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Chain rule for globally Lipschitz scalar maps of Sobolev functions
Sources
- Juha Kinnunen, Sobolev Spaces, Chapter 2 §2.1 (chain rule, Lemma 2.1 and Remark 2.2(4)) and §2.6 (Nikodym ACL characterisation, Theorem 2.36, printed pp. 55–59). The source proves the composition formula for maps with bounded derivative by smooth approximation and records as an exercise that globally Lipschitz maps suffice; the proof below instead combines the ACL representative with the one-dimensional chain rule for absolutely continuous functions, as the design requires, and does not use the later density theorem.
- John K. Hunter, Notes on Partial Differential Equations, Chapter 3, §§3.1–3.5, for the weak derivative, the ACL characterisation and the model truncated-map calculation (Proposition 3.22 and the remark after it that the hypothesis can be relaxed to ).
- For the level-set clause the accepted answer to the linked question proves, by a covering argument with the sets near , that a one-dimensional absolutely continuous function has almost everywhere on the preimage of a null set. The proof of Claim A below is that argument, written out with the outer-measure conventions of this library.
Statement
Assume the Axiom of Choice, used for the published ACL characterisation and the Countable-Choice interfaces cited in the proof. Let be open, , let , let , and let be Lipschitz with constant . Put
- Membership. , and if and only if . This holds automatically if , and also if and .
- Level-set clause. has Lebesgue measure zero, and for every Lebesgue-null set (no measurability of is assumed), every measurable representative of and every measurable representative of satisfy: the set and has Lebesgue outer measure zero. In particular almost everywhere on the part of where takes values in .
- Chain rule with the level-set convention. Let and be measurable representatives of and . Define Then agrees almost everywhere with a measurable function, determines an element of , and is a representative of the weak derivative: That is, the classical product is used where is differentiable at , and on the remaining preimage the product is taken as zero. Moreover, for every Borel function with almost everywhere, the class of is the same, and almost everywhere.
If every assertion is vacuous. The constant case , the endpoint exponents and and the case are included. No assertion is made about the pointwise derivative of an arbitrary representative of , and none about a pointwise derivative of at a point where fails to be differentiable.
Facts & Assumptions
Given: The Axiom of Choice; an open with ; an exponent ; a class ; and an -Lipschitz function with .
is the set of classes such that for every first-order multi-index there is an class with a locally integrable representative satisfying the signed test identity for every test function; each such derivative determines one class . For open with compact in , the notation means that the restriction of the class belongs to (Integer-order Sobolev spaces and their norms).
measurable and for a measure space (The space of essentially bounded measurable functions).
For , consists of the measurable with , and denotes the quotient of by the almost-everywhere-zero functions (The function space for ).
On a measure space, for and for is the set of almost-everywhere classes of respectively , and for the displayed quotient agrees with the usual quotient-vector-space construction (The space as the quotient by null functions).
Assume the Axiom of Choice. Let be open, , and . A class on lies in if and only if and has one measurable ACL representative whose classical coordinate derivatives exist almost everywhere, are measurable, and belong to . In that case is a representative of for every (The ACL characterisation of ).
Assume Countable Choice for the completed-product convention. A measurable representative of a class on open is absolutely continuous on almost every coordinate line (ACL) when its sections along almost every line in each coordinate direction are absolutely continuous on compact subintervals, with exceptional parameter sets allowed to depend on the direction and the box; the countable family of open rational boxes with covers , and the exceptional sets may be united into one null set per direction. For the condition is absolute continuity on every compact subinterval of ; if the condition is vacuous (Absolute continuity on almost every coordinate line).
For , a function is absolutely continuous when each short finite family of disjoint subintervals with total length below has total endpoint oscillation below (Absolute continuity on a compact interval).
Assume Countable Choice. If weakly on and is open, then weakly on (Linearity, locality, and commutation of weak derivatives).
If and is Lipschitz on , then (A Lipschitz function after an absolutely continuous function is absolutely continuous).
