Functional Analysis

MEAS Len

Department of Mathematics
Royal University of Phnom Penh

2022
Outline
1 Part I: Foundations
Metric Space
Banach Space
Dual Space
Hilbert Space
2 Part II: Principle of Functional Analysis
Baire’s Category Theorem
Uniform Boundedness Principle
Open Mapping Theorem
Closed Graph Theorem
Hahn-Banach Theorem
3 Part III: Lebesgue Integral
Measurable functions
Lebesgue Integral
The Lp Spaces
 Part I: Foundations Metric Space

Metric Space

Definition
A metric space is a pair (X, d) consisting of a set X and a function
d : X × X → R that satisfies the following axioms:
M1 d(x, y) ≥ 0, ∀x, y ∈ X, with equality if and only if x = y.
M2 d(x, y) = d(y, x), ∀x, y ∈ X.
M3 d(x, z) ≤ d(x, y) + d(y, z), ∀x, y, z ∈ X.

Remark:
d : X × X → R : “distance function”.
(M3 ): triangle inequality.

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 Part I: Foundations Metric Space

Example: For any integer n ≥ 1, the function d : Rn × Rn → R defined by

 n 1/2
X 
d(x, y) =  |xi − yi |2 
i=1

is a metric on the set Rn .

An alternative metric on Rn , is the function d1 : Rn × Rn → R defined by
n
X
d1 (x, y) = |xi − yi |.
i=1

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 Part I: Foundations Metric Space

Easy Consequences:
1 d(x, z) ≥ |d(x, y) − d(z, y)|
2 d(x1 , xn ) ≤ d(x1 , x2 ) + · · · + d(xn−1 , xn ).

Definition
A sequence (xn ) in a metric space (X, d) converges to x ∈ X if for every ε > 0,
there exists N ∈ N such that

d(x, xn ) < ε, for all n ≥ N.

Notation: lim xn = x or xn → x.
n→∞
A sequence (xn ) in (X, d) is a Cauchy sequence if, for every ε > 0, there exists
N ∈ N such that
d(xm , xn ) < ε, for all m, n ≥ N.

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 Part I: Foundations Metric Space

Theorem
Suppose that (xn ) is a convergent sequence in a metric space (X, d). Then
1 the limit x = lim xn is unique
n→∞
2 any subsequence of (xn ) also converges to x
3 (xn ) is a Cauchy sequence.

Proof:
1 suppose lim xn = l and lim xn = m. Let ε > 0. Then for n large enough
n→∞ n→∞
d(l, m) ≤ d(l, xn ) + d(xn , m) < 2ε + 2ε = ε.
Thus 0 ≤ d(l, m) ≤ ε holds for any ε > 0. It follows that d(l, m) = 0, i.e,
l = m.

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 Part I: Foundations Metric Space

2 Let ε > 0 be given. Since xn → l, there exists an Nε ∈ N such that

xn ∈ Bε (l) for all n ≥ Nε . If k ≥ Nε then nk ≥ k, so that nk ≥ Nε , and thus
xnk ∈ Bε (l). This implies, by definition, that xnk → l as k → ∞.
3 Let ε > 0 , since xn → l, ∃N such that ∀n ≥ N, d(xn , l) < ε/2. Then if
m, n > N,
ε ε
d(xn , xm ) ≤ d(xn , l) + d(l, xm ) ≤ + = ε.
2 2
Thus (xn ) is a Cauchy sequence.

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 Part I: Foundations Metric Space

Proposition
In a metric space, a sequence (xn ) can only converge to one limit.

Proof: Suppose xn → x and xn → y as n → ∞, with x , y. Then they can be

separated by two disjoint ball Br (x) and Br (y). But convergence means

∃N1 , n ≥ N1 ⇒ xn ∈ Br (x)

∃N2 , n ≥ N2 ⇒ xn ∈ Br (y).
For n ≥ max(N1 , N2 ) this would result in xn ∈ Br (x) ∩ Br (y) = ∅, a
contradiction.

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 Part I: Foundations Metric Space

Proposition
Distinct points of a metric space can be separated by disjoint balls,

x , y ⇒ ∃r > 0, Br (x) ∩ Br (y) = ∅.

Proof: If x , y then d(x, y) > 0. Let r := d(x, y)/2, then Br (x) is disjoint from
Br (y) else we get a contradiction: z ∈ Br (x) ∩ Br (y)

⇒ d(x, z) < r and d(y, z) < r

⇒ d(x, y) ≤ d(x, z) + d(y, z) < 2r = d(x, y).

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 Part I: Foundations Metric Space

Examples:
1 In any metric space, xn → x ⇔ d(xn , x) → 0 as n → ∞ (because
xn ∈ Bε (x) ⇔ d(xn , x) < ε).
2 n
In R, n+1 → 1 as n → ∞, since for any ε, there is an N such that 1
N <ε
(Archimedean property of R), so
n 1 1
n≥N ⇒ 1− = < < ε.
n+1 n+1 N

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 Part I: Foundations Metric Space

Continuity

Definition
A function f : X → Y between metric spaces is continuous when it preserves
convergence,
xn → x in X ⇒ f (xn ) → f (x) in Y.

Remark: In this case, therefore, f ( lim xn ) = lim f (xn ).

n→∞ n→∞

Theorem
A function f : X → Y between metric spaces. TFAE
i f is continuous
ii ∀ε > 0, ∃δ > 0, ∀x ∈ X, dX (x, x0 ) < δ ⇒ dY (f (x), f (x0 )) < ε,
iii For every open set V in Y, f −1 (V) is open in X.
iv For every closed subset F in Y, f −1 (F) is closed in X.

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 Part I: Foundations Metric Space

Proof: (i) ⇒ (ii)

Suppose (ii) is false, then there is a point x ∈ X and an ε > 0 such that
arbitrarily small changes to x can lead to sudden variations in f (x),
∀δ > 0, ∃x0 , dX (x, x0 ) < δ and dY (f (x), f (x0 )) ≥ ε.
In particular, let δ = 1n , there is a sequence xn ∈ X satisfying dX (x, xn ) < n1 but
dY (f (x), f (xn )) ≥ ε. This means that xn → x, but f (xn ) 9 f (x), contradicting
statement (i).
(ii) ⇒ (iii): Note that (ii) can be written as

∀ε > 0, ∃δ > 0, ∀x ∈ X, x0 ∈ Bδ (x) ⇒ f (x0 ) ∈ Bε (f (x))

or even as ∀ε > 0, ∃δ > 0, ∀x ∈ X, f (Bδ (x)) ⊆ Bε (f (x)).

Let V be an open set in Y. To show that U := f −1 (V) is open in X, let x be any
point of U, then f (x) ∈ V, which is open. Hence,

f (x) ∈ Bε (f (x)) ⊆ V,

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 Part I: Foundations Metric Space

and so
∃δ > 0, f (Bδ (x)) ⊆ Bε (f (x)) ⊆ V.
In other words, x is an interior point of U, ∃δ > 0, Bδ (x) ⊆ f −1 (V) ⊆ U.
(iii) ⇒ (i): Let (xn ) be a sequence converging to x. Consider any open
neighborhood Bε (f (x)) of f (x). Then f −1 (Bε (f (x)) contains x and is open set by
(iii), so

∃δ > 0, x ∈ Bδ (ε) ⊆ f −1 (Bε (f (x)), ⇒ ∃δ > 0, f (Bδ (ε)) ⊆ Bε (f (x)).

But eventually all the points xn are inside Bδ (x),

∃N > 0, n > N ⇒ xn ∈ Bδ (x)

⇒ f (xn ) ∈ f (Bδ (x)) ⊆ Bε (f (x))
⇒ dY (f (xn ), f (x)) < ε.

This shows that f (xn ) → f (x) as n → ∞.

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 Part I: Foundations Metric Space

Remark:
1 Continuous functions preserve convergence, a central concept in metric
space.
2 A homeomorphism between metric spaces X and Y is a mapping
f : X → Y such that f is bijective, f is continuous and f −1 is continuous.
3 A metric space X is said to be embedded in another space Y, when there
is a subset Z ⊆ Y such that X is homeomorphic to Z.

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 Part I: Foundations Metric Space

When X and Y are homeomorphic, they are not only the same as a sets
(bijection) but also wrt convergence

xn → x ⇐⇒ f (xn ) → f (x),

and
A is open in X ⇐⇒ f (A) is open in Y.
The most vivid picture is that of “deforming” one space continuously and
reversibly form the other. The classic example is that a ‘teacup’ is
homeomorphic to a “doughnut”.

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 Part I: Foundations Metric Space

Complete Metric Spaces

Definition
A metric space is complete when every Cauchy sequence in it converges.

Theorem
The real number R is complete.

The proof of this theorem follows the Cauchy criterion in real analysis states
that a sequence converges if and only if it is Cauchy.

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 Part I: Foundations Metric Space

Proposition
(Q, d), d(x, y) = |x − y| is NOT complete.
√
Why? Consider a sequence rationals xn converging to 2 in (R, d),
specifically, we may assume
√ 1
xn − 2 ≤
n
√
(This is possible since there are rationals number arbitrarily close to 2).
Indeed, we can use recurrence x1 = 1 and
xn−1 1
xn = + ,
2 xn−1
√
for n > 1. As (xn ) converges, then it is Cauchy. But its limits 2 < Q.

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 Part I: Foundations Metric Space

Proposition
Let X be a complete metric space. A subset F ⊆ X is complete ⇐⇒ F is
closed in X.
Proof: Let F ⊆ X be complete, i.e any Cauchy sequence in F converges to a
limit in F. Let x ∈ F̄, with a sequence xn → x, xn ∈ F. Since convergent
sequence are Cauchy and F is complete, x must be in F. Thus F = F̄ is closed.
Conversely, let F be a closed in X and let (xn ) be a Cauchy sequence in F.
Then (xn ) is a Cauchy sequence in X, which is complete.
Therefore, xn → x for some x ∈ X. In fact x ∈ F̄ = F. Thus any Cauchy
sequence of F converges in F.
Remark: In fact, a complete subspace of any metric space is closed.
Remark: Two metric spaces may be homeomorphic yet one space be
complete and the other not. For example: R is homeomorphic to ]0, 1[. But
]0, 1[ is NOT closed in R, hence NOT complete.

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 Part I: Foundations Metric Space

Uniformly Continuity

Remark: A continuous function need not preserve completeness, or even

Cauchy sequences; so we need to strengthen continuity.
Definition
A function f : X → Y is said to be uniformly continuous when

∀ε > 0, ∃δ > 0, ∀x ∈ X, f (Bδ (x)) ⊆ Bε (f (x)).

Remark:
1 The difference from continuity is that, here, δ is independent of x.
2 Uniformly continuity ⇒ continuity.
1
3 But not every continuously map is uniformly. For example, f (x) := x on
]0, ∞[.

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 Part I: Foundations Metric Space

Proposition
A uniformly continuous function maps any Cauchy sequence to a Cauchy
sequence.

Proof: By definition f : X → Y is uniformly continuous when

∀ε > 0, ∃δ > 0, ∀x, x0 , dX (x, x0 ) < δ ⇒ dY (f (x), f (x0 )) < ε.

In particular, for a Cauchy sequence (xn ) in X, with this δ,

∃N, m, n > N ⇒ dX (xn , xm ) < δ ⇒ dY (f (xn ), f (xm )) < ε,

proving that (f (xn )) is a Cauchy sequence in Y.

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 Part I: Foundations Metric Space

Example: Lipschitz maps are uniformly continuous: since for any ε > 0, we
ε
can let δ = 2c independent of x to obtain d(x, x0 ) < δ ⇒ d(f (x), f (x0 )) < cδ < ε.
Remark: NOT every uniformly continuous function is Lipschitz. For
√
example, x on √ [0, 1] is uniformly continuous. If it were Lipschitz, it would
√ √
satisfy | x − 0| ≤ c|x − 0| which leads to x ≥ 1c .

