MATH 4330/5330, Fourier Analysis

Section 7, L2 convergence of Fourier Series

In the last section we investigated the convergence of the Fourier series for a
function f at a single point x, so-called pointwise convergence. We next study the
convergence of Fourier series relative to a kind of average behavior. This kind of
convergence is called L2 convergence or convergence in mean.
DEFINITION. A sequence {fn } of periodic, square-integrable functions is said
R1
to converge in L2 to a function f if the sequence of numbers { 0 |fn (x) − f (x)|2 dx}
converges to 0.
EXERCISE
√ n 7.1. For each n ≥ 1 define a function fn on [0, 1) as follows: fn (x) =
nx .
(a) Show that the sequence {fn (x)} converges to 0 for every 0 ≤ x < 1. That is,
show that √
lim nxn = 0.
n→∞

(b) Compute
Z 1 Z 1
|fn (x) − 0|2 dx = nx2n dx,
0 0
and verify that this sequence does not converge to 0.
(c) Conclude that, just because a sequence {fn } converges pointwise, it does not
mean that it must converge in L2 .
EXERCISE 7.2. Now let fn be defined by fn (x) = n1/3 if 0 ≤ x ≤ 1/n, and
fn (x) = 0 otherwise.
(a) Sketch the graph of fn .
(b) Show that fn (0) = n1/3 , which does not converge to anything.
(c) Compute
Z 1 Z n1
1
2
|fn (x) − 0| dx = n2/3 = n− 3 .
0 0

Conclude that the sequence {fn } converges to the 0 function in L2 . Conclude then
that, just because a sequence {fn } converges in L2 , it need not converge pointwise.
Here is Fourier’s Theorem in this L2 convergence context. It is perfect.
THEOREM 7.1. Let f be a periodic, square-integrable function. Then the Fourier
series for f converges in L2 to f ; i.e.,
Z 1
lim |SN (x) − f (x)|2 dx = 0.
N →∞ 0

The proof of this theorem will have to wait until we have developed some more
techniques.
For simplicity of notation, we will write φn for the exponential function φn (x) =
e2πinx .
EXERCISE 7.3. Verify that, in the φn notation, we have the following expressions
for Fourier coefficients and Fourier series.
Z 1 Z 1
fb(n) = f (x)φn (x) dx = f (x)φ−n (x) dx
0 0
1
2

and
N
X
SN (x) = fb(n)φn (x).
n=−N

PROPOSITION 7.2. The collection of functions {φn } satisfies the following

properties:
R1
(1) For every integer n, 0 |φn (x)|2 dx = 1.
R1
(2) If n 6= k, then 0 φn (x)φk (x) dx = 0.
R1
(3) For any integers n and k, 0 φn (x)φk (x) dx = δn,k , where δn,k is the Kro-
necker δ function defined by δn,k = 0 if n 6= k and = 1 if n = k.
PN
(4) If f = n=−N cn φn is a finite linear combination of the φn ’s, then
Z 1 XN
|f (x)|2 dx = |cn |2 .
0 n=−N

PROOF. We leave the proof of parts (1), (2), and (3) to the next exercise. Rather,
PN
let us use part (3) to prove part (4). Hence, suppose f = n=−N cn φn . Then
Z 1 Z 1
|f (x)|2 dx = f (x)f (x) dx
0 0
Z 1 N
X N
X
= cn φn (x) × ck φk (x) dx
0 n=−N k=−N
N
X N
X Z 1
= cn ck φn (x)φk (x) dx
n=−N k=−N 0

N
X N
X Z 1
= cn ck φn (x)φk (x) dx
n=−N k=−N 0

N
X N
X
= cn ck δn,k
n=−N k=−N
N
X
= cn cn
n=−N
N
X
= |cn |2 ,
n=−N

as desired.
EXERCISE 7.4. (a) Prove parts (1), (2), and (3) of the preceding proposition.
(b) Let f be a square-integrable function on [0, 1), and write SN for the N th
partial sum of its Fourier series. Use part (4) of the preceding proposition to show
that
Z 1 XN
|SN (x)|2 dx = |fb(n)|2 .
0 n=−N

The next result is famous, and its proof is tricky.

 3

THEOREM 7.3. (Bessel’s Inequality) Let f be a periodic, square-integrable func-

tion, and write fb for its Fourier transform. Then, for every N, we have

N
X Z 1
|fb(n)|2 ≤ |f (x)|2 dx.
n=−N 0

Consequently,

∞
X Z 1
|fb(n)|2 ≤ |f (x)|2 dx.
n=−∞ 0

PN
PROOF. Fix N, and as usual write SN (x) = n=−N fb(n)φn (x) for the partial
4

sums of the Fourier series for f. Then consider the following calculation:
Z 1
0≤ |f (x) − SN (x)|2 dx
0
Z 1
= (f (x) − SN (x))(f (x) − SN (x)) dx
0
Z 1
= (f (x) − SN (x))(f (x) − SN (x)) dx
0
Z 1 Z 1
= f (x)f (x) − f (x)SN (x) dx
0 0
Z 1 Z 1
− SN (x)f (x) dx + SN (x)SN (x) dx
0 0
Z 1 Z 1 N
X
= |f (x)|2 dx − f (x) fb(n)φn (x) dx
0 0 n=−N
Z 1 N
X Z 1
− fb(n)φn (x)f (x) dx + |SN (x)|2 dx
0 n=−N 0
Z 1 N
X Z 1
= |f (x)|2 dx − fb(n) f (x)φn (x) dx
0 n=−N 0

