Generalization of Riesz Representation Theorem:

Lax-Milgram Lemma
Jandos Jayikbaev
2007000037
2012 Spring
Abstract
The Riesz representation theorem establishes an important connection between a Hilbert space and its dual
space. Meanwhile, the Lax-Milgram lemma, which was discovered by P.Lax and A.Milgram in 1954, generalizes
the Riesz representation theorem on sesquilinear forms. Both are very useful in establishing existence and
uniqueness results in dierent areas of mathematics, where we can link the problem with some Hilbert space.
In this paper we will prove the Lax-Milgram lemma while the Riesz Representation Theorem will be stated
without a proof. In addition, we will consider some applications.
1 Riesz Representation Theorem and Lax-Milgram Lemma
Notation. We denote an inner product on a Hilbert space H by
(, )
H
. (1)
Lets rst state the Riesz representation theorem.
Riesz Representation Theorem. Let H be a Hilbert space and let f be in the dual of H. Then there is a unique
v H such that
f(u) = (u, v)
H
(2)
for all u H.
Proof. Omitted.
Lets recall the denition of sesquilinear forms.
Denition 1.1 (Sesquilinear forms). Let V/F be a vector space. A sesquilinear form on X is a mapping
B : V V F
(u, v) B[u, v]
that is linear in the rst argument and conjugate-linear in the second argument.
Remark. Note that when the second argument is held constant in a sesquilinear form we get a linear functional in
the rst argument.
Also recall that a Hilbert space can be written as a direct sum of a non-empty closed subspace and its orthogonal
complement.
Lemma 1.1. Let H be a Hilbert space and Y H be a closed subspace of H. Then
H = Y Y

. (3)
Proof. Omitted.
Now we are ready to prove the Lax-Milgram lemma.
Lax-Milgram Lemma. Let H be a Hilbert space. Assume B : H H F is a sesquilinear form that satises
(i) B is bounded i.e. > 0 such that
[B[u, v][ |u||v| (u, v H). (4)
1
(ii) B is coercive i.e. > 0 such that
|u|
2
[B[u, u][ (u H). (5)
Then any f in the dual of H is of the form
f(u) = B[u, v] (u H), (6)
for some unique element v H.
Proof. (I) Fix v
0
H. Then v B[u, v
0
] is a linear functional on H. By the Riesz representation theorem,
!Av
0
H such that
B[u, v
0
] = (u, Av
0
)
H
(u H).
Accordingly we dene a mapping
A : H H
v Av
(I) First we claim that A : H H is a bounded linear operator. If F and v
1
, v
2
H, then for each u H we
have
(u, A(v
1
+v
2
))
H
= B[u, v
1
+v
2
] = B[u, v
1
] +B[u, v
2
] = (u, Av
1
)
H
+(u, Av
2
)
H
= (u, Av
1
+Av
2
)
H
.
Thus, A(v
1
+v
2
) = Av
1
+Av
2
, and so A is linear. Now for any u H,
|Au|
2
= (Au, Au)
H
= B[Au, u] |Au||u|.
Therefore, |Au| = |u| for all u H, and so A is bounded.
(III) Next we assert
_
A is one-to-one
R(A), the range of A, is closed in H.
Observe that |v|
2
B[v, v] = (v, Av)
H
|v||Av|. Thus,
|v| |Av| (v H). (7)
Av = 0 implies v = 0, by (7). Therefore, A is 1 1. Let Av
m

m=1
R(A) be a sequence converging to v H.
Then again by (7), v
m

m=1
is a Cauchy sequence in H. Thus, v
m
w in H. Now for any u H,
[B[u, v
m
w][ |u||v
m
w| ( 0 as m ).
and
[(u, Av
m
v)
H
[ |u||Av
m
v| ( 0 as m ).
Therefore, limit of B[u, v
m
] = (u, Av
m
)
H
as m equals B[u, w] = (u, v)
H
. Since B[u, w] = (u, Aw)
H
, where
Aw is uniquely determined, we must have Aw = v R(A). Thus, R(A) is closed.
(IV)In fact,
R(A) = H.
For otherwise, by lemma 1.1, there would exists a non-zero element z H with z R(A)

. But then 0 < |z|

2

B[z, z] = (z, Az)

