1 Measure Theory

Denition 1.1. (Measure). Let be a set and / a -algebra of subsets of

. The pair (, /) is call a measurable space. A set function on / is called a
measure if is an extended real-valued function satisfying
(1) (A) 0 for all A /
(2) () = 0
(3) If A
1
, A
2
, ... are disjoint sets in /, then

_
_
n
A
n
_
=

n
(A
n
).
The triple (, /, ) is called a measure space.
Theorem 1.1. Properties of Measure). Let (, /, ) be a measure space
and let A, B be /-measurable sets. Then:
(a) If (A) < and A B, then (B A) = (B) (A)
(b) Monontonicity: A B (A) (B).
(c) Countable Subadditivity: if A
n

n=1
/, then

_
_
n
A
n
_

n
(A
n
)
(d) If A
n

n=1
/ with A
1
A
2
... and (A
k
) < for some k, then

n=1
A
n
_
= lim
n
(A
n
).
(e) If A
n

n=1
/ with A
1
A
2
..., then

_

_
n=1
A
n
_
= lim
n
(A
n
).
Corollary 1.2. More Properties of Measure). Let (, /, ) be a measure
space and A
n

n=1
/. Then
(i) (liminf
n
A
n
) liminf
n
(A
n
)
(ii) (limsup
n
A
n
) limsup
n
(A
n
), as long as (

n=k
A
n
) < for
some k.
1
Theorem 1.3. (Linear Combinations of Measures). Let (, /) be a mea-
surable space,
n

n=1
a sequaence of measures on /, and
n

n=1
a sequence
of nonnegative real numbers. Then if we dene

n=1

n
on / by
_

n=1

n
_
(A) =

n=1

n
(A),
then we have dened a new measure on /.
Denition 1.2. (Complete Measure Space). A measure space (, /, ) is
said to be complete if, for every /-measurable set A with (A) = 0,
B A B /.
Every measure space can be extended to a complete measure space.
Theorem 1.4. (Completion of a Measure Space). If (, /, ) is a measure
space,
2 Measurable Functions
2.1 Real and Complex valued Functions
Denition 2.1. (Measurable Function). Let (, /) be a measurable space,
the function f : R is said to be an /-measurable function if
f
1
(O) /, for every open set O R.
A complex valued function g : C is said to be an /-measurable function if
both its real part, 1[g], and its imaginary part, [g], are /-measurable functions.
Theorem 2.1. (Measurability). Let (, /) be a measurable space and f :
R a real-valued function. The following are equivalent:
(a) f is /-measurable.
(b) For each a R, f
1
((, a)) /
(c) For each a R, f
1
((, a]) /
(d) For each a R, f
1
((a, )) /
(e) For each a R, f
1
([a, )) /
Theorem 2.2. (Measurable Functions Form an Algebra). Let (, /) be
a measurable space. The collection of real-valued/-measurable functions on
forms an algebra. That is, if f, g : R are /-measurable functions, and
R, then
(1) f +g is /-measurable
2
(2) f is /-measurable
(3) f g is /-measurable
This also holds for complex valued functions.
Theorem 2.3. (More Properties of Measurable Functions). Let (, /)
be a measurable space and f : R an /-measurable function. Then:
(i) If g : R R is a Borel measurable function, then g f is /-measurable.
(ii) f
+
, f

and [f[ := f
+
+f

are /-measurable.
2.2 Extended Real-valued Functions
see p.179 in Mcdonald.
Theorem 2.4. (More Properties). Let (, /) be a measurable space. Let
f, g :

R be extended real-valued /-measurable functions, and f
n

n=1
a
sequence of extended real-valued /-measurable functions, f
i
:

