Tutorial 19: Fourier Transform 1

19. Fourier Transform

Exercise 1. Let a, b ∈ R, a < b. Let f : [a, b] → C be a map such
that f 0 (t) exists for all t ∈ [a, b]. We assume that:
Z b
|f 0 (t)|dt < +∞
a
0
1. Show that f : ([a, b], B([a, b])) → (C, B(C)) is measurable.
2. Show that: Z b
f (b) − f (a) = f 0 (t)dt
a

Exercise 2. We define the maps ψ : R2 → C and φ : R → C:

4 2
∀(u, x) ∈ R2 , ψ(u, x) = eiux−x /2
Z +∞
4
∀u ∈ R , φ(u) = ψ(u, x)dx
−∞

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Tutorial 19: Fourier Transform 2

1. Show that for all u ∈ R, the map x → ψ(u, x) is measurable.

2. Show that for all u ∈ R, we have:
Z +∞ √
|ψ(u, x)|dx = 2π < +∞
−∞

and conclude that φ is well defined.

3. Let u ∈ R and (un )n≥1 be a sequence in R converging to u.
Show that φ(un ) → φ(u) and conclude that φ is continuous.
4. Show that: Z +∞
xe−x
2
/2
dx = 1
0

5. Show that for all u ∈ R, we have:

Z +∞
∂ψ
(u, x) dx = 2 < +∞
∂u
−∞

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Tutorial 19: Fourier Transform 3

6. Let a, b ∈ R, a < b. Show that:

Z b
eib − eia = ieix dx
a

7. Let a, b ∈ R, a < b. Show that:

|eib − eia | ≤ |b − a|

8. Let a, b ∈ R, a 6= b. Show that for all x ∈ R:

ψ(b, x) − ψ(a, x)
≤ |x|e−x2 /2
b−a

9. Let u ∈ R and (un )n≥1 be a sequence in R converging to u,

with un 6= u for all n. Show that:
Z +∞
φ(un ) − φ(u) ∂ψ
lim = (u, x)dx
n→+∞ un − u −∞ ∂u

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Tutorial 19: Fourier Transform 4

10. Show that φ is differentiable with:

Z +∞
∂ψ
∀u ∈ R , φ0 (u) = (u, x)dx
−∞ ∂u

11. Show that φ is of class C 1 .

12. Show that for all (u, x) ∈ R2 , we have:
∂ψ ∂ψ
(u, x) = −uψ(u, x) − i (u, x)
∂u ∂x
13. Show that for all u ∈ R:
Z +∞
∂ψ

∂x (u, x) dx < +∞
−∞

14. Let a, b ∈ R, a < b. Show that for all u ∈ R:

Z b
∂ψ
ψ(u, b) − ψ(u, a) = (u, x)dx
a ∂x

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Tutorial 19: Fourier Transform 5

15. Show that for all u ∈ R:

Z +∞
∂ψ
(u, x)dx = 0
−∞ ∂x

16. Show that for all u ∈ R:

φ0 (u) = −uφ(u)

Exercise 3. Let S be the set of functions defined by:

4
S = {h : h ∈ C 1 (R, R) , ∀u ∈ R , h0 (u) = −uh(u)}
1. Let φ be as in ex. (2). Show that Re(φ) and Im(φ) lie in S.
2. Given h ∈ S, we define g : R → R, by:
4 2
∀u ∈ R , g(u) = h(u)eu /2

Show that g is of class C 1 with g 0 = 0.

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Tutorial 19: Fourier Transform 6

3. Let a, b ∈ R, a < b. Show the existence of c ∈]a, b[, such that:

g(b) − g(a) = g 0 (c)(b − a)

4. Conclude that for all h ∈ S, we have:

∀u ∈ R , h(u) = h(0)e−u
2
/2

5. Prove the following:

Theorem 124 For all u ∈ R, we have:

Z +∞
1
eiux−x /2 dx = e−u /2
2 2
√
2π −∞

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Tutorial 19: Fourier Transform 7

Definition 135 Let µ1 , . . . , µp be complex measures on Rn , where

n, p ≥ 1. We call convolution of µ1 , . . . , µp , denoted µ1 ? . . . ? µp , the
image measure of the product measure µ1 ⊗ . . . ⊗ µp by the measurable
map S : (Rn )p → Rn defined by:
4
S(x1 , . . . , xp ) = x1 + . . . + xp
In other words, µ1 ? . . . ? µp is the complex measure on Rn , defined by:
4
µ1 ? . . . ? µp = S(µ1 ⊗ . . . ⊗ µp )

Recall that the product µ1 ⊗ . . . ⊗ µp is defined in theorem (66).

