Naspde 039

Numerical Analysis of Stochastic
Partial Differential Equations

Always under construction!!!
Arnulf Jentzen
April 10, 2014

2
Preface
These lecture notes are written for the course 401-4606-00L Numerical Analysis of
Stochastic Partial Differential Equations in the spring semester 2014. These lecture
notes are far away from being complete and remain under construction. In particular,
these lecture notes do not yet contain a suitable comparison of the presented material
with existing results, arguments and notions in the literature. This will be the subject
of a future version of these lecture notes. Furthermore, these lecture notes do not
contain a number of proofs, arguments and intuitions. For most of this additional
material, the reader is referred to the lectures of the course 401-4606-00L Numerical
Analysis of Stochastic Partial Differential Equations in the spring semester 2014.
Ryan Kurniawan is gratefully acknowledged for his very helpful advice. The students
of the course 401-4606-00L Numerical Analysis of Stochastic Partial Differential
Equations in the spring semester 2014 are gratefully acknowledged for pointing out
a number of misprints to me.
Zurich, February 2014
Arnulf Jentzen
Contents
I Foundations in functional analysis and infinite dimen-

sional stochastic analysis 7
1 A bit measure theory and functional analysis 9
1.1 Regularity of functions . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.1.1 General functions . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.1.2 Measurable functions . . . . . . . . . . . . . . . . . . . . . . . 9
1.1.3 Lp -spaces of measurable functions for p P r0, 8q . . . . . . . . 12
1.1.4 Simple functions . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.1.5 Strongly measurable functions . . . . . . . . . . . . . . . . . . 13
1.1.6 Lp -spaces of strongly measurable functions for p P r0, 8q . . . 18
1.1.7 Continuity properties of functions . . . . . . . . . . . . . . . . 20
1.2 Bochner integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
1.3 Linear spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.3.1 Vector spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.3.2 Hilbert spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
1.3.3 Examples of orthonormal bases . . . . . . . . . . . . . . . . . 23
1.4 Linear functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
1.4.1 Bounded linear operators on normed vector spaces . . . . . . . 27
1.4.2 Compact operators on Banach spaces . . . . . . . . . . . . . . 28
1.4.3 Nuclear operators on Banach spaces . . . . . . . . . . . . . . . 29
1.4.4 An intermezzo on sums over possibly uncountable index sets . 33
1.4.5 Hilbert-Schmidt operators on Hilbert spaces . . . . . . . . . . 36
1.4.6 Diagonal linear operators on Hilbert spaces . . . . . . . . . . . 37
2 Semigroups of bounded linear operators 39

2.1 Types of semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
2.2 A priori bounds for semigroups . . . . . . . . . . . . . . . . . . . . . 41
2.3 Uniformly continuous semigroups . . . . . . . . . . . . . . . . . . . . 42
3
4 CONTENTS
2.4 Strongly continuous semigroups . . . . . . . . . . . . . . . . . . . . . 47

2.4.1 A priori bounds for strongly continuous semigroups . . . . . . 47
2.4.2 Generalized matrix exponential . . . . . . . . . . . . . . . . . 49
2.4.3 A characterization of strongly continuous semigroups . . . . . 53
2.5 Semigroups generated by diagonal operators . . . . . . . . . . . . . . 53
2.5.1 Laplace operator and heat equation . . . . . . . . . . . . . . . 55
2.5.2 Extensions of functions . . . . . . . . . . . . . . . . . . . . . . 59
2.5.3 Best approximations and projections in Hilbert spaces . . . . 61
2.5.4 Interpolation spaces and fractional powers of a diagonal linear
operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
2.5.5 Smoothing effect of the semigroup . . . . . . . . . . . . . . . . 68
3 Gronwall-type inequalities 71
3.1 Beta and Gamma function . . . . . . . . . . . . . . . . . . . . . . . . 71
3.2 Integral operators related to the Beta function . . . . . . . . . . . . . 73
3.3 Generalized exponential-type functions . . . . . . . . . . . . . . . . . 75
3.4 Generalized Gronwall-type inequalities . . . . . . . . . . . . . . . . . 75
3.4.1 Gronwall-type inequalities with a singularity at the initial time 78
3.4.2 Gronwall-type inequalities without a singularity at the initial
time . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
4 Random variables and stochastic processes with values in infinite

dimensional spaces 81
4.1 Measures on normed vector spaces . . . . . . . . . . . . . . . . . . . . 81
4.1.1 Fourier transform of a measure . . . . . . . . . . . . . . . . . 84
4.1.2 Covariance of a measure and Pettis integral . . . . . . . . . . 87
4.1.3 Gaussian measures . . . . . . . . . . . . . . . . . . . . . . . . 88
4.2 Probability measures on Hilbert spaces . . . . . . . . . . . . . . . . . 90
4.2.1 Nuclear operators on Hilbert spaces . . . . . . . . . . . . . . . 90
4.2.2 Expectation and covariance . . . . . . . . . . . . . . . . . . . 95
4.2.3 Gaussian distributed random variables and Karhunen-Loeve
expansion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
4.2.4 Karhunen-Loeve expansion for Brownian motion . . . . . . . . 98
4.3 Hilbert space valued stochastic processes . . . . . . . . . . . . . . . . 99
4.3.1 Standard Wiener processes . . . . . . . . . . . . . . . . . . . . 99
4.3.2 Pseudo inverse . . . . . . . . . . . . . . . . . . . . . . . . . . 100
4.3.3 Stochastic integration with respect to infinite dimensional Wiener
processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
CONTENTS 5
4.3.4 Cylindrical Wiener process . . . . . . . . . . . . . . . . . . . . 111
II Stochastic Partial Differential Equations (SPDEs) 113
III Numerical Analysis of SPDEs 115

5 Spatial numerical approximations for SPDEs 117
5.1 A strong perturbation estimate for SPDEs . . . . . . . . . . . . . . . 117
5.1.1 Setting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
5.1.2 A strong perturbation estimate for SPDEs . . . . . . . . . . . 118
5.2 Spectral Galerkin approximations for SPDEs . . . . . . . . . . . . . . 121
5.2.1 Setting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
5.2.2 A strong numerical approximation result for spectral Galerkin
approximations of SPDEs . . . . . . . . . . . . . . . . . . . . 122
5.2.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
6 CONTENTS
Part I
Foundations in functional analysis

and infinite dimensional stochastic
analysis
7
Chapter 1
A bit measure theory and

functional analysis
Most of this chapter is based on Da Prato & Zabczyk [2] and Prevot & Rockner [9].
1.1 Regularity of functions

1.1.1 General functions
Definition 1.1.1 (Set of functions). Let A and B be sets. Then we denote by
MpA, B q the set of all functions from A to B.
Definition 1.1.2 (Domain of definition, range/codomain, image of a function). Let

A and B be sets and let f : A B be a function. Then
we denote by Dpf q : A the domain of definition of A,
we denote by rangepf q : B the range/codomain of f ,
we denote by impf q : f pAq the image of f and
we denote by graphpf q : tpx, y q P A B : y f pxqu the graph of f .
1.1.2 Measurable functions

We first recall the notion of a measurable mapping.
9
10 CHAPTER 1. A BIT MEASURE THEORY AND FUNCTIONAL ANALYSIS
Definition 1.1.3 (Measurable functions). Let p1 , F1 q and p2 , F2 q be measurable

spaces. A function f : 1 2 is called F1 /F2 -measurable if for all F P F2 it holds
that f 1 pF q P F1 . By MpF1 , F2 q we denote the set of all F1 /F2 -measurable functions
from 1 to 2 .
Definition 1.1.4 (Borel sigma-algebra). Let pE, E q be a topological space. Then we

denote by B pE q : E pE q the Borel sigma-algebra on pE, E q.
Definition 1.1.5 (Power set). Let A be a set. Then we denote by P pAq the power
set of A (the set of all subsets of A).
Definition 1.1.6 (Distance of sets). Let pE, dE q be a metric space. Then we define
the mapping distE : P pE q P pE q r0, 8s through
#
inf aPA inf bPB dE pa, bq : A H and B H
distE pA, B q : (1.1)
8 : else
for all A, B P P pE q.
The next proposition shows that if pE, dE q is a metric space, then B pE q is the
smallest sigma-algebra with the property that every continuous real-valued function
is Borel measurable.
Proposition 1.1.7 (Nonlinear characterization of the Borel sigma-algebra). Let

pE, dE q be a metric space. Then

B pE q E pqPC pE,Rq E p : P C pE, Rqq
( (1.2)
E 1pAq P P pE q : P C pE, Rq, A P BpRq .
Proof of Proposition 1.1.7. First of all, observe that for every P C pE, Rq it holds
that is B pE q/B pRq-measurable. Hence, we obtain that
(
B pE q E 1 pAq P P pE q : P C pE, Rq, A P B pRq . (1.3)
It thus remains to prove that

(
B pE q E 1 pAq P P pE q : P C pE, Rq, A P B pRq . (1.4)
For this observe by that definition it holds that
B pE q E ptA P P pE q : A is an open set in pE, dE quq . (1.5)

1.1. REGULARITY OF FUNCTIONS 11
tA P P pE q : A is an open set in pE, dE qu (

E 1pAq P P pE q : P C pE, Rq, A P BpRq .
(1.6)
For this let A E be an open set in pE, dE q and let : E R be given by
pxq distE ptxu, E zAq (1.7)
for all x P E. Then it holds that P C pE, Rq and this implies that
(
A 1 pp0, 8qq E 1 pAq P P pE q : P C pE, Rq, A P B pRq . (1.8)
The proof of Proposition 1.1.7 is thus completed.
Exercise 1.1.8. Let p, F q be a measurable space, let pE, dE q be a metric space and
let f : E be a function. Prove that f is F/B pE q-measurable if and only if it
holds for all P C pE, Rq that f is F/B pRq-measurable.
Definition 1.1.9 (Sets of numbers). We denote by
N : t1, 2, 3, . . . u (1.9)
the set of natural numbers, we denote by
N0 : N Y t0u t0, 1, 2, . . . u (1.10)
the union of the set t0u and the set of natural numbers, we denote by
Z : t0, 1, 1, 2, 2, . . . u (1.11)
the set of integer numbers, we denote by Q the set of rational numbers, we denote
by R the set of real numbers and we denote by C the set of complex numbers.
Note that
N N0 Z Q R C. (1.12)
Lemma 1.1.10. Let p, F q be a measure space, let Y : R be a function and let

Xn : R, n P N, be a sequence of F/B pRq-measurable mappings such that for all
P it holds that Y p q supnPN Xn p q. Then Y is F/B pRq-measurable.
Proof of Lemma 1.1.10. Note that for all c P R it holds that

" *

t Y cu sup Xn c tloooomoooon
Xn cu P F. (1.13)
n PN PN
n
PF
The proof of Lemma 1.1.10 is thus completed.
Lemma 1.1.11. Let p, F q be a measure space, let Y : R be a function and let
Xn : R, n P N, be a sequence of F/B pRq-measurable mappings such that for all
P it holds that limn8 Xn p q Y p q. Then Y is F/B pRq-measurable.
Proof of Lemma 1.1.11. Note that Lemma 1.1.10 implies that for all c P R it holds
that
! ) " *
tY cu lim Xn
8
c lim sup Xn c
#
n
+
n8 # +

lim
8
sup Xm c sup Xm c P F. (1.14)
n Ptn,n
m 1,... u n mPtn,n 1,... u
PN looooooooooooooomooooooooooooooon
PF
The next corollary is an immediate consequence of Exercise 1.1.8 and Lemma 1.1.11;
see, e.g., Proposition E.1 in [1] and Proposition A.1.3 in Prevot & Rockner [9].
Corollary 1.1.12. Let p, F q be a measurable space, let pE, dE q be a metric space
and let f : E be a function. Then f is F/B pE q-measurable if and only if there
exists a sequence gn : E, n P N, of F/B pE q-measurable functions such that for
all P it holds that
lim dE pf p q, gn p qq 0. (1.15)
8
n
1.1.3 Lp -spaces of measurable functions for p P r0, 8q

Definition 1.1.13 (Lp -spaces for p P r0, 8q). Let p, A, q be a measure space, let
q P p0, 8q and let pV, }}V q be a normed vector space. Then we define the set
L0 p; }}V q : tf
P Mp, V q : f is A/BpV q-measurableu, (1.16)
we define the mapping }}L p;}} q : L0 p; }}V q r0, 8s through
q
V
1{q
}f }L p;}} q :
q
V
}f pq} pdq
q
V (1.17)

for all f P L0p; }}V q and we define the set

(
Lq p; }}V q : f P L0 p; }}V q : }f }L p;}} q 8 . q (1.18)
V
Definition 1.1.14 (Lp -spaces for p P r0, 8q). Let p P r0, 8q, q P p0, 8q, let p, A, q
be a measure space and let pV, }}V q be a normed vector space. Then we define the

function rsLp p;}} q : Lp p; V q P Lp p; }}V q through
V
! )
rf sL p;}} q :
p
V
g P Lpp; }}V q : pD A P F : pAq 0 and tf gu Aq (1.19)
for all f P Lpp; }}V q, we define the set

(
Lp p; }}V q : rf sL p;}} q Lp p; }}V q : f P Lp p; }}V q
p (1.20)
V
and we define the function }}L p;}}

q
V q : L p; }}V q r0, 8s through
0

r sL p;}}
f q
V q
p }}V q : }f }Lq p;V q
Lq ;
(1.21)
for all f P L0p; V q.

In the setting of Definition 1.1.14 we do in the following not distinguish between
an element f P Lp p; }}V q of Lp p; }}V q and its equivalence class in Lp p; }}V q.
1.1.4 Simple functions

The idea of the Lebesgue integral for real valued functions is to approximate the
function by suitable simpler functions and then to define the Lebesgue integral of
the complicated function as the limit of the integrals of the simpler functions.
Definition 1.1.15 (Simple functions). Let p1 , F1 q and p2 , F2 q be measurable spaces.
An F1 /F2 -measurable function f : 1 2 is called F1 /F2 -simple if the set f p1 q
is finite.
1.1.5 Strongly measurable functions

(Unfortunately) Measurable functions can, in general, not be approximated pointwise
(see (1.15) in Corollary 1.1.12) by simple functions; see Theorem 1.1.22 below for
details. To overcome this difficulty, we introduce the notion of a strongly measurable
function; see Definition 1.1.17 below. For this the next definition is needed.
Definition 1.1.16 (Separability). A topological space pE, E q is called separable if

there exist an at most countable set A E such that A E.
A topological space that is not separable is in a certain sense extremely large.

This, in turn, can cause several serious difficulties in the analysis of such spaces. An
example of a non-separable topological space can be found below. Let a, b P R with
a b. Then the R-Banach space pC pra, bs, Rq, }}C pra,bs,Rq q of continuous functions
from the interval ra, bs to R equipped with the supremum norm }}C pra,bs,Rq is an
example of a separable topological space as the set
"
*

P C pr0, 1s, Rq : D n P N0 : D 0, . . . , n P Q : @ x P r0, 1s : f pxq
n
k
f k x

k 0
(1.22)
is a countable dense subset of C pr0, 1s, Rq.
Definition 1.1.17 (Strong measurable functions). Let p, F q be a measurable space

and let pE, dE q be a metric space. A function f : E is called strongly F/pE, dE q-
measurable (or simply: strongly measurable) if f : E is F/B pE q-measurable and
if pf pq, dE |f pqf pq q is separable.
Lemma 1.1.18. Let pE, dE q be a separable metric space and let A E. Then the
metric space pA, dE |AA q is separable.
Proof of Lemma 1.1.18. W.l.o.g. we assume that A H. Let pen qnPN E be a

sequence of elements in E such that the set ten P E : n P Nu is dense in E. In the
next step let pfn qnPN A be a sequence of elements in A such that for all n P N it
holds that
#
dE pfn , en q
0 : en PA. (1.23)
distE pA, ten uq 1
2n
: en RA
Then the set tfn P A : n P Nu is dense in A. Indeed, if v P A Xten P E : n P Nu, then
distE ptv u, tf1 , f2 , . . . uq 0 (1.24)
and if v P Azten P E : n P Nu, then it holds for all n P N that

distE ptv u, tf1 , f2 , . . . uq distE ptv u, tfn , fn 1 , . . . uq
mPtn,ninf 1,... u dE pv, fmq
mPtn,ninf 1,... u rdE pv, emq dE pem, fmqs

mPtn,ninf 1,... u dE pv, em q distE pA, tem uq
1
2m
(1.25)
mPtn,ninf 1,... u 2 dE pv, em q
1
2m
mPtn,ninf 1,... u dE pv, emq 1
2n
distE ptvu, ten, en 1, . . . uq 1
2n
21n .
Let p, F q be a measurable space and let pE, dE q be a separable metric space.
Lemma 1.1.18 then shows that every F/B pE q-measurable mapping f : E is also
strongly F/pE, dE q-measurable.
Exercise 1.1.19. Let p, F q be a measurable space and let pE, dE q be a metric
space. Give an example of an F/B pE q-measurable function f : E which is not
strongly F/pE, dE q-measurable. Show that f is F/B pE q-measurable but not strongly
F/pE, dE q-measurable.
As mentioned above, measurable functions can, in general, not be approximated
pointwise by simple functions. However, strongly measurable functions can be ap-
proximated pointwise by strongly measurable functions. This is the subject of
the Theorem 1.1.22 below (cf., e.g., Lemma 1.1 in Da Prato & Zabczyk [2] and
Lemma A.1.4 in Prevot & Rockner [9]). In the proof of Theorem 1.1.22 the following
two lemmas are used.
Lemma 1.1.20 (Projections in metric spaces). Let pE, dE q be a metric space, let
n P N, let e1 , . . . , en P E and let Ppe1 ,...,en q : E E be a function given by
Ppe1 ,...,en q pxq emintkPt1,2,...,nu : dE pek ,xqdistE ptxu,te1 ,...,en uqu (1.26)
for all x P E. Then Ppe1 ,...,en q is B pE q/P pE q-measurable and it holds for all x PE
that
dE px, Ppe1 ,...,en q pxqq distE ptxu, te1 , . . . , en uq. (1.27)
Proof of Lemma 1.1.20. Identity (1.27) is an immediate consequence of (1.26). Let

D pD1 , . . . , Dn q : E Rn be a function defined through
Dpxq pD1 pxq, . . . , Dn pxqq pdE px, e1 q, . . . , dE px, en qq (1.28)
for all x P E. Observe that D is continuous and hence that D is B pE q/B pRn q-
measurable. This implies that for all k P t1, 2, . . . , nu it holds that
(
Ppe11,...,en q pek q x P E : Ppe1 ,...,en q pxq ek
! ()
x P E: k min l P t1, 2, . . . , nu : dE pel , xq distptxu, te1, . . . , enuq
" " **
x P E: k min l P t1, 2, . . . , nu : Dl pxq uPtmin
1,...,nu
Du pxq
"
*
x P E: D k p xq min Du pxq and Dk pxq
Pt1,...,nu
u
min
Pt1,...,k1u
u
Du pxq
"
*
x P E:
@ l P t1, . . . , k 1u : Dk pxq Dl pxq and

@ l P t1, . . . , nu : Dk pxq Dl pxq

k1
n
tx P E : Dk pxq Dl pxqu
loooooooooooooomoooooooooooooon t P p q p qu P BpE q.
loooooooooooooomoooooooooooooon
x E : Dk x Dl x

l 1
PBpE q
l 1
PBpE q
(1.29)
This, in turn, implies that for all A P P pE q it holds that

Ppe11,...,en q pAq Ppe11,...,en q A X te1 , . . . , en u
1 nPpe 1,...,e q pf q P B pE q.
Yf PAXte ,...,e u looooomooooon
1 n
(1.30)
PB p E q
Lemma 1.1.21. Let p, F q be a measurable space, let pE, dE q be a metric space and
let f : E be a function and let gn : E, n P N, be a sequence of strongly
F/pE, dE q-measurable functions such that for all P it holds that
n8
Then f is strongly F/pE, dE q-measurable.
Proof of Lemma 1.1.21. Corollary 1.1.12 ensures that f is F/B pE q-measurable. It

thus remains to prove that f pq is separable. This follows from Lemma 1.1.18 and
from the fact that YnPN gn pq is separable. The proof of Lemma 1.1.21 is thus
completed.
We now present the promised pointwise approximation result for strongly mea-
surable functions.
Theorem 1.1.22 (Approximations of strongly measurable functions). Let p, F q be

a measurable space, let pE, dE q be a metric space and let f : E be a function.
Then the following four statements are equivalent:
(i) It holds that f is F/pE, dE q-strongly measurable.
(ii) There exists a sequence gn : E, n P N, of strongly F/pE, dE q-measurable

functions with the property that for all P it holds that
n 8
(iii) There exists a sequence gn : E, n P N, of simple functions with the prop-

erty that for all P it holds that
n 8
(iv) There exists a sequence gn : E, n P N, of simple functions with the prop-

erty that for all P it holds that dE pf p q, gn p qq P r0, 8q, n P N, decreases
monotonically to zero.
Proof of Theorem 1.1.22. Clearly, (iv) implies (iii) and (iii) implies (ii). Lemma 1.1.21
shows that (ii) implies (i). It thus remains to prove that (i) implies (iv). For this let
f : E be a strongly F/pE, dE q-measurable function. The fact that f is strongly
F/pE, dE q-measurable ensures that f pq is separable. Hence, there exists a sequence
penqnPN f pq of elements in f pq with the property that
ten P f pq : n P Nu f pq. (1.34)
In the next step let Ppe ,...,e q : E E, n P N, and gn : E, n P N, be functions

1 n
defined through
Ppe1 ,...,en q pxq : emintkPt1,2,...,nu : dE pek ,xqdistE ptxu,te1 ,...,en uqu (1.35)
for all x P E, n P N and through
gn : Ppe1 ,...,en q f (1.36)
for all n P N. Lemma 1.1.20 and the fact that f is F/B pE q-measurable implies that
for all n P N it holds that gn is F/B pE q-measurable. In addition, by definition it
holds for all n P N that gn pq te1 , . . . , en u is a finite set. We hence get that for all
n P N it hold that gn is an F/B pE q-simple function. Moreover, note that (1.27) in
Lemma 1.1.20 ensures that for all P , n P N it holds that

distE pf pq, te1, . . . , enuq . (1.37)
dE pf p q, gn p qq dE f p q, Ppe1 ,...,en q pf p qq
This and the property that for all P it holds that distE pf p q, te1 , e2 , . . . uq 0
imply that for all P , n P N it holds that
dE pf p q, gn p qq dE pf p q, gn 1 p qq and lim dE pf p q, gn p qq 0. (1.38)

m8
The proof of Theorem 1.1.22 is thus completed.

The next result, Corollary 1.1.23, shows that the sum of two strongly measur-
able mappings is again a strongly measurable mapping. Corollary 1.1.23 follows
immediately from Theorem 1.1.22.
Corollary 1.1.23. Let p, F q be a measurable space, let pV, }}V q be a normed vector
space and let f, g : V be strongly F/pV, }}V q-measurable mappings. Then f
g : V is strongly F/pV, }}V q-measurable.
1.1.6 Lp -spaces of strongly measurable functions for p P r0, 8q

Definition 1.1.24 (Lp -spaces for p P r0, 8q). Let p, A, q be a measure space, let
q P p0, 8q and let pV, }}V q be a normed vector space. Then we define the set
L0 p; }}V q : tf
P Mp, V q : f is strongly A/pV, }}V q-measurableu, (1.39)
we define the mapping }}L p;}} q : L0 p; }}V q r0, 8s through

q
V
1{q
}f }L p;}} q :
q
V
}f pq} pdq
q
V P r0, 8s (1.40)

for all f P L0p; }}V q and we define the set

(
Lp p; }}V q : f P L0 p; }}V q : }f }L p;}} q 8 .
q (1.41)
V
Corollary 1.1.23 proves, in the setting of Definition 1.1.24, that for all p P r0, 8q
it holds that Lp p; }}V q is a vector space.
Definition 1.1.25 (Lp -spaces for p P r0, 8q). Let p P r0, 8q, q P p0, 8q, let p, A, q
be a measure space and let pV, }}V q be a normed vector space. Then we define the
function rsLp p;}} q : Lp p; V q P pLp p; }}V qq through
V
! )
rf sL p;}} q :
p
V
g P L p; }}V q : }f g}L p;}} q 0
p
1
V
(1.42)
for all f P Lpp; }}V q, we define the set

(
Lp p; }}V q : rf sL p;}} q Lpp; }}V q : f P Lpp; }}V q
p (1.43)
V
and we define the function }}L p;}}q

V q : L p; }}V q r0, 8s through
0

r sL p;}}
f q
V q Lq p;}}V q
: }f }Lq p;V q (1.44)
for all f P L0p; V q.

In the setting of Definition 1.1.25 we do in the following not distinguish between
an element f P Lp p; }}V q of Lp p; }}V q and its equivalence class in Lp p; }}V q.
Lemma 1.1.26. Let K P tR, Cu, p P r1, 8q, let p, F, q be a measure space and
let pV, }}V q be a K-Banach space Then Lp p; }}V q is a K-Banach space too.
Lemma 1.1.27. Let p, F, q be a finite measure space, let pV, }}V q be a normed (
vector space and let p P r1, 8q. Then rf sLp p;}}V q : f is an F/B pV q-simple function
is dense in Lp p; }}V q.
Proof of Lemma 1.1.27. Let f P Lp p; }}V q. Theorem 1.1.22 proves that there exists
a sequence gn : V , n P N, of F/B pV q-simple functions with the property that
for all P it holds that }f p q gn p q}V , n P N, decreases monotonically to zero.
Lebesgues theorem of dominated convergence hence proves that
1{p
}f gn}L p;}} q
p
V
}f pq gnpq} pdq
p
V 0. (1.45)


1.1.7 Continuity properties of functions

Definition 1.1.28 (Continuous functions). Let pE1 , E1 q and pE2 , E2 q be topological
spaces. Then we denote by C pE1 , E2 q the set of all continuous functions from E1 to
E2 .
Definition 1.1.29 (Holder continuous functions). Let pE1 , dE1 q and pE2 , dE2 q be two
metric spaces and let r P p0, 8q. Then we define the function ||C r pE1 ,E2 q : MpE1 , E2 q
r0, 8s through
dE2 pf pxq, f py qq
|f |Cr pE1,E2q : sup |dE1 px, yq|r (1.46)
x,y PE1 ,xy
P MpE1, E2q and we define the set

for all f
! )
C r pE1 , E2 q : f P MpE1 , E2 q : |f |C pE ,E q 8 .
r
1 2
(1.47)
An element of C r pE1 , E2 q is called an r-Holder continuous function (from E1 to E2 ).
1.2 Bochner integral

Definition 1.2.1 (Bochner integral for simple functions). Let p, F, q be a finite
measure space and let pV, }}V q be a normed vector space. Then we define a function
int : tf P Mp, V q : f is F/B pV q-simpleu V through

int,V pf q : pf 1 pv qq v (1.48)
Pp q
v f
for all F/B pV q-simple f : V .

