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Calculus: A Modern Approach

Horst R. Beyer Louisiana State University (LSU) Center for Computation and Technology (CCT) 328 Johnston Hall Baton Rouge, LA 70803, USA

Dedicated to the Holy Spirit

Contents
Contents 1 Introduction 1.1 Short Introduction . . . . . . . . . . . . . . . . . . . . . 1.2 Background . . . . . . . . . . . . . . . . . . . . . . . . 1.3 The General Approach of the Text . . . . . . . . . . . . 1.3.1 Motivational Parts . . . . . . . . . . . . . . . . 1.3.2 Core Theoretical Parts . . . . . . . . . . . . . . 1.3.3 Parts Containing Examples and Problems . . . . 1.4 Miscellaneous Aspects of the Approach . . . . . . . . . 1.5 Requirements of Applications . . . . . . . . . . . . . . 1.6 Remarks on the Role of Abstraction in Natural Sciences . 3 5 5 5 7 8 9 10 12 13 14 17 17 20 20 31 42 60 60 88 121 144 211 249 249 249 266 281 297 308 338

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Calculus I 2.1 A Sketch of the Development of Rigor in Calculus and Analysis 2.2 Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2.1 Elementary Mathematical Logic . . . . . . . . . . . . . 2.2.2 Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2.3 Maps . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.3 Limits and Continuous Functions . . . . . . . . . . . . . . . . . 2.3.1 Limits of Sequences of Real Numbers . . . . . . . . . . 2.3.2 Continuous Functions . . . . . . . . . . . . . . . . . . 2.4 Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.5 Applications of Differentiation . . . . . . . . . . . . . . . . . . 2.6 Riemann Integration . . . . . . . . . . . . . . . . . . . . . . . Calculus II 3.1 Techniques of Integration . . . . . . . . . . . . . . . . . 3.1.1 Change of Variables . . . . . . . . . . . . . . . 3.1.2 Integration by Parts . . . . . . . . . . . . . . . . 3.1.3 Partial Fractions . . . . . . . . . . . . . . . . . 3.1.4 Approximate Numerical Calculation of Integrals 3.2 Improper Integrals . . . . . . . . . . . . . . . . . . . . 3.3 Series of Real Numbers . . . . . . . . . . . . . . . . . .

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3.4 3.5

Series of Functions . . . . . . . . . . . . . . . . . . Analytical Geometry and Elementary Vector Calculus 3.5.1 Metric Spaces . . . . . . . . . . . . . . . . . 3.5.2 Vector Spaces . . . . . . . . . . . . . . . . . 3.5.3 Conic Sections . . . . . . . . . . . . . . . . 3.5.4 Polar Coordinates . . . . . . . . . . . . . . . 3.5.5 Quadric Surfaces . . . . . . . . . . . . . . . 3.5.6 Cylindrical and Spherical Coordinates . . . . 3.5.7 Limits in Rn . . . . . . . . . . . . . . . . . 3.5.8 Paths in Rn . . . . . . . . . . . . . . . . . .

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378 439 440 450 478 492 500 509 516 520 542 542 566 597 627 678 694 701 719 732 750 750 762 767 783 791 797 799

Calculus III 4.1 Vector-valued Functions of Several Variables . . . . . . . 4.2 Derivatives of Vector-valued Functions of Several Variables 4.3 Applications of Differentiation . . . . . . . . . . . . . . . 4.4 Integration of Functions of Several Variables . . . . . . . . 4.5 Vector Calculus . . . . . . . . . . . . . . . . . . . . . . . 4.6 Generalizations of the Fundamental Theorem of Calculus . 4.6.1 Greens Theorem . . . . . . . . . . . . . . . . . . 4.6.2 Stokes Theorem . . . . . . . . . . . . . . . . . . 4.6.3 Gauss Theorem . . . . . . . . . . . . . . . . . . Appendix 5.1 Construction of the Real Number System . . . 5.2 Lebesgues Criterion for Riemann-integrability 5.3 Properties of the Determinant . . . . . . . . . . 5.4 The Inverse Mapping Theorem . . . . . . . . .

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References Index of Notation Index of Terminology

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1.1

Introduction
Short Introduction

This text is an enlargement of lecture notes written for Calculus I, II and III courses given at the Department of Mathematics of Louisiana State University in Baton Rouge. It follows syllabi for these courses at LSU. Mainly, it is devised for teaching standard entry level university calculus courses, but can also be used for teaching courses in advanced calculus or undergraduate analysis, oriented towards calculations and applications, and also for self-study. The reasons for devising a text of such threefold nature is explained in Section 1.3. This text is unique also in its special attention to the needs of applications and due to its unusually elaborate motivations coming from the history of mathematics and applications. As a result, the text introduces early on basic material that is needed in applied sciences, in particular from the area of differential equations. Its motivations follow Otto Toeplitz famous genetic method, [96].

1.2

Background

Currently, the content coverage and approach in standard calculus texts appear static. Indeed, such courses teach to a large extent views of the 18th century. On the other hand, the demand for analysis skills of increasing sophistication and abstraction in applications is still unbroken. As pointed out in Section 1.6, the need for a higher level of mathematical sophistication in the discipline which is most fundamental for applications, physics, was a byproduct, in particular, of the study of atomic systems. In particular, the mathematics education of physicists needs to go beyond calculus. A study of functional analysis, especially that of the spectral theorems of self-adjoint linear operators in Hilbert spaces, considerably enhances the understanding of quantum theory beyond that given in standard quantum mechanics texts. Such knowledge is extremely helpful in the study of the more advanced quantum theory of elds and, very likely, also

for the formulation and understanding of more advanced unied quantum eld theories that are still to come. Also in the engineering sciences, the need for higher mathematical sophistication is visible, in particular, in connection with the solution of partial differential equations (PDE). PDE dominate current applications and functional analysis also provides the basis for their treatment. A good example for application of functional analytic methods is the method of nite elements which is widely used in engineering sciences for the solution of boundary value problems of elliptic differential equations. Also, questions after the relation of approximate solutions, provided by numerical methods, to the solutions of the original PDE gain importance and hence lead into the area of functional analysis. The mathematical thinking taught in current standard calculus courses provides no proper basis for more advanced courses in the area of analysis, in particular, courses in advanced calculus or undergraduate analysis.1 As a consequence, the last dont build on any previous knowledge of calculus, but start completely new.2 Frequently, students from natural sciences and engineering, which form a major part of classes, dont attend such advanced courses, mostly for reasons of time. As a consequence, frequently, standard calculus courses lead the last students into a dead end. In todays time, where the speed of development of all parts of society rapidly increases, such procedure appears no longer appropriate. Since a major raise of the mathematical level of standard calculus courses
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This is not surprising since precisely that thinking led calculus into serious crisis in the beginning of the 19th century. Only after that crisis was overcome, the development of more advanced mathematical elds was possible. Of course, this is not very efcient. Also, signicantly, students of mathematics often face substantial problems in the rst decisive parts of such courses that demand a considerably higher level of abstraction. Usually, this problem cannot be avoided by offering honor calculus courses, since most often there are only insufcient numbers of students to ll such courses. Also, the last are not always taught on a signicantly higher level than standard calculus courses.

does not appear feasible, without losing the bulk of students, the result is a dilemma. The goal of providing a basic calculus education to a large mass of students, that is at the same time suitable as basis for more advanced analysis courses and also for increased demands for analysis skills of higher mathematical sophistication in applications, seems unreachable. Visibly, current standard calculus courses pursue the rst part of this goal, only.

1.3

The General Approach of the Text

The text tries to reach the whole goal, instead. As is suitable for calculus courses, it has a strong orientation towards calculations, but uses consistently mathematical methods of the 20th century, in particular, the basic concepts of sets and maps, for the development of calculus. It is mainly the use of these efcient concepts that distinguishes 20th century mathematics from older mathematics. In addition, special care was taken to include material that is needed early on in applied sciences, in particular from the area of differential equations. On the last, details are given in Section 1.5. As a consequence, the text rests on Chapter 2, Basics, of Calculus I that introduces the concepts of sets and maps. Due to their inherent simplicity, the understanding of these concepts is possible to the majority of students. This introduction is preceded by a short subsection on elementary mathematical logic to explain the meaning of the notion of a proof. This takes into account the experience that a large number of students have difculties in understanding that meaning. It is also hoped that this subsection convinces some students, if still necessary, that they are capable of understanding proofs. Therefore, Chapter 2 should be covered in detail in class. Its thorough study will provide the student with the basic tools that are essential for the understanding of modern mathematics. A student that mastered this chapter will realize in the following that a main step in the solution of a problem is its reformulation in terms of the language provided in Chapter 2. After that, 7

the solution of a large number of problems is obvious. As a consequence, he or she will gradually realize that the seemingly challenging nature of many standard calculus problems is due to an inadequate formulation. In this way, the student will learn to appreciate the power of the provided language which will guide him or her through the rest of the course. Mostly, chapters consist of three parts. An introductory motivational part, a core theoretical part and a part containing examples and problems. 1.3.1 Motivational Parts

Those parts consider historical mathematical problems or problems from applications that lead to the development of the mathematics in the theoretical part of the chapter. Such problems often have a certain directness which is suitable to catch students attention and should help every student to get an idea why certain mathematics was developed and what mathematics is good for. To the authors experience, practically all students have a high interest in such parts and, if given, are more inclined to follow subsequent more theoretical investigations. Also, motivations of this type are largely missing in standard calculus texts known to the author. In this, the text follows Otto Toeplitz genetic method, suggested in 1926 and realized in his Die Entwicklung der Innitesimalrechnung, Bd. I. from 1949 [96]. To the knowledge of the author, the present text is the rst that implements Toeplitz method to a large extent and at the same time is capable to cover a three semester course in calculus. On the other hand, differently to Toeplitz, the text does not follow the historic order of the mathematical development because, from todays perspective, that development was not very efcient. Also, the formal approach to mathematics, with Hilbert as its main proponent, made clear that understanding in mathematics is structural understanding. The last is an achievement of the 20th century. Presenting the material in the historical order would obstruct the path towards such understanding and be contrary to the intentions of the text.

Also, wherever possible, motivation is taken from applications. This is suitable, in particular, for students from natural sciences and engineering. This includes introductions to sections like that on improper integrals that uses motivation from the mechanics of periodic motion where improper integrals occur naturally in the analysis. Also, a large number of examples and problems consider basic problems related to theoretical mechanics, general relativity and quantum mechanics. In this, it pays off that the author is a mathematical physicist that has a rst hand research knowledge of these areas. As a consequence, those problems are realistic. In cases where prototypical problems seemed unavailable, pure historical sketches of the development were used for the purpose of motivation. For instance, such approach was used in the introduction to the section on set theory. That introduction points out the fact that the original object of study of set theory was the concept of the innite and that initial resistance against the theory had its roots in ancient Greek philosophical views of the innite that were still not completely overcome at the time. The motivational introductions should be accessible to every student and be gone through in detail in class. 1.3.2 Core Theoretical Parts

Those parts gives a rigorous development of essential parts of the machinery of analysis. Essentially, they are on the level of a standard undergraduate analysis or advanced calculus text, like Langs Undergraduate Analysis, [63], but proofs are intentionally more detailed and have been simplied as far as possible. For this purpose, also current mathematical literature, in particular, the American Mathematical Monthly and the Mathematics Magazine, has been systematically searched. For instance, this led to the adoption of E. J. McShanes proof of Lagranges multiplier rule [76] which does not use the implicit mapping theorem. Also simplications suggested by [4], [25], [26], [32], [33], [40], [44], [61], [90] and [97] have been

used. As a consequence, the text can also be used to teach undergraduate analysis or advanced calculus courses oriented towards calculations and applications. In class, the statements of the most important theorems should appear on the blackboard to teach students to work with these statements, even if the corresponding proofs are not fully understood or skipped. On the other hand, for reasons of time, it is to be expected that a number of proofs have to be omitted or can only be indicated in class. On the other hand, students from mathematics and also from natural sciences and engineering, are advised to go through proofs, that have in omitted or only indicated in class, in self-study. To facilitate such deeper study, this text gives students the chance to look up the full proofs without the necessity for a time consuming study of a large number of other sources.1 The last is no easy task for a beginner and, usually, lacks efciency. For this reason, the text is also devised for an unguided self-study and very explicit. In particular, it tries to give also elementary steps in calculations to such extent that they become evident. As a consequence, large parts of the text should not even need paper and pencil. 1.3.3 Parts Containing Examples and Problems

The majority of problems and examples are of a type and level occurring in standard university calculus texts in the US, but consistently reformulated in modern terms. The problems are mostly calculational in nature, as is appropriate for calculus courses also suitable for students for applied sciences. According to experience, the mastery of the study of applied sciences needs, at the minimum, technical mathematical skills. Sometimes, the opinion is uttered
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In particular such study is complicated by different choices of notation. Of course, the author would not discourage students from such study if there is sufcient time, but, generally, a dense undergraduate curriculum should not leave much time for that.

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that the advent of mathematical software tools, like Mathematica, Maple, Matlab made such skills redundant. In fact, this is not the case since the use of such software led to the consideration of problems whose complexity would have prevented an attack in the past. For instance, viewed from the perspective of algebraic manipulation associated to such problems, this complexity is reected in the output of such programs. Simplication algorithms cannot possible know what the users intentions are. Hence the user has to guide the software to a useful answer without knowledge of that answer. This process needs a lot of mathematical experience and skills. As a consequence, efcient use of such programs presupposes technical mathematical skills and experience and even a form of structural understanding of mathematical manipulations. In addition, it is well-known that such programs are not completely free of errors. Particular examples are given on pages 263 and 292 of the text. Therefore, users need to perform routine checks of the results of such programs which also requires mathematical skills.1 The examples appear throughout in form of fully worked problems. As a consequence, these do not only exemplify the theory, but at the same time teach problem solving and prepare for exams. This procedure is particularly helpful for beginners. Wherever possible, the results of examples have been checked with Mathematica 5.1. Also, a large number of examples and problems consider basic problems from applications, in particular, from theoretical mechanics, general relativity and quantum mechanics. In this, it pays off that the author is a mathematical physicist who has a rst hand research knowledge of these areas. As a consequence, those problems are realistic. Every calculus student needs to solve those problems and be able understand those examples. In particular, in class, the examples should be covered in detail.
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Compared to these requirements, the effort for learning the correct syntax of such programs is relatively low.

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1.4

Miscellaneous Aspects of the Approach

(i) The text tries to introduce only essential mathematical structures and terminology and only in places where they are of direct subsequent use. In particular, mathematical notions are developed only to the level needed in the sequel of the text, thereby stressing their tool character. (ii) Material which is used in the text, but whose development would cause a major disrupt of the course, like the proof of Lebesgues characterization of Riemann integrability, are deferred to the appendix to make it accessible to interested students. In addition, the appendix contains a complete version of Cantors construction of the real numbers as equivalence classes of Cauchy sequences of rational numbers. Today, it is well-known that the whole of analysis and calculus rests on a construction of the real number system. Therefore, mainly for students of mathematics, such a construction has been included. The frequently used introduction of the real number system by a complicated set of axioms, for example, as in [63], has been avoided since such should appear implausible, in particular, to such students. (iii) The basic limit notion of the text is that of limits of sequences. Continuous limits are introduced as a derived concept, but their use is usually avoided. In particular, the denition of the continuity of functions proceeds by means of the conceptually simpler notion of sequential continuity, instead of the equivalent classical , -approach. Generally, the last approach is often problematic for beginners. (iv) The text contains 210 diagrams whose role is to assist intuition, but not to create the illusion of being able to replace any argument inside a proof. Mistakenly, the last is sometimes assumed by students. For this reason, it is explained in the introduction of the section on the development of rigor in calculus and analysis why geometric intuition is no longer regarded a valid tool in mathematical proofs. Still, good diagrams can be useful for the formulation of conjectures.

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(v) In general, theorems contain their full set of assumptions, so that a study of their environment is not necessary for their understanding. For the same reason, occasionally, shorter denitions appear as part of theorems, and theorems as well as denitions contain also material that would normally appear only in subsequent remarks.

1.5

Requirements of Applications

The bulk of material needed early on in applied sciences is from the area of differential equations. In the case of physics, this is the case since the advent of Newtonian mechanics in the 17th century. The advent of quantum theory made it necessary, in particular, to go beyond differential equations on to abstract evolution equations, see, e.g., [8]. Of course, the treatment of differential equations cannot be comprehensive in calculus courses, but a number of important cases can already be treated with methods from calculus. Such cases have been in included in this text as examples of calculus applications and in problem sections. For instance, second order differential equations with constant coefcients are already treated in the section on applications of differentiation in Calculus I. The uniqueness of the solutions of such an equation can be proved by help of an energy inequality. The solutions are found by help of a simple transformation that eliminates the rst order derivative of the unknown function. A two-parametric family of solutions of the resulting equation is easily found. Within the sections on Riemann integration and its applications, separable rst order differential equations are solved by help of integration. The solutions of the equation of motion for a simple pendulum are considered in the introduction to the section on improper integrals in Calculus II. Solutions of Bessels differential equation are derived by the method of power series in the section on series of functions. The derivation of solutions of the hypergeometric and the conuent hypergeometric differential equations are part of the subsequent problem section. Connected to differential equations are special functions, in particular, the Gamma and the Beta function. The last are dened and studied within the section on improper Riemann integrals. That section also derives well-known values of certain exponential integrals used in quantum 13

theory and probability theory and a standard integral representation for Riemanns zeta function. In addition, in applications often the need arises to integrate discontinuous functions as well as functions over unbounded domains. Usually, those needs are due to idealizations that make problems accessible to direct analytical calculation. Such model systems are still the main source for the development of an intuitive understanding of natural phenomena.1 For this reason, applications need an integration theory which is capable of integrating a large class of functions. Lebesgues integration theory is well suited for this purpose. Still, for reasons of practicability, the text develops Riemanns integration theory, though close to its limits. In particular, Lebesgues characterization of Riemann integrability is given inside the text, but its proof is deferred to the appendix. For integration of functions in several variables, we use Serge Langs approach to Riemann integration from [63]. This approach is capable of integrating bounded functions, dened on closed bounded intervals, that are continuous, except from points of a negligible set. Negligible sets can be covered by a nite number of intervals with an associated sum of volumes which can be made smaller than every preassigned real number 0. Hence negligible sets are particular bounded sets of Lebesgue measure zero.

1.6

Remarks on the Role of Abstraction in Natural Sciences

Examples for the fact that the most fundamental of natural sciences, physics, always operated on a level of abstraction similar to that of mathematics are easy to nd. A rst example comes from Newtonian mechanics whose development was intertwined with that of calculus. The former theory describes strict point particles, that is, particles without any spatial extension. Of course, experimentally such point particles have never been observed and therefore constitute an abstraction that has its roots in ancient Greek
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The rising importance of numerical investigations has not, and likely, cannot change that.

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geometry. They have always been regarded as an idealization of a much more complicated reality. Still, the assumption of Newtonian point particles led to predictions that were in excellent agreement with observations and measurement until the advent of quantum theory in the rst quarter of the 20th century. Einsteins theory of special relativity has been the cause of another abstraction to enter physics, namely the unication of time and space into a four dimensional space-time. Such unication led to a remarkable simplication of that theory. Since it is the belief of most physicists that the simplicity of a description, that is consistent with the experimental facts and that predicts new phenomena that are subsequently observed, at least partially, reects an objective reality, nowadays this unication is a commonly used abstraction. A further abstraction is due to Einsteins theory of general relativity that absorbed the gravitational eld into the geometry of the four dimensional space-time. Subsequently, quantum theory led to the description of matter by elements of abstract Hilbert spaces with corresponding physical observables being spectral measures of self-adjoint operators in this space. In the algebraic quantum theory of elds, observables are elements of a von Neumann algebra, and physical states of the eld are positive linear forms on the algebra. The above indicates that the development of physics towards the understanding of deeper aspects of nature was paralleled by the application of mathematical methods of increasing sophistication. In order to avoid the occurrence of errors, the last also necessitated an increasing stress on mathematical rigor in physics. Current physics is as abstract as mathematics since it studies practically exclusively phenomena that cannot be perceived by human senses, but only indirectly by help of highly sophisticated experimental equipment. Hence, similar to mathematics, in physics visual intuition is no longer of much help in the analysis of phenomena. In contrast, the development of physics supports the view that theories based on direct human perception inevitably contain extrapolations on the nature of things which ultimately turn out to be seriously awed. Finally, in current speculative, i.e., without experimental evidence, physical theories there is currently nothing else available than mathematical consistency and rigor to 15

give such theories credibility. Those can only try to replace experiment, temporarily, by mathematical consistency and rigor, although ultimately only the outcome of experiments decide on the truth of a physical theory. Viewed from this perspective, its is quite obvious that calculus courses need to go into the direction of increased mathematical sophistication in order to narrow a widening gap to contemporary applications. In this connection, it needs to be remembered that after the advent of quantum theory, it has been recognized that the laws of quantum theory provide also the basis for the laws of chemistry. Therefore, it is to be expected that the other natural sciences and the engineering sciences follow the development of physics towards the use of more subtle mathematical methods. Such trend is already obvious.

Acknowledgments
I am indebted to Kostas Kokkotas, T ubingen, by suggesting the inclusion of a number of valuable examples in the text.