Let and be metric spaces. A function is Lipschitz with constant when for all (Lipschitz map, -Hölder map for rational , and contraction).
Every Lipschitz is absolutely continuous ( implies Lipschitz, Lipschitz implies absolutely continuous, and absolutely continuous implies continuous and bounded variation).
Assume Countable Choice and Dependent Choice. A real function on a compact interval is absolutely continuous if and only if exists almost everywhere, , and for every (Fundamental theorem of calculus for absolutely continuous functions).
Assume Countable Choice and Dependent Choice. Let and , let be a representative of an element of , let be its indefinite integral on , and let be absolutely continuous. If is absolutely continuous, then almost everywhere and ; the conclusion holds for every such representative (Chain rule for an indefinite integral after an absolutely continuous composition).
Assume Countable Choice. Every box with is Lebesgue measurable with measure the product of the side lengths, so a box with has finite positive measure (A box in with parameters is Lebesgue measurable of measure , whichever of its faces are included).
Assume Countable Choice. Every bounded Lebesgue measurable subset of has finite measure (Lebesgue measure is sigma-finite, and every metrically bounded subset of has finite outer measure).
If satisfy and lie in the corresponding spaces, then lies in the space for and (Generalized Holder inequality puts products into ).
If , and , then ; and if and , then and (Finite-measure includes into for ).
If is measurable with , then almost everywhere; and if almost everywhere, then (The essential supremum is attained as the least essential bound).
For the class is a real vector space under pointwise addition and scalar multiplication, and so is ( and are vector spaces for ).
Assume Countable Choice. Every continuous map , , is Borel measurable (Continuous functions on Euclidean spaces are Borel measurable).
If is measurable and is Borel measurable on its codomain, then is measurable (Composition with a Borel measurable outer map preserves measurability).
In ZF, every open cover of an open admits an at most countable locally finite smooth partition of unity with compact supports, each support contained in some member of the cover (Test function cutoffs and euclidean localization).
The class is a complex vector space and the Lebesgue integral is complex-linear on it (The Lebesgue integral is linear on ).
For nonnegative measurable one has , and for (Monotonicity and nonnegative homogeneity of the nonnegative integral).
A measure on a space is finite if (Finite, sigma-finite, and semifinite measures).
In ZF the Axiom of Choice implies Countable Choice and the prescribed-start form of Dependent Choice (AC supplies the countable and dependent choices used in Banach integration).
The Axiom of Choice asserts a choice function for every family of nonempty sets (The Axiom of Choice).
For , and a limit point of , the difference quotient is , and is differentiable at exactly when exists, in which case is that limit (The derivative of at a point that is a limit point of , and differentiability on a set, The - limit of at a limit point of ).
For a sequence of reals, and in , and exists exactly when the two agree (Limit superior and limit inferior of a real sequence as and in , A real sequence converges to iff , and diverges to iff both equal ).
Let be a measurable space and let be measurable for every . Then , , and are measurable, and the set where converges in is measurable (Sequential suprema, infima, limsup, liminf, and pointwise limits of measurable functions are measurable).
Assume Countable Choice and . The Lebesgue outer measure of is the infimum of over countable covers of by elementary sets ; in particular means that for every there is a countable family of boxes covering with total elementary volume below (Lebesgue outer measure on ).
Assume Countable Choice. Lebesgue outer measure is monotone and countably subadditive, and agrees with elementary volume on elementary sets, so for and of a countable union of null sets is zero (Assuming countable choice, Lebesgue outer measure is an outer measure that restricts to elementary volume).
Assume Countable Choice. For every subset and every there is an open with (Assuming countable choice, the Lebesgue outer measure of an arbitrary subset of is the infimum of the measures of the open sets containing it).
Assume Countable Choice. Under the completed-product convention of the ACL definition, iterated integrals over compute the integral against for nonnegative measurable functions (Tonelli and Fubini for the completed product, with only almost-everywhere section measurability, Absolute continuity on almost every coordinate line).
