Here is a proof which may not be the best but demonstrates some standard techniques:
Since RR has finite inj. dim. one can replace MM by a high syzygy, so one can assume MM has full depth. Thus one can kill a full regular sequence for both MM and RR and (as finiteness of proj. or inj. dim are not affected) assume RR is Artinian. Now, your last question shows that you already know in this case MM must be injective.
Map a free module onto MM and look at the exact sequence:
0toNtoRntoMto00toNtoRntoMto0
As RR is Gorenstein, NN also has fin. inj. dim., so injective. But then textExt1R(M,N)=0textExt1R(M,N)=0, hence the sequence splits, and MM must be free.
PS: The name is Bruns. You said in your profile that you are a graduate student interested in commutative algebra. If that is indeed the case, then perhaps taking a serious course and talking to the experts at your institution would be more effective then learning it on MO (-: Good luck!
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