R. Then:
(i) f g and f g are /-measurable.
(ii) [f[ := f f is /-measurable.
(iii) sup
n
f
n
and inf
n
f
n
are /-measurable.
(iv) limsup
n
and liminf
n
are /-measurable.
(v) If f
n

n=1
converges pointwise, then lim
n
f
n
is /-measurable.
(vi) If (, /, ) is a complete measure space, f
n

n=1
a sequence of extended
real-valued or complex real-valued /-measurable functions, and f
n
f
-almost everywhere, then f is /-measurable.
Theorem 2.5. (Egorovs Theorem). Let (, /, ) be a measure space, and
let E / be a set with (E) < . Let f
n

n=1
be a sequence of measurable
functions, f
n
: E

R, but such that each f
n
is nite almost everywhere on E
and f
n
f, where f : E R is a nite function. Then, for any given > 0,
there is a measurable set A E such that
(E A) < and f
n
f uniformly on A
2.3 Approximation with Simple Functions
Recall that the indicator function (or characteristic function) I
E
of a set E is
given by
I
E
=
_
1 if x E
0 if x ,= E
Note that I
E
is measurable if and only if E is measurable.
3
Denition 2.2. (Simple Function). A simple function f is a function which
assumes a nite number of nite values. When f is simple, it has the represen-
tation
f(x) =
N

k=1
a
k
I
E
k
(x),
where a
1
, ..., a
N
are the distinct values taken by f on the disjoint sets E
1
, ..., E
N
.
Note that f is measurable i each E
k
is measurable.
Theorem 2.6. (Approximation by Simple Functions).
(i) Any (measurable) function f 0 can be represented as the limit of an
increasing sequence of (measurable) simple functions. One such represen-
tation is given by:
f
k
(x) =
_
j
2
k
if
j
2
k
f(x) <
j+1
2
k
, j = 0, ..., k2
k
1
k if f(x) k
where f
k
(x) f(x) as k . Note that we can also write each simple
function f
k
(x) as
f
k
(x) =
K

j=0
j
2
k
I
f[
j
2
k
,
j+1
2
k
)
(x) +kI
fk
(x)
where K := k2
k
1
(ii) Any (measurable) function f can be represented as the limit of a sequence
of (measurable) simple functions. In particular, apply the previous result
to approximate f
+
and f

respectively by increasing simple functions,

and then:
f
+
k
(x) f

k
(x) f
+
(x) f

(x) = f(x)
3 Convergence of Functions
For all that follows, let (, /, ) be a measure space. Let f
n

n=1
be a sequence
of (complex-valued) measurable functions on E /.
Theorem 3.1. (The Set of Convergence). If f
n
is a sequence of functions,
the set on which convergence occurs is characterized by
x : lim
n
f
n
(x) = f(x) =

m=1
_

_
n=1
_

k=n
_
x : [f(x) f
k
(x)[ <
1
m
_
__
=

m=1
_
liminf
n
_
x : [f(x) f
n
(x)[ <
1
m
__
= lim
m
_
liminf
n
_
x : [f(x) f
n
(x)[ <
1
m
__
4
Denition 3.1. (Uniform Convergence). f
n
converges uniformly to f on
if
lim
n
_
sup
x
[f
n
(x) f(x)[
_
= 0.
That is, f
n
f uniformly on if for all > 0, N such that
sup
x
[f
n
(x) f(x)[ , n N.
4 Abstract Lebesgue Integral
4.1 Integral of Nonnegative Functions
4.1.1 Convegence of Integrals of Nonnegative Functions
Theorem 4.1. (Monotone Convergence Theorem). Suppose 0 f
n
f
ae on E. Then for each E /,
_
E
f
n
d
_
E
fd.
Corollary 4.2. Let f, g, f
n

n=1
0 be extended real-valued /-measurable
functions and let E /. Then
(i)
_
E
(f +g)d =
_
E
fd +
_
E
gd
(ii)
_
E

n=1
f
n
d =

n=1
_
E
f
n
d
(iii) If E

n=1
/ are pairwise disjoint and E :=

n=1
E
n
, then
_
E
fd =

n=1
_
En
fd.
(iv) If E

n=1
/ is an increasing sequence of sets, E
n
E :=

n=1
E
n
, and
if f 0 is an extended real-valued /-measurable function, then
_
E
fd =
lim
n
_
En
fd.
4.2 Integral of General Functions
Denition 4.1. (Integral of Extended Real-Valued Function). Let (, /, )
be a measure space. Let f be an extended real-valued /-measurable function
on E /. Then the Lebesgue integral of f over E with respect to is dened
by
_
E
f(x)d(x) =
_
E
fd :=
_
E
f
+
d
_
E
f