Definition
A function f : X → Y is Lipschitz map when

∃c, ∀x, x0 ∈ X, dY (f (x), f (x0 )) ≤ cdX (x, x0 ).

f is contraction when it is Lipschitz with c < 1.

f is isometry, when f preserves distances, i.e

∀x, x0 ∈ X, dY (f (x), f (x0 )) = dX (x, x0 ).

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 Part I: Foundations Metric Space

Theorem (The Banach fixed point theorem)

Let X , ∅ be a complete metric space. Then every contraction map f : X → X
has a unique fixed point x = f (x), and the iteration xn+1 := f (xn ) converges to it
for any x0 .

Proof: Consider the iteration xn+1 := f (xn ) starting with any x0 in X. Note that

d(xn+1 , xn ) = d(f (xn ), f (xn−1 )) ≤ cd(xn , xn−1 ).

Hence, by induction on n,

d(xn+1 , xn ) ≤ cn d(x1 , x0 ).

So (xn ) is Cauchy since c < 1.

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 Part I: Foundations Metric Space

As X is complete, xn converges x and by continuity of f ,

 
f (x) = f lim xn = lim f (xn ) = lim xn+1 = x.
n→∞ n→∞ n→∞

cn
Moreover, the rate of convergence is given at least by d(x, xn ) ≤ 1−c d(x1 , x0 ).
Suppose there are two fixed points x = f (x) and y = f (y), then

d(x, y) = d(f (x), f (y)) ≤ cd(x, y)

implying d(x, y) = 0 since c < 1.

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 Part I: Foundations Metric Space

Connectedness

Definition
A subset C of a metric space is disconnected when it can be divided into (at
least) two disjoint non-empty subsets C = A ∪ B such that each subset is
converd exclusively by an open set. i.e,

A ⊆ U, B ∩ U = ∅, U open
B ⊆ V, A ∩ V = ∅, V open.

Otherwise a set is called connected.

Theorem
The connected subsets of R are intervals.

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 Part I: Foundations Metric Space

Proposition
Continuous functions map connected sets to connected sets.
f : X → Y continuous, C ⊆ X connected ⇒ f (C) is connected.

Proof: Let C be a subset of X, and suppose f (C) is disconnected into the

non-empty disjoints sets S and B convered exclusively by open sets U and V;
that is,
f (C) = A ∪ B ⊆ U ∪ V, U ∩ B = ∅ = V ∩ A.
Then
C = f −1 (A) ∪ f −1 (B) ⊆ f −1 (U) ∪ f −1 (V),
f −1 (U) ∩ f −1 (B) = ∅ = f −1 (V) ∪ f −1 (A).
Moreover, f −1 (A) and f −1 (B) are non-empty and disjoint and f −1 (U) and
f −1 (V) are open sets. Hence f (C) disconnected implies C is disconnected.

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 Part I: Foundations Metric Space

Application (Intermediate Value Theorem)

Let C be a connected space and f : C → R a continuous function. For any c
with f (a) < c < f (b) there exists an x ∈ C such that f (x) = c.

Proof: f (C) is connected in R and so must be an interval. Then

f (a), f (b) ∈ f (C) ⇒ c ∈ f (C)

so c = f (x) for some x in C.

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 Part I: Foundations Metric Space

Compactness

Definition
A set K is compact if any open cover has a finite subcover, i.e.,

[ iN
[
K⊆ Ai ⇒ ∃i1 , · · · , iN , K = Ai
i i=i1

(Ai open subset of X).

Remark: In metric space,

Ai = Bεi (ai ).

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 Part I: Foundations Metric Space

Proposition
Compact sets are closed.

Proof: Let K be compact and x ∈ X \ K. To show x is exterior to K, we need

to surround it by a ball outside K. We know that x can be separated from any
y ∈ K by disjoint open balls Brx and Bry . Since y ∈ Bry , these balls cover K.
But K is compact, so there is a finite of these balls that still cover K,

K ⊆ Br1 (y1 ) ∪ · · · ∪ BrN (yN ).

Now let r := min{r1 , · · · , rN }; then Br (x) ∩ K = ∅ since

z ∈ Br (x) ⇒ z ∈ Bri (x), i = 1, · · · , N

⇒ z < Br1 (y1 ) ∪ · · · ∪ BrN (yN ) ⊇ K.

Therefore, x ∈ Br (x) ⊆ X \ K.

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 Part I: Foundations Metric Space

Proposition
i A closed subset of compact set is compact.
ii A finite union of compact set is compact.

Proof: (i) Let F be a closed subset of a compact set K, and let the open set Ai
cover F, then [
K ⊆ F ∪ (X \ F) ⊆ Ai ∪ (X \ F).
i

But K is compact and therefore a finite number of these open sets are enough
to cover it
[N [N
K⊆ Ai ∪ (X \ F), so F = Ai .
i=1 i=1

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 Part I: Foundations Metric Space

(ii) Let the open sets Ai cover the finite union of compact sets K1 ∪ · · · ∪ KN .
Then they cover each individual Kn and a finite number will then suffice in
each case,
kn
[
Kn ⊆ Aik .
k=1

For n = 1, · · · , N, the collection of chosen Aik remains finite and together

cover all Kn .
Remark: Finiteness of compact is IMPORTANT !!!
Example: Every finite union of closed bounded intervals is a compact subset
of R. But
[
R= [n, n + 1] “countable union of compact sets”.
n∈Z

But R is NOT compact.

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 Part I: Foundations Metric Space

Proposition
Continuous functions map compact sets to compact sets. That is,
f : K ⊂ X → Y is continuous and K is compact, then f (K) is compact.

Proof
Let the sets Ai be an open cover for f (K)
[
f (K) ⊆ Ai .
i

From this can be deduced

 
[  [ −1
K⊆f −1 
 Ai  = f (Ai ) .
i i

But f −1 (Ai ) are open sets since f is continuous.

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 Part I: Foundations Metric Space

Therefore, RHS is an open cover of K. As K is compact, a finite number of

these open sets still cover it,
N
[
f −1 Aik .


K⊆
k=1

It follows that there is a finite subcover

N
[
f (K) ⊆ Aik
k=1

as required to show that f (K) compact.

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 Part I: Foundations Metric Space

Heine-Borel Theorem
A set K ⊆ Rn is compact if and only if K is closed and bounded.

For the proof see [Rudin’s Principle of Mathematical Analysis]

Remark: The statement of Heine-Borel Theorem is not true if we replace Rn
by an arbitrary metric space. For example, take X = (0, 1) with the usual
metric d(x, y) = |x − y|. Let K = X. The set K is closed in X. Also, K is
bounded since d(x, y) < 1 for all x, y ∈ K. However A is not compact.

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 Part I: Foundations Metric Space

Characterization of compact sets

Let (X, d) be a metric space and let K ⊂ X. Then TFAE
1 K is sequentially compact (Every sequence in K has a subsequence that
converges in K).
2 K is complete and totally bounded (it can be covered by a finite number
of -balls).
3 Every open cover of K has a finite subcover.

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 Part I: Foundations Metric Space

Which subsets of Banach space or topological space are compact?

X For the standard Euclidean space (Rn , k.k2 ) the Heine-Borel Theorem
asserts that a subset of Rn is compact if and only if it is closed and
bounded.
X This continues to hold for every finite dimensional normed vector space
and conversely, every normed vector space in which the closed unit ball
is compact is finite-dimensional.
How about infinite- dimensional Banach spaces?
X For the Banach space of continuous function on a compact metric space
a characterization of the compact subsets is given by Arzéla-Ascoli
Theorem.

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 Part I: Foundations Metric Space

The space C(X, Y)

Let (X, dx ) and (Y, dY ) be metric spaces and assume that X is compact. Then
the space
C(X, Y) := {f : X → Y | f is continuous}
of continuous function from X to Y is a metric space with distance

d(f , g) := sup dY (f (x), g(x)), f , g ∈ C(X, Y)

x∈X

This is well-defined because the function

X→R
x 7→ dY (f (x), g(x))

is continuous and hence is bounded as X is compact.

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 Part I: Foundations Metric Space

When X , ∅, the metric space (C(X, Y), d) is complete if and only if Y is

complete. Why? Indeed, let fn : X → Y be a Cauchy sequence. Then for every
x ∈ X,
dY (fn (x), fm (x)) ≤ d(fn , fm ) → 0 as n, m → ∞,
so (fn (x)) is a Cauchy sequence in Y. When Y is complete, fn (x) converges to
f (x). The convergence is uniform as it is

d(fn , fm ) = sup dY (fn (x), fm (x)) → 0.

x∈X

ε
So given any ε > 0, ∃N such that dY (fn (x), fm (x)) < 2 for any n, m ≥ N and any
x ∈ X.

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 Part I: Foundations Metric Space

For each x, we can choose m ≥ N, depend on x and large enough so that

dY (fm (x), f (x)) < 2ε and this implies for any x ∈ X,

dY (fn (x), f (x)) ≤ dY (fn (x), fm (x)) + dY (fm (x), f (x)) < ε

for any n ≥ N. Since this N is independent of x, it follows that d(fn , f ) → 0.

Remark
If fn → f uniformly and fn is continuous, then f is also continuous.

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 Part I: Foundations Metric Space

Equicontinuity
A subset F ⊂ C(X, Y) is called equicontinuous if for every ε > 0, there exists
a constant δ > 0 such that for all x, x0 ∈ X and all f ∈ F ,

dX (x, x0 ) < δ ⇐ dY (f (x), f (x0 )) < ε.

Arzéla-Ascoli Theorem
Let (X, d) be a compact metric space and let F ⊂ C(X, Rn ). Then F is
compact if and only if it is closed, bounded and equicontinuous.

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 Part I: Foundations Banach Space

Normed space

Let V be a vector space over R or C.

Definition
A normed space X is a vector space over R or C with a function called the
norm k.k : X → R such that for any x, y ∈ X, λ ∈ R or C,
1 kxk = 0 ⇔ x = 0
2 kλxk = |λ|kxk
3 kx + yk ≤ kxk + kyk

Consequences:
1 kx − yk ≥ |kxk − kyk| .
2 kx1 + · · · + xn k ≤ kx1 k + · · · + kxn k.

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 Part I: Foundations Banach Space

Banach space

Definition
X is a Banach space if the metric space (X, d) is complete; i.e, if every Cauchy
sequence in X converges, where

d(x, y) := kx − yk

Remark. Let (X, k.k) be a normed space. Then

d(x, y) = kx − yk, for x, y ∈ X

defines a distance on X.

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 Part I: Foundations Banach Space

Examples of Banach space

1 For 1 ≤ p < ∞, (Rn , k.kp ) is a Banach space where

 n 1/p
X 
kxkp =  |xi |  ,
 p
x = (x1 , . . . , xn ) ∈ Rn .
i=1

For p = 2, this is the Euclidean norm.

For p = ∞, (Rn , k.k∞ ) is a Banach space with the norm

kxk∞ = max{|x1 |, |x2 |, . . . , |xn |}.

Then (Rn , k.kp ) is a finite dimensional Banach space for 1 ≤ p ≤ ∞.

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 Part I: Foundations Banach Space

2 For 1 ≤ p < ∞, (lp , k.kp ) is a Banach space where

∞
 
 X 
p
= p
< ,
 
l :=  x (x ) |x | ∞
 
 i i∈N i 

 
i=1

 n 1/p
X 
kxkp :=  |xi |p  , x ∈ lp .
i=1

For p = ∞, (l∞ , k.k ∞) is a Banach space of bounded sequence where

kxk∞ := sup |xi |, x = (xi )i∈N ∈ l∞ .

i

Then (l∞ , k.kp ) is an infinite dimensional space for 1 ≤ p ≤ ∞.

