Publ. RIMS, Kyoto Univ.

10 (1975), 413-424

On the Construction of Invariant Measure over

the Orthogonal Group on the Hilbert Space
by the Method of Cayley Transformation
By

Hiroaki SHIMOMURA*

The purpose of this paper is to construct some invariant measures

over the infinite dimensional rotation group, analogously to the Haar
measure in the finite dimensional case. In this direction there are some
results making use of Haar measure on compact groups or Gaussian
measure on Hilbert spaces. See, [5], [6], [9] and [10]. But it seems to
me that the treatment of the whole group is complicated and difficult.
On the other hand, the Cayley transformation in the finite dimensional
Euclid space gives a correspondence between the special orthogonal
group and the set of skew-symmetric operators, and still may be useful
for the infinite dimensional case. Thus, we restrict our consideration to
a subgroup which is included in the domain of Cayley transformation.
Then the problem is transformed as follows. To the rotationally invariant
measure on this subgroup what measure corresponds on a suitable class of
infinite dimensional skew-symmetric operators'? In order to solve it we
first consider the Cayley image of Haar measure in the ^-dimensional
case and second construct a finitely additive measure as the limit of n—>oo.
Lastly we discuss the countably additive extension of so obtained measure.
I like to express my thanks to Prof. H. Yoshizawa for the constant en-
couragement. Also I thank deeply to Prof. Y. Yamasaki and Prof.
T. Hirai for their useful suggestions.

§ 1. Some properties of Cayley transformation in the finite dimen-

sional case.
Communicated by H. Yoshizawa, January 9, 1974.
* Graduate School, Kyoto University, Kyoto.
414 HIROAKI SHIMOMURA

§ 2. The Cayley image of Haar measure and its continuity in the

finite dimensional case.
§ 3. The cylindrical measure on some class of skew-symmetric opera-
tors and its countably additive extension.

§ 1. Some Properties of Gayley Transformation in the

Infinite Dimensional Case

Let H be a real separable Hilbert space, O(JHT) be the orthogonal group

on it and / be the identity operator. We start from the following subgroup
of O(H}. O$(H} = { Te O(H} ; /- T is of finite rank} . Various topolo-
gies are considerable, but here we give two special norms on this group
for our later discussion. One is the operator norm and the other is
Hilbert-Shmidt norm. Perhaps the lack of completeness is inconvenient,
so we extend O$(H} to larger classes OC(H) and O^(H\ where OC(H} =
{ T^ O(H} ; /— T is a compact operator} , Oh(ff)= { T^ O(H) ; /— T is a
Hilbert-Shmidt operator} . The metric dc and d^ are defined as follows.
<tcT, S = \\T-S\\O and

Theorem 1.1. (OC(H}} dc} and (Oh(H}} dh} are complete separable
metric groups and these two metrics are invariant under the action of
rom left and right.

The assertion of the theorem is easily checked, so that we omit the

proof.

Lemma 1.1. Let T belong to OC(H}. If T has not eigen value — 1.,
then (7-f- T} has a bounded inverse.

Proof is omitted. See [11].

The subset of OC(H} appeared in the above lemma will be denoted by

Gc and Gc H Ou{ff} will be denoted by G^.

Lemma 1.2. Gc and G^ are open sets in (OC} dc) and (O^ d^) re-
spectively.
 CONSTRUCTION OF INVARIANT MEASURE 415

Proof. The natural mapping from (On, dji) to (Oc, d^ is trivially con-
tinuous and Gfl=Gc H O^, so that we have only to prove in the case of com-
pact one. Supposing T^ Gc, we shall prove that if \\S\\0p< 7r/TT~'7A=:n7~ >
\\(l-f- 1 ) -Mlop
as not eigen value — 1. The relation (TJ[-S')x= — % implies Sx=
(I+T)x, hence (/+ T)-lS.t=— x, so that we have 1^||(/+ T)-lS\\op
T}~1 \\op\\S\\0p, which is a contradiction. Q.E.D.
Let SC(H}, Sji(H}, Sn(ff} be the sets of skew-symmetric compact,
skew-symmetric Hilbert-Shmidt, and skew-symmetric nuclear operators
on the Hilbert space H, respectively. We equip the operator norm, the
Hilbert-Shmidt norm and the trace norm in these spaces, respectively.