d,
as long as at least one of the integrals is nite (in which case the Lebesgue
integral is said to exist). If both integrals are nite,
_
E
f
+
d,
_
E
f

d < ,
then _
E
[f[d :=
_
E
f
+
d +
_
E
f

d < ,
and we say that f is Lebesgue integrable over E, denoted by f L
1
(E, ). If f
is Lebesgue integrable over , we say that f is Lebesgue integrable, denoted by
f L
1
(, ), or simply L
1
().
5
Theorem 4.3. (Properties of Lebesgue Integrals). Let (, /, ) be a
measure space. Let f, g be extended real-valued /-measurable functions on
E /.
(i) f L
1
(E, ) [f[ L
1
(E, ).
(ii) [
_
E
fd[
_
E
[f[d
(iii) If [f[ [g[ -ae in E, and if g L
1
(E, ), then f L
1
(E, ) and
_
E
[f[d
_
E
[g[d.
(iv) If f L
1
(E, ), then f is nite -ae in E.
(v) If f = g -ae in E and
_
E
fd exists, then
_
E
gd exists and
_
E
fd =
_
E
gd.
(vi) If
_
E
fd exits and R, then
_
E
fd exists and
_
E
fd =
_
E
fd.
(vii) If f, g L
1
(E, ), then f + g L
1
(E, ) and
_
E
(f + g)d) =
_
E
fd +
_
E
gd.
(viii) If f 0 and m g M ae on E, then
m
_
E
fd
_
E
fgd M
_
E
fd
Theorem 4.4. (Tchebyshevs Inequality). For > 0,
(x E : [f(x)[ )
1

p
_
{f>}
f
p
Proposition 4.1. (Contructing New Measures). Let (, /, ) be a mea-
sure space. If g : R
+
is a nonnegative /-measurable function, and E /,
then the set function dened by
(E) :=
_
E
gd
is a measure on /. Moreover, if f is /-measurable, then
_

fd =
_

fgd.
Example 4.1. If denotes Lebesgue measure on (R, B(R)), then the standard
normal distribution can be written as
(E) =
_
E
1

2
e
x
2
/2
(dx), E B(R),
and for measurable f we can compute
_
E
f(x)(dx) =
_
E
f(x)
1

2
e
x
2
/2
(dx)
6
4.3 Complex Integrals
When f is complex-valued on , we have
[f[ =
_
(1[f])
2
+ ([f])
2
.
Proposition 4.2. Let f be a complex-valued function on . Then:
(i) [f[ [1[f][ +[[f][
(ii) [1[f][ [f[ and [[f][ [f[
(iii) If f is /-measurable, then so is [f[.
(iv) Let E /. Then [f[ L
1
(E) 1[f], [f] L
1
(E), in which case
_
E
fd =
_
E
1[f]d +i
_
E
[f]d.
5 Convegence of Integrals
For all of the following theorems, let (, /, ) be a measure space. Let f
n

n=1
be a sequence of (complex-valued) measurable functions on E /.
Theorem 5.1. (Monotone Convergence Theorem).
(i) Suppose f
n
f ae on E. If L
1
(E, ) such that f
n
ae on E for
all n, then
_
E
f
n
d
_
E
fd.
(ii) Suppose f
n
f ae on E. If L
1
(E, ) such that f
n
ae on E for
all n, then
_
E
f
n
d
_
E
fd.
Theorem 5.2. (Fatous Lemma).
(i) If L
1
(E, ) such that f
n
ae on E for all n, then
_
E
(liminf
n
f
n
)d liminf
n
_
E
f
n
d
Thus if f
n
f ae on E,
_
E
fd liminf
n
_
E
f
n
d
(ii) If L
1
(E, ) such that f
n
ae on E for all n, then
_
E
(limsup
n
f
n
)d limsup
n
_
E
f
n
d
Thus if f
n
f ae on E,
_
E
fd limsup
n
_
E
f
n
d
7
Theorem 5.3. (Dominated Convergence Theorem). If L
1
(E, )
such that [f
n
[ ae on E for all n, then
(i)
_
E
(liminf
n
f
n
)d liminf
n
_
E
f
n
d
limsup
n
_
E
f
n
d
_
E
(limsup
n
f
n
)d
(ii) Thus if f
n
f ae on E, then f L
1
(E, ) and
_
E
f
n
d
_
E
fd and lim
n
_
E
[f
n
f[d = 0.
There is a more general result that allows for a sequence of bounding func-
tions.
Theorem 5.4. (Extended Dominated Convergence Theorem). Suppose

