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Jensen's inequality for operators and L�wner's theorem

Article  in  Mathematische Annalen · September 1982

DOI: 10.1007/BF01450679

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Math. Ann. 258, 229-241 (1982)
Am
9 Springer-Verlag1982

Jensen's Inequality for Operators

and LOwner's Theorem
Frank Hansen and Gert Kj~erg~rd Pedersen
Department of Mathematics, University, DK-2100 Copenhagen O, Denmark

I. Introduction
In 1905 Jensen showed [8, 9-] that a (mid-point) convex, continuous function f on
an interval I satisfies
(J) f(~-,2iti) < Z,2if(ti)
for any convex combination {),i} of points {ti} in L Taking

a= \ )~]/2 i , x= ".
0.. "t,
and considering f as a function on self-adjoint matrices [with f ( 0 ) = 0 ] , the
inequality (J) reads
(JO) f(a*xa) < a ' f (x) a.
We shall say that a continuous, real function f on I satisfies Jensen's Operator
Inequality if (JO) holds for any self-adjoint matrix x with spectrum in I and every
matrix a with ][a[[< 1. Since we put no bound on the order o f x and a, and the finite
rank operators are dense in B(H), H a Hilbert space, this is equivalent to
demanding (JO) for any self-adjoint x in B(H) with spectrum in I and every a in
B(H) with llaH < 1.
A technicality comes in here. Since zero may be an eigenvalue of a (indeed,
a = 0 is not excluded), zero may belong to the spectrum of a*xa. Thus the interval I
must contain zero in order for (JO) to be meaningful. Moreover, the element a*xa
really is a non-commutative generalization of a degenerate convex combination of
a and 0 (i.e. E2~ ~ 1). The "correct" generalization of a convex combination of x
and y would seem to be an operator a*xa + b*yb, where a*a + b*b = 1 [cf. 2.1(iii)].
But correctness must bow to applicability, so we shall stick to (JO). Anyway it is
clear that a convex function f will satisfy Jensen's inequality (J) for all degenerate
convex combinations, precisely when 0~ I and f(O)_<0.
As usual we shall say that a real function f on an interval ! (of any type) is
operator monotone if for each n and every pair x, y of self-adjoint elements in the

0025-5831/82/0258/0229/$02.60
230 F. Hansen and G. K. Pedersen

algebra ll~ of n x n-matrices with spectra in I, the condition x < y implies f(x)
< f(y). Likewise we say that f is operator convex on I if for each n in IN
f(2x + (1 -- 2)y) <=)~f(x) + (1 - 2) f(y)
for all self-adjoint x, y in 11~ with spectra in I and every 2 in [0, 1]. From this
definition it is clear that a pointwise limit of operator monotone (respectively
operator convex) functions is again operator monotone (respectively operator
convex). A full account of the theory of these functions is told in [6]. Short but
concise surveys are found in [5] and [1]. A short proof of LSwner's theorem
appeared in [14] after this work was completed. There is no overlap with our
proof, which is oriented towards operator algebra theory, where operator
monotone and operator convex functions have found very useful applications, see
e.g. [13, 1.3].

2. Jensen's Operator Inequality

2.1. Theorem. I f f is a continuous, real function on the half-open interval [0, ~[
(with ~ <=~ ) , the following conditions are equivalent:
(i) f is operator convex and f(O)<=O.
(ii) f(a*xa)<=a*f(x)a for all a with I]aj[=<l and every self-adjoint x with
spectrum in [0,a[.
(iii) f(a*xa + b*yb) <=a*f(x)a + b*f(y)b for all a, b with a*a + b*b <=1 and all
x, y with spectra in [0, a[.
(iv) J(pxp) < pj'(x)p Jor every projection p and every selJadjoint x with spectrum
in [0, a[.
Proof (1)=~(ii) : Consider the operators on H | given by
b -b ,
(o a,) (: a*)
where c = ( 1 - a * a ) ~12 and b = ( 1 - a a * ) llz. Calculation shows that U and V are
unitaries and that
(a*xa a*xb t a*xa - a * x b t
U*XU = \ bxa bxb ]' V*XV= - bxa bxb ]"
Since f is operator convex we obtain
(%1o, .&):.(.:a 2b)
= f(89U*X U + 89V*X V) < 89f(U*X U) + 89f(V*X V)
= 89U ' f (X) U + 89V ' f (X) V