Theorem 1.2. The infinite dimensional Cay ley transformation

} = (I — £/)(/+ U}~1 is an onto homeomorphism from Gc and G^ to
and Sh(If) respectively and the inverse mapping has the same form
as Coo.

Proof. The algebraic assertion and onto properties are the same as
for the finite dimensional case, so that we only check the continuity
property. Before the proof we state several lemmas.

Lemma 1.3. Let X be a bounded operator. If\\X\\op<lJ (I—X}

has a bounded inverse and ||/— (/— op _
I—

Lemma 1.4. Let X be a bounded operator. If X has a bounded

inverse, the mapping X—*X~~^ is continuous with respect to the operator
norm.

The above two lemmas are well known. See [12].

Proof of theorem 1.2. Suppose Un-*U§ in Ga, where || • \\a is the

operator norm or Hilbert-Shmidt norm. Then we have
|| (7+ UnY\I- */„)

\ Un-
416 HIROAKI SHIMOMURA

Thus the assertion will be proved by the above inequality together with
Lemma 1.4. The same argument holds for the inverse mapping. Q.E.D.

Remark. (1) The set Ga (where a is c or /i) is invariant under the

operation of group inverse and the action of T( - ) T~l for all T^ O(H}.
(2) C08(/)=0, C^U-^-C^U} and
forall

§ 2. The Gayley Image of Haar Measure and Its Continuity

in the Finite Dimensional Case.

Let SO(n) be the special orthogonal group on the ^-dimensional

Euclid space, \in be the normalized Haar measure on it and Cn be the
Cayley transformation from SO(n) to S(ri), where S(n) is the set of n-
dimensional skew-symmetric matrices. The domain of Cn is the set of
operators which have not eigen value — 1 and will be denoted by Gn.

Lemma 2.1. p,n(Gn} = I and Gn is a open dense set in SO(n) in the

natural topology.

The assertion is easily checked, so that we omit it.

Naturally S(n) may be considerable as -^n(n~ l)-dimensional Euclid

space, regarding the entries of the upper part of the diagonal as independent
variables. Symbolically we shall write dA=da\&da\&..,dan-\,n for the
volume element of the Lebesgue measure in this space.

Theorem 2.1. Let vn be the image of JJLH under the map Cn. Then
dA
—r—-ry- ; where
/ E det(/+-^) -1
yn is a normalizing constant, and E is a Borel set.

Proof. If X, X\, and X% are sufficiently near to 0, then

. . ., and

Thus, an infinitesimal rotation on SO(n) corresponds to an infinitesimal

 CONSTRUCTION OF INVARIANT MEASURE 417

translation on S(n), therefore the invariance property of p,n implies that

i>n is approximately Lebesgue at origin up to a constant factor; dvn^yn
dX as denoted symbolically. Let A§={I— £/o)(/+ C/o)"1 be an arbi-
trary element in S(n), where U®^SO(n). The transformation W(X}
= Cn(C~^L(X}'Uo) is a measure preserving map on S(n) and fF(0)=Ao, so
that Jvn(Q) = d(Wvn>)((y)==dvn(AQ). If we neglect more than first order
terms, then A = W(X)~AQ+(f+A<j)X(I—Ao) and c/A=^^dX^=
d(A)
^o), where =^^^ is a Jacobian. In
order to complete the proof, we have only to check the following lemma.

Lemma 2.2. If A=(A*+I)X(I-A$, then

where all matrices are elements of S(n).

This is an elementary calculation and can be proved by induction for

n. We omit it.

Remark. (1) For the case ^—2, 1^2 is one dimensional Cauchy
distribution and its Fourier transformation becomes exp( — 1#|).
(2) vn(TET-i} = vn(E} for all TEE O(ri) and Borel sets.

We put (A,£yn=-tr(£*A) = ~tr(£A) for A,B^S(n). It is

Zj Zi
a scalar product on S(n), and \\A |||==<^5 A)n is the Hilbert-Shmidt
norm.
We define a linear mapping 7r Wjm from S(n) to S(m) (n^>m).