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2
2.1

Calculus I
A Sketch of the Development of Rigor in Calculus and Analysis

It is evident that a science that leads to contradictory statements loses its value. Therefore, the occurrence of such an event sends a shock wave through the scientic community. The immediate response is an analysis of the validity of the reasoning that leads to the contradiction. In case that reasoning appears to be valid, i.e., if the contradiction can be derived by generally accepted rules of inference (logic) from assumptions that are generally believed to be true (axioms), the eld is in a crisis because those assumptions and/or rules need to be revised until the contradiction is resolved. If this succeeds, it has to be determined whether all previously obtained results of the science are derivable from the revised basis. Potentially, a large number of results could be lost in this way. Probably the rst example of a serious crisis in mathematics ? is the discovery in ancient Greece around 450 B.C. that the length, 2 , of a diagonal of a square with sides of length 1 is no rational number, a fact that will be proved in Example 2.2.15 below. Tradition attributes this discovery to a member of the Pythagorean school of thought. The fundamental assumption of that school was that the essence of everything is expressible in terms of whole numbers and their ratios, i.e., of quantities which are discrete in character. As a consequence of the discovery, that line of thought lost its basis. As a result, Platos school of thought completely reorganized the mathematical knowledge of the time by giving it an exclusively geometric basis. In this, the product of two lengths is not another length, but an area, for instance, that of rectangle. Hence the equation x2 2 can be solved geometrically, for instance, by constructing a square with edge x whose area is equal to the area of a rectangle with sides 2 and 1. As a consequence, algebraic equations were solved in terms of geometric 17

quantities. On the other hand, viewed from a todays perspective, that approach bypassed the problem of irrational quantities, rather than solving it and can be seen as a prime reason for a major delay of the development of mathematical calculus / analysis. The last was developed as late as in the 17th century in Western Europe. The crisis gave important reasons for the development of the axiomatic method in mathematics in ancient Greece, i.e., proof by deduction from explicitly stated postulates. Without doubt, this method is the single most important contribution of ancient Greece to mathematics which is the basis of mathematics until today. In style, modern mathematics texts, including the present text, mirror that of the epoch making thirteen books of Euclids Elements written around 300 B.C. [37]. Previous Egyptian and Babylonian mathematics made no distinction between exact and approximate results nor were there indications of logical proofs or derivations. On the other hand, the Egyptians and Babylonians had already quite accurate approximations for and square roots that were needed in land survey. For instance, the Egyptians of within an error of 2 102 ? determined the value and the value of 2 within an error of 104 . The Babylonians were already familiar with the so called Pythagorean theorem ? and determined the value 7 of within an error of 10 and the value of 2 within an error of 106 . In order to be considered as properly established in ancient Greece, a theorem had to be given a geometric meaning. This tradition continued in the Middle Ages and the Renaissance in the West. The geometric intuition was more trusted than insight into the nature of numbers. In the early phases of the development of calculus / analysis in the 17th and 18th century and also in the views of its founding fathers Isaac Newton and Gottfried Wilhelm Leibniz, geometric intuition was of major importance, but in the sequel was gradually replaced by arithmetic. A major factor in this process was the construction of non-euclidean geometries by Nicolai Lobachevsky (1829) [72], Janos Bolyai (1831) [11] and earlier, but unpublished, by Gauss. In his Elements, Euclid bases 18

geometry on ve postulates that are assumed to be valid. Generally, only the rst four of them were considered geometrically intuitive, whereas the fth, the so called parallel postulate, was expected to be a consequence of the other postulates. For about 2000 years, an enormous effort went into the investigation of this question. The construction of non-euclidean geometries which satisfy the rst four, but not the fth, of Euclids postulates proved the independence of the parallel postulate from the other postulates. This result stripped Euclidean geometry from its central role it retained for about 2000 years. The nal removal of geometric intuition as a means of mathematical proofs was caused from a number of geometrically non-intuitive results of calculus / analysis , in particular, the demonstration of the existence of a continuous nowhere differentiable function by Karl Weierstrass in 1872 [99], see Example 3.4.13, and the construction of a plane-lling continuous curve by Giuseppe Peano in 1890 [84], see Example 3.4.14. Weierstrass conceived and in large part carried out a program known as the arithmetization of analysis, under which analysis is based on a rigorous development of the real number system. This is the common approach until today. For this reason, Weierstrass is often considered as the father of modern analysis. A common rigorous development of the real number system by use of Cauchy sequences is given in Appendix 5.1. Today, reference to geometric intuition is not considered a valid argument in the proof of a theorem. Of course, such intuition might give hints how to perform such a proof, but the means of the proof itself are purely formal. This situation is similar to that of blindfold chess, i.e., the playing of a game of chess without seeing the board. That formal approach has been suggested by David Hilbert for the foundation of mathematics and has become the standard of most working mathematicians. It culminated in the collective works of a group of mathematicians publishing under the pseudonym Bourbaki. The series comprises 40 monographs that became a standard reference on the fundamental aspects of modern mathematics.

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2.2
2.2.1

Basics
Elementary Mathematical Logic

In the 17th century Leibniz suggested the construction of a universal language for the whole of mathematics that allows the formalization of proofs. In 1671, he constructed a mechanical calculator, the step reckoner, that was capable of performing multiplication, division and the calculation of square roots. Also in view of his involvement in the construction of other mechanical devices, like pumps, hydraulic presses, windmills, lamps, submarines, clocks, it is likely that he envisioned machines that ultimately could perform proofs. The rst scientic work on algebraization of Aristotelian logic appeared in 1847 [10], 1858 [81] by George Boole and Augustus De Morgan, respectively. The formation of mathematical logic as an independent mathematical discipline is linked with Hilberts program mentioned in Section 2.1 on formal axiomatic systems that resulted from the recognition of the unreliability of geometrical intuition. That program called for a formalization of all of mathematics in axiomatic form, together with a proof that it is free from contradictions, i.e., that it is what is called consistent. The consistency proof itself was to be carried out using only what Hilbert called nitary methods. In the sequel, neither Leibniz nor Hilberts visions have been achieved. However, what has been achieved is sufcient for most working mathematicians today. In the following, we present only the very basics of symbolic logic and display some basic types of methods of proof in simple cases. Despite of its brevity, this chapter is very important because the given logical rules for correct mathematical reasoning will be in constant use throughout the book (as well as throughout the whole of mathematics) without explicit mentioning. Therefore, its careful study is advised to the reader. Also should the reader ll in additional steps into proofs whenever he/she feels the necessity for this. The last should become a routine operation also for the rest of the book. To the experience of the author, this is a necessity to a fathom the material.

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Denition 2.2.1. (Statements) A statement (or proposition) is an assertion that can determined as true or false. Often abstract letters like A, B, C, . . . are used for their representation. Example 2.2.2. The following are statements: (i) The president George Washington was the rst president of the United States , (ii) 2 + 2 = 27 , (iii) There are no positive integers a, b, c and n with n 2 such an ` bn cn . (Fermats conjecture) The following are no statements: (iv) Which way to the Union Station? , (v) Go jump into the lake! Denition 2.2.3. (Truth values) The truth value of a statement is denoted by T if it is true and by F if it is false. Example 2.2.4. For example, the statement 9 ` 16 25 is true and therefore has truth value T, whereas the statement 9 ` 16 26 is false and therefore has truth value F. Also, the statement Example 2.2.2 (i) is true, the statement Example 2.2.2 (ii) is false, and it is not yet known whether the statement Example 2.2.2 (iii) is true or false. (2.2.1)

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Denition 2.2.5. (Connectives) Connectives like and, or, not, . . . stand for operations on statements.
Connective not and or if . . . then . . . if and only if . . . Symbol ^ _ Name Negation Conjunction Disjunction Conditional Bi-conditional

Example 2.2.6. For example, the statement It is not the case that 9 ` 16 25 is the negation (or contrapositive) of (2.2.1). It can be stated more simply as 9 ` 16 25 . Other examples are compounds like the following Example 2.2.7. (i) Tigers are cats and alligators are reptiles , (ii) Tigers are cats or (tigers are) reptiles , (iii) If some tigers are cats, and some cats are black, then some tigers are black , (iv) 9 ` 16 25 if and only if 8 ` 15 23 . Denition 2.2.8. (Truth tables) A truth table is a pictorial representation of all possible outcomes of the truth value of a compound sentence. The connectives are dened by the following truth tables for all statements A and B .
A T T F F B T F T F A F F T T A^B T F F F A_B T T T F AB T F T T AB T . F F T

22

Note that the compound A _ B is true if at least one of the statements A and B is true. This is different from the normal usage of or in English. It can be described as and/or. Therefore, the statement 2.2.7 (ii) is true. Also, the statements 2.2.7 (i) and 2.2.7 (iv) are true. Also, note that from a true statement A there cannot follow a false statement B , i.e., in that case the truth value of A B is false. This can be used to identify invalid arguments and also provides the logical basis for so called indirect proofs. Note that valid rules of inference do not only come from logic, but also from the eld (Arithmetic, Number Theory, Set Theory, ...) the statement is associated to. For instance, the equivalence 2.2.7 (iv) is concluded by arithmetic rules, not by logic. Those rules could turn out to be inconsistent with logic in that they allow to conclude a false statement from a true statement. Such rules would have to be abandoned. An example for this is given by the statement 2.2.7 (iii). Although the rst two statements are true, the whole statement is false because there are no black tigers. In the following, the occurrence of such a contradiction is indicated by the symbol . Note that the rule of inference in 2.2.7 (iii) is false even if there were black tigers. Example 2.2.9. (Inconsistent rules) Assume that the real numbers are part of a larger collection of ideal numbers for which there is a multiplication which reduces to the usual multiplication if the factors are ? real. Further, assume that for every ideal number z there is a square root z , i.e., such that `? 2 z z , which is identical to the positive square root if z is real and positive. Finally, assume that for all ideal numbers z1 , z2 , it holds that ? ? ? z1 z2 z1 z2 . Note that the last rule is correct if z1 and z2 are both real and positive. Then we arrive at the following contradiction: a ? ? `? 2 ? 1 1 1 1 p1qp1q 1 1 . 23

Hence an extension of the real numbers with all these properties does not exist. A simple example for an indirect proof is the following. Example 2.2.10. (Indirect proof) Prove that there are no integers m and n such that 2m ` 4n 45 . (2.2.2) Proof. The proof is indirect. Assume the opposite, i.e., that there are integers m and n such that (2.2.2) is true. Then the left hand side of the equation is divisible without rest by 2, whereas the right hand side is not. Hence the opposite of the assumption is true. This is what we wanted to prove. Example 2.2.11. Calculate the truth table of the statements ` pA B q ^ pB C q pA C q (Transitivity) , ` pA _ B q ^ pA C q ^ pB C q C (Proof by cases) , p B Solution:
A T T T T F F F F B T T F F T T F F C T F T F T F T F AB T T F F T T T T BC T F T T T F T T pA B q ^ pB C q T F F F T F T T AC T F T F T T T T

Aq pA B q (Contraposition) .

(2.2.3)

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pA B q ^ pB C q pA C q T T T T T T T T A T T T T F F F F B T T F F T T F F C T F T F T F T F A_B T T T T T T F F AC T F T F T T T T BC T F T T T F T T pA C q ^ p B C q T F T F T F T T

` pA _ B q ^ pA C q ^ pB C q T F T F T F F F

` pA _ B q ^ pA C q ^ pB C q C T T T T T T T T

A T T F F

A F F T T

B T F T F

B F T F T

B T F T T

AB T F T T

p B

Aq p A B q T T T T

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The members of (2.2.3) are so called tautologies , i.e., statements that are true independent of the truth values of their variables. At the same time they are frequently used rules of inference in mathematics, i.e., for all statements A, B and C it can be concluded from the truth of the left hand side (in large brackets) of the relations on the truth of the corresponding right hand side. Example 2.2.12. (Transitivity) Consider the statements (i) If Mike is a tiger, then he is a cat, (ii) If Mike is a cat, then he is a mammal, (iii) If Mike is a tiger, then he is a mammal. Statements (i), (ii) are both true. Hence it follows by the transitivity of the truth of (iii) (and since Mike, the tiger of the LSU, is indeed a tiger, he is also a mammal). Example 2.2.13. (Proof by cases) Prove that n ` |n 1| 1 for all integers n. Proof. For this, let n be some integer. We consider the cases n 1 and n 1. If n is an integer such that n 1, then n 1 0 and therefore n ` |n 1| n ` 1 n 1 1 . If n is an integer such that n 1, then n 1 0 and therefore n ` |n 1| n ` n 1 2n 1 2 1 1 . Hence in both cases (2.2.4) is true. The statement follows since any integer is 1 and/or 1. Example 2.2.14. (Contraposition) Prove that if the square of an integer is even, then the integer itself is even. 26 (2.2.4)

Proof. We dene statements A, B as The square of the integer (in question) is even and The integer (in question) is even , respectively. Hence B corresponds to the statement The integer (in question) is odd , and A corresponds to the statement The square of the integer (in question) is odd . Hence the statement follows by contraposition if we can prove that the square of any odd integer is odd. For this, let n be some odd integer. Then there is an integer m such that n 2m ` 1. Hence n2 p2m ` 1q2 4m2 ` 4m ` 1 2 p2m2 ` 2mq ` 1 is an odd integer and the statement follows. Based on the result in the previous example, we can prove now the result mentioned in Section 2.1 that there is no rational number whose square is equal to 2. Example 2.2.15. (Indirect proof) Prove that there is no rational number whose square is 2. Proof. The proof is indirect. Assume on the contrary that there is such a number r. Without restriction, we can assume that r p{q where p, q are integers without common divisor different from 1 and that q 0. By denition, 2 p2 p 2 2 2. r q q Hence it follows that p2 2q 2 27

and therefore by the previous example that 2 is a divisor of p. Hence there is an integer p such that p 2 p. Substitution of this identity into the previous equation gives 2 p2 q 2 . Hence it follows again by the previous example that 2 is also divisor of q . As a consequence, p, q have 2 as a common divisor which is in contradiction to the assumption. Hence there is no rational number whose square is equal to 2.

Problems 1) Decide which of the following are statements. a) b) c) d) e) f) g) f) g) h) i) Did you solve the problem? Solve the problem! The solution is correct. Maria has green eyes. Soccer is the national sport in many countries. Soccer is the national sport in Germany. During the last year, soccer had the most spectators among all sports in Germany. Explain your solution! Can you explain your solution? Indeed, the solution is correct, but can you explain it? The solution is correct; please, demonstrate it on the blackboard.

2) Translate the following composite sentences into symbolic notation using letters for basic statements which contain no connectives. a) Either John is taller than Henry, or I am subject to an optical illusion. b) If Johns car breaks down, then he either has to come by bus or by taxi. c) Fred will stay in Europe, and he or George will visit Rome. d) Fred will stay in Europe and visit Rome, or George will visit Rome.

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e) I will travel by train or by plane. f) Neither Newton nor Einstein created quantum theory. g) If and only if the sun is shining, I will go swimming today; in case I go swimming, I will have an ice cream. h) If students are tired or distracted, then they dont study well. i) If students focus on learning, their knowledge will increase; and if they dont focus on learning, their knowledge will remain unchanged. 3) Denote by M , T , W the statements Today is Monday, Today is Tuesday and Today is Wednesday, respectively. Further, denote by S the statement Yesterday was Sunday. Translate the following statements into proper English. a) b) c) d) e) f) a) b) c) d) e) f) g) h) i) k) l) M pT _ W q , SM , S ^ pM _ T q , pS T q _ M , M pT ^ p W qq _ S , pM T q ^ pp W q _ S q . p Aq A , pA ^ B q pB ^ Aq , pA _ B q pB _ Aq , pA B q pB Aq , pA ^ B q p Aq _ p B q , pA _ B q p Aq ^ p B q , pA B q p Aq _ B , A ^ pB ^ C q pA ^ B q ^ C , A _ pB _ C q pA _ B q _ C , A _ pB ^ C q pA _ B q ^ pA _ C q , A ^ pB _ C q pA ^ B q _ pA ^ C q .

4) By use of truth tables, prove that

for arbitrary statements A, B and C . 5) Assume that a pb ` cq a b ` c for all real a, b and c is a valid arithmetic rule of inference. Derive from this a contradiction to the valid arithmetic statement that 0 1.

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Therefore, conclude that the enlargement of the eld of arithmetic by addition of the above rule would lead to an inconsistent eld. 6) Prove indirectly that 3n ` 2 is odd if n is an odd integer. 7) Prove indirectly that there are no integers m 0 and n 0 such that m2 n2 1 . 8) If a, b and c are odd integers, then there is no rational number x such that ax2 ` bx ` c 0. [Hint: Assume that there is such a rational number x r{s where r, s 0 are integers without common divisor. Show that this implies the equation rpar ` bsq cs2 which is contradictory.] 9) Prove that there is an innite number of prime numbers, i.e., of natural numbers 2 that are divisible without remainder only by 1 and by that number itself. [Hint: Assume the opposite and construct a number which is larger than the largest prime number, but not divisible without remainder by any of the prime numbers.] 10) Prove by cases that |x 1| |x ` 2| 3 for all real x. 11) Prove by cases that |x 1| ` |x ` 2| 3 for all real x. 12) Prove by cases that a |a| b |b| for all real numbers a, b such that b 0. 13) Prove by cases that if n is an integer, then n3 is of the form 9k ` r where k is some integer and r is equal to 1, 0 or 1. 14) Prove that if n is an integer, then n5 n is divisible by 5. [Hint: Factor the polynomial n5 n as far as possible. Then consider the cases that n is of the form n 5q ` r where q is an integer and r is equal to 0, 1, 2, 3 or 4.]

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2.2.2

Sets

Set theory was created by Georg Cantor between the years 1874 and 1897. Its development was triggered by the general effort to develop a rigorous basis for calculus / analysis in the 19th century. As we shall see later, for this it is necessary to treat innite collections of real numbers. Since antiquity, most of the mathematicians did not consider collections of innitely many objects as valid objects of thinking. This is likely due to the inuence of ancient Greek philosophy, in particular that of Aristotle (384-322 B.C.), that dominated the thinking in the west up to the 18th century. According to Aristotle (384-322 B.C.), the innite is imperfect, unnished and therefore, unthinkable; it is formless and confused. Hence it had to be excluded from consideration. Precisely such consideration is done by set theory. For this reason, initially Cantors work received much criticism and was accused to deal with ctions. Once its use for calculus / analysis was understood, attitudes began to change, and by the beginning of the 20th century, set theory was recognized as a distinct branch of mathematics. Finally, it even provided the basis for the whole of mathematics in the work of Bourbaki mentioned in Section 2.1. Today, the notions of set theory seem so natural that the in part erce debates at the time of its creation are hard to understand. In the following, only the very basics of Cantors original formulation of set theory is given which is sufcient for the purposes of the book. Today, that approach is called naive set theory because it uses a denition of sets which is too broad and leads to contradictions if its full generality is exploited. One such contradiction, the so called Zermelo-Russels paradox is described at the end of this section. So a more restrictive denition of sets is needed to avoid such contradictions. For this, we refer to books on axiomatic set theory. In the following such paradoxa will not play a role because calculus / analysis naturally deals with a far reduced class of sets which satisfy the more restrictive denition of axiomatic set theory. Like the previous section, this section is very important because the given

31

notions of set theory will be in consistent use throughout the book as an efcient unifying language, but without going as far as Bourbakis work. Therefore, its careful study is advised to the reader. Like the material of the previous section, its apparent simplicity should not lead to an underestimation of its importance. Precisely the achievement of such simplicity is the ultimate goal of the whole of mathematics because it signals a full understanding of the studied object. Complexity just signals a decient understanding. In addition, from a practical point of view, such simplicity drastically reduces the chance of the occurrence of errors. In the following we adopt the naive denition of sets given by Cantor. Denition 2.2.16. (Sets) A set is an aggregation of denite, different objects of our intuition or of our thinking, to be conceived as a whole. Those objects are called the elements of the set. This implies that for a given set A and any given object a it follows that either a is an element of A or it is not. The rst is denoted by a P A , and the second is denoted by a R A . The set without any elements, the so called empty set, is denoted by . Example 2.2.17. Examples of sets are the set of all cats , the set of the lowercase letters of the Latin alphabet , the set of odd integers . Denition 2.2.18. (Elements) For a set A, the following statements have the same meaning a is in A , a is an element of A , a is a member of A , aPA. 32

Given some not necessarily different objects x1 , x2 , . . . , the set containing these objects is denoted by tx1 , x2 , . . . u . In particular, we dene the set of natural numbers N , the set of natural numbers N without 0 , the set of integers Z and the set of integers Z without 0 by Denition 2.2.19. (Natural numbers, integers) N : t0, 1, 2, 3, . . . u , N : t1, 2, 3, . . . u , Z : t0, 1, 1, 2, 2, 3, 3 . . . u , Z : t1, 1, 2, 2, 3, 3, . . . u . Another way of dening a set is by a property characterizing its elements, i.e., by a property which is shared by all its elements, but not by any other object: tx : x has the property P pxqu . It is read as: The set of all x such that P pxq. In this, the symbol : is read as such that. In particular, we dene the set of rational numbers Q, the set of rational numbers Q without 0 , the set of real numbers R and the set of real numbers R without 0 by Denition 2.2.20. (Rational and real numbers) Q : tp{q : p P Z ^ q P N ^ q 0u , Q : tp{q : p P Z ^ q P N ^ q 0u , R : tx : x is a real numberu , R : tx : x is a non-zero real numberu . Denition 2.2.21. (Subsets, equality of sets) For all sets A and B , we dene A B : Every element of A is also an element of B 33

and say that A is a subset B , A is contained in B , A is included in B or A is part of B . Finally, we dene A B : A B ^ B A A and B contain the same elements . Here and in the following, wherever meaningful, the symbol : in front of other symbols means and is read as per denition. Example 2.2.22. For instance, t1, 1, 2, 3, 5u t1, 1, 2, 3, 5, 8, 13u , ? ? ? t1, 1, 2, 3, 5u trp1 ` 5qn p1 5qn s{p2n 5q : n P N u , t1, 2, 3, 3, 5, 1u t1, 2, 3, 5u , ? ? ? t1, 1, 2, 3, 5, . . . u trp1 ` 5qn p1 5qn s{p2n 5q : n P N u . In particular, we dene subsets of R, so called intervals , by Denition 2.2.23. ra, bs : tx P R : a x bu , pa, bq : tx P R : a x bu ra, bq : tx P R : a x bu , pa, bs : tx P R : a x bu rc, 8q : tx P R : x cu , pc, 8q : tx P R : x cu p8, dq : tx P R : x du , p8, ds : tx P R : x du for all a, b P R such that a b and c, d P R. We dene the following operations on sets. Denition 2.2.24. (Operations on sets, I) For all sets A and B , we dene (i) their union A Y B , read: A union B , by A Y B : tx : x P A _ x P B u

34

Fig. 1: Two subsets A and B of the plane.

A B

A B

Fig. 2: Union and intersection of A and B . The last is given by the blue domain.

35

AB

Fig. 3: The relative complement of B in A.

(ii) and their intersection A X B , read: A intersection B , by A X B : tx : x P A ^ x P B u . If A X B , we say that A and B are disjoint. (iii) the relative complement of B in A, A zB , read: A without B or A minus B, by A zB : tx : x P A ^ x R B u . (iv) their cross (or Cartesian / direct) product A B , read: A cross B , by A B : tpx, y q : x P A ^ y P B u where ordered pairs px1 , y1 q, px2 , y2 q are dened equal, px1 , y1 q px2 , y2 q , if and only if x1 x2 and y1 y2 . We also use the notation A2 for A A. More generally, we dene for n P N such that n 3 and sets 36

y 3

x 1 A 2
1

2 z 1

A B

0 1 2 3 x

1 y

Fig. 4: Subsets A of the real line and B of the plane and their cross product.