n
, L
1
(E, ) such that [f
n
[
n
ae on E for all n, such that
n
ae
,
and
_
E
[
n
[d
_
E
[[d. If f
n
f ae on E, then f L
1
(E, ) and
_
E
f
n
d
_
E
fd and lim
n
_
E
[f
n
f[d = 0
Corollary 5.5. (Bounded Convergence Theorem). Suppose (E) < .
Suppose M such that [f
n
[ M, n = 1, 2, ..., and suppose f
n
f ae on E.
Then f L
1
(E, ) and
_
E
f
n
d
_
E
fd.
Theorem 5.6. (Uniform Convergence Theorem). Suppose (E) < .
Suppose f
n
L
1
(E, ), n = 1, 2, ..., and suppose f
n
f uniformly on E. Then
f L
1
(E, ) and
_
E
f
n
d
_
E
fd.
5.1 Some Corollaries I
For all of the following theorems, let (, /, ) be a measure space. Let f
n

n=1
be a sequence of (complex-valued) measurable functions on E /.
Corollary 5.7. Suppose that

n=1
_

[f
n
[d < .
Then

n=1
f
n
converges ae and
_
E

n=1
[f
n
[d =

n=1
_
E
[f
n
[d,
for every E /.
8
Corollary 5.8. (Continuity). Suppose that f L
1
(, ).
(i) Suppose E

n=1
/ is an increasing sequence of sets, so that E
n
E :=

n=1
E
n
. Then
_
E
fd = lim
n
_
En
fd.
(ii) Suppose E

n=1
/ is a decreasing sequence of sets, so that E
n
E :=

n=1
E
n
. Then
_
E
fd = lim
n
_
En
fd.
Corollary 5.9. Suppose that f L
1
(, ), and E

n=1
/ is a sequence of
pairwise disjoint sets, and E :=

n=1
E
n
. Then
_
E
fd =

n=1
_
En
fd.
5.2 Some Approximation Corollaries
For all of the following theorems, let (, /, ) be a measure space.
Corollary 5.10. Suppose that f L
1
(, ).
(i) f is nite ae in .
(ii) Continuity: 0, > 0 such that (E) <
_
E
[f[d < .
(iii) 0, there exists a bounded, /-measurable function g such that
_

[f g[d <
(iv) 0, there exists a simple, /-measurable function h such that
_

[f h[d <
Proof: see Athreya pg. 66.
5.3 Convegence in Measure
For all of the following theorems, let (, /, ) be a measure space, and let
f
n

n=1
be a sequence of (complex-valued) measurable functions on E /.
Denition 5.1. (Convergence in Measure). The sequence f
n
is said to
converge in measure to the measurable function f on E if, > 0,
lim
n
(x E : [f(x) f
n
(x)[ ) = 0.
9
This is denoted by f
n

f on E. In other words, f
n

f on E i > 0,
N such that
(x E : [f(x) f
n
(x)[ ) < , n N.
Denition 5.2. (Cauchy in Measure). The sequence f
n
is said to be
Cauchy in measure if, > 0,
lim
n,m
(x E : [f
m
(x) f
n
(x)[ ) = 0.
Proposition 5.1. (Convergent Implies Cauchy). If the sequence f
n
is
convergent in measure, then it is Cauchy in measure. On complete measure
spaces, this is an i.
Theorem 5.11. (Convergence in Measure Results). Suppose f, g, f
n
, g
n

are measurable on E /.
(i) Fix a R. If f
n
f, (x : f
n
(x) > a) (x : f(x) > a)
(ii) If f
n

f and g
n

g, then (f
n
+g
n
)

