) n ..... oo, we then obtain (6.4.8). Finally, if (iv) holds and
if x .l K, then llxll 2 = L l(x,y)l 2 = 0--!hat is, x = 0. Thus (iv) implies (i).
Theorem 6.4.6 In every Hilbert space there exists an orthonormal basis.
PROBLEMS
6.4.1. If Tis an isometric isomorphism of a Hilbert space H 1 onto
a Hilbert space H 2 , then also (Tx,Ty) = (x,y) for all x,y in H1.
6.4.2. Let H 0 be a linear subspace of a Hilbert space H, spanned by a
sequence {xm} of linearly independent elements. Show that there exist
scalars .l.m such that the sequence {ym} given by

Proof Consider the classes of orthonormal sets in H and define a

partial order by inclusion. By Zorn's lemma it follows that there exists a
maximal orthonormal set K. Since K is maximal, it is complete, and there- is orthonormal and it spans H 0 . This process of passing from {xm} to {ym}
fore it is also an orthonormal basis. is called the Gram-Schmidt process.
6.4.3. Let H 1 , .. . ,H" be Hilbert spaces. Denote by ( , ); the scalar
Lemma 6.4.7 Any orthonormal basis in a separable Hilbert space
is countable. product in H,. Then the Cartesian product H = H 1 x x H. is a Hilbert
space with the scalar product
Proof Suppose there exists an orthonormal basis {x~} that is not
countable. Denote by B the ball with center x~ and radius t. Since (x,y) = L" (x 1,y;) 1,
i=l

the balls B are mutually disjoint. If there exists a dense sequenoo {y.} in
the space, then there is a ball B.o that does not contain any of the points y .
Hence x'"" is not in the closure of {y.}-a contradiction.
Theorem 6.4.8 Any two infinite-dimensional separable Hilbert spaces
are isometrically isomorphic.
where x = (xu ... ,x.), y = (y 1 , ... ,y.). We call H the direct sum of
the Hilberr spaces H 1 , ,H. and write H = H 1 EB EB H . Show that
the map x ..... (O, ... ,O,x;,O, ... ,O) is a projection in H.
6.4.4. Let f(z),g{z) be complex-valued functions in a closed disc
D: izl : : ; r, and assume thatfe C0 (D) and g is analytic in D. Prove that
JJ. f(z) g'(z) dx dy = 2t~ J f(z) g(z) dz.
D
i!D

Proof Denote two such spaces by H 1 and H 2 . By Lemma 6.4.7, there 6.4.5. Let D be the disc lzl < 1 in the complex plane. Denote by
exist sequences {x.} and {y.} that form orthonormal bases for H 1 and H 2 , H2(D) the linear subspace of L 2 (D) consisting of_ al_l funct_ions holomorphic
respectively. For any point x e H 1 andy e H 2 we have in D. Prove that H 2 (D) is a closed set, so that 1t 1s a Htlbert space. Next
prove that the sequence { ,j n:i~z" -t} is orthonormal in H 2 (D) and that it is
(6.4.9) also complete. [Hint: the nth Fourier coefficient is equal to
. 1 r2 "
Fn 21 Jlzl~r -z"d z .
where c. = (x,x.), d.= (y,y.). When {c.} and {d.} vary in / 2 , the points x f(z)
a =ltm---
andy vary in H 1 and H 2 , respectively. We define a map Tfrom H 1 into H 2 " r~l
as follows: y = Tx if, in (6.4.9), c.= d. for all n ~ L Tis clearly linear,
and it maps H 1 onto H 2 . Since On the other hand, if /(z) = L b" z",
11Txll 2 = f ld.l 2 = f !c.l 2 = lfxll 2 , b
n-l
= _1 f
2ni [zl= z"
f(z) dz-
'
n~ l n~ I

Tis also an isometry. This completes the proof. Now verify Parseval's formula.]
6.4.6. Show that an orthonormal sequence {If'.} IS complete in
Coroll4ry 6.4.9 Any infinite-dimensional separable Hilbert space is
isometrically isomorphic to L 2 (0,1). L 2 (a,b) if n~l (r !p.(t) dtr =X- a for all X E (a,b).
218 HILBERT SPACES AND SPECTRAL THEORY SELFADJOINT OPERATORS 219

6.4.7. If {x"} is a complete orthonormal sequence in a Hilbert space Proof If A. is not a real number, then, by Theorem 6.5.2, E.l. = {0} =
Hand if {y.} is an orthonormal sequence in H satisfying 1 . Hence the assertion of the lemma is equivalent to the assertion

L"'
n=1
llx.- Y.ll < I,
2 H = E1 fBR~.
If x e E;;, y e Rl, then (A - Xl)x = 0 and y =(A - ...ll)z for some z e H. It
then {y.} is also complete. follows that
(x,y) = (x,(A - ..U)z) =((A - XI)x,z) = 0.
6.5 SELFADJOINT OPERATORS If y e R.l, then y = lim Yn for some sequence {y"} in R.l.. Since (x,y.) = 0 for
any x e E;: and for any n ~ 1, we get (x,y) =lim (x,y.) = 0. We have thus
Throughout this section we designate by A a self-adjoint operator in proved that El .1 Rl' It remains to show that if x .l (Ex. fB R.l.), then x = 0.
a Hilbert space H. For any z, (x,(A - ..ll)z) = 0. Hence ((A - li)x,z) = 0. Since z is arbitrary,
(A - XI)x = 0. Thus x e E;;. But since x l. E;;, it follows that x = 0.
Theorem 6.5.1 I Ail = sup I(Ax,x)l.
llll =1 Corollary 6.5.4 If E). = 0, then R). = H. Thus, in particular, A has
no residual spectrum.
Proof Let ':1. = sup I(Ax,x)j. If iixll = 1, then
11<11 =I
Lemma 6.5.5 If, for some A,
I(Ax,x)l :=::; IIAxllllxll = I Axil:=::; IIAIIIIxll = IIA 11.
I Ax- ...lxll ~ cllxll (c > 0) (6.5.1)
Hence IX:=::; IIA 11. To prove the converse inequality, let z e H, Az i= 0 and
introduce u = (Az)/..1. where A.= (11Azll/llz11) 112 Then (compare Problem 6.3.7) for all x E H, then Abelongs ro the resolvent set p(A) of A.

jjAz11 2 = (A(A.z),u) = !{(A(...lz + u),Az + u)- (A(J.z- u),..lz- u)} Proof The assumption (6.5. i) implies that E;. = 0. Hence, by Corollary
:-: ; t1X(II..lz + ull + IIA.z- ull 2 ) = tC!(IIhll 2 + llull
2 2
)
6.5.4, R..l. =H. If we prove that R~ is closed, then, by Theorem 4.6.2, it
follows that (...ll - A)_, is a bounded operator-that is, ...l e p(A). To prove
that R~ is closed, let {y,} c: Rl, Yn _,. y. Then Y. =(A - ..li)x~ for some
= }C!(A 2 IIzll 2 + ; 2 11Az11 2) = C!llzll iiAzll.
Xn E H, and

Hence II Azll :=::; cillzll. It follows that IIA II :=::; !Z. lly,- Ymll = II(A- J.l)(x.- x,.)ll ~ cllx,.- x,.ll.
It follows that {x.} is a Cauchy sequence. Let x =lim x . Then y =
Theorem 6.5.2 The eigem;alues of a self~adjoint operator are real lim (A - .U)x. =(A - ...li)x-that is, y e R...
numbers. Eigenuectors corresponding to distinct eigenvalues are orthogonal.
Corollary 6.5.6 A point A belongs to the spectrum cr(A) of A if and
Proof Let Ax= ...lx, x #- 0. Then (Ax,x) = A.llxll 2 . Since (Ax,x) is real only if there exists a sequence {xn} in H such that
and llxll #- 0, we conclude that ..l is real. Next let Ay =p.y, where y #- 0
and J1 #- L Then J1 is a real number, and we have lim I Ax.- ..lx.ll = 0.

().- J!)(x,y) = (..lx,y) - (x,11y) = (Ax,y) - (x,Ay) = 0.

Theorem 6.5.7 The spectrum of a self-adjoint operator is contained
Thus x .1 y. in the rea/line.
Denote by R, the range of the operator A - H and denote by E~ the
null space of A -AI. Then R;. is a linear subspace of H and E.l. is a closed Proof Let ...l = p. + iv, v #- 0. If y =(A - ..ll)x, then
linear subspace of H.
(y,x) = (Ax,x) - ...l(x,x),

(x,y) = (y,x) = (Ax,x) - X(x,x).

