J A van Casteren

University of Antwerp

Generators of strongly continuous semigroups

Pitman Advanced Publishing Program

BOSTON LONDON MELBOURNE

PITMAN PUBLISHING INC 1020 Plain Street, Marshfield, Massachusetts 02050 PITMAN PUBLISHING LIMITED 128 Long Acre, London WC2E 9AN Associated Companies Pitman Publishing Pty Ltd, Melbourne Pitman Publishing New Zealand Ltd, Wellington Copp Clark Pitman, Toronto J A van Casteren 1985 First published 1985 AMS Subject Classifications: (main) 47D05, 60J35, 81C35 (subsidiary) 47D07, 47A10, 47A35 ISSN 0743-0337 Library of Congress Cataloging in Publication Data Casteren, J. A. van. Generators of strongly continuous semigroups. (Research notes in mathematics; 115) "Pitman advanced publishing program." Bibliography: p. Includes index. 1. Linear operators. 2. Semigroups of operators. 3. Groups, Theory ofGenerators. I. Title. II. Series. 84-25387 QA329.2.C37 1985 515.7'246 ISBN 0-273-08669-3 British Library Cataloguing in Publication Data Casteren, J. A. van Generators of strongly continuous semigroups.(Research notes in mathematics, ISSN 0743-0337; 115) 1. Semigroups I. Title II. Series 512'2 QA171 ISBN 0-273-08669-3 All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording and/or otherwise, without the prior written permission of the publishers. This book may not be lent, resold, hired out or otherwise disposed of by way of trade in any form of binding or cover other than that in which it is published, without the prior consent of the publishers. Reproduced and printed by photolithography in Great Britain by Biddies Ltd, Guildford

Contents

Preface Chapter 1: Chapter 2: Chapter 3: Chapter 4: Chapter 5: Chapter 8: Chapter 7: Chapter 8: Chapter 9:

Introduction. Semigroups and probability theory. Initial value problems. Convergence of semigroups. Holomorphic semigroups. Quadratic forms. Renorming and semigroups. Dispersive operators and semigroups. Convex invariant subsets of semigroups.

1 8 65 75 82 97 130 153 158 168 170 177 178 198

Concluding Remarks Appendix.

Feynman path integrals and the Feynman-Kac formalism

Acknowledgement References Index

Preface

This work brings together for the first time recent topics in the theory of strongly continuous one-parameter semigroups of linear operators, discussing the relationship between several of the properties of the generator of such a semigroup and the corresponding properties of the semigroup itself. Proofs of most of the assertions are given; in each case a precise reference is provided. It is the author's intention to introduce to the reader equipped with a basic knowledge of functional analysis several new and developing branches of semigroup theory, and to encourage mathematicians to start work in this interesting field. Moreover, it is hoped that researchers already working with operator semigroups will find a stimulus in the discussion and treatment of the main topics covered and in the number of original results included. Since the present work cannot deal with all the most recent contributions and references, especially in the area of applied semigroup theory, some of the main sources of results are summarized at the end of the book.

1 Introduction

In this book we want to review some of the properties of strongly continuous one-parametric semigroups. Instead of "strongly continuous one-parametric semigroup" we usually just say "semigroup". We also want to discuss the relations which exist between semigroup theory and several areas of mathematics. Let X be a real or complex Banach space and let {P(t) : t > 0} be a family of continuous linear maps in X. The family {P(t) : t > 0} is said to be a strongly continuous semigroup (or just semigroup) if it has the following properties: (1) P(0) -- I : (ii) P(s + t) = P(8) o P(t), 8, t > 0; (iii) lim elo P(t)z = 2, x E X. Property (iii) means that, for all x in X, lim liP(t)x xil =0 to In the presence of (ii), property (iii) is equivalent to weak continuity: i.e. lm < P(t)x,x* >--=--< x, x* 7 i to for all x in X and all x* in X* . A semigroup {P(t) : t > 0} may be thought of as a family of operators of the form P(t) = exp(tA), t > 0, where A is some linear operator, which usually is unbounded. The generator A of a semigroup {P(t) : t > 0} is defined by
Ax = limt l (P(t)x x) to

for x in D(A), the domain of A, which is defined by

D(A) = Ix E X : ltimti (P(t)x z) exists}.

The generator A uniquely determines the semigroup {P(t) : t > 0} and is a closed densely defined linear operator. Here by "closed" we mean that the graph G(A) of A, which is defined by
G(A) = {(x,Ax) : x E MA)}

is a closed subspace of X X X. Let {P(t) : t > 0} be a strongly continuous semigroup with generator A. Then there exist w in R and M > 1 such that 11P(t)I1 < M exp(4, So for X > w it makes sense to write 00 R(X)x = It turns out that R(X) = (XI X > w. 0 e xt P(t)zdt, z E X. t>0

The crux of the matter is relating properties of the operator A, or of the resolvent family fli(X) : X > w}, to the properties of the semigroup {P(t) : t > 0} and conversely. If it is possible to choose w = 0 and M = 1, then {P(t) : t > 0} is said to be a contraction semigroup. Theorem 1.1., which is due to Hille and Yosida, characterizes generators of strongly continuous semigroups. Theorem 1.1. (Hille-Yosida) Let A be a closed linear operator with domain and range in a Banach space X. Let w be in R and let M > 1. The following assertions are equivalent: (i) The operator A generates a strongly continuous semigroup {P(t) : t > 0} for which 11P(t)11 c M exp(wt), (ii) The domain D(A) of A is dense, X/ t > 0,

A is invertible for X > w and

(X w)nil(X/ A) n11< M, X > w, n E N. For a proof the reader is referred to a standard textbook on semigroup theory; e.g. see Yosida [277] or Davies [58]. Since the norms of all powers of (XI A) -1 have to be estimated the above result is most of the time hardly applicable. For a formulation of a similar result in which not all powers of (X A)-1 are involved, the reader is referred to Laptev [172]. A drawback of the latter reference is that a suitable bounded zero-neighborhood must be found. See Corollary 9.6. too. A similar problem occurs if Theorem 1.1. is reformulated as follows.

Theorem 1.2.

Let A be a closed densely defined linear operator in a Banach space X. The operator A then generates a strongly continuous semigroup if and only if X can be supplied with some new norm 11.111y equivalent to the original one, such that for some real number w the operators XI A are invertible for X > w and satisfy (X w)11(X/_Arizili > w, Ex
A

(*) and if

{P(t) : t > 0} is the semigroup generated by If 1113(011 < Mexp(wt), t > 0, then 11.11 1 may be defined by

1141 = sup{e'11P(t)x11

> 0},

x E X.

This norm then satisfies (*). Conversely if (*) holds, then (XI A) 1, X > w, satisfy the inequalities in assertion (ii) of Theorem 1.1. In the context of Hilbert space operators we return to this problem later; see Chapter 7. For the moment we continue with some generalities. A linear operator in a Banach space is closable if the closure of its graph is again the graph of_a linear operator. This operator is the closure of A. Usually it is denoted by A. The operator A is said to be a pre-generator of a strongly continuous semigroup {P(t) : t > 0} if it is closable and if its closure generates {P(t) : t > 0}. The operator A is said to be dissipative if for all X > 0 and all x in D(A) the inequality liXz Axil .> X11x11 holds. If X is a Hilbert space with inner product <, >, then A is dissipative if and only if Re < Ax, z > < 0 for all x in D(A). We shall prove that in case X is a complex space the operator A is dissipative if and only if for all X in C with Re X > 0 and all x in D(A) the inequality 11Xx Axil _> Re Xilxli holds. From the proof it follows that A is dissipative if and only if for every x in D(A) there exists an element x* in X* such that lix* II = 1, such that > < 0. A proof of all this runs as < >== 11x11 and such that Re < Ax, follows. Let A be dissipative. Fix x in D(A) and choose for each X > 0 an element ek` in X* in such a way that II xa II < 1 and that
-= iiXx Axil - < Xx Az, >.

Choose an element x* in the intersection

is> 0

wealeclosure{4, : X > 3

Since the dual unit ball is weak* compact such an element z* exists. From (1.1.) it follows that Re < Az, 4, > = X Re < z,z';, > 11Xx Axil = Xiizii Az Azil < 0, X > 0

(1.2.)

Here we used the fact that A is supposed to be dissipative. From (1.1.) we also obtain the equality

1 < x, 4, >= Ilz X-1Azi 1 + X-1 < Az,4 >, X > 0.

(1.3.)

Since z* is a weak limit point of {4 : X > p} for each p > 0 it follows from (1.2.) and (1.3.) that Re < Az, z* >< 0 < z,z* >= 114, liz*II 5_ 1. Finally take X in C with Re X > 0. From (1.4.) and (1.5.) it follows that Pa Axil > Re < Xx Az, z* > = Re(X < z, z* >) Re < Az, z* > Re(Xlix11) 0 = Re Xlizil. Next we characterize pre-generators of contraction semigroups. For a proof the reader is a referred to Lumer [194] and to burlier and Phillips [196]. See also Lumer [193]. We also include a proof. Theorem 1.3. (Lumer-Phillips). Let A be a linear operator in a Banach space X. The following assertions are equivalent: The operator A pre-generates a strongly continuous contraction semigroup; (1) (ii) The operator A is dissipative, its domain is dense and there exists X > 0 such that R(XI A) is dense in X. (1.4.) (1.5.)

Proof. (i) = (ii). This implication is easy. (ii) (i). First we prove that the operator A is closable. Let (zn. : n E be a sequence in D(A) for which lim xn = 0 and for which y Az,, exists. We shall prove that y = 0. Choose yn in D(A) in such a way that nE Yii < Then, since A is dissipative,
II x ( xxn + ym) A(Xx r, + ym)II > alf ax n + Wiz II

for X > 0, n,m E IN. First let n tend to infinity to obtain II XYm XV AYmil > X ilYmil) X > 0, 7n E Divide by X and let X tend to infinity. We get VII Ilihniii mE

Finally let m tend to infinity and infer y = 0. So A is closable. Let A be its closure. The operator A has the following properties: (1) (2) (3) D(A) is dense in X; 11Xx Axil ?_ Xlix11, X > 0, z E D(A); There exists Xo > 0 such that (X0/ A)D(A) = X.

Since A is dissipative, its closure A, whenever it exists, is so too. Let Xo > 0 be such that R(X0/ A) is dense in X. The (3) follows from (2) for X = X0. Let Xo > 0 be as in (3) and put R(X0) = (X01 A)-1. Define for 0 < X < Xo the operator R(X) by R(X) =

E - XrR(X0r+1 n=--0

00

0 Since IX0 X111R(X0)II < IX XIX"-1 < 1, this series converges. Check for 0 < X < 2X0 the equalities (XI A)R(X)z = z, z E X, R(X)(XI A)x E D(A).

Consequently (XI Art exists for 0 < X < 2X0. Next any real number in the interval (0, 2X0) can play the role of X0. So we infer that (XI A)-1 exists for 0 < X < 4X0. Continuing in this fashion yields the existence of all inverses (XI X > 0. From the Hille-Yosida theorem (Theorem 1.1.) it follows that the operator A generates a strongly continuous contraction semigroup. 5

-s

We mention two corollaries. Corollary 1.4. Let A be a densely defined dissipative operator in a Banach Space X. If R(A) = X, then A is closed and A generates a contraction semigroup. For this corollary we need the following lemma. Lemma 1.5. Let A be a dissipative linear operator with range R(A) and kernel N(A). Then R(A) n A r (A) = {0}. Proof of Lemma 1.5. Let x belong to R(A) fl N(A). Then there exists a sequence (xn : n E IN) in N(A) and there is a sequence (yr& : n E N) in D(A) such that x lira xn = lira AVn. Since A is dissipative the following inequalities hold: 11Xxn + X2 Yrn. A(Xitm)ii = 11X(xn + Xy m) A(xn
Xiixn

Cc

CO]

PI

Le is to tb X se e2

st -w

First let n tend to infinity, then divide by X and after that let X tend to zero. The inequality iix AYmii IIxlI

will follow. Finally let m tend to infinity. Hence x = 0.

Proof of Corollary 1.4.

X by V(Az) = z E D(A). By Lemma 1.5. the Define the operator V : X operator V is well-defined. It is everywhere defined. Since A is dissipative and densely defined it is closable. Since R(A) = X it is closed and so V is closed too. By the closed graph theorem it is continuous. Choose c > 0 in such a way that 7 cliVII < 1. Then (I+ EV)-1(= Er _0 (EV)n) exists and

(cI V + (Y)! = (EV AV)(I + 611-1 = (cV +

+ EV)-1 = I.

Consequently A has all properties of (ii) in Theorem 1.3. We conclude the introduction with the following corollary. For a proof we refer the reader to Balakrishnan [9, Theorem 4.33].

Corollary 1.6. Let A be a densely defined operator in a Hilbert space. Then A generates a contraction semigroup if and only if A is closed and A and A* are dissipative. Proof. Let X be the Hilbert space in which everything takes place. If A is closed and if A is dissipative, then RV A) is closed. Suppose that the vector zo is perpendicular to RV A). Then zo belongs to 1 NA*) and (iA*)xo = 0. If A* is dissipative too, then we see zo = 0. Hence, if A and A* are both dissipative, then R(I A) = X. An application of Theorem 1.3. shows then that A generates a contraction semigroup. This proves the sufficiency part. For the necessity part, combine the easy part of Theorem 1.3. with Proposition 7.6. There are several areas in mathematics in which motivate and influence the study of strongly continuous operator semigroups in Banach spaces. In the sequel we shall describe some of these areas.

2 Semigroups and probability theory

Let E be a locally compact space with Borel field E. E will serve as the state space of some strong Markov process. Let P : [0, oo) X E X E -4 [0, 1] be a suitable Markov transition function. In fact suppose that P has the following properties: (a) For each (t, x) in [0, oo) X E fixed, the map B 1-* P(t, B), B in E , is a sub-probability Radon measure on E;

(bl) For each t > 0 and each open subset 0 of E the function x P(t, z , 0), x E E, is lower semi-continuous; (b2) For each t > 0 and each compact subset K of E the function P(t, z, K), z E E, is upper semi-continuous and P(t, x, K) = 0; (c) The Chapman-Kolmogorov identity holds: P(s + t, x, B) = f E P(8, y, B)P(t, x, dy), 8,t > 0, z E E, B E E;

limt ro P(t, z, U) = 1, x E U, U open. (d) Define for t > 0 and f a bounded or a positive Borel function on E the function P(t)f by
P(t)f(x)= f f (y)P(t, z, dy), x E E.

(*)

A Feller semigroup {P(t) : t > 0} is a positivity preserving strongly continuous contraction semigroup acting in C0 (E). here positivity preserving means that P(t)f > 0 whenever f > 0. In the following theorem we identify Feller semigroups and Markov transition functions with properties (a), (b), (c) and (d) as described above. For a proof we refer the reader to Lumer 03]. For completeness we insert an outline of a proof.

Theorem 2.1. (a) Let P : 10, oo) XEXE [0,1] be a Markov transition function with properties (a), (b), (c) and (d). Define {P(t) : t > 0} as in (*). Then P(t)Co(E) C Co(E), t > 0, and {P(t) : t > 0} restricted to Co(E) is a Feller semigroup. Conversely let {P(t) : t > 0} be a Feller semigroup in Co(E). Then there exists a Markov transition function with the properties (a), (b), (c) and (d) for which (*) holds.

(b)

Outline of a proof. (a) Let f in Co(E) be such that 0 < f < 1 and put
2"

2"

gn = 2n E
k=.1

E 1{f>k2-"I

It is readily verified that

lim I1 P(t) f P (t) n IJ co = lim IIP(t)f

P(t)hnll

= 0, t > 0.

Since P(t)hn, n E IN, is upper semi-continuous and since P(t)gn, n E IN, is lower semi-continuous the function P(t)f is continuous. Since, in addition, P (t)hn(z) = 0, the function P(t)f belongs to CO) for t > 0. From the Chapman-Kolmogorov identity (c), the semigroup property P(8 + = P(a) o P(t), a, t > 0, follows. Since limo P(t, x , U) = 1 for all z in U and for all open subsets U of E, it follows that

lim P(t) /(z) = 1(4 f E Co(E),

z E E.

From this together with Lebesgue's dominated convergence theorem it follows that tamfP(t)fdt=ff d for all f in Co(E) and all complex Radon measures it on E. Since Co(E)* can be identified with the space of all complex Radon measures on E, it follows that the semigroup {P(t) : t > 0} is weakly continuous. It is a standard result in semigroup theory that a weakly continuous semigroup is strongly continuous, e.g. see Yosida [277]. This proves (a).

(b) Let {P(t) : t > 0} be a Feller semigroup, fix t > 0, fix x in E and consider the continuous linear functional
f H

[P(04(4 f E Co(E) .

By the Riesz representation theorem there exists a sub-probability measure itt on z E which is also a Radon measure such that
P(t)f(y) = f f(Y)ditt (0) z
f

E Co(E).

Define the function P : [0, oo) X E X

[0,1] by

P(t, B) = pt(B), t> 0, xE E, BEE. It is a more or less standard exercise in topological measure theory that the function P has the properties (a), (bl), (b2), (c) and (d). Let E be a second countable locally compact Hausdorff space and let P : [0, co) X E X E --> [0,1] be a Markov transition function with the properties (a), (b), (c) and (d). In Blumenthal and Getoor [25, p. 42.] it is shown that there exists a strong Markov process f(til M Pz ), (X t : t 0), (tt : t > 0), (E, e)}EEE with right continuous paths such that for all x in E the joint distribution Ps(Xti E B1, ...) Xt E B.) is given by Px(Xti E B1, . . Xtt, E B,) = ff BI B2 f P(t,. B, ; 2_1,
.P(t2 ti, xi dx2)P(ti, x, dxi)

(2.1.) where t1 < t 2 < . . . < to and where B1 , B2,..., B. are Borel subsets of E. Some explanation seems in order. (i) The path space or sample space fl is the collection of all right continuous paths from [0, oo) in E.

10

(ii)

The state variables (Xt : t > 0) are maps from 12 to E and are defined by Xt(w) (40, w E 0, and the maps (eh, : h > 0) are the shift operators in 0 : [6h(w)1(t) = Lo(t + h), t > h > 0. Consequently X+t = X, o et, 8, t > 0. The state variables describle the "motion" of the process. For every z in X, the collection {(0, .M, Pz), (Xt : t > 0), (eh : h is a stochastic process which starts in z. 0), , ell

(iii)

The state space E and E is the Borel field of E. The symbol .M stands for the o-algebra which makes each state variable Xt measurable as a map from (0, )4) to (E, 6). For every z in E the map I:" is a probability measure in 12. For A in (, Pz(Xo E A) = 0 or 1 and f"(X0 = z) = 1 A random variable Y is an .M-measurable function from 0 to C. If I : E is Borel measurable, then f o Xt is a random variable. C

(iv) (v) (vi)

The collection {Pz : z E E} is a Markov process in the sense that for every bounded or non-negative random variable Y the function x 1-4 Ez(Y) := fYdPx, x E E, is Borel measurable and that Ex(Y o et I it) = Ext(Y), Px almost surely. (2.2.)

Here 4 is the o-algebra generated by {X9 : 0 < a < t} . In other words = :0<
8

< t).

The symbol Ex(Y o t9t I it) is the conditional expectation of the random variable Y a et with respect to the a-algebra 4. Thus Ex(Y 0 6t 1 .7t) is a 4-measurable function for which f Ex(Y o et I 7t)dPz = f Y o et dPx , A E
A A

(2.3.)

The Radon-Nikodym Theorem guarantees the existence of such a function. From (2) and (3) it follows that rIX f Y o t,t dPz = I Ex t (y)dr A E It)
A A

t >0

(2.4.)

Using the monotone class theorem it is fairly easy to show that (2.2.) follows from (2.1.). 11

(vii)

From property (d) much more follows. Using (d) it can be proved that

t+) Ez(Y o Vt I i = Ext (Y), Pz almost surely.

for all t > 0 and all suitable random variables Y. Here

(2.5.)

n.t 78

(viii) Even more is true. Equality (2.5.) is not only true for constant times but also for path-dependent so-called optional or stopping times. An (4.0-stopping time T is a map T from fl to [0, oo] such that for every t > 0 the set {T < t} belongs to it . So for bounded or non-negative random variables Y the equality Ez(Y 0 t9T I .7T+) = ExT(Y) (2.6.) holds Px almost surely. Here IT+ is the a-algebra defined by

IT+ =

c>o

: S C T + E, S stopping time).

So for a subset A of 11 defined solely in terms of stopping times S < T, the function Ez(Y 0 6T I IT+) is IT+ measurable and

Y 0 OtTdPx = f ExT(Y)dPz, A E TT+ A

Often the latter is rewritten as Ex (Y 0 6T : A) = Ez(ExT(Y) : A), A E FT+. (ix) Let B be a Borel subset or, more generally, an analytic subset of E. Using Choquet's capacity theorem it can be proved that the first hitting time T : w + [0, oo] defined by = inf{t > 0 : Xt (cd) E B} co if Xt(u.)) E B for some 0 < t < oo, if Xt(w) B for some 0 < t C co.

T(w)

is a stopping time. These first hitting times or first exit times can be used to solve Dirichlet's problem for open subsets of Ir. (x) From the Markov property (2.2.) follows the semigroup property of the maps {P(t) : t > 0} defined by

[P(t)fax) = Ex (f(Xt)), t > 0,

E E.

Here f is a suitable Borel measurable function defined on E. 12

(xi) If for some z in E and some t > 0, P(t, x, E) < 1, then in (i) through (x) the state space E should be replaced by EU{oo}, the one-point compactification of E. Moreover in this case the subset 1I of (E U {oo})[}") may be chosen in such a way that if w in II is such that Xt(w) = oo for some t > 0, then X.(w) oo for all s > t. We also have
13x (Xt = oo) = 1 P(t, x, E), t > 0, x E E.

It is pointed out that, by property (d),

lim Pz (It = oo) = lim(1 do do (t , E)) == 1 1 = 0

for all z in E. Fix 23 in E. If P(t, x, E) = 1 for all t > 0, the process, which starts at x, is said to have infinite life-time. If, on the other hand P(t, x, E) < 1 for some t > 0, then
P(8., x, E) = f P(s t, y, E)P(t, x, dy) < f P(t, x, dy) = P(t, z, E) < 1

for all s > t. In this case the process which starts in x is said to have finite life-time. It is mentioned that (2.1.) and its consequences (2.2.), (2.4.) and (2.8.) are the relevant equalities in the study of (strong) Markov processes. It is also mentioned that if property (d) is augmented to

lim CI- sup (1 P(t, x, U)) = 0, do zEic

KC U, K compact, K open,

then there exists a realization of the above Markov kernel as a strong Markov process with continuous sample paths. For further information see Bauer [14], Chung [49], Port and Stone [228] and Blumenthal and Getoor [25]. If the sample space 12, the state space E and the probability measures {1 : x E E} are clear 3z from the context, then the Markov process is usually denoted by (Xt : t > 0). As a main example one should think of Brownian notion in W', where Px(Xt E A), t > 0, A E , is given by
Px(Xt E A) = WiTrtrn j exp((20-1
A

y( 2)dy

In view of what is written above it seems fair to study generators of Feller semigroups. An operator A with domain and range in Co(E) satisfies the maximum principle if for each f in D(A) with supfEE Re AO > 0 there exists in E for which
13

0 < sup Re f = Re f(6)

fEE

and for which the inequality ReAf(eo)<0 holds. Notice that operators which satisfy the maximum principle generalize second derivative operators; e.g. see Hunt [144], Arendt, Chernoff and Kato [7] or Sato [239]. An operator which satisfies the maximum principle is dissipative. We outline a proof. For another proof see Lamperti [170]. The result is due to Feller [94].

Theorem 2.2.
A linear operator with domain and range in Co(E) is the pre-generator of a Feller semigroup if and only if it has the following properties: (a) (b) (c) Its domain D(A) is dense in Co(E); It satisfies the maximum principle; There exists X > 0 such that R(XI A) is dense in CO).

Proof. Sufficiency. As is readily verified an operator A in Co (E) satisfies the maximum principle if and only if for all X > 0, all 6 in R and all f in D(A) the inequality
II{Re(XI A)(ei6 f)1+ II cc XII{Re(ei6f)+11 00

holds. Here g+ = max(g, 0), whenever g is a real-valued function. Since for real functions g in Co (E) the equality Ilg+11,, = inf{Ilu + gli : u > 0, u E Co(E)}

holds, we see that A satisfies the maximum principle if and only if for all X > 0, all 6 in R and all f in D(A) the inequality inffliu + Re{(X/ A)(el6 i)lii00 u ?: 0, u E Co(E)} X inlay + Re(e16f)1100 : v > 0, v E Co(E)) (*) 14

holds. From inequality (*) it follows among others that A is dissipative. Since D(A) is dense, by (a), the operator A is closable. Let A be its closure. By Theorem 1.3. the operator A generates a contraction semigroup {P(t) : t > 0}. From (*) it readily follows that g in D(A) satisfies g > 0 whenever Xg Ag > 0. Notice that inequality (*) remains true with A replaced by A. Consequently (XI A)1 f > 0 for all f in Co(E) is non-negative. Necessity. If A is closable and its closure generates a Feller semigroup, then (a) and (c) are automatically satisfied. Let fin INA) be such that )l {Re !lc, is strictly positive. Put g = (Re f)+ = max(Re f , 0) and choose eo in E for which g(e0) = supfg(e) : C E E}. Then, Re f(4) = g(e0), and so, since P(t)(Re f) < P(t)g , Re Af (Co) = lim t to

Re(P(t)f (Co) f

(ea

-i(P(t)(Re i)(eo) Re f(eo)) =tio t < lira sup t-1 (P(t)g(e0) g(6)) suP t-1 (HMI co 1191100) tie lim sup t l aigiloo 1191100) = 0. tie Consequently the operator A has property (b) too. If E = R.' and if A is the Laplacian in Co(Rn), then the closure of A generates a Feller semigroup. Using Theorem 2.2., the following corollary is easy to prove. A proof can also be found in Lumer [193]. Corollary 2.3. Let E be a bounded open subset of R' for which Dirichlet's problem is solvable. Let A be the Laplace operator in Co (E). Then A pre-generates a Feller semigroup. Proof. Let vn be the fundamental solution of the Laplace operator in Rn. So vn(z) = cnix1(1-2), x E Rn\{0}, n > 3, v2(z) = C2 logixl, x E R2 \{0}, and vi(z) = cilzi, x E 1111. where .1(z) = 1(x), Define the operator Vn : Co(E) Co(Rn) by Vnf = f * C (E) as follows. For f x E E, 7(x) = 0, x E. Define the operator HE : C(6 E) 15

in C(SE), HE f is the unique continuous function defined on E, whose restriction to E is harmonic and for which HE f (z) = f (x) for z in SE. Since the problem of Dirichlet is solvable for E, such a function HE! exists and is uniquely determined by f . Then

A((V,J E(Vf Is E)) 1E) = 1,

f E Co(E).

Consequently R(A) = Co (E). Corollary 1.4. applies to the effect that A generates a contraction semigroup in Co (E). Since A satisfies the maximum principle, this is a Feller semigroup.

Remark.
In the terminology and notation of Theorem 6.7. the operator A of Corollary 2.3. pre-generates the semigroup {Q(t) : t > 0} given by

[CM) fi(x)

(f (Xt) T > t), f E Co(E), zEE,

t> 0.

Here T is the first exit time from E:

T = inf{t > 0 : Xt E Ec}

In the following definition we fix a non-negative strictly positive Radon measure m on a locally compact Hausdorff space E. We also fix 1 < p < oo. The space LP(E, m) will be equipped with the norm 11.11p defined by II f li p = (f I flPdm)1/P, f E LP(E, m). Notice that C00(E) is a dense subspace of LP(Eon). For this we have used the fact that in is a Radon measure and that 1 5_ p < oo. So if T : (Coo(E), 11.11 p) 1- (LP(E,m), 11.11 p ) is a continuous linear operator, it can be extended to all of LP(E, m). This extension is again denoted by T and its adjoint by T* . The operator T* then acts from Lq (E , m) to Lq(E, m) where q-1 + p-1 = 1 for 1 < p < co and where q = oo for p = 1.

Definition 2.4.
Let {Po(t) : t > 0} be a Feller semigroup in Co(E) and let in. be a nonnegative strictly positive Radon measure on E. Fix 1 p < co. The semigroup {Po(t) : t > 0} is said to act on LP(E,m) if it has the followng properties: (i) There is a 6 > 0 and Af > 1 such that Po(t)Coo(E) C I (E, m) for 0 < t < S and such that 11P0(t)flip 5_ 16 If I E Coo(E), 0 < t 5_ s;

(ii)

limt l o 11Po (t)f f II p = 0, f E Coo(E).