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 Part I: Foundations Banach Space

3 For 1 ≤ p < ∞, (Lp (µ), k.kp ) is a Banach space where

Z !1/p
kf kp = |f |p dµ ,
M

where f : M → R measurable.
For p = ∞, (L∞ (µ), k.k∞ ) is a Banach space of bounded measurable
functions with

kf k∞ := ess sup |f | = inf{c ≥ 0 | |f | ≤ c a.e}

Remark:
1 The case X = Rn and µ equal Lebesgue measure. Then we have
Z !1/p
kf kp = p
|f (x)| dx .
Rn

2 The case X = N and µ equal to the counting measure. Then Lp and lp are
coincide.
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 Part I: Foundations Banach Space

Bounded Linear Operators

The second fundamental concept in functional analysis after that of Banach

space, is the notion of a bounded linear operator.
Definition (Bounded Linear Operators)
Let (X, k.kX ) and (Y, k.kY ) be real normed spaces. A linear operator T : X → Y
is bounded if there exists a constant c ≥ 0 such that

kTxkY ≤ ckxkX , for all x ∈ X.

If no such constant exists, we say that T is unbounded. If T : X → Y is a

bounded linear operator, then we define the operator norm kTk of T by

kTk := kTkL(X,Y) = inf{c | kTxkY ≤ ckxkX for all x ∈ X}.

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 Part I: Foundations Banach Space

Equivalent expressions for kTk are:

kTxkY
kTk = sup
x,0 kxkX
kTk = sup kTxkY
kxkX ≤1
kTk = sup kTxkY
kxkX =1

The space of bounded linear operators from X to Y is denoted by

L(X, Y) := {T : X → Y | T is linear and bounded}.

Then (L(X, Y), k.kL(X,Y) ) is a normed space.

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 Part I: Foundations Banach Space

Theorem
Let (X, k.kX ) and (Y, k.kY ) be real normed spaces and let T : X → Y be a linear
operator. TFAE
1 T is bounded
2 T is continuous
3 T is continuous at x = 0.

Proof
(1) ⇒ (2). If T is bounded, then

kTx − Tx0 kY = kT(x − x0 )kY ≤ kTkkx − x0 kX

for all x, x0 ∈ X and so T is Lipschitz continuous. Since every Lipschitz

continuous function is continuous, this shows that (1) ⇒ (2).
(2) ⇒ (3): by definition of continuity.

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 Part I: Foundations Banach Space

(3) ⇒ (1): Assume that T is continuous at x = 0. Then it follows from  − δ

definition of continuity with  = 1 that there exists a constant δ > 0 such that
for all x ∈ X,
kxkX ≤ δ ⇒ kTxkY ≤ 1.
This implies kTxkY ≤ 1 for every x ∈ X with kxkX = δ. Now let x ∈ X \ {0}.
Then
X xkX = δ
kδkxk−1
and so  
T δkxk−1
X x ≤1
Y
Hence
kTxkY ≤ δ−1 kxkX , for all x ∈ X.

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 Part I: Foundations Banach Space

1 T ∈ L(X, Y) iff kAk < ∞, in which case,

kTxk ≤ kTkkxk.

2 L(X, Y) is complete if Y is.

Indeed, let Tn be a Cauchy sequence of operator in L(X, Y); that is,
kTn − Tm k → 0 as n, m → ∞. Then for each x ∈ X,

kTn x − Tm xk ≤ kTn − Tm kkxk → 0

implies that (Tn x) is a Cauchy sequence in Y so that Tn x converges to some

vector denoted by Tx, if Y is complete. We now show that T is linear: as

Tn (x + y) = Tn x + Tn y, Tn (λx) = λTn x

then
T(x + y) = Tx + Ty, T(λx) = λTx
by continuity of addition and scalar multiplication.
MEAS Len Functional Analysis
 Part I: Foundations Banach Space

Finally, for any  > 0 and any x ∈ X,

k(Tn − T)xk ≤ kTn − Tm kkxk + kTm x − Txk

≤ kxk + kxk

where m is chosen large enough, depending on x, to make kTm x − Txk ≤ kxk

and n, m ≥ N large enough to make kTn − Tm k ≤ . Hence

kTn − Tk ≤ 2

for n ≥ N. This shows that Tn − T and so T are continuous and furthermore

that Tn → T.

MEAS Len Functional Analysis

 Part I: Foundations Banach Space

Finite Dimensional Normed Spaces

Definition
Let X be a real vector space. Two norms k.k and k.k0 on X are equivalent if
there is a constant c ≥ 1 such that
1
kxk ≤ kxk0 ≤ ckxk for all x ∈ X.
c

Theorem
Let X be a finite dimensional real vector space. Then any two norms on X are
equivalent.

MEAS Len Functional Analysis

 Part I: Foundations Banach Space

Proof

Choose an ordered basis e1 , . . . , en in X and define

v
t n
X X n
kxk2 := |xi |2 for x = xi ei , xi ∈ R.
i=1 i=1

This is a norm on X. We prove that every norm on X is equivalent to k.k2 . Fix

any norm function X → R : x 7→ kxk.
Step 1: There is a constant c > 0 such that kxk ≤ ckxk2 for all x ∈ X. Define
v
t n
X n
X
c := kei k2 and let x = xi ei , xi ∈ R.
i=1 i=1

MEAS Len Functional Analysis

 Part I: Foundations Banach Space

Then by triangle inequality for k.k and the Cauchy-Schwarz inequality on Rn ,

we have
v v
n
t n t n
X X X
kxk ≤ |xi |kei k ≤ |xi |2 kei k2 ≤ ckxk2
i=1 i=1 i=1

Step 2: There is a constant δ > 0 such that δkxk2 ≤ kxk for all x ∈ X.
The set S := {x ∈ X | kxk2 = 1} is compact wrt to k.k2 by the Heine-Borel
theorem and the function S → R : x 7→ kxk is continuous. Hence there exists
an element x0 ∈ S such that kx0 k ≤ kxk for all x ∈ S. Define δ := kx0 k > 0. The
2 x ∈ S, hence kxk2 x ≥ δ and so
every nonzero vector x ∈ X satisfies kxk−1 −1

kxk ≥ δkxk2 .

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 Part I: Foundations Banach Space

Corollary
Every finite dimensional normed space is complete.

Proof: This holds for Rn for Euclidean norm. By theorem it holds for every
norms on Rn . Thus it holds for every finite dimensional normed spaces.
Corollary
Every finite dimensional linear subspace of normed space is closed.

Proof: Let Y ⊂ X be a finite dimensional linear subspace and denote by k.kY

the restriction of the norm on X to the subspace Y. Then (Y, k.kY ) is complete
and hence Y is closed subset of X.

MEAS Len Functional Analysis

 Part I: Foundations Banach Space

Corollary
Let (X, k.k) be a finite-dimensional normed space and let K ⊂ X. Then K is
compact if and only if K is closed and bounded.

Proof: This holds for Euclidean norm on Rn by Heine-Borel Theorem. Hence

it holds for every norms on Rn . Hence it holds for every- finite dimensional
normed spaces.

MEAS Len Functional Analysis

 Part I: Foundations Banach Space

Theorem
Let (X, k.k) be a normed space and denote the closed unit ball and the closed
unit sphere in X by

B := {x ∈ X | kxk ≤ 1}, S := {x ∈ X | kxk = 1}.

Then the followings are equivalent

1 dim X < ∞
2 B is compact
3 S is compact.

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 Part I: Foundations Banach Space

Proof

(1) ⇒ (2).
Let X be a normed space with dim X = n and B be its closed unit ball. Then X
is homeomorphic to Rn , so let T : X → Rn be the homeomorphism (by
definition T and T −1 are continuous). Since B is bounded set in X and T is
bounded linear operator, then T(B) is bounded. So T(B) is bounded and
closed since T −1 is continuous (by the fact that the inverse images of open sets
under a continuous function are open and similarly for closed sets). Hence
T(B) is a closed and bounded subset of Rn and so T(B) is compact. Since T −1
is continuous then T −1 (T(B)) = B is compact.
(2) ⇒ (3).
It follows from the fact that a closed subset of a compact set in a topological
space is compact.

MEAS Len Functional Analysis

 Part I: Foundations Banach Space

(3) ⇒ (1).
We argue indirectly and show that if X is infinite-dimensional then S is not
compact. Thus assume X is infinite-dimensional. We claim that there exists a
sequence xi ∈ X such that kxi k = 1, kxi − xj k ≥ 12 for all i, j ∈ N with i , j (*).
This is then a sequence in S that does not have any convergent subsequence
and so it follows that S is not compact.
To prove the existence of a sequence in X satisfying (*) we argue by
induction. For i = 1, choose any element xi ∈ S. If x1 , . . . , xk ∈ S satisfy
kxi − xj k ≥ 21 for i , j, consider the subspace Y ⊂ X spanned by the vectors
x1 , . . . , xk . This is a closed subspace of X by corollary and is not equal to X as
dim X = ∞. Hence Riesz Lemma asserts that there exists a vector x = xk+1 ∈ S
such that kx − yk ≥ 21 for all y ∈ Y and hence in particular, kxk+1 − xi k ≥ 12 for
i = 1, . . . , k. This shows that there exists a sequence xi ∈ X that satisfies (*)
for i , j.

MEAS Len Functional Analysis

 Part I: Foundations Banach Space

Riesz Lemma
Let (X, k.k) be a normed space and let Y ⊂ X be a closed linear subspace that
is not equal to X. Fix a constant 0 < δ < 1. Then there exists a vector x ∈ X
such that
kxk = 1, inf kx − yk ≥ 1 − δ.
y∈Y

Proof: Let x0 ∈ X \ Y. Then d := inf y∈Y kx0 − yk > 0 because Y is closed.

d
Choose y0 ∈ Y such that kx0 − y0 k ≤ 1−δ and define x = kx0 − y0 k−1 (x0 − y0 ).
Then kxk = 1 and

x0 − y0 − kx0 − y0 ky d
kx − yk = ≥ ≥1−δ
kx0 − y0 k kx0 − y0 k
for all y ∈ Y.

MEAS Len Functional Analysis

 Part I: Foundations Dual Space

Banach space of bounded linear operators

Theorem
Let X be a normed space and let Y be a Banach space. Then L(X, Y) is a
Banach space with respect to the operator norm.

Proof: Let (Tn )n∈N be a Cauchy sequence in L(X, Y). Then

kTn x − Tm xkY = k(Tn − Tm )xkY ≤ kTn − Tm kkxkX

for all x ∈ X and all m, n ∈ N. Hence (Tn x)n∈N is a Cauchy sequence in Y for
every x ∈ X. Since Y is complete, this implies that the limit Tx := limn→∞ Tn x
exists for all x ∈ X. This defines a map T : X → Y.
T is linear since

MEAS Len Functional Analysis

 Part I: Foundations Dual Space

T(x + y) = lim Tn (x + y) = lim (Tn x + Tn y)

n→∞ n→∞
= lim Tn x + lim Tn y = Tx + Ty
n→∞ n→∞

and

T(αx) = lim Tn (αx) = lim αTn x = α lim Tn x = αTx.

n→∞ n→∞ n→∞

T is bounded and limn→∞ kT − Tn k = 0. Let ε > 0. Since (Tn )n∈N is a

Cauchy sequence with respect to the operator norm, there exists an
n0 ∈ N such that

∀m, n ∈ N, m, n ≥ n0 ⇒ kTn − Tm k < ε.

