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Proof of The Slice Average of a Continuous Periodic Function

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Β· 32,949 chars Β· 38 deps Β· depth 25 Reason: First publication: proof of the properties of the slice average, including the invariance of the integral over the unit cell, obtained from the Tonelli theorem applied so that the integral in the averaged coordinate is innermost.

The slice average is analysed through six preliminaries on slices of continuous maps, zero extensions and nonnegative integrals; the identity for the integral over the cell is obtained from the Tonelli theorem, applied so that the integral in the averaged coordinate is innermost, after checking that the inner integrals of a function and of its slice average coincide.

Proof

Each result cited is universally quantified over the data in its own statement, and is applied here to the data named below. We use silently that the order of R\mathbb{R} is reflexive, transitive and antisymmetric, that equal real numbers satisfy ≀\le in both directions, and that x<yx<y entails x≀yx\le y.

A member ww of CperC_{\mathrm{per}} is, by Lattice-Periodic Functions and the Periodic Function Classes §classes, a map Rn→R\mathbb{R}^{n}\to\mathbb{R} that is continuous from (Rn,dE)(\mathbb{R}^{n},d_{E}) to (R,dR)(\mathbb{R},d_{\mathbb{R}}) and Zn\mathbb{Z}^{n}-periodic; we use this reading throughout without further comment.

(P0) The slice displacement. Let x∈Rnx\in\mathbb{R}^{n}, let i∈[n]i\in[n] and let s,sβ€²βˆˆRs,s'\in\mathbb{R}. Then βˆ₯x[i:s]βˆ’x[i:sβ€²]βˆ₯=∣sβˆ’sβ€²βˆ£\lVert x[i{:}s]-x[i{:}s']\rVert=|s-s'|.

Indeed, the point z=x[i:s]βˆ’x[i:sβ€²]z=x[i{:}s]-x[i{:}s'] has kkth coordinate xkβˆ’xk=0x_{k}-x_{k}=0 for every k∈[n]k\in[n] with kβ‰ ik\ne i, and iith coordinate sβˆ’sβ€²s-s'. By claim 1 of Elementary Properties of the Euclidean Norm on Rn\mathbb{R}^n, βˆ₯zβˆ₯2=βˆ‘k=1nzk2\lVert z\rVert^{2}=\sum_{k=1}^{n}z_{k}^{2}. The map k↦zk2k\mapsto z_{k}^{2} on [n][n] vanishes at every kβ‰ ik\ne i, so by claim 1 of Properties of a Sum over a Finite Index Set, claim 4 of Peeling, Splitting, and Interchange for Sums over a Finite Index Set applied with the nonempty subset {i}\{i\} of [n][n], and claim 1 of that peeling lemma, this sum equals zi2=(sβˆ’sβ€²)2z_{i}^{2}=(s-s')^{2}. Now ∣sβˆ’sβ€²βˆ£|s-s'| equals sβˆ’sβ€²s-s' or βˆ’(sβˆ’sβ€²)-(s-s') by claim 1 of Properties of the Absolute Value in an Ordered Field, so in either case ∣sβˆ’sβ€²βˆ£β‹…βˆ£sβˆ’sβ€²βˆ£=(sβˆ’sβ€²)2|s-s'|\cdot|s-s'|=(s-s')^{2}. Thus βˆ₯zβˆ₯\lVert z\rVert and ∣sβˆ’sβ€²βˆ£|s-s'| are both nonnegative and have the same square, so they are equal by Existence and Uniqueness of the Nonnegative Square Root.

(P1) Slices of continuous maps are continuous. Let g:Rnβ†’Rg:\mathbb{R}^{n}\to\mathbb{R} be continuous, let x∈Rnx\in\mathbb{R}^{n} and let i∈[n]i\in[n]. Then the map gi,x:Rβ†’Rg_{i,x}:\mathbb{R}\to\mathbb{R} given by gi,x(s)=g(x[i:s])g_{i,x}(s)=g(x[i{:}s]) is continuous from (R,dR)(\mathbb{R},d_{\mathbb{R}}) to (R,dR)(\mathbb{R},d_{\mathbb{R}}).

Indeed, let s0∈Rs_{0}\in\mathbb{R} and let Ξ΅\varepsilon be a real number with 0<Ξ΅0<\varepsilon. By Continuous Map Between Metric Spaces, applied to gg at the point x[i:s0]x[i{:}s_{0}], there is a real Ξ΄>0\delta>0 such that every y∈Rny\in\mathbb{R}^{n} with βˆ₯yβˆ’x[i:s0]βˆ₯<Ξ΄\lVert y-x[i{:}s_{0}]\rVert<\delta satisfies ∣g(y)βˆ’g(x[i:s0])∣<Ξ΅|g(y)-g(x[i{:}s_{0}])|<\varepsilon. Let s∈Rs\in\mathbb{R} with ∣sβˆ’s0∣<Ξ΄|s-s_{0}|<\delta. By (P0), βˆ₯x[i:s]βˆ’x[i:s0]βˆ₯=∣sβˆ’s0∣<Ξ΄\lVert x[i{:}s]-x[i{:}s_{0}]\rVert=|s-s_{0}|<\delta, so ∣gi,x(s)βˆ’gi,x(s0)∣<Ξ΅|g_{i,x}(s)-g_{i,x}(s_{0})|<\varepsilon. As s0s_{0} and Ξ΅\varepsilon were arbitrary, gi,xg_{i,x} is continuous by Continuous Map Between Metric Spaces.

(P2) The displacement bound. Let y,z∈Rny,z\in\mathbb{R}^{n}, let i∈[n]i\in[n] and let s∈Rs\in\mathbb{R}. Then βˆ₯y[i:s]βˆ’z[i:s]βˆ₯≀βˆ₯yβˆ’zβˆ₯\lVert y[i{:}s]-z[i{:}s]\rVert\le\lVert y-z\rVert.

Indeed, put ck=(ykβˆ’zk)2c_{k}=(y_{k}-z_{k})^{2} for k∈[n]k\in[n] with kβ‰ ik\ne i and ci=0c_{i}=0, and dk=(ykβˆ’zk)2d_{k}=(y_{k}-z_{k})^{2} for every k∈[n]k\in[n]. By claim 1 of Elementary Properties of the Euclidean Norm on Rn\mathbb{R}^n, βˆ₯y[i:s]βˆ’z[i:s]βˆ₯2=βˆ‘k=1nck\lVert y[i{:}s]-z[i{:}s]\rVert^{2}=\sum_{k=1}^{n}c_{k} and βˆ₯yβˆ’zβˆ₯2=βˆ‘k=1ndk\lVert y-z\rVert^{2}=\sum_{k=1}^{n}d_{k}, the iith coordinate of y[i:s]βˆ’z[i:s]y[i{:}s]-z[i{:}s] being sβˆ’s=0s-s=0. Each dkd_{k} is nonnegative: writing t=ykβˆ’zkt=y_{k}-z_{k} we have t2=∣tβˆ£β‹…βˆ£t∣t^{2}=|t|\cdot|t| as in (P0), and 0β‰€βˆ£t∣0\le|t| by claim 1 of Properties of the Absolute Value in an Ordered Field, so 0=∣tβˆ£β‹…0β‰€βˆ£tβˆ£β‹…βˆ£t∣0=|t|\cdot 0\le|t|\cdot|t| by claim 1 of Zero Products and Elementary Identities in a Field and claim 5 of Elementary Arithmetic in an Ordered Field. Hence ck≀dkc_{k}\le d_{k} for every k∈[n]k\in[n], and claim 1 of Comparison and Absolute Value Bounds for Finite Sums of Real Numbers gives βˆ₯y[i:s]βˆ’z[i:s]βˆ₯2≀βˆ₯yβˆ’zβˆ₯2\lVert y[i{:}s]-z[i{:}s]\rVert^{2}\le\lVert y-z\rVert^{2}. Write A=βˆ₯y[i:s]βˆ’z[i:s]βˆ₯A=\lVert y[i{:}s]-z[i{:}s]\rVert and B=βˆ₯yβˆ’zβˆ₯B=\lVert y-z\rVert, both nonnegative. From A2≀B2A^{2}\le B^{2} and Properties of Real Powers of Nonnegative Real Numbers Β§inverse, applied with exponent 22 in the form s2≀tβ€…β€ŠβŸΊβ€…β€Šs≀t1/2s^{2}\le t\iff s\le t^{1/2} with t=B2t=B^{2}, we get A≀(B2)1/2A\le(B^{2})^{1/2}; and (B2)1/2=B(B^{2})^{1/2}=B by the identity (t2)1/2=t(t^{2})^{1/2}=t of that same clause. Hence A≀BA\le B.