If the semigroup {P0(t) : t > 0} has property (i) and if f belongs to Coo(E), then the entire orbit {Po (t) : t > 0} is a subset of LP(E,m). Moreover there exists a real number w such that

11/30(i)f11p 5_ Me w ililli

0,

f E Coo(E).

Since Coo(E), is dense in LP(E,m) it follows by continuity and by (ii) that the semigroup {Po(t) : t > 0} can be extended to a strongly continuous semigroup in (E, in). This semigroup will again be denoted by {Po(t) : t > 0}. To prove these assertions it suffices to estimate 11P0(nt)/ Il p for 0 < t < 5, n E IN, and for f in Coo(E). Here S > 0 is as in property (i). Write M = exp(w5) where
M = sup{11P0(t)flip : f E Coo(E), Ill llp 5. 1, 0 < t 5_ 61.

Fix f and g in Coo(E) and n in N. Then we have, for 0 < t < 6, If Po((n + 1)t)f g dint
=

= If Po(nt).fPo(t) g dm' 5_ IIPo(nt)f

iiPo(nt)flipliNtr gli q

Po(t)h.g dmi : h E Coo(E), Ilhllp < 1} h E Coo(E)) MI6 IC 1}

5_ 11Po(nOillp.suP{MIlh11P11911q h E Coo(E), M.11Po(nt)flig11q Since g in Coo(E) is arbitrary we infer by induction that 1 1 P0 (n t )f ll p 0 15. t n E N,

ilhllp 5_ 1}

f E Coo(E).

By the definition of u.) it follows that

11 130(t)i1112 Mewt Ilfllp, t > 0, f E Coo(E).

In the following proposition we collect some of the relevant properties of Feller semigroups in relation to LP-spaces. Among others it shows that if a Feller semigroup has property (i) in Definition 2.4., then it acts on LP(E, m) for 1 < p < oo.
Proposition 2.5.

Let {Po(t) : t > 0} be a Feller semigroup in Co(E) and let m be a strictly positive Radon measure on E. Let A0 be its generator. Let S > 0, M > 1 and define in It by M = exp(cd5). Suppose
17

I iPa(t)f Idni < m flfldm, f E Coo(E), 0< t< 6. The following assertions are valid: (a) If 1 < p < oo , then the semigroup {Po(t) : t > 0} acts in LP(E, m). It satisfies
UP0(t)filp 5_ (Ad exP(wt))11111/11p) f E IJ(E,m),

t > 0.

(b)

seinL1(E, If the subspace {f E MAO -110 f E (E m)} is I tiloicIdIensa then the semigroup {Po(t) : > 0} acts in L1 (E,m)1. It satisfies

11PoNfIli 5_ m exP(4411fIll , f E Ll (E, m), t> 0. Here m is said to be strictly positive if m(0) > 0 for every non-void open subset 0 of E. Proof. From the above discussion it follows that 11P0(t)fIli 5_ m exp(cot)11f111,

f E Coo(E),

t>0

(2.7.)

(a) Let (t, z, B) Po(t, z B), t > 0, z E E, BEE, be the Markov transition function corresponding to the semigroup {Po(t) : t > 0}. By Holder's inequality we have, for f in Coo(E) and z in E,
IP0 (Of (x) I

If f(v)Po (t, f If (v)IP0(t, z, dv) < (f lq Po(t, x, dy)) 11gUlf(Y)IPP0(t, x, dy))' I' (LP0 (t)I f I P 1(x))1 I P

Here 1 < p < co and q-1 + p-1 and t > 0,

1. So from (2.7.) we obtain, for fin Coo(E), (2.8.)

11P0(t)il1f, c 11P0M1i1P111 < mexp(wOl11f1P111 = mexppoilfg.

Hence the inequality in (a) follows from (2.8.). By density and by (2.8.) it suffices to prove the strong continuity of the semigroup {P0 (t) : t > 0} in LP(E, m) for functions f in Coo(E). So let f be in Coo(E). Then 18

IP0(t) f Mtn 11P0(t)f f IIp = flPo(t)f f liPo(t)f f it-1111)0(t)f f llr (1 + m 5_ 11130(t)f f

Since f is a Feller semigroup it follows that

iimilPo(t)f 111p = 0, to

1 E Coo(E).

(b) Let f in D(A.o) be such that Ao f belongs to 1) (E m). For 0 < t < S we have
t t 0

HAM f fill = III Po(8)(Aond8111

0

filPo(8)A0filids 5_ Mt11-40/111.

So limtiollP0(t)f flii = 0 for fin D(A0) such that Ao f belongs to Ll The density of the collection of such functions f implies the strong continuity of {Po(t) : t > 0} in Ll (E , m).
Corollary 2.8.

Let {Po(t) : t > 0} be a Feller semigroup which is symmetric in the sense that

I NW .9 dm = f f Po (t)g dm, f, g E 000(E), t > 0.

Then
Ilfilp) f E Coo(E), t > 0, 11P0(t)filp and the semigroup {Po(t) : t > 0} acts in Lp (E, m) for 1 < p < oo. For p = 2 the semigroup {P0 (t) : t > 0} is self-adjoint and has a self-adjoint generator.

Proof.

Fix f in Coo(E) and t > 0. Then IIP0(t)/111 = suP{If Po(t)f.g dmi : g E Coo(E); ligii00 < 1} = supflf f (t)g dmi : g E Coo(E), 1191100 C. 1} < suPti If .P0(t)gldrn : g E Coo(E)) 11000 < 1} -C 1} 5_ supff If Idm.11P0(i)g1100 g E Coo(E), 1} sup{f l f idm.11g11,,,, : g E Coo (E),
= 11/111.

19

As above it follows that IIP0(t)illp < Ill11,, f E coo(E). From Proposition 2.5. it follows that {Po (t): t > 0} acts in I (E m) for 1 < p < oo. For p = 2 each operator Po(t), t > 0, extends as a self-adjoint operator to L2 (E,m).

Remark 1.
Fukushima [102] founds the theory of symmetric Markov processes on symmetric (Feller) semigroups.

Remark 2.
Notice that the Laplace operator in Rri generates a symmetric Feller semigroup which also acts in Ll

Remark 3.
Let {Po(t) : t > 0} be a Feller semigroup in Co(E) and let (t, x, B) 1-4 Po(t, z B), t > 0, z E E, B E 6, be the corresponding Markov transition function. We write

Po(t) f (z) = I f (y)P0 (t, x , dy), t > 0,

for those Borel measurable functions for which the right hand side makes sense. If (Xt : t > 0) is the Markov process which corresponds to the semigroup {Po}(t) : t > 01, we have

Po(t)i(z) = Ex(f(Xt )), t > 0, for all suitable Borel measurable functions f . Remark 4.
Theorem 2.8. has its ramifications in the theory of the Schrodinger semigroups. The proof uses the Feynman-Kac formalism. In Chapter 6 some results on Schrodinger operators are stated without proof. The Feynman-Kac formalism says the following. Let {(fi, M , PT), (Xt t > 0), (t-- h : h > 0), (E 8)1 be a Markov process with state space E and let V be a suitable Borel measurable function. Define for an appropriate Borel function f and t > 0 the function P(t) f by
t

0 P(t) f (x) = E2(exp( .1 V(Xe)ds)f(Xt)), x E E. 20

Then the family {P(t) : t > 0} has the semigroup property; i.e.

[P(8 + t)fi(x) = [P(8)(P(t)f)](x), x E E, 8,1 7] 0. ..

For the state variables one often takes Brownian motion and for V a suitable potential function. In this case the generator of the semigroup {P(t) : t > 0} is a suitable self-adjoint version of the operator 2 O V. In the following definition we define the class of potential functions we have in mind.

Definition 2.7.
Fix a Feller semigroup {Po(t) : t > 0} in Co(E). A Borel measurable function V on E is said to be in Kato's class with respect to {Po(t) : t > 0} if it has the following properties: (i) (ii)

+1(z)ds are finite for z in E and t > 0; The integrals ft [Po (s)V
limt lo supzEE ft) [Po (8)V_1(x)ds = 0.

If V_ has property (ii), then ft) [Po(s)V_1(z)da is finite for all t > 0 and all re in E Here V = max(V, 0), V_ = max(V , 0) and we only consider real functions +

V.
In the following theorem E denotes a second countable locally compact Hausdorff space, m denotes a strictly positive Radon measure on E and {P0(1) : t > 0} denotes a fixed Feller semigroup, which in part (b) is supposed to act in Ll(E,m). Thus it acts in all spaces LP(E, m), 1 < p < oo. In fact if p > 1 we just need the fact that
M

:= suP{11P0(t)flii 111111 5_ 1,

f E Ceo(E), 0 C t C 1}

is finite; see Proposition 2.5. By "Kato class" we mean with respect to the fixed semigroup {P0 (t) : t > 0}. The Markov process associated to this fixed semigroup is denoted by

{(11,.M,Ps), (Xt , t> 0), (thy h> 0), Theorem 2.8.

Let the notation and hypotheses be as above. (a)

(B) e)}.

Let V be a continuous function defined on E such that both V and + V_ belong to Kato's class and let A0 be the generator of the semigroup {Po(t) : t > 0} in Co (E). Then there exists a closed linear operator A 21

which extends Ao V and which generates a strongly continuous positivity preserving semigroup {P(t) : t > 0} in Co(E). If V > 0, then this semigroup is again a Feller semigroup. (b) Let I < p < oo and suppose that the semigroup {Po (t) : t > 0} acts in (E, m). Let V be a function in Kato's class and let Ao be the generator of {Po(t) : t > 0} considered as a semigroup in LP(E, m). Then there exists a closed linear operator A which extends Ao V and which generates a strongly continuous positivity preserving semigroup {P(t) : t > 0} in LP(E,m). If p = 2 and if {Po (t) : t > 0} is symmetric, then the operator A is self-adjoint and it generates a self-adjoint semigroup. An operator T is positivity preserving if T f > 0 for f > 0.

Proof.

(a)

Let f be in Co(E) and define the functions P(t)f , t > 0, by

t

[P(t) Az) = Ex (exp( f V (X8 )cia). f (Xt)), z E E.

0

(2.9.)

From the Markov property it follows that, for s,t > 0 and z in E,
8+t

[P(8 + t)f](z) = (exp( f V (X8r)do). f (X8+0)

0 t

= Ex (exp( f V (X 4dcr). exp( f V (X r+8)dr) f t+

0 0

= Ex (exp( f V (L)dcr).Ex (exp( f V (XT )dr)f (Xt)))

8

= Ex (exp( o V (Xa)do.).[P(0 f](X,J) f [P(8)(P(t)f)i(x)

Next define the families of operators {71, : t > 0}, n E IN, by 4(0
1

[7111(t)gz) =

Ez((f V(X8)dsr f(Xt)), t > 0,

0

f E Co(E), n > 1, (2.10.)

[TO) f](x) = Po(t)f(z) = Ez (f(Xt)), t > 0,

f E Co(E).

Since V(z)V(y) = V (y)V(x), x, y E E, it follows that 22

[Tn(t) f](x) = Ez (( . . .

o<81.<82...<en<t

vpc8j...-17 (xsid8n....d81) ftxt)),

(2.11.) for f in Co(E), t > 0, zEE,n> 1. Using the Markov property it readily follows that for x in E and t > 0,
t

[Tn+ift)filx) = f Po(8)(vTn(t 8) f)(x)(18, f E Co (E), n = 0, 1, 2, ... (2.12.)

0

Here we use the convention of Remark 3. Put

t

a(t) = sup{f P0(8)1171(z)ds : z E E}.

0

Since V+ and V_ belong to Kato's class it follows that lim a(t) = 0 By induction on n it follows that, for t > 0,

sup{P;(8)/1100

t} 5 a(t)n sup{11130(8)fil

: 0 C 8 5 t }, f E Co(E)
(2.15.)

From the definition of {P(t) : t > 0} it follows that

CO

[P (t)f](x) = E(-1)n [Tn (t) f 1(x), t > 0, z E E,

n=0

(2.113.)

whenever the sum at the right hand side converges. Fix f in Co(E). From (2.14.) and (2.15.) it follows that
(-1)" ETn(t) fl(x) n=0

converges uniformly and absolutely on E in x and on [0, 5] in t for sufficiently small positive 6. From (2.6.) it follows that each function Tn(t)/ belongs to Co (E). Consequently the functions

P(t)f =

E (-1)n IVO ,
n=-0

00

0 < t < 6,

23

belong to Co(E). Since {P(t) : t > 0} has the semigroup property it follows that P(t)C0(E) C Co(E) for t > 0. For the strong continuity we notice the inequalities:
00 IIP(t)f 11100 __ 11 Po (t)1 11100 + 00 ._11Po(t) f 11100 +
n=1

11Tn(t) f 1100
n=1

a(t)n 11 f 1100

11P0(t)f /1100 + a(t)(1 a(t))-111 11100

(2.17.)

for f in Co(E) and for t > 0 such that a(t) < 1. Since limtlo a(t) = 0 and since {Po (t) : t > 0} is a Feller semigroup the strong continuity follows from (2.17.). Let A be the generator of the semigroup {P(t) : t > 0}. We shall prove that A extends the operator /44) V. To prove this, pick f in Co (E) and pick t > 0. Using the Markov property we see
t f Po(8)(v P(t s)f)(z)ds
0

t =1 Ez(V(L) [P(t s)J](X8 ))ds 0 t t-8 = f Ez [V (X.).Ex. (exp( f V(X7.)dr)./(Xt))]da o o t t-8 = f Ez [V (L). exp( f V(X,8 )dr).f(Xt )lds o o t t = Ex [f IT(. 71E ) exp( f V (X r )dr).ds. f(Xt)lds t s =-- t = Ex [exp( f V (X,-)dr) I B = 0 f WO] = [Po(t)1](x) [P(t)4(z) (2.18.) Define for X > 0 the operators V(X) by
CO

[V (X)f](x) = X f C" Po(s)(V f)(x)ds o co = X Ex( f ex8V(X8 ).f(L)d8), z E E, o 24

(2.19.)

where f is in Co(E). Notice that for f in Co(E), such that V f is in C0 (E),

V(X)f = X(XI Apr-1.17 f

(2.20.)

where as always A0 is the generator of the semigroup {Po(t) : t > 0}. Since the semigroup {P(t) : t 7 0} is strongly continuous there exists a constant M > 1 and a real number to such that
IIP(t)f 1100 < M exP(EA)-11/1100) t > 0, f E Co(E).

(2.21.)

Define for t > 0 the number OM by

t

0 For X > 0 we have, by the Markov property,

00

i3(t) = sup{E'(f V_(..7(8 )d8) : z E E}.

Ex( f e)"' V.4)(9)ds)

0

= Ex ( k-1

(k-11.0) IT (x8 _ k_ i 6+ k_ e X(k-1)8 (k-1)8 e X( s i Od8)

Ict5

E (E ex0 1)5 k=1

(f e x* VL(X.)ds))

< (1 e>5)-1 fl(5). Since /9(5) < 1 for S sufficiently small we obtain
00 0

sup{E2( f e--x8 V..4_2(8)ds) : z E E} < co, X> 0.

(2.23.)

Fix X > max(0, w). By (2.23.) we may apply Fubini's theorem in the equality
00

f eAt
o

Po (8)(VP(t 8)f)d8)dt

f e at Po(t)f dt
0

f rxt P(t)fdt, f E Co(E), f> 0.

0

(2.24.) This equality follows from (2.18.). From (2.19.) and from the identity
00 0

(XI A)1 f= f e xt P(t)f dt, f E Co(E),

25

we obtain (I + X-1V(X))(XI A)1 f = (XI A0)-1 f, f E Co (E). (2.25.)

First (2.25.) is valid for non-negative functions and so (2.25.) is also true for arbitrary functions in Co(E). From (2.25.) we conclude (XI A) f = (XI Ao)(I + X-1V (X)) f , f E D(A) So from (2.20.) and (2.26.) we infer the equality Ao + V)f , f E D(440) n D(V) It follows that A extends Ao V. This proves (a). (XI A)f = (XI

(2.26.).

(b)

Again define the semigroup {P(t) : t > 0} as in (a). So t [P(t)fj(z)= Ex (exp( f V(L)d8). f (Xt)), o f E L"(E, m), t > 0 . (2.27.)

Let 1 < q < oo be such that q-1 +p-1 = 1. Since V_ belongs to Kato's class, so does qV_. Consequently there exists a constant M > 1 and a real number ce such that t Ez(exp(q f V_(X8)ds)) < M exp(wt), t > 0, x E E. (2.28.) o Let f be in 11(E, m). From (2.27.), (2.28.) and Wilder's inequality it follows that t Ez(exp( .1' V(X8)(18)./(Xt)) 0 t < (Ex(exp(q f V(X,Jd8))11q(Ex lf(Xt)r)1/P o
t
5

o ._. (M exP(wt))11q (Po(t)i.f1P)1/13

_ (Ex(exp(q f V_(X8 )ds)))11q (P (t)IfjP)11P 0

Since {Po(t) : t > 0} acts in Ll (E,ra) we obtain from the latter

11P(Of11; 5_ (M exP(wt))P I q f Po(t)IPP dm < (M exp(wt))th M0 exp(wot) flirdm = m; exp(p LI pt) II f IT,.

26

Here Mp =M1/q MVq,

Pl wo +

and

flPo(t)gidm C Mc exp(cdo t) flg 'dm, g E (E , m).

Consequently
11P(t)illp C M, exp(u., p 011 f lip, t 0, f E LP (E, m).

(2.29.)

To prove that the semigroup {P(t) : t > 0} is strongly continuous we pick f and g in Coo (E). Since V is in Kato's class and since the paths of the underlying Markov process are right continuous, it follows from Lebesgue's dominated, convergence theorem that lim f (P(t) f (x) f (x)) g(x) drn(z) = 0. (2.30.).

Since Coo(E) is dense in DIE, m) as well as in Lq (E m) it follows from (2.29.) and (2.30.) that lim f (P(t)/ (z) f (z)) g(x) dm(x) = 0 t io (2.31.)

for all f in LP(E, in) and g in Lq (E m). So the semigroup {P(t) : t > 0} is weakly continuous. Consequently it is strongly continuous and hence
lint IIP(t) f f fl p = 0, f E LP(E, m).

Let A be its generator. As in the proof (a) it follows that

(XI AV = (XI A0)(1 + X-1 V(X)) f f E D(A)

for X sufficiently large. Again the operator V(X), X > 0, is defined by co V(X)/(x) = X if) e x8 EE(Ir(X,V(X8))d8 for those functions f for which this definition makes sense. Consequently for f in D(An) n D (V) we have
Af =Ao f V f.

This proves (b) for general 1 < p < co. Next we consider the case p = 2. Define the functions V,,,k, n E IN, by

(x )

,;T; (

7/ < V(z) elsewhere,

27

and define the semigroups {Pn,k(t) : t > 0}, n, k E IN, by

[Pn,k(t)f](x) = Ex(exp( f Vn,k(X8)d8)./(Xt )), t > 0, f E L2 (E , m).

From what is proved above it follows that every semigroup {P,k(t) : t > 13} is strongly continuous. Let Arz,k ) n, k E IN, be the corresponding generator. Then

An A f = A.of Vn,k

MAO.

From Corollary 2.6. it follows that each Arz,k is self-adjoint. So the semigroups {Pn,k(t) : t > 0}, n, k E IN, are self-adjoint. Since

P(t) f = lim

lim Pn,k(t)f , f E L2(E,m), t > 0, n.00 k.co

it follows that the semigroup {P(t) : t > 0} is self-adjoint. So its generator A is self-adjoint. In the following theorem we investigate the domain of A, the generator of the semigroup {P(t) : t > 0}, defined by the Feynman-Kac formalism, in case V is in g , (E, m). A function f in LP(E, m) is said to be in D((u Aor) if o there exists a sequence (f n : n E IN) in D(A0) such that f = lim fn and such that (u Ao) f lim u(Ao f n) exists. Here u is some measurable function.

Theorem 2.9.
Let the hypotheses and notation be as in Theorem 2.8. (b). The following assertions hold true (1 < p < oo): (a) (b) The subspace If E D(A) m) : Af E L(E, m)} is a core for A;

Suppose that V, as well as being in Kato's class, also belongs to go, (E, m). Let (tin : n E IN) be a sequence in Coo(E) for which 0 < un < 1, n E IN, un(x) = 1 for all x in E. Then every f in D(A) and for which which is bounded belongs to D((un A0) ), n E IN, and

Af = lim (un AO f V(un f)}.

n'P CC

(c)

Suppose in addition that in (ii) the sequence (un : n E IN) can be chosen in such a way that if f belongs to D(A) n L"(E, m) and is such that Af belongs to L" (E , m), then the functions unf, n E N, belong to MAO and lim {(un Ao) f Ao(un f = 0.

28

The subspace L of 17(E m) defined by

L=IfE D(A4)) n (E, :

is a core for A.

Or compact }

Proof.
(a) Let f be in D(A) and let X > 0 be sufficiently large. Then Xf Af = lira where gn in L'NE, in) has the form gn = Xfn
n,.00 gn

Afn. Then

in(z) = (XI

co o' gn(x) = Ez J e at exp( f V (X )(18) gn(Xt )dt).

As in the proof of (2.23.) in Theorem 2.8 (a) it follows that Ihz(x)1 00 at exp(f V_(X8 )(18)g,(Xt )dt) Ex( f e

0 C (X)II nil co

Consequently fn belongs to D(A) fl L(E, m). Since gn is also in VIE, in) we see that Af,,, is in L (E, m). From (XI f = lim n-, (XI A)fn it follows that f = lira fri, and that Af = lim Af n. This proves (a).

, in) and let the sequence (un : n E IN) in Coo (E) be (b) Let f be in D(A) n as in (b). Then, since V belongs to Liao (E, in), the functions V(unf n E IN, belong to LP(E, m). Fix X > 0 sufficiently large and let the functions Vocy n, k E IN, be defined as in the proof of Theorem 2.8. (b). Define the functions fn,k, k, n E IN, in D(A0) by f Af = (XI
First assume that Af is in L(E, m) too. Then sup{II fn,k II I : n, k E
and

(2.32.) is finite

tti(XI

= lira

lira ua(X/ Ao)

+ V(tti f), f E IN.

Since f limk. fn,k we see that f belongs to D((ui Ao)). For m) there are functions ft in D(A) n (E , m) such general f in D(A) n that Aft is in Le (E m) for t in ll\T and such that f = lira ft and Af = lira Aft.
29

Moreover we may assume that lid < if 1, t E IN. The latter follows from the fact that (XI A)' is a positivity preserving operator for X > 0 sufficiently large. It then readily follows that u9 (Af) V (ua 1) = lira lira lira where the functions ft,,k are defined by
L-+ oo n--*.00 k--co

Ili Ao

ft,n,k)

(XI AL ft = (XI At, + Vn,k)

f t,n,le

(c) Let the sequence (un : n E IN) in Coo (E) be chosen as in (c) and let f in D(A) fl L'(E, m) be such that Af is in L'D(E, m). Let X > 0 be sufficiently large. Then, by the assumptions in (c) and since A extends A0 V,

X f Af = lira un(Xf A f)
ra-oo z-- lira --n- -co

{(un(XI A0)) i + I qun f)} (A0 V)(un f)} Muni).

= lira [{Xun f An(unf) + V(unf)} +Ao(uni) (unAo) ii = lira {Xunf

rt-oo = lira (XI n--1-co

Consequently f = lira uni and Af . lim n,.. A(un f). It follows that every f in D(A) n L(E, m) with Af in VIE, m) can be approximated in the graph norm by the functions un f , n E IN, which belong to L. By (a) it follows that L is a core for A.

30

Remark. The proof of Theorem 2.8. (b) for p = 2 used Theorem 6.1. Again let {Po(t) : t > 0} be a Feller semigroup in Co(E) which also acts in Li (E, m): see Definition 2.4. In the remainder of this chapter we shall assume that the semigroup {Po(t) : t > 0} is given by [Po(t)f](z) = f P(t, x,
(WY I E Co (E), t > 0,

(2.33.)

where the function p : (0, oo) X E X E [0, oo) is lower semicontinuous, i.e. for every a in It the set {(t, z, y) E (0, oo) X E X E: y) > a} is open. Later on we shall assume that the function p is continuous. Moreover from the semigroup property and from the lower semi-continuity it follows that the function p satisfies the Chapman-Kolmogorov indentity for density functions:
p(s +
t, z,

y) = f p(8, z, z)p(t, z, y)dz, t > 0, z, y E E.

(2.34.)

(Instead of dm(y) or dm(z) we usually write dy resp. dz.) Again let {(f2 , M, Pz), (X. : s > 0), (68 : 8 > 0)) (E, e)}xE (2.35.)

be the Markov process associated to the semigroup {Po(t) : t > 0} and let oo] be a potential function in Kato's class, see Definition 2.7. Define V:E the perturbed semigroup {P(t) : t > 0} by the Feynman-Kac formalism. So
t

[P(t)f](x) = Ez(exp( f V(X.)ds) f(Xt)), t > 0, z E E,

(2.36.)

for f in LP(E, m) for some p, 1 < p < oo. We shall prove that the semigroup {P(t) : t > 0} also consists of integral operators with integral kernels
(x, P(t)(z, y), x,

E E,

such that the function P : [0, oo) X E X E -+ [0, oo] defined by

P : (t, x, y)1-4. P(t)(x, y), t> 0, z, E E,

is lower semi-continuous in y. Imposing more restrictive conditions on the function p yields similar properties for the function P. It is a blanket assumption that the 0. density does not take the value +00, unless t For a convenient construction of the function P(t)(z, y) we introduce the concept of a martingale indexed by a continuous time parameter.

31

Definition 2.10.
Let (0, M, P) be a probability space, let (Y. : 0 < s < t) be a family of real or complex random variables contained in L'(0, M, P) and let {4,0 < 8 < t} be an increasing collection of a-algebras contained in M. Suppose that the family {Y8 : 0 < s < t} is adapted in the sense that each Y. is measurable with respect to the a-algebra 3 Let f E(f : f E Ll (0, M P) be the usual expectation 8. operator. If, for 0 < si < 82 < t,

E(Y82 : 18 1 ) =

P almost surely,

(2.37.)

the family (V. : 0 < 8 < t) is said to be a martingale with respect to : 0 < 8 < i) If (2.37.) holds with an <-sign, the family {Y8 : 0 < 8 < t} is said to be a sub- martingale and if the -sign holds, the family {Y8 : 0 < 8 < t} is a super - martingale. In the latter two definitions the stochastic variables Y., 0 < s < t, are supposed to be real-valued. The following example is the major reason for introducing the concept of a martingale.

Example.
Fix z and y in E and let

M, PE), (X8 : 8 > 0), (6 8 : s > 0), (E, 8)1

be as in (2.35.). Let I. := a(X, : 0 < a < 8) be the a-algebra generated by X.., 0 < a < s. The family of random variables {p(t 8,X8, y), 0 < 8 < t} is a martingale with respect to the family {U. : 0 < 8 < t}. Since

Ex (p(t a, X8, y)) = f p(8, z, z) p(t

8, z, y)dz = p(t, z , y)

(2.38)

and since, by assumption p(t, < oo, the above random variables are in Ll M, Pz) indeed. Moreover the following argument shows that the family {p(t 8,X8, y) : 0 < 8 < t} in .0(12, M, P2) indeed is a martingale with respect to the collection {.7. : 0 < a < t}. Fix 0 < 81 < 8 < t. Then by the Markov property and by the Chapman-Kolmogorov identity (2.34.) we infer

32

Ez (p(t 8 2)-X-82,11)

7 81)

= Ex (.73(t 82, X82-011 Y)) y)dz = .1'1)(82 ai,x817z) p(t 82 ) ; 8 11 X81) O .

(2.39.)

Without proof we use the following fundamental result on martingale theory. For proofs we refer the reader to a standard text book on probability theory: e.g. see Bauer [14]. For a recent account of theory on vector valued adapted sequences see Egghe [ 83]. Theorem 2.11 Let (11, M, P) be a probability space and let (Y. : 0 < a < t) be a martingale in L1(f2, M, P) with respect to an increasing family of a-algebras {7. : 0 < 8 < in M. Suppose sup{.Ex(IY. I) : 0 < 8 < t} is finite. The following assertions are valid: (a) (b) The lim := limi t t Y. exists P-almost surely;
o(7; :

For every A in

0<a
at t

< t),

the limit lim.t t E(Y8 : A) exists and

E(Y. : A) = E(Ye_ , A);

(c)

Moreover, if the family Y. : 0 < 8 < t} is uniformly integrable, the variables L converge to Yt_ in the mean; i.e. lim EGYt- LI ) = 0;

(d)

If every Y9, 0 < 8 < t, takes its values in [0, oo], then the family {Y8 :0 < a < is uniformly integrable and so
e tt

E(IYt Y9 1) = 0 .