37

A1 , . . . , An the corresponding Cartesian product A1 An (2.2.5)

to consist of all ordered n-tuples px1 , . . . , xn q of elements x1 P A1 , . . . , xn P An . Also in this case, we dene such ordered pairs px1 , . . . , xn q and py1 , . . . , yn q to be equal if and only if all their components are equal, i.e., if and only if x1 y1 , . . . , xn yn . We also use the notation n Ai
i 1

for (2.2.5) and, in the case that A1 , . . . , An are all equal to some set A, the notation An . Finally, we dene R1 : R. Example 2.2.25. t1, 2, 3, 5, 8, 13u Y t1, 3, 4, 7, 11, 18u t1, 2, 3, 4, 5, 7, 8, 11, 13, 18u t1, 2, 3, 5, 8, 13u X t1, 3, 4, 7, 11, 18u t1, 3u t1, 2, 3, 5, 8, 13u zt1, 2, 3, 5u t8, 13u , t1, 2, 3, 5, 1u zt1u t2, 3, 5u , t1, 2u t1, 3, 4u tp1, 1q, p1, 3q, p1, 4q, p2, 1q, p2, 3q, p2, 4qu . We also dene unions and intersection of arbitrary families of sets. Denition 2.2.26. (Operations on sets, II) Let I be some non-empty set and for every i P I the corresponding Ai an associated set. Then we dene Ai : tx : x P Ai for some i P I u ,
iPI iPI

Ai : tx : x P Ai for all i P I u .

Example 2.2.27. Determine r 0, 1{ns . r 1{n, 1s ,


nPN nPN

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Solution: By denition S1 : r 1{n, 1s tx : x P r 1{n, 1s for some n P N u .


nPN

Any x P R such that x 1 or x 0 is not contained any of the sets r 1{n, 1s, n P N and hence also not contained in their union S1 . On the other hand, if x P R is such that 0 x 1, then 1 x1 n if n P N is such that n 1{x. Hence for such n, x P r1{n, 1s and hence x P S1 . As a consequence, r 1{n, 1s p0, 1s .
nPN

Further, by denition S2 : r 0, 1{ns tx : x P r 0, 1{ns for all n P N u .


nPN

No x P R such that x 0 is contained in any of the r 0, 1{ns, n P N and hence also not contained in S2 . 0 is contained in all of these sets and hence also contained in S2 . If x P R is such that x 0, then 1 x n for n P N such that n 1{x. Hence for such n, x R r0, 1{ns and therefore x R S2 . As a consequence, r 0, 1{ns t0u .
nPN

The naive Denition 2.2.16 of sets leads to paradoxa like the one of ZermeloRussel (1903): 39

Assume that there is a set of all sets that dont contain itself as an element: S : tx : x is a set ^ x R xu . Since S is assumed to be a set, either S P S or S R S . From the assumption that S P S , it follows by the denition of S that S R S . Hence it follows that S R S . From S R S , it follows by the denition of S that S P S . Hence there is no such set. Bernard Russell also used a statement about a barber to illustrate this principle. If a barber cuts the hair of exactly those who do not cut their own hair, does the barber cut his own hair? So a more restrictive denition of sets is needed to avoid such contradictions. For this, we refer to books on axiomatic set theory. In the following such paradoxa will not play role because we dont use the full generality of Denition 2.2.16. Calculus / analysis naturally deals with a far reduced class of sets which satisfy the more restrictive denition of axiomatic set theory.
Problems 1) For each pair of sets, decide whether not the following sets are equal: A : t2, 3u, B : t3, 2u Y , C : t2, 3u Y tu, D : tx P R : x2 x 6 0u, E : t, 2, 3u, F : t2, 3, 2u, G : t2, , , 3u . 2) Simplify t2, 3u Y tt2u, t3uu Y t2, t3uu Y tt2u, 3u . 3) Decide whether t1, 3u P t1, 3, t1, 7u, t1, 3, 7uu . Justify your answer.

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4) Let A : t, t1u, t1, 3u, t3, 4uu. Determine for each of the following statements whether it is true or false. a) b) c) d) e) f) g) h) 1PA , t1u A , t1u P A, t1, 3u A , tt1, 3uu P A , PA , A , t u A .

5) Give an example of sets A, B, C such that A P B and B P C , but A R C. 6) Sketch the following sets A : tpx, y q P R2 : x ` y ` 1 0u , B : tpx, y q P R2 : 2x ` 3y ` 5 0u , C : tpx, y q P R2 : x2 ` y 2 1u, D : tp0, 1qu , E : tp1, 1qu, F : tp0, 1qu, G : tp1, 0qu, H : tp2, 3qu , I : tp4, 1qu, J : tx P R : 4 x 2u, K : t0u, L : t1u into a xy -diagram and calculate A X B , A X C , pA X B q X C , A X pB X C q, B XpJ Lq, C XpJ K q, A zB , B zA, B Y E , pC Y F qY G. 7) Let A, B and C be sets. Show that a) b) c) d) e) f) g) h) i) If A B and B C , then A C , AYB BYA , AXB BXA , A Y pB Y C q pA Y B q Y C , A X pB X C q pA X B q X C , A Y pB X C q pA Y B q X pA Y C q , A X pB Y C q pA X B q Y pA X C q , C zpA Y B q pC zAq X pC zB q , C zpA X B q pC zAq Y pC zB q .

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2.2.3

Maps

The development of the concept of a function and its generalization, i.e., the concept of a map (or mapping), are further major achievements of Western culture that have no counterpart in ancient Greek mathematics. The rst concept underwent considerable changes until it reached its current meaning. The principal objects of study of the calculus in the 17th century were geometric objects, in particular curves, but not functions in their current meaning. Also the variables associated with those objects had a geometrical meaning, like abscissas, ordinates and tangents. The term function appeared rst in the works of Leibniz. In particular, he asserts that a tangent is a function of a curve. This only very roughly matches the modern notion of a function. Newtons method of uxions applies to uents not to functions. For Newton, a curve is generated by a continuous motion of a point he called uent because he thought of it as a owing quantity. The uxion or rate at which it owed, was the points velocity. Under the inuence of analytic geometry, in the rst half of the 18th century, the geometric concept of variables was replaced by the concept of a function as an equation or analytic expression composed of variables and numbers. Admissible analytic expressions were those that involved the four algebraic operations, roots, exponentials, logarithms, trigonometric functions, derivatives and integrals. In the sequel, as a consequence of the study of the solutions of the wave equation in one space dimension (the Vibrating-String Problem), the concept of a function was enlarged to include such that are piecewise dened on intervals by several analytic expressions and functions (in the sense of curves) drawn by free-hand and possibly not expressible by any combination of analytic expressions. The nal step in the evolution of the function concept was made by Gustav Lejeune Dirichlet in 1829 [30] in a paper which gave a precise meaning to Fouriers work from 1822 [41] on heat conduction. In that work,

42

Fourier claimed that any function dened over an interval pl, lq can be represented by his series over this interval. Not only by modern standards, Fouriers statement and proof were insufcient, but a proof or disproof of that statement presupposed a clear denition of the concept of a function. For Dirichlet, y is a function of a variable x, dened on the interval a x b, if to every value of the variable x in this interval there corresponds a denite value of the variable y . Also, it is irrelevant in what way this correspondence is established. Already in 1887 [31], Dirichlet generalizes the concept of a function to that of a mapping By a mapping of a system S a law is understood, in accordance with which to each determinate element s of S there is associated a determinate object, which is called the image of s and is denoted by psq; we say too, that psq corresponds to the element s, that psq is caused or generated by the mapping out of s, that s is transformed by the mapping into psq. This denition practically coincides with the modern denition of maps given below. Fouriers claim pinpointed a major weakness in the mathematics of the 18th century. On the one hand, the insufciency of Fouriers proof was obvious to the mathematical community at the time. On the other hand, the notion of a function was to nebulously dened as that it could have been convincingly claimed that his result was false. This clearly signaled that those mathematical notions (or the mathematical language) were to imprecise to deal with such questions and that more precise notions had to be developed. This makes clear the size of Dirichlets achievement. He had to solve simultaneously two intertwined problems, namely the giving of a precise mathematical meaning to Fouriers result and the development of a mathematical framework where this is possible. In particular, it was not clear whether such thing was possible at all. Until today, such problems are common in mathematics related to applications. A careful study also of this section is advised to the reader. It introduces 43

B A
Fig. 5: Points in the set A and their images in the set B under the map f are connected by arrows. Compare Denition 2.2.28.

into the current notion of maps and gives efcient means for their description which will be used throughout the book. If there is reference made to a function or to a map in the following, the imagining of a picture similar to Fig 2.2.28 should be helpful to the reader. Mathematically, it is possible to identify a map with a set, namely its graph, see Denition 2.2.33. In such exclusivity, this is not advisable since this often does not provide any visual help, in particular in cases when the graph is a subset of a space of more then 3 dimensions. The last is frequently the case in applications. In addition, it often hinders intuition since maps are frequently used to describe transformations. It is more advisable, to consider the graph of a map as one of the options to describe or visualize the latter. Indeed, this option will frequently be used in Calculus I and II. Other such options, becoming relevant in Calculus III, are sometimes contour and density maps. With increasing complexity of the considered problems, also in applications, the options for a meaningful visualization of the involved maps rapidly decreases and an abstract view of maps is becoming essential.

44

Denition 2.2.28. (Maps) Let A and B be non-empty sets. (i) A map (or mapping) f from A into B , denoted by f : A B , is an association which associates to every element of A a corresponding element of B . If B is a subset of the real numbers, we call f a function. We call A the domain of f . If f is given, we also use the short notation Dpf q for the domain of f . (ii) For every x P A, we call f pxq the value of f at x or the image of x under f . (iii) For any subset A 1 of A, we call the set f pA 1 q containing all the images of its elements under f , f pA 1 q : tf pxq : x P A 1 u , (2.2.6)

the image of A 1 under f . In particular, we call f pAq the range or image of f . If f is given, we use also the short notation Ranpf q : f pAq tf pxq : x P Au . for the range or image of f . (iv) For any subset B 1 of B , we call the subset f 1 pB 1 q of A containing all those elements which are mapped into B 1 , f 1 pB 1 q : tx P A : f pxq P B 1 u , the inverse image of B 1 under f . In particular if f is a function, we call f 1 pt0uq tx P A : f pxq 0u , the set of zeros of f or the zero set of f . (v) For any subset A 1 of A, we dene the restriction of f to A 1 as the map f |A 1 : A 1 B dened by f |A 1 pxq : f pxq for all x P A 1 . 45

Remark 2.2.29. (Variables) We will not introduce a precise notion of variables in the following because such would be redundant. Still there is a residual of such historic notion present in the commonly used characterization of functions as functions of one variable, several variables or n variables where n P N is such that n 2. Also in this text, we will refer to a function whose domain is a subset of R as a function of one variable and to a function whose domain is a subset of Rn , where n P N is such that n 2, as a function of several variables or a function of n variables. Remark 2.2.30. In the following, we make the general assumption of basic knowledge of integer powers and n-th roots, where n P N , as well as of the functions sin : R R , arcsin : r1, 1s r {2, {2s , cos : R R , arccos : r1, 1s r0, s , tan : p {2, {2q R , arctan : R p {2, {2q , exp : R R , ln : p0, 8q R as provided by high school mathematics. Still, we give denitions of some of these functions later on to exemplify methods of calculus. Example 2.2.31. Dene f : Z Z by f pnq : n2 for all n P Z. Moreover, let g be the restriction of f to N. Calculate f pZq, f pt2, 1, 0, 1, 2uq, f 1 pt1, 0, 1uq, f 1 pt6uq, g 1 pt1, 0, 1uq . Solution: f pZq tn2 : n P Nu , f pt2, 1, 0, 1, 2uq t0, 1, 4u , f 1 pt1, 0, 1uq t1, 0, 1u , f 1 pt6uq , g 1 pt1, 0, 1uq t0, 1u . Example 2.2.32. Dene f : Df R and g : Dg R such that ? (a) f pxq x ` 2 for all x P Df 46

(b) g pxq 1{px2 xq for all x P Dg and such Df and Dg are maximal. Find the domains Df and Dg . Give explanations. Solution: In case (a) the inequality x ` 2 0 p x 2q has to be satised in order that the square root is dened. Hence Df : tx P R : x 2u ? and f : Df R is dened by f pxq : x ` 2 for all x P Df . In case (b) the denominator has to be different from zero in order that the quotient is dened. Because of x2 x xpx 1q 0 x P t0, 1u , we conclude that Dg : tx P R : x 0 ^ x 1u and that g : Dg R is dened by g pxq : 1{px2 xq for all x P Dg . Denition 2.2.33. (Graph of a map) Let A and B be some sets and f : A B be some map. Then we dene the graph of f by: Gpf q : tpx, f pxqq P A B : x P Au . Example 2.2.34. Sketch the graphs of the functions f and g from Example 2.2.32. Solution: See Fig. 6 and Fig. 7. Example 2.2.35. Find the ranges of the functions in Example 2.2.32. Solution: Since the square root assumes only positive numbers, we conclude that f pDf q ty : y 0u . Further for every y P r0, 8q, it follows that a y2 2 ` 2 y 47

and hence that ty : y 0u f pDf q and, nally, that f pDf q ty : y 0u. Further, for x 0 or x 1, it follows that xpx 1q 0 and hence that g pxq 0. For 0 x 1, it follows that 2 1 1 1 xpx 1q 0 x 4 2 4 and hence that g pxq 4. Hence it follows that ty : y 0u Y ty : y 4u g pDg q . Finally, for any real y such that py 0q _ py 4q, it follows that c 1 1 1 g ` ` y 2 y 4 and hence that g pDg q ty : y 0u Y ty : y 4u. A map is called injective (or one-to-one) if no two points from its domain are mapped onto the same point. A map into a set B is called surjective (or onto) if every element from B is the image of some element from its domain. Finally, a map is called bijective (or one-to-one and onto) if it is injective and surjective. Denition 2.2.36. (Injectivity, surjectivity, bijectivity) Let A and B be some sets and f : A B be some map. We dene (i) f is injective (or one-to-one) if different elements of A are mapped into different elements of B , or equivalently if f pxq f py q x y for all x, y P A. In this case, we dene the inverse map f 1 as the map from f pAq into A which associates to every y P f pAq the element x P A such that f pxq y . 48

y 2

1.5

0.5

Fig. 6: Gpf q from Example 2.2.32.

4 2 1 0.5 2 4 6 8 10 0.5 1.5 2 x

Fig. 7: Gpg q from Example 2.2.32.

49

(ii) f is surjective (or onto) if every element of B is the image of some element(s) of A: f pAq B . (iii) f is bijective (or one-to-one and onto) if it is both injective and surjective. In this case, the domain of the inverse map is the whole of B. Example 2.2.37. Let f and g be as in Example 2.2.31. In addition, dene h : Z Z by hpnq : n ` 1 for all n P Z. Decide whether f, g and h are injective, surjective or bijective. If existent, give the corresponding inverse function(s). Solution: f is not injective (and hence also not bijective), nor surjective, for instance, because of f p1q f p1q 1 , 2 R f pAq . g is injective because if m and n are some natural numbers such that g pmq g pnq, then it follows that 0 m2 n2 pm nqpm ` nq and hence that m n _ m n and therefore, since g has as its domain the natural numbers, that m n. ? 1 1 The inverse g : g pAq A is given by g plq l for all l P g pAq. g is not surjective (and hence also not bijective), for instance, since 2 R g pAq. h is injective because if m and n are some natural numbers such that hpmq hpnq, then it follows that 0 m ` 1 pn ` 1q m n and hence that m n. h is surjective (and hence as a whole bijective) because for any natural n we have hpn 1q n. The inverse function h1 : Z Z is given by h1 pnq n 1 for all n P Z. 50

The following characterizes the injectivity, surjectivity and bijectivity of a map in terms of its graph. In the special case of functions dened on subsets of the real numbers, the theorem can be stated as follows. Such function is injective if and only if every parallel to the x-axis intersects its graph in at most one point. If such function maps into the set B , then it is surjective, bijective, respectively, if and only if the intersection of every parallel to the x-axis through a point from B intersects its graph in at least one point and precisely one point, respectively. Theorem 2.2.38. Let A and B be sets and f : A B be a map. Further, dene for every y P B the corresponding intersection Gf y by Gf y : Gpf q X tpx, y q : x P Au . Then (i) f is injective if and only if Gf y contains at most one point for all y P B. (ii) f is surjective if and only if Gf y is non-empty for all y P B . (iii) f is bijective if and only if Gf y contains exactly one point for all y P B. Proof. (i) The proof is indirect. Assume that there is y P B such that Gf y contains two points px1 , y q and px2 , y q. Then, since Gf y is part of Gpf q, it follows that y f px1 q f px2 q and hence, since by assumption x1 x2 , that f is not injective. Further, assume that f is not injective. Then there are different x1 , x2 P A such that f px1 q f px2 q. Hence Gf f px1 q contains two different points px1 , f px1 qq and px2 , f px1 qq. (ii) If f is surjective, then for any y P B there is some x P A such that y f pxq and hence px, y q P Gf y . On the other hand, if Gf y is non-empty for all y P B , then for every y P B there is some x P A such that px, y q P Gf y and hence, since Gf y is part of Gpf q, that y f pxq. Hence f is surjective. (iii) is an obvious consequence of (i) and (ii).

51

y 2

1.5

0.5

Fig. 8: Gpf q from Example 2.2.32 and parallels to the x-axis.

2 1 0.5 0.5 1.5 2 x

8 10

Fig. 9: Gpg q from Example 2.2.32 and parallels to the x-axis.

52

Example 2.2.39. Apply Theorem 2.2.38 to investigate the injectivity of f and g from Example 2.2.32. Solution: Fig. 8, Fig. 9 suggest that f is injective, but not surjective and that g is neither injective nor surjective. Example 2.2.40. Show that f and the restriction of g to tx : x 1{2 ^ x 1u , where f and g are from Example 2.2.32, are injective and calculate their inverse. Solution: If x1 , x2 are any real numbers 2 and such that f px1 q f px2 q, then ? ? x1 ` 2 x2 ` 2 and hence x1 ` 2 x2 ` 2 and x1 x2 . Hence f is injective. Further, for every y in the range of f there is x 2, such that ? y x`2 and hence x y2 2 . Therefore f 1 py q y 2 2 for all y from the range of f . Further, if x1 and x2 are some real numbers 1{2 different from 1 and such that x2 1 then px1 x2 qpx1 ` x2 1q 0 and hence x1 x2 . Hence the restriction of g to tx : x 1{2 ^ x 1u is injective. Finally, if y is some real number in the range of this restriction, then y is in particular different from zero and y x2 1 , x 1 1 2 , x1 x2 x2

53

hence

1 x 2

2 c

1 1 ` y 4

and 1 x ` 2 Therefore
1

1 1 ` . y 4

c 1 1 1 f py q ` ` 2 y 4 for all y from the range of that restriction of g . The next denes the composition of maps which corresponds to the application of maps in sequence. Denition 2.2.41. (Composition) Let A, B, C and D be sets. Further, let f : A B and g : C D be maps. We dene the composition g f : f 1 pB X C q D (read: g after f ) by pg f qpxq : g pf pxqq for all x P f 1 pB X C q. Note that g f is trivial, i.e., with an empty domain, for instance, if B X C . Also note that f 1 pB X C q A if B C . Example 2.2.42. Calculate f f , h h, f h and h f where f , h are dened as in Example 2.2.31, Example 2.2.37, respectively. Solution: Obviously, all these maps map Z into itself. Moreover for every n P Z: pf f qpnq f pf pnqq f pn2 q pn2 q2 n4 , ph hqpnq hphpnqq hpn ` 1q pn ` 1q ` 1 n ` 2 , ph f qpnq hpf pnqq hpn2 q n2 ` 1 , pf hqpnq f phpnqq f pn ` 1q pn ` 1q2 n2 ` 2n ` 1 . Note in particular that h f f h. 54

Example 2.2.43. Let A and B be sets. Moreover, let f : A B be some injective map. Calculate f 1 f . Assume that f is also surjective (and hence as a whole bijective) and calculate also f f 1 for this case. Solution: To every y P f pAq, the map f 1 associates the corresponding x P A which satises f pxq y . In particular, it associates to f pxq the element x for all x P A. Hence f 1 f idA , f f 1 idf pAq where for every set C the corresponding map idC : C C is dened by idC pxq : C for all x P C . Further, if f is bijective, f pAq B and hence f f 1 idB . The following theorem gives a relation between the graph of an injective map and the graph of its inverse. In the special case of functions dened on subsets of the real numbers, the theorem characterizes the graph of the inverse of such a function as the reection of the graph of that function about the line tpx, xq P R2 : x P Ru. Theorem 2.2.44. (Graphs of inverses of maps) Let A and B be sets and f : A B be an injective map. Moreover, dene R : X Y Y X by Rpx, y q : py, xq for all x P A and y P B . Then the graph of the inverse map is given by Gpf 1 q RpGpf qq . Proof. : Let py, f 1 py qq be an element of Gpf 1 q. Then y P f pAq and f 1 py q P A is such that f pf 1 py qq y . Therefore pf 1 py q, y q P Gpf q and py, f 1 py qq Rpf 1 py q, y q P RpGpf qq . 55

y 2

Fig. 10: Gpf q, Gpf 1 q from Example 2.2.32 and the reection axis.

: Let pf pxq, xq be some element of RpGpf qq. Then f 1 pf pxqq x and hence pf pxq, xq pf pxq, f 1 pf pxqq P Gpf 1 q .

Example 2.2.45. Apply Theorem 2.2.44 to the graph of the function f from Example 2.2.32 to draw the graphs of its inverse. (See Example 2.2.40.) Solution: See Fig. 10.

Problems 1) Find f pr0, {2sq , f 1 pt1uq , f 1 pt3uq , f 1 pr0, 2sq . In addition, nd the maximal domain D R that contains the point {8 and is such that f |D is injective. Finally, calculate the inverse of the map h : D f pDq dened by hpxq : f pxq for all x P D.

56

y 1

y 2
1

1 x

1
1

2
1

Fig. 11: Subsets of R2 . Which is the graph of a function? a) f pxq : 2 sinp3xq , x P R , b) f pxq : 3 cosp2xq , x P R , c) f pxq : tanpx{2q{3 , x P tx P pp2k 1q, p2k `1q q : k P Zu . 2) Dene f : R R and g : R zt1u R by f pxq : x ` 1 for x P R and g pxq : px ` 1q2 {px ` 1q for x P R zt1u. Is f g ? 3) Let f : Df R be dened such that the given equation below is satised for all x P Df and such that Df R is a maximal. In each of the cases, nd the corresponding Df , the range of f , and draw the graph of f : a) b) c) d) e) f) g) h) f p xq x2 3 , ? f pxq 1{ x , f pxq 1{p1 xq , f pxq x2 |x| , f pxq x{|x| , f pxq |x|1{3 , f pxq |x2 1| , a f pxq sinpxq .

4) Which of the subsets of R2 in Fig. 11 is the graph of a function? Give reasons. 5) Find the function whose graph is given by ( a) px, y q P R2 : x2 y ` x ` 1 0 , ( b) px, y q P R2 : x y {py ` 1q , ( c) px, y q P R2 : y 2 ` 6xy ` 9x2 0 . 6) In each of the following cases, nd a bijective function that has domain D and range R and calculate its inverse.

