Chapter 4

L
p
Spaces
Let (, M, ) denote a measure space, i.e., is a set and
(i) Mis a -algebra in , i.e., Mis a collection of subsets of such that:
(a) M,
(b) A M A
c
M,
(c)

n=1
A
n
Mwhenever A
n
M n,
(ii) is a measure, i.e., : M [0, ] satises
(a) () = 0,
(b)

n=1
A
n
_
=

n=1
(A
n
) whenever (A
n
) is a disjoint
countable family of members of M.
The members of Mare called the measurable sets. Sometimes we shall
write |A| instead of (A). We shall also assumeeven though this is not
essentialthat
(iii) is -nite, i.e., there exists a countable family (
n
) in Msuch that =

n=1

n
and (
n
) < n.
The sets E Mwith the property that (E) = 0 are called the null sets. We
say that a property holds a.e. (or for almost all x ) if it holds everywhere on
except on a null set.
We assume that the reader is familiar with the notions of measurable functions
and integrable functions f : R; see, e.g., H. L. Royden [1], G. B. Folland [2],
A. Knapp[1], D. L. Cohn[1], A. Friedman[3], W. Rudin[2], P. Halmos [1], E. Hewitt
K. Stromberg [1], R. WheedenA. Zygmund [1], J. Neveu [1], P. Malliavin [1],
A. J. Weir [1], A. KolmogorovS. Fomin [1], I. FonsecaG. Leoni [1]. We denote by
L
1
(, ), or simply L
1
() (or just L
1
), the space of integrable functions from
into R.
We shall often write
_
f instead of
_

f d, and we shall also use the notation

89 H. Brezis, Functional Analysis, Sobolev Spaces and Partial Differential Equations,
DOI 10.1007/978-0-387-70914-7_4, Springer Science+Business Media, LLC 2011
90 4 L
p
Spaces
f
L
1 = f
1
=
_

|f |d =
_
|f |.
As usual, we identify two functions that coincide a.e. We recall the following basic
facts.
4.1 Some Results about Integration That Everyone Must Know
Theorem 4.1 (monotone convergence theorem, Beppo Levi). Let (f
n
) be a se-
quence of functions in L
1
that satisfy
(a) f
1
f
2
f
n
f
n+1
a.e. on ,
(b) sup
n
_
f
n
< .
Then f
n
(x) converges a.e. on to a nite limit, which we denote by f (x); the
function f belongs to L
1
and f
n
f
1
0.
Theorem 4.2 (dominated convergence theorem, Lebesgue). Let (f
n
) be a se-
quence of functions in L
1
that satisfy
(a) f
n
(x) f (x) a.e. on ,
(b) there is a function g L
1
such that for all n, |f
n
(x)| g(x) a.e. on .
Then f L
1
and f
n
f
1
0.
Lemma 4.1 (Fatous lemma). Let (f
n
) be a sequence of functions in L
1
that satisfy
(a) for all n, f
n
0 a.e.
(b) sup
n
_
f
n
< .
For almost all x we set f (x) = liminf
n
f
n
(x) +. Then f L
1
and
_
f liminf
n
_
f
n
.
A basic example is the case in which = R
N
, M consists of the Lebesgue
measurable sets, and is the Lebesgue measure on R
N
.
Notation. We denote by C
c
(R
N
) the space of all continuous functions on R
N
with
compact support, i.e.,
C
c
(R
N
) = {f C(R
N
); f (x) = 0 x R
N
\K, where K is compact}.
Theorem 4.3 (density). The space C
c
(R
N
) is dense in L
1
(R
N
); i.e.,
f L
1
(R
N
) > 0 f
1
C
c
(R
N
) such that f f
1

1
.
Let (
1
, M
1
,
1
) and (
2
, M
2
,
2
) be two measure spaces that are -nite.
One can dene in a standard way the structure of measure space (, M, ) on the
Cartesian product =
1

2
.
4.2 Denition and Elementary Properties of L
p
Spaces 91
Theorem 4.4 (Tonelli). Let F(x, y) :
1

