Today I came across a result for AC functions.
Theorem. If f:I→R is absolutely continuous with f′∈BV(I), then f is representable as a difference of two convex functions.
We need this result for generalised Ito's Lemma which works on convex functions (with an indirect route: consideration of local time process). This result seems nonstandard, and I have paid a few hours finding standard results on convex functions, the following turns out to be what I want:
Lemma (Thm 14.14 of J. Yeh's Real analysis). Let f be a real-valued function an open interval I in R. Suppose that
1) f is AC on any closed subinterval of I; and
2) f′ is increasing on the subset, A, of I on which f′ exists and m(A)=m(I).
Then f is a convex function on I.
Having the lemma we can prove the Theorem immediately.
Proof. Since
f is
AC, fix
a∈I and for any
x∈I we have
f(x)=f(a)+∫xaf′(s)ds.
Now we can decompose
f′ into a difference of two nondecreasing functions since
f′∈BV, call them
H,K, i.e.,
f′=H−K. As a result,
f(x)=f(a)+∫xaHds−∫xaKds,
finally we denote
h=∫xaHds and
k=∫xaKds. Then
h,k are AC on any closed subinterval of
I, moreover,
h′=H,k′=K a.e. and they are increasing, therefore we can apply the lemma to conclude that
h and
k are convex.
◼
There are many interesting and fundamental facts for convex functions that are not mentioned in UG curriculum of UST and I really suggesting reading them all, they are too standard to miss.
Still I want to record an important fact of convex functions:
f′−(x) is increasing (of course) and always left continuous if
f is convex, this makes if possible to define Stieljes measure by using
f′−.