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This is something that confuses me. I have read a few mathematical texts and they often seem to use Lemma/Proposition/Theorem if they have a particular statement.

Now, which one to use? A lemma can be something you need to prove a more important theorem, but then what about Fatou's Lemma?

When to pick Proposition or Theorem?

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Other less common ones are "Scholium" and "Sublemma." I was in a lecture where Nolan Wallach used a Scholium. –  Grumpy Parsnip Mar 7 '11 at 23:12
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I avoid proposition as some logicians use it to mean a well-formed statement without quantifiers which might or might not be true, and some mathematicians use it for a true statement they are not going to prove (I would use assertion for the latter). –  Henry Mar 7 '11 at 23:43
    
@Jim: What is a "Scholium"? Sublemma, fine, but Scholium? –  Jonas Teuwen Mar 7 '11 at 23:49
    
According to Wikipedia, "In modern mathematics texts, scholia are marginal notes which may amplify a line of reasoning or compare it with proofs given earlier. A famous example is Bayes' Scholium, a well-known result for interpreting observations of a Bernoulli process." –  Grumpy Parsnip Mar 8 '11 at 0:56
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@jim: Rightfully so. Writing a scholium instead of a remark is like writing a prolegomenon instead of a preface. It's not quite the same thing but has a distinct highbrow smell. –  t.b. Mar 8 '11 at 4:19
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There seem to be two issues here. One is why certain well-known results are called Lemmas, such as Zorn's, Yoneda's, Nakayama's, and so on. I don't know the answer to this; presumably it is a mixture of what was written in some original source and the results of the transmission of that original source through the mathematical tradition. (As one interesting example of how labels can be changed in the course of transmission, there is a result in the theory of automorphic forms and Galois representations, very well known to experts, universally referred to as "Ribet's Lemma"; however, in the original paper it is labelled as a proposition!)

The second issue is how contemporary writers label the results in their papers. My experience is that typically the major results of the paper are called theorems, the lesser results are called propositions (these are typically ingredients in the proofs of the theorems which are also stand-alone statements that may be of independent interest), and the small technical results are called lemmas. This probably varies quite a bit from writer to writer (and perhaps also from field to field?).

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Yes, I suppose I was conflating these two issues in my answer. –  Qiaochu Yuan Mar 8 '11 at 2:01
    
Hmm, then Bill's suggestion is not that bad, it turns out to be quite subjective... Thanks! –  Jonas Teuwen Mar 8 '11 at 12:04
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I don't know if there are any hard and fast rules, but here is a rough start for others to nitpick:

  • A Theorem is a major result that you care about (e.g. "the goal of this paper is to prove the following theorem").
  • A Lemma is a useful result that needs to be invoked repeatedly to prove some Theorem or other. Note that sometimes Lemmas can become much more useful than the Theorems they were originally written down to prove.
  • A Proposition is a technical result that does not need to be invoked as often as a Lemma.
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I always thought of a Proposition as an independent result, like a theorem, but not as important. –  Grumpy Parsnip Mar 7 '11 at 22:48
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There's always the "technical lemmas" that are used possibly only once, for some big theorem. –  Bruno Stonek Mar 7 '11 at 23:01
    
And there are also the lemmas which are repeatedly used to prove many theorems, e.g. Yoneda's, Zorn's, not-Burnside's, Nakayama's, Itō's, ... I think someone once said it's far better to prove a good lemma than a big theorem. –  Zhen Lin Mar 7 '11 at 23:11
    
"some Theorem" should be interpreted as a plural. I guess I should clarify. –  Qiaochu Yuan Mar 7 '11 at 23:19
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I think of Lemma and Proposition exactly in the opposite way: a lemma is a technical result that you "never" expect to use again; a proposition is a technical result that is interesting in its own right, is used more often than a Lemma, but is not as important as a Theorem. Perhaps I am wrong... –  wildildildlife Mar 7 '11 at 23:59
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While generally the terms are used as suggested by Qiaochu, there are some authors who are bothered by these nebulous subjective terms. For example, Kaplansky wrote in the preface of his classic textbook Commutative Rings

In the style of Landau, or Hardy and Wright, I have presented the material as an unbroken series of theorems. I prefer this to the n-place decimal system favored by some authors, and I have also grown tired of seeing a barrage of lemmas, propositions, corollaries, and scholia (whatever they are). I admit that this way the lowliest lemma gets elevated to the same eminence as the most awesome theorem. Also, the number of theorems becomes impressive, so impressive that I felt the need to add an index of theorems.

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