2
R be a measurable function
satisfying
(a)
_

2
|F(x, y)|d
2
< for a.e. x
1
and
(b)
_

1
d
1
_

2
|F(x, y)|d
2
< .
Then F L
1
(
1

2
).
Theorem 4.5 (Fubini). Assume that F L
1
(
1

2
). Then for a.e. x
1
,
F(x, y) L
1
y
(
2
) and
_

2
F(x, y)d
2
L
1
x
(
1
). Similarly, for a.e. y
2
,
F(x, y) L
1
x
(
1
) and
_

1
F(x, y)d
1
L
1
y
(
2
).
Moreover, one has
_

1
d
1
_

2
F(x, y)d
2
=
_

2
d
2
_

1
F(x, y)d
1
=
__

2
F(x, y)d
1
d
2
.
4.2 Denition and Elementary Properties of L
p
Spaces
Denition. Let p R with 1 < p < ; we set
L
p
() =
_
f : R; f is measurable and |f |
p
L
1
()
_
with
f
L
p
= f
p
=
__

|f (x)|
p
d
_
1/p
.
We shall check later on that
p
is a norm.
Denition. We set
L

() =
_
f : R

f is measurable and there is a constant C

such that |f (x)| C a.e. on
_
with
f
L

= f

= inf{C; |f (x)| C a.e. on }.

The following remark implies that

is a norm:
Remark 1. If f L

then we have
|f (x)| f

a.e. on .
Indeed, there exists a sequence C
n
such that C
n
f

and for each n, |f (x)|

C
n
a.e. on . Therefore |f (x)| C
n
for all x \E
n
, with |E
n
| = 0. We set
92 4 L
p
Spaces
E =

n=1
E
n
, so that |E| = 0 and
|f (x)| C
n
n, x \E;
it follows that |f (x)| f

x \E.
Notation. Let 1 p ; we denote by p

the conjugate exponent,

1
p
+
1
p

= 1.
Theorem 4.6 (Hlders inequality). Assume that f L
p
and g L
p

with
1 p . Then fg L
1
and
(1)
_
|fg| f
p
g
p
.
Proof. The conclusion is obvious if p = 1 or p = ; therefore we assume that
1 < p < . We recall Youngs inequality:
1
(2) ab
1
p
a
p
+
1
p

b
p

a 0, b 0.
Inequality (2) is a straightforward consequence of the concavity of the function
log on (0, ):
log
_
1
p
a
p
+
1
p

b
p

_

1
p
log a
p
+
1
p

log b
p

= log ab.
We have
|f (x)g(x)|
1
p
|f (x)|
p
+
1
p

|g(x)|
p

a.e. x .
It follows that fg L
1
and
(3)
_
|fg|
1
p
_
_
f
_
_
p
p
+
1
p

_
_
g
_
_
p

.
Replacing f by f ( > 0) in (3), yields
(4)
_
|fg|

p1
p
_
_
f
_
_
p
p
+
1
p

_
_
g
_
_
p

.
Choosing = f
1
p
g
p

/p
p
(so as to minimize the right-hand side in (4)), we
obtain (1).
1
It is sometimes convenient to use the form ab a
p
+ C

b
p

with C

=
1/(p1)
.
4.2 Denition and Elementary Properties of L
p
Spaces 93
Remark 2. It is useful to keep in mind the following extension of Hlders inequality:
Assume that f
1
, f
2
, . . . , f
k
are functions such that
f
i
L
p
i
, 1 i k with
1
p
=
1
p
1
+
1
p
2
+ +
1
p
k
1.
Then the product f = f
1
f
2
f
k
belongs to L
p
and
f
p
f
1

p
1
f
2

p
2
f
k

p
k
.
In particular, if f L
p
L
q
with 1 p q , then f L
r
for all r, p r q,
and the following interpolation inequality holds:
f
r
f

p
_
_
f
_
_
1
q
, where
1
r
=

p
+
1
q
, 0 1;
see Exercise 4.4.
Theorem 4.7. L
p
is a vector space and
p
is a norm for any p, 1 p .
Proof. The cases p = 1 and p = are clear. Therefore we assume 1 < p <
and let f, g L
p
. We have
|f (x) + g(x)|
p
(|f (x)| + |g(x)|)
p
2
p
(|f (x)|
p
+ |g(x)|
p
).
Consequently, f + g L
p
. On the other hand,
f + g
p
p
=
_
|f + g|
p1
|f + g|
_
|f + g|
p1
|f | +
_
|f + g|
p1
|g|.
But |f + g|
p1
L
p

, and by Hlders inequality we obtain

f + g
p
p
f + g
p1
p
(f
p
+ g
p
),
i.e., f + g
p
f
p
+ g
p
.
Theorem 4.8 (FischerRiesz). L
p
is a Banach space for any p, 1 p .
Proof. We distinguish the cases p = and 1 p < .
Case 1: p = . Let (f
n
) be a Cauchy sequence is L