As an immediate corollary we have the following.

33

Corollary 2.12. Let the density function p be as in (2.33.) and assume that p does not take the value oo, unless t = 0. For z and y in E fixed and t > 0 fixed the following assertions are true: (a) (b) lim it p(t s, X , y) exists Pz-almost surely; limot I A p(t 8, X8 , y)dPE = lim sit Ez(p(t 8 y X8 ) y) : A) exists for every A in the a-algebra generated by {X, : 0 < 8 < t} and for such A Hill
ett Ex (p(t

8 )-7(8;0 : A) = Ez(lim p(t 8 )X8) y)

irtt

: A);

(c)

lim Ezalim p(t Eqt ertt

8,X8 3 11)

p(t v, X,, y)l) = 0.

Fix z and y in E and fix 0 < to < t1. Define the measure itf,'!" on .,.-i cy(X : to < 8 < t1) by t, 11;:t (A) -=-
81 t1to

lim

Ez(p(ti to

8 ) X810 : 6t0(A)))

(2.40.)

where A belongs to o(X9 : to < 8 < t1). If Y : ft --* is a random variable which is measurable with respect to cr(X : to < a < ti) we write
f y de to tzt i

E.: ti (Y) = whenever the latter makes sense. Notice that EU:(1) = P(ti to, x, y)

(2.41.)

So e' t is not a genuine expectation. If to = 0, then ,x, ti is absolutely continuous y, o y,ti with respect to PE . In case (X8 : x > 0) is Brownian motion in IR", the measure A i 4::i (A)I p(ti to, x , y), AE 3(X8 : to <
8 < t),

is the Brownian bridge measure of variance parameter 1/2 which is tied down in x at time to and in y at time t1; e.g. see Hida [137]. Let V be a function in Kato's class and define the function P(t)(x, y) by t P(t)(z, y) = E;;(exp( f V (X,)da)), t > 0, x, y E E. 0 In the following theorem we collect some of the basic properties of the function P(t)(z, y). 34

Theorem 2.13. Let the semigroup {Po (t) : t > 0} be given by (2.33.), assume that 0 < p(t, z, y) < co, t > 0, z, y E E, and let V : E * [ co, oo] be a Borel measurable function. Put t P(t)(z, y) = E;;?(exp( f V(X.)(1.9)), t > 0, x, y
0

e E.

(2.42.) C be a

(a)

Let f : E ---). [0, co] be a Borel measurable function or let f : B Borel measurable function with t 0 1 Ex(exp(." V... (L)d8)1/(Xt)l) < co for some x on E and t > 0. Then t f P(t)(x, y) f (y)dy = Ez (exp( f V(L)ds)f (Xt))
o

(2.43.)

(2.44.)

for the same x and t. (b) In particular if V belongs to Kato's class, then the semigroup {P(t) : t > 0} given by the Feynman-Kac formalism consists of integral operators P(t) with integral kernels P(t)(x, y). For s, t > 0 and x, y in E the equality P(8 + t)(x, y) = 1 P(8)(x , z)P(t)(x , y)dz holds. (d) (e) Fix z in E and suppose Ez (A V_F (X.)cia) < co for t > 0. The function (t, y) 1* P(t)(x, y) is lower semi-continuous. If the function p is symmetric in the sense that p(t, z, y) = p(t, y, z), t > 0, z, y E E, then so is P(t)(x, y), i.e.,
P(t)(x, y) = P(t)(y,, x), t > 0 x, y E E.

(c)

(2.45.)

Moreover the function P (t)(x , y) is lower semi-continuous, provided E x (f t V4X.)da) < oo, for t > 0, x, y in E. 3 35

Proof. (a) First suppose f > 0 is such that the expression t Ez (exp(f V_ (X,,)d8)f (Xt)) 0 is finite and write Vk = min(V, k). Then by the usual convergence theorems fo integrals, t 00 > Ez(exp(f V_(X a )der)./(Xt))
0

t > Ex (exp( f V (X u)dcr).f WO) t ill Elexp( f Vi(Xer)dcr)..f(Xt)) kEiN =m o t = inf sup e"Ex(exp(f(k vk pc ) )dalf(xt ) ) 0 kElN a< t (Markov property) 8 -=. inf sup ektEz (exp(f(k Vk(X ,)da) . Ex4 (f (Xt _._8 )) 0 kElN eCt 8 = ma sup ektEx(exp(f(k Vi(X,))do.).P0 (t a) f (X8)) 0 keIN 8<t 8 = inf sup ektEx (ern( r(k Vk(X,))cicr) ' k''j t o hell 8 t f p(t- 81X - 810f (Y)dY) E (Fubini's theorem) 8 = inf sup ekt f Ez (exp(f (k 17k(X ada)gt 8 2 X81 VD i (y)dy o kEIN eCt (martingale property: see Theorem 2.11. and Corollary 2.12.) 8 u = inf sup eke f E'(exp(f(k irk(11,))dol1im p(t n,X fi , y)) 0 kEIN eCt

1 inf sup ekt f Ez(exp(f(k Vk(X,))dcr)lim Kt 7 , X,, y). f (y)dy ritt o kEIN eCt t = ma f Ex(exp( f Vk(Ko ). limp(t n, xri, OILY* int k EIN 0 t = f Ez(exp( f V(X,)dcr). limp(t n, xri, v))1(x)dv qtt o (2.46.) = f P(t)(x )0 .f. (Y)clY .
=

38

t t E2(exp(f V_(X8)d.9)) = 1 + Ez(f V_(X.)ds) 0 0 co + E EX( f ... f V_(X,). ..V_(Xk_i ) Exik_i ( f 0

k=2 0<81< t-8 k -1 Cok 2 <t

V(xo.)do-))dsk_i.. 491.

and applying induction. From (2.49.) inequality (2.47.) is obtained as follows. By induction on k and using the Markov property, it follows that
kb

Ez(exp( f V_(X8)d8)) < (1 - a)-1-, k E N, x E E,

0

(2.50.)

where a and 5 are related as in (2.48.). For t > 0 choose k in N in such a way that (k - 1)5 < t < kb. Then by (2.48.)
t

E2(exp(f V.4X8)(18)) _< Ez(exp( f V_(X8)ds)) 0 0 _< (1 - ark < M exp(wt). where M = (1- a)-1 and where exp(A) = (1- 4-1. So (a) is applicable and (b) follows. (c) Let 8, t > 0 and let x, y be in K Then by (a) f P(s)(x, z)P(t)(z, y)dz = Ez(exp(- 8 V(Xer )der).P(t)(X.,y)). f o First assume V > 0. Then with Vk = min(V, k), (2.51.)

kb

38

co > p(s + t, x , y) = Ez (4;' (1))

> Ez (exp( f V(X0)cia).P(t)(X, y))

= inf sup ektEE(exp( f V(L)dcr).Ex y,;'(exp fl ( k r

kEIN ri Ct 0 0

Vic (X,Ncr))

(martingale property) inf sup rktEz(exp( f V(X,dcr))).

kEIN q <t 0

Exa(exp(ri f(k (Markov property) -

Vk(X))dcr).p(t

y))

inf sup e kt Ez (exp( f V (X ,)der)

kEIN ri<t rl 0 Xr/4. 8,

exp(f(k VkPC,+ No-).19(t

8

y)

inf sup e"Ex(exp( f V(X,)cio)

kEIN ri Ct

exp(q ( k Vic(X,+ ))do-). lim p(a + t f

0 rite-Ft

, X71, y))

= ma Ez(exp( 8f V (L)cicr) exp( kElN limn p(s + t thxr,

'It e+t e+t
ri ts+t

a+t k f V (tY)dri)

= Es (exp( f V (L)rici). lim p(s + t

0 8-1-t

t(exp( f V (X()dcr)).
0

This proves (c) for functions V satisfying V > 0, using (2.51.). For general V we write
P(k, 0(x, y)
t

= ekt g:Nexp( f max(V + k, 0)(X Ods))

0
t

(exp(al min( V , k)(2 s)(18))

39

By (2.51.) for V > 0, f P(k, 8)(x , z)P(k, t)(z, y)dz = P(k, 8 + t)(x, y). Let k tend to infintiy to obtain (c). (d) We prove the equality P(t)(x, y)
< == sup

(2.52.)

ksev ektEx(exp(f(k v(L))der). up 8

p(t 8,X8, y) : VWO < k, 0 < cr < 8). (2.53.) The result in (d) then follows easily from the fact that the function (t, y) p(t, x, y) is lower semi-continuous. For 0 < 8 < t we have e kt Ez(exp(f(k V(X))der)p(t s, X., y) : V(X,) < k, 0 < a < 8) g = rktEx (exp(f(k V(L))dcr) limp(t 8,X,
ett

: V (X,) < k, 0 < < 8)

V(L))dcr)

< ektEx(exp(f(k limp(t s, ett

t

: V (X,) < k, 0 < o- < 8)

< EE (exp( f V(X, da)) p( 8, X,, y)) = (exp(-1 V(L)d8)).

This proves the <-sign in (2.53.). On the other hand we also have

sup sup rktEz(exp(f(k V (X,))dcr).p(t a, X., y)

8 < t k E IN V(X.) < k , 0 < < a) 8

p sup rktEz(exp(f(k V (X,))da.) lim p(t 1/, Xfp y) kEIN

8

V(Xa ) < k,0 < r< a)

> sup sup ektE'(exp(f (lc V(X..))da)lim p(t t 0 kEIN 8 < t V(Xd.) < k, 0 < < t) = sup CIc t.P(exp((k V (X.))do.). lim p(t
kEN
0 7/ t

, X , y) :

Xn, y) :

V(Xer ) < k , 0 < < t)

= Ex (exp( f V(X..) der). limp(t

ritt

, X y) :

V(L) < oo, 0 <

t

< t)

Ex (exp( u V(X, )&7). lim p(t f 7

n, X171 y))

= EV:(exp( f V (X,)da)). The penultimate equality follows from x (g) Pz {(r E (0, t) X : Vi4X0.) = oo} = 0

which in turn is a consequence of the finiteness of Ex(f o V+(X.)da). Here X is t Lebesgue measure on [0,0o). (e) Again we distinguish two cases. (1) The function V satisfies V < 0. For 0 < a < t we have by the martingale property:

41

) (exp(f V_ (X ,)do.)) = Ez(exp(1 V_(X,)dcr)p(t

00

8 1 X-81 0)

= E Ex(
00

f V_(X, L ). .V_(X jp(t 8, X., Oderk do'i)

<ffk<sir

k=0 0<cri<

(again by the martingale property)

= E E x(
co

f V_ (X,,,i ).
<erk<8

k )p(t ak , X y)dcrk. .6-1)

k_o ()Cal<

= Et
P(cri x)

...

.f

V(X1). .V(Xlc))

k=0 0 <fri<

<trk< 8 E

xi x2). - .19(ak crk-1, xk-1, xk) .dx1 (perform the substitution t ok = rl , t crk_i = r2 , t )P(172 p(t ak, xk, Odcrk. xi = yk, Z2 = Ykii , Xic = yi)
00

= rk,

E
p(t

f rk, x,yk)p(rk

f V_ (yk) . .V_(yl ) rk-1,yk,yki). p(r2 r1, y2, yi)Pfri, Yt, Y) dyi . dY k

k=0 te<ri<r2< <rk<t

(symmetry)
00

=--. E k o is<ri<r2C 00 = ko teCri<r2< E 5

drk. (martingale property) co E EY ( f
k=0

Crk<t

f V (h) -V(14)
Yk-1) Yk)P(t Tic; yk,

Pfri y, WW2 r1, Wi I Y2)* .19(rk rki drk. f E Y (V_(X

<rk<t

x)

.V_(X,1,)p(t rk, X x))

f4.

f V_ (X)...V_(Xrk )limp(t r , X , x))

r tt

te<ri< <rk<t

drk.
00

(f V_(X.)dr)k

= EY (E t
k=0
t

k!

lim p(t r, Xr, x))

rtt
t

= EY(exp(
t-s

V_ (X ,.)dr)lim p(t r, X , x)) = EV; (exp(

rit t-a

V_ (X.r)dr)).

42

Hence
P (t)(x , y) = l8m E 8 (exp(f V_ (X0.)dcr)) y
t

= lim
st t

(exp( f V_(X,)der))
t- 8
t

= EV:(exp(f V_ Walk)).
0

This proves the symmetry for V < 0. (2) The case of general potential functions is reduced to the case V < 0 as follows:
(exp( f V(X8)ds))

= sup E;1(exp(f max(k, V)(X8).(18))

keN

= sup ekt no(exp( f min(0, k + V)(X8)(18))

kEIN

(by (1)) = sup e kt E r (exp( f min(0, k + V)(X8)d8)) t

kEIN

= 4:?(exp( f V(X8)d8)). Again let p be symmetric. By (2.45.) it follows that

P(t)(x, y) = f P(t)(x, z)P(t 8)(z, y)dz =-- f P(s)(z, x)P(t 13)(z, y)dz

Since by (d) the functions z i+ P(8)(z, x) and (t, lower semi-continuous, the function
(t, x, y) P(8)(z, x)P(t 8)(z, y)

P(t 8)(z, y) are

is lower semi-continuous. But then so is the integral f P(s)(z, z)P(t 8)(z, y)dz

43

Remark 1.

Pi

Let B be a Borel subset of E. In the proof of Theorem 2.13., item (d) we used the non-trivial fact that the set Uo<e<t(X. E B) is 3t+-measurable. A proof of this non-trival fact can be found in Blumenthal and Getoor [25, Chapter II]. Define the optional time TB by TB = infla > 0 : X , E B}. The event {TB < t} is 74-measurable. The proof relies on Choquet's capacity theorem.
Remark 2.

P1

V/

In the proof of Theorem 2.13. and on several occasions in what follows we use the following continuity property of integrals. Let E be a first countable Hausdorff space, let (1, M, it) be any measure space with p > 0 and let g : E X w -+ [0, oo] g(z, co) is the lower be a function such that for every w in l the function x semi-continuous (i.e. if a is in IR, then the set {x E E : g(x, co) > a} is open), then so is the function x f g(z, co)dp,(w). This is a simple consequence of Fatou's lemma. In the following theorems we investigate some of the continuity properties of the integral kernel P(t)(x, y) defined in (2.42.); see Theorem 2.13. We begin with bounded potential functions.
Theorem 2.14.

Let p : (0, oo) X EX E -+ [0, oo) be a continuous density function for the semigroup {Po(t) : t > 0} which as always is a Feller semigroup in Co(E). So suppose t [Po (t)f](x) = f p(t, x, y)f(y)dy, f E Co(E), t > 0, x E E. Let V : E It be a bounded Borel measurable function and put
t

P(t)(x, y) =

Rexp( f V (X )ds)), t> 0,x,yE E.

0

The function P(t)(z, y) is a real-valued continuous function on (0, oo) X E X E. In fact we have
0 < P(t)(z, y) < exp(tilV_11,)p(t, z, y), t > 0, z, y, E E.

44

Proof. e put M = 11V1100. Since

t

P(t)(x, y) = exp(tM).EE(exp( f (V(X.) + M)c18)lim p(t

0 rit t

n,X, , y)) ?

we may and do suppose that V > 0. Define for k = 0, 1, 2, .... the functions f Tk :(0,00) X EX E --+ [0, co) by t (f V(X.)d8)k e I I Then r

Tk(t, x, y) = Ex(

k!

lira p(t n,X,i ,y)), t > 0, x, y E E.

Ott

(2.54.)

0 < Tk (t, x, y) < So the series h.

(Mt )k

k!

p(t, x, y), t > 0, x, y E E.

(2.55.)

E(-1)1{21(t, z, y)
k=0

00

converges uniformly on compact subsets of (0, co) X E X E. Since

CO

P(t)(x, y) =
e, Since

(-1)k To, z, y), t > 0,x, y E E,

(2.56.)

1 this proves the continuity of P(t)(x, y) whenever each function Tk is continuous.

71-1-1 (t x, y) = f (f p(t e , x, z)V (z)Tk(8 , z, y)dz)d8

0

(2.57.)

'

the continuity of Tk + i will follow from the continuity of Tk and of p. Notice that T0(t, x, y) = p(t, x, y). First we establish the equality in (2.57.). For t > 0, x, y in E and k in IN we have

45

f(f p(t
0 t

82 z, Z)V(Z)Th (81 z,

y)da)

= f Ex (V (Xt.... 8 ).71(8 Xt-8 , y)da)

= f Ez (V (X8).Tk(t 8, Xel Oda

0

(by 2.54.)
t-8

( f V(X,)4)k f Ex(V(X8).Exe (
0

qtt-8

lim p(t 8 n , Xn, y))d8)

(by the Markov property)

t- 8

( f V(X,8)&1)/{ t lim p(t n , X71 , y) = f Ex(V(X8). k! nit 0

t

d8

= f Ex (V (X8). f ,.. f V(X,i). . .V (X )dak . . .d8i. lira p(t ?t, X,7, y))d 8 tt o 8<si < <8k<t = E'( f ... f V (X.,). . .V (X k+,)ds k+1. ..dsi limp(t 1 x ri, y)) /, qtt 8<81< Cek<t t (f V(X8 )d8)k+1 = Ex(
(k -4- 1)! = Tk+i(t, X, y). irim P(t n ' X r" 11)) i tt

Next we prove the continuity of 71.4.1 assuming the continuity of Tk. From Remark 2 it follows that, for each fixed to > 0, the function
to (t, x, y) 1-4f (1 p(t a, z, z)V(z)71(8, z,y)dz)d8
0

is continuous on (to, oo) X E X E. Next assume that t. Then for any 0 < to < t we have

t > 0, 8n +

z,

yn + y.

46

to f (1 p(t 8, z, z)V(z)71(. z, y)dz)d8

0

t < lim inf f ktn 81, z n, z)V(z)71(8, z, yn, dz)d8)

n ---0 co 0

t,, 1111I sup f (f p(t 8, zn, z)Tk(8, z, yn )dz)ds

n-+oo 0 to

lira sup f (f P(tn

n+oo 0

zn, z)V(z)71(s z, yn)dz)cla

8, Xru (z)Tk(8z,n)dZ)(119

to

+ BM sup

f (f p(t n

n oo to

(by 2.55.) to < f (1 p(t

0

8, x, z)V(z)71(8, z, y)dz)cia
to

mk+1 tie rs

+ lim sup 1 (1p(tn 8 x, z)p(s, , yn)dz)ds.

n-+oo to to

k! mk+1 tk
kl

= f (f p(t 8, x, Zit 11.01(8 z, y)dz)ds + (t to)p(t, z,

Since to < t was arbitrary the continuity of 71+1 follows. Altogether this proves 4 the continuity of the function P(t)(z, y). The remaining assertions in Theorem 2.14. are easy and are left to the reader. In the following theorem we give sufficient conditions in order that the perturbed rk semigroup {P(t) : t > 0} maps functions in L"(E m) onto functions in VIE, m) which are continuous.

Theorem 2.15.
Let the initial Feller semigroup {P0(t) : t > 0} be such that m) n C(E) for all t > 0, and such that the function C Po(OVIE, (t, z) 1o [P0(t)1](z), is upper semi-continuous. Then for every f in L'(E, m) the function (t, x) 1- [P(t)f] (x) is a continuous function on (0, oo) X E. It satisfies

IP (t) f (x)I < M exp(ca)11f 11 0 t 0,z EE, for suitable constants M and w independent of f As in the non-perturbed case we suppose that the function (t, z) [P(t)1](x), (t, x) E (0, Do) X E, is lower semicontinuous. Here, of course, 47

[P(t) f 1(x) = Ez (exp( f V (X8 )d 8)- f (-K t)) t

0

Proof. We distinguish 3 cases: (1) (2) (3) V = 0, V < 0, general V .

(1) If V = 0, then P(t) = Po(t), t > 0, By the semigroup property it suffices to prove, that for f in C(E), 0 < f < 1, the function (t, 1F [Po(t)f](z) is continuous on (0, oo) X E. Here we use the hypothesis that Po(t)f is continuous for each fixed t > 0 and for f in L'(E, m). Choose functions (fn, : n E IN) in Co(E) such that 0 < In < fn+i _< f and such that limn.00 fn = f pointwise, where f is a given continuous function with 0 < f < 1. For a in R we have {(t, [Po(t)ii(x) > a} = {(t, fe) : sup [Po(t)f ni(x) > nEIN
CO

=U {(t, z)[Po(t)in](x) > a}.

n1

(2.58.) Since {P0 (t) : t > 0} is a Feller semigroup the functions (t, 1- [Po(t)f,,,](x), (t, E (0, oo) x E

are continuous. So the sets in (2.58.) are open. This proves that the function (t, x) [Po(t) 1](x) is lower semi-continous. We also have {(t, z) : [Po(t) Mx) < a}

= UflER{(t,

: [Po (t)(1 f)1(x) >

n {(t,

: [Po(t)1](x) < a + fl}.

By (2.58.) and our hypothesis on {Po(t) : t > 0} this proves that the function (t, [Po(t) fax) is upper semi-continuous on (0, oo) X E. Altogether we see 1 that the function

(t,

F-4 [Po (t) f](x), (t,

E (0, oo) x E,

is continuous for all fin L (E m). 48

(2) Next suppose V < 0 is in Kato's class and choose to > 0 so small that sup.eE(f o IVKX8)c/8) < 1. As in the proof of Theorem 2.8.(a) it follows that [P(t)f](x) Ex(exp( f V(X,t)c18)(Xt))
0
DO

,EFlycmc(ofilx),

f E L'(E, m), t> 0, x E E.

(2.59.) Again as in the proof of Theorem 2.8(a) the series in (2.59.) converges uniformly on [0,4] X E. In fact for t < to we have (2.60.) 1[71(t)f](x)1 5_ ryk llf Ilco, z E E. !es )n. For We shall prove that, for f in L'(E m) and k in N, the function (t, x) i-4 [TO) f] (x) B) is continuous on (0,4) X E. Since To(t) = Po(t), t > 0, this assertion has been I proved in (1) for k = 0. We proceed by induction on k. As in (2.12.) we have
t

tn+1(t)filz)= f Po(t 8)[VTk(8)f](z)d8, k = 01 1, 2, ...

0

(2.61.)

Suppose to > to = t > 0, lim z n = z. Choose 0 < 8 < t arbitrary, put = to t + 6 and consider only those n with 6 > 0. This happens for all large n. Then by (2.60.) and (2.61.) 1[71+1(tn)f](x,i ) [Tk-f-i(t)i](z)i 6,, [on n.)[21+3.(t 8)i](fe Po(8)[71+1(t 5 )f](21 5 + I f P0( 8 )[VTOn

o 1/30 (6n) [71+1(t 8 )/](Zrz) PO (5)[Tk+i(t 5 )f](z)I Sy,

8 )11(z.)da f Po( 8 )(VTO 8 ).11(z)d81

+ I P0( 8 )1V1(z.)d8 + f Po( 8 )1v1(x)clOililloc

0 0

We notice that IlTk+i(t 6) ilk < 7k+1 11 II and we use (1) to obtain II [cm see

49

lim sup1[71+1(tn)f](xn) [714-1(t)f](z)1 2,74 f c, sup xEE 26

f Po(8)IVI(z)ds

Since we may take 5 arbitrary small and V = V_ belongs to Kato's class, this proves that the functions

(t, z)

171(t) fl(z), f E L"

m), k E

are continuous on (0, to ) X E. By uniform convergence of the series in (2.59.) it follows that for f in L'(E, m) the function (t,

[P(t)f](x)

is continuous on (0, to ) X E. Using the semigroup property proves the continuity on (0, oo) X E. The inequality [P(t) f ](x) (C M exp(ti. t)11/11, follows from Khas'minskii's lemma: e.g. see (2.48.), (2.49.) and (2.50.). (3) Finally we consider a general Borel measurable function V in Kato's class. Then min(V k, 0), k in N, is in Kato's class too. Fix 0 < f < 1, in L'(E, m). Then

[P (t) f](x) =

kEIN

kt E z (exp( f min(V k, 0)(X )d 8). f (Xt ))

o

f(Xt )) are By (2), the functions (t, z) 1* ektEz(exp( f o min(V k, 0)2C continuous on (0, oo) X E. So the function [P(t) f](x) is upper semi-continuous on (0, oo) X E. On the other hand we also have, for a in It, {(t , z) : [P(t)f](x) > a} = U RER{(t, : [P(t)(1 f)1(x) < $} n {(t, x) : [p(t)i](x) > a + /31.
Since, by assumption, the function [P(t)1](x) is lower semi-continuous, we conclude that the function [P(t),P(z) is lower semi-continuous too. Hence it follows that [P(t)f](z) is a continuous function on (0, oo) X E. The following proposition gives sufficient conditions in order that we may apply the results of Theorem 2.15.

50

Proposition 2.16. (a) given be Feller semigroup by Let the {Po(t) : t > 0} [Po(t)/](x) = f p(t, x, y)f(y)dy t > 0, xe E, fe Co (E). Suppose that {0, oo) is such that, for all fixed the function p : (0, oo) X E X E y, the function (t, x) 1 p(t, x, y) is lower semi-continuous and such that the function (t, z) f p(t, x, y)dy is upper semi-continuous. Then Po(t)i?"(E, m) C C(E) for every t > 0 and so for every f in L'(E , in) [Po(t)/](z) is continuous on (0, oo) X E and uniformly the function (t, x) bounded. Suppose that these exists an increasing sequence (K,z : n E lN) of compact subsets of E such that for every compact subset K of E and every t > 0, lim sup Pz(71,,, < t) = 0,
x EK

this (b)

(2.62.)

where Tm is the first exit time from Km: conToni lass. , m).

= inf{s > 0 : X, E E\Km }.

Let the function V in Kato's class be such that for every compact subset K the function 1K.V also belongs to Kato's class: Then the function (t, x) i [P(t)1](x), (t, x) E (0, oo) X E is lower semi-continuous. If in addition, for every t > 0, Po(t)L(E, m) C C(E), then all conclusions in Theorem 2.15. are valid. (c) Suppose that the function V belongs to Kato's class, suppose also that [0, oo) is lower semi-continuous and the function p : (0, oo) X E X E symmetric. The function (t, x) [P(t)1](x), (t, x) E (0, oo) X E, is then f p(t, x, y)dy, lower semi-continuous. If, in addition, the function (t, (t, x) E (0, oo) X E, is upper semi-continuous, then all conclusions in Theorem 3.15. hold true.

are

Before we prove this proposition we notice the remarkable fact that in the symmetric case, we do not need explicit conditions on stopping times like (2.62). Nor do we need conditions such as that V belongs locally to Kato 's clam Jude i.e. 1K.V is in Kato's class for every compact subset K of E. Just being in that Kato's class plus some continuity properties on the function p suffices to draw the conclusions in Theorem 2.15. See Definition 2.7. pply

51

Proof of Proposition 2.16. (a) If 0 < f < 1 belongs to L'(E ,m), then the function (t, x) [Po(t) f](x) is lower semi-continuous and so is the function (t, x) [Po(t)(1 f)](x), since the function (t, z)ir f p(t, x , y)dy is upper semi-continuous on (0, oo) X E. The remaining assertions follow from Theorem 2.15. (b) Since V belongs locally to Kato's class, so does max(V + k, 0), k E By monotone convergence [P(t)1](x) = sup ekt Ex(exp( f max(V + k, 0)(X8)(18)1(Xt )).

k E1N
So in order to prove the lower semi-continuity of the function [P(t)1](z) we may and do suppose that V > 0. As in the proof of Theorem 2.15. case (2) it follows that for f in VIE, m) the function
t

(i, 1-4 [P(m, t),11(x)

(exp( f V (X 101K pn (X 8)(18)i t))

0

is continuous on (0, oo) X E. (The proof for case (2) can also be used for functions V such that both V and V are in Kato's class.) In particular it follows that the function [P(m, t)1](x) is continuous on (0, oo) X E. We shall prove that
lim. [P(m, t)1](x) = [P(t)1](x)

(2.63.)

uniformly on compact subsets of (0, oo) X E. First notice the (in-) equalities: 0 C [P(m, t)1](x) [P(t)1](x)
t

= Ez(exp( f V(X8)do)1(Xt) : Tom, < t)

<

(T,, < t).

By hypothesis (2.62.), assertion (2.63.) follows. The remaining conclusions follow from Theorem 2.15.

52

(c)

Define the function P(t)(z, y) by

t

l(z)
rice

P(t)(z , y) = EV:(exp( f V (X .)d 8)), t > 0,x,y E E.

0

the In Theorem 2.13 (e) we proved that this function is lower semi-continuous. Since, by Theorem 2.13 (a), 11\1, [P(t)11(z) = f P (t)(z , y)dy, t > 0, x E E, the function [P(t)1](z) is lower semicontinuous. Using Theorem 2.15., this proves (c). nay Although the following corollary is implicitly contained in Corollary 2.16. we ows mention it separately.
Corollary 2.17.