220 HILBERT SPACES AND SPECTRAL THEORY POSITIVE OPERATORS 221

Hence Corollary 6.5.6 then implies that Me o-(A). The proof that me o-(A) is
(x,y) - (y,x) = (..1. - .l:)(x,x) = 2villxll 2

similar. In fact, one takes a sequence {y.} c: H with I!Y.II = I, (Ay..,y.. ) =
m + e., e. 2 0, e .... 0, and proves that
Therefore
IIAy. - my.ll 2 = II(A - yl)y, - (m - y)y.ll 2 -> 0 if n-> oo.
21vlllxll 2 s l(x,y)l + l(y,x)l = 21(x,y)l s 211xiiiiYII,
-that is, lvlllxll s IIYII = II(A- U)x]l. Now apply Lemma 6.5.5. PROBLEMS

Definition The upper bound of a self-adjoint operator A is the number 6.5.1. Let B(x,y) be a complex-valued functional defined on H x H.
M = sup (Ax,x). The lower bound of a self-adjoint operator A is the number We call it a bilinear form if it is linear in x and antilinear in y [that is, B(x,y)
llxll-1 is linear in y]. If IB(x,y)l s Cllxllllyll for all x,y in H, then we say that
m = inf (Ax,x). B(x,y) is a bounded form. If B(x,y) = B(y,x), then we say that B(x,y) is a
llxll-1 Hermitian form. Prove that if B(x,y) is a Hermitian form, then there exists
Note, by Theorem 6.5.1, that I All =max (lmi,IMI).
a self-adjoint operator A such that B(x,y) = (Ax,y).
6.5.2. If B(x,y) is a Hermitian bilinear form, then B(x) = B(x,x) is
Tlu!orem 6.5.8 The spectrum of a self-adjoint operator A lies in the
called a quadratic form. Prove that
closed interval (m,M], where m and M are the lower and upper bounds of
A, respectively. 4B(x,y) = B(x + y) + B(x- y) + iB(x + iy) - iB(x - iy).

Proof Suppose . 1. > M. Then 6.5.3. Consider the operator (Ax)(t) = tx(t) in L 2 (0,1). Prove that
a( A) consists of the closed interval [0, I]. [Hint: If 0 < ..t < I, take x.( t) = ...;-;;
-((A- ..l.I)x,x) = -(Ax,x) + ..l(x,x) 2 (..1.- M)(x,x).
for . 1. < t <A+ (1/n), x.(t) = 0 if t [..1.,..1. + (1/n)] and use Corollary 6.5.6.]
It follows that 6.5.4. If A is an operator in Hand L is a closed linear subspace of H
such that A(L) c: L, then Lis called an invariant subspace of A. Prove that if
(..t- M)llxll 2 s I((A- Al)x,x)l s II(A- ..ll)xllllxll. Lis an invariant subspace of a self-adjoint operator A, then also LJ. is an
Hence II(A- ..ll)xll 2 (...1.- M)llxll. Lemma 6.5.5 then implies that ). e p(A). invariant subspace of A.
Similarly one proves that if . 1. < m then A e p(A). 6.5.5. Let L be a closed linear subspace, invariant with respect to a
self~adjoint operator A. Denote by a 1 (A) and o- 2 (A) the spectra of the re-
Tlu!orem 6.5.9 The lower and upper bounds, m and M, of a self-adjoint striction of A to Land L \respectively. Prove that a(A) = u 1(A)v o-z(A).
operator A belong to the spectrum of A. [Hint: Prove o-(A) c: o- 1(A) u o- 2 (A) by using Lemma 6.5.5, and prove
o-(A);:::, o- 1(A)u aiA) by using Corollary 6.5.6.]
ProofBy definition of M, there exists a sequence {x.} in H such that
=M-o., o. 2 0, o.. -> 0. Let y >max (IMI,Iml). The
llx.ll = I, (Ax x.)
upper bound of A + yl is M + y and the lower bound of A+ yl is m + y. 6.6 POSITIVE OPERATORS
Since M + y 2m+ y > 0, it follows, by Theorem 6.5.1, that the norm of
A+ yl is equal to M + y. Hence II(A + yl)x.ll s (M + y)llx.!! = M + y. We A self-adjoint operator A is ca!led positite if (Ax,x) 2 0 for all x E H.
now have If A is positive, then we write A 2 0. If A and B are self-adjoint operators
I Ax.- Mx.ll 2 = II(A + yl)x.- (M + y)x.ll 2 and if A - B 2 0, then we say that A is larger than B and that B is smaller
2 2 than A, and write A 2 B and B ~A. Note that for any bounded linear
= II(A + yJ)x.ll 2 + (M + y) llx.:: - 2(M + y)
operator T, TT* and T*Tare positive operators.
x ((A + yl)x,.,x.)
s (M + y) 2 + (M + y) 2 - 2(M + y)(M - b. + y)-> 0 Lemma 6.6.1 Let A be a posit ire operator. Then there exists a sequence
if n-> oo. of operators An, which are polynomials in A with real coefficients, such that
 POSITIVE OPERATORS 223
222 HILBERT SPACES AND SPECTRAL THEORY

Corollary 6.6.3 If {A.} is a monotone-increasing sequence of self-

the series LA~ is strongly convergent to A-that is, for any x E H,
adjoint operators that commute with each other (that is A.A,.. ~ A,..An for all
ro
m,n), and if B is a self-adjoint operator that commutes with each An and that
Ax~ L
n~l
A~x. (6.6.1) satisfies A. ::;; B for all n, then there exists a self-adjoint operator A such that
{An} converges strongly to A.
Proof We may assume that A#- 0. Let
Proof The operators T. = B- A. are positive and monotone de-
A
B, = jjAj[' (n = 2,3, ... ). creasing, and they commute with each other. By Corollary 6.6.2, if m < n,
(T,. - T,)T, ;,:: 0,
The Bn are clearly self-adjoint and B. Bk = Bk B. for all k, n ;,:: I. We claim
that It follows that, for any x E H,

(6.6.2) (T!x,x) 2 (T., T.x.x);,:: (T;x,x).

For n = 1 this is obvious. Proceeding by induction, we shall assume that
Thus {(T,; x,x)} is a monotone-decreasing sequence of nonnegative numbers.
(6.6.2) holds for n ~ m and prove it for n ~ m + I. Since
It therefore has a limit, and
[B~(l- B.,)x,x] ~ [(J- B,)B,x,B,x];,:: 0,
lim (T, T.x,x) = lim (T!x,x).
m-+oo
[Bm(I - B,/x,x] = [B,(I - B,)x,(I - B,.)x] 2 0,
Hence
it follows that B~(I - B,) 2 0, B.,(I - B.,) 2 ;,:: 0. Hence
II T.,x- T.xll 2 = ((T.,- T.ix,x) = (T~x,x) + (T;x,x)- 2(T,. T. x,x)-+ 0.
B.,.+ I = B:0(J - B..) + B,(I- B,) 2 2 0.
If m,n-+ oo. Since {T,.x} is a Cauchy sequence, it has a limit. But then also
Since also I - B,+ 1 = (1- B,) + B~ 2 0, the proof of (6.6.2) for n ~ m +1 Ax~ lim A..,x exists. It is easily seen that A is self-adjoint.
is complete.
We have the relations:
n Definition A square root of a positive operator A is a self-adjoint
L
m:;:;;:l
B~=B,-B.+,:s:B,. (6.6.3) operator B satisfying B 2 =A.

Therefore,
n Theorem 6.6.4 Every positi11e operator A has a unique positive square
L
m~l
(B, x,B,x) s (B 1 x,x). root B. B commutes with any bounded linear operator that commutes with A.

It follows that liB, xll -+ 0 as m-+ oo. Consequently, (6.6.3) gives Proof Suppose first that A.:<:;; 1. Set B0 = 0 and

as n-+ oo. B.+t ~B.+ !(A- B;) (n ~ 1,2, ... ). (6.6.4)

The B. are self-adjoint operators and (since they are polynomials in A) they
This yields the assertion of the lemma with An ~ J I! Alf B. commute with any operator that commutes with A. We have
(6.6.5)
Corollary 6.6.2 If A and B are positive operators and if AB = BA,
then AB is positive. From this relation we obtain
(6.6.6)
Proof B commutes with each An. Hence
From (6.6.5) it follows that B,::;; I for all m. From (6.6.6) it follows by
(ABx,x) = f (BA;x,x) = f (BA.x,A.x) 2 0. induction that B. s B.+l for all n. By Corollary 6.6.3 there exists a self-
~l ~
224 HILBERT SPACES AND SPECTRAL THEORY POSITIVE OPERATORS 225

......
adjoint operator B such that lim B,.x = Bx for any x E H. Applying both To prove (iii), note that, for any x E H,
sides of (6.6.4) to x E H, and letting n--> oo, we obtain
(A - B)(A + B)x = (A 1 -
2
B )x = 0.
Bx = Bx + }(A 2
- B )x
1
Hence (A + B)x e L. It follows that P(A + B)x =(A + B)x-that is,
-that is, 8 =A. Since each B" is positive, also B is positive. Since each
P(A + B)= A + B. Since (compare Lemma 6.5.3) the null space of A - B is
B" commutes with every operator that commutes with A, the same is true
orthogonal to the range of A - B, P(A - B) = 0. Hence
of B.
We have assumed, so far, that A :::; I. In the general case we consider P(A +B)- P(A- B) =A+ B
the operator e1 A, where e > 0, e2 il A I < I. Then e2 A :::; I, and it therefore
has a positive square root B'. Take B = 8'/e. -that is, A = (2P - l)B.
To prove uniqueness, suppose D is another positive square root of A. We shall use Lemma 6.6.5 to prove the following result, which will be
Since A= D 2 ,D commutes with A. Hence B commutes with D. For any of fundamental importance for the development of the spectral theory given
x E H, let y = (B- D)x. Then in the next section.
(By,y) + (Dy,y) = ((B + D)y,y) = ((B + D)(B- D)x,y)
Lemma 6.6.6 For any self-adjoint operator A there exists a projection
= ((B 2 - D 2 )x,y) = 0. E+ having the following properties:
Since (By, y) 2 0, (Dy, y) 2 0, it follows that (By, y) = (Dy, y) = 0. Let (i) any bounded linear operator that commutes with A commutes
C be a positive square root of B. Then
also with E + ;
I C..vll 2 = ( C 2 y,y) = (By,y) = 0. (ii) AE+ 2 0 and A(\ - E+):::; 0;
(iii) If Ax = 0, then E+x = x.
Hence Cy = 0. We conclude that By= C(Cy) = 0. Similarly, Dy = 0.
Therefore
Proof. Let B be a positive square root of A 2 and let E + be the pro-
IIBx- Dxll 2 = ((B- D?x,x) = ((B- D)y,x) = 0 jection operator on the null space of A -B. Then (i) and (iii) follow from
-that is, Bx = Dx. Since x is a~bitrary, B = D. Lemma 6.6.5. This lemma also gives A= (2+ - I)B. Hence

