09. $\mathcal{L}^p$ Functions
Integration on Complex Valued Function
Let $(X, \mathscr{F}, \mu)$ be a measure space, and $E \in \mathscr{F}$.
정의.
A complex valued function $f = u + iv$, (where $u, v$ are real functions) is measurable if $u$ and $v$ are both measurable.
For a complex function $f$,
\[f \in \mathcal{L}^{1}(E, \mu) \iff \int_E \left\lvert f \right\rvert \,d{\mu} < \infty \iff u, v \in \mathcal{L}^{1}(E, \mu).\]If $f = u + iv \in \mathcal{L}^{1}(E, \mu)$, we define
\[\int_E f \,d{\mu} = \int_E u \,d{\mu} + i\int_E v \,d{\mu}.\]
참고.
Linearity also holds for complex valued functions. For $f_1, f_2 \in \mathcal{L}^{1}(\mu)$ and $\alpha \in \mathbb{C}$,
\[\int_E \left( f_1 + \alpha f_2 \right) \,d{\mu} = \int_E f_1 \,d{\mu} + \alpha \int_E f_2 \,d{\mu}.\]Choose $c \in \mathbb{C}$ and $\left\lvert c \right\rvert = 1$ such that $\displaystyle c \int_E f \,d{\mu} \geq 0$. This is possible since multiplying by $c$ is equivalent to a rotation.
Now set $cf = u + vi$ where $u, v$ are real functions and the integral of $v$ over $E$ is $0$. Then,
\[\begin{aligned} \left\lvert \int_E f \,d{\mu} \right\rvert & = c \int_E f\,d{\mu} = \int_E u \,d{\mu} \\ & \leq \int_E (u^2+v^2)^{1/2} \,d{\mu} \\ & = \int_E \left\lvert cf \right\rvert \,d{\mu} = \int_E \left\lvert f \right\rvert \,d{\mu}. \end{aligned}\]Functions of Class $\mathcal{L}^{p}$
$\mathcal{L}^p$ Space
Assume that $(X, \mathscr{F}, \mu)$ is given and $X = E$.
정의. ($\mathcal{L}^{p}$) A complex function $f$ is in $\mathcal{L}^{p}(\mu)$ if $f$ is measurable and $\displaystyle\int_E \left\lvert f \right\rvert ^p \,d{\mu} < \infty$.
정의. ($\mathcal{L}^{p}$-norm) $\mathcal{L}^{p}$-norm of $f$ is defined as
\[\left\lVert f \right\rVert_p = \left[\int_E \left\lvert f \right\rvert ^p \,d{\mu} \right]^{1/p}.\]Inequalities
정리. (Young Inequality) For $a, b \geq 0$, if $p > 1$ and $1/p + 1/q = 1$, then
\[ab \leq \frac{a^p}{p} + \frac{b^q}{q}.\]증명. From $1/p + 1/q = 1$, $p - 1 = \frac{1}{q - 1}$. The graph $y = x^{p - 1}$ is equal to the graph of $x = y^{q - 1}$. Sketch the graph on the $xy$-plane and consider the area bounded by $x = 0$, $x = a$, $y = 0$, $y = b$. Then we directly see that
\[\int_0^a x^{p-1} \,d{x} + \int_0^b y^{q-1} \,d{y} \geq ab,\]with equality when $a^p = b^q$. Evaluating the integral gives the desired inequality.
참고. For $\mathscr{F}$-measurable $f, g$ on $X$,
\[\left\lvert fg \right\rvert \leq \frac{\left\lvert f \right\rvert ^p}{p} + \frac{\left\lvert g \right\rvert ^q}{q} \implies \left\lVert fg \right\rVert_1 \leq \frac{\left\lVert f \right\rVert_p^p}{p} + \frac{\left\lVert g \right\rVert_q^q}{q}\]by Young inequality. In particular, if $\left\lVert f \right\rVert_p = \left\lVert g \right\rVert_q = 1$, then $\left\lVert fg \right\rVert_1 \leq 1$.
정리. (Hölder Inequality) Let $1 < p < \infty$ and $\displaystyle\frac{1}{p} + \frac{1}{q} = 1$. If $f, g$ are measurable,
\[\left\lVert fg \right\rVert_1 \leq \left\lVert f \right\rVert_p \left\lVert g \right\rVert_q.\]So if $f \in \mathcal{L}^{p}(\mu)$ and $g \in \mathcal{L}^{q}(\mu)$, then $fg \in \mathcal{L}^{1}(\mu)$.
증명. If $\left\lVert f \right\rVert_p = 0$ or $\left\lVert g \right\rVert_q = 0$ then $f = 0$ a.e. or $g = 0$ a.e. So $fg = 0$ a.e. and $\left\lVert fg \right\rVert_1 = 0$.