Let the Feller semigroup {Po(t) : t > 0} be given by ons the

[Po(t)1](z)

= I p(t, x,11).f0ddy, t > 0, f E Co(E), z E E,

where the function p is lower semi-continuous and symmetric. Also suppose that the function f p(t, z, y)dy is upper semi-continuous. Define the semigroup 53.) {P(t) : t > 0} by the Feynman-Kac formalism. Then for every f in Lc (E m) the function [P (t)h(z), (t, z) E (0, oo) X E, (t, z) is continuous and there are constants M and w such that IIP(Of 1100 CM ex**11/1100,t > 0,f E
(E, m).

As always, the potential function V is supposed to be in Kato's class. , Before we continue our discussion on the Feynman-Kac formalism we insert the Riesz-Thorin interpolation theorem. For a proof and for more general interpolalow tion theorems (like the Stein interpolation theorem) we refer the reader to Reed and Simon [233, p. 27 - 44]. Let (M, it) and (N, v) be a-finite measure spaces and suppose 1 < p, q < oo. A linear operator T is said to act from IY(M, p) to Lq (N , v) if it is defined on a dense subspace of LP(M, p), takes its values in Lg (N , v) and has a continuous linear extension from all of LP(M, j.) to Lq (N , v). As such its operator norm is denoted by 11711m . The Riesz-Thorin theorem we are going to use can be read as follows. 53

Theorem 2.18. (Riesz-Thorin).

and (N, v) be cr-finite measure spaces and suppose I < po, pi, q0, qi < oo. Let T be a linear operator from 1,(M, + LP1(M, A) to Loo (N + Lq (N , v). Suppose that T acts from IP (M, p,) to Lq (N, v) and from 111(M, A) to Lq (N v). Then T acts as an operator from MP (M, p.) to LqP , v), 0 < p < 1, where
(M, A)

Let

= (1 p)/Po + PiPi) 1/qp = (1 p)Iqo + Moreover the inequality

7;:01171111,,q,,0 ; IlTilp,q, 5_ IIT111

1,

is valid. Suppose 1 < p, q < oo, let p' and q' be the conjugate of p respectively q. Suppose that T is a linear operator from LP(M , p,) n (m, A) to m(tt, A) and suppose that T acts from LP(M, p,) to Lq (M , p). Then T is said be symmetric if f Tf.gdit = f fTgdp for all f , g in LP (M , p.) n /./(M, A); If T is symmetric and acts from LP(M, p) to Lq(M, p.), then it also acts from Lq (M, p.) to LP (M, A) and 11711,,,q = 11T , piThe following result is a rather easy consequence of the Riesz-Thorin interpolation theorem.
Corollary 2.19.

(a)

Let T be a linear operator which acts from Li (M, p,) to Li (M, from VIM, A) to L'(M, A) and from L'(M, A) to L'iMat). Suppose 1 < p < q < oo. Then T acts from LP (M , p,) to Lq (M p) and 11 Tlip,q < 117111/,11T1111 0 1 ,f0-114711 7 11;;!P (2.65.)

(b)

If, in addition, T is symmetric, then Z., 1 < p < q c oo, 11711,,, q < 117111,017111 where 8 =
q-1

(2.66.)

54

(c) )ose ) to rom.

If, moreover, T = S2 where S is symmetric and acts from Ll(M,A) to L2(M, A), then 117111 m 5_ where 8 = p q-1 . p C q C co,
(2.67.)

Proof. (a) Fix 1 < p < q < oo. Insert t = 1 q-1, Po = 1, Pi = p(g 1)/(q p), go = 1, q1 = oo in the interpolation theorem of Riesz-Thorin to conclude 64.), IITIlp,q < 11T10.11T11!, ,Vgy
)08
) OS

(2.68.)

. Apply the Riesz-Thorin interpolation theorem again where r = p(q 1)(q with t = 1 1/r, po = 1, qo = P1 = q1 = oo, and conclude 11 711r,00 5_ ilTil l ,i:011T111 Vc4r t 0

Insert this inequality in (2.68.) to obtain (2.65.). )t (b) If T is symmetric, then 117111,1 = 11711.,. Inserting this equality in (2.65.) , ola- yields (2.66.). (c) Since S is symmetric and S acts from L1 (M, tt) to L2 (M, 14) it follows that S acts from L2(M, it) to VIM, ti) and that I1S111 , 2 = 11S112,,, Hence 11 21111,00 Hose Combine this with (b) to obtain (2.67.). 65.) 11 5111,2115112,c0 =
11 5112,00

66.)

55

The following result will be used in chapter 6. Theorem 2.20. Let the intial Feller semigroup {Po(t) : t > 0} be given by [Po(t)1](z) = f p(t, z, 0/(04, f E C0 (E), x E E, t > 0, where the Markov density p has the following properties: (1) (2) (3) (4) It is continuous on (0, oo) X E X E; It is symmetric; The function (t, x) 1-4 f p(t, x , y)dy is continuous on (0, oo) X E. For every t > 0, sup{p(t, x, y) : z, y E E} is finite.

Let {X8 : 8 > 0} be the corresponding Markov process and define the semigroup {P(t) : t > 0} by the Feynman-Kac formalism:
[P(t)f](x) = Ex (exp( f V(L)d8).f (Xt)), t> 0, x E E,
0

where f is in LP(E, m) for some 1 < p < m, and where V is a potential function in Kato's class. Under these hypotheses the following assertions are true: (a) (b) If 1 < p < oo, then {P(t) : t > 0} is a strongly continuous semigroup in L" (E, m) indeed; Suppose 1 < p < q < oo. Every operator P(t), t > 0, acts from LP(E, in) to Lq(E,m) and 1IP(2t)lIp,q <M1+8 exp(2wt)(sup{p(t, x, y) : x, y E where 8 = p-1 q-1 and where M and w satisfy E'(exp(2 f V_(X8)(18)) < M2 exp(2wt), t > 0, x E E; t > 0, (2.69.)

(c)

Let f be in some LP(E, m) for some 1 < p < oo. The function (E (t, z) [P(t) f](x) is continuous on (0, co) X E;

56

(d)

Every P(t), t > 0, is an integral operator with integral kernel P(t)(x, y) such that the function (t, z, y) P(t)(x, y) is continuous on (0, oo) X E X E.

proof.
4 (a)

This is the contents of Theorem 2.8. (b). Since p is symmetric we see 11Po (0111,1 = IIPo (01100, co 5_ 1. So we may apply Theorem 2.8. (b). (b) Suppose 1 < p < q < oo, fix t > 0 and let M and Le be as in (b). With P(2t), S = P(t) and 8 = p-1 q-1 we infer from Corollary 2.16 (c) the inequality 11P(2011p, q 11P(t)11!80011P(20111,3. (2.70.) We shall estimate 11 P(t) I12, and IIP(2011a.,,,. Therefore pick f in L2 (E , rn). Then by Schwartz' inequality
i[P(Of llx)i2

nip

C.) a). lEz(exP( -1; V P(1 f (Xt))12

< Ez(exp(-2 I V(X)da))E x (1./e(Xt)12)

< M2 exp(2wt).

supfp(t, x, y) : x, y E 411 f III (2.71.)

ion Hence M2 exp(2wt). sup{p(t, x, y) : x, y E E}. 11P(t)IlLoc ) in Again using Schwartz' inequality we see II P(2 t)11,00
2t

< Ex(exp( f V(X8)da))2

2t

< Ez(12).Ez(exp(-2 f V(X.)d8)) < M2 exp(44. (2.72.) Combining (2.70.), (2.71.) and (2.72.) yields inequality (2.69.). This proves (b).

Lion

57

(c)

Let f be in LP(E, in) for some 1 < p < oo and suppose t = lim to > 0, x = lim xn. Fix 0 < S < tk, k E IN. Then, by (b), P(6) f belongs to 111E , m). So, by Corollary 2.17.
Iim
00

[P(t.).11(zn)
8)[P(6)f](Zn)

= lim P(tn

= [P(t OP( 0).fi(z) = [P(t)f](x),

proving the continuity of [P(t)f](x). (d) First notice that for t > s > 0 the inequality sup{p(t, x, y) : x, y E E} < sup{p(8, x, y) : x, y E holds. This inequality follows from the Chapman-Kolmogorov identity p(t, x, y) = jp(t together with the inequality p(t Next, put
Vh,t = max(min(V, k), t),

(2.73.)

a, x, z)p(a , z, y)dz

s, x, z)dz < 1.

oo < < k < co.

Let {P(k, , t) : t > 0} be the strongly continuous semigroup defined by the Feynman-Kac formalism using the potential function Vk,t and let P(k , t)(z , 11) be the corresponding integral kernel for oo < t < k < co, the function (t, y)

P(k, t,t)(x,

being continuous on (0, oo) X E X E, by Theorem 2.14. Let P(t)(z, y) be the integral kernel for the semigroup {P(t) : t > 0}. Let K be a compact subset of E and suppose oo < e < k < co. Then

58

> 0,
m).

sup{IP(2t)(x, y) P(k, 1, 2t)(x , : z, y E K} iliK(P(2t) P(k, t, 2t)) 1K111,00

5 PI P(t)(P(t) - 1)(k, 1, t))1K 111,00

,e0 + ii1K(P(t) P(k, 1, t))1)(k , 1, t) illK P(011.00VP(t) - P(k , 1, t))1K 1114 14,00 + II 1K(P(t) t,t))1i00,0011 p(k, t, 01 K-

(by symmetry) 5 (11P(0111,00 + 73.) Since

< V_ we have by (2.69.) 0111,00)111K(P(t) P(k, 40)1100,0o.

iiP(t)111,00 +

ty 011,00 c2M2 exp(cut) sup{p(lt, z, y) : z, y E E}.

Hence for 0 < 26 < t < T we obtain by (2.73.) the inequalities: sup{IP(2t)(z, y) - P(k , 1, 2t)(x,y)I : z, y E K} < C(5, 71111K (P(t) P(k, 1)0)1100,00
IC C(5 ,T)(111K(P(k, -oo,t) P(0)1100,00) +111 c (P(ft -co ,i) P(k t)lioci,00) < C(8, T){ sup ([P(k , oo , 011(x) - [P(t)1](z)) zEK + sup ([P(k, oo t)1](x) - [P (k 1, t)1](x))} xEK

the zi Here

C(s, T) = 2M2 exp(coT) sup{p(6, x, y) : x, y E E} .

the Df E

By Corollary 2.17. the functions

(t, x) [P (k 1, t)1](x), k,1 E IV U {oo} U {-00},

are continuous on (0, oo) X E. Since the sequence of functions ([P(k, -oo, t)1](x) : k E IN) decreases to [P(t)1](z) [Moo, -oo, t)1](x) and since, similarly, for k fixed, the sequence of functions ([P(k, t, t)1](x) : t E N) increases to the function [P(k, -co, t)11(z), it follows by Dini's theorem that this converBence is uniform on [26, 71 x K. Since 0 < 26 < T < oo are arbitrary and since 1 ; K is an arbitrary compact subset of E, this proves that the function P(t)(z, y) is continuous on (0, oo) X Ex E. 59

The following theorem bridges the gap between this chapter and chapter B. Theorem 2.21. In addition to the hypotheses on the initial Feller semigroup {Po (t) : t > 0} in Theorem 2.20. assume that limilPo(t)f I 111 = 0, f E L1 (E , m). Let the Borel measurable function V be such that
t

lira sup E'(f V_ (X.)ds) = 0. do zEE 0 Moreover let there exist an increasing sequence of compact subsets (Kr, : n E IN) of E with the following properties lira sup Ex (f 1K (X.)1T+ (X .)d8) = 0,n E IN, to zee lira sup Px(Tn nt 00 zEK =0
t

(2.74.) (2.75.)

for all t > 0 and all compact subsets K of E. Here the optional time Tn is defined by Tn = inf{t > 0 : Xt C } Define the semigroup {P(t) : t > 0} by the Feynman-Kac formalism. Then all conclusions of Theorem 2.20. hold again. Proof. Within the notation as in the theorem, define the semigroups
t

{P(n, t) : t > 0} by

[P(n, t)f](z)

= Ez (exp( f (1K,, (X)V+ (X.) V_ (X8))ds). f (Xt )),

0

where n is in IN, where t > 0 and where f is in LP(E,m) for some 1 < p Coo. By Theorem 2.8. (b) every semigroup {P(n, : t > 0} is a strongly continuous semigroup in LP(E, m). Moreover there are constants M and w depending only on V._ and p such that Vert, Of II p

M exp(wt)Il f II p , n E IN, f E LP(E, m).

(2.76.)

In addition we shall prove that for 1 < p < co uniformly on compact subsets of [0, oo), lina..11P(t)f P(n, O f li p = . f E LP(E, m) (2.77.) 60

and
n-0.00

lim sup J IP(t) fl(z) :1 (rt , t) f 1(x)1 = 0,

xEK

fE

, in),

(2.78.)

for all compact subsets K of E. It then follows that the semigroup {P(t) : t 7 0} is strongly continuous in LP(E, m) indeed and that the functions (t, -4 [P(t) trel are continuous on (0, oo) X E for f in (E m). The proof of Theorem 2.21. can then be completed in the same way as that of Theorem 2.20. To prove (2.77.) fix to 7 0 and f in LP(E, m) fl L'(E, m). Put in to Mo = sup Ex(exp( f V_(X8)d8)).
zEE

IN)

Then Mo < oo and '.) '5.) where (7-1. +19-1 = 1. Inequality (2.70) follows from Holder's inequality. For a compact subset of E the following equalities are readily ied 0 < t < to and verified: all to Ma < Mo(q) := sup EZ(exp(q f IL.(Xii)da))1/q < oo zeE (2.79.)

f i[P(t) f](x)

[P(n it)fl(x)IP dx
t

< I 1E' (exp( i f vAx8 )d8)1f (xt)I : Tr, <

t

dx

by

< f lEx (exp(f vAx.)ds) : Tn <

0
t

dx .11111P.

oo.I
Dus

E\K (Holder's inequality) < m(K)-Mo(q)'

+ I lEz(exp(f VAX 8N8).1f(Xt)1)1P dX

sup Pz (Tn t)

my
t
reo )

E\K < MOM P IM(K).11fgo sup Pz (Tn to)

xvc

+ Mo(q) ' I Po(t)IfIP (z)dx

+ I Po(t)If 1P (z)dx}
E\K

(2.80.)

of
7.)

61

Since, by assumption, the semigroup {Po(t) : t > 0} acts in Ll(E, m), the functions t 1-4 f A Po (t)IfiP(z)dx, A a Borel subset of E, are continuous. Let c > 0. By Dini's theorem there exists a compact subset K of E such that
1 Mo (OP f Po (t)I f IP (x)x < E , 0 < t < to . 2 E\K

Fix such a compact subset K and choose N in N so large that

M-0(q)P m,(K )11 f If,,sup PE (11,2 < to) < zEK 1 n > N.

By (2.75.) such a choice of N is possible. From (2.80.) we obtain

II P(t)f P(ni t )f II; <E,

n > N, 0 < t < to.

(E m) is dense This proves (2.77.), using (2.76.) and the fact that LP(E, m) fl in LP(E,m). The proof of (2.78.) is much easier. Fix to > 0, f in L(E,m) and a compact subset K of E. Then by Holder's inequality we have, for 0 < t < to and z in K,

IIP(t)fI(x)

[P(n, t) f](x)1
t

< Ez (exp( f V_ (X .)ds) : Tr, < 0.11 f III

f Moo 5_ M (2)( sup Px (Tn < t 0) 4 .11 f II00. xEK Again using (2.75.) proves (2.78.). This suffices to prove the theorem. We conclude this chapter with two problems and a remark on quadratic forms.
Problem 1.

Mo(2)..P(Tn

Suppose that in Theorem 2.20. for every x and y in E, the function ti) p(t, z, y) has an analytic extension to the open half plane {t E C : Re t > 0} and suppose that this extension in turn can be made continuous up to the imaginary axis with perhaps the origin removed. Prove corresponding results for the function P(t)(z, v). Probably the class of potential functions V has to be changed or reduced. Prove that this analytic extension can be used to define Feynman path integrals, in case {X : s > 0} is Brownian motion. See the appendix and also Chapter 6. 62

Problem 2.
iy

Treat the non-symmetric case and obtain, if possible, a result like Theorem 2.20. Remark. Next let H be a Hilbert space with inner-product <, 7. A symmetric quadratic form on H is a sesqui-linear functional

B : D(B) x D(B)
for which

B(z y)

B(y, x), x, y E D(B),

and for which there exists a constant w such that 13(z, x) > < z, z >, x G D(B).

Here D(B) is some dense linear subspace of H. The form B is closed if D(B), equipped with the norm V(w + 1) < x, x > +B(z, z), z E D(B), is complete. With every closed symmetric bilinear form on H there corresponds a self-adjoint operator A with domain an range in H such that < Az, > < and such that
< X, X >, X

E MA),

s.

B(x, y) + w C x,y >=< vwI Ax,Vcei Ay >, x, y E D(B).

Here 'w./- A is the unique closed linear operator C in H such that < C x, x >> 0, z E D(C) and such that C2 = w/ A. As will be seen in Chapter 6, such an operator A generates a positive semigroup {P(t) : t > 0} in H for which IIP(t)11 < exp(wt), t > 0. It can be proved that the limit

is

B(x , y) :=l

)r h exists for all x and y in D(B). Let H be a Hilbert space of the form .11 = L2 (E, m.), 1 0 where m is a strictly positive Radon measure on the (state) space E, which, as above, is supposed to be locally compact and second countable. The semigroup {P(t) : t > 0} is said to be Markovian if for each t > 0 the map P(t) is a Markov 63

io

< x, y > < P(t)x, y >}

operator. This means that u in L2(E, m), 0 < u < 1, implies 0 < P(t)u < 1. To such a Markov semigroup {P(t) : t > 0} there corresponds a so-called "Markov symmetric" bilinear form in L2(E, m). If the closed symmetric bilinear form B is Markovian the corresponding pair of spaces (D(B), L2(E, m)) is called a Dirichlet space. If the semigroup {P(t) : t > 0} is transient (Le. if for f in L2 (E, m), f > 0, the integral fo [P(s)f](e)ds is finite for almost all in E), then there exists a strictly positive function g such that
flulg dm < B(u, u)1 12

u E D(B).

Consequently the completion of D(B) with respect to the norm u B(u, u)I/2, u E D(B), can be realized as a linear subspace of 1,1 (E g .m). For all this we refer the reader to Fukushima [102]. We also refer to Theorem 6.2. Generalizations to non-symmetric bilinear forms are possible. Other valuable sources of information are Dellacherie and Meyer [83], Dynkin [80], Engelbert [87], [88], [89], [90] and [91], Ito [148] and [149], and ItO and McKean [150].

84

3 Initial value problems

Let A be a closed linear operator in a Banach. space X and let z be in D(A). We are looking for a continuously differentiable function u : [0, oo) D(A) such that f u' (t) = Au(t), 1 u(0) = x. t > 0; (*)

Similarly let x be in X. We can also try to find a continuously differentiable function v : [0, oo) D(A) such that f vt(t) = z + Av(t), 1 v(0) = x. t > 0; (**)

Again let x be in X. We may want to consider a weakly continuous function : [0, oo) X such that for every x* in D(A*) the function t w(t), x* > is differentiable in such a way that

< w(t), x* > = < w(0)=x.

Al x* >, t _7 0. x* E D(A*);

A solution of (c**) is called a weak solution. In this context the following theorem can be proved: Theorem 3.1. Let A be a closed linear operator in a Banach space X. The following assertions are equivalent: (i) (ii) A generates a strongly continuous semigroup. For each z in D(A), the abstract Cauchy problem (*) has a unique solution, which depends "continuously" on the initial value x, moreover D(A) is dense in X. For every x in X, problem (**) has a unique solution. For every x in X, the weak abstract Cauchy problem (***) has a unique solution. 65

(iii) (iv)

Here "depends continuously on the initial value" means that whenever (x n : n E N) C D(A) is a sequence such that lira zn, = 0 and whenever (t, : n E N) is a sequence in (0, oo) for which lira to = 0, then lim un(tn) = 0. The functions un ,n E IN, are the solutions of (*) which start in xn. A weaker version of the equivalency of (i) and (ii) is proved in Krein [168, p. 49]. The equivalency of (i) and (iv) can be found in Ball [10]. The equivalency of (i) and (ii) will also appear in Lumer [193]. Proof. (1) = (ii). Let A be the generator of the semigroup {P(t) : t > 0} and let z be in D(A). Put u(t) = P(t)z, t > 0. Then u solves (*) and u depends continuously on the initial value z. (ii) (iii). Let z be in X and let (x n : n E IN) be a sequence in D(A) for which x = lira zn. Fix n in N and let un : [0, oo) X be the solution of (*) which starts in zn. Put vn(t) = f o un(8)d8, t > 0. From (*) it follows that un(t) = x n + f tin(8)d8 = zn + f Aun (s)ds, t > 0. 0 Since A is a closed linear operator from the latter we infer
t

= xn +
o

un(8)d8) = zn + Avn(t),

t>0

(3.1.)

Since the solutions of (*) depend continuously on the initial value, it follows that there exists a continuous function u : [0, oo) X such that lim un = u uniformly on compact subsets of [0, oo). Since v' = un, since A is closed and m since lira x n = x, from (3.1.) we conclude
t

u(t) = z + A(5 u(8)(18), t > 0

(3.2.)

Put v(t) = ft) u(8)d8, t > 0. From (3.2.) we see that v solves (**). To prove uniqueness let v be a solution of (**) with z 0. Then v is a solution of (*) with z = 0. The function which vanishes identically satifies (*) with x = 0. By uniqueness v(t) = 0, t > 0. (iii) = (iv). First we prove that D(A) is dense. Let x be in X and let v be a v(s)-v(0) . Since solution of (**). Then z =--- (0) Av(0) = e(0). So x = iimeto 8 v(8), 8 > 0, belongs to D(A) we conclude that x is in D(A). Hence X = D(A). Let x be in X and let v be the unique solution of (**). Put w = v1. For x* in D (Al we have 66

dt

C w(t), x* > =

dt

< x + Av(t), z* >= < Av(t), z* ,> dt

dt < v(t), As x >=C (0, A* vs > = = < w(t), A* v* > . Since we also have w(0) v1(0) = + Av(0) = + AO = x, we conclude that to is a solution of (***). Next we shall prove that solutions of (***) are unique. Suppose that to is a solution of (***) with z = 0. Then w(t), x* >=-- < w(t), A* x* >, x* E D(A* ), t > 0

dt <

Consequently for x* in D(A*) and t > 0 the following equalities hold: d > = f < w(s), x* > ds 0 de
t
t

Cw(t), > w(0),

= f < 10(8), Al x* > cis =< f w(8)de, A* x* > 0 Since w(0) = 0, we get for t > 0, and x* E D(A*),
t

w(t), z*

< f w(e)ds,

>

(3.3.)

Since the graph A is closed, (3.3.) implies that for each t > 0, the ordered pair (f(t) w(e)ds, w(t)) is in the graph of A; e.g. see Goldberg 11131. Hence
t

w(t) =

w(8)d8),

t > 0.

(3.4.)

With v(t) = ft w(s)d8, t > 0, we infer ) v' (t) = 0 + Av(t), v(0) = 0. t > 0, (3.5.)

Since the zero-function satisfies (3.5.) and since the solution of (3.5.) is unique it 0. Consequently to = 0. Hence (***) possesses a unique solution follows that v for every x in X. 67

(iv) = (i). Let for z in X the function wz be the unique solution of (***) and define for t > 0 the map P(t) : X X by P (t)x = wz(t). Standard arguments show that {P(t) : t > 0} is a semigroup and that each P(t), t > 0, is a linear operator. For example let us prove that {P(t) : t > 0) has the semigroup property. Therefore fix x in X, fix t > 0 and define the functions w(1) and w(2) respectively by w(1)(8) = P(3 + t)z = wx(s + t), w(2)(8) = P(a)P(t)x = to p(t)(s), 8 Then for z* in D(A*) we have (1 < ws -) (8), z* > = <w(8+), z* > ds ds iv.(3 + t), x* =C w(1)(s), A* x* > We also have d < 02)(8),
61;

* < w x(8), x > < wp(oz(8), A* z" > = < 0)(8), Ase .

Since w(1-) (0) = w(2)(0) = P(t)x we conclude from the uniqueness part of (iv) that w(1) w(2). So P(a + t)z = P(8)P(t)27 81 t > 0, x E X. The functions wz are weakly continuous. So the semigroup {P(t) : t > 0} is weakly continuous. Consequently it is strongly continuous. So there exist constants cd in R and M > 1 such that

1119(t)x11 5-

0, x E X.

(3.6.)

From the argument in the uniqueness part of the proof of the implication (iii) = (iv) it follows that for t > 0, X e R and x in X the integral ex8 toz(s)ds belongs to D(A) and that z e at wz(t) = (V f e x" wx(s)ds (3.7.)

(In fact this equality holds for all X in IR, we shall need it for X = 0.) If x in D(A) is such that Az = Xz and where X > w, then w (t) = e xt x, t > 0, satisfies (***) and consequently P(t)z = eat x, t > 0. From (3.6.) it follows that x = 0. 68

Hence N(XI A) = {0}, X > co. Next let B be the generator of the semigroup {P(t) : t > 0}. From (3.7.) with X = 0 we see P(t)x x A(.1 P(s)xds), x E X, t> 0 For x in D(B) we known that both limits
im P(t)x x

io

and lim do

ft)) P(s)xds

exist. Since A is closed it follows from the definition of generator that Bx = Ax, x E D(B). (3.8.)

Consequently A extends B. Next let xo be in D(A). For X > w there exists x in D(B) such that (XI A)xo = (XI B)x = (XI A)x. Hence (XI A)(x xo) = 0. Since N(XI = {0} we obtain xo = x E D(B). This proves by virtue of (3.8.) that B = A. Hence A generates a strongly continuous semigroup. Remark. If for each x in D(A) problem (*) has a unique solution, then the solutions uz, x E D(A), of (*) depend continuously on the initial value if and only if for each t > 0 there exists a constant C > 0 such that sup Iluz(s)11 < CIlx11, o<e<t x E D(A).

This is an fairly easy consequence of the semigroup property. Among others we have the following generalizations of the abstract Cauchy problem. a. Retarded differential equations. Here the situation is the following. Let X be a Banach space and let p be an L(X)-valued measure on [0, oo). For example X = Rn. Suppose that p(B) = 0 for all Borel subsets B of [r, co), where r is some positive real number. Let (p be in X and let col be a "reasonable" X-valued function on [r, 0]. For example let y 1 be in L2([r, 0],X). Find a continously differentiable function u : [0, oo) X such that

ti(t) = fox' dp,(6)u(t 6),

u(t) = col (t), r < t < 0,

t > 0, u(0) = (p

(*) 69

In this context we write

t r

t9-))dr, t > 0 o r Then f(t) = f(r), t > r, and the distributional derivative of f is given by f; dit(6)v1 (t 6), t > 0. With E(a) = /4[0, sp, 8 > 0, the following assertions are equivalent:
f(t) = (pc f (f dp(6)

u satisfies (*); 1 u(0) = f(0); (iii)

u=C*u+f, on [0, oo).

f u1 ./.&*u+f i

on [0, oo),

There are at least two different ways to associate to problem (s) strongly continuous semigroups: first of all on the space M2 := Rn x 0], Rn) (for X we take Rn); secondly on the space of forcing function H1 on [0, oo). Here H1 is the Sobolev space of functions with distributional derivatives in L2 ([0, oo), IV) and which are constant on [r, oo). The space M2 is the space of "initial values". The duality between M2 and H1 is given by < (so co l ), f >= so f (0) +
f

f'(t)dt

The semigroup {P(8) : s > 0} on M2 is given by

P(8)(r , (p1)(t) (u(8), u(s + t)), r < t < 0, s > 0

where u solves (*). The semigroup {Q(s) : s > 0} on Si is defined by

(Q(s)f)(t) = + +I E(o + t) v(a r)dc, t > 0, s > 0. . a X is the solution of
ti

Here the function v : [0, oa)

= ET *

f
H1 is defined

where 9(t) = E(t)T is the transposed matrix function. If F : M2 by

t r

F(EP y(P1 )(t) = (P + f

dp(t9)(p1 (r 69dr, t > 0,

then the following assertions can be proved. 70

Theorem 3.2. Let M2

F, {P(s) : 8 > 0} and {Q(8) : 8 > 0} be as above. Then (a) (b) F P(8)(40 col ) = Q(8) F(40 (P1), P(8)* = Q(s), s
Ob.

8 ?_ 0;

0.