N
X Z 1 N
X
− fb(n) φn (x)f (x) dx + |fb(n)|2
n=−N 0 n=−N
Z 1 N
X
= |f (x)|2 dx − fb(n)fb(n)
0 n=−N
N
X Z 1 N
X
− fb(n) f (x)φn (x) dx + |fb(n)|2
n=−N 0 n=−N
Z 1 N
X
= |f (x)|2 dx − |fb(n)|2
0 n=−N
N
X N
X
− |fb(n)|2 + |fb(n)|2
n=−N n=−N
Z 1 N
X
= |f (x)|2 dx − |fb(n)|2 ,
0 n=−N

showing that
Z 1 N
X
2
0≤ |f (x)| − |fb(n)|2 ,
0 n=−N

from which the first assertion of the theorem follows.

The second assertion follows immediately from the fact that the infinite sum is
the limit of the partial sums.
 5

DEFINITION.
P∞ By L2 (Z), or simply l2 , we mean the set of all sequences {cn }∞
−∞
for which n=−∞ |cn |2 < ∞. Such sequences are called square-summable.

EXERCISE 7.5. Show that if f ∈ L2 ([0, 1)), then fb ∈ l2 .

The preceding exercise tells us something about the range of the Fourier trans-
form. It says that if f is square-integrable, then fb is square-summable. The next
theorem is an even more clean result about the range of the transform.

THEOREM 7.4. The range of the Fourier transform on L2 is all of l2 . That is,
if {cn } is a square-summable sequence in l2 , then there exists a periodic, square-
integrable function g such that cn = gb(n) for all n. Moreover,

∞
X N
X
g(x) = cn φn (x) = lim cn φn m(x),
N →∞
n=−∞ n=−N

where the limit is taken in the L2 sense.

REMARK. The proof of this theorem is a bit too advanced for this course. The
PN
argument goes like this: First show that if TN (x) is defined to be n=−N cn φn (x),
then the sequence {TN } converges in L2 to some function g. (The fact that the
sequence {cn } is square-summable is what makes this so.) Then we show that gb(n)
must equal cn for all n. This part depends on some advanced continuity notions
with respect to L2 convergence. We will just have to accept this theorem for the
moment.
We can now, with the help of the preceding result, prove Fourier’s Theorem for
L2 convergence.

PROOF OF THEOREM 7.1. Let f be a periodic, square-integrable function. Then,

by Bessel’s Inequality, or more specifically Exercise 7.5, we see that the sequence
{cn } ≡ {fb(n)} is square-summable. So, byPTheorem 7.4, there exists a periodic,
∞
square-integrable function g such that g = n=−∞ cn φn . Moreover, gb(n) = cn for
all n.
But this means that fb(n) = cn = gb(n) for all n. That is, fb = gb. Since we have
seen that the Fourier transform is 1-1, this implies that f = g, or that

∞
X
f= fb(n)φn
n=−∞

in L2 . This is exactly the claim in Theorem 7.1.

Bessel’s Inequality gives an inequality between |f (x)|2 dx and the infinite series
R

|f (n)|2 . Actually, this inequality turns out to be a precise equality.

P b

THEOREM 7.5. (Parseval’s Equality) Let f be a periodic, square-integrable

function. Then
Z 1 ∞
X
|f (x)|2 dx = |fb(n)|2 .
0 n=−∞
6

PROOF. There is one serious mathematical point in this argument. See if you can
spot it! Z 1 Z 1
|f (x)|2 dx = f (x)f (x) dx
0 0
Z 1
= f (x) lim SN (x) dx
0 N →∞
Z 1
= f (x) lim SN (x) dx
0 N →∞
Z 1 N
X
= lim f (x) fb(n)φn (x) dx
N →∞ 0 n=−N
Z 1 N
X
= lim f (x) fb(n)φn (x) dx
N →∞ 0 n=−N
N
X Z 1
= lim fb(n) f (x)φn (x) dx
N →∞ 0
n=−N
N
X
= lim fb(n)fb(n)
N →∞
n=−N
N
X
= lim |fb(n)|2
N →∞
n=−N
∞
X
= |fb(n)|2 .
n=−∞

EXERCISE 7.6. (a) Use the function f (x) = 1/2 − x and Parseval’s Equality to
derive the formula
∞
π2 X 1
= 2
.
6 n=1
n

(b) Can you recall or figure out a function f whose Fourier coefficients satisfy
something
P∞ like fb(n) = c/n2 . Use this function and Parseval’s Equality to compute
4 4
n=1 1/n . (You should get π /90.