NOTES ON Lp AND SOBOLEV SPACES

STEVE SHKOLLER

1. Lp spaces
1.1. Definitions and basic properties.
Definition 1.1. Let 0 < p < and let (X, M, ) denote a measure space. If
f : X R is a measurable function, then we define
Z
 p1
p
kf kLp (X) :=
|f | dx
and kf kL (X) := ess supxX |f (x)| .
X

Note that kf kLp (X) may take the value .

Definition 1.2. The space Lp (X) is the set
Lp (X) = {f : X R | kf kLp (X) < } .
The space Lp (X) satisfies the following vector space properties:
(1) For each R, if f Lp (X) then f Lp (X);
(2) If f, g Lp (X), then
|f + g|p 2p1 (|f |p + |g|p ) ,
so that f + g Lp (X).
(3) The triangle inequality is valid if p 1.
The most interesting cases are p = 1, 2, , while all of the Lp arise often in nonlinear
estimates.
Definition 1.3. The space lp , called little Lp , will be useful when we introduce
Sobolev spaces on the torus and the Fourier series. For 1 p < , we set
)
(

X
p
p

l = {xn }n=1 |
|xn | < .
n=1

1.2. Basic inequalities.

Lemma 1.4. For (0, 1), x (1 ) + x.
Proof. Set f (x) = (1 ) + x x ; hence, f 0 (x) = x1 = 0 if and only if
(1 x1 ) = 0 so that x = 1 is the critical point of f . In particular, the minimum
occurs at x = 1 with value
f (1) = 0 (1 ) + x x .

Lemma 1.5. For a, b 0 and (0, 1), a b1 a + (1 )b with equality if
a = b.
Date: March 19, 2009.
1

STEVE SHKOLLER

Proof. If either a = 0 or b = 0, then this is trivially true, so assume that a, b > 0.

Set x = a/b, and apply Lemma 1 to obtain the desired inequality.

Theorem 1.6 (H
olders inequality). Suppose that 1 p and 1 < q < with
1
1
+
=
1.
If
f

Lp and g Lq , then f g L1 . Moreover,

p
q
kf gkL1 kf kLp kgkLq .
Note that if p = q = 2, then this is the Cauchy-Schwarz inequality since kf gkL1 =
|(f, g)L2 |.
Proof. We use Lemma 1.5. Let = 1/p and set
p

a=

|f |
|g|
p , and b =
q
kf kLp
kgkLp

for all x X. Then a b1 = a1/p b11/p = a1/p b1/q so that

|f | |g|
1 |f |p
1 |g|q

.
p +
kf kLp kgkLq
p kf kLp
q kgkqLq
Integrating this inequality yields

Z
Z 
|f | |g|
1 |f |p
1 |g|q
1 1
dx
+
dx = + = 1 .
p
q
p
q
kf
k
kgk
p
kf
k
q
kgk
p
q
p
q
L
L
X
X
L
L

Definition 1.7. q =

p
p1

or

1
q

=1

1
p

is called the conjugate exponent of p.

Theorem 1.8 (Minkowskis inequality). If 1 p and f, g Lp then

kf + gkLp kf kLp + kgkLp .
Proof. If f + g = 0 a.e., then the statement is trivial. Assume that f + g 6= 0 a.e.
Consider the equality
|f + g|p = |f + g| |f + g|p1 (|f | + |g|)|f + g|p1 ,
and integrate over X to find that
Z
Z


|f + g|p dx
(|f | + |g|)|f + g|p1 dx
X

X
H
olders

Since q =

(kf kLp + kgkLp ) |f + g|p1 Lq .

p
p1 ,

|f + g|p1 q =
L
from which it follows that
Z

Z

 q1
,
|f + g| dx
p

1 q1
|f + g| dx
kf kLp + kgkLq ,
p

which completes the proof, since

1
p

= 1 1q .

Corollary 1.9. For 1 p , Lp (X) is a normed linear space.

NOTES ON Lp AND SOBOLEV SPACES

Example 1.10. Let denote a (Lebesgue) measure-1 subset of Rn . If f L1 ()

satisfies f (x) M > 0 for almost all x , then log(f ) L1 () and satisfies
Z
Z
log f dx log( f dx) .

To see this, consider the function g(t) = t 1 log t for t > 0. Compute g 0 (t) =
1 1t = 0 so t = 1 is a minimum (since g 00 (1) > 0). Thus, log t t 1 and letting
t 7 1t we see that
1
1 log t t 1 .
(1.1)
t
Since log x is continuous and f is measurable, then log f is measurable for f > 0.
Let t = kff (x)
k 1 in (1.1) to find that
L

kf kL1
f (x)
log f (x) log kf kL1
1.
f (x)
kf kL1

(1.2)

Since g(x) log f (x) h(x) for two integrable functions g and h, it followsthat
R
log f (x) is integrable. Next, integrate (1.2) to finish the proof, as X kff (x)
kL1 1 dx =
0.
1.3. The space (Lp (X), k kLp (X) is complete. Recall the a normed linear space
is a Banach space if every Cauchy sequence has a limit in that space; furthermore,
recall that a sequence xn x in X if limn kxn xkX = 0.
The proof of completeness makes use of the following two lemmas which are
restatements of the Monotone Convergence Theorem and the Dominated Convergence Theorem, respectively.
Lemma 1.11 (MCT). If fn L1 (X), 0 f1 (x) f2 (x) , and kfn kL1 (X)
C < , then limn fn (x) = f (x) with f L1 (X) and kfn f kL1 0 as n 0.
Lemma 1.12 (DCT). If fn L1 (X), limn fn (x) = f (x) a.e., and if g
L1 (X) such that |fn (x)| |g(x)| a.e. for all n, then f L1 (X) and kfn f kL1 0.
Proof. Apply the Dominated Convergene Theorem to the sequence hn = |fn f |
0 a.e., and note that |hn | 2g.

Theorem 1.13. If 1 p < then Lp (X) is a Banach space.
Proof. Step 1. The Cauchy sequence. Let {fn }
n=1 denote a Cauchy sequence
in Lp , and assume without loss of generality (by extracting a subsequence if necessary) that kfn+1 fn kLp 2n .
Step 2. Conversion to a convergent monotone sequence. Define the sequence {gn }
n=1 as
g1 = 0, gn = |f1 | + |f2 f1 | + + |fn fn1 |

for n 2 .

It follows that
0 g1 g2 gn
so that gn is a monotonically increasing sequence. Furthermore, {gn } is uniformly
bounded in Lp as
!p
Z

X
p
p
gn dx = kgn kLp kf1 kLp +
kfi fi1 kLp
(kf kLp + 1)p ;
X

i=2

STEVE SHKOLLER

thus, by the Monotone Convergence Theorem, gnp % g p a.e., g Lp , and gn g

a.e.
Step 3. Pointwise convergence of {fn }. For all k 1,
|fn+k fn | = |fn+k fn+k1 + fn+k1 + fn+1 + fn+1 fn |

k+1
X

|fi fi1 | = gn+k gn 0 a.e.

i=n+1

Therefore, fn f a.e. Since

|fn | |f1 | +

n
X

|fi fi1 | gn g for all n N ,

i=2

it follows that |f | g a.e. Hence, |fn |p g p , |f |p g p , and |f fn |p 2g p , and

by the Dominated Convergence Theorem,
Z
Z
|f fn |p dx =
lim |f fn |p dx = 0 .
lim
n

X n


1.4. Convergence criteria for Lp functions. If {fn } is a sequence in Lp (X)
which converges to f in Lp (X), then there exists a subsequence {fnk } such that
fnk (x) f (x) for almost every x X (denoted by a.e.), but it is in general not true
that the entire sequence itself will converge pointwise a.e. to the limit f , without
some further conditions holding.
Example 1.14. Let X = [0, 1], and consider the subintervals

 
 
 
 
 
 
 
 
 

1
1
1
1
1
1 2
2
1 2
2 3
3
0,
, , 1 , 0,
, ,
, , 1 , 0,
, ,
, ,
, , 1 , 0,
,
2
2
3
3 3
3
4
4 4
4 4
4
5
Let fn denote the indicator function of the nth interval of the above sequence. Then
kfn kLp 0, but fn (x) does not converge for any x [0, 1].
Example 1.15. Set X = R, and for n N, set fn = 1[n,n+1] . Then fn (x) 0 as
n , but kfn kLp = 1 for p [1, ); thus, fn 0 pointwise, but not in Lp .
Example 1.16. Set X = [0, 1], and for n N, set fn = n1[0, n1 ] . Then fn (x) 0
a.e. as n , but kfn kL1 = 1; thus, fn 0 pointwise, but not in Lp .
Theorem 1.17. For 1 p < , suppose that {fn } Lp (X) and that fn (x)
f (x) a.e. If limn kfn kLp (X) = kf kLp (X) , then fn f in Lp (X).

p
Proof. Given a, b 0, convexity implies that a+b
12 (ap + bp ) so that (a + b)p
2
2p1 (ap + bp ), and hence |a b|p 2p1 (|a|p + |b|p ). Set a = fn and b = f to obtain
the inequality
0 2p1 (|fn |p + |f |p ) |fn f |p .
Since fn (x) f (x) a.e.,
Z
Z


2p
|f |p dx =
lim 2p1 (|fn |p + |f |p ) |fn f |p dx .
X

X n

Thus, Fatous lemma asserts that

Z
Z
p
p
2
|f | dx lim inf
X

2p1 (|fn |p + |f |p ) |fn f |p dx

NOTES ON Lp AND SOBOLEV SPACES

Since kfn kLp (X) kf kLp (X) , we see lim supn kfn f kLp (X) = 0.

1.5. The space L (X).

Definition 1.18. With kf kL (X) = inf{M 0 | |f (x)| M a.e.}, we set
L (X) = {f : X R | kf kL (X) < } .
Theorem 1.19. (L (X), k kL (X) ) is a Banach space.
Proof. Let fn be a Cauchy sequence in L (X). It follows that |fn fm | kfn
fm kL (X) a.e. and hence fn (x) f (x) a.e., where f is measurable and essentially
bounded.
Choose  > 0 and N () such that kfn fm kL (X) <  for all n, m N (). Since
|f (x) fn (x)| = limm |fm (x) fn (x)|  holds a.e. x X, it follows that
kf fn kL (X)  for n N (), so that kfn f kL (X) 0.

Remark 1.20. In general, there is no relation of the type Lp Lq . For example,
1
suppose that X = (0, 1) and set f (x) = x 2 . Then f L1 (0, 1), but f 6 L2 (0, 1).
On the other hand, if X = (1, ) and f (x) = x1 , then f L2 (1, ), but f 6
L1 (1, ).
Lemma 1.21 (Lp comparisons). If 1 p < q < r , then (a) Lp Lr Lq ,
and (b) Lq Lp + Lr .
Proof. We begin with (b). Suppose that f Lq , define the set E = {x X :
|f (x)| 1}, and write f as
f = f 1E + f 1E c
= g + h.
Our goal is to show that g Lp and h Lr . Since |g|p = |f |p 1E |f |q 1E and
|h|r = |f |r 1E c |f |q 1E c , assertion (b) is proven.
For (a), let [0, 1] and for f Lq ,
Z
kf kLq =

|f |q dx

 q1

Z
=

 q1
|f |q |f |(1)q d

(1)q

kf kq
Lp kf kLr

 q1

(1)

= kf kLp kf kLr

.


Theorem 1.22. If (X) and q > p, then Lq Lp .

Proof. Consider the case that q = 2 and p = 1. Then by the Cauchy-Schwarz
inequality,
Z
Z
p
|f |dx =
|f | 1 dx kf kL2 (X) (X) .
X

STEVE SHKOLLER

1.6. Approximation of Lp (X) by simple functions.

Pn
Lemma 1.23. If p [1, ), then the set of simple functions f = i=1 ai 1Ei , where
each Ei is an element of the -algebra A and (Ei ) < , is dense in Lp (X, A, ).
Proof. If f Lp , then f is measurable; thus, there exists a sequence {n }
n=1 of
simple functions, such that n f a.e. with
0 |1 | |2 | |f |,
i.e., n approximates f from below.
Recall that |n f |p 0 a.e. and |n f |p 2p |f |p L1 , so by the Dominated
Convergence Theorem, kn f kLp 0.
Now, suppose that the set Ei are disjoint; then b definition of the Lebesgue
integral,
Z
n
X
pn dx =
|ai |p (Ei ) < .
X

i=1

If ai 6= 0, then (Ei ) < .

1.7. Approximation of Lp () by continuous functions.

Lemma 1.24. Suppose that Rn is bounded. Then C 0 () is dense in Lp ()
for p [1, ).
Proof. Let K be any compact subset of . The functions
1
C 0 () satisfy FK ,n 1 ,
FK ,n (x) =
1 + n dist(x, K)
and decrease monotonically to the characteristic function 1K . The Monotone Convergence Theorem gives
fK ,n 1K in Lp (), 1 p < .
Next, let A be any measurable set, and let denote the Lebesgue measure.
Then
(A) = sup{(K) : K A, K compact} .
It follows that there exists an increasing sequence of Kj of compact subsets of A
such that (A\ j Kj ) = 0. By the Monotone Convergence Theorem, 1Kj 1A in
Lp () for p [1, ). According to Lemma 1.23, each function in Lp () is a norm
limit of simple functions, so the lemma is proved.

1.8. Approximation of Lp () by smooth functions. For Rn open, for
 > 0 taken sufficiently small, define the open subset of by
 := {x | dist(x, ) > } .
Definition 1.25 (Mollifiers). Define C (Rn ) by

2
1
if |x| < 1
Ce(|x| 1)
(x) :=
,
0
if |x| 1
R
with constant C > 0 chosen such that Rn (x)dx = 1.
For  > 0, the standard sequence of mollifiers on Rn is defined by
 (x) = n (x/) ,
and satisfy

R
Rn

 (x)dx = 1 and spt( ) B(0, ).

NOTES ON Lp AND SOBOLEV SPACES

Definition 1.26. For Rn open, set

} ,
Lploc () = {u : R | u Lp ()
means that there exists K compact such that
K . We say
where
is compactly contained in .
that
Definition 1.27 (Mollification of L1 ). If f L1loc (), define its mollification
f  =  f in  ,
so that
f  (x) =

Z
 (x y)f (y)dy =

 (y)f (x y)dy x  .
B(0,)

Theorem 1.28 (Mollification of Lp ()).