Here the semigroup {Q(8) : a > 0} is defined in the same way as {Q(s) : 8 > 0} with eT replaced by For the proofs we refer the reader to Diekman [70). See also Bernier-Manitius and Manitius [22] and the references given there. Another valuable reference is Vintner [274]. For the case where M2 is replaced with C([r, 0], Er), the reader is referred to Hale [125]. b. Evolution equations. In this theory the following initial value problem is solved. Let X be a Banach space and let {A(t) t > 0} be a collection of generators of strongly continuous semigroups in X. Furthermore let f : [0, oo) + X be a continuous function. Find a continuously differentiable function u : [0, oo) X such that u(t) E D(A(t)), > 0, and such that
u1(t) A(t) u(t) + f(t), u(0) = z, t > 0,

(*)

where x is a given vector in D(A(0)). If the family {A(t) : t > 0} is "stable" and satisfies appropriate conditions on ni)(A(t)) and on the dependence of A(t) on t, there exists a so- called fundamental solution {U(t, 8) : t > 8 > 0} consisting of bounded linear operators on X which have the following properties:
U(t, r) U(r, s) = U(t, 8), t > r > s > 0;
U(8,8)

= I,

> 0;

at U(t, 8) = A(t) u(t, 8), t > 8 > 0; a u(t 8) = 88 8)A(8), t > 8 > 0.

A solution of (*) in terms of the fundamental solution is given by

t

u(t) = U(t, 0)x + f U(t,$)/(8)ds, t > 0.

0

71

If A := A(t), t > 0, is independent of t, then U(t, a) is given by

U(t, 8) = P(t 8), t > 8 > 01

where {P(t) : t > 0} is the semigroup generated by A. For all this see Tanabe [262, Chapter 4, p. 89-116]. There also exists a Hille-Yosida theorem for collections of bounded linear operators which satisfy (3.9.) and (3.10.) and which are separately strongly continuous. Such collections {U(t, a) : t > 8 > 0} are called evolutions on X. To every contractive evolution on X there is under certain conditions associated a family of dissipative generators {A(t): t > 0} such that
t

U(t, 8) = I + f U(cr, 8)A(c/cr),

t > 8 > 0.

For an account of this see Herod and McKelvey [134]. Product integration plays a decisive role in the latter paper. For an elementary treatment of this topic see Dollard and Friedman [72]. For earlier treatments of evolution equations see also Yosida [277, Chapter XIII]. For relations between temporally inhomogeneous Markov processes and evolution equations see Rao [231;] see also Ito [148], [149], Ito and McKean [150], Mandl [197] and Langer, Partisch and Schiitze [171]. A recent paper on evolution equations is Lumer [195].
c. System theory.

In linear system theory the following equation is studied:

0) = Az(t) + Bu(t), 40) = zo, v(t) = Cz(t), 0 < t < T,

(*)
0 < t < T.

Here A is supposed to be the generator of some strongly continuous semigroup {P(t) : t > 0} in a Banach space X. The operator B is defined on some Banach space U, the control space and C is a linear map from the space X to some other Banach space V. Often equation (*) is replaced by
x(t) = P(t)xo + fo P(t 8) Bu(s)ds, v(t) = Cz(t).

0 < t < T,
0 < t < T.

(**)

The function u is called the input function and the function v is the output function. A solution x of (* *) is said to be a mild or weak solution. In controllability the problem is finding a function u in such a way that problem (**) has a solution for which x(T) = xi. Here xo and xi are given. In stabilizability the problem is finding a (feedback) operator F X U in such a way that the operator A + BF generates, in some suitable sense, a stable semigroup {Q(t) : t > 0}. For example saying that {Q(t) : t > 0} is strongly stable means that limt,,, Q(t)z = 0 for 72

all z in X. It is weakly stable if limt, < Q(t)z, xt* >= 0 for all z in X and x* in X*. It is exponentially stable if 11Q(t)II < Me wt, t > 0, for some constants M > 1 and w > 0. In optimal control theory the problem is finding a function u (if any exists) in a suitable control set which minimizes the so-called cost-functional J : U -4 [0, oo) defined by, for example,
00 00

J (u) = f <
0

z(t), z(t) > dt + f < u(t) u(t) > dt

0

Here we assume that U and X are Hilbert spaces and that C is some positive map on X. Moreover x is a solution of (**). Of course generalizations of this kind of problems can be formulated and sometimes be proved too. For example the operators involved can be made time-dependent. The cost functional can be more complicated. The notion of observability can be introduced. For more details we refer the reader to Balakrishnan [ 9], Curtain and Pritchard [55] and [56]. The following papers deal with matters related to stabilizability: Levan and Rigby [178], Benchimol [17], Levan [175], Slemrod [255], Pazy [215], Berger and Coburn [21] and Hirschfeld [141]. d. Semigroup distributions. Here the semigroup {P(t) : t > 0} is replaced by an operator valued distribution which transfers certain valued distribution which transfers certain convolution products into a composition of maps. To be precise, the definition reads as follows. For m in R, define the vector space P by Dm = E C(R) : supp(so) C (-00, mil)

put D_ = Um.1 Dm and equip D._ with the inductive limit topology of the spaces Dm, m E N. So a sequence (con : n E IN) in IL converges to a function yo in whenever there exists m in IN such that
((Pn

n E IN) C D,,

and such that lim supmax 101)(0) 40(i)(z)1 n.cc x<rn, 0<2 5..k for all k = 1, 2, .... Let X be a Banach space and let L(X) be the algebra of all continuous linear maps from X to itself. Consider a map G : D_ L(X), which is supposed to be linear and continuous and which has the following properties: (1) If cp in D._(R) is such that supp(v) C (oo, s), for some c > 0, then G((p) = 0. In other words supp(G) C [0, oo). 73

(ii)

If (c) and belong to A_ and if their supports are in [0, co), then G(90 * = G(P)G(0)

(iii) For every co inn_ with supp(cp) C [0, co) and for every z in X, there exists X, which is continuous on R\{0}, and which has the a function u : following properties: (a) (b) (c) u(t) = 0, t < 0,

u(0) = G(p)x, G(1,100((p)x = (t) u(i)dt, E D.

(iv) The linear span of {G(p)x : cp E D_, supp(so) C [0, co), z E X} is dense in X. (v) If G((p)x = 0 for all io E A_ with supp(p) C [0, co), then x = 0. Property (ii) replaces the semigroup property and property (iii) replaces the strong continuity. If {P(t) : t > 0} is a strongly continuous semigroup, then
CO

G(fp)z = I so(t)P(t)z,

x E X,

defines a semigroup distribution indeed. Hence a semigroup distribution can be considered as a generalization of a strongly continuous semigroup. Again the notion of generator can be introduced and inital value problems can be associated. For more details we refer the reader to Lions [188] and Chazarain [43]. For a recent account see Apteker [ 61. As an example we have the following. The operator i.A, where A is the Laplace operator in P.', generates for 1 C p < co, p 2, a semigroup distribution. However in these cases it does not generate a strongly continuous semigroup. For details we refer the reader to Apteker 1.c. and Chazarain l.c..

74

4 Convergence of semigroups

It is sometimes convenient to know whether or not a sequence of strongly continuous semigroups converges in some suitable sense to another strongly continuous semigroup. In this context a Trotter-Kato type convergence theorem can be proved. Therefore let (Xn, 11.11n), n = 0, 1,2, ... be a sequence of Banach spaces and let Sn : X0 ---+ Xn, n E IN, be continuous linear maps such that for each x in X0 the norm 1[40 is given by 112110 = n
-'

A Banach-Steinhaus argument then shows that for some constant C 11SnxIl n C ClIx110, x E X, n E IN.

Next let for each n in IN, Bn be a linear operator with domain and range in X. The limit graph G((Bn)) of the sequence (B, : n E IN) is defined by G((B,)) = {(x, y) E X0 X X0 : for each n in IN there exists 24, E D(B,) such that x x nli n = 0 and such that lim.0.11Bn.zn SnYlln < 01. The limit domain D((Bn)) of the sequence (Bn : n E N) is the image of G((Bn)) under the projection on the first factor X0 of X0 X X0. The limit range R((Bn)) of the sequence (B, : n E IN) is the image of G((l3n)) under the projection on the second factor of X0 X Xo. For example the vector y is in R((B,)) if and only if there exist a vector z in X0 and x, in D(B,) such that limn. 0011Snx zniln = 0 and such that lim_,00d1B,x &O n = 0. The pseudo-domain D((Bn)) of the sequence (Bn : n E IN) consists of these vectors x in X0 for which there exist vectors z n E D(Bn), n E IN, such that zalln = 0 and such that sup{IIBn xnlin : n E N} is finite. The following theorem is a generalization of the original result of Trotter [266]. Proofs of similar results can be found in Yosida [277], Lumer [193], Reed and Simon [232] and Chernoff [46]. By IN we always mean the natural numbers 1, 2, .... Theorem 4.1. (Trotter-Kato). Let X, n = 0, 1, 2, ... and S, n = 1,2, ... be as above and let for each n in IN a linear operator An with domain and range in X, be given. Fix M > 1 and fix w in I. and suppose that each An generates a strongly continuous semigroup in Xr, in such a way that 75

111:1,2(t)sn lj n < M ewe lizn il n, t > 0, n E N, The following assertions are equivalent: (1)

xn E Xn

(*)

There exists a strongly continuous semigroup {P(t) : t > 0} in X0 such that for each x in X and every compact subset K of [0, oo) limn
13- 00

sup liPt-t(t)Snx tEK

SnP(t)xlin = 0.

The pseudo-domain f)((An)) is dense in X0 and there exists X > w such that the limit range R((XI An)) is dense in Xo. Moreover if (i) or (ii) is satisfied, then the graph G (A) of the generator A of the semigroup {P(t) : t > 0} is the limit graph G((An)). (ii) Proof. We shall outline a proof. (i) (ii). Let the semigroup {P(t) : t > 0} be as in (i) and let A be its generator. For X > w we write 00 00 R(X)z =f exf P(t)xdt, Rn,(X): n = f e at Pn(t)xndt, xn E From (*) it follows that lim liRn(X)Snz Sn R(X)xil n = 0, X > w, n-00 z E X. (4.2.)

(4.1.)

From (4.2.) it easily follows that the limit graph G((XI An)) is given by G((XI An )) = {(z , y) : (y, E G(R(X))}, X > w. Consequently G(X I A) = G((O' An )), X > w. (4.3.)

Hence R((OI An)) = Xo, X > w, and since _b ((As )) contains the dense subspace D(A), assertion (ii) follows. (1). Define Rn(X), X > w, n E IN, as in (4.1.) From (*) it follows that 76

t > 0, X > w, k E IN, xn E Xn (4.4.) Let X0 be as in (ii). For each x in the limit range R((X01- - An)), it readily follows that there exists a unique vector y = R(Xo)x in Xo such that 11P,4(t)Rn(X)k xniin <M
n

lira IIRn(xo)sriz snR(x0)xlin = 0.

(4.5.)

From (4.4.) it then follows that lira IIRn(Xo)kSnx SnR(Xo) k xIIn = 0,

co

k EN, z E X0.

(4.6.)

Next define the subset it of (cd, co) by

= {X E R; X > (A.), lira IIRn(X)SnxSn R(X)xli n = 0 for all x in Xl. (4.7.)

-' CO

(Here the vector R(X)x is defined in the unique vector y for which limn_..0011Rn (X)Snz Snyll n = 0.) Using (4.4.) (for t 0) and (4.6.) together with =0(x pa)kRn(X)k+1 valid for CO < < 2X ca, it the representation Rn(p) = Er is fairly easy to show that 0 is open and closed in (w, oo). Hence, since 0 0, = (co, oo). Consequently

n-00

lira IIRn(X)k Snx SnR(X)k zli n = 0, k E N, X > w, x E X0.

(4.8.)

From (4.4.) it follows that

il-kx)kx110 5 m(x

E Xoy X>cv, kE IN.

(4.9.)

Since Rn (X) Rn(P) = X)Rn(A)Rn(X), X, it > w, n E IN, it also follows that the family {R(X) : X > u.i} has the resolvent property R(X) R(I) X)141.0R(X)) X, > w. (4.10.)

Next let x be in i)((An)) and choose xn in D(An ) in such a way that xnlin = 0 and such that C1 := suP{ IlAnzn n n E IN} is finite. Then for X > w we have by (4.8.) 77

II XR(X)x zlio = lira 115(XR(X)x z)lin

n

= lira 11X14,(X)Snz

cc < 11111 SUN' (XRn(X) /)( SrtZ n-1. co

Snx II n
Zn)II n

+ 11(un (x) znlin) < (IX1(X car M+ lim sup ilSnx xrill r,
nboo

+ lira sup liRn(x)Anzan

n--0.(x)

< M C1 (X w)-1 .

Hence, since ii((Ar,)) is dense in X0 we conclu

xlim IIXR(X)x x117/ 0, ,

y contin 'ty,
x E Xo.

(4.11.)

Define the operator A by A = s- lira X(XR(X) I) )1/4.00 So

D(A) = {x E Xo : lira X(XR(X) /)z exists}

(4.12.)

and
Ax =

al

rn X(XR(X)x x), x E D(A).

A straightforward verification shows that its graph G(A) is given by

G(A) = {(R(X)x, XR(X)x x) : x E X01, X > w.

(4.13.)

From (4.10.) we infer that R(X)X0 is independent of X > w. From (4.11.) it follows that D(A) is dense in X0. By (4.9.) and by virtue of the Hille-Yosida theorem (Theorem 1.1.) it follows that A generates a strongly continuous semigroup {P(t) : t > 0} in X0. From (4.9.) and the Hille-Yosida theorem it also follows that 11P(Oxilo < M e t1lx110, Next put 78
t

0,

x E Xo.

(4.14.)

Pn(t, >) = eXt(XR(X)/), P(t, A) = eXt(XR(X)/),

t _?_ 0, A > co.

For x in X0 and X, it > co, we have

Pn(t) Rn(ii) Snx Sn P(t) R(p)x

= (Pn(t) Pn(t) A)) Rn(ii) Snx + Pn(t, A) Rn(A) Sn z Sn P(t, X) R(p)z Sn(P(t) P(t) A)) R(L)z t = f Pn(a)Pn(t 8, X)(I XRn(X))(i.s Rn(i.t) I) Snx d8

0 + Pn(t, X)Rn(ti) Snx ST1P(t, X) R(p)x

t

Sn (f P(8) P(t 8, A)(I XR(X)) (AR(p) I)x d8). 0

From (4.4.) respectively (4.14.) it follows that

(4.15.)

t Awt Ill Pft(8)Pn.(t-81X) Yndslin < Mt ex X w o

n)

t > 07 X > WI lin E Xril

(4.16.)

t Xcot co Ilf P(8) P(t 8, X) yd8llo < Mt exp( x w )ilYilo , t > 0, A > w, y E X0, (4.17.) o From (4.15.), (4.16.) and (4.17.) it follows that

II Pn(t)Rn(p,) Sn x-- Sn P(t) R(p)xiin At ul < Nit exp(x _ w ) Il(I A Rn(A))(p, Rn(A) I)Sn xli n + iiPn(t)A) Rn (A) Sn x Sn1)(t,A) 41)4 , Xu t , , + MCt exPt x ) 11(/ XR(X))(12-R(A) i)z llo w
(4.18.)

Here the constant C is chosen in such a way that 11Snxiln < ClIzIlo for all n in IN and all x in X0. Next let K be a compact subset of [0, oo). Expanding eat Pn(t, X) and eat P(t, A) in powers of al t Rn(X) respectively X2 tR(X) and applying (4.18.) yields lim sup 11-Pn(t, A) Rn(11) Snx Sn P(t, A) R(j.i)xli n = 0. (4.19.) 79

n "x' tEK

From (4.18.), (4.19.) and (4.18.) we conclude Jim sup 11Pri(t) Rn(P) SO; SnP(t) R(P)Ilin t K
Xcat

T1

< 2M C . sup (t exp(

tEK

X tot

))11(I XR(X))(R(p)

Since X > w is arbitrary (4.11.) implies lint sup sup II Pn(t)(1/ Rn(P) Sax) S. P(t)(11,R(A):C)11n = 0.
tEK

(4.20.)

Upon letting j.k tend to infinity in (4.20.) and using (4.11.) again we finally obtain lint sup sup IIPn(t) Snx Sn P(t)xlin = 0
tEK

for every compact subset K of [0, oo) and every x in X0. This proves (i). Next suppose that (i) or (ii) is satisfied. From (3) it easily follows that the generator A of the semigroup {P(t) : t > 0} has a graph G(A) given by G(A) = G((An.)). Corollary 4.2. Suppose that hypotheses are as in Theorem 4.1. The following assertions are equivalent. (1) There exists a strongly continuous semigroup {P(t) : t 7 0} such that for all x in X0 and all compact subsets K of [0, co)
lint sup II Prz(t) Sn X

Sn P(t)xli n = 0.

(ii)

There exists a densely defined operator A such that G(A) C G((Ari) and such that R(XI A) is dense for some X > w.

Moreover, if (i) or (ii) is valid, then A pre-generates the semigroup {P(t) : t 7 0}. Proof. The equivalence of (1) and (ii) immediately follows from Theorem 4.1. Let (i) and (ii) be satisfied. Let B be the generator of the semigroup {P(t) : t 7 0}. Then 80

G(B) = G((An,)); see Theorem 4.1. So A C B and hence A is closabl Let A be its closure. Then R(X/ A) = X0 for some X > cd. Let x be in D(B) Then there exists xo in D(A) such that (XI B)x = (XI A)xo (XI B)x0 . ence x xo belongs to N(XI B) = {0}. So x = xo belongs to D(B).
For applications of this type of results we refer the reader to P y [215], Goldstein [114], Lumer [193]. For an interesting historical review see Bec r [15] and also Reed and Simon [232]. For a closely related and enlightening discuigion we refer the reader to Cannon [40]. Butzer and Berens [31], Chernoff [46] and Pazy [213] give many other types of convergence. The present presentation resembles the one in Bellemi-Morante [16].

81

5 Holomorphic semigroups

In this chapter holomorphic semigroups are characterized. For a concise formulation of the results we introduce the following notation. Let 0 < a < 7r and put Vo, = {z EC : larg < a}. Let {P(t) : t > 0} be a semigroup of continuous linear operators in a Banach space X. This semigroup is said to be holomorphic (or analytic) if there exists 0 < a < 17r and a holomorphic map P : V --+ L(X) such a that P(t) = P(t), t > 0. Instead of P we usually write P for this extension. Again we have P(zi + z2) = P(zi)P(z2) for z1 , z2 in V . The semigroup {P(z) : z E V a} a is said to be exponentially bounded if for each 0 < (la < a, there exist constants M = M. and w = ("4, such that 11P(z)11 < M ewizi for z in V . In the followv ing theorem we collect some of the characterizations of exponentially bounded analytic semigroups. Theorem 5.1. Let {P(t) : t > 0} be a strongly continuous semigroup in L(X) with generator A and with resolvent family {R(X) : X E p(A)} . The following assertions are equivalent.

(1)
(ii)

The semigroup {P(t) : t > 0} is analytic and has an exponentially bounded extension, There exists a complex number r, irl = 1, such that lim sup inf{ II rx
do

P(t)xli : x E X,

= 1} > 0;

(iii)

There exists 71- > a > 2 it such that p(A) j a + Va for some a > 0 and such that C, X E a + Va, for an appropriate constant C.

(iv)

There exist a constant C and a postive real number b such that AA) D {X EC : Re X = 0, IIm X1 > b} and such that iXiiiR(X)11
C,

Re X = 0,

IIm Xi > b.

82

(v)

lira sup sup{iIIAP(t)zIl : z E D(A), tto

1} < oo;

(vi) The operator

A
(A A) 0 generates a strongly continuous semigroup in X X X; )rad us
Or

(vii) There exist a constant C and a positive real number b such that nII(XR(X))n (XR(X))nl II < C, (viii) There exists a polynomial q such that Iim supilq(P(t))11 < sup{1q(z)1 : z EC,
tjo

X > bn, n E /N;

ch in its wed

Izi = 1};

(ix)

There exist a polynomial q such that lim sup 810,t10,n,-oo

11-{q(P(.--P(t)II11~ <

sup{lq(z)1: z EC,

1z1 = 1};

A iv(x) ed

For every polynomial q, for which ig(1)1 < supllq(z)I : IzI = 1}, the strict inequality lira sup
81.0,t1,0,nPoo

11{q(P(-))).n n

< sup{lq(z)I: z EC,

Izl= 1}.

holds. The equivalency of (i), (ii) and (iv) is due to Kato; see Kato [159], [160] and [161]. A proof of the equivalency of (i), (iii), (iv) and (v) can be found in Pazy [215, pp. 61 - 64]. In Yosida [277, pp. 254-255] the equivalency of (i), (iii) and (v) is proved too. The equivalency of (v), (vi) and (vii) can be found in Crandall, Pazy and Tartar [53]. In [23] Beurling proves the equivalency of (i), (ix) and (x). The implication (viii) = (ix) is easy. Let q be a polynomial for which the strict inequality in (ix) holds. For appropriately chosen m and n in IN the polynomial q0 (z) q(z)n zmn satisfies (viii). In many text-books on differential equations applications of analytic semigroup theory can be found. 83

nd

tat

In [258] Stewart gives a number of interesting applications. In [254], Sinclair applies holomorphic semigroups to Banach algebra theory. In [223], [224] and [225], Pisier uses Beurling's characterization of holomorphic semigroups to prove some geometric properties of Banach spaces. Here the following fact is used. If Qi, Q, are commuting projections in a Banach space, then the mapping t {(I Qk) + e_t Qk}, t > 0, is a (holomorphic) semigroup. In [80] de Graaf has yet another interesting application of holomorphic semigroups. Before we prove Theorem 5.1. we insert the following proposition. It refines some of its statements. Moreover it yields the equivalence of the assertions (i), (ii), (iii), (iv), and (v) of Theorem 5.1.

Proposition 5.2.
Let A be the generator of a strongly continuous semigroup {P(t) : t > 0} in L(X). The following assertions are equivalent:
(1)

The semigroup {P(t) : t > 0} has an exponentially bounded holomorphic a extension in some angle V with 0 < a < 12r, For every c E C, Id I = 1, 5. 4 1, the inverses (c/ P(t))-1 exist for all sufficiently small positive t; There exists c E C, I = 1, c liminf infacz is strictly positive; 1, such that the expression P(t)xil: x E X; iixii = 1}

(ii) (iii)

(iv)

There are constants M > 0, a E R and b > 0 such that MII(a+ ir)x AzIl7 17111z11 for all fe E D(A) and all r E R with Irl > b;

(v)

There exist constants a E R and ir < co < it such that the resolvent set y, of A contains a + V and such that : X E a + Via} is finite;

84

(vi) The expression lim sup sup{tIlAP(t)xll : x E D(A), to 411 5_ 1}

is finite. Here, as always, R(X) denotes the operator R(X) = (XI - A)-1, whenever it exists as a bounded linear operator which is everywhere defined. Sometimes we will have to use symbolic calculus utilizing operator valued integrals in the complex plane. The contour 1 cp), a E R, 0 < tp < 7r, denotes then the boundary of 1(a, a + Vs oriented in such a way that a + V, is lying at the righthand side. Proof of Proposition 5.2. a, (v). Suppose IIP(0.11 < Mexp(tot), for t in V where 0 < a < 2 it is fixed. Choose ai E It in such a way that al cos a > w and define for X E al + V+ 2, Im X > 0, the L(X)-valued integrals Ra(X) by f co Ra(X)x Since Ilexp(-ate-ia)P(te- 'a)II C M exp(-(al cos a - w)t) for t > 0 and for X in (al + Va.1,) fl {X E C : Im X > 0}, these integrals make 2 sense indeed. Next fix cp E R in such a way that 1 + - r > > - 7r, 2 2 and fix a > al in such a way that 1 a(cos a - cos(p - a)) = 2a sin -1(p. sin( -cp - a) > w. 2 2 For X = a + IX - aleic the following inequalities hold:
r oe

exp(-Xte-i')P(te-

E X.

> 2a,

IIRa(X)II C M

exp(- at cos a - IX - a!t cos((p - a) + wt)dt

< M la cos a + IX - al cos(cp - a) - tor' M(a(cos a - cos(so - a)) - w + IX I cos((p a))-1 M(IXI cos(C0 ct))-I 85

Hence
lx111Ra(x)11 C

ct))-1/ X E F(a,), Im X > 0. (5.1.)

Similarly the integrals

R_,,(X)x
is

10

exp(Xteia)P(teilzdt,

x E X,

make sense for X in a1 + ircy+1,, Im X < 0. Again we have IXII1Ra(X)ii C M(cos(io ce))-1, By Cauchy's theorem we have R(X) Y R(X), and R(X) = R,(X), Here, as usual,
00 R(X)x = 0 exp(Xt)P(t)xdt = (XI Arl x, x E X,

X E F(a, 4 Im X < 0.

(5.2.)

Re X > al , Im X > 0, Re X > a1i Im X < 0.

(5.3.) (5.4.)

for Re X > w. So the holomorphic map X 1). R(X), Re X > al, extends to an operator valued holomorphic map on the interior of al + Tri.7,+ This extension is again denoted by R(X), and in fact R(X) = (XI X E a1 + (5.5.)

From (5.1.), (5.2.), (5.3.), (5.4.), (5.5.) and the maximum modulus theorem the inequality (5.6.) , XE a + V . IXIIIR(X)II < M(COS(P Ce)) l) follows. (v) = (vi). Let a and (p be as in (v). Then with F = F(a, (p) we have
P(t)x = 1 fr exp(Xt)R(X)xdX, xeX, t> 0,

~ Sri

(5.7.)

The latter follows from the equalities 86

00

fo

exp(pt)(1/(27ri)f exp(Xt)R(X)zdX)dt r
oa

= 1/(27ri)f (f exp((p X)t)dt)R(X)xdX r o 1/(2iri) fr (p Xr1R(X)dX

00
R(p)z = f exp(pt)P(t)zdt, o
for Rep. > a and z E X , together with the uniqueness of Laplace transforms. Since is a closed linear operator and since AR(X) = XR(X) equality (5.7.) implies that for x E X and t > 0 the vector P(t)z belongs to D(A) and that

AP(Ox =

f exp(Xt)(AR(X)z)dX r

1 = ----; exp(Xt)(XR(X)x x)dX 2rt r

27ri

fr exp(At)XR(X)xdX.

(5.8.)

Consequently, with Mo = sullfiXiiiR(X)11 : X E r(a,p)}, which by (v) is finite, equality (5.8.) yields
00

x rillAP(Oil

tf

exp(at ptsin(co

= exp(at)(sin(P This proves (vi).

2 0-1 .MoIIxII.

(vi) = (i). By (vi) there are constants 6 and M1 > 0 such that tijAP(t)xil

<_ M111zII

for all x E D(A) and for all 0 < t < b. For t > 0 arbitrary select a way that kb < t < (k + 1)8. With co > 0 and M > 0 satisfying M = sup{Mi (5i t + 1) exp(cot)11P(8)11 : 0 < 8 < t, t >

k E 1\1 in such
< oo, 87

we infer, for z E D(A), tlIAP(t)xll (t k6)IIAP(t kOP(k5)xli + kb IIAPNP(t Mi (IrP(kOxli + k11P(t 5)4) _< (6-1 t + sup{IIP(s)xli: 0 < 8 < t} 5_ Mexp(wt)114.

(5.9.)

Consequently, since D(A) is dense in X, the operators AP(t), t > 0, can be extended to all of X. These extensions will be denoted by C(t), t > 0. Moreover (5.9.) implies tilc(t)11 5_ Mexp(wt), (5.10.) t > 0. Put Co(t) = P(t) and Ck(t) = C(tkl )k,t > 0, k E N, k > 1. By induction on n the equality P(t)z = t r
k.

to)k Ck(to)z

1 "al to

8rCn.4-1(8)Xd8;

(5.11.)

is readily verified for t, to, n E N, and for z E X. For the time being fix to > 0 and consider t > 0 with (5.12.) (Me + 1)It to l < to. By (5.10.) and the definitions of the operators Cn(t), 011Cn(t)11 < IIC(tn-1)11n < nnMn exp(u)t), and consequently t > 0, n E

t ft.
srCm+1 (8)zd811 8r11Cri+1(8)11d8111x 11
t

< 1.TiI t ot (t 1

< 1 + 1)n+1 Mn+1 I f (t 8)-4-1 exp(o..78)d81114 (n -! n 1 (ta 1 )n-1-1. exP(u) max(t, to)) it < to 1 71+1 114 ' (n + 1)! (min.(t, to))n+1 (By Stirling's formula) (Me)n+1 exp(w max(t to)) I t t0 1 n+1 IIX11 N/27r(n + 1) (min(t, t0))n+1 (By (5.12.)) e + 1)-1)t0) exp(w(1 + II x ,V2r(rt 1) 88

Hence in (5.11.) the remainder term tends to 0. So P(t) k.0 Next let t E C be such that (Me + 1)1t tol < to. Then (5.13.) defines P(t) for such t. Moreover by (5.12.) we have for such complex t, (t to)k ki

coo,

It- to! < (Me + 1)-1to) t

(5.13.)