_ # *#

Theorem 2.2. The sequence {i>n} is consistent relative to the maps

77
n,m a/nd the normalizing constant yn can be calculated by the following
recurrent formula.

Proof. Zet Xn(X) be the Fourier transformation of i>n, namely

418 HIROAKI SHIMOMURA

where A\, X\ are (n — l)-dimensional matrices and a, x are (n — l)-dimen-

sional vectors, then, since det(I+A ) = det(/+^4i) {! + <(/— A f)"1^, #>},
we have

r
-yn J

n
If #=0, then Xn(^=Xn-l(^l) with the requested result for . In
yn-i
terms of the measure this shows 7r WfW _iv w =i; w -i. On the other hand,
7T
7Tn)jc=7Tm,Jc n)m (k^wi^Lri) holds trivially. Combining these facts, the
assertion is proved. Q.E.D.

Lemma 23. In the notation of Theorem 2,2, \xn(X}— xn-i(^i)\

[Link] X' = [ t lj ~^ I, then we have Xn(X)=Xn(^, because

\ ye, U /
det(/+v4) is a even function of a. Therefore we have

so that

IX»-iTO-X»WI^|l-X.(^)l, where ^ = ( ° jf.

\ X \J I

I 0 II^H 0
L 1
Since Xn(^)=Xw(7'^7 - ) for all Tin 5<9(») and 7^7^-1= -H*H ° .
\ 0 ""0
for some T^SO(n), by the remark after Lemma 2.2 ^ m (X)=exp(— \\x\\),
and lxn-i(^i)-X»Wl^l-exp(-ll*ID^II*ll- Q.E.D.

Theorem 2.3. Again we use the notation of Theorem 2.2. Then,

 CONSTRUCTION OF INVARIANT MEASURE 419

^ - l l ^ n i t r > where \\ - ||tr is the trace norm.

Proof. By the remark (2) after Lemma 2.2, we can assume X to be

in the canonical form without loss of generality.

0
/i
AIi \ ( ° Al V

0 0
-AI 0 0 ^
X= %
or 0 '' 0 A*
0 0 A,
-A* 0
-A, oj n
(n: even) (n: odd)

Making use of Lemma 2.3 repeatedly, in both cases we get the following
inequality. |l-Xn(^)l^ 2 l ^ l = l l ^ l l t r - Q-E.D.
1=1 *
We remark that the above estimate does not depend on the dimension.

§ 3. The Cylindrical Measure on Some Glass of Skew-Sym-

metric Operators and Its Countably Additive Extension

In this section we shall denote the collection of finite dimensional

linear subspaces of H by IJ . If M is the element of D \ SO(M}, S(M), \LM,
VM and XM have the same meaning as the the preceding section. We define
the mappings TTN,M from S(N} to S(M} as follows (JV^M); TT^)M(A^ =
PN,MA 1 M, where PN^M is the projection from N to M and • | M means the
restriction to M. Then the discussion of section 2 tells us that {VM ' M^EL
Lf} is a consistent sequence relative to the maps TT^^M- In order to obtain
cr-additive extension of {VM} we shall briefly discuss the projective limit
method. First of all we take a sequence of operators {AM} which has
the following two properties.
(1) AM^S(M}. (2) •nN>M(-AN

Then we can define a bilinear functional B on HxH such that B(x^y]

— (AMX,y), where M includes both x and y. It is well defined inde-
pendent from the choice of M by the property (2) and satisfies B(x, y)
= — B(ytx). Conversely if a bilinear skew-symmetric functional B is
420 HIROAKI SHIMOMURA

given, B(x,y) = ^KMxJyy x,y^M determines the operator

and the sequence {AM} satisfies (2). Evidently this correspondence is one
to one. Thus,

Theorem 3.1. The protective limit space of '{S(M^ TTN^M} is realized

as the set of bilinear skew-symmetric functional on

Theorem 3.2. A o-additive extension of {UM} exists uniqiiely on the

projective limit space of {S(M^ TTN^M}-
The proof is carried out by Bochner's famous theorem. We omit it.