Lemma 1.2.2. Let p, F, q be a finite measure space and let pV, }}V q be a normed
vector space. Then int,V is a linear mapping and for all F/B pV q-simple f : V
it holds that }int,V pf q}V }f }L1 p;}} q .
V
Let p, F, q be a finite measure space, let pV, }}V q be a Banach space and let
f P L1 p; }}V q. Then Lemma 1.1.27 ensures that there exists a sequence gn : V ,
n P N, of F/B pV q-simple functions such that
lim }f gn}L p;}} q 0. (1.49)
n8 1
V
Hence, we obtain that pgn qnPN is a Cauchy sequence in L1 p; }}V q. Lemma 1.1.27
hence implies that int,V pgn q, n P N, is a Cauchy sequence in pV, }}V q. The com-
pleteness of pV, }}V q hence shows that the limit limn8 int,V pgn q exists in pV, }}V q.
1.3. LINEAR SPACES 21
Moreover, if hn : V , n P N, is a further sequence of F/B pV q-simple func-

tions with limn8 }hn f }L1 p;}}V q 0, then it holds that limn8 int,V pgn q
limn8 int,V phn q. This shows that the following definition is well-defined.
Definition 1.2.3 (Bochner integral). Let p, F, q be a finite

measure space and
let pV, }}V q be a Banach space. Then we define a function pq d : L1 p; }}V q V
through

f d : f d : f p q pd q : f p q pd q : lim int,V pf q (1.50)
n 8
for all f P L1p; }}V q and all F/BpV q-simple gn : V with limn8 }f gn}L p;V q
1
0.
1.3 Linear spaces

1.3.1 Vector spaces
Definition 1.3.1. Let K be a field, let V be a K-vector space and let A V . Then
the set spanV pAq V is defined by
spanV pAq : t1 a1 ... n an P V : n P N, a1, . . . , an P A, 1, . . . , n P Ku .

(1.51)
Definition 1.3.2. Let V be a vector space and let A V be a set. Then A is called
a generating system (in V ) if spanV pAq V .
Definition 1.3.3. Let K be a field, let V be a K-vector space and let A V be a

set. Then A is called linearly independent (in V ) if for all n P N, 1 , . . . , n P K
and all pairewise disjoint a1 , . . . , an P A with 1 a1 . . . n an 0 it holds that
1 . . . n 0.
Definition 1.3.4. Let V be a vector space and let A V be a set. Then A is called
a (Hamel) basis of V if A is a linearly independent generating system in V .
Theorem 1.3.5 (Every vector space has a basic). Let V be a vector space. Then
there exists a subset A V such that A is a basis of V .
1.3.2 Hilbert spaces

Definition 1.3.6. Let pH, h, iH , }}H q be an Hilbert space and let A H. Then A
is called orthogonal (in pH, h, iH , }}H q/in H) if for all a, b P A with a b it holds
that
ha, biH 0. (1.52)
Definition 1.3.7. Let pH, h, iH , }}H q be an Hilbert space and let A H be orthog-
onal. Then A is called orthonormal (in pH, h, iH , }}H q/in H) if for all a P A it
holds that }a}H 1.
Definition 1.3.8. Let pH, h, iH , }}H q be an Hilbert space. A set A H is called
complete (in pH, h, iH , }}H q/in H) if spanH pAq is dense in H, i.e., if spanH pAq
H.
Definition 1.3.9. Let pH, h, iH , }}H q be an Hilbert space. A complete and orthog-
onal family A H is called an orthonormal basis of pH, h, iH , }}H q/of H.
Question 1.3.10. Let pH, h, iH , }}H q be an Hilbert space and let A H be an
orthonormal basis of H. Is A then a basis of H?
Theorem 1.3.11. Let pH, h, iH , }}H q be a Hilbert space. Then there exists an
orthonormal basis A H of H.
Proposition 1.3.12 (Separable Hilbert spaces). A Hilbert space pH, h, iH , }}H q is
separable if and only if there exists an at most countable orthonormal basis A H
of H.
Proof of Proposition 1.3.12. W.l.o.g. we assume that H t0u. Let K P tR, Cu such
that H is a K-vector space. If A H is an at most countable orthonormal basis of
H, then the set
t 1 a1 ... n an : n P N, a1 , . . . , an P A, 1, . . . , n P tx P K :
Repxq, Impxq P Quu
(1.53)
is an at most countable dense subset of H. This proves the direction in the
statement of Proposition 1.3.12. The direction in in the statement of Proposi-
tion 1.3.12 follows from an application of the Gram-Schmidt process.
Let #R : P pRq r0, 8s be the counting measure on pR, P pRqq and let er : R
R, r P R, be functions given by
#
:xr
er pxq
1
(1.54)
0 :xr
for all r, x P R. Note that ter P L2 p#R ; ||q : r P Ru is an orthonormal basis of the
Hilbert space L2 p#R ; ||q. Proposition 1.3.12 hence proves that the Hilbert space
L2 p#R ; ||q is not separable.
1.3.3 Examples of orthonormal bases

Lemma 1.3.13. It holds for all n P N that
1
cospnxq dx 0. (1.55)
0
Proof. Note that for all n P N it holds that

1 x 1
sinpnxq
cospnxq dx sinpnqn sinp0q 0. (1.56)
0 n
x 0
Proposition 1.3.14. The sets

? (
p 2 sinpnxqqxPp0,1q P L2pp0, 1q; Rq : n P N , (1.57)
? ( (
p 2 cospnxqqxPp0,1q P L2pp0, 1q; Rq : n P N Y 1 , (1.58)
? (
p 2 sinppn 1{2qxqqxPp0,1q P L2pp0, 1q; Rq : n P N (1.59)
are orthonomal in L2 pp0, 1q; Rq.
Proof of Proposition 1.3.14. Integration by parts proves that for all n, m P N it holds
that
1
sinpnxq sinpmxq dx
0
x 1 1
cospnxq sinpmxq m
cospnxq cospmxq dx (1.60)
n
1

x 0 n 0
m
n
cospnxq cospmxq dx.
0
In addition, observe that the identity
Repz1 z2 q Repz1 q Repz2 q Impz1 q Impz2 q (1.61)

for all z1 , z2 P C together with Lemma 1.3.13 ensures that for all n, m P N it holds
that
1 1

sinpnxq sinpmxq dx Im einx Im eimx dx
0 0
1

Re e inx
Re e imx
Re einx eimx dx
0
1 1 (1.62)
cospnxq cospmxq dx Re e p
i n m x q dx
0 0
1
cospnxq cospmxq dx.
0
Putting (1.62) into (1.60) proves that for all n, m P N with n m it holds that
1 1
sinpnxq sinpmxq dx cospnxq cospmxq dx 0. (1.63)
0 0
In addition, observe that (1.62) implies that for all n P N it holds that
1 1
1 |looooooooooooooomooooooooooooooon
sinpnxq| 2
|cospnxq| dx 2 |sinpnxq|2 dx.
2
(1.64)
0 0
1
This, (1.62) and (1.63) imply that for all n, m P N it holds that
1
? ? 1
? ?
2 sinpnxq 2 sinpmxq dx 2 cospnxq 2 cospmxq dx
0
# 0
:nm
(1.65)
0
.
1 :nm
This and (1.64) prove that the set (1.57) is orthonomal in L2 pp0, 1q; Rq. Furthermore,
note that for all n P N it holds that
1
? ? 1
?
sinpnxq
x 1
1 2 cospnxq dx 2 cospnxq dx 2
0 0 n
? x 0 (1.66)
sinpn q sinp0q
2
n
0.
This, (1.65) and (1.64) show that the set (1.58) is an orthonomal basis of L2 pp0, 1q; Rq.
In the next step we observe that the identity (1.61) and Lemma 1.3.13 imply that
for all n, m P N it holds that

1
sinppn 1{2qxq sinppm 1{2qxq dx
0
1

Im eipn1{2qx Im eipm1{2qx dx
0
1

Re eipn1{2qx Re eipm1{2qx dx Re eipn1{2qx eipm1{2qx dx (1.67)
0
1 1
cosppn { qxq cosppm { qxq dx Re

12 12 ep q dx
i n m 1 x
0 0
1
cosppn 1{2qxq cosppm 1{2qxq dx.
0
Furthermore, integration by parts proves that for all n, m P N it holds that

1
sinppn 1{2qxq sinppm 1{2qxq dx
0
x1
cosppn 1{2qxq sinppm 1{2qxq
pn 1{2q x0
(1.68)
pm 1{2q 1 cosppn 1{2qxq cosppm 1{2qxq dx
pn 1{2q 0
pm 1{2q 1
pn 1{2q cosppn 1{2qxq cosppm 1{2qxq dx.
0
As above we combine (1.67) and (1.68) to obtain that the set (1.59) is orthonormal
in L2 pp0, 1q; Rq.
Exercise 1.3.15 (Transformation of orthonormal bases). Let a, b, , P R with

a b and , let en : pa, bq R P L2 ppa, bq; Rq, n P N, be such that ten : n P Nu
is an orthonormal basis of L2 ppa, bq; Rq and let fn : p, q R, n P N, be functions
given by
d
f n p xq
pb aq px q pb aq
p q en p q a (1.69)
for all x P p, q, n P N. Then the set tfn : n P Nu is an orthonormal basis of

L2 pp, q; Rq.
1.4 Linear functions

In the section we particularly follow the presentations in Werner [12].
Definition 1.4.1 (Linear operators). Let K be a field and let V1 and V2 be K-vector
spaces. A function/operator1 A : V1 V2 is called linear if for all v, w P V1 , P K
it holds that
A pv wq Av Aw. (1.70)
We denote by
LinpV1 , V2 q : tA P MpV1 , V2 q : A is linearu (1.71)
the set of all linear functions from V1 to V2 (the set of all linear operators from V1
to V2 ).
Definition 1.4.2 (Linear operators on a vector space). Let K be a field, let V1 and V2
be K-vector spaces and let U V1 be a vector subspace of V1 . A function A : U V2
is called a linear operator from U on V1 to V2 (a linear operator on V1 to V2 ) if
A P LinpU, V2 q.
Definition 1.4.3 (Set of linear operators on a vector space). Let K be a field and
let V1 and V2 be K-vector spaces. Then we denote by

LpV1 , V2 q : LinpU, V2 q (1.72)

U V1 is a vector
subspace of V1
the set of linear operators on V1 to V2 .

Definition 1.4.4 (Point spectrum of a linear operator). Let K P tR, Cu, let V be a
K-vector space and let A : DpAq V V be a linear operator. Then we call the set
! )
P pAq : P K : A : DpAq V is not injective (1.73)
the point spectrum of A (the set of eigenvalues of A).

Definition 1.4.5 (Symmetric linear operators). Let pH, h, iH , }}H q be a Hilbert
space. A linear operator A : DpAq H H is called symmetric if for all v, w P
DpAq it holds that
hAv, wiH hv, AwiH . (1.74)
1
A function from some possibly infinite dimensional normed vector space into some possibly
infinite dimensional vector space is also often referred as an operator. We will also often use this
convention in the remainder of these lecture notes.
1.4. LINEAR FUNCTIONS 27
Definition 1.4.6. Let pH, h, iH , }}H q be a Hilbert space and let A : DpAq H H
be a linear operator.
A is called nonnegative if
@ v P DpAq : hv, AviH P r0, 8q. (1.75)
A is called nonpositive if
@ v P DpAq : hv, AviH P p8, 0s. (1.76)
A is called strictly positive if
@ v P DpAqzt0u : hv, AviH P p0, 8q. (1.77)
A is called strictly negative if
@ v P DpAqzt0u : hv, AviH P p8, 0q. (1.78)
1.4.1 Bounded linear operators on normed vector spaces

Definition 1.4.7 (Bounded linear functions/bounded linear operators). Let K P
tR, Cu and let pV1, }}V1 q and pV2, }}V2 q be normed K-vector spaces. Then we denote
by
LpV1 , V2 q : LinpV1 , V2 q X C pV1 , V2 q (1.79)
the set of all continuous linear operators from V1 to V2 , we denote the operator norm
on LpV1 , V2 q by }}LpV1 ,V2 q : LpV1 , V2 q r0, 8q defined through

}A}LpV ,V q : }Av}V 2
1 2
sup
P zt u
v V1 0 }v}V 1
(1.80)
for all A P LpV1 , V2 q, we denote by
LpV1 q : LpV1 , V1 q (1.81)
the set of all continuous linear operators from V1 to V1 and we denote the operator
norm on LpV1 q by }}LpV1 q : LpV1 q r0, 8q defined through
}A}LpV q : }A}LpV ,V q
1 1 1
(1.82)
for all A P LpV1 q.

Lemma 1.4.8 (Completeness of the space of bounded linear operators). Let K P

tR, Cu, let pV1, }}V1 q be a normed K-vector space and let pV2, }}V2 q be a K-Banach
space. Then pLpV1 , V2 q, }}LpV1 ,V2 q q is a K-Banach space.
Definition 1.4.9 (Topological dual space). Let K P tR, Cu and let pV, }}V q be a
normed K-vector space. Then we denote by
pV 1, }}V 1 q : pLpV, Kq, }}LpV,Kqq (1.83)
the K-Banach space of continuous linear operators from V to K.
See Reed & Simon [10] and, e.g., Prevot & Rockner [9] for the next results.
Theorem 1.4.10 (Square root of a nonnegative and symmetric bounded linear
operator). Let pH, h, iH , }}H q be a Hilbert space and let A P LpH q be nonnegative
and symmetric. Then there exists a unique nonnegative and symmetric S P LpH q
with the property that S 2 A.
Definition 1.4.11 (Square root of a nonnegative and symmetric bounded linear op-
erator). Let pH, h, iH , }}H q be a Hilbert space and let A P LpH q be nonnegative and
symmetric. Then we denote by A1{2 P LpH q the unique nonnegative and symmetric
bounded linear operator with the property that pA1{2 q2 A.
Lemma 1.4.12. Let pH, h, iH , }}H q be a Hilbert space and let A P LpH q. Then
A A is nonnegative and symmetric.
Proof of Lemma 1.4.12. Note that for all v P H it holds that
hv, A AviH hAv, AviH hA Av, viH hAv, AviH }Av }2H 0. (1.84)
1.4.2 Compact operators on Banach spaces

Definition 1.4.13 (Compact operator). Let K P tR, Cu and let pV1 , }}V1 q and
pV2, }}V2 q be K-Banach spaces. An operator A P LpV1, V2q is called compact if for
every bounded subset B V1 of V1 it holds that ApB q V2 is a relatively compact
subset of V2 , i.e., it holds that ApB q V2 is a compact subset of V2 .
Definition 1.4.14 (The space of compact operators). Let K P tR, Cu and let
pV1, }}V1 q and pV2, }}V2 q be K-Banach spaces. Then we denote by
KpV1 , V2 q : tA P LpV1 , V2 q : A is compactu (1.85)
the set of all compact linear operators from V1 to V2 .
Proposition 1.4.15. Let K P tR, Cu and let pV1 , }}V1 q and pV2 , }}V2 q be K-Banach
spaces. Then
tA P LpV1, V2q : dimpimpAqq 8uLpV ,V q KpV1, V2q.1 2

(1.86)
Proposition 1.4.16. Let K P tR, Cu and let pV1 , }}V q and pV2 , }}V q be K-Hilbert
1 2
spaces. Then
p q
tA P LpV1, V2q : dimpimpAqq 8u
L V1 ,V2
KpV1, V2q. (1.87)
1.4.3 Nuclear operators on Banach spaces

Definition 1.4.17 (Nuclear operator). Let K P tR, Cu and let pV, }}V q and pW, }}W q
be K-Banach spaces. A linear operator A : V W is called nuklear if there exist a
sequence pvn qnPN V 1 of elements in V 1 and a sequence pwn qnPN W of elements
in W such that
8
}vn}V 1 }wn}W 8 (1.88)

n 1
and such that for all x P V it holds that

8
Ax vn pxq wn . (1.89)

n 1
Definition 1.4.18 (Rank-1 operators). Let K P tR, Cu, let pV, }}V q and pW, }}W q
be normed K-vector spaces, let v P V 1 and let w P W . Then we denote by w b v P
LpV, W q the linear operator defined through
pw b vqpuq : vpuq w (1.90)
for all u P V .
Conditions (1.88) and (1.89) say something about how good a linear operator can
be approximated through sums of linear operators with one-dimensional images. In
addition, conditions (1.88) and (1.89) assert that a nuclear operator can be decom-
posed into rank one operators in the sense of (1.88)(1.89). Equation (1.89) is also
referred as a nuclear represenation of a nuclear operator.
Definition 1.4.19 (The normed vector space of nuclear operators). Let K P tR, Cu
and let pV, }}V q and pW, }}W q be K-Banach spaces. Then we denote by
L1 pV, W q : tA P LinpV, W q : A is nuclearu (1.91)

the set of nuclear operators from V to W , we denote by

L1 pV q : L1 pV, V q (1.92)
the set of nuclear operators from V to V , we define the mapping }}L1 pV,W q : L1 pV, W q
r0, 8q through
#
}A}L pV,W q : inf
1
a P r0, 8q : D pvnqnPN V 1 : D pwnqnPN W :

+ (1.93)
8
8

a }vn}V 1 }wn}W 8 and @ x P V : Ax vn pxq wn
n 1
n 1
for all A P L1 pV, W q and we define the mapping }}L pV q : L1pV q r0, 8q through
1
}A}L pV q : }A}L pV,V q

1 1
(1.94)
for all A P L1 pV q.
Lemma 1.4.20. Let K P tR, Cu, let pV, }}V q and pW, }}W q be K-Banach spaces
and let A P L1 pV, W q. Then A P LpV, W q and it holds that
}A}LpV,W q }A}L pV,W q . 1
(1.95)
Proof of Lemma 1.4.20. Let P p0, 8q be arbitrary. The assumption that A P
L1 pV, W q ensures that there exist sequences pvn qnPN V 1 and pwn qnPN W such
that
8 8
}vn}V 1 }wn}W }A}L pV,W q 1
}vn}V 1 }wn}W 8 (1.96)
n 1
n 1
and such that for all x P V it holds that

8

n 1
Then note that for all x P V it holds that

8 8 8
}Ax}W

n1
pq

vn x wn

}vnpxq wn}W |vnpxq| }wn}W

n 1
n 1
W

8 8
}vn}LpV,Rq }x}V }wn}W }vn}V 1 }wn}W }x}V (1.98)

n 1

n 1
}A}L pV,W q
1
}x}V .
This proves that A P LpV, W q and that

}A}LpV,W q }A}L pV,W q 1
. (1.99)
As P p0, 8q was arbitrary, the proof of Lemma 1.4.20 is completed.

Lemma 1.4.20, in particular, proves that in the setting of Lemma 1.4.20 it holds
that
pL1pV, W q, }}L1pV,W qq pLpV, W q, }}LpV,W qq (1.100)
continuously.
Lemma 1.4.21. Let K P tR, Cu and let pV, }}V q and pW, }}W q be K-Banach spaces.
Then the pair pL1 pV, W q, }}L1 pV,W q q is a normed K-vector space.
Proof of Lemma 1.4.21. Lemma 1.4.20 implies that for all A P L1 pV, W q it holds that
}A}L1pV,W 0 if and only if A 0. Furthermore, it is clear that for all A P L1pV, W q,
P K it holds that A P L1 pV, W q and that
} A}L pV,W q || }A}L pV,W q .
1 1
(1.101)
It thus remains to prove that the sum of two nuclear operators from V to W is again
a nuclear operator from V to W and that the triangle inequality holds. For this let
A1 , A2 P L1 pV, W q, P p0, 8q be arbitrary and let vni P V 1 , n P N, i P t1, 2u, and
wni P W , n P N, i P t1, 2u, such that for all i P t1, 2u it holds that
8 8
iv 1 wi
n V n W }Ai}L pV,W q
1
i v 1 wi
n V n W 8 (1.102)

n 1
n 1
and such that for all x P V , i P t1, 2u it holds that

8
Ai x vni pxq wni . (1.103)

n 1
This implies that

8
2
i
v 1 wi
n V n W 8 (1.104)

n 1i 1
and that for all x P V it holds that
8
2
pA1 A2 q x vni pxq wni

n 1i 1
(1.105)
v11pxq w11 pq
v12 x w12 v21 pxq w21 v22 pxq w22 v31 pxq w31 v32 pxq w32 ....
Hence, we obtain that A1 A2 P L1pV, W q and that

8
2
i
}A1 A2 }L1 pV,W q v 1 wi
n V n W }A1}L pV,W q }A2}L pV,W q
1 1
2. (1.106)

n 1i 1
As P p0, 8q was arbitrary, the proof of Lemma 1.4.21 is completed.

Proposition 1.4.22 (Ideal property of the set of nuclear operators). Let K P tR, Cu,
let pV0 , }}V0 q, pV1 , }}V1 q, pW0 , }}W0 q and pW1 , }}W1 q be K-Banach spaces and let
A P L1 pV1 , W1 q, B1 P LpW1 , W0 q, B2 P LpV0 , V1 q. Then B1 AB2 P L1 pV0 , W0 q and it
holds that
}B1AB2}L pV ,W q }B1}LpW ,W q }A}L pV ,W q }B2}LpV ,V q .
1 0 0 1
(1.107)
0 1 1 1 1 0
Proof of Proposition 1.4.22. Let P p0, 8q be arbitrary. The assumption that A P

L1 pV1 , W1 q ensures that there exist pvn qnPN pV1 q1 and pwn qnPN W1 such that
8 8
}vn}V 1 }wn}W }A}L pV ,W q
1 1 1 1
}vn}V 1 }wn}W 8 1
(1.108)

1 1
n 1 n 1
and such that for all x P V1 it holds that

8

n 1
Inequality (1.108) implies that

8
}vnpB2pqq}V 1 }B1pwnq}W 0

0
n 1
8
}vn}V 1 }B2}LpV ,V q }B1}LpW ,W q }wn}W
0 1 1 0 1
(1.110)

1
n 1

}B2}LpV ,V q }B1}LpW ,W q }A}L pV ,V q
0 1 1 0 1 1 0
and equation (1.109) ensures that for all x P V0 it holds that

8
pB1AB2q pxq vn pB2 pxqq B1 pwn q. (1.111)

n 1
This implies that B1 AB2 is a nuclear operator from V0 to W0 and that

}B1AB2}L pV ,W q }B2}LpV ,V q }B1}LpW ,W q }A}L pV ,V q .
1 0 0 0 1 1 0 1 1 0
(1.112)
As P p0, 8q was arbitrary, the proof of Proposition 1.4.22 is completed.

The next simple lemma gives a characterization for nuclear operators and is an
immediate consequence of the definition of a nuclear operator.
Lemma 1.4.23 (Characterization of nuclear operators). Let K P tR, Cu, let pV, }}V q
and pW, }}W q be K-Banach spaces with V t0u and W t0u and let A P LpV, W q.
Then the following three statements are equivalent:
(i) It holds that A P L1 pV, W q.
(ii) There exist pan qnPN R, pvn qnPN V 1 , pwn q

nPN W such that for all n P N
it holds that }vn }V 1 }wn }W 1, such that 8 n1 |an | 8 and such that for
all x P V it holds that
8
Ax an vn pxq wn . (1.113)

n 1
(ii) There exist pan qnPN r0, 8q, pvn qnPN V 1 , pwn q
nPN W such that for all
n P N it holds that }vn }V }wn }W 1, such that 8
1 n1 an 8 and such that
for all x P V it holds that
8
Ax an vn pxq wn . (1.114)

n 1
1.4.4 An intermezzo on sums over possibly uncountable in-

dex sets
Nets
Definition 1.4.24 (Relation). Let A and B be arbitrary sets and let C A B be
a subset of A B. Then the triple pA, B, C q is called a (binary) relation (on pA, B q).
Definition 1.4.25. Let pA, B, C q be a relation, let a P A and let b P B. Then

we write a b if and only if pa, bq P C.
Definition 1.4.26 (Function). A relation pA, B, C q is called a function if for every

a P A there exists exactly one b P B such that pa, bq P C.
Definition 1.4.27 (Preorder). Let X be a set and let be a relation on pX, X q.

Then the pair pX, q is called a preorder (on X) if the following two conditions are
fulfilled:
(i) @ x P X : x x (Reflexivity)

(ii)@ x, y, z P X : px y and y zq px zq (Transitivity)
Definition 1.4.28 (Directed set). Let pX, q be a preorder. Then pX, q is called
a directed set if
@ x, y P X : D z P X : px z and y zq . (1.115)
Definition 1.4.29 (Nets). Let pX, q be a directed set and let pE, E q be a topological
space. A function : X E from X to E is called a net.
Definition 1.4.30 (Convergence of a net). Let pX, q be a directed set, let pE, E q be
a topological space, let : X E be a net and let e P E. Then is said to converge
with respect to pX, q to e, in symbols,
lim pf q e (1.116)
f PpX,q
if for every neighbourhood U E of e there exists an f0 P X such that for all f P X

with f0 f it holds that f P U .
Sums over possibly uncountable index sets

Definition 1.4.31 (Counting measure on a set). Let A be a set. Then we denote by
#A : P pAq r0, 8s the counting measure on A.
Definition 1.4.32. Let A be a set and let f : A r0, 8s be a function. Then we
define

f paq : f paq #A pdaq P r0, 8s. (1.117)
P
a A A
Another way to define the sum in (1.117) above is to employ the concept of a
net. This is illustrated in the following example.
Example 1.4.33. Let A be a set and let f : A r0, 8s be a function. Then the pair
ptx P P pAq : #Apxq 8u , q (1.118)
is a directed set and the function : tx P P pAq : #A pxq 8u r0, 8s defined through

pxq f paq (1.119)
P
a x
for all finite subsets x A of A is a net which converges to aPA f paq defined in
(1.117).