H
= 0. A contradiction.
(V) Let f be in the dual of H. Then by the Riesz representation theorem,
f(u) = (u, w)
H
(u H)
for some w H. Let v H such that Av = w. Then
B[u, v] = (u, Av)
H
= (u, w)
H
= f(u) (u H).
This is (6).
(VI) Finally, we show that there is at most one v H satisfying (6). For if B[u, v] = f(u) and B[u, v] = f(u),
then B[u, v v] = 0 (u H). But then |v v|
2
B[v v, v v] = 0 implies v = v.
Remark. Note that B[u, v] := (u, v)
H
is a sesquilinear form that is bounded and coercive. Thus, the Riesz
representation theorem is a special case of the Lax-Milgram lemma.
2
2 Application 1
Here we will use the Riesz representation theorem to give a very nice proof of the Radon-Nikodym theorem. This
theorem is very important in the measure-theoretic probability theory.
Suppose f is a non-negative integrable function with respect to some measure dened on a measurable space
(, /). If we dene by
(A) =
_
A
f d (A /), (8)
then is a measure which is absolutely continuous with respect to . The Radon-Nikodym theorem deals with
the converse of this situation.
Denition 2.1. Let (, /, ) be a measure space. Then we say is
(i) a nite measure, provided () < and
(ii) a nite measure, provided can be written as a countable union of mutually disjoint measurable sets of
nite measure.
Radon-Nikodym Theorem. Let and be nite non-negative measures dened on the same measurable
space (, /). Suppose is absolutely continuous with respect to . Then -measure can be expressed as
(E) =
_
E
g d (E /), (9)
where g is a unique (up to a.e. equality with respect to ) non-negative integrable function with respect to .
Before we give the proof of the theorem lets recall the space of square integrable functions with respect to a
measure .
Denition 2.2. Let (, /, ) be a measure space, where is nite. Then we dene the space of square integrable
functions L
2
() by
L
2
() = f : R [
_

f
2
d < +. (10)
Note that L
2
() is a real Hilbert space with the inner product
(f, h)
L
2
()
:=
_

fhd (f, h L
2
()), (11)
and the induced norm
|f|
L
2
()
:=
__

f
2
d
_
1/2
(f L
2
()). (12)
Now we prove the Radon-Nikodym theorem.
Proof. (I) Suppose that and are nite measures. Let f L
2
( +). Then by the Schwarz inequality, f must
be integrable.

f d( +)

[( +)()]
1/2
|f|
L
2
(+)
< ,
where we could replace d( +) with d or d. Then the following mapping
f
_

f d (f L
2
( +))
denes a bounded linear functional on L
2
( +). Then by the Riesz representation theorem, we have
_

f d =
_

fhd( +) (f L
2
( +))
for some h L
2
( +). We rewrite this as
_

f(1 h) d =
_

fhd (f L
2
( +)) (13)
(II) Now we claim that
0 < h 1 (14)
3
except for a set of measure zero. To show this let
F := h 0
G := h > 1.
Set f =
F
. Then (13) becomes
_
F
(1 h) d =
_
F
hd. (15)
Since h 0 on F, (F) than the left hand side of (15), while the right hand side is 0. Thus, (F) = 0. Now
suppose (G) > 0. Set f =
G
. Then (13) becomes
_
G
(1 h) d =
_
G
hd. (16)
Since h > 1 on G, the left hand side of (16) is negative, and the right hand side is positive, a contradiction.
Therefore, (G) = 0.
(III) We modify, if necessary, the function h on a set of measure zero so that (14) holds everywhere. Since is
absolutely continuous with respect to , this does not aect (13)
(IV) We claim that the function g in (9) is given by g := (1 h)/h. To see this, denote u = fh and rewrite (13) as
_

ug d =
_

ud. (17)
Let E /. Choose f so that u =
E
. Then (17) gives
_
E
g d = (E).
Note that g is uniquely dened in the sense that if g is another non-negative integrable function satisfying (9),
then g = g a.e. in with respect to .
(V) Now suppose and are nite measures. Then can be written as a countable union of mutually disjoint
measurable sets whose and measures are nite. Let
:=

_
n=1
B
n
such that B
n
/ and B
m
B
n
= whenever m ,= n. (18)
Then for each n = 1, 2, 3, . . . , there is an integrable function g
n
: B
n
[0, ) such that if E /, then
(E B
n
) =
_
EB
n
g
n
d.
Extend g
n
to be zero on (B
n
)
c
for each n = 1, 2, 3, . . . . Let g :=

n=1
g
n
and E /. Since E =

n=1
E B
n
, we
have
(E) =

n=1
(E B
n
) =

n=1
_
E
g
n
d = lim
N
N

n=1
_
E
g
n
d = lim
N
_
E
N

n=1
g
n
d =
_
E
lim
N
N

n=1
g
n
d =
_
E
g d,
where we have applied the Monotone convergence theorem
1
. Again g is uniquely dened. This completes the
proof.
Remark. Above proof was given by a famous mathematician Von Neumann. There is also a measure-theoretic
proof of the Radon-Nikodym theorem which is more dicult than this one.
3 Application 2
Here we will use the Lax-Milgram lemma to solve the Poisson problem with Dirichlet boundary condition.
_
u = f in
u = 0 on ,
(19)
where
1
(Monotone convergence theorem) Suppose f
n
is a sequence of non-negative measurble functions with f
1
(x) f
2
(x) . . . for all
x and with lim
n
f
n
(x) = f(x) for all x. Then