57

a) D tx P R : 1 x 2u, R tx P R : 3 x 7u , b) D tx P R : 1 x 1u, R tx P R : x 3u . 7) a) Dene f : Df R and g : Dg R such that f p xq : a x1 , g pxq : 2 ` x2 9 x3

for all x P Df , x P Dg , respectively, and such Df and Dg are maximal. Find the domains and ranges of the functions f and g . Give explanations. b) If possible, calculate pf g qp5q and pg f qp5q. Give explanations. c) f is injective (= one to one). Calculate its inverse. 8) Is there a function which is identical to its inverse? Is there more then one such function? 9) Dene f : R R, g : R R and h : R R by f pxq : 1 ` x , g pxq : 1 ` x ` x2 , hpxq : 1 x for every x P R. Calculate pf f qpxq , pf g qpxq , pg f qpxq , pg g qpxq , pf hqpxq , ph f qpxq , pg hqpxq , ph g qpxq , ph hqpxq , rf pg hqspxq , rpf g q hspxq for every x P R. 10) Dene f : R R, g : R R and h : tx P R : x 0u R by f pxq : x ` a , g pxq : ax , hpxq : xa for every x in the corresponding domain where a P R. For each of these functions and every n P N , determine the n-fold composition with itself. 11) Dene f : R R by f pxq : r 1 ` p2 xq1{3 s1{7 , g pxq : cosp2xq for every x P R. Express f and g as a composition of four functions, none of which is the identity function. In addition, in the case of g , the sine function should be among those functions.

58

12) Let A and B be sets, f : A B and B1 , B2 be subsets of B . Show that f 1 pB1 Y B2 q f 1 pB1 q Y f 1 pB2 q , f 1 pB1 X B2 q f 1 pB1 q X f 1 pB2 q . 13) Express the area of an equilateral triangle as a function of the length of a side. 14) Express the surface area of a sphere of radius r 0 as a function of its volume.
1 of radius r 0 around the origin of an xy 15) Consider a circle Sr diagram. Express the length of its intersections with parallels to the y -axis as a function of their distance from the y -axis. Determine the domain and range of that function.

16) From each corner of a rectangular cardboard of side lengths a 0 and b 0, a square of side length x 0 is removed, and the edges are turned up to form an open box. Express the volume of the box as a function of x and determine the domain of that function. 17) Consider a body in the earths gravitational eld which is at rest at time t 0 and at height s0 0 above the surface. Its height s and speed v as a function of time t are given by 1 sptq s0 gt2 , v ptq gt 2 where g is approximately 9.81m{s2 . Determine the domain and range of the functions s and v . In addition, express s as a function of the speed and determine domain and range.

59

Fig. 12: Hexagons inscribed in and circumscribed about the unit circle.

2.3
2.3.1

Limits and Continuous Functions


Limits of Sequences of Real Numbers

For motivation of innite processes, we consider one of its early examples, namely Archimedes measurement of the circle. Archimedes considered regular polygons of 6, 12, 24, . . . sides inscribed in and circumscribed about the unit circle in order to achieve rational estimates of its circumference of increasing accuracy. Since trigonometric functions were not known at his time, differently to the reasoning below, he used elementary geometric methods to derive the relation (2.3.1) below. Such derivation is given as an exercise. See Problem 6 below. For every n 6, 12, 24, . . . , we dene a corresponding sn as the circumference of the regular polygon of n sides. Since geometric intuition suggests that the shortest connection of two point in the plane is a straight line, we expect sn to give a lower bound of the circumference of the unit circle, i.e., of 2 . For the same reason, we expect, see Fig. 13, that the sequence s6 , s12 , s24 , . . . is increasing. The proof of this is given as an exercise. See Problem 7 below. In particular, 60

D E

n A

2n B

Fig. 13: Depiction to Archimedes measurement of the circle. The dots in the corners C and D indicate right angles.

sn n ln where ln is the length of the side of the polygon. From Fig 13, we conclude that l ln 2n sin , sin . 2 n 2 2n Further, it follows that sin 2 2 sin cos sin n 2n 2n 2n c 2 sin 1 sin2 2n 2n and hence that sin2 2 1 sin2 ` sin2 . 2n 2n 4 n

The last implies that c 1 2 sin 1 1 sin 2n 2 n


2

and hence that


2 l2 n

c 2 2 l ln {2 b 4 sin2 2 1 1 n 2n 4 1` 1 61

2 ln 4

Finally, we arrive at the recursion relation


2 l2 n 2 ln a 2 2 ` 4 ln

(2.3.1)

which Archimedes used to obtain the length of the sides of the 2n-gon from that of the n-gon. He started from S6 1 to obtain
2 l12

? 1 ? 2 3 . 2` 3

In the next step, he used the approximation ? 1351 3 780 to obtain a lower bound for s12 . Continuing in this fashion up to the 96-gon, he arrived at the approximation s96 6 20 71

which gives the circumference of the circle, i.e., 2 , within an error of 2 103 . Note that far better approximations to 2 were already known to the ancient Babylonians. More important is the fact that this method could be used to calculate 2 to arbitrary precision, i.e., within an error less than an arbitrary small preassigned error bound 0. Given such error bound 0, and taking into account that the sequence s6 ,s12 ,s24 , . . . is increasing, we expect that there is some corresponding natural number N such that 2 s2n for all natural numbers n such that n N . Indeed this expectation turns out to be correct later. Since, 2 s2n |s2n 2 | 62

Fig. 14: Dodecagon inscribed in a unit circle.

for all n P N, n 6, we note that our expectation is equivalent to the statement that for every arbitrary preassigned error bound 0, there is some corresponding natural number N such that |s2n 2 | for all natural numbers n such that n N . The last is also used to dene the limit of a sequence of real numbers in general. Denition 2.3.1. Let x1 , x2 , . . . be a sequence of elements of R and x P R. Then we dene lim xn x
n8

if for every 0, there is a corresponding n0 such that for all n n0 | xn x | , i.e., from the n0 -th member on, all remaining members of the sequence are within a distance from x which is less than . 1 In this case, we say that the
1

As a consequence, only nitely many members have distance from x.

63

2 1.75 1.5 1.25 1 0.75 0.5 0.25 10 20 30 40 50 n

Fig. 15: pn, pn ` 1q{nq for n 1 to n 50 and asymptotes.

sequence x1 , x2 , . . . is convergent to x. Note that this implies that for every 0 |xn | |xn x ` x| |xn x| ` |x| ` |x| for all n P N , apart from nitely many members of the sequence, and hence that x1 , x2 , . . . is bounded, i.e., that there is M 0 such that |xn | M for all n P N . If the sequence is not convergent to any real number, we call the sequence divergent. Example 2.3.2. Let a be some real number and xn : a for all n P N . Then lim xn a .
n8

Indeed, if 0 is given, then |xn a| |a a| 0 for all n P N . Hence we can choose N 1. Note that in this simple case, the chosen N works for every 0. In general this will be impossible. 64

2 1.5 1 0.5 10 0.5 1 1.5 2 20 30 40 50 n

Fig. 16: pn, p1qn pn ` 1q{nq for n 1 to n 50 and asymptotes.

50

40

30

20

10

10

20

30

40

50

Fig. 17: pn, pn2 ` 1q{nq for n 1 to n 50 and an asymptote.

65

Example 2.3.3. Investigate whether the following limits exist. (i) n`1 n8 n lim lim p1qn n`1 , n .

(2.3.2)

(ii)
n8

(2.3.3)

(iii) n2 ` 1 n8 n lim (2.3.4)

Solution: Fig. 15, Fig. 16 and Fig. 17 suggest that the limit 2.3.2 is 1, whereas the limits 2.3.3, 2.3.4 dont exist. Indeed n`1 1. n8 n lim (2.3.5)

For the proof, let be some real number 0. Further, let n0 be some natural number 1{. Then it follows for every n P N such that n n0 : n ` 1 1 1 . 1 n n n0 and hence the statement (2.3.5). The proof that (2.3.3) does not exist proceeds indirectly. Assume on the contrary that there is some x P R such
n8

lim p1qn

n`1 x. n

Then there is some n0 P N such that 1 n ` 1 p1qn x 4 n for all n P N such n n0 . Without restriction of generality, we can assume that n0 4. Then it follows for any even n P N such that n n0 : n ` 1 n ` 1 1 1 1 1 |x 1| n x n n x ` n 4 ` n0 66

1 1 1 ` 4 4 2

and for any odd n P N such that n n0 : n`1 1 n`1 1 ` 1 ` 1 |x ` 1| x ` x n n n n 4 n0 1 1 1 ` , 4 4 2 and hence we arrive at the contradiction that 2 |x 1 px ` 1q| |x 1| ` |x ` 1| 1 1 ` 1. 2 2

Hence our assumption that (2.3.3) exists is false. The proof that (2.3.4) does not exist proceeds indirectly, too. Assume on the contrary that there is some x P R such n2 ` 1 x. lim n8 n Further, let be some real number 0. Finally, let n0 be some natural number |x| ` . Then it follows for n n0 that 2 n ` 1 1 1 n x n x ` n n x ` n n x |x| ` x . Hence there is an innite number of members of the sequence that have a distance from x which is greater than . This contradicts the existence of a limit of (2.3.4). Hence such a limit does not exist. The alert reader might have noticed that Def 2.3.1 might turn out to be inconsistent with logic, and then would have to be abandoned, if it turned out that some sequence has more than one limit point. Part piq of the following Theorem 2.3.4 says that this is impossible. In particular, this theorem says that a sequence in R can have at most one limit point (in part (i)), that the sequence consisting of the sums of the members of convergent sequences in R is convergent against the sum of 67

their limits (in part (ii)), that the sequence consisting of the products of the members of convergent sequences in R is convergent against the product of their limits (in part (iii)) and that the sequence consisting of the inverse of the members of a sequence convergent to a non-zero real number is convergent against the inverse of that number (in part (iv)). Theorem 2.3.4. (Limit Laws) Let x1 , x2 , . . . ; y1 , y2 , . . . be sequences of elements of R and x, x , y P R. (i) If
n8

lim xn x and lim xn x ,


n8

then x x. (ii) If
n8

lim xn x and lim yn y ,


n8

then
n8

lim pxn ` yn q x ` y .

(iii) If
n8

lim xn x and lim yn y ,


n8

then
n8

lim xn yn x y .

(iv) If
n8

lim xn x and x 0 , 1 1 . n8 xn x lim

then

Proof. (i): The proof is indirect. Assume that the assumption in (i) is true and that x x . Then there is n0 P N such that for n P N satisfying n n0 : | xn x | 1 1 |x x| and |xn x | |x x| . 2 2 68

Hence it follows the contradiction that |x x| |x xn ` xn x| |x xn | ` |xn x| |x x| . Hence it follows that x x. (ii): Assume that the assumption in (ii) is true. Further, let 0. Then there is n0 P N such that for n P N with n n0 : | xn x| and |yn y | 2 2 and hence |xn ` yn px ` y q| |xn x| ` |yn y | . (iii): Assume that the assumption in (iii) is true. Further, let 0 and 0 such that p ` |x| ` |y |q . (Obviously, such a exists.) Then there is n0 P N such that for n P N with n n0 : |xn x| Then |xn yn x y | |xn yn xn y ` xn y x y | |xn | |yn y | ` |xn x| |y | |xn x| |yn y | ` |x| |yn y |` | xn x | | y | . (iv): Assume that the assumption in (iv) is true. Further, let 0 and 0 such that 1{p|x|p|x| qq mint|x|, u. (Obviously, such a exists.) Then there is n0 P N such that for n P N satisfying n n0 : | |xn | |x| | |xn x| , and hence also |xn | |x| 0 and 1 1 | xn x| | xn x| . xn x | xn | | x| p|x| q |x| and |yn y | . 2 2

69

Remark 2.3.5. The previous theorem is of fundamental importance in the investigation of sequences. Usually, it is applied as follows. First, a given sequence of real numbers is decomposed into combinations of sums, products, quotients of sequences whose convergence is already known. Then the application of the theorem proves the convergence of the sequence and allows the calculation of its limit if the limits of those constituents are known. Example 2.3.6. Prove the convergence of the sequence x1 , x2 , . . . and calculate its limit where 1 xn : n for all n P N . Solution: In Example 2.3.3, we proved that n`1 1. n8 n lim n`1 1 ` p1q n n for every n P N , it follows by Theorem 2.3.4 and Example 2.3.2 the existence of 1 lim n8 n and that 1 n`1 n`1 lim lim ` p1q lim ` lim p1q n8 n n8 n8 n8 n n 1 ` p1q 0 . Example 2.3.7. Prove the convergence of the sequence x1 , x2 , . . . and calculate its limit where 1 xn : n`a for all n P N and a 0. Solution: First, we notice that xn : 1 1 n`a 1` 70
a n

Since

1 n

(2.3.6)

for every n P N . Further, by Theorem 2.3.4, Example 2.3.2 and Example 2.3.6, it follows the existence of a lim 1 ` n8 n and that a 1 lim 1 ` 1`a01 . lim 1 ` lim a lim n8 n8 n8 n8 n n Since the last is different from 0, it follows by Theorem 2.3.4 that 1 n8 1 ` lim
a n

limn8 1 `

1 `

a n

1 1. 1

Finally, again by application of Theorem 2.3.4, it follows from this and Example 2.3.6 the convergence of x1 , x2 , . . . and that 1 1 lim 100 . lim xn lim n8 n n8 n8 1 ` a n Remark 2.3.8. Note that the result in the last Example is unchanged if a is some arbitrary real number. Only if a is some integer 0, the term xa has to be excluded from the sequence because undened. Example 2.3.9. Prove the convergence of the sequence x1 , x2 , . . . and calculate its limit where 3n ` 2 xn : 2n ` 1 for all n P N . Solution: First, we notice that 3n ` 2 xn 2n ` 1
3 2

2n ` 2 2n ` 1

3 2

p2n ` 1q ` 2n ` 1

1 2

3 1 1 ` 2 4 n`

1 2

Hence it follows by Theorem 2.3.4, Example 2.3.2 and Example 2.3.7 the convergence of x1 , x2 , . . . and that 3 1 1 3 1 3 ` 0 . lim xn lim ` lim lim 1 n8 n8 2 n8 4 n8 n ` 2 4 2 2 71

The following is a comparison theorem that allows to conclude from the convergence of one of the involved sequences on the convergence of the other sequence. Theorem 2.3.10. Let x1 , x2 , . . . and y1 , y2 , . . . be sequences of real numbers such that |xn | yn for all n P N. Further, let
n8

lim yn 0 .

Then
n8

lim xn 0 .

Proof. Let 0. Since y1 , y2 , . . . is convergent to 0, there is n0 P N such that |xn | yn |yn | for all n n0 . Hence it follows that x1 , x2 , . . . is convergent to 0. Example 2.3.11. Prove the convergence of the sequence x1 , x2 , . . . and calculate its limit where 1 xn : 2 n ` a2 for all n P N and a P R. Solution: We note that for every n P N n2 1 1 . 2 `a n

Hence it follows by Theorem 2.3.10 and Example 2.3.6 that


n8

lim xn 0 .

The following theorem is often used in the analysis of convergent sequences whose limits cannot readily be determined. In this way, by approximation of the members of the sequence, frequently estimation of its limit can be derived. 72

Theorem 2.3.12. (Limits preserve inequalities) Let x1 , x2 , . . . and y1 , y2 , . . . be sequences of elements of R converging to x, y P R, respectively. Further let xn yn for all n P N . Then also x y . Proof. The proof is indirect. Assume on contrary that x y . Then it follows the existence of an n P N such that both 1 x xn |xn x| px y q 2 and hence the contradiction x y x y ` y n xn x y Hence x y . Example 2.3.13. Dene the sequence x1 , x2 , . . . recursively by a 1 xn ` xn`1 : 2 xn for all n P N where x1 0 and a 0. Show that ? lim xn a
n8

1 yn y |yn y | px y q 2

(2.3.7)

if x1 , x2 , . . . converges. Solution: For every x 0, it follows that ` ? 2 ? 0 x a x2 2 a x ` a and hence that ? 1 a 1 2 2 ax ? x` px ` aq a. 2 x 2x 2x Therefore, since x1 0, it follows inductively that xn 0 for all n P N and hence that ? xn a for all n P N zt1u. Hence if x1 , x2 , . . . is convergent, it follows by Theorem 2.3.12 the validity of (2.3.7). 73

In many cases, in particular such related to applications where sequences are often dened recursively, it is not obvious how to decide whether a given sequence is convergent or divergent. Then it is usually tried rst to establish the existence of a limit by application of a very general theorem, i.e., a theorem that is applicable to a very large class of sequences that have only few specic properties. If the sequence is found to be convergent, the determination of its limit or the derivation of estimations of that limit is performed in subsequent steps. The derivation of such general theorems is the goal in the following. For this, we notice that Denition 2.3.1 is not of much use for deciding the convergence of a given sequence if there is no obvious candidate for its limit. Therefore it is natural to ask, whether there is a general way to decide that convergence without reference to a limit. Indeed, this is possible by means of the so called Cauchy criterion. For its formulation, we need the notion of Cauchy sequences. Roughly speaking, a sequence x1 , x2 , . . . of real numbers is called a Cauchy sequence if for every arbitrary preassigned error bound 0, after omission of nitely many terms of the sequence, the distance between every two members of the remaining sequence is smaller than . Denition 2.3.14. (Cauchy sequences) We call a sequence x1 , x2 , . . . of real numbers a Cauchy sequence if for every 0 there is a corresponding n0 P N such that | xm xn | for all m, n P N satisfying m n0 and n n0 . Example 2.3.15. Dene x1 : 0, x2 : 1 and 1 xn`2 : pxn ` xn`1 q 2 for all n P N . Show that x1 , x2 , . . . is a Cauchy sequence. Solution: First, it follows for every n P N that xn`2 is the midpoint of the interval 74

x 1

0.8

0.6

0.4

0.2

10

20

30

40

50

Fig. 18: (n, xn ) from Example 2.3.15 for n 1 to n 50.

In between xn and xn`1 given by In [xn , xn`1 ] if xn xn`1 and In [xn`1 , xn ] if xn xn`1 . Further, xn`2 xn`1 1 1 pxn ` xn`1 q xn`1 pxn`1 xn q . 2 2

Hence it follows by the method of induction that I1 I2 I3 . . . and that xn`1 xn p1qn1 . 2n1

As a consequence, if 0 and n0 P N is such that 21n0 , then it follows for m, n P N satisfying m n0 and n n0 that xm P In0 and therefore that 1 |xm xn | n0 1 . 2 Hence x1 , x2 , . . . is a Cauchy sequence. See Fig. 18. The following is easy to show. 75

Theorem 2.3.16. Every convergent sequence of real numbers is a Cauchy sequence. Proof. For this, let x1 , x2 , . . . be a sequence of real numbers converging to some x P R and 0. Then there is n0 P N such that | xn x| { 2 for all n P N satisfying n n0 . The last implies that |xm xn | |xm x pxn xq| |xm x| ` |xn x| for all n, m P N satisfying n n0 and m n0 . Hence x1 , x2 , . . . is a Cauchy sequence. The opposite statement that every Cauchy sequence of real numbers is convergent is not obvious, but a deep property of the real number system. This is proved in the Appendix, see the proof of Theorem 5.1.11 in the framework of Cantors construction of the real number system by completion of the rational numbers using Cauchy sequences. The most important parts of calculus / analysis, are based on the following theorem or, equivalently, on Bolzano-Weierstrass theorem below. Theorem 2.3.17. (Completeness of the real numbers) Every Cauchy sequence of real numbers is convergent. Proof. See the proof of Theorem 5.1.11 in the Appendix. In the following, we derive far reaching consequences of the completeness of the real numbers. Theorem 2.3.18. (Bolzano-Weierstrass) For every bounded sequence x1 , x2 , . . . of real numbers there is a subsequence, i.e., a sequence xn1 , xn2 , . . . that corresponds to a strictly increasing sequence n1 , n2 , . . . of non-zero natural numbers, which is convergent.

76

Proof. For this let x1 , x2 , . . . be a bounded sequence of real numbers. Then we dene S : tx1 , x2 , . . . u . In case that S is nite, there is a subsequence x1 , x2 , . . . which is constant and hence convergent. In case that S is innite, we choose some element xn1 of the sequence. Since S is bounded, there is a 0 such that S I1 : ra{4, a{4s. At least one of the intervals ra{4, 0s, r0, a{4s contains innitely many elements of S . We choose such interval I2 and xn2 P I2 such that n2 n1 . In particular I2 I1 . Bisecting I2 into two intervals, we can choose a subinterval I3 I2 containing innitely many elements of S and xn3 P I3 such that n3 n2 . Continuing this process, we arrive at a sequence of intervals I1 , I2 , . . . such that I1 I2 . . . and such that the length of Ik is a{2k for every k P N . Also, we arrive at a subsequence xn1 , xn2 , . . . of x1 , x2 , . . . such that xk P Ik for every k P N . For given 0, there is k0 P N such that a{2k0 . Further, let k, l P N be such that k k0 and l k0 . Then it follows that xk P Ik0 , xl P Ik0 and therefore that |xk xl | a{2k0 . Hence xn1 , xn2 , . . . is a Cauchy sequence and therefore convergent according to Theorem 2.3.17. For the following, the Bolzano-Weierstrass theorem will be fundamental. It will be applied in the proofs of a number of important theorems, for instance, Theorem 2.3.33, Theorem 2.3.44 and Theorem 3.5.59. Also the following theorem is an important and frequently applied consequence of Bolzano-Weierstrass theorem. Until the beginning of the 19th century its statement must have been considered as geometrically obvious because it was used without mentioning. For instance in Augustin-Louis Cauchys textbook Cours danalyse from 1821 [22], it is implicitly used in the proof of the intermediate value theorem, see Theorem 2.3.37 below, but without proof. From todays perspective, it is clear that such geometric intuition was based on an illusion. Theorem 2.3.19. Let x1 , x2 , . . . be an increasing sequence of real numbers, i.e., such that xn xn`1 for all n P N, which is also bounded from above, 77

i.e., for which there is M 0 such that xn M for all n P N. Then x1 , x2 , . . . is convergent. Proof. Since x1 , x2 , . . . is increasing and bounded from above, it follows that this sequence is also bounded. Hence according to the previous theorem, there is a subsequence, i.e., a sequence xn1 , xn2 , . . . that corresponds to a strictly increasing sequence n1 , n2 , . . . of non-zero natural numbers, which is convergent. We denote the limit of such sequence by x. Then, xn x for all n P N . Otherwise, there is m P N such that xm x. If nk0 P N is such that nk0 m, then xnk xm x for all k P N such that k k0 . This implies that
k8

lim xnk xm x .