Lemma 1.4.34. Let A be a set and let f : A r0, 8s be a function with P f paq
8. Then it holds that the set f 1pp0, 8sq is at most countable.
a A
Proof of Lemma 1.4.34. Monotonicity proves that for all P p0, 8q it holds that

#A f 1 pr, 8qq f paq 8 (1.120)
P
a A

This shows that for all n P N it holds that the set f 1 r1{n, 8q is finite. This implies
that the set
f 1 p0, 8q YnPN f 1 r1{n, 8q (1.121)
is at most countable. The proof of Lemma 1.4.34 is thus completed.
Lemma 1.4.35 (Fubini for sums). Let A and B be sets and let f : A B r0, 8s
be a function. Then

f pa, bq f pa, bq f pa, bq. (1.122)
P P
a Ab B P P
b Ba A pa,bqPAB
Proof of Lemma 1.4.35. W.l.o.g. we assume that A B H is a non-empty set. We
prove that
f pa, bq f pa, bq. (1.123)
P P
a Ab B pa,bqPAB
Clearly, this implies (1.122). To prove (1.123), we distinguish between two cases. In
the first case we assume that

f pa, bq 8. (1.124)
pa,bqPAB
This assumption together with Lemma 1.4.34 implies that there exists a sequence
pan, bnq P A B, n P N, such that for all px, yq P pA B qztpan, bnq : n P Nu it holds
that f px, y q 0. The theorem of Fubini hence proves that

f pa, bq f pa, bq
pa,bqPAB pa,bqPtan : nPNutbn : nPNu

f pa, bq #tan : nPNutbn : nPNu pda, dbq
(1.125)
f pa, bq #tbn : nPNu pdbq #tan : nPNu pdaq

f pa, bq f pa, bq.
Ptan : nPNu bPtbn : nPNu
a P P
a Ab B
This finishes the proof in the case

f pa, bq 8. (1.126)
pa,bqPAB
In the second case we assume that

f pa, bq 8. (1.127)
P P
a Ab B
Lemma 1.4.34 implies then that there

exists an at most countable set A A such
that for all a P AzA it holds that bPB f pa, bq 0. Moreover, again Lemma 1.4.34
implies that there exist at most countable sets Ba B, a P A, such that for all
a P A, b P B zBa it holds that f pa, bq 0. The theorem of Fubini hence shows that

f pa, bq f pa, bq f pa, bq f pa, bq
P P
a Ab B P P
a A b B P P
a A b Ba P PpYaPA Ba q
a A b
(1.128)
f pa, bq f pa, bq.
pa,bqPApYaPA Ba q pa,bqPAB
1.4.5 Hilbert-Schmidt operators on Hilbert spaces

Definition 1.4.36. Let pH1 , h, iH1 , }}H1 q and pH2 , h, iH2 , }}H2 q be Hilbert spaces.
An operator A P LpH1 , H2 q is called Hilbert-Schmidt if there exist an orthonormal
basis B H1 of pH1 , h, iH1 , }}H1 q such that

}Ab}2H 8. 2
(1.129)
b PB
Lemma 1.4.37. Let pH1 , h, iH1 , }}H1 q and pH2 , h, iH2 , }}H2 q be Hilbert spaces, let
B1 H1 be an orthonormal basis of H1 , let B2 H2 be an orthonormal basis of H2
and let A P LpH1 , H2 q. Then

}Ab}2H 2
}Ab}2H 1
. (1.130)
bPB1 b PB2
Proof of Lemma 1.4.37. Observe that

}Ab}2H b, Ab x yH 2 A b, b x yH 2
2 2 1
bPB1 b PB1 bPB2 b PB1 bPB2
2 (1.131)
A b, bx yH }Ab}2H .
1 1
PB2 bPB1
b b PB2
Lemma 1.4.38 (Independence of the orthonormal bases). Let pH1 , h, iH1 , }}H1 q
and pH2 , h, iH2 , }}H2 q be Hilbert spaces, let B1 H1 and B2 H1 be orthonormal
bases of H1 and let A P LpH1 , H2 q. Then

}Ab}2H 2
}Ab}2H 2
. (1.132)
b PB1 bPB2
Proof of Lemma 1.4.38. Theorem 1.3.11 implies that there exists an orthonormal
basis B H2 of H2 . Lemma 1.4.37 then implies that

}Ab}2H 2
}Ab}2H 1
}Ab}2H 2
. (1.133)
b PB1 b PB PB2
b

The next result, Corollary 1.4.39, gives a characterization of Hilbert-Schmidt
operators and follows immediately from Lemma 1.4.38 above.
Corollary 1.4.39. Let pH1 , h, iH1 , }}H1 q and pH2 , h, iH2 , }}H2 q be Hilbert spaces
and let A P LpH1 , H2 q. Then A is a Hilbert-Schmidt

operator if and only if for every
orthonormal basis B H1 of H1 it holds that bPB }Ab}2H1 8.
1.4.6 Diagonal linear operators on Hilbert spaces

Definition 1.4.40 (Diagonal linear operators). Let K P tR, Cu and let pH, h, iH , }}H q
be a K-Hilbert space. A linear operator A : DpAq H H is called diagonal if there
exists an orthonormal basis B H of H and a function : B K such that
# +

DpAq v P H: |b|2 |hb, viH |2 8 (1.134)
b PB
and such that for all v P DpAq it holds that

Av b hb, viH b. (1.135)
b PB
Exercise 1.4.41 (Diagonal operators are densely defined). Let pH, h, iH , }}H q be
a Hilbert space and let A : DpAq H H be a diagonal linear operator. Prove that
A is densely defined, i.e., prove that DpAq H.
Exercise 1.4.42. Let pH, h, iH , }}H q be an R-Hilbert space and let A : DpAq
H H be a diagonal linear operator. Prove that A is symmetric.
Exercise 1.4.43 (The point spectrum of a diagonal operator). Let K P tR, Cu,
let pH, h, iH , }}H q be a K-Hilbert space and let A : DpAq H H be a diagonal
linear operator, i.e., assume that there exists an orthonormal basis B H of H and
a function : B K such that
# +

DpAq v P H: |b| |hb, viH | 8
2 2
(1.136)
b PB

and such that for all v P DpAq it holds that Av PB b hb, viH b. Prove that
P pAq impq.
b
Proposition 1.4.44 (Regularity of diagonal linear operators). Let K P tR, Cu, let
pH, h, iH , }}H q be a K-Hilbert space, let A : DpAq H H be a diagonal linear
operator, i.e., assume that B H is an orthonormal basis of H and assume that
: B K is a function such that
# +

DpAq v P H: |b| |hb, viH | 8
2 2
(1.137)
PB
b
and assume that such that for all v P DpAq it holds that Av bPB b hb, viH b. Then
(i) A P LpH q if and only if P L8 p#B ; ||K q ( is a bounded function
impq P pAq is a bounded set) and in that case it holds that }A}LpH q
}}L8p#B;||Kq supbPB |b|,
(ii) A P L2pH q HS pH q if and only if P L2p#B; ||Kq ( bPB |b|2 8) and
2 1{2
in that case it holds that }A}L pH q }}L p#B ;|| q bPB |b | and
2 K 2
(iii) q ( bPB |b| 8) and in that case

A P L1 pH q if and only if P L1 p#B ; ||K
it holds that }A}L pH q }}L p#B ;|| q bPB |b |.
1
1
K
Chapter 2
Semigroups of bounded linear

operators
In this chapter we follow with some minor changes the presentations in Pazy [8].
2.1 Types of semigroups

Definition 2.1.1 (Semigroups of bounded linear operators). Let pV, }}V q be a normed
vector space. A mapping S : r0, 8q LpV q is called a semigroup (of bounded linear
operators on V ) if for all t1 , t2 P r0, 8q it holds that
S0 IdV and St1 St2 St1 t2 .

looooooomooooooon (2.1)
semigroup property
Definition 2.1.2. Let pV, }}V q be a normed vector space and let S : r0, 8q LpV q
be a semigroup. Then we call the linear operator GS : DpGS q V V with
" *
St v v
DpGS q v P V : lim exists (2.2)
t0 t
and
St v v
GS v lim (2.3)
t0 t
for all v P DpGS q the (infinitesmal) generator of S.
39
40 CHAPTER 2. SEMIGROUPS OF BOUNDED LINEAR OPERATORS
Lemma 2.1.3 (Invariance of the domain of the generator). Let pV, }}V q be a normed
let S : r0, 8q LpV q be a semigroup. Then it holds for all t P r0, 8q
vector space and
that St DpGS q DpGS q and it holds for all t P r0, 8q, v P DpGS q that
StGS v.
GS St v (2.4)
Proof of Lemma 2.1.3. Observe that for all t P r0, 8q, v P DpGS q it holds that

Ss rSt v s rSt v s Ss v v Ss v v
lim
s 0 s s
lim S
0 t
s
S limt
s 0 s
S G v.
t S (2.5)
This completes the proof of Lemma 2.1.3.
Definition 2.1.4 (Contraction semigroups). Let pV, }}V q be a normed vector space.
A semigroup S : r0, 8q LpV q is called a contraction semigroup if it holds that
suptPr0,8q }St }LpV q 1.
Definition 2.1.5 (Strongly continuous semigroups). Let pV, }}V q be a normed vector
space. A semigroup S : r0, 8q LpV q is called strongly continuous if for all v P V
it holds that the function r0, 8q Q t St v P V is continuous.
Definition 2.1.6 (Uniformly continuous semigroups). Let pV, }}V q be a normed

vector space. A semigroup S : r0, 8q LpV q is called uniformly continuous if the
function r0, 8q Q t St P LpV q is continuous.
Example 2.1.7 (Matrix exponential). Let d P N and let A P Rdd be an arbitrary

d d-matrix. Then the function r0, 8q Q t eAt P Rdd is a uniformly continuous
semigroup.
Exercise 2.1.8. Let pV, }}V q be a normed vector space with V t0u and let
S : r0, 8q LpV q be a function which fulfills for all t P r0, 8q that
#
:t0
St IdV
. (2.6)
0 :t0
(i) Is S is a semigroup? Prove that your answer is correct.
(ii) Is S is a strongly continuous semigroup? Prove that your answer is correct.
(iii) Is S is a uniformly continuous semigroup? Prove that your answer is correct.
(iv) Is S is a contraction semigroup? Prove that your answer is correct.

2.2. A PRIORI BOUNDS FOR SEMIGROUPS 41
(v) Specify the infinitesmal generator GS : DpGS q V V of S.
Clearly, it holds that every uniformly continuous semigroup is also strongly con-
tinuous. However, not every strongly continuous semigroup is uniformly continuous
too. This is the subject of the next exercise.
Exercise 2.1.9. Given an example of a normed vector space pV, }}V q and a strongly
continuous semigroup S : r0, 8q LpV q so that S is not a uniformly continuous
semigroup. Prove that your function S does indeed fulfill the desired properties.
2.2 A priori bounds for semigroups

In the next result, Proposition 2.4.3, we present a global a priori bound for semigroups
of bounded linear operators.
Proposition 2.2.1 (Global a priori bound). Let pV, }}V q be a normed vector space
and let S : r0, 8q LpV q be a semigroup. Then it holds for all t P r0, 8q, P p0, 8q
that
et lnp}S } p qq .
{
supsPr0,ts }St }LpV q supsPr0,s }Ss }LpV q
1
L V
(2.7)
Proof of Proposition 2.2.1. Note that for all t P r0, 8q, P p0, 8q, n P N0 Xpt{ 1, t{s
it holds that

}St}LpV q Sn ptnqLpV q SnSptnqLpV q }Sn}LpV q SptnqLpV q

}rSsn}LpV q SptnqLpV q }S}nLpV q SptnqLpV q
(
supsPr0,s }Ss}LpV q }S}nLpV q supsPr0,s }Ss}LpV q max 1, }S}LpV q n
(
supsPr0,s }Ss}LpV q max 1, }S}LpV q { t (2.8)
! )
supsPr0,s }Ss}LpV q max e0, exp t ln }S}1L{pV q

1{ (
supsPr0,s }Ss}LpV q exp t max 0, ln }S}LpV q .
This completes the proof of Corollary 2.4.3.
Lemma 2.2.2 (Uniformly continuous semigroups). Let pV, }}V q be a normed vector
space and let S : r0, 8q LpV q be a semigroup with limt0 }St S0 }LpV q 0. Then
it holds for all t P r0, 8q that supsPr0,ts }Ss }LpV q 8.
Proof of Lemma 2.2.2. The assumption limt0 }St S0 }LpV q 0 ensures that there
exists a real number P p0, 8q such that
sup }Ss }LpV q 8. (2.9)

Pr s
s 0,
Combining this with Proposition 2.2.1 completes the proof of Lemma 2.2.2.
2.3 Uniformly continuous semigroups

Lemma 2.3.1. Let pV, }}V q be a normed vector space and let S : r0, 8q LpV q be
a semigroup. Then S is uniformly continuous if and only if limt0 }St S0 }LpV q 0.
Proof of Lemma 2.3.1. Clearly, it holds that if S is uniformly continuous, then it

holds that limt0 }St S0 }LpV q 0. It thus remains to prove that the condition
limt0 }St S0 }LpV q 0 ensures that S is uniformly continuous. We thus assume in
the following that
lim }St S0 }LpV q 0. (2.10)
t0
Lemma 2.2.2 hence implies that for all t P r0, 8q it holds that
sup }St }LpV q 8. (2.11)

Pr s
s 0,s
This and (2.10) imply that for all t P r0, 8q it holds that

lim }Ss St }LpV q lim Sminps,tq Srmaxps,tqminps,tqs S0 LpV q
s t st

(2.12)
lim Srmaxps,tqminps,tqs
t
S0 p q sup }Ss}LpV q 0.
s L V
Pr
s 0,t 1s
Lemma 2.3.2 (Geometric series in Banach spaces and inversion of bounded linear
operators). Let pV, }}V q be a Banach space and let A P LpV q be a bounded linear
operator with }IdV A}LpV q 1. Then A is bijective and it holds that
8
A1 rIdV Asn P LpV q. (2.13)

n 0
2.3. UNIFORMLY CONTINUOUS SEMIGROUPS 43
Proof of Lemma 2.3.2. Throughout this proof let Q P LpV q and Sn P LpV q, n P N0,
be given by

n
Q IdV A and Sn Qk . (2.14)

k 0
Note that the assumption }Q}LpV q 1 ensures that

8 8
p q }Q}kLpV q 1 }Q1 } 8
Qk (2.15)
k 0
L V

k 0 L V p q
and this implies that Sn , n P N0 , is a Cauchy-sequence in LpV q and thus convergence

in LpV q. Next we claim that for all n P N0 it holds that
ASn IdV Qn 1

. (2.16)
We show (2.16) by induction on n P N0 . For this observe that
AS0 A IdV A IdV Q. (2.17)
This proves the base case n 0 in (2.16). Next note that if n P N and if ASn1
IdV Qn , then it holds that

n
n
n1
ASn A Qk
A IdV Q k
A IdV Q k
Q

k 0 k 1
k 0
(2.18)
A rIdV QSn1s A QASn1 A Q rIdV Q s n
A Q Qn 1 IdV Qn 1.
This proves (2.16). Next note that (2.16) implies that for all n P N0 it holds that
ASn SnA IdV Qn 1. (2.19)
This and the fact that pSn qnPN0 LpV q converges shows that

A lim Sn
n8
n8
lim Sn A IdV . (2.20)
loooomoooon loooomoooon
PLpV q PLpV q
This implies that A is bijective and that A1 limn8 Sn. The proof of Lemma 2.3.2
is thus completed.
Lemma 2.3.3 (Matrix exponential in Banach spaces). Let pV, }}V q be a Banach
space and let A P LpV q. Then the function S : r0, 8q LpV q defined through
8 pAtqn
St : (2.21)
n 0 n!
for all t P r0, 8q is a uniformly continuous semigroup, it holds that GS A and it

holds for all t P r0, 8q that
}St}LpV q et }GS }LpV q . (2.22)
Proof of Lemma 2.3.3. Observe that for all t P r0, 8q it holds that
8 pAtqn 8 tn }A}n
LpV q

n!
et}A} p q 8.
L V (2.23)
n0 LpV q n0
n!
Combining this with the assumption that pV, }}V q is complete shows that S is well-
defined through (2.21). In the next step we note that for all t1 , t2 P r0, 8q it holds
that

8 pAt qn 8 pAt qn 8 An m
pt1qn pt2qm
St1 St2 1
n!
2
n!
n! m!

n 0 n 0 n,m 0

8 Ak pt1 qn pt2 qm
8 Ak
k
n! m!
k!
k!
n! pk nq!
pt1qn pt2qpknq (2.24)
k0 n,mPN0 k 0 n0

n m k
8 Ak
k!
rt1 t2 sk St
1 t2 .

k 0
This shows that S is a semigroup. Moreover, observe that for all t P r0, 8q it holds
that

8 8 pn1q
}St S0}LpV q

At p q
n

} }

t A LpV q
At

p q
n1 n! n1 n!
LpV q LpV q

8 n
p q 8 At nLpV q } } (2.25)
} }
t A LpV q
At
n0 n 1 ! p
q t A LpV q } }
n 1! p q
p q
L V n0
t }A}LpV q e } }LpV q .
t A
2.3. UNIFORMLY CONTINUOUS SEMIGROUPS 45
This proves that S is uniformly continuous. Furthermore, note that for all t P p0, 8q
it holds that

St S0

8 At pn1q
p q

A

A A

t LpV q n1
n!
LpV q

8 At n
p q 8 At n p q

A
n 1! p q

A

A
n 1!

p q (2.26)
n0 LpV q n 1 LpV q

8 At n p q
t A2 LpV q et}A}LpV q .
p q LpV q } }

t A2
n0
n 2!
This proves that GS A. Combining this with (2.23) completes the proof of
Lemma 2.3.3.
Lemma 2.3.4 (The generator of a uniformly continuous semigroup). Let pV, }}V q
be a Banach space and let S : r0, 8q LpV q be a uniformly continuous semigroup.
Then GS P LpV q.
Proof of Lemma 2.3.4. The assumption that S is uniformly continuous implies that
for all t P r0, 8q it holds that
t t s
1 s 1
lim Su du St lim Su r s St du
s0 s s0 s t
t L Vp q
p q
L V
t s
slim
0
1
}Su St}LpV q du slim
0
sup }Su St}LpV q
s t Pr
u t,t s s
(2.27)
}St}LpV q lim
0
sup }Su S0 }LpV q
s Pr s
u 0,s

}St}LpV q lim sup }Ss S0 }LpV q }St}LpV q lim }Ss S0 }LpV q
0
0.
s 0 s
This implies that there exists a real number P p0, 8q such that

1

Ss ds S0 1. (2.28)
0 L V p q

Lemma 2.3.2 hence shows that 0
Ss ds P LpV q is bijective with
1
Ss ds P LpV q. (2.29)
0
Hence, we obtain that for all t P p0, q it holds that

1
St IdV St S0
t
t
Ss ds Ss ds
0 0
1
0
r St s Ss s ds
Ss ds
t 0
t 1
Ss ds (2.30)

t
t
S ds
0 s
Ss ds
0
t 1
Ss ds
t

t
0
Ss ds
Ss ds .
0
This together with the identity (2.27) shows that

1

St IdV
lim
rS S0s Ss ds

0. (2.31)
t0 t
0
L V p q
This proves that GS P LpV q and that
1
GS rS S0s Ss ds . (2.32)
0

Theorem 2.3.5 (Characterization of uniformly continuous semigroups). Let pV, }}V q
be a Banach space and let S : r0, 8q LpV q be a semigroup. Then the following
statements are equivalent:
(i) It holds that S is uniformly continuous.
(ii) It holds that limt0 }St S0 }LpV q 0.
(iii) It holds that GS P LpV q.
Proof of Theorem 2.3.5. Lemma 2.3.1 implies that (i) and (ii) are equivalent. More-
over, Lemma 2.3.4 ensures that (i) implies (iii). It thus remains to prove that (iii)
implies (i). To show this we assume for the rest of this proof that GS P LpV q.
Lemma 2.3.3 then shows that the function S : r0, 8q LpV q defined through
8 ptG qn
St :
S
(2.33)

n 0
n!
2.4. STRONGLY CONTINUOUS SEMIGROUPS 47
for all t P r0, 8q is a uniformly continuous semigroup with the property that GS GS .
In the next step we apply Proposition 2.4.7 below to obtain that S S. This proves
that S is uniformly continuous. The proof of Theorem 2.3.5 is thus completed.
Combining Lemma 2.3.3 and Theorem 2.3.5 immediately results in the following
estimate.
Proposition 2.3.6 (A priori bounds for uniformly continuous semigroups). Let
pV, }}V q be a Banach space and let S : r0, 8q LpV q be a uniformly continuous
semigroup. Then it holds for all t P r0, 8q that
sup }Ss }LpV q et }G } p q 8.

S L V
(2.34)
Pr s
s 0,t
2.4 Strongly continuous semigroups

2.4.1 A priori bounds for strongly continuous semigroups
In Corollary 2.4.3 below we present a global priori bound for strongly continuous
semigroups. The proof of Corollary 2.4.3 uses the local a priori bound in Lemma 2.4.2
below. The proof of Lemma 2.4.2 makes use of the uniform boundedness principle in
Theorem 2.4.1 below.
Theorem 2.4.1 (Uniform boundedness principle). Let pU, }}U q be a Banach space,
let pV, }}V q be a normed vector space and let A LpU, V q be a set with the property
that for all u P U it holds that supAPA }Au}V 8. Then supAPA }A}LpU,V q 8.
Lemma 2.4.2 (Local a priori bound). Let pV, }}V q be a Banach space and let
S : r0, 8q LpV q be a semigroup which satisfies for all v P V that limt0 St v v.
Then
lim sup }St }LpV q lim sup }Ss }LpV q 8. (2.35)
t0 0 sPr0,ts
t
Proof of Lemma 2.4.2. We proof Lemma 2.4.2 by a contradiction. More specifically,

we assume in the following that
lim sup }Ss }LpV q 8. (2.36)

t0 sPr0,ts
This and the fact that }S0 }LpV q 1 8 imply that for all t P p0, 8q it holds that
sup }Ss }LpV q 8. (2.37)
Pp s
s 0,t
Hence, there exists a strictly decreasing sequence tn P p0, 8q, n P N, with limn8 tn
0 and with the property that for all n P N it holds that
}St }LpV q n.
n (2.38)
This ensures that

sup }Stn }LpV q 8. (2.39)
n PN
Theorem 2.4.1 hence implies that there exists a vector v PV such that
sup }Stn v }V 8. (2.40)

n PN
Combining this and the fact that for all n P N it holds that }Stn v }V 8 implies
that
lim sup }Stn v }V 8. (2.41)
n 8
This and the assumption that for all v PV it holds that limt0 St v v show that

8 }v}V nlim
8
r St v s lim }St v }V lim sup }St v }V 8.

n8
(2.42)
8
n n n
V n
This contradiction completes the proof of Lemma 2.4.2.
The next result, Corollary 2.4.3, proves a stronger version of Lemma 2.4.2. Ob-
serve that Lemma 2.4.2 and Corollary 2.4.3 apply to strongly continuous semigroups
on Banach spaces.
Corollary 2.4.3 (Global a priori bound). Let pV, }}V q be a Banach space and let
S : r0, 8q LpV q be a semigroup which satisfies for all v P V that limt0 St v v.
Then it holds for all t P r0, 8q, P p0, 8q that

supsPr0,ts }St }LpV q

supsPr0,s }Ss }LpV q

e
t ln p}S } {p qq 8.
1
L V
(2.43)
Corollary 2.4.3 is an immediate consequence of Proposition 2.2.1 and Lemma 2.4.2

above.
Lemma 2.4.4. Let pV, }}V q be a Banach space and let pSn qnPN0 LpV q. Then it
holds for all v P V that limn8 Sn v S0 v if and only if for all compact sets K V
it holds that limn8 supvPK }Sn v S0 v }V 0.
Proof of Lemma 2.4.4. The proof of the direction in the statement of Lemma 2.4.4
is clear. It thus remains to prove the direction in the statement of Lemma 2.4.4.
To this end we assume that for all v P V it holds that limn8 Sn v S0 v and we
assume that there exists a compact set K V such that
lim sup sup }Sn v S0 v }V 0. (2.44)

8
n v KP
In the next step we note that there exists a sequence pvn qnPN K such that for all
n P N it holds that
}Snvn S0vn}V sup }Snv S0v}V . (2.45)

P
v K
The compactness of K ensures that there exist a w P K and a strictly increasing

sequence pnk qkPN N such that limk8 vnk w. By assumption it holds that
limk8 Snk w S0 w. This and Theorem 2.4.1 imply that
0 lim sup }Snk w S0 w}V

k 8
lim sup }Sn pw vn q pSn S0q vn S0pvn wq}V
k8
k k k k k
lim sup }pSn S0q vn }V lim sup }Sn pw vn q}V klim }S pv wq}V
8 0 n
8 8
k k k k k
k k

lim sup sup }pSn S0q v}V sup }Sn }LpV q lim sup }w vnk }V
k8 v PK kPN 8
k k
k
lim sup sup }pSn S0q v}V 0.
k 8 P
v K
k
(2.46)
This condradiction completes the proof of Lemma 2.4.4.
2.4.2 Generalized matrix exponential

Lemma 2.4.5. Let pV, }}V q be a Banach space, let S : r0, 8q LpV q be a strongly
continuous semigroup and let v P DpGS q. Then the function r0, 8q Q t St v P V is
continuously differentiable and it holds for all t P r0, 8q that
d
dt
rStvs GS Stv StGS v. (2.47)
Proof of Lemma 2.4.5. Observe that for all s, t P r0, 8q with s t it holds that