Exercise 4. Let µ, ν be complex measures on Rn .
1. Show that for all B ∈ B(Rn ):
Z
µ ? ν(B) = 1B (x + y)dµ ⊗ ν(x, y)
Rn ×Rn

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Tutorial 19: Fourier Transform 8

2. Show that for all B ∈ B(Rn ):

Z Z
µ ? ν(B) = 1B (x + y)dµ(x) dν(y)
Rn Rn

3. Show that for all B ∈ B(Rn ):

Z Z
µ ? ν(B) = 1B (x + y)dν(x) dµ(y)
Rn Rn

4. Show that µ ? ν = ν ? µ.
5. Let f : Rn → C be bounded and measurable. Show that:
Z Z
f dµ ? ν = f (x + y)dµ ⊗ ν(x, y)
Rn Rn ×Rn

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Tutorial 19: Fourier Transform 9

Exercise 5. Let µ, ν be complex measures on Rn . Given B ⊆ Rn

and x ∈ Rn , we define B − x = {y ∈ Rn , y + x ∈ B}.
1. Show that for all B ∈ B(Rn ) and x ∈ Rn , B − x ∈ B(Rn ).
2. Show x → µ(B −x) is measurable and bounded, for B ∈ B(Rn ).
3. Show that for all B ∈ B(Rn ):
Z
µ ? ν(B) = µ(B − x)dν(x)
Rn

4. Show that for all B ∈ B(Rn ):

Z
µ ? ν(B) = ν(B − x)dµ(x)
Rn

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Tutorial 19: Fourier Transform 10

Exercise 6. Let µ1 , µ2 , µ3 be complex measures on Rn .

1. Show that for all B ∈ B(Rn ):
Z
µ1 ? (µ2 ? µ3 )(B) = 1B (x + y)dµ1 ⊗ (µ2 ? µ3 )(x, y)
Rn ×Rn

2. Show that for all B ∈ B(Rn ) and x ∈ Rn :

Z Z
1B (x + y)dµ2 ? µ3 (y) = 1B (x + y + z)dµ2 ⊗ µ3 (y, z)
Rn Rn ×Rn

3. Show that for all B ∈ B(Rn ):

Z
µ1 ? (µ2 ? µ3 )(B) = 1B (x + y + z)dµ1 ⊗ µ2 ⊗ µ3 (x, y, z)
Rn ×Rn ×Rn

4. Show that µ1 ? (µ2 ? µ3 ) = µ1 ? µ2 ? µ3 = (µ1 ? µ2 ) ? µ3

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Tutorial 19: Fourier Transform 11

Definition 136 Let n ≥ 1 and a ∈ Rn . We define δa : B(Rn ) → R+ :

4
∀B ∈ B(Rn ) , δa (B) = 1B (a)
δa is called the Dirac probability measure on Rn , centered in a.

Exercise 7. Let n ≥ 1 and a ∈ Rn .

1. Show that δa is indeed a probability measure on Rn .
2. Show for all f : Rn → [0, +∞] non-negative and measurable:
Z
f dδa = f (a)
Rn

3. Show if f : Rn → C is measurable, f ∈ L1C (Rn , B(Rn ), δa ) and:

Z
f dδa = f (a)
Rn

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Tutorial 19: Fourier Transform 12

4. Show that for any complex measure µ on Rn :

µ ? δ0 = δ0 ? µ = µ

5. Let τa (x) = a + x define the translation of vector a in Rn . Show

that for any complex measure µ on Rn :
µ ? δa = δa ? µ = τa (µ)

Exercise 8. Let f, g : (Ω, F ) → (C, B(C)) be two measurable maps,

where (Ω, F ) is a measurable space. Let u = Re(f ), v = Im(f ),
u0 = Re(g) and v 0 = Im(g).
1. Show that u, v, u0 , v 0 : (Ω, F ) → (R, B(R)) are all measurable.
2. Show that u + u0 , v + v 0 , uu0 − vv 0 and uv 0 + u0 v are measurable.
3. Show that f + g, f g : (Ω, F ) → (C, B(C)) are measurable.
4. Show that C = R2 has a countable base.