Further, for 0, there is k0 such that |xnk x| for all k P N such that k k0 . Hence it follows for all n P N satisfying n nk0 that |xn x| x xn x xnk0 |xnk0 x| . Therefore, x1 , x2 , . . . is convergent to x. Corollary 2.3.20. Let x1 , x2 , . . . be an decreasing sequence of real numbers, i.e., such that xn`1 xn for all n P N, which is also bounded from below, i.e., for which there is a real M 0 such that xn M for all n P N. Then x1 , x2 , . . . is convergent.

78

x 0.5

0.4

0.3

0.2

0.1

10

20

30

40

50

Fig. 19: (n, xn ) from Example 2.3.21 for n 1 to n 50.

Proof. The sequence x1 , x2 , . . . is increasing, bounded from above and therefore convergent to a real number x by the previous theorem. Hence x1 , x2 , . . . is convergent to x. Example 2.3.21. Show that the sequence x1 , x2 , . . . dened by x1 : 1{2 and 1 3 . . . p2n 1q xn : 2 4 . . . p2nq for all n P N zt1u is convergent. Solution: The sequence x1 , x2 , . . . is bounded from below by 0. In addition, xn`1 2n ` 1 xn x n 2pn ` 1q

for all n P N and hence x1 , x2 , . . . is decreasing. Hence x1 , x2 , . . . is convergent according to Corollary 2.3.20. See Fig 19.

79

Denition 2.3.22. Let S be a non-empty subset of R. We say that S is bounded from above (bounded from below) if there is M P R such that x M (x M ) for all x P S . The following theorem can be considered as a variation of Theorem 2.3.19 which is also in frequent use. Its power will be demonstrated in the subsequent example. Theorem 2.3.23. Let S be a non-empty subset of R which is bounded from above (bounded from below). Then there is a least upper bound (largest lower bound) of S which will be called the supremum of S (inmum of S ) and denoted by sup S (inf S ). Proof. First, we consider the case that S is bounded from above. For this, we dene the subsets A, B of R as all real numbers that are no upper bounds of S and containing all upper bounds of S , respectively, A : ta P R : There is x P S such that x au , B : tb P R : x b for all x P S u . Since S is non-empty and bounded from above, these sets are non-empty. In addition, for every a P A and every b P B , it follows that a b. Let a1 P A and b1 P B . Recursively, we construct an increasing sequence a1 , a2 , . . . in A and a decreasing sequence b1 , b2 , . . . in B by # pan ` bn q{2 if pan ` bn q{2 P A an`1 : an if pan ` bn q{2 P B , # bn if pan ` bn q{2 P A bn`1 : pan ` bn q{2 if pan ` bn q{2 P B for every n P N . According to Theorem 2.3.19, both sequences are convergent to real numbers a and b, respectively. Since, bn an pb1 a1 q{2n1 for all n P N , it follows that a b. In the following, we show that b sup S . For every x P S , it follows that x bn for all n P N and hence 80

that x b. Hence b is an upper bound of S . Let b be an upper bound of S such that b b. Then there is n P N such that b an . Since an is no upper bound for S , the same is also true for b. Therefore, b is the smallest upper bound of S , i.e., b sup S . Finally, we consider the case that S is bounded from below. Then S : tx : x P S u is bounded from above. Obviously, a real number a is a lower bound of S if and only if a is an upper bound of S . Hence suppS q is the largest lower bound of S , i.e., inf S exists and equals suppS q. Example 2.3.24. Prove that there is a real number x such that x2 2. Solution: For this, we dene S : ty P R : 0 y 2 2u . Since 0 P S , S is a non-empty. Further, S does not contain real numbers y 2 since the last inequality implies that y 2 2 py 2qpy ` 2q ` 2 2 . Hence S is bounded from above. We dene x : sup S . In the following, we prove that x2 2 by excluding that x2 2 and that x2 2. First, we assume that x2 2. Then it follows for n P N that 2 1 2x 1 2x 1 x` 2 x2 2 ` ` 2 x2 2 ` ` n n n n n 2 x ` 1 . x2 2 ` n Hence if n (2x ` 1){(2 x2 ) it follows that 2 1 x` 2 n and therefore that x ` (1{n) P S . As a consequence, x is no upper bound for S . Second, we assume that x2 2. Then it follows for 0 that px q2 2 x2 2 2x ` 2 x2 2 2x . 81

Hence if (x2 2){(2x), it follows that px q2 2 . As a consequence, x is not the smallest upper bound for S . Finally, it follows that x2 2. Note that according to Example 2.2.15, x is no rational number. Below, we dene the exponential function as a limit of sequences. This function is of fundamental importance for applications. It appears in a natural way in the description of physical systems throughout the whole of physics. One prominent example is the description of radioactive decay. Its discovery is often attributed to Jacob Bernoulli, who became familiar with calculus through a correspondence with Leibniz, resulting from his study of the problem of continuous compound interest. For motivation, we briey sketch the problem in the following. For this, we assume that a bank account contains a 0 Dollars that pays 100 x percent interest per year where x is some real number. Of course, in practice x 0. If the interest is payed once at the end of the year, the account contains a1 : a ` x a a p1 ` xq Dollars at the end of the year. If the interest is payed semiannually, after 1{2 years the account contains x x a` aa 1` 2 2 Dollars and after one year x x x x 2 a1 a2 : a 1 ` ` a 1` a 1` 2 2 2 2 Dollars. Analogously, if the interest is payed n-times per year where n P N , the account contains x n an : a 1 ` n 82

2.74

2.73

2.72

2.71

10

12

14

Fig. 20: pn, xn q, pn, yn q from Lemma 2.3.25 and pn, eq for n 1 to n 15.

Dollars after one year. Bernoulli investigated the question whether this amount would grow indenitely with the increase of n or whether it would stay bounded. Indeed, as we shall see below, the sequence a1 , a2 , . . . is converging to a real number which is denoted by aex or a exppxq. For simplicity, below we restrict n to powers of 2. This is an approach of Otto Dunkel, 1917 [33] which avoids the use of Bernoullis inequality. This restriction can be removed later, for instance, with the help of LHospitals theorem, Theorem 2.5.38. Lemma 2.3.25. Let x P R. Dene x p2n q x p2n q , yn : 1 n xn : 1 ` n 2 2 for all n P Z. Then for all n P N such 2pn1q |x|: 0 xn1 xn yn yn1 and 2 xn 1 x . yn 4m2 83 (2.3.8) (2.3.9)

Proof. For this let n P N be such that m : 2pn1q |x|. Then x 2 1` 1` 2m x 2 1 1 2m and hence 0 xn1 xn and 0 yn yn1 . Finally, it follows that x 2m x 2m yn xn 1 1` 2m 2m + # 2m x 2m x 2 1 1 1 2m 2m x 2m x2 1 1 1 2m 4m2 1 2m1 0 x2 x2 x2 1 ` 1 ` ` 1 4m2 4m2 4m2 and hence xn yn and (2.3.9). Note that the sequence y1 , y2 , . . . in Lemma 2.3.25 is a decreasing and bounded from below by 0 and hence convergent according to Theorem 2.3.20. Hence we can dene the following: Denition 2.3.26. We dene the exponential function exp : R R by x p2n q exppxq : ex : lim 1 n n8 2 for all x P R. Then we conclude Theorem 2.3.27. 84 x2 x ` 1` m 4m2 x x2 ` 1 m 4m2 x 0, m x 0 m

(i)

x p2n q e lim 1 ` n n8 2 x and e 0 for all x P R.


x

(ii) x p2n q x p2n q 1 x 1`x 1` n e 1 n 2 2 1x for all x P R such |x| 1 and all n P N. (iii) ex`y ex ey for all x, y P R. Proof. From (2.3.9), it follows for every x P R:
n8

(2.3.10)

lim

xn 1 yn

and hence by the limit laws Theorem (2.3.4) that


n8

lim yn lim

n8

xn lim xn yn n8

and by (2.3.8) and Theorem 2.3.12 that ex 0 for all x P R. Further, if |x| 1, it follows from (2.3.8) and by Theorem 2.3.12 the estimates (2.3.10). Finally, if y P R and n P N is such that m : 2n maxt4|x|, 4|y |, 2|x||y |u, then ` ` m y m x m 1` m 1` m hm ` 1` `y m m 1 ` xm where hm : xy m`x`y

85

is such that |hm | 1. Hence by (2.3.10) m hm 1 1 ` hm 1 ` , m 1 hm and it follows by Theorem 2.3.4 and Theorem 2.3.12 that m ex ey hm 1. lim 1 ` ex`y n8 m

Problems 1) Below are given the rst 8 terms of a sequence x1 , x2 , . . . . For each nd a representation xn f pnq, n 1, . . . , 8 where f is an appropriate function. a) b) c) d) e) f) g) h) i) j) k) l) 2, 4, 6, 8, 10, 12, 14, 16, 2, 4, 8, 16, 32, 64, 128, 256, 1, 1, 1, 1, 1, 1, 1, 1, 1, 3, 6, 10, 15, 21, 28, 36, 1, 3{4, 5{7, 7{10, 9{13, 11{16, 13{19, 15{22, 2, 0, 2, 0, 2, 0, 2, 0, 5{7, 0, 7{9, 0, 9{11, 0, 11{13, 0, 1, 1, 4{6, 8{24, 16{120, 32{720, 64{5040, 128{40320, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 0, 0, 0, 1, 0, 1, [0, 0, 0, 1,] 0, 1, 0, 0, 0, 1, 0, 1, [0, 0, 0, 1].

2) Prove the convergence of the sequence and calculate its limit. For this use only the limit laws, the fact that a constant sequence converges to that respective constant and the fact that
n8

lim p1{nq 0 .

Give details.

86

a) b) c) d) e) f) g)

xn xn xn xn xn xn xn

: 1 ` p1{nq, n P N , : 5 ` p2q p1{nq ` 3 p1{nq2 , n P N , : r1 ` p4q p1{nqs{r2 ` 3 p1{nq2 s, n P N , : 3{n2 , n P N , : p2n 1q{pn ` 3q, n P N , : p3n2 6n 10q{p7n2 ` 3n 5q, n P N , : p3n2 6n 10q{p7n3 ` 3n 5q, n P N .

3) Determine in each case whether the given sequence is convergent or divergent. Give reasons. If it is convergent, calculate the limit. a) c) e) g) i) xn :
n`1 n

b) d) f) h) j)

xn : xn :

p1qn n 1`p1qn n

` 1 xn : p1qn 1 n xn : sinpn q xn : xn :
n n2 ` 1 n3 n2 ` 1

xn : sin xn : xn :

` n
2

` cospn q

n2 n2 `1 n2 n n3 ` 1

for every n P N . 4) The table displays pairs pn, sn q, n 1, . . . , 10, where sn is the measured height in meters of a free falling body over the ground after n{10 seconds and at rest at initial height 4m. p1, 3.951q p5, 2.775q p2, 3.804q p6, 2.236q p3, 3.559q p7, 1.599q p4, 3.216q . p8, 0.864q

Draw these points into an xy -diagram where the values of n appear on the x-axis and the values of sn on the y -axis. Find a representation sn f pn{10q, n 1, . . . , 10, where f is an appropriate function, and predict the time when the body hits the ground. 5) The table displays pairs p2n{10, Ln q, n 1, ..., 8, where 2n{10 is the pressure in atmospheres (atm) of an ideal gas (, at constant temperature of 20 degrees Celsius,) conned to a volume which is proportional to the length Ln . The last is measured in millimeters (mm). p0.2, 672q p1.0, 134.4q p0.4, 336q p1.2, 112q p0.6, 224q p1.4, 96q p0.8, 168q p1.6, 84q

87

Draw these points into an xy -diagram where the values of n appear on the x-axis and the values of Ln on the y -axis. Find a representation Ln f p2n{10q, n 1, . . . , 8, where f is an appropriate function, and predict L10 . 6) Like Archimedes, derive the recursion relation (2.3.1) by elementary geometric reasoning without the use of trigonometric functions. 7) Reconsider Archimedes measurement of the circle and calculate the recursion relation for the sequence of circumferences s6 , s12 , s24 , . . . that corresponds to (2.3.1). In addition, prove that this sequence is increasing as well as bounded from above and hence convergent.

2.3.2

Continuous Functions

This section starts the investigation of properties of functions dened on subsets of the real numbers. Alongside the notion of a function, the notion of the continuity of a function underwent considerable changes until it reached its current meaning. In his textbook Introductio ad analysin innitorum from 1748 [38], Leonhard Euler denes a function as an equation or analytic expression composed of variables and numbers. Admissible analytic expressions were those that involved the four algebraic operations, roots, exponentials, logarithms, trigonometric functions, derivatives and integrals. This common property of functions was also called continuity in form. The study of the solutions of the wave equation in one space dimension (the VibratingString Problem), made necessary the consideration of compounds of such functions. Such were called discontinuous functions by Euler. This included functions (in the sense of curves) that are traced by the free motion of the hand and therefore not subject to any law of continuity in form. Unlike modern denitions of continuity of a function, continuity in the sense of Euler included the differentiability of the function in the modern sense. The last concept will be dened in Section 2.4. Hence the term continuous was used to indicate a kind of regularity of the function. The same is true today. 88

The modern denition of continuity goes back to a publication of Bernhard Bolzano from 1817 [12]. The literal translation of the (German) title is Purely analytical proof of the theorem, that between each two values which guarantee an opposing result, at least one real root of the equation lies. The phrase opposing result means an opposite sign, and the theorem in question is the intermediate value theorem, see Theorem 2.3.37 below. In this paper, he criticizes that the known proofs of that theorem still make reference to geometric intuition although such arguments were already considered inadequate in pure mathematics at the time. He argues that the concept of continuity should be understood in the following sense. A function f pxq varies according to the law of continuity for all values of x which lie inside or outside certain limits if for every such x the value of the difference f px ` q f pxq can be made smaller than any given quantity if can be assumed as small as one wishes. Essentially the same formulation can also be found in Cauchys textbook Cours danalyse from 1821 [22]. This formulation practically coincides with a modern denition. It is important to note that, on rst sight and unlike Bolzano, Cauchys denition makes reference to innitesimal quantities. The use of such quantities, which have their roots in ancient Greek philosophy, was quite common at that time. Among others, Johannes Kepler, Newton, Leibniz, Jacob Bernoulli, Euler and Cauchy, previously to the writing of his Cours danalyse, made use of them. Jean le Rond dAlembert, Joseph Louis Lagrange, Bolzano and others distrusted that concept and tried to avoid it. On the other hand, Cauchy replaces the concept of xed innitesimally small quantities by a denition of innitesimals in terms of an essentially modern concept of limits. In this way, he reconciles rigor with innitesimals and became an important and inuential promoter of rigor in calculus / analysis. 89

In modern calculus / analysis, innitesimals are not part of the real number system. Following Cauchy, their role has been replaced by the rigorous concept of limits. The assumption of continuity of the involved function is sufcient to prove the intermediate value theorem, although neither Bolzano nor Cauchy could give a completely satisfactory proof according to modern standards because a rigorous foundation of the real number system was still missing. An additional important property of continuous functions, dened on closed intervals of R, is that they assume a maximum and also a minimum value. See Theorem 2.3.33 below. Below, we dene the continuity of a function as the property to preserve limits. This form of the denition goes back to Heinrich Eduard Heine and is called sequential continuity in more general situations (than functions dened on subsets of the real numbers). Denition 2.3.28. (Continuity) Let f : D R be a function and x P D. Then we say f is continuous in x if for every sequence x1 , x2 , . . . of elements in D from lim x x
8

it follows that
8

lim f px q f

lim x r f pxqs .

If f is not continuous in x, we say f is discontinuous in x. Also we say f is continuous if f is continuous in all points of its domain D. Example 2.3.29. (Basic examples for continuous functions.) Let a, b be real numbers and f : R R be dened by f pxq : ax ` b for all x P R. Then f is continuous.

90

Proof. Let x be some real number and x1 , x2 , . . . be a sequence of real of numbers converging to x. Then for any given 0, there is n0 P N such that for n P N with n n0 : | a| | x n x | and hence also that |f pxn q f pxq| |axn ` b pax ` bq| |axn ax| |a| |xn x| and
n8

lim f pxn q f pxq .

An example for a function which is discontinuous in one point. Example 2.3.30. Consider the function f : R R dened by x f pxq : | x| for x 0 and f p1q : 1. Then 1 1 lim 0 and lim 0, n8 n n8 n 1 1 lim f 1 and lim f 1 . n8 n8 n n Hence f is discontinuous at the point 1. See Fig. 21. Such discontinuity is called a jump discontinuity. The following gives an example of a function that is discontinuous in every point of its domain and is known as Dirichlets function. It was given in Dirichlets 1829 paper [30] which gave a precise meaning to Fouriers work from 1822 [41] on heat conduction. As described in the beginning of Section 2.2.3, that paper also gave the rst modern denition of functions. His example clearly demonstrates that he moved considerably past his time with his concept of functions since such type of function had not been considered before. 91 but

Example 2.3.31. (Dirichlets function, a function which is nowhere continuous) Dene f : R R by # 1 if x is rational f pxq : 0 if x is irrational for every x P R. For the proof that f is everywhere discontinuous, let xP? R. Then x is either rational or irrational. If x is? rational, then xn : x ` 2{n for every n P N is irrational. (Otherwise, 2 npxn xq is a rational number. ) Hence
n8

lim f pxn q 0 1 f pxq ,

and f is discontinuous in x. If x is irrational, by construction of the real number system, see Theorem 5.1.11 (i) in the Appendix, there is a sequence of rational numbers x1 , x2 , . . . that is convergent to x. Hence
n8

lim f pxn q 1 0 f pxq ,

and f is discontinuous in x also in this case. In the following, we dene continuous limits of the form
x a

lim f pxq

where f is some function and a some real number or 8, 8. In classical (=pre-modern) understanding, the symbol was understood as the variable x approaching a in a continuous way, an understanding that was heavily dependent on geometric intuition. Nowadays, there are good reasons to distrust such an intuition resulting from Cantors classication of innite sets. That classication separates innite sets into those that are countable and those that are not. The last are called uncountable. A countable set is a set which is the image of an injective map with domain N. It can be shown that the sets Z and Q are countable, but that R and also any interval of R containing more than one point is uncountable. Therefore, the geometric intuition of the variable x approaching a in a continuous way would 92

involve the visualization of an uncountable set which can be considered humanly impossible. For this reason, it can very well be said that a large part of classical calculus / analysis used arguments that were based on illusions, even if one excludes its frequent use of innitesimal quantities from the consideration. The following denition introduces notation which is in frequent use in other textbooks of calculus / analysis. We will use it only occasionally. Denition 2.3.32. (Continuous limits) Let f be function dened on a subset of R, a P R Y t8u Y t8u and b P R. (i) We say that a sequence x1 , x2 , . . . of real numbers converges to 8 or 8 if for every n P N there are only nitely many members that are n or n, respectively. (ii) If there is sequence x1 , x2 , x3 , . . . in the domain of f that converges to a, we dene lim f pxq b ,
x a

if for every such sequence it follows that


n8

lim f pxn q b .

An important property of continuous functions, dened on closed intervals of R, is that they assume a maximum value and a minimum value. The corresponding theorem is a direct consequence of the Bolzano-Weierstrass theorem Theorem 2.3.18. Theorem 2.3.33. (Existence of maxima and minima of continuous functions on compact intervals) Let f : ra, bs R be a continuous function where a and b are real numbers such that a b. Then there is x0 P ra, bs such that f px0 q f pxq p f px0 q f pxq q for all x P ra, bs. 93

0.5

0.5

0.5

0.5

Fig. 21: Graph of f from Example 2.3.30.

0.4

0.3

0.2

0.1

0.2

0.4

0.6

0.8

Fig. 22: Graph of f from Example 2.3.36.

94

Proof. For this, in a rst step, we show that f is bounded and hence that sup f pra, bsq exists. In the nal step, we show that there is c P ra, bs such that f pcq sup f pra, bsq. For this, we use the Bolzano-Weierstrass theorem. The proof that f is bounded is indirect. Assume on the contrary that f is unbounded. Then there is a sequence x1 , x2 , . . . such that f pxn q n (2.3.11)

for all n P N. Hence according to Theorem 2.3.18, there is a subsequence xk1 , xk2 , . . . of x1 , x2 , . . . converging to some element c P ra, bs. Note that the corresponding sequence is f pxk1 q, f pxk2 q, . . . is not converging as a consequence of (2.3.11). But, since f is continuous, it follows that f pcq lim f pxnk q
k8

Hence f is bounded. Therefore let M : sup f pra, bsq. Then for every n P N there is a corresponding cn P ra, bs such that |f pcn q M | 1 . n (2.3.12)

Again, according to Theorem 2.3.18, there is a subsequence ck1 , ck2 , . . . of c1 , c2 , . . . converging to some element c P ra, bs. Also, as consequence of (2.3.12), the corresponding sequence f pck1 q, f pck2 q, . . . is converging to M and by continuity of f to f pcq. Hence f pcq M and by the denition of M: f pcq M f pxq for all x P ra, bs. By applying the previous reasoning to the continuous function f , it follows the existence of a c 1 such that f pc 1 q f pxq and hence also f pc 1 q f pxq for all x P ra, bs. 95

As a by product of the proof of the previous theorem, we proved that every continuous function dened on a bounded closed interval of R is bounded in the following sense. Denition 2.3.34. (Boundedness of functions) We call a function f bounded if there is M 0 such that |f pxq| M for all x from its domain. An example for an unbounded function dened on a bounded closed interval of R is given by the function f from Example 2.3.36 below. Corollary 2.3.35. Every continuous function dened on a bounded closed interval of R is bounded. A simple example of a function which is discontinuous in one point and does not assume a maximal value is: Example 2.3.36. Dene f : r0, 1s R by " 1 ` x2 if 0 x 1{2 f p xq : px 1q2 if 1{2 x 1 . See Fig. 22. Another important property of continuous functions, dened on closed intervals of R, is that they assume all values between those at the interval ends. Theorem 2.3.37. (Intermediate value theorem) Let f : ra, bs R be a continuous function where a and b are real numbers such that a b. Further, let f paq f pbq and P pf paq, f pbqq. Then there is x P pa, bq such that f p xq .

