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Let be a compact interval of positive length (thus
). Recall that a function
is said to be differentiable at a point
if the limit
exists. In that case, we call the strong derivative, classical derivative, or just derivative for short, of
at
. We say that
is everywhere differentiable, or differentiable for short, if it is differentiable at all points
, and differentiable almost everywhere if it is differentiable at almost every point
. If
is differentiable everywhere and its derivative
is continuous, then we say that
is continuously differentiable.
Remark 1 Much later in this sequence, when we cover the theory of distributions, we will see the notion of a weak derivative or distributional derivative, which can be applied to a much rougher class of functions and is in many ways more suitable than the classical derivative for doing “Lebesgue” type analysis (i.e. analysis centred around the Lebesgue integral, and in particular allowing functions to be uncontrolled, infinite, or even undefined on sets of measure zero). However, for now we will stick with the classical approach to differentiation.
Exercise 2 If
is everywhere differentiable, show that
is continuous and
is measurable. If
is almost everywhere differentiable, show that the (almost everywhere defined) function
is measurable (i.e. it is equal to an everywhere defined measurable function on
outside of a null set), but give an example to demonstrate that
need not be continuous.
Exercise 3 Give an example of a function
which is everywhere differentiable, but not continuously differentiable. (Hint: choose an
that vanishes quickly at some point, say at the origin
, but which also oscillates rapidly near that point.)
In single-variable calculus, the operations of integration and differentiation are connected by a number of basic theorems, starting with Rolle’s theorem.
Theorem 4 (Rolle’s theorem) Let
be a compact interval of positive length, and let
be a differentiable function such that
. Then there exists
such that
.
Proof: By subtracting a constant from (which does not affect differentiability or the derivative) we may assume that
. If
is identically zero then the claim is trivial, so assume that
is non-zero somewhere. By replacing
with
if necessary, we may assume that
is positive somewhere, thus
. On the other hand, as
is continuous and
is compact,
must attain its maximum somewhere, thus there exists
such that
for all
. Then
must be positive and so
cannot equal either
or
, and thus must lie in the interior. From the right limit of (1) we see that
, while from the left limit we have
. Thus
and the claim follows.
Remark 5 Observe that the same proof also works if
is only differentiable in the interior
of the interval
, so long as it is continuous all the way up to the boundary of
.
Exercise 6 Give an example to show that Rolle’s theorem can fail if
is merely assumed to be almost everywhere differentiable, even if one adds the additional hypothesis that
is continuous. This example illustrates that everywhere differentiability is a significantly stronger property than almost everywhere differentiability. We will see further evidence of this fact later in these notes; there are many theorems that assert in their conclusion that a function is almost everywhere differentiable, but few that manage to conclude everywhere differentiability.
Remark 7 It is important to note that Rolle’s theorem only works in the real scalar case when
is real-valued, as it relies heavily on the least upper bound property for the domain
. If, for instance, we consider complex-valued scalar functions
, then the theorem can fail; for instance, the function
defined by
vanishes at both endpoints and is differentiable, but its derivative
is never zero. (Rolle’s theorem does imply that the real and imaginary parts of the derivative
both vanish somewhere, but the problem is that they don’t simultaneously vanish at the same point.) Similar remarks to functions taking values in a finite-dimensional vector space, such as
.
One can easily amplify Rolle’s theorem to the mean value theorem:
Corollary 8 (Mean value theorem) Let
be a compact interval of positive length, and let
be a differentiable function. Then there exists
such that
.
Proof: Apply Rolle’s theorem to the function .
Remark 9 As Rolle’s theorem is only applicable to real scalar-valued functions, the more general mean value theorem is also only applicable to such functions.
Exercise 10 (Uniqueness of antiderivatives up to constants) Let
be a compact interval of positive length, and let
and
be differentiable functions. Show that
for every
if and only if
for some constant
and all
.
We can use the mean value theorem to deduce one of the fundamental theorems of calculus:
Theorem 11 (Second fundamental theorem of calculus) Let
be a differentiable function, such that
is Riemann integrable. Then the Riemann integral
of
is equal to
. In particular, we have
whenever
is continuously differentiable.
Proof: Let . By the definition of Riemann integrability, there exists a finite partition
such that
for every choice of .
Fix this partition. From the mean value theorem, for each one can find
such that
and thus by telescoping series
Since was arbitrary, the claim follows.
Remark 12 Even though the mean value theorem only holds for real scalar functions, the fundamental theorem of calculus holds for complex or vector-valued functions, as one can simply apply that theorem to each component of that function separately.
Of course, we also have the other half of the fundamental theorem of calculus:
Theorem 13 (First fundamental theorem of calculus) Let
be a compact interval of positive length. Let
be a continuous function, and let
be the indefinite integral
. Then
is differentiable on
, with derivative
for all
. In particular,
is continuously differentiable.
Proof: It suffices to show that
for all , and
for all . After a change of variables, we can write
for any and any sufficiently small
, or any
and any sufficiently small
. As
is continuous, the function
converges uniformly to
on
as
(keeping
fixed). As the interval
is bounded,
thus converges to
, and the claim follows.
Corollary 14 (Differentiation theorem for continuous functions) Let
be a continuous function on a compact interval. Then we have
for all
,
for all
, and thus
for all
.
In these notes we explore the question of the extent to which these theorems continue to hold when the differentiability or integrability conditions on the various functions are relaxed. Among the results proven in these notes are
- The Lebesgue differentiation theorem, which roughly speaking asserts that Corollary 14 continues to hold for almost every
if
is merely absolutely integrable, rather than continuous;
- A number of differentiation theorems, which assert for instance that monotone, Lipschitz, or bounded variation functions in one dimension are almost everywhere differentiable; and
- The second fundamental theorem of calculus for absolutely continuous functions.
The material here is loosely based on Chapter 3 of Stein-Shakarchi. Read the rest of this entry »
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