Analysis, Metric Spaces, Measure Theory, and Function Spaces

Analysis and measure-theory refresher material supporting geometry and mathematical physics notes.

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Analysis Refresher in the Style of PMA

Purpose of this section This section reviews the analysis background used in differential geometry: limits, metric spaces, compactness, continuity, differentiation, integration, uniform convergence, several-variable calculus, and the analytic foundations of differential forms. It is written as a refresher for someone who has seen rigorous analysis before.

Ordered fields, completeness, and the real numbers

An ordered field is a field FF with a total order << compatible with addition and multiplication:

a<ba+c<b+c,a<b\Rightarrow a+c<b+c,

and

0<a, 0<b0<ab.0<a, \ 0<b\Rightarrow 0<ab.

A set AFA\subset F is bounded above if there exists MFM\in F such that aMa\le M for all aAa\in A. A least upper bound, or supremum, is an upper bound ss such that sMs\le M for every upper bound MM.

The real numbers are characterized as a complete ordered field: every nonempty subset of R\mathbb R bounded above has a supremum.

Sequences and limits

A sequence in a set XX is a map NX\mathbb N\to X, written nxnn\mapsto x_n. In a metric space (X,d)(X,d), the sequence converges to xx if for every ϵ>0\epsilon>0 there exists NN such that

nNd(xn,x)<ϵ.n\ge N\Rightarrow d(x_n,x)<\epsilon.

A sequence in a metric space is Cauchy if for every ϵ>0\epsilon>0 there exists NN such that

m,nNd(xm,xn)<ϵ.m,n\ge N\Rightarrow d(x_m,x_n)<\epsilon.

Completeness means every Cauchy sequence converges.

For a real sequence (an)(a_n), define

lim supnan=limnsup{ak:kn},\limsup_{n\to\infty}a_n=\lim_{n\to\infty}\sup\{a_k:k\ge n\}, lim infnan=limninf{ak:kn}.\liminf_{n\to\infty}a_n=\lim_{n\to\infty}\inf\{a_k:k\ge n\}.

The ordinary limit exists if and only if lim supan=lim infan\limsup a_n=\liminf a_n.

Numerical series

A series is an expression

n=1an\sum_{n=1}^{\infty}a_n

whose meaning is the limit of partial sums

sN=n=1Nan.s_N=\sum_{n=1}^{N}a_n.

It converges if (sN)(s_N) converges.

Absolute convergence means

n=1an<.\sum_{n=1}^{\infty}|a_n|<\infty.

Absolute convergence implies convergence in R\mathbb R or C\mathbb C.

Useful tests include comparison, ratio, root, alternating series, and Cauchy condensation tests. The conceptual point is that convergence is always about the sequence of partial sums.

Metric spaces and compactness

A metric space is a set XX with a distance function dd. An open ball is

Br(x)={yX:d(x,y)<r}.B_r(x)=\{y\in X:d(x,y)<r\}.

The metric topology is generated by open balls.

A metric space is compact if every open cover has a finite subcover. In metric spaces, compactness is equivalent to sequential compactness:

every sequence has a convergent subsequence.\text{every sequence has a convergent subsequence}.

It is also equivalent to completeness plus total boundedness. Total boundedness means that for every ϵ>0\epsilon>0, finitely many ϵ\epsilon-balls cover XX.

Continuity and uniform continuity

A function f:XYf:X\to Y between metric spaces is continuous at xXx\in X if for every ϵ>0\epsilon>0 there exists δ>0\delta>0 such that

dX(x,x)<δdY(f(x),f(x))<ϵ.d_X(x,x')<\delta\Rightarrow d_Y(f(x),f(x'))<\epsilon.

It is continuous if it is continuous at every point.

The topological definition is equivalent:

f is continuousf1(U) is open for every open UY.f\text{ is continuous}\quad\Longleftrightarrow\quad f^{-1}(U)\text{ is open for every open }U\subset Y.

A function is uniformly continuous if δ\delta can be chosen independently of xx.

Theorem 19. A continuous function from a compact metric space to a metric space is uniformly continuous.

Connectedness and the intermediate value theorem

A subset of R\mathbb R is connected if and only if it is an interval. If XX is connected and f:XYf:X\to Y is continuous, then f(X)f(X) is connected.

The intermediate value theorem follows: if f:[a,b]Rf:[a,b]\to\mathbb R is continuous and yy lies between f(a)f(a) and f(b)f(b), then there exists c[a,b]c\in[a,b] such that

f(c)=y.f(c)=y.

Differentiation in one variable

For f:(a,b)Rf:(a,b)\to\mathbb R, the derivative at xx is

f(x)=limh0f(x+h)f(x)hf'(x)=\lim_{h\to0}\frac{f(x+h)-f(x)}{h}

when the limit exists. Differentiability implies continuity.