(A)
(B)
(C)
(D)

f  C ( ).
f  f a.e. as  0.
If f C 0 (), then f  f uniformly on compact subsets of .
If p [1, ) and f Lploc (), then f  f in Lploc ().

Proof. Part (A). We rely on the difference quotient approximation of the partial
derivative. Fix x  , and choose h sufficiently small so that x + hei  for
i = 1, ..., n, and compute the difference quotient of f  :
 



Z
1
x + hei y
xy
f  (x + hei ) f (x)
= n

f (y)dy


h
h
 



Z
1
x + hei y
xy
= n

f (y)dy


h

. On ,

for some open set

 







x + hei y
xy
1 x y
xy
1
n 

=
=
,
lim
h0 h


 xi

xi

so by the Dominated Convergence Theorem,
Z
f

(x) =
(x y)f (y)dy .
xi
xi
A similar argument for higher-order partial derivatives proves (A).
Step 2. Part (B). By the Lebesgue differentiation theorem,
Z
1
lim
|f (y) f (x)|dy for a.e. x .
0 |B(x, )| B(x,)
Choose x for which this limit holds. Then
Z
|f (x) f (x)|
 (x y)|f (y) f (x)|dy
B(x,)
Z
1
= n
((x y)/)|f (y) f (x)|dy
 B(x,)
Z
C

|f (x) f (y)|dy 0
|B(x, )| B(x,)

as

 0.

STEVE SHKOLLER

, the above inequality shows that if f C 0 () and

Step 3. Part (C). For
then f  (x) f (x) uniformly on .

hence uniformly continuous on ,

Step 4. Part (D). For f Lploc (), p [1, ), choose open sets U D ;
then, for  > 0 small enough,
kf  kLp (U ) kf kLp (D) .
To see this, note that
Z

|f (x)|
 (x y)|f (y)|dy
B(x,)
Z
=
 (x y)(p1)/p  (x y)1/p |f (y)|dy
B(x,)

!(p1)/p

 (x y)dy
B(x,)

!1/p
 (x y)|f (y)|p dy

B(x,)

so that for  > 0 sufficiently small

Z
Z Z

p
|f (x)| dx
 (x y)|f (y)|p dydx
U

B(x,)

|f (y)|
D

 (x y)dx dy
B(y,)

|f (y)|p dy .

Since C 0 (D) is dense in Lp (D), choose g C 0 (D) such that kf gkLp (D) < ;
thus
kf  f kLp (U ) kf  g  kLp (U ) + kg  gkLp (U ) + kg f kLp (U )
2kf gkLp (D) + kg  gkLp (U ) 2 + kg  gkLp (U ) .

1.9. Continuous linear functionals on Lp (X). Let Lp (X)0 denote the dual
space of Lp (X). For Lp (X)0 , the operator norm of is defined by kkop =
supLp (X)=1 |(f )|.
Theorem 1.29. Let p (1, ], q =
as

p
p1 .

For g Lq (X), define Fg : Lp (X) R

Z
Fg (f ) =

f gdx .
X

Then Fg is a continuous linear functional on Lp (X) with operator norm kFg kop =
kgkLp (X) .
Proof. The linearity of Fg again follows from the linearity of the Lebesgue integral.
Since
Z
 Z



|Fg (f )| =  f gdx
|f g| dx kf kLp kgkLq ,
X

with the last inequality following from Holders inequality, we have that supkf kLp =1 |Fg (f )|
kgkLq .

NOTES ON Lp AND SOBOLEV SPACES

For the reverse inequality let f = |g|q1 sgn g. f is measurable and in Lp since
q
|f | = |f | q1 = |g|q and since f g = |g|q ,
Z
 p1 + q1
Z
Z
q
q
Fg (f ) =
f gdx =
|g| dx =
|g| dx
p

Z
=
X

so that kgkLq =

 p1 Z
 q1
p
q
|f | dx
|g | dx
= kf kLp kgkLq
X

Fg (f )
kFg kop .
kf kLp

Remark 1.30. Theorem 1.29 shows that for 1 < p , there exists a linear
isometry g 7 Fg from Lq (X) into Lp (X)0 , the dual space of Lp (X). When p = ,
g 7 Fg : L1 (X) L (X)0 is rarely onto (L (X)0 is strictly larger than L1 (X));
on the other hand, if the measure space X is -finite, then L (X) = L1 (X)0 .
1.10. A theorem of F. Riesz.
Theorem 1.31 (Representation theorem). Suppose that 1 < p < and
p
such that
Lp (X)0 . Then there exists g Lq (X), q = p1
Z
(f ) =
f gdx f Lp (X) ,
X

and kkop = kgk .

Lq

Corollary 1.32. For p (1, ) the space Lp (X, ) is reflexive, i.e., Lp (X)00 =
Lp (X).
The proof Theorem 1.31 crucially relies on the Radon-Nikodym theorem, whose
statement requires the following definition.
Definition 1.33. If and are measure on (X, A) then  if (E) = 0 for
every set E for which (E) = 0. In this case, we say that is absolutely continuous
with respect to .
Theorem 1.34 (Radon-Nikodym). If and are two finite measures on X, i.e.,
(X) < , (X) < , and  , then
Z
Z
F (x) d(x) =
F (x)h(x)d(x)
(1.3)
X

holds for some nonnegative function h L1 (X, ) and every positive measurable
function F .
Proof. Define measures = + 2 and = 2 + , and let H = ZL2 (X, ) (a
Hilbert space) and suppose : L2 (X, ) R is defined by (f ) =
f d. We
X

show that is a bounded linear functional since

Z
 Z
Z


|(f )| =  f d(2 + )
|f | d(2 + 4) = 2
|f | d
X
X
X
p
kf kL2 (x,) (X) .

10

STEVE SHKOLLER

Thus, by the Riesz representation theorem, there exists g L2 (X, ) such that
Z
Z
(f ) =
f d =
f g d ,
X

which implies that

Z

Z
f (2g 1)d =

f (2 g)d .

(1.4)

2g
F
and h = 2g1
then
Given 0 F a measurable function on X, if we set f = 2g1
R
F d = X F h dx which is the desired result, if we can prove that 1/2 g(x) 2.
X
Define the sets




1
1
1
1
2
and En = x X | g(x) > 2 +
.
En = x X | g(x) <
2 n
n

By substituting f = 1Enj , j = 1, 2 in (1.4), we see that

(Enj ) = (Enj ) = 0 for j = 1, 2 ,
from which the bounds 1/2 g(x) 2 hold. Also ({x X | g(x) = 1/2}) = 0
and ({x X | g(x) = 2}) = 0. Notice that if F = 1, then h L1 (X).

Remark 1.35. The more general version of the Radon-Nikodym theorem. Suppose

that (X) < , is a finite signed measure (by the Hahn decomposition,
R
R = +
+
1
) such that  ; then, there exists h L (X, ) such that X F d = X F h d.
Lemma 1.36 (Converse to Holders inequality). Let (X) < . Suppose that g
is measurable and f g L1 (X) for all simple functions f . If


Z


 : f is a simple function < ,

(1.5)
f
g
d
M (g) = sup


kf kLp =1

then g Lq (X), and kgkLq (X) = M (g).

Proof. Let n be a sequence of simple functions such that n g a.e. and |n |
|g|. Set
q1
|n |
sgn (n )
fn =
q1
kn kLq
so that kfn kLp = 1 for p = q/(q 1). By Fatous lemma,
Z
kgkLq (X) lim inf kn kLq (X) = lim inf
|fn n |d .
n

Since n g a.e., then

Z
kgkLq (X) lim inf
n

Z
|fn n |d lim inf
n

|fn g|d M (g) .

X

The reverse inequality is implied by Holders inequality.

Proof of the Lp (X)0 representation theorem. We have already proven that there exists a natural inclusion : Lq (X) Lp (X)0 which is an isometry. It remains to
show that is surjective.
Let Lp (X)0 and define a set function on measurable subsets E X by
Z
(E) =
1E d =: (1E ) .
X

NOTES ON Lp AND SOBOLEV SPACES

11

Thus, if (E) = 0, then (E) = 0. Then

Z
f d =: (f )
X

for all simple functions f , and by Lemma 1.23, this holds for all f Lp (X). By
the Radon-Nikodym theorem, there exists 0 g L1 (X) such that
Z
Z
f d =
f g d f Lp (X) .
X

But

(f ) =

f d =
X

f g d

(1.6)

and since Lp (X)0 , then M (g) given by (1.5) is finite, and by the converse to
H
olders inequality, g Lq (X), and kkop = M (g) = kgkLq (X) .

1.11. Weak convergence. The importance of the Representation Theorem 1.31
is in the use of the weak-* topology on the dual space Lp (X)0 . Recall that for a

Banach space B and for any sequence j in the dual space B0 , j * in B0 weak-*,
if hj , f i h, f i for each f B, where h, i denotes the duality pairing between
B0 and B.
Theorem 1.37 (Alaoglus Lemma). If B is a Banach space, then the closed unit
ball in B0 is compact in the weak -* topology.
Definition 1.38. For 1 p < , a sequence {fn } Lp (X) is said to weakly
converge to f Lp (X) if
Z
Z
p
.
fn (x)(x)dx
f (x)(x)dx Lq (X), q =
p1
X
X
We denote this convergence by saying that fn * f in Lp (X) weakly.
Given that Lp (X) is reflexive for p (1, ), a simple corollary of Alaoglus
Lemma is the following
Theorem 1.39 (Weak compactness for Lp , 1 < p < ). If 1 < p < and {fn }
is a bounded seequence in Lp (X), then there exists a subsequence {fn k } such that
fn k * f in Lp (X) weakly.
Definition 1.40. A sequence {fn } L (X) is said to converge weak-* to f
L (X) if
Z
Z
fn (x)(x)dx
f (x)(x)dx L1 (X) .
X

We denote this convergence by saying that fn * f in L (X) weak-*.

Theorem 1.41 (Weak-* compactness for L ). If {fn } is a bounded sequence in

L (X), then there exists a subsequence {fn k } such that fn k * f in L (X) weak-*.
Lemma 1.42. If fn f in Lp (X), then fn * f in Lp (X).
Proof. By H
olders inequality,
Z



 g(fn f )dx kfn f kLp kgkLq .


X

12

STEVE SHKOLLER

Note that if fn is weakly convergent, in general, this does not imply that fn is
strongly convergent.
Example 1.43. If p = 2, let fn denote any orthonormal sequence in L2 (X). From
Bessels inequality

Z
X


 fn gdx kgk2 2
L (X) ,


X

n=1

we see that fn * 0 in L (X).

This example shows that the map f 7 kf kLp is continuous, but not weakly
continuous. It is, however, weakly lower-semicontinuous.
Theorem 1.44. If fn * f weakly in Lp (X), then kf kLp lim inf n kfn kLp .
Proof. As a consequence of Theorem 1.31,

Z


 f gdx =
kf kLp (X) =
sup


kgkLq (X) =1

sup

sup
kgkLq (X) =1


Z


lim  fn gdx
n
X

lim inf kfn kLp kgkLq .

kgkLq (X) =1 n


Theorem 1.45. If fn * f in Lp (X), then fn is bounded in Lp (X).
Theorem 1.46. Suppose that Rn is a bounded. Suppose that
sup kfn kLp () M <

and

fn f a.e.

If 1 < p < , then fn * f in Lp ().

Proof. Egoroffs theorem states that for all  > 0, there exists E such that
c
(E) <  and
fn * f in Lp () for
R fn f uniformly on E . qBy definition,
p
p (1, ) if (fn f )gdx 0 for all g L (), q = p1 . We have the inequality
Z
Z
Z
(fn f )gdx
|fn f | |g| dx +
|fn f | |g| dx .

Ec

Choose n N sufficiently large, so that |fn (x) f (x)| for all x E c . By

H
olders inequality,
Z
|fn f | |g| dx kfn f kLp (E c ) kgkLq (E c ) (E c )kgkLq () C
Ec

for a constant C < .

By the Dominated Convergence Theorem, kfn f kLp () 2M so by Holders
inequality, the integral over E is bounded by 2M kgkLq (E) . Next, we use the fact
that the integral is continuous with respect to the measure of the set over which
the integral is taken. In particular, if 0 h is integrable, then Rfor all > 0, there
exists  > 0 such that if the set E has measure (E ) < , then E hdx . To see
this, either approximate Rh by simple functions, or use the Dominated Convergence
theorem for the integral 1E (x)h(x)dx.


NOTES ON Lp AND SOBOLEV SPACES

13

Remark 1.47. The proof of Theorem 1.46 does not work in the case that p = 1,
as H
olders inequality gives
Z
|fn f | |g| dx kfn f kL1 () kgkL (E) ,
E

so we lose the smallness of the right-hand side.

Remark 1.48. Suppose that E X is bounded and measurable, and let g = 1E .
If fn * f in Lp (X), then
Z
Z
fn (x)dx
f (x)dx;
E

hence, if fn * f , then the average of fn converges to the average of f pointwise.

1.12. Integral operators. If u : Rn R satisfies certain integrability conditions,
then we can define the operator K acting on the function u as follows:
Z
Ku(x) =
k(x, y)u(y)dy ,
Rn

where k(x, y) is called the integral kernel.The mollification procedure, introduced

in Definition 1.27, is one example of the use of integral operators; the Fourier
transform is another.
Definition 1.49. Let L(Lp (Rn ), Lp (Rn )) denote the space of bounded linear operators from Lp (Rn ) to itself. Using the Representation Theorem 1.31, the natural
norm on L(Lp (Rn ), Lp (Rn )) is given by

Z


Kf (x)g(x)dx .
kKkL(Lp (Rn ),Lp (Rn )) = sup
sup 
kf kLp =1 kgkLq =1
Rn
R
Theorem 1.50. Let 1 p < , Ku(x) = Rn k(x, y)u(y)dy, and suppose that
Z
Z
|k(x, y)|dx C1 y Rn and
|k(x, y)|dy C2 x Rn ,
Rn
p

Rn
p

where 0 < C1 , C2 < . Then K : L (R ) L (Rn ) is bounded and

p1

kKkL(Lp (Rn ),Lp (Rn )) C1p C2 p .

In order to prove Theorem 1.50, we will need another well-known inequality.
Lemma 1.51 (Cauchy-Young Inequality). If
p

ab

1
p
q

1
q

= 1, then for all a, b 0,

b
a
+ .
p
q

Proof. Suppose that a, b > 0, otherwise the inequality trivially holds.

ab = exp(log(ab)) = exp(log a + log b) (since a, b > 0)


1
1
p
q
= exp
log a + log b
p
q
1
1
exp(log ap ) + exp(log bq ) (using the convexity of exp)
p
q
ap
bq
=
+
p
q
where we have used the condition

1
p

1
q

= 1.