The canonical naturals are cofinal in (Every complete ordered field is Archimedean).
Proof
By [F26] the Axiom of Choice [F27] yields Countable Choice and Dependent Choice in ZF. Only these are used below: Countable Choice in the ACL definition [F6], the locality lemma [F8], the box-measure formula [F14], finiteness of Lebesgue measure on bounded sets [F15], the Borel measurability of continuous maps [F20], outer regularity [F33], the completed-product convention [F34], and the countable selection of box representatives below; Dependent Choice in the one-dimensional chain rule [F13] and the fundamental theorem [F12]; and the ACL characterisation [F5] under the Axiom of Choice itself.
Since is a metric space and is -Lipschitz, [F10] gives for all real , hence for every . For every compact interval the restriction is Lipschitz, hence absolutely continuous in the sense of [F7] by [F11]. Applying [F12] on each gives: exists almost everywhere on , , and for every and every measurable with almost everywhere on . Since , countable subadditivity of outer measure [F32] makes a Lebesgue-null set, and for every measurable with almost everywhere on the restriction is a representative of the class of .
Claim A (one-dimensional level sets). Let be a compact interval, let satisfy , and let be any function. Then the set satisfies . Proof of Claim A. Fix and write . By the definition of the derivative as a limit of difference quotients [F28] there is with for all with . Choose so large that and . Then for every such the reverse triangle inequality gives . Consequently , where is the set of such that for every . Fix . By [F35] choose with and split into consecutive intervals of length . It suffices to show for one such , since is the union of the finitely many sets and outer measure is subadditive [F32]. Let . Since , the definition of outer measure [F31] provides countably many boxes, that is intervals , with and . Then , so monotonicity and countable subadditivity [F32] give For each , the set is contained in the interval of length below , so any two points of satisfy and hence, by the defining property of , ; moreover , so . If , its outer measure is zero. Otherwise the pairwise estimate gives . For every , the bounded set lies in an interval of length at most (use its infimum and supremum), so . Summing, ; since was arbitrary, . Summing the finitely many gives , and countable subadditivity over gives . This proves Claim A.
We construct one measurable almost-everywhere version of that vanishes off a controlled set. For and put ; each is continuous, hence Borel measurable by [F20], and for all by the Lipschitz bound of step 1.2. Let and , extended-real-valued and measurable by [F30], and let where is understood as outside . The set is measurable by [F30], so is measurable, and everywhere because on the value is , a limit of numbers bounded by , and outside the value is . If is differentiable at , then is the limit of the difference quotients as the increment tends to [F28], so the sequence converges to ; the criterion [F29] then gives and hence . Thus on pointwise, and almost everywhere on because is null by step 1.2.
Fix one measurable representative of the class and, for each , one measurable representative of the class ; this is one representative plus finitely many others, so no infinite selection is made. By [F21] the function is measurable, and everywhere by step 2.1, so [F2] and [F18] put in with . Define the measurable function . For the case of [F16] gives with , and for its case gives ; in both cases [F3] and [F4] make an element of the quotient space . If and are further measurable representatives of the same two classes, then and almost everywhere, hence almost everywhere, and [F4] shows that the same class is obtained; we write for it.
Fix one coordinate direction and a rational box with , as in [F6], and write . By [F14] has finite measure, and the restriction of the class lies in . Put when and when . Then lies in : for finite this is , and for the class is converted into by the second clause of [F17]; and by [F8] each weak derivative restricts, on , with by the same two clauses. By [F1] this says , and since the ACL characterisation [F5] applies on the open box : it provides one measurable representative of the class , ACL in every direction, whose classical coordinate derivatives exist almost everywhere, are measurable, lie in , and represent almost everywhere for every . Since and both represent , and and both represent , we have and almost everywhere on for every , so in particular almost everywhere on . The assignment of one representative to each rational box is a selection from countably many nonempty sets, licensed by the Countable Choice of step 1.1.