The mean value theorem states that if ff is continuous on [a,b][a,b] and differentiable on (a,b)(a,b), then there exists c(a,b)c\in(a,b) such that

f(b)f(a)=f(c)(ba).f(b)-f(a)=f'(c)(b-a).

Taylor’s theorem with remainder says that if ff has n+1n+1 derivatives, then

f(x)=k=0nf(k)(a)k!(xa)k+Rn(x),f(x)=\sum_{k=0}^{n}\frac{f^{(k)}(a)}{k!}(x-a)^k+R_n(x),

where one possible form of the remainder is

Rn(x)=f(n+1)(ξ)(n+1)!(xa)n+1R_n(x)=\frac{f^{(n+1)}(\xi)}{(n+1)!}(x-a)^{n+1}

for some ξ\xi between aa and xx.

Riemann and Riemann-Stieltjes integration

Let f:[a,b]Rf:[a,b]\to\mathbb R be bounded. A partition is

P={a=x0<x1<<xn=b}.P=\{a=x_0<x_1<\cdots<x_n=b\}.

Upper and lower sums use suprema and infima on subintervals. The Riemann integral exists if the upper and lower integrals agree.

For a monotone increasing function α:[a,b]R\alpha:[a,b]\to\mathbb R, the Riemann-Stieltjes integral

abfdα\int_a^b f\,d\alpha

weights the interval [xi1,xi][x_{i-1},x_i] by

α(xi)α(xi1).\alpha(x_i)-\alpha(x_{i-1}).

When α(x)=x\alpha(x)=x, this is the Riemann integral. When α\alpha has jumps, the integral includes point-mass contributions.

Sequences and series of functions

A sequence of functions fn:XYf_n:X\to Y converges pointwise to ff if

limnfn(x)=f(x)\lim_{n\to\infty}f_n(x)=f(x)

for every xXx\in X. It converges uniformly if for every ϵ>0\epsilon>0 there exists NN such that

nNdY(fn(x),f(x))<ϵn\ge N\Rightarrow d_Y(f_n(x),f(x))<\epsilon

for every xXx\in X.

Uniform limits preserve continuity:

fn continuous and fnf uniformlyf continuous.f_n\text{ continuous and }f_n\to f\text{ uniformly} \quad\Rightarrow\quad f\text{ continuous}.

For a series of functions fn\sum f_n, the Weierstrass MM-test says that if

fn(x)Mnfor all x|f_n(x)|\le M_n \qquad\text{for all }x

and

Mn<,\sum M_n<\infty,

then fn\sum f_n converges uniformly and absolutely.

Power series and special functions

A power series centered at aa is

n=0cn(xa)n.\sum_{n=0}^{\infty}c_n(x-a)^n.

There is a radius of convergence R[0,]R\in[0,\infty] such that the series converges absolutely for xa<R|x-a|<R and diverges for xa>R|x-a|>R. Inside its interval of convergence, a power series can be differentiated and integrated term by term.

The exponential function can be defined by

expz=n=0znn!.\exp z=\sum_{n=0}^{\infty}\frac{z^n}{n!}.

It satisfies

exp(z+w)=expzexpw.\exp(z+w)=\exp z\exp w.

The trigonometric functions are encoded by

eit=cost+isint.e^{it}=\cos t+i\sin t.

Differentiation in several variables

Let URnU\subset\mathbb R^n be open and f:URmf:U\to\mathbb R^m. The derivative of ff at aUa\in U is the linear map

Df(a):RnRmDf(a):\mathbb R^n\to\mathbb R^m

such that

f(a+h)=f(a)+Df(a)h+r(h),limh0r(h)h=0.f(a+h)=f(a)+Df(a)h+r(h), \qquad \lim_{h\to0}\frac{|r(h)|}{|h|}=0.

In coordinates, Df(a)Df(a) is the Jacobian matrix

(fixj(a)).\left(\frac{\partial f^i}{\partial x^j}(a)\right).

The chain rule is

D(gf)(a)=Dg(f(a))Df(a).D(g\circ f)(a)=Dg(f(a))\circ Df(a).

This is the analytic origin of pushforward maps on tangent spaces.

Inverse and implicit function theorems

Theorem 20 (Inverse function theorem). Let f:URnRnf:U\subset\mathbb R^n\to\mathbb R^n be continuously differentiable. If Df(a)Df(a) is invertible, then there exist neighborhoods VV of aa and WW of f(a)f(a) such that

fV:VWf|_V:V\to W

is a diffeomorphism.

Theorem 21 (Implicit function theorem). Let F:Rn+mRmF:\mathbb R^{n+m}\to\mathbb R^m be continuously differentiable. Write variables as (x,y)Rn×Rm(x,y)\in\mathbb R^n\times\mathbb R^m. If

F(a,b)=0F(a,b)=0

and the derivative with respect to yy,

DyF(a,b):RmRm,D_yF(a,b):\mathbb R^m\to\mathbb R^m,

is invertible, then near (a,b)(a,b) the equation F(x,y)=0F(x,y)=0 can be solved uniquely as

y=g(x)y=g(x)

for a continuously differentiable function gg.

