Notes on Sobolev Spaces

Peter Lindqvist
Norwegian University of Science and Technology

1 L p-SPACES
1.1 Inequalities
For any measurable function u : A [, ], A Rn , we define
1p

Z


p


kuk p = kuk p, A =
|u(x)| dx




A

and, if this quantity is finite, we say that u L p (A). In most cases of interest p 1.
For p = we set
kuk = kuk, A = ess sup |u(x)|.
xA
The essential supremum is the smallest number M such that |u(x)| M for a.e.
x A.
For example1 , if u : [a, b] Rn , is continuous, then it is easy to see that
1p


Zb



p



|u(x)| dx
max |u(x)|.


a
p axb

The fundamental inequalities

1 1
kuvk1 kuk p kvkq , + = 1, HOLDER
p q
ku + vk p kuk p + kvk p , MINKOWSKI
1
An interesting application of this fact in connection with the heat equation ut = u xx is given
in [BB, Ch.24, pp 145-150].

1
where p 1, can be derived in many ways. For example, taking the elementary
inequality
a p bq
ab + (a, b 0, p + q = pq) YOUNG
p q
for granted, we obtain the Holder inequality (choose a = u(x)/kuk p , b = v(x)/kukq
and integrate the resulting inequality). The Holder inequality implies the Minkowski
inequality.
Remarks:
1) The special case
Z v
tZ v
tZ
|uv| dx 2
u dx v2 dx CAUCHY
A A A

is called the Cauchy inequality.

2) If 1 > p > 0, then the Minkowski inequality is reversed for positive func-
tions! That is why one usually has p 1.
3) If mes (A) < , then the Holder inequality shows that L p1 (A) L p2 (A), if
p1 p2 . This is not true in general, if mes (A) = . (Find a simple ex.!)
However, if 1 p1 < p < p2 , then the Holder inequality implies that
kuk p,A kukp1 ,A kuk1
p2 ,A

where
1 1
= + .
p p1 p2
That is, if u L p1 L p2 , then u L p for all intermediate p.
4) Suppose that 0 < mes (A) < . The function
1p
Z
1

p



(p) = |u(x)| dx , 0 < |p| < ,
mes (A)




A

Z
1




(0) = exp log |u(x)| dx ,
mes (A)




A
() = ess inf |u(x)|, (+) = ess sup |u(x)|
A A

2
 is increasing2 as p +.

Let us finally mention that

Z Z
1 1
u(x) dx (u(x)) dx JENSEN
mes (A) mes (A)
A A

whenever : R R is a convex function (0 < mes (A) < , u : A [, ]

is measurable).
Example:
R1
u(x) dx
Z1
e0 eu(x) dx
0
p
Z Z
1


1
|u(x)| p dx

|u(x)| dx
mes (A)



mes (A)
A A

Remark: Discrete versions of the above inequalities are

  s sX
X  X
 ak bk  p |ak | p q |bk |q ;
 k  k k

n a1 a2 . . . an |a1 |n + |a2 |n + . . . + |an |n

or
n q1 + q2 + . . . + qn
q1 q2 . . . qn (qk 0);
| {z } | n
{z }
GEOMETRIC MEAN
ARITHMETIC MEAN
sX sX sX
p p
|ak + bk | p p
|ak | + p |ak | p .
k k k
pp P
Especially, lim k |ak | p = sup |ak |.
p k
p
p
Example: Draw the curves |x| p + |y| p = 1 (0 < p ) in the xy-plane.
2
J. Mosers celebrated method to relate the maximum and the minimum of the solution to a
partial differential equations is based on this.

3
 For p = 2 we have the parallelogram3 law

ku + vk22 + ku vk22 = 2kuk22 + 2kvk22 .

Remark: So-called reverse Holder inequalities like

1p
Z Z
1 C
|u| |u|
mes (Q) mes (Q)
Q Q

valid for every cube with some fixed p > 1 (!) play a central role for solutions u to certain
partial differential equations. (Such an inequality cannot hold for arbitrary functions.)
The method is due to F. W. GEHRING.

1.2 (Strong) convergence in L p

Let A Rn and fix p 1. Then k k p defines a semi-norm in the vector space L p (A),
i.e.,

(i) 0 kuk p < , u L p (A)

(ii) kuk p = ||kuk p , u L p (A), < <

(iii) ku + vk p kuk p + kvk p , u, v L p (A).

However, this is, strictly speaking, not a norm, the reason being that kuk p,A =
0 u(x) = 0 for a.e. x A. We agree to say that u = v in L p (A), if u(x) = v(x)
for a.e. x A. With this convention k k p is a norm, i.e. (i) can be replaced by

(i) 0 kuk p < , and kuk p = 0 u = 0 in L p .

(Strictly speaking, this L p -space consists of equivalence classes of functions, but

here there is no point in maintaining this distinction.)

Theorem 1 (RIESZ-FISCHER) The L p -spaces, p 1, are Banach spaces. That

is, if u1 , u2, . . . is a Cauchy sequence in L p (A), then there is a function u L p (A)
such that kuk uk p,A 0, as k .
3
The counterpart for general exponents p is more involved. A pair of inequalities (CLARK-
SONs inequalities) will replace the parallelogram law [A, p.37].