Level sets on a box. Fix the rational box and the ACL representative of step 4.1, and recall the one-dimensional input Claim A of step 1.3. Let be a Borel set with . We claim that vanishes, as a classical partial derivative, almost everywhere on the measurable set . Extend the measurable function , initially defined almost everywhere on , by the value on the null set where it does not exist, and keep the notation for the extension; this changes the function only on a null set. Then the set and is measurable, because , the extension, and are measurable. By the completed-product convention and Tonelli [F34] applied to the indicator of , where and is the section. For every outside the exceptional set of the ACL definition [F6] the section is absolutely continuous on every compact subinterval of , hence differentiable almost everywhere there by [F12]. For such and every compact subinterval , Claim A of step 1.3 applies to and the null set : the set of with and differentiable at with has outer measure zero; and the set where fails to exist is null by [F12], while equals the partial derivative at every point of differentiability, by the definition of the partial derivative [F28] (the extension agrees with the classical partial derivative wherever the latter exists). Hence . Exhausting by countably many compact subintervals, countable subadditivity [F32] gives for every such ; since the exceptional -set is null, the integral above is and . Restoring the modification on the null set where the extension differs from the true partial derivative gives the claim: almost everywhere on , and consequently the weak derivative satisfies almost everywhere on that set, by the representative comparison of step 4.1.
We verify the membership and representative clauses for the class on , whose exponent satisfies . First : by step 1.2 for every real , so pointwise; the bound function lies in because the constant belongs to by the second clause of [F17] applied to the finite-measure box of [F14], the multiple belongs to by [F19], and sums of functions belong to by [F19]; monotonicity [F24] of the nonnegative integral then gives , so [F3] and [F4] make an element of . Second, is a measurable representative of that class: it is measurable by [F21] applied to the Borel function , which is continuous and hence Borel by [F20], and to the measurable of step 4.1; and it agrees with almost everywhere on because almost everywhere there. Third, is ACL: by [F6] the sections of in direction are absolutely continuous in the sense of [F7] on every compact subinterval of , for every transverse parameter outside a null set depending on the direction, and is Lipschitz on the whole real line with constant by [F10], so [F9] makes each composite section absolutely continuous on every compact subinterval; the same null exceptional sets therefore serve for .
The classical derivative of in direction exists almost everywhere on and equals almost everywhere. Indeed, fix outside the exceptional set of [F6] and a compact subinterval ; the section is absolutely continuous on by [F7], its image is a compact interval, and by step 1.2 the restriction of to satisfies for all , so that for the function , which is a representative of the class of ; the composite is absolutely continuous by [F9], so is absolutely continuous as well. Apply [F13] to this normalized indefinite integral to obtain almost everywhere on , with ; since the derivative of a constant is zero, there; this holds for every compact subinterval, so almost everywhere on . At every point where the partial derivative exists, is differentiable there with , by the definition of the partial derivative [F28]. Since exists almost everywhere on by step 4.1, and exists almost everywhere on for the good , the partial derivative exists almost everywhere on and agrees there with : the set where either the partial derivative fails to exist or differs from is contained in the union of the null set of bad and, for each good , a null set of , which is null for the product measure by the completed-product convention and Tonelli [F34]. The function is measurable by [F21], since is measurable by step 2.1 and , are measurable, and lies in : everywhere by step 2.1, so by [F2] and [F18], and with from step 4.1 the case of [F16] gives . All clauses of the characterisation [F5] hold for the class with representative : it lies in by step 5.2, is a measurable ACL representative, and its classical coordinate derivative in direction exists almost everywhere, is measurable and lies in . Hence and is represented almost everywhere by ; by the comparison of step 4.1, almost everywhere on , so is represented almost everywhere by . The same argument applies to every coordinate direction simultaneously, because the single representative of step 4.1 is ACL in every direction and its classical coordinate derivatives represent all .