These theorems justify treating regular level sets as manifolds.

Contraction mapping theorem

A map T:XXT:X\to X on a metric space is a contraction if there exists 0<c<10<c<1 such that

d(Tx,Ty)cd(x,y)d(Tx,Ty)\le c\,d(x,y)

for all x,yXx,y\in X.

Theorem 22 (Banach fixed point theorem). If XX is a complete metric space and T:XXT:X\to X is a contraction, then TT has a unique fixed point xx_*, and the iterates xn+1=T(xn)x_{n+1}=T(x_n) converge to xx_* for every initial x0x_0.

This theorem is a workhorse behind existence and uniqueness results for ordinary differential equations, including local flows of vector fields.

Ordinary differential equations and flows

Let XX be a smooth vector field on an open set URnU\subset\mathbb R^n. An integral curve is a differentiable map

γ:IU\gamma:I\to U

satisfying

γ(t)=X(γ(t)).\gamma'(t)=X(\gamma(t)).

The local existence and uniqueness theorem for ODEs says that if XX is sufficiently smooth, then for every initial point pUp\in U there is a unique integral curve with γ(0)=p\gamma(0)=p, at least for small time.

The flow is the map

Φt(p)=γp(t),\Phi_t(p)=\gamma_p(t),

where γp\gamma_p is the integral curve starting at pp. On a manifold, this definition is transported through charts.

Differential forms and Stokes theorem as analysis

On an open subset URnU\subset\mathbb R^n, a kk-form is a finite sum

ω=i1<<ikfi1ik(x)dxi1dxik.\omega=\sum_{i_1<\cdots<i_k}f_{i_1\cdots i_k}(x)\,dx^{i_1}\wedge\cdots\wedge dx^{i_k}.

If σ:VRkU\sigma:V\subset\mathbb R^k\to U parametrizes a kk-dimensional surface, then the integral of ω\omega over σ\sigma is defined by pulling back:

σω=Vσω.\int_\sigma\omega=\int_V \sigma^*\omega.

If

σω=g(u)du1duk,\sigma^*\omega=g(u)\,du^1\wedge\cdots\wedge du^k,

then

σω=Vg(u)du1duk.\int_\sigma\omega=\int_V g(u)\,du^1\cdots du^k.

Thus differential forms are algebraic objects first, but integration is defined by pullback to coordinate domains where ordinary multivariable integration applies.

Theorem 23 (Stokes theorem, smooth version). If MM is an oriented smooth compact kk-manifold with boundary and ωΩk1(M)\omega\in\Omega^{k-1}(M), then

Mdω=Mω.\int_M d\omega=\int_{\partial M}\omega.

Functions of bounded variation

A function f:[a,b]Rf:[a,b]\to\mathbb R has bounded variation if

Vab(f)=supPj=1nf(xj)f(xj1)<,V_a^b(f)=\sup_P\sum_{j=1}^{n}|f(x_j)-f(x_{j-1})|<\infty,

where the supremum is over all partitions P=a=x0<<xn=bP=\\{a=x_0<\cdots<x_n=b\\}. Every monotone function has bounded variation. Every function of bounded variation is a difference of two monotone increasing functions.

Bounded variation is the correct regularity class behind Riemann-Stieltjes integration.

Arzela-Ascoli theorem

A family FC(X,Y)\mathcal F\subset C(X,Y) of functions between metric spaces is equicontinuous if for every ϵ>0\epsilon>0 and every xXx\in X, there exists δ>0\delta>0 such that

dX(x,x)<δdY(f(x),f(x))<ϵd_X(x,x')<\delta\Rightarrow d_Y(f(x),f(x'))<\epsilon

for all fFf\in\mathcal F.

Theorem 24 (Arzela-Ascoli, compact metric version). If XX is compact metric and FC(X,R)\mathcal F\subset C(X,\mathbb R) is uniformly bounded and equicontinuous, then every sequence in F\mathcal F has a uniformly convergent subsequence.

This theorem is one of the main compactness tools in analysis and differential equations.

Stone-Weierstrass theorem

Theorem 25 (Stone-Weierstrass, real version). Let XX be a compact Hausdorff space and let AC(X,R)A\subset C(X,\mathbb R) be a subalgebra containing the constant functions. If AA separates points, meaning for xyx\ne y there exists fAf\in A with f(x)f(y)f(x)\ne f(y), then AA is dense in C(X,R)C(X,\mathbb R) in the uniform norm.

For X=[a,b]X=[a,b], polynomial functions are dense in continuous functions. This justifies approximating complicated functions by algebraically simple ones.