Lemma 6.6.5 Let A and 8 be self-adjoint operators, and let AB = BA,

A 2 = 8 2 . Denote by P the projection operator on the null space L of A- B.
Then Now use Corollary 6. 6. 2 to conclude that A E + 2 0, A (I - E +) :.-:;; 0.
(i) Any hounded linear operator that commutes with A- B commutes
Definition We write A+ =A+ and call it the positire part of A.
with P;
Similarly we write A_ =A(!- E+) and call it the negath,e part of A. We
(ii) Ax= 0 implies Px = x;
have A = A+ + A_.
(iii) A = (2P - I)B.
Notice that A+= HA +B), A_= i(A- B).
Proof Let D be any bounded linear operator that commutes with
A- 8. If J' e L, then Dye L, since (A- B)Dy = D(A - B)y = 0. Therefore PROBLEMS
DPx E Lfor any x EX. Hence PDPx = DPx-that is, PDP= DP. Since D
also commutes with A- B, np = PDP. We then get 6.6.1. Find the positive square root of the operator (Ax)(t) = a(t)x(t)
in L 2 (0, 1), where a(t) is a nonnegative function.
PD = (DP) = (PDP) =PDP= DP. 6.6.2. Find A +>A_ for the operator A defined in Problem 6.6.1.
This proves (i). To prove (ii), suppose Ax= 0. Then 6.6.3. If PL and PM are projections, then PL :.-:;;PM if and only if
LcM.
I!Bxi: 2 = (Bx,Bx) = (B 2 x,x) = (A 2 x,x) = IIAxll 2 = 0. 6.6.4. If A is a self-adjoint operator and if - ryl s A :::; ryl for some
Thus Bx = 0. Therefore also (A - B)x = 0. It follows that Px = x. ry > o,then \lA I :::; fl
226 HILBERT SPACES AND SPECTRAL THEORY SPECTRAL FAMILIES OF SELFADJOINT OPERATORS 227

be the partition whose points are obtained by combining the points that
6.7 SPECTRAL FAMILIES OF SELF-ADJOINT occur in both partitions II 1 and IT 2 We shall estimate IISrr- Srr,ll.
OPERATORS Let IT 1 be given by 20 < 21 < < ..1.. and Jet IT be given by
Let {E.d be a family of projections for -co < l < co satisfying the ..1.o < 2o,t < ... < 2o,tn = 2, < A.t.t < ... < A.,,k, = 12 < ... < 2.-t.k.-t = 1.
foJlowing conditions: In Srr, there occur the points J.lt :::;; J.1 2 :::;; :::;; 11. with J.ik E Pt-t>lJ. Anal
(a) E ... s;;EI'if.l.<J.i; ogously in Sn there occur the points
(b) EA is strongly continuous from the left-that is,
llo,J :::;; J.lo,2 :::;; .:::;; J.l.o,t 0 ~ J.I.Lt :::;; J.l.1,2 :::;; :::;; 11t,k 1 :::;; J.l2,1 : : : ; :::;; J.l.-1,kH- 1
for any x E H;
We have
(c) EA = 0 if 2 < m, EA =I if 1 > M. Srr =
n-1
L L
'
f(J.I.;)[(1;)- E(A.;,j- t}],
;-o i-t
We call such a family of projections a spectral family or a resolution
of the identity. .where . 1. 0 , 0 = 10 ..i.t.o = . 1. 1 , ... .1.-t.o = ..1.,._ 1. We can write Sn, in the form
Let/{..1.) be a continuous complex-valued function form:::;; . 1. ~ M. We n-1 ii
extend/(1) toM < ..i. < M + l so that the extended function, which we again Srr, = L L f(I1;+J)[E(l;,)- E(J.;.j-1)].
denote by /{..1.), is continuous form :::;; 1 < M + I. We shall define an integral i=O j-1

M+ Since 111;+ 1 J.id < o, we have

J f(A.) dE.._ (0 < e < 1).
-

"'
Take IT to be any partition of [m,M + e]: m = . 1. 0 < 11 < <
Hence
1.-t < 1. = M +e. Let ak = (..1.,._ 1 ,1t], E(at) = E(.-1.")- E(}."_ 1) and take
points Jl.k in &,.. Form the sum n-1 '
Srr, :::;; Sn + fl L I
i-0 j= 1
[E(1;)- E(2;,j- 1 )] = Sn + fll.
Srr = I" f(J.I,.)E(a,.).
Similarly Sn:::;; Sn, + fll. Hence -fll s;; Srr- Sn, s;; fll. It follows (compare
t-1
Problem 6.6.4) that IISn- Sn,ll s;; fl. Similarly IISn- Srr,ll s;; fl. We conclude
Denote by III I the mesh of IT-that is III I = max (..1." - 1,._ Jl.
k that IISn,- Sn,ll :::;; 2fl. Thus S = lim Sn exists, in the uniform topol-
IIII~o

ummo 6.7.1 If IIII-+0, Sn converges, in the uniform topology, to a
bounded linear operator S that is independent of (i) the continuous extension
off; (ii) the choice of; (iii) the choice of the points Ilk
Note that the limit of Sn, as III I -+ 0, is taken in the following sense:
o
for any f1 > 0 there exists a > 0 such that IISn - Sll < fl whenever !Ill < /5.
We write
ogy. Furthermore, S is independent of the choice of the points llt Since
EA - E, = 0 if M < J1 < ..1., it is readily seen that S is independent of the
choice of e and of the extension off This completes the proof.
Note that I= J~+ dEw
We now state the main result of the present section.
Theorem 6.7.2 To e!;ery self-adjoint operator A there corresponds a
unique family {Ed of projections, - oo < 1 < oo, satisfying the following
conditions;

and call it the integral off with respect to the spectral family {El}. (i) Any bounded linear operator that commutes with A commutes
also with the E~;
Proof It suffices to consider the case where f(..l.) is real-valued. For (ii) E~ s E, if A. < J..l;
o.
any f1 > 0 there exists a b > 0 such that lf(..l.) - f(..1.')1 < f1 if 1..1. - ..1.'1 < (iii) E~ is strongly continuous from the left-that is, for any x E H,
Let II1 ,II 2 be two partitions of [m,M + e] with lll 1 1< /5, III 21< o. Let II lim E~x = E~x. Furthermore, E~+oX =lim E~x exists for any x E H.
~I'~ A':,p
 228 HILBERT SPACES AND SPECTRAL THEORY SPECTRAL FAMILIES OF SELF-ADJOINT OPERATORS 229

(iv) El = 0 if A. < m and E, = I if A. > M, where m and M are the decreasing function of i.. Therefore lim (E., x,x) exists. It follows that
lower and upper bounds of A; Ai'l'
(v) A is gi~en by I E, x - E;. x II~ = ((E, - E;.)(E,. - E;.)x,x) = ((E. - E.,)x,x)....,. 0
if . 1. < v < fl, }, ....,. 11 Thus
(0 < e < 1). (6.7.1)
lim E;.x = EroX exists.
.l;'p
The family {;.} is ca11ed the spectral family of A, or the resolution of
the identity corresponding to A. Similarly,
lim E;.x = Eu+oX exists.
Proof Denote by +(..1.) the projection operator constructed by '"'-~'
Lemma 6.6.6 for A - J.I. The operators E.,= 1- +(..1.) are projections. We 'fo complete the proof of (iii) it remains to show that the operator E(L\ 0 ) =
s~all prove that they satisfy the conditions (i)-(v). Since +(..1.) commutes E~- E~-o is zero.
w1th any operator that commutes with A, the same is true of .. Hence (i) For any x E H,
is satisfied. In particular it follows from (i) that E;. E,_. = ,.."for Aall )., 11 .
To prove (ii), let J. < 11 and set P = E~(I - ~'). We have as ), /' 11

