TITLE: Can monsters of real analysis be tamed in this way?
QUESTION [6 upvotes]: Consider the Weierstrass Function (somewhat generalized for arbitrary wavelengths $\,\lambda > 0$ ):
$$
W(x) = \sum_{n=1}^\infty \frac{\sin\left(n^2\,2\pi/\lambda\,x\right)}{n^2}
$$
$W(x)$ is an example of a function that is everywhere continuous but nowhere differentiable (Or, for the nitpickers among us: differentiable only on a set of points of measure zero). We seek to remove the pathological character of the function $W(x)$ in  very much the same way as has been tried with removing singularities in  
Could this be called Renormalization? ,
namely by convolution with a "broadened" Dirac-Delta function, in our case a Gaussian:
$$
\int_{-\infty}^{^\infty} W(\xi) \frac{1}{\sigma\sqrt{2\pi}} e^{-\frac{1}{2}(x-\xi)^2/\sigma^2}\,d\xi =\sum_{n=1}^\infty \frac{1}{\sigma\sqrt{2\pi}} \int_{-\infty}^{^\infty}
\frac{e^{-\frac{1}{2}(x-\xi)^2/\sigma^2}\left[e^{i\,n^2\,2\pi/\lambda\,\xi}-e^{-i\,n^2\,2\pi/\lambda\,\xi}\right]}{2\,i\,n^2}
$$
Exponents are rewritten as follows:
$$
-\frac{1}{2}(x-\xi)^2/\sigma^2 \pm i\,n^2\frac{2\pi}{\lambda}\xi =
- \frac{1}{2}\left(\frac{\xi}{\sigma}\right)^2 + \frac{x}{\sigma}\frac{\xi}{\sigma}
\pm i\,n^2\frac{2\pi}{\lambda}\sigma\frac{\xi}{\sigma} - \frac{1}{2}\left(\frac{x}{\sigma}\right)^2 =
-\frac{1}{2}\left[\frac{\xi}{\sigma}-\left(\frac{x}{\sigma} \pm i\,n^2\frac{2\pi}{\lambda}\sigma\right)\right]^2
-\frac{1}{2}\left(n^2\frac{2\pi}{\lambda}\sigma\right)^2 \pm i\,n^2\frac{2\pi}{\lambda}x
$$
Giving for the convolution integral:
$$
\sum_{n=1}^\infty
\int_{-\infty}^{^\infty} e^{-\frac{1}{2}\left[\xi/\sigma-(x/\sigma \pm i\,n^2\,2\pi/\lambda\,\sigma)\right]^2}\,d(\xi/\sigma)\times\sigma\times\frac{1}{\sigma\sqrt{2\pi}}\;(=1)\\
\times e^{-\frac{1}{2}\left(n^2\,2\pi/\lambda\,\sigma\right)^2}\frac{e^{i\,n^2\,2\pi/\lambda\,x} - e^{-i\,n^2\,2\pi/\lambda\,x}}{2i\,n^2}\qquad \Longrightarrow \\ \overline{W}(x) =
\sum_{n=1}^\infty e^{-\frac{1}{2}\left(n^2\,2\pi/\lambda\,\sigma\right)^2}\frac{\sin\left(n^2\,2\pi/\lambda\,x\right)}{n^2}
$$
The idea is that a monster function which is "smoothed" in this way might be differentiable as well as continuous. A possible argument is that the derivative of the convolution integral can also be calculated in the following way:
$$
\frac{d}{dx} \int_{-\infty}^{^\infty} W(\xi) \frac{1}{\sigma\sqrt{2\pi}} e^{-\frac{1}{2}(x-\xi)^2/\sigma^2}\,d\xi =
\int_{-\infty}^{^\infty} W(\xi) \frac{1}{\sigma\sqrt{2\pi}} \left(-\frac{x-\xi}{\sigma^2}\right) e^{-\frac{1}{2}(x-\xi)^2/\sigma^2}\,d\xi
$$
But I'm not sure if this counts as a proof. Hence the question: is the Weierstrass monster function "tamed" by this "renormalization" procedure and has it become differentiable everywhere indeed?

REPLY [4 votes]: Since we have:
$$\overline{W}(x) = \sum_{n=1}^{+\infty}e^{-An^2}\frac{\sin(Bn^2 x)}{n^2}$$
it follows that:
$$\overline{W}(x)-\overline{W}(y)=\sum_{n=1}^{M}e^{-An^2}\frac{\sin(Bn^2 x)-\sin(Bn^2 y)}{n^2}+O(e^{-AM^2}(x-y)),$$
so by assuming $|x-y|\leq\frac{1}{M^2}$ and exploiting the Lipschitz condition for the sine function:
$$\left|\frac{\overline{W}(x)-\overline{W}(y)}{x-y}\right|\leq \sum_{n=1}^{M}B e^{-An^2}+O(e^{-AM^2})=O(1),$$
hence the smoothed Weierstrass function is a Lipschitz function, and
$$\overline{W}'(x)=\sum_{n=1}^{+\infty}Be^{-An^2}\cos(Bn^2 x)$$
since the RHS is an absolutely convergent series. Iterating the same argument over and over we have that $\overline{W}$ is a $C^{\infty}$ function, since the sine and cosine function are always bounded and the coefficients $B^k n^{2k}e^{-An^2}$ decay pretty fast as soon as $n$ is big enough.