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Following is an excerpt from Pg. $58$, Section $5.4$ (The Poisson kernel and Dirichlet's problem in the unit disc) in Stein and Shakarchi's Fourier Analysis. I do not see how the existence of continuous derivatives allows us to swap the integral with the (second) derivative. Note that the book assumes no background in Measure Theory, so the authors are likely not deducing this from results such as Lebesgue's DCT. All integrals are Riemann integrals.


So far, we have proved that: Let $f$ be an integrable function on the circle. Then, the function $u$ defined in the unit disc by the Poisson integral $u(r,\theta) = (f\ast P_r)(\theta)$ has two continuous derivatives in the unit disc, satisfies $\triangle u = 0$, and if $f$ is continuous at $\theta$, then $\lim_{r\to 1} u(r,\theta) = f(\theta)$. If $f$ is continuous everywhere, then this limit is uniform.

We wish to show that if $f$ is continuous, then $u(r, \theta)$ is the unique solution to the steady-state heat equation in the disc which satisfies the conditions above. This is stated as (iii) in the text. Now, please follow the argument below.

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Q1. How does the existence of a continuous derivative ensure that we can swap the integral with the derivative?

Q2. Where exactly is the author swapping $\int$ with the derivative?

Note that the authors are strictly restricting all integrals to Riemann integrals, so this should be deducible without Lebesgue's DCT.

Thanks a lot for your insights!


Note:

  1. $v$ satisfies the steady-state heat equation, $\triangle v = \frac{\partial^2 v}{\partial r^2} + \frac{1}{r} \frac{\partial v}{\partial r} + \frac{1}{r^2} \frac{\partial^2 v}{\partial\theta^2} = 0$.
  2. $P_r$ is the Poisson kernel for $0 \le r < 1$.
  • Can you write down equation $(8)$, please? Since you are integrating with respect to $\theta$ I do not see how to interchange integration and taking the derivative (wrt $\theta$), so I'm a bit confused regarding what you are after here. Or is there any derivative wrt to $r$ involved, which you are not showing? – Thomas Dec 08 '21 at 16:54
  • Check here: https://math.stackexchange.com/questions/2530213/when-can-we-interchange-integration-and-differentiation – William M. Dec 08 '21 at 17:35
  • Thanks, @WillM. - that's helpful. However, I do not see where exactly the author is swapping the two. – stoic-santiago Dec 08 '21 at 17:40
  • Use Leibniz's rule of swapping operator with $f = \partial_\theta v$ and $\partial f = \partial_\theta^2 v.$ – William M. Dec 08 '21 at 17:42
  • @WillM. See Thomas's comment above, it does not make sense if we consider derivatives w.r.t. $\theta$ (the variable of integration). Are you suggesting derivatives w.r.t. $r$, of the equation $2\pi a_n(r) = \int_{-\pi}^\pi v(r,\theta) e^{-in\theta} d\theta$? Followed by using $\triangle v = \frac{\partial^2 v}{\partial r^2} + \frac{1}{r} \frac{\partial v}{\partial r} + \frac{1}{r^2} \frac{\partial^2 v}{\partial\theta^2} = 0$? – stoic-santiago Dec 08 '21 at 17:46
  • @Thomas Please see my edits and the discussion above. – stoic-santiago Dec 08 '21 at 17:47

2 Answers2

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We're swapping the derivatives with respect to $r$ with the integral. We do exactly what the text tells us: multiply $(7)$ by $e^{-in\theta}$, then integrate with respect to $\theta$, and then divide the whole thing by $2\pi$. Then, we use split up the sum into three pieces and use Leibniz's integral rule on the first two terms: \begin{align} 0&=\frac{1}{2\pi}\int_{-\pi}^{\pi}\left(\frac{\partial ^2v}{\partial r^2}+ \frac{1}{r}\frac{\partial v}{\partial r}+\frac{1}{r^2}\frac{\partial^2v}{\partial \theta^2}\right)e^{-in\theta}\,d\theta\\ &=\frac{d^2}{dr^2}\left(\frac{1}{2\pi}\int_{-\pi}^{\pi}v(r,\theta)e^{-in\theta}\,d\theta\right)\\ &+ \frac{1}{r}\frac{d}{dr}\left(\frac{1}{2\pi}\int_{-\pi}^{\pi}v(r,\theta)e^{-in\theta}\,d\theta\right)\\ &+ \frac{1}{r^2}\left(\frac{1}{2\pi}\int_{-\pi}^{\pi}\frac{\partial^2v}{\partial \theta^2}e^{-in\theta}\,d\theta\right)\\ &=a_n''(r)+\frac{a_n'(r)}{r}+\frac{1}{r^2}\left((-1)^2\frac{1}{2\pi}\int_{-\pi}^{\pi}v(r,\theta)\frac{d^2}{d\theta^2}(e^{-in\theta})\,d\theta\right)\\ &=a_n''(r)+\frac{a_n'(r)}{r}+\frac{1}{r^2}(-n^2a_n(r)) \end{align} The $(-1)^2$ terms is due to integration by parts twice; also due to periodicity of $v$ with respect to $\theta$, there are no boundary terms coming from the integration by parts. The $(-n^2)$ comes from differentiating the exponential twice (we bring down the factor $(-in)^2=-n^2$). This proves that $a_n$ satisfies the ODE given by equation $(8)$.