(f +g)
(iii) If in addition (E) < , then f
n
g
n

fg.
(iv) If (E) < , f
n

f, g
n
pw
g, and g ,= 0 ae on E, then f
n
/g
n

f/g.
(v) Suppose f
n

f and let g : C C be a continuous function. Then

g f
n

g f . For example:
f
n

f, (f
n
)
p

f
p
Note that f
n
g
n
fg = (f
n
f)(g
n
g) + f(g
n
g) + g(f
n
f), a useful
identity for proving results about products.
Theorem 5.12. (Connection with Convergence Almost Everywhere).
Statements of convergence are understood to be on E /.
(i) First note that f
n
ae
f i > 0,
lim
n

_

_
k=n
x E : [f(x) f
k
(x)[
_
= 0.
(ii) If f
n
ae
f, then f
n

f (as long as (E) < ).

(iii) If f
n

f, then there exists a subsequence f

nj

j=1
on E satisfying
f
nj
ae
f as j . Even more specically, there is a subsequence f
n
k

satisfying

_
x E : [f
n
k
(x) f
n
k+1
(x)[ 2
k

_
2
k
10
Theorem 5.13. (Fatous Lemma for Convergence in Measure). Suppose
that f
n

n=1
0 is a sequence of (complex-valued) /-measurable functions such
that f
n

f on . Then for each E /,

_
E
fd lim
n
_
E
f
n
d.
Theorem 5.14. (DCT for Convergence in Measure). Suppose that f
n

n=1

0 is a sequence of (complex-valued) /-measurable functions such that f
n

f
on . Suppose further that for some g L
1
(, ), g 0, we have [f
n
[ g ae
for every n. Then
_
E
fd = lim
n
_
E
f
n
d.
Thus, the Dominated Convergence Theorem still holds even when almost
everywhere convergence is replaced by convergence in measure. (See Mcdonald
pg. 205 for proof)
6 L
p
Spaces and Convergence
6.1 Denitions
Let (, /, ) be a measure space. For 0 < p < and E /, the class L
p
(E, )
denotes the collection of measurable (complex-valued) functions f : E C for
which
_
E
[f[
p
< . In particular
L
p
(E, ) :=
_
f :
_
E
[f[
p
<
_
, 0 < p < .
We write
|f|
p,E
:=
__
E
[f[
p
_1
p
,
or in the typical case where E ,
|f|
p
:=
__

[f[
p
_1
p
.
For simplicity, we often omit reference to the region of integration, since the
results stated will typically hold whether the integral is taken over the entire
domain , or over some subset E /. In this case, we will still use the simpler
notation
|f|
p
:=
__
[f[
p
_1
p
when the region of integration is either understood or is not a primary concern.
To dene L

spaces, we introduce the following:

ess sup
E
f := inf R : (x E : f(x) > ) = 0,
11
if a nite exists, otherwise if (x E : f(x) > ) > 0 for all R, let
ess sup
E
f := . Thus,
ess sup
E
f = infM [, ] : f(x) M ae in E.
We now write
|f|

= |f|
,E
:= ess sup
E
[f[.
When |F|

< , that is when ess sup

E
[f[ is nite, f is said to be essentially
bounded. We dene L

(E, ) to be the class of all essentially bounded (complex-

valued) functions on E. Specically,
L

= L

(E, ) := f : |f|

< .
Note that
|f|

= infM 0 : [f(x)[ M ae in E.
Theorem 6.1. Suppose (E) < . Then for measurable f : E C,
(i) |f|