Fourier series

For a 2π2\pi-periodic integrable function ff, define Fourier coefficients

f^(n)=12π02πf(x)einxdx.\widehat f(n)=\frac{1}{2\pi}\int_0^{2\pi}f(x)e^{-inx}\,dx.

The formal Fourier series is

nZf^(n)einx.\sum_{n\in\mathbb Z}\widehat f(n)e^{inx}.

For fL2(S1)f\in L^2(S^1), the exponentials form an orthonormal basis and

fL22=2πnZf^(n)2.\|f\|_{L^2}^2=2\pi\sum_{n\in\mathbb Z}|\widehat f(n)|^2.

Fourier analysis is the analytic background of Bloch theory: periodicity converts translation symmetry into momentum labels.

Differentiation under the integral sign

Let f(x,t)f(x,t) be a function depending on a parameter tt. A typical rigorous theorem says that if tf(x,t)\partial_t f(x,t) exists and is dominated by an integrable function independent of tt, then

ddtf(x,t)dx=ft(x,t)dx.\frac{d}{dt}\int f(x,t)\,dx = \int \frac{\partial f}{\partial t}(x,t)\,dx.

In modern form, this is usually proved with dominated convergence.

Change of variables

Let U,VRnU,V\subset\mathbb R^n be open and let Φ:UV\Phi:U\to V be a C1C^1 diffeomorphism. Then for suitable functions ff,

Vf(y)dy=Uf(Φ(x))detDΦ(x)dx.\int_V f(y)\,dy = \int_U f(\Phi(x))\,|\det D\Phi(x)|\,dx.

For differential forms, the Jacobian determinant is built into pullback. If

ω=f(y)dy1dyn,\omega=f(y)\,dy^1\wedge\cdots\wedge dy^n,

then

Φω=f(Φ(x))detDΦ(x)dx1dxn.\Phi^*\omega=f(\Phi(x))\det D\Phi(x)\,dx^1\wedge\cdots\wedge dx^n.

The absolute value disappears for oriented form integration because orientation keeps track of the sign.

Lagrange multipliers

Suppose f,g1,,gmf,g_1,\ldots,g_m are smooth functions on Rn\mathbb R^n. To find critical points of ff subject to constraints

g1==gm=0,g_1=\cdots=g_m=0,

one solves

df=λ1dg1++λmdgmdf=\lambda_1 dg_1+\cdots+\lambda_m dg_m

provided the differentials dgidg_i are independent. Geometrically, the derivative of ff must vanish on the tangent space to the constraint manifold.

Normed spaces and Banach spaces

A normed vector space is a vector space VV with a norm \|\cdot\|. It is a Banach space if it is complete in the metric induced by the norm. Examples include C([a,b])C([a,b]) with the sup norm and LpL^p spaces for 1p1\le p\le\infty.

The open mapping theorem, closed graph theorem, and uniform boundedness principle are the three basic structural theorems of Banach space theory. They explain why pointwise bounded families of bounded linear operators often have uniform bounds.

Implicit analytic assumptions in geometry

Differential geometry often hides analysis in phrases such as “smooth”, “flow”, and “integrate a form”. The analytic content is:

  • smooth maps are locally maps between open subsets of Euclidean spaces with all derivatives,

  • tangent maps are derivatives in charts,

  • flows are solutions of ODEs,

  • form integration is pullback plus ordinary integration,

  • Stokes theorem is a far-reaching generalization of the fundamental theorem of calculus.

Measure Theory and Real Analysis Refresher

Purpose of this section This section reviews measure-theoretic real analysis at the level needed to understand modern integration, LpL^p spaces, convergence theorems, weak formulations, and functional-analytic background. The previous section discussed Riemann-style analysis; this section explains why Lebesgue integration is the more flexible framework.

Sigma-algebras and measurable spaces

Let XX be a set. A sigma-algebra A\mathcal A on XX is a collection of subsets of XX such that:

  1. XAX\in\mathcal A,

  2. if AAA\in\mathcal A, then XAAX\setminus A\in\mathcal A,

  3. if A1,A2,AA_1,A_2,\ldots\in\mathcal A, then n=1AnA\bigcup_{n=1}^{\infty}A_n\in\mathcal A.

The pair (X,A)(X,\mathcal A) is a measurable space. Elements of A\mathcal A are measurable sets.

If XX is a topological space, the Borel sigma-algebra is the smallest sigma-algebra containing all open sets. Its elements are Borel sets.

Measures

A measure on (X,A)(X,\mathcal A) is a function

μ:A[0,]\mu:\mathcal A\to[0,\infty]

such that

μ()=0\mu(\emptyset)=0

and for pairwise disjoint measurable sets AnA_n,

μ(n=1An)=n=1μ(An).\mu\left(\bigcup_{n=1}^{\infty}A_n\right)=\sum_{n=1}^{\infty}\mu(A_n).