Ss v St v

St GS v

s t

V

Sminps,tq
S s min ps,t q v S t min ps,t q v

s t
G

S S t v
V

Sminps,tq
S max ps,t q
min ps,t q v v

Sminps,tq St GS v
(2.48)
max s, t

p q p qmin s, t
GS v
V
V

Sminps,tq

Smaxps,tqminps,tq v v
GS v

Sminps,tq St GS v .
p q p q
LpV q max s, t min s, t V
V
Corollary 2.4.3 and the fact that S is strongly continuous hence imply that for all
t P r0, 8q it holds that

lim
Ss v Stv S G v
r0,8qQst

s t t S V

}Ss}LpV q

lim
G v
Smaxps,tqminps,tq v v
(2.49)
sup
Pr
s 0,t 1 s p q
r0,8qQst max s, t min s, t p q S V

lim
r0,8qQst
Sminps,tq St GS v V
0.
This and Lemma 2.1.3 complete the proof of Lemma 2.4.5.
Lemma 2.4.6. Let pV, }}V q be a Banach space and let S : r0, 8q LpV q be a
strongly continuous semigroup. Then DpGS q is dense in V .
Proposition 2.4.7 (Generator determines semigroup). Let pV, }}V q be a Banach

space and let S, S : r0, 8q LpV q be strongly continuous semigroups with GraphpGS q
GraphpGS q ( DpGS q DpGS q and GS |DpGS q GS ). Then it holds that S S and
GS GS .
Proof of Proposition 2.4.7. Let v P DpGS q DpGS q, t P p0, 8q and let : r0, ts V
be a function given by
psq Sts Ss v (2.50)
for all s P r0, ts. Then it holds for all s P r0, ts, u P r0, ts with s u that

p q p q
u s

Stu Su v

Sts Ss v

u s V u s

V

Ss v
Su v Stu Sts Ss v
Stu
s u u s

V

Su v Ss v
Stu Sts Ss v

Sts

Su v
s
Ss v
u
Stu Sts
us
pt uq pt sq

V

Stu Sts Ss v
Su v Ss v

Sts
s pt uq pt sq V Stu Sts
Su v
Ss v
u

us .
V
(2.51)
This implies that for all s P r0, ts, punqnPN r0, tsztsu with limn8 un s and all
n P N it holds that

p q p q
un s

un s V

p q p q

tun ts

Sts

Sun v Ss v

un s
S
t un
S S
t s
v
s
(2.52)
! !V ))
Sum v Ss v

sup Stun w Sts wV : w Pt
GS Ss vuY um s
:m PN .
Lemma 2.4.5 and Lemma 2.1.3 prove that for all s P r0, ts it holds that

Stu Sts Ss v
lim
us pt uq pt sq GS StsSsv StsGS Ssv StsGS Ssv (2.53)
and

Su v Ss v
lim
us us
GS Ssv. (2.54)
Putting (2.53)(2.54) into (2.52) proves that for all s P r0, ts and all pun qnPN
r0, tsztsu with limn8 un s it holds that

p q p q
un s
lim
n8

un s V

p q p q

tun ts

lim Sts
n8
S un v

un s
Ss v S
t un
S S
t s
v
s

!
V
! ))
Sum v Ss v

lim sup sup Stun w Sts w V : w Pt uY
GS Ss v um s
:m PN
n8
(2.55)

Sts GS Ss v Sts GS Ss v
! V
! ))
Sum v Ss v

lim sup sup Stu w Sts w : w Pt
GS Ss v uY
:m PN
8 um s
n V
n
! ! ))
Sum v Ss v
lim sup sup Stun w StswV : w P tGS Ssvu Y um s
: m P N .
n 8
This together with Lemma 2.4.5 and Lemma 2.4.4 proves that is differentiable and
that for all s P r0, ts it holds that 1 psq 0. This implies that
St v p0q ptq Stv. (2.56)
As v P DpGS q was arbitrary, we obtain that St |DpGS q St |DpGS q . Lemma 2.4.6 hence
proves that St St . This completes the proof of Proposition 2.4.7.
Definition 2.4.8 (Generator of a strongly continuous semigroup). Let pV, }}V q be a

Banach space and let A : DpAq V V be a linear operator. Then we say that A is
a generator of a strongly continuous semigroup if there exists a strongly continuous
semigroup S : r0, 8q LpV q with the property that GS A.
Proposition 2.4.7 and Definition 2.4.8 ensure that the next definition makes sense.
Definition 2.4.9 (Generalized matrix exponential). Let pV, }}V q be a Banach space
and let A : DpAq V V be a generator of a strongly continuous semigroup. Then
we denote by eAt P LpV q, t P r0, 8q, linear operators defined through
eAt : St (2.57)
for all t P r0, 8q and all strongly continuous semigroups S : r0, 8q LpV q with the
property that GS A.
2.5. SEMIGROUPS GENERATED BY DIAGONAL OPERATORS 53
2.4.3 A characterization of strongly continuous semigroups

Lemma 2.4.10 (Characterization of strongly continuous semigroups). Let pV, }}V q
be a normed vector space. A semigroup S : r0, 8q LpV q is strongly continuous if
and only if for all v P V it holds that limt0 St v v.
Proof of Lemma 2.4.10. A strongly continuous semigroup S : r0, 8q LpV q clearly

satisfies that for all v P V it holds that limt0 St v v. In the following we thus
assume that S : r0, 8q LpV q is a semigroup which fulfills for all v P V that
limt0 St v v. Corollary 2.4.3 hence implies that for all t P r0, T s it holds that

lim }Ss v St v }V lim Sminps,tq S|ts| v v
st st

V

lim
st
Sminps,tq
LpV q
S|ts| v v
V
(2.58)

sup }Su}LpV q lim S|ts| v
t
v 0.
Pr
u 0,t 1 s s V
2.5 Semigroups generated by diagonal operators

Theorem 2.5.1 (Semigroups generated by diagonal operators). Let K P tR, Cu, let
pH, h, iH , }}H q be a Hilbert space and let A : DpAq H H be a diagonal linear
operator, i.e., assume that there exists an orthonormal basis B H and a function
: B K such that
# +

DpAq v P H: |b hb, vi| 8 2
(2.59)
b PB

and such that for all v P DpAq it holds that Av bPB b hb, viH b. Moreover, assume
that supbPB Repb q 8. Then A is a generator of a strongly continuous semigroup
and it holds for all v P H, t P r0, 8q that

eAt v eb t hb, viH b. (2.60)
bPB
In particular, it holds for all t P r0, 8q that eAt P LpH q is a diagonal linear operator.
Proof of Theorem 2.5.1. Let S : r0, 8q LpH q be a function defined through

St pv q : eb t hb, viH b (2.61)
b PB
for all v P H, t P r0, 8q. The assumption supbPB Repb q 8 ensures that S is
well-defined. Then note that for all t1 , t2 P r0, 8q, v P H it holds that

St1 pSt2 pv qq St1 eb t2 hb, viH b eb t2 hb, viH St1 pbq

PB
b

b PB

eb t2 hb, viH ec t1 hc, biH c eb t2 hb, viH ec t1 hc, biH c (2.62)
PB
b

c PB
bPB c PB

e b t2
hb, viH e b t1
b e p
b t1 t2 q hb, vi b S
H t1 t2 pvq.
PB
b b PB
The function S is thus a semigroup. Moreover, observe that Lebesgues theorem of
dominated convergence proves that for all v P H it holds that
2

lim }St v v }
2
lim eb t 1 hb, viH b
t 0 H
t0
bPB

H
2 2
t0lim eb t 1 hb, viH bH lim t0
eb t |
1 hb, viH |2
bPB PB
b (2.63)

t0lim eb t 12 |hb, viH |2 #Bpdbq
B
2
lim eb t 1 |hb, viH |2 #B pdbq 0.
B t0
This completes the proof of Theorem 2.5.1.
Proposition 2.5.2 (Semigroups generated by diagonal operators). Let pH, h, iH , }}H q
be a Hilbert space and let A : DpAq H H be a diagonal linear operator. Then
it holds that supPP pAq Repq 8 if and only if A is a generator of a strongly
continuous semigroup.
Proof of Proposition 2.5.2. Theorem 2.5.1 shows that the condition supPP pAq Repq
8 implies that A is a generator of a strongly continuous semigroup. In remainder of
this proof we thus assume that A is the generator of a strongly continuous semigroup
S : r0, 8q LpH q. Next let K P tR, Cu be such that pH, h, iH , }}H q is a K-Hilbert
space. Then we note that the assumption that A is diagonal ensures that there exists
an orthonormal basis B H of H and a function : B K such that
# +

DpAq v P H: |b hb, viH |2 8 (2.64)
P
b B

Av b hb, viH b. (2.65)
b B P
The fact that GS A implies that for all b P B it holds that the function
r0, 8q Q t Stb P H (2.66)
is continuously differentiable and satisfies for all t P r0, 8q, v P H that
hv, S0 pbqiH hv, biH and d

dt
hv, St pbqiH hv, GS St pbqiH b hv, St pbqiH .
(2.67)
This implies that for all b P B, vP H, t P r0, 8q it holds that
hv, St biH e t hv, biH . b
(2.68)
Hence, we obtain that for all b P B, t P r0, 8q it holds that
St b e t b. b
(2.69)
This, in turn, ensures that

8 }S1}LpH q sup }S1b}H sup e sup eRep q esup PB Rep q.
b b b b
(2.70)
b PB b PB PB
b
This implies that supbPB Repb q 8. The proof of Proposition 2.5.2 is thus com-
pleted.
2.5.1 Laplace operator and heat equation

Lemma 2.5.3. The set
? (
p 2 sinpnxqqxPp0,1q P L2pp0, 1q; Rq : n P N (2.71)
is an orthonomal basis of L2 pp0, 1q; Rq.

Definition 2.5.4 (The Laplace operator with Dirichlet boundary ? conditions on

L pp0, 1q; Rq). Let en P L pp0, 1q; Rq, n P N, satisfy en pxq 2 sinpnxq for all
2 2
x P p0, 1q, n P N. The linear operator A : DpAq L2 pp0, 1q; Rq L2 pp0, 1q; Rq with
# +
8
DpAq v P H: n |hen , viH |
4 2
8 (2.72)

n 0
and
8
Av 2n2 hen, viH en (2.73)

n 0
for all v P DpAq is called the Laplace operator with Dirichlet boundary conditions on
L2 pp0, 1q; Rq.
Proposition 2.5.5. Let A : DpAq L2 pp0, 1q; Rq L2 pp0, 1q; Rq be the Laplace
operator with Dirichlet boundary conditions on L2 pp0, 1q; Rq. Then A is a diagonal
linear operator, it holds that P pAq t 2 , 4 2 , 9 2 , 16 2 , . . . u, it holds that
DpAq H 2
pp0, 1q; Rq X H
loooooomoooooon 0 pp0, 1q; Rq
1
loooooomoooooon
Sobolev space Sobolev space
$ ,
'
' /
/
'
& /
. (2.74)
'v P H pp0, 1q; Rq :
2
lim v pxq lim v pxq 0
/
'
' looomooon
x 0 looomooon
x 1 /
/
% -
vp0 q vp1q
and it holds for all v P DpAq that Av v2.
Let A : L2 pp0, 1q; Rq L2 pp0, 1q; Rq be the Laplace operator with Dirichlet bound-
ary conditions on L2 pp0, 1q; Rq and let v : p0, 1q R be a twice continuously differen-
tiable function with v p0 q v p1q 0. Then it holds that supP pAq 2 8 P
and Theorem 2.5.1 hence ensures that A is the generator of a strongly continuous
semigroup r0, 8q Q t eAt P LpH q. Moreover, the function u : r0, 8q p0, 1q R
given by
upt, xq peAt v qpxq (2.75)
for all x P p0, 1q, t P r0, 8q is twice continuously differentiable and satisfies
Bt upt, xq Bx2 upt, xq, up0, xq v pxq, upt, 0 q upt, 1q 0

B B2 (2.76)
for all pt, xq P r0, 8q p0, 1q.

Definition 2.5.6 (Hausdorff space). A topological space pE, E q is called a Hausdorff

space if for all a, b P E with a b there exists A, B P E with a P A, b P B and
A X B H.
Theorem 2.5.7 (Stone-Weierstrass). Let K P tR, Cu, let pE, E q be a compact Haus-
dorff space and let A C pE, Kq be a subalgebra of C pE, Kq such that
(i) @ v P A : v P A (A is a sub-*-algebra of C pE, Kq),
(ii) 1 P A (A is a sub-*-algebra of C pE, Kq with 1) and
(iii) @ x, y P E, x y : D v P A : v pxq v py q (A seperates points).

Then A is dense in C pE, Kq.
A proof of Theorem 2.5.7 in German language can, for example, be found in
Heuser [4]. We illustrate Theorem 2.5.7 by an exercises.
Proposition 2.5.8. Let S tpa, bq P R2 : a2 b2 1u R2, let arg : S r0, 2q
be given by
pcospargpxqq, sinpargpxqqq x (2.77)
for all x P S and let A C pS, Cq be given by
"
*

A P C pS, Cq : aN , a1N , . . . , aN P C
N
an e pq
i n arg x
. (2.78)
N PN n N x S P
Then A is dense in C pS, Cq.
Proof of Proposition 2.5.8. We prove Proposition 2.5.8 through an application of
Theorem 2.5.7. For this we note that for all v P A it holds that v P A. Moreover,
note that
ei 0 argpxq xPS e0 xPS 1 P A. (2.79)
Furthermore, observe that for all n, m P Z, x P S it holds that
ei n argpxq ei m argpxq
ei pn mq argpxq (2.80)
This ensures that A is a subalgebra of C pS, Cq. In order to apply Theorem 2.5.7, it
remains to verify that A separates points. For this observe that peix qxPS P C pS, Kq
and that for all x, y P S with argpxq argpy q it holds that
ei argpxq
ei argpyq
eipargpxqargpyqq 1. (2.81)
This ensures that for all x, y P S with x y it holds that

ei argpxq ei argpyq . (2.82)
We can thus apply Theorem 2.5.7 to obtain that A is dense in C pS, Cq. The proof
of Proposition 2.5.8 is thus completed.
Corollary 2.5.9. It holds that the set
! )
?1 einx xPp0,2q P L2 pp0, 2 q; Cq : n P Z (2.83)
2
is an orthonormal basis of L2 pp0, 2 q; Cq.

Proof of Corollary 2.5.9. Observe that for all n, m P Z it holds that
2 2
dx eipmnqx dx
1
?1
einx ? e 1 imx
2 2 2
0
$ 0
x2
%
& 1
p qe
2i m n
ipmnqx
x 0
0 :mn
.
(2.84)
1 :mn
This proves that the set

! )
?1 einx xPp0,2q P L2 pp0, 2 q; Cq : n P Z (2.85)
2
is an orthonormal in L2 pp0, 2 q; Cq. Next we denote by
CP pr0, 2 s, Cq : tf
P C pr0, 2s, Cq : f p0q f p2qu (2.86)
the set of all 2-periodic continuous functions from r0, 2 s to C. Proposition 2.5.8
implies that
! )CP pr0,2s,Cq
span ?1 einx xPp0,2q : n P Z CP pr0, 2s, Cq. (2.87)
2
This implies that

! )L2 pp0,2q;Cq
CP pr0, 2s, CqL pp0,2q;Cq

?1 einx xPp0,2q : n P Z
2
span 2 (2.88)
L2pp0, 2q; Cq.
The proof of Corollary 2.5.9 is thus completed.
2.5.2 Extensions of functions

Definition 2.5.10 (Modulus of continuity). Let pE, dE q and pF, dF q be metric spaces
and let f : E F be a function. Then we call the function wf : r0, 8s r0, 8s
defined through
wf phq : sup dF pf pxq, f py qq (2.89)
P
x,y E,
p q
dE x,y h
for all h P r0, 8s the modulus of continuity of f .

Lemma 2.5.11 (Properties of the modulus of continuity). Let pE, dE q and pF, dF q
be metric spaces and let f : E F be a function. Then
wf p0q 0,
wf is non-decreasing,

f is uniformly continuous if and only if limh0 wf phq wf limh0 h ,
f is globally bounded if and only if wf p8q 8 and
for all x, y P E it holds that dF pf pxq, f pyqq wf pdE px, yqq.
The proof of Lemma 2.5.11 is clear and therefore omitted.
Exercise 2.5.12. Given an example of a metric space pE, dE q such that the identity
idE : E E on E satisfies
#
: h P r0, 1q
widE phq
0
(2.90)
1 : h P r1, 8s
for all h P r0, 8s. Prove that your metric space has the desired properties.
Lemma 2.5.13 (Uniformly continuous functions). Let pE, dE q and pF, dF q be metric
spaces, let f : E F be a uniformly continuous function and let pen qnPN E be a
Cauchy sequence. Then f pen q P F , n P N, is a Cauchy sequence too.
Proof of Lemma 2.5.13. The assumption that pen qnPN is a Cauchy sequence and the
assumption that f is uniformly continuous imply that
lim sup dF pf pen q, f pem qq lim sup wf pdE pen , em qq
N 8 n,mPtN,N 1,... u N 8 n,mPtN,N 1,... u

Nlim w supn,mPtN,N
8 f 1,... u dE pen , em q (2.91)

wf Nlim
8 n,mPtN,N
sup 1,... u dE pen , em q wf p0q 0.
This shows that f pen q P F , n P N, is a Cauchy sequence and the proof of Lemma 2.5.13
is thus completed.
Proposition 2.5.14 (Extension of uniformly continuous functions). Let pE, dE q be
a metric space, let pF, dF q be a complete metric space, let A E and let f : A F
be a uniformly continuous function. Then there exists a unique f P C pA, F q with the
property that f|A f , it holds for all h P r0, 8s that
wf phq wfphq lim wf ph q (2.92)
0

and, in particular, it holds that f is uniformly continuous.

Proof of Proposition 2.5.14. The uniqueness of f is clear. It remains to prove the
existence of a function f with the desired properties. We define f: A F through
fpxq : lim f pen q (2.93)
n8
for all pen qnPN A with limn8 en x and all x P A. Lemma 2.5.13 ensures that f is
well-defined. The continuity of f implies that for all x P A it holds that fpxq f pxq.
In the next step we show (2.92). The first inequality in (2.92) is clear. To prove
the second inequality in (2.92) let h P r0, 8s and let x0 , y0 P A with dE px0 , y0 q h.
Then there exists sequences pxn qnPN A and pyn qnPN A with the property that
limn8 xn x0 and limn8 yn y0 . This implies that for all P p0, 8q it holds that

dF fpx0 q, fpy0 q
dF nlim f pxn q, lim f pyn q lim dF pf pxn q, f pyn qq
8 n8 n8
(2.94)
lim inf dF pf pxn q, f pyn qq lim inf wf dE pxn , yn q wf dE px0 , y0 q .
n8 n8
This proves the second inequality in (2.92). The second inequality in (2.92), in
turn, shows that f is uniformly continuous. The proof of Proposition 2.5.14 is thus
completed.
Exercise 2.5.15. Specify a metric space pE, dE q, a complete metric space pF, dF q,
a set A E and a uniformly continuous function f : A F such that the unique
function f P C pA, F q with f|A f satisfies wf wf (i.e., there exists an h P r0, 8s
such that wfphq wf phq).
Remark 2.5.16. Let pE, dE q be a metric space, let pF, dF q be a complete metric
space, let A E be a dense subset of E and let f : A F be a uniformly continuous
function. Proposition 2.5.14 then proves that there exists a unique f P C pE, F q with
f|A f . In the following we often write, for simplicity of presentation, f instead of
f.
Lemma 2.5.17. Let K P tR, Cu, let pV, }}V q and pW, }}W q be normed K-vector
spaces and let A : V W be a linear mapping. Then A is continuous if and only if
A is uniformly continuous.
2.5.3 Best approximations and projections in Hilbert spaces

Theorem 2.5.18 (Best approximation in Hilbert spaces). Let pH, h, iH , }}H q be a
Hilbert space, let U H be a closed subspace of H and let v P H. Then there exists
a unique u P U with the property that
}u v}H winfPU }w v}H . (2.95)
Theorem 2.5.19 (Projection in Hilbert spaces). Let pH, h, iH , }}H q be a Hilbert
space and let U H be a closed subspace of H. Then there exists a unique P P LpH q
with the property that P pH q U and with the property that for all v P H it holds
that
}P pvq v}H inf }w v}H .
w U P
(2.96)
Definition 2.5.20 (Projection in Hilbert spaces). Let pH, h, iH , }}H q be a Hilbert
space and let U H be a closed subspace of H. Then we denote by PU P LpH q the
unique bounded linear operator from H to H with the property that P pH q U and
with the property that for all v P H it holds that
}PU pvq v}H winfPU }w v}H . (2.97)
PU is sometimes referred as the projection of H on U .
2.5.4 Interpolation spaces and fractional powers of a diago-

nal linear operator
Proposition 2.5.21 (The eigenspaces of diagonal linear operators). Let K P tR, Cu
be a field, let pH, h, iH , }}H q be a K-Hilbert space and let A : DpAq H H be a
diagonal linear operator, i.e., assume that there exists an orthonormal basis B H
and a function : B K such that
# +

DpAq v P H: |b hb, viH |2 8 (2.98)
b PB

Av b hb, viH b. (2.99)
b PB
Then it holds for all P P pAq that
Kernp Aq spantb P B : b u spanp1pqq (2.100)
Proof of Proposition 2.5.21. Let P P pAq be arbitrary. We first prove that
Kernp Aq spantb P B : b u . (2.101)
For this observe that for all
v P Kernp Aq tw P Dp Aq DpAq : p Aqw 0u (2.102)
it holds that

0 }0}2H }p Aqv}2H |p bq hb, viH |2 | b|2 |hb, viH |2

b PB b PB
| b| |hb, viH |
2 2
.
(2.103)
PB
b ,

b
Hence, we obtain that for all v P Kernp Aq and all b P B with b it holds
that hb, viH 0. This implies that for all v P Kernp Aq it holds that
K
v P spantb P B : b u . (2.104)
This and the identity

spantb P B : b u k spantb P B : b u H (2.105)
proves that (2.101) is indeed fufilled. Next we prove that
Kernp Aq spantb P B : b u . (2.106)
For this observe that for all

K
v P spantb P B : b u spantb P B : b u (2.107)
it holds that

|b hb, viH |2 |b hb, viH |2 ||2 |hb, viH |2 ||2 }v}2H 8. (2.108)
PB PB PB

b b b
b b
This shows that

K
spantb P B : b u spantb P B : b u DpAq Dp Aq. (2.109)
Next note that for all

K
v P spantb P B : b u spantb P B : b u (2.110)
it holds that

p Aq v p bq hb, viH b p bq hb, viH b 0. (2.111)
PB PB

b b
b
The next result, Theorem 2.5.22, establishes a spectral decomposition for diagonal
linear operators. It follows immediately from Proposition 2.5.21 above.
Theorem 2.5.22 (Spectral decomposition for diagonal linear operators). Let

pH, h, iH , }}H q be a Hilbert space and let A : DpAq H H be a diagonal linear
operator. Then it holds that
$ ,
& .
DpAq v P H: ||2 PKernpAqpvq2H 8- (2.112)
%
P p q
P A
and
Av PKernpAq pv q. (2.113)
P p q
P A
Example 2.5.23 (Laplace operator on L2 pp0, 1q; Rq without boundary conditions).

Let A : DpAq L2 pp0, 1q; Rq L2 pp0, 1q; Rq be a linear operator with DpAq
H 2 pp0, 1q; Rq and with the property that for all v P DpAq it holds that Av v 2 . Then
A is not a diagonal linear operator in the sense of Definition 1.4.40 and A is not a
generator of a strongly continuous semigroup.
Indeed, observe that for all v P L2 pp0, 1q; Rq with v pxq v py q for all x, y P p0, 1q
it holds that Av v 2 0 and this shows that 0 P P pAq and that 1 P Kernp0 Aq
KernpAq. Moreover, note that for all n P N, x P p0, 1q it holds that dxd2 sinpnxq
n22 sinpnxq and this proves that for all n P N it holds that n22 P P pAq and
that psinpnxqqxPp0,1q P Kernpn2 2 Aq. Furthemore, note that 0 1 sinpxq dx 0
1
and this implies that

1
it does not hold that for all v P Kernp0 Aq, w P Kernpn2 2
Aq it holds that 0 v pxq wpxq dx 0. Proposition 2.5.21 hence proves that A is not
a diagonal operator in the sense of Definition 1.4.40. Moreover, Proposition 2.4.7
implies that A is not the generator of a strongly continuous semigroup.
Exercise 2.5.24. Let pH, h, iH , }}H q be a Hilbert space and let A : DpAq H H
be a diagonal linear operator. Prove that A is symmetric if and only if P pAq R.
Definition 2.5.25 (Nonnegative fractional powers of a diagonal linear operator).

Let pH, h, iH , }}H q be a Hilbert space, let r P r0, 8q and let A : DpAq H H be
a diagonal linear operator with P pAq r0, 8q. Then we denote by Ar : DpAr q
H H the linear operator with the property that
$ ,
& r .
DpAr q v P H:
PKernpAq v 2p q 8- (2.114)
% H
P p q
P A
and with the property that for all v P DpAr q it holds that

Ar v r PKernpAq pv q. (2.115)
P p q
P A
Definition 2.5.26 (Negative fractional powers of a diagonal linear operator). Let

pH, h, iH , }}H q be a Hilbert space, let r P p8, 0q and let A : DpAq H H be
a diagonal linear operator with P pAq p0, 8q. Then we denote by Ar : DpAr q
H H the linear operator with the property that
$ ,
& r .
DpAr q v P H:
PKernpAq v 2p q 8- (2.116)
% H
P p q
P A
and with the property that for all v P DpAr q it holds that

Ar v r PKernpAq pv q. (2.117)
P p q
P A
The next lemma collects a simple property of fractional powers of a diagonal

linear operator. It follows immediately from Definition 2.5.25 and Definition 2.5.26.
Lemma 2.5.27 (Diagonality of fractional powers of a diagonal linear operators).