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Tutorial 19: Fourier Transform 13

5. Show that B(C × C) = B(C) ⊗ B(C).

6. Show that (z, z 0 ) → z + z 0 and (z, z 0 ) → zz 0 are continuous.
7. Show that ω → (f (ω), g(ω)) is measurable w.r. to B(C) ⊗ B(C).
8. Conclude once more that f + g and f g are measurable.

Exercise 9. Let n ≥ 1 and µ, ν be complex measures on Rn . We

assume that ν << dx, i.e. that ν is absolutely continuous with respect
to the Lebesgue measure on Rn .
R
1. Show there is f ∈ L1C (Rn , B(Rn ), dx), such that ν = f dx.
2. Show that for all B ∈ B(Rn ), we have:
Z
µ ? ν(B) = ν(B − x)dµ(x)
Rn

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Tutorial 19: Fourier Transform 14

3. Show that for all B ∈ B(Rn ) and x ∈ Rn :

Z
ν(B − x) = 1B (y)f (y − x)dy
Rn

4. Show that for all B ∈ B(Rn ) the map:

(x, y) → 1B (y)f (y − x)
lies in L1C (Rn × Rn , B(Rn ) ⊗ B(Rn ), |µ| ⊗ dy).
R
5. Let h ∈ L1C (Rn , B(Rn ), |µ|) with |h| = 1, µ = hd|µ|. Show:
(x, y) → 1B (y)f (y − x)h(x)
also lies in L1C (Rn × Rn , B(Rn ) ⊗ B(Rn ), |µ| ⊗ dy).
6. Show that for all B ∈ B(Rn ), we have:
Z Z
µ ? ν(B) = f (y − x)dµ(x) dy
B Rn

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Tutorial 19: Fourier Transform 15

4 R
7. Let g be the map defined by g(y) = Rn f (y − x)dµ(x). Recall
why g is dy-almost surely well-defined, and dy-almost surely
equal to an element of L1C (Rn , B(Rn ), dy).
R
8. Show that µ ? ν = gdx and µ ? ν << dx.

Theorem 125 Let µ, ν be two complex measures on Rn , n ≥ 1. If

ν << dx, i.e. ν is absolutely continuous with respect to the Lebesgue
measure on Rn , with density f ∈ L1C (Rn, B(Rn), dx), then the convo-
lution µ ? ν = ν ? µ is itself absolutely continuous with respect to the
Lebesgue measure on Rn , with density:
Z
g(y) = f (y − x)dµ(x) , dy − a.s.
Rn
R
In other words, µ ? ν = ν ? µ = gdx.

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Tutorial 19: Fourier Transform 16

Exercise 10. Let f ∈ L1C (Ω, F , µ) where (Ω, F , µ) is a measure

R space.
Let ν be the complex measure on (Ω, F ) defined by ν = f dµ. Let
g : (Ω, F ) → (C, B(C)) be a measurable map.
1. Show that g ∈ L1C (Ω, F , ν) ⇔ gf ∈ L1C (Ω, F , µ).
2. Show that for all g ∈ L1C (Ω, F , ν):
Z Z
gdν = gf dµ

R
Exercise 11. Further to theorem (125), show that if µ = hdx for
some h ∈ L1C (Rn , B(Rn ), dx), then:
Z
g(y) = f (y − x)h(x)dx , dy − a.s.
Rn

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Tutorial 19: Fourier Transform 17

Definition 137 Let µ be a complex measure on (Rn , B(Rn )), n ≥ 1.

We call Fourier transform of µ, the map F µ : Rn → C defined by:
Z
4
∀u ∈ Rn , F µ(u) = eihu,xi dµ(x)
Rn

where h·, ·i is the usual inner-product in Rn .