The triple (X,A,μ)(X,\mathcal A,\mu) is a measure space.

The measure is finite if μ(X)<\mu(X)<\infty, sigma-finite if

X=n=1XnX=\bigcup_{n=1}^{\infty}X_n

with μ(Xn)<\mu(X_n)<\infty, and complete if every subset of a measure-zero set is measurable.

Outer measure and Lebesgue measure

An outer measure on XX is a function

μ:P(X)[0,]\mu^*:\mathcal P(X)\to[0,\infty]

with μ()=0\mu^*(\emptyset)=0, monotonicity, and countable subadditivity.

For ERE\subset\mathbb R, the Lebesgue outer measure is

m(E)=inf{n=1(bnan):En=1(an,bn)}.m^*(E)=\inf\left\{\sum_{n=1}^{\infty}(b_n-a_n):E\subset\bigcup_{n=1}^{\infty}(a_n,b_n)\right\}.

A set ERE\subset\mathbb R is Lebesgue measurable if for every ARA\subset\mathbb R,

m(A)=m(AE)+m(AE).m^*(A)=m^*(A\cap E)+m^*(A\setminus E).

The restriction of mm^* to measurable sets is Lebesgue measure.

Measurable functions

Let (X,A)(X,\mathcal A) and (Y,B)(Y,\mathcal B) be measurable spaces. A function f:XYf:X\to Y is measurable if

f1(B)Af^{-1}(B)\in\mathcal A

for every BBB\in\mathcal B.

For real-valued functions, it suffices to check sets of the form

{x:f(x)>a}\{x:f(x)>a\}

for all aRa\in\mathbb R.

A simple function is a finite linear combination of indicator functions:

s=j=1naj1Aj.s=\sum_{j=1}^{n}a_j\mathbf 1_{A_j}.

Simple functions are the measure-theoretic analogue of step functions.

Lebesgue integration

For a nonnegative simple function

s=j=1naj1Aj,aj0,s=\sum_{j=1}^{n}a_j\mathbf 1_{A_j}, \qquad a_j\ge0,

define

Xsdμ=j=1najμ(Aj).\int_X s\,d\mu=\sum_{j=1}^{n}a_j\mu(A_j).

For a nonnegative measurable function ff, define

Xfdμ=sup{Xsdμ:0sf, s simple}.\int_X f\,d\mu=\sup\left\{\int_X s\,d\mu:0\le s\le f, \ s\text{ simple}\right\}.

For a general measurable function ff, write

f=f+f,f+=max(f,0),f=max(f,0).f=f^+-f^- , \qquad f^+=\max(f,0), \qquad f^-=\max(-f,0).

If at least one of f+dμ\int f^+\,d\mu and fdμ\int f^-\,d\mu is finite, define

fdμ=f+dμfdμ.\int f\,d\mu=\int f^+\,d\mu-\int f^-\,d\mu.

The function is integrable if

fdμ<.\int |f|\,d\mu<\infty.

Almost everywhere statements

A property holds almost everywhere if it holds outside a measurable set of measure zero. For example,

f=ga.e.f=g\quad\text{a.e.}

means

μ({x:f(x)g(x)})=0.\mu(\{x:f(x)\ne g(x)\})=0.

In LpL^p spaces, functions equal almost everywhere are identified.

Convergence theorems

Theorem 26 (Monotone convergence theorem). If 0f1f20\le f_1\le f_2\le\cdots and fnff_n\to f pointwise, then

fdμ=limnfndμ.\int f\,d\mu=\lim_{n\to\infty}\int f_n\,d\mu.

Theorem 27 (Fatou lemma). If fn0f_n\ge0, then

lim infnfndμlim infnfndμ.\int \liminf_{n\to\infty}f_n\,d\mu \le \liminf_{n\to\infty}\int f_n\,d\mu.

Theorem 28 (Dominated convergence theorem). If fnff_n\to f pointwise a.e. and there exists an integrable function gg such that

fng|f_n|\le g

for all nn, then ff is integrable and

limnfndμ=fdμ.\lim_{n\to\infty}\int f_n\,d\mu=\int f\,d\mu.

These theorems are the main reason Lebesgue integration is more powerful than Riemann integration.

Product measures, Tonelli, and Fubini

Given sigma-finite measure spaces (X,A,μ)(X,\mathcal A,\mu) and (Y,B,ν)(Y,\mathcal B,\nu), there is a product measure

μ×ν\mu\times\nu

on the product sigma-algebra, characterized by

(μ×ν)(A×B)=μ(A)ν(B).(\mu\times\nu)(A\times B)=\mu(A)\nu(B).

Theorem 29 (Tonelli theorem). If f:X×Y[0,]f:X\times Y\to[0,\infty] is measurable, then

X×Yfd(μ×ν)=X(Yf(x,y)dν(y))dμ(x)=Y(Xf(x,y)dμ(x))dν(y).\int_{X\times Y}f\,d(\mu\times\nu) = \int_X\left(\int_Y f(x,y)\,d\nu(y)\right)d\mu(x) = \int_Y\left(\int_X f(x,y)\,d\mu(x)\right)d\nu(y).