MEAS Len Functional Analysis

 Part I: Foundations Dual Space

This implies

kTx − Tm xkY = lim kTm x − Tn xkY

m→∞
≤ lim sup kTm − Tn kkxkX
m→∞
≤ εkxkX (∗)

for every x ∈ X and every n ≥ n0 . Hence

kTxkY ≤ kTx − Tn0 xkY + kTn0 xkY ≤ (ε + kAn0 k)kxkX

for all x ∈ X and so T is bounded.

It follows also from (∗) that for each ε > 0 there is an n0 ∈ N such that
kT − Tn k < ε for all n ≥ n0 . Thus

lim kT − Tn k = 0.
n→∞

MEAS Len Functional Analysis

 Part I: Foundations Dual Space

Dual Space

Definition
Let X be a normed space over R (or C). The space L(X, R) (or L(X, C)) is
called the dual space of X and is denoted by X ∗ .

Remark:
1 X ∗ = L(X, R) ≡ space of bounded (continuous) linear functionals on X.
2 By theorem, X ∗ = L(X, R) is a Banach spaces for every normed space X.

MEAS Len Functional Analysis

 Part I: Foundations Dual Space

Dual space of Hilbert space

Let H be a Hilbert space, i.e. H is a Banach space and the norm

√ on H arises
from an inner product H × H → R : (x, y) 7→ hx, yi via kxk = hx, xi. Then
every element y ∈ H determines a linear functional Λy : H → R defined by

Λy (x) = hx, yi for x ∈ H.

It is bounded by the Cauchy-Schwarz inequality and Riesz representation

theorem asserts that the map H → H ∗ : y 7→ Λy is an isometric isomorphism.

Every Hilbert spaces is isomorphic to its own dual space.

MEAS Len Functional Analysis

 Part I: Foundations Dual Space

Dual space of Lp (µ)

Let (M, F , µ) be a measure space and fix a constant 1 < p < ∞. Define the
number 1 < q < ∞ by
1 1
+ = 1.
p q
The Hölder inequality asserts that f ∈ Lp (µ), g ∈ Lq (µ) then fg ∈ L1 (µ) and
Z
fgdµ ≤ kf kp kgkq .
M

This implies that every g ∈ Lq (µ) determines a bounded linear functional

Λg : Lp (µ) → R defined by
Z
Λg (f ) = fgdµ for f ∈ Lp (µ).
M

MEAS Len Functional Analysis

 Part I: Foundations Dual Space

It turns out that

kΛgkL(Lp (µ),R) = kgkq
for all g ∈ Lq (µ) and that the map

Lq (µ) → Lp (µ)∗
g 7→ Λg

is an isometric isomorphism.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Hilbert Space

Definition (Inner product)

Let H be a real vector space. A bilinear map

H × H → R : (x, y) 7→ hx, yi

is called an inner product if

it is symmetric, i.e., hx, yi for all x, y ∈ H
it is positive definite, i.e., hx, xi > 0 for all x ∈ H \ {0}.
The norm associated to an inner product is the function
p
H → R : x 7→ kxk = hx, xi.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Lemma
The inner product and norm satisfy the Cauchy-Schwarz inequality

|hx, yi| ≤ kxkkyk

and the triangle inequality

kx + yk ≤ kxk + kyk

for all x, y ∈ H. Thus k.k is a norm on H.

Proof: The Cauchy-Schwarz inequality is obvious when x = 0 or y = 0.

Hence we assume x , 0 and y , 0 and define
x y
ξ= , η=
kxk kyk
Then kξk = kηk = 1.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Hence
0 ≤ kη − hξ, ηiξk2 = hη, η − hξ, ηiξi = 1 − hξ, ηi2 .
This implies |hξ, ηi| ≤ 1 and hence

|hx, yi| ≤ kxkkyk.

It follows from the Cauchy-Schwarz inequality that

kx + yk2 = kxk2 + 2hx, yi + kyk2

≤ kxk2 + 2kxkkyk + kyk2
≤ (kxk + kyk)2 .

Hence k.k is a norm.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Definition
A Hilbert space is an inner product space which is complete as a metric space.

Proposition
The inner product is continuous.

Proof: Let xn → x and yn → y. Since a convergence sequence implies Cauchy

sequence and Cauchy sequence implies bounded sequence hence yn is
bounded. We have

|hxn , yn i − hx, yi| ≤ |hxn − x, yn i| + |hx, yn − yi|

≤ kxn − xkkyn k + kxkkyn − yk → 0

Example of Hilbert spaces: Rn , Cn , l2 (Z) and L2 (R).

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Do all norms on vector spaces come from inner products and if not, which
property characterizes inner product spaces?
Proposition (Parallelogram Law)
A norm is induced from an inner product if and only if it satisfies, for all x, y,

kx + yk2 + kx − yk2 = 2(kxk2 + kyk2 ).

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

The statement asserts that the sum of the lengths squared of diagonals of
parallelogram equals that of the sides.
Proof: It follows from adding the identities

kx + yk2 = kxk2 + 2Rehx, yi + kyk2

kx − yk2 = kxk2 − 2Rehx, yi + kyk2

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Theorem
Let H be a Hilbert space and let K ⊂ H be a nonempty closed convex subset
of H. Then there exists a unique element x0 ∈ K such that kx0 k ≤ kxk for all
x ∈ K.
Proof: Define δ := inf{kxk | x ∈ K} ≥ 0.
Existence:
Chose a sequence (xi ) ⊂ K with limi→∞ kxi k = δ. We prove that (xi ) is a
Cauchy sequence. Let ε > 0. Then there exists an i0 ∈ N such that
i ∈ N, i ≥ i0 , then
ε2
kxi k2 < δ2 + .
4
Let i, j ∈ N such that i ≥ i0 and j ≥ i0 . Then 21 (xi + xj ) ∈ K since K is convex
and hence kxi + xj k ≥ 2δ.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

This implies

kxi − xj k2 = 2kxi k2 + 2kxj k2 − kxi + xj k2

ε2
!
< 4 δ2 + − 4δ2 = ε2 .
4

Thus (xi ) is a Cauchy sequence.Since H is complete the limit x0 = limi→∞ xi

exists. Moreover, x0 ∈ K because K is closed and kx0 k = δ because the norm
is continuous.
Uniqueness:
Fix two elements x0 , x1 ∈ K with kx0 k = kx1 k = δ. Then 12 (x0 + x1 ) ∈ K as K is
convex and so kx0 + x1 k ≥ 2δ. Thus

kx0 − x1 k2 = 2kx0 k2 + 2kx1 k2 − kx0 + x1 k2 = 4δ2 − kx0 + x1 k2 ≤ 0

and therefore x0 = x1 .

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Theorem (Riesz)
Let H be a Hilbert space and let Λ : H → R be a bounded linear functional.
Then there exists a unique element y ∈ H such that

Λ(x) = hy, xi for all x ∈ H. (1)

This element y ∈ H satisfies

|hy, xi|
kyk = sup = kΛk. (2)
0,x∈H kxk

Thus the map H → H ∗ : y 7→ hy, .i is an isometry of normed spaces.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Proof:
Existence:
If Λ = 0 then the vector y = 0 satisfies (1). Hence assume Λ , 0 and define

K := {x ∈ H | Λ(x) = 1}.

Then K , ∅ because there exists an element ξ ∈ H such that Λ(ξ) , 0 and

hence x := Λ−1 (ξ)ξ ∈ K. The set K is closed because Λ : H → R is continuous
and it is convex because Λ is linear. Hence above theorem asserts that there
exists an element x0 ∈ K such that kx0 k ≤ kxk for all x ∈ K. We claim that

x ∈ H, Λ(x) = 0 ⇒ hx0 , xi = 0.

Indeed, let x ∈ H such that Λ(x) = 0. Then x0 + tx ∈ K for all t ∈ R.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

This implies for all t ∈ R,

kx0 k2 ≤ kx0 + txk2 = kx0 k2 + 2thx0 , xi + t2 kxk2

Thus the differentiable function t 7→ kx0 + txk2 attains its minimum at t = 0

and so its derivative vanishes at t = 0. Hence
d
0= kx0 + txk2 = 2hx0 , xi.
dt t=0

This proves that hx0 , xi = 0.

Now define y = kx0 k−2 x0 . Let x ∈ H and define λ = Λ(x). Then

Λ(x − λx0 ) = Λ(x) − λ = 0.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Hence it follows that

0 = hx0 , x − λx0 i = hx0 , xi − λkx0 k2 .

This implies
hy, xi = kx0 k−2 hx0 , xi = λ = Λ(x).
Thus y satisfies (1).
We prove (2). Assume that y ∈ H satisfies (1). If y = 0 then Λ = 0 and so
kyk = 0 = kΛk. Hence assume y , 0. Then

kyk2 Λ(y) |Λ(x)|

kyk = = ≤ sup = kΛk.
kyk kyk 0,x∈H kxk

Conversely, it follows from the Cauchy-Schwarz inequality that

|Λ(x)| = |hy, xi| ≤ kykkxk for all x ∈ H

and hence kΛk ≤ kyk.

MEAS Len Functional Analysis
 Part I: Foundations Hilbert Space

Uniqueness:
Assume y, z ∈ H satisfy hy, xi = hz, xi = Λ(x) for all x ∈ H. Then

hy − z, xi = 0 for all x ∈ H.

Take x = y − z to obtain

ky − zk2 = hy − z, y − zi = 0

and so y − z = 0.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Corollary
Let H be a Hilbert space and let E ⊂ H be a closed subspace. Then
H = E ⊕ E⊥ .
The orthogonal space E of H is defined as

E⊥ = {y ∈ H | hx, yi for all x ∈ S}.

It follows that E⊥ is a closed subspace of H since by Cauchy-Schwarz

inequality every hx, .i is continuous on H and
\
E⊥ = kerhx, .i
x∈S

which is an intersection of closed subspaces.

MEAS Len Functional Analysis

 Part I: Foundations Hilbert Space

Proof: If x ∈ E ⊕ E⊥ then kxk2 = hx, xi = 0 and hence x = 0. If x ∈ H, the set

K = x + E = {x + ξ | ξ ∈ E} is closed and convex subset of H. Hence there
exists an element ξ ∈ E such that kx − ξk ≤ kx − ηk for all η ∈ E. Since
x − ξ + tη ∈ E then

kx − ξk2 ≤ kx − ξ + tηk2 = kx − ξk2 + 2thx − ξ, ηi + t2 kηk2

Thus the differentiable function t 7→ kx − ξ + tηk2 attains its minimum at t = 0

and so its derivative vanishes at t = 0. Hence
d
0= kx − ξ + tηk2 = 2hx − ξ, ηi.
dt t=0

This proves that hx − ξ, ηi = 0. Thus x − ξ ∈ E⊥ ans so x ∈ E ⊕ E⊥ .

MEAS Len Functional Analysis

Outline
1 Part I: Foundations
Metric Space
Banach Space
Dual Space
Hilbert Space
2 Part II: Principle of Functional Analysis
Baire’s Category Theorem
Uniform Boundedness Principle
Open Mapping Theorem
Closed Graph Theorem
Hahn-Banach Theorem
3 Part III: Lebesgue Integral
Measurable functions
Lebesgue Integral
The Lp Spaces
 Part II: Principle of Functional Analysis Baire’s Category Theorem

Baire’s Category Theorem

Let X be a nonempty complete metric space and let
[
X= Ak ,
k∈N

with closed set Ak ⊂ X. Then there exists a k0 ∈ N with Åk0 , ∅.