Exercise 12. Further to definition (137):

1. Show that F µ is well-defined.
2. Show that F µ ∈ CC
b
(Rn ), i.e F µ is continuous and bounded.
3. Show that for all a, u ∈ Rn , we have F δa (u) = eihu,ai .
4. Let µ be the probability measure on (R, B(R)) defined by:
Z
4 1
e−x /2 dx
2
∀B ∈ B(R) , µ(B) = √
2π B
Show that F µ(u) = e−u
2
/2
, for all u ∈ R.

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Tutorial 19: Fourier Transform 18

Exercise 13. Let µ1 , . . . , µp be complex measures on Rn , p ≥ 2.

1. Show that for all u ∈ Rn , we have:
Z
F (µ1 ? . . . ? µp )(u) = eihu,x1 +...+xp i dµ1 ⊗ . . . ⊗ µp (x)
(Rn )p

2. Show that if p ≥ 3 then µ1 ? . . . ? µp = (µ1 ? . . . ? µp−1 ) ? µp .

3. Show that F (µ1 ? . . . ? µp ) = Πpj=1 F µj .

Exercise 14. Let n ≥ 1, σ > 0 and gσ : Rn → R+ defined by:

4 1
e−kxk /2σ
2 2
∀x ∈ Rn , gσ (x) = n
n
(2π) σ
2

R
1. Show that Rn gσ (x)dx = 1.
2. Show that for all u ∈ Rn , we have:
Z
gσ (x)eihu,xi dx = e−σ kuk /2
2 2

Rn

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Tutorial 19: Fourier Transform 19
R
3. Show that Pσ = gσ dx is a probability on Rn , and:

∀u ∈ Rn , F Pσ (u) = e−σ kuk2 /2

2

4. Show that for all x ∈ Rn , we have:

Z
1
eihx,ui−σ kuk /2 du
2 2
gσ (x) = n
(2π) Rn

Exercise 15. Further to ex. (14), let µ be a complex measure on

Rn .
R
1. Show that µ ? Pσ = φσ dx where:
Z
φσ (x) = gσ (x − y)dµ(y) , dx − a.s.
Rn

2. Show that we also have:

Z
φσ (x) = gσ (y − x)dµ(y) , dx − a.s.
Rn

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Tutorial 19: Fourier Transform 20

3. Show that:
Z Z
1 2
kuk2 /2
φσ (x) = eihy−x,ui−σ du dµ(y) , dx − a.s.
(2π)n Rn Rn

4. Show that:
Z
1
e−ihx,ui−σ kuk2 /2
2
φσ (x) = (F µ)(u)du
(2π)n Rn

5. Show that if µ, ν are two complex measures on Rn such that

F µ = F ν, then for all σ > 0, we have µ ? Pσ = ν ? Pσ .

Definition 138 Let (Ω, T ) be a topological space. Let (µk )k≥1 be a

sequence of complex measures on (Ω, B(Ω)). We say that the sequence
(µk )k≥1 narrowly converges, or weakly converges to a complex
measure µ on (Ω, B(Ω)), and we write µk → µ, if and only if:
Z Z
∀f ∈ CR
b
(Ω) , lim f dµk = f dµ
k→+∞

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Tutorial 19: Fourier Transform 21

Exercise 16. Further to definition (138):

1. Show that µk → µ narrowly, is equivalent to:
Z Z
∀f ∈ CC (Ω) , lim
b
f dµk = f dµ
k→+∞

2. Show that if (Ω, T ) is metrizable and ν is a complex measure on

(Ω, B(Ω)) such that µk → µ and µk → ν narrowly, then µ = ν.

Theorem 126 On a metrizable topological space, the narrow or weak

limit when it exists, of any sequence of complex measures, is unique.

Exercise 17.
1. Show that on (R, B(R)), we have δ1/n → δ0 narrowly.
2. Show there is B ∈ B(R), such that δ1/n (B) 6→ δ0 (B).

