Change of Variables in Multiple Integrals II

Author(s): Peter D. Lax

Source: The American Mathematical Monthly, Vol. 108, No. 2 (Feb., 2001), pp. 115-119
Published by: Mathematical Association of America
Stable URL: http://www.jstor.org/stable/2695524
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Change of Variables in Multiple Integrals II

Peter D. Lax

Dedicated to the memory of Professor E.C. Klipple, who taught me real variables by the

R.L. Moore method at Texas A&M in 1944.

In a paper of the same title [1], published in this MONTHLY in the summer of 1999,

I gave a simple, algebraic derivation of the change of variables formula for multiple
integrals. This is the result proved there:

Theorem 1. Let cp be a once continuously differentiable mapping of IRn into IRn that
is the identity outside the unit ball:

cp(x) = x for llx 11 > 1.

Let f be a continuous function of compact support; then

f f(y)dy = f (f (x)) J(x)dx. (1)

Here J(x) is the Jacobian determinant of the mapping p: J(x) = det ai, where
q0 = (s01, * *0?2)Several correspondents have pointed out that the mappings cp that come up in real
life are not the identity outside the unit, or any other, ball. The purpose of this note is to
sketch a way to extract the garden variety change of variable formula from Theorem 1.

Theorem 2. Let D be a domain in Rn, and let 4f be a mapping of D into Rn that is

once continuously differentiable on the closure of D. We impose the following condi-

tions on *:
i) 4f is a 1-to-i mapping on the closure of D.

ii) The Jacobian determinant J of 4r is positive on the closure of D.

Let f be a continuousfunction whose support lies in the image of D under 4. Then

f (y)dy = J f (+(x)) J(x)dx. (2)

Since we have required the support of f to be contained in 9(D), the integrand on
the right in (2) is zero on the boundary of D, and so it can be extended to be zero
outside D, and remain continuous. Therefore the x integral in (2) can be evaluated as
an integral over any box containing D.
We deduce Theorem 2 from Theorem 1 in two steps:
Step 1: Take a partition of unity in y-space.

EPj(Y) -1,
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where each pj is a continuous function whose support lies in some ball of

radius 8. Multiply this relation by f to get a decomposition of f as
Efj =f, fi jP f.

Since pj is a factor of fj, each fj is supported in a ball of radius 8. If we

can prove (2) for each fJ, adding these formulas gives (2) for f. Thus it
suffices to prove (2) for functions f whose support is contained in a ball B
of radius 8.

Step 2: To prove (2) when the support of f is contained in an 8-ball B we construct

a continuous differentiable mapping (p of RI into RI with the following
properties:

a) sp(x) = ifr(x) at all points x in +-1(B), the set of points x that are
mapped into B by 4.

b) so<1(B) = 4r1(B).
c) qp is the identity outside some ball: sp(x) = x for lIx II > r.
Before we carry out Step 2 we show how to use it to deduce Theorem 2. It follows from

a) that f ((p>(x)) = f (i (x)) for all x in * - 1 (B), and that the Jacobian determinants of

4 and qp are equal at all these points. By definition of B, f (y) = 0 for y not in B.
Therefore f( t(x)) = 0 when x is not in 4,1 (B). According to b) such an x is not in
o-l1(B) either, so that f((p (x)) = 0.
Combining these two observations, we conclude that the integrands on the right in
(1) and (2) are equal everywhere, and so therefore are their integrals.

It follows from c) that Theorem 1 applies to so, and therefore (1) is true; but then so

is

(2).

The construction of cp is carried out in four stages. We start with the observation

that since 4' is continuously differentiable and 1-to-1, and J 0 0, the inverse of 4' is
continuous. The preimage -1-(B) of every 8-ball is therefore contained in a ball of
radius 8, where 8 = 8 (8) tends to zero when 8 tends to zero. Since we can replace the
mapping i/r(x) by +(x - a) - b, we may assume that the center of the ball B is the
origin 0 in y-space, and its preimage f-1 (0) is the origin 0 in x-space.
The size of 8 and the parameter d appearing in the construction below will be specified later.

Stage 1: Define, for llx I < d,

p(x)

+(x).