Let pH, h, iH , }}H q be a Hilbert space, let r P R and let A : DpAq H H be a
diagonal linear operator. If r 0 and if P pAq r0, 8q, then Ar is a diagonal linear
operator. Moreover, if P pAq p0, 8q, then Ar is a diagonal linear operator.
Lemma 2.5.28. Let K P tR, Cu, let pH, h, iH , }}H q be a K-Hilbert space, let
A : DpAq H H be a diagonal linear operator with P pAq p0, 8q. Then
the triple DpAq, hApq, ApqiH , }Apq}H is a K-inner product space.
The proof of Lemma 2.5.28 is clear and therefore omitted. If the point spectrum of
in addition satisfies inf pP pAqq 0,
the diagonal linear operator A in Lemma 2.5.28
then the triple DpAq, hApq, ApqiH , }Apq}H is even a K-Hilbert space. This is the
subject of the next lemma.
Lemma 2.5.29. Let K P tR, Cu, let pH, h, iH , }}H q be a K-Hilbert space and
let A : DpAq H H be a diagonal linear operator with P pAq p0, 8q and
inf pP pAqq 0. Then the triple DpAq, hApq, ApqiH , }Apq}H is a K-Hilbert space
and it holds for all v P DpAq that
}v}H inf}pAv }H .
pAqq
(2.118)
P
Proof of Lemma 2.5.29. First of all, note that for all v P DpAq it holds that

}Av}2H
PKernpAq v 2
H
pq ||2 PKernpAqpvq2H
P p q
P A P p q
P A

2 (2.119)
2
inf
P p q
| | 2 pq
PKernpAq v
H
inf
P p q
}v }2
H .
P A
P p q
P A
P A
This proves (2.118). Due to Lemma

2.5.28, it remains to prove that the normed
K-vector space DpAq, }Apq}H is complete. For this let pvn qnPN DpAq be a
Cauchy sequence in DpAq, }Apq}H . Inequality (2.118) hence implies that pvn qnPN
is a Cauchy sequence in pH, }}H q too. This and the fact that pH, }}H q is complete
shows that there exists a vector v P H such that limn8 }vn v }H 0. Next note
that for all n P N it holds that

2
lim inf }Apvn vm q}2H lim inf || p vmq H
2 PKernpAq vn
8 m8
P p q
m
P A
2
| | 2
lim inf PKernpAq vn
8
p vmq H
P p q
m
P A (2.120)
2

||
2
PKernpAq vn m8
lim vm
P p q
P A
H
2
||
2 PKernpAq vn p q v H .
P p q
P A
This proves that v P DpAq and that limn8 }Apvn v q}H 0. The proof of
Lemma 2.5.29 is thus completed.
Exercise 2.5.30. Given an example of an R-Hilbert space pH, h, iH , }}H q and a
diagonal linear operator A : DpAq H H such that P pAq p0, 8q and such that
the triple DpAq, hApq, ApqiH , }Apq}H is not an R-Hilbert space.
Theorem and Definition 2.5.31 (Completion). Let pE, dE q be a metric space.

Then there exists a complete metric space pF, dF q such that E F , E F and
F
dF |E E dE . The metric space pF, dF q is called a completion of pE, dE q.
Theorem and Definition 2.5.31 can be proved by considering the set of equiva-
lence classes of Cauchy sequences in E. The detailed proof of Theorem and Defini-
tion 2.5.31 is well known and therefore omitted. We now introduce the concept of a
family of interpolation spaces associated to a diagonal linear operator.
Theorem and Definition 2.5.32 (Interpolation spaces associated to a diagonal

linear operator). Let K P tR, Cu, let pH, h, iH , }}H q be a K-Hilbert space and
let A : DpAq H H be a diagonal linear operator with P pAq p0, 8q and
inf pP pAqq 0. Then there exists an up to isometric isomorphisms unique family
pHr , h, iHr , }}Hr q, r P R, of K-Hilbert spaces with the property that
(i) @ r, s P R, r s : Hr Hs Hr H , s
(ii) @ r P r0, 8q : pDpAr q, hAr pq, Ar pqiH , }Ar pq}H q pHr , h, iH , }}H q and r r
(iii) @ r P p8, 0s, v P H : }v}H }Ar v}H . r

We call the family pHr , h, iHr , }}Hr q, r P R, a family of interpolation spaces asso-
ciated to A.
Proof of Theorem and Definition 2.5.32. We define a family pHr , h, iHr , }}Hr q, r P
r0, 8q, of K-Hilbert spaces through
pHr , h, iH , }}H q : pDpAr q, hAr pq, Ar pqiH , }Ar pq}H q
r r
(2.121)
for all r P r0, 8q. Lemma 2.5.29 ensures that pHr , h, iH , }}H q, r P r0, 8q, are
indeed K-Hilbert spaces. Next we define H8 : XrPp0,8q Hr and we observe that
r r
H8 is a K-vector space. Furthermore, we define Hilbert spaces pHr , h, iH , }}H q,
r P p8, 0q, through
r r
Hr :
# +
H Z pH, q P tH u LinpH8 , Kq :
| pv q|
8 sup }v} | pv q|
v PH8 zt0u }v }H
sup
v PH8 zt0u
r H
(2.122)
for all r P p8, 0q, through
}v}H : sup |hv, uiH |
v H w : v w, H v : H v (2.123)
uPH8 zt0u }u}H
r
, r r
r
for all P K, v, w P H, r P p8, 0q, through
}pH, q}H : sup }|u}puq| , H pH, q : pH, q (2.124)

uPH8 zt0u
r r
H r
for all P K, P LinpH8 , Kq with supvPH8 zt0u }|v}pvq| 8 and all r P p8, 0q and
H r
through
pH, #q Hr pH, q
: rD w P H : @ u P H8 : puq puqs (2.125)
:
w hw, uiH
pH, q : else
and

pH, q Hr v : v Hr pH, q : H, H8 Q u hv, uiH puq P K (2.126)
for all v P H, , P LinpH8, Kq with supvPH8zt0u |p}vvq|} |pvq|

H r
8 and all r P p8, 0q.
The proof of Theorem and Definition 2.5.32 is thus completed.
2.5.5 Smoothing effect of the semigroup

Proposition 2.5.33. Let K P tR, Cu, let pH, h, iH , }}H q be a Hilbert space, let
A : DpAq H H be a symmetric linear operator with inf pP pAqq 0, let B H
be an orthonomal basis, let : B K be a function such that
# +

DpAq v P H: |b hb, viH | 8
2
(2.127)
b PB

Av b hb, viH b (2.128)
b PB
and let pHr , h, iHr , }}Hr q, r
P R, be a family of interpolation spaces associated to
Then B XrPR Hr , it holds for all r P R that spanpB q Hr , it holds for all
H r
A.
r P R that ! )
Ar pBq pbb qr
P H: b P B (2.129)
is an orthonormal basis of Hr and it holds for all t P r0, 8q, v P YrPR Hr that

eAt v eb t hb, viH b. (2.130)
PB
b
Proof of Proposition 2.5.33. Observe that Proposition 2.5.33 follows immediately

from Definition 2.5.25, Definition 2.5.26 and Theorem and Definition 2.5.32.
Theorem 2.5.34 (Smoothing effect of semigroups generated by diagonal opera-

tors). Let pH, h, iH , }}H q be a Hilbert space and let A : DpAq H H be a
symmetric diagonal linear operator with the property that suppP pAqq 0 and let
pHr , h, iHr , }}Hr q, r P R, be a family of interpolation spaces associated to A. Then
it holds for all t P p0, 8q, r P R that
eAt pHr q XsPR Hs (2.131)
and it holds that for all r P r0, 8q that

r r
sup ptAqr eAt LpH q 8. (2.132)
Pr 8q
t 0, e
Proof of Theorem 2.5.34. The assumption that A is a diagonal linear operator en-
sures that there exists an orthonormal basis B H of H and a function : B K
such that # +

DpAq v P H: |b hb, vi|2 8 (2.133)
b PB

Av b hb, viH b. (2.134)
b PB
Proposition 2.5.33 then implies that for all r P r0, 8q it holds that
r r
r
ptAq r At
e LH p q sup ptbq e
r b t
sup xex 8. (2.135)
b PB xPp0,8q e

Chapter 3
Gronwall-type inequalities
This chapter is based on Section 7.1 in Henry [3].
3.1 Beta and Gamma function

For completeness we first recall the definition of the Beta function and the Gamma
function.
Definition 3.1.1 (Beta function and Gamma function). Let B : p0, 8q2 p0, 8q
and : p0, 8q p0, 8q be functions defined through
1
B px, y q : tpx1q p1 tqpy1q dt (3.1)
0
for all x, y P p0, 8q and through

8
pxq : tpx1q et dt (3.2)
0
for all x P p0, 8q.

Lemma 3.1.2 (Basic properties of the Gamma function and the Beta function). It
holds for all x, y P p0, 8q, n P N0 that
8
pxq py q tpx1q
B px, y q B py, xq
px y q
dt, (3.3)
0 p1 tqpx yq
pn 1q n! and px 1q x pxq . (3.4)
71
72 CHAPTER 3. GRONWALL-TYPE INEQUALITIES
Lemma 3.1.3 (Montonicity property of the Gamma function). It holds that
lim 1 pxq 8 (3.5)

x 8
and, in particular, there exists a real number C P p0, 8q such that for all x, y P rC, 8q
with x y it holds that pxq py q.
Proof of Lemma 3.1.3. Observe that for all x P p0, 8q it holds that
8
1 pxq lnptq tpx1q et dt
0
1 e 8
lnptq tpx1q et dt lnptq tpx1q et dt lnptq tpx1q et dt
0 1
8 e
(3.6)
t
tPpinf0,1q lnptq tpx1q e lnptq tpx1q et dt
8 e

tPpinf0,1q lnptq tpx1q tpx1q et dt.
e
This proves that

8
lim 1 pxq inf rlnptq ts lim tpx1q et dt 8. (3.7)
x8 tPp0,1q x 8 e
Lemma 3.1.4 (Monotonicity of the Beta function). It holds for all x, y, x, y P p0, 8q
with x x and y y that
B px, y q B px, y q. (3.8)
Proof of Lemma 3.1.4. Observe that for all P p0, 1q, x, x P p0, 8q with x x it
holds that
x x . (3.9)
Combining this with Definition 3.1.1 completes the proof of Lemma 3.1.4.
Lemma 3.1.5 (A scaling property of the Beta function). It holds for all , P p0, 8q,
r, t P r0, 8q with r t that
t
pt sqp1q ps rqp1q ds pt rqp q B p, q.
1
(3.10)
r
3.2. INTEGRAL OPERATORS RELATED TO THE BETA FUNCTION 73
Proof of Lemma 3.1.5. Note that for all , P p0, 8q, r, t P r0, 8q with r t it holds
that
t ptrq
pt sqp1q ps rqp1q ds pt r sqp1q sp1q ds
r 0
1 (3.11)
pt rqp 1q p1 sqp1q sp1q ds pt rqp 1q B p, q.
0
Exercise 3.1.6. Prove that for all c P r0, 8q, P p0, 8q it holds that
8
cn
pnq
8. (3.12)
n1
Exercise 3.1.7. Prove that for all c P r0, 8q, P p0, 8q it holds that
8

8.
n
n
c B k, (3.13)
n 1
k 1
Exercise 3.1.8. Prove that for all c P r0, 8q, , , P p0, 8q it holds that
8
n1
c n
B k, 8. (3.14)

n 1 k 0
3.2 Integral operators related to the Beta function

The next estimate is an immediate consequence of Lemma 3.1.5.
Lemma 3.2.1. Let , , P R, T P r, 8q, u P MpB pr, T sq, B pr0, 8sqq, P p0, 8q
satisfy 1. Then it holds for all t P r, T s that
t
pt sqp1q ps qp1q upsq ds

upsq
(3.15)

pt qp 2 q B , 1 sup .
Pp q ps qp1q
s ,t
We need a further estimate for the integral operator appearing on the right hand
side of (3.15). This is the subject of the next estimate lemma.
Lemma 3.2.2 (Iterations of an integral operator). Let , , P R, T P r, 8q,

b P r0, 8q, P p0, 8q, B : MpB pr, T sq, B pr0, 8sqq MpB pr, T sq, B pr0, 8sqq satisfy
mint, u 1 and
t

Bpuq ptq b pt sqp1q ps qp1q upsq ds (3.16)

for all t P r, T s, u P MpB pr, T sq, B pr0, 8sqq. Then it holds for all n P N, t P r, T s,
u P MpB pr, T sq, B pr0, 8sqq that

Bn puq ptq

1
n

bn pt qp1 p
n 1 qq B , 1 k p 1q sup psu pqspq 1q

k 0 sPp,tq
(3.17)
and that

Bn puq ptq bn tpn1qr 1s pt sqp pn1qpr1 s q1q ps qp 1q upsq ds
t

1
n
(3.18)
B , k p r1 s q .

k 1
Proof of Lemma 3.2.2. Estimate (3.17) is an immediate consequence of Lemma 3.2.1.

It thus remains to prove estimate (3.18). For this we assume in the following w.l.o.g.
that 0. Then note that Lemma 3.1.5 implies that for all u P MpB pr0, T sq, B pr0, 8sq,
t P r0, T s, b P r0, 8q, , P p0, 8q with 1 it holds that
t s
b pt sq sp1q b

ps rqp1q rp1q uprq dr ds
0 0
ts
b b pt sqp1q sp1q ps rqp1q rp1q uprq dr ds
0 0
t t
b b rp 1q uprq pt sqp1q sp1q ps rqp1q ds dr (3.19)
0 r
t t
b b tr1s rp 1q uprq pt sqp1q ps rqp1 t uq ds dr
min 1,0
0 r
t

B , r1 s b b tr 1s pt rqp r1 s 1q rp 1q uprq dr.
0
3.3. GENERALIZED EXPONENTIAL-TYPE FUNCTIONS 75
Iterating (3.19) shows that for all u P MpB pr0, T sq, B pr0, 8sq, t P r0, T s, n P t2, 3, . . . u
it holds that

Bn puq ptq bn tpn1qr 1s pt sqp pn1qpr1 s q1q sp 1q upsq ds
t
0

1
n

(3.20)
B , k p r1 s q .

k 1
3.3 Generalized exponential-type functions

Definition 3.3.1 (Generalized exponential-type functions). Let Er : r0, 8q r0, 8q,
Er : r0, 8q r0, 8q and Er : r0, 8q r0, 8q for r P p0, 8q be functions defined
through
8 xnr p 8
xprqqn

Er rxs : Er rxs : Er pxprqq pnr 1q
1
pnr 1q
, r (3.21)
n0 n0

b 8 px2 prqqn 1{2
Er r x s : Er rx2 s
pnr 1q
and (3.22)
n 0
for all x P r0, 8q and all r P p0, 8q.
3.4 Generalized Gronwall-type inequalities

Lemma 3.4.1 (Main idea in the proof of the generalized Gronwall inequality).
Let P R, T P r, 8q, b P MpB pr, T s2 q, B pr0, 8sqq, a, e P MpB pr, T sq, B pr0, 8sqq,
B : MpBpr0, T sq, Bpr0, 8sqq MpBpr0, T sq, Bpr0, 8sqq satisfy

Bpuq ptq bpt, sq upsq ds
t
(3.23)

for all t P r, T s, u P MpB pr, T sq, B pr0, 8sqq and assume that e a Bpeq. Then it
holds for all n P N that

n1
e Bk paq Bn peq. (3.24)

k 0
Proof of Lemma 3.4.1. Estimate (3.24) follows immediately from an iterated appli-
cation of the assumption e a B peq and from the fact that B is monotone in the
sense that for all u, u P MpB pr, T sq, B pr0, 8sqq with u u it holds that B puq B puq.
Next we present the generalized Gronwall inequalities. They are modified versions
of the estimates in Section 7.1 in Henry [3].
Theorem 3.4.2. Let P R, b P r0, 8q, T P r, 8q, , P p0, 8q, a, e P MpB pr, T sq, B pr0, 8sqq,

B : MpBpr, T sq, Bpr0, 8sqq MpBpr, T sq, Bpr0, 8sqq satisfy 1, T ps qp 1q epsq ds
8 and
pBuqptq b pt sqp1q sp1q upsq ds
t
(3.25)
0
for all t P r, T s, u P MpB pr, T sq, B pr0, 8sqq and assume that for all t P r, T s it
holds that
eptq aptq b pt sqp 1q ps qp 1q epsq ds.
t
(3.26)

Then it holds for all t P r, T s that

8
eptq Bn paq ptq
n 0
8
aptq bn tpn1qr 1s pt sqp pn1qp r1 s q1q ps qp 1q apsq ds
t
(3.27)

n 1

n1
B , k p r1 s q

k 1
and it holds for all t P p, T s, P p0, 8q with 1 that

8
eptq Bn paq ptq aptq (3.28)

n 0

8
n1
p1 np 1qq
sup p pq qa s
s p 1 q
b pt q
n
B , 1 k p 1q .
sPp,tq k 0
looooooooooooooooooooooooooooooooooooooooooomooooooooooooooooooooooooooooooooooooooooooon
n 1
8
Proof of Theorem 3.4.2. W.l.o.g. we assume that 0. Lemma 3.4.1 implies that
for all n P N0 it holds that

n
ea Bpaq B2 paq ... Bn paq Bpn 1q peq B k p aq Bpn 1q peq. (3.29)

k 0
3.4. GENERALIZED GRONWALL-TYPE INEQUALITIES 77
Next we note that inequality (3.18) in Lemma 3.2.2 together with the assumption
that 0 sp 1q epsq ds 8 for all t P r0, T s and the fact that for all c P r0, 8q, r P p0, 8q
t
it holds that
cn
n8 ppn 1qr q
lim 0 (3.30)
(see Exercise 3.1.6) implies that for all t P p0, T s it holds that

lim Bn peq ptq
n8

1
n

nlim bn t 1 pn1qp 1q sp 1q epsq ds B , k p r1 s q
t
8 0

k 1

0t sp 1q epsq ds n
1
n

lim tp 1q b B , k p r1 s q
t 8
n

k 1

0t sp 1q epsq ds 1
n n
maxp1, p qq tp 1q b p p r s qq
k 1
t
lim
8 p p r s qq
k 1
n

k 1
sp 1q epsq ds
(3.31)
0t

t n
|1 p q p r1 s q|2 tp 1q b ppk 1qp r1 s qq
n2
nlim
8 pn 1qp r1 s q
p kp r1 s qq
k 1

0t sp 1q epsq ds 8 ppk 1qp r1 s qq
p kp r1 s qq
t k 1
n
nlim |1 p q p r1 s q|2 tp 1q b
0.
8 pn 1qp r1 s q
This and (3.29) prove the first inequalities in (3.27) and (3.28). Estimate (3.18) in
Lemma 3.2.2 proves the second inequality in (3.27). Furthermore, estimate (3.17)
in Lemma 3.2.2 proves the second inequality in (3.28). Finally, observe that Exer-
cise 3.1.8 implies that for all t P p, T s it holds that
8
q n 1
b pt q p
n
B , 1 k p 1q
n 1
n1 k 0
8 n n 1
(3.32)
b pt qp 1q
B , 1 k p 1q 8.
n1 k 0

3.4.1 Gronwall-type inequalities with a singularity at the ini-

tial time
The next result, Corollary 3.4.3, specialises estimate (3.27) in Theorem 3.4.2 to the
case where 1; see Lemma 7.1.1 in Henry [3].
Corollary 3.4.3. Let P R, b P r0, 8q, T P r, 8q, a, e P MpB pr, T sq, B pr0, 8sqq,
T
P p0, 8q satisfy epsq ds 8 and assume that for all t P r, T s it holds that
eptq aptq b pt sqp 1q epsq ds.

t
(3.33)


t

eptq aptq rp q bs { 1
E1 pt sq rp q bs { apsq ds.
1
(3.34)

Proof of Corollary 3.4.3. Inequality (3.27) in Theorem 3.4.2 with 0 shows that
for all t P r, T s it holds that
t 8 rp q bsn pt sqpn 1q
eptq aptq apsq ds

n 1
pn q
t 8 pt sq rp q bs1{ pn 1q (3.35)
aptq rp q bs { 1
pn q
apsq ds.

n 1
Next note that Lemma 3.1.2 shows that for all x P p0, 8q it holds that
8 nxpn 1q 8 xpn 1q
E1 pxq
pn 1q pn q
. (3.36)
n1 n1
Combining this with (3.35) completes the proof of Corollary 3.4.3.

The next result, Corollary 3.4.4, specialises estimate (3.28) in Theorem 3.4.2 to
the case where the function a in Theorem 3.4.2 satisfies aptq c tp1q for all t P p, T s
and some c P r0, 8q; see Exercise 3 in Henry [3]. Corollary 3.4.4 follows immediately
from (3.28) in Theorem 3.4.2.
Corollary 3.4.4. Let P R, a, b P r0, 8q, T P r, 8q, , , P p0, 8q, a, e P

MpBpr, T sq, Bpr0, 8sqq satisfy mint, u 1 and T ps qp 1q epsq ds 8
and assume that for all t P p, T s it holds that
eptq a pt qp1q b pt sqp 1q ps qp 1q epsq ds.

t
(3.37)

3.4. GENERALIZED GRONWALL-TYPE INEQUALITIES 79
Then it holds for all t P p, T s that

8
q n 1
eptq a pt qp1q b pt q p
n n 1
B , 1 k p 1q .

n 0 k 0
(3.38)
The next result, Corollary 3.4.5, specialises Corollary 3.4.4 to the case 1; cf.
Exercise 4 in Henry [3]. Corollary 3.4.5 follows immediately from Corollary 3.4.4.
Corollary 3.4.5. Let P R, a, b P r0, 8q, T P r, 8q, , P p0, 8q, a, e P

MpBpr, T sq, Bpr0, 8sqq satisfy T epsq ds 8 and assume that for all t P p, T s
it holds that
eptq a pt qp1q b pt sqp 1q epsq ds.
t
(3.39)

Then it holds for all t P p, T s that

8

n1
eptq a pt qp1q b n
pt q n
B , k . (3.40)

n 0
k 0
3.4.2 Gronwall-type inequalities without a singularity at the

initial time
In the remainder of these lecture notes we will often use the following Gronwall-type
estimate; see Lemma 7.1.1 in Henry [3].
Corollary 3.4.6. Let P R, P p0, 8q, a, b P r0, 8q, e P MpB pr, T sq, B pr0, 8sqq
T
satisfy epsq ds 8 and assume that for all t P r, T s it holds that
eptq a b pt sqp 1q epsq ds 8.

t
(3.41)
0

eptq a E t pb p qq { a E
1
t b . (3.42)
Proof of Corollary 3.4.6. Corollary 3.4.3 implies that for all t P r, T s it holds that
t

eptq a rp q bs {
1
E1 pt sq rp q bs { a ds.
1
(3.43)

The fundamental theorem of calculus hence shows that for all t P r, T s it holds that
t

eptq a 1 lim
0
rp q bs {
1
E1 s rp q bs { ds
1

a 1 lim E t rp q bs { E rp q bs {
1 1 (3.44)
0

a 1 E t rp q bs { E 0 a E t rp q bs1{ .
1


Chapter 4
Random variables and stochastic

processes with values in infinite
dimensional spaces
In the most of this chapter we follow the presentations in Da Prato & Zabczyk [2],
Werner [12] and Prevot & Rockner [9].
4.1 Measures on normed vector spaces

We first recall the Hahn-Banach theorem (see, e.g., Theorem III.1.5 in Werner [12]).
Theorem 4.1.1 (Hahn-Banach theorem; Extension of continuous linear functionals).
Let K P tR, Cu, let pV, }}V q be a normed K-vector space, let U V be a K-subspace
of V and let P U 1 . Then there exists a P V 1 with the property that
|U and }}V 1 }}U 1 . (4.1)
The next corollary is an immediate consequence of the Hahn-Banach theorem.
Corollary 4.1.2. Let K P tR, Cu, let pV, }}V q be a normed K-vector space with
V t0u and let v P V . Then there exists a P V 1 with the property that
pv q }v }V and }}V 1 1. (4.2)
Proof of Corollary 4.1.2. We show Corollary 4.1.2 in two steps. In the first step we
assume that v 0. We define the K-subspace U : tv P V : P Ku spantv u of
V and we define the mapping : U K through
pv q }v }V (4.3)
81
82CHAPTER 4. RANDOM VARIABLES AND STOCHASTIC PROCESSES WITH VALUES IN I
for all P K. Theorem 4.1.1 implies the existence of a P V 1 with the property that
|U and }}V 1 }}U 1 1. (4.4)
This proves (4.2) in the case v 0. In the second step we now assume that v 0.
The assumption that V t0u then shows that there exists u P V with u 0. The
first step shows that there exists P V 1 with the property that
puq }u}V and }}V 1 1. (4.5)
In addition, observe that pv q }v }V . The proof of Corollary 4.1.2 is thus completed.
The next result, Corollary 4.1.3, is an immediate consequence of Corollary 4.1.2

above.
Corollary 4.1.3 (Norm via the dual space). Let K P tR, Cu, let pV, }}V q be a
normed K-vector space and let v P V . Then
pv q |pvq| .
}v}V
PV 1 zt0u }}V 1 PV 1 zt0u }}V 1
sup sup (4.6)
If the normed vector space in Corollary 4.1.3 is separable, then the following
result, Corollary 4.1.4, can be obtained. Corollary 4.1.4 is also an immediate conse-
quence of Corollary 4.1.2 above.
Corollary 4.1.4 (Norm via the dual space of a separable normed vector space). Let
K P tR, Cu and let pV, }}V q be a separable normed K-vector space. Then there exists
a sequence pn qnPN V 1 with the property that for all v P V it holds that
}v}V sup npvq sup |npvq| . (4.7)

n PN PN
n
Proof of Corollary 4.1.4. The assumption that pV, }}V q is separable implies that
there exists a sequence vn P V , n P N, with the property that the set tvn : n P Nu is
dense in V . Corollary 4.1.2 hence shows that there exists a sequence n P V 1 , n P N,
with the property that for all n P N it holds that
n pvn q }vn }V and }n}V 1 1. (4.8)
This implies that for all k P N it holds that

}vk }V sup npvk q. (4.9)
n PN
4.1. MEASURES ON NORMED VECTOR SPACES 83
Let now v PV and P p0, 8q be arbitrary. Clearly, it holds that

sup n pv q sup r}n }V 1 }v }V s }v }V . (4.10)
nPN n PN
}v}V sup n pv q. (4.11)
n PN
To see this observe that the fact that tvk P V : k P Nu is dense in V ensures that
there exists a k P N such that }v vk }V 2 . This implies that
}v}V }vk }V }v vk }V k pvk q }v vk }V

k pvq }v vk }V k pvk vq
k pvq }v vk }V }k }V 1 }v vk }V (4.12)
k pvq 2 }v vk }V sup npvq 2 }v vk }V sup npvq .
n PN nPN
Proposition 4.1.5 (Linear characterization of the Borel sigma-algebra). Let pV, }}V q
be a separable normed K-vector space. Then there exists a sequence n P V 1 , n P N,
such that
B pV q V ppqPV 1 q V p : P V 1 q V pn : n P Nq . (4.13)
Proof of Proposition 4.1.5. Let fv : V r0, 8q, v P V , be functions given by

fv pxq }x v }V (4.14)
for all x, v P V . Clearly, it holds that
B pV q V pfv : v P V q . (4.15)
Next observe that Corollary 4.1.4 implies that there exists a sequence n P V 1 , n P N,
such that for all v P V it holds that
}v}V sup npvq. (4.16)
n PN
This implies that

V pn : n P Nq V n ppq v q : n P N, v P V V pfv : v P V q . (4.17)
Definition 4.1.6 (Image measure/Push forward measure). Let p, A, q be a mea-

sure space, let p, Aq be a measurable space and let f : be a A/A-measurable
mapping. Then the measure f pq : A r0, 8s on p, Aq defined through

f pq pAq : f 1 pAq (4.18)
for all A P A is called the image measure of f .