4
 Proof: Suppose that u1 , u2 , . . . is a Cauchy sequence in L p (A), i.e., given > 0 there
is an index N such that kuk u j k p < , when k, j N . Let us consider the case p ,
(the case p = is simpler, and its proof will be skipped). We can construct indices
1 n1 < n2 < . . . such that
1
kunk unk+1 k p < (k = 1, 2, 3, . . .).
2k
Define
N
X
X
gN (x) = |unk unk+1 |, g(x) = lim gN (x) = |unk unk+1 |
N
k=1 k=1
Then
0 g1 (x) g2 (x) . . . g(x)
and Z Z   p Z Z
p p
|g| =  
 lim gN  = lim |gN | lim |gN | p
N N N
A A A A
1 1 1
R
by Fatous lemma. By the construction kgN k p 2 + 4 +. . .+ 2N < 1 and so |g| p 1. Thus
A
g(x) < + for a.e. x A. This means that the series |un2 (x) un1 (x)| + |un3 (x) un2 (x)| + . . .
converges for a.e. x A. So does a fortiori, the series

X
un2 (x) + (unk+1 unk ).
k=1

The partial sums of this series are plainly un2 (x), un3 (x), un4 (x), . . . Hence

u(x) = lim unk (x)

k

exists and is finite for a.e. x A (If you insist on having an everywhere defined function,
set u(x)=0 in a subset of measure zero.)
By Fatous lemma (again!)
Z Z   Z
|u(x) u j (x)| p dx = lim |unk (x) u j (x)| p dx lim |unk (x) u j (x)| p dx p
k k
A A A

whenever j > N . This shows that ku u j k p,A 0 as j . 

The proof yields information about pointwise behaviour.

Corollary 2 Suppose that uk u in L p (A), i.e., kuk uk p,A 0. Then there is a

subsequence that converges a.e. in A : u(x) = lim unk (x) for a.e. x A.
k

5
1.3 The dual of L p
If X is any Banach space, its dual X is the collection of all continuous linear
functions (functionals) l : X R . The norm of l is defined as
!
|l(x)|
klkX = sup = sup |l(x)|
xX kxk X kxkX 1

and the continuity is equivalent to klkX < . Note that

|l(x)| klkX kxk.
Let 1 p < and fix a function g Lq (A). Then
Z
l( f ) = f (x)g(x) dx ( f L p (A))
A

is well-defined and linear. By Holders inequality |l( f )| k f k p kgkq. Hence klk

kgkq . Here equality is attained for the choice f = |q|q2 g. (The case q = is
slightly different.) Thus
klk = kgkq .
The essential fact here is that virtually all continuous functionals in L p (p , )
are of this form!
Theorem 3 (F. RIESZ representation thm) Let l : L p (A) R be a continuous
linear functional, 1 p < . Then there is a unique g Lq (A) such that
Z
l( f ) = f (x)g(x) dx
A

for all f L p (A). Moreover, klk = kgkq,A.

Proof: The Radon-Nikodym theorem is used in most proofs of the represen-
tation theorem. A more direct proof in the one dimensional case is given in [R.
p.121]. 
Remark:
1) There are continuous linear functionals in L (A) that do not have this simple
form.
2) One says that Lq is the dual of L p (1 p < ).

6
1.4 Weak convergence in L p
Weak convergence in L p is important for many applications, for example, it leads
to the existence theorems for partial differential equations. The so-called direct
methods in the Calculus of Variations are based on this concept.
Suppose that u1 , u2 , u3 , . . . are functions in L p . We say that uk u weakly in
L p , if
lim l(uk ) = l(u)
k

for every continuous linear functional l : L p R . Using Riesz representation

theorem we can state the definition in a more convenient form.

Definition 4 Let 1 p < . Suppose that u1 , u2 , . . . and u are functions in L p (A).

We say that uk u weakly in L p (A), if
Z Z
lim uk v dx = uv dx for each v Lq (A).
k
A A

Remark:
1) Sometimes the notation uk u is used to indicate weak convergence.

2) Strong convergence implies weak convergence: if kuk uk p 0, then

uk u weakly in L p .

3) The weak limit is unique, that is, unique in L p .

Example: The functions un (x) = sin(nx) converge weakly in L2 ([0, 2]) to zero.
By the Riemann-Lebesgue lemma
Z2
lim v(x) sin(nx) dx = 0
n
0

for every v in L2 ([0, 2]). (This follows easily from Bessels inequality.)
Example: (Warning!) Suppose that f : [a, b] R is a bounded measurable
function, for example, assume 0 f (x) 2. Then there is a sequence of functions
vn : [a, b] {0, 2} converging weakly in L2 ([a, b]) to f. Observe that vn (x) = 0 or
= 2 ( vn takes no other values!!)
This is not difficult to realise in the special case f (x) 1.

