Graphical representation of the embedding conditions. The space W 3,p, represented by a blue dot at the point (1/p, 3), embeds into the spaces indicated by red dots, all lying on a line with slope n. The white circle at (0,0) indicates the impossibility of optimal embeddings into L ∞.
Let W k,p(Rn) denote the Sobolev space consisting of all real-valued functions on Rn whose first kweak derivatives are functions in Lp. Here k is a non-negative integer and 1 ≤ p < ∞. The first part of the Sobolev embedding theorem states that if k > ℓ, p < n and 1 ≤ p < q < ∞ are two real numbers such that
and the embedding is continuous. In the special case of k = 1 and ℓ = 0, Sobolev embedding gives
This special case of the Sobolev embedding is a direct consequence of the Gagliardo–Nirenberg–Sobolev inequality. The result should be interpreted as saying that if a function in has one derivative in , then itself has improved local behavior, meaning that it belongs to the space where . (Note that , so that .) Thus, any local singularities in must be more mild than for a typical function in .
If the line from the picture above intersects the y-axis at s = r + α, the embedding into a Hölder space C r, α (red) holds. White circles indicate intersection points at which optimal embeddings are not valid.
The second part of the Sobolev embedding theorem applies to embeddings in Hölder spacesC r,α(Rn). If n < pk and
with α ∈ (0, 1] then one has the embedding
This part of the Sobolev embedding is a direct consequence of Morrey's inequality. Intuitively, this inclusion expresses the fact that the existence of sufficiently many weak derivatives implies some continuity of the classical derivatives.
In particular, as long as , the embedding criterion will hold with and some positive value of . That is, for a function on , if has derivatives in and , then will be continuous (and actually Hölder continuous with some positive exponent ).
The Sobolev embedding theorem holds for Sobolev spaces W k,p(M) on other suitable domains M. In particular (Aubin 1982, Chapter 2; Aubin 1976), both parts of the Sobolev embedding hold when
On a compact manifold M with C1 boundary, the Kondrachov embedding theorem states that if k > ℓ and
then the Sobolev embedding
is completely continuous (compact). Note that the condition is just as in the first part of the Sobolev embedding theorem, with the equality replaced by an inequality, thus requiring a more regular space W k,p(M).
Assume that u is a continuously differentiable real-valued function on Rn with compact support. Then for 1 ≤ p < n there is a constant C depending only on n and p such that
with 1/p* = 1/p - 1/n.
The case is due to Sobolev, to Gagliardo and Nirenberg independently. The Gagliardo–Nirenberg–Sobolev inequality implies directly the Sobolev embedding
The embeddings in other orders on Rn are then obtained by suitable iteration.
Sobolev's original proof of the Sobolev embedding theorem relied on the following, sometimes known as the Hardy–Littlewood–Sobolev fractional integration theorem. An equivalent statement is known as the Sobolev lemma in (Aubin 1982, Chapter 2). A proof is in (Stein, Chapter V, §1.3) harv error: no target: CITEREFStein (help).
Let 0 < α < n and 1 < p < q < ∞. Let Iα = (−Δ)−α/2 be the Riesz potential on Rn. Then, for q defined by
there exists a constant C depending only on p such that
If p = 1, then one has two possible replacement estimates. The first is the more classical weak-type estimate:
where 1/q = 1 − α/n. Alternatively one has the estimate
for some constant C depending only on n. This estimate is a corollary of the Poincaré inequality.
The Nash inequality, introduced by John Nash (1958), states that there exists a constant C > 0, such that for all u ∈ L1(Rn) ∩ W 1,2(Rn),
The inequality follows from basic properties of the Fourier transform. Indeed, integrating over the complement of the ball of radius ρ,
because . On the other hand, one has
which, when integrated over the ball of radius ρ gives
where ωn is the volume of the n-ball. Choosing ρ to minimize the sum of (1) and (2) and applying Parseval's theorem:
gives the inequality.
In the special case of n = 1, the Nash inequality can be extended to the Lp case, in which case it is a generalization of the Gagliardo-Nirenberg-Sobolev inequality (Brezis 2011, Comments on Chapter 8). In fact, if I is a bounded interval, then for all 1 ≤ r < ∞ and all 1 ≤ q ≤ p < ∞ the following inequality holds
The simplest of the Sobolev embedding theorems, described above, states that if a function in has one derivative in , then itself is in , where
We can see that as tends to infinity, approaches . Thus, if the dimension of the space on which is defined is large, the improvement in the local behavior of from having a derivative in is small ( is only slightly larger than ). In particular, for functions on an infinite-dimensional space, we cannot expect any direct analog of the classical Sobolev embedding theorems.
There is, however, a type of Sobolev inequality, established by Leonard Gross (Gross 1975) and known as a logarithmic Sobolev inequality, that has dimension-independent constants and therefore continues to hold in the infinite-dimensional setting. The logarithmic Sobolev inequality says, roughly, that if a function is in with respect to a Gaussian measure and has one derivative that is also in , then is in "-log", meaning that the integral of is finite. The inequality expressing this fact has constants that do not involve the dimension of the space and, thus, the inequality holds in the setting of a Gaussian measure on an infinite-dimensional space. It is now known that logarithmic Sobolev inequalities hold for many different types of measures, not just Gaussian measures.
Although it might seem as if the -log condition is a very small improvement over being in , this improvement is sufficient to derive an important result, namely hypercontractivity for the associated Dirichlet form operator. This result means that if a function is in the range of the exponential of the Dirichlet form operator—which means that the function has, in some sense, infinitely many derivatives in —then the function does belong to for some (Gross 1975 Theorem 6).
^Taylor, Michael E. (1997). Partial Differential Equations I - Basic Theory (2nd ed.). p. 286. ISBN0-387-94653-5.