= lim
p
|f|
p
.
(ii) If 0 < p
1
< p
2
, then L
p2
L
p1
.
(iii) Let A
f
:= p (0, ) :
_
E
[f[
p
d < . Then
p
1
, p
2
A
f
with p
1
< p
2
[p
1
, p
2
] A
f
Proof: the rst two are given on pg. 126 of W&Z. The third follows by
noting:
_
|f|1
[f[
p
d
_
|f|1
[f[
p2
d, p
1
< p < p
2
and _
|f|1
[f[
p
d
_
|f|1
[f[
p1
d, p
1
< p < p
2
6.2 Integral Inequalities
Let (, /, ) be a measure space.
Theorem 6.2. (Jensens Inequality). Let be a convex function on (a, b).
Let x
1
, ..., x
k
(a, b), and let
1
, ...,
k
0 such that

k
i=1

i
> 0.
(i) Then

_
i

i
x
i

i
_

i
(x
i
)

i
(ii) In particular, if

k
i=1

i
= 1, then

i
x
i
_

i
(x
i
).
12
Proof: see Wheeden and Zygmund pg. 119.
Theorem 6.3. (Jensens Integral Inequality). Let f, g (, /, ) be nite
ae on a set E /. Suppose that fg and g are integrable on E, g 0 and
_
E
gd > 0. Suppose : R R is convex over an interval containing the range
f(E) of f.
(i) Then

_
_
E
fgd
_
E
gd
_

_
E
(f)gd
_
E
gd
(ii) In particular, if
_
E
gd = 1,

__
E
fgd
_

_
E
(f)gd.
Corollary 6.4. (Useful Inequalities). Fix an integer k 1.
(i) Let a
1
, ..., a
k
R and
1
, ...,
k
0 such that

k
i=1

i
= 1. Then
k

i=1

i
expa
i
exp
_
k

i=1

i
a
i
_
(ii) Let b
1
, ..., b
k
0 and
1
, ...,
k
0 such that

k
i=1

i
= 1. Then
k

i=1

i
b
i

k

i=1
b
i
i
,
and in particular
1
k
k

i=1
b
i

_
k

i=1
b
i
_
1
k
(iii) For any a, b R, and 1 p < ,
[a +b[
p
2
p1
([a[
p
+[b[
p
)
Proof: Follow from Jensens Inequality.
Theorem 6.5. (Holders Inequality). Let 1 < p < , q =
p
p1
, f
L
p
(, ),and g L
q
(, ). Then
_
[fg[d
__
[f[
p
d
_1
p
__
[g[
q
d
_1
q
,
that is
|fg|
1
|f|
p
|g|
q
.
13
Corollary 6.6. (Holders Inequality: p = 1, q = ). Let f L
1
(, ),and
g L

(, ). Then since [fg[ [f[|g|

ae, we have
|fg|
1

_
[fg[d |f|
1
|g|

.
Corollary 6.7. (Discrete Holders Inequality). Let k N. Let a
1
, ..., a
k

R, b
1
, ..., b
k
R and c
1
, ..., c
k
0. If 1 < p < , and q :=
p
p1
(so that
1
p
+
1
q
= 1), then
k

i=1
[a
i
b
i
[c
i

_
k

i=1
[a
i
[
p
c
i
_
1
p
_
k

i=1
[b
i
[
q
c
i
_
1
q
Theorem 6.8. (Holders Inequality: Multiple Functions). Let 1 < p
i
<
, and f
i
L
pi
(, ), i = 1, ..., k. Suppose

k
i=1
1
pi
= 1. Then
_

i=1
f
i

d
k

i=1
__
f
pi
i
_ 1
p
i
=
k

i=1
|f
i
|
pi
.
Even more generally, for r 1 satisfying
1
r
=

k
i=1
1
pi
, it holds that
|f
1
f
k
|
r
|f
1
|
p1
|f
k
|
p
k
.
Proof: Use corollary 6.4 (ii).
Theorem 6.9. (Minkowskis Inequality). Let 1 < p < , q =
p
p1
, f, g
L
p
(, ). Then
__
[f +g[
p
d
_1
p