From (6.7.4) we then conclude that the operator pE(8. 0 ) - A(8. 0 ) is both
(6. 7.2)
positive and negative. Hence (cf. Problem 6.6.4) 11(8. 0 ) - A(8. 0 ) = 0.
From the definition of E;. we also have Hence, for any x E H, and y = E(8. 0 )x, (A - pl)y = 0. By the assertion (iii)
of Lemma 6.6.6 we conclude that E~' y = 0-that is, E~E(8. 0 )x = 0. Hence
(A - J.I)E;.:::; 0, (6.7.3)
E(8. 0 )x =lim E(h..)x =lim E~ E(L\)x = E~ E(A0 )x = 0.
Take any x E Hand let y = Px. Then (6.7.2) implies that A/'~ .!i'l'

EJ.y = E.,Px = Px = y
and, similarly, {1 - E~')y = )'. Using (6. 7.3), we get
((A - A.l)y,y) =((A - AI)E;, y,y).::::; 0,
((A - pl)y,y) =((A - 111)(1 - E,.)y,y) 2 0.
It follows that (A- 11)(y,y) 2 0. Since ). < J.l, (.v,y) :::; O~that is, Px = .v = 0.
We have thus proved that P = O~that is, E;. = E;. Ew But this implies
(compare Problem 6.6.3) that E.,.::::; Ew Thus (ii) is satisfied.
Let . 1. < J.l, 8. = [.l.,p],(8.) = E~'- E.,. Then
E~E(A) = (8.), (f- ;,)(8.) = (8.).
Therefore, by (6.7.3) (with . 1. and 11 interchanged) and the fact that (8.) ~ 0,
We have thus proved that E(A 0 ) = 0. This completes the proof of (iii).
To prove (iv), let A < m and suppose that E;. # 0. Then there exists a
point x E H such that E;.x - 0. Let y = E;.x. We may assume that IIYII = 1.
Then
(Ay,y)- l =((A- J.I).v,y) =((A- U)E;_y,y) .:$0
by (6.7.3). Thus m s (Ay,y) s ..1.-a contradiction. Thus E;. = 0 if A< m.
Suppose next that ), > M. If E;. -1= !, then there exists a point x E II such that
z =(I - E;.)x -1= 0. We may assume that llz',l = 1. Then
(Az,z)- A= ((A - ..ll)z,z) =((A- ..1.1)(1- E;.)z,z) ~ 0
by (6.7.3). Hence M ~ (Az,z} ;;::: J.~a contradiction.
We shall now prove (v). Take a partition

(A - pi)(8.) =(A - J.l/)~' E(h..) ::<:;; 0, m = Ao < . 1. 1 < < /."_ 1 <A"= M +c (0 < r. < 1),
(A - ).I)E(d) =(A - Al)(J - ..)(8.) ~ 0. and set 8.x = (;x-t.Ak], E(Ak) = E(Ak)- E(..lk- 1 ). From (6.7.4) and the
Consequently, relation I= " (8.x), we get
L
k~ I
A(8.) .::::; A E(h..) ::--; p(8.). (6.7.4) n n

We shall now prove (iii). Let x E H. Then, by (ii), (E.,x,x) is a non-

L
k~l
;_k-!E(h..k) s A :$ L
k-l
Ak E(h..k)-
 230 HILBERT SPACES AND SPECTRAL THEORY SPECTRAL FAMILIES OF SELF-ADJOINT OPERATORS 231

Now take a sequence of partitions with mesh going to zero and use Lemma To prove (6.7.6) we take sums S 0 = Lp(p.)(6l) that converge to
6.7.1. p(A) as ITII-+ 0, and notice that
It remains to prove uniqueness. Before proving it, we shall establish (Sn x,x)-+ (p(A)x,x),
the following lemma.
M+e
(S 0 x,x) = L p(tlk)(E(AA)x,x)-> ( p(A.) d(E.J.x,x),
m
Lemma 6.7.3 Let A be a self-adjoint operator and let {Ed satisfy
as ITII->0.
(i)-{v). Then ,for any polynomial p(l),
We can now prove the uniqueness assertion of Theorem 6.7.2. Suppose
,M+e {Fl} is another family satisfying (i)-{v). By Corollary 6. 7.4, for any poly-
p(A) = jm p(}.) dE;.- (6.7.5) nomial p(l)
M+

n
Proof For any '1 > 0 there is a o> 0 such that any finite sum S = J.. p(.l.) du(A) = 0, (6.7 .7)

L
kM\
Ak E(~,J with max V..
k
- ..1.k_ 1 ) s o satisfies where a(A.) = (Elx,x)- (Flx,x) is a function of bounded variation. Since
n any continuous function can be approximated uniformly by polynomials, we
IIA-2: .l.kE(~k)ll::s:'l, obtain (using Problem 2.11.10) the relation (6.7.7) for any continuous
k~l
function p(.l.). Since a(m) = 0 and since a(.l.) is continuous from the left, it
or, n
follows (by Problem 4.14.3) that u(.l.) = 0. Thus (.. x,x) = (F, x,x). The
II [A - 2: ).kE(8.k)f II ::s: '1 2 operator El - Fl is self-adjoint, and we have just proved that its lower and
k~l
upper bounds are equal to zero. Hence, by Theorem 6.5.1, E.~- Fl = 0.
Thus
This completes the proof.

IIA
2
+ Lt AkE(Ak)]
2
- 2ASII $ 2
1j
define
Not11.tion Let f(A.) be any continuous function for m sA sM. We
Using the relations

E(Ak)E(Ai) = (El"- E;.._,)(E;.,- E~ 1 _) = 0

f(A) = f..
M+e
f(.l.) dE;.. (6.7.8)

2
if k '# j and liAS- A 11 ::s:IIAIIIJ. we find that From Lemma 6.7.3 it follows that if f(.l.) is a polynomial I: a. A.", then
n
L
f(A) = a" A".
I: lfE(Ad II::;;
II A 2 - kMI Clj.
One easily gets, by the argument used in proving Corollary 6.7.4,
M+
=J
2
This gives (6.7.5) with p{J.) = ..1. . Similarly one can prove by induction that
(6.7.5) is valid for p(A) =A", n any positive integer. From this (6.7.5) follows
f(A)x
.. f(.l.) dE.J.x, (6.7.9)

M+<
for any polynomial. (f(A)x,x) =J f(.l.) d(E .. x,x). (6.7.10)
"'
Corollary 6.7.4 For any x e Hand for any polynomialp(J..), Theorem 6.7.5 Let f(J..), f1 (J..), fi11.) be continuous functions and let
M+e a1 ,a 2 be scalars.
(p(A)x,x) = J p(.l.) d(E.J.x,x). (6.7.6) (i) If f(l) = a 1f 1(J..) + a 2 f2 (l), then f(A) = a 1f1 (A) + al2(A).
"' (ii) Jff(J..) = f 1 (J..)f2(J..), then f(A) = f 1(A)fiA).
The integral on the right is defined analogously to the definition of (iii) [f(A)]* = i(A), where l'(J..) = f(l).
dE;.. Since (E~x,x) is monotone nondecreasing, this integral coin-
J::!+ p(J,) (iv) llf(A)II s max lf(J..)I iff is real-ralued.
,.,,;;l,;;M
cides with the Riemann-Stieltjes integral (defined in Problem 2.11.8).
232 HILBERT SPACES AND SPECTRAL THEORY THE RESOLVENT OF SELF-ADJOINT OPERA TORS 233

(v) If B is any bounded linear operator that commutes with A, then B 6.7.2. LetA be a self-adjointoperatorand let {Ey} be its spectral family.
also commutes with f(A). Then, for any continuous functions f,g,

M +
Proof
E with
Consider partitions IT: m = . 1. 0 < }. 1 < < ..1..- 1 < ..1..
IIII-+ 0, and let E(Ak) = E;.k- E;.,_,. Then
= ( t M+e
f(J.) dE~.x, L
M+<
g(..l.) dE;.x =
)
t .M+e
f(..1.)g(..1.) d(E, x,x).

n " 6.7.3. A compact self-adjoint operator in a Hilbert space H has at

ad1(A) + ad(A) = lim I ad1().k)E(A,) + lim I a2 j 2 ()..)E(Ak) least one eigenvalue.
lfli~Ok~t JOJ~Ok~t
6. 7.4. Denote by N ... the space of all solutions of (A - ?.J)x = 0, A
n
= lim I 1 [aJtCAk) + a2J2(..l.k)]E(i1d self-adjoint. Denote by N the closed linear subspace spanned by the class
lfll ~o k~ of all su bspaces N;.. If all the points of the spectrum of A are eigenvalues,
n and if N = H, then we say that A has a pure point spectrum. Prove that a
= lim
jnJ~o k~t
I f(..1..)E(a.) = f(A). compact self-adjoint operator A has a pure point spectrum. [Hint: A(N) c: N,
hence A(Nj_) c: Nj_. lf Nj_ =1- 0, then A has in Nj_ an eigenvector x 0 .]
This proves (i). To prove (ii), note that E(A.)E(A) = 0 if k =1- j. Hence 6. 7.5. Let A be a self-adjoint operator in a separable Hilbert space,

ft(A)f2(A) = t~\~o ktt ft(..l.dE{Ad} { 1 ~~ 0 ,.t fz(A..)E(A)}

having pure point spectrum. Then there is an orthonormal basis {xn} of
eigenvectors. Denote by ..1.. the eigenvalue corresponding to x . Denote by
P. the projection P.x = (x,x.)x . Then P.P., = 0 if n # m. Prove, without
= lim
Jn]~ok~li~t
L" L" ft(..1..)f2(..1.;)E(Ak)E(A 1) using Theorem 6.7.2:

x = L"' (x,x.)x. = I"' P.x;

= lim L" f(..1..)E(Ak) = f(A). n= 1 n= 1
JTI]~ok~t

The assertion (iii) follows from Ax = L"'

n= 1
A..(x,x.)x. = I"'
n= 1
A" P" x;

= l:f(..t.)E(A.).
[Lf(..1..)E(A.)]"'
To prove (iv) note thatf(A) is self-adjoint. Also, by (6.7.10),
(Ax,x) = f
n=l
..1.. ](x,x.)l 2 = f
n=l
..1..( P. x,x).