f
n
d

f d.
4
(i) R
n
is a bounded domain,
(ii) u : R is the unknown function,
(iii) f L
2
().
Before we start solving our problem lets clarify some concepts we will use later on.
We dene the Sobolev space W
1,2
() by
W
1,2
() := u L
2
() [ u
x
i
L
2
(), (20)
where partial derivatives are understood in a suitable weak sense
2
. We dene a norm on W
1,2
() by
|u|
W
1,2
()
=
_
|u|
2
L
2
()
+
n

i=1
|u
x
i
|
2
L
2
()
_
1/2
, (21)
with respect to which W
1,2
() becomes a Banach space. We denote a closure of C

c
() in W
1,2
() by W
1,2
0
().
We also need to introduce the following notation.
Notation.
H
1
() := W
1,2
() and
H
1
0
() := W
1,2
0
().
(22)
Now we will see that H
1
() and H
1
0
() are Hilbert spaces with a suitably dened inner product (this is the reason
for above notation).
We dene an inner product on H
1
() by
(u, v)
H
1
()
:=
_

uv +u v dx (u, v H
1
()) (23)
Then observe that the induced norm by this inner product is exactly the Sobolev norm | |
W
1,2
()
.
|u|
2
H
1
()
= (u, u)
H
1
(
=
_

u
2
+
n

i=1
u
2
x
i
dx = |u|
2
W
1,2
()
. (24)
Since W
1,2
() = H
1
() is complete with respect to the norm | |
W
1,2
()
= | |
H
1
()
, H
1
() is a Hilbert space.
But H
1
0
() H
1
() is a closed subspace of H
1
(). Therefore, H
1
() is also a Hilbert space with the inner
product (, )
H
1
0
()
:= (, )
H
1
()
and the induced norm | |
H
1
0
()
:= | |
H
1
()
.
Suppose u is a smooth solution of (19). Lets multiply u = f by a test function v C

c
() and integrate over
, to nd
_

u v dx =
_

fv dx, (25)
where we have integrated by parts in the rst term on the left hand side. There are no boundary terms since v = 0
on . By density, v can be replaced with any function in H
1
0
(). In addition, we must have u H
1
0
() to satisfy
the boundary condition. These observations motivate the following denition.
Denition 3.1. We say u H
1
0
() is a weak solution of (19) if
_

u v dx = (f, v)
L
2
()
(v H
1
0
()). (26)
In what sense this weak solution satises our Poisson problem? If u H
1
0
() satises (26), then
_
u = f in
u = 0 on ,
is satised in a.e. sense. Therefore, with a weak solution at hand we are able to satisfy our problem in some
respect. Of course, if there is a weak solution, it does not guarantee the existence of classical (where derivatives are
understood in the usual sense) solution. Nevertheless, we can further study the smoothness and other properties
of u.
2
(Weak derivatives) Let u, v L
1
loc
(). If

u(x)
x
i
(x)dx =

v(x)(x)dx
for every C

c
(), then we say v is the i
th
-weak partial derivative of u and we write D

u = v in the weak sense.

5
Now let B[u, v] :=
_

u v dx (u, v H
1
0
()). Then B is a bilinear form on H
1
0
() which is bounded and
coercive. For u, v H
1
0
(), we have
[B[u, v][ =

u v dx

i=1
|u
x
i
|
L
2
()
|v
x
i
|
L
2
()
n|u|
H
1
0
()
|v|
H
1
0
()
, (27)
and
B[u, u] =
_

i=1
u
2
x
i
dx =
n

i=1
_

u
2
x
i
dx =
n

i=1
|u
x
i
|
2
L
2
()
= |Du|
2
L
2
()
1/(1 +C
2
)|u|
2
H
1
0
()
, (28)
where we have applied the Poincares inequality
3
Note that the mapping v (f, v)
L
2
()
(v H
1
0
()) denes, by the Cauchy-Schwartz inequality, a bounded linear
functional on H
1
0
(). Therefore, by the Lax-Milgram lemma, there is a unique u H
1
0
() satisfying
B[u, v] = (f, v)
L
2
()
. (29)
Therefore, u is the unique weak solution to our Poisson problem.
References
[1] L.C.Evans. Partial Dierential Equations, (AMS, Providence, RI, 1998).
[2] P.D.Lax. Functional Analysis, (Wiley-Interscience, New York, 2002).
3
(Poincares inequality) Assume is bounded. Then there exists a constant C such that for any u H
1
(), we have the estimate
u
L
2
()
CDu
L
2
()
.
6