14

STEVE SHKOLLER

Lemma 1.52 (Cauchy-Young Inequality with ). If

ab ap + C bq ,

1
1
p+q

= 1, then for all a, b 0,

> 0,

with C = (p)q/p q 1 .
Proof. This is a trivial consequence of Lemma 1.51 by setting
ab = a (p)1/p

b
.
(p)1/p

p

Proof of Theorem 1.50. According to Lemma 1.51, |f (y)g(x)| |f (y)|

+ |g(x)|
so
p
q
that
Z Z





 n n k(x, y)f (y)g(x)dydx
R
R
Z Z
Z Z
|k(x, y)|
|k(x, y)|
p

dx|f (y)| dy +
dy|g(x)|q dx
p
q
n
n
n
n
R
R
R
R
C1
C2

kf kpLp +
kgkqLq .
p
q
To improve this bound, notice that

Z Z




 n n k(x, y)f (y)g(x)dydx
R
R
Z Z
Z Z
|k(x, y)|
|k(x, y)|

dx|tf (y)|p dy +
dy|t1 g(x)|q dx
p
q
Rn Rn
Rn Rn
C1 tp
C2 tq

kf kpLp +
kgkqLq =: F (t) .
p
q
Find the value of t for which F (t) has a minimum to establish the desired bounded.

Theorem 1.53 (Simple version of Youngs inequality). Suppose that k L1 (Rn )
and f Lp (Rn ). Then
kk f kLp kkkL1 kf kLp .
Proof. Define
Z
Kk (f ) = k f :=

k(x y)f (y)dy .

Rn

Let C1 = C2 = kkkL1 (Rn ) . Then according to Theorem 1.50, Kk : Lp (Rn )

Lp (Rn ) and kKk kL(Lp (Rn ),Lp (Rn )) C1 .

Theorem 1.50 can easily be generalized to the setting of integral operators K :
Lq (Rn ) Lr (Rn ) built with kernels k Lp (Rn ) such that 1 + 1r = p1 + 1q . Such a
generalization leads to
Theorem 1.54 (Youngs inequality). Suppose that k Lp (Rn ) and f Lq (Rn ).
Then
1
1 1
kk f kLr kkkLp kf kLq for 1 + = + .
r
p q

NOTES ON Lp AND SOBOLEV SPACES

15

1.13. Appendix 1: The Fubini and Tonelli Theorems. Let (X, A, ) and
(Y, B, ) denote two fixed measure spaces. The product -algebra A B of subsets
of X Y is defined by
A B = {A B : A A, B B}.
The set function : A B [0, ] defined by
( )(A B) = (A) (B)
for each A B A B is a measure.
Theorem 1.55 (Fubini). Let f : X Y R be a -integrable function. Then
both iterated integrals exist and
Z
Z Z
Z Z
f d( ) =
f dd =
f dd .
XY

The existence of the iterated integrals is by no means enough to ensure that the
function is integrable over the product space. As an example, let X = Y = [0, 1]
and = = with the Lebesgue measure. Set
(
x2 y 2
(x, y) 6= (0, 0)
2 +y 2 )2 ,
(x
.
f (x, y) =
0, (x, y) = (0, 0)
Then compute that
Z 1
0

f (x, y)dxdy = ,
4

f (x, y)dydx =
0

.
4

Fubinis theorem shows, of course, that f is not integrable over [0, 1]2
There is a converse to Fubinis theorem, however, according to which the existence of one of the iterated integrals is sufficient for the integrability of the function
over the product space. The theorem is known as Tonellis theorem, and this result
is often used.
Theorem 1.56 (Tonelli). Let (X, A, ) and (Y, B, ) denote two -finite measure
spaces, and let fR : RX Y R Rbe Ra -measurable function. If one of the
iterated integrals X Y |f |dd or Y X |f |dd exists, then the function f is integrable and hence, the other iterated integral exists and
Z
Z Z
Z Z
f d( ) =
f dd =
f dd .
XY

2. Sobolev Spaces
2.1. Weak derivatives.
Definition 2.1 (Test functions). For Rn , set
C0 () = {u C () | spt(u) V },
the smooth functions with compact support. Traditionally D() is often used to
denote C0 (), and D() is often referred to as the space of test functions.
For u C 1 (R), we can define du
dx by the integration-by-parts formula; namely,
Z
Z
du
d
(x)(x)dx = u(x) (x)dx C0 (R) .
dx
dx
R
R
Notice, however, that the right-hand side is well-defined, whenever u L1loc (R)

16

STEVE SHKOLLER

Definition 2.2. An element Zn is called a multi-index. For such an =

1
n
(1 , ..., n ), we write D = x
x
and || = 1 + n .

Example 2.3. Let n = 2. If || = 0, then = (0, 0); if || = 1, then = (1, 0) or

= (0, 1). If || = 2, then = (1, 1).
Definition 2.4 (Weak derivative). Suppose that u L1loc (). Then v L1loc ()
is called the th weak derivative of u, written v = D u, if
Z
Z

||
u(x) D (x)dx = (1)
v (x)(x)dx C0 () .

Example 2.5. Let n = 1 and set = (0, 2). Define the function

x, 0 x < 1
u(x) =
.
1, 1 x 2
Then the function


1, 0 x < 1
0, 1 x 2
is the weak derivative of u. To see this, note that for C0 (0, 2),
Z 2
Z 1
Z 2
d
d
d
u(x) (x)dx =
(x)dx
x (x)dx +
dx
dx
0
0
1 dx
Z 1
Z 1
1
2
=
(x)dx + x|0 + |1 =
(x)dx
v(x) =

Z
=

v(x)(x)dx .
0

Example 2.6. Let n = 1 and set = (0, 2). Define the function

x, 0 x < 1
u(x) =
.
2, 1 x 2
Then the weak derivative does not exist!
To prove this, assume for the sake of contradiction that there exists v L1loc ()
such that for all C0 (0, 2),
Z 2
Z 2
d
v(x)(x)dx =
u(x) (x)dx .
dx
0
0
Then
Z 2
Z 1
Z 2
d
d
v(x)(x)dx =
x (x)dx 2
(x)dx
dx
0
0
1 dx
Z 1
=
(x)dx (1) + 2(1)
0

Z
=

(x)dx + (1) .
0
C0 (0, 2)

Suppose that j is a sequence in

x 6= 1. Then
Z 1
Z
1 = j (1) =
j (x)dx =
0

which provides the contradiction.

such that j (1) = 1 and j (x) 0 for

Z
v(x)j (x)dx

j (x)dx 0 ,
0

NOTES ON Lp AND SOBOLEV SPACES

17

Definition 2.7. For p [1, ], define W 1,p () = {u Lp () | weak derivative exists , Du

Lp ()}, where Du is the weak derivative of u.
Example 2.8. Let n = 1 and set = (0, 1). Define the function f (x) = sin(1/x).
2
1
1,p
Then u L1 (0, 1) and du
() for any
dx = cos(1/x)/x Lloc (0, 1), but u 6 W
1
1,p
p. In the case p = 2, we set H () = W ().
Example 2.9. Let = B(0, 1) R2 and set u(x) = |x| . We want to determine
the values of for which u H 1 ().
P3
/2
Since |x| =
, then xi |x| = |x|2 xi is well-defined
j=1 (xj xj )
away from x = 0.
R
R 2 R 1
Step 1. We show that u L1loc (). To see this, note that |x| dx = 0 0 r rdrd <
whenever < 2.
Step 2. Set v(x) = |x|2 xi . We show that
Z
Z
u(x)D(x)dx =
v(x)(x)dx C0 (B(0, 1)) .
B(0,1)

B(0,1)

To see this, let = B(0, 1) B(0, ), let n denote the inward-pointing unit normal
to . Integration by parts yields
Z
Z 2
Z

(x)n(x)d +
|x|2 x (x)dx .
|x| D(x)dx =

Since lim0

0
1

R 2
0

Z
lim

R 2 R 1

(x)n(x)d = 0 if < 1, we see that

Z

|x| D(x)dx = lim

|x|2 x (x)dx
0

Since 0 0 r
rdrd < if < 1, the Dominated Convergence Theorem
shows that v is the weak derivative of u.
R 2 R 1
Step 3. v L2 (), whenever 0 0 r22 rdrd < which holds if < 0.
Remark 2.10. Note that if the weak derivative exists, it is unique. To see
R this,
suppose that both v1 and v2 are the weak derivative of u on . Then (v1
v2 )dx = 0 for all C0 (), so that v1 = v2 a.e.
2.2. Definition of Sobolev Spaces.
Definition 2.11. For integers k 0 and 1 p ,
W k,p () = {u L1loc () |D u exists and is in Lp () for || k}.
Definition 2.12. For u W k,p () define

p1
X
kukW k,p () =
kD ukpLp () for 1 p < ,
||k

and
kukW k, () =

kD ukL () .

||k

The function k kW k,p () is clearly a norm since it is a finite sum of Lp norms.

Definition 2.13. A sequence uj u in W k,p () if limj kuj ukW k,p () = 0.

18

STEVE SHKOLLER

Theorem 2.14. W k,p () is a Banach space.

Proof. Let uj denote a Cauchy sequence in W k,p (). It follows that for all || k,
D uj is a Cauchy sequence in Lp (). Since Lp () is a Banach space (see Theorem
1.19), for each there exists u Lp () such that
D uj u in Lp () .
When = (0, ..., 0) we set u := u(0,...,0 ) so that uj u in Lp (). We must show
that u = D u.
For each C0 (),
Z
Z
uD dx = lim
uj D dx
j

Z
||
D uj dx
= (1) lim
j
Z
= (1)||
u dx ;

thus, u = D u and hence D uj D u in Lp () for each || k, which shows

that uj u in W k,p ().

Definition 2.15. For integers k 0 and p = 2, we define
H k () = W k,2 () .
H k () is a Hilbert space with inner-product (u, v)H k () =

||k (D

u, D v)L2 () .

2.3. A simple version of the Sobolev embedding theorem. For two Banach
spaces B1 and B2 , we say that B1 is embedded in B2 if kukB2 CkukB1 for some
constant C and for u B1 . We wish to determine which Sobolev spaces W k,p ()
can be embedded in the space of continuous functions. To motivate the type of
analysis that is to be employed, we study a special case.
Theorem 2.16 (Sobolev embedding in 2-D). For kp 2,
max |u(x)| CkukW k,p (R2 )

xR2

u C0 () .

(2.1)

Proof. Given u C0 (), we prove that for all x spt(u),

|u(x)| CkD u(x)kL2 () || k .
By choosing a coordinate system centered about x, we can assume that x = 0; thus,
it suffices to prove that
|u(0)| CkD u(x)kL2 () || k .
Let 0 g C ([0, )) such that g(x) = 1 for x [0, 21 ] and g(x) = 0 for
x [ 34 , ).
By the fundamental theorem of calculus,
Z 1
Z 1
u(0) =
r [g(r)u(r, )]dr =
r (r) r [g(r)u(r, )]dr
0

Z
=

r r2 [g(r)u(r, )]dr

(1)k
=
(k 1)!

r
0

k1

rk [g(r)u(r, )]dr

(1)k
=
(k 1)!

Z
0

rk2 rk [g(r)u(r, )]rdr

NOTES ON Lp AND SOBOLEV SPACES

19

Integrating both sides from 0 to 2, we see that

Z 2 Z 1
(1)k
rk2 rk [g(r)u(r, )]rdrd .
u(0) =
2(k 1)! 0
0
The change of variables from Cartesian to polar coordinates is given by
x(r, ) = r cos , y(r, ) = r sin .
By the chain-rule,
r u(x(r, ), y(r, )) = x u cos + y u sin ,
2
r2 u(x(r, ), y(r, )) = x2 u cos2 + 2xy
u cos sin + y2 u sin2

..
.
It follows that rk =

a ()D so that
Z
X
(1)k
u(0) =
rk2
a ()D [g(r)u(x)]dx
2(k 1)! B(0,1)
||k
X
k2
kr
kLq (B(0,1))
kD (gu)kLp (B(0,1))
P

||k

||k
1

Z
C

p(k2)
p1

 p1
p
rdr

kukW k,p (R2 ) .

Hence, we require

p(k2)
p1

+ 1 > 1 or kp > 2.

2.4. Approximation of W k,p () by smooth functions. Recall that  = {x

| dist(x, ) > }.
Theorem 2.17. For integers k 0 and 1 p < , let
u =  u in  ,
where  is the standard mollifier defined in Definition 1.25. Then
(A) u C ( ) for each  > 0, and
k,p
(B) u u in Wloc
() as  0.
k,p
for each
Definition 2.18. A sequence uj u in Wloc
() if uj u in W k,p ()

Proof of Theorem 2.17. Theorem 1.28 proves part (A). Next, let v denote the the
th weak partial derivative of u. To prove part (B), we show that D u =  v
in  . For x  ,
Z
D u (x) = D
 (x y)u(y)dy

Z
=
Dx  (x y)u(y)dy

Z
||
= (1)
Dy  (x y)u(y)dy

Z
=
 (x y)v (y)dy = ( v )(x) .

By part (D) of Theorem 1.28, D u v in Lploc ().

20

STEVE SHKOLLER

It is possible to refine the above interior approximation result all the way to the
boundary of . We record the following theorem without proof.
Theorem 2.19. Suppose that Rn is a smooth, open, bounded subset, and that
u W k,p () for some 1 p < and integers k 0. Then there exists a sequence
uj C () such that
uj u in W k,p () .
It follows that the inequality (2.1) holds for all u W k,p (R2 ).
2.5. H
older Spaces. Recall that for Rn open and smooth, the class of Lipschitz functions u : R satisfies the estimate
|u(x) u(y)| C|x y| x, y
for some constant C.
Definition 2.20 (Classical derivative). A function u : R is differentiable at
x if there exists f : L(Rn ; Rn ) such that
|u(x) u(y) f (x) (x y)|
0.
|x y|
We call f (x) the gradient of u(x), and denote it by Du(x).
Definition 2.21. If u : R is bounded and continuous, then
kukC 0 () = max |u(x)| .
x

If in addition u has a continuous and bounded derivative, then

kukC 1 () = kukC 0 () + kDukC 0 () .
The H
older spaces interpolate between C 0 () and C 1 ().
Definition 2.22. For 0 < 1, the space C 0, () consists of those functions for
which
kukC 0, () := kukC 0 () + [u]C 0, () < ,
where the th H
older semi-norm [u]C 0, () is defined as


|u(x) u(y)|
[u]C 0, () = max
.
x,y
|x y|
x6=y

The space C 0, () is a Banach space.