7
Example: Define ui :]0, 1[ R by ui = i]0,i3 [ for i = 1, 2, 3, . . . Then ui 0
strongly in L p ([0, 1]), if 1 p < 3. We have kui k3+ = i /3 for every > 0. As
we shall see, weakly convergent sequences are bounded in L p -norm. Therefore
u1 , u2 , . . . does not converge weakly in L p (]0, 1[), if p > 3. Show that ui 0
weakly in L3 (]0, 1[)! (This convergence is not strong.)
If ui u weakly in L p (A), then there is a constant M such that kui k p,A M
for all i = 1, 2, 3, . . . This follows from the following lemma.
Lemma 5 Suppose that u1 , u2, . . . are functions in L p (A), 1 < p < . If the
sequence kui k p,A is unbounded, there is a w Lq (A) such that
Z
lim uik (x)w(x) dx = +
k
A

for some subsequence.

Proof: The function w is constructed and written down in [S, pp.25-28]. 
The most important fact about L p -spaces seems to be the following weak com-
pactness property. (Not valid for p = 1).
Theorem 6 (Weak Compactness) Let u1 , u2 , . . . be functions in L p (A), 1 < p <
. If there is a constant M such that kui k p,A M for each index i, then there exists
a function u L p (A) such that uik u weakly in L p (A) for some subsequence.
Moreover
kui k p,A lim kuik k p,A .
k

Proof: Advanced books on Functional Analysis usually contain a proof. For

example, the above mentioned book of Sobolev [S] gives a proof on pp. 29-30.
See also [A]. Usually, the lower semicontinuity comes as a by-product of the
proof, but the following simple argument also yields this property. Since |x| p is a
convex function of x, we have
|y| p |x| p + p|x| p2 x (y x), p 1.
Thus Z Z Z
p p
|uik | dx |u| dx + p |u| p1 u (uik u) dx.
A A A
p1 q
Now |u| u is in L (A), and so the last integral approaches zero as k (by the
weak convergence!). This gives us the desired lower semicontinuity. 

8
Remarks:

1) The theorem is not true for p = 1.

2) The existence of solutions to partial differential equations is often a direct

consequence of the weak compactness.

3) Let kui k p M for i = 1, 2, 3, . . . According to the BANACH-SAKS theorem

there are indices i1 < i2 < i3 < . . .and a function u in L p such that

ui1 + ui2 + . . . + ui u 0
p

as +, that is, the arithmetic means converge strongly. (The Banach-

Saks theorem is valid also for p = 1.)

1.5 Approximation in L p and some other things

The essential fact is that the functions in L p can be approximated in the L p -norm
by smooth functions, if 1 p < . These are constructed as convolutions. Let us
first state some auxiliary results.

Lemma 7 (Continuity in the L p -norm) Let 1 p < . If f L p (A), then

Z
lim | f (x + h) f (x)| p dx = 0,
h0
A

where f is regarded as 0 outside A.

The proof is not quite simple. Usually one uses the theorem of Lusin, valid for measurable
functions.

Theorem 8 (Lusin) Let f : A [, ] be a measurable function that is finite a.e.

in A. Suppose that (A) < . Given > 0, there is a compact set K A such that the
restriction f |K is continuous and mes(A\K ) < .

Proof: See, [EG, p.15].

If A is open, then Lusins theorem can be combined with the extension theorem of
Urysohn-Tietze [R, p.148].

9
Theorem 9 (Urysohn-Tietze) Suppose that A is open and mes (A) < . Let K A be a
compact set. If f : K R is a continuous function, then there is a function C0 (A)
such that (x) = f (x), when x K. Moreover, max|| = max| f |
A A
p
Lemma 10 C0 () is dense in L (), 1 p < . Here is open and C0 ()
denotes all continuous functions with compact support on . In other words, if
u L p (), then there are functions k C0 () such that
lim ku k k p, = 0.
k

Remarks:
1) Of course, this implies that C() is dense in L p ().
2) Functions in L () cannot, in general, be uniformly approximated by con-
tinuous functions.
3) If : Rn R is continuous, then the closure in Rn of the set where (x) , 0
is called the support of . Thus
supp() = {x Rn |(x) , 0}.
If supp() is compact (it is closed by definition) and if supp() , then
we say that C0 (). In this case the distance between supp() and the
boundary is positive.
4) A deep result for L p -functions is related to the Lebesgue points. Suppose that
p
f Lloc (Rn ), that is, f L p (B) for every ball B in Rn . Then
Z
1
lim | f (x) f (y)| p dy = 0
ro+ mes (B(x, r))
B(x,r)

for a.e. x.

Define
1
Ce 1|x|2 ,
|x| < 1
(x) =

0, |x| 1
R
and choose the constant C > 0 such that (x) dx = 1. Friedrichs mollifier is
Rn

C 2 |x|
2

1  x

n e 2
, when |x| < ,
(x) = n =


0, when |x| .