Theorem 30 (Fubini theorem). If ff is integrable on X×YX\times Y, then the iterated integrals exist for almost every slice and equal the product integral.

LpL^p spaces

For 1p<1\le p<\infty, define

fp=(Xfpdμ)1/p.\|f\|_p=\left(\int_X |f|^p\,d\mu\right)^{1/p}.

The space Lp(X,μ)L^p(X,\mu) consists of equivalence classes of measurable functions with finite pp-norm. For p=p=\infty,

f=ess supf.\|f\|_\infty=\operatorname{ess\,sup}|f|.

Theorem 31 (Holder inequality). If 1p,q1\le p,q\le\infty and

1p+1q=1,\frac1p+\frac1q=1,

then

fgdμfpgq.\int |fg|\,d\mu\le \|f\|_p\|g\|_q.

Theorem 32 (Minkowski inequality). For 1p1\le p\le\infty,

f+gpfp+gp.\|f+g\|_p\le\|f\|_p+\|g\|_p.

Theorem 33 (Completeness). For 1p1\le p\le\infty, Lp(X,μ)L^p(X,\mu) is a Banach space.

The case p=2p=2 is special because

f,g=fgdμ\langle f,g\rangle=\int f\overline g\,d\mu

makes L2L^2 a Hilbert space.

Signed and complex measures

A signed measure is a countably additive function

ν:A[,]\nu:\mathcal A\to[-\infty,\infty]

that does not take both ++\infty and -\infty. A complex measure takes values in C\mathbb C and is countably additive.

The total variation of a complex measure ν\nu is

ν(E)=supjν(Ej),|\nu|(E)=\sup\sum_j |\nu(E_j)|,

where the supremum is over finite measurable partitions E=jEjE=\bigsqcup_jE_j.

Theorem 34 (Hahn decomposition). For a signed measure ν\nu, there are disjoint measurable sets P,NP,N with X=PNX=P\cup N such that ν\nu is nonnegative on subsets of PP and nonpositive on subsets of NN.

Theorem 35 (Jordan decomposition). A signed measure ν\nu can be written uniquely as

ν=ν+ν\nu=\nu^+-\nu^-

where ν+\nu^+ and ν\nu^- are mutually singular positive measures.

Absolute continuity and Radon-Nikodym theorem

Let ν\nu and μ\mu be measures on (X,A)(X,\mathcal A). We say ν\nu is absolutely continuous with respect to μ\mu, written

νμ,\nu\ll\mu,

if

μ(E)=0ν(E)=0.\mu(E)=0\Rightarrow \nu(E)=0.

They are mutually singular, written νμ\nu\perp\mu, if there exist disjoint measurable sets A,BA,B with X=ABX=A\cup B, ν\nu concentrated on AA, and μ\mu concentrated on BB.

Theorem 36 (Radon-Nikodym theorem). If νμ\nu\ll\mu and μ\mu is sigma-finite, then there exists a measurable function ff such that

ν(E)=Efdμ\nu(E)=\int_E f\,d\mu

for every measurable set EE. The function ff is unique up to equality a.e. and is denoted

f=dνdμ.f=\frac{d\nu}{d\mu}.

Lebesgue decomposition

Theorem 37 (Lebesgue decomposition). If ν\nu and μ\mu are sigma-finite measures, then

ν=νac+νs,\nu=\nu_{\mathrm{ac}}+\nu_{\mathrm{s}},

where

νacμ,νsμ.\nu_{\mathrm{ac}}\ll\mu, \qquad \nu_{\mathrm{s}}\perp\mu.

This theorem separates a measure into the part described by a density and the singular part.

Weak convergence and distributions of measures

A sequence of finite measures μn\mu_n on a topological space converges weakly to μ\mu if

fdμnfdμ\int f\,d\mu_n\to\int f\,d\mu

for all bounded continuous test functions ff in the chosen class. Weak convergence is central in probability and in functional analysis because it tests measures through observables rather than pointwise densities.

Differentiation of measures and absolute continuity on the line

A function F:[a,b]RF:[a,b]\to\mathbb R is absolutely continuous if for every ϵ>0\epsilon>0 there exists δ>0\delta>0 such that for any finite collection of disjoint intervals (aj,bj)(a_j,b_j),

j(bjaj)<δjF(bj)F(aj)<ϵ.\sum_j(b_j-a_j)<\delta \quad\Rightarrow\quad \sum_j |F(b_j)-F(a_j)|<\epsilon.