Proof: Assume that Åk = ∅ for all k. Then for U ⊂ Ak open, nonempty, U \ Ak
is open, nonempty for any k ∈ N. Then there exists a ball Bε (x) ⊂ U \ Ak with
ε ≤ 1k . Hence we can inductively choose balls Bεk (xk ) such that

1
Bεk (xk ) ⊂ Bεk−1 (xk−1 ) \ Ak and εk ≤ .
k

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Baire’s Category Theorem

Consequently, we see that xl ∈ Bεk (xk ) for l ≥ k and εk → 0 as k → ∞ and the

balls Bεk (xk ) are nested and we conclude that (xl )l∈N is a Cauchy sequence.
Hence there exists the limit

x = lim xl ∈ X
l→∞

and x ∈ Bεk (xk ) for all k. Since Bεk (xk ) ∩ Ak = ∅, we have that
x ∈ k∈N Ak = X, a contradiction.
S

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Uniform Boundedness Principle

Uniform Boundedness Principle

Let X be a nonempty complete metric space and let Y be a normed space. Let
F ⊂ C(X, Y) be a set of functions with

sup kf (x)kY < ∞ for every x ∈ X. (∗)

f ∈F

Then there exists an x0 ∈ X and an ε0 > 0, such that

sup sup kf (x)kY < ∞.

x∈ Bε0 (x0 ) f ∈F

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Uniform Boundedness Principle

Proof: For f ∈ F and k ∈ N, it holds that {x ∈ X | kf (x)kY ≤ k} is a closed set

(as f is continuous). Hence the sets
\
Ak = {x ∈ X | kf (x)kY ≤ k}
f ∈F

= {x ∈ X | kf (x)kY ≤ k for all f ∈ F }

being intersection of closed sets, are closed and it follows from (∗) that they
form a cover of X.Then Baire’s Category theorem yields that Åk , ∅ for some
k0 and hence there exists a Bε0 (x0 ) ⊂ Ak0 . Noting that

sup sup kf (x)kY < k0

x∈Ak0 f ∈F

yields the desired result.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Uniform Boundedness Principle

Banach-Steinhaus
Let X be a Banach space and let Y be a normed space. Suppose T ⊂ L(X, Y)
with
sup kTxkY < ∞ for every x ∈ X.
T∈T

Then T is bounded set in L(X, Y), i.e.,

sup kTkL(X,Y) < ∞.

T∈T

In other words, every pointwise bounded family of bounded linear operators

on a Banach space is bounded.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Uniform Boundedness Principle

Proof: Setting fT (x) = kTxkY for T ∈ T , x ∈ X defines functions fT ∈ C(X, R)

and F = {fT | T ∈ T } satisfies the assumptions in above theorem. Hence there
exists an x0 ∈ X, an ε0 > 0 and a constant C < ∞ with

kTxkY ≤ C for T ∈ T and kx − x0 kX ≤ ε0 .

Then it follows that for all T ∈ T and all x , 0 that

kxkX x
kxkX
kTxkY = T x0 + ε 0 − T(x0 ) ≤ .2C
ε0 kxkX Y ε0
Hence,
2C
kTkL(X,Y) ≤ .
ε0

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Open Mapping Theorem

Open Mapping Theorem

Let X and Y be topological spaces. Then f : X → Y is called open if U is

open in X implies f (U) is open in Y. If f is bijective then f is open if and
only if f −1 is continuous.
If X and Y are normed spaces and T : X → Y is linear then T is open if
and only if there exists a δ > 0 with

Bδ (0) ⊂ T(B1 (0))

i.e.,
{y ∈ Y | kykY < δ} ⊂ {Tx | x ∈ X, kxkX < 1}.
Indeed, let U be open and let x ∈ U. Choose an ε > 0 with Bε (x) ⊂ U.
Now, Bδ (0) ⊂ T(B1 (0)) implies Bεδ (Tx) ⊂ T(Bε (x)) ⊂ T(U) and hence
T(U) is open.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Open Mapping Theorem

Open Mapping Theorem

Let X and Y be Banach spaces. Then it holds for every operator T ∈ L(X, Y)
that
T is surjective ⇔ T is open.

That is, every surjective bounded linear operator between two Banach spaces
is open.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Open Mapping Theorem

Proof: (⇒) Since T is surjective,

[
Y= T(Bk (0)).
k∈N

It follows from the Baire’s Category theorem that there exists a k0 and a ball
Bε0 (y0 ) in Y with
Bε0 (y0 ) ⊂ T(Bk (0)).
This means that for y ∈ Bε0 (0) there exists points xi ∈ Bk0 (0) with Txi → y0 + y
as i → ∞. On choosing an x0 ∈ X with Tx0 = y0 , this implies that
!
xi − x0 y xi − x0
T → and < 1,
k0 + kx0 k k0 + kx0 k k0 + kx0 k

which proves that

ε0
Bδ (0) ⊂ T(B1 (0)) with δ = . (∗)
k0 + kx0 k

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Open Mapping Theorem

However, we want to show that such an inclusion holds without the closure of
the set on RHS, for a smaller δ if necessary. We note that (∗) implies that
y ∈ Bδ (0) implies there exists an x ∈ B1 (0) with y − Tx ∈ Bδ/2 (0). Then
2(y − Tx) ∈ Bδ (0). Hence for y ∈ Bδ (0) we can inductively choose points
yk ∈ Bδ (0) and xk ∈ B1 (0) such that

y0 = y and yk+1 = 2(yk − Txk ).

Then
2−k−1 yk+1 = 2−k yk − T(2−k xk ),
and so m 
X 
T  2 xk  = y − 2−m−1 ym+1 → y as m → ∞.
−k

k=0

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Open Mapping Theorem

Since
m
X m
X
2−k xk < 2−k ≤ 2 < ∞,
k=0 k=0
P 
m −k
We have that k=0 2 xk m∈N is a Cauchy sequence in X. As X is complete,
there exists x = k=0 2 xk in X with kxk < 2. The continuity of T
∞ −k
P
then yields
that m 
X 
Tx = lim T  2−k xk  = y.
m→∞
k=0

This shows that Bδ (0) ⊂ T(B2 (0)) or equivalently Bδ/2 ⊂ T(B1 (0)). Hence T is
open.
(⇐) The fact that Bδ (0) ⊂ T(B1 (0)) for some δ > 0 implies that
BR (0) ⊂ T(BR/δ (0)) for all R > 0.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Open Mapping Theorem

Inverse Mapping Theorem

If X and Y are Banach spaces and if T ∈ L(X, Y) then

T is bijective ⇔ T −1 ∈ L(X, Y).

That is, every bounded linear operator between two Banach spaces has a
bounded inverse.
Proof: T −1 is linear. It follows from above theorem that T is open and T −1 is
continuous.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Closed Graph Theorem

Closed Graph Theorem

Closed linear operator

Let X and Y be normed spaces and T : D(T) → Y a linear operator with
domain D(T) ⊂ X. Then T is called a closed linear operator if its graph

G(T) = {(x, y) | x ∈ D(T), y = Tx}

is closed in the normed space X × Y, where the norm on X × Y is defined by

k(x, y)k = kxk + kyk.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Closed Graph Theorem

When X and Y are Banach spaces, X × Y is a Banach space space with the
norm k(x, y)k. Indeed, let (zn ) be Cauchy in X × Y, where zn = (xn , yn ). Then
for every ε > 0 there is an N such that for all m, n ≥ N,

kzn − zm k = kxn − xm k + kyn − ym k < ε, (∗)

Hence (xn ) and (yn ) are Cauchy in X and Y, respectively and converge, say,
xn → x and yn → y since X and Y are complete. This implies that
zn → z = (x, y) since from (∗) with m → ∞ we have kzn − zk < ε for n > N.
Since the Cauchy sequence (zn ) was arbitrary, X × Y is complete.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Closed Graph Theorem

Closed Graph Theorem

Let X and Y be Banach spaces and T : D(T) → Y a closed linear operator,
where D(T) ⊂ X. Then if D(T) is closed in X, the operator T is bounded.

Proof: By assumption, G(T) is closed in X × Y and D(T) is closed in X.

Hence G(T) and D(T) are complete. We now consider the mapping

P : G(T) → D(T)
(x, Tx) 7→ x.

P is linear. P is bounded since

kP(x, Tx)k = kxk ≤ kxk + kTxk = k(x, Tx)k.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Closed Graph Theorem

P is bijective; in fact the inverse mapping is

P−1 : D(T) → G(T)

x 7→ (x, Tx).

Since G(T) and D(T) are complete, we can apply the inverse mapping
theorem and conclude that P−1 is bounded, say, k(x, Tx)k ≤ bkxk for some b
and all x ∈ D(T). Hence T is bounded because

kTxk ≤ kTxk + kxk = k(x, Tx)k ≤ bkxk

for all x ∈ D(T).

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Hahn-Banach Theorem

Hahn-Banach Theorem

Let V be a vector space over R or C. Let p : V → R be a mapping such that

p(αx) = |α|p(x)
p(x + y) ≤ p(x) + p(y)

for all x, y ∈ V and for all scalars α. Let W be a subspace of V and let
f : W → R be a linear map such that

|f (x)| ≤ p(x) for all x ∈ W.

Then there exists a linear extension f̃ : V → R of f (i.e. f̃ (x) = f (x) for all
x ∈ W) such that
|f̃ (x)| ≤ p(x) for all x ∈ V.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Hahn-Banach Theorem

Hahn-Banach Theorem for normed spaces

Let f be bounded linear functional on a subspace W of a normed space V.
There there exists a bounded linear functional f̃ on V which is an extension of
f to V and
kf̃ kV ∗ = kf kW ∗
where
kf̃ kV ∗ = sup |f̃ (x)| and kf kW ∗ = sup |f (x)|.
x∈V x∈W
kxk=1 kxk=1

Every bounded (continuous) linear functional on a linear space of a normed

space extends to a bounded (continuous) linear functional on the entire
normed space.

MEAS Len Functional Analysis

 Part II: Principle of Functional Analysis Hahn-Banach Theorem

Proof: Define p(x) = kf kW ∗ kxk. We see that p is defined for all x and satisfies

p(αx) = kf kW ∗ kαxk = |α|kf kW ∗ kxk = |α|p(x)

and
p(x + y) = kf kW ∗ kx + yk ≤ kf kW ∗ (kxk + kyk) = p(x) + p(y).
Hence we can apply the above theorem and conclude that there exists a linear
functional f̃ on V which is an extension of f and satisfies

|f̃ (x)| ≤ p(x) = kf kW ∗ kxk, x∈V

Hence
kf̃ kV ∗ = sup |f̃ (x)| ≤ kf kW ∗ .
x∈V
kxk=1

Since under an extension the norm cannot decrease, we also have

kf̃ kV ∗ ≥ kf kW ∗ . Together, we get the desired result.

MEAS Len Functional Analysis

Outline
1 Part I: Foundations
Metric Space
Banach Space
Dual Space
Hilbert Space
2 Part II: Principle of Functional Analysis
Baire’s Category Theorem
Uniform Boundedness Principle
Open Mapping Theorem
Closed Graph Theorem
Hahn-Banach Theorem
3 Part III: Lebesgue Integral
Measurable functions
Lebesgue Integral
The Lp Spaces
 Part III: Lebesgue Integral Measurable functions

Measurable functions

Definition
Let (X, M, µ) be a measure space and let f : X → [−∞, ∞]. We say that f is a
measurable function (or M-measurable) if for every a ∈ R, the set
{x : f (x) > a} is a measurable set (i.e., element of σ-algebra).

Example of measurable
1 Any continuous function f is measurable with measure space (R, L, m)
since the inverse image of any open set is open and L contains all open
subsets of R.
2 Discontinuous function f defined by

x,
1
 x,0
f (x) = 

0,
 x = 0.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

3 Let f be the Dirichlet function


1,
 x∈Q
f (x) = 

0,
 x < Q.