2.6. Morreys inequality. We can now offer a refinement and extension of the
simple version of the Sobolev Embedding Theorem 2.16.
Theorem 2.23 (Morreys inequality). For n < p , let B(x, r) Rn and let
y B(x, r). Then
n

|u(x) u(y)| Cr1 p kDukLp (B(x,2r)) u C 1 (Rn ) .

NOTES ON Lp AND SOBOLEV SPACES

21

Notation 2.24 (Averaging). Let B(0, 1) Rn . The volume of B(0, 1) is given by

n
n = (n 2+1) and the surface area is |Sn1 | = nn . We define
2

Z
1
f (y)dy
n rn B(x,r)
B(x,r)
Z
Z
1

f (y)dS =
f (y)dS .
nn rn1 B(x,r)
B(x,r)
Z

f (y)dy =

Lemma 2.25. For B(x, r) Rn , y B(x, r) and u C 1 (B(x, r)),

Z

Z
|u(y) u(x)|dy C

B(x,r)

B(x,r)

|Du(y)|
dy .
|x y|n1

Proof. For some 0 < s < r, let y = x + s where Sn1 = B(0, 1). By the
fundamental theorem of calculus, for 0 < s < r,
s

d
u(x + t)dt
dt

u(x + s) u(x) =
Z0 s
=

Du(x + t) dt .
0

Since || = 1, it follows that

s

Z
|u(x + s) u(x)|

|Du(x + t)|dt .
0

Thus, integrating over Sn1 yields

Z

|u(x + s) u(x)|d
Sn1

|Du(x + t)|ddt
0

Sn1
sZ

|Du(x + t)|
Z0

Sn1

=
B(x,r)

tn1
ddt
tn1

|Du(y)|
dy ,
|x y|n1

where we have set y = x + t for the last equality.

Multipling the above inequality by sn1 and integrating s from 0 to r shows that
Z

n1

|u(x + s) u(x)|ds
0

Sn1

rn
ds
n

Z
B(x,r)

Cn rn

|Du(y)|
dy
|x y|n1

Z
B(x,r)

which proves the lemma.

|Du(y)|
dy ,
|x y|n1


22

STEVE SHKOLLER

Proof of Theorem 2.23. Assume first that u C 1 (B(x, 2r)). Let D = B(x, r)
B(y, r) and set r = |x y|. Then
Z
|u(x) u(y)| = |u(x) u(y)|dz
ZD
Z
|u(x) u(z)|dz + |u(y) u(z)|dz
D
D
Z
Z
C
|u(x) u(z)|dz + C
|u(y) u(z)|dz
B(x,r)
B(y,r)
Z
C
|u(x) u(z)|dz .
B(x,2r)

Thus, by Lemma 2.25,

Z

|x z|1n |Du(z)|dz

|u(x) u(y)| C
B(x,2r)

and by H
olders inequality,
Z
|u(x) u(y)| C

p(1n)
p1

! p1
p
sn1 dsd

! p1

|Du(z)|p dz

B(x,2r)

B(0,2r)


Morreys inequality implies the following embedding theorem.
Theorem 2.26 (Sobolev embedding theorem for k = 1). There exists a constant
C = C(p, n) such that
kuk

0,1 n
p

(Rn )

CkukW 1,p (Rn ) u W 1,p (Rn ) .

Proof. First assume that u C 1 (Rn ). Given Morreys inequality, it suffices to show
that max |u| CkukW 1,p (Rn ) . Using Lemma 2.25, for all x Rn ,
Z
Z
|u(x)|
|u(x) u(y)|dy +
|u(y)|dy
B(x,1)

B(x,1)

Z
C
B(x,1)

|Du(y)|
dy + CkukLp (Rn )
|x y|n1

CkukW 1,p (Rn ) ,

the last inequality following whenever p > n.
Thus,
kuk 0,1 np n CkukW 1,p (Rn ) u C 1 (Rn ) .
By the density of
that

C
(R )
C0 (Rn ) in

1,p

(R ), there is a sequence uj

(2.2)
C0 (Rn )

such

uj u W 1,p (Rn ) .
By (2.2), for j, k N,
n

kuj uk kC 0,1 p (Rn ) Ckuj uk kW 1,p (Rn ) .

n

Since C 0,1 p (Rn ) is a Banach space, there exists a U C 0,1 p (Rn ) such that
n

uj U in C 0,1 p (Rn ) .

NOTES ON Lp AND SOBOLEV SPACES

23

It follows that U = u a.e. in . By the continuity of norms with respect to strong

convergence, we see that
kU k

0,1 n
p

(Rn )

CkukW 1,p (Rn )

which completes the proof.

Remark 2.27. By approximation, Morreys inequality holds for all u W 1,p (B(x, 2r))
for n < p < . You are asked to prove this.
As a consequence of Morreys inequality, we extract information about the classical differentiability properties of weak derivatives.
1,p
Theorem 2.28 (Differentiability a.e.). If Rn , n < p and u Wloc
(),
then u is differentiable a.e. in , and its gradient equals its weak gradient almost
everywhere.

Proof. We first restrict n < p < . By Lebesgues differentiation theorem, for

almost every x ,
Z
lim
|Du(x) Du(z)|p dz = 0 .
(2.3)
r0 B(x,r)

Fix x for which (2.3) holds, and define the function

wx (y) = u(y) u(x) Du(x) (y x) .
Notice that wx (x) = 0 and that
Dy wx (y) = Du(y) Du(x) .
Set r = |x y|. An application of Morreys inequality then yields the estimate
|u(y) u(x) Du(x) (y x)| = |wx (y) wx (x)|
Z
|Dz wx (z)|
C
dz
n1
B(x,2r) |x z|
Z
|Du(z) Du(x)|
dz
=C
|x z|n1
B(x,2r)
Cr

1 n
p

! p1

|Du(z) Du(x)| dz
B(x,r)

Z
Cr

! p1
p

|Du(z) Du(x)| dz

B(x,r)

= o(r) as r 0 .
1,
1,p
The case that p = follows from the inclusion Wloc
() Wloc
() for all
1 p < .


2.7. The Gagliardo-Nirenberg-Sobolev inequality. In the previous section,

we considered the embedding for the case that p > n.
Theorem 2.29 (Gagliardo-Nirenberg inequality). For 1 p < n, set p =
Then
kukLp (Rn ) Cp,n kDukLp (Rn ) u W 1,p (Rn ) .

np
np .

24

STEVE SHKOLLER

Proof for the case n = 2. Suppose first that p = 1 in which case p = 2, and we
must prove that
kukL2 (R2 ) CkDukL1 (R2 ) u C01 (R2 ) .
(2.4)
Since u has compact support, by the fundamental theorem of calculus,
Z x1
Z x2
u(x1 , x2 ) =
1 u(y1 , x2 )dy1 =
2 u(x1 , y2 )dy2

so that

|u(x1 , x2 )|

|1 u(y1 , x2 )|dy1

|Du(y1 , x2 )|dy1

and
Z

|u(x1 , x2 )|

|2 u(x1 , y2 )|dy2

|Du(x1 , y2 )|dy2 .

Hence, it follows that

|u(x1 , x2 )|

Z
|Du(y1 , x2 )|dy1

|Du(x1 , y2 )|dy2

Integrating over R2 , we find that

Z Z
|u(x1 , x2 )|2 dx1 dx2

Z Z Z
Z

|Du(y1 , x2 )|dy1

Z


|Du(x1 , y2 )|dy2 dx1 dx2

2

Z

|Du(x1 , x2 )|dx1 dx2

which is (2.4).
Next, if 1 p < 2, substitute |u| for u in (2.4) to find that
Z
 21
Z
C
|u|1 |Du|dx
|u|2 dx
R2

R2

Z
CkDukLp (R2 )

|u|

p(1)
p1

 p1
p
dx

R2

Choose so that 2 =

p(1)
p1 ;

hence, =

p
2p ,

and

 2p
2p
2p
2p
|u|
dx
CkDukLp (R2 ) ,

Z
R2

so that
kuk

2p

L 2p (Rn )

Cp,n kDukLp (Rn )

(2.5)

for all u C01 (R2 ).

Since C0 (R2 ) is dense in W 1,p (R2 ), there exists a sequence uj C0 (R2 ) such
that
uj u in W 1,p (R2 ) .
Hence, by (2.5), for all j, k N,
kuj uk k

2p

L 2p (Rn )

Cp,n kDuj Duk kLp (Rn )

NOTES ON Lp AND SOBOLEV SPACES

25

2p

so there exists U L 2p (Rn ) such that

2p

uj U in L 2p (Rn ) .
Hence U = u a.e. in R2 , and by continuity of the norms, (2.5) holds for all
u W 1,p (R2 ).

It is common to employ the Gagliardo-Nirenberg inequality for the case that
p = 2; as stated, the inequality is not well-defined in dimension two, but in fact,
we have the following theorem.
Theorem 2.30. Suppose that u H 1 (R2 ). Then for all 1 q < ,

kukLq (R2 ) C qkukH 1 (R2 ) .

Proof. Let x and y be points in R2 , and write r = |x y|. Let S1 . Introduce
spherical coordinates (r, ) with origin at x, and let g be the same cut-off function
that was used in the proof of Theorem 2.16. Define U := g(r)u(r, ). Then
Z 1
Z 1
U
U
(r, )dr
|x y|1
(r, )rdr
u(x) =
r
0
0 r
and
Z
|u(x)|

|x y|1 |DU (r, )|rdr .

Integrating over S1 , we obtain:

Z
1
1B(x,1) |x y|1 |DU (y)|dy := K |DU | ,
|u(x)|
2 R2
1
where the integral kernel K(x) = 2
1B(0,1) |x|1 .
Using Youngs inequality from Theorem 1.54, we obtain the estimate

1
1 1
= + 1.
k
q
2

kK f kLq (R2 ) kKkLk (R2 ) kf kL2 (R2 ) for

Using the inequality (2.6) with f = |DU |, we see that

"Z
kukLq (R2 ) CkDU kL2 (R2 )

|y|

(2.6)

# k1

dy

B(0,1)

Z

 k1

CkDU kL2 (R2 )

1k

dr


= CkukH 1 (R2 )
When q ,

1
k

q+2
4

 k1
.

12 , so
1

kukLq (R2 ) Cq 2 kukH 1 (R2 ) .


Evidently, it is not possible to obtain the estimate kukL (Rn ) CkukW 1,n (Rn )
with a constant C < . The following provides an example of a function in this
borderline situation.

26

STEVE SHKOLLER

2
2
Example 2.31. Let R
 denote the open unit ball in R . The unbounded
1
function u = log log 1 + |x|
belongs to H 1 (B(0, 1)).
First, note that
Z
Z 2 Z 1 h

1 i2
log log 1 +
|u(x)|2 dx =
rdrd .
r
0
0

The only potential singularity of the integrand occurs at r = 0, but according to

LHospitals rule,
h

1 i2
= 0,
(2.7)
lim r log log 1 +
r0
r
so the integrand is continuous and hence u L2 ().
In order to compute the partial derivatives of u, note that
df
f (x) dz

d
xj
, and
|f (z)| =
,
|x| =
xj
|x|
dz
|f (z)|

where f : R R is differentiable. It follows that for x away from the origin,

x
Du(x) =
, (x 6= 0) .
1
log(1 + |x|
)(|x| + 1)|x|2
Let C0 () and fix  > 0. Then
Z
Z
Z

u
u(x)
(x)dx =
(x)(x)dx +
uNi dS ,
xi
B (0)
B(0,) xi
B(0,)
where N = (N1 , ..., Nn ) denotes the inward-pointing unit normal on the curve
B(0, ), so that N dS = (cos , sin )d. It follows that
Z
Z
u(x)D(x)dx =
Du(x)(x)dx
B (0)

B (0)


1
(, )d .
(cos , sin ) log log 1 +


(2.8)

We claim that Du L2 () (and hence also in L1 ()), for

Z
Z 2 Z 1
1
2
|Du(x)| dx =
i2 drd
h


0
0 r(r + 1)2 log 1 + 1
r
Z 1/2
Z 1
1
1

dr +
h

i2 dr
2
r(log
r)
0
1/2 r(r + 1)2 log 1 + 1
r
where we use the inequality log(1 + 1r ) log 1r = log r 0 for 0 r 1. The
second integral on the right-hand side is clearly bounded, while
Z 1/2
Z log 2
Z log 2
1
1 t
1
dr
=
e
dt
=
dx < ,
2
2
t
r(log r)
t e
x2
0

so that Du L2 (). Letting  0 in (2.8) and using (2.7) for the boundary
integral, by the Dominated Convergence Theorem, we conclude that
Z
Z
u(x)D(x)dx =
Du(x)(x)dx C0 () .

NOTES ON Lp AND SOBOLEV SPACES

27

2.8. Local coordinates near . Let Rn denote an open, bounded subset

with C 1 boundary, and let {Ul }K
l=1 denote an open covering of , such that for
each l {1, 2, ..., K}, with
Vl = B(0, rl ), denoting the open ball of radius rl centered at the origin and,
Vl+ = Vl {xn > 0} ,
Vl = Vl {xn < 0} ,
there exist C 1 -class charts l which satisfy
l : Vl Ul is a C 1 diffeomorphism ,
l (Vl+ )

(2.9)

= Ul ,

l (Vl {xn = 0}) = Ul .