96

Proof. Dene S : tx P ra, bs : f pxq u . Then S is non-empty, since a P S , and bounded from above by b. Hence c : sup S exists and is contained in ra, bs. Further, there is a sequence x1 , x2 , . . . in S such that 1 (2.3.13) | x n c| n for all n P N. Hence x1 , x2 , . . . is converging to c, and it follows by the continuity of f that lim f pxn q f pcq .
n8

Moreover, since f pxn q for all n P N, it follows that f pcq . As a consequence, c b. Now for every x P pc, bs, it follows that f pxq because otherwise c is not an upper bound of S . Hence there exists a sequence y1 , y2 , . . . in pc, bs which is converging to c. Further, because of the continuity of f lim f pyn q f pcq
n8

and hence f pcq . Finally, it follows that f pcq and therefore also that c a and c b. The following corollary displays a main application of the intermediate value theorem: If f is a continuous function dened on a closed interval of R whose values at the interval ends have a different relative sign, i.e., one of those is 0 and the other one is 0, then there is x in the domain of f such that f pxq 0 . Corollary 2.3.38. Let f : ra, bs R be a continuous function where a and b are real numbers such that a b. Moreover, let f paq 0 and f pbq 0. Then there is x P pa, bq such that f pxq 0. Example 2.3.39. Dene f : R R by f pxq : x3 ` x ` 1

97

y 3

0.5

0.5

Fig. 23: Graph of f from Example 2.3.39.

for all x P R. Then by Theorems 2.3.46, 2.3.48 below, f is continuous. Also, it follows that f p1q 1 0 and f p0q 1 0 and hence by Corollary 2.3.38 that f has a zero in p1, 0q. See Fig. 23. Remark 2.3.40. Note in the previous example that the value (0.375) of f in the mid point 0.5 of r1, 0s is 0. Hence it follows by Corollary 2.3.38 that there is a zero in the interval r1, 0.5s. The iteration of this process is called the bisection method. It is used to approximate zeros of continuous functions. Polynomial functions, dened on the whole of R, of an odd order necessarily assume the value 0 since they assume values of different relative sign for large negative and large positive arguments. That the same is not true in general for polynomial functions of even order can be seen from the fact that, for instance, the polynomial function f : R R dened by f pxq : 1 ` x2 for all x P R does not assume the value zero. 98

Theorem 2.3.41. Let n be a natural number and a0 , a1 , . . . , a2n be real numbers. Dene the polynomial p : R R by ppxq : a0 ` a1 x ` ` a2n x2n ` x2n`1 for all x P R. Then there is some x P R such that f pxq 0. Proof. Below in Example 2.3.49, it is proved that p is continuous. Further, dene x0 : 1 ` maxt|a0 |, |a1 |, . . . , |a2n |u . Then ` n a0 ` a1 x0 ` ` a2n x2 |a0 | ` |a1 | |x0 | ` ` |a2n | |x0 |2n 0 n 2n`1 2n`1 px0 1q p1 ` x0 ` ` x2 1 x0 0 q x0 and hence ppx0 q 0. Also a0 ` a1 px0 q ` ` a2n px0 q2n |a0 | ` |a1 | |x0 | ` ` |a2n | |x0 |2n n 2n`1 px0 1q p1 ` x0 ` ` x2 1 px0 q2n`1 0 q x0 and hence ppx0 q 0. Hence according to Theorem 2.3.37, there is x P rx0 , x0 s such that f pxq 0. The converse of Theorem 2.3.37 is not true, i.e., a function that assumes all values between those at its interval ends is not necessarily continuous on that interval. This can be seen, for instance, from the following Example. Example 2.3.42. Dene f : r0, 2{ s R by f pxq : sinp1{xq for 0 x 2 and f p0q : 0. Then f is not continuous (in 0), but assumes all values in the in the interval rf p0q, f p2{ qs r0, 1s. Note also that f has an innite number of zeros, located at 1{pn q for n P N . A useful property of continuous functions for theoretical investigations such as Theorem 2.3.44 below is that they map intervals of R that are contained in their domain on intervals of R. 99

y 1

0.5

0.2

0.4

0.6

0.5

Fig. 24: Graph of f from Example 2.3.42.

Theorem 2.3.43. Let f : ra, bs R be a continuous function where a and b are real numbers such that a b. Then the range of f is given by f pra, bsq r, s for some , P R such that . Proof. Denote by , the minimum value and the maximum value of f , respectively, which exist according to Theorem 2.3.33. Then for every x P r, s f pxq . Further, let xm , xM P ra, bs be such that f pxm q and f pxM q , respectively. Finally denote by I the interval rxm , xM s if xm xM and rxM , xm s if xM xm . Then the restriction f |I of f to I is continuous and, according to Theorem 2.3.37 (applied to the function f |I if xM xm ), every value of r, s is in its range. (2.3.14)

100

Intuitively, for instance, as a consequence of Theorem 2.2.44, it is to be expected that the inverse of an injective continuous function is itself continuous. Indeed, this true. Theorem 2.3.44. Let f : ra, bs R, where a, b P R are such that a b, be continuous and strictly increasing, i.e., for all x1 , x2 P ra, bs such that x1 x2 it follows that f px1 q f px2 q. Then the inverse function f 1 is continuous, too. Proof. From the property that f is strictly increasing, it follows that f is also injective. Further, from Theorem 2.3.43 it follows the existence of , P R such that the range of f is given by r, s and hence that f 1 : r, s ra, bs . Now let y be some element of r, s and y1 , y2 , . . . be some sequence of elements of r, s that is converging to y , but such that f 1 py1 q, f 1 py2 q, . . . is not converging to f 1 py q. Then there is an 0 along with a subsequence yn1 , yn2 , . . . of y1 , y2 , . . . such that 1 f pyn q f 1 py q (2.3.15) k for all k P N . According to the Bolzano-Weierstrass Theorem 2.3.18, there is a subsequence ynk1 , ynk2 , . . . of yn1 , yn2 , . . . such
l8

lim f 1 pynkl q x

(2.3.16)

for some x P ra, bs. Hence it follows by the continuity of f that


l8

lim ynkl f pxq

and y f pxq, since ynk1 , ynk2 , . . . is also convergent to y , but from (2.3.15) it follows by (2.3.16) that x f 1 py q which, since f is injective, leads to the contradiction that y f p xq .

Hence such y and sequence y1 , y2 , . . . dont exist and f 1 is continuous.

101

In the case of sequences, the limit laws, see Theorem 2.3.4, stated that sums, products and quotients (if dened) of convergent sequences are convergent to the corresponding sum, product, quotient (if dened) of their limits. A typical application of these limit laws consisted in the decomposition of a given sequence into sums, products, quotients of sequences whose convergence is already known. Then the application of the limit laws proved the convergence of the sequence and allowed the calculation of its limit if the limits of those constituents are known. Theorems similar in structure to that of the limit laws for sequences hold for continuous functions and are given below. Sums, products, quotients (wherever dened) and compositions of continuous functions are continuous. Indeed, this is a simple consequence of the limit laws, Theorem 2.3.4, and the denition of continuity. According to Theorem 2.3.44 the same is true for the inverse of an injective continuous function. A typical application of the thus obtained theorems consists in the decomposition of a given function into sums, products, quotients, compositions and inverses of functions whose continuity is already known. Then the application of those theorems proves the continuity of that function. In this way, the proof of continuity of a given function is greatly simplied and, usually, obvious. Therefore, in such obvious cases in future, the continuity of the function will be just stated, but not explicitly proved. Denition 2.3.45. Let f1 : D1 R, f2 : D2 R be functions such that D1 XD2 . Moreover, let a P R. Then we dene pf1 `f2 q : D1 XD2 R (read: f plus g ) and a f1 : D1 R (read: a times f ) by pf1 ` f2 qpxq : f1 pxq ` f2 pxq for all x P D1 X D2 and pa f1 qpxq : a f1 pxq for all x P D1 . Theorem 2.3.46. Let f1 : D1 R, f2 : D2 R be functions such that D1 X D2 . Moreover let a P R. Then it follow by Theorem 2.3.4 that 102

(i) if f1 and f2 are both continuous in x P D1 X D2 , then f1 ` f2 is continuous in x, too, (ii) if f1 is continuous in x P D1 , then a f1 is continuous in x, too. Denition 2.3.47. Let f1 : D1 R, f2 : D2 R be functions such that D1 X D2 . Then we dene f1 f2 : D1 X D2 R (read: f1 times f2 ) by pf1 f2 qpxq : f1 pxq f2 pxq for all x P D1 X D2 . If moreover Ranpf1 q R , then we dene 1{f1 : D1 R (read: 1 over f1 ) by p1{f1 qpxq : 1{f1 pxq for all x P D1 . Theorem 2.3.48. Let f1 : D1 R, f2 : D2 R be functions such that D1 X D2 . (i) If f1 and f2 are both continuous in x P D1 X D2 , then f1 f2 is continuous in x, too. (ii) If f1 is such that Ranpf1 q R as well as continuous in x P D1 , then 1{f1 is continuous in x, too. Proof. For the proof of (i), let x1 , x2 , . . . be some sequence in D1 X D2 which converges to x. Then for any P N |pf1 f2 qpx q pf1 f2 qpxq| |f1 px qf2 px q f1 pxqf2 pxq| |f1 px qf2 px q f1 pxqf2 px q ` f1 pxqf2 px q f1 pxqf2 pxq| |f1 px q f1 pxq| |f2 px q| ` |f1 pxq| |f2 px q f2 pxq| |f1 px q f1 pxq| |f2 px q f2 pxq| ` |f1 px q f1 pxq| |f2 pxq| ` |f1 pxq| |f2 px q f2 pxq| and hence, obviously,
8

lim pf1 f2 qpx q pf1 f2 qpxq . 103

For the proof of (ii), let x1 , x2 , . . . be some sequence in D1 which converges to x. Then for any P N |p1{f1 qpx q p1{f1 qpxq| |1{f1 px q 1{f1 pxq| |f1 px q f1 pxq|{r |f1 px q| |f1 pxq| s and hence, obviously,
8

lim p1{f1 qpx q p1{f1 qpxq .

In the following, we give two examples for the application of Theorem 2.3.46 and Theorem 2.3.48. Example 2.3.49. Let n P N and a0 , a1 , . . . , an be real numbers. Then the corresponding polynomial of n-th order p : R R dened by p p x q : a0 ` a1 x ` ` an x n for all x P R, is continuous. Proof. The proof is a simple consequence of Example 2.3.29, Theorem 2.3.46 and Theorem 2.3.48. Example 2.3.50. Explain why the function f pxq : x3 ` 2x2 ` x ` 1 x2 3x ` 2 (2.3.17)

is continuous at every number in its domain. State that domain. Solution: The domain D is given by those real numbers for which the denominator of the expression (2.3.17) is different from 0. Hence it is given by D R zt1, 2u . Further, as a consequence of Example 2.3.49, the polynomials p1 : R R, p2 : D R dened by p1 pxq : x3 ` 2x2 ` x ` 1 , 104

p2 pxq : x2 3x ` 2 for all x P R and x P D, respectively, are continuous. Since p2 pRq R , it follows by Theorem 2.3.48 that the function 1{p2 is continuous. Finally from this, it follows by Theorem 2.3.48 that p1 {p2 is continuous. Theorem 2.3.51. Let f : Df R, g : Dg R be functions and Dg be a subset of R. Moreover let x P Df , f pxq P Dg , f be continuous in x and g be continuous in f pxq. Then g f is continuous in x. Proof. For this, let x1 , x2 , . . . be a sequence in Dpg f q converging to x. Then f px1 q, f px2 q, . . . is a sequence in Dg . Moreover since f is continuous in x, it follows that lim f px q f pxq .
8

Finally, since g is continuous in f pxq it follows that


8

lim pg f qpx q lim g pf px qq g pf pxqq pg f qpxq .


8

Example 2.3.52. Show that f : R R dened by f pxq : |x| for all x P R, is continuous. Solution: Dene the polynomial p2 : R R by p2 pxq : x2 for every x P R. According to Example 2.3.49, p2 is continuous. Then f s2 p2 , where s2 denotes the square-root function on r0, 8q, which, by Theorem 2.3.44, is continuous as inverse of the strictly increasing restriction of p2 to r0, 8q. Hence f is continuous by Theorem 2.3.51. Example 2.3.53. The functions sin : R R and exp : R R are continuous. Show that arcsin : r1, 1s r {2, {2s, cos : R R, arccos : r1, 1s r0, s, tan : p {2, {2q R, arctan : R p {2, {2q and the natural logarithm function ln : p0, 8q R are continuous. Solution: Since the restriction of sin to r {2, {2s and exp are in particular 105

y 3

2 1

Fig. 25: Graph of sin, arcsin and asymptotes.

y 3

2 1

Fig. 26: Graph of cos, arccos and asymptotes.

106

y 3

1 1

Fig. 27: Graph of tan, arctan and asymptotes.

y 3

1 1

Fig. 28: Graph of exp, ln.

107

F x 1 sin x tan x

x A cos x B C D

Fig. 29: Sketch for Example 2.3.54. The dots in the corners B and F indicate right angles.

increasing, their inverses arcsin and ln are continuous according to Theorem 2.3.44. Further, since cospxq sin x ` 2 for all x P R, the cosine function is continuous as composition of continuous functions according to Theorem 2.3.51. Further, the restriction of cos to r0, s is in particular increasing and hence its inverse arccos continuous according to Theorem 2.3.44. Also, tan : R z tk ` p {2q : k P Zu R dened by sinpxq tanpxq : cospxq for every x P R z tk ` p {2q : k P Zu is continuous according to Theorem 2.3.48 as quotient of continuous functions. Finally, the restriction of tan to p {2, {2q is in particular increasing and hence its inverse arctan continuous according to Theorem 2.3.44. It is not uncommon that, in a rst step, in the denition of a continuous function f certain real numbers have to be excluded from the domain since the expression used for the denition is not dened in those points. Such points are called singularities of f , although not part of the domain of f . Most frequent is the case that the denition in a point would involve division by 0. Since this division is not dened, that point has to excluded from 108

y 2.5

1.5

0.5

1.5

0.5

0.5

1.5

Fig. 30: Graphs of f (red) and h (blue) from Example 2.3.54.

the domain of f . In particular in applications, singularities of functions are points of interest. For instance, in physics they often signal the breakdown of theories at such locations. In case that there is a continuous function whose restriction to the domain of f coincides with f and, in addition, f contains a singularity of f , then that singularity is called a removable and a continuous extension of f . If xs P R is a singularity of f and if there f is a sequence x1 , x2 , . . . in the domain of f that is convergent to xs , then it that follows by the assumed continuity of f
n8

pxn q f pxs q lim f pxn q lim f


n8

and hence that every continuous extension of f containing xs in its domain assumes the same value in xs . Continuous functions with singularities that are not removable are easy to construct. For instance, f : R R dened by f pxq : 1{x has a singularity at x 0 and the sequence f p1{1q, f p1{2q, f p1{3q, . . .

109

diverges. Since 1 0, n8 n it follows that there is no continuous extension of f . The following is an often appearing case of a removable singularity. lim Example 2.3.54. (Removable singularities) Dene f : R R by f pxq sinpxq x

for every x P R and f p0q 1. Then f is continuous. Proof: By Theorem 2.3.48, the continuity of sin and the linear function p : R R, dened by ppxq : x, x P R, see Example 2.3.29, it follows the continuity of f in all points of R . The proof that f is also continuous in x 0, follows from the following inequality (compare Fig 30): sinpxq 1 1 , 1 (2.3.18) cospxq x for all x P p {2, {2q zt0u. For its derivation and in a rst step, we assume that 0 x {2 and consider the triangle ADF in Fig 29, in particular the areas ApABF q, ApACF q and ApADF q of the triangles ABF , ACF and ADF , respectively. Then we have the following relation: ApABF q ApACF q ApADF q and hence x tanpxq 1 sinpxq cospxq 2 2 2 cospxq

1 sinpxq . x cospxq From this follows, by the symmetries of sin, cos under sign change of the argument, the same equality for {2 x 0. Hence for x P p {2, {2q zt0u: sinpxq 1 1 1 x cospxq 110

and

and 1

sinpxq 1 1 cospxq 1 x cospxq

and hence nally (2.3.18). Now since h : p {2, {2q R dened by hpxq : 1 1 , cospxq

for all x P p {2, {2q is continuous, it follows by (2.3.18) and Theorem 2.3.10 the continuity of f also in x 0. Remark 2.3.55. The alert reader might have noticed that geometric intuition was used in the derivation of the inequality (2.3.18) that is also used further on, although such intuition is no longer admitted in proofs. Indeed, this could be avoided by introducing the sine and cosine functions by their power series expansions, see Example 3.4.27 from Calculus II, but this would take us to far off course. Often, in particular in applications, functions occur that are dened on unbounded intervals of the real numbers. For instance, such appear in the description of the frequently occurring physical systems of innite extension, like the motion of planets and comets around the sun. In such cases the behavior of the function near `8 and/or 8 is of interest. Such study would be much simplied if `8 and 8 would be part of the real numbers which is not the case. But there is a simple method to reduce the discussion of the behavior of a function near `8 and/or 8 to that of a related function near 0 which is based on the fact that the auxiliary function h : pR R, x 1{xq maps large positive real numbers to small positive numbers and large negative real numbers to small negative numbers. Hence the behavior of a function f near 8 is completely determined by : f h near 0. This fact provides a simple the behavior the function f method for the calculation of limits at innity. Theorem 2.3.56. (Limits at innity) Let a 0 and L be some real number.

111

(i) If f : ra, 8q R is continuous, then


x8

lim f pxq L

: r0, 1{as R dened by if and only if the transformed function f pxq : f p1{xq f p0q : L is continuous in 0. In this case, for all x P p0, 1{as and f we call the parallel through the x-axis through p0, Lq a horizontal asymptote of Gpf q for large positive x. (ii) If f : p8, as R is continuous, then
x8

lim f pxq L

: r1{a, 0s R dened by if and only if the transformed function f pxq : f p1{xq f p0q : L is continuous in 0. In this for all x P r1{a, 0q and f case, we call parallel through the x-axis through p0, Lq a horizontal asymptote of Gpf q for large negative x. Proof. (i): If
x8

lim f pxq L ,

(2.3.19)

we conclude as follows. For this, let x1 , x2 , . . . be a sequence in p0, 1{as that is convergent to 0. As a consequence, for m P N, there is N P N such that 1 xn |xn | m`1 for all n P N such that n N . This implies that 1 m`1m xn 112

for all n P N such that n N . Hence it follows from (2.3.19) that pxn q . L lim f p1{xn q lim f
n8 n8

Obviously, this also implies that


n8

pxn q L lim f

for sequences x1 , x2 , . . . in r0, 1{as that are convergent to 0 and hence that is continuous in 0. On the other hand, if f is continuous in 0, we conclude f as follows. For this, let x1 , x2 , . . . be a sequence in ra, 8q which contains only nitely many members that are m for every m P N. Then for such m, there is N P N such that xn m ` 1 for all n P N satisfying n N . This also implies that 1 1 1 xn xn m`1 for such n. Since this is true for every m P N, we conclude that 1 0 n8 xn lim in 0 that and hence by the continuity of f 1 lim f pxn q . L lim f n8 n8 xn Finally, since this is true for every such sequence x1 , x2 , . . . , (2.3.19) follows. (ii): The proof is analogous to that of (i). If
x8

lim f pxq L ,

(2.3.20)

we conclude as follows. For this, let x1 , x2 , . . . be a sequence in r1{a, 0q that is convergent to 0. As a consequence, for m P N, there is N P N such that 1 xn |xn | m`1 113

for all n P N such that n N . This implies that 1 pm ` 1q m xn for all n P N such that n N . Hence it follows from (2.3.20) that pxn q . L lim f p1{xn q lim f
n8 n8

Obviously, this also implies that


n8

pxn q L lim f

for sequences x1 , x2 , . . . in r1{a, 0q that are convergent to 0 and hence is continuous in 0. On the other hand, if f is continuous in 0, we that f conclude as follows. For this, let x1 , x2 , . . . be a sequence in p8, as which contains only nitely many members that are m for every m P N. Then for such m, there is N P N such that xn pm ` 1q for all n P N satisfying n N . This also implies that 1 1 1 xn xn m`1 for such n. Since this is true for every m P N, we conclude that
n8

lim

1 0 xn

in 0 that and hence by the continuity of f 1 L lim f lim f pxn q . n8 n8 xn Finally, since this is true for every such sequence x1 , x2 , . . . , (2.3.20) follows.

114

0.5 x

10

10

1
Fig. 31: Gpf q and asymptote for Example 2.3.57.

Example 2.3.57. Consider the function f : r1, 8q R dened by f p xq x2 1 x2 ` 1

: r0, 1s for all x P r1, 8q. See Fig. 31. Then the transformed function f R, dened by 2 pxq : 1 x f 1 ` x2 for all x P r0, 1s, is continuous and hence since pxq f p1{xq f for all x P p0, 1s, it follows that
x8

lim f pxq 1 .

Hence y 1 is a horizontal asymptote of Gpf q for large positive x. See Fig. 31. 115

y 2 1 x

2 1 2

Fig. 32: Gpf q and asymptotes for Example 2.3.58.

Example 2.3.58. Find the limits ? ? 2x2 ` 1 2x2 ` 1 lim , lim . x8 3x 5 x8 3x 5 Solution: Dene f : tx P R : x 5{3u R by ? 2x2 ` 1 f pxq : 3x 5 corresponding for all x P R ^ x 5{3. Then the transformed functions f to the restrictions of f to r1, 8q and p8, 1s are given by the continuous functions ? x 2 ` x2 f pxq : |x| 3 5x2 for all x P r0, 1s and ? x 2 ` x2 pxq : f |x| 3 5x2 116

for all x P r1, 0s, respectively, and hence ? ? ? ? 2x2 ` 1 2 2x2 ` 1 2 lim , lim . x8 3x 5 x8 3x 5 3 3 See Fig. 32.

Problems 1) Show the continuity of the function f . For this, use only Theorems 2.3.46, 2.3.48, 2.3.51 on sums, products/quotients, compositions of continuous functions, and the continuity of constant functions/the identity function idR on R. a) b) c) d) e) f pxq : x ` 7 , x P R , f pxq : x2 , x P R , f pxq : 3{x , x P R , f pxq : px ` 3q{px 8q , x P R zt8u , f pxq : px2 ` 3x ` 2q{px2 ` 2x ` 2q , x P R .

2) Assume that f and g are continuous functions in x 0 such that f p0q 2 and lim r2f pxq 3g pxqs 1 .
x 0

Calculate g p1q. In the following, it can be assumed that rational functions, i.e., quotients of polynomial functions, are continuous on their domain of denition. In addition, it can be assumed that the exponential function, the natural logarithm function, the general power function, the sine and cosine function and the tangent function are continuous. 3) For arbitrary c, d P R, dene fc,d : R R by $ 2 &1{px ` 1q if x P p8, 1q fc,d pxq : cx ` d if x P r1, 1s %? 4x ` 5 if x P p1, 8q for all x P R. Determine c, d such that the corresponding fc,d is everywhere continuous. Give reasons.