10
The constant C depends only on the dimension n. Now we have
Z
(x) dx = 1, > 0. (1)
Rn
n
Observe that C0 (R ). The support of is the closed ball |x| .
The convolution
Z
u (x) = ( u)(x) = (x y)u(y) dy
Rn

is well-defined for u L1loc (Rn ). If u is defined only in the domain , then we

regard u as extended to zero outside : u(x) = 0, when x Rn \. Hence we can
calulate the convolution u for any u in L1loc ().
Observe that u is always a smooth function: u C (Rn ), if u L1loc (Rn ). For
differentiation we have the rule

D u = (D ) u. (2)

Here = (1 , 2 , . . . , n ) and
1 +2 +...+n
D = .
x1 1 x2 2 . . . xn n

If u was defined in the domain , then the formula (2) holds for the original
(unextended) u at all points x with dist(x, ) > . Analogously, if supp u ,
then u C0 (), when < dist(supp u, ).

Lemma 11 If u L p (), 1 p < , then u L p () and k uk p kuk p .

Moreover
lim+ ku uk p = 0.
0

Lemma 12 If u C() and if K is compact then

max|u (x) u(x)| 0 as 0+ .

xK

In other words, the convergence u u is uniform on compact subsets.

11
 Proof: The locally uniform convergence for a continuous u follows form
Z
u(x) u (x) = u(x) (x y)u(y) dy
Z
= (u(x) u(y)) (x y) dy
|xy|<

|u(x) u (x)| max|u(x) u(y)| 1 ( < dist(x, ))

y
|xy|

in accordance with Weierstrass theorem ( a function that is continuous on a com-

pact set us uniformly continuous).
If u L p (), then
Z (Z ) 1p (Z ) 1q
p
|u | (x y)|u(y)| dy (x y)|u(y)| dy (x y) dy
| {z }
=1

and so
Z Z Z !
p p
|u (x)| dx (x y)|u(y)| dy dx
Z Z ! Z
p
= |u(y)| (x y) dx dy = |u(y)| p dy.
| {z }
=1

This proves the contraction ku k p kuk p .

For the L p -convergence, we first note that if C0 (), then it is easily seen
that
Z
|(x) (x)| p dx sup |(x) (y)| p ( < dist(supp , ))
|xy|

and so k k p 0. (Doing some more work, we could replace C0 by C L p .)

Now
=(u)
z }| {
ku u k p ku k p + k k p + k u k p
| {z }
kuk p

and so
lim ku u k p 2ku k p .
0+

12
Since C0 () is dense in L p (), we can choose C0 () so that ku k p is as
small as we please. This concludes the proof for the L p -convergence kuu k p 0.

As an application we mention the Variational Lemma.
Lemma 13 (Variational Lemma) Let u L1loc (), denoting an open set in Rn .
If Z
u(x)(x) dx = 0

whenever C0 (), then u = 0 a.e. in .
Proof: Take x and choose so small that 0 < < dist( x, ). Then
( x x) will do as a test function so that
Z
u ( x) = u(x) ( x x) dx = 0.

Let B be any closed ball in , i.e. B . Then

kuk1,B = ku u k1,B 0
as 0+ . Hence u = 0 a.e. in B and hence a.e. also in . 
Remark: The lemma is fundamental in the Calculus of Variations. If u is con-
tinuous, the proof is more elementary and u 0 in this case. We shall need the
lemma to establish that the Sobolev derivatives of a function are unique up to sets
of measure zero.
Example: (Hermann WEYL) Let u L1loc (Rn ) and suppose that
Z
u(x) (x) dx = 0

whenever C0 (Rn ). Then u has a continuous representative which is a harmonic

2 2
function, i.e. the continuous u belongs to C 2 and u = xu2 + . . . + xu2 = 0. (In fact,
1 n
u C (Rn ).)
Take (x) = (x z) for some fixed z. Then u (z) = 0. Indeed,
Z
u (z) = ( u)(z) = (z x) u(x) dx
Z
u (z) = ( u)(z) = z (z x) u(x) dx
Z
= [x (z x)]u(x) dx = 0

13
by assumption. Note that

2 u 2 u
(z x) = (z x)
x2k z2k

by direct calculation ( (z x) is a function of |z x|2 ). Since z was arbitrary,

u 0. Thus the function u is harmonic.
One does not seem to get any further without using some deeper property of
harmonic functions. By the mean value property
Z
1
u (x) = u (y) dy (Actually u = u!)
mes (B(x, r))
B(x,r)

Since u u in L1 (B(x, r)), we have

Z
1
lim+ u (x) = u(y) dy.
0 mes (B(x, r))
B(x,r)

For a.e. x, u(x) = lim u (x), at least when approaches zero through a subse-
quence 1 , 2 , 3 , . . . (Corollary 2). Redefining u in a set of measure zero, we get a
function that satifies the mean value property. Hence (the redefined) u is harmonic
in Rn .

14
2 SOBOLEV SPACES
The situation with the derivatives belonging to some L p -space was studied by
Tonelli, B. Levi, Sobolev, Kondrachev et consortes. The corresponding spaces are
named after Sobolev.

2.1 W m,p and H m,p

Throughout this chapter denotes a domain or an open subset of Rn . Suppose
u C 1 (), where . Then integration by parts yields
Z Z
u
u(x) dx = (x) dx
xk xk

when C0 (). This formula is the starting point for the definition of weak
(distributional, generalized) partial derivatives.