(P3) Zero extensions of continuous maps. Let g:Rβ†’Rg:\mathbb{R}\to\mathbb{R} be continuous from (R,dR)(\mathbb{R},d_{\mathbb{R}}) to (R,dR)(\mathbb{R},d_{\mathbb{R}}) and let g~:Rβ†’R\tilde{g}:\mathbb{R}\to\mathbb{R} take the value g(s)g(s) at s∈[0,1]s\in[0,1] and the value 00 at every s∈Rs\in\mathbb{R} with sβˆ‰[0,1]s\notin[0,1]. Then g~\tilde{g} is measurable with respect to B(R)\mathcal{B}(\mathbb{R}) and integrable with respect to Ξ»\lambda.

Indeed, the restriction hh of gg to [0,1][0,1] is continuous as a map from the subset [0,1][0,1] of (R,dR)(\mathbb{R},d_{\mathbb{R}}) into (R,dR)(\mathbb{R},d_{\mathbb{R}}): for a point of [0,1][0,1] and a real Ξ΅>0\varepsilon>0, any Ξ΄\delta witnessing the continuity of gg there also witnesses that of hh, since the requirement is imposed at fewer points. The zero extension of hh in the sense of Agreement of the Riemann and Lebesgue Integrals for Continuous Functions on a Closed Interval is exactly g~\tilde{g}, so claim 2 of that lemma, applied with a=0a=0 and b=1b=1, gives the assertion.

(P4) The indicators of [0,1][0,1] and [0,1)[0,1). Let [0,1)={s∈R:0≀sΒ andΒ s<1}[0,1)=\{s\in\mathbb{R}:0\le s\text{ and }s<1\}. Then [0,1][0,1] and [0,1)[0,1) belong to B(R)\mathcal{B}(\mathbb{R}), their indicators 1[0,1]\mathbf{1}_{[0,1]} and 1[0,1)\mathbf{1}_{[0,1)} are measurable with respect to B(R)\mathcal{B}(\mathbb{R}) and integrable with respect to Ξ»\lambda, and

∫R1[0,1] dΞ»=Ξ»([0,1])=1,∫R1[0,1) dΞ»=Ξ»([0,1))=1.\int_{\mathbb{R}}\mathbf{1}_{[0,1]}\,d\lambda=\lambda([0,1])=1,\qquad\int_{\mathbb{R}}\mathbf{1}_{[0,1)}\,d\lambda=\lambda([0,1))=1 .

Moreover Ξ»({1})=0\lambda(\{1\})=0.

Indeed, [0,1][0,1], [0,1)[0,1) and {1}\{1\} are intervals with endpoints 0≀10\le1, 0≀10\le1 and 1≀11\le1 respectively, the last because {1}\{1\} is the closed interval determined by 11 and 11; they lie in B(R)\mathcal{B}(\mathbb{R}) and have Lebesgue measures 1βˆ’0=11-0=1, 1βˆ’0=11-0=1 and 1βˆ’1=01-1=0 by claim 4 of Existence of Lebesgue Measure on the Real Line. Their indicators are measurable by claim 1 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions, and ∫R1A dΞ»=Ξ»(A)\int_{\mathbb{R}}\mathbf{1}_{A}\,d\lambda=\lambda(A) by The Integral of an Indicator Function is the Measure of the Set. Each indicator takes only the values 00 and 11, so it is nonnegative, and by (P6) below it is integrable, its integral 11 being finite.

(P5) The absolute value of a nonnegative number. Let tt be a real number with 0≀t0\le t. Then ∣t∣=t|t|=t.

Indeed, βˆ’t≀0-t\le0 by claim 4 of Elementary Order Arithmetic in an Ordered Field together with βˆ’0=0-0=0, recorded in claim 4 of Additive Cancellation and Elementary Additive Identities in a Field; hence βˆ’t≀t-t\le t, and t≀tt\le t, so claim 6 of Properties of the Absolute Value in an Ordered Field, applied with c=tc=t, gives ∣tβˆ£β‰€t|t|\le t. Claim 3 of that lemma gives tβ‰€βˆ£t∣t\le|t|. Antisymmetry of the order yields ∣t∣=t|t|=t.

(P6) Nonnegative maps and the two integrals. Let (X,F,ΞΌ)(X,\mathcal{F},\mu) be a measure space and let h:Xβ†’Rh:X\to\mathbb{R} be measurable with 0≀h(x)0\le h(x) for every x∈Xx\in X. Then hh, regarded as a map into [0,∞][0,\infty], is measurable in the sense of Measure Spaces and the Lebesgue Integral: Standing Notation Β§measurable; hh is integrable if and only if the integral ∫Xh dμ∈[0,∞]\int_{X}h\,d\mu\in[0,\infty] of Measure Spaces and the Lebesgue Integral: Standing Notation Β§integral is finite; and in that case that integral is the real number ∫Xh dΞΌ\int_{X}h\,d\mu of Integrable Function and the Lebesgue Integral.

Indeed, the two readings of measurability agree for real-valued maps, as recorded in Measure Spaces and the Lebesgue Integral: Standing Notation Β§measurable. With the positive and negative parts of Integrable Function and the Lebesgue Integral we have h+(x)=max⁑{h(x),0}=h(x)h^{+}(x)=\max\{h(x),0\}=h(x), because 0≀h(x)0\le h(x), and hβˆ’(x)=max⁑{βˆ’h(x),0}=0h^{-}(x)=\max\{-h(x),0\}=0, because βˆ’h(x)≀0-h(x)\le0 by claim 4 of Elementary Order Arithmetic in an Ordered Field and claim 4 of Additive Cancellation and Elementary Additive Identities in a Field. The map hβˆ’h^{-} is the indicator 1βˆ…\mathbf{1}_{\emptyset} of the empty set, which lies in F\mathcal{F}, so ∫Xhβˆ’β€‰dΞΌ=ΞΌ(βˆ…)=0\int_{X}h^{-}\,d\mu=\mu(\emptyset)=0 by The Integral of an Indicator Function is the Measure of the Set and the requirement ΞΌ(βˆ…)=0\mu(\emptyset)=0 of Measure, Measure Space, and Probability Measure. Hence hh is integrable exactly when ∫Xh+ dΞΌ=∫Xh dΞΌ\int_{X}h^{+}\,d\mu=\int_{X}h\,d\mu is finite, and in that case the integral of Integrable Function and the Lebesgue Integral is ∫Xh dΞΌβˆ’0=∫Xh dΞΌ\int_{X}h\,d\mu-0=\int_{X}h\,d\mu.