In the measure space (R, L, m):





 R, a<0
{x : f (x) > a} =  0≤a<1


 Q,


∅

a ≥ 1.

Since each of the sets R, Q and ∅ is Lebesgue measurable, it follows that

the Dirichlet function is Lebesgue measurable.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

Definition
Let (X, M, µ) be a measure space and let E ⊆ X. The characteristic function of
E denoted by 1E , defined by

1, x∈E
1E = 

0, x < E.

A simple function s is a function whose range consists of finitely many value.

If c1 , c2 , ·, cn are the distinct ranges values and Cj = {x : s(x) = cj }, then
n
s(x) = cj 1Cj (x) “canonical representation”.
P
j=1

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

Theorem
Let (X, M, µ) be a measure space. The function 1E is measurable function
⇔ E is a measurable set. A simple function s is measurable ⇔ Cj is
measurable for j = 1, 2, · · · , n.

Suppose E is measurable.
If a ≤ 0, then {x : 1E (x) < a} = ∅ a measurable set.
If a > 1 then {x : 1E (x) < a} = X a measurable set.
If 0 < a ≤ 1, {x : 1E (x) < a} = X \ E a measurable set.
Suppose 1E is a measurable function. Then E = X \ {x : 1E (x) < 1/2} is a
measurable set.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

Theorem
Let (X, M, µ) be a measure space and let f : X → [−∞, ∞]. The following are
equivalent:
a {x : f (x) > a} is a measurable set for every a ∈ R.
b {x : f (x) ≥ a} is a measurable set for every a ∈ R.
c {x : f (x) < a} is a measurable set for every a ∈ R.
d {x : f (x) ≤ a} is a measurable set for every a ∈ R.
∞
(a) ⇔ (b) : {x : f (x) ≥ a} = {x : f (x) > a − 1k } ∈ M.
T
k=1
∞
(b) ⇔ (a) : {x : f (x) > a} = {x : f (x) ≥ a + 1k } ∈ M.
S
k=1
(a) ⇔ (d)&(b) ⇔ (c): complement ∈ M.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

Proposition
Let (X, M, µ) be a measure space and let f , g : X → R be measurable
functions, and let c ∈ R. Then |f |, cf , f + g, fg and f /g(g , 0) are measurable.

Proof
We have

X
 if a < 0
{x : |f (x)| > a} = 

{x : f (x) > a} ∪ {x : f (x) < −a} if a ≥ 0


Since X ∈ M and f is measurable it follows that {x : f (x) > a} ∈ M and

{x : f (x) < −a} ∈ M; hence

{x : f (x) > a} ∪ {x : f (x) < −a} ∈ M.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

If c = 0 it is trivial. Assume c , 0. We have


{x : f (x) < a/c} if c < 0

{x : cf (x) > a} = 

{x : f (x) > a/c} if c > 0


Each of these set are in M since f is measurable. Hence cf is measurable.

To show that f + g is measurable, let a ∈ R. The inequality
(f + g)(x) > a ⇔ f (x) > a − g(x) and we can find a rational number r with
f (x) > r > a − g(x). Then
[
{x : (f + g)(x) > a} = ({x : f (x) > r} ∩ {x : r > a − g(x)})
r∈Q
[
= ({x : f (x) > r} ∩ {x : g(x) > a − r})
r∈Q

Since f and g are measurable, the sets {x : f (x) > r} and {x : g(x) > a − r} are
rational for every rational r. Thus the intersection of these sets is measurable
and the countable union is also measurable.
MEAS Len Functional Analysis
 Part III: Lebesgue Integral Measurable functions

The function f 2 is measurable since


X
 if a < 0
{x : f (x) > a} = 
2

√ √
{x : f (x) < − a} ∪ {x : f (x) > a} if a ≥ 0


It follows that
1
fg = [(f + g)2 − f 2 − g2 ]
2
is measurable.
Finally, if g , 0




 {x : g(x) < 1/a} if a > 0
{x : 1/g(x) > a} =  {x : g(x) > 0} if a = 0




{x : g(x) > 0} ∪ {x : g(x) < 1/a} if a < 0



so 1/g is measurable and therefore f /g is measurable.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

Proposition
Let f , g be measurable functions. Then max{f , g}, min{f , g} are measurable
functions.

Proof
We have

{x : max{f , g}(x) > a} = {x : f (x) > a} ∪ {x : g(x) > a},

{x : min{f , g}(x) > a} = {x : f (x) > a} ∩ {x : g(x) > a},

Remark: As a consequence, the positive part of f , f+ (x) = max{f (x), 0} is

measurable and the negative part of f is f− = max{−f (x), 0} is measurable.
Note that
f = f+ − f− and |f | = f+ + f−

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

We define
!
sup fn (x) : = sup{fn (x)}.
n∈N n∈N
 
inf fn (x) : = inf {fn (x)}.
n∈N n∈N
(lim sup fn )(x) = lim (sup{fk (x) : k ≥ n})
n→∞
= inf (sup{fk (x) : k ≥ n}).
n≥1
(lim inf fn )(x) = lim (inf{fk (x) : k ≥ n})
n→∞
= sup(inf{fk (x) : k ≥ n}).
n≥1

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

Theorem
Let (fn )n∈N be a sequence of measurable functions. Then
supn∈N fn , inf n∈N fn , lim sup fn , lim inf fn are measurable.

Proof
We have for every a ∈ R that
[ ∞
x : (sup fn )(x) > a = {x : fn (x) > a},

n=1
∞
\
{x : (inf fn )(x) > a} = {x : fn (x) > a},
n=1

so the supremum and infimum are measurable. Moreover, by definition of

limsup and liminf, we get that both are measurable.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Measurable functions

Theorem
Let (fn )n∈N be a sequence of measurable functions and fn → f pointwise as
n → ∞. Then f is measurable.

Proof
Since fn → f pointwise, then

f = lim sup fn = lim inf fn

which is measurable.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

The Lebesgue Integral

Theorem (Fundamental Approximation Theorem)

Let (X, M, µ) be a measure space and let f : X → [0, ∞] be measurable. Then
there exists a sequence of measurable, nonnegative, simple functions (sn ) with

a 0 ≤ s1 (x) ≤ s2 (x) ≤ · · · for every x ∈ X;

b lim sn (x) = f (x) for every x ∈ X.
n→∞

Corollary
If f : X → [−∞, ∞] is a measurable function, then there exists a sequence of
measurable, simple functions (sn ) with lim sn (x) = f (x) for every x ∈ X.
n→∞

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Lebesgue Integral for Nonnegative Simple Function

Definition
Let (X, M, µ) be a measure space and s is a measurable, nonnegative, simple
function
n
cj 1Cj , Cj = {x : s(x) = cj }.
X
s=
j=1

We define the Lebesgue integral of s over X by

Z n
X
sdµ = cj µ(Cj ).
X j=1

Moreover, if E ∈ M, then we define the Lebesgue integral of s over E by

Z n
X
sdµ = cj µ(Cj ∩ E).
E j=1

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Remark: Convention: 0 · ∞ = 0.
Example:

if − 1 < x < 2




 1,
if 2 ≤ x < 4

2,


f (x) = 





 3, if 4 ≤ x ≤ 8

0, otherwise.


Z
f (x)dx = 1 · µ((−1, 2)) + 2 · µ([2, 4)) + 3 · µ([4, 8])
R
= 1 × 3 + 2 × 2 + 3 × 4 = 19.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Example
Let µ be Lebesgue measure on R and let ϕ : R → R be given by
ϕ(x) = 2χ[0,2] (x) + 3χ(2,3] (x); that is




 2, if 0 ≤ x ≤ 2
ϕ(x) =  if 2 < x ≤ 3


 3,


0,

otherwise

Then
Z
ϕ(x)dx = 2.µ([0, 2]) + 3.µ((2, 3]) = 2(2 − 0) + 3(3 − 2) = 7.
R

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Example
Let µ be Lebesgue measure on R and let ϕ : R → R be given by
ϕ(x) = 2χ[−1,1] (x) + 3χ(3,7) (x) − 1χ[−4,−3) (x); that is




 2, if − 1 ≤ x ≤ 1
if 3 < x < 7

3,


ϕ(x) = 





 −1, if − 4 ≤ x < −3

0, otherwise


Then
Z
ϕ(x)dx = 2.µ([−1, 1]) + 3.µ((3, 7)) − 1µ([−4, −3))
R
= 2.(1 − (−1)) + 3.(7 − 3) + (−1).((−3) − (−4)) = 15.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Example: Lebesgue integral of f (x) = c.

f (x) = c1[a,b] (x)
Z Z
f (x)dx = 1[a,b] (x)f (x)dx
[a,b]
Z
= c 1[a,b] (x)dx = cµ([a, b]) = c(b − a).

Example: Lebesgue integral of Dirichlet function on [0, 1].

A = Q ∩ [0, 1], A is a subset of Q, hence A is measurable and µ(A) = 0. Thus
Z
1A (x)dx = µ(A) = 0.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Remark: A = Q ∩ [0, 1] ⇒ A has Lebesgue measure zero.

Let (qi )i∈N be enumeration of the point in A.
ε ε ε

Given ε > 0, let Ri = qi − 2i+1 , qi + 2i+1 be an interval of length 2i
3 qi . Then
∞
[ ∞
X
A⊂ Ri so 0 ≤ µ(A) ≤ µ(Ri ) < ε.
i=1 i=1

Hence µ(A) = 0 since ε > 0 is arbitrary.

In general, every countable set has Lebesgue measure zero. But the set of
measure zero maybe uncountable.
Example, Cantor set. A1 = [0, 1] \ ( 13 , 23 ) { removing the open middle third of
each remaining interval.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Remark: [a, b] interval.

µ([a, b]) = µ(Q ∩ [a, b]) +µ(Qc ∩ [a, b])

| {z } | {z }
=b−a>0 =0

⇒ µ(Qc ∩ [a, b]) > 0.

Example: (R, L, m) and consider the Dirichlet function 1Q on [0, 1].
Z
1Q dm = 1 · m([0, 1] ∩ Q) +0 · m([0, 1] ∩ Qc ) = 0.
[0,1] | {z }
=0

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Properties
If ϕ, ψ are simple, nonnegative functions and if c ≥ 0, then
Z Z
cϕdµ = c ϕdµ,
Z Z Z
(ϕ + ψ)dµ = ϕdµ + ψdµ.

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Theorem
Let (X, M, µ) be a measure space and let s be a measurable, nonnegative,
simple function. The set function ϕ : M → [0, ∞] defined by
Z
ϕ(E) = sdµ
E

is a positive measure on M.

Proof:
1 ϕ(∅) = 0 since µ(∅) = 0.
2 To show that ϕ is countably additive. Let (Ak )k≥1 ⊂ M pairwise disjoint
∞ n
sets in M and let A = Ak , s = cj 1Cj .
S P
k=1 j=1

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Then
Z n
X
ϕ(A) = sdµ = cj µ(Cj ∩ A)
A j=1
n
∞ 
X [ 
= cj µ  (Cj ∩ Ak )
j=1 k=1
n
X ∞
X
= cj µ(Cj ∩ Ak )
j=1 k=1
∞
XX n
= cj µ(Cj ∩ Ak )
k=1 j=1
∞ Z
X ∞
X
= sdµ = ϕ(Ak )
k=1 Ak k=1

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Lebesgue Integral for Nonnegative Functions

Definition
Let (X, M, µ) be a measure space. If f : X → [0, ∞] is measurable and E ∈ M,
we
R define thenRLebesgue integral of f over E by o
E
fdµ = sup E
sdµ : s is measurable and simple with 0 ≤ s ≤ f on E .
If this value is finite, we say that f is Lebesgue integrable.