If d = inf 1..1.- ..lnl > 0, then

l(f(A)x,x)l =II:+ f(/..) d(E;.x,x)l:::; {.._;;~:;+, 1/(..1.)1} s:+ d(E;.x,x). n

1
Since the last integral is equal to I x II, we obtain, upon taking B -+ 0, R(/..;A)x = J:"' (x,x.). 1. x. = J:"'
1
..1.. _
1
;" _ . 1. P.x;

sup l(f(A)x,x)l :::; max 1!(..1.)1. . 1

JJxJJ ~ 1 m.;;J._;; M IIRV;A)II:::; d.
Now use Theorem 6.5.1.
The asse~tion (v) follows from the fact that 8 commutes with each 6. 7.6. Find the spectral family of the operator (Ax)(t) = tx(t) m
operator E-.. L 2 (0, 1).

PROBLEMS
6.7.1. Let A be a self~adjoint operator and let {E;.} be its spectral 6.8 THE RESOLVENT OF SELF-ADJOINT
family. Let E(A) = E(JJ) - E(o:), where o: < p. Prove that for any continuous OPERATORS
function /(..1.),
Throughout this section A denotes a self-adjoint operator in a Hllbert
E(A) [ f.. M+<
j(..1.) dE.<
] p
= { j(..l.) dE;,. space H. The lower and upper bounds of A will be denoted by m and M,
respectively. We denote by o{A) the spectrum of A and by p(A) the resolvent
234 HILBERT SPACES AND SPECTRAL THEORY THE RESOLVENT OF SELF-ADJOINT OPERATORS 235

of A. Recall that A E p(A) if and only if the resolvent R(l;A) = (U- A)- 1 We shaJI now prove the converse of Theorem 6.8.1.
exists (as a bounded linear operator in H).
By Theorem 6.5.8 the resolvent exists for all complex A not in the reaJ Theorem 6.8.2 If /.. 0 E [m,M] and R(/.. 0 ; A) exists, then there exists
interval [m,M]. By Theorem 6.5.9, the resolvent does not exist at the points an interval (et,IJ) such that et < ). 0 < !i and ~ = const. for all et < A < fJ.
A= m and A= M-that is, m and M belong to a(A). We shaJI characterize,
in this section, the points A of [m,M] for which R(A;A) exists-that is, the Proof. Let A= [a:,,B] be an interval with . 1. 0 as its midpoint, and let
points A which belong to p(A). E(&) = E({J) - E(a:). Applying R().0 ;A)E(.6.) to both sides of the identity
Theorem 6.8.1 Let J... 0 E [m,M]. If there exists an interval (et,fJ) with
et < J... 0 < IJ, such that E~ = const. for et < ). < IJ, then ). 0 E p(A) and
(A- A0 I)x = f..
M+<
(A- A0 ) dE,.x (x E H),

we obtain (compare Problem 6.7.1)

R(A0 ;A)= f M+t
1/l(A)dE,., (6.8.1) p
"'
where w(J...) is any continuous function satisfying W(A) = 1/(J... - Ao) if ). s; Ct
E(.6.)x = R(A0 ;A) f (A- A
~
0) dE,.x.

and if J... :<:= fJ. Hence

Proof. It is easily seen that if f(A),f(A) are continuous functions, and

and if /(A) =](A) for A s; a: and for l :<:= ,B, then
IIE(A)xll $ IIR(..1.0 ;A)II \1( (A- Ao) dE;.x II
By Problem 6.7.2,
f M+<
/(A) dE;. = f M+t
](A) dE,.. (6.8.2) 2

Consider now the integral

"' "' \\:(A- Ao) dE;.x \r = ( p- A0 )z d(E ... x,x)::;: (J~ ~ et) ( d(E,.x,x)

R = I.. M+
1/1(1) dE,..
= (,8 - a:) IIE(Ii)xll 2
4
By Theorem 6. 7.S(ii), Hence

R(A - 10 I) = (A - lol)R = ., f.
M+<
1/l(A)(A - A0 )d,.. IIE(A)xll ::;: fJ; a IIR(..1.0 ;A)IIIIE(Ii)xll.

By the remark of (6.8.2), the last integral is equal to I. This proves the
If (,8 - a) < 211 R(A 0 ;A) 11- 1, then II E(A)xll = 0-that is, E~ =const. for
theorem.
a < . 1. <,B. This completes the proof.
The integral So far we have characterized the points of the spectrum as follows:
M+ dE;. ,1. E u(A) if and only if Ao E [m,M] and there is no open interval containing
f"' . 1. ~ Ao
0
A0 on which El is constant. We shall now characterize the eigenvalues of A.
for l 0 E [m,M] has not been defined, since 1/(A- A0 ) is not continuous. Theorem 6.8.3 A point ). 0 in [m,M] is an eigenwlue of A if and only
However, under the assumptions of Theorem 6.8.1 it can be defined as a ifE~ is discontinuous at/...= A0 -that is, EJ.o+O =F-E._,.
limit of sums corresponding to partitions II, III I-> 0, provided we agree to
take (p.k- A0 )- 1 E(Iik) = 0 whenever E(Ak) = 0 (even when Ilk= A. 0 ). With Proof. Suppose ). 0 is an eigenvalue and let Ax0 - ..1. 0 Xo = 0, Xo =F- 0.
this agreement one then easily verifies that Then ((A - } 0 !) 2 x 0 ,x 0 ) = 0. It follows that
.M+t dE;.
jm ,----;- JM + (A - }. 0 ) 2 d(E;. x0 ,x 0 ) 0.
R(A 0 ;A)=
A - Ao
(6.8.3)
.. =
236 HILBERT SPACES AND SPECTRAL THEORY EIGENVALUE PROBLEMS FOR DIFFERENTIAL EQUATIONS 237

Since the integrand is non ncgat ivc and (E). x 0 , x 0 ) is nondecrcasing, PROBLEMS
~.U+l:
6.8.1. Letf(l) be a continuous function of J., with values in a Banach
I (}.- ).
... lo +~
0)
2
d(E;. X 0 ,x 0 ) = 0 for any IJ > 0.
space X, where ). varies in an open set G of the complex plane. Let r be a
continuously differentiable curve in G. Show that the contour integral
Since ic - i. 0 ;;:,: IJ in the last integral, we get Jr f(l) d). can be defined in the same way as for complex-valued functions
...\f ...... i!: J
f(l). If r is oriented counterclockwise, then we write r f(l) d). also in the
I d(E;_ X 0 .XO) = 0, Ur
form r f().) d)., Prove: If A is a bounded operator in X, then A f(A) dl] =
)o~~
Jr [A/(..1.)] die.
-that is, (x 0 ,x 0 ) - (E;.o+~x 0 ,x 0 ) = 0. Thus 6.8.2. Let T be a bounded linear operator in a Banach space X and
let r be a continuously differentiable simple closed curve containing the
ii(J- E; 0 +~)xoll =((I- E; 0 +q)x 0 ,x 0 ) = 0.
2

spectrum t1(T) of Tin its interior. Let f(J.) be an entire complex analytic
It fol!ows that (I - E." +~)x 0 = 0-that is, EJo .._~ x 0 = x 0 Similarly we obtain function. Define
E;. 0 -~
x 0 = 0. Taking IJ-+ 0, we find that 1
f(T) = - . J, j(A)R(2;T) dA. (6.8.5)
(6.8.4) 2l!l j r

Hence, E~, 0 + 0 =!- E).o Use Cauchy's theorem to show that the definition is independent of r. Prove
Suppose, conversely, that E;_ 0 +o =!- E).o Since , 0 :::;; F).o+O there exists that iff(..l) = r, thcnf(T) = rn. [Hint: R(..l;T) =Iympm+l.]
a point x 0 =!- 0 that belongs to the subspace of the projection E,o+ 0 but 6.8.3. Let f,g be entire complex analytic functions and let a.,p be
that is orthogonal to the subspace of the projection E).o Thus sea Jars. Prove:
(i) (a.f + [Jg)(T) = a.j(T) + {Jg(T).
(ii) (fg)(T) = f(T)g( T). [Hint: Modify the contour r for g(T),
We then also have , x 0 = x 0 if J. > ). 0 . Hence replacing it by a contour r 2 that contains the contour r = r I for f( T), and
use (5.3.1 ). ]
E(!1)xo = -"o (iii) [f(T)]* = f(T*), where j(A) = j(.t).
where IJ > 0. We deduce that 6.8.4. If T is self-adjoint, then f(T) as defined in (6.8.5) coincides
;_o+lJ with.f(T) defined by J~+ f(A) dE,, where {E.,} is the spectral family ofT.
Ax 0 = AE(L1)x 0 = r
... ;.o
}. dE;,X 0 6.8.5. If A is self-adjoint with upper boun9 M, and if Re ic > M, then

Also.
..O.o+:tt
;,oXo = i,o E(Mxo = r
... ;_0
,:0 dE, Xo .