Theorem 38. A function F:[a,b]RF:[a,b]\to\mathbb R is absolutely continuous if and only if there exists fL1([a,b])f\in L^1([a,b]) such that

F(x)=F(a)+axf(t)dt.F(x)=F(a)+\int_a^x f(t)\,dt.

In that case F=fF'=f almost everywhere.

Approximation and density

On Rn\mathbb R^n, smooth compactly supported functions are dense in LpL^p for 1p<1\le p<\infty:

Cc(Rn) is dense in Lp(Rn).C_c^\infty(\mathbb R^n)\text{ is dense in }L^p(\mathbb R^n).

One standard tool is convolution with a mollifier. A mollifier is a nonnegative smooth compactly supported function ρ\rho with

Rnρ(x)dx=1.\int_{\mathbb R^n}\rho(x)\,dx=1.

Set

ρϵ(x)=ϵnρ(x/ϵ).\rho_\epsilon(x)=\epsilon^{-n}\rho(x/\epsilon).

Then ρϵf\rho_\epsilon*f is smooth and approximates ff in suitable senses as ϵ0\epsilon\to0.

Hilbert spaces

A Hilbert space is a complete inner-product space. The norm is

v=v,v.\|v\|=\sqrt{\langle v,v\rangle}.

Orthogonality, projections, Fourier series, quantum states, and spectral theory are Hilbert-space ideas.

Theorem 39 (Projection theorem). Let HH be a Hilbert space and let CHC\subset H be a closed convex subset. For every xHx\in H, there exists a unique cCc\in C minimizing xc\|x-c\|.

If MHM\subset H is a closed subspace, then

H=MM.H=M\oplus M^\perp.

Bounded linear operators

A linear map T:XYT:X\to Y between normed spaces is bounded if there exists C0C\ge0 such that

TxYCxX\|Tx\|_Y\le C\|x\|_X

for all xXx\in X. Boundedness is equivalent to continuity.

The operator norm is

T=supx1Tx.\|T\|=\sup_{\|x\|\le1}\|Tx\|.

The bounded operators on a Hilbert space form an algebra. In quantum mechanics, observables are typically represented by self-adjoint operators, often unbounded; handling unbounded operators requires domain care beyond this section.

Distributions and weak derivatives

A test function is usually a smooth compactly supported function. A distribution is a continuous linear functional on a space of test functions. If uLloc1(Rn)u\in L^1_{\mathrm{loc}}(\mathbb R^n), it defines a distribution by

φu(x)φ(x)dx.\varphi\mapsto\int u(x)\varphi(x)\,dx.

The weak derivative DiuD_i u is defined by

(Diu)φdx=uiφdx\int (D_i u)\varphi\,dx=-\int u\,\partial_i\varphi\,dx

when such a distribution is represented by a function. This idea underlies Sobolev spaces and weak formulations of PDEs.

Measure-theoretic summary for geometry and physics

The main takeaways are:

Concept Why it matters


Measurable space Separates which sets are allowed to be measured Measure Assigns size, probability, volume, or spectral weight Lebesgue integral Stable under limits and compatible with LpL^p spaces Almost everywhere Ignores measure-zero pathologies Dominated convergence Lets limits pass through integrals Product measure and Fubini Justifies iterated integrals and path-integral manipulations at a formal level Radon-Nikodym derivative Turns absolute continuity into densities Hilbert spaces Natural home for quantum mechanics and L2L^2 analysis Weak derivatives Let derivatives exist after ordinary derivatives fail

Caratheodory extension theorem

A premeasure is a countably additive set function defined on an algebra of sets. The Caratheodory extension theorem says that, under standard sigma-finiteness hypotheses, a premeasure extends uniquely to a measure on the generated sigma-algebra.

This is how Lebesgue measure is constructed from interval length and how product measures are constructed from rectangle measures.

Regular Borel measures

On a locally compact Hausdorff space XX, a Borel measure μ\mu is inner regular if

μ(E)=sup{μ(K):KE, K compact}\mu(E)=\sup\{\mu(K):K\subset E, \ K\text{ compact}\}

for suitable measurable sets EE, and outer regular if

μ(E)=inf{μ(U):EU, U open}.\mu(E)=\inf\{\mu(U):E\subset U, \ U\text{ open}\}.

Regularity says that measurable sets can be approximated from inside by compact sets and from outside by open sets.

Theorem 40 (Riesz representation theorem, locally compact version). Positive linear functionals on Cc(X)C_c(X), for XX locally compact Hausdorff, correspond to regular Borel measures on XX.

This theorem explains why measures can be studied through integrals of continuous test functions.

Modes of convergence

For measurable functions fn,ff_n,f:

  • fnff_n\to f pointwise a.e. if fn(x)f(x)f_n(x)\to f(x) outside a null set.

  • fnff_n\to f in measure if for every ϵ>0\epsilon>0,

μ({x:fn(x)f(x)>ϵ})0.\mu(\{x:|f_n(x)-f(x)|>\epsilon\})\to0.
  • fnff_n\to f in LpL^p if
fnfp0.\|f_n-f\|_p\to0.