117

4) For arbitrary c P R, dene fc : r0, 8q R by # x sinp1{xq if x P p0, 8q fc pxq : c if x 0 for all x P r0, 8q. Determine c such that the corresponding fc is everywhere continuous. Explain your answer. 5) For every k P R, dene fk : r1{3, 8q zt1u R by #? ? 3x`1 2x`2 if x P r1{3, 8q zt1u x 1 . fk pxq : k if x 1 For what value of k is fk continuous? Give explanations. 6) Dene the function f : R R by f pxq : x4 ` 10x 15 for all real x. Use your calculator to nd an interval of length 1{100 which contains a zero of f (i.e, some real x such that f pxq 0). Give explanations. 7) Determine in each case whether the given sequence has a limit. If there is one, calculate that limit. Otherwise, give arguments why there is no limit. ? ? ? n a) xn : n ` 1 n , b) xn : ? n`1 for all n P N. 8) Find the limits. a) lim e1{n
n8

b) lim cos
n8

n`1 n

c) d) e) f) g)

cospnq , lim n8 n ? lnpnq lim , Hint: Use that lnpnq 2 n for n 1 . n8 n lim n1{n , Hint: Use d) n8 a lim n2 ` 6n n , n8 lim n1{3 pn ` 1q1{3 ,
n8

Hint: Use that a b

a2

a3 b3 for all a b ` ab ` b2

118

h) lim

p1 ` hq2{3 1 h0 h

Hint: Use the hint in g) .

9) Calculate the limits. 17n ` 4 3x ` 2 a) lim sin , b) lim tan , n8 x2 n`5 5x ` 7 x2 8x ` 15 c) lim . x 5 x5 In each case, give explanations. 10) Find the limits a) b) c) d) e) f) g) h) i) limx8 rx{px ` 1qs , limx8 rx{px ` 1qs , limx8 rpsin xq{xs , limx8 rp3x3 ` 2x2 ` 5x ` 4q { p2x3 ` x2 ` x ` 5qs , ? limx8 p x{ 1 ` x2 q , ? limx8 p x{ 1 ` x2 q , ? ? limx8 p 3x2 ` 2x { 2x2 ` 5 q , ? ? limx8 p x2 ` 3 x2 ` 1 q , ? ? limx8 p x2 ` 4x ` 5 x2 ` 2 q .

11) Dene f : R R by # x f pxq : 0 if x is rational if x is irrational

for every x P R. Find the points of discontinuity of f . 12) Dene f : R R by f pxq : 0 if x 0 or if x is irrational and f pm{nq : 1{n if m P Z and n P N have no common divisor greater than 1. Find the points of discontinuity of f . 13) Let f and g be functions from R to R whose restrictions to Q coincide. Show that f g . 14) Let D R, f : D R be continuous in some x P D and f pxq 0. By an indirect proof, show that there is 0 such that f pxq 0 for all x P D X px , x ` q. 15) Let a, b P R such that a b and f : ra, bs ra, bs. By use of the intermediate value theorem, show that f has a xed point, i.e., that there is x P ra, bs such that f pxq x.

119

16) Use the intermediate value theorem to prove that for every a 0 there is a uniquely determined x 0 such that x2 a. That x is ? denoted by a.

120

y 0.25

0.5

Fig. 33: Graph of A and its point with maximum ordinate.

2.4

Differentiation

Possibly, the rst mathematician to use the derivative concept in some implicit form is Pierre de Fermat in his calculation of maximum / minimum ordinate values of curves in Cartesian coordinate systems and in his way of determination of tangents at the points of curves. The rst may be due to the observation that the ordinate values of a curve near a maximum (or a minimum) change very little near the abscissa of its location, differently to other points of the curve. It is not clear whether this was his real motivation because he never published his method, but only described it in communications to other mathematicians from 1637 onwards. Also in these instances, he did not explain its logical basis so that its general validity was quickly questioned. On the other hand, his procedure suggests that observation as the basis of the method. For display of the method, he considers the problem of nding the maximal area of a rectangle with perimeter 2b where b 0. If x 0 denotes the width of such a rectangle, the corresponding area is given by Apxq : x pb xq ,

121

see Fig 33. If px0 , Apx0 qq is the point of GpAq with maximal ordinate, then Apx0 ` hq px0 ` hq pb x0 hq x0 pb x0 q ` h pb 2x0 hq Apx0 q ` h pb 2x0 hq Apx0 q (2.4.1) for h such that x0 ` h P DpAq r0, bs and of small absolute value where means approximately . Hence if h 0, b 2x0 h 0 . By neglecting the term h on the left hand side of the last relation, he arrives at the equation b 2x0 0 (2.4.2) and hence at x0 b{2 which gives Apx0 q b2 {4. Indeed, the rectangle with perimeter 2b of maximal area is given by a square with sides b{2. We note that from (2.4.1) it follows that Apx0 ` hq Apx0 q b 2x0 h h if h 0. Hence the equation (2.4.2) is equivalent to the demand that Apx0 ` hq Apx0 q 0 h0,h0 h lim where the addition of h 0 in the limit symbol indicates that only sequences with non-vanishing members are admitted . In modern calculus / analysis, the limit on the left of the last equation is called the derivative of f in x0 and is denoted by f 1 px0 q. Hence in modern terms, Fermat demands that f 1 px0 q 0. Indeed, the vanishing of the derivative in a point is necessary, but not sufcient, for a (differentiable) function to assume an extremum, i.e., a minimum or maximum value, in that point, see Theorem 2.5.1. Fermat uses a similar method for the determination of tangent lines to curves. To a greater extent, such were not studied until the middle of 122

fa h fa

a c

a h

a d

Fig. 34: Depiction to Fermats method of determination of tangents.

the 17th century. Apart from Archimedes construction of tangent lines to his spiral, in ancient Greece, tangents were constructed only in few simple cases, namely for ellipses, parabolas and hyperbolas where they were dened as lines that touch the curve in only one point. In general, this definition is too imprecise. In particular, the concept of differentiation also gives a precise meaning to tangent lines to curves. For the description of Fermats method, we consider Fig 34 which displays the graph of a function f together with its tangent at the point pa, f paqq and the normal to the tangent in this point. By denition, the tangent goes through the point pa, f paqq and hence is determined once we know the location of its intersection pa c, 0q with the x-axis where c is the unknown. For the determination of c, Fermat considers the triangles with corners pa c, 0q, pa, 0q, pa, f paq and pa c ` h, 0q, pa ` h, 0q, pa ` h, f pa ` hqq to be approximately similar in the case of a tangent. These triangles are similar only if the point pa ` h, f pa ` hqq would lie on the tangent. In general, the error of the approximation is becoming smaller with smaller h. The approximation gives the relation f pa ` hq f paq c c`h or pc ` hqf paq cf pa ` hq . 123

The last gives c hf paq . f pa ` hq f paq

If f is explicitly given, Fermat proceeds further by performing the division and neglecting h as in his previous method. For instance if f pxq x2 for all x P R, then ha2 a hf paq ha2 a2 2 2 2 f pa ` hq f paq pa ` hq a 2ah ` h 2a ` h 2 which leads to c a{2. Indeed, this is the correct result. Also, using modern notation and assuming that f 1 paq : the following c hf paq f paq 1 h0,h0 f pa ` hq f paq f paq lim f pa ` hq f paq 0, h0,h0 h lim

gives the correct result. As a side remark, in older literature, the directed line segment pa, f paqq, pa c, 0q is called the tangent line in pa, f paqq and its projection onto the x-axis the corresponding subtangent. In addition, the directed line segment pa, f paqq, pa ` d, 0q is called the normal in pa, f paqq and its projection onto the x-axis the corresponding subnormal. When Fermats method was reported to Rene Descartes by Marin Mersenne in 1638, Descartes attacked it as not generally valid. He proposed as a challenge the curve C : tpx, y q P R2 : x3 ` y 3 3axy u , (2.4.3) a P R, which since then is known as Folium of Descartes. Indeed, Fermats method produced the right results, and ultimately Descartes conceded its validity. A further candidate for the rst mathematician to use the derivative concept in some implicit form is Galileo Galilei. In 1589, using inclined planes, 124

y 2

Fig. 35: Folium of Descartes for the case a 1, compare (2.4.3).

Galileo discovered experimentally that in vacuum all bodies, regardless of their weight, shape, or composition, are uniformly accelerated in exactly the same way, and that the fallen distance s is proportional to the square of the elapsed time t: 1 (2.4.4) sptq gt2 2 for all t P R where g 9.8m{sec2 is the gravitational acceleration. This result was in contradiction to the generally accepted traditional theory of Aristotle that assumed that heavier objects fall faster than lighter ones. On the Third Day of his Discorsi from 1638 [42], he discusses uniform and naturally accelerated motion. The idea that the velocity is the same as a derivative can be read between the lines. Even a recognition of the fundamental theorem of calculus, see Theorem 2.6.19, is visible in this special case. A modern way of deduction would proceed, for instance, as follows. For this, we consider the average speed of a falling body described by (2.4.4), i.e., the traveled distance divided by the elapsed time, during the 125

time interval rt, t ` hs, if h 0, and rt ` h, ts, if h 0, respectively, for some t, h P R. Then spt ` hq sptq g g h 2 2 2 rpt ` hq t s p2ht ` h q g t ` . t`ht 2h 2h 2 Hence it follows by Example 2.3.29 that spt ` hq sptq gt , h0,h0 t`ht lim which suggests itself as (and indeed is the) denition of the instantaneous speed v ptq of the body at time t: v ptq : s 1 ptq : spt ` hq sptq gt . h0,h0 t`ht lim

For a geometrical interpretation of the limit spt ` hq sptq , h0,h0 t`ht lim also in more general situations where s is not necessarily given by p2.4.4q, note that the quotient spt ` hq sptq t`ht gives the slope of the line segment (secant) between the points pt, sptqq and pt ` h, spt ` hqq on the graph of s for every h 0. In the limit h 0 that slope approaches the slope of the tangent to Gpsq in the point pt, sptqq. Hence in particular, a geometrical interpretation of s 1 ptq v ptq is the slope of the tangent to Gpsq at the point pt, sptqq, see Fig. 36. As for the denition of the continuity of functions, Cauchy, in his textbook Cours danalyse from 1821 [22] and by using Lagranges notation, terminology and Lagranges characterization of the derivative in terms of inequalities, was the rst to give a denition of the derivative of a function 126

st m 4

s 0.8 s 0.4

1 0.8 0.4 t sec

0.2

0.4

0.6

0.8

1.2

Fig. 36: Gpsq, secant line and tangent at p0.4, sp0.4qq.

based on limits which is very near to the modern denition. Still, his understanding of limits was different from the modern understanding. This was not without consequences. During the early 19th century, it resulted in the general belief that every continuous function is everywhere differentiable, except perhaps at nitely many points. Even several proofs of this fact appeared during that time. Therefore, it came as a shock when in 1872 [99] Weierstrass proved the existence of a continuous function which is nowhere differentiable, see Example 3.4.13. For the rst time, this result signaled the complete mastery of the concepts of derivative and limit which is characteristic for modern calculus / analysis. Denition 2.4.1. Let f : pa, bq R be a function where a, b P R such that a b. Further, let x P pa, bq and c P R. We say f is differentiable in x with derivative c if for all sequences x0 , x1 , . . . in pa, bq ztxu which are

127

convergent to x it follows that


n8

lim

f pxn q f pxq c. xn x f 1 pxq : c .

In this case, we dene the derivative f 1 pxq of f in x by

Further, we say f is differentiable if f is differentiable in all points of its domain pa, bq. In that case, we call the function f 1 : pa, bq R associating to every x P pa, bq the corresponding f 1 pxq the derivative of f . Higher order derivatives of f are dened recursively. If f pkq is differentiable for k P N , we dene the derivative f pk`1q of order k ` 1 of f by f pk`1q : pf pkq q 1 , where we set f p1q : f 1 . In that case, f will be referred to as pk ` 1qtimes differentiable. Frequently, we also use the notation f 2 : f p2q and f 3 : f p3q . The differentiability of a function in a point of its domain implies also its continuity in that point. This is a simple consequence of the denition of differentiability and the limit laws Theorem 2.3.4. That the opposite is not true in general, can be seen from Example 2.4.6 or Example 2.4.7. Moreover in Calculus II, we give an example of a continuous function which is not differentiable in any point of its domain, see Example 3.4.13. Theorem 2.4.2. Let f : pa, bq R be a function where a, b P R such that a b. Further, let f be differentiable in x P pa, bq. Then f is also continuous in x. Proof. Let x0 , x1 , . . . be a sequence in pa, bq which is convergent to x. Obviously, it is sufcient to assume that x0 , x1 , . . . is a sequence in pa, bq ztxu. Then it follows by the limit laws Theorem 2.3.4 that
n8

lim pf pxn q f pxqq lim

f pxn q f pxq lim pxn xq 0 n8 n8 xn x

and hence that


n8

lim f pxn q f pxq .

128

Similar to the case of continuous functions, we shall see later on, see Theorems 2.4.8, 2.4.10, that sums, products, quotients (wherever dened) and compositions of differentiable functions are differentiable. Indeed, this is a another simple consequence of the limit laws, Theorem 2.3.4, and the denition of differentiability. As usual, a typical application of those theorems consists in the decomposition of a given function into sums, products, quotients and compositions of functions whose differentiability is already known. Then the application of those theorems proves the differentiability of that function and allows the calculation of its derivative. To provide a basis for the application of those theorems, in the following, we prove the differentiability of some elementary functions, powers, the exponential function and the sine function, from the denition of differentiability and by use of their special properties. In this process, we also explicitly calculate the derivatives. Example 2.4.3. Let c P R, n P N and f, g : R R be dened by f pxq : c , g pxq : xn for all x P R. Then f, g are differentiable and f 1 pxq 0 , g 1 pxq nxn1 for all x P R. Proof. Let x P R and x0 , x1 , be a sequence of numbers in R ztxu which is convergent to x P R. Then: lim f px q f pxq lim 0 0 . 8 x x

Further, for any P N: g px q g pxq px qn xn x x x x n1 n2 px q ` px q x ` ` x xn2 ` xn1 129

and hence by Example 2.3.49: g px q g pxq xn1 ` xn2 x ` ` xxn2 ` xn1 nxn1 . 8 x x lim

In the next example, we show that the derivative of the exponential function is given by that function itself. As we shall see later, this fact along with the fact that expp0q 1 can be used to characterize the exponential function, see Example 2.5.8. Example 2.4.4. The exponential function is differentiable with exp 1 pxq exppxq for all x P R. Proof. First, we prove that exp is differentiable in 0 with derivative e0 1. For this, let h1 , h2 , . . . be some sequence in R zt0u which is convergent to 0. Moreover, let n0 P N be such that |hn | 1 for n 0. Then for any such n: ehn p1 ` hn q ehn e0 e0 . hn 0 hn We consider the cases hn 0 and hn 0. In the rst case, it follows by (2.3.10) and some calculation that 0 ehn p1 ` hn q hn 3 hn 12 ` hn 3hn . 2 hn 4 4 1 h2n

Analogously, it follows in the second case that hn hn ehn p1 ` hn q hn . 1 hn hn 4

Hence it follows in both cases that hn e p1 ` hn q 3|hn | hn 130

and therefore by Theorem 2.3.10 that ehn p1 ` hn q 0. n8 hn lim Now let x P R and x1 , x2 , . . . be some sequence in R ztxu which is convergent to x. Then exn ex exn x r1 ` pxn xqs ex ex , xn x xn x and hence it follows by Theorem 2.3.4 and the previous result that exn ex lim ex n8 xn x and therefore the statement of this Theorem. Example 2.4.5. The sine function is differentiable with sin 1 pxq cospxq for all x P R. Proof. Let x P R and x1 , x2 , . . . be some sequence in R ztxu, which is convergent to x. Further dene hn : xn x, n P N. Then it follows by the addition theorems for the trigonometric functions sinpx ` hn q sinpxq sinpxn q sinpxq xn x hn cosphn q 1 sinphn q sinpxq ` cospxq hn hn 2 hn sinphn {2q sinphn q sinpxq ` cospxq 2 hn {2 hn and hence by Example 2.3.54 and Theorem 2.3.4 that sinpxn q sinpxq cospxq . n8 xn x lim

131

y 1

0.5

0.5

0.5

Fig. 37: Graph of the modulus function. See Example 2.4.6.

We give two examples of continuous functions that are not differentiable in points of their domains. In the rst case, this is due to the presence of a corner in the graph of the function. In such a point no tangent to the graph exists and hence the function is not differentiable in the corresponding point of its domain. In the second case, the non-differentiability is due to fact that there is a vertical tangent to the graph. Since the derivative of a function f in a point p of its domain gives the slope of the tangent to its graph at the point pp, f ppqq, the derivative in p would would have to be innite in order to account for a vertical tangent, but innity is not a real number. Therefore, a function is not differentiable in such a point p. Example 2.4.6. The function f : R R dened by f pxq : |x| for all x P R, is not differentiable in 0, because 1 1 0 0 n n 1 lim 1. lim n8 1 0 n8 1 0 n n See Fig. 37. Example 2.4.7. The function f : R R dened by f pxq : x1{3 132

y 1 0.5 x

0.5

0.5

1
Fig. 38: Graph of f from Example 2.4.7.

for all x P R, is not differentiable in 0, because the sequence ` 1 1{3


n 1 n

01{3 n2{3 0

has no limit for n 8. See Fig. 38. As mentioned above, similar to the case of continuous functions, sums, products, quotients (wherever dened) and compositions of differentiable functions are differentiable. This is a simple consequence of the limit laws, Theorem 2.3.4, and the denition of differentiability. A typical application of the thus obtained theorems consists in the decomposition of a given function into sums, products, quotients, compositions of functions whose differentiability is already known. Then the application of those theorems proves the differentiability of that function and allows the calculation of its derivative from the derivatives of the constituents of decomposition. In this way, the proof of differentiability of a given function is greatly simplied and, usually, obvious. Also, the calculation of its derivative is reduced 133

to a simple mechanical procedure if the derivatives of the constituents of decomposition are known. Therefore, in such obvious cases in future, the differentiability of the function will be just stated and its derivative will be given without explicit proof. Theorem 2.4.8. (Sum rule, product rules and quotient rule) Let f, g be two differentiable functions from some open interval I into R and a P R. (i) Then f ` g , a f and f g are differentiable with pf ` g q 1 pxq f 1 pxq ` g 1 pxq , pa f q 1 pxq a f 1 pxq pf g q 1 pxq f pxq g 1 pxq ` g pxq f 1 pxq for all x P I . (ii) If f is non-vanishing for all x P I , then 1{f is differentiable and 1 f 1 pxq 1 p xq f rf pxqs2 for all x P I . Proof. For this let x P I and x1 , x2 , . . . be some sequence in I ztxu which is convergent to x. Then: |pf ` g qpx q pf ` g qpxq pf 1 pxq ` g 1 pxqqpx xq| | x x| 1 |f px q f pxq f pxqpx xq| |g px q g pxq g 1 pxqpx xq| ` | x x| | x x| and |pa f qpx q pa f qpxq ra pf 1 qpxqspx xq| | x x| |f px q f pxq f 1 pxqpx xq| |a| | x x| 134

and hence |pf ` g qpx q pf ` g qpxq pf 1 pxq ` g 1 pxqqpx xq| 0 8 | x x| lim and |pa f qpx q pa f qpxq ra pf 1 qpxqspx xq| 0. 8 | x x| lim Further, it follows that |pf g qpx q pf g qpxq pf pxq g 1 pxq ` g pxq f 1 pxqqpx xq| | x x| 1 |f px q f pxq f pxqpx xq| |g pxq| | x x| |g px q g pxq g 1 pxqpx xq| ` |f pxq| | x x| |f px q f pxq| |g px q g pxq| ` | x x| and hence that |pf g qpx q pf g qpxq pf pxq g 1 pxq ` g pxq f 1 pxqqpx xq| 8 | x x| 0. lim If f is does in any point of its domain I , it follows that 1 1 1 1 f px q f pxq ` rf pxqs2 f pxqpx xq

| x x | 1 |f px q f pxq f 1 pxqpx xq| |f pxq|2 | x x| |f px q f pxq|2 ` |f px q| |f pxq|2 |x x| 135

and hence that lim 1 f px q


1 f pxq

1 rf pxqs2

f 1 pxqpx xq

| x x|

0.