= 89 x) f(O))u+ 89 f(Oo))V

In particular, f(a*xa)<=a*f(x)a.
Jensen's Inequalityfor Operators 231

(ii)~(iii) : Given a, b, x, and y as specified, put

Then A*A < 1 and Sp(X) ( [0, ~[- so that

(f(a*XO+ b*yb) 0 )=f(A*XA)

f(O)
< A , f ( X ) A = (a* f(X)aob* f(Y)b

as desired.
(iii)~(iv) is obvious.
(iv)~(i): Given operators x, y with spectra in [0,c~[ and 2 in [0, 1], define

Then Sp(X)C [0, e[, U is unitary and P is a projection. Consequently

(f(2x + ; 1 - 2)y) f(Oo)) = f ( P U , X U P ) < Pf(U*XU)P

= P U * f ( X ) U P = (2f(x)+(Io-2)f(Y) ~).

Thus f(2x + (1 - 2)y) < 2f(x) + (1 - 2) f(y) and f(0) < 0.

2.2. Corollary. Let ~ :A--*B(H) be a positive, linear contraction on a C*-aloebra A.
For every continuous operator convex function f defined on [0, e[ with f(O) <0, and
each self-adjoint x in A with spectrum in [0, c~[, we have
f(~(x)) < ~(f(x)).
Proof. Restricting rc to the commutative C*-algebra generated by x, we may
assume that rc is completely positive. Using Stinespring's decomposition of g the
result follows from Theorem 2.1 exactly as in the proof of [7, Corollary].
2.3. Remark. The result above is proved in [-4, 3] under the additional hypothesis
that re(l)= 1. Note that with f ( t ) = t z we obtain Kadison's generalization of the
Cauchy-Schwarz inequality : re(x)2 < re(x2). This is fitting, since Jensen himself first
used his inequality to prove Cauchy's inequality, cf. [8, 9].
2.4. Theorem. A continuous real function f on the interval [0, e[ is operator convex
with f(O)~ O, if and only if
(v) t ~ t - x f ( t ) is operator monotone on ]0,~[.
Proof (ii)=*,(v) : Suppose that x, y are operators with spectra in ]0, e[- and x <y, and
put a=y-1/2x 1/2. Then [la][< 1 so that by condition (ii) in Theorem 2.1
f(x) = f(a *ya) < a *f(y)a = x 1/ 2y- af(y) x a/ z .
232 F. Hansen and G. K. Pedersen

Multiplying left and right with x-1/2 gives

x - if(x)<= y- if(y)
as desired.
(v)=~(iv): Since f is continuous it suffices to prove 2.1 (iv) when x is invertible
(replacing x with x + 6 if necessary). Moreover, since IIx II < e there is an 5 > 0 such
that I[(1+ e)xt[ < ~. Now x1/2(e + p)x x/2 ~ (1 + 5)X, whence by assumption
X- 1/2(• + p)- 1x - 1/2f(x1/2(i 3q_ p)X 1/2) "C(1 + 5)- tX- l f((1 + e)X).
Multiplication left and right with px(e+p)x 1/2 and xl/2(e+p)xp preserves the
order and yields
pxX/Zf(xt/2(e + p)xl/Z)xX/Z(e + p)xp < (1 + e)- lpx(e + p)f((1 + e)x) (~ + p)xp.
Since f is continuous we may let e,--*0 to obtain
px a/2f( x 1/2px 1/2)x 1/2px p < pxp (p f (x)p)pxp .
Now f(xl/2pxX/2)xl/Zp = xt/2pf(pxp), because this is true for any polynomial f and
therefore, by Weierstrass' approximation theorem, for any continuous function f
Consequently
pxp f(pxp) pxp < pxp (pf(x)p)pxp ,
from which we conclude that pf(pxp)p < pf(x)p.
The function t ~ t - i f ( t ) being increasing on ]0, ~[ implies that f(0)<0. Thus
with g(t) = f ( t ) - f(O),
f(pxp) = g(pxp) + f(O) <=g(pxp) + f(O)p
= p(g(pxp) + f(O))p = pf(pxp)p.
This in conjunction with the previous inequality gives the required result.
2.5. Theorem. I f f <O is a continuous real function on the half-line [0, ~ [ , the five
conditions in Theorems 2.1 and 2.4 are again equivalent to the condition
(vi) -f is operator monotone.
Proof (vi)=~(ii): In essence, this is [7, Theorem]. But since the argument in 1-7]
tacitly assumes that f ( 0 ) = 0 we sketch the proof:
With notations as in the implication (i)=:-(ii) in Theorem 2.1 one shows I-7]
that for any 5 > 0 there is a sufficiently large 2 such that

