Paper 2, Section II, J

Probability and Measure
Part II, 2017

(a) Give the definition of the Fourier transform f^\widehat{f} of a function fL1(Rd)f \in L^{1}\left(\mathbb{R}^{d}\right).

(b) Explain what it means for Fourier inversion to hold.

(c) Prove that Fourier inversion holds for gt(x)=(2πt)d/2ex2/(2t)g_{t}(x)=(2 \pi t)^{-d / 2} e^{-\|x\|^{2} /(2 t)}. Show all of the steps in your computation. Deduce that Fourier inversion holds for Gaussian convolutions, i.e. any function of the form fgtf * g_{t} where t>0t>0 and fL1(Rd)f \in L^{1}\left(\mathbb{R}^{d}\right).

(d) Prove that any function ff for which Fourier inversion holds has a bounded, continuous version. In other words, there exists gg bounded and continuous such that f(x)=g(x)f(x)=g(x) for a.e. xRdx \in \mathbb{R}^{d}.

(e) Does Fourier inversion hold for f=1[0,1]f=\mathbf{1}_{[0,1]} ?