Definition
Let (X, M, µ) be a measure space and f a nonnegative, measurable function.
Let E ∈ M (i.e, E is measurable). We define the integral of f over E with
respect to µ to be Z Z
fdµ = f .1E dµ.
E
This is the Lebesgue integral of f .

MEAS Len Functional Analysis

 Part III: Lebesgue Integral Lebesgue Integral

Properties
If f and g are nonnegative, measurable functions and f ≤ g, then
Z Z
fdµ ≤ gdµ.

If f is a nonnegative, measurable function and E, F ∈ X and if E ⊆ F, then

Z Z
fdµ ≤ fdµ.
E F

Proof.
If ϕ is a simple, nonnegative function such that 0 ≤ ϕ ≤ f , then it follows that
0 ≤ ϕ ≤ g. Thus the first holds.
Since f .1E ≤ f .1F , the second assertion follows from the first. 

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 Part III: Lebesgue Integral Lebesgue Integral

Lebesgue Integral for Measurable Functions

Definition
Let (X, M, µ) be a measure space. If f : X → [−∞, ∞] is measurable and
E ∈ M, then we define the Lebesgue integral of f over E by
Z Z Z
fdµ = f+ dµ − f− dµ
E E E
R R
provided either E f+ dµ or E f− dµ is finite.
If both integrals are finite we say that f is Lebesgue integrable.

Remark: f+ (x) = max{f (x), 0} = |f (x)|+f 2

(x)
is the positive part of f and
|f (x)|−f (x)
f− (x) = max{−f (x), 0} = 2 is the negative part of f .

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 Part III: Lebesgue Integral Lebesgue Integral

If E is a measurable set then we define

Z Z Z Z Z
fdµ = f + dµ − f − dµ = f + .1E dµ − f − .1E dµ.
E E E X X

Proposition
Let f and g be two functions that are integrable with respect to µ. If
f (x) = g(x) a.e., then Z Z
fdµ = gdµ.
X X

This tell us that sets of µ-measure 0 do not affect the integral.

Proof
We first prove this in the case where both f and g are nonnegative. Let
Z = {x ∈ X|f (x) , g(x)}. Then µ(Z) = 0. Let ϕ be a simple function with
0 ≤ ϕ ≤ f , say

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 Part III: Lebesgue Integral Lebesgue Integral

n
ai 1Ei (x),
X
ϕ(x) =
i=1

where ai ≥ 0. Set
n
ai 1Ei \Z (x).
X
ψ(x) =
i=1

Then 0 ≤ ψ ≤ g and
Z n
X n
X Z
ψdµ = ai µ(Ei \ Z) = ai µ(Ei ) = ϕdµ.
X i=1 i=1 X

Thus, Z Z
ϕdµ ≤ gdµ.
X X

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 Part III: Lebesgue Integral Lebesgue Integral

Taking the supremum over all simple functions 0 ≤ ϕ ≤ f ,

Z Z
fdµ ≤ gdµ.
X X

The reverse inequality follows the same manner. Therefore, in this case
Z Z
fdµ = gdµ.
X X

Finally, the general result follows by considering the positive and negative
parts of f and g.

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 Part III: Lebesgue Integral Lebesgue Integral

Properties
Let f , g Lebesgue integrable
R R
i 0 ≤ f (x) ≤ g(x), ⇒ A fdµ ≤ A gdµ.
R R
ii A ⊆ B, 0 ≤ f (x) on B, ⇒ A fdµ ≤ B fdµ.
f + g is integrable and A f + gdµ = A fdµ + A gdµ.
R R R
iii

cf is integrable and A cfdµ = c A fdµ.

R R
iv

v A, B, C ∈ M with A ∪ B = C and A ∩ B = ∅. If f is Lebesgue integrable,

then Z Z Z
fdµ = fdµ + fdµ.
C A B

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 Part III: Lebesgue Integral Lebesgue Integral

Theorem (Lebesgue’s Monotone Convergence Theorem)

Let (X, M, µ) be a measure space and let A ∈ M. If fn : X → [0, ∞] is a
sequence of measurable functions with 0 ≤ f1 (x) ≤ f2 (x) ≤ · · · for every x ∈ A,
then the limit function lim fn (x) = f (x) is measurable with
n→∞
Z Z
lim fn dµ = fdµ.
n→∞ A A

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 Part III: Lebesgue Integral Lebesgue Integral

Proof
Note that the limit function f is measurable. The monotonicity of the integrals
yields Z Z Z
fn dµ ≤ fn+1 dµ ≤ fdµ
X X X
for every n. By monotone convergence of sequences, the limit of the integrals
exists as a value in [0, ∞], call it α. We have that
Z
α≤ fdµ.
X

If α = ∞, the equality holds. Now assume that α < ∞. Consider a simple

function s with 0 ≤ s(x) ≤ f (x) on X and fix 0 < δ < 1. For each n, define a set

En = {x : fn (x) ≥ δs(x)} = {x : fn (x) − δs(x) ≥ 0}.

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 Part III: Lebesgue Integral Lebesgue Integral

each En is measurable since fn and s are measurable.

E1 ⊆ E2 ⊆ E3 ⊆ · · · since fn is increasing sequence.
X= ∞
S
n=1 En . Why?
S∞
n=1 En ⊆ X
Now we prove that X ⊆ ∞ n=1 En . If x ∈ X and f (x) = 0, then s(x) = 0 and
S
x ∈ En for all n. If 0 < f (x) < ∞, then δs(x) ≤ δf (x) < fn (x) for all large n.
If f (x) = ∞, fn (x) → ∞ so δs(x) < fn (x) for all large n.
Now we have the set function
Z
ϕ(E) = sdµ
E

is a measure and thus

Z ∞ 
[ 
sdµ = ϕ(X) = ϕ  En  = lim ϕ(En ).
X n→∞
n=1

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 Part III: Lebesgue Integral Lebesgue Integral

Furthermore, by definition of the set En , we also see that

Z Z Z
1 1
ϕ(En ) = sdµ ≤ fn dµ ≤ fn dµ
En En δ δ X

Taking limit we get

α
Z Z
1
sdµ = lim ϕ(En ) ≤ lim fn dµ = .
X n→∞ n→∞ δ X δ
Since it holds for every δ ∈ (0, 1), it must be the case that
Z
sdµ ≤ α.
X

Moreover, since s is arbitrary simple function, taking the supremum gives us

Z
fdµ ≤ α.
X

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 Part III: Lebesgue Integral Lebesgue Integral

Theorem (Fatou’s Lemma)

If fn : X → [0, ∞] is a sequence of measurable functions, then
Z Z
(lim inf fn )dµ ≤ lim inf fn dµ.
A A

Proof
Define a sequence of functions (gn ) by gn (x) = inf k≥n {fk (x)}. Note that the
functions in this sequence is measurable and increasing by construction. The
function lim inf fn is measurable and we can write lim inf fn = limn→∞ gn .
Applying Lebesgue’s monotone convergence theorem,
Z Z Z
lim inf fn dµ = lim gn dµ = lim gn dµ.
X X n→∞ n→∞ X

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 Part III: Lebesgue Integral Lebesgue Integral

By the properties of infimum it follows that gn (x) ≤ fk (x) for every x ∈ X and
all k ≥ n, from which the monotonicity of the integral implies
Z Z
gn dµ ≤ inf fk dµ.
X k≥n X

Hence Z Z ! Z
lim inf fn dµ ≤ lim inf fk dµ = lim inf fn dµ.
X n→∞ k≥n X X

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 Part III: Lebesgue Integral Lebesgue Integral

Is it true in general that

Z b Z b
lim fn (x)dx = lim fn (x)dx?
n→∞ a a n→∞

Example
For n = 1, 2, 3, . . . define

n
 if 0 < x ≤ 1
fn (x) = 
 n
0
 otherwise

In this case, we have

Z 1 Z 1
1 = lim fn (x)dx , lim fn (x)dx = 0
n→∞ 0 0 n→∞

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 Part III: Lebesgue Integral Lebesgue Integral

Theorem (Lebesgue’s Dominated Convergence Theorem)

Suppose that fn : X → [−∞, ∞] is a sequence of measurable functions such
that the limit function lim fn (x) = f (x) exists for every x ∈ A.
n→∞
Further suppose there exists a Lebesgue integrable function g such that
|fn (x)| ≤ g(x) for every x ∈ A. Then
a f is Lebesgue integrable.
lim A |fn − f |dµ = 0.
R
b
n→∞
limn→∞ A fn dµ = A fdµ.
R R
c

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 Part III: Lebesgue Integral Lebesgue Integral

Proof
For (a), Note that the function f is measurable. Since (fn ) converges pointwise
to f and |fn (x)| ≤ g(x) on A, it must also be the case that |f (x)| ≤ g(x) on A.
Then we have Z Z
|f |dµ ≤ gdµ
A A
and f is integrable.
For (b), We first observe that |fn − f | ≤ 2g. Then the sequence of functions
2g − |fn − f | is a nonnegative sequence of measurable functions and we may
apply Fatou’s Lemma. Notice that
limn→∞ |fn − f | = lim sup |fn − f | = lim inf |fn − f | = 0 on A from which it
follows that

lim inf(2g − |fn − f |) = 2g + lim inf(−|fn − f |) = 2g − lim sup(|fn − f |) = 2g.

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 Part III: Lebesgue Integral Lebesgue Integral

Fatou’s Lemma now yields

Z Z
2gdµ = lim inf(2g − |fn − f |)dµ
A A
Z !
≤ lim inf 2g − |fn − f |dµ
A
Z Z !
≤ 2gdµ + lim inf − |fn − f |dµ
ZA Z A
= 2gdµ − lim sup |fn − f |dµ
A A

Hence Z
lim sup |fn − f |dµ ≤ 0
A
However, |fn − f | ≥ 0 and thus
Z
lim inf |fn − f |dµ ≥ 0.
A

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 Part III: Lebesgue Integral Lebesgue Integral

Therefore, we get
Z Z
0 ≤ lim inf |fn − f |dµ ≤ lim sup |fn − f |dµ ≤ 0
A A

and this implies that Z

lim |fn − f |dµ = 0.
A
For (c), Notice that the function |fn − f | is integrable and we have that
Z Z Z Z
0≤ fn dµ − fdµ = fn − fdµ ≤ |fn − f |dµ.
A A A A

Applying the squeeze theorem, we obtain

Z Z
lim fn dµ = fdµ.
n→∞ A A

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 Part III: Lebesgue Integral Lebesgue Integral

Example
For each positive integer n and x ∈ [0, 1] define fn (x) to be

0

 if x = 0
fn (x) = 

x2
(1 − e− n ) √1x if 0 < x ≤ 1



Observe that lim fn (x) = 0 on [0, 1]. If we define g by

n→∞

if x = 0

0

g(x) = 

 √1 if 0 < x ≤ 1

x

Then g is integrable on [0, 1] and |fn (x)| ≤ g(x) for all x ∈ [0, 1]. Therefore, by
Lebesgue Dominated Convergence Theorem
Z 1 Z 1
lim fn (x)dx = 0dx = 0.
n→∞ 0 0

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 Part III: Lebesgue Integral Lebesgue Integral

Remark
R1
This is a case where it is not easy to compute 0 fn for each n. Without
Lebesgue Dominated Convergence Theorem, it would be difficult to compute
R1
the limit of 0 fn (x)dx.