In particular the map 0\mathbf{0} on R\mathbb{R} with constant value 00 is the indicator 1βˆ…\mathbf{1}_{\emptyset}, is measurable by claim 1 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions, and is integrable with ∫R0 dΞ»=Ξ»(βˆ…)=0\int_{\mathbb{R}}\mathbf{0}\,d\lambda=\lambda(\emptyset)=0.

Proof of claim 1. Let i∈[n]i\in[n] and w∈Cperw\in C_{\mathrm{per}}, and let x∈Rnx\in\mathbb{R}^{n}. The map s↦w(x[i:s])s\mapsto w(x[i{:}s]) is continuous by (P1), applied to g=wg=w, and w~i,x\tilde{w}_{i,x} is its zero extension in the sense of (P3), so w~i,x\tilde{w}_{i,x} is measurable with respect to B(R)\mathcal{B}(\mathbb{R}) and integrable with respect to Ξ»\lambda by (P3). Its integral is therefore a real number, so (Piw)(x)(P_{i}w)(x) is defined for every x∈Rnx\in\mathbb{R}^{n} and PiwP_{i}w is a map from Rn\mathbb{R}^{n} to R\mathbb{R}.

Nonnegativity. Suppose 0≀w(y)0\le w(y) for every y∈Rny\in\mathbb{R}^{n}. Then 0≀w~i,x(s)0\le\tilde{w}_{i,x}(s) for every s∈Rs\in\mathbb{R}, the value being w(x[i:s])w(x[i{:}s]) on [0,1][0,1] and 00 elsewhere. By the monotonicity recorded in claim 2 of Linearity and Monotonicity of the Lebesgue Integral, applied to the integrable maps 0\mathbf{0} and w~i,x\tilde{w}_{i,x} of (P6), 0=∫R0 dΞ»β‰€βˆ«Rw~i,x dΞ»=(Piw)(x)0=\int_{\mathbb{R}}\mathbf{0}\,d\lambda\le\int_{\mathbb{R}}\tilde{w}_{i,x}\,d\lambda=(P_{i}w)(x).

PiwP_{i}w is Zn\mathbb{Z}^{n}-periodic. Let xβˆ—βˆˆRnx^{\ast}\in\mathbb{R}^{n} and e∈Zne\in\mathbb{Z}^{n}, and let eβ€²e' be the point of Rn\mathbb{R}^{n} whose iith coordinate is 00 and whose kkth coordinate is eke_{k} for every k∈[n]k\in[n] with kβ‰ ik\ne i; then eβ€²βˆˆZne'\in\mathbb{Z}^{n}, since 00 is an integer and each eke_{k} is. For s∈Rs\in\mathbb{R} the points (xβˆ—+e)[i:s](x^{\ast}+e)[i{:}s] and xβˆ—[i:s]+eβ€²x^{\ast}[i{:}s]+e' both have iith coordinate ss, the second because s+0=ss+0=s, and for kβ‰ ik\ne i both have kkth coordinate xkβˆ—+ekx^{\ast}_{k}+e_{k}; so they are equal. By the Zn\mathbb{Z}^{n}-periodicity of ww,

w((xβˆ—+e)[i:s])=w(xβˆ—[i:s]+eβ€²)=w(xβˆ—[i:s])(s∈R),w\bigl((x^{\ast}+e)[i{:}s]\bigr)=w\bigl(x^{\ast}[i{:}s]+e'\bigr)=w\bigl(x^{\ast}[i{:}s]\bigr)\qquad(s\in\mathbb{R}),

so w~i,xβˆ—+e=w~i,xβˆ—\tilde{w}_{i,x^{\ast}+e}=\tilde{w}_{i,x^{\ast}} and (Piw)(xβˆ—+e)=(Piw)(xβˆ—)(P_{i}w)(x^{\ast}+e)=(P_{i}w)(x^{\ast}). As xβˆ—x^{\ast} and ee were arbitrary, PiwP_{i}w is Zn\mathbb{Z}^{n}-periodic in the sense of Lattice-Periodic Functions and the Periodic Function Classes Β§periodic.

PiwP_{i}w is continuous. Let x0∈Rnx_{0}\in\mathbb{R}^{n} and let Ξ΅\varepsilon be a real number with 0<Ξ΅0<\varepsilon; put Ξ΅β€²=Ξ΅/2\varepsilon'=\varepsilon/2, a positive real by claim 8 of Elementary Order Arithmetic in an Ordered Field. Since w∈Cperw\in C_{\mathrm{per}}, it is uniformly continuous by A Continuous Lattice-Periodic Function is Uniformly Continuous Β§uniform, so there is a real Ξ΄>0\delta>0 such that all y,z∈Rny,z\in\mathbb{R}^{n} with βˆ₯yβˆ’zβˆ₯<Ξ΄\lVert y-z\rVert<\delta satisfy ∣w(y)βˆ’w(z)∣<Ξ΅β€²|w(y)-w(z)|<\varepsilon'.

Let y∈Rny\in\mathbb{R}^{n} with βˆ₯yβˆ’x0βˆ₯<Ξ΄\lVert y-x_{0}\rVert<\delta. For every s∈Rs\in\mathbb{R}, (P2) gives βˆ₯y[i:s]βˆ’x0[i:s]βˆ₯≀βˆ₯yβˆ’x0βˆ₯<Ξ΄\lVert y[i{:}s]-x_{0}[i{:}s]\rVert\le\lVert y-x_{0}\rVert<\delta, so ∣w(y[i:s])βˆ’w(x0[i:s])∣<Ξ΅β€²|w(y[i{:}s])-w(x_{0}[i{:}s])|<\varepsilon'. Consequently

∣w~i,y(s)βˆ’w~i,x0(s)βˆ£β‰€Ξ΅β€²β€‰1[0,1](s)forΒ everyΒ s∈R,\bigl|\tilde{w}_{i,y}(s)-\tilde{w}_{i,x_{0}}(s)\bigr|\le\varepsilon'\,\mathbf{1}_{[0,1]}(s)\qquad\text{for every }s\in\mathbb{R},

since for s∈[0,1]s\in[0,1] the left-hand side is ∣w(y[i:s])βˆ’w(x0[i:s])∣|w(y[i{:}s])-w(x_{0}[i{:}s])| and for sβˆ‰[0,1]s\notin[0,1] both sides are 00. The maps w~i,y\tilde{w}_{i,y} and w~i,x0\tilde{w}_{i,x_{0}} are integrable by the first paragraph, so their difference is integrable by claim 2 of Linearity and Monotonicity of the Lebesgue Integral, and its absolute value is measurable by claim 4 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions and integrable, being dominated by the map Ξ΅β€²1[0,1]\varepsilon'\mathbf{1}_{[0,1]}, which is integrable by (P4) and claim 2 of Linearity and Monotonicity of the Lebesgue Integral; this last step uses claim 1 of Linearity and Monotonicity of the Lebesgue Integral together with the criterion in Integrable Function and the Lebesgue Integral. Hence, by claim 2 of Linearity and Monotonicity of the Lebesgue Integral used first for linearity, then for the bound ∣∫fβˆ£β‰€βˆ«βˆ£f∣\bigl|\int f\bigr|\le\int|f|, and then for monotonicity and homogeneity,