For finite measure spaces,

Lp convergence convergence in measure.L^p\text{ convergence}\Rightarrow\text{ convergence in measure}.

A subsequence of a sequence converging in measure converges almost everywhere under suitable hypotheses.

Duality of LpL^p spaces

Let 1<p<1<p<\infty and let qq be the conjugate exponent, 1/p+1/q=11/p+1/q=1. Under sigma-finiteness assumptions,

(Lp)Lq(L^p)^*\cong L^q

via

g(ffgdμ).g\mapsto\left(f\mapsto\int fg\,d\mu\right).

For p=2p=2, this identifies L2L^2 with its own dual using the Hilbert inner product.

Hahn-Banach theorem

Theorem 41 (Hahn-Banach). Let VV be a real vector space, let p:VRp:V\to\mathbb R be sublinear, and let ff be a linear functional on a subspace WVW\subset V such that f(w)p(w)f(w)\le p(w). Then ff extends to a linear functional FF on VV with F(v)p(v)F(v)\le p(v).

A key consequence is that normed spaces have enough continuous linear functionals to separate points.

Weak and weak-star topologies

Let XX be a normed space. The weak topology on XX is the coarsest topology making every continuous linear functional X\ell\in X^* continuous. A sequence xnx_n converges weakly to xx if

(xn)(x)\ell(x_n)\to\ell(x)

for every X\ell\in X^*.

The weak-star topology on XX^* is the coarsest topology making evaluation maps

(x)\ell\mapsto \ell(x)

continuous for every xXx\in X.

Theorem 42 (Banach-Alaoglu). The closed unit ball in XX^* is compact in the weak-star topology.

This is a fundamental compactness theorem in functional analysis.

Sobolev spaces

For an open set ΩRn\Omega\subset\mathbb R^n, the Sobolev space Wk,p(Ω)W^{k,p}(\Omega) consists of functions uLp(Ω)u\in L^p(\Omega) whose weak derivatives DαuD^\alpha u of order αk|\alpha|\le k are also in Lp(Ω)L^p(\Omega). The norm is

uWk,p=αkDαuLp.\|u\|_{W^{k,p}}=\sum_{|\alpha|\le k}\|D^\alpha u\|_{L^p}.

For p=2p=2, one writes

Hk(Ω)=Wk,2(Ω).H^k(\Omega)=W^{k,2}(\Omega).

Sobolev spaces are the natural setting for PDEs and variational problems.

Fourier transform on Rn\mathbb R^n

For a sufficiently nice function f:RnCf:\mathbb R^n\to\mathbb C, define

f^(ξ)=Rneixξf(x)dx.\widehat f(\xi)=\int_{\mathbb R^n}e^{-ix\cdot\xi}f(x)\,dx.

With normalization conventions adjusted appropriately, the inverse transform is

f(x)=1(2π)nRneixξf^(ξ)dξ.f(x)=\frac{1}{(2\pi)^n}\int_{\mathbb R^n}e^{ix\cdot\xi}\widehat f(\xi)\,d\xi.

Differentiation becomes multiplication:

jf^(ξ)=iξjf^(ξ).\widehat{\partial_j f}(\xi)=i\xi_j\widehat f(\xi).

This is why Fourier analysis diagonalizes constant-coefficient differential operators and why momentum space is natural in band theory.

Spectral theorem, bounded self-adjoint case

Let HH be a Hilbert space and T:HHT:H\to H a bounded self-adjoint operator. The spectral theorem says that TT can be represented as multiplication by a real-valued function on an L2L^2 space, or equivalently through a projection-valued measure:

T=RλdE(λ).T=\int_\mathbb R \lambda\,dE(\lambda).

For finite-dimensional Hermitian matrices, this reduces to diagonalization by a unitary matrix. In quantum mechanics, the spectral theorem is the rigorous foundation for observables and measurement probabilities.

Probability language

A probability space is a measure space (Ω,F,P)(\Omega,\mathcal F,\mathbb P) with P(Ω)=1\mathbb P(\Omega)=1. A random variable is a measurable function

X:ΩR.X:\Omega\to\mathbb R.

Expectation is integration:

E[X]=ΩXdP.\mathbb E[X]=\int_\Omega X\,d\mathbb P.

Independence of sigma-algebras or random variables is a multiplicativity condition on probabilities. Many statistical mechanics constructions can be phrased measure-theoretically, even when physicists use more formal path-integral notation.

What this section deliberately does not hide

Measure theory separates three logically different operations:

  1. choosing measurable sets,

  2. assigning size to those sets,

  3. integrating measurable functions against that size assignment.

Differential forms add geometry and orientation to integration. Measures add limit stability and functional analysis. Both are needed in modern mathematical physics, but they solve different problems.