2.9. Sobolev extensions and traces. Let Rn denote an open, bounded
domain with C 1 boundary.
Rn is a bounded and open domain such that
Theorem 2.32. Suppose that

. Then for 1 p , there exists a bounded linear operator

E : W 1,p () W 1,p (Rn )
such that for all u W 1,p (),
(1) Eu = u a.e. in ;

(2) spt(u) ;

1,p
(3) kEukW (Rn ) CkukW 1,p () for a constant C = C(p, , ).
Theorem 2.33. For 1 p < , there exists a bounded linear operator
T : W 1,p () Lp ()
such that for all u W 1,p ()
(1) T u = u| for all u W 1,p () C 0 ();
(2) kT ukLp () CkukW 1,p () for a constant C = C(p, ).
Proof. Suppose that u C 1 (), z , and that is locally flat near z. In
particular, for r > 0 sufficiently small, B(z, r) {xn = 0}. Let 0
C0 (B(z, r) such that = 1 on B(z, r/2). Set = B(z, r/2), B + (z, r) =
B(z, r) , and let dxh = dx1 dxn1 . Then
Z
Z
|u|p dxh
|u|p dxh

{xn =0}
Z

=
(|u|p )dx
x
+
n
B (z,r)
Z
Z

u
p

|u| dx p
|u|p2 u
dx
x
x
+
+
n
n
B (z,r)
B (z,2)


Z
u
p
p1


p
C
|u| dx + Ck|u| k p1
L
(B + (z,r)) xn p +
B + (z,r)
L (B (z,r))
Z
C
(|u|p + |Du|p )dx .
(2.10)
B + (z,r)

On the other hand, if the boundary is not locally flat near z , then we use
a C 1 diffeomorphism to locally straighten the boundary. More specifically, suppose

28

STEVE SHKOLLER

that z Ul for some l {1, ..., K} and consider the C 1 chart l defined in
(2.9). Define the function U = u l ; then U : Vl+ R. Setting = Vl {xn = 0k,
we see from the inequality (2.10), that
Z
Z
|U |p dxh Cl
(|U |p + |DU |p )dx .
Vl+

Using the fact that Dl is bounded and continuous on Vl+ , the change of variables
formula shows that
Z
Z
p
|u| dS Cl
(|u|p + |Du|p )dx .
Ul+

Ul

Summing over all l {1, ..., K} shows that

Z
Z
|u|p dS C (|u|p + |Du|p )dx .

(2.11)

The inequality (2.11) holds for all u C 1 (). According to Theorem 2.19, for
u W 1,p () there exists a sequence uj C () such that uj u in W 1,p ().
By inequality (2.11),
kT uk T uj kLp () Ckuk uj kW 1,p () ,
so that T uj is Cauchy in Lp (), and hence a limit exists in Lp () We define the
trace operator T as this limit:
lim kT u T uj kLp () = 0 .

j0

Since the sequence uj converges uniformly to u if u C 0 (), we see that T u =

u| for all u W 1,p () C 0 ().

Sketch of the proof of Theorem 2.32. Just as in the proof of the trace theorem, first
suppose that u C 1 () and that near z , is locally flat, so that for
some r > 0, B(z, r) {xn = 0}. Letting B + = B(z, r) {xn 0} and
B = B(z, r) {xn 0} , we define the extension of u by

u(x)
if x B +
u
(x) =
xn
3u(x1 , ..., xn1 , xn ) + 4u(x1 , ..., xn1 , 2 ) if x B .
Define u+ = u
|B + and u = u
|B .
It is clear that u+ = u on {xn = 0}, and by the chain-rule, it follows that
u
u
u
xn
(x) = 3
(x1 , ..., xn ) 2
(x1 , ..., ) ,
xn
xn
xn
2
+

u
so that u
C 1 (B(z, r). using the charts
xn = xn on {xn = 0}. This shows that u
l to locally straighten the boundary, and the density of the C () in W 1,p (),
the theorem is proved.


2.10. The subspace W01,p ().

Definition 2.34. We let W01,p () denote the closure of C0 () in W 1,p ().
Theorem 2.35. Suppose that Rn is bounded with C 1 boundary, and that
u W 1,p (). Then
u W01,p () iff T u = 0 on .

NOTES ON Lp AND SOBOLEV SPACES

29

We can now state the Sobolev embedding theorems for bounded domains .
Theorem 2.36 (Gagliardo-Nirenberg inequality for W 1,p ()). Suppose that
Rn is open and bounded with C 1 boundary, 1 p < n, and u W 1,p (). Then
kuk

np

L np ()

CkukW 1,p () for a constant C = C(p, n, ) .

Rn bounded such that ,

and let Eu denote the Sobolev
Proof. Choose
and kEukW 1,p (Rn )
extension of u to Rn such that Eu = u a.e., spt(Eu) ,
CkukW 1,p () .
Then by the Gagliardo-Nirenberg inequality,
kuk

np

L np ()

kEuk

np

L np (Rn )

CkD(Eu)kLp (Rn ) CkEukW 1,p (Rn ) CkukW 1,p () .



Theorem 2.37 (Gagliardo-Nirenberg inequality for W01,p ()). Suppose that

Rn is open and bounded with C 1 boundary, 1 p < n, and u W01,p (). Then for
np
all 1 q np
,
kukLq () CkDukLp () for a constant C = C(p, n, ) .

(2.12)

Proof. By definition there exists a sequence uj C0 () such that uj u in

W 1,p (). Extend each uj by 0 on c . Applying Theorem 2.29 to this extension,
pn
and using the continuity of the norms, we obtain kuk np
CkDukLp () . Since
L

()

is bounded, the assertion follows by Holders inequality.

2


1

Theorem 2.38. Suppose that R is open and bounded with C boundary, and
u H01 (). Then for all 1 q < ,

kukLq () C qkDukL2 () for a constant C = C() .

(2.13)
Proof. The proof follows that of Theorem 2.30. Instead of introducing the cut-off
function g, we employ a partition of unity subordinate to the finite covering of the
bounded domain , in which case it suffices that assume that spt(u) spt(U ) with
U also defined in the proof Theorem 2.30.

Remark 2.39. Inequalities (2.12) and (2.13) are commonly referred to as Poincare
inequalities. They are invaluable in the study of the Dirichlet problem for Poissons
equation, since the right-hand side provides an H 1 ()-equivalent norm for all u
H01 (). In particular, there exists constants C1 , C2 such that
C1 kDukL2 () kukH 1 () C2 kDukL2 () .
2.11. Weak solutions to Dirichlets problem. Suppose that Rn is an
open, bounded domain with C 1 boundary. A classical problem in the linear theory
of partial differential equations consists of finding solutions to the Dirichlet problem:
u = f in ,
u = 0 on ,
2
i=1 x2i

Pn

(2.14a)
(2.14b)

where =
denotes the Laplace operator or Laplacian. As written,
(2.14) is the so-called strong form of the Dirichlet problem, as it requires that u to
possess certain weak second-order partial derivatives. A major turning-point in the
modern theory of linear partial differential equations was the realization that weak

30

STEVE SHKOLLER

solutions of (2.14) could be defined, which only require weak first-order derivatives
of u to exist. (We will see more of this idea later when we discuss the theory of
distributions.)
Definition 2.40. The dual space of H01 () is denoted by H 1 ().
H 1 (),
kf kH 1 () =
sup hf, i ,

For f

kkH 1 () =1
0

where hf, i denotes the duality pairing between H 1 () and H01 ().
Definition 2.41. A function u H01 () is a weak solution of (2.14) if
Z
Du Dv dx = hf, vi v H01 () .

Remark 2.42. Note that f can be taken in H 1 (). According to the Sobolev
embedding theorem, this implies that when n = 1, the forcing function f can be
taken to be the Dirac Delta distribution.
Remark 2.43. The motivation for Definition 2.41 is as follows. Since C0 () is
dense in H01 (), multiply equation (2.14a) by RC0 (), integrateRover , and
employ the integration-by-parts formula to obtain Du D dx = f dx; the
boundary terms vanish because is compactly supported.
Theorem 2.44 (Existence and uniqueness of weak solutions). For any f H 1 (),
there exists a unique weak solution to (2.14).
Proof. Using the Poincare inequality, kDukL2 () is an H 1 -equivalent norm for all
u H01 (), and (Du, Dv)L2 () defines the inner-product on H01 (). As such,
according to the definition of weak solutions to (2.14), we are seeking u H01 ()
such that
(u, v)H01 () = hf, vi v H01 () .
(2.15)
The existence of a unique u H01 () satisfying (2.15) is provided by the Riesz
representation theorem for Hilbert spaces.

Remark 2.45. Note that the Riesz representation theorem shows that there exists
a distribution, denote u H 1 () such that
hu, vi = hf, vi v H01 () .
The operator : H01 () H 1 () is thus an isomorphism.
A fundamental question in the theory of linear partial differential equations
is commonly referred to as elliptic regularity, and can be explained as follows: in
order to develop an existence and uniqueness theorem for the Dirichlet problem, we
have significantly generalized the notion of solution to the class of weak solutions,
which permitted very weak forcing functions in H 1 (). Now suppose that the
forcing function is smooth; is the weak solution smooth as well? Furthermore, does
the weak solution agree with the classical solution? The answer is yes, and we
will develop this regularity theory in Chapter 6, where it will be shown that for
integers k 2, : H k () H01 () H k2 () is also an isomorphism. An
important consequence of this result is that ()1 : H k2 () H k () H01 ()
is a compact linear operator, and as such has a countable set of eigenvalues, a fact

NOTES ON Lp AND SOBOLEV SPACES

31

that is eminently useful in the construction of solutions for heat- and wave-type
equations.
For this reason, as well as the consideration of weak limits of nonlinear combinations of sequences, we must develop a compactness theorem, which generalizes
the well-known Arzela-Ascoli theorem to Sobolev spaces.
2.12. Strong compactness. In Section 1.11, we defined the notion of weak converence and weak compactness for Lp -spaces. Recall that for 1 p < , a sep
to u Lp (), denoted uj * u in Lp (), if
Rquence uj RL () converges weakly
p
q
u vdx uvdx for all v L (), with q = p1
. We can extend this definition
j
to Sobolev spaces.
Definition 2.46. For 1 p < , uj * u in W 1,p () provided that uj * u in
Lp () and Duj * Du in Lp ().
Alaoglus Lemma (Theorem 1.37) then implies the following theorem.
Theorem 2.47 (Weak compactness in W 1,p ()). For Rn , suppose that
sup kuj kW 1,p () M < for a constant M 6= M (j) .
Then there exists a subsequence ujk * u in W 1,p ().
It turns out that weak compactness often does not suffice for limit processes
involving nonlinearities, and that the Gagliardo-Nirenberg inequality can be used
to obtain the following strong compactness theorem.
Theorem 2.48 (Rellichs theorem). Suppose that Rn is an open, bounded domain with C 1 boundary, and that 1 p < n. Then W 1,p () is compactly embedded
np
, i.e. if
in Lq () for all 1 q < np
sup kuj kW 1,p () M < for a constant M 6= M (j) ,
then there exists a subsequence ujk u in Lq (). In the case that n = 2 and p = 2,
H 1 () is compactly embedded in Lq () for 1 q < .
In order to prove Rellichs theorem, we need two lemmas.
Lemma 2.49 (Arzela-Ascoli Theorem). Suppose that uj C 0 (), kuj kC 0 ()
M < , and uj is equicontinuous. Then there exists a subsequence ujk u
uniformly on .
Lemma 2.50. Let 1 r s t , and suppose that u Lr () Lt (). Then
for 1s = ar + 1a
t
kukLs () kukaLr () kuk1a
Lt () .
Proof. By H
olders inequality,
Z
Z
|u|s dx =
|u|as |u|(1a)s dx

Z

r
as as

|u|

 as
Z
r
|u|

dx

t
(1a)s (1a)s

 (1a)s
t
(1a)s
= kukas
dx
Lr () kukLt () .


32

STEVE SHKOLLER

Rn denote an open, bounded domain such that

Proof of Rellichs theorem. Let

. By the Sobolev extension theorem, the sequence uj satisfies spt(uj ) ,

and
sup kEuj kW 1,p (Rn ) CM .
Denote the sequence Euj by u
j . By the Gagliardo-Nirenberg inequality, if 1 q <
np
,
np
sup kukLq () sup k
ukLq (Rn ) C sup k
uj kW 1,p (Rn ) CM .
For  > 0, let  denote the standard mollifiers and set u
j =  Euj . By
Since
choosing  > 0 sufficiently small, u
j C0 ().
Z
Z
1 y
u
j =
(
)
u
(x

y)dy
=
(z)
uj (x z)dz ,
j
n

B(0,) 
B(0,1)
and if u
j is smooth,
Z
u
j (x z) u
j (x) =
0

d
u
j (x tz)dt = 
dt

D
uj (x tz) z dt .
0

Hence,
|
uj (x) u
j (x)| = 

|D
uj (x tz)| dzdt ,

(z)
B(0,1)

so that
Z

|
uj (x) u
j (x)|dx = 

(z)
B(0,1)

|D
uj (x tz)| dxdzdt

kD
uj kL1 ()
uj kLp ()
kD
< CM .
Using the Lp -interpolation Lemma 2.50,
k
uj u
j kLq ()
uj u
j kaL1 ()
uj u
j k1a
np
k
k

L np ()

CM

kD
uj

CM M

D
uj k1a

Lp ()

1a

(2.16)

The inequality (2.16) shows that u

j is arbitrarily close to u
j in Lq () uniformly in

j N; as such, we attempt to use the smooth sequence u
j to construct a convergent
subsequence u
jk . Our goal is to employ the Arzela-Ascoli Theorem, so we show that
for  > 0 fixed,

k
uj kC 0 ()
j is equicontinous.
M < and u
For x Rn ,
sup k
uj kC 0 ()
j

Z
sup
j

 (x y)|
uj (y)|dy
B(x,)

n
k kL (Rn ) sup k
uj kL1 ()
< ,
C
j

and similarly
n1
j k 0
sup kDu
uj kL1 ()
< .
C
C () kD kL (Rn ) sup k
j

NOTES ON Lp AND SOBOLEV SPACES

33

The latter inequality proves equicontinuity of the sequence u

j , and hence there
so that
exists a subsequence ujk which converges uniformly on ,
lim sup k
ujk u
jl kLq ()
= 0.
k,l

It follows from (2.16) and the triangle inequality that

lim sup k
ujk u
jl kLq ()
C .
k,l

Letting C = 1, 21 , 13 , etc., and using the diagonal argument to extract further

subsequences, we can arrange to find a subsequence again denoted by {
ujk } of {
uj }
such that
lim sup k
ujk u
jl kLq ()
= 0,
k,l

and hence
lim sup kujk ujl kLq () = 0 ,
k,l

The case that n = p = 2 follows from Theorem 2.30.