Definition 4.1.7 (Finiteness of measures). Let p, F, q be a measure space. Then
is called finite if pq 8.
Definition 4.1.8 (Sigma-finiteness of measures). Let p, F, q be a measure space.
Then is called sigma-finite if there exists a sequence An P F, n P N, with the
property that for all n P N it holds that pAn q 8 and with the property that
YnPNAn .
Definition 4.1.9 (X-Stability). Let be a set. Then a set E P pq is called
X-stable if for all a, b P E it holds that a X b P E.
Theorem 4.1.10 (Uniqueness theorem for measures). Let be a set, let E P pq
be a X-stabil subset of P pq, let k : pE q r0, 8s, k P t1, 2u, be measures with
the property that 1 |E 2 |E and with the propery that there exists a non-decreasing
sequence n P tA P E : 1 pAq 8u, n P N, such that YnPN n . Then 1 2 .
4.1.1 Fourier transform of a measure

Theorem 4.1.10 is, for example, established as Lemma 1.42 in Klenke [6].
Proposition 4.1.11 (Characteristic function). Let d P N and let k : B pRd q
r0, 8s, k P t1, 2u, be finite measures with the property that for all P Rd it holds that

e ih,xiRd
1 pdxq eih,xiRd 2 pdxq. (4.19)
R d R d
Then 1 2 .
Proposition 4.1.11 is, for example, proved as Theorem 15.8 in Klenke [7].
Definition 4.1.12 (Characteristic functional). Let pV, }}V q be a normed R-vector
space. Then we define the mapping
(
FV : P MpBpV q, r0, 8sq : is a finite measure on pV, BpV qq MpV 1, Cq
(4.20)
through

pFV qpq : FV pq pq : eipxq pdxq (4.21)
V
for all P DpFV q, P V 1 . If P DpFV q, then FV pq is called the characteristic

functional of .
Lemma 4.1.13 (Elementary properties of the characteristic functionals). Let pV, }}V q
be a normed R-vector space. Then
for all P DpFV q it holds that pFV qp0q pV q,
for all 1 , 2 P DpFV q, a P r0, 8q it holds that FV pa1 2 q a FV p1q

FV p2 q and
impFV q C pV 1 , Cq.
Proof of Lemma 4.1.13. First of all, observe that for all P DpFV q it holds that

pFV qp0q e pdxq
i0
1 pdxq pV q. (4.22)
V V
Next note that for all 1 , 2 P DpFV q, a P r0, 8q, P V 1 it holds that

FV pa1 2 q pq eipxq ra 1 pdxq 2 pdxqs
V
a eipxq1pdxq eipxq 2 pdxq
(4.23)
V V
a FV p1q FV p2q.
Finally, observe that Lebesgues theorem of dominated convergence proves that for
all P DpFV q and all n P V 1 , n P N0 , with limn8 }n 0 }V 1 0 it holds that

i pxq
lim
n8
|pFV qpnq pFV qp0q| nlim
8
e n ei pxq pdxq
0
V
(4.24)

lim ein pxq e p q pdxq 0.
i0 x
V n 8
Lemma 4.1.14 (Characteristic functional determines measure uniquely). Let pV, }}V q
be a separable normed R-vector space. Then FV is injective.
Proof of Lemma 4.1.14. Let 1 , 2 P DpFV q satisfy FV p1 q FV p2q. Then note

that for all n P N, p1 , . . . , n q P LpV, Rn q, P Rn

eih,xiRn
p1 q pdxq eih,pvqiRn p1 qpdxq FV 1 x, pqyRn
Rn R
n

pq
FV 2 x, pqyR n eih, v iRn
p2qpdxq eih,xiRn p2 q pdxq.
Rn Rn
(4.25)
Proposition 4.1.11 hence implies that for all n P N, P LpV, Rn q it holds that
p1 q p2 q. (4.26)
In the next step we define the set E P pV q through
(
E : 1 pB q P P pV q : P LpV, Rn q, B P B pRn q . (4.27)
nPN
Note that E BpV q and observe that (4.26) shows that
1 | E 2 | E . (4.28)
This, the fact that E is X-stabil, the fact V P E and Theorem 4.1.10 imply that
1 | pE q 2 | pE q .
V V
(4.29)
Moreover, observe that Proposition 4.1.5 proves that
V pE q B pV q. (4.30)
Combining this with (4.29) completes the proof of Lemma 4.1.14.
The following presentations are based on Van Neerven [11].
Lemma 4.1.15. Let pE, E q be a topological space and let A E be separable. Then
A is separable too.
Lemma 4.1.16. Let pE, E q be a topological space and let A E and B E be
separable. Then A Y B is separable too.
Lemma 4.1.17. Let pV, }}V q be a normed vector space and let A V be separable.
Then spanpAq is separable too.
Definition 4.1.18 (Almost surely separable valued). Let pE, E q be a topological
space and let : B pE q r0, 8s be a measure. Then is called a.s. separably valued
(almost surely separably valued) if there exists a separable and closed subset A E
of E with the property that that pAc q 0.
Theorem 4.1.19 (Characteristic functional determines measure uniquely). Let pV, }}V q
be a normed R-vector space. Then FV |tPDpFV q : is a.s. separably valuedu is injective.
4.1.2 Covariance of a measure and Pettis integral

Definition 4.1.20. Let pV, }}V q be a normed R-vector space and let : B pV q
r0, 8s be a probability measure with V }v}2V pdvq 8. Then we define the covari-
ance Covpq : V 1 V 1 R through

pCov qp, q : Cov pq p, q

: pv q puq pduq pv q puq pduq pdv q
V V (4.31)
V
pv q pv q pdv q pv q pdv q pv q pdv q
V V V
for all , P V 1.
Definition 4.1.21 (Covariance of a random variable). Let p, F, Pq be a probability
space, let pV, }}V q be a normed R-vector space and let X : V be an F/B pV q-
measurable mapping. Then we define CovpX q : CovpX pPqq.
Lemma 4.1.22 (Properties of the covariance). Let pV, }}V q be a normed R-vector
space and let : B pV q r0, 8s be a probability measure with V }v }2V pdv q 8.
Then Covpq : V 1 V 1 R is
nonnegative (for all P V 1 it holds that pCov qp, q 0)
symmetric (for all , P V 1 it holds that pCov qp, q pCov qp, q)

bilinear (for all , , P V 1, a P R it holds that pCov qpa , q apCov qp, q
pCov qp, q) and
continuous and it holds that

}Covpq}Lp qpV 1,Rq |pCov qp, q| }v}2 pdvq 8.
2 sup
, V 1 0
P zt u }}V 1 }}V 1 V
V (4.32)
Proof of Lemma 4.1.22. The nonnegativity, the symmetry and the bilinearity of Covpq
follow immediately from Definition 4.1.20. In the next step we observe that Holders
inequality implies that for all , P V 1 it holds that

|p Cov , qp q| v p q
u du v
p q p q p q pq p q p q
u du dv
V V V
2 1{2 2 1{2

v
p q
u du dv pq p q p q v
p q pq p q p q
u du dv
V V V V
1{2 1{2
|pvq| pdvq
2
|pvq| pdvq
2
}}V 1 }}V 1 }v}2V pdvq 8.
V V V
(4.33)
This proves (4.32). The continuity of Covpq follows from (4.32) and the proof of
Lemma 4.1.22 is thus completed.
4.1.3 Gaussian measures

Definition 4.1.23 (Gaussian measures on R). A measure : B pRq r0, 8s is called
a Gaussian measure on pR, ||q if there exist a, b P R such that for all B P B pRq it
holds that
p B q ? exp 2 dy.
1 y2
(4.34)
txPR : ax bPBu 2
Definition 4.1.24. Let pV, }}V q pR, ||q be a normed R-vector space. A probability
measure : B pV q r0, 8s is called a Gaussian measure on pV, }}V q if for all P V 1
it holds that pq is a Gaussian measure on pR, ||q.
Definition 4.1.25 (Gaussian measures). Let pV, }}V q be a normed R-vector space.
A probability measure : B pV q r0, 8s is called a Gaussian measure if is a
Gaussian measure on pV, }}V q.
Example 4.1.26. Let T P p0, 8q, m P N, let p, F, Pq be a probability space, let

W : r0, T s Rm be a standard Brownian motion with continous sample paths and
let W : C pr0, T s, R q be given by W p q ptq Wt p q for all P , t P r0, T s.
m

Then W pPq is a Gaussian measure on C pr0, T s, Rm q, }}C pr0,T s,Rm q .
To see this let P C pr0, T s, Rm q1 and let PN : C pr0, T s, Rm q C pr0, T s, Rm q,
N P N, pN : C pr0, T s, Rm q pRm qN 1 , N P N, and N : pRm qN 1 C pr0, T s, Rm q,
N P N, be mappings given by
tN
PN pv q ptq n 1 tN
T
v p nT
N
q T
n vp pn N1qT q, (4.35)
tN
N pa0 , a1 , . . . , aN q ptq n 1 tN
T
n an 1
an T
(4.36)
for all t P r nT , pn N1qT s, n P t0, 1, . . . , N 1u, v P C pr0, T s, Rm q, pa0 , a1 , . . . , aN q P
pRmqN 1, N P N and given by
N

pN pv q v p0q, v p NT
q, vp 2TN q, . . . , vpT q (4.37)
for all N P N, v P C pr0, T s, Rm q. Observe that for all N P N it holds that PN , pN ,
N are continuous and that
PN N pN . (4.38)
Next let N : pRm qN 1 R, N P N, be mappings given by N N for all
N P N. Moreover, note that for all N P N it holds that

PN W pPq PN W pPq
N pN W pPq (4.39)
is a Gaussian measure. This shows that for all y P R, N P N it holds that

E exp i y N ppN pW qq

y2
exp i y E N ppN pW qq 2
Var N ppN pW qq (4.40)

2 2
exp y2 E pPN p qq W .
Observe that for all N P N, P it holds that

lim N pN pW p qq pW p qq. (4.41)
N 8
This, Lebesgues theorem of dominated convergence and (4.40) imply that for all
y P R it holds that

E exp i y pW q Nlim E exp i y N ppN pW qq
8
y2 2
Nlim
8
exp E pPN pW qq
2

2 2 (4.42)
exp 2 Nlim
y
8
E pPN pW qq

y2 2
exp 2 E pW q .

This proves that W pP q is a Gaussian measure and this shows that W pPq is indeed
a Gaussian measure.
Lemma 4.1.27. Let pH, h, iH , }}H q be an R-Hilbert space and let : B pH q
r0, 8s be a measure. Then is Gaussian if and only if for all v P H it holds that
hv, iH is a Gaussian measure.
Proposition 4.1.28 (Fourier transform of a Gaussian measure). Let pV, }}V q be a

separable normed R-vector space and let : B pV q r0, 8s be a probability measure.
Then is Gaussian if and only if for all P V 1 it holds that V }v }2V pdv q 8 and

pFV qpq exp i pv q pdv q 1

2
pCov qp, q . (4.43)
V
Proof of Proposition 4.1.28. Note that Proposition 4.1.28 follows immediately from
Lemma 4.1.14, Definition 4.1.25 and Definition 4.1.20. The proof of Proposition 4.1.28
is thus completed.
Corollary 4.1.29 (Covariance of Gaussian measures). Let pV, }}V q be a separable

normed R-vector space and let k : B pV q r0, 8s, k P t1, 2u, be Gaussian measures
with
Covp1 q Covp2 q and with the property that for all P V 1 it holds that
V
pv q 1 pdv q V pv q 2 pdv q. Then 1 2 .
Corollary 4.1.29 follows immediately from Proposition 4.1.28 and Lemma 4.1.14.
4.2 Probability measures on Hilbert spaces

4.2.1 Nuclear operators on Hilbert spaces
Below we study Hilbert space valued random variables. The covariance operator
associated to such a random variable is a nuclear operator. To study such covariance
operators, we need a few more properties of nuclear operators.
Definition 4.2.1. Let K P tR, Cu and let V be a normed K-vector space. A mapping
h, i : V V K is called a scalar product/inner product on V if the following three
properties are fulfilled:
(i) for all x P V zt0u it holds that hx, xi P p0, 8q,
(ii) for all x, y PV it holds that hx, yi hy, xi and
(iii) for all P K, x, y, z PV it holds that hx, y zi hx, yi hx, zi.

4.2. PROBABILITY MEASURES ON HILBERT SPACES 91
Lemma 4.2.2 (Completeness of the space of nuclear operators). Let K P tR, Cu and
let pV, }}V q and pW, }}W q be K-Banach spaces. Then the pair pL1 pV, W q, }}L1 pV,W q q
is a K-Banach space.
Lemma 4.2.2 is, for example, proved as Theorem VI.5.3 (c) in Werner [12]. See,
e.g., Lemma VI.5.6 in Werner [12] for the next lemma.
Lemma 4.2.3 (Operators with finite trace). Let K P tR, Cu, let pH, h, iH , }}H q
be a K-Hilbert space, let A P L1 pH
q, let B H be an orthonomal bases of H, let
pvnqnPN H, pwnqnPN H satisfy 8n1 }vn}H }wn}H 8 and
8
Ax pwn b vnqpxq (4.44)

n 1
for all x P H. Then

8
|hb, AbiH | 8 and hvn , wn iH hb, AbiH . (4.45)
b PB
n 1 b PB
Proof of Lemma 4.2.3. Observe that the Holder inequality proves that
* +
8 8
|hb, AbiH | b,

wn p b vnqpbq

|hb, pwn b vnqpbqiH |
bPB b PB n 1 b PB n1
8
H
8
|hb, wniH hvn, biH | |hb, wniH | |hb, vniH | (4.46)
b PB n1 n 1 b PB
8 1{2

1{2
8
|hb, wniH | 2
|hb, vniH | 2
}vn}H }wn}H 8.
n 1 b PB PB
b n 1
Moreover, note that
8 8 8
hvn , wn iH hb, vn iH hb, wn iH hb, wn iH hvn , biH
n 1 n 1b PB n 1b PB
8 8 (4.47)

* +
hb, pwn b vn qpbqiH b, pwn b vnqpbq hb, AbiH .
n 1b PB bPB
n 1 H PB
b

Lemma 4.2.3 allows us to introduce the concept of the trace of a nuclear operator
on a Hilbert space.
Definition 4.2.4 (Trace of a nuclear operator). Let K P tR, Cu, let pH, h, iH , }}H q
be a K-Hilbert space and let A P L1 pH q. Then we define traceH pAq P K through

traceH pAq : hb, AbiH PK (4.48)
bPB
for all orthonormal basis B H.
Lemma 4.2.5. Let K P tR, Cu, let pH, h, iH , }}H q and pU, h, iU , }}U q be K-
Hilbert spaces and let A P LpH, U q. Then A A P LpH q is nonnegative and symmetric.
Proof of Lemma 4.2.5. Note that for all v, w P H it holds that
hv, A AwiH rA s v, Aw U hAv, AwiU hA Av, wiH .

(4.49)
This proves that A A is symmetric and that for all v P H it holds that
hv, A AviH hAv, AviU }Av }2U 0. (4.50)
This shows that A A is nonnegative and thereby completes the proof of Lemma 4.2.5.
Lemma 4.2.5 and Definiton 1.4.11 allows us to introduce the absolute value op-
erator of a bounded linear operator.
Definition 4.2.6 (The absolute value operator of a bounded linear operator). Let
K P tR, Cu, let pH, h, iH , }}H q and pU, h, iU , }}U q be K-Hilbert spaces, let A P
LpH, U q. Then we denote by |A| P LpH q the linear operator defined through
|A| : rAAs { P LpH q.

12
(4.51)
Lemma 4.2.7 (The trace of the absolute value operator). Let K P tR, Cu, let
pV, h, iV , }}V q and pW, h, iW , }}W q be K-Hilbert spaces, let A P LpV, W q and let
B H be an orthonormal basis. Then bPB hb, |A| biV 8 if and only if A P
L1 pV, W q and in that case it holds that

hb, |A| biV traceV p|A|q }A}L pV,W q .
1
(4.52)
b PB
Lemma 4.2.7 can, e.g., be established by using the theory of singular values; see
Werner [12].
Proposition 4.2.8 (Properties of the absolute value operator of a bounded linear

operator). Let K P tR, Cu, let pV, h, iV , }}V q and pW, h, iW , }}W q be K-Hilbert
spaces and let A P LpV, W q. Then
1. |A| P LpV q is nonnegative and symmetric,

2. |A| |A|,
3. for all v PV it holds that
}Av}W }|A|v}V , (4.53)
4. for all i P t1, 2u it holds that A P Li pV, W q if and only if |A| P Li pV q,
5. A P L2 pV, W q if and only if |A|2 AA P L1pV q and it that case it holds that

}A}2L pV,W q |A|2L pV q traceV p|A|2q,
2 1
(4.54)
6. A P L1 pV, W q if and only if |A| {2 P L2pV q and it that case it holds that
1

}A}L pV,W q A { 2L pV q traceV p|A|q
1
12
2
(4.55)
and
7. if pV, h, iV , }}V q pW, h, iW , }}W q and if A is symmetric and nonnegative,
then |A| A.
Proof of Proposition 4.2.8. Definition 1.4.11 ensures that |A| is nonnegative and
|A|2 {2 |A|. Furthermore,
1{2 1
symmetric. This shows that ||A|| |A| |A|
observe that for all v P V it holds that
@ D
}Av}2W hAv, AviW hv, AAviV v, |A| |A| v V
@ D (4.56)
|A| v, |A| v V }|A|v}2V .
This proves (4.53). The identity (4.53), in turn, shows that A P L2 pV, W q if and only
if |A| P L2 pV q. Lemma 4.2.7 implies that A P L1 pV, W q if and only if there exists an
orthonormal basis B V of V such that

hb, |A| biV 8. (4.57)
b PB
Furthermore, Lemma 4.2.7 proves that |A| P L1pV q if and only if there exists an
orthonormal basis B V of V such that

hb, |A| biV 8. (4.58)
bPB
Combining (4.57) and (4.58) proves that A P L1 pV, W q if and only if |A| P L1pV q.
Next let B V be an orthonormal basis of V and observe that

}Ab}2W hb, A AbiV b, |A|2 b

hAb, AbiV V
. (4.59)
bPB b PB b PB b PB
This and Lemma 4.2.7 prove Item 5. Item 4, Item 5 and Lemma 4.2.7 prove Item 6.
Moreover, note that if pV, h, iV , }}V q pW, h, iW , }}W q and if A is symmetric and
nonnegative, then
1{2
rAAs { 12
A2 A. (4.60)
This completes the proof of Proposition 4.2.8.
Definition 4.2.9 (Rank-1 operators in Hilbert spaces). Let pV, h, iV , }}V q and
pW, h, iW , }}W q be R-Hilbert spaces and let v P V , w P W . Then we denote by
w b v P LpV, W q the linear operator defined through

pw b vqpuq : w b hv, iH puq w hv, uiV (4.61)
for all u P V .
Note, in the setting of Definition 4.2.9, that
wbv P L1pV, W q L2pV, W q HS pV, W q LpV, W q (4.62)
and
}w b v}L pV,W q }w b v}L pV,W q }w b v}LpV,W q }w}W }v}V .

1 2
(4.63)
Theorem 4.2.10 (Spectral decomposition for compact operators). Let K P tR, Cu,
let pH, h, iH , }}H q be a Hilbert space and let A P KpH, H q be a symmetric compact
operator. Then A is a diagonal linear operator in the sense of Definition 1.4.40.
Theorem 4.2.10 is proved as Theorem VI.3.2 in Werner [12].

4.2.2 Expectation and covariance

Definition 4.2.11 (Covariance operator of a probability measure on a Hilbert
space). Let pH, h, iH , }}Hq be an R-Hilbert space and let : B pH q r0, 8s be
a probability measure with H }v }2H pdv q 8. Then we denote by Covarpq P LpH q
the unique bounded linear operator such that for all v, w P H it holds that

hv, CovarpqwiH pCov q hv, iH , hw, i . (4.64)
Lemma 4.2.12 (Properites of covariance operators). Let pH, h, iH , }}H q be an R-
Hilbert space and let : B pH q r0, 8s be a probability measure with H }v }2H pdv q
8. Then Covarpq is a symmetric and nonnegative nuclear operator and it holds that

traceH pCovarpqq }Covarpq}L1 pH q }v}2H pdvq P r0, 8q. (4.65)
H
Proof of Lemma 4.2.12. Nonnegativity and symmetry of Covarpq follows immedi-

ately from Lemma 4.1.22. Next observe that for all orthonormal bases B H of H
it holds that

hb, |Covarpq| biH hb, CovarpqbiH
b PB bPB
2

|hb, viH |2 pdvq hb, vi dv
H p q
bPB H H

|hb, viH |2 pdvq sup |hb, viH |2 pdvq (4.66)
bPB H BB P H
finite b B

sup |hb, viH | pdvq sup
2
}v}2H pdvq
B B Hb B P B B H
finite finite

}v}2H pdvq.
H
Lemma 4.2.7 hence completes the proof of Lemma 4.2.12.

Definition 4.2.13 (Covariance operator of a Hilbert space valued random variable).
Let p, F, Pq be a probability space, let pH, h, iH , }}H q be an R-Hilbert
space and
let X : H be an F/B pH q-measurable
mapping with E }X } 2
8 . Then we
define CovarpX q : Covar X pPq .
H
P H it holds that
Note, in the setting of Definition 4.2.11, that for all v, w
hv, CovarpX qwiH Erhv, XiH hw, XiH s . (4.67)
Definition 4.2.14. Let p, F, Pq be a probability space, let pV, }}V q be a Banach

space and let X P L1 pP; }}V q. Then we define

ErX s : X p q Ppd q. (4.68)

Note that the integral appearing on the right hand side of (4.68) is a Bochner
integral; see Section 1.2 for details.
Proposition 4.2.15 (Properties of the covariance operator of a Hilbert space val-
ued random variable). Let p, F, Pq be a probability space, let pH, h, iH , }}H q be
an R-Hilbert space and let X P L2 pP; }}H q. Then CovarpX q is a symmetric and
nonnegative nuclear operator, it holds that

CovarpX q E X ErX s b X ErX s P L1pH q (4.69)
and it holds that

traceH pCovarpX qq E }X ErX s}2H }CovarpX q}L pH q P r0, 8q. 1
(4.70)
4.2.3 Gaussian distributed random variables and Karhunen-

Loeve expansion
Definition 4.2.16 (Gaussian distributed random variables). Let p, F, Pq be a prob-
ability space, let pV, }}V q be a normed R-vector space and let X : V be an
F/B pV q-measurable mapping. Then X is called Gaussian distributed if X pPq is a
Gaussian measure.
Theorem 4.2.17 (Karhunen-Loeve expansion). Let p, F, Pq be a probability space,
let pH, h, iH , }}H q be a separable R-Hilbert space, let X P L2 pP; }}H q, let B H be
an orthonormal basis of H and let : B r0, 8qbe a globally bounded function such
that for all v P H it holds that CovarpX q v bPB b hb, viH b. Then the random
variables phb, X ErX siH qbPB are centered and pairewise uncorrelated, it holds for
all b P B that Varphb, X ErX siH q Varphb, XiH q b , it holds that

X ErX s hb, X ErX siH b (4.71)
b PB
and it holds for all B B that
d

X

ErX s hb, X Er s
X iH b

b 8. (4.72)
P
b B L2 pP;}}H q b PBzB
Proof of Theorem 4.2.17. Equation (4.71) follows immediately from the fact that
B is an orthonomal basis of H. Furthermore, note that the random variables
phb, X ErX siH qbPB are centered. Next observe that for all b1, b2 P B it holds that
Erhb1 , X ErX siH hb2 , X ErX siH s hb1 , CovarpX qb2 iH

hb1 , b hb, b2 iH biH (4.73)
b PB
b hb1, b2iH . 1
This implies that the random variables phb, X ErX siH qbPB are pairewise uncorre-
lated and it shows that for all b P B it holds that
Varphb, XiH q Varphb, X ErX siH q b . (4.74)
Combining this with (4.71) proves that for all B B it holds that

X

EX r s hb, X E X iH b r s

2
bPB L pP;}}H q

d

hb, X E X iH b r s
E hb, X | ErX siH |2 (4.75)
bPBzB 2 bPBzB
L pP;}}H q
d
b .
b PBzB
Corollary 4.2.18 (Karhunen-Loeve expansion for Gaussian distributed random

variables). Let p, F, Pq be a probability space, let pH, h, iH , }}H q be a separable
R-Hilbert space, let X P L2 pP; }}H q be Gaussian distributed, let B H be an or-
thonomal basis of H and let : B r0, 8q be a globally bounded function such that
for all v P H it holds that CovarpX q v bPB b hb, viH b. Then the random variables
?1 hb, X ErX siH , b P 1 pp0, 8qq, are independent identically distributed (i.i.d.)
b
standard normal random variables and it holds that

X ErX s
a
b
hb, X ?ErX siH b. (4.76)
bP1 pp0,8qq
b
Corollary 4.2.18 follows immediately from Theorem 4.2.17.