Finally, since x1 , x2 , . . . and x P I were otherwise arbitrary, the theorem follows. As a simple application of Theorem 2.4.8, we prove the differentiability of polynomial functions and calculate their derivatives. Example 2.4.9. Let n P N and a0 , a1 , . . . , an be real numbers. Then the corresponding polynomial of n-th order p : R R, dened by p p x q : a0 ` a1 x ` ` an x n for all x P R, is differentiable and p 1 pxq : a1 ` ` nan xpn1q for all x P R. Proof. The proof is a simple consequence of Example 2.4.3 and Theorem 2.4.8. Theorem 2.4.10. (Chain rule) Let f : I R, g : J R be differentiable functions dened on some open intervals I, J of R and such that the domain of the composition g f is not empty. Then g f is differentiable with pg f q 1 g 1 pf pxqq f 1 pxq for all x P Dpg f q. Proof. For this let x P Dpg f q and x1 , x2 , . . . be some sequence in Dpg f q ztxu which is convergent to x. Then: |pg f qpx q pg f qpxq pg 1 pf pxqq f 1 pxqqpx xq| | x x| 136

|g pf px qq g pf pxqq g 1 pf pxqqpf px q f pxqq| ` | x x| |g 1 pf pxqqpf px q f pxq f 1 pxqpx xqq| | x x| and hence, obviously, |pg f qpx q pg f qpxq pg 1 pf pxqq f 1 pxqqpx xq| 8 | x x| 0. lim Finally, since x1 , x2 , . . . and x P Dpg f q were otherwise arbitrary, the theorem follows. A typical application of the chain rule is given in the following example. The cosine function is equal to the composition of the sine function and the translation pR R, x x ` p {2qq. Since both of these functions are differentiable, by Theorem 2.4.10, the same is true for their composition. In addition, by knowledge of the derivatives of these functions, the derivative of their composition, i.e., the cosine function, can be calculated by use of the same theorem. In preparation of the calculation of the derivative of the inverse tangent function function, we also show the differentiability of the tangent function and calculate its derivative from the derivatives of the sine and the cosine with the help of Theorem 2.4.8. Example 2.4.11. The cosine and the tangent function are differentiable with cos 1 pxq sinpxq for all x P R and 1 1 ` tan2 pxq cos2 pxq ( ` k : k P Z . tan 1 pxq

for all x P R z

137

Proof. Since

cospxq sin x ` 2 for all x P R, it follows by Examples 2.4.5, 2.4.3 and Theorem 2.4.8 (i.e., the sum rule) and Theorem 2.4.10 (i.e., the chain rule) that cos is differentiable with derivative 1 cos pxq cos x ` sinpxq 2 for all x P R. Further, because of tanpxq sinpxq cospxq

( for all x P R z ` k : k P Z , it follows by Examples 2.4.5 and Theo2 rems 2.4.8 (i.e., the Quotient Rule) that tan is differentiable with derivative 1 cospxq cospxq sinpxq p sinpxqq 2 cos pxq cos2 pxq 1 ` tan2 pxq ( ` k : k P Z . for all x P R z 2 tan 1 pxq Functions from applications frequently depend on several variables, i.e., are dened on subsets of Rn for some n P N such that n 2. For such functions, the concept of differentiation will be formulated in Calculus III. The calculation of the corresponding derivatives can be reduced to the calculation of derivatives of functions in one variable by help of the concept of partial derivatives. The last was developed soon after that of differentiation because of applications. The historic view of the partial derivative was that of treating all variables of an analytic expression as constant, apart from one. In this way, there is achieved an analytic expression in one variable that can be differentiated in the usual way. The result was called a partial derivative of the original expression. The modern denition of partial derivatives is very similar. To dene the partial derivative of a function f 138

in several variables, we consider an auxiliary partial function which results from f by restricting its domain to those points whose components are all given constants, apart from one of the components. The result is a function dened on a subset of R. In general, this function depends on the above constants. The derivative of the auxiliary function in some point p of its domain, so far existent, is called the partial derivative of f in the point whose components are the given constants apart from the remaining component which is given by p. Denition 2.4.12. Let f : U R be a function of several variables where U is a subset of Rn , n P N zt0, 1u. In particular, let i P t1, . . . , nu, x P U be such that the corresponding function f px1 , . . . , xi1 , , xi`1 , . . . , xn q is differentiable at xi . In this case, we say that f is partially differentiable at x in the i-th coordinate direction, and we dene: Bf pxq : rf px1 , . . . , xi1 , , xi`1 , . . . , xn qs 1 pxi q . B xi If f is partially differentiable at x in the i-th coordinate direction at every point of its domain, we call f partially differentiable in the i-th coordinate direction and denote by B f {B xi the map which associates to every x P U the corresponding pB f {B xi qpxq. Partial derivatives of f of higher order are dened recursively. If B f {B xi is partially differentiable in the j -th coordinate direction, where j P t1, . . . , nu, we denote the partial derivative of B f {B xi in the j -th coordinate direction by B2f . B xj B xj Such is called a partial derivative of f of second order. In the case j i, we set B2f B2f : . B x2 B xi B xi i Partial derivatives of f of higher order than 2 are dened accordingly. 139

Example 2.4.13. Dene f : R2 R by f px, y q : x3 ` x2 y 3 2y 2 for all x, y P R. Find Bf Bf p2, 1q and p2, 1q . Bx By Solution: We have f px, 1q x3 ` x2 2 and f p2, y q 8 ` 4y 3 2y 2 for all x, y P R. Hence it follows that Bf px, 1q 3x2 ` 2x , Bx x P R, Bf p2, y q 12y 2 4y , By Bf Bf p2, 1q 16 and p2, 1q 8 . Bx By Example 2.4.14. Dene f : R3 R by f px, y, z q : x2 y 3 z ` 3x ` 4y ` 6z ` 5 for all x, y, z P R. Find Bf Bf Bf px, y, z q , px, y, z q and px, y, z q Bx By Bz for all x, y, z P R. Solution: Since in partial differentiating with respect to one variable all other variables are held constant, we conclude that Bf Bf px, y, z q 2xy 3 z ` 3 , px, y, z q 3x2 y 2 z ` 4 , Bx By Bf px, y, z q x2 y 3 ` 6 , Bz for all x, y, z P R. 140

y P R, and, nally, that

Problems 1) By the basic denition of derivatives, calculate the derivative of the function f . a) f pxq : 1{x , x P p0, 8q , b) f pxq : px 1q{px ` 1q , x P R zt1u , ? c) f pxq : x , x P p0, 8q . 2) Calculate the slope of the tangent to G(f) at the point p1, f p1qq and its intersection with the x-axis. a) f pxq : x2 3x ` 1 , x P R , b) f pxq : p3x 2q{p4x ` 5q , x P R zt5{4u , c) f pxq : e3x , x P R . 3) Calculate the derivatives of the functions f1 , . . . , f8 with maximal domains in R dened by a) f1 pxq : 5x8 2x5 ` 6 , f2 pq : 3 sinpq ` 4 cospq , b) f3 ptq : p1 ` 3t2 ` 5t4 qpt2 ` 8q , f4 pxq : 3ex rsinpxq ` 6 cospxqs , c) f5 ptq : 5 cospq 3t4 2t ` 5 , f6 pq : , t3 ` 8 tanpq

d) f7 pxq : sinp3{x2 q , f8 ptq : e4 sinp7tq . 4) A differentiable function f satises the given equation for all x from its domain. Calculate the slope of the tangent to Gpf q in the specied point P without solving the equations for f pxq. ? ? a) x2 ` pf pxqq2 1 , P p1{ 2 , 1{ 2 q , ? ? b) px 1q2 r x2 ` pf pxqq2 s 4x2 0 , P p1 ` 2 , 1 ` 2 q , a c) x ` f pxqr2 f pxqs arccosp1 f pxqq , ? ? P pp {4q p1{ 2 q, 1 p1{ 2 qq . Remark: The curve in b) is a cycloid which is the trajectory of a point of a circle rolling along a straight line. The curve in c) is named after Nicomedes (3rd century B.C.), who used it to solve the problem of trisecting an angle. 5) Give a function f : R R such that

141

a) f 1 ptq 1 for all t P R and such that f p0q 2 , b) f 1 ptq 2f ptq for all t P R and such that f p0q 1 , c) f 1 ptq 2f ptq ` 3 for all t P R and such that f p0q 1 . 6) Let I be a non-empty open interval in R and p, q P R. Further, let f : I R. Show that f 2 pxq ` pf 1 pxq ` qf pxq 0 for all x P I if and only if 2 pxq f p2 pxq q f 4

: I R is dened by for all x P I where f pxq : epx{2 f pxq f for all x P I . 7) Newtons equation of motion for a point particle of mass m 0 moving on a straight line is given by mf 2 ptq F pf ptqq (2.4.5)

for all t from some time interval I R, where f ptq is the position of the particle at time t, and F pxq is the external force at the point x. For the specied force, give a solution function f : R R of (2.4.5) that contains 2 free real parameters. a) F pxq F0 , x P R where F0 is some real parameter , b) F pxq kx , x P R where k is some real parameter . 8) Newtons equation of motion for a point particle of mass m 0 moving on a straight line under the inuence of a viscous friction is given by mf 2 ptq f 1 ptq (2.4.6) for all t P R where f ptq is the position of the particle at time t, and P r0, 8q is a parameter describing the strength of the friction. Give a solution function f of (2.4.6) that contains 2 free real parameters. 9) For all px, y q from the domain, calculate the partial derivatives pB f {B xqpx, y q, pB f {B y qpx, y q of the given function f . a) f px, y q : x4 2x2 y 2 ` 3x 4y ` 1 , px, y q P R2 ,

142

b) f px, y q : 3x2 2x ` 1 , px, y q P R2 , c) f px, y q : sinpxy q , px, y q P R2 . 10) Let f : R R and g : R R be twice differentiable functions. Dene upt, xq : f px tq ` g px ` tq for all pt, xq P R2 . Calculate B2 u Bu Bu B2 u pt, xq , pt, xq pt, xq , pt, xq , 2 Bt Bx Bt B x2 for all pt, xq P R2 . Conclude that u satises B2 u B2 u 2 0 B t2 Bx which is called the wave equation in one space dimension (for a function u which is to be determined).

143

2.5

Applications of Differentiation

The applications of differentiation are manifold. We start with the application to the nding of maxima and minima of functions. For motivation, we consider a continuous function f dened on a closed interval ra, bs where a, b P R are such that a b. According to Theorem 2.3.33, f assumes a maximum and minimum value, i.e., there are xM , xm P ra, bs such that f pxM q f pxq , f pxm q f pxq for all x P ra, bs. The values f pxM q, f pxm q are called the maximum and minimum value of f , respectively. These values are uniquely determined because if x M , x m P ra, bs are such that f px M q f pxq , f px m q f pxq for all x P ra, bs, it follows by denition of xM , x M , xm , x m that f p xM q f p x M q , f p xm q f p x m q as well as that f px M q f p xM q , f p x m q f p xm q and hence that f pxM q f px M q , f pxm q f px m q . On the other hand, a function can assume its maximum value and/or its minimum value in more than one point. For instance, the function p r0, 4 s R, x 1 ` sin x q assumes its maximum value 3 and its minimum value 1 in the points {2, 5 {2 and 3 {2, 7 {2, respectively, see Fig. 39. After this interrupt, we continue with the discussion of the maximum and minimum values of f . Each of them can be assumed either at a boundary point a or b of the interval or in a point of the open interval pa, bq. In the last cases, if the function is differentiable on pa, bq, differentiation can be used to determine the position(s) where they are assumed. We remember that the 144

y 4 3 2 1 2 3 2 5 2 7 2 x

Fig. 39: Graph and segments of tangents of a function, p r0, 4 s R, x 2 ` sin x q, that assumes both its maximum and its minimum value in several points of its domain. Note that the tangents in those points are horizontal corresponding to a vanishing derivative in those points.

function A from Fermats example at the beginning of Section 2.4 assumed its maximum value in the midpoint of its domain and that his way of nding its position was equivalent to the demand of a vanishing derivative at the position of a maximum value. Indeed, this also true for a minimum value. With precise denitions of limits and derivatives at hand, both follow from very simple observations. By denition of xM , it follows that f pxq f pxM q 0 for all x P Dpf q. As a consequence, we conclude that f pxq f pxM q 0 x xM if b x xM and f pxq f pxM q 0 x xM 145

if a x xM . By choosing a sequence x1 , x2 , . . . of elements of pxM , bq, pa, xM q that converges to xM in Denition 2.4.1, it follows from this and Theorem 2.3.12 that f 1 pxM q 0 and f 1 pxM q 0, respectively, and hence that f 1 pxM q 0. Also, by denition of xm , it follows that f pxq f pxm q 0 for all x P Dpf q. As a consequence, we conclude that f p xq f p xm q 0 x xm if b x xm and f p xq f p xm q 0 x xm if a x xm . By choosing a sequence x1 , x2 , . . . of elements of pxm , bq, pa, xm q that converges to xm in Denition 2.4.1, it follows from this and Theorem 2.3.12 that f 1 pxm q 0 and f 1 pxm q 0, respectively, and hence that f 1 pxm q 0. Hence in case that the restriction of f to pa, bq is differentiable, the standard procedure of nding the maximum and minimum values of f proceeds by nding the zeros of the derivative of the restriction, subsequent calculation of the corresponding function values of f in those zeros and comparison of the obtained values with the function values of f at a and b. The maximum, minimum value of these function values is the maximum and minimum value of f , respectively. Theorem 2.5.1. (Necessary condition for the existence of a local minimum/maximum) Let f be a differentiable real-valued function on some open interval I of R. Further, let f have a local minimum / maximum at some x0 P I , i.e, let f px0 q f pxq { f px0 q f pxq for all x such that x0 x x0 ` , for some 0. Then f 1 p x0 q 0 , i.e, x0 is a so called critical point for f . 146

y 1.15 1.1 1.05

0.95 1 0.6 0.4 0.2 0.2 0.4 x

Fig. 40: Gpf q from Example 2.5.2.

Proof. If f has a local minimum/maximum at x0 P I , then it follows for sufciently small h P R that 1 rf px0 ` hq f px0 qs h is pq 0 and pq 0, for h 0 and h 0, respectively. Therefore, it follows by Theorem 2.3.12 that f 1 px0 q is at the same time 0 and 0 and hence, nally, equal to 0. Example 2.5.2. Find the critical points of f : R R dened by f pxq : x4 ` x3 ` 1 for all x P R. Solution: The critical points of f are the solutions of the equation 0 f 1 pxq 4x3 ` 3x2 x2 p4x ` 3q and hence given by x 0 and x 3{4. See Fig. 40. Note that f has a local extremum at x 3{4, but not at x 0. Hence the condition in Theorem 2.5.1 is necessary, but not sufcient for the existence of a local extremum.

147

y 5 4 3 2 1 x

1 1 2

Fig. 41: Gpf q from Example 2.5.3.

Example 2.5.3. Find the maximum and minimum values of f : r, s R dened by f pxq : x 2 cospxq for all x P r, s. Solution: Since f is continuous, such values exist according to Theorem 2.3.33. Those points, where these values are assumed, can be either on the boundary of the domain, i.e., in the points or , there f assumes the values 2 and 2 ` , respectively, or inside the interval, i.e., in the open interval p, q. In the last case, according to Theorem 2.5.1 those are critical points of the restriction of f to this interval. The last are given by 5 x , 6 6 since f 1 pxq 1 ` 2 sinpxq for all x P p, q. Now ? ? 5 5 f ` 3 , f 3 6 6 6 6 148

? and hence the minimum value of f is p {6q 3 (assumed inside the interval) and its maximum value is ` 2 (assumed at the right boundary of the interval). See Fig. 41. The following is a theorem of Michel Rolle, published in 1691, which he used in his method of cascades devised to nd intervals around zeros of polynomial functions that contain no other roots. In this connection, the subsequent theorem gives that the open interval I that is contained in the domain of a continuous function and that has two subsequent roots of that function as end points, contains precisely one zero of the derivative of the restriction of that function to I if that restriction is differentiable. Theorem 2.5.4. (Rolles theorem) Let f : ra, bs R be continuous where a, b P R are such that a b. Further, let f be differentiable on pa, bq and f paq f pbq. Then there is c P pa, bq such that f 1 pcq 0. Proof. Since f is continuous, according to Theorem 2.3.33 f assumes its minimum and maximum value in some points x0 P ra, bs and x1 P ra, bs, respectively. Now if one of these points is contained in the open interval pa, bq, the derivative of f in that point vanishes by Theorem 2.5.1. Otherwise, if both of those points are at the interval ends a, b it follows that f paq f pxq f pbq f paq for all x P ra, bs. Hence in this case, f is a constant function, and it follows by Example 2.4.3 that f 1 pcq 0 for every c P pa, bq. Hence in both cases the statement of the theorem follows. The following example provides a typical application of Rolles theorem. Example 2.5.5. Show that f : R R dened by f pxq : x3 ` x ` 1 for all x P R, has exactly one zero. (Compare Example 2.3.39.)

149

fb

fa x

Fig. 42: Illustration of the statement of the mean value theorem 2.5.6.

Proof. f is continuous and because of f p1q 1 0 and f p0q 1 0 and Corollary 2.3.38 has a zero x0 in p1, 0q. See Fig. 23. Further, f is differentiable with f 1 pxq 3x2 ` 1 0 for all x P R. Now assume that there is a another zero x1 . Then it follows by Theorem 2.5.4 the existence of a zero of f 1 in the interval with endpoints x0 and x1 . Hence f has exactly one zero. The mean value theorem is a simple generalization of Rolles theorem which will be frequently used in the following. Its use as a central theoretical tool in calculus / analysis was initiated by Cauchy. Its proof proceeds by construction of an appropriate auxiliary function which allows the application of Rolles theorem. For a simple geometrical interpretation of the statement of the mean value theorem, we consider a continuous function f dened on a closed interval of R with left end point a and right end point b, where a b, which is differentiable on pa, bq. Then according to the theorem, there is a tangent to graph of the restriction of f to pa, bq with slope identical to slope of the line segment (secant) from pa, f paqq and pb, f pbqq, see Fig. 42. 150

Theorem 2.5.6. (Mean value theorem) Let f : ra, bs R be a continuous function where a, b P R are such that a b. Further, let f be differentiable on pa, bq. Then there is c P pa, bq such that f pbq f paq f 1 pcq . ba Proof. Dene the auxiliary function h : ra, bs R by hpxq : f pxq f pbq f paq p x aq f p aq ba

for all x P ra, bs. Then h is continuous as well as differentiable on pa, bq with f pbq f paq h 1 pxq f 1 pxq ba for all x P pa, bq and hpaq hpbq 0. Hence by Theorem 2.5.4 there is c P pa, bq such that h 1 pcq f 1 pcq f pbq f paq 0. ba

Intuitively, it should be expected that every function which is dened on an open interval of R and has a vanishing derivative is a constant function. Indeed, this can be seen as a rst important consequence of the mean value theorem. Theorem 2.5.7. Let f : pa, bq R be differentiable, where a, b P R are such that a b. Further, let f 1 pxq 0 for all x P pa, bq. Then f is a constant function. Proof. The proof is indirect. Assume that f is not a constant function. Then there are x1 , x2 P pa, bq satisfying x1 x2 and f px1 q f px2 q. Hence it follows by Theorem 2.5.6 the existence of c P px1 , x2 q such that f px2 q f px1 q f 1 pcq 0 x2 x1 and hence that f px1 q f px2 q. Hence f is a constant function. 151

Typically, the previous theorem is applied in proofs of uniqueness of solutions of differential equations and in the derivation of so called conserved quantities of physical systems as in the subsequent examples. Example 2.5.8. (A characterization of the exponential function) Let a, b P R be such that a 0 and b 0. Find all solutions f : pa, bq R of the differential equation f 1 pxq f pxq for all x P pa, bq that satisfy f p0q 1. Solution: We know that f pxq : exppxq for every x P pa, bq satises all these demands. Indeed, it follows by help of the previous theorem, Theorem 2.5.7, that there is no other solution. This can be seen as follows. For this, let f be some function that satises these requirements. Then we dene the auxiliary function h : pa, bq R by hpxq : exppxq f pxq for all x P pa, bq. As a consequence, h is differentiable with a derivative h 1 satisfying h 1 pxq exppxq f pxq ` exppxq f 1 pxq exppxq f pxq ` exppxq f pxq 0 for all x P pa, bq. Hence it follows by Theorem 2.5.7 that h is a constant function of value hp0q f p0q 1 which has the consequence that f pxq exppxq for all x P pa, bq. Example 2.5.9. (Energy conservation) Newtons equation of motion for a point particle of mass m 0 moving on a straight line is given by mf 2 ptq F pf ptqq (2.5.1)

for all t from some non-empty open time interval I R where f ptq is the position of the particle at time t and F pxq is the external force at the point 152

x. Assume that F V 1 where V is a differentiable function from an open interval J RanpI q. Show that E : I R dened by m 1 E ptq : pf ptqq2 ` V pf ptqq (2.5.2) 2 for all t P I is a constant function. Solution: It follows by Theorem 2.4.8, Theorem 2.4.10 and (2.5.1) that E is differentiable with derivative E 1 ptq mf 1 ptqf 2 ptq ` V 1 pf ptqq f 1 ptq f 1 ptq rmf 2 ptq F pf ptqqs 0 for all t P I . Hence according to Theorem 2.5.7, E is a constant function. In physics, its value is called the total energy of the particle. As a consequence, the nding of the solutions of the solution of (2.5.1), which is second order in the derivatives, is reduced to the solution of (2.5.2), which is only rst order in the derivatives, for an assumed value of the total energy. Utilizing the interpretation of the values of the derivative of a function as providing the slopes of tangents at its graph, it is to be expected that a differentiable function is increasing (decreasing) on intervals where its derivative assumes positive values (negative values), i.e., values that are 0 ( 0). That this is intuition is correct is displayed by the following theorem. Its statement can be regarded as a another important consequence of the mean value theorem. Theorem 2.5.10. Let f : ra, bs R be continuous where a, b P R are such that a b. Further, let f be differentiable on pa, bq and such that f 1 pxq 0 ( f 1 pxq 0 ) for every x P pa, bq. Then f is strictly increasing ( increasing ) on ra, bs, i.e., f pxq f py q p f pxq f py q q for all x, y P ra, bs that satisfy x y . Proof. Let x and y be some elements of ra, bs such that x y . Then the restriction of f to the interval rx, y s satises the assumptions of Theorem 2.5.6, and hence there is c P px, y q such that f py q f pxq ` f 1 pcqpy xq f pxq p f pxq q .

153

y 3

0.5

Fig. 43: Graphs of exp and approximations. See Example 2.5.12.

Typically, the previous theorem is used in the derivation of lower and upper bounds for the values of functions or more generally in the comparison of functions and, in particular, in the proof of injectivity of functions. The subsequent examples provide such applications. Example 2.5.11. Show that the exponential function exp : R R is strictly increasing. Solution: By Example 2.4.4 and Theorem 2.3.27 it follows that exp 1 pxq exppxq 0 for all x P R. Hence it follows by Theorem 2.5.10 that exp is strictly increasing. Hence there is an inverse function to exp which is called the natural logarithm and is denoted by ln. See Fig. 28. Example 2.5.12. Show that (i) ex 1 for all x P p0, 8q. (ii) ex x ` 1 for all x P p0, 8q. 154 (2.5.4) (2.5.3)

(Compare Theorem 2.3.27.) Proof. Dene the continuous function f : r0, 8q R by f pxq : ex 1 for all x P r0, 8q. Then f is differentiable on p0, 8q with f 1 pxq ex 0 for all x P p0, 8q. Hence f is strictly increasing according to Theorem 2.5.10, and (2.5.3) follows since f p0q e0 1 0. Further, dene the continuous function g pxq : ex 1 x for all x P r0, 8q. Then g is differentiable on p0, 8q with g 1 pxq ex 1 0 for all x P p0, 8q where (2.5.3) has been applied. Hence (2.5.4) follows by Theorem 2.5.10 since g p0q e0 0 1 0. From Example 2.5.11 and (2.5.4), it follows by the intermediate value theorem, Theorem 2.3.37, that expp r0, 8q q r1, 8q and hence by part (iii) of Theorem 2.3.27 that the range of exp is given by p0, 8q which therefore is also the domain of its inverse function ln. As a consequence, exp is a strictly increasing bijective map from R onto p0, 8q. See Fig. 28. Example 2.5.13. Show that lnpa bq lnpaq ` lnpbq for all a, b 0. Solution: For a, b 0, it follows by Theorem 2.3.27 that ` ` lnpa bq ln elnpaq elnpbq ln elnpaq`lnpbq lnpaq ` lnpbq . In Example 2.5.9, we derived a conserved quantity for the solutions of a differential equation, a special case of Newtons equation of motion. Ignoring the physical dimensions of the involved quantities in that example, in the special case that m 2, F pxq 2x for all x P R, the function E : I R, dened by E ptq pf ptqq2 ` pf 1 ptqq2 155

for all t P I and a solution f of the differential equation f 2 ptq ` f ptq 0 for all t P I , was found to be a constant function. The value of the corresponding constant is called the total energy that is associated to f . An important feature of that quantity is its positivity. In the subsequent theorem, we show that estimates on the growth of the same function E dened for solutions of the related differential equation (2.5.5) can be used to show the uniqueness of the solutions of that differential equation. The key for this is the following lemma whose proof provides a further application of Theorem 2.5.10. Differential equations of