Now suppose that $\left\lVert f \right\rVert_p > 0$ and $\left\lVert g \right\rVert_q > 0$. By the remark above, the result directly follows from
\[\left\lVert \frac{f}{\left\lVert f \right\rVert_p} \cdot \frac{g}{\left\lVert g \right\rVert_q} \right\rVert_1 \leq 1.\]정리. (Minkowski Inequality) For $1 \leq p < \infty$, if $f, g$ are measurable, then
\[\left\lVert f + g \right\rVert_p \leq \left\lVert f \right\rVert_p + \left\lVert g \right\rVert_p.\]증명. If $f, g \notin \mathcal{L}^{p}$, the right hand side is $\infty$ and we are done. For $p = 1$, the equality is equivalent to the triangle inequality. Also if $\left\lVert f + g \right\rVert_p = 0$, the inequality holds trivially. We suppose that $p > 1$, $f, g \in \mathcal{L}^p$ and $\left\lVert f+g \right\rVert_p > 0$.
Let $q = \frac{p}{p-1}$. Since
\[\begin{aligned} \left\lvert f + g \right\rvert ^p & = \left\lvert f + g \right\rvert \cdot \left\lvert f + g \right\rvert ^{p - 1} \\ & \leq \bigl(\left\lvert f \right\rvert + \left\lvert g \right\rvert \bigr) \left\lvert f + g \right\rvert ^{p-1}, \end{aligned}\]we have
\[\begin{aligned} \int \left\lvert f+g \right\rvert ^p & \leq \int \left\lvert f \right\rvert \cdot \left\lvert f+g \right\rvert ^{p-1} + \int \left\lvert g \right\rvert \cdot \left\lvert f+g \right\rvert ^{p-1} \\ & \leq \left( \int \left\lvert f \right\rvert ^p \right)^{1/p}\left( \int \left\lvert f+g \right\rvert ^{(p-1)q} \right)^{1/q} \\ & \quad + \left( \int \left\lvert q \right\rvert ^p \right)^{1/p}\left( \int \left\lvert f+g \right\rvert ^{(p-1)q} \right)^{1/q} \\ & = \left( \left\lVert f \right\rVert_p + \left\lVert g \right\rVert_p \right) \left( \int \left\lvert f+g \right\rvert ^p \right)^{1/q}. \end{aligned}\]Since $\left\lVert f + g \right\rVert_p^p > 0$, we have
\[\begin{aligned} \left\lVert f + g \right\rVert_p & = \left( \int \left\lvert f+g \right\rvert ^p \right)^{1/p} \\ & = \left( \int \left\lvert f+g \right\rvert ^p \right)^{1 - \frac{1}{q}} \\ & \leq \left\lVert f \right\rVert_p + \left\lVert g \right\rVert_p. \end{aligned}\]정의. $f \sim g \iff f = g$ $\mu$-a.e. and define
\[[f] = \left\lbrace g : f \sim g\right\rbrace.\]We treat $[f]$ as an element in $\mathcal{L}^{p}(X, \mu)$, and write $f = [f]$.
참고.
We write $\left\lVert f \right\rVert_p = 0 \iff f = [0] = 0$ in the sense that $f = 0$ $\mu$-a.e.
Now $\lVert \cdot \rVert_p$ is a norm in $\mathcal{L}^{p}(X, \mu)$ so $d(f, g) = \left\lVert f - g \right\rVert_p$ is a metric in $\mathcal{L}^{p}(X, \mu)$.
Completeness of $\mathcal{L}^p$
Now we have a function space, so we are interested in its completeness.
정의. (Convergence in $\mathcal{L}^p$) Let $f, f_n \in \mathcal{L}^{p}(\mu)$.
$f_n \rightarrow f$ in $\mathcal{L}^p(\mu) \iff \left\lVert f_n-f \right\rVert_p \rightarrow 0$ as $n \rightarrow\infty$.
$\left( f_n \right)_{n=1}^\infty$ is a Cauchy sequence in $\mathcal{L}^{p}(\mu)$ if and only if
$\forall \epsilon > 0$, $\exists\,N > 0$ such that $n, m \geq N \implies \left\lVert f_n-f_m \right\rVert_p < \epsilon$.
도움정리. Let $\left( g_n \right)$ be a sequence of measurable functions. Then,
\[\left\lVert \sum_{n=1}^{\infty} \left\lvert g_n \right\rvert \right\rVert_p \leq \sum_{n=1}^{\infty} \left\lVert g_n \right\rVert_p.\]Thus, if $\displaystyle\sum_{n=1}^{\infty} \left\lVert g_n \right\rVert_p < \infty$, then $\displaystyle\sum_{n=1}^{\infty} \left\lvert g_n \right\rvert < \infty$ $\mu$-a.e. So $\displaystyle\sum_{n=1}^{\infty} g_n < \infty$ $\mu$-a.e.