∣(Piw)(y)βˆ’(Piw)(x0)∣=∣∫R(w~i,yβˆ’w~i,x0)dΞ»βˆ£β‰€βˆ«R∣w~i,yβˆ’w~i,x0βˆ£β€‰dΞ»β‰€Ξ΅β€²βˆ«R1[0,1] dΞ»=Ξ΅β€²,\bigl|(P_{i}w)(y)-(P_{i}w)(x_{0})\bigr|=\Bigl|\int_{\mathbb{R}}\bigl(\tilde{w}_{i,y}-\tilde{w}_{i,x_{0}}\bigr)d\lambda\Bigr|\le\int_{\mathbb{R}}\bigl|\tilde{w}_{i,y}-\tilde{w}_{i,x_{0}}\bigr|\,d\lambda\le\varepsilon'\int_{\mathbb{R}}\mathbf{1}_{[0,1]}\,d\lambda=\varepsilon' ,

using ∫R1[0,1] dΞ»=1\int_{\mathbb{R}}\mathbf{1}_{[0,1]}\,d\lambda=1 from (P4). Finally Ξ΅β€²<Ξ΅\varepsilon'<\varepsilon by claim 8 of Elementary Order Arithmetic in an Ordered Field, so ∣(Piw)(y)βˆ’(Piw)(x0)∣<Ξ΅\bigl|(P_{i}w)(y)-(P_{i}w)(x_{0})\bigr|<\varepsilon by claim 2 of that lemma. As x0x_{0} and Ξ΅\varepsilon were arbitrary, PiwP_{i}w is continuous by Continuous Map Between Metric Spaces, and with the periodicity proved above, Piw∈CperP_{i}w\in C_{\mathrm{per}} by Lattice-Periodic Functions and the Periodic Function Classes Β§classes.

Proof of claim 2. Let i∈[n]i\in[n] and w∈Cperw\in C_{\mathrm{per}}.

PiwP_{i}w is free of the iith coordinate. Let x∈Rnx\in\mathbb{R}^{n} and s∈Rs\in\mathbb{R}, and put y=x[i:s]y=x[i{:}s]. For every ΟƒβˆˆR\sigma\in\mathbb{R} the points y[i:Οƒ]y[i{:}\sigma] and x[i:Οƒ]x[i{:}\sigma] have iith coordinate Οƒ\sigma and, for kβ‰ ik\ne i, the common kkth coordinate xkx_{k}, because yk=xky_{k}=x_{k} for kβ‰ ik\ne i; so y[i:Οƒ]=x[i:Οƒ]y[i{:}\sigma]=x[i{:}\sigma]. Hence w~i,y=w~i,x\tilde{w}_{i,y}=\tilde{w}_{i,x} and (Piw)(x[i:s])=(Piw)(x)(P_{i}w)(x[i{:}s])=(P_{i}w)(x).

Other free coordinates are inherited. Let j∈[n]j\in[n] and suppose ww is free of the jjth coordinate. If j=ij=i the conclusion is the previous paragraph, so assume jβ‰ ij\ne i. Let x∈Rnx\in\mathbb{R}^{n} and s∈Rs\in\mathbb{R}, and put y=x[j:s]y=x[j{:}s]. For ΟƒβˆˆR\sigma\in\mathbb{R} the points y[i:Οƒ]y[i{:}\sigma] and (x[i:Οƒ])[j:s]\bigl(x[i{:}\sigma]\bigr)[j{:}s] have iith coordinate Οƒ\sigma, jjth coordinate ss, and kkth coordinate xkx_{k} for every k∈[n]k\in[n] with kβ‰ ik\ne i and kβ‰ jk\ne j; so they are equal. Since ww is free of the jjth coordinate,

w(y[i:Οƒ])=w((x[i:Οƒ])[j:s])=w(x[i:Οƒ])(ΟƒβˆˆR),w\bigl(y[i{:}\sigma]\bigr)=w\Bigl(\bigl(x[i{:}\sigma]\bigr)[j{:}s]\Bigr)=w\bigl(x[i{:}\sigma]\bigr)\qquad(\sigma\in\mathbb{R}),

so w~i,y=w~i,x\tilde{w}_{i,y}=\tilde{w}_{i,x} and (Piw)(x[j:s])=(Piw)(x)(P_{i}w)(x[j{:}s])=(P_{i}w)(x).

Proof of claim 5. Let w∈Cperw\in C_{\mathrm{per}}.

∣w∣∈Cper|w|\in C_{\mathrm{per}}. For all real c,dc,d one has ∣∣cβˆ£βˆ’βˆ£dβˆ£βˆ£β‰€βˆ£cβˆ’d∣\bigl||c|-|d|\bigr|\le|c-d| by claim 7 of Properties of the Absolute Value in an Ordered Field, so any Ξ΄\delta witnessing the continuity of ww at a point of Rn\mathbb{R}^{n} witnesses that of ∣w∣|w| there; thus ∣w∣|w| is continuous. If e∈Zne\in\mathbb{Z}^{n} then ∣w∣(x+e)=∣w(x+e)∣=∣w(x)∣=∣w∣(x)|w|(x+e)=|w(x+e)|=|w(x)|=|w|(x), so ∣w∣|w| is Zn\mathbb{Z}^{n}-periodic. Hence ∣w∣∈Cper|w|\in C_{\mathrm{per}} by Lattice-Periodic Functions and the Periodic Function Classes Β§classes.

wa∈Cperw^{a}\in C_{\mathrm{per}}. Suppose 0≀w(x)0\le w(x) for every x∈Rnx\in\mathbb{R}^{n} and let aa be a positive real number. Write R+\mathbb{R}_{+} for the nonnegative reals with the metric d+d_{+}, the restriction of dRd_{\mathbb{R}}, and Pa:R+β†’R+P_{a}:\mathbb{R}_{+}\to\mathbb{R}_{+} for the map t↦tat\mapsto t^{a}, as in Properties of Real Powers of Nonnegative Real Numbers; thus wa(x)=Pa(w(x))w^{a}(x)=P_{a}(w(x)), and 0≀wa(x)0\le w^{a}(x) by Properties of Real Powers of Nonnegative Real Numbers Β§values. Let x0∈Rnx_{0}\in\mathbb{R}^{n} and let Ξ΅\varepsilon be a real number with 0<Ξ΅0<\varepsilon. By Properties of Real Powers of Nonnegative Real Numbers Β§continuity and Continuous Map Between Metric Spaces, applied to PaP_{a} at the point w(x0)w(x_{0}) of R+\mathbb{R}_{+}, there is a real Ξ·>0\eta>0 such that every t∈R+t\in\mathbb{R}_{+} with ∣tβˆ’w(x0)∣<Ξ·|t-w(x_{0})|<\eta satisfies ∣taβˆ’(w(x0))a∣<Ξ΅|t^{a}-(w(x_{0}))^{a}|<\varepsilon. By the continuity of ww at x0x_{0} there is a real Ξ΄>0\delta>0 such that every y∈Rny\in\mathbb{R}^{n} with βˆ₯yβˆ’x0βˆ₯<Ξ΄\lVert y-x_{0}\rVert<\delta satisfies ∣w(y)βˆ’w(x0)∣<Ξ·|w(y)-w(x_{0})|<\eta; for such yy the value w(y)w(y) lies in R+\mathbb{R}_{+}, so ∣wa(y)βˆ’wa(x0)∣<Ξ΅|w^{a}(y)-w^{a}(x_{0})|<\varepsilon. As x0x_{0} and Ξ΅\varepsilon were arbitrary, waw^{a} is continuous by Continuous Map Between Metric Spaces. If e∈Zne\in\mathbb{Z}^{n} then wa(x+e)=(w(x+e))a=(w(x))a=wa(x)w^{a}(x+e)=(w(x+e))^{a}=(w(x))^{a}=w^{a}(x), so waw^{a} is Zn\mathbb{Z}^{n}-periodic and wa∈Cperw^{a}\in C_{\mathrm{per}} by Lattice-Periodic Functions and the Periodic Function Classes Β§classes.