The level-set clause. Let first be Borel with . For every rational box , step 5.1 shows that almost everywhere on , while and almost everywhere on by step 4.1; hence the set and is null. The rational boxes cover and there are countably many of them, so countable subadditivity of Lebesgue measure (via [F32]) makes and a null set. Now let be an arbitrary set with . By outer regularity [F33], for every there is an open with ; the intersection is a Borel set containing , and it is null because it is contained in each and outer measure is monotone [F32]. Then , which is null by the Borel case, so by monotonicity [F32]. This proves clause 2 in full; the case is available because is null by step 1.2.
When the exponent used so far is , and we upgrade the conclusion of step 6.1 to . The class lies in : pointwise by step 1.2 and almost everywhere on by [F18], so is bounded almost everywhere by and [F18] with [F2] gives . Each weak derivative class lies in : by step 6.1 it is represented by , whose absolute value is at most almost everywhere by [F18] and the bound of step 2.1, so the representative lies in by [F2]. Thus the class lies in and every first weak derivative class has an representative, which is membership in by the definition [F1].
We patch the box conclusions into a global weak derivative identity. For the fixed direction and any test function , cover by the rational boxes of [F6] and use [F22] to choose a locally finite smooth partition of unity subordinate to that cover, with compact supports. Only finitely many meet the compact support of , and ; each summand has compact support contained in some box with , so it is a test function on . Step 6.1 gives the finite-exponent weak identity and step 7.1 supplies the case; together they give, for every , ; applying this to the finitely many summands and summing with the linearity of the integral [F23] gives . Both sides are integrable: is locally integrable, because by step 1.2 with a constant function on finite-measure pieces ([F14] and [F19]), and — for finite because by step 3.1 and for because almost everywhere by [F18]. Since was arbitrary and the argument applies to every direction, the definition [F1] gives weakly on for every , hence almost everywhere on .
We record the local membership. Let be open with compact in ; then is bounded, so by [F15]. The class lies in : for the pointwise bound of step 1.2, the second clause of [F17] applied to the constant and the vector-space clauses of [F19] show first that the bound function lies in , and then monotonicity [F24] gives ; for the bound holds almost everywhere on by [F18], so by [F2]. Each weak derivative is the restriction by the locality lemma [F8], and : for finite this is the restriction of the class from step 3.1, and for we have almost everywhere by [F18]. By the definition [F1], for every such , that is, , and the identity of step 8.1, almost everywhere on , holds for every .
The global membership criterion. If , then by the definition [F1], and is the class of . Conversely, if , then the class , and each derivative class lies in by step 3.1; the definition [F1] then gives . This proves the equivalence in clause 1 of the Statement.
We identify the two descriptions of the derivative class. Let and be the representatives of step 3.1 and let be as in clause 3 of the Statement. On the measurable set one has pointwise by step 2.1, so there. On the convention gives , while almost everywhere by clause 2 applied to the null set of step 1.2, which forces almost everywhere on . Hence almost everywhere on ; in particular agrees almost everywhere with the measurable function , determines the same element of as in step 3.1, and represents by step 8.1 and step 9.1. Finally let be Borel with almost everywhere, and put , a null set. On one has pointwise, while on clause 2 gives almost everywhere; hence almost everywhere, so the class of equals the class of and almost everywhere.
The automatic cases and the closing discussion. If , then for every by step 1.2, so pointwise and by monotonicity [F24] when , while by [F18] when ; in both cases by [F2], [F3] and [F4], and clause 1 follows from step 9.2. If and , so that the restricted Lebesgue measure is finite in the sense of [F25], the constant lies in and hence in by the second clause of [F17], while by [F19]; the sum by [F19] dominates pointwise by step 1.2, so by [F24] and , and clause 1 follows from step 9.2. If , then almost everywhere on by [F18], so by [F2] and clause 1 follows from step 9.2. If , then is the constant , so is differentiable everywhere with , , and ; clauses 1 to 3 hold with and , consistently with step 9.1. The case is included: the ACL definition [F6] then reads that one representative is absolutely continuous on every compact subinterval of the interval , and no transverse parameter occurs. If , the rational-box family of [F6] is empty, the only class is zero, the representative may be taken to be , and every displayed assertion holds vacuously with . The finitely many representative selections of step 3.1 need no choice principle; the only countable selection is that of the box representatives in step 4.1, licensed by the Countable Choice obtained in step 1.1 from the Axiom of Choice; the trivial representative of the zero class and the rational-box enumeration of [F6] are canonical.