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Tutorial 19: Fourier Transform 22

Exercise 18. Let n ≥ 1. Given σ > 0, let Pσ be the probability

measure on (Rn , B(Rn )) defined as in ex. (14). Let (σk )k≥1 be a
sequence in R+ such that σk > 0 and σk → 0.
1. Show that for all f ∈ CR
b
(Rn ), we have:
Z Z
1
f (σk x)e−kxk /2 dx
2
f (x)gσk (x)dx = n
Rn (2π) 2
Rn

2. Show that for all f ∈ CRb

(Rn ), we have:
Z
lim f (x)gσk (x)dx = f (0)
k→+∞ Rn

3. Show that Pσk → δ0 narrowly.

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Tutorial 19: Fourier Transform 23

Exercise 19. Let µ, ν be two complex measures on Rn . Let (νk )k≥1

be a sequence of complex measures on Rn , which narrowly converges
to ν. Let f ∈ CR
b
(Rn ), and φ : Rn → R be defined by:
Z
4
∀y ∈ R , φ(y) =
n
f (x + y)dµ(x)
Rn

1. Show that:
Z Z
f dµ ? νk = f (x + y)dµ ⊗ νk (x, y)
Rn Rn ×Rn

2. Show that: Z Z
f dµ ? νk = φdνk
Rn Rn

3. Show that φ ∈ CC
b
(Rn ).
4. Show that: Z Z
lim φdνk = φdν
k→+∞ Rn Rn

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Tutorial 19: Fourier Transform 24

5. Show that:
Z Z
lim f dµ ? νk = f dµ ? ν
k→+∞ Rn Rn

6. Show that µ ? νk → µ ? ν narrowly.

Theorem 127 Let µ, ν be two complex measures on Rn , n ≥ 1. Let

(νk )k≥1 be a sequence of complex measures on Rn . Then:
νk → ν narrowly ⇒ µ ? νk → µ ? ν narrowly

Exercise 20. Let µ, ν be two complex measures on Rn , such that

F µ = F ν. For all σ > 0, let Pσ be the probability measure on
(Rn , B(Rn )) as defined in ex. (14). Let (σk )k≥1 be a sequence in R+
such that σk > 0 and σk → 0.
1. Show that µ ? Pσk = ν ? Pσk , for all k ≥ 1.
2. Show that µ ? Pσk → µ ? δ0 narrowly.

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Tutorial 19: Fourier Transform 25

3. Show that (µ ? Pσk )k≥1 narrowly converges to both µ and ν.

4. Prove the following:

Theorem 128 Let µ, ν be two complex measures on Rn . Then:

Fµ = Fν ⇒ µ=ν
i.e. the Fourier transform is an injective mapping on M 1 (Rn , B(Rn )).

Definition 139 Let (Ω, F , P ) be a probability space. Given n ≥ 1,

and a measurable map X : (Ω, F ) → (Rn , B(Rn )), the mapping φX
defined as:
4
∀u ∈ Rn , φX (u) = E[eihu,Xi ]
is called the characteristic function1 of the random variable X.

1 Do not confuse with the characteristic function 1A of a set A, definition (39).

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Tutorial 19: Fourier Transform 26

Exercise 21. Further to definition (139):

1. Show that φX is well-defined, bounded and continuous.
2. Show that we have:
Z
∀u ∈ Rn , φX (u) = eihu,xi dX(P )(x)
Rn

3. Show φX is the Fourier transform of the image measure X(P ).

4. Show the following:

Theorem 129 Let X, Y : (Ω, F ) → (Rn , B(Rn )), n ≥ 1, be two

random variables on a probability space (Ω, F , P ). If X and Y have
the same characteristic functions, i.e.
∀u ∈ Rn , E[eihu,Xi ] = E[eihu,Y i ]
then X and Y have the same distributions, i.e.
∀B ∈ B(Rn ) , P ({X ∈ B}) = P ({Y ∈ B})

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Tutorial 19: Fourier Transform 27

Definition 140 Let n ≥ 1. Given α = (α1 , . . . , αn ) ∈ Nn , we define

the modulus of α, denoted |α|, by |α| = α1 + . . . + αn . Given x ∈ Rn
and α ∈ Nn , we put:
4
xα = xα 1 αn
1 . . . xn
α
where it is understood that xj j = 1 whenever αj = 0. Given a map
f : U → C, where U is an open subset of Rn , we denote ∂ α f the
|α|-th partial derivative, when it exists:
4 ∂ |α| f
∂ αf =
∂xα
1
1
. . . ∂xα
n
n

Note that ∂ α f = f , whenever |α| = 0. Given k ≥ 0, we say that f is

of class C k , if and only if for all α ∈ Nn with |α| ≤ k, ∂ α f exists
and is continuous on U .