(3)

Stage 2: Denote by M the Jacobian matrix of 4 at x = 0. Then by Taylor's formula

4r(x) = Mx + N(x), (4)

IIN(x)ll < o(x)IIxII, (5)
where o(x) denotes a function that tends to zero when lix II tends to zero.
Choose any function s(t) that goes smoothly and monotonically from 1 to

G as t goes fromO to 1. Define, ford < lxii < 2d,

p(x) = Mx + s(lixii/d - l)N(x). (6)

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Stage 3: We need the following basic result of linear algebra:

Lemma. A real matrix M whose determinant is positive can be deformed
smoothly into the identity matrix I, so that the determinant of the deformed
matrices lies between det M and 1.

Proof. In case the first colunm cl of M is not proportional to the first unit
vector eI = (1, 0, . .. , 0)t, let R (t) be a one-parameter family of rotations
in the plane spanned by cl and el. Here R(0) = I and R(1) is rotation of
cl into a multiple of el. Then R(t)M is a smooth deformation of M into
a matrix M1 whose first column is kel, k positive. Next deform the first
row of M1 into (k, 0, . .. , 0). Finally, deform the first column ke1 into el,
and at the same time deform the second column c2 into kc2. During these
deformations the determinant remains constant. The final product of these

deformations is a matrix whose first row is e', its first column el. Now we
are poised for an inductive proof of the lemma with respect to the order of
the matrix.

Denote the deformation of M into I by M(t); M(O) = M and M(1) =

I. Define, for 2d < lIxII < 3d,

9(x) = M(flxi1i/d -2)x. (7)

Stage 4: For lix II > 3d, define

(p(x)

x.

(8)

We now verify that qp as defined in stages 1-4 has all three required properties stipulated
in Step 2, provided that d and 8 are small enough.

a) requires p(x) to be equal to fr (x) for all x in fr*- (B). Since 4f- (B) is contained
in the ball IlxII < 8, it follows from (3) that this condition is fulfilled if 8(8) is
less than d.

b) requires every x in i/r'(B) to be in o-r 1(B), and conversely. By (3) this is true
for all x in the ball lix i < d. Since r -1 (B) is contained in that ball, no point x
with lix Il > d is in -fr (B). We now show that such an x is not in cp - (B) either;
this is the same as saying that for lix 11 > d, cp(x) is not in B, which would follow

from ll4x) II > 8.

For llx I between d and 2d, cp(x) is defined by (6). Since M is invertible at
every point x and depends continuously on x, II Mx II > m lIx II for all x, where
m is some positive number. We choose d so small that for x in the ball lix 11 <
2d, o(x) < m /2. Then by (5), 11 N(x) II < (m /2) lix II. Setting this in (6) and using

the fact that Is(t)I < 1 we conclude that for d < lix II < 2d
m

ijjq(x)ii > IiMxll - IIN(x)ii > mllxll - - 2

lxii >2
-d,
which is greater than 8 if 8 < md/2.
The argument for lIx II between 2d and 3d is very similar. Here cp(x) is defined
by (7). The one-parameter family of matrices M(t) is uniformly bounded, and
its determinant is uniformly bounded from below. Therefore M(t) is invertible

for each x and t, and it follows from Cramer's rule that there exists a positive
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constant t such that iIM(t)xII > fellxII for all x and all t. Setting this in (7) we
see that for lIx II > 2d,

11p(x)ii > llx > 2ed,

which is greater than 8 if 8 < 2ed.

c) For lIx II > 3d, o(x) is defined in (8) to be x.

We verify now that all the conditions imposed on d and 8 can be satisfied:

i) For lxix 1 d, o(x) < m/2.

ii) 6(e) < d, 8 < md/2, 8 < 2ed.

Since o(x) tends to zero as iix 11 tends to zero, i) is satisfied for d small enough. Since
8 (E) tends to zero as E tends to zero, the first condition in ii) is satisfied when ? is small
enough; so are the other two.
In Theorem 2 we have required that the mapping i/i be 1-to-I and its that Jacobian
determinant be positive. This can be relaxed to requiring only that the degree of the

mapping / be one at each point of the support of f . Recall that the degree of a mapping

4 of D into R' at some point y in RI that is not the image of a boundary point of D
is defined as the algebraic sum of the number of times y is covered by 4r; the covering

y = *r(x) is counted as positive or negative depending on the sign of J(x). At points

y = f(x) where J(x) = 0, this definition does not apply. Call the set of such points
y the critical set of the mapping 4; according to Sard's lemma, the critical set has

measure zero.