증명. By monotone convergence theorem and Minkowski inequality,
\[\begin{aligned} \left\lVert \sum_{n=1}^{\infty} \left\lvert g_n \right\rvert \right\rVert_p & = \lim_{m \rightarrow\infty} \left\lVert \sum_{n=1}^{m} \left\lvert g_n \right\rvert \right\rVert_p \\ & \leq \lim_{n \rightarrow\infty} \sum_{n=1}^{m} \left\lVert g_n \right\rVert_p \\ & = \sum_{n=1}^{\infty} \left\lVert g_n \right\rVert_p < \infty. \end{aligned}\]Thus $\displaystyle\sum_{n=1}^{\infty} \left\lvert g_n \right\rvert < \infty$ $\mu$-a.e. and $\displaystyle\sum_{n=1}^{\infty} g_n < \infty$ $\mu$-a.e. by absolute convergence.
정리. (Fischer) Suppose $\left( f_n \right)$ is a Cauchy sequence in $\mathcal{L}^{p}(\mu)$. Then there exists $f \in \mathcal{L}^{p}(\mu)$ such that $f_n \rightarrow f$ in $\mathcal{L}^{p}(\mu)$.
증명. We construct $\left( n_k \right)$ by the following procedure.
$\exists\,n_1 \in \mathbb{N}$ such that $\left\lVert f_m - f_{n_1} \right\rVert_p < \frac{1}{2}$ for all $m \geq n_1$.
$\exists\,n_2 \in \mathbb{N}$ such that $\left\lVert f_m - f_{n_2} \right\rVert_p < \frac{1}{2^2}$ for all $m \geq n_2$.
Then, $\exists\,1 \leq n_1 < n_2 < \cdots < n_k$ such that $\left\lVert f_m - f_{n_k} \right\rVert_p < \frac{1}{2^k}$ for $m \geq n_k$.
Since $\displaystyle\left\lVert f_{n_{k+1}} - f_{n_k} \right\rVert_p < \frac{1}{2^k}$, we have
\[\sum_{k=1}^{\infty} \left\lVert f_{n_{k+1}} - f_{n_k} \right\rVert_p < \infty.\]By the above lemma, $\sum \left\lvert f_{n_{k+1}} - f_{n_k} \right\rvert$ and $\sum (f_{n_{k+1}} - f_{n_k})$ are finite. Let $f_{n_0} \equiv 0$. Then as $m \rightarrow\infty$,
\[f_{n_{m+1}} = \sum_{k=0}^{m} \left( f_{n_{k+1}} - f_{n_k} \right)\]converges $\mu$-a.e. Take $N \in \mathscr{F}$ with $\mu(N) = 0$ such that $f_{n_k}$ converges on $X \setminus N$. Let
\[f(x) = \begin{cases} \displaystyle\lim_{k \rightarrow\infty} f_{n_k} (x) & (x \in X \setminus N) \\ 0 & (x\in N) \end{cases}\]then $f$ is measurable. Using the convergence,
\[\begin{aligned} \left\lVert f - f_{n_m} \right\rVert_p & = \left\lVert \sum_{k=m}^{\infty} \left( f_{n_{k+1}} (x) - f_{n_k}(x) \right) \right\rVert_p \\ & \leq \left\lVert \sum_{k=m}^{\infty} \left\lvert f_{n_{k+1}} (x) - f_{n_k}(x) \right\rvert \right\rVert_p \\ & \leq \sum_{k=m}^{\infty} \left\lVert f_{n_{k+1}} - f_{n_k} \right\rVert_p \leq 2^{-m} \end{aligned}\]by the choice of $f_{n_k}$. So $f_{n_k} \rightarrow f$ in $\mathcal{L}^{p}(\mu)$. Also, $f = (f - f_{n_k}) + f_{n_k} \in \mathcal{L}^{p}(\mu)$.
Let $\epsilon > 0$ be given. Since $\left( f_n \right)$ is a Cauchy sequence in $\mathcal{L}^{p}$, $\exists\,N \in \mathbb{N}$ such that for all $n, m \geq N$, $\left\lVert f_n - f_m \right\rVert < \frac{\epsilon}{2}$. Note that $n_k \geq k$, so $n_k \geq N$ if $k \geq N$. Choose $N_1 \geq N$ such that for $k \geq N$, $\left\lVert f - f_{n_k} \right\rVert_p < \frac{\epsilon}{2}$. Then for all $k \geq N_1$,
\[\left\lVert f - f_k \right\rVert_p \leq \left\lVert f - f_{n_k} \right\rVert_p + \left\lVert f_{n_k} - f_k \right\rVert_p < \frac{\epsilon}{2} + \frac{\epsilon}{2} = \epsilon.\]참고. $\mathcal{L}^{p}$ is a complete normed vector space, also known as Banach space.