. Given an integer k 1
there is an integer N
k
such that f
m
f
n

1
k
for m, n N
k
. Hence there is a
null set E
k
such that
(5) |f
m
(x) f
n
(x)|
1
k
x \E
k
, m, n N
k
.
Then we let E =

k
E
k
so that E is a null setand we see that for all x \E,
the sequence f
n
(x) is Cauchy (in R). Thus f
n
(x) f (x) for all x \E. Passing
to the limit in (5) as m we obtain
94 4 L
p
Spaces
|f (x) f
n
(x)|
1
k
for all x \E, n N
k
.
We conclude that f L

and f f
n

1
k
n N
k
; therefore f
n
f
in L

.
Case 2: 1 p < . Let (f
n
) be a Cauchy sequence in L
p
. In order to conclude,
it sufces to show that a subsequence converges in L
p
.
We extract a subsequence (f
n
k
) such that
f
n
k+1
f
n
k

p

1
2
k
k 1.
[One proceeds as follows: choose n
1
such that f
m
f
n

p

1
2
m, n n
1
;
then choose n
2
n
1
such that f
m
f
n

p

1
2
2
m, n n
2
etc.] We claim that
f
n
k
converges in L
p
. In order to simplify the notation we write f
k
instead of f
n
k
, so
that we have
(6) f
k+1
f
k

p

1
2
k
k 1.
Let
g
n
(x) =
n

k=1
|f
k+1
(x) f
k
(x)|,
so that
g
n

p
1.
As a consequence of the monotone convergence theorem, g
n
(x) tends to a nite limit,
say g(x), a.e. on , with g L
p
. On the other hand, for m n 2 we have
|f
m
(x) f
n
(x)| |f
m
(x) f
m1
(x)| + +|f
n+1
(x) f
n
(x)| g(x) g
n1
(x).
It follows that a.e. on , f
n
(x) is Cauchy and converges to a nite limit, say f (x).
We have a.e. on ,
(7) |f (x) f
n
(x)| g(x) for n 2,
and in particular f L
p
. Finally, we conclude by dominated convergence that
f
n
f
p
0, since |f
n
(x) f (x)|
p
0 a.e. and also |f
n
f |
p
g
p
L
1
.
Theorem 4.9. Let (f
n
) be a sequence in L
p
and let f L
p
be such that f
n
f
p
0.
Then, there exist a subsequence (f
n
k
) and a function h L
p
such that
(a) f
n
k
(x) f (x) a.e. on ,
(b) |f
n
k
(x)| h(x) k, a.e. on .
Proof. The conclusion is obvious when p = . Thus we assume 1 p < . Since
(f
n
) is a Cauchy sequence we may go back to the proof of Theorem 4.8 and consider
4.3 Reexivity. Separability. Dual of L
p
95
a subsequence (f
n
k
)denoted by (f
k
)satisfying (6), such that f
k
(x) tends a.e. to
a limit
2
f

(x) with f

L
p
. Moreover, by (7), we have |f

(x) f
k
(x)| g(x)
k, a.e. on with g L
p
. By dominated convergence we know that f
k
f

in
L
p
and thus f = f

a.e. In addition, we also have |f

k
(x)| |f

(x)| + g(x), and

the conclusion follows.
4.3 Reexivity. Separability. Dual of L
p
We shall consider separately the following three cases:
(A) 1 < p < ,
(B) p = 1,
(C) p = .
A. Study of L
p
() for 1 < p < .
This case is the most favorable: L
p
is reexive, separable, and the dual of L
p
is L
p

.
Theorem 4.10. L
p
is reexive for any p, 1 < p < .
The proof consists of three steps:
Step 1 (Clarksons rst inequality). Let 2 p < . We claim that
(8)
_
_
_
_
f + g
2
_
_
_
_
p
p
+
_
_
_
_
f g
2
_
_
_
_
p
p