[a*xa a*xbl<(a*o+e ~)
U*XU = \ bxa bxb / = = Y"

Consequently,
a*f(x)a
bf(x)a
= U*f~)U = f(U*XU) > f(Y).
As 5-~0 this implies that a*f(x)a >=f(a*xa).
Jensen's Inequalityfor Operators 233

(i)~(vi): If 0 < x < v , take 2 in ]0, 1[ and write

2y = 2x + (1 - 2)(2(1 - ,~)-1 ( y - x)).
This gives
f(2y) < 2f(x) + (1 - )~)f(2(1 - 2) -1 ( y - x)) N 2f(x),
since f < 0. Letting 2-o 1 we obtain f(y) < f(x).
2.6. Corollary. A strictly positive, continuous function f on ]0, or[ is operator
monotone if and only if the function t-otf(t)-1 is operator monotone.
Proof The involution t ~ - t - ~ is operator monotone on ]0, oo[ by Theorem 2.4.
Considering the function f~(t)= f(e + t) on [0, oo[, we see from the biimplication
(vi)~(v) in Theorems 2.4 and 2.5 that t--*-t-~f~(t) is operator monotone.
Applying the involution and letting e--*0 it follows that t-otf(t) -~ is operator
monotone on ]0, oo[. For the converse, we know that t--,(t +e)f~(t)-1 is operator
monotone on [0, oo[. Reading the biimplications backwards it follows that
t-~ t(t + e)-~f~(t) is operator monotone on ]0, oo [;whence f is operator monotone
on ]0, ~ [ .
2.7. Remark. Some of the implications linking the six conditions in Theorems 2.1,
2.4, and 2.5 are known. Thus the biimplication (i)<:>(iv) is due to Davis [4], and
the biimplication (i)<:~(v) to Bendat and Sherman [2]. Especially in the last case
our proof, passing via the Jensen inequality, is simpler.

3. D i f f e r e n t i a l C h a r a c t e r i z a t i o n s

Consider an open interval I in 1Rand a continuously differentiable function f on 1.

Fix n and take x = x * in IM~ with Sp(x)CI. If {eJ1 <=i,j<=n} is a system of matrix
units for I ~ such that x = ~2~e u, we shall denote by file(x) the element in 117I,with
ftll(x)i j = (j,i__ ,~j)- 1 (f(2i)__ f(2j)) if 2 i 4: 2~,
ftll(x)i j : f'('~i) if J'i = 2j.
3.1. Lemma (cf. [5, III]). With f and x as above we have
LimE- l ( f ( x + e h ) - f(x)) = fta~(x) ~ h
for every self-adjoint h in IM,, where ,~ denotes the Hadamard product of matrices in a
basis that diagonalizes x.
Proof It suffices to consider functions of the form f(t) = t p, p > O, since their linear
span is dense in Cl(1). But
p-1
e- '((x + eh) p - x p) = ~, xkhx p- 1- k + (9(e),
0
where (P(e)--*0 as e--*0. Consequently,
p-1
eii Lim e- l((x + eh) p - x p) e~j = ~ 2k2~- 1- kelihej j
0
= ( 2 ~ - 2 j ) - 1 t1,r~ p _ ~r p ~ , o - ~'tll~x~
~, ]ij h it e i j ,
as desired.
234 F. Hansen and G. K. Pedersen