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 Part III: Lebesgue Integral The Lp Spaces

The Lp Spaces

Definition
Let (X, M, µ) be a measure space and let 1 ≤ p < ∞. We define Lp (X, M, µ)
to be the set of all measurable functions f : X → [−∞, ∞] such that
Z
|f |p dµ < ∞
X

and define a rule k.kp : Lp → [0, ∞) by

Z !1/p
kf kp = p
|f | dµ .
X

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 Part III: Lebesgue Integral The Lp Spaces

Remark
Lp is a vector space with the usual rules of function addition and scalar
multiplication, but the rule k.kp does not define a norm. The problem here is
the fact that there are nonzero functions which integrate to zero; take a
function which is zero except on a set of measure zero. However such a
function is equal to zero a.e., if we assume the function is measurable.
Equality a.e. with respect to the measure µ defines an equivalence relation on
the collection of all functions which are measurable with respect to µ. This
equivalence relation then partitions the set of all measurable functions into
equivalent classes. In other words, for a measurable function
f : X → [−∞, ∞], the set of all functions which are a.e. equal to f can be
identified as

[f ] = {g : X → [−∞, ∞] : g is measurable with g = f a.e.}.

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 Part III: Lebesgue Integral The Lp Spaces

Example
With respect to the measure space (R, L, m), the Dirichlet function is in the
same class as zero function.
Moreover, if f and g are in the same equivalence class and are integrable, then
Z Z
fdµ = gdµ.
X X

Hence for a given class of integrable functions, we can define

Z Z
[f ]dµ = gdµ
X X

where g is any representative function in [f ].

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 Part III: Lebesgue Integral The Lp Spaces

Definition
Let (X, M, µ) be a measure space and let 1 ≤ p < ∞. We define Lp (X, M, µ) to
be the collection of equivalence classes [f ] of measurable functions which
satisfy Z Z
[|f |p ]dµ = |g|p dµ < ∞
X X
for g ∈ [f ] and define a rule k.kp : Lp → [0, ∞) by
Z !1/p
k[f ]kp = p
|g| dµ
X

where g is any representative in the class [f ].

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 Part III: Lebesgue Integral The Lp Spaces

Remark
Notation Lp for Lp (X, M, µ).
L1 is the spaces of all functions which are Lebesgue integrable with
repsect to (X, M, µ).
We generally write kf kp for k[f ]kp since when working with an
equivalence class, it is often sufficient to work with a single element of
the class.
Lp is a vector space with the standard definitions of function addition and
scalar multiplication within the equivalence class structure

[f ] + [g] = [f + g] and c[f ] = [cf ].

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 Part III: Lebesgue Integral The Lp Spaces

Theorem
The space Lp equipped with the norm k.kp is a normed linear space.

The norm properties, it is clear that kf kp ≥ 0 and kf kp = 0 if and only if f = 0

a.e and kcf kp = |c|kf kp for all scalars c and f ∈ Lp . For p = 1, it is obvious from
Z Z Z
|f + g|dµ ≤ |f |dµ + |g|dµ
X X X

That is kf k1 is a norm on L1 . What if p > 1? How to prove the triangle

inequality?

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 Part III: Lebesgue Integral The Lp Spaces

Definition
If 1 < p < ∞, we define the conjugate exponent of p to be the unique real
number q such that
1 1
+ = 1.
p q
This can be written as q = p/(p − 1) from which it is obvious that 1 < q < ∞.
If p = 1, we define q = ∞ to be the conjugate exponent and vice versa if
p = ∞.

Lemma
If x, y ≥ 0 and p, q are conjugate exponents, then
xp yq
xy ≤ + .
p q

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 Part III: Lebesgue Integral The Lp Spaces

Proof
Fix y ≥ 0. If y = 0, then the inequality holds. For y > 0, define a function
f (x) = xy − xp /p on [0, ∞). We will show that f (x) ≤ yq /q for every x ∈ [0, ∞).
First observe that f 0 (x) = y − xp−1 and this function has exactly one zero in the
interval (0, ∞) at c = y1/(p−1) . Furthermore, if x < y1/(p−1) then y − xp−1 > 0
and if x > y1/(p−1) then y − xp−1 < 0 so c is a maximum of f on [0, ∞) and

(y1/(p−1) )p
f (c) = yy1/(p−1) −
p
yp/(p−1)
= yp/(p−1) −
p
=y p/(p−1)
(1 − 1/p)
y q
= .
q

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 Part III: Lebesgue Integral The Lp Spaces

Hence for any x ∈ (0, ∞),

xp yq
xy − = f (x) ≤ f (c) = .
p q
Since y is arbitrary nonnegative real number, we obtain
xp yq
xy ≤ +
p q
for all x, y ∈ [0, ∞).

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 Part III: Lebesgue Integral The Lp Spaces

Theorem( Hölder’s Inequality)

Let 1 < p, q < ∞ be conjugate exponents. If f ∈ Lp and g ∈ Lq , then
Z Z
fgdµ ≤ |fg|dµ ≤ kf kp kgkq .
X X

Proof
If f = 0 or g = 0, then the inequality holds true. Therefore we may assume
that kf kp and kgkq are both nonzero. Applying the Lemma with x = |f |/kf kp
and y = |g|/kgkq ,
! ! !p !q
|f | |g| 1 |f | 1 |g|
≤ +
kf kp kgkq p kf kp q kgkq
|f | p |g| q
= p + q.
pkf kp qkgkq

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 Part III: Lebesgue Integral The Lp Spaces

We now integrate this inequality and use the linearity of the integral, we have
Z Z Z
1 1 1
|fg|dµ ≤ p |f | p
dµ + q |g|q dµ
kf kp kgkq X pkf kp X qkgkq X
1 1
= +
p q
= 1.

Multiplying on the left and right by kf kp kgkq gives the desired result.

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 Part III: Lebesgue Integral The Lp Spaces

Theorem (Minkowski’s Inequality)

If 1 ≤ p < ∞ and f , g ∈ Lp , then

kf + gkp ≤ kf kp + kgkp .

Proof
If p = 1, then the triangle inequality for absolute value and linearity of the
integral produce the inequality we seek. Now suppose 1 < p < ∞. If
kf + gkp = 0, then the inequality must hold by definition of k.kp . Now suppose
kf + gkp > 0 and let q be the conjugate exponent of p. We may then write
p = q(p − 1) and 1/q = (p − 1)/p, and thus
Z !1/q
k(f + g)p−1 kq = |f + g|(p−1)q dµ
X
Z !(p−1)/p
p−1
= |f + g| dµ
p
= kf + gkp .
X

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 Part III: Lebesgue Integral The Lp Spaces

Now,
Z Z
p
kf + gkp = |f + g| dµ =
p
|f + g||f + g|p−1 dµ
ZX X Z

≤ |f ||f + g|p−1 dµ + |g||f + g|p−1 dµ

X X
≤ kf kp k(f + g) p−1
kq + kgkp k(f + g)p−1 kq
p−1 p−1
= kf kp k(f + g)kp + kgkp k(f + g)kp
p−1
= k(f + g)kp (kf kp + kgkp )

Hence
kf + gkp ≤ kf kp + kgkp .

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 Part III: Lebesgue Integral The Lp Spaces

Riesz-Fischer Theorem
If 1 ≤ p < ∞ and (X, M, µ) is a measure space, then the space Lp (X, M, µ) is
complete.

Proof
Step 1. The Cauchy sequence: Let (fn ) be a Cauchy sequence in Lp . It
suffices to show that (fn ) has a convergence subsequence with limit f in Lp . By
definition of Cauchy sequence, for each k ∈ N, we can find Nk ∈ N so that
kfm − fn kp < 21k whenever m, n ≥ Nk . In addition, construct an increasing
sequence of natural numbers by choosing n1 = N1 and for k ≥ 2, set
nk = max{nk−1 , Nk } + 1. Then we have a subsequence (fnk ) with
kfnk+1 − fnk k < 21k for every k ∈ N. We want to show that (fnk ) converges to a
function f ∈ Lp . We simply refer to fnk as fk .

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 Part III: Lebesgue Integral The Lp Spaces

Step 2. Conversion to a convergent monotone sequence. Define a sequence

of functions (gk ) by g1 (x) = |f1 (x)| and

gk (x) = |f1 (x)| + |f2 (x) − f1 (x)| + |f3 (x) − f2 (x)| + · · · + |fk (x) − fk−1 (x)|, k ≥ 2.

It follows that
0 ≤ g1 (x) ≤ g2 (x) ≤ g3 (x) ≤ · · ·
and

kgk kp = k|f1 | + |f2 − f1 | + |f3 − f2 | + · · · + |fk − fk−1 |kp

≤ kf1 kp + kf2 − f1 kp + kf3 − f2 kp + · · · + kfk − fk−1 kp
k
X
= kf kp + kfj − fj−1 kp
j=2

< kf1 kp + 1

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 Part III: Lebesgue Integral The Lp Spaces

where we used
k ∞ ∞
X X X 1
kfj − fj−1 kp < kfj − fj−1 kp < = 1.
j=2 j=1 j=1
2j

This shows that gk ∈ Lp for every k ∈ N. Set g(x) = limk→∞ gk (x) and
gp (x) = limk→∞ gk (x)p . Moreover, the sequence (gk (x))p is increasing for each
x ∈ X and an application of monotone convergence theorem yields
Z !1/p Z !1/p Z !1/p
p p
kgkp = |g|p dµ = lim gk dµ = lim gk dµ
X X k→∞ k→∞ X
Z !1/p
p
= lim gk dµ = lim kgk kp ≤ kf1 kp + 1
k→∞ X k→∞

This shows that g ∈ Lp since kf1 kp < ∞.

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 Part III: Lebesgue Integral The Lp Spaces

Step 3. Pointwise convergence of (fk ). Since g is the pointwise limit of (gk ),

then the sequence (gk (x)) is a Cauchy in R for every x. That is, for all  > 0,
there exists N ∈ N such that |gk (x) − gm (x)| = gk (x) − gm (x) <  whenever
k > m ≥ N and thus
k
X k
X
|fk (x) − fm (x)| = fj (x) − fj−1 (x) ≤ |fj (x) − fj−1 (x)|
j=m+1 j=m+1

= gk (x) − gm (x) < 

whenever k > m ≥ N. Hence (fk (x)) is Cauchy in R. So fk → f a.e. Since
k
X
|fk | ≤ |f1 | + |fj − fj−1 | ≤ gk ≤ g
j=2

it follows that |f | ≤ g a.e. Hence |fk |p ≤ gp , |f |p ≤ gp and |f − fk |p ≤ 2gp and

Dominated convergence theorem,
Z Z
lim |f − fk | dµ =
p
lim |f − fk |p dµ = 0.
k→∞ X X k→∞

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 Part III: Lebesgue Integral The Lp Spaces

Fact
Let (X, d) be a metric space. Then X is complete if and only if every Cauchy
sequence has a convergent subsequence (with limit x ∈ X).

Let (xn ) be a Cauchy sequence in the metric space (X, d) and (xnk ) be its
convergence subsequence, say xnk → x. We claim that (xn ) is convergent with
the limit x. Then ∀ > 0, ∃N ∈ N such that for all n, m, k > N,
 
d(xn , xm ) < and d(xnk , x) <
2 2
Therefore, note that nk ≥ k, we have
 
d(xn , x) ≤ d(xn , xnk ) + d(xnk , x) < + = .
2 2
which implies that xn → x.

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 Part III: Lebesgue Integral The Lp Spaces

L∞ space

We define

L∞ (X, M, µ) = {f : X → [−∞, ∞] | f is measurable and kf k∞ < ∞},

where
kf k∞ = ess supx∈X |f (x)| = inf{M : |f (x)| ≤ M a.e.}

Theorem
The space (L∞ (X, M, µ), k.k∞ ) is a Banach space.

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 Part III: Lebesgue Integral The Lp Spaces

Summary

Theorem
The space (Lp (X, M, µ), k.kp ), 1 ≤ p < ∞ is a Banach space.
The space (L2 (X, M, µ), k.k2 ) is a Hilbert space.
The space (L∞ (X, M, µ), k.k∞ ) is a Banach space.

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