Lemma 4.2.19. Let pH, h, iH , }}H q be an R-Hilbert space, let : B pH q r0, 8s
be a Gaussian measure.
Theorem 4.2.20 (Gaussian measures on Hilbert spaces). Let pH, h, iH , }}H q be a
separable R-Hilbert space, let v P H and let Q P L1 pH q be a nonnegative and symmet-
ric nuclear operator. Then there exists a unique Gaussian measure Nv,Q : B pH q
r0, 8s with the property that v H x pdxq and CovarpNv,Qq Q.
4.2.4 Karhunen-Loeve expansion for Brownian motion
Exercise 4.2.21. Let a P Rzt0u, T P p0, 8q and let v : r0, T s R be a twice
continuously differentiable function with the property that for all t P r0, T s it holds
that v 2 ptq a v ptq. Prove that for all t P r0, T s it holds that

v ptq

1 1
?a 0

1 1
1
v p0q

? ? ?a ?a?a
(4.77)
v 1 ptq a a 0 v 1 p0q
? there exist A, B P C such that for all t P r0, T s it holds that v ptq
and? prove that
Ae at
Be at
.
Theorem 4.2.22 (Karhunen-Loeve expansion for Brownian motion). Let p, F, Pq

be a probability space, let T P p0, 8q, let W : r0, T s R be a standard Brownian
motion, let W : L2 pp0, T q; Rq be given by pW p qqptq Wt p? q for all P ,

t P r0, T s and let ek P L2 pp0, T q; Rq, k P N, be given by ek ptq ?T2 sin pk 1{2q t
T
for all t P p0, T q, k P N. Then
(i) W is a Gaussian distributed random variable,
(ii) it holds for all v P L2pp0, T q; Rq and p0,T q-almost all t P p0, T q that
T T

CovarpW q v ptq minpt, sq v psq ds ErWt Ws s v psq ds, (4.78)
0 0
(iii) it holds that

" *

P CovarpW q 1 1 2, 3 1 2, 5 1 2,...
"
r {2s r {2s r {2s * (4.79)
2 1
P p0, 8q : k P N
pk 1{2q2
4.3. HILBERT SPACE VALUED STOCHASTIC PROCESSES 99

(iv) it holds for all k P N that Kern 1
p{q
k 1 2 2 2
A spantek u,
(v) the set spantek P L2pp0, T q; Rq : k P Nu is an orthonomal basis of L2pp0, T q; Rq,

(vi) it holds for all v P L2 pp0, T q; Rq that CovarpW q v 8n1 hen , viL pp0,T q;Rq en , 2
(vii) the random variables rk 1{2s xek , W yL2 pp0,T q;Rq , k P N, are i.i.d. standard
normal random variables and
(viii) it holds that

8
W r 1{2s rk
k
1
{ s xek , W yL pp0,T q;Rq
12 2 ek . (4.80)

k 1
4.3 Hilbert space valued stochastic processes

4.3.1 Standard Wiener processes
Definition 4.3.1. Let T P r0, 8q, let pH, h, iH , }}H q be an R-Hilbert space, let
Q P L1 pH q be nonnegative and symmetric and let p, F, P, pFt qtPr0,T s q be a filtered
probability space. An pFt qtPr0,T s -adapted stochastic process W : r0, T s H is
called a standard Q-Wiener process with respect to (w.r.t.) pFt qtPr0,T s if
(i) W0 0,
(ii) W has continuous sample paths and
(iii) for all t1 , t2 P r0, T s with t1 t2 it holds that Wt2 Wt is independent of F1

and it holds that pWt2 Wt1 qpPq N0,Qpt2 t1 q .
1
Definition 4.3.2. Let T P r0, 8q, let pH, h, iH , }}H q be an R-Hilbert space, let
Q P L1 pH q be nonnegative and symmetric and let p, F, Pq be a probability space. A
stochastic process W : r0, T s H is called a standard Q-Wiener process if W is
a standard Q-Wiener process w.r.t. pFtW qtPr0,T s
Theorem 4.3.3. Let T P r0, 8q, let pH, h, iH , }}H q be an R-Hilbert space and
let Q P L1 pH q be nonnegative and symmetric. Then there exist a probability space
p, F, Pq and a standard Q-Wiener process W : r0, T s H.
Proof of Theorem 4.3.3. Use Karhunen-Loeve expansion!
100CHAPTER 4. RANDOM VARIABLES AND STOCHASTIC PROCESSES WITH VALUES IN
4.3.2 Pseudo inverse

Lemma 4.3.4. Let K P tR, Cu, let pHk , h, iHk , }}Hk q, k P t1, 2u, be K-Hilbert
spaces and let A P LpH1 , H2 q. Then the mapping A|KernpAqJ : KernpAq H2 is
J
injective and it holds that impAq im A|KernpAqJ .
Proof of Lemma 4.3.4. First of all, recall that

(
KernpAqJ v P H1 : @ u P KernpAq : hv, uiH1 0 (4.81)
is a K-vector subspace of H1 . The mapping A|KernpAqJ : KernpAqJ H2 is thus a

linear mapping from KernpAqJ to H2 . It thus holds that

A|KernpAqJ is injective Kern A|KernpAqJ t0u. (4.82)
Next note that

( (
Kern A|KernpAqJ v P KernpAqJ : A|KernpAqJ pvq( 0 v P KernpAqJ : Av 0
v P KernpAqJ : v P KernpAq KernpAqJ X KernpAq t0u.
(4.83)
Combining this with (4.82) proves that A|KernpAqJ is injective. Moreover, observe
that
impAq ApH1 q tAv P H2 : v P H1u

(
A PKernpAq rvs PKernpAqJ rv(s P H2 : v P H1
APKernpAqJ rvs P H2 : v P H1 ( (
(4.84)
APKernpAqJ rvs P H2 : v P KernpAqJ Av P H2 : v P KernpAqJ
im A|KernpAqJ
Lemma 4.3.4 allows us to introduce the following concept.
Definition 4.3.5. Let K P tR, Cu, let pHk , h, iHk , }}Hk q, k P t1, 2u, be K-Hilbert
spaces and let A P LpH1 , H2 q. Then we call the linear operator A1 : impAq H1
given by A1 pv q A|1
KernpAqJ
pvq for all v P impAq the pseudo inverse of A.
The next exercise will help us to get more familiar with the pseudo inverse.
Exercise 4.3.6. Let A : L2 pp0, 1q; Rq R be a linear mapping given by

1
Av v pxq dx (4.85)
0
for all v P L2 pp0, 1q; Rq. Specify DpA1 q, impA1 q, rangepA1 q and A1 v, v P
DpA1 q, explicity. Show that your specifications are indeed correct.
In the following proposition we present an important property of the pseudo
inverse of a bounded linear operator.
Proposition 4.3.7 (Minimality property of the pseudo inverse). Let K P tR, Cu,
let pHk , h, iHk , }}Hk q, k P t1, 2u, be K-Hilbert spaces, let A P LpH1 , H2 q and let
v P impAq DpA1 q. Then }A1 v }H1 inf uPA1 ptvuq }u}H1 and
# +
(
A1 v w P H1 : Aw v and }w}H uinf }u}
PH , H
1 1

1
" *
Au v (4.86)
J
w P A1ptvuq : }w}H uPAinf
ptvuq
}u}H A1ptvuq X
1 1 1
KernpAq .
Proof of Proposition 4.3.7. First of all, note that Lemma 4.3.4 and the definition of
the pseudo inverse prove that
( ! ) (
A1 v A| 1
KernpAqJ
pvq w P KernpAqJ : Aw v KernpAqJ X A1ptvuq.
(4.87)
Next recall that KernpAq H1 is a closed subspace of H1 . Definition 2.5.20 thus
shows that for all w P A1 ptv uq tu P H1 : Au v u it holds that

A|KernpAqJ PKernpAqJ rws A PKernpAqJ rws A w PKernpAq rws Aw v.
(4.88)
The fact that A|KernpAqJ is injective (see Lemma 4.3.4) hence proves that for all
w P A1 ptv uq tu P H1 : Au v u it holds that
PKernpAqJ rws A1 v. (4.89)
This implies that for all w P A1ptvuq tu P H1 : Au vu it holds that

}w}H PKernpAq rws PKernpAqJ rwsH
b
1 1

PKernpAq rws2H PKernpAqJ rws2H (4.90)
b
1

1
PKernpAq rws2H }A1pvq}2H A1pvq2H .

1 1 1
This and the fact that A1 pv q P A1 ptv uq prove that

P
u A
inf
1
}u} A1pvqH
ptvuq H 1 1
. (4.91)
This, (4.90) and (4.87) imply that

" *
w P A1 ptv uq : }w}H1 uPAinf
ptvuq
}u}H
1 1
! )
w P A1ptvuq : }w}H A1pvqH
1 1
" b *
2 1
w P A1 ptv uq : PKernpAq w H r s 1
}A1pvq}
2
H1 pq
A v
H 1
! 2 )
P A1ptvuq
w r s 0
: PKernpAq w H 1
( (
w P A1 ptv uq : PKernpAq rws 0 A1 ptv uq X KernpAqJ A1 pv q .
(4.92)
This, (4.87) and (4.91) complete the proof of Proposition 4.3.7.
The pseudo inverse allows us to define a Hilbert space structure on the image
of a bounded linear operator on Hilbert spaces. This is the subject of the next
proposition.
Proposition 4.3.8 (Image Hilbert space). Let K P tR, Cu, let pHk , h, iHk , }}Hk q,
k P t1, 2u, be K-Hilbert spaces and let A P LpH1 , H2 q. Then it holds that the triple
impAq, hA1 pq, A1 pqiH1 , }A1 pq}H1 is an K-Hilbert space.
Proof of Proposition 4.3.8. First of all, note that the fact that A1 : impAq H1 is
a linear operator implies that the triple impAq, hA1 pq, A1 pqiH1 , }A1 pq}H1 is a
K-inner product space. It thus remains to prove that pimpAq, }A1 pq}H1 q is com-
plete. To see this let pvn qnPN impAq be a Cauchy sequence in pimpAq, }A1 pq}H1 q.
Then A1 pvn q P KernpAqJ , n P N, is a Cauchy sequence in pKernpAqJ , }}H1 q. Com-
pleteness of pKernpAqJ , }}H1 q hence proves that there exists a vector w P KernpAqJ
such that limn8 }w A1 pvn q}H1 0. This proves that Aw P impAq satisfies
limn8 }A1 pAw vn q}H1 0. The proof of Proposition 4.3.8 is thus completed.
4.3.3 Stochastic integration with respect to infinite dimen-

sional Wiener processes
The following presentations are similiar to the presentations in Section 2.3 in Prevot
& Rockner [9] and in Section 3.4 in the lecture notes of the course Numerical Analysis
of Stochastic Ordinary Differential Equations.
Definition 4.3.9 (Predictable sigma-algebra). Let T P r0, 8q and let p, F q be a

measurable space with a filtration pFt qtPr0,T s . Then the sigma-algebra

Pred pFt qtPr0,T s :

r0,T s tps, ts A : A P Fs and s, t P r0, T s with s tu Y tt0u A : A P F0u
(4.93)
is called the predictable sigma-algebra of pFt qtPr0,T s .

Note, in the setting of Definition 4.3.9, that the definition of the sigma-algebra
Pred pFt qtPr0,T s depends on the filtration pFt qtPr0,T s .
Definition 4.3.10 (Predictability). Let T P r0, 8q, let pS, S q be a measurable space
and let p, F q be a measurable space with a filtration pFt qtPr0,T s q. Then we call an
Pred pFt qtPr0,T s /S-measurable mapping X : r0, T s S an pFt qtPr0,T s -predictable
(stochastic) process (or, simply, pFt qtPr0,T s -predictable).
Observe that if T P p0, 8q and if p, F q is a measurable space with a filtration
pFtqtPr0,T s, then

PredppFt qtPr0,T s q r0,T s B A : B P Bpr0, T sq and A P FT Bpr0, T sq b FT .
(4.94)
This is fact is used in the next definition.
Definition 4.3.11 (Product measure on the predictable sigma-algebra). Let T P
p0, 8q and let p, F, Pq be a probability space with a filtration pFtqtPr0,T s. Then we
define the measure PpP,pFt qtPr0,T s q : PredppFt qtPr0,T s q r0, 8q through
PpP,pFt qtPr0,T s q : pBr0,T s b Pq|PredppFt qtPr0,T s q . (4.95)
Observe, in the setting of Definition 4.3.11, that for all t1 , t2 P r0, T s with t1 t2
and all A P Ft1 it holds that
PpP,pFt qtPr0,T s q ppt1 , t2 s Aq pt2 t1 q PpAq. (4.96)
In the next step we introduce the notion of an elementary process. For this we recall
the notion of a simple function; see Definition 1.1.15 above.
Definition 4.3.12 (Elementary process). Let T P r0, 8q, let pH, h, iH , }}H q and
pU, h, iU , }}U q be R-Hilbert spaces, let p, F q be a measurable space with a filtration
pFtqtPr0,T s. Then a mapping X : r0, T s LpU, H q is called pFtqtPr0,T s-elementary
(or just elementary) if there exist n P N, 0 t1 . . . tn T and for every

k P t1, . . . , n 1u an Ftk /B pLpU, H qq-simple function Yk : LpU, H q such that
for all t P r0, T s it holds that

n1
Xt Yk 1ptk ,tk 1 s ptq . (4.97)

k 1
Elementary processes in the sense of Definition 4.3.12 are predictable in the

sense of Definition 4.3.10. Let T P r0, 8q, let p, F, Pq be a probability space, let
pU, h, iU , }}U q be an R-Hilbert space, let Q P L1pU q be nonnegative and symmetric
and let W : r0, T s U be a standard Q-Wiener process. In the stochastic inte-
gration theory with respect to the possibly infinite dimensional standard Q-Wiener
process W the Hilbert space
1 2
Q { pU q, Q {2 pq, Q {2 pq U , Q {2 pqU
12

1 1
(4.98)
plays an important role. Recall that Q1{2 is defined according to Theorem 1.4.10
and Q1{2 is the pseudo inverse of Q1{2 (see Definition 4.3.5 above). According to
Proposition 4.3.8 the triple (4.98) is indeed an R-Hilbert space. The next lemma
illustrate the appearence of the Hilbert space in (4.98) in the stochastic integration
theory.
Lemma 4.3.13. Let T P r0, 8q, s, t P r0, T s with s t, let p, F, P, pFt qtPr0,T q be
a stochastic basis, let pU, h, iU , }}U q be a separable R-Hilbert space, let A :
LpU, H q be an Fs /B pLpU, H qq-simple function, let Q P L1 pU q be nonnegative and
symmetric and let W : r0, T s U be a standard Q-Wiener process w.r.t. pFt qtPr0,T s .
Then

E }A pWt Ws q}2H E }A}2HSpQ { pU q,H q pt sq .
1 2 (4.99)
Proof of Lemma 4.3.13. Let B U be an orthonormal basis of U and let : B

r0, 8q be a globally bounded function such that for all u P U it holds that

Qu b hb, uiU b. (4.100)
b PB
Then note that the fact that B U is an orthonormal basis of U and the continuity
of A imply that
2

} p q}
E A Wt Ws 2H EA

hb, Wt
Ws iU b

bPB H
2

E hb, Wt Ws iU Ab

bPB H (4.101)

E hb1 , Wt Ws iU hb2 , Wt Ws iU hAb1 , Ab2 iH
b1 ,b2 PB

Erhb1 , Wt Ws iU hb2 , Wt Ws iU hAb1 , Ab2 iH s .
b1 ,b2 PB
Independency and the definition of a standard Q-Wiener process hence implies that

E }A pWt Ws q}2H

Erhb1 , Wt Ws iU hb2 , Wt Ws iU s ErhAb1 , Ab2 iH s
b1 ,b2 PB

E |hb, Wt WsiU |2 E }Ab}2H pt sq hb, QbiU E }Ab}2H (4.102)
bPB bPB

pt sq hb, QbiU E }Ab}H .
looomooon
2
b 1 0,
P pp 8qq b
This proves that

a 2
E }A pWt Ws q}2H pt sq E
A b b
b 1 0,
P pp 8qq H
(4.103)

pt sq E AQ1{2 b2 .
H
b 1 0,
P pp 8qq
Next we observe that the set
(
Q {2 pbq P im Q {2 : b P 1 pp0, 8qq
1 1
(4.104)
is an orthonormal basis in the R-Hilbert space
1{2 2
1{2

1{2 1{2
Q pU q, Q pq, Q pq U , Q pqU . (4.105)
Combining this with (4.103) completes the proof of Lemma 4.3.13.

Lemma 4.3.14 (Itos isometry in infinite dimension for elementary processes). Let
n P N, T P r0, 8q, 0 t1 tn T , let p, F, P, pFt qtPr0,T q be a stochastic
basis, let pU, h, iU , }}U q be a separable R-Hilbert space, for every k P t1, 2, . . . , nu
let Yk : LpU, H q be an Ftk /B pLpU, H qq-simple function, let Q P L1 pU q be non-
negative and symmetric and let W : r0, T s U be a standard Q-Wiener process
w.r.t. pFt qtPr0,T s . Then
2
n 1
n1
E Yk Wtk 1 Wtk

E } }
Yk 2HS Q1{2 U ,H
p p q q ptk 1 tk q
k 1 H
k 1
2 (4.106)
T 1
n
E Yk 1ptk ,tk 1 s s

pq ds.
0
k 1 HS Q1{2 U ,H
p p q q
Proof of Lemma 4.3.14. Note that
2
1
n

E Yk Wtk

1
Wtk

k 1 H
1
n

E Yk Wtk 1
Wtk
, Yl Wtl 1
Wt l H

k,l 1 (4.107)

2 E rYl s Yk Wtk 1
Wt k
, Wtl 1
Wt l U
k,l Pt1,...,n1u
kl

n1 2
E Yk Wtk 1
Wtk H .

k 1
Independency and Lemma 4.3.13 hence imply that for all orthonomal bases B U
of U it holds that
2
1
n

E Yk Wtk

1
Wtk

k 1 H

2 E b, rYl s Yk Wtk Wt Wt

1 k U
b, Wtl 1 l U
k,l Pt1,...,n1u b PB
k l

n1
E } }Yk 2HS Q1{2 U ,H
p p q q ptk 1 tk q

k 1

2 E b, rYl s Yk Wtk 1
Wt k U
E b, Wtl 1
Wt l U
k,l Pt1,...,n1u bPB
k l

n1
n1
E } }Yk 2HS Q1{2 U ,H
p p q q ptk 1 tk q E } } p q q ptk
Yk 2HS Q1{2 U ,H
p 1 tk q .

k 1
k 1
(4.108)

1 Y W
The random variable nk 1 k tk 1 Wtk in (4.106) will be the stochastic in-
1
tegral of the elementary stochastic process kn 1 Yk 1ptk ,tk 1 s in (4.106). Our aim is to
integrate more general stochastic processes. To do so the following lemma is crucial.
Lemma 4.3.15 (Density of elementary stochastic processes). Let T P r0, 8q, let
pH, h, iH , }}H q and pU, h, iU , }}U q be R-Hilbert spaces, let Q P L1pU q be non-
negative and symmetric, let p, F, P, pFt qtPr0,T s q be a stochastic basis and let X P
L2 PpP,pFt qtPr0,T s q ; }}HS pQ1{2 pU q,H q . Then there exists a sequence Xn : r0, T s
LpU, H q, n P N, of pFt qtPr0,T s -elementary stochastic processes such that
T
lim E }Xt Xtn }2HS pQ1{2 pU q,H qq ds 0. (4.109)
n 8 0
Lemma 4.3.15 is, e.g., proved as Proposition 2.3.8 in [9].
Definition 4.3.16 (Stochastic integral for elementary integrand processes). Let

T P r0, 8q, let p, F, P, pFt qtPr0,T s q be a stochastic basis, let pH, h, iH , }}H q and
pU, h, iU , }}U q be separable R-Hilbert spaces, let Q P L1pU q be nonnegative and sym-
metric and let W : r0, T s U be a standard Q-Wiener process w.r.t. pFt qtPr0,T s .
Then we define the mapping

$ ,
& X P L2 PpP,pF q Pr sq; }}HSpQ { pU q,H q : 1 2 .
D pFtqtPr0,T s-elementary Y : r0, T s U : L2pP|F ; }}H q
t t 0,T
IntW :
% -
pXtqtPr0,T s pYt|Q { pU qqtPr0,T s
T
1 2
(4.110)
by

n1
n1

IntW Yk |Q1{2 pU q 1ptk ,tk 1 s Yk Wtk 1
Wtk
(4.111)

k 1
k 1
for all Y1 P MpFt1 , B pLpU, H qqq, . . . , Yn P MpFtn , B pLpU, H qqq, 0 t1 tn

T , n P N with the property that impY1 q Y Y impYn q is a finite set.
Consider the setting of Definition 4.3.16. It is a straightforward calculation to

check that IntW is a linear operator. Lemma 4.3.14 proves that IntW is an isometry
in the sense that for all X P DpIntW q it holds that
}IntW pX q}L pP| 2

FT ; }}H q }X }L2 pPpP,pFt qtPr0,T s q ;}}HSpQ1{2 pU q,H q q (4.112)

Note that for all X P L2 PpP,pFt qtPr0,T s q ; }}HS pQ1{2 pU q,H q it holds that

}X } 2
p
L2 PpP,pFt q
Pr0,T s q ;}}HSpQ1{2 pU q,H q q
}Xspq}2HSpQ { pU q,H q PpP,pF q Pr sqpds, dq
1 2
r0,T s
t t 0,T
t

}Xspq}2HSpQ { pU q,H q pBr0,T s b Pqpds, dq
1 2
r0,T s
T T
2
E } } Xs 2HS Q1{2 U ,H
p p q q ds E Xs Q1{2 HS pU,H q ds 8.
0 0
(4.113)
Moreover, Lemma 4.3.14, Lemma 2.5.17, Proposition 2.5.14 and Lemma 4.3.15 prove
that there exists a unique continuous extension

W : L2 PpP,pFt q
Int tPr0,T s q
; }}HS pQ1{2 pU q,H q L2pP|F ; }}H q
T
(4.114)
of IntW . Let us put this notion into the next definition.
Definition 4.3.17 (Stochastic integral for square integrable integrand processes).

Let T P r0, 8q, let p, F, P, pFt qtPr0,T s q be a stochastic basis, let pH, h, iH , }}H q
and pU, h, iU , }}U q be separable R-Hilbert spaces, let Q P L1 pU q be nonnegative
and symmetric and let W : r0, T s U be a standard Q-Wiener process w.r.t.

pFtqtPr0,T s. Then we define the mapping

W : L2 PpP,pFt q
Int tPr0,T s q
; }}HS pQ1{2 pU q,H q
L2pP|F ; }}H q (4.115)
T
W |DpInt q IntW (see

as the unique continuous function with the property that Int W
Proposition 2.5.14 for details).
Exercise 4.3.18. Let T P r0, 8q, let p, F, P, pFt qtPr0,T s q be a stochastic basis, let
pH, h, iH , }}H q and pU, h, iU , }}U q be separable R-Hilbert spaces, let Q P L1pU q
be nonnegative and symmetric, let W : r0, T s U be a standard Q-Wiener
process w.r.t. pFt qtPr0,T s and let X P L PpP,pFt qtPr0,T s q ; }}HS pQ1{2 pU q,H q . Prove that
2

W pX q 0.
E Int
Consider the setting of Definition 4.3.17. The mapping Int W is the stochastic
integral with respect to the possibly infinite dimensional standard Q-Wiener process
W for integrand processes in L PpP,pFt qtPr0,T s q ; }}HS pQ1{2 pU q,H q , that is, pFt qtPr0,T s -
2
predictable stochastic processes X : r0, T s HS pQ1{2 pU q, H q satisfying

T

E }Xs }2HS pQ1{2 pU q,H q ds 8. (4.116)
0
In our last step of construction of the stochastic integral we want to relax the inte-
grability assumption (4.116). To be more precise, we want to define the stochastic
integral for pFt qtPr0,T s -predictable stochastic processes which merely satisfy
T
P } } p q q ds 8
Xs 2HS Q1{2 U ,H
p 1 (4.117)
0
instead of (4.116). To do so we first recall the notions of random and stopping times.
Definition 4.3.19 (Random time). Let T R be a set and let p, F q be a measurable
space. Then an F/B pTq-measurable mapping : T is called a random time.
Definition 4.3.20 (Stopping time). Let T R be a set and let p, F q be a mea-
surable space with a filtration pFt qtPT . Then a random time : T is called an
pFtqtPr0,T s-stopping time if for all t P T it holds that t tu P Ft.
Exercise 4.3.21 (Characterization of convergence in probability). Let p, F, Pq be
a probability space, let pE, dE q be a metric space and let Xn : E, n P N0 , be
F/pE, dE q-strongly measurable mappings. Then it holds that

lim E mint1, dE pX0 , Xn qu
0 (4.118)
n8
if and only if for all P p0, 8q it holds that limn8 PpdE pX0 , Xn q q 0.
Definition 4.3.22 (Stochastic integral). Let T P r0, 8q, a, b P r0, T s with a b,

let p, F, P, pFt qtPr0,T s q be a stochastic basis, let pH, h, iH , }}H q and pU, h, iU , }}U q
be separable R-Hilbert spaces, let Q P L1 pU q be nonnegative and symmetric, let
W : r0, T s U be a standard Q-Wiener process w.r.t. pFt qtPr0,T s and let X : r0, T s
HS pQ1{2 pU q, H q be an pFt qtPr0,T s -predictable stochastic process with the property
b
that a }Xs }2HS pQ1{2 pU q,H q ds 8 P-a.s. Then we define stopping times c : r0, T s,
c P r0, 8q, through
" *
c : inf t P r0, T s : } }
Xs 2HS pRm ,Rd q ds c Y tT u (4.119)
r0,tsXra,bs
b
for all c P r0, 8q and we define the stochastic integral a Xs dWs : Y P L0pP|F ; }}H q
as the unique element in Y P L0 pP|Fb ; }}H q with the property that
b
! )
lim E min 1, Y
c 8
Int
W pXt 1tatminp ,bqu qtPr0,T s
c