__
[f[
p
d
_1
p
+
__
[g[
p
d
_1
p
that is
|f +g|
p
|f|
p
+|g|
p
.
6.3 Convegence Relations
For all of the following theorems, let (, /, ) be a measure space. Let f
n

n=1
be a sequence of (complex-valued) measurable functions on E /.
Proposition 6.1. If for any p > 0 we have
_
E
[f f
n
[
p
0 as n , then
f
n

f on E. Thus, there exists a subsequence f

nj
satisfying f
nj
f ae in E.
Proposition 6.2. If for any p > 0 we have
_
E
[f f
n
[
p
0 as n and
_
E
[f
n
[
p
M, then
_
E
[f[
p
M.
14
Proposition 6.3. Let f, f
n
L
p
(), for some p > 0.
(i) f
n
L
p
f |f f
n
|
p
0.
(ii) If |f f
n
|
p
0, then|f
n
|
p
|f|
p
(convergence in L
p
implies conver-
gence of the norms).
(iii) Suppose 1 p < . If |f
n
|
p
|f|
p
and f
n
f ae, then |f f
n
|
p
0
(so f
n
L
p
f).
Proposition 6.4. Fix any 1 p < . If f
n
L
p
f, g
n
pw
g, and |g|

M
for all n, then f
n
g
n
L
p
fg.
6.4 Utilizing Riemann-Stieltjes Integrals
On R
n
6.5 Weak Convegence
Denition 6.1. (Weak Convergence). Let f, f
n
L
p
(), for some p > 0.
The sequence f
n
is said to converge weakly to f if
_
f
n
gd
_
fgd for all
g L
p
.
Proposition 6.5. Let f, f
n
L
p
(), for some 1 < p < . If |f
n
|
p
M for
all n, then
_
f
n
gd
_
fgd for all g L
q
, with 1/p + 1/q = 1.
Proposition 6.6. Let f, f
n
L
p
(), for some 1 p . If f
n
L
p
f, then
f
n
f weakly to f.
6.6 Hilbert Spaces
Proposition 6.7. (Parallelogram law for L
2
).
|f +g|
2
+|f g|
2
= 2|f|
2
+ 2|g|
2
Theorem 6.10. (Cauchy-Schwarz Inequality). Let f, g L
2
(, ). Then
_
[fg[d
__
[f[
2
d
_1
2
__
[g[
2
d
_1
2
,
that is
|fg|
1
|f|
2
|g|
2
.
Proof: Follows from Holders inequality with p = q = 2.
Proposition 6.8. Let f, f
n
L
2
(). If f
n
converges weakly to f in L
2
, that
is if
_
f
n
gd
_
fgd for all g L
2
, and if |f
n
|
2
|f|
2
, then f
n
L
2
f. (So
weak convergence plus convergence of the norms implies convergence in L
2
).
15
7 Product Spaces and Iterated Integrals
Theorem 7.1. (Minkowskis Integral Inequality). Let 1 p < and
f L
p
(, ). Then
__

_
f(x, y)dx

p
dy
_
1
p

_ __
[f(x, y)[
p
dy
_1
p
dx.
Proof: see Wheeden p.g 143 (was a class exercise).
8 Basic Topology
Denition 8.1. (Homeomorphism). A mapping f : X Y from a topo-
logical space X to a topological space Y is a homeomorphism if:
(i) f is continuous
(ii) f is bijective (onto, one-to-one)
(iii) f
1
is continuous
9 Normed Linear Spaces
Denition 9.1. (Isomorphism). A linear mapping T : X Y , for normed
linear spaces X, Y is an isomorphism if:
(i) T is continuous: T /(X, Y )
(ii) T is bijective (onto, one-to-one)
(iii) T
1
is continuous
Denition 9.2. (Kernel, Image, Open/Closed Mapping). Let T : X
Y be a linear operator between normed linear spaces. Then:
(i) The kernel of T, kerT, is the set x X : Tx = 0
(ii) The image of T, T(X) = Tx : x X
(iii) T is open if T(U) is open in Y for every U open in X.
(iv) T is closed if for every x
n
X s.th x
n
x
0
and T(x
n
) y
0
, then
T(x
0
) = y
0
.
Proposition 9.1. Let T : X Y be a linear operator between normed linear
spaces. Then T is injective kerT = 0.
Proposition 9.2. Let T : X Y be a linear operator between Banach spaces
X, Y . Then:
16
(i) If T is injective and continuous, then T is open T
1
is continuous from
T(X) to X.
(ii)
Theorem 9.1. (The Open Mapping Theorem) If X, Y are Banach spaces,
and T /(X, Y ), then T(X) is a closed subspace of Y T is open.
17