Free coordinates. Let j∈[n]j\in[n] and suppose ww is free of the jjth coordinate. Then ∣w∣(x[j:s])=∣w(x[j:s])∣=∣w(x)∣=∣w∣(x)|w|(x[j{:}s])=|w(x[j{:}s])|=|w(x)|=|w|(x) for all xx and ss, and likewise wa(x[j:s])=(w(x[j:s]))a=(w(x))a=wa(x)w^{a}(x[j{:}s])=(w(x[j{:}s]))^{a}=(w(x))^{a}=w^{a}(x) in the case just described.

Proof of claim 3. Let i∈[n]i\in[n].

The constant map. The map 1\mathbf{1} is continuous, since for a point of Rn\mathbb{R}^{n} and a real Ξ΅>0\varepsilon>0 any positive Ξ΄\delta witnesses the condition of Continuous Map Between Metric Spaces, the difference of values being ∣1βˆ’1∣=0<Ξ΅|1-1|=0<\varepsilon; and 1(x+e)=1=1(x)\mathbf{1}(x+e)=1=\mathbf{1}(x) for e∈Zne\in\mathbb{Z}^{n}, so 1\mathbf{1} is Zn\mathbb{Z}^{n}-periodic. Hence 1∈Cper\mathbf{1}\in C_{\mathrm{per}} by Lattice-Periodic Functions and the Periodic Function Classes Β§classes. For x∈Rnx\in\mathbb{R}^{n} the map 1~i,x\tilde{\mathbf{1}}_{i,x} takes the value 11 at every s∈[0,1]s\in[0,1] and 00 elsewhere, so it is the indicator 1[0,1]\mathbf{1}_{[0,1]}, and (Pi1)(x)=∫R1[0,1] dΞ»=1(P_{i}\mathbf{1})(x)=\int_{\mathbb{R}}\mathbf{1}_{[0,1]}\,d\lambda=1 by (P4). Thus Pi1=1P_{i}\mathbf{1}=\mathbf{1}.

Factoring. Let v,w∈Cperv,w\in C_{\mathrm{per}} with vv free of the iith coordinate. Then vw∈Cpervw\in C_{\mathrm{per}} by Elementary Properties of Lattice-Periodic Functions §algebra. Let x∈Rnx\in\mathbb{R}^{n}. For s∈[0,1]s\in[0,1],

(vw)~i,x(s)=v(x[i:s]) w(x[i:s])=v(x) w(x[i:s])=v(x) w~i,x(s),\widetilde{(vw)}_{i,x}(s)=v(x[i{:}s])\,w(x[i{:}s])=v(x)\,w(x[i{:}s])=v(x)\,\tilde{w}_{i,x}(s),

the middle equality because vv is free of the iith coordinate; and for s∈Rs\in\mathbb{R} with sβˆ‰[0,1]s\notin[0,1] both ends are 00, the right-hand one by claim 1 of Zero Products and Elementary Identities in a Field. So (vw)~i,x=v(x) w~i,x\widetilde{(vw)}_{i,x}=v(x)\,\tilde{w}_{i,x}, and the linearity in claim 2 of Linearity and Monotonicity of the Lebesgue Integral, applied to the integrable map w~i,x\tilde{w}_{i,x} with the real coefficient v(x)v(x), gives

(Pi(vw))(x)=v(x)∫Rw~i,x dΞ»=v(x) (Piw)(x)=(v Piw)(x).\bigl(P_{i}(vw)\bigr)(x)=v(x)\int_{\mathbb{R}}\tilde{w}_{i,x}\,d\lambda=v(x)\,(P_{i}w)(x)=\bigl(v\,P_{i}w\bigr)(x).

As xx was arbitrary, Pi(vw)=v PiwP_{i}(vw)=v\,P_{i}w. Taking w=1w=\mathbf{1} and using v(x)β‹…1=v(x)v(x)\cdot1=v(x) gives v1=vv\mathbf{1}=v and Piv=Pi(v1)=v Pi1=v1=vP_{i}v=P_{i}(v\mathbf{1})=v\,P_{i}\mathbf{1}=v\mathbf{1}=v.

Proof of claim 4. Let i∈[n]i\in[n] and let v,w∈Cperv,w\in C_{\mathrm{per}} satisfy 0≀v(y)0\le v(y) and 0≀w(y)0\le w(y) for every y∈Rny\in\mathbb{R}^{n}. By Elementary Properties of Lattice-Periodic Functions Β§algebra, vw∈Cpervw\in C_{\mathrm{per}}, and 0=0β‹…w(y)≀v(y)w(y)0=0\cdot w(y)\le v(y)w(y) for every yy, by claim 1 of Zero Products and Elementary Identities in a Field and claim 5 of Elementary Arithmetic in an Ordered Field. Hence, by claim 5, the maps v1/2v^{1/2}, w1/2w^{1/2} and (vw)1/2(vw)^{1/2} lie in CperC_{\mathrm{per}} and take nonnegative values.

Fix x∈Rnx\in\mathbb{R}^{n} and put

f=(v1/2)~i,x,g=(w1/2)~i,x,F=((vw)1/2)~i,x,f=\widetilde{\bigl(v^{1/2}\bigr)}_{i,x},\qquad g=\widetilde{\bigl(w^{1/2}\bigr)}_{i,x},\qquad F=\widetilde{\bigl((vw)^{1/2}\bigr)}_{i,x},

which by claim 1 are measurable with respect to B(R)\mathcal{B}(\mathbb{R}) and integrable with respect to Ξ»\lambda, and take nonnegative values.

The pointwise product. For s∈[0,1]s\in[0,1], claim 3 of Properties of Real Powers of Nonnegative Real Numbers gives

f(s)g(s)=(v(x[i:s]))1/2(w(x[i:s]))1/2=(v(x[i:s]) w(x[i:s]))1/2=F(s),f(s)g(s)=\bigl(v(x[i{:}s])\bigr)^{1/2}\bigl(w(x[i{:}s])\bigr)^{1/2}=\bigl(v(x[i{:}s])\,w(x[i{:}s])\bigr)^{1/2}=F(s),

and for sβˆ‰[0,1]s\notin[0,1] both sides are 00. So fg=Ffg=F, and ∣fg∣=F|fg|=F by (P5), the values of FF being nonnegative.