H
0. (4.120)
b
The uniqueness of a Xs dWs in Definition 4.3.22 is clear. The existence of
b
a
Xs dWs in Definition 4.3.22 is, e.g., established in Section 2.3.2 in [9]. In the
literature (see, e.g., Definition 2.3.1 in [9]) a slightly different notion of an elemen-
tary stochastic process is often given. In Proposition 4.3.26 below we show that these
different definitions (cf. Definition 2.3.1 in [9] and Definition 4.3.12 above) are equiv-
alent. Our proof of Proposition 4.3.26 uses Exercise 4.3.24 below. Exercise 4.3.24
below can, e.g., be proved by using the following lemma.
Lemma 4.3.23. Let K P tR, Cu, let pH, h, iH , }}H q be a K-Hilbert space and
let P C pH, Kq, v P H zt0u with the property that for all u P H it holds that
puq hv, uiH 0. Then it holds for all u P H that puq 0.
Proof of Lemma 4.3.23. Observe that for all P Kzt0u, w P rspantvusJ it holds that
0 pv wq hv, v wiH pv wq }v}2H .
looomooon (4.121)
0
This implies that for all for all P Kzt0u, w P rspantvusJ it holds that
pv wq 0. (4.122)
The fact that the set
! )
v w P H : P Kzt0u, w P rspantvusJ (4.123)
is dense in H together with the assumption that is continuous hence implies that for
all u P H it holds that puq 0. The proof of Lemma 4.3.23 is thus completed.
Exercise 4.3.24. Let K P tR, Cu, n P t2, 3, . . . u, let pHk , h, iHk , }}Hk q, k P t1, 2u
be K-Hilbert spaces and let A1 , . . . , An P LpH1 , H2 q with the property that for all u P
H1 it holds that A1 u P tA2 u, A3 u, . . . , An uu. Prove then that A1 P tA2 , A3 , . . . , An u.
Exercise 4.3.24 can, e.g., be proved by using Lemma 4.3.23. In our proof of
Proposition 4.3.26 below we also use the following exercise.
Exercise 4.3.25. Let pk , Fk q, k P t1, 2u, be measurable spaces and let f : 1

2 be a mapping with the property that the set impf q is finite. Then f is F1 /F2 -
measurable if and only if for all P impf q it holds that f 1 pt uq P F1 .
Proposition 4.3.26 (Uniform and strong measurability). Let K P tR, Cu, let p, F q
be a measurable space, let pHk , h, iHk , }}Hk q, k P t1, 2u be K-Hilbert spaces and let
Y : LpH1 , H2 q be a function with the property that impY q is a finite set. Then
it holds that Y is F/B pLpH1 , H2 qq-measurable if and only if for all v P H1 it holds
that Q Y p qv P H2 is F/B pH2 q-measurable.
Proof of Proposition 4.3.26. It is clear that if Y is F/B pLpH1 , H2 qq-measurable, then

it holds for all v P H1 that Y v is F/B pH2 q-measurable. We thus assume in the
following that for all v P H1 it holds that Y v is F/B pH2 q-measurable. Let A1 P impY q
be arbitrary. We now prove that Y 1 ptA1 uq P F. This and Exercise 4.3.25 will then
show that Y is F/B pLpH1 , H2 qq-measurable. W.l.o.g. we assume that impY qztB u
H. As impY q is a finite set, there exists n P t2, 3, . . . u and A2, . . . , An P impY qztB u
such that
tA1, A2, . . . , Anu impY q. (4.124)
Exercise 4.3.24 implies that there exists a vector u P H1 such that
A1 u R tA2 u, . . . , An uu . (4.125)
This and the assumption that Y u is F/B pH2 q-measurable imply that
F Q pY uq1 ptA1uuq Y 1ptA1uq. (4.126)
Exercise 4.3.25 thus completes the proof of Proposition 4.3.26.
4.3.4 Cylindrical Wiener process

The following presentations are based on [9] and Chapter 5 in [5]. In Subsection 4.3.1
the notion of a standard Wiener process is presented. The covariance operator asso-
ciated to a standard Wiener process is a nonnegative and symmetric nuclear linear
operator on the Hilbert space on which the standard Wiener process takes values in.
In many situations one is interested in an infinite dimensional Wiener process with
a covariance operator that is a nonnegative and symmetric bounded linear operator
which is not a nuclear linear operator (such as, for example, the identity operator
on an infinite dimensional Hilbert space). This can be achieved by the concept of a
cylindrical Wiener process.
Definition 4.3.27 (Cylindrical Wiener process). Let T P r0, 8q, let p, F, P, pFt qtPr0,T s q
be a filtered probability space, let pH, h, iH , }}H q and pH1 , h, iH1 , }}H1 q be R-Hilbert
spaces with H H1 continuously, let Q P LpH q and Q1 P L1 pH1 q be nonnegative
and symmetric with the property that
{ 1{2 pq
Q {2 pH q, Q {2 pqH Q1 pH1 q, Q1
1 1 12
H1
(4.127)
and let W : r0, T s H1 be a standard Q1 -Wiener process w.r.t. pFt qtPr0,T s . Then
W is called a cylindrical Q-Wiener process w.r.t. pFt qtPr0,T s .
Let T P r0, 8q, let p, F, P, pFt qtPr0,T s q be a filtered probability space, let pH, h, iH , }}H q
be an R-Hilbert space let Q P LpH q be nonnegative and symmetric and let pWt qtPr0,T s
be a cylindrical Q-Wiener process w.r.t. pFt qtPr0,T s . The cylindrical Q-Wiener process
pWtqtPr0,T s thus, in general, does not take values in the Hilbert space H, on which
the covariance operator Q associated to W is defined, but on a larger Hilbert space
with a weaker topology into which H is continuously embedded. More results on
cylindrical Q-Wiener processes can be found in Section 2.5 in [9].
Part II
Stochastic Partial Differential

Equations (SPDEs)
113
Part III
Numerical Analysis of SPDEs
115
Chapter 5
Spatial numerical approximations

for SPDEs
@@@ Think about negative, i.e., P p8, 1q. @@@
5.1 A strong perturbation estimate for SPDEs

5.1.1 Setting
Let pH, h, iH , }}H q and pU, h, iU , }}U q be two separable R-Hilbert spaces, let T P
p0, 8q, let p, F, P, pFtqtPr0,T sq be a stochastic basis, let pWtqtPr0,T s be a cylindrical
IdU -Wiener process with respect to pFt qtPr0,T s , let I be a set, let pi qiPI R satisfy
supiPI i 0, let pei qiPI H be an orthonormal basis of H and let A : DpAq H
H be a linear operator with
# +

DpAq v P H: |i hei, viH | 8
2
(5.1)
P
i I
and
Av i hei , viH ei (5.2)
P
i I
for all vP DpAq. We denote by

Hr , h, iH , }}H : pDppAqr q, hpAqr pq, pAqr pqiH , }pAqr pq}H q
r r
(5.3)
for r P R the R-Hilbert spaces of domains of fractional powers of A. Next let
p P r2, 8q, P R, P r0, 1q, F P LippH , H q, B P LippH , HS pU, H { qq,
2
117
118 CHAPTER 5. SPATIAL NUMERICAL APPROXIMATIONS FOR SPDES
5.1.2 A strong perturbation estimate for SPDEs
Lemma 5.1.1. Assume the setting in Section 5.1.1 and let X, Y : r0, T s H be
T
predictable stochastic processes with 2k1 0 }eAptsq F pXsk q}H }eAptsq B pXsk q}2HS pU,H q
ds 8 P-a.s. Then

sup Xt1 Xt2 Lp p;H q
Pr s
t 0,T
?
} }LippH ,H q a
Ep1q T 1 ppp 1q }B }LippH ,HS pU,H {2 qq
2T F
?1
?

t t
(5.4)
2 sup X1
t e p q F pXs1 q ds
A t s
e p q B pXs1 q dWs
A t s
Pr s
t 0,T 0 0
t t

e p q F pXs2 q ds
A t s
e p q B pXs2 q dWs Xt2
A t s
.
0 0 p
Lp ;H q
Proof of Lemma 5.1.1. Note that the Minkowski inequality ensures that for all t P
r0, T s it holds that
1
X
t
Xt2 Lp p;H q
t t

eAptsq F Xs1 ds p q e p q B pXs1 q dWs
1 A t s
Xt
0 0
t t

eAptsq F pXs2 q ds eAptsq B pXs2 q dWs
Xt2

0 0
p
Lp ;H q (5.5)
t t
Aptsq Aptsq

e 1
F Xs dsp q e 1
B Xs dWs p q
0 0
t t

eAptsq F Xs2 ds p q eAptsq B Xs2 dWs p q

.

0 0
Lp p;H q
5.1. A STRONG PERTURBATION ESTIMATE FOR SPDES 119
Again the Minkowski inequality hence implies that for all t P r0, T s it holds that
1
X
t X 2
t Lp p;H q
t t

eAptsq F Xs1 dsp q e p q B pXs1 q dWs
1 A t s
Xt
0 0
t t

Xt2
(5.6)
0 0
p
Lp ;H q
t

eAptsq F X 1 p q Fp q Xs2 ds
s
0 p
Lp ;H q
t

eAptsq B X 1 p q B pXs2q dWs .
s
0 p
Lp ;H q
Next note that Holders inequality implies that for all t P r0, T s it holds that
t

eAptsq F X 1 p q p q
F Xs ds
2
s
0 Lp p;H q
t
Aptsq
e p q p q
F Xs1 F Xs2 Lp p;H q ds
0
}F pXs1q F pXs2q}L p;H q
t

p

0 pt sq ds
t
}Xs1 Xs2}L p;H q (5.7)
}F }LippH ,H q
pt sq
ds
p

0
d
t

t
}Xs1 Xs2}2L p;H q
}F }LippH ,H q
pt sq ds
pt sq
ds
p

0 0
d
t
tp1q
}F }LippH ,H q
p1 q pt sq }Xs1 Xs2}2L p;H q ds. p

0
Furthermore, observe that for all t P r0, T s it holds that

t

eAptsq B X 1 p q Bp q Xs2 dWs
s
0 p
Lp ;H q
d
t
pq
p p 1
}eAptsq rB pXs1q B pXs2qs}2L p;H q ds
2 p

0
d (5.8)
t
pq
p p 1
2
pt sq }B pXs1q B pXs2q}2L p;H { q ds p
2
0
d
t
}B }LippH ,H { q 2
pq
p p 1
2
pt sq }Xs1 Xs2}2L p;H { q ds. p
2
0
Combining (5.7) and (5.8) proves that for all t P r0, T s it holds that
t
p q
e

A t s
F Xs 1
p q p q
F Xs ds
2
0 Lp p;H q
t
p q
e

A t s
B Xs 1
p q p q
B Xs dWs
2
Lp p;H q
?p pp1q
0
(5.9)
{2
} } F LippH ,H q ?t1 } }
B LippH ,HS pU,H {2 qq ?
2
d
t X1 X2 2 } }
s Lp p;H {2 q
s
pt sq ds.
0
Putting this into (5.6) and using the estimate pa bq 2 2a2 2b2 proves that for all
t P r0, T s it holds that
1
X
t Xt22L p;H q
p
t

t

e p q F pXs1 q ds e p q B pXs1 q dWs

2 Xt1 A t s A t s
0 0
t t
2
Xt2 (5.10)
p
0 0
p
L ;H q
? a 2
}F }LippH ,H q ?21T{ }B }LippH ,HSpU,H { qq

2
2
p pp 1q
t }X 1 X 2 }2
s L p;H { q
s p
2
0 pt sq ds.
5.2. SPECTRAL GALERKIN APPROXIMATIONS FOR SPDES 121
The generalized Gronwall lemma in @@@ hence completes the proof of Lemma 5.1.1.
5.2 Spectral Galerkin approximations for SPDEs

5.2.1 Setting
Let pH, h, iH , }}H q and pU, h, iU , }}U q be two separable R-Hilbert spaces, let T P
p0, 8q, let p, F, P, pFtqtPr0,T sq be a stochastic basis, let pWtqtPr0,T s be a cylindrical
IdU -Wiener process with respect to pFt qtPr0,T s , let I be a set, let pi qiPI R satisfy
supiPI i 0, let pei qiPI H be an orthonormal basis of H and let A : DpAq H
H be a linear operator with
# +

DpAq v P H: |i hei, viH |2 8 (5.11)
P
i I
and
Av i hei , viH ei (5.12)
P
i I
for all v P DpAq. We denote by

Hr , h, iH , }}H : pDpp Aqr q, hp Aqr pq, p Aqr pqiH , }p Aqr pq}H q
r r
(5.13)
for r P R the R-Hilbert spaces of domains of fractional powers of A. Next let p P
r2, 8q, P R, P r0, 1q, P r {2, s, F P LippH , H q, B P LippH , HS pU, H qq,
P Lp p; H q, pPI qI PP pI q LpH q satisfy

P I pv q hei , viH ei : v pei q ei (5.14)
P
i I i IP
for all v P H , I P P pI q.
The above setting allows us to apply Theorem @@ to obtain that there exist up
to modifications unique predictable stochastic processes X I : r0, T s PI pH q,
I P P pI q, satisfying
t t

XtI e At
PI p q e p q PI F pXsI q ds
A t s
eAptsq PI B pXsI q dWs (5.15)
0 0
P-a.s. for all t P r0, T s, I P P pI q.

5.2.2 A strong numerical approximation result for spectral

Galerkin approximations of SPDEs
Lemma 5.2.1. Assume the setting in Section 5.2.1 and let I, J P P pI q. Then
I ?
X X J C pr0,T s,Lp p;H qq
2 PI zJ X I PJ z I X J pr s p
C 0,T ,Lp ;H qq (5.16)
?
2T }PI XJ F }LippH ,H q a
Ep1q ?
1
ppp 1qT 1 }PI XJ B }LippH ,HS pU,H {2 qq 8.
Proof of Lemma 5.2.1. Let F P LpH , H q and B P LpH , H{2q be given by

F pv q PI XJ F pv q and B pv qu PI XJ B pv qu (5.17)
for all v P H , u P U . The identity PI PJ PI XJ then shows that for all t P r0, T s it
holds P-a.s. that
t t
XtI e p q F pXsI q ds
A t s
e p q B pXsI q dWs
A t s
0 0
t t
e p q F pXsJ q ds
A t s
e p q B pXsJ q dWs XtJ
A t s
0 0
t t

XtI PJ eAt PI p q eAptsq PI F pXsI q ds eAptsq PI B pXsI q dWs
0 0
t t

PI e PJ p qAt
e p q PJ F pXsJ q ds
A t s
e p q PJ B pXsJ q dWs
A t s
XtJ
0 0

IdH PJ XtI PI IdH XtJ z
I
PI J X t PJ zI XtJ .
(5.18)
An application of Lemma 5.1.1 hence proves that

sup Xt1 Xt2 Lp p;H q
Pr s
t 0,T
?
} }LippH ,H q a
Ep1q 2T F
?1 ppp 1q T1 }B }LippH ,HS pU,H qq
{2
(5.19)
?
2 sup PI zJ X I
t PJ zI XtJ L p;H q .
Pr s
p

t 0,T
This and the identity

sup PI zJ XtI PJ zI XtJ L p;H q sup PI zJ XtI PJ zI XtJ Lp p;H q (5.20)
Pr s Pr s
p

t 0,T t 0,T
complete the proof of Lemma 5.2.1.

5.2. SPECTRAL GALERKIN APPROXIMATIONS FOR SPDES 123
Lemma 5.2.2. Assume the setting in Section 5.2.1 and let r P r, mint 1 ,
1{2uq, I, J P P pI q. Then
I
X X J C pr0,T s,L p;H qq 2 pAqprqPI4J LpH q Kmax
p
PtI,J u
X K
C pr0,T s,L p;H qq p
r
?
}
2T PI XJ F } a
Ep1q ?1LippH ,H q ppp 1qT 1 }PI XJ B }LippH ,HS pU,H {2 qq 8.
Proof of Lemma 5.2.2. Observe that
2 2
PI zJ X I PJ zI X J C pr0,T s,Lp p;H qq sup PI zJ XtI PJ zI XtJ Lp p;H q
Pr s
t 0,T
pr q
sup pAqprqPI4J pAq PI zJ XtI PJ zI XtJ Lp p;H q
2
Pr s
t 0,T
2
pAqprqPI4J 2LpH q
sup PI zJ XtI PJ zI XtJ Lp p;Hr q
Pr s
t 0,T
2 2
p q
p r q
PI4J LpH q sup PI zJ XtI
PJ I XtJ Hr p{2
A z p Rq
Pr s
t 0,T L ;
2 2
p q
A p r q
PI4J LpH q sup PI zJ XtI Hr PJ zI X J 2
t Hr p{2
tPr0,T s L p;Rq

p r q
2 2 2
p q A

PI4J LpH q sup PI zJ Xt Hr p{2
I
L p;Rq

PJ zI Xt Hr p{2
J
L p;Rq
.
tPr0,T s
(5.21)
This completes the proof of Lemma 5.2.2.

Let us illustrate a bit different perspective on Lemma 5.2.2. For this we assume
the setting in Section 5.2.1 and we define mappings dI,r : P pI q P pI q r0, 8q,
r P p0, 8q, by
dI,r pI, J q : pAqr PI4J LpH q (5.22)
for all I, J P P pI q and all r P p0, 8q. Exercise 5.2.5 shows that for every r P p0, 8q
it holds that the pair pP pI q, dI,r q is a metric space. Lemma 5.2.2 then, in particular,
ensures that for every r P p, mint1 , 1{2uq it holds that the mapping1

pP pI q, dI,r q Q I X I P C pr0, T s, Lp p; H qq, }}C pr0,T s,Lp p;H qq (5.23)
1
Clearly, the domain (the set of arguments) of the mapping (5.23) is not pP pI q, dI,r q but the
set P pI q. The notation (5.23) is nonetheless used in order to emphasize the specific metric defined
on the set P pI q of arguments. The same comment applies to the range of the mapping (5.23).
is globally Lipschitz continuous with a Lipschitz constant which is smaller or equal

than

2 sup X I
C pr0,T s,Lp p;Hr qq
(5.24)
P I I
? a

Ep1q 2T }PIXJ?F1}LippH ,H q ppp 1qT 1 }PI XJ B }LippH ,HS pU,H {2 qq 8.
The next result, Corollary 5.2.3, is an immediate consequence of Lemma 5.2.1.
Corollary 5.2.3. Assume the setting in Section 5.2.1 and let r P p, mint 1
, 1{2uq, I P P pI q. Then
I ? p rq I
X X I C pr0,T s,L p;H qq
p 2 inf iPI zI |i | X
pr s p qq (5.25)
C 0,T ,Lp ;Hr
?

} }LippH ,H q a
Ep1q 2T F
?1 ppp 1qT 1 }B }LippH ,HS pU,H {2 qq 8.
Remark 5.2.4. Add comment about the more general case supiPI i 8 instead
of supiPI i 0. It can be treated by subtracting some supiPI i from A. Add
comment about the more general case of generator of an analytic semigroup.
5.2.3 Exercises
Exercise 5.2.5. Assume the setting in Section 5.2.1 and let dI,r : P pI q P pI q
r0, 8q, r P p0, 8q, be mappings given by

dI,r pI, J q pAqr PI4J LpH q (5.26)
for all I, J P P pI q, r P p0, 8q. Prove that for every r P p0, 8q it holds that the pair
pP pI q, dI,r q is a metric space.
Bibliography
[1] Cohn, D. L. Measure theory. Birkhauser Boston Inc., Boston, MA, 1993.
Reprint of the 1980 original.
[2] Da Prato, G., and Zabczyk, J. Stochastic equations in infinite dimen-

sions, vol. 44 of Encyclopedia of Mathematics and its Applications. Cambridge
University Press, Cambridge, 1992.
[3] Henry, D. Geometric theory of semilinear parabolic equations, vol. 840 of

Lecture Notes in Mathematics. Springer-Verlag, Berlin, 1981.
[4] Heuser, H. Lehrbuch der Analysis. Teil 2, sixth ed. Mathematische Leitfaden.
[Mathematical Textbooks]. B. G. Teubner, Stuttgart, 1991.
[5] Jentzen, A., and Kloeden, P. Taylor Approximations for Stochastic Partial
Differential Equations, vol. 83 of CBMS-NSF Regional Conference Series in
Applied Mathematics. Society for Industrial and Applied Mathematics (SIAM),
Philadelphia, PA, 2012.
[6] Klenke, A. Probability theory. Universitext. Springer-Verlag London Ltd.,

London, 2008. A comprehensive course, Translated from the 2006 German orig-
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[7] Klenke, A. Probability theory. Universitext. Springer-Verlag London Ltd.,

London, 2008. A comprehensive course, Translated from the 2006 German orig-
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equations, vol. 44 of Applied Mathematical Sciences. Springer-Verlag, New York,
1983.
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126 BIBLIOGRAPHY
[9] Prevot, C., and Rockner, M. A concise course on stochastic partial dif-
ferential equations, vol. 1905 of Lecture Notes in Mathematics. Springer, Berlin,
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ven/publications/papers/ISEM.pdf (2007), 234 pages.
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Numerical Analysis of Stochastic

Partial Differential Equations

April 10, 2014

Zurich, February 2014

I Foundations in functional analysis and infinite dimen-

2 Semigroups of bounded linear operators 39

2.4 Strongly continuous semigroups . . . . . . . . . . . . . . . . . . . . . 47

4 Random variables and stochastic processes with values in infinite

4.3.4 Cylindrical Wiener process . . . . . . . . . . . . . . . . . . . . 111

II Stochastic Partial Differential Equations (SPDEs) 113

III Numerical Analysis of SPDEs 115

Foundations in functional analysis

A bit measure theory and

1.1 Regularity of functions

Definition 1.1.2 (Domain of definition, range/codomain, image of a function). Let

we denote by Dpf q : A the domain of definition of A,

we denote by rangepf q : B the range/codomain of f ,

we denote by impf q : f pAq the image of f and

we denote by graphpf q : tpx, y q P A B : y  f pxqu the graph of f .

1.1.2 Measurable functions

Definition 1.1.3 (Measurable functions). Let p1 , F1 q and p2 , F2 q be measurable

Definition 1.1.4 (Borel sigma-algebra). Let pE, E q be a topological space. Then we

Proposition 1.1.7 (Nonlinear characterization of the Borel sigma-algebra). Let

It thus remains to prove that

For this observe by that definition it holds that

B pE q  E ptA P P pE q : A is an open set in pE, dE quq . (1.5)

It thus remains to prove that

tA P P pE q : A is an open set in pE, dE qu (

For this let A E be an open set in pE, dE q and let : E R be given by

pxq  distE ptxu, E zAq (1.7)

The proof of Proposition 1.1.7 is thus completed.

Definition 1.1.9 (Sets of numbers). We denote by

the set of natural numbers, we denote by

N0 : N Y t0u  t0, 1, 2, . . . u (1.10)

Z : t0, 1, 1, 2, 2, . . . u (1.11)

Lemma 1.1.10. Let p, F q be a measure space, let Y : R be a function and let

Proof of Lemma 1.1.10. Note that for all c P R it holds that

1.1.3 Lp -spaces of measurable functions for p P r0, 8q

for all f P L0p; }}V q and we define the set

for all f P Lpp; }}V q, we define the set

and we define the function }}L p;}}

for all f P L0p; V q.

1.1.4 Simple functions

1.1.5 Strongly measurable functions

Definition 1.1.16 (Separability). A topological space pE, E q is called separable if

A topological space that is not separable is in a certain sense extremely large.

Definition 1.1.17 (Strong measurable functions). Let p, F q be a measurable space

Proof of Lemma 1.1.18. W.l.o.g. we assume that A  H. Let pen qnPN E be a

and if v P Azten P E : n P Nu, then it holds for all n P N that

Proof of Lemma 1.1.20. Identity (1.27) is an immediate consequence of (1.26). Let

Dpxq  pD1 pxq, . . . , Dn pxqq  pdE px, e1 q, . . . , dE px, en qq (1.28)

This, in turn, implies that for all A P P pE q it holds that

Proof of Lemma 1.1.21. Corollary 1.1.12 ensures that f is F/B pE q-measurable. It

Theorem 1.1.22 (Approximations of strongly measurable functions). Let p, F q be

(i) It holds that f is F/pE, dE q-strongly measurable.

(ii) There exists a sequence gn : E, n P N, of strongly F/pE, dE q-measurable

(iii) There exists a sequence gn : E, n P N, of simple functions with the prop-

(iv) There exists a sequence gn : E, n P N, of simple functions with the prop-

In the next step let Ppe ,...,e q : E E, n P N, and gn : E, n P N, be functions

for all x P E, n P N and through

gn : Ppe1 ,...,en q  f (1.36)

dE pf p q, gn p qq dE pf p q, gn 1 p qq and lim dE pf p q, gn p qq  0. (1.38)

we denote by Dpf q : A the domain of definition of A,

we denote by rangepf q : B the range/codomain of f ,

we denote by impf q : f pAq the image of f and

we denote by graphpf q : tpx, y q P A B : y f pxqu the graph of f .

B pE q E ptA P P pE q : A is an open set in pE, dE quq . (1.5)

tA P P pE q : A is an open set in pE, dE qu (

pxq distE ptxu, E zAq (1.7)

N0 : N Y t0u t0, 1, 2, . . . u (1.10)

Z : t0, 1, 1, 2, 2, . . . u (1.11)

Proof of Lemma 1.1.18. W.l.o.g. we assume that A H. Let pen qnPN E be a

Dpxq pD1 pxq, . . . , Dn pxqq pdE px, e1 q, . . . , dE px, en qq (1.28)

gn : Ppe1 ,...,en q f (1.36)

dE pf p q, gn p qq dE pf p q, gn 1 p qq and lim dE pf p q, gn p qq 0. (1.38)

spanV pAq : t1 a1 ... n an P V : n P N, a1, . . . , an P A, 1, . . . , n P Ku .

Repz1 z2 q Repz1 q Repz2 q Impz1 q Impz2 q (1.61)

cosppn { qxq cosppm { qxq dx Re

LpV1 q : LpV1 , V1 q (1.81)

pw b vqpuq : vpuq w (1.90)

L1 pV, W q : tA P LinpV, W q : A is nuclearu (1.91)

}A}L pV q : }A}L pV,V q

Definition 1.4.25. Let pA, B, C q be a relation, let a P A and let b P B. Then