3.2. Remark. The element fill(x) in m a n y ways resembles the ordinary differential.
The weakness of it is, of course, that the H a d a m a r d product depends on the basis,
so that neither the formulation nor the p r o o f of, say, the mean value theorem is
obvious. For our purposes the next result replaces the mean value theorem.
3.3. L e m m a . I f t-~ x(t) is a Cl-function from [0, 1] to the space of self-adjoint n x n-
matrices with spectra in the open interval I, and if f e C l ( I ) , then
1
f ( x ( 1 ) ) - f(x(O)) = S fm(x(t)) ;(t) x'(t)dt.
0

Proof. The argument in the p r o o f of L e m m a 3.1 shows that

f ( x + h ) - f(x) = fro(x) :~h + llhII (9(h),

where (9(h)--,0 as h-,0. To every pair s, t in [0, 1] we can therefore find a matrix
(_9(s, t) such that

f (x(s)) - f(x(t)) = ftll(x(t)) 1(o (x(s) - x(t)) + IIx(s) - x(t)II (9(s, t);

and for a given e > 0 we can find n in N such that I]C(s, t)fl < e whenever r s - tr < n - 1.
With Xk = x(kn- 1), 0 <=k <=n, we therefore have
n--1

f ( x ( 1 ) ) - f(x(O)) = ~ f ( x , + t ) - f(Xk)
k=O
n-I

= ~ ftlJ(Xk)l~(Xk+l--Xk)
k=0

+ ]tXk+ 1 -- xkJl (9((k + 1)n- 1, kn- 1).

The first part of the sum converges to the Riemann integral

1
fm(x(t)) ~,) x'(t)dt
0

as n ~ oo. The second is bounded by

n--1
n - l llx'(Ok)lle<e Sup Ilx'(t)ll 9
~=0

The desired formula follows.

3.4. Proposition. A C l-function f on an open interval I is operator monotone if and
only if ftll(x)>O, for every self-adjoint x in IM, with Sp(x)CI, and every n in N.
Proof. I f f is o p e r a t o r m o n o t o n e and x --- Y',2~eu, take h = ~ e ~ . Then n - ~h is a (one-
dimensional) projection; in particular h > 0 . Consequently
0 < ~- i ( f ( x + ~ h ) - f(x)),
whence J m(x)>O by L e m m a 3.1, since h is the unit for the H a d a m a r d product.
Jensen's Inequalityfor Operators 235

Conversely, if x and y have spectra in I and x < y, set x ( t ) = ( 1 - t)x + ty. Then
x ' ( t ) = y - x > O , and thus by Lemma 3.3
1
f(y)-- f(x) = ~ ftn(x(t)) ~(o ( Y - x)dt >=0,
0

because the Hadamard product of positive matrices is again positive.

3.5. Lemma. I f a continuous function f is operator monotone on ] - 1 , 1[, then
t ~ ( t + 2) f(t) is operator convex for every 2, 121< 1.
Proof Assume first that f is operator monotone on [ - 1, 1]. Then the function g(t)
= t f ( t - 1) is operator convex on [0, 2[ by Theorem 2.4, since t-*t- lg( 0 is operator
monotone and 9(0)=0. Thus the function t ~ ( t + l ) f ( t ) ( = g ( t + l ) ) is operator
convex on [ - 1, 1[. Applying this result to the operator monotone function t--*
- f ( - t) we find that t--, - ( t + 1 ) f ( - t) is operator convex. But the transformation
t~-t preserves convexity, and thus t ~ ( t - 1 ) f ( t ) is operator convex.
Consequently the function
t--*(t + 2) f(t) =89 + 2)(t + 1) f(t) + (I - 89 + 2))(t- 1)f(t)
is operator convex.
In the general case use the result above to conclude that the function
t--,(t+2)f((1-e)t) is operator convex on ] - 1 , 1[ for every e>0, hence also for
,~=0.

3.6. Theorem. Every operator monotone function f on ] - 1 , 1[ is continuously

differentiable.
Proof Choose a symmetric C~~ ~0> 0 with support in [ - 1, 1] and integral
1. For 0 < ~ < t and [ t l < l - e put

f~(t) = e- ~ i f ( t - s)q)(e- ls)ds.