11P(t)11 5_ 11P(t0)11 M <

It ct l ict 1k liCk(t0)11 k.1 4. cx3 It tolk kk Mk eXp(to 601 . .0k k=1

It tOlk(M e)k exp(wo. (me)-1)1t 1)

tfjc

12; k
<

-LY-L1 2x< Mo exP(woiti).

exP(u) + (Me)-1)iti)

Here Mo = M(Mr1 + e(27r) i) and wo = ca(1 + (Merl). Thus, for t E V with = arsin (Me +1)' , P(t) satisfies < Mo exP(iAlo(ti). This proves (1). (v) = (ii). Let a and cP be as in (v), fix c t > 0 so small that larg(at + i + 2/c7ri)1 < cp, For such t define the operator B(t) by B(t) =
1

exp(i6), 0 < 6 < 27r and choose

k E Z.

exp(Xt) exp(Xt)

R(x)dX,

where T = f(a, tp). Then by symbolic calculus (see also (5.7.)):

89

P(t)B(t) = B(t)P(t)
1 = 2,r

if

exp(at) x r exP(Xt) exp(Xt) c ic(A)a exex >,( )d) 5.1 (X)dX p(P : _

= 27ri jr {(exp(Xt) 5) i

1 f exp(Xt)R(X)dX + L f exP(Xt) RfX'dX b exp(Xt = 27ri r

= P(t) + rB(t).
Hence

(cI P(t))(I B(t)) = (I B(t))(cI P(t)) = cI.

This shows (ii). (ii) = (iii). Trivial. (iii) = (iv). Let c = exp(i6), 0 < 6 < 2r, be as in (iii) and choose a E R in such a way that (5.14.) l I P(t) I I< C exp(at), t> 0, for some constant C. Then there is n > 0 and to > 0 such that, for all x E D(A), fillzil 5_ Ilcx exp(at)P(t)x11, Since, for x E D(A) and t > 0,

0 < t < to.

(5.15.)

exp(at)P(t)x =-

exp(it9(1

it911 ))P(8)(( - + a)x .Ax)da. t

So from (5.14.) and (5.15.) it follows that n ifzit awii + a)x Axil, So, with M1 = Cn-119- and b1 = 471 6, rlizli + a)x A211) (5.16.) 0 < t < to , z E D(A).

for z E D(A) and r > b1 . Similarly, upon replacing 6 by 6 2r we infer with T M2 = Cry-1(2r 6) and b2 = t( 1 (2r 6), lrillx11 < M2I1(ir + a)x 90 (5.17.)

for x E D(A) and r < b2. Combining (5.16.) and (5.17.) yields (iv). (iv) = (v). Let M, a and b be as in (iv). Let w be the type of the semigroup {P (t) : t > 0}. Fix a > w, put b1 = max(2M(a w), b) and choose it > cp > it in such a way that lcot pl < min( a w 1 a w )= 2M (5.18.)

For Irl > bi and x E D(A) the following inequalities hold true: 2M11(a +ir)z Axil = 2M11(a + ir)z Az + (a a)zil 7_ 2MII(a + ir)z Axil 2Mla aillx11 1 7111x1I (Iri 2MIa aI)IIzII ITIllz11. Hence IrillR(a + in)

5 2M,

lrl 7 b1.

(5.19.)

From (5.18.) and (5.19.) we see that the series

00

(p cos p)k(R(a + ip sin co))k+1

0

converges for p sin cp > bi. Moreover

00

R(a + pei9) = ((a + pein A)-1 = >(p cos cp)k (R(a + ip sin tak+1 k =0 and II R(a + peiP) II for p sin co > b1. Consequently la + Pe4'llIR(a +pe
t

2M 1 p sin (A, 1-- 2M !cot 'Pi 1 l 2M cot (pi (5.20.)

2MI

a p

+ cot cio +il

fat 1 + 1)(1 2 M !cot coI)-1 < 2 M( + bi 2M for p sin cp > b1. Using the fact that lcot cpI < (a w)bT 1 we see that sup{la + penIIR(a + peiP)I1 : 0 < p < v}

91

is finite. This together with (5.20.) shows that the expression sup{la + peis111R(a + peii)11: is finite. A similar argument shows the finiteness of suPfla PricellIR(a
p > 0}. p > 0}

(5.21.)

(5.22.)

Using (5.21.) and (5.22.) together with the maximum modulus theorem results in the finiteness of X E a + V}. supflx111R(x)11 This proves (v). Proof of Theorem 5.1. The assertions (i), (ii), (iii), (iv) and (v) are equivalent by Proposition 5.2. (iii) (x). Let C, a and a be as in (iii) and let q be any polynomial with 1q(1)1 < sup{1q(z)1 : z E C, lzl = 1}. (5.23)

Fix so > 0 and fix to > 0. Let 0 < s < so, let 0 < t < to and let = r(ato, a). By symbolic calculus {q(P(-- ))rP(t) = n 1 1:{q(exp(-X8))}n exp(Xt)(XI tA)-1c1X. n (5.24.)

By (iii), (5.24.) and some elementary estimates we obtain

t li{q(PC:M nP(t)11 5 ci sugq(exp(-is ))1n : X E C(ato, a)},

where C
7r

exp(ato + p cos a) dp. 1 ate + p exp(ia)1

Hence sup{11{q(P(-))}n.P(t)11 : 0 < 8 < so 0 < t < to} < CI sup{1q(exp asnt0 exP(X))i n 0 < 8 < 80 XE ail.

Consequently, since q is uniformly continuous on compact subsets of C, = lim sup sup{11{q(4--t rd)InP(t)V- : o <
n-- co
8 < 80 0 < t < to}

< supflq(exp(x))1 X E r(0, a)} 92

(5.25.)

The set {exp(X) : a E r(o, all U {0} is a compact subset of {z EC : 1z1 < 1} which touches the circumference of the unit disc in the singleton 1. So the maximum modulus theorem together with (5.23.) and (5.25.) yields iimsup sup{11{q(PC-1MnP n i :0 < 8 < 801 0 < t < to}
oo

< supflq(z)1 : z E C, 1z1 = 1}. Assertion (x) is an easy consequence of this. (x) (xi). Trivial. (ix) = (viii). Let q be a polynomial which satisfies (ix). Then there are n,m E N and S > 0 such that sup 11{q(P()ilnP(rnil < sup{1q(z)In : z EC, lzl = 1}. mn mn

0<t< 45

So with q0(z) = q(z)nz' and 80 = (mn)-15 we obtain sup 11q0(P(t))11 < sup{Iq0(z)1: z EC, 1z1 = 1}. o<t<6. This proves (viii) with q = qo. (ii). Let the polynomial q be as in (viii) and choose c EC, 1c1 = 1, in such a way that lq(c)I = sup{1q(z)1 : z EC, 1z1 = 1}. Then by (viii), there are S > 0 and n fillx11

> 0 such that

(1q(sliIlq(P(t))11)11x11

for 0 < t < S and for all x E X. So for 0 < t < S and for z E X we obtain the inequality n ilxii 5_ imoz q(P(t))4. (5.26.) Define the polynomial r by q(c) q(z) = (c z)r(z), z E C, and put C = sup{11r(P(t))11 : 0 < t < 5}. Then because of (5.28.) nIlx11 11r(P(t))(cx P(t)z)11 c Cl1cx P(t)z11

for all x E X and all 0 < t < 5. So (ii) follows. 93

(v) = (vi). Let S > 0 and C > 0 be such that tlIAP(t)zil < Cliz for all x E D(A) and all 0 < t < 5. As in the proof of the implication (vi) = (i) of Proposition 5.2. (see (5.9.) and (5.10.)) there are constants M and w such that tlIC(t)11 5_ M exp(wt),
t > 0,

(5.27.)

where C(t) is the canonical extension of AP(t) to all of X. Then the map y) 1-4 (P(t)x ,tC(t)x + P(t)y), x, y E X,

defines a strongly continuous semigroup on X X X with generator

(x, y)

(Az, Az + Ay),

x, y E D(A).

(vi) = (v). Suppose that the map (x, y) (Az, Az + Ay), z, y E D(A), generates a strongly continuous semigroup {S(t) : t > 0}. Then
S(t)(x, y) = (P(t)z,tAP(t)z + P(t)y),

z, y E D(A).

(5.28.)

The latter can be seen as follows. Put B(z, y) = (Az, Az + Ay) for x, y E D(A) and put D(z, y) (Ax, Ay), for z, y E D(A). Then D generates the semigroup {Q(t) : t > 0} defined by Q(t)(x , y) (P(t)z ,P(t)y), x, y E X .

Moreover for y E D(A) we have B(0, y) = (0, Ay). Hence S(t)(0, y) = (0, P(t)y), y E X. So for x and y in D(A) we see

94

S(t)(z, y) (P(t)x , P(t)y) = S(t)(x, y) (2(t)(x, y)

= 0 S(t

a)(B D)Q(s)(z y)(1

=f0 S(t 8)(B D)(P(8)x, P(8)y)ds

= f S(t 8)(0,AP(8)x)d8

=f
=

= fo (0, P(t 8)44P(a)x)d8

t

(0, AP(t 8)P (8)z)d 8

(0, AP(t)x)ds o = (0 tAP(t)x).

This shows (5.28.). From (5.28.) and the strong continuity of the semigroup {S(t) : t > 0} we see that sup{tilAP(t)zil : x E D(A), 114 < 1, 0 < t < 1} is finite. This proves (v). (v) = (vii). Since XR(X) I = AR(X), since for X sufficiently large 00 x E X, n E o (n 1)!R(X)nx = f 8'1 exp(X8)P(s)xds, and since A is a closed linear operator, it follows for x E D(A) and n > 2, (n Vii(XRPO)fz z (XR(X))n-1x11 = (n
= Xn-111A
0

1)!Xn-111AR(X)nxil

8n-1 exp(X8)P(8)xdsil

co xn--111 0 8n-1 exp(Xs)AP(s)zds11 < an,-1 f

00
8n-1eXp(X8)IIAP(8)zild8.

(5.29.)

Since, by (v), for suitable constants S > 0 and C > 0, tlIAP(t)zil < Clix11, 0 < t < S, x E D(A), 95

we obtain as in the proof of Proposition 5.2. (see (5.9.)), again for appropriate constants M and w, (5.30.) 81IAP(0011 < M exp(w8)114, 8 > 0, z E D(A). Inserting (5.30.) in (5.29.) yields . (n 1)!II(XR(X))nx (XR(X))n-1211 < M-Xn-1 f
X

1 8n-2 exp(X8) exp(ws)614

= Mi x w1n-1(93 for x E D(A) and n > 2. Hence for X > 2wn we have

1/11(XR(X))n x (XR(X)n-2 x11

where

5_ Miikli;

E X,

1 n = M sup n>2 (1 -24-)n n 1 This proves (vii). (vii) = (v). From (vii) we get with x E D(A) and M, b > 0 as in (vii), X > bn. niiR(X)(XR(X)rlAxil cMiizii) So with 0 < t < b-1 and X = 93t-1, nE tile gt drAzil 5_ mIlz11, Hence the next standard result in semigroup theory P(t)y = nlito{-7R( -:-)}ny, 7 , E D(A).

t > 0, y E X,

(see e.g., Puy [215, Corollary 5.41) shows tlIP(t)Ax11 < 0< t< b-1, z E D(A). We conclude this chapter with the following corollary. It follows from an examination of the proof of the implication (x) = (i) of Theorem 5.1. Corollary 5.3. Let A be the generator of a strongly continuous semigroup {P(t) : t > 0}. Then {P(t) : t > 0} has an exponentially bounded holomorphic extension if and only if lira sup sup lifq(P( ))l P(011 < sup{(4 : z EC, Izi = 1} n--+oo 8, tEK for all compact subsets K of [0, oo) and for all polynomials q with 1q(1)1 < supflq(z)i : z EC, Izi = 1}. 96

st n

6 Quadratic forms

Let X be a complex Hilbert space with inner-product <, > and let A be a linear operator with domain and range in X . The operator is said to be positive if < Az, x > > 0 for each x in D(A); it is said to be bounded from above (bounded from below) if there exists a real number a such that the operator aI A is positive (such that the operator A al is positive). A semigroup {P(t) : t > 0} is said to be positive if each operator P(t) is positive. The following theorem shows that strongly continuous semigroups {P(t) t > 0} are generated by self-adjoint operators which are bounded from above. The result reads as follows. Theorem 0.1. Let A be a linear operator in a Hilbert space X . Then A generates a strongly continuous positive semigroup if and only if A is self-adjoint and bounded from above. Proof. First let {P(t) : t > 0} be a positive semigroup with generator A. Then A* generates {P(t)* : t > 0}; see Proposition 7.0. So A* = A. Since IIP(t)II < M eat, t > 0, for some M > 1 and some a in R, and since (e"P(t))* P(t), t > 0, it follows that p(t)ii = int.{ il e-natp(on 1/n n E N} inf{ec1P(nt)li1in n E < e at inf{(M : n E IN} inf{Mlin : n E IN} = 1. Consequently < Cat P(t)x ,z> < x,x >< 0, x E X; t > O. So < Az ax, z > < 0 for all x in D(A). Conversely let A = A* and suppose that al A is positive. 97

Then by Corollary 1.6. the operator A al generates a strongly continuous contraction semigroup. Since A cd is self-adjoint, this semigroup is self-adjoint. Since
< Q(2t)x,x >= ilQ(0 0 11 2 )

t > 0,

x E X,

for any self-adjoint semigroup {Q(t) : t > 0}, we conclude that the semigroup generated by A is positive. Recall that a quadratic form B on a Hilbert space (X, < , >) is a sesqui-linear form B defined on D(B) X D(B) with values in 0, where D(B) is a dense linear subspace of X. The quadratic form B is symmetric if B(x, y) = B(y, x) for all x, y E D(B). A symmetric quadratic form is bounded from below if there exists a real number w such that
B(x, x) > co < x, 2; >

for all x E D(B). The number w is called a lower bound for B. The quadratic form B is closed if for every sequence (xn : n E 11\1) in D(B) for which limm,n.00 B(x. xft, x. xn) = 0 and for which limm,n-0011xm znII = 0, there exists a vector x E D(B) such that lim n_,.... B(xn x, x n x) = 0 and such that limn,.0,, xn = x. So if B is symmetric and if B has a lower bound w, then B is closed if and only if D(B) equipped with the inner-product (x, y) H+ B(x, y) + A < x, y > ,
z)

y E D(B),

D(B) into a complete (Hilbert) space. Here A is some fixed real number with A > w. Instead of quadratic form we often say bilinear form. Let c,,J be a fixed real number. In the following theorem we identify the following objects:

(a) (b) (c) (d)

symmetric quadratic forms with lower bound w; self-adjoint operators with upper bound co; positive strongly continuous semigroups {P(t) : t > 0} with 11P(t)II C ew t , t > 0; resolvent families {R(X) : X > w} which are positive and for which (X 41R(X)II < 1, X > cd.

The precise theorem which we are going to prove reads as follows. In this theorem w is a fixed real number.

98

Theorem 8.2.
(a) Let A be a self-adjoint operator such that A < wI. Then there exists a symmetric, densely defined and closed quadratic form B such that (1) D(B) =

A) 2) and A)ix,(cel A)ty > < z,y > x, y E D(B);

B(x,y)=<

B(z , z) > -w < x, z > z E D(B). Conversely, if B is a closed densely defined symmetric quadratic form with
property (ii), then there exists a self-adjoint operator A, with A < (a, such that B is given by (i). (b) Let {P(t) : t > O} be a self-adjoint (and so positive) strongly continuous semigroup with IIP(01 < exp(wt), t > 0. Then there exists a closed, densely defined symmetric quadratic form B with the following properties:

(i) D(B) = {x E X : limbo t---1 (< x, x > < P(t)z, x >) exists} and B(z , y) (< z, y > < P(t)x, y >), z, y E D(B);
(ii) B(x, z) > w < z, x >, z E D(B). Conversely if B is a closed densely defined symmetric quadratic form for which (ii) holds, then there exists a unique self-adjoint strongly continuous semigroup , t > 0, such that B is given by (i). {P(t) : t > 0} with IIP(t)lI < (c) Let {R(X) : > w} be strongly continuous resolvent family consisting of continuous self-adjoint linear operators such that (X 41R(X)11 < 1, X > w. Then there exists a closed densely defined symmetric quadratic form B with the following properties:

(i) D(B) = {x E X : and B(x , y) = (ii) x) >

X(< x, z > < XR(X)z, z >) exists} z, y E D(B); X(< x, y > < XR(X)x, y >)

< z, z > ,

x E D(B).

Conversely, if B is a closed densely defined symmetric quadratic form such that (ii) holds, then then there exists a unique resolvent family of positive bounded linear operators {R(X) : X > w} such that B is given by (i) and such that (X w)IIR(X)II < 1, X > w. Here a resolvent family {R(X) : X > w} is a collection of everywhere defined continuous linear operators satisfying the resolvent equation: R(X) R(p) = (p X)R(X) o R(1A), X, p > w. 99

The resolvent family {R(X) : X > w} is said to be strongly continuous if XR(X)x = x for all x E X. Proof of Theorem 6.2. (a) First let A be a self-adjoint operator with A < cal. Define B by (i). Then B has property (ii), B is symmetric and D(B) is dense. We shall prove that B is closed. Let (xn : n E IN) be a sequence in D(B) with x,-,,,) = 0 and with B(zn xm, Xn x,m) = 0. Then by (i)
n, m-* co

lim 11(cvi A) 2 (x, z,n)(1 = 0 and

n, m -+ cx)

lim 11 xn

= 0.

So z := limn. limn.c.o(w/A)IxT, both exist. Since (La A)i is xn and y a closed linear operator it follows that x is in D(ca A)4) and that (c4/1"A)ix = xn = x. Hence the y. Consequently limn.. B(zn x, xn x) = 0 and quadratic form B is closed. Conversely suppose that the symmetric, closed and densely defined bilinear form B has lower bound co. So suppose that
B(x, x) > < x, x > x E D(B).

(6.1.)

Fix A > w and equip D(B) with the inner-product < >x defined by < z, y >x= B(x, y) + X < x, y >, z, y E D(B). (6.2.)

Since B is closed, the vector space D(B) becomes a Hilbert space with respect to <, >x. Fix x in X. By the Riesz-Frechet representation theorem, there exists a unique vector R(X)z in X such that
< R(X)x,y >>=< z,y >

(6.3.)

for all y in D(B). To prove this consider on (D(B), <, >x), the linear functional 10-+ <
x, y

>,

y E D(B).

(6.4.)

This functional is continuous. In fact we have . 1< x, y >1 < 11x11.11y11 _C 114(X to)-1/2 V< y, y >>, y ED(B). From (6.3.) we conclude
B(R(X)x,y) =< x, y > X < R(X)x,y >, xEX, y E MB).

(6.5.)

(6.6.)

100

Consequently with y = z XR(X)x in (6.6.) we obtain

z E D(B).

XR(X)x112 = B(R(X)x, - XB(R(X)z R(X)z),

(6.7.)

From (6.1.) and (6.7.) it follows that Xliz XR(X)x112 5 xi3(R(x)z, z) X2 col1R(*112 From (6.6.) with y = R(X)z we see using (6.1.) (X w)11R(X)x11 2 5< z, R(X)z >, z EX. (6.9.) (6.8.)

Hence R(X) is a self-adjoint positive continuous linear map in X. From (6.9.) we also infer (X 41R(X)xii Next fix w<pc X, put
= B(z, z) + p < z,z >, x E D(B),

E X.

and put z, y >p,= B(z, y) + j < x, y Then for z in D(B) we have

B(R(X)z, z) < B(R(X)z, z) + p < R(X)x, > <<R(X)z,z >0 5 IIR(X)xii 411
>2

z, E D(B).

(6.13.)

From (6.11.) and (6.6.) we get, since X >

2 11-8(X)x111, = B(R(X)z, R(X)x) + p < R(X)z, R(X)z > = < z, R(X)z > (X p) IIR(x)x112

5 < x)R(x)z > < 411 11R(x)x11 (41)-111z112 . 5_ So from (6.13.) it follows that
B(R(X)x , z) < (>, (4)-1/2 114 .11x lip

(6.14.)

From (6.14.), (6.8.) and (6.10.) we infer 101

Ilx XR(X)x112 C (X - (i))-1/2 11X1111211A whence lira XR(X)x = x,

XCJ(X

W)-2 IIX112 )

X E D(B),

x E D(B).

(6.15.)

Since D(13) is dense and since XIIR(X)il < X(X to) ', X > w, we finally obtain lira XR(X)x = x, x E X. (6.16.)

Furthermore it is routine (see below) to verify that

R(X)

X)R(X)R(A),

X, p > (o).

(6.17.)

From (6.16.) and (6.17.) it follows that R(X) = (XI A)-1 with A = s- lira X(XR(X) I) Since MX)* = R(X) we see A = A* and so by (6.6.) B(x, y) =< Az, y >, x E D(A), y E D(B). (6.18.)

To prove (6.17.) we proceed as follows. Let D be the linear span of {R(X)x : X > w, x E X}. Notice that D is a linear subspace of D(B). Define the operator Ao :1)--+X by Ao(EaiR(Xi)xi) = EaiXiR(Xi)xi where al, . . an are scalars and xi, have by (6.6.) Eaixi,

are vectors in X. For y in D(B) we

< Eaixi EctiXiR(Xi)xi, y >= B(EctiII(Xi)xi, y) Since D(B) is dense, it follows that Ao is well-defined. Next let x be in X and let X, p > W. The following equalities are readily verified: (XI Ao )R(X)x = x, (XI A.0)(R(p)x + (p X)R(X)R(p)z) = x. With y = R(X)x R(p)x (p X)R(X)R(p)x 102

we obtain
(XI A)y -,--- 0.

So 0 =< (X/ A)y, y >=< Ay, y > +X11012 B(Y,Y)+ XIIYII2 ?_ (X w)1102 Hence y = 0. It follows that the family {R(X) : X > w} satisfies (8.17.). In fact it also follows that D = R(A)X, X > w. From (8.16.) it follows that D is a dense subspace of X. Next we shall prove that B and A are related as in (i) of Theorem 8.2(a). Since X > w, the following equality follows from (6.18.): R(X) B(Xill(X1)zi X2R(X2)zi, XtR(Xi)zz X2R(X2)x2) =< X2R(X2)zi), (id (X1R(X )x2 X2R(X2)z2) > (X1R(X it < X1R(Xi)xi X2R(X2)xi, X1R(Xdx2 X2R(X2)x2 >, (6.19.) for all XI, X2 > w, for all ti > w and for all xi, x2 E X. Since for is > w the operator (piA)i is closed, it follows from (6.16.) and (6.19.) that a vector x E X belongs to Dap/ A)1 > w, if and only if 21, lim B(X,R(Xi)x X2R(X2)x, XiR(Xi)x X2R(X2)x) = 0. xi,X 2--+00 Next fix x in D((iII > w. Then by (6.19.) and (6.18.)
p.

lim 11X1R(Xi)x X2R(X2)xil ti, = 0

>

w.

So, since B is closed and since the vectors XR(X)z belong to D(B) for X > w, belongs to D(B) and
B(x, x) = B(X.R(X)x,XR(X)x)

= x 00 (11(pI A)IXR(X)xii2
lim (11XR(X)(ittI = x-+00 =A) x112 2 xj12 AIIXR(X)x112) 1442

By polarization we obtain
B(xi , x2) =< (AI

xi, (i.t/ A)i x2 >

< zi,z2 >

(6.20.) 103

r
for A > co and xi, x2 in D((OI Mi), p, > CO. Notice that D((pJ A) E) does not depend on p, as long as p > w. Next fix z in D(B) and fix ii, > co. Then (6.20.) implies

l< x, (PI- A)-iv >1,1 2

, ilx112&11(id A)-402. 0 p = It xli2 ,(B0/ A) iy, (pi A)- iy) + pll(p.I A) i yil 2

-=11x11p111111 2 ,
for y E X. So the linear functional y iP < z,(p,I A)ty > 0, y E X,

is continuous on X. Hence by the Riesz-Frechet representation theorem there exists a unique vector S(p)z in X with < z, (pi A) ily >p,=.< S(p)x,y >, So

y E X.

(6.21.)

D(B) C D(S(L)) and

< x, y > A= B(z)W) + it < xi

y > ---- < S(14)z ) (AI A)i y > -

(6.22.)

for z in D(B) and y in D((kal 41). If z happens to be a member of D((piA)4), then by (6.20.) we have for y in D((p/A)4) < x, y > 1,,=< (pi 11)i x, (pi AN > . Combining the latter with (6.22.) we see that D((pj A.)4) g

D(B) C D(S(p,))

(6.23.)

and that Sip.) extends (pi A) t'. Then pick xo in D(S(p)). There exists xi in D((I A.)2) such that S(p)xo = (id A)1 xi = S(I)xi . So that S(p,)(zo xi) = 0. Hence, by (6.22.), B(zo xi, ti) +

A < Zo x1,1, >---. 0

for all y in D((p/ A)4). So, by symmetry,

My 1 zo xi) + A < y , zo z1 >----- 0

104

for all y in D(A). Consequently by (6.18.) < Gs/ Ahiy zo z, >=0 for all y in D(A). Since R(uI A) = X, we obtain xo = z1. Whence D(S(p)) C D((p.I A)i). So, by (6.23.), D(B) = MAI A)z) and by (6.20.) it follows that the quadratic form B is given by (i) in Theorem 6.2(a). (b) Let {P(t) : t > 0} be as in (b) and define the quadratic form B as in (b)(i). Then, since P(t)* = P(t), t > 0, B is symmetric. Since liP(t)II

5_ ew t ,

t > 0,

(6.24.)

B has property (ii). Let A be the generator of the semigroup {P(t) : t > 0} and
define for X > w the operators R(X) by
C:0

R(X )z =
Then R(X) -=-- (XI A)-1,

ex8 P(8)d8,

x E X.

(6.25.)

R(X)* = R(X), R(X) > 0,

X > w.

(6.26.)

By (the proof of) Theorem 6.1. it follows that A = Ai and that A < wi. For p > w the operator p1 A does possess a unique positive square root (AI A)t indeed. We shall prove that D(B) = D((pI A)t), A > w. First notice for y in X and X > w the equality 1 e (XI Arty = f c x8 P(8)yd

.F.. o vi f

8,

(6.27.)

A proof of this equality reads as follows. The integral on the right-hand side converges and defines a positive linear operator on all of X. Applying this integral twice and using Fubini's theorem shows that the square of the operator

II 1--*
coincides with the operator

o v i P(s)yd8

1 r e x'

co y 1-4 f ex l P(8)yda = (XI Ar i y. o

Using (6.27.) it readily follows that every operator P(t), t > 0, commutes with every operator (XI A) , X > w. Fix A > w and pick x = (pI AO y in 105

D((pi A) i). Since .13(t)(1a1 A)"z =

we see

P(t),

t > 0,

< z, x > < P(t)x, x > = < P(t))(p1 Art y, y > .

From (6.28.) and the definition of a generator it follows that t-1(< to > < P(t)x, >)

(6.28.)

=Him <
= 11(14 I xII 2

p(0)(1 - A) -1y, y > 1/

AR(p)y, y > < y, y >

>

11 1111 2

This proves the inclusion D((pJ B(z, z) = 11(12I By polarization we get B(zi, z2) .< (p/

) C D(B) and zE
14)

X112 p1lX11 2

(6.29.)

(id A)1z2 >

< x1 i z2 >,

(6.30.)

AM. Consider as in (a) the inner-products < for xi, z2 in defined on D(B) by
< x, y
>14,=

> p > w,

B(x,y)+ p < x,y >,

x,y E D(B).

Fix x E D(B). For > ce and y E X we have, as in (a), by (6.29.) 1< z,(1 A) t Y >Al 11" 11z11A11Y11

So, by the Riesz-Frechet representation theorem, for every x E D(B) there exists a unique vector S(p)x in X such that < z,(p/ Arty >
=

B(z , (pi

y) + p < x, (pi Arty >

=" S(P)z)11 > for all y in X . As in (a) it follows that SW extends (pi A) } and that D((p/ A)1) g D(s(1 C D(B). .)) 106

In the same way as in (a) it follows that D(B) = and that

A)1)

B(xi , z2 ) = < (p,I A)4 x i , (pl A)1 x2 > p, < xi , x2 > for xi, x2 E D(B). As a consequence B is closed. Conversely let B be a closed, densely defined and symmetric quadratic form with property (b)(ii). Then by (a) there exists a densely defined linear operator A with A < wi, such that D(B) = A)1), p, > w, and such that B is given by (i) in (a) which is the same as (6.30.). Since A = A* and since A < (A.) I , the operators XI A, X > w, do have continuous and everywhere defined inverses R(X), X > w. It also follows that 0 < (X w)R(X) < I, X > (4) (6.31.)