1
2
(f
p
p
+ g
p
p
) f, g L
p
.
Proof of (8). Clearly, it sufces to show that

a + b
2

p
+

a b
2

1
2
(|a|
p
+ |b|
p
) a, b R.
First we note that

p
+
p
(
2
+
2
)
p/2
, 0
(by homogeneity, assume = 1 and observe that the function
(x
2
+ 1)
p/2
x
p
1
increases on [0, )). Choosing = |
a+b
2
| and = |
ab
2
|, we obtain

a + b
2

p
+

a b
2

a + b
2

2
+

a b
2

2
_
p/2
=
_
a
2
2
+
b
2
2
_
p/2

1
2
(|a|
p
+|b|
p
)
2
A priori one should distinguish f and f

: by assumption f
n
f in L
p
, and on the other hand,
f
n
k
(x) f

(x) a.e.
96 4 L
p
Spaces
(the last inequality follows from the convexity of the function x |x|
p/2
since
p 2).
Step 2: L
p
is uniformly convex, and thus reexive for 2 p < . Indeed, let
> 0 and let f, g L
p
with f
p
1, g
p
1, and f g
p
> . We deduce
from (8) that
_
_
_
_
f + g
2
_
_
_
_
p
p
< 1
_

2
_
p
and thus
f +g
2

p
< 1 with = 1 [1 (

2
)
p
]
1/p
> 0. Therefore, L
p
is
uniformly convex and thus reexive by Theorem 3.31.
Step 3: L
p
is reexive for 1 < p 2.
Proof. Let 1 < p < . Consider the operator T : L
p
(L
p

dened as follows:
Let u L
p
be xed; the mapping f L
p

_
uf is a continuous linear functional
on L
p

and thus it denes an element, say T u, in (L

p

such that
T u, f =
_
u f f L
p

.
We claim that
(9) T u
(L
p

)
= u
p
u L
p
.
Indeed, by Hlders inequality, we have
|T u, f | u
p
f
p
f L
p

and therefore T u
(L
p

)
u
p
.
On the other hand, set
f
0
(x) = |u(x)|
p2
u(x) (f
0
(x) = 0 if u(x) = 0).
Clearly we have
f
0
L
p

, f
0

p
=
_
_
u
_
_
p1
p
and T u, f
0
= u
p
p
;
thus
(10) T u
(L
p

)

T u, f
0

f
0

= u
p
.
Hence, we have shown that T is an isometry fromL
p
into (L
p

, which implies that

T (L
p
) is a closed subspace of (L
p

(because L
p
is a Banach space).
Assume now 1 < p 2. Since L
p

is reexive (by Step 2), it follows that (L

p

4.3 Reexivity. Separability. Dual of L

p
97
is also reexive (Corollary 3.21). We conclude, by Proposition 3.20, that T (L
p
) is
reexive, and as a consequence, L
p
is also reexive.
Remark 3. In fact, L
p
is also uniformly convex for 1 < p 2. This is a consequence
of Clarksons second inequality, which holds for 1 < p 2:
_
_
_
_
f + g
2
_
_
_
_
p

p
+
_
_
_
_
f g
2
_
_
_
_
p

_
1
2
_
_
f
_
_
p
p
+
1
2
_
_
g
_
_
p
p
_
1/(p1)
f, g L
p
.
This inequality is trickier to prove than Clarksons rst inequality (see, e.g., Prob-
lem20 or E. HewittK. Stromberg [1]). Clearly, it implies that L
p
is uniformly convex
when 1 < p 2; for another approach, see also C. Morawetz [1] (Exercise 4.12) or
J. Diestel [1].
Theorem 4.11 (Riesz representation theorem). Let 1 < p < and let
(L
p
)

. Then there exists a unique function u L

p

such that
, f =
_
uf f L
p
.
Moreover,
_
_
u
_
_
p

=
_
_

_
_
(L
p
)
.
Remark 4. Theorem4.11 is very important. It says that every continuous linear func-
tional on L
p
with 1 < p < can be represented concretely as an integral. The
mapping u, which is a linear surjective isometry, allows us to identify the
abstract space (L
p
)

with L
p

.
In what follows, we shall systematically make the identication
(L
p
)

= L
p

.
Proof. We consider the operator T : L
p

(L
p
)

dened by T u, f =
_
uf
u L
p

, f L
p
. The argument used in the proof of Theorem 4.10 (Step 3)
shows that
T u
(L
p
)

= u
p
u L
p

.
We claim that T is surjective. Indeed, let E = T (L
p

). Since E is a closed subspace,

it sufces to prove that E is dense in (L
p
)

. Let h (L
p
)

satisfy h, T u = 0
u L
p

. Since L
p
is reexive, h L
p
, and satises
_
uh = 0 u L
p

. Choosing
u = |h|
p2
h, we see that h = 0.
Theorem 4.12. The space C
c
(R
N
) is dense in L
p
(R
N
) for any p, 1 p < .
Before proving Theorem 4.12, we introduce some notation.
Notation. The truncation operation T
n
: R R is dened by
98 4 L
p
Spaces
T
n
r =

r if |r| n,
nr
|r|
if |r| > n.
Given a set E , we dene the characteristic function
3