Definition 14 Assume u L1loc () . We say that vk L1loc () is the weak partial

derivative of u with respect to xk in if
Z Z

u(x) dx = vk (x)(x) dx
xk

 
u u u
for all C01 (). We write vk = Dk u = xk
and u = x1
, . . . , xn
, provided the
weak derivatives exists.

The weak partial derivative is uniquely defined a.e. in (by the Variational
lemma). Notice the requirement that the weak derivative is a function (to which
Lebesgues theory applies), not merely a distribution. It is sufficient to consider
all C0 () in the integration-by-parts formula.
We say that the function u belongs to the SOBOLEV SPACE W 1,p (), if u
L p () and the weak partial derivatives

u u u
, ,...,
x1 x2 xn
1,p
exist and belong to Lp () . Here 1 p . We say that u Wloc () if
u W 1,p (U) for each open U . (In this case we may have kuk p, =

15
or kuk p, = .) For u W 1,p () we define the norm
n
X u
kukW 1,p () = kuk1,p, = kuk p, +
k=1
xk p,

Any equivalent norm, as

(Z ) 1p
p p
kuk = [|u| + |u| ] dx ,

will do. We say that uk u (strongly) in W 1,p (), if kuk ukW 1,p () 0. Provided
with this norm (or any equivalent norm) W 1,p () is a Banach space.
Example: Let u(x) = |x| for < x < . It is easily verified that
(
1, x > 0
v(x) =
1, x < 0
R R
is the weak derivative of u. Show that v dx = u dx! (We can set v(0) = 0
or v(0) = A or even v(0) = . Sets of measure zero do not count.)
Example: Let v(x) = 1, when x 0 and v(x) = 1, when x < 0. Then the weak
derivative of v does not exist in (2, 2), for example. The origin is the crucial
point. (Diracs delta is not a function.)
Higher weak derivatives are defined in a similar way. If = (1 , 2 , . . . , n ), =
(1 , 2, . . . , n ) are multi-indices, we write

|| = 1 + 2 + . . . + n , ! = 1 !2 ! . . . n !
! n !
! Y k
= = x = x1 1 x2 2 . . . xn n
( )!! k=1 k
1 +2 +...+n

D = D1 1 . . . Dn n = 1 2
x1 x2 . . . xn n
In this notation
!

X
D () = D D , LEIBNIZ RULE
0||||

X h
(x + h) = (x) + D (x) . TAYLORS FORMULA
0<||
!

16
If u L1loc() and v L1loc () are related by
Z Z
||
u(x) D (x) dx = (1) v (x)(x) dx

for all C0 (), we write v = D u. This is a weak derivative of order ||.

We say that u Wm,p (), if u Lp () and if D u exists and belongs to Lp ()
for each multi-index with || k. Provided with the norm
1p
X
Z


p


kukWm,p () = kukm,p, =
|D u| dx
,



||m

the Sobolev space Wm,p() is a Banach space. The term with index = (0, 0, . . . , 0)
1p
R p

is interpreted as . The integer m counts the order of the highest weak
|u| dx

derivative.

Theorem 15 Assume that u Wm,p () for some 1 p < . Then there exists a
sequence of functions k C () such that k u in Wm,p (), i.e.,
k
ku k kWm,p () 0.

About the proof. The case = Rn is relatively simple. The general case was is in
[A, pp.52-53]. Let us just mention that the proof4 uses the partition of unity.

Partition of unity
The partition of unity is frequently used in the theory of distributions. Suppose that

U j where each U j is open. Then there are functions C0 (Rn ) such that:
j=1

1) 0 1.

2) 1 (x) + 2 (x) + . . . = 1 at each point x in .

3) If K is any compact set, then only finitely many of the functions k are not
identically zero in K.
4
This was proved by N. Meyers and J. Serrin in 1964. However, this was not, as it were, the
first proof.

17
 4) Each j C0 (Uk ) for some k = k( j).
We define Hm,p () as the completion of C () in the norm k km,p, . Often H m
means H m,2 , p = 2 being the most important special case. To be more precise,
u Lp () belongs to the space Hm,p (), if there are functions i C () such
that i u in Lp () and D i is a Cauchy sequence in Lp () for each multi-index
, || m.
It is not difficult to see that D u exists, || m, if u Hm,p() . Moreover,
D i D in Lp () . The central result is [A, pp.52-53]:
Theorem 16 Hm,p() = Wm,p (), 1 p < , m = 1, 2, 3, . . .
There is also a characterization of the Sobolev space in terms of integrated
difference quotients. To this end, let ei = (0, . . . , 1, . . . , 0) denote the unit vector
in the ith direction. If u W 1,p (), then
Z  p Z
 u(x + hei ) u(x)  dx |Di u| p dx
 h 

for any subdomain , when 0 < h < dist( , ).

(For smooth functions this follows from the identity

Zh
(x + hei ) (x) 1
= Di (x1 , . . . , xi + t, . . . , xn ) dt
h h
0

and the general case follows by approximation.)

Remark: For smooth functions in convex domains the formula
Z1 " # Z1
d
(y) (x) = (x + t(y x)) dt = (y x) (x + t(y x)) dt
dt
0 0

is the source of many useful inequalities.