Note that f~ is operator monotone and belongs to C~ - 1, 1-~[). Moreover,

since f has limits from left and from right at every point t in ] - 1, 1 [, we have

L!m f~(t) = f(t) = 89 + ) + f(t - )).

Since j~ is continuous, the function g~(t) = (t + 1)j~(t) is (operator) convex by Lemma

3.5. Consequently the limit function (t(t)=(t+l)j(t) is (operator) convex and
therefore continuous on ] - l , l[. Since t + 1 0 on ] - 1 , l[ we conclude that
.7 is continuous, which implies that f = f
Every convex function g on ] - 1, 1[ has left and right derivatives g ' ( t - ) and
g'(t +) at every point t and these satisfy the relations
(*) g'(t--)<=g'(t+), g'(t+6)• g'((t--b)+_)~g'(t--),
as 6~,0. With g(t)=(t+ 1)f(t) we find that g'(t__+)= f ( t ) + ( t + 1)f'(t• and since
t + 1 > 0 for all t in ] - 1, 1[, the derivatives of f satisfy the exact same relations (,)
as those of g. For s, t in ] - 1 , 1 [ consider the 2x2-matrix x=sel~+te22.
236 F. Hansen and G. K. Pedersen

Eventually s, t belong to ] e - 1, 1 - e[ and since f~E C t ( ] e - 1, 1 - eD it follows from

Proposition 3.4 that j~tl~(x)>0; in particular the determinant is positive, i.e.
( s - t)- 2 (L(s) - L(t)) 2 < f~'(s)f~(t).

From the first part of the proof we know that f is continuous, so f , - * f uniformly
on compact subsets of ] - 1, 1 [. Moreover, f~'(t)~ 89 + ) + f ' ( t - ) ) . It follows that
( s - t)- 2 ( f ( s ) - f(t)) 2 < 88 +) + f ' ( s - )) (f'(t +) + f ' ( t - )).
with skt this implies by (*) that
f'(t +)2 < 88 +) + f'(t +)) (f'(t +) + f ' ( t - ) ) ,
and consequently f'(t +) = f ' ( t - ). Thus f is differentiable, and (,) shows that f ' is
continuous.
3.7. Lemma (cf. [5, I I I ] ) . / f J ~ C 2 ( ] - 1, 1D with f ( 0 ) = 0, and {eij[0 < i, j < n} is a
system of matrix units for 1~+ i, then with

h= ~ e,o+eo,, q=l-eoo, x = ~ 2,e u,

i=1 i=1

where 12il< 1, we have

L{m q e- 2(f(x + eh) - f(x) - ef[ll(x) i h) q = gill(x),

where g(t) = t- if(t) (and g(O)= f'(O)).

Proof. If f ( t ) = t p, then the second order term in e of f ( x + eh) is b = ~,xr~hxrhx s, the
summation being over all integers m, r, s > 0 such that m + r + s = p - 2. However,
xhx = 0 by our choice of h, whence
qbq = q(hx p- 2h)q q- q(~xmh2x p- 2 - m)q
= q(~. x " ( ~ eij+ e oiejo) x p- 2 - m)q
= E x m e l j x p - 2 - m = z...a-i
~f~ ~m~p.__j - 2 - m e . "-U

= ~(~i- ;t)- 1 (;tf- ~ - ;~- ~)e,j = at~J(x).

The general case foUows by approximation exactly as in Lemma 3.1.

3.8. I,emma. I f f~C2(] - 1,1D with f ( 0 ) = 0 and f is operator convex, then the
function g :t-*t- if(t) is operator monotone.
Proof. If xelM, and x = x * with S p ( x ) C ] - 1, 1[, then
f ( x + 5eh) = f((1 - 5)x + ~5(x+ eh)) <=(1 - tS)f(x) + fif(x + eh) .
Dividing by 5, and then letting 6-*0 gives
0 < f ( x + e h ) - f ( x ) - eft Xl(x)I h.