6.9 EIGENVALUE PROBLEMS FOR DIFFERENTIAL

Therefore.
EQUATIONS
1;2
'; Ax 0 - i 0 x 0 ll
2
=
.-<o~~

1 J. ~o
(/,- i. 0) dE;. x 0 I = J.. .<n+~

Au
2
( l - i- 0 ) d(E!. x 0 ,x 0 ) Let A be a compact self-adjoint operator in a separable Hilbert space
2 2
If. From Problems 6.7.4, 6.7.5 we know that there exists an orthonormal
:::::: '1 li(1'1)xll .
basis {xm}, where Xm are eigenvectors.
Since IJ is arbitrary, Ax 0 - / 0 x0 = 0. This completes the proof. We shall consider now the case where A is an integral operator in
L2(0:):
Corollary 6.8.4 The space of the eigemectors corresponding to ).0 (Af)(x) = j' K(x,y)f(y) dy. (6.9.1)
coincide.\ with the subspace of the projection operator El-o + 0 - E).o !l
238 HILBERT SPACES AND SPECTRAL THEORY
EIGENVALUE PROBLEMS FOR DIFFERENTIAL EQUATIONS 239
Here f.!: is a bounded open set in R~. The function K(x,y) is called a kernel.
If K(x,y) is measurable in f.!: x f.!: and if where g,. = (g,(jJ,.). By Bessel's inequality

II (! (!
2
IK(x,y)l dx dy < oo,
(6.9.5)

The function K(x,y) as a function of x, has the Fourier coefficients

then A is a compact operator in L2 (0) (see Problem 5.1.4). Further, it is
easily verified that A is self-adjoint if and only if the kernel K(x,y) is symmetric
-that is, K(x,y) = K(y,x).
I K(x,y)(/Jm(x) dx = I K(y,x)(jJ,.(X) dx = A.,. (/Jm(y).

We shall assume from now on that K(x,y) is symmetric, that n is a Hence, by Bessel's inequality,
bounded open set, and that

sup r 2
IK(x,y)l dy < cc. (6.9.2)
,,t IA-..1 1(/J,.(YW I
2
:S jK(x,yW dx :S C < oo, (6.9.6)
n a
where Cis a constant. Using (6.9.5), (6.9.6) we get, for j > i,
The eigenvectors of A are functions in L2 (0). We therefore call them also
1 j
eigenfunctions. I Jcm(j),.(x)l = L l..1.,.g..,(/Jm(x)l
Since A is compact and self-adjoint, it has an orthonormal basis of m=.i

eigenfunctions {x,.} with eigenvalues {.u,.}. Some of the eigenvalues .u~ may j "'
be equal to zero. We shall denote by{(/!,.} the subsequence of {xm} consisting :S I
m.r:::i.
lgm1 2 L
m ... l
2
1..1... 1 1(/J,.(XW
of those eigenfunctions with non-zero eigenvalues. We arrange the (/J., in
such a way that the corresponding eigenvalues .A.,. satisfy: 1..1... I ~ 1..1., + 1 1.
The sequence {(!).,.} may be finite or infinite.
The following theorem is called the Hilbert-Schmidt theorem. if i .... co. This proves (6.9.4).
We shall give an important application in case n is a bounded open set in
Theorem 6.9.1 Let f E L 2 (f.!:) have the form f = Ag-thar is, R 1 . Consider the ordinary differential operator

f(x) = Io K(x,y)g(y) dy [g E L2 (0)]. (6.9.3)

Lx = p0 (t) df
d~x
+p 1
d"- 1 x
(t) dt"-' + + Pn(t)x
Then the series L cmcpm [c., = (f,ljl.,)] conFerges uniformly and absolutely
to f(x). with complex-valued coefficients p/t) in C"- 1[a,b], and with p 0 (t) =f. 0 for
all t E [a,b]. Here - oo <a< b< oo.
Proof Note that f is orthogonal to the null space of A. Hence the Let MikNi,(l :S j :S n, 1 :-::; k :S n), be complex numbers and consider
series I c"' rp,., converges to fin L2 (0). If we prove that the boundary operators

I lc,1,0,(x)l is uniformly convergent, (6.9.4) Uix = f

k~ I
[Mi~x<k- 1 \a) + Nikx<k-ll(b)] (1 :Sj :-::; n).
then the assertions of the theorem follow. Of course we shall assume here
that the series consists of an infinite number of terms. We have We denote by Ux the vector (U1x, ... ,U.x). Consider the problem of solving
Lx=..1.x (a< t <b), (6.9.7)
c.,= If(x)~) =II dx K(x,y)g(y)(jJ,(x) dy dx
Ux=O, (6.9.8)

= I IK(y,x)(/Jm(x)
g(y) dx dy where ..1. is a complex number. We call this problem an eigenvalue problem.
Lis called self-adjoint if

=A..,J =
g(y)(/J .. (y) dy A.mg,.,
(Lu,v) = (u,Lv) (6.9.9)
for all u,v in C(/(a,b). The pair (L, U) is called self-adjoint if (6.9.9) holds for
240 HILBERT SPACES AND SPECTRAL THEORY EIGENVALUE PROBLEMS FOR DIFFERENTIAL EQUATIONS 241

all u,v in C[a,b] for which Uu = 0, Uv = 0. We then say that (6.9.7), (6.9.8) Applying the Hilbert-Schmidt theorem we conclude:
form a self-adjoint eigenFalue problem. If the eigenvalue problem (6.9.7),
(6.9.8) has a solution x(t) 0, for some J., then we call). an eigenvalue and Theorem 6.9.2 Euery function u in C"[a,b] that satisfies Uu = 0
x(t) an eigenfunction. can be written in the form

PROBLEM
6.9.1. If (L, U) is self-adjoint, then all the eigenvalues are real numbers.
Furthermore, eigenfunctions corresponding to distinct eigenvalues are
orthogonal in eca,b).
We shall assume from now on that (L,U) is self-adjoint and ). = 0
is not an eigenvalue. It can then be shown that there exists a function G(t,T)
such that, for any continuous function f( I),
(6.9.12)
where the series is con~ergent uniformly and absolutely.
Since the fum:tions in C"[a,b] that vanish in some neighborhoods of
t = a and 1 = b form a dense subset in L2 [a,b ], it follows that the closed
linear subspace spanned by {!J'm} coincides with L2 (a,b). Thus
Corollary 6.9.3 The sequence {q>m} of the orthonormal eigenfunctions
of the self-adjoin I system ( 6. 9. 7), ( 6. 9. 8) is complete in L 2 [a, b] .

x(t) =IG(t,r)f(r) dr
a
(6.9.10)
value.
Recall that it was assumed in this corollary that i. = 0 is not an eigen-

Since L2 [a,b] is an infinite-dimensional space, we conclude:

is the unique solution of Lx = f in (a,b), Ux = 0. G has the following
properties:
The derivatives iYG(t,T)j8t1 are continuous in (I,T) for 0 $} :-::; n- 2, Corollary 6.9.4 The self-adjoint problem (6.9.7), (6.9.8) has an infinite
and are uniformly continuous in (1,-r) for a '5. 1 <rand r < t :-::; b if j = n- 1, number ofeiguwalues.
j = n. But a"- 1 G(t,r)/8t"- 1 has a jump 1/po(r) at t = T. As a function oft,
G(l,r) satisfies LG(t,r) = 0 for t #- r, and UG = 0 for each fixed r E (a,b). PROBLEMS
The function G(I,T) is uniquely determined by all the properties stated 6.9.2. Consider the eigenvalue problem
in the last paragraph. It is called Green'sfunclion for the pair (L,U).
In terms of Green's function we can reduce the system (6.9.7), (6.9.8) d2 x
Lx = - - = 2x,
to the single equation dl 2

x(t) =).I a
b
G(l,r)x(r) dr. (6.9.11) x(O) = 0, x(l) = 0.
Verify that
It can be shown tli.it G(t,T) G(r,l). Hence we can apply the Hilbert-Schmidt
theorem.
=
G(
t;r
) = {I((1 I-- t)r,
T), ifO '5. t < r,
ifr < t :-::;I,
We arrange the sequence {J... } of all the eigenvalues of (L,U) such that
IJ.,l '5. IJ.,. + 1 1, and denote by {tp,.} an orthonormal sequence of eigenfunc- is Green's function. Prove also that for any continuous f then: is a unique
tions, with tp,. corresponding to J.... (An eigenvalue 1., 0 will occur k times in solution of Lu =fin (0,1), u(O) = u(l) = 0, and it is given by
the sequence {).,.} if there are k linearly independent solutions of (6. 9. 7), l
(6. 9. 8) for ). = 1..0 .) The notation here is slightly different from that used in u(t) = ( G(t,r)f(r) dr.
the Hilbert-Schmidt theorem, since the numbers J.,. that occur here are the o
reciprocals of the eigenvalues of the integral operator with kernel G(t,r). 6.9.3. In the eigenvalue problem of Problem 6.9.2, show that the
Jfu is in C"[a,b] and if Uu = 0, then setf= Lu. It follows that eigenvalues are given by ).,. = n 2m 2 (m = 1,2, ... ) and the orthonormalized
b eigenfunctions are given by rp ..(t) =,/2
sin nmt. Applying Corollary 6.9.3,
u= J G(t,r)f(r) dr.
a it fo!lows that {,/2 sin nmt} is an orthonormal basis in L2 (0,1).
 EIGENVALUE PROBLEMS FOR DIFFERENTIAL EQUATIONS 243
242 HILBERT SPACES AND SPECTRAL THEORY