As much as I would like to appeal to Lebesgue's DCT to justify the interchange of derivatives with respect to $r$ and the integral, I certainly understand you wanting a more elementary argument, though I find it surprising that this isn't justified somewhere in Stein and Shakarchi's book. Below is a simple enough statement and proof of Leibniz's integral theorem:

Leibniz's Differentiation Theorem:

Let $f:[a,b]\times [c,d]\to\Bbb{R}$ be a continuous function with $\partial_1f\equiv \frac{\partial f}{\partial x}:[a,b]\times [c,d]\to\Bbb{R}$ also continuous. The function $F:[a,b]\to\Bbb{R}$ defined by \begin{align} F(x)&:=\int_c^df(x,t)\,dt \end{align} is continuously differentiable, and for each $x\in [a,b]$, we have \begin{align} F'(x)&=\int_c^d\frac{\partial f}{\partial x}(x,t)\,dt \end{align}

Some remarks: this is of course far from general, but this is usually sufficient when dealing with many of the simple examples, and this only requires basic single-variable Riemann integrals, the single-variable mean-value theorem for derivatives, and the fact that continuity on a compact set ($[a,b]\times [c,d]$) implies uniform continuity. Also, one typically defines derivatives for functions defined on open sets, but here since we're dealing with partial derivatives on a closed rectangle, this is easy to define: we're just requiring that for each $t\in [c,d]$, the function $f(\cdot, t):[a,b]\to\Bbb{R}$, $x\mapsto f(x,t)$ is differentiable, with appropriate one-sided derivatives interpretation at the endpoints $a$ and $b$.

Also, clearly, the more continuous partials we have, the more times we can differentiate under the integral sign (this is a simple induction), so in your case, you're assuming $v$ is $C^2$, so you can certainly apply this result twice. Now onto the proof.

Proof:

Fix $x_0\in [a,b]$. Let $\epsilon>0$, and choose a corresponding $\delta>0$ using uniform continuity of $\frac{\partial f}{\partial x}$ on $[a,b]$. Then, for any $h\in\Bbb{R}$ with $0<|h|<\delta$ and $x_0+h\in [a,b]$, we have \begin{align} \left|\frac{F(x_0+h)-F(x_0)}{h}-\int_c^d\frac{\partial f}{\partial x}(x_0,t)\,dt\right| &\leq \int_c^d\left|\frac{f(x_0+h,t)-f(x_0,t)}{h}- \frac{\partial f}{\partial x}(x_0,t)\right|\,dt\\ &=\int_c^d\left|\frac{\partial f}{\partial x}(\xi_{x_0,h,t},t)- \frac{\partial f}{\partial x}(x_0,t)\right|\,dt\\ &\leq \int_c^d\epsilon\,dt\\ &=\epsilon(d-c) \end{align} Note that in the middle, for each $t\in [c,d]$, we used the mean-value theorem on the function $f(\cdot,t)$ on the interval joining $x_0$ and $x_0+h$ to find some point $\xi_{x_0,h,t}$ (note that this depends on $x_0,h$ and also $t$, which is why this proof utilizes uniform continuity) in the open interval interval between $x_0+h$ and $x_0$. Now, since $\epsilon>0$ was arbitrary, and the point $x_0\in [a,b]$ was arbitrary, this shows $F$ is a differentiable function with the derivative as stated. Finally, $F'$ is continuous because it is the integral of a continuous function on a compact rectangle.

For the sake of completeness, here's the theorem about continuity of integrals:

Continuity Theorem:

If $K$ is a compact metric space and $g:K\times [c,d]\to\Bbb{R}$ is continuous (hence uniformly continuous), then the integrated function $G:K\to\Bbb{R}$, $G(x):=\int_c^dg(x,t)\,dt$ is (uniformly) continuous on $K$.

The proof is a two-liner. Given $\epsilon>0$, choose $\delta>0$ according to uniform continuity of $g$ on the compact metric space $K\times [c,d]$. Then, for any $x,y\in K$ with distance at most $\delta$, we have \begin{align} |G(x)-G(y)|&\leq\int_c^d|g(x,t)-g(y,t)|\,dt\leq \epsilon(d-c), \end{align} so arbitrariness of $\epsilon$ shows $G$ is uniformly continuous.

peek-a-boo
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Integration by parts give $$ \int\limits_{-\pi}^\pi d\theta\ \partial^2_\theta v e^{-in\theta} = e^{-in\theta} \partial_\theta v \Bigg|_{-\pi}^\pi + n\int\limits_{-\pi}^\pi d\theta\ \partial_\theta v e^{-in\theta} = -2\pi n^2 a_n(r). $$ You also use the PDE and Leibniz rule to get $$ \int\limits_{-\pi}^\pi d\theta\ \partial_\theta^2 v e^{-in\theta} = -r^2 \partial_r^2 \int\limits_{-\pi}^\pi d\theta v(r, \theta) e^{-in\theta} - r \partial_r\int\limits_{-\pi}^\pi d\theta\ v(r, \theta) e^{-in\theta} = -2\pi \big(r^2 a_n''(r)+ r a_n'(r) \big). $$

Equation (8) of the book follows.

Cheers,

William M.
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  • I guess it is very misleading how they wrote the last sentence. I would add: "Next, use the PDE and rewrite $\partial_\theta^2 v$ in terms of $\partial_r v$ and $\partial_r^2 v.$ Finally, ..." – William M. Dec 08 '21 at 18:24