Though it can be shown more directly, Theorem 3.2 tells us that we

can define a positive definite function x on the set S$(H} of all finite rank
skew-symmetric operators on H.
More exactly, x has the following two properties.
(1) x is a positive definite function and x(0) = l.
(2) X(^)=XM(A) for any M<=L? such that

The last theorem in Section 2, together with the fact that S$(H} is dense
in Sn(H} enables us to extend x to Sn(H) uniquely. To say repeatedly,
Sn(IT) is the set composed of the skew-symmetric trace class operators
which is equipped with the trace norm.

Theorem 3.3. The dual of the space of compact linear operators on

H equipped with the operator norm is identified with the space of nuclear
operators on H equipped with the trace norm. More exactly, for the dual
element F, there exists one and only one nuclear operator T, such that
F(A}=tr(T*A} and \\F\\ = \\ T\\*.

This is a well known result. We omit it. See [7].

Gollorary. The dual of SC(H} is identified with Sn(H) in the above

sense.

Proof. Using Hahn-Banach theorem, we can easily reduce it to the

above theorem, so that we omit it.
 CONSTRUCTION OF INVARIANT MEASURE 421

Theorem 3.4. A unique cylindrical measure (weak distribution)

exists on Sc(ff) such that its finite dimensional projection is given by the
Cay ley image of Haar measure.

Proof. Since a weak distribution corresponds uniquely to a continuous

positive definite functional on its dual space, we have only to check the
continuity of x< But 1— x(A")|<J-^-||X!!tr always holds, so that we com-
plete the proof. In details, see [3J.

(1) Consider the spectral decomposition of 7^

)= 2 Ay {<#, *2j>*2j-i— <>, *2j-i>*2j} • Then

exp

(2) Let <? and/ be the elements in H. The function

is of course measurable and its distribution is Cauchy. For real yt

f
J & c\

(3) !;(£) = !;(-£) and »(TJET-*) = v(E) for all T^O(H} and
measurable set .fi1.

Our final problem in this paper is the cr-additive extension of this

weak distribution. Apparently its characteristic functional tells us the
lack of or-additiveness on 5C(//). So that we must extend SG(H} to a
larger space which is so called a nuclear extension. As the projective
limit in Theorem 3.1 is considered to be the largest extension, we have only
to check the support of the measure in Theorem 3.2. But on the other
hand, since we wish to obtain a measure on O(H\ the extension on SC(H}
is desirable. Then the problem is set up as follows. Let T\ and T% be
bounded operators on H and consider the map, A-*- T\A T%} where A
belong to 5C(77). Then whether the image of u by this transformation has
422 HIROAKI SHIMOMURA

a v-extension on SG(H} or notl Before answering it, we prove the following

lemma. 1)

Lemma 3.1. Let T\ and T% be bounded operators on H and assume

that TiA T2 e SC(H} for all A e SC(H} . Then, (a) T\=cT% for some real
constant, or (b} TiAT2=0 for all

Proof. If the rank of T2 is less than 1, then the rank of T\A T2 is

also less than 1, but such a skew-symmetric operator must be zero. This
is the case (b).
The skew-symmetricity of T\A T2 implies that for any A GE SC(H) and
x^Hj we have (A T2x, T±xy=0. This means that for some real
number CX3 T\x=CxT2x if T2x=^=0. Thus, we have only to prove
(1) Cx=Cy for x=^=yj and (2) T2x=0 implies T^x— 0. First we shall
prove (2). If T2x=Q and T2y=£Q, we have Tl%=Tl(x+y}-Tly=
(Cx+y—Cy}T2y. Thus, T\x is linearly dependent with T2y. If the rank
of T2 is more than 2, this means T±x=Q. Next we shall prove (1). If
and T2y=£0, we have Tl(x+y)=Tlx+Tly=CxT2x+CyT2y=
x+y^^Cx+yT^+Cx+yTw. If T2x and T2y are linearly inde-
pendent, comparing the coefficients we get Cx+y=Cx=Cy. If T%x and
T%y are linearly dependent, T2x=aT2y for some a. Then, in virtue of
(2) we have T\x=aT±yf namely CxT2x=aCyT2y=CyT2xf hence Cx=Cy.
Q.E.D.