The second powers. For s∈[0,1]s\in[0,1], using (P5) and then claims 4 and 2 of Properties of Real Powers of Nonnegative Real Numbers,

(∣f(s)∣)2=(f(s))2=((v(x[i:s]))1/2)2=(v(x[i:s]))1=v(x[i:s]),\bigl(|f(s)|\bigr)^{2}=\bigl(f(s)\bigr)^{2}=\Bigl(\bigl(v(x[i{:}s])\bigr)^{1/2}\Bigr)^{2}=\bigl(v(x[i{:}s])\bigr)^{1}=v(x[i{:}s]) ,

while for sβˆ‰[0,1]s\notin[0,1] one has (∣f(s)∣)2=02=0\bigl(|f(s)|\bigr)^{2}=0^{2}=0 by (P5) and Properties of Real Powers of Nonnegative Real Numbers Β§values. Hence ∣f∣2=v~i,x|f|^{2}=\tilde{v}_{i,x} in the notation of Power-Integrable Functions and the p-Seminorm Β§measurable-power, and likewise ∣g∣2=w~i,x|g|^{2}=\tilde{w}_{i,x}.

Since v~i,x\tilde{v}_{i,x} is nonnegative and integrable, (P6) shows that its integral in [0,∞][0,\infty] is the real number (Piv)(x)(P_{i}v)(x), in particular finite. So ff is a 22-integrable function on (R,B(R),Ξ»)(\mathbb{R},\mathcal{B}(\mathbb{R}),\lambda) in the sense of Power-Integrable Functions and the p-Seminorm Β§space, with 22-seminorm βˆ₯fβˆ₯2=((Piv)(x))1/2\lVert f\rVert_{2}=\bigl((P_{i}v)(x)\bigr)^{1/2}; and likewise βˆ₯gβˆ₯2=((Piw)(x))1/2\lVert g\rVert_{2}=\bigl((P_{i}w)(x)\bigr)^{1/2}.

H"older. Since 1<21<2 and 12+12=1\tfrac12+\tfrac12=1, the number 22 is the exponent conjugate to 22 in the sense of Conjugate Exponents and Young's Inequality Β§conjugate, by the uniqueness asserted there. Applying Hoelder's Inequality, for Two and for Finitely Many Factors Β§holder to the measure space (R,B(R),Ξ»)(\mathbb{R},\mathcal{B}(\mathbb{R}),\lambda) with p=q=2p=q=2 and the functions ff and gg gives

∫R∣fgβˆ£β€‰dλ≀βˆ₯fβˆ₯2 βˆ₯gβˆ₯2=((Piv)(x))1/2((Piw)(x))1/2.\int_{\mathbb{R}}|fg|\,d\lambda\le\lVert f\rVert_{2}\,\lVert g\rVert_{2}=\bigl((P_{i}v)(x)\bigr)^{1/2}\bigl((P_{i}w)(x)\bigr)^{1/2}.

Finally ∣fg∣=F|fg|=F, and FF is nonnegative and integrable, so by (P6) the left-hand side is the real number ∫RF dΞ»=(Pi[(vw)1/2])(x)\int_{\mathbb{R}}F\,d\lambda=\bigl(P_{i}\bigl[(vw)^{1/2}\bigr]\bigr)(x). As xx was arbitrary, claim 4 follows.

Proof of claim 6. Let v:Rnβ†’Rv:\mathbb{R}^{n}\to\mathbb{R} be free of the jjth coordinate for every j∈[n]j\in[n], and let x∈Rnx\in\mathbb{R}^{n}. For k∈Nk\in\mathbb{N} let y(k)y^{(k)} be the point of Rn\mathbb{R}^{n} whose jjth coordinate is 00 for every j∈[n]j\in[n] with j≀kj\le k and is xjx_{j} for every j∈[n]j\in[n] with k<jk<j; this is well defined because the order of N\mathbb{N} is total by claim 3 of Properties of the Order on the Natural Numbers. Put A={k∈N:v(y(k))=v(x)}A=\{k\in\mathbb{N}:v(y^{(k)})=v(x)\}.

1∈A1\in A. Every j∈[n]j\in[n] satisfies 1≀j1\le j by claim 4 of Properties of the Order on the Natural Numbers, so the jjth coordinate of y(1)y^{(1)} is 00 when j=1j=1 and xjx_{j} when 1<j1<j; that is, y(1)=x[1:0]y^{(1)}=x[1{:}0]. Since 1≀n1\le n we have 1∈[n]1\in[n], so freeness of the first coordinate gives v(y(1))=v(x)v(y^{(1)})=v(x).

AA is closed under the successor map SS. Let k∈Ak\in A. By claim 3 of Properties of the Order on the Natural Numbers either S(k)≀nS(k)\le n or n<S(k)n<S(k).

Suppose first S(k)≀nS(k)\le n, so S(k)∈[n]S(k)\in[n]. We claim y(S(k))=y(k)[S(k):0]y^{(S(k))}=y^{(k)}[S(k){:}0]. The S(k)S(k)th coordinates are both 00. Let j∈[n]j\in[n] with jβ‰ S(k)j\ne S(k). If j≀S(k)j\le S(k) then j≀kj\le k by claim 5 of Properties of the Order on the Natural Numbers, so both points have jjth coordinate 00. Otherwise S(k)<jS(k)<j, and k<S(k)k<S(k) by claim 5 of that lemma, so k<jk<j and both points have jjth coordinate xjx_{j}. The claim follows, and freeness of the S(k)S(k)th coordinate gives v(y(S(k)))=v(y(k))=v(x)v(y^{(S(k))})=v(y^{(k)})=v(x).

Suppose instead n<S(k)n<S(k). Then n≀S(k)n\le S(k) and nβ‰ S(k)n\ne S(k), so n≀kn\le k by claim 5 of Properties of the Order on the Natural Numbers, and k≀S(k)k\le S(k) by that same claim. Every j∈[n]j\in[n] then satisfies j≀n≀k≀S(k)j\le n\le k\le S(k), so y(k)y^{(k)} and y(S(k))y^{(S(k))} have jjth coordinate 00 for every j∈[n]j\in[n] and are equal; hence v(y(S(k)))=v(x)v(y^{(S(k))})=v(x).

In both cases S(k)∈AS(k)\in A. By Principle of Induction for the Natural Numbers, A=NA=\mathbb{N}; in particular n∈An\in A. Every j∈[n]j\in[n] satisfies j≀nj\le n, so y(n)y^{(n)} is the point 0\mathbf{0} all of whose coordinates are 00, and v(x)=v(y(n))=v(0)v(x)=v(y^{(n)})=v(\mathbf{0}). Since xx was arbitrary, c=v(0)c=v(\mathbf{0}) has the required property.

Proof of claim 7. Suppose n≀3n\le3, let i∈[n]i\in[n] and let w∈Cperw\in C_{\mathrm{per}} satisfy 0≀w(y)0\le w(y) for every y∈Rny\in\mathbb{R}^{n}. By claim 1, Piw∈CperP_{i}w\in C_{\mathrm{per}} and 0≀(Piw)(y)0\le(P_{i}w)(y) for every y∈Rny\in\mathbb{R}^{n}.