6.9.8. Let {rp.,}, {A,} be as in Problem 6.9.7. Then, for any fixed y,
6.9.4. Consider the eigenvalue problem

Lx =
dx
i - - 11.x = A.x (11. not an integer), tiK(x,y)- j~llj(/lj<x><PJY>r dx->o as m-> oo.
dt
x(O)- x(l) = 0. 6.9 .9. Prove Dini' s theorem: if a monotone-increasing sequence of
continuous functions on a compact metric space S converges to a continuous
This is a self-adjoint problem. Prove that the function function on S, then the convergence is uniform on S.
itt<-) 6.9.10. Assume that K(x,y) is continuous in (x,y) for X E n, J' E n...
ifO .$ t < T, X #- y. Prove that the qJ,(x) are continuous on 0 and that K 2 (x,y) is con-
l - ei'
tinuous in (x,y) for X En, yEn. By Problems 6.9.7, 6.9.8 it follows that
G(t;r) = iei( 1 + -tl k
[ if T < I .$ 1, L ..t,! I<P,(Y)I 2 -> Kiy,y)
t - e~ m=l
ask-> oo,

is Green's function and verify the assertion of (6.9.l0). Prove also

that the eigenvalues are 2nm - IX (m = 0, I, 2, ... ) and the correspond-
uniformly with respect toy E 0 (if the sequence {ql,} is infinite). Hence,
ing eigenfunctions are e- i(hm -J. Corollary 6. 9. 3 implies that {e 2 ~;"'}
(m = 0, I, 2, ... ) is complete in L2(0, l ). LA.,!= JK2(y,y) dy = fJ IK(x,y)l 2
dx dy.
6.9.5. Let Lx=-[p(t)x']'+q(t)x', peC 1 [a,b], qeC 0 [a,b] and
p 'I- 0. Let the boundary conditions be
o:x(a) + {Jx'(a) = 0, yx(b) + lix'(b) = 0.

If p,q are real-valued functions and if r.x,{J,y,b are real numbers, then the system
is self-adjoint.
In the following problems, A and K are as in the Hilbert-Schmidt
theorem.
6.9.6. A kernel K(x,y) is called degenerate if there exists a finite
number of functions a;(x),b;(y) such that K(x,y) = I: a;(x)b;(y). Prove that
K(x,y) is a degenerate kernel if and only if A has a finite number of eigen-
values different from zero. [Hint: If A has a finite number of eigenvalues
At, .. . ,..t, different from zero, and if {~p 1 , ... ,~p.,} is an orthonormal set and
Ap; = A. 1 ~p 1 , then, by the Hilbert-Schmidt theorem,

J[K(x,y)- J . t1 ~p;(x)qJj(y)lh(x)
1
dx =0
for any function h in L2 (0). Hence
m
K(x,y) = L ..t 1 rp 1 (x)~p 1 (y).]
j=l

6.9.7. Let {~p,}, {.1...} be as in the Hilbert-Schmidt theorem. If Kix,y)

= JK(x,z)K(z,y) dz, then
Kix,y) = L ..t,rp,.(x)~p.,(y),
where the convergence is uniform in x for each fixed y. [Hint: Use the
Hilbert-Schmidt theorem.]
 BIBLIOGRAPHY 245

[7] Munroe, M. E., Introduction to Measure Theory and Integration.

Bibliography [8]
Reading, Mass., Addison-Wesley Publishing Company, Inc., 1959.
Natanson, I. P., Theory of Functions of Real Variables. New York:
Fredrick Ungar Publishing Company, vol. I, 1955; vol. 2, 1961.
[9] Rudin, W., Principles of Mathematical Analysis, 2nd ed. New York:
McGraw-Hill, Inc., 1964.
[I 0] Saks, S., Theory 9f the Integral. New York: Hafner Publishing
Company, 1937.
[11] Titchmarsh, E. C., The Theory of Functions, 2nd ed. London: Oxford
University Press, 1950.
[12] Williamson, J. H., Lebesgue Integra/ion. New York: Holt, Rinehart
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FUNCTIONAL ANALYSIS
[13] Banach, S., Theorie des operations /ineares, 2nd ed. New York: Chelsea
Publishing Company, 1963.
[14] Davis, M., First Course in Functional Analysis. New York: Gordon
and Breach, 1966.
We have made no attempt to provide a systematic and detailed biblio- [15] Day, M. M., Normed Linear Spaces.-Ergebnisse der Mathematik,
graphy. References [1]-[31] inc! ude most of the relatively recent books that vo I. 21. Berlin : Springer-Verlag, 19 58.
deal with the subject matter of the book in a substantial way. The reader will [16] Dunford, N., and Schwartz, J. T., Linear Operators. New York:
find a proof of Zorn's lemma in [33], [35]. More details on the application lnterscience Publishers, vol. I, 1958; vol. 2, 1963.
given in Section 5.4 can be found in [36]. A detailed theory on eigenvalue [17] Edwards, R. E., Functional Analysis, Theory and Applications. New
problems for ordinary differential equations is available in [32]; for further York: Holt, Rinehart and Winston, Inc., 1965.
applications to ordinary differential equations, see [34], [38]. The construc- [18] Goffman, C., and Pedrick, G., First Course in Functional Analysis.
tion of Green's function in Section 4.9 is taken from [37]. Englewood Cliffs, N.J.: Prentice-Hall, Tnc., 1965.
[19] Halmos, P. R., fntroduction to Hilbert Space. New York: Chelsea
MEASURE AND INTEGRATION Publishing Company, 1957.
[20] Kantrovich, L V., and Akilov, G. P., Fu,nctional Analysis in Normed
[1] Asplund, E., and Bungart, L., A First Course in Integration. New
Spaces. New York: Pergamon Press, Inc., 1964.
York: Holt, Rinehart and Winston, Inc., 1961.
[21] Kolmogorov, A. N., and Fomin, S. V., Elements of the Theory of
[2] Caratheodory, C.. Vorlesungen iiber Reele Funktionen, 2nd ed. New
Functions and Functional Analysis. Rochester, N.Y.: Graglock Press,
York: Chelsea Publishing Company, 1948.
vol. I, 1957.
[3] Halmos, P. R., Measure Theory. Princeton, N.J.: D. Van Nostrand
[22] Liusternik, L.A., and Sobolev, V. J., Elements of Functional Analysis.
Company, 1959.
New York: Fredrick Ungar Publishing Company, 1961.
[4] Hildebrant, T. H., Introduction to the Theory of Integration. New
[23] Sz.-Nagy, B., Spektraldarstel!ung Linearer Transformationen des
York: Academic Press, Inc., 1963.
Hilbertschen Raumes. Ergebnisse der Mathematik, vol. 39. Berlin:
[5] Graves, L. M., The Theory of Functions of Real Variables. New York:
Springer-Verlag, 1967.
McGraw-Hill, Inc., 1946.
[24] Naimark, M.A., Normed Rings. Gronigen, Netherlands: P. Noordhoff,
[6] McShane, E.J.; Tntegrarion. Princeton, N.J.: Princeton University
N.Y., 1959.
Press, 1944.
[25] Riesz, F., and Sz.-Nagy, B., Functional Analysis. New York: Fredrick
244 Ungar Publishing Company, 1955.
246 BIBLIOGRAPHY