3. The Fourier Transform

3.1. Fourier transform on L1 (Rn ) and the space S(Rn ).
Definition 3.1. For all f L1 (Rn ) the Fourier transform F is defined by
Z
n
f (x)eix dx .
Ff () = f() = (2) 2
Rn

By H
olders inequality, F : L1 (Rn ) L (Rn ).
Definition 3.2. The space of Schwartz functions of rapid decay is denoted by
S(Rn ) = {u C (Rn ) | x D u L (Rn ) , Zn+ }.
It is not difficult to show that
F : S(Rn ) S(Rn ) ,
and that
D f = (i)|| (1)|| F(Dx x f ) .
Definition 3.3. For all f L1 (Rn ), we define operator F by
Z
n
F f (x) = (2) 2
f ()eix d .
Rn

Lemma 3.4. For all u, v S(Rn ),

(Fu, v)L2 (Rn ) = (u, F v)L2 (Rn ) .
Recall that Rthe L2 (Rn ) inner-product for complex-valued functions is given by
(u, v)L2 (Rn ) = Rn u(x)v(x)dx.

34

STEVE SHKOLLER

Proof. Since u, v S(Rn ), by Fubinis Theorem,

Z Z
n
2
(Fu, v)L2 (Rn ) = (2)
u(x)eix dx v() d
Rn Rn
Z Z
n
= (2) 2
u(x)eix v() d dx
Rn Rn
Z
Z
n
eix v() d dx = (u, F v)L2 (Rn ) ,
= (2) 2
u(x)
Rn

Rn


Theorem 3.5. F F = Id = F F on S(Rn ).
Proof. We first prove that for all f S(Rn ), F Ff (x) = f (x).
Z

eix
eiy f (y)dy d
n
Rn
ZR Z
= (2)n
ei(xy) f (y) dy d .

F Ff (x) = (2)n

Rn

Rn

By the dominated convergence theorem,

Z Z
F Ff (x) = lim (2)n
0

Rn

e|| ei(xy) f (y) dy d .

Rn
2

For all  > 0, the convergence factor e|| allows us to interchange the order of
integration, so that by Fubinis theorem,
Z

Z
2
F Ff (x) = lim (2)n
f (y)
e|| ei(yx) d dy .
0

Rn

Rn

Define the integral kernel

p (x) = (2)n

e||

+ix

Rn

Then
F Ff (x) = lim p f :=
0

Z
p (x y)f (y)dy .
Rn

e|| +ix d. Then

Z

2
p(x/ ) = (2)n
e|| +ix/  d
n
ZR
2
n
n
= (2)n
e|| +ix  2 d =  2 p (x) .

Let p(x) = p1 (x) = (2)n

Rn

Rn

We claim that
|x|2
1
4
p (x) =
and that
n e
(4) 2

Z
p(x)dx = 1 .

(3.1)

Rn

Given (3.1), then for all f S(Rn ), p f f uniformly as  0, which shows

that F F = Id, and similar argument shows that FF = Id. (Note that this follows
from the proof of Theorem 1.28, since the standard mollifiers  can be replaced
by the sequence p and all assertions of the theorem continue to hold, for if (3.1) is

NOTES ON Lp AND SOBOLEV SPACES

35

0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
-4

-2

Figure 1. As  0, the sequence of functions p becomes more

localized about the origin.

R
true, then even though p does not have compact support, B(0,)c p (x)dx 0 as
 0 for all > 0.)
Thus, it remains to prove (3.1). It suffices to consider the case  = 12 ; then by
definition
Z
||2
p 12 (x) = (2)n
eix e 2 d
Rn


||2
n/2 2
= F (2)
e
.
In order to prove that p 21 (x) = (2)n/2 e
ian function G(x) = (2)n/2 e

|x|2
2

|x|2
2

, we must show that with the Gauss-

G(x) = F(G()) .
By the multiplicative property of the exponential,
2

e||

/2

= e1 /2 en /2 ,

it suffices to consider the case that n = 1. Then the Gaussian satisfies the differential equation
d
G(x) + xG(x) = 0 .
dx
Computing the Fourier transform, we see that
i

G(x) i G(x)
= 0.
d

Thus,
2

G()
= Ce 2 .

To compute the constant C,

C = G(0)
= (2)1

Z
e

x2
2

dx = (2) 2

which follows from the fact that

Z
e
R

x2
2

dx = (2) 2 .

(3.2)

36

STEVE SHKOLLER

To prove (3.2), one can again rely on the multiplication property of the exponential
to observe that
Z
Z
Z
2
x2
x2
x2
1
2
1 +x2
2
2
e dx e dx =
e 2 dx
R

R2
2

e2r rdrd = 2 .


It follows from Lemma 3.4 that for all u, v S(Rn ),
(Fu, Fv)L2 (Rn ) = (u, F Fv)L2 (Rn ) = (u, v)L2 (Rn ) .
Thus, we have established the Plancheral theorem on S(Rn ).
Theorem 3.6 (Plancherals theorem). F : S(Rn ) S(Rn ) is an isomorphism
with inverse F preserving the L2 (Rn ) inner-product.
3.2. The topology on S(Rn ) and tempered distributions. An alternative to
Definition 3.2 can be stated as follows:
p
Definition 3.7 (The space S(Rn )). Setting hxi = 1 + |x|2 ,
S(Rn ) = {u C (Rn ) | hxik |D u| Ck, k Z+ } .
The space S(Rn ) has a Frechet topology determined by seminorms.
Definition 3.8 (Topology on S(Rn )). For k Z+ , define the semi-norm
pk (u) =

hxik |D u(x)| ,

sup
xRn ,||k

and the metric on S(Rn )

d(u, v) =

2k

k=0

pk (u v)
.
1 + pk (u v)

The space (S(Rn ), d) is a Frechet space.

Definition 3.9 (Convergence in S(Rn )). A sequence uj u in S(Rn ) if pk (uj
u) 0 as j for all k Z+ .
Definition 3.10 (Tempered Distributions). A linear map T : S(Rn ) C is continuous if there exists some k Z+ and constant C such that
|hT, ui| Cpk (u) u S(Rn ) .
The space of continuous linear functionals on S(Rn ) is denoted by S 0 (Rn ). Elements
of S 0 (Rn ) are called tempered distributions.
Definition 3.11 (Convergence in S 0 (Rn )). A sequence Tj * T in S 0 (Rn ) if
hTj , ui hT, ui for all u S(Rn ).
For 1 p , there is a natural injection of Lp (Rn ) into S 0 (Rn ) given by
Z
hf, ui =
f (x)u(x)dx u S(Rn ) .
Rn

Any finite measure on Rn provides an element of S 0 (Rn ). The basic example of

such a finite measure is the Dirac delta function defined as follows:
h, ui = u(0) or, more generally, hx , ui = u(x) u S(Rn ) .

NOTES ON Lp AND SOBOLEV SPACES

37

Definition 3.12. The distributional derivative D : S 0 (Rn ) S(Rn ) is defined by

the relation
hDT, ui = hT, Dui u S(Rn ) .
More generally, the th distributional derivative exists in S 0 (Rn ) and is defined by
hD T, ui = (1)|| hT, D ui u S(Rn ) .
Multiplication by f S(Rn ) preserves S 0 (Rn ); in particular, if T S 0 (Rn ), then
f T S(Rn ) and is defined by
hf T, ui = hT, f ui u S(Rn ) .
Example 3.13. Let H := 1[0,) denote the Heavyside function. Then
dH
= in S 0 (Rn ) .
dx
This follows since for all u S(Rn ),
Z
du
du
dH
, ui = hH, i =
dx = u(0) = h, ui .
h
dx
dx
dx
0
Example 3.14 (Distributional derivative of Dirac measure).
h

d
du
, ui = (0) u S(Rn ) .
dx
dx

3.3. Fourier transform on S 0 (Rn ).

Definition 3.15. Define F : S 0 (Rn ) S 0 (Rn ) by
hFT, ui = hT, Fui u S(Rn ) ,
with the analogous definition for F : S 0 (Rn ) S 0 (Rn ).
Theorem 3.16. FF = Id = F F on S 0 (Rn ) .
Proof. By Definition 3.15, for all u S(Rn )
hFF T, ui = hF w, Fui = hT, F Fui = hT, ui ,
the last equality following from Theorem 3.5.

Example 3.17 (Fourier transform of ). We claim that F = (2)

to Definition 3.15, for all u S(Rn ),
Z
n
hF, ui = h, Fui = Fu(0) =
(2) 2 u(x)dx ,

n
2

. According

Rn
n
2

so that F = (2)

.
n

Example 3.18. The same argument shows that F = (2) 2 so that F [(2) 2 ] =
n
1. Using Theorem 3.16, we see that F(1) = (2) 2 . This demonstrates nicely the
identity
| u
()| = |D u(x)|.
In other the words, the smoother the function x 7 u(x) is, the faster 7 u
()
must decay.

38

STEVE SHKOLLER

3.4. The Fourier transform on L2 (Rn ). In Theorem 1.28, we proved that C0 (Rn )
is dense in Lp (Rn ) for 1 p < . Since C0 (Rn ) S(Rn ), it follows that S(Rn )
is dense in Lp (Rn ) as well. Thus, for every u L2 (Rn ), there exists a sequence
uj S(Rn ) such that uj u in L2 (Rn ), so that by Plancherals Theorem 3.6,
k
uj u
k kL2 (Rn ) = kuj uk kL2 (Rn ) <  .
It follows from the completeness of L2 (Rn ) that the sequence u
j converges in
L2 (Rn ).
Definition 3.19 (Fourier transform on L2 (Rn )). For u L2 (Rn ) let uj denote an
approximating sequence in S(Rn ). Define the Fourier transform as follows:
Fu = u
= lim u
j .
j

Note well that F on L (R ) is well-defined, as the limit is independent of the

approximating sequence. In particular,
k
ukL2 (Rn ) = lim k
uj kL2 (Rn ) = lim kuj kL2 (Rn ) = kukL2 (Rn ) .
j

By the polarization identity


1
(u, v)L2 (Rn ) =
ku + vk2L2 (Rn ) iku + ivk2L2 (Rn ) (1 i)kuk2L2 (Rn ) (1 i)kvk2L2 (Rn )
2
we have proved the Plancheral theorem1 on L2 (Rn ):
Theorem 3.20. (u, v)L2 (Rn ) = (Fu, Fv)L2 (Rn ) u, v L2 (Rn ) .
3.5. Bounds for the Fourier transform on Lp (Rn ). We have shown that for
n
ukL2 (Rn ) =
u L1 (Rn ), k
ukL (Rn ) (2) 2 kukL1 (Rn ) , and that for u L2 (Rn ), k
kukL2 (Rn ) . Interpolating p between 1 and 2 yields the following result.
Theorem 3.21 (Hausdorff-Young inequality). If u Lp (Rn ) for 1 p 2, the
for q = p1
p , there exists a constant C such that
k
ukLq (Rn ) CkukLp (Rn ) .
Returning to the case that u L1 (Rn ), not only is Fu L (Rn ), but the
transformed function decays at infinity.
Theorem 3.22 (Riemann-Lebesgue lemma). For u L1 (Rn ), Fu is continuous
and Fu() 0 as || .
Proof. Let BM = B(0, M ) Rn . Since f L1 (Rn ), for each  > 0, we can choose
R
M sufficiently large such that f()  + BM eix |f (x)|dx. Using Lemma 1.23,
choose a sequence of simple functions j (x) f (x) a.e. on BM . For jnN chosen
sufficiently large,
Z

f () 2 +
j (x)eix dx .
BM

Write j (x) =

PN

l=1 Cl 1El (x) so that

f() 2 +

N
X
l=1

Z
Cl

j (x)eix dx .

El

1The unitarity of the Fourier transform is often called Parsevals theorem in science and engineering fields, based on an earlier (but less general) result that was used to prove the unitarity of
the Fourier series.

NOTES ON Lp AND SOBOLEV SPACES

39

By the regularity of the Lebesgue measure , for all  > 0 and each l {1, ..., N },
there exists a compact set Kl and an open set Ol such that
(Ol ) /2 < (El ) < (Kl ) + /2 .
Then Ol = {Al Vl | Vl Rn is open rectangle , Al arbitrary set }, and Kl
l
l
N
j=1 Vj Ol where {1, ..., Nl } Al such that
l
l
|(El ) (N
j=1 Vj )| <  .

It follows that
Z

Z




ix
ix
e
dx N
e
dx <  .

 El

l
l
j=1 Vj
R
On the other hand, for each rectangle Vjl , V l eix dx| C/(1 n ), so that
j

f() C  +

1
1 n


.

Since  > 0 is arbitrary, we see that f() 0 as || . Continuity of Fu follows

easily from the dominated convergence theorem.

3.6. The Fourier transform and convolution.
Theorem 3.23. If u, v L1 (Rn ), then u v L1 (Rn ) and
n

F(u v) = (2) 2 Fu Fv .
Proof. Youngs inequality (Theorem 1.53) shows that u v L1 (Rn ) so that the
Fourier transform is well-defined. The assertion then follows from a direct computation:
Z
n
F(u v) = (2) 2
eix (u v)(x)dx
n
ZR Z
n
= (2) 2
u(x y)v(y)dy eix dx
Rn Rn
Z Z
n
2
u(x y)ei(xy) dx v(x) eiy dy
= (2)
Rn

Rn

n
2

= (2) u
v (by Fubinis theorem) .

By using Youngs inequality (Theorem 1.54) together with the Hausdorff-Young
inequality, we can generalize the convolution result to the following
Theorem 3.24. Suppose that u Lp (Rn ) and v Lq (Rn ), and let r satisfy
r
1
1
1
r1 (Rn ) and
r = p + q 1 for 1 p, q, r 2. Then F(u v) L
n

F(u v) = (2) 2 Fu Fv .

40

STEVE SHKOLLER

4. The Sobolev Spaces H s (Rn ), s R

The Fourier transform allows us to generalize the Hilbert spaces H k (Rn ) for
k Z+ to H s (Rn ) for all s R, and hence study functions which possess fractional
derivatives (and anti-derivatives) which are square integrable.
p
Definition 4.1. For any s Rn , let hi = 1 + ||2 , and set
H s (Rn ) = {u S 0 (Rn ) | his u
L2 (Rn )}
= {u S 0 (Rn ) | s u L2 (Rn )} ,
where s u = F (his u
).
The operator s can be thought of as a differential operator of order s, and
according to Rellichs theorem, s is a compact operator, yielding the isomorphism
H s (Rn ) = s L2 (Rn ) .
Definition 4.2. The inner-product on H s (Rn ) is given by
(u, v)H s (Rn ) = (s u, s v)L2 (Rn ) u, v H s (Rn ) .
and the norm on H s (Rn ) is
kuksH s (Rn ) = (u, u)H s (Rn ) u H s (Rn ) .
The completeness of H s (Rn ) with respect to the k kH s (Rn ) ) is induced by the
completeness of L2 (Rn ).
Theorem 4.3. For s R, (H s (Rn ), k kH s (Rn ) ) is a Hilbert space.
Example 4.4 (H 1 (Rn )). The H 1 (Rn ) in Fourier representation is exactly the same
as the that given by Definition 2.12:
Z
kuk2H 1 (Rn ) =
hi2 k
u()k2 d
Rn
Z
=
(1 + ||2 )k
u()k2 d
Rn
Z
=
(|u(x)|2 + |Du(x)|2 )dx ,
Rn

the last equality following from the Plancheral theorem.