With h as in Lemma 3.7 it follows from Lemma 3.7 that gt~J(x)>0. This holds for
all x as above, whence g is operator monotone by Proposition 3.4.
Jensen's Inequalityfor Operators 237

3.9. Theorem. I f f is operator monotone on ] - 1, 1[ and f(0)=0, then the function

t--*(1 +).t- 1)f(t) is operator monotone for 12[_-<1.
Proof. Assume first that f s C2(] - 1, 1[). By Lemma 3.5 the function t ~ ( t + 2 ) f ( t ) is
operator convex and by Lemma 3.8 this implies that t-~(1 + 2t-1)f(t) is operator
monotone.
In the general case define J~ as in the proof of Theorem 3.6. Since J'~ C 1(] - 1, 1D
by Theorem 3.6, we know that J ~ J and j~'~./" uniformly on compact subsets
of ] - 1, 1[. In particular

(1 "I"-~t- 1) (f~(t) - f~(0))-~(1 + ,~t- ')fit)

for every t, which implies that the limit function is operator monotone.
3.10. Corollary. I f f is operator monotone on ] - 1 , 1[ and f(0)=0, then if(O)
exists.
Proof The function t o O + t- 1)f(t) is continuously differentiable by Theorems 3.6
and 3.9. Its derivative at 0 is f'(0)+ 89
3.11. Remarks. Except for the order in which the results are established, little in
this section is new. The characterization of operator monotonicity by positive
(generalized) differentials is very close to L6wner's original characterization [11, p.
183]. The proof used here for the necessity of the condition goes back to Daleckij
and Krein; see the discussion in [5, III]. We noticed that the sufficiency of the
condition (i.e., fill >=0) can be obtained quite easily by integrating the differential.
Unlike LSwner's original characterization the one we use (Proposition 3.4)
requires the function to be differentiable; and thus it becomes necessary to
establish separately that operator monotone functions are continuously differenti-
able (Theorem 3.6). Our proof of Theorem 3.6 uses the same smoothing technique
as Nagy in [12], but is simplified by use of the Jensen operator inequality. Of
course, the main point of this section is to establish Theorem 3.9 (due to Bendat
and Sherman) as a prelude to LOwner's theorem, not a corollary.

4. LiJwner's Theorem
Throughout this section we shall denote by K the set of operator monotone
functions f on ] - 1, 1[, such that f(0) = 0 and if(0) = 1.
4.1. Lemma. If f~ K then

f(t)<=t(1--t) - t for t>=0;

f(t)>=t(l+t) -1 for t<0;
If"(0)[ < 2.

Proof. Consider the 2 • 2-matrix x=te~l +0e22. By Proposition 3.4, jill(x)>0,

whence
(*) t- 2f(t)2 < f'(t) f'(O) = if(t).
238 F. Hansen and G. K. Pedersen

By L e m m a 3.5 the two functions t--*(t+_l)f(t) are (operator) convex. Their

derivatives (cf. T h e o r e m 3.6) are therefore increasing. F o r t > 0 this implies that
(**) f(t) + ( t - 1) f'(t) >= - 1 ;
whereas for t < 0 we may conclude that
(***) f(t) + (t + 1)f'(t) =< 1.
Inserting (,) in (**) we obtain for all t > 0 ,
f(t) + 1 _>(1 - t)t- 2f(t)2.
If now f(t)> t ( 1 - t)-1 for some t > 0 then, multiplying with f(t) and inserting the
result in the inequality above, we get f(t)+ 1 > t-if(t) ; whence f(t)< t ( 1 - t)-1, a
contradiction. Therefore f ( t ) = < t ( 1 - t ) -1 for all t__>0. The other inequality is
obtained similarly by inserting (*) in (***).
Finally, as in the proof of Corollary 3.10,
if(0) + 89 = Lim t - a((1 + t- 1)f(t)- f'(0))
=<L i m t - 1((1 + t- 1)t(1 - t)- t - 1)= 2,