Theorem 3.50 Let T be a bounded operator on H and put r(A) =

T*AT. Then r is a bounded transformation on SC(H}. In order that
Ti>(J5)=v(T~i(I<y) has a a-additive extension on 5C(77), it is sufficient that
T is a nuclear operator. Further under the above condition the support of
TV is always contained in

Proof. We assume that T is a nuclear operator. Then the range of

r is included in 5/^(77). Thus, it will be sufficient to show that TV has a
a-additive extension on SC(H}. We shall observe its Fourier transfor-
X\ n
iiT x B
mation: Tv(B}= I e ( * )dTv(X\ where B is an element in
<J -i5f e<5 fi {H)

1) This lemma was improved by Y. Yamasaki.

 CONSTRUCTION OF INVARIANT MEASURE 423

Then by the continuity of v

I-w(B}= f l-e-^(T*AT^dv(A}=Sup \tr(T*ATB}\ = \\TBT*\\tI.

^ J Sc(H) \\A\\il

We put PT(£*)=Sup\tr(T*AT£)\, then it is a semi norm. Naturally

the space Sh(H) becomes a Hilbert space with the Hilbert-Schmidt norm:
<^i, .#2>— -o- 2 (B\e$, B&j)> where e\, e%, ..., en, ... is a complete ortho-
2 j=i
normal system (c.o.n.s) in H. Put gij(x) = (xj e^e-} — (x, e^ei, then the
sequence of operators {qt^} ^Sji(H^) : z,/=12..., z<O forms a c.o.n.s. in
Sh(H}. After some calculations we can show that /V(0^)=2 1| Te\ || || Te3-\\,
therefore we have S PT(qi j)= S 2|| T^ll II 7>;ll< °°- We define an
*</ ' i<i
operator W on 5A(/T) as follows : W(E)= S <JS, qi i>Px(qi fig* }- Then
i<^-
W is a trace class operator on Sn(H} and

tr
- Therefore
_ _ 2
ry is continuous with respect to the norm \\£\\w = (W(l?)t ^)> , and since
W is trace class, rv is a cr-additive measure on Sji(Jf). See [4]. Q.E.D.

Theorem 3.6. We use the notation of Theorem 3.5. In order

that TV has a a-additive extension on S^H^ it is necessary that T is a
Hilbert-Shmidt operator, where Sg(H} is the set of all bounded skew-
symmetric operators.

Proof. Suppose that TV has aCT-additive extension on

If T vanishes identically, the assertion is trivial, so that we take an
element e such that Te=^0, |H| = 1. Extending it in a suitable way, we
form a c.o.n.s e\, ev, ..., en, ... such that e\=e. The mapping £ which
sends A^Sjs(H) to Ae^H is clearly a measurable mapping. Again we
observe a Fourier transformation of a measure T], which is the image of TV
by the map £. As rj is a cr-additive measure on ff, for any positive e,
there exist 8^>0 and a Hilbert-Schmidt operator 5 on H such that
£ r a
|1 — ^(j)l<C f° ll li-Syil^JS- However, since

=exp(_Vjj7>||a||Ty\\*—(Te, Ty>*),

the inequality |1 —^(j|/)|<e is equivalent with || 7>|| 2 ||7>|| 2 —<7>, 7»2

424 HIROAKI SHIMOMURA

<^(Log(l—s))2. Next we take an arbitrary element y from H. If A is

small enough to satisfy ||A5yi|<jS, then ||7^|| ||7j/|| —<( Te, ZV)2<1 -^-
2 2

(Log(l— s))2. Letting -y- to infimum under the above condition, we get
i
||7>H ||7>|| —<7>, r^>2^^(Log(l —£))2!|S>||2.
2 2
Substituting ej for y
and summing up over J, we have ||7V||2 S ll^^ll 2 —II 7"*7g||2<I--^-
(Log(l-£))2||5i|^. Therefore S|7*jH 2 O, namely T is a Hilbert-
Schmidt operator. Q.E.D.
Making use of the infinite dimensional Cayley inverse transformation,
we can obtain some invariant measures on the group Oc(ff). The author
wishes to discuss various properties of these measures in the subsequent
paper.

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