Membership, and reduction to an identity on Rn\mathbb{R}^{n}. By Elementary Properties of Lattice-Periodic Functions §bounded there are nonnegative real numbers bounding ∣w∣|w| and ∣Piw∣|P_{i}w| on Rn\mathbb{R}^{n}, so Continuous Periodic Functions are Power-Integrable and Dense on the Torus §member, applied with p=1p=1 to ww and to PiwP_{i}w, shows that w∣Qw|_{Q} and (Piw)∣Q(P_{i}w)|_{Q} are measurable with respect to BQ\mathcal{B}_{Q} and belong to L1(Tn)\mathcal{L}^{1}(\mathbb{T}^{n}). Put

f=1Q w,h=1Q (Piw),f=\mathbf{1}_{Q}\,w,\qquad h=\mathbf{1}_{Q}\,(P_{i}w),

maps from Rn\mathbb{R}^{n} to R\mathbb{R}. By Continuous Periodic Functions are Power-Integrable and Dense on the Torus Β§integral, applied to ww and to PiwP_{i}w, both are measurable with respect to B(Rn)\mathcal{B}(\mathbb{R}^{n}) and integrable with respect to Ξ»n\lambda_{n}, and

∫Tnw∣Q dx=∫Rnf dΞ»n,∫Tn(Piw)∣Q dx=∫Rnh dΞ»n.\int_{\mathbb{T}^{n}}w|_{Q}\,dx=\int_{\mathbb{R}^{n}}f\,d\lambda_{n},\qquad\int_{\mathbb{T}^{n}}(P_{i}w)|_{Q}\,dx=\int_{\mathbb{R}^{n}}h\,d\lambda_{n}.

The indicator 1Q\mathbf{1}_{Q} takes only the values 00 and 11, so ff and hh are nonnegative: at y∈Qy\in Q their values are w(y)w(y) and (Piw)(y)(P_{i}w)(y), and at yβˆ‰Qy\notin Q both are 00 by claim 1 of Zero Products and Elementary Identities in a Field. By (P6) they are therefore measurable as maps into [0,∞][0,\infty], and the two displayed real numbers are their integrals in [0,∞][0,\infty]. It suffices to prove

∫Rnf dΞ»n=∫Rnh dΞ»ninΒ [0,∞].\int_{\mathbb{R}^{n}}f\,d\lambda_{n}=\int_{\mathbb{R}^{n}}h\,d\lambda_{n}\qquad\text{in }[0,\infty].

Step A: the slices in the iith coordinate. We claim that for every x∈Rnx\in\mathbb{R}^{n} the maps s↦f(x[i:s])s\mapsto f(x[i{:}s]) and s↦h(x[i:s])s\mapsto h(x[i{:}s]) are measurable with respect to B(R)\mathcal{B}(\mathbb{R}), take nonnegative values, and have the same integral in [0,∞][0,\infty].

Fix x∈Rnx\in\mathbb{R}^{n} and let cc be the real number 11 if 0≀xk0\le x_{k} and xk<1x_{k}<1 for every k∈[n]k\in[n] with kβ‰ ik\ne i, and 00 otherwise. By The Flat Torus: Standing Notation Β§cell and The Half-Open Unit Cell Tiles Euclidean Space Β§cell, QQ is the set of y∈Rny\in\mathbb{R}^{n} with 0≀yk0\le y_{k} and yk<1y_{k}<1 for every k∈[n]k\in[n]. The point x[i:s]x[i{:}s] has iith coordinate ss and kkth coordinate xkx_{k} for every kβ‰ ik\ne i, so x[i:s]∈Qx[i{:}s]\in Q holds exactly when c=1c=1 and s∈[0,1)s\in[0,1), with [0,1)[0,1) as in (P4). Hence

1Q(x[i:s])=c 1[0,1)(s)(s∈R).\mathbf{1}_{Q}(x[i{:}s])=c\,\mathbf{1}_{[0,1)}(s)\qquad(s\in\mathbb{R}).

By claim 2 the map PiwP_{i}w is free of the iith coordinate, so (Piw)(x[i:s])=(Piw)(x)(P_{i}w)(x[i{:}s])=(P_{i}w)(x) for every s∈Rs\in\mathbb{R} and

h(x[i:s])=α 1[0,1)(s),whereΒ Ξ±=c (Piw)(x).h(x[i{:}s])=\alpha\,\mathbf{1}_{[0,1)}(s),\qquad\text{where }\alpha=c\,(P_{i}w)(x).

The number Ξ±\alpha is nonnegative, by claim 1 and claim 5 of Elementary Arithmetic in an Ordered Field together with claim 1 of Zero Products and Elementary Identities in a Field. The map s↦h(x[i:s])s\mapsto h(x[i{:}s]) is measurable by claims 1 and 2 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions and nonnegative, so by (P6) and claim 1 of Linearity and Monotonicity of the Lebesgue Integral, together with ∫R1[0,1) dΞ»=1\int_{\mathbb{R}}\mathbf{1}_{[0,1)}\,d\lambda=1 from (P4),

∫Rh(x[i:s]) dΞ»(s)=Ξ±.\int_{\mathbb{R}}h(x[i{:}s])\,d\lambda(s)=\alpha .

For ff we have f(x[i:s])=c 1[0,1)(s) w(x[i:s])f(x[i{:}s])=c\,\mathbf{1}_{[0,1)}(s)\,w(x[i{:}s]). The map s↦w(x[i:s])s\mapsto w(x[i{:}s]) is continuous by (P1), hence measurable with respect to B(R)\mathcal{B}(\mathbb{R}) by claim 3(a) of The Borel Sigma-Algebra of a Euclidean Space as a Product, and Measurability of Projections, Sequentially Continuous Maps, and Open and Closed Sets, applied in dimension 11, together with claim 5 of that lemma applied with m=1m=1; so s↦f(x[i:s])s\mapsto f(x[i{:}s]) is measurable by claims 1, 2 and 3 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions, and it is nonnegative.

If c=0c=0 then f(x[i:s])=0f(x[i{:}s])=0 for every ss, by claim 1 of Zero Products and Elementary Identities in a Field, and also Ξ±=0\alpha=0; the map is the indicator of the empty set, so its integral is Ξ»(βˆ…)=0=Ξ±\lambda(\emptyset)=0=\alpha by The Integral of an Indicator Function is the Measure of the Set and Measure, Measure Space, and Probability Measure. If c=1c=1 then f(x[i:s])=1[0,1)(s) w(x[i:s])f(x[i{:}s])=\mathbf{1}_{[0,1)}(s)\,w(x[i{:}s]), and this agrees with w~i,x(s)\tilde{w}_{i,x}(s) at every real ss with sβ‰ 1s\ne1: for s∈[0,1)s\in[0,1) both equal w(x[i:s])w(x[i{:}s]), and for s∈Rs\in\mathbb{R} with sβˆ‰[0,1]s\notin[0,1] both are 00, while [0,1][0,1] and [0,1)[0,1) have the same members apart from 11. The set {1}\{1\} is null by (P4), so the two maps agree almost everywhere, and The Lebesgue Integral and Null Sets: Almost-Everywhere Comparison, Markov's Inequality, and Dominated Convergence Almost Everywhere Β§comparison gives that their integrals in [0,∞][0,\infty] are equal. Since w~i,x\tilde{w}_{i,x} is nonnegative and integrable, (P6) identifies its integral in [0,∞][0,\infty] with the real number (Piw)(x)=Ξ±(P_{i}w)(x)=\alpha. In both cases

∫Rf(x[i:s]) dΞ»(s)=Ξ±=∫Rh(x[i:s]) dΞ»(s),\int_{\mathbb{R}}f(x[i{:}s])\,d\lambda(s)=\alpha=\int_{\mathbb{R}}h(x[i{:}s])\,d\lambda(s),

which proves the claim of Step A.