Theorem 3. Let D be a domain in R n, and let 4f be a mapping of D into Rn that is

once continuously differentiable on the closure of D. Suppose that the mapping 4 has
degree 1 on an open set 0 in the image space. Let f be a continuous function whose
support is contained in the set 0. Then the change of variables formula (2) holds.

Sketch of Proof According to Sard's lemma, there is an open set C covering the critical

set of 4' whose volume V(C) is less that any prescribed positive number 7r. We furthermore require that each point of C have distance less that a from the critical set, a a
small positive number to be specified later. Let y be any point in the support of f that
lies outside the set C. Since the critical set is contained in C, y has a finite number of

preimages x1, . . ., Xk, */r(xj) = y, J(xj) 0 0. Let B be a ball centered at y of radius

8, so small that

i) Each point in B has distance greater than a/2 from the critical set.

ii) ic-' (B) consists of k connected sets, and J(x) has the same sign on each of
these sets.

Additional restrictions on 8 are specified later.

Since the support of f is a compact set, so is its intersection with the complement
of C. It follows that a finite number of s-balls Bi, i = 1, . . ., N cover it, and UBi U C

covers the support of f . Let I+1 pi (y) -1 be a partition of unity where the support
of pi is contained in Bi, i = 1, . . ., N, and the support of PN+1 is contained in C.
Decompose f as
N+1

f = fi, fi = pif
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We claim that the change of variable formula (2) holds for each fi, i = 1, ..., N. To

see this we observe that the inverse image of the support of such an f = fi is contained
in the inverse image of B = Bi, and so by property ii) is contained in a finite number
of disjoint connected sets X1, .I. , Xk. We claim that for all j,
f f(x)J(x)dx = aj af(y)dy, (9)

where aj is the signature of J (x) on Xj. Where aj = 1, this is Theorem 2; where aj =

-1, compose the mapping 4f with the reflection Yi -> -yi, yi -> yi, i = 2, , n, and
apply Theorem 2.

We have assumed that the mapping i/r has degree one at all points of the support

of f; this means that Ek aj = 1. Summing (9) gives therefore the change of variables
formula (2) for f = fi, i = 1, ...,N.
What about fN+?? Since the support of fN+I is contained in C,

J fN+l(y)dy < max IfI Vol (C) < max If r1. (10)
Each point of C has distance less than a from the critical set. It follows that I J (x) I < 8
at each point of f-1 (C), where 8 tends to zero as a tends to zero:

J fN+?(V(x))J(x)dx < VmaxIfI8, (11)

where V is the volume of i-r1 (C).

Clearly, both (10) and (11) tend to zero as 77 and a tend to zero. X
The requirement in Theorem 1 that cp be the identity outside the unit ball guarantees
that the degree of the mapping cp is one everywhere.
In a 1983 article [2], Leinfelder and Simader prove the change of variable formula,

and the Brouwer fixed point theorem, by deforming the mapping to the identity. A
key point in their argument is the identity (2.10) in [1]. The same identity was used

by Dunford and Schwartz, by Hadamard (see [1]), and by Kronecker, who presumably
discovered it. Michael Taylor has shown how to obtain this identity in a natural fashion

by using the language of the calculus for exterior forms. Another proof can be found
in [3, Lemma 1.1, p. 8].
REFERENCES
1. P. D. Lax, Change of variables in multiple integrals, Amer. Math. Monthly 106 (1999) 497-501.
2. H. Leinfelder and C.G. Simader, The Brouwer fixed point theorem and the transformation rule for multiple
integrals via homotopy arguments, Exp. Math. 4 (1983) 349-355.
3. C. B. Morrey, Multiple integral problems in the calculus of variations and related topics, University of

California Press, Berkeley, 1943.

4. M. Taylor, Differential forms and the change of variable formula for multiple integrals, to appear.

PETER LAX was born in Hungary in 1926; he came to the U.S. in December, 1941 on the last boat. He
is a fixture at the Courant Institute of New York University; his mathematical interests are too numerous to

mention. He has always liked to teach at all levels, hence this paper.
Courant Institute, NYU, 251 Mercer St., New York, NY 10012
lax@cims.nyu.edu

February

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