Depends on
- Integer-order Sobolev spaces and their norms
- The space $L^\infty(\mu)$ of essentially bounded measurable functions
- The function space $\mathcal{L}^p(\mu)$ for $0 < p < \infty$
- The space $L^p(\mu)$ as the quotient by null functions
- The ACL characterisation of $W^{1,p}$
- Absolute continuity on almost every coordinate line
- Absolute continuity on a compact interval
- Linearity, locality, and commutation of weak derivatives
- A Lipschitz function after an absolutely continuous function is absolutely continuous
- Lipschitz map, $\alpha$-Hölder map for rational $0 < \alpha \le 1$, and contraction
- $C^1$ implies Lipschitz, Lipschitz implies absolutely continuous, and absolutely continuous implies continuous and bounded variation
- Fundamental theorem of calculus for absolutely continuous functions
- Chain rule for an indefinite integral after an absolutely continuous composition
- A box in $\mathbb{R}^n$ with parameters $a_i\le b_i$ is Lebesgue measurable of measure $\prod_{i<n}(b_i-a_i)$, whichever of its faces are included
- Lebesgue measure is sigma-finite, and every metrically bounded subset of $\mathbb{R}^n$ has finite outer measure
- Generalized Holder inequality puts products into $L^r$
- Finite-measure $L^r$ includes into $L^p$ for $p < r$
- The essential supremum is attained as the least essential bound
- $\mathcal{L}^p$ and $L^\infty$ are vector spaces for $p \ge 1$
- Continuous functions on Euclidean spaces are Borel measurable
- Composition with a Borel measurable outer map preserves measurability
- Test function cutoffs and euclidean localization
- The Lebesgue integral is linear on $L^1(\mu)$
- Monotonicity and nonnegative homogeneity of the nonnegative integral
- Finite, sigma-finite, and semifinite measures
- AC supplies the countable and dependent choices used in Banach integration
- The Axiom of Choice
- The derivative $f'(c) = \lim_{x \to c} \frac{f(x) - f(c)}{x - c}$ of $f : A \to \mathbb{R}$ at a point $c \in A$ that is a limit point of $A$, and differentiability on a set
- The $\varepsilon$-$\delta$ limit $\lim_{x \to c} f(x) = L$ of $f : A \to \mathbb{R}$ at a limit point $c$ of $A$
- Limit superior and limit inferior of a real sequence as $\inf_n \sup_{k \ge n} x_k$ and $\sup_n \inf_{k \ge n} x_k$ in $\overline{\mathbb{R}}$
- A real sequence converges to $L \in \mathbb{R}$ iff $\liminf x_k = \limsup x_k = L$, and diverges to $\pm\infty$ iff both equal $\pm\infty$
- Sequential suprema, infima, limsup, liminf, and pointwise limits of measurable functions are measurable
- Lebesgue outer measure on $\mathbb{R}^n$
- Assuming countable choice, Lebesgue outer measure is an outer measure that restricts to elementary volume
- Assuming countable choice, the Lebesgue outer measure of an arbitrary subset of $\mathbb{R}^n$ is the infimum of the measures of the open sets containing it
- Tonelli and Fubini for the completed product, with only almost-everywhere section measurability
- Every complete ordered field is Archimedean
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Sources
- Juha Kinnunen, Sobolev Spaces (2026), Chapters 1–2 (standard reference, not scraped)
- John K. Hunter, Notes on Partial Differential Equations (2014), Chapter 3 (standard reference, not scraped)
- Ben Johnsrude and Mateusz Kwaśnicki, answers to "Preimage of a null set by a non-monotonic absolutely continuous function" (standard reference, not scraped)