From (6.31.) we infer that (X w)11R(X)11 < 1, X > w. Since D(A) = R(p,)X , p. > w, is dense in X, and since lira XR(X)R(p)x = lira (X(X tar1R(A)z X(X t)'R(X)x) = R(L)x, x 00 it follows by (6.31.) that limx., XR(X)x = x for all x E X. By the Hille-Yosida theorem (Theorem 1.1.) we see that A generates a strongly continuous semigroup {P(t) : t > which by Theorem 7.1. is positive and which satisfies < ewt, t > 0. Using this semigroup define the quadratic form B0 as in (b)(i). Then the proof of the other half of (b) establishes the fact that B0 is symmetric, densely defined and that B0 has property (b)(ii). We also conclude that D(B0) coincides with D((OI A)t), > w, and that Bo (xi , x2) _< (Ai A)1 , (pI A)lx2 > p < xi, x2 > (6.32.)

for xi and x2 in D(Bo). So, by (a), B0 = B. This proves (b). (c) First let {R(X) : X > w} be a self-adjoint strongly continuous resolvent I); i.e. family with (X w)11R(X)II < 1, X > w. Put A =
D(A) = E X : lim X(XR(X)x x00 x), x) exists} x E D(A).

and Az = lim X(XR(X)z Then R(X)(XI A)x = x, x E D(A), (XI A)R(N)x = x, x E X, X> w. Or, briefly, R(X) = (XI A)l- , X > w. 107

Moreover, by the Hille-Yosida theorem, the operator A generates a strongly continuous semigroup {P(t) : t > 0} for which WWII < e'' t , t > 0. Since cc ---. (X t)k P(t)z = lim ext (xR(x))k x / z E X, t > 0, x-.00 k----0 k! it follows that P(t)' = P (t) , t > 0. So that {P(t) : t > 0} is a strongly continuous semigroup which is positive. In addition we have 00 XtP(t)xdt, X > w, z E X. R(X)z =f0 C So R(X), X > co, satisfies < R(X)z, z >= 00 f0 exlIP(it)42 dt, (6.33.)

which proves that every operator R(X), X > co, is positive. Let the quadratic form B be defined as in (c)(i). Then B is symmetric and D(B) contains D(A). So D(B) is dense in X. Since for X > w, R(X) = R(X)* and since (X cd)1IR(X)11 < 1, X > w, it follows that 0 < (X co) < R(X); x ><< z, z >, z E X, X > w. (6.34.)

Here we used the fact that a bounded positive operator T is contractive if and only if 0 << Tz,z > < < z,z > for all z E X. So for x E D(B) we have, by (6.33.), B(x, x) = lim X(< x, x > X < R(X)x, z >) x.00 = lim X(< x, x > X(X co)-1 < (X co)R(X)x, z >) x--00 > lim X(< x, x > X(X co)-1 < x, x >) = --co < x, x > . This proves the first half of (c). Let B be a symmetric densely defined and closed quadratic form with lower bound w. Let the operator A, with A = A*, be related to B as in (a)(i). As in (b) the operators XI A, X > w do have continuous everywhere defined inverses R(X), X > w. It also follows that 0 < (X co)R(X) < I, X > w. (5.35.)

Using this resolvent family, we define the quadratic form B0 as in (c)(i). Then B0 is symmetric, D(B0) is dense and, by (6.35.), B0 has property (c)(ii). Again 108

as in the second half of the proof of (b) it will follow that D(Bo) coincides with D((ta- -41 )) p > (.. a , and that B0 is related to A as in (6.32.). Consequently, since (6.32.) is the same as (a)(i), we see that B0 = B. This proves (c). As an immediate corollary we obtain

Corollary 6.3.
Let A be the self-adjoint generator of a strongly continuous semigroup {P(t) : t > 0}. Then every P(t), t > 0, is positive and there exists a real number c.,.) such that A < cdi , such that R(X) := (Xi- -Ar- exist as bounded everywhere defined linear operators for all X > w and such that IIP(t)11 < et, t > 0. Moreover, if the quadratic form B is defined as in Theorem 6.2.(b)(i), then B is symmetric, B is closed, B has lower bound w and D(B) = NIA. A)i), p > w. In addition, if z and y are in D(B), then

B(x,y) =< (pi A)4 x , (AI Mit y > A < x, y > -A

=-- lim. X(< ce) y > < XR(X)z, y >) N..00 = lim t-1(< z, y > < P(t)x,y >).

tic)

Remark 1.
Part of the above result and proof can be found in Fukushima [102].

Remark 2.
Throughout the proof of Theorem 6.2. we used the fact that a self-adjoint operator S, which is positive in the sense that < Sx, x > > 0 for all x E D(S), has a S unique positive square root, which is denoted by Si or by V--. Notice that S is not supposed to be bounded. A proof of this fact can be found in Rudin [238, Chapter 13].

Remark 3.
Let {P(t) : t > 0} be a strongly continuous semigroup in a Banach space X. Suppose IIP(t)11 < Me', t > 0. For # > 0 the operators R(X)S, X > w, are defined by
oo r(13)R(X)13 X = a eX8 813-1 P(8)Zd8 j X E X.

109

If 0 <

/3 < a, then the operators R(X)', X > w, are given by

R(X)'z =-7 rof3)1 ((:)._.,8) ;
na--1-1Rpt + firezdti, z E X.

For the proof insert the definition of R(X + n)a and apply Fubini's theorem. Next we want to study Schrodinger operators. These are partial differential operators of the form

1 f - Al +V f.

where V is a suitable potential function and where f belongs to a suitable subspace of L2 (11"). First let us define precisely the class of potential functions we are interested in. Let tin, n E N, be the fundamental solution of the Laplace operator in 10; see the proof of Corollary 2.3. Let the space Kr, consist of those Lebesgue measurable functions f for which

al zER"

lim sup

f
IYE15a

v,i(y)lf (y x)1cly = O.

We shall assume that the above function V is of the form V = V+ V_, where V = max(V, 0), V.__ = max(V , 0), where V_ is in K. and where I.K .V is in + + K. for each compact subset K of R". We owe this class to Kato. See Simon [251], where many details can be found. The space K can be nicely characterized in terms of Brownian motion on R'1. Let be the Borel field of Ft' and let f be a bounded Borel measurable function on Rn. Put: p(t, z, y) = (2rt)ni2 exp(( 2t)Ix y12), t > 0, z, y E 11n; Po(t, x, B) = f B p(t, x , y)dy, t > 0, x E Itni B E e; t > 0, x E Rn. [Po(t)f ](z) =1 f (Y) Po (t, 4)) Let {(0, X, Pz),(Xt : t > 0), (et : t > 0), (Rn, 5)). be Brownian motion in Rn which starts at z: i.e. (1) CI = C([0, oo), Rn) equipped with the topology of uniform convergence on compact subsets; (2) Xt(w) w(t), [6h,(w)](t) = w(t h), t, h > 0, w E (3) .M cr(X. : 8 > 0) is the Borel field of 11; (4) If 0 < ti < < to and if B1, . B. are in 5 , then

Pz(Xt, E B1, . ,Xt E Bn)

=fB

f Po(tn toi,

dxn). .P0(t2 t1, x1, dx2) Po(ti , x, dx1). (6.36.)

110

A random variable Y : 12 --4 G is ..M-measurable function. The collection of probability mesures {P2 : x E Rn} is a Markov process in the sense that for each bounded random variable Y the function x i--+ E2(Y) f YdP2, z E Rs. is Borel measurable and that

:.

E2(Y o 6t i TO = Ext(Y), We also have

P2 almost surely.

(6.37.)

PE(X() = z) = 1, x E

En

(6.38.)

Property (6.37.), the Markov property, is a consequence of (6.36.). From the (right) continuity of the paths it even follows that (6.37.) not only holds for constant times, but also for (Ft+) - stopping times. In fact the strong Markov property holds: E2(Y 019-T 17T+) = ExT(Y), Ps almost surely (6.39.)

for all (7t. )- stopping times T and all bounded random variables Y. For brevity we just write (Xt : t > 0) for Brownian motion on Its. Theorem 0.3. Let (Xt : t 7 0) be Brownian motion on Rn. A function f is in lc, if and only if t urn sup Ex (f i f (X8) ) ds) = 0. tio .01. 0 For a proof we refer the reader to Aizenman and Simon [2, Theorem 4.5., p. 233]. Also see Simon [253, Proposition A.2.6., p. 458]. The proof depends on the fact that t t ET 1 f (X8)Ids) = 1(1 p(8, z, y)d8)If (y)Idy, t > 0,
0 0

xE

Rn.

We insert a proof.

111

Proof of Theorem 6.3.

Let V > 0 be a Borel measurable function defined on It n . First suppose

t
lira sup

tie zeitn

Ez(V(Xe))da = 0.

(6.40.)

We shall prove:

lien sup

ix -- y12n V(y)dy i zdan z+B(a)

(logiz

= 0, n > 3,

(6.41.)

lira super

--

y1-1)V(y)dy = 0, n = 2,

(6.42.)
(6.43.)

211n z+B(a )
sup XElin i z+B(1) V(y)dy < oo, n = 1.

Here

B(a) = {x

E Ill n : Izi < ot). Notice the equality

f, Ez(V(X.))da = f(fo
where p is the usual Gaussian density: 1 P(8, z, Y) = (27r8)in exp( y1 2 ), 28

z, Od8)Ti(v)(1111

(6.44.)

> 0, z, y E

Rn.

(6.45.)

For I z v12

<

2t

and n > 3 we have

f t o

p(8,x,y)cis =

=, .--y . _i 2

fo l

Cr

an

exp(cr-1

)61a.
2(vion

02n
.1 x

> e nl z 02n,

(6.48.)

where

c, = l it ia fal a- 2 n exp(cr 1 )dcr.

For n = 2 and

(z -- yi 2 < IX YI <

2t < 1 we have

112

f0

p(8, x, y)d8 = f

1 1 -exp(-1 da . ) 27r a a 2t I=-vi2 I 1 ) ---da. cr (ft

lire

2t ix --1/1 2

1 log 27re Ix 2 y!2

1

> C2 log

Ix Yr

(6.47.)

where c2 = (2re)-1. For n = I and lx yi < 1 we have

t

ft p(8, x, y)ds

1
2zr8

fo
t

1 exp(---;)ds. 2

(6.48.)

From (6.44.) and (6.46.) we obtain for n > 3

E x (V(X8))d8 > cn

B (N/Ti)

1/12-12 V(y)dy,

t > 0, x E

So, by (6.40.), tim sup f z11" z+B(a) yrnV(y)dy = 0.

By the same token, using (6.44.), (6.47.) and (6.40), lim sup f (log 1

a$0 ze Rn

z-FB(a)

, ) V (y)dy = 0,

for n = 2. Similarly by (6.40.), (6.44.) and (6.48.) it follows that supf V (y)dy < x+B(1) zEllt" for n = 1. Conversely, suppose that the function V has property (6.41.), for n > 3, has property (6.42.), for n =- 2 or property (6.43.) for n = 1. We shall prove that V verifies (6.40.). By (6.44.) we have to estimate the integral

(f p(a , x, y)ds)V(y)dy,

t > 0, x E

113

Therefore consider for z E R"',ry > 0, t > 0, the integral

t

11 (2) 7) For n > 3 we have Lt

t)= f (I z+B(7) 0

p(8, z, Od8)1T(y)dy

(6.49.)

p(s, x,y)ds < f

2exp(- I2 - I' Xs = dr,( x - y12 - n , : i2T ra)ri

co 1

where dr, = Olin - 1).(21r)-in. Hence

li(x,ry,t) 5_ dr,f

z +B ( 7)

Ix - yI 2-nV(y)dy ,, n > 3.

(6.50.)

For n = 2 we proceed as follows. For lz - yl < 1 we have

.1'.

1 =1 p(s, z, Oda - -'-dY 1 27r 5-2 cr . _ 1 f 2t 1 d17+ t

<-. 2r _ 2 cr ii

e du

_a

1 1 1 = - log + - exp(-i-). t r lz - yl t aHence for i < 1, n = 2, z E R", Ii (z, 7, 0i+B(7 f . For n = 1 we have

i t 1f V(y)cly. (6.51.) )(log ix _ yi )17 (y)dy + exR 1 ir 2t ) h+B(7) t NI 2t r

fo

p(s, x, y)cis < f t ds = o v 271.a

So, for n = 1 and x G R,

2t I (z, fy, t) < VI 71"

V (y)dy .
+B(1)

(6.52.)

Next fix n > i > 0 and consider for z G Rn and t > 0 the integral

t ( 12(x, 7 ,t) =fx-i- pew .1 p(s , x, y)ds)V (y)dy . o

114

Here B(ry)c =--- Rn \ B(') = {x E Rn : Izi > P}. We shall estimate 12(z,ry,t) and combine this estimate with (6.50.), (6.51.) respectively (6.52.) to find an upper bound for the integral in (5.44.). Put Q = [0,1)n. Since V has property (6.41.) for n > 3, or property (6.42.) for n = 2 or property (6.43.) for n = 1, it readily follows that c := sup f (6.53.) V(y)dy xERn x+Q is finite. From the definition of 12(x, 7,0 and from (6.53.) it follows that 12(x, ry, t) =

E
aEZ n
tzE zn

f(z-i-B(-i)c)n(x+ce+ (2)

p(8 , ft, y)da)V(y)dy

CE

sup f p(8, y, 0)d8. sup V(y)dy yEB(7)m(a+Q) 0 z-FQ xERn f t sup p(8, y ,O)d8 C nc aZn yi>irn-i ,yEa-FQ .10

< n2n c

o,-1 (27r8)in cee Dr

ft 1

1,2

la p 1 72 < 2n2n c E )1 crEIN; (2 x _7r8/ an exP(-12; )' exP( 2n28 )c18. Since Er.0 exp(-k2 /(28)) < 1 + V7t812 we obtain
12( 2,'7, t) < 2n2 n e f t (1 + 2 7r8 exP(-2n2 8

ft

exp(- la )(i exp(-1C2 ) ,,12 ))d8 2 8 k. 28' 4. exP(- 2n2 B 1

)d8 (6.54.)

= Pn(ty

where, for n > 7 > 0 fixed, limit() Pn(t, (6.54.) yields, for n > 3, super E' (V (X- ands xERn o Since limi t()

= 0. Combining (6.44.), (6.50.) and

5_ 4

sup f xER" z+B(7)

y12-nV(y)dy +pn(t,ry).

0, we see for n > ry > 0 arbitrary

lim sup sup f Ex (VP( 8 ))(18 zor 0

dr, sup f lx y12-nV(y)dy. xERn z+B(7) 115

So, by (6.41.), the left-hand side equals zero. Combining (6.44.), (6.51.) and (6.54.) yields, for 7 < 1 and n = 2, t supf Ez(V(X,nde < sup ii(x, 7, t) + sup /2(z, 7, t) zERn zEIR," xR" 1 1 < sup f (log W(y)dy I VI z+B(7) 7 xdrin 1 t + exp(--) sup V(y)dy + p2(t,ry). 2t xE R. z+B(7) So, since limtio P2(t) ri) = 0, it follows by (6.53.) that, for 0 < 7 < 1,
1 t (log )V(y)dy. lim sup sup i Ez(V(X-8))da < sup i 7r zen. z+B(7) lz VI tim xER.'

Pro (a) inec

So, by (6.42.), the left-hand side of this inequality equals zero. Combining (6.44.), (6.52.), (6.53.) and (6.54.) yields for n = 1 and 1 = 1 the inequality t sup Ez(f V(X.))118) _C c zEIR" Hence + pi (t, 1).

Thi

t lim sup f Ez(V(X,Thig = 0. tio zE R" o

Let the

For n = 1 we notice that supzeit fx+B(1) V(y)dy is finite if and only if limo supzER fx+B(a)l x y1V(y)dy = 0. Since the fundamental solution of the Laplace operator consists of suitable multiples of the functions x F--+ Ix12n, n = 1, n > 3 and of x * loglx1-1,n = 2, the theorem follows. We need another charaterization of functions in Kn . Theorem 8.4. (a) (b) Let V be a function in Kn. Then for every X > 0 the function (XIA0)-1V is a bounded function. A function V belongs to Kn if and only if
X 0 00

Hen 1 Picl,

lim 11(xi - A)-111711100 =0.

116

The function (XI - A)-1 V is defined by 00 [(XI - A)-11 7](z) = f o co f co

, x, y)V (y)dy)ds

C." Ez (V(X,,))ds f e-xs E (V (x + X,,))ds.

Proof (a) Let f > 0 be a Borel measurable function on R. We shall need the following inequality
lac

sup f zelin '3

Ex& (X,Dda k sup f Ex (f(118))ds, k E N, > 0. (8.55.)

xElt"

This is a simple consequence of the Markov property:

rice

ice

(k 1}f

Ex ( f PC.))ds = f
c

(kl)c

Ez(Ex(k -1), (f(X,_(k_i),))) ds

c

= Ex (f Ex(k --1)'(f (X,nds) _< sup f EY (f(X.))ds.

o yEnn

Let the function V be in Kn., let X > 0 and let x be in En. Then, by Fubini's theorem, 00 {(X/ - A)-1Vi(x) = CO =X f Hence t 0 e-x8 Ex (V (X 8 ))dsdt CO X e`t f Ex (V Adsdt.

e-Xt f Ez(VIX8 ))(18dt = f

1[(xl-A0)-1v ](x)1 < f

Pick k in IN so large that

e-t

fx
o

Ez(IVIX,Y)d8dt = [(NI - Aoyi (8.56.)

sup
zeRn

o EX(IV(X8 )1)(18 < 1.

Xk

(8.57.)
117

Since V is in Kn. such a choice of k is possible. For t > 0 in R choose I in IN in such away that (I 1) < t C t. Then by (6.55.) and (6.57.)
1 X E z (IV(X9)1)d 8 kX f EI(IV(X0)1)6 <II o

< k(t + 1).

Inserting this in (6.56.) yields for all x E Rn the inequality

'pt.! MI 5_ [(XI A0)-111 H(x) < k f0 et(t + 1)dt = 2k.

This proves (a). (b) As in the proof of (a) we have for X > 0, [(XI - Aor

iIva.) = <f0

Ez (117-(X.)1)de)dt e + 1)dt. sup f Ex (1V (X,)1)da

zERn

= 2 sup f Ez(IV(X.)I)ds. EER" Since f

a
6

Ez(IV(X8)1)d8 f e "Ex ( I V(X8 )1N8

a

" E'(I V(X8) 1)d a = [(XI

ETV(X,X)da.

we have sup" f Ez(IV(X8 )1)ds 5_ sup RXIAc ri IV 11(x) 2 sup zeR n e zEr These inequalities imply the statement in (b). We also need an interpolation result. We shall give a probabilistic proof for the following result on the generalized Birman-Schwinger kernel. Stein's interpolation theorem could be used for a proof too: see Simon [253, p.459] and Reed and Simon [233, p40].

118

Theorem 6.5. Let V be in IC and suppose p' + q' = 1,p, q > 1. For X > 0, the map f 1--+ IVNXI Aor l iVii. f (6.58.)

defines a continuous linear map from LP(Rn) to ii(Rn). Moreover, the following inequality holds: IiiVit(XiA0)-11Vi*lip,p Proof Let f be in LP(R&) and let g be in Lq(Rn). Then 11(XIAo)l iViiico.

f I1v(z)11IPPI-A0)-1av11iqn(x)iigwidx
5

_,

flv( z)V P
00
f

f e x8 Ex (IV(X8)1 1.42(8)1)d8 1g(x)idx 1/q o

f ex8E(IV(x)11 /Pjf(x + X.)1.1Th + X.)11 /1g(z)l)dsdz o (Holder's inequality) C. 1ff: ex e(IV(z)11f(z + X.)(P)dsclx}l /P {H ex#E (11qx + X,)11g(z)19(18c1x}l iq ow' = (f IV WIRXI Ao)-1 If1P1(x)dx)vP
(f piA0 )' ivimig(x)iqdx)vg

-=

< 111v0I A0)-1111 ,/1) .11(v A0) l iViii cq.ilfiip.iigliq i (by duality) 10)l iVii11 0,rcodi(X/A0)-11V1111 4q.liftip.H911.7 0 = il(X/-1 (since the operator-norm 11(X/ A0)-1 iVilloo,00 equals the supremum-norm I((X/Ao)-11V111,,) =11(01 --A0)l iVHico.d.fiip.iigilq. From this inequality the statement in the theorem follows by using Theorem 6.4.
119

Remark 1. Since f 1* (XI A0)-1 (IVI f) is positivity preserving, the above operator-norm I1(X/ Ao)--liViii00,00 equals the supremum-norm EX/ A0)-11V11100. Remark 2. For p= q= 2 the operator IVIi(X/A0)-11V14 is called the Birman- Schwinger kernel; see Simon [251, p.89]. Theorem 6.0. Let V be a function in K. Then there exists a function E : (0, oo) [0, oo) such that linix, g(a) = 0 and such that fora > 0 and f in L2 (11.n) with ai f belonging to L2 (1111) for 1 < j < n the inequality
f IV (01 f (x)12

(x)(x fi f (0 2 dx +

IV f (x)I 2 clx)

(6.59.)

holds. In fact

e(a) =

Aori IV11I
;=1

will do, using the following conventions: and Oaf =

f
Proof.

I V f (x)I 2 1 z =

E flei f(x)12dx

xi

Derivatives are taken in the distributional sense.

From Theorem 6.5. it follows that

IIIV12(aI Ao) X112,2 =1111T11(XiA0)-1(10(XIAo)-1)*112,2

=
Consequently 1111711(V Ao) igH for g G L2(Rn). With g =- (XI -

5_ IA/ Ao)liviiico.
IRV A0 )-11V111 0,..11gg
f,f ED (( ) we see

f 1V(z)11.1(x)12 dx < e(X)11(X1

120

i112

(6.60.)

where '(>,) = (((XI Aor1 IVIII 00. From Theorem 6.2.we infer =lill2 + Bo(f, 1), (6.61.)

where f is in D(B0) and where Bo is the quadratic form asociated to 1-A; i.e. times the Laplace operator. It is readily verified that Bo( f f) = 1. f iv f(x)12clz 2 and that a function f in L2 (Rn) belongs to D(B0) if and only if f IV f(x)12dx is finite. Combining these facts with (6.60.) and (6.61.) yields (6.59.). Next we define the bilinear form B in L2 (R") as follows. Its domain D(B) is given by

D(B) = {f E L2 (Rn) : flVf(x)I2 dx < oo, and f V+(x)If(z)12dx < oo}.

Here the function V is supposed to be of the form V =-- V V_, where V is in + + Ki" (i.e. 1K.V is in Kr, for all compact subsets K of 1R) and where V_ is in n + Kr,. The bilinear form B : D(B) X D(B) *C is defined as follows:

1 13(f g) = f V/ (z).Vy(z)dx + f V(x)f(z)g(x)dx, f ,g E D(B).

2 Since V+ is in K'" and since V_ is in Ka, it follows from Theorem 6.6. n that Cgc'(Rn) is a core for B; i.e. for every f in D(B) there exists a sequence o (f a : n E N) in CMIRn) such that B(f a f, fa f) = 0 and such that limn.co 11 fn ill = 0. From Theorem 6.6. it also follows that there exists a conscant b such that

Jf) + b < fd>> 0,

f E D(B).

Moreover the linear form is closed. Here <, > denotes the usual inner product in L2 (Rn) and 11/112 =< 1) f >= f If (x)12 dz for f in L2 (En). Consequently there exists a self-adjoint operator H in L2 (Rn) such that (e.g. see Fukushima 1102, Theorem 1.3.1., p. 17] or Kato 11581 and see Theorem 6.2. or Corollary 6.3.)

B(f , f) + b < f , f

<

+ bI)f , WIT + bi)f > f E D(B).

This operator H is a nice self-adjoint version of the operator

f 1* (- .6.)f + V f 2
For f in D(H) we have

< $f, f >= 13(f >

121

By Theorem 6.1. it follows that H generates a strongly continuous positive semigroup in L2(Rn). This semigroup is denoted by {P(t):t > 0}. If V 0, then we write Po(t) instead of P(t) for t > 0. The bilinear form B defined above is called the &Judi:linger form of the operator 16 + V and the operator H is the Schrridinger operator associated to IA + V and indeed for suitable potential functions V (e.g. if V+ is in LL n Ki" and if is in Kn), then n C(613(Rn) is a core for H. This means that for every f in D(H) there exists = 0 and such a sequence (fn : n E IN) in Coo(Rn) such that limn..IIfn that limn., I1H f + ib.f V Alf = 0. The semigroup {P(t) : t > 0} is called the Schrddinger semigroup. Moreover again the Feynman-Kac formalism. applies. For proofs we refer the reader to Simon [251] and [253]. For completeness we also include proofs.
Theorem 6.7.

+ Let be in Kn and let V be in Kin The Schrodinger form. B is closed and ". defines the self-adjoint Schrodinger operator H which is bounded from below. So H generates a strongly continuous semigroup {P(t): t > 0} in L2(Rn). The semigroup {P(t) : t > 0} is given by
t

[P(t).f](x)= Ex(f(Xt) exg

o V(X.)ds)), f E L2 011'1,x E Rn f

t > 0.

Moreover, if V is in Lioc, then CN(Rn) is a core for the Schr6dinger form B and + (if V is in ac) ca(Rn) is a core for the SchrOdinger operator H. +
Proof of Theorem 6.7.

Let H be the Schrodinger operator associated to + V and put as above Moreover by B we mean the Schrodinger form associated to H. Ho = Suppose H > (4.7I. Then by Theorem 6.2.,
D((6.11 + H)1)= D(B) C

E L2(Rn) :

Of

E L2 (Rn), 1 < j < n} = D(4).

So D(11) C D(Ha ). Fix f E D(H). Since f belongs to D(1/0) too, we have for in D(B),
<11f,g>= B(f,

g) =f V (z) f (x)g(x)dx + f V f(x).V g(x)dx

f V (x) f (x)g(x)clx -21- f6 f (*(x)dx f V (x) f (x)g(x)clz + !Ho f (x).g(x)dx.

122

It follows that V f belongs to L2(R") and that Hf =Ho f +Vf. Put Vic,t, k, e E IN, and let {Pk,t(t) : t > 0} be the semigroup generated by Hk,t = Vk , t, k, I E IN. By Theorem 2.8(b) the Feynman-Kac formalism applies and we have, for f in L2 (10), t > 0, x E [Pk,t(t)f](x)= Ex(exp( f Vk,e(X8)d8)4f(Xt))4 o + Since belongs Kt and since V is in LL(R"), it readily follows that, for all f in L2 (Rn), lim lim. Pk, t(t) f = P(t)f , k---4co 1- co uniformly in t on compact subsets of [0, oo). Here the strongly continuous semigroup {P(t) : t > 0} is defined by [P (t) fax) = Ez(exp(J V (X Ods). f 0), f E L2(13.n), z E En, t > 0. o Let A be the generator of this semigroup and let f belong to D(H). By the observations above we have H f = lim lim (Hof +Irk,t.t.) k- co1 oo By Theorem 4.1. the function f belongs to D(A) and = lim lim (Hof + Vktf) Af = lim lim k--oo 1oc) t oo = (Hof +V = H f. So A extends the self-adjoint operator H. Consequently by Proposition 6.8. below we see that the semigroup generated by H coincides with {P(t); t > 0}. So A = H. We still have to prove that CEVIRn) is a core for H in case V is in LL(111n). Let (uk : k E IN) be a sequence in C3(lRn) such that 1{zER-1.1k} 5_ Uk and such that, for some constant C,
1 {.EIR.n:Ix15_2k}

(6.62.)

11 eu k11.CC,

II azi

auk

<

,1<

Cn,kEIN.

(6.63.)

123

For example let u E C'([0, oo)) be such that 1[0,11 < u < 1[0,41 and define uk, k E N by
uk(z) = u( 1 21 2 ), k2

x E Rn. If f is

The sequence (uk : k E N) satisfies (6.63.) with C = 1611011. + in D(H0), then by (6.62.) and (6.63.) lira 11Ho f Ho(ukf)110,0 = 0.
s oo

Define the subspace L of L2(Rn) by

L = {f E D(Ho) : f E VORM

01 compact}.