[26] Royden, H. L., Real Analysis, 2nd ed. New York: The Macmillan
Company, 1968.
[27] Taylor, A. E., Introduction to Functional Analysis. New York: John INDEX
Wiley & Sons, Inc., 1958.
[28] Vulikh, B. Z., Introduction to Functional Analysis. New York: Perga-
mon Press, Inc., 1963.
[29] Wilansky, A., Functional Analysis. Waltham, Mass.: Blaisdell Pub-
lishing Company, 1964.
[30] Yosida, K., Functional Analysis. Berlin: Springer-Verlag, 1965.
[31] Zaanen, A. S., Linear Analysis. Amsterdam: North-Holland Publishing Absolute convergence, 126 Closed set, 17, 90
Company, 1953. Absolutely continuous, 52, 53, 67 Closure, 16, 91
Additive set function, 5 Compact liTiear operator, 186
MISCELLANEOUS Adjoint operator, 172, 209 Compact set, 91
Alaoglu's theorem, 169 Complete measure, 12
[32] Coddington, E. A. and Levinson, N., Theory of Ordinary Differential space, 29
Algebra, 2
Equations. New York: McGraw-Hill, Inc., 1955. of functions. I 16 Complete metric space, 17, 105
[33] Hausdorff, F., M engenlehre. New York: Dover Publications, Inc., 1944. J-, 2
Complete orthonormal system, 213
[34] Hellwig, G., Differential Operators of Mathematical Physics. Berlin: Almost everywhere, 33 Completely additive set function, 5
Springer-Verlag, 1964. (Addison-Wesley Publishing Company, Inc.) convergence, 33 Completely continuous operator, 186
[35] Kelley, J. L., General Topology. Princeton, N.J.: D. Van Nostrand Ascoli-A rzela's lemma, 112 Completion of measure, 12
Company, 1955. Completion of metric space, 99
Complex measure, 28
[36] Kellogg, 0. D., Foundation of Potential Theory. New York: Dover Haire class, 3 5
Banach algebra, 137 Conditio!lally compact space, 114
Publications, Inc., 1953.
Banach space, 126 Conjugate space, 150, 159
[37] Lax, P. D.," On the existence of Green's function," Proc. Amer. Math. Continuous function, 3 I, 11 0, 118
Soc., vol. 3 (I 952), pp. 526-531. BanachSteinhaus" theorem, 139
Bessel's inequality, 213 uniformly, 110, 118
(38] Naimark, M. A., Linear Differential Operators, part II. New York: Continuous linear operator, 135
Bilinear form, 221
Fredrick Ungar Publishing Company, 1968. Contractio!l, 119
Borel set, 17
Boundary operators, 239 Convergence, 16
Bounded linear operator, 135 absolute, 126
Bounded set, 16 almost uniformly, 35
Bounded variation, 54 in the mean, 49
in measure, 37
Cantor set, 24 weak, 161
Cartesian product, 78 Convex. set, 118
of measure spaces, 82, 87 Countahly additive set function, 8
of metric spaces, 94 Covering, <-, 109
Cauchy sequence, 17
iTI the mea!l. 41, 49 Darboux integral, 62, 66
in measure, 37 DarbouxStieltjes integral, 67
CeTit ralized class, 165 Darboux sums, 62
Characteristic functio!l, 31 Degenerate kernel, 242
Closed hall, 16 Dense, 92, I 07
Closed graph theorem, 144 Diameter of a set, 16
Closed linear operator, 143 Dime!lsion of a linear space, 124, 154
247
248 INDEX INDEX 249
Dini's theorem, 243 Graph of an operator, 143 Lebesgue's bounded convergence complete, 29
Direct product of normed linear spaces, Green's function, 15 7 theorem, 54 finite, 29
128 Lebesgue's decomposition, 72, 73 Lebesgue, 29, 30
Hahn-Banach's lemma, !50
Direct sum of normed linear spaces, I 28 Lebesgue's monotone convergence o--linite, 29
Hahn-Banach's theorem, 151
Direct sum of subspaces, 208 theorem, 58 totally finite, 29
Hahn decomposition, 26
Dirichlet problem, 156 Lebesgue's-Stieltjes, integral, 46 ~Iesh, 62
Hamel's basis, 13I
Distance function, 15 measure, 14 Metric function, 15
Harmonic function, 155
Domain of an operator, 13 5 outer measure, 14 Metric linear space, 125
Hclly's principle, 185
Double integral, 85 Limit, 16 Metric outer measure, I 7
Hermitian form, 221
Double layer, 198 Linear isomorphism, 159 construction of, 20
Hilbert space, 201
Linear operator, 135 Metric space, I 5
real, 201
Egorolf's theorem, 35, 36 bounded, 135 compact, 107
Hilbert-Schmidt theorem, 238
Eigenclemcnt, 19 5 closed, 143 complete, I 05
Holder's inequality, 96
Eigenfunction, 242 closure of, 145 J\fetric subspace, 92
Homeomorphism, 167
Eigenvalue, 195, 240 compact, 186 Minkowski's inequality, 96
Hyperplane, 153
Eigenvalue problem, 239 completely continuous, 1llf:i Mollifier, 103
supporting, !54
self-adjoint, 240 continuous, 13 5 Monotone class, 80
tangent, 154
Eigenvector, 195 continuous extension of, 138 \1onotone set function, 8
Hypoelliptic operator, 147
Equicontinuous, 112 extension of, 145
Equivalent, functions, 97 inverse of, 143 N cgative part of, a function, 31
Indefinite integral, 53, 74
mctrics, 94 norm oL 135 an operator, 225
Inferior limit, 2
norms, 127 Linear vector space, 123 Negative set, 25
Inner measure, 25
Essential supremum, 57 dimension of, 124, 154 1\cighborhood, 90
Inner product, 201
Essentially bounded, 57 1\eighhorhood basis, 164
space, 201 subspace of. I 29
Euclidean metric, 16 Neumann's problem, 199
Integrable, 40, 42, 46, 48, 71 Lower-semicontinuous, 31
Extended real number, 4 Lower variation of a measure, 28 Norm, 125
kernel, 197
Lusin's theorem, 116 Normed linear space, 125
IntegraL 40, 42, 43, 46
Factor space, 129 Nowhere dense, 92
with respect to a spectral family, 226
Fatou's lemma, 58 1\ull function, 54
Integral equation, 121 Mapping, 135
Finitely additive set function, 5 '\lull space of a functional, I 53
of Fredholm type, 193 Maximal element, 130
First category, I 06, 107 Integral operator, 237 Maximum metric, 93 Open ball, 16
First countability axiom, 165 Interior, 17, 91 Maximum principle, !56 Open covering, 91
Fixed point theorc m, 118, 119 Invariant subspace, 221 1\teasurable function, 29, 32 Open interval, 13
Fourier coefficients, 21 3 Isometric imbedding, 99 Borel, 29 Open mapping theorem, 141
Frechet space, 125 Tsomet ric isomorph ism, 159 Lebesgue, 29 Open set, 16. 90
Fredholm alternative, 143 Iterated integral, 8 5 Measurable, set, 8 Operator, 135
Fredholm-Riesz-Schaudcr's theory, rect<tn gle, 8 3 Orthogonal, 204
189, 193 Jordan decomposition, 27 subspace, 30 Orthogonal complement, J 73, 205, 208
Fubini's theorem, 84, 86 1\.leJsure, 4 Orthonormal, 21 3
Kernel, degenerate, 242
Functional, 150 complete, 12 basis, f-15
symmetric, 238
cominuous linear, 150 complex, 28 Outer measure, 7, 8
Fundamental solution, 156 Laplace'> equation, 15 5 tinite, 5 construction of, 11
Lax-Milgram's lemma, 207 o--finite, 5 metric, 17
Generated by, ring, 3 Lebesgue, integral, 46
, __
signed, 25
o--algcbra, 4 measure, 14 totally finite, 5 Parallelogram law. 203
o--ring, 4 outer measure, 14 Measure space, 29 Parseva1's formula, 215
Gram-Schmidt process, 217 sets, 14 Borel, 29 Partially ordered set, 130
 250 INDEX
Point of accumulation, 16
Point of density, 78
Positive operator, 221
Positive part of, funclion, 31
operator, 225
Positive set, 25
Principle of uniform boundedness, 139
Product of measure spaces, 82, 87
Product of measures, 78, 82
Pm}ection operator, 209
Projection theorem. 204, 205
Quadratic form, 221
Radon-Nikodym's, derivative, 67, 69
theorem, 69
Range of an operator, 135
Reflexive space, 160
Relatively compact, 114
Resolvent, 194
of a self-adjoint operator, 233
set, 194
Riemann's integral, 61, 66
Riemann's sum, 62
:Riemann-Stieltjes integral, 67
Riesz's theorem, 206
Riesz-l'ischer's theorem, 98
Ring, 2
<Y-, 2
Ring generated by, 3
Scalar product, 201
Scalar-product space, 201
Schwarz's inequality, 202
Second category, 106, 107
Self-adjoint operators, 218
lower bound of, 220
upper bound of, 220
Separable space, 92, 107
Sequential covering clas:;, II
Sequentially compact, 92, 165
Set function, 4
Signed measure, 25
finite, 28
,;-finite, 28
Simple function, 34
Simple layer, 198
Singular, mutually, 72
Spectral family, 226, 228
Spectral resolution, 226, 228
Spectwm, i 94
continuous, 194
residual, 195
Square root of positive operator, 223
Stone-Weierstrass' theorem, 116
Strong derivative, 149, 154
Strong convergence, 140
Subadditive set function, 7
finitely, 7
Subspace spanned by, 129
Superior limit, 2
Symmetric kernel, 218
Tietze's extension theorem, 1 i 1
Topological space, 90
Hausdorff, 90
Hnear, !68
normed, 90
Topological subspace, 91
Topology, 90
induced, 91
Total variation, 28, 54
Totally bounded, 109
Totally ordered set, 130
Transformation, 135
Tychonoff's theorem, 164
Uniform convergence of a sequence of
operators, 136
Uniform metric, 94, 114, 128
Uniformly bounded family of func-
tions, 112
Unit element, 213
Upper-semicontinuous, 31
Upper variation, 28
Weak Cauchy sequence, 161
Weak convergence, 161, 170
Weak derivative, 148
Weak limit, 161, 170
Weakly closed, 161
Weakly complete, 161
Weakly sequentially compact, 161
Zorn's lemma, 130
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