Theorem 17 Let u Lp (), 1 < p < . Suppose that for any subdomain
we have
Z  p
 u(x + hei ) u(x)  dx K p <
 h 

whenever 0 < h < dist( , ). Then the weak derivative Di u exists and kDi uk p,
K.

18
 Proof: See [GT, p.169].
In conclusion, there are three5 equivalent definitions for the Sobolev space:
I The definition based on the integration-by-parts formula.

II The definition based on approximation by smooth functions with respect to

the Sobolev norm.

III The characterization in terms of the integrability of difference quotients.

Often, II is used to prove auxiliary inequalities and imbedding theorems, III is
sometimes used to prove the existence of weak derivatives. But I is the Main
Definition.
When we say that u W 1,p () is, for example, continuous, we mean that there
exists a continuous function such that u(x) = (x) for a.e. x . Thus u can be
made continuous after a redefinition in a set of measure zero. (Remember that, in
general, functions in L p are defined only almost everywhere.)

2.2 The Space W01,p()

We wish to introduce functions with boundary values zero in Sobolevs sense.
Remember that functions in W 1,p () can be approximated by functions in C ()
with respect to the norm
n
X u
kuk1,p, = kuk p, + .
k=1
xk

If the approximation can be done using merely functions with compact support ,
then the function itself is in a closed subspace denoted by W01,p ().

Definition 18 Suppose that u W 1,p (). We say that u W01,p (), if, given > 0,
there is a function C0 () such that ku k1,p, < .

Hence W01,p () is the closure of C0 () with respect to the corresponding

Sobolev norm. Clearly,

C0p () W01,p () W 1,p ().

5
If is the whole space Rn , a further definition is possible. It is based on the Fourier transform.
There is also a more advanced theory based on Bessel potentials.

19
There are functions in W01,p (), that do not have compact support in . (Ex-
ample: n = 1, p = 2, =]0, [, u(x) = sin x, supp u = [0, ] .) If u
C() W 1,p () and if
lim u(x) = 0
x
x

at each boundary point , then u W01,p (). However, there are continu-
ous functions in the Sobolev space W01,p () that do not have the right boundary
values zero in the classical sense:
q
Example: = {x R3 | 0 < |x| < 1}. Here |x| = x21 + x22 + x23 . Then

1
u(x) = ln , x ,
|x|

is in W01,2 (). The origin is an isolated boundary point. We have

1
lim ln = + (, 0).
x0 |x|
(At all the other boundary points the function has the right boundary values in the
classical sense.)
Remark: Let Rn and suppose that p > n. Then every function in W01,p () is
continuous and takes the boundary values zero in the classical sense. (In applica-
tions, one usually has p = 2 < 3 n, unfortunately.)
An extremely important property of the space W01,p () is that it is closed even
under weak convergence. That is, if u1 , u2 , . . . belong to W01,p () and if ui u and
ui u weakly in Lp () (by definition u W 1,p ()), then u itself is in W01,p ().
Let f W 1,p () and suppose that u W 1,p (). We say that u has the boundary
values f in Sobolevs sense, if u f W01,p (). (Sometimes this is written as
u f + W01,p ().) There is a theory of so-called Trace Spaces like W k, () for
u
general boundary value problems. In particular,the normal derivative n makes sense.

Lemma 19 If u W01,p (), then the function u + 0Rn \ is in W01,p (Rn ).

If Rn , then the cases 1 p < n, p = n (the borderline case), and p > n

are very different in some essential estimates.

20
Theorem 20 (the Sobolev inequality) Suppose that u W01,p (), where is a
domain in Rn . If 1 p < n, then there is a constant C depending only on n and p
such that np 1p
np
Z np





Z
|u| np p . SOBOLEV
dx
C
|u| dx


p np
Thus u L (); p = np
= the Sobolev conjugate.

Proof: Extending u as zero outside we may assume that u W01,p (Rn ).

By approximation it is sufficient to prove the inequality for C0 (Rn ). Let
us, for instructive purposes, write down the proof in the two dimensional case
n = 2, x = (x1 , x2 ). Multiply
Zx1 Zx2
(t, x2) (x1 , t)
(x1 , x2 ) = dt, (x1 , x2 ) = dt,
x1 x2

to get
Z   Z  
2  (t , x
1 2 )  (x1 , t2 ) 
|(x1 , x2 )|   dt1   dt2 .
x1  x2 

Integrate with respect to x1 :

Z Z   Z Z
2  (t1 , x2 ) 
|(x1 , x2 )| dx1   dt1 |D2 | dx1 dx2 .
x1 

Integrate with respect to x2 :

" " " " !2
2
|| dx1 dx2 |D2 | dx1 dx2 |D2 | dx1 dx2 || dx1 dx2 .

Hence kk2 kk1. This proves the theorem in the case n = 2, p = 1.

For the general p, 1 < p < 2, set = || with > 1 as selected below. Then
the above inequality applied on yields
" " !2 " !2 1
2
" ! +1


HOLDER 2
||2 2 ||1 || 2 ||2 || +1

21
 2p
for > 1. Take 2 = 2p
. Then, after some arithmetic,
" ! 2p
p
" ! 2p
2p
2 p
|| 2p || .