Step B: the iterated integrals. By claim 1 of Finite Products of Lebesgue Measure and Coordinate Integration on Rl\mathbb{R}^l and claim 5 of The Borel Sigma-Algebra of a Euclidean Space as a Product, and Measurability of Projections, Sequentially Continuous Maps, and Open and Closed Sets, for every natural number mm the Οƒ\sigma-algebra Bm\mathcal{B}_{m} of the first of those lemmas is B(Rm)\mathcal{B}(\mathbb{R}^{m}), with B1=B(R)\mathcal{B}_{1}=\mathcal{B}(\mathbb{R}) and Bm=Bmβˆ’1βŠ—B(R)\mathcal{B}_{m}=\mathcal{B}_{m-1}\otimes\mathcal{B}(\mathbb{R}) for mβ‰₯2m\ge2, under the identification of Rm\mathbb{R}^{m} with Rmβˆ’1Γ—R\mathbb{R}^{m-1}\times\mathbb{R} recorded there; and by Lebesgue Measure on Rn\mathbb{R}^n Lebesgue measure Ξ»m\lambda_{m} on B(Rm)\mathcal{B}(\mathbb{R}^{m}) is the measure Ξ»m\lambda_{m} of that lemma, so that Ξ»1=Ξ»\lambda_{1}=\lambda and Ξ»m=Ξ»mβˆ’1βŠ—Ξ»\lambda_{m}=\lambda_{m-1}\otimes\lambda for mβ‰₯2m\ge2. Every Ξ»m\lambda_{m} is Οƒ\sigma-finite by claim 1 of that lemma. We may therefore apply Tonelli and Fubini Theorems to the Οƒ\sigma-finite measure spaces (Rmβˆ’1,B(Rmβˆ’1),Ξ»mβˆ’1)(\mathbb{R}^{m-1},\mathcal{B}(\mathbb{R}^{m-1}),\lambda_{m-1}) and (R,B(R),Ξ»)(\mathbb{R},\mathcal{B}(\mathbb{R}),\lambda), for m=2m=2 and, when n=3n=3, for m=3m=3. Points of R2\mathbb{R}^{2} are written (r,s)(r,s) and points of R3\mathbb{R}^{3} are written ((r,s),t)((r,s),t), in accordance with these identifications; thus in R3\mathbb{R}^{3} the coordinates of ((r,s),t)((r,s),t) are rr, ss and tt in this order.

Let gg denote either ff or hh. In each case below the integral ∫Rng dΞ»n\int_{\mathbb{R}^{n}}g\,d\lambda_{n} is expressed as an iterated integral in which, for each value of the outer variables, the innermost integral is one of the integrals of Step A. Those integrals have the same value for g=fg=f and for g=hg=h, so at each stage the measurable functions being integrated coincide for ff and for hh, and therefore so do the iterated integrals.

The case n=1n=1. Here i=1i=1. Under the identification of R1\mathbb{R}^{1} with R\mathbb{R} recorded above we have Ξ»1=Ξ»\lambda_{1}=\lambda, and for any x∈R1x\in\mathbb{R}^{1} the map s↦x[1:s]s\mapsto x[1{:}s] is that identification itself, the point x[1:s]x[1{:}s] having single coordinate ss. Hence ∫R1g dΞ»1=∫Rg(x[1:s]) dΞ»(s)\int_{\mathbb{R}^{1}}g\,d\lambda_{1}=\int_{\mathbb{R}}g(x[1{:}s])\,d\lambda(s).

The case n=2n=2. By Tonelli and Fubini Theorems applied with X=Y=RX=Y=\mathbb{R},

∫R2g dΞ»2=∫R(∫Rg((r,s)) dΞ»(s))dΞ»(r)=∫R(∫Rg((r,s)) dΞ»(r))dΞ»(s),\int_{\mathbb{R}^{2}}g\,d\lambda_{2}=\int_{\mathbb{R}}\Bigl(\int_{\mathbb{R}}g((r,s))\,d\lambda(s)\Bigr)d\lambda(r)=\int_{\mathbb{R}}\Bigl(\int_{\mathbb{R}}g((r,s))\,d\lambda(r)\Bigr)d\lambda(s),

the sections and the functions defined by the inner integrals being measurable by that theorem. If i=2i=2 we use the first form: for fixed rr and every ss, the point (r,s)(r,s) equals x[2:s]x[2{:}s] for x=(r,0)x=(r,0), so the inner integral is ∫Rg(x[2:s]) dΞ»(s)\int_{\mathbb{R}}g(x[2{:}s])\,d\lambda(s) with that xx. If i=1i=1 we use the second form: for fixed ss and every rr, the point (r,s)(r,s) equals x[1:r]x[1{:}r] for x=(0,s)x=(0,s).

The case n=3n=3. By Tonelli and Fubini Theorems applied with X=R2X=\mathbb{R}^{2} and Y=RY=\mathbb{R},

∫R3g dΞ»3=∫R2(∫Rg((ΞΈ,t)) dΞ»(t))dΞ»2(ΞΈ)=∫R(∫R2g((ΞΈ,t)) dΞ»2(ΞΈ))dΞ»(t),\int_{\mathbb{R}^{3}}g\,d\lambda_{3}=\int_{\mathbb{R}^{2}}\Bigl(\int_{\mathbb{R}}g((\theta,t))\,d\lambda(t)\Bigr)d\lambda_{2}(\theta)=\int_{\mathbb{R}}\Bigl(\int_{\mathbb{R}^{2}}g((\theta,t))\,d\lambda_{2}(\theta)\Bigr)d\lambda(t),

and for every t∈Rt\in\mathbb{R} the section θ↦g((ΞΈ,t))\theta\mapsto g((\theta,t)) is measurable with respect to B(R2)\mathcal{B}(\mathbb{R}^{2}) by the part of that theorem concerning sections.

If i=3i=3 we use the first form: for fixed ΞΈ=(r,s)\theta=(r,s) and every tt, the point ((r,s),t)((r,s),t) equals x[3:t]x[3{:}t] for x=((r,s),0)x=((r,s),0), so the inner integral is one of the integrals of Step A.

If i∈{1,2}i\in\{1,2\} we use the second form and apply Tonelli and Fubini Theorems once more, with X=Y=RX=Y=\mathbb{R}, to the section θ↦g((ΞΈ,t))\theta\mapsto g((\theta,t)) for each fixed tt:

∫R2g((ΞΈ,t)) dΞ»2(ΞΈ)=∫R(∫Rg(((r,s),t)) dΞ»(r))dΞ»(s)=∫R(∫Rg(((r,s),t)) dΞ»(s))dΞ»(r).\int_{\mathbb{R}^{2}}g((\theta,t))\,d\lambda_{2}(\theta)=\int_{\mathbb{R}}\Bigl(\int_{\mathbb{R}}g(((r,s),t))\,d\lambda(r)\Bigr)d\lambda(s)=\int_{\mathbb{R}}\Bigl(\int_{\mathbb{R}}g(((r,s),t))\,d\lambda(s)\Bigr)d\lambda(r).

For i=1i=1 we take the first form: for fixed ss and tt and every rr, the point ((r,s),t)((r,s),t) equals x[1:r]x[1{:}r] for x=((0,s),t)x=((0,s),t). For i=2i=2 we take the second: for fixed rr and tt and every ss, the point ((r,s),t)((r,s),t) equals x[2:s]x[2{:}s] for x=((r,0),t)x=((r,0),t).

In every case, by Step A the innermost integrals agree for g=fg=f and g=hg=h at every value of the outer variables. Hence the functions integrated at the next level agree, and, iterating, ∫Rnf dΞ»n=∫Rnh dΞ»n\int_{\mathbb{R}^{n}}f\,d\lambda_{n}=\int_{\mathbb{R}^{n}}h\,d\lambda_{n}. With the reduction at the start of this proof, claim 7 follows.

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