E
to be

E
(x) =
_
1 if x E,
0 if x \E.
Proof. First, we claim that given f L
p
(R
N
) and > 0 there exist a function
g L

(R
N
) and a compact set K in R
N
such that g = 0 outside K and
(11) f g
p
< .
Indeed, let
n
be the characteristic function of B(0, n) and let f
n
=
n
T
n
f . By
dominated convergence we see that f
n
f
p
0 and thus we may choose
g = f
n
with n large enough. Next, given > 0 there exists (by Theorem 4.3) a
function g
1
C
c
(R
N
) such that
g g
1

1
< .
We may always assume that g
1

; otherwise, we replace g
1
by T
n
g
1
with
n = g

. Finally, we have
g g
1

p
g g
1

1/p
1
g g
1

1(1/p)

1/p
(2 g

)
1(1/p)
.
We conclude by choosing > 0 small enough that

1/p
(2g

)
1(1/p)
< .
Denition. The measure space is called separable if there is a countable family
(E
n
) of members of Msuch that the -algebra generated by (E
n
) coincides with
M(i.e., Mis the smallest -algebra containing all the E
n
s).
Example. The measure space = R
N
is separable. Indeed, we may choose for (E
n
)
any countable family of open sets such that every open set in R
N
can be written as a
union of E
n
s. More generally, if is a separable metric space and Mconsists of
the Borel sets (i.e., Mis the -algebra generated by the open sets in ), then is a
separable measure space.
Theorem 4.13. Assume that is a separable measure space. Then L
p
() is sepa-
rable for any p, 1 p < .
We shall consider only the case = R
N
, since the general case is somewhat
tricky. Note that as a consequence, L
p
() is also separable for any measurable
set R
N
. Indeed, there is a canonical isometry from L
p
() into L
p
(R
N
) (the
3
Not to be confused with the indicator function I
E
introduced in Chapter 1.
4.3 Reexivity. Separability. Dual of L
p
99
extension by 0 outside ); therefore L
p
() may be identied with a subspace of
L
p
(R
N
) and hence L
p
() is separable (by Proposition 3.25).
Proof of Theorem 4.13 when = R
N
. Let R denote the countable family of sets
in R
N
of the form R =

N
k=1
(a
k
, b
k
) with a
k
, b
k
Q. Let E denote the vector
space over Q generated by the functions (
R
)
RR
, that is, E consists of nite linear
combinations with rational coefcients of functions
R
, so that E is countable.
We claim that E is dense in L
p
(R
N
). Indeed, given f L
p
(R
N
) and > 0,
there exists some f
1
C
c
(R
N
) such that f f
1

p
< . Let R R be any cube
containing supp f
1
(the support of f
1
). Given > 0 it is easy to construct a function
f
2
E such that f
1
f
2

< and f
2
vanishes outside R: it sufces to split
R into small cubes of R where the oscillation (i.e., sup inf) of f
1
is less than .
Therefore we have f
1
f
2

p
f
1
f
2

|R|
1/p
< |R|
1/p
. We conclude that
f f
2

p
< 2, provided > 0 is chosen so that |R|
1/p
< .
B. Study of L
1
().
We start with a description of the dual space of L
1
().
Theorem 4.14 (Riesz representation theorem). Let (L
1
)

. Then there exists

a unique function u L

such that
, f =
_
uf f L
1
.
Moreover,
u

=
(L
1
)
.
Remark 5. Theorem 4.14 asserts that every continuous linear functional on L
1
can
be represented concretely as an integral. The mapping u, which is a linear
surjective isometry, allows us to identify the abstract space (L
1
)

with L

. In what
follows, we shall systematically make the identication
(L
1
)

= L

.
Proof. Let (
n
) be a sequence of measurable sets in such that =

n=1

n
and
|
n
| < n. Set
n
=

n
.
The uniqueness of u is obvious. Indeed, suppose u L

satises
_
uf = 0 f L
1
.
Choosing f =
n
sign u (throughout this book, we use the convention that sign 0 =
0), we see that u = 0 a.e. on
n
and thus u = 0 a.e. on .
We now prove the existence of u. First, we construct a function L
2
()
such that
(x)
n
> 0 x
n
.