This is the desired inequality for 1 < p < n = 2.

See [EG, pp.138-140] or [GT, pp.155-156] for general n. A proof can also be
based on the formula Z
1 (x y) u(y)
u(x) = dy
n |x y|n
valid for u W01,1 (). 
Remark: The case n < p < . Let u W 1,p (), p > n. For each cube Q
we have
2pn n
|u(x) u(y)| |x y|1 p kuk p,Q
pn
for a.e. x, y Q. Hence u is locally Holder continuous in with Holder exponent
= 1 np . If is bounded, then u C() and kuk, C| |1/n1/p kuk p, .
The case p = n (borderline case6 ) is very special.
For functions in W 1,p (but not in W01,p ) the corresponding inequalities are more
involved than the Sobolev inequality and they do require some additional regular-
ity of the domain in question (balls, cubes, domains, smooth domains, Lipschitz
domains etc).
1) 1 < p < n, u W 1,p (Q), Q = a cube in Rn . Then
n1
kuk p ,Q p kuk p,Q + |Q|1/n kuk p,Q
n
np
(The gain is that p = np
> p.)

2) Poincares inequality for u W 1,p (), 1 p < .

Z Z
p p/n
|u(x) u | dx C(n, p)| | |u(x)| p dx.

6
The Trudinger-Moser inequality
Z !n/(n1)
|u|
exp dx C mes()
ckukn
holds.

22
 1
R
Here is a convex domain and u = ||
u(x) dx is the average of u over

.
3) Poincare-Sobolev: 1 p < n, u W 1,p (), = convex.
np 1/p
Z np
np Z
p
|u(x) u | dx Cn,p |u(x)| dx
np

These inequalities constitute the main bulk in the Sobolev Imbedding Theorem.
For example, Lq () W01,p (), if q = p , and, for a domain of finite Lebesgue
measure, this is valid if 1 q p . The Rellich-Kondrachev theorem is even
stronger.

Theorem 21 (Rellich7 -Kondrachev) Let be an arbitrary bounded domain in Rn

and consider the space W01,p ().
1 p < n. Then W01,p () is compactly imbedded in Lq (), where 1 q <
p = np
np
(q need not be conjugate to p). In practical terms, if ui W01,p (), and

kui k1,p, M, i = 1, 2, . . . ,

then there exists a function u W01,p () and a subsequence such that

ku ui kq, 0 as i

for each fixed q, 1 q < p .

p > n. Then W01,p () is compactly imbedded in C (),
= 1 n . Now
p

|u(x) u(y)| K|x y| .

p = n. This is the borderline case.

The same is true for W 1,p (), if the boundary of is sufficiently regular.

Remarks:
The functions, not their derivatives, converge strongly in Lq ().

The convergence ui u need not be strong in L p (), but ui u weakly

also in L p ().
7
The case p = 2 is credited to Rellich.

23
2.3 About W 1,p
The first order Sobolev space has some special properties not valid for higher derivatives.
1,p
If u Wloc (), so does u+ and u . As usually, u = u+ u , |u| = u+ + u . Hence,
1,p
|u| Wloc (). We have
u, when u > 0,


u+ =
0, when u 0,

with similar rules for u and |u|. For example, for |u| we use
Z Z
2 2 1/2 u u
(u + ) dx = 2 dx ( , 0).
(u + 2 )1/2
The passage to the limit under the integral sign can be justified [R, Ch.4,Thm.6]. Now
|u u |(u1 + 2 )1/2 |u |.
Finally, letting 0, we have by the Dominated Convergence Theorem
Z Z h i
|u| dx = 1{u>0} 1{u<0} + 0{u=0} u dx

i.e., |u| = u, when u > 0, = u, when u < 0, and = 0, when u = 0.

Lemma 22 Let u W 1,p (). Then u = 0 a.e. on any set where u is constant.
Lemma 23 u, v W 1,p () = max{u, v}, min{u, v} W 1,p ().

The last lemma is not true with W 1,p replaced by W k,p , if k 2. Example!?

3 The equation u = 4u3 + f (x), 0

Let be a bounded domain in Rn . Suppose that f L () and that 0 is , for
simplicity, a constant. Fix a function W 1,2 (). Usually, is continuous even
It represents the boundary values.
in .
Problem: Minimize the variational integral
Z " #
1 2 4
I(u) = |u| + u + f (x)u dx
2

among all u W 1,2 () with boundary values (in Sobolevs sense, i.e., u
W01,2 ()).
The problem is interesting even for the case 0. Before proving the exis-
tence of a unique solution, let us observe that

24
[I]
The function u W 1,2 (), u W01,2 (), is minimizing if and only if
Z h i
u + 4u3 + f (x) dx = 0 EULER-LAGRANGE EQN in weak form

for all test-functions W01,2 (). (Hence a partial integration and the Variational
lemma leads to the Eqn
u = 4u3 + f (x),
provided that u has a second derivatives.)
To see this, note that for any real number
Z Z
3 1 2
I(u + ) = I(u) + [u + 4u + f (x)] dx + ||2 dx
Z 2
2
+ (6u2 2 + 4u3 +4 2 ) dx

() Suppose that u is minimizing. The u(x) + (x) is admissible, and

I(u + ) I(u)
R
by assumption. We must have (u + 4u3 + f (x)) = 0. (If I(u) +
J + 2 (. . .) attains its minimum for = 0, then J = 0!!!)