as tx~0; whereas for t/~0 we have

if(0) + 89 > Lim t - t((1 + t- ')t(1 + t ) - ' - 1) = 0,
Combining the two estimates we have [if(0)[-< 2.
4.2. Lemma. The set K is convex and compact in the topology of pointwise
convergence.
Proof Convexity is clear. Take now a universal net {f~} in K. It follows from
L e m m a 4.1 that each net {f~(t)} is bounded, so that {f/} is pointwise convergent to
a function f Therefore f is operator m o n o t o n e on ] - 1, 1[ and f ( 0 ) = 0 .
The functions ( l + t - 1 ) f i ( t ) are (operator) m o n o t o n e by T h e o r e m 3.9.
Consequently
(1 - e- x ) f ( _ ~) = Lim(1 - e- 1)fi(- e) < Lim fi'(0) = 1 ;
(1 + ~- 1) f(~) = L i m ( 1 + e- 1)fi(~) > Lim f/(0) = 1.
This holds for every e >0, and since f e C 1 ( ] - 1, 1[) we conclude that i f ( 0 ) = 1.
4.3. Proposition. The extreme points in K have the form
f(t)=t(1-~t) -1, where ~= 89
Proof F o r any f in K define
ga(t) = (1 + 89 '((1 + 2 t - ' ) f ( t ) - 2)
for [2[ < h N o t e that i f ( 0 ) exists by Corollary 3.10 and that [89 < 1 by L e m m a
4.1. It follows from T h e o r e m 3.9 that gz is operator monotone. In fact the
constants have been chosen so that g~eK. It is immediate that
f=~l+ 89189 - 212 f ,,(0))g_ ~.
Jensen's Inequality for Operators 239

If therefore f is extreme, then f = gz ; or

(1 + 892f"(O)) f(t) = (1 + 2t- 1)f(t) -- 2,
from which we immediately see that f(t)--t(1- 89
4.4. Theorem. For each non-constant operator monotone function f on ] - 1 , 1[
there is a unique probability measure p on [ - 1, 1] such that
f(t) = f(0) + f'(0) ~ t(1 - s t ) - ' dp(a).
Proof Without loss of generality we may assume that f e K [for if if(0) = 0, then f
is constant by (*) in the p r o o f of 4.1]. Put f~(t) = t(1 - at)- ~ for - 1 -< a -< 1. Since K
is convex and compact by L e m m a 4.2 and OK C {f,} by Proposition 4.3, there is by
Krein-Milman's theorem a net {fi} in K converging to f, where f~ = ~ ffl#i(a) for
each i, and #i is a probability measure on [ - 1, 1] with finite support. Since the
space of probability measures is weak* compact the net {#i} has an accumulation
point/~, and we see that
f(t) = ~ f~(t)d#(a)
for every t in ] - 1, 1 [.
F r o m the expression above we see that f has an extension, necessarily unique,
to a complex function
f(z) = ~ z(1 - az)- ida(a)
which is holomorphic in ~\IR. However, for every continuous function q~ on IR
with compact support we have

Lim zc- 1 ~ q~(s)I m f ( ( s - iO- 1)ds

= Lirn 7~- 1 ~ ~O(S)((a -- s) 2 -~ e2) - Xedp(a)ds

= Lim ~ ~p,h~(a)d#(a) = S q~(a)dp(a),

because h~(s) = ~- l(sZ + ~2)- 1e is an approximate unit for LI(IR). This proves that p
is unique. We learn thus, a posteriori, that K is a Bauer simplex with aK = {f,}.
4.5. Theorem. For each non-linear operator convex function f on ] - 1, 1[ there is a
unique probability measure p on [ - 1, 1] such that
f(t) = f(O) + f'(O)t + 89 ~ t2(1 - at)- 'd#(a).
Proof By T h e o r e m 2.4 the function
t ~ ( t + 1)- l(f((1 - g)t)- f ( - 1 + e))
is operator m o n o t o n e on ] - 1, 1[ for every e >0. Thus f ~ C2(] - 1,1D by T h e o r e m
4.4. Assuming, as we may, that f ( 0 ) = 0 and f'(0) = 0 it follows from L e m m a 3.8 in
conjunction with T h e o r e m 4.4 that
t - 'f(t) = s ~ f~(t)d#(a)
for some unique probability measure p on [ - 1, 1], and s = 89
240 F. Hansen and G. K. Pedersen