Exercise 22. Explain why def. (140) is consistent with def. (130).

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Tutorial 19: Fourier Transform 28

Exercise 23. Let µ be a complex measure on Rn , and α ∈ Nn , with:

Z
|xα |d|µ|(x) < +∞ (1)
Rn
R
Let xα µ the complex measure on Rn defined by xα µ = xα dµ.
1. Explain why the above integral (1) is well-defined.
2. Show that xα µ is a well-defined complex measure on Rn .
3. Show that the total variation of xα µ is given by:
Z
∀B ∈ B(Rn ) , |xα µ|(B) = |xα |d|µ|(x)
B

4. Show that the Fourier transform of xα µ is given by:

Z
∀u ∈ R , F (x µ)(u) =
n α
xα eihu,xi dµ(x)
Rn

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Tutorial 19: Fourier Transform 29

Exercise 24. Let µ be a complex measure on Rn . Let β ∈ Nn with

|β| = 1, and: Z
|xβ |d|µ|(x) < +∞
Rn
Let x µ be the complex measure on Rn defined as in ex. (23).
β

1. Show that there is j ∈ Nn with xβ = xj for all x ∈ Rn .

2. Show that for all u ∈ Rn , ∂F µ

∂uj (u) exists and that we have:
Z
∂F µ
(u) = i xj eihu,xi dµ(x)
∂uj Rn

3. Conclude that ∂ β F µ exists and that we have:

∂ β F µ = iF (xβ µ)

4. Explain why ∂ β F µ is continuous.

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Tutorial 19: Fourier Transform 30

Exercise 25. Let µ be a complex measure on Rn . Let k ≥ 0 be an

integer. We assume that for all α ∈ Nn , we have:
Z
|α| ≤ k ⇒ |xα |d|µ|(x) < +∞ (2)
Rn
In particular, if |α| ≤ k, the measure xα µ of ex. (23) is well-defined.
We claim that for all α ∈ Nn with |α| ≤ k, ∂ α F µ exists, and:
∂ α F µ = i|α| F (xα µ)
1. Show that if k = 0, then the property is obviously true. We
assume the property is true for some k ≥ 0, and that the above
integrability condition (2) holds for k + 1.
2. Let α0 ∈ Nn be such that |α0 | ≤ k + 1. Explain why if |α0 | ≤ k,
0
then ∂ α F µ exists, with:
0 0 0
∂ α F µ = i|α | F (xα µ)

3. We assume that |α0 | = k + 1. Show the existence of α, β ∈ Nn

such that α + β = α0 , |α| = k and |β| = 1.

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Tutorial 19: Fourier Transform 31

4. Explain why ∂ α F µ exists, and:

∂ α F µ = i|α| F (xα µ)

5. Show that: Z
|xβ |d|xα µ|(x) < +∞
Rn

6. Show that ∂ β F (xα µ) exists, with:

∂ β F (xα µ) = iF (xβ (xα µ))

7. Show that ∂ β (∂ α F µ) exists, with:

∂ β (∂ α F µ) = i|α|+1 F (xβ (xα µ))
0
8. Show that xβ (xα µ) = xα µ.
9. Conclude that the property is true for k + 1.
10. Show the following:

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Tutorial 19: Fourier Transform 32

Theorem 130 Let µ be a complex measure on Rn , n ≥ 1. Let k ≥ 0

be an integer such that for all α ∈ Nn with |α| ≤ k, we have:
Z
|xα |d|µ|(x) < +∞
Rn

Then, the Fourier transform F µ is of class C k on Rn , and for all

α ∈ Nn with |α| ≤ k, we have:
Z
|α|
∀u ∈ R , ∂ F µ(u) = i
n α
xα eihu,xi dµ(x)
Rn
In particular: Z
xα dµ(x) = i−|α| ∂ α F µ(0)
Rn

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