() If Eulers equation in weak form holds, then

Z Z
1
I(u + 1) = I(u) + 0 + || dx + 2 [u2 6 + 4u + 2 ] dx I(u),
2
2

since ||2 0 and 6u2 +4u+2 2u2 0. This means that I(u+) I(u),
in other words u is minimizing. (Any admissible function v can be written
as v = u + (v u), v u = W01,2 ().)

[II]
The minimizing function u is unique (if it exists). Suppose that there are two
solutions, say u1 and u2 . Then u1 u2 and u2 u1 are in W01,2 (). Choose the test

25
function = u2 u1 in the Euler equation for u2 and the test function u1 u2 in
the Euler equation for u1 . Adding the two equations we get (DO IT)
(u1 u2 )2 1 (u2 +u2 )
Z Z z }|2 1 2 {
|u1 u2 |2 dx + 4 (u3 u32 )(u1 u2 ) dx = 0.
| 1 {z }
0

Hence the first integral is zero and so u1 = u2 a.e. in . Thus u1 u2 is constant

a.e. in (you may wish to prove this in Sobolevs space). The boundary values
will force this constant to be zero. This shows that u1 = u2 .

[III]
There exists a minimizing function u. We need some estimates to begin with.
Now
Z  Z Z 
 f (x)v dx =  f (x)(v ) dx +  HOLDER
   f (x) dx  k f k2kv k2 + k f k1
SOBOLEV
k f k2C k(v )k2 + k f k1
k f k2C kvk2 + k f k2C kk2 + k f k1
= Akvk2 + B

for all v. This means that

1  A
I(v) kvk2 kvk2 B
2 2
A 2
and so I(v) 32 B. Hence we have

< Inf I(v) I() < +.

v

Observe also that, for example,

A
kvk2 max{2 + , B + I(v)} I(v).
2
By the definition of the infimum, there are admissible functions u1 , u2 , u3, . . .
such that
lim I(ui ) = I0 = inf I(v).
i

26
This is called a minimizing sequence. We may assume that

I0 I(ui ) < I0 + 1.

By the above bound

n o
kui k2 max 2 + A2 , 1 + B + I0 = K

for all i = 1, 2, 3, . . . Now

kui k2 kk2 + kui k2 kk2 + C kui k2 kk2 + C K + C kk2

for all i = 1, 2, 3, . . . By the weak compactness of L2 () there are functions u and

w in L2 () such that
ui u, ui w
weakly in L2 (). We must have that w = u and u W 1,p (). Since ui
W01,p (), so does u . Now we claim that I(u) = I0 , that is, u is the solution.
It is sufficient to establish that

I(u) lim I(u )

v

since I(u) I0 (u is admissible!). First,

Z Z Z
2 2
|ui | dx |u| dx + 2 u (ui u) dx

| {z }
0
by the weak
convergence in L2 ()

and so Z Z
2
lim |ui | dx |u|2 dx.

By the Rellich-Kondrachev theorem ui u strongly in L2 () at least

for some subsequence. Hence, passing again to some subsequence, we have that
ui (x) u(x) at a.e. point x . Thus
Z Z
u dx lim u4i dx
4

27
by Fatous Lemma, at least for a subsequence. Finally,
Z Z
f (x)ui dx f (x)u dx

by weak convergence. Collecting results, we have the desired semicontinuity. 

1) Is u continuous? What about u C 2 (), that is, is u a classical solution?

This is REGULARITY THEORY (de Giorgi, Moser, Nash).

2) Are the boundary values attained in the classical sense; lim u(x) = (x),
x
x
? (This is true only in regular domains.)

3) Stability? What do small changes of the data cause?

References
[A] R. Adams, Sobolev Spaces, Academic Press, New York 1975.

[EG] L. Evans & R. Gariepy, Measure Theory and Fine Properties of Functions,
CRC Press, Boca Raton 1992.

[G] E. Giusti, Direct Methods in the Calculus of Variations, World Scientific,

Singapore 2003.

[GT] D. Gilbarg & N. Trudinger, Elliptic Partial Differential Equations of Sec-

ond Order, 2nd Ed., Springer-Verlag, Berlin 1983.

[J] J. Jost, Partial Differential Equations, Springer, New York 2002. Chapter
7.

[LL] E. Lieb & M. Loss, Analysis, American Mathematical Society, Providence

1977.

[R] H. Royden, Real Analysis, 2nd Ed., MacMillan, New York 1970.

[S] S. Sobolev, Applications of Functional Analysis in Mathematical Physics,

Translations of Mathematical Monographs, American Mathematical Society,
Providence 1963, pp.25-28.

28