정리. $C[a, b]$ is a dense subset of $\mathcal{L}^{p}[a, b]$. That is, for every $f \in \mathcal{L}^{p}[a, b]$ and $\epsilon > 0$, $\exists\,g \in C[a, b]$ such that $\left\lVert f - g \right\rVert_p < \epsilon$.
증명. Let $A$ be a closed subset in $[a, b]$, and consider a distance function
\[d(x, A) = \inf_{y\in A} \left\lvert x - y \right\rvert , \quad x \in [a, b].\]Since $d(x, A) \leq \left\lvert x - z \right\rvert \leq \left\lvert x - y \right\rvert + \left\lvert y - z \right\rvert$ for all $z \in A$, taking infimum over $z \in A$ gives $d(x, A) \leq \left\lvert x - y \right\rvert + d(y, A)$. So
\[\left\lvert d(x, A) - d(y, A) \right\rvert \leq \left\lvert x - y \right\rvert ,\]and $d(x, A)$ is continuous. If $d(x, A) = 0$, $\exists\,x_n \in A$ such that $\left\lvert x_n - x \right\rvert \rightarrow d(x, A) = 0$. Since $A$ is closed, $x \in A$. We know that $x \in A \iff d(x, A) = 0$.
Let
\[g_n(x) = \frac{1}{1 + n d(x, A)}.\]$g_n$ is continuous, $g_n(x) = 1$ if and only if $x \in A$. Also for all $x \in [a, b] \setminus A$, $g_n(x) \rightarrow 0$ as $n \rightarrow\infty$. By Lebesgue’s dominated convergence theorem,
\[\begin{aligned} \left\lVert g_n - \chi_A \right\rVert_p^p & = \int_A \left\lvert g_n - \chi_A \right\rvert ^p \,d{x} + \int_{[a, b]\setminus A} \left\lvert g_n - \chi_A \right\rvert ^p \,d{x} \\ & = 0 + \int_{[a, b]\setminus A} \left\lvert g_n \right\rvert ^p \,d{x} \rightarrow 0 \end{aligned}\]since $\left\lvert g_n \right\rvert ^p \leq 1$. We have shown that characteristic functions of closed sets can be approximated by continuous functions in $\mathcal{L}^{p}[a, b]$.
For every $A \in \mathfrak{M}(m)$, $\exists\,F_\text{closed} \subseteq A$ such that $m(A \setminus F) < \epsilon$. Since $\chi_A - \chi_F = \chi_{A \setminus F}$,
\[\begin{aligned} \int \left\lvert \chi_A-\chi_F \right\rvert ^p \,d{x} & = \int \left\lvert \chi_{A\setminus F} \right\rvert ^p \,d{x} \\ & = \int_{A\setminus F} \,d{x} = m(A \setminus F) < \epsilon. \end{aligned}\]Therefore, for every $A \in \mathfrak{M}$, $\exists\,g_n \in C[a, b]$ such that $\left\lVert g_n - \chi_A \right\rVert_p \rightarrow 0$ as $n \rightarrow\infty$. So characteristic functions of any measurable set can be approximated by continuous functions in $\mathcal{L}^{p}[a, b]$.
Next, for any measurable simple function $f = \sum_{k=1}^{m}a_k \chi_{A_k}$, we can find $g_n^k \in C[a, b]$ so that
\[\left\lVert f - \sum_{k=1}^{m} a_k g_n^k \right\rVert_p = \left\lVert \sum_{k=1}^{m}a_k \left( \chi_{A_k} - g_n^k \right) \right\rVert_p \rightarrow 0.\]Next for $f \in \mathcal{L}^{p}$ and $f \geq 0$, there exist simple functions $f_n \geq 0$ such that $f_n \nearrow f$ in $\mathcal{L}^{p}$. Finally, any $f \in \mathcal{L}^{p}$ can be written as $f = f^+ - f^-$, which completes the proof.
이러한 확장을 몇 번 해보면 굉장히 routine합니다. $\chi_F$ for closed $F$ $\rightarrow$ $\chi_A$ for measurable $A$ $\rightarrow$ measurable simple $f$ $\rightarrow$ $0\leq f \in \mathcal{L}^{p} \rightarrow$ $f \in \mathcal{L}^{p}$ 와 같은 순서로 확장합니다.