From Theorem 2.29(c) it follows that L is a core for the operator H. Next let f be in L. Fix p > 0 in Cra(10) such that f p(x)dx = 1 and define pk, k E N, by pk(z) = kn Mx), x E R. Then 0 = lira Ilf * Pk
k oo

lim - lim /112 =- k coIlHoU * Pk) Ho/112 = k oo

* pk)T

so that CN(Rn) is a core for H. + Under the assumption that V is in Lioc(En) we shall prove that CN(Rn) is a form core for B. First we show that D(H) is a form core for B. Let f be in MB). Suppose H > Then, for X > B(Xi(X./ +H) s/ f,Xf(XI + HO f
=

1(XI + + E01 2s wilX 1(XI + H)`2 .O(wI+ H)i ffi udixi(x/ +HO

ffl

Since r(i)xi(x/ +H)-if = f e-88-11 8 )(--)fd8, we infer

lira Xi (XI + f=f, f E L2(l10), f f) = 0 f E L2(R"), >

and so
x.00

lira B(X (X/ + H)-lf f,X 1(X1 +

(See Remark 3 following Corrolary 6.3.) So D(H) is a form core for B. From Theorem 2.9(a) it follows that /,"(IRn)nD(H) is a core for H. But then L'IlR a)n D(H) is a form core for B. So certainly L'(1Rn)nD(B) is a form core for B. Let 124

the sequences (uk : k E IN) and (ph : k E IN) be as above. Fix f in L'Ill n )n D(B). Then lira ukf = f and by Theorem 6.6. 'Mud - f,ukf
C

1)1 ----- if V+jukf fr f v_lukf 11 2 + f iv(ukf f)1 2

(6.64.)

v+lukf f1 2 + f lv(ukf .012 + e(x)(x f lukf fr + f Iv(ukf 1)12).

Since f belongs to D(B), the function f is also in D(V1) and so

k--- 00

lim i V+ juk f - f 12 = 0.

(6.65.)

By (6.63.) we see
k--b-ca

lira f IV(uki - f)12 = O.

(6.66.)

Combining (6.64.), (6.65.) and (6.66.) shows

k-0.0c,

lira B(uk f - f , uk f - f) = 0.

Next suppose that f in L"(Rn)nD(B) has compact support. Then lira f * pk = f in L2 (11n) and, since V+ is in Li-oc(Rn) and since f belongs to L'(Rn),we infer
k--oo

lira B(f * pk - f, f * pk - f) =

0.

In the proof of Theorem 6.7. we have used the following uniqueness result on generators of strongly continuous semigroups. Proposition 6.8. Let A be the generator of a strongly continuous semigroup {P(t) : t > 0} and let B generate the strongly continuous semigroup {(2(t) : t > 0}. Suppose A extends B. Then P(t) = Q(t), t > 0 , and A = B. Proof Since A and B are closed linear operators and since D(B) C D(A), ther exists by the closed graph theorem a constant C such that, for all x in D(B) , the inequality liAzil LC_ C(11xli + !Vizi!) is satisfied. So for x in D(B) and t > 0 fixed, the function s 1- P(t - 8)(A - B)(Q (8)z), 0C
8 ... t,

125

is continuous. Moreover we have

P(t)x Q(t)x = f 8 (P(t 8)Q(s)x)ris t 0 as

t

P(t 8)(A B)(Q(a)x)cla.

So since A extends B it follows that P(t)x = Q(t)x for all x E D(B) and t > 0. Hence, since D(B) is dense and P(t) and Q(t) are continuous we get P(t) = Q(t),t > 0. The definition of generator then shows A = B. From Simon 1.c. we borrow some other results. See also Theorems 2.8., 2.9., 2.20. and 2.21. Theorem 6.9. Let the notation and hypotheses be as in Theorem 6.7. Let 1 < p < q < oo and let {P(t) : t > 0} be the Schrodinger semigroup. For t > 0, the operator P(t) can also be considered as an operator from LP(Itn) to Lq(Itn). If t > 0 and if f is in LP(Ra), then P(t) f is a continuous bounded function on It.". Moreover every operator P(t), t > 0 is an integral operator with a symmetric integral kernel P(t)(x, y). This integral kernel is continuous on (0, oo) X Rn X Rn. In addition it possesses the following boundedness property: 0 < P(t)(x, y) < Mt in exp(cot), t > 0, x, y E where the constants M and w only depend on the function V. Proof. All hypotheses of Theorem 2.21. are satisfied. Indeed Brownian motion satisfies (2.75.) with Km = {x E Rn : lx1 < m}. Let Tm be the first exit time from Km. (6.67.)

So Tyn, = inflt > 0 : Xt E

Assume, to arrive at a contradiction, that for some compact subset K of IR," and some 0 < t < co, the expression lira sup sup P' (Tm < t)
xEK

is strictly positive. Then by translation invariance and the definition of first exit time there exists a sequence (xm : m E IN) in K such that for some n > 0 and all m E lN PC (U0 < 8 < t(Xs E K,, xrn.)) > fl. 126

Since the continuous paths in RN have P-measure 1, the set fir---1Urn>tUo<8<t(X8 E Kam,, x m) contains a continuous path w : [0, oo) --). Rn. Pick such a continuous path co and choose a sequence (me : I E IN) and a sequence (se : I E IN) such that w(8e) belongs to Kcf,t z,,. A compactness argument together with the continuity of co then easily leads to a contradiction. So Theorem 2.21. is applicable and inequality (6.67.) follows from (2.69.) with p = 1, q = oo, 8 = 1 and with the explicit formula for the Markov density p(t, x, y). In addition we notice the equality
IIP(t)li i,,,, = sup{P(t)(x,y) : x, y E WI.

Theorem 8.10. Let V) in L2 (Rn) be such that HO = XV) for some X in R'2 . Then P(t)y, = eat Ii, t > 0. Consequently ti) is a bounded and continuous function. Moreover limx, ib(z) = 0. If X = inf{< Ef x, z >: li zil = 1} (this X is the so-called ground energy) and if 11011 = 1, then u(x) > 0 for all x in B". Proof. Let 0 be an eigenvector of H in L2(Rn). From Simon [253, Theorem C. 1.2., p. 4931, it follows that there exists a constant C such that

10(x)1 5_ C

f hb(y)Idy, z E IR." (syksi

Consequently lila, .0(x) = 0. Moreover if ii.)(x) = 0 and if b is not identically zero in a neighbourhood of z, then .0 takes both signs in every neighbourhood of x. This follows from Harnack's inequality for Schriidinger operators. In the present situation this inequality reads as follows. For every compact subset of K of IR." there exists a constant C such that (z) __< Ci,b(y) for all x and y in K provided 0 > 0 in a neighbourhood containing K. The latter in turn is a consequence of Theorem 6.11. which solves Dirichiet's problem for Schrodinger operators. Since for the ground state 1ii we have
IP

= lim t-+00

P (t) f li P (t) f II ' 127

for any non-negative function f in L2(R"), the theorem is proved. For this last remark see Reed and Simon [235, XIII.12]. We conclude this summary of Simon's paper with the following solution of Dirichlet's problem for the SchrOdinger operator. Again the Feynman-Kac formalism applies, this time for stopping times.

Theorem 6.11.
Let U be a bounded open subset of R' with a sufficiently nice boundary and let f be a real-valued function on its boundary OU. Suppose that f is continuous. There R such that u(x) = Az), x E 9U, exists a unique continuous function u : U and such that < Hy, u >= 0 for each cp in Cal(U). The function u is given by U(X) = T (XT) exp( f V(X8)(1,9)), x E U,
0

where T is the first hitting time of tic:

T = inflt > 0 : Xt E Uel.

The relevant assumptions on the function V are the following. V is locally in Kr, and there is constant a > 0 such that for all tio E Cla(f1) the inequality

iv,p(x)rdz

f v(z)i,p(z)12dx > f 1,0(42 d.

a

is satisfied. Intuitively this inequality says that the ground energy of the Hamiltonian H0 + V, confined to U, is strictly positive. For a proof we refer the interested reader to Aizenman and Simon [4.264-271]. We conclude this chapter by describing the following (open) problem. It is related to Euclidean quantum field theory: e.g. see Glimm and Jaffe [109, Chapter 19, p. 344-362]. See also the references given in Simon [251], [253]. Perhaps a good understanding of Caubet [42] will be some help. For an elementary explanation of the Feynman path integrals via the Lie-Trotter product formula the reader is referred to Goldstein [118]. See also Nelson [204] and the appendix.

Problem.
Let V be a nice enough potential function on R."; e.g. suppose V(x) > 0, x E 11" and suppose that V is bounded and measurable. Let H be the SchrEdinger operator corresponding to the operator + V. Does there exist a process {(2/ At) Pfil z i, Re z > 0), (Xz : Re z > 0), (6z : Re z > 0), (Ift n , ell 128

in such a way that the function U defined by z U(z, z) = I_2 (f (Xz) exp(- f V(Xe) dc)) d Pliizi, Re z > 0, z E IV, f has the following properties: (a) (b) For every x in lir, the function z 1-U(z,z), Re z > 0, is anlaytic; It solves the following initial value problem: aU

az

(z 0) = -11U(z, 0), Re z > 0, ' U(0, x) =

1 (x), x

e Rn;

(c) (d)

The process should be constructed in such a way that for real z Brownian motion is obtained; For z purely imaginary the Feynman path integrals should be explained;

(e) The process should not depend on V? In other words the above process should be an extension of Brownian motion, which is defined for t > 0, to the right half plane in C in such a way that it gives a direct relation between the Feynman-Kac formalism and the Feynman path integrals. For literature relating these concepts the reader is referred to Cameron [33], Cameron and Storvick [34], [35], [36], [37], [38], [39], De WittMorette, Elworthy, Nelson and Sammelman [69], Elworthy and Truman [85], and Popov [227]. For papers and books on Feynman path integrals see Feynman and Hibbs [96], Nelson [204], Tarski [263], Albeverio and Hoegh-Krohn [ 3], Goovaerts and Devreese [121], Peeters and Devreese [218], [219], Adamovski, Gerlach and Leschke [1]. Papadopoulos and Devreese 12111, Johnson and Skoug [151], [152], [153]. For a recent survey paper on quantum field theory see Brydges [30]. For other papers which relate quantum field theory to the SchrOdinger operator the reader may consult Klein [164], Klein and Landau [165], [166], Nelson [205], [206] and [207]. Other papers dealing with the Schrodinger equation are Chazarain [44], and Ginibr4 [158]. In the near future an issue of Acta Applicande Mathematica will be devoted to Feynman path integrals; see Hazewin_kel [132]. For another closely related result see Feinsilver [93, Theorem 8, p.102]. A very readable account on path integrals is Schulman [246]. A recent (short) survey can be found in Mandrekar [198].

129

7 Renorrning and semigroups

Let (X, 11.11) be a complex Hilbert space and let {P(t) : t > 0} be a uniformly bounded semigroup; i.e. there exists a constant M such that 11P(t)x11 Ml1x11, z E X, t > 0.

Does there exist a Hilbert space norm 11.111 equivalent to 11.11 on X in such a way that IIP(t)z111 < liz111, x E.X, t > 0?

Notice that 11.112 : z 1--+ sup{11P(t)x11 : t > 0}, z E X, defines a Banach space norm on X, which is equivalent to 11.II and for which

jIP(t)x112 5_ 4112,

x E X, t ?_ 0.

Moreover if 11.111 is a Hilbert space norm on X which is equivalent to 11-11) then there exists a continuous linear map V : X X with a continous and everywhere defined inverse such that 11x111 = 11Vz11, zE X.

The existence of such an operator V, which can be chosen to be positive (i.e. < Vx, x > > 0, x E X), follows from a study of the bilinear form (x,y) !--*< z,y >1, x,y, E X, in connection with the remarks in Chapter 2 on Dirichlet spaces. Another reference is Dynkin [80]. Consequently if the semigroup {P(t) : t > 0} is contractive with respect to the equivalent Hilbert space norm 1141 = 11Vx11, x E X, then the semigroup {VP(t)V-1 : t > 0} is a contraction semigroup on X. The following open problem poses itself. Problem. Characterize operators which generate strongly continuous semigroups which are similar to contraction semigroups. 130

Since there are uniformly bounded strongly continuous semigroups which are not similar to contraction semigroups (e.g. see Chernoff [47], Packel [210] and Pazy [214]), the problem is not trivial. Before we continue our discussion on renorming we insert Stone's theorem. Theorem 7.1. Let A be a closed linear operator in a Hilbert space X. Then iA generates a unitary group if and only if A is self-adjoint. In terms of (spectral) resolution of the identity Theorem 7.1. is known as Stone's theorem and can, for instance, be found in Yosida [277, p. 253 and p. 345]. Proof. Let iA be the generator of the unitary group {U(t) : t E 1R}. Then iA* = (iA)* = {U(t) : t E R)-; see, e.g., Theorem 7.6. However iA generates {U(t)* : t E also generates {U(t) : t E 1R}. So A A* . Conversely, if A = A*, then ilXx iAxil IXIIIxII, X E IR, x E D(A).

So by Theorem 1.3. (Lumer-Phillips) the operator iA generates a conand traction group {U(t) : t E R}. Since (iA)* generates {U(t)* : t E since (iA)* = iA* iA, it also generates {U(t) : t E R}, it follows that U(t)* = U(-0, t E An operator A with domain and range in X is said to be similar to an operator B if there exists a continuous linear operator V with bounded inverse V' such that VA = By. Suppose for the moment that B is self-adjoint. Let <, >v be the inner-product on X defined by < x, y > v=< Vx, Vy >, where <, > is the original inner-product on X. Then A is self-adjoint with respect to this new inner-product. This follows from the identities (x and y are vectors in D(A)): < Ax, y >v =< VAx,Vy >=< BVx,Vy > =< Vx,BVy >=< Vx,VAy >=< z, Ay >v . From the preceding remarks it follows that A is similar to a self-adjoint operator if and only if A is self-adjoint with respect to some new equivalent inner-product. The following theorem is a rephrasing in terms of semigroup theory of an old result of Sz.-Nagy [259].

131

Theorem 7.2. Let A be a closed linear operator in a Hilbert space X. Then A is similar to a self-adjoint operator if and only if IA generates a uniformly bounded group. Proof. Let IA generate the bounded group {V(8) ; 8 E R}. Define a new inner-product on X by means of
1 +t

x, y >1= LI Mt.,

ft < V(a)z, V(8)y > d8, z, y E X, 2t _

where LIM stands for a Banach limit. Then V(s)x,y >1--- z,V(-8)y >1, x,y E X, - -
8

E R.

So by Theorem 7.1. and by the previous remarks, the group {V(8) : a E R} is generated by an operator iA1, where Al is similar to a self-adjoint operator. Since IA generates the group {VW : a E R} we obtain that A = Al is similar to a self-adjoint operator. Also see Proposition 6.8. Conversely if A is similar to a self-adjoint operator B, then iB generates a unitary group {U(t) : t ER}, by the previous theorem. Suppose VA = By. Then iA generates {V-1 U(t)V : t E R}. Let A be a closed linear operator in a Hilbert space X. In Theorem 7.4. a number of statements are given which are equivalent to the statement that IA generates a bounded group. For a concise formulation of our results we introduce some new terminology. We begin with a lemma which is easily verified using some perturbation arguments. Lemma 7.3. Let B be a closed linear operator in a Banach space X, let E be a connected subset of C and let M : E (0, oo) be a positive function. The following assertions are equivalent: (i) The inverses (XI B)-1 exist, as bounded every-where defined linear operators for every X in E and II(X/ B)-111 < M(X), X E E;

132

(ii)

There exists X9 in E such that R(X9 I B) is dense in X and such that iixii < 11Xx BxII.M(X), z E D(B), X E E.

An operator B which satisfies (i) or (ii) of the previous lemma is said to have an M(X)- dissipative resolvent in E. A strongly continuous semigroup {P(t) : t > 0} is said to have bounded standard deviation if for some constant M < oo the inequality t 1lIP(8)x112 d8 5_ m2 tilxii2 0 holds for all x in X all t > 0. Proof of Lemma 7.3. The implication (1) = (ii) being trivial leaves us with (ii) = (ii). Define the subset E0 of E by E0 = {X E E : X belongs to the resolvent set of A}. We also define the auxiliary function N : C + [0, oo) by N(X) = inf{11Xx /34 : x E D(B), 114 = 1}, X EC. (7.2.) (7 .1 .)

Then N(X) > 0 whenever X is in E and if X belongs to the resolvent set of B, then (7.3.) N(X)II(XI B) 1 zil C lIzli, z E X. In addition we write R(X) = (XI B)-1 whenever X belongs to the resolvent set of B, i.e., whenever X/ B has a bounded everywhere defined inverse. From (ii) it follows that, for some X0 in E, the subspace R(X01 B) is dense in X and that R(X0 / B) is a closed subspace. Hence X0 belongs to E0 . This proves that E0 is not empty. We shall prove that E0 is both open and closed in E. First suppose that lim X n = X0 with X0 E E and X, E E0 for all n E IN. Fix n in IN in such a way that 2IX n X01 < N(X0). Since by (7.2.),
11)1 ._ 1/A2 - Al I) IN(1L2) -N(1

PI) 142 EC,

we get 21Xn Xol < (N(X0) N(Xn )) + N(X) < IX() and + N(Xn). 133

Whence lXn Xo I < N(X,z). Consequently, by (7.3.) the sum

E0,, - xormx)k+1 k---0 converges in the uniform operator topology. However it readily verified that the latter sum equals (X0 B)-1. Hence E0 is closed in E. If X0 belongs to Eo and >, if X in E is such that (X0 XI < N(X0), then the sum Er:L.0(X ) kR(xo )k-H. converges to R(X). This proves that Eo is open in E. Hence Eo .- E. This proves the lemma. For convenience of the reader the following lemmas and propositions are supplied with a proof. Lemma 7.4. (a) Let {ak : k E VI be a sequence of non-negative real numbers. The following inequalities hold: vn 00 1 L-4.0 ak : n E IN} < sup{(1 r) rkak : 0 < r < 1} - sup{ n+1 e k=0

sup{EZ o clic : n E 14}. n+1 (b) Let a : [0, oo) -+ [0, oo) be a Borel measurable function. Then , 1 avit)as : t > 0} < sup{co - sup{ fot 00 0 t

e'a(s)ds : co > 0}
: t > 0}.

< sup{

j: a(8)ds

Proof. (a) The following (in-)equalities are readily verified:

(1 Orn

E ak
k=0

00

< (1

r) cc rk ak E
k

' = (1 0 2 4.4 rk

kO io N-,n E?! w ==o ay i l x-- , < (1 r)2( sup Lai-0 a Z.. kk + 1)r k . sup nEN rt + 1 a nEII\T n+ 1 ) k=0

E a3

134

Then (a) follows with r = n/(n + 1). (b) As in the proof of (a) we have
w f a(8)ds < w e o

00 e"w(a)ds w2 0

00 e wt( f ce(s)ds)dt.

Assertion (b) then follows easily. Lemma 7.5. Let h be a complex valued harmonic function defined on the right half plane for which CO M sup{f co ade : > 0}

is finite. The following assertions hold true: (a) There exists a unique complex measure on R, which is of bounded total variation, such that 00
h(w , e)

f_oc cd 2

iA(11)) 71) 2 d

w > 0, DER,

---and such that iiii(R) -= M. (b) The function h satisfies the following inequality: 7rwih(co, w > 0, e E R.

(c)

Suppose that h is of the form h(w , e) = FP + ie) + GP ie), where F and G are holomorphic and where sup{wIF(w)i : w > 0} is finite. Then
F(X) = - 7r L.. 2
r d1t(i7)

w > 0, e E R,

a irk '

Re X > 0, 135

and
G(

1 dp,(n) X) 27r i--00 X + in'

10

Re X > 0.

Proof.
(a) This assertion is in fact well-known and can be found in, e.g., Stein [257, Theorem 2,Corollary, p.2001. We outline a proof. Fix wo +ieo in C, wo > 0. Since h is harmonic, h has the following mean value property: 1 f h(cd , E)dwdE, 0 < p < wo hp0, co, ---- 71..02 itw--(00)2+(ee0)25p2 ( So, by the definition of the constant M

,
Ih(w Olde)dca < r p2
2p 2M
.

1 roo+P f oo+p

Ih(wo, eo)i <

Hence rwolkwo)

wo p

co op

< 2M. So the function + wo,

L-4 4

_00 ,,,2

(e n)2 h(wo, tOdn, w > 0, e E R,

is a bounded harmonic function (with bound 4M/(irwo)) and has boundary value 0. Hence
+ Edo)

el w r c) = 7r j_..0

_ n)2 h(wo, t7)dn, w > 0,

e E R.

(7.4.)

Define for w > 0 the functional Aw on Co(R) by Aw(f) = Then lAw(i)1 < Aillf1100) I E Co(R), w > 0. (7.5.) So the collection {A., : w > 0} is equicontinuous and it follows from (7.4.) and Fubini's theorem that h(t MciE, f E Co(R)

A,,,(P,,,o f) = Aw-H00(1) = f
136

+ wo, e) f (e)ciC

(7.6.)

for ce, coo > 0 and f in Co(R). Here /3,,, is given by

EPco flM = -: coca

i 2+

r 00

1 (e _ n)2 f (n)dn ,

w > 0, e E R, f E Co(R).

(7.7.)

From (7.7.) and elementary estimates it follows that limit f P,, f II = 0, wit) From (7.5.), (7.6.) and (7.8.) we infer that A(f) :=1i5t Aw(f) . exists for all f in Co (R) and that 1A-(ni 5_ miifilcc) I E Co(R) (7.9.) f E C0(R). (7.8.)

By the Riesz' representation theorem there exists a complex Borel measure A on R with (7.10.) 1111(R) < M such that
A(f) = f f dm)

f EC0(11).

(7.11.)

To complete the proof of (a), fix (WO, 6) in R2 with wo > 0. Then from (7.9.), the definition of A, and (7.4.) we obtain
00

wo 2 dli(n) = lim . ) f_co wg + (e0 7) (A, o Aw(n 1-4 7r cog + (e0 n)2 1 wo = lira To 1 kw, rOclii , w lo r J co (A)3 + (6 n )= lira kw + wo ) en) = kw , e0) ,...,0

This proves the existence of the measure A. For the uniqueness we proceed as follows. Let pi and P2 both be measures which represent the function h. Then P2 satisfies :=(.4 _ 00 w2 1 (E 17)2 di4(n) = 0)
> 0, EER.

137

So, using the above notation, we see for

f dtt = CO -= f (-

in Co(lR.),
00

P,,,f dit = lira f P,, f (IA w to -co 1CO 1

ro to = limL (:L
o

W w io 00 r -00 Cd2 (f
.w(e 2

f (E)de)dit(n)
2 dA(q))f(E)de =

0.

wlo

This shows p, = 0. (b) Fix (co, 0 in R2 with w > 0. From (a) and (7.10.) we see 00 rwlh(w, 2

00 w2 (e _ n)2 dited(n) < IARR) 5 At.

(c) For X in C with Re X > 0, we have by (a),

fx F

1 r d \
2 ir-co

t(n)

X -

d&(n) 27r i-00 X + in

1

Since the left-hand side of this equality is analytic in X and since the right-hand side is analytic in X it follows that either side equals the same constant. Since sup{wIF(w)I : w > 0} is finite and since is a finite measure, this constant is zero.

Proposition 7.6.
Let X be a reflexive Banach space and let A be the generator of a strongly continuous semigroup {P(t) : t > 0}. Then {P (t)* : t > 0} is a strongly continuous semigroup in X * and its generator equals A* .

Proof.
The semigroup {P(t)* : t > 0} is weak* continuous. So, since X is reflexive, it is weakly continuous. A standard result in semigroup theory states that such a semi group is strongly continuous. See e.g., Yosida [277, Chapter VII, Theorem 3, p.19e1]. Let B be its generator. For x * in D(B) and X in D(A) the equalities <
x, Bx * > = tam < , 1 (P(t)x * x*

>

= lim <

(P(t)x - x), x * >=< Ax, x* >

tto

138

hold. So A* extends B. Pick x* in D(A'') and let X > 0 be so large that R(X.1 A) --,---- X and so large that the equality R(XI B) = X* is also valid. Since both A and B are generators of a strongly continuous semigroup such a choice of X is possible. Then there exists 4 in D(B) such that Ax* A* x* = Xxi; Bel; = X4 A* 4. So for x in D(A) we have < Xx Ax, x* 4 >=< x,X(x* 4) A*(x* 4) >=< x,0 >= O. Since R(X I A) = X, it follows that x = xi; and so B = A. The following proposition extends the classical Plancherel's theorem to Hilbert space valued functions. A proof can be found in Edwards and Gaudry [82, 3.4, p.53] or Stein [257, Chapter II, 5, pp. 45-47]. For completeness we also include a proof. This proof will be based on Plancherel's theorem in L2(R,C).

Proposition 7.7.
Let X be a Hilbert space and define for f in .0(R, X) n L2 (1t, X) its Fourier transform 1 by

00 e"--i8 f(x)dx, 1(E) = f 00

E E R.

Then 1 is in L2 (R,X) and

flicf(arde = (2702 f co lif(8)112d8.

Proof.
Since f belongs to LI-(ft,X) there exists an orthonormal sequence (en : n E IN) in X such that for almost all a in It the vector 1(8) can be written in the form f(s) = Er =0 < As), en > en . Thus 7

111(8)II 2 -=-. i I < f (8) , en >12

for almost all a in R. It follows that

(7.12.)

:r(o=

. .

.. e-4ff E < 1(8), en > d8

n--0 co

e'e8 < f (a), en > da)en.

139

n=-0

Thus EI c
n=0 c

ee6 < .11.0/en > d8 1 2 '

Hence

n=0

eiet E jco IL. < f(8), en 7 d812cie.

00

r 00

By Plancherel's theorem in L2(R,C) and by (7.12.) we infer

= (2702 c'E fcc I< 1(8),en>12 d8

n=0 oo co oo

= (27112 (2r)2

E i<

f(s), en >12 da

n=0

Ilf(8)112 d8.

Proposition 7.8. Let X be a Banach space and let {P(t) : t > 0} be a family of continuous linear operators, defined on X, with the property that lira < P(t)x, >= < P(to )z, > for all to > 0 and for all x in X and all x* in X. Suppose 11/3(011 < Alec") Define for X > (A) the operators R(X) : X

> 0.

X by E X.

00 R(X)z f0 exe P(s)xds,

Then the family {P(t) : t > 0} has the semigroup property, i.e. P(8 + t) P(8) o P(t), 8, t > 0, if and only if {R(X) : X > w} has the resolvent property, i.e. R(X) R(A) = X)R(X) o R(p), X, IL > w. From Bochner's theorem combined with Pettis' theorem (see e.g. Yosida [277, pp.130-133]) it follows that under the hypotheses of the proposition every R(X), X > co, defines a continuous linear operator from all of X to X. 140

ABOUT THIS VOLUME This research note contains some recent results in the theory of strongly continuous semigroups of linear operators. Topics covered include the Feynman-Kac formalism with applications to Schrodinger operators, positivity preserving semigroups, quadratic form theory, holomorphic semigroups and bounded one-parameter groups. An appendix deals with some aspects of Feynman path integrals. A number of previously inaccessible results in semigroup theory are presented with full proofs. This work will be useful both for those undertaking research as well as for graduate students; a basic knowledge of functional analysis and probability theory are the only prerequisites.

RESEARCH NOTES IN MATHEMATICS The aim of this series is to disseminate important new material of a specialist nature in economic form. It ranges over the whole spectrum of mathematics and also reflects the changing momentum of dialogue between hitherto distinct areas of pure and applied parts of the discipline. The editorial board has been chosen accordingly and will from time to time be recomposed to represent the full diversity of mathematics as covered by Mathematical Reviews. This is a rapid means of publication for current material whose style of exposition is that of a developing subject. Work that is in most respects final and definitive, but not yet refined into a formal monograph, will also be considered for a place in the series. Normally homogeneous material is required, even if written by more than one author, thus multi-author works will be included provided that there is a strong linking theme or editorial pattern. Proposals and manuscripts: See inside book.

Main Editors A. Jeffrey, University of Newcastle-upon-Tyne R. G. Douglas, State University of New York at Stony Brook Editorial Board _ F. F. Bonsall, University of Edinburgh H. Brezis, Universite de Paris R. J. Elliott, University of Hull G. Fichera, University di Roma R. P. Gilbert, University of Delaware K. Kirchgassner, Universitat Stuttgart B. Lawson, State University of New York at Stony Brook R. E. Meyer, University of Wisconsin-Madison J. Nitsche, Universitat Freiburg L. E. Payne, Cornell University G. F. Roach, University of Strathclyde I. N. Stewart, University of Warwick S. J. Taylor, University of Virginia

ISBN 0 - 273 - 08669 - 3

8027 3 086697