An extremely elegant proof of L6wner's theorem was given by

4.6. R e m a r k .
Korfinyi in [10]. It does, however, involve some delicate operator extension
arguments. Having Theorem 3.9 at our disposal, these can be elimated as the
following sketch of Kor~nyi's proof will show:
Given an operator monotone function f in Ca(] - 1, 1D with f ( 0 ) = 0, consider
the subspace H o o f / 2 ( ] _ 1,1D consisting of functions of finite support. Let x
denote the diagonal operator with respect to the natural basis, for which xc5t = t6 t.
Now define a new inner product on H o by
(~lq) = (ft Xl(x) 41r/),
using Proposition 3.4 for the positivity of ( . I" ) ; and let H denote the Hilbert space
completion of H 0 - K e r ( . I . ) . Put g(O = t - i f ( t ) [and g(0)=f'(0)] and define a
symmetric bilinear form on H 0 by
(To ~ln) = (gtll(x) ~1~/)9
The operator monotonicity of f +_g obtained in Theorem 3.9 shows that
((1 + To)r =((f+g)tlj(x)4lO>=O,

so that TO extends by continuity to a self-adjoint operator T on H with 1[T[I < 1.

For t in ] - 1 , 1[ let 4o = ( 1 - tT)cSt and compute that
(~o1~) = ((1 - t T)~,I~) = Y~g(s) ~(s)
for every 4 in H o. In particular, 4o does not depend on t. Now let/J be the measure
on Sp(T) (C [ - 1, 1]) such that

(h(T)~olr = ~ h(~)d#(o:)
for every continuous function h on Sp(T). Then

(1 - at)- 1 d]A(Or = ( ( 1 - - t T ) - x 40140)

= (6t14o) = g(t) = t - ' f ( t ) .

References
1. Ando, T. : Topics on operator inequalities. Lecture notes (mimeographed), Hokkaido Univ.,
Sapporo 1978
2. Bendat, J., Sherman, S. : Monotone and convex operator functions. Trans. Am. Math. Soc. 79, 58-
71 (1955)
3. Choi, M.-D. : A Schwarz inequality for positive linear maps on C*-algebras. Ill. J. Math. 18, 565-
574 (1974)
4. Davis, C. : A Schwarz inequality for convex operator functions. Proc. Am. Math. Soc. 8, 42-44
(1957)
5. Davis, C. : Notions generalizing convexity for functions defined on spaces of matrices. Proc. Am.
Math. Soc. Symposia (Convexity) 7, pp. 187-201 (1963)
6. Donoghue, W. : Monotone matrix functions and analytic continuation. Berlin, Heidelberg, New
York: Springer 1974
7. Hansen, F. : An operator inequality. Math. Ann. 246, 249-250 (1980)
8. Jensen, J.L.W.V.: Om Konvekse Funktioner og Uligheder mellem Middelvaerdier. Nyt Tidsskr.
Math. B 16, 49-68 (1905)
Jensen's Inequality for Operators 241

9. Jensen, J.L.W.V.: Sur les fonctions convexes et les in6galit6s entre les valeurs moyennes. Acta
Math. 30, 175-193 (1906)
10. Kor/myi, A.: On a theorem of L6wner and its connection with resolvents of self-adjoint
transformations. Acta Sci. Math. (Szeged) 17, 63-70 (1956)
11. L6wner, K. : Uber monotone Matrixfunktionen. Math. Z. 38, 177-216 (1934)
12. Sz-Nagy, B. : Remarks to the preceeding paper of A. Kor~nyi. Acta Sci. Math. (Szeged) 17, 71-75
(1956)
13. Pedersen. G.K. : C*-algebras and their automorphism groups. London Math. Soc. Monographs 14.
London, New York : Academic Press 1979
14. Sparr, G. : A new proof of L~iwner's theorem on monotone matrix functions. Math. Scand. 47, 266-
274 (1980)

Received May 30, 1981

Note added in proof. The implication (i)~(ii) in Theorem 2.1 is proved by D. Kainuma and M. Nakamura:
Around Jensen's inequality. Math. Japonica 25, 585-588 (I980). Their proof is based on the Kubo-
Ando theory for means and requires L/Swner's theorem. Along the same lines an alternate proof of
the implication (vi)~(ii) in Theorem 2.5 has been given by J. I. Fujii.

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