1

Example 4.5 (H 2 (Rn )). The H 2 (Rn ) can be viewed as interpolating between decay
required for u
L2 (Rn ) and u
H 1 (Rn ):
Z p
1
1 + ||2 |
u()|2 d < } .
H 2 (Rn ) = {u L2 (Rn ) |
Rn

Example 4.6 (H 1 (Rn )). The space H 1 (Rn ) can be heuristically described as
those distributions whose anti-derivative is in L2 (Rn ); in terms of the Fourier representation, elements of H 1 (Rn ) possess a transforms that can grow linearly at
infinity:
Z
|
u()|2
1
n
0
n
H (R ) = {u S (R ) |
d < } .
2
Rn 1 + ||

NOTES ON Lp AND SOBOLEV SPACES

41

For T H s (Rn ) and u H s (Rn ), the duality pairing is given by

hT, ui = (s T, s u)L2 (Rn ) ,
from which the following result follows.
Proposition 4.7. For all s R, [H s (Rn )]0 = H s (Rn ) .
The ability to define fractional-order Sobolev spaces H s (Rn ) allows us to refine
the estimates of the trace of a function which we previously stated in Theorem 2.33.
That result, based on the Gauss-Green theorem, stated that the trace operator was
continuous from H 1 (Rn+ ) into L2 (Rn1 ). In fact, the trace operator is continuous
1
from H 1 (Rn+ ) into H 2 (Rn1 ).
To demonstrate the idea, we take n = 2. Given a continuous function u : R2
{x1 = 0}, we define the operator
T u = u(0, x2 ) .
The trace theorem asserts that we can extend T to a continuous linear map from
1
H 1 (R2) into H 2 (R) so that we only lose one-half of a derivative.
1

Theorem 4.8. T : H 1 (R2 ) H 2 (R), and there is a constant C such that

kT uk

H 2 (R)

CkukH 1 (R2 ) .

Before we proceed with the proof, we state a very useful result.

Lemma 4.9. Suppose that u S(R2 ) and define f (x2 ) = u(0, x2 ). Then
Z
1
u
(1 , 2 )d1 .
f(2 ) =
2 R1
R
R
Proof. f(2 ) = 12 R u
(1 , 2 )d1 if and only if f (2 ) = 12 F R u
(1 , 2 )d1 , and
Z Z
Z
1
1
F u
u
(1 , 2 )d1 eix2 2 d2 .
(1 , 2 )d1 =
2
2
R R
R
On the other hand,
Z Z
1

u(x1 , x2 ) = F [
u(1 , 2 )] =
u
(1 , 2 )eix1 1 +ix2 2 d1 d2 ,
2 R R
so that

1
u(0, x2 ) = F [
u(1 , 2 )] =
2

Z Z
R

u
(1 , 2 )eix2 2 d1 d2 .


Proof of Theorem 4.8. Suppose that u S(R2 ) and set f (x2 ) = u(0, x1 ). According to Lemma 4.9,
Z
Z
1
1
f(2 ) =
u
(1 , 2 )d1 =
u
(1 , 2 )hi hi1 d1
2 R1
2 R1
Z
 12 Z
 21
1
|
u(1 , 2 )|2 hi2 d1

hi2 d1
,
2
R
R
and hence
Z
Z
|f (2 )|2 C

hi2 d1 .

|
u(1 , 2 )|2 hi2 d1

42

STEVE SHKOLLER

R
The key to this trace estimate is the explicit evaluation of the integral R hi2 d1 :

 +

Z
tan1 1 2 
1+2
1
1

p
(1 + 22 ) 2 .
(4.1)
2 + 2 d1 =

2
1
+

1 + 2
R

2
1


R
R
2 21
2
It follows that R (1+2 ) |f (2 )| d2 C R |
u(1 , 2 )|2 hi2 d1 , so that integration
of this inequality over the set {2 R} yields the result. Using the density of S(R2 )
in H 1 (R2 ) completes the proof.

The proof of the trace theorem in higher dimensions and for general H s (Rn )
spaces, s > 21 , replacing HR1 (Rn ) proceeds in a very Rsimilar fashion; the only difference is that the integral R hi2 d1 is replaced by Rn1 hi2s d1 dn1 , and
instead of obtaining an explicit anti-derivative of this integral, an upper bound is
instead found. The result is the following general trace theorem.
Theorem 4.10 (The trace theorem for H s (Rn )). For s >
1
T : H s (Rn ) H s 2 (Rn ) is continuous.

n
2,

the trace operator

We can extend this result to open, bounded, C domains Rn .

Definition 4.11. Let denote a closed C manifold, and let {l }K
l=1 denote
an open covering of , such that for each l {1, 2, ..., K}, there exist C -class
charts l which satisfy
l : B(0, rl ) Rn1 l is a C diffeomorphism .
Next, for each 1 l K, let 0 l C0 (Ul ) denote a partition of unity so that
PL
l=1 l (x) = 1 for all x . For all real s 0, we define
H s () = {u L2 () : kukH s () < } ,
where for all u H s (),
kuk2H s () =

K
X

k(l u) l k2H s (Rn1 ) .

l=1
s

The space (H (), k kH s () ) is a Hilbert space by virtue of the completeness

of H s (Rn1 ); furthermore, any system of charts for with subordinate partition
of unity will produce an equivalent norm.
Theorem 4.12 (The trace map on ). For s >
is continuous.

n
2,

the trace operator T :

Proof. Let {Ul }K

l=1 denote an n-dimensional open cover of such that Ul =
l . Define charts l : Vl Ul , as in (2.9) but with each chart being a C map, such
that l is equal to the restriction of l to the (n 1)-dimensional ball B(0, rl )
Rn1 ). Also, choose a partition of unity 0 l C0 (Ul ) subordinate to the
covering Ul such that l = l |l .
Then by Theorem 4.10, for s > 21 ,
kuk2

1
H s 2

()

K
X
l=1

k(l u) l k2

1
H s 2

(Rn1 )

K
X

k(l u) l k2H s (Rn ) Ckuk2H s () .

l=1

NOTES ON Lp AND SOBOLEV SPACES

43

Remark 4.13. The restriction s > n2 arises from the requirement that
Z
hi2s d1 dn1 < .
Rn1
1

One may then ask if the trace operator T is onto; namely, given f H s 2 (Rn1 )
for s > 21 , does there exist a u H s (Rn ) such that f = T u? By essentially reversing
the order of the proof of Theorem 4.8, it is possible to answer this question in the
affirmative. We first consider the case that n = 2 and s = 1.
1

Theorem 4.14. T : H 1 (R2 ) H 2 (R) is a surjection.

Proof. With = (1 , 2 ), we define (one of many possible choices) the function u
on R2 via its Fourier representation:
u
(1 , 2 ) = K f(1 )

h1 i
,
hi2

for a constant K 6= 0 to be determined shortly. To verify that kukH 1 (R1 )

kf k 12 , note that
H (R)

h1 i2
d1 d2
hi2

Z
Z
1
=K
|f(1 )|2 (1 + 12 )
2
2 d2 d1
1
+

1 + 2

|
u(1 , 2 )|2 hi2 d1 d2 = K

Ckf k2

|f(1 )|2

H 2 (R)

where we have used the estimate (4.1) for the inequality above.
It remains to prove that u(x1 , 0) = f (x1 ), but by Lemma 4.9, it suffices that
Z

u
(1 , 2 )d2 = 2 f(1 ) .

Integrating u
, we find that
Z
Z
q
2

u
(1 , 2 )d2 = K f (1 ) 1 + 1

so setting K =

1
d2 K f(1 )
1 + 12 + 22

2/ completes the proof.

A similar construction yields the general result.

1

Theorem 4.15. For s > 21 , T : H s (Rn ) H s 2 (Rn1 ) is a surjection.

By using the system of charts employed for the proof of Theorem 4.12, we also
have the surjectivity of the trace map on bounded domains.
1

Theorem 4.16. For s > 12 , T : H s () H s 2 () is a surjection.

The Fourier representation provides a very easy proof of a simple version of the
Sobolev embedding theorem.
Theorem 4.17. For s > n/2, if u H s (Rn ), then u is continuous and
max |u(x)| CkukH s (Rn ) .

44

STEVE SHKOLLER

Proof. By Theorem 3.6, u = F u

; thus according to Holders inequality and the
Riemann-Lebesgue lemma (Theorem 3.22), it suffices to show that
k
ukL1 (Rn ) CkukH s (Rn ) .
But this follows from the Cauchy-Schwarz inequality since
Z
Z
|
u()d =
|
u()|his his d
Rn

Rn

Z

2s

 21 Z

2s

hi

|
u()| hi d

 12
d

Rn

Rn

CkukH s (Rn ) ,
the latter inequality holding whenever s > n/2.

Example 4.18 (Euler equation on T2 ). On some time interval [0, T ] suppose that
u(x, t), x T2 , t [0, T ], is a smooth solution of the Euler equations:
t u + (u D)u + Dp = 0 in T2 (0, T ] ,
div u = 0 in T2 (0, T ] ,
with smooth initial condition u|t=0 = u0 . Written in components, u = (u1 , u2 )
satisfies uit +ui ,j j j +p,i = 0 for i = 1, 2, where we are using the Einstein summation
convention for summing repeated indices from 1 to 2 and where ui ,j = ui /xj and
p,i = p/xi .
Computing the L2 (T2 ) inner-product of the Euler equations with u yields the
equality
Z
Z
Z
1 d
2
i
j i
p,i ui dx = 0 .
|u(x, t)| dx +
u ,j u u dx +
2 dt T2
T2
T2
{z
} |
{z
}
|
I1

I2

Notice that

Z
Z
1
1
(|u|2 ),j uj dx =
|u|2 div udx = 0 ,
2 T2
2 T2
the second equality arising from integration by parts with respect to /xj . Integration by parts in the integral I2 shows that I2 = 0 as well, from which the
d
conservation law dt
ku(, t)k2L2 (T2 ) follows.
To estimate the rate of change of higher-order Sobolev norms of u relies on the
use of the Sobolev embedding theorem. In particular, we claim that on a short
enough time interval [0, T ], we have the inequality
I1 =

d
ku(, t)k2H 3 (T2 ) Cku(, t)k3H 3 (T2 )
(4.2)
dt
from which it follows that ku(, t)k2H 3 (T2 ) M for some constant M < .
To prove (4.2), we compute the H 3 (T2 ) inner-product of the Euler equations with
u:
X Z
X Z
1 d
ku(, t)k2H 3 (T2 ) +
D ui ,j uj D ui dx +
D p,i D ui dx = 0 .
2 dt
T2
T2
||3

||3

The third integral vanishes by integration by parts and the fact that D div u = 0;
thus, we focus on the nonlinearity, and in particular, on the highest-order derivatives || = 3, and use D3 to denote all third-order partial derivatives, as well as

NOTES ON Lp AND SOBOLEV SPACES

45

the notation l.o.t. for lower-order terms. We see that

Z
Z
Z
Z
D3 (ui ,j uj )D3 ui dx =
D3 ui ,j uj D3 ui dx +
ui ,j D3 uj D3 ui dx +
l. o. t. dx .
T2
T2
T2
T2
|
{z
} |
{z
}
K1

K2

By definition of being lower-order terms, T2 l. o. t. dx Ckuk3H 3 (T2 ) , so it remains

to estimate the integrals K1 and K2 . But the integral K1 vanishes by the same
argument that proved I1 = 0. On the other hand, the integral K2 is estimated by
H
olders inequality:
R

|K2 | kui ,j kL (T2 ) kD3 uj kH 3 (T2 ) kD3 ui kH 3 (T2 ) .

Thanks to the Sobolev embedding theorem, for s = 2 (s needs only to be greater than
1),
kui ,j kL (T2 ) Ckui ,j kH 2 (T2 ) kukH 3 (T2 ) ,
from which it follows that K2 Ckuk3H 3 (T2 ) , and this proves the claim.
Note well, that it is the Sobolev embedding theorem that requires the use of the
space H 3 (T2 ) for this analysis; for example, it would not have been possible to
establish the inequality (4.2) with the H 2 (T2 ) norm replacing the H 3 (T2 ) norm.
5. The Sobolev Spaces H s (Tn ), s R
5.1. Fourier Series: Revisited.
Definition 5.1. For u L1 (Tn ), define
Fu(k) = u
k = (2)n

eikx u(x)dx ,

Tn

and
X

F u
(x) =

u
k eikx .

kZn

Note that F : L1 (Tn ) l (Zn ). If u is sufficiently smooth, then integration by

parts yields
F(D u) = (i)|| k u
k , k = k11 knn .
Example 5.2. Suppose that u C 1 (Tn ). Then for j {1, ..., n},


Z
u ikx
u
F
(k) = (2)n
e
dx
xj
x
n
j
T
Z
= (2)n
u(x) (ikj ) eikx dx
Tn

= ikj u
k .
Note that Tn is a closed manifold without boundary; alternatively, one may identify Tn with the [0, 1]n with periodic boundary conditions, i.e., with opposite faces
identified.
Definition 5.3. Let s = S(Zn ) denote the space of rapidly decreasing functions u

on Zn such that for each N N,

pN (u) = sup hkiN |
uk | < .
kZn

46

STEVE SHKOLLER

Then
F : C (Tn ) s ,

F : s C (Tn ) ,

and F F = Id on C (Tn ) and FF = Id on s. These properties smoothly extend

to the Hilbert space setting:
F : L2 (Tn ) l2
F : l2 L2 (Tn )

2
n
F F = Id on L (T ) FF = Id on l2 .
Definition 5.4. The inner-products on L2 (Tn ) and l2 are
Z
n
(u, v)L2 (Tn ) = (2) 2
u(x)v(x)dx
Tn

and
(
u, v)l2 =

u
k vk ,

kZn

respectively.
Parsevals identity shows that kukL2 (Tn ) = k
ukl2 .
Definition 5.5. We set
D0 (Tn ) = [C (Tn )]0 and s0 = [s]0 .
The space D0 (Tn ) is termed the space of periodic distributions.
In the same manner that we extended the Fourier transform from S(Rn ) to
S (Rn ) by duality, we may produce a similar extension to the periodic distributions:
0

F : D0 (Tn ) s0
F : s0 D0 (Tn )

0
n
F F = Id on D (T ) FF = Id on s0 .
Definition 5.6 (Sobolev spaces H s (Tn )). For all s R, the Hilbert spaces H s (Tn )
are defined as follows:
H s (Tn ) = {u D0 (Tn ) | kukH s (Tn ) < } ,
where the norm on H s (Tn ) is defined as
kuk2H s (Tn ) =

|
uk |2 hki2s .

kZn
s

The space (H (T ), k kH s (Tn ) ) is a Hilbert space, and we have that

H s (Tn ) = [H s (Tn )]0 .
5.2. The Poisson Integral Formula and the Laplace operator. For f : S1
R, denote by PI(f )(r, ) the harmonic function on the unit disk D = {x R2 :
|x| < 1} with trace f :
PI(f ) = 0 in D
PI(f ) = f on D = S1 .
PI(f ) has an explicit representation via the Fourier series
X
PI(f )(r, ) =
fk r|k| eik r < 1, 0 < 2 ,
kZ

(5.1)

NOTES ON Lp AND SOBOLEV SPACES

47

as well as the integral representation

Z
1 r2
f ()
PI(f )(r, ) =
d r < 1, 0 < 2 .
2
2
r

2r
cos(
) + 1
S1

(5.2)

The dominated convergence theorem shows that if f C 0 (S1 ), then PI(f )

C (D) C 0 (D).
1

Theorem 5.7. PI extends to a continuous map from H k 2 (S1 ) to H k (D) for all
k Z+ .
Proof. Define u = PI(f ).
1
Step 1. The case that k = 0. Assume that f H 2 () so that
X
|fk |2 hki1 M0 < .
kZ

Since the functions {r|k| eik : k Z} are orthogonal with respect to the L2 (D)
inner-product,
2
Z 2 Z 1 X



kuk2L2 (D) =
fk r|k| eik  r dr d



0
0 kZ
Z
1
X
X
2
|fk |2
r2|k|+1 dr =
|fk |2 (1 + |k|)1 kf k2 1 1 ,
kZ

H 2 (S )

kZ

where we have used the monotone convergence theorem for the first inequality.
1
Step 2. The case that k = 1. Next, suppose that f H 2 () so that
X
|fk |2 hki1 M1 < .
kZ

Since we have shown that u L2 (D), we must now prove that u = u and
ur = r u are both in L2 (D). Notice that by definition of the Fourier transform and
(5.1),

PI(f ) = PI(f ) .
(5.3)

1
1
By definition, : H 2 (S1 ) H 2 (S1 ) continuously, so that for some constant C,
kf k

H 2 (S1 )

Ckf k

H 2 (S1 )

It follows from the analysis of Step 1 and (5.3) that (with u = PI(f )),
ku kL2 (D) Ckf k

H 2 (S1 )

Next, using the identity (5.1) notice that |rur | = |u |. It follows that
krur kL2 (D) Ckf k

H 2 (S1 )

(5.4)

By the interior regularity of proven in Theorem 6.1, ur (r, ) is smooth on

{r < 1}; hence the bound (5.4) implies that, in fact,
kur kL2 (D) Ckf k

H 2 (S1 )

and hence
kukH 1 (D) Ckf k

H 2 (S1 )

48

STEVE SHKOLLER
1

Step 3. The case that k 2. Since f H k 2 (S1 ), it follows that

kk f k

H 2 (S1 )

Ckf k

H k 2 (S1 )

and by repeated application of (5.3), we find that

kukH k (D) Ckf k

H k 2 (S1 )

.


6. The Laplacian and its regularity

We have studied the regularity properties of the Laplace operator on D =
B(0, 1) R2 using the Poisson integral formula. These properties continue to
hold on more general open, bounded, C subsets of Rn .
We revisit the Dirichlet problem
u = 0 in ,

(6.1a)

u = f on .

(6.1b)

Theorem 6.1. For k N, given f H k 2 (), there exists a unique solution

u H k () to (6.1) satisfying
kukH k () Ckf k

H k 2 ()

C = C() .

Proof. Step 1. k = 1. We begin by converting (6.1) to a problem with homogeneous boundary conditions. Using the surjectivity of the trace operator provided by Theorem 4.16, there exists F H 1 () such that T (F ) = f on , and
kF kH 1 () Ckf k 21
. Let U = u F ; then U H 1 () and by linearity of the
H ()

trace operator, T (U ) = 0 on . It follows from Theorem 2.35 that U H01 ()

and satisfies U = F in H01 (); that is hU, vi = hF, vi for all v H01 ().
According to Remark 2.45, : H01 () H 1 () is an isomorphism, so that
F H 1 (); therefore, by Theorem 2.44, there exists a unique weak solution
U H01 (), satisfying
Z
DU Dv dx = hF, vi v H01 () ,

with
kU kH 1 () CkF kH 1 () ,

(6.2)

and hence
u = U + F H 1 ()

and kukH 1 () kf k

H 2 ()

Step 2. k = 2. Next, suppose that f H 1.5 (). Again employing Theorem 4.16,
we obtain F H 2 () such that T (F ) = f and kF kH 2 () Ckf kH 1.5 () ; thus, we
see that F L2 () and that, in fact,
Z
Z
DU Dv dx =
F v dx v H01 () .
(6.3)

We first establish interior regularity. Choose any (nonempty) open sets 1

2 and let C0 (2 ) with 0 1 and = 1 on 1 . Let 0 =
min dist(spt(), 2 )/2. For all 0 <  < 0 , define U  (x) =  U (x) for all x 2 ,
and set
v =  ( 2 U  ,j ),j .

NOTES ON Lp AND SOBOLEV SPACES

49

Then v H01 () and can be used as a test function in (6.3); thus,

Z
Z

U,i  ( 2 U  ,j ),ji dx =
U,i  [ 2 U  ,ij +2,i U  ,j ],j dx

Z
Z
2 

=
U ,ij U ,ij dx 2
 [,i U  ,j ],j U,i dx ,
2

and
Z
Z
F v dx =

F  ( 2 U  ,j ),j dx =

F  [ 2 U  ,jj +2,j U  ,j ] dx .

By Youngs inequality (Theorem 1.53),

k [ 2 U  ,jj +2,j U  ,j ]kL2 (2 ) k 2 U  ,jj +2,j U  ,j kL2 (2 ) ;
hence, by the Cauchy-Young inequality with , Lemma 1.52, for > 0,
Z
F v dx kD2 U  k2L2 (2 ) + C [kDU  k2L2 (2 ) + kF k2L2 () ] .

Similarly,
Z
2
 [,i U  ,j ],j U,i dx kD2 U  k2L2 (2 ) + C [kDU  k2L2 (2 ) + kF k2L2 () ] .

By choosing < 1 and readjusting the constant C , we see that

kD2 U  k2L2 (1 ) kD2 U  k2L2 (2 ) C [kDU  k2L2 (2 ) + kF k2L2 () ]
C kF k2L2 () ,
the last inequality following from (6.2), and Youngs inequality.
Since the right-hand side does not depend on  > 0, there exists a subsequence
0

D2 U  * W in L2 (1 ) .
By Theorem 2.17, U  U in H 1 (1 ), so that W = D2 U on 1 . As weak convergence is lower semi-continuous, kD2 U kL2 (1 ) C kF kL2 () . As 1 and 2 are
2
arbitrary, we have established that U Hloc
() and that
2 () CkF kL2 () .
kU kHloc

2
For any w H01 (), set v = w in (6.3). Since u Hloc
(), we may integrate by
parts to find that
Z
(U F ) w dx = 0 w H01 () .

Since w is arbitrary, and the spt() can be chosen arbitrarily close to , it follows
that for all x in the interior of , we have that
U (x) = F (x)

for almost every x .

(6.4)

We proceed to establish the regularity of U all the way to the boundary .

Let {Ul }K
l=1 denote an open cover of which intersects the boundary , and let
{l }K
denote
a collection of charts such that
l=1
l : B(0, rl ) Ul is a C diffeomorphism ,
det Dl = 1 ,
l (B(0, rl ) {xn = 0}) Ul ,
l (B(0, rl ) {xn > 0}) Ul .

50

STEVE SHKOLLER

Let 0 l 1 in C0 (Ul ) denote a partition of unity subordinate to the open

covering Ul , and define the horizontal convolution operator, smoothing functions
defined on Rn in the first 1, ..., n 1 directions, as follows:
Z
 h F (xh , xn ) =
 (xh yh )F (yh , xn )dyh ,
Rn1

where  (xh ) = (n1) (xh /), the standard mollifier on Rn1 , and xh =
(x1 , ..., xn1 ). Let range from 1 to n 1, and substitute the test function


v =  h [(l l )2  h (U l ), ], l1 H01 ()
into (6.3), and use the change of variables formula to obtain the identity
Z
Z
(F ) l v l dx ,
Aki (U l ),k Aji (v l ),j dx =

(6.5)

B+ (0,rl )

B+ (0,rl )

where the C matrix A(x) = [Dl (x)]1 and B+ (0, rl ) = B(0, rl ) {xn > 0}. We
define
U l = U l , and denote the horizontal convolution operator by H =  h .
Then, with l = l l , we can rewrite the test function as
v l = H [l2 H U l , ], .
Since differentiation commutes with convolution, we have that
(v l ),j = H (l2 H U l ,j ), 2H (l l ,j H U l , ), ,
and we can express the left-hand side of (6.5) as
Z
Aki (U l ),k Aji (v l ),j dx = I1 + I2 ,
B+ (0,rl )

where
Z

Aji Aki U l ,k H (l2 H U l ,j ), dx ,

I1 =
B+ (0,rl )

Aji Aki U l ,k H (l l ,j H U l , ), dx .

I2 = 2
B+ (0,rl )

Next, we see that

Z
I1 =

[H (Aji Aki U l ,k )], (l2 H U l ,j ) dx = I1a + I1b ,

B+ (0,rl )

where
Z
I1a =

(Aji Aki H U l ,k ), l2 H U l ,j dx ,

B+ (0,rl )

Z
I1b =

([H , Aji Aki ]U l ,k ), l2 H U l ,j dx ,

B+ (0,rl )

and where
[H , Aji Aki ]U l ,k = H (Aji Aki U l ,k ) Aji Aki H U l ,k

(6.6)

NOTES ON Lp AND SOBOLEV SPACES

51

denotes the commutator of the horizontal convolution operator and multiplication.

The integral I1a produces the positive sign-definite term which will allow us to
build the global regularity of U , as well as an error term:
Z
I1a =
[l2 Aji Aki H U l ,k H U l ,j +(Aji Aki ), H U l ,k l2 H U l ,j ] dx ;
B+ (0,rl )

thus, together with the right hand-side of (6.5), we see that

Z

Z




l2 Aji Aki H U l ,k H U l ,j dx 
(Aji Aki ), H U l ,k l2 H U l ,j ] dx


B+ (0,rl )
B+ (0,rl )
Z





+ |I1b | + |I2 | + 
(F ) l v l dx .
 B+ (0,rl )

Since each l is a C diffeomorphism, it follows that the matrix A AT is positive
definite: there exists > 0 such that
|Y |2 Aji Aki Yj Yk Y Rn .
It follows that
Z

Z




j k
2
l 2
l
2
l

l |DH U | dx 
(Ai Ai ), H U ,k l H U ,j ] dx


B+ (0,rl )
B+ (0,rl )
Z





+ |I1b | + |I2 | + 
(F ) l v l dx ,
 B+ (0,rl )

where D = (x1 , ..., xn ) and p = (x1 , ..., xn1 ). Application of the Cauchy-Young
inequality with > 0 shows that

Z
Z









j k
l
2
l
(Ai Ai ), H U ,k l H U ,j ] dx + |I2 | + 
(F ) l v l dx


 B+ (0,rl )
 B+ (0,rl )

Z
l 2
2

l2 |DH
 U | dx + C kF kL2 () .
B+ (0,rl )

It remains to establish such an upper bound for |I1b |.

To do so, we first establish a pointwise bound for (6.6): for Ajk = Aji Aki ,
Z
[H , Aji Aki ]U l ,k (x) =
 (xh yh )[Ajk (yh , xn ) Ajk (xh , xn )]U l ,k (yh , xn ) dyh
B(xh ,)

By Morreys inequality, |[Ajk (yh , xn ) Ajk (xh , xn )]| CkAkW 1, (B+ (0,rl )) . Since


x h yh
1
,
x  (xh yh ) = 2 0


we see that
Z






j k
l
[H
,
A
A
]U
,
(x)

C
x


k
i i

1 0

and hence by Youngs inquality,





j
x [H , Ai Aki ]U l ,k

CkU kH 1 () CkF kL2 () .

B(xh ,)

L2 (B+ (0,rl )

x h yh


|U l ,k (yh , xn )| dyh

52

STEVE SHKOLLER

It follows from the Cauchy-Young inequality with > 0 that

Z
l 2
2

|I1b |
l2 |DH
 U | dx + C kF kL2 () .
B+ (0,rl )

By choosing 2 < , we obtain the estimate

Z
l 2
2

l2 |DH
 U | dx C kF kL2 () .
B+ (0,rl )

Since the right hand-side is independent of , we find that

Z
l 2

l2 |DU
| dx C kF k2L2 () .

(6.7)

B+ (0,rl )

From (6.4), we know that U (x) = F (x) for a.e. x Ul . By the chain-rule
this means that almost everywhere in B+ (0, rl ),
Ajk U l ,kj = Ajk ,j U l ,k +F l ,
or equivalently,
l
Ann Unn
= Aj U l ,j +Ak U l ,k +Ajk ,j U l ,k +F l .

Since Ann > 0, it follows from (6.7) that

Z
l2 |D2 U l |2 dx C kF k2L2 () .

(6.8)

B+ (0,rl )

Summing over l from 1 to K and combining with our interior estimates, we have
that
kukH 2 () CkF kL2 () .
Step 3. k 3. At this stage, we have obtained a pointwise solution U H 2 ()
H01 () to U = F in , and F H k1 . We differentiate this equation r times
until Dr F L2 (), and then repeat Step 2.

Department of Mathematics, University of California, Davis, CA 95616, USA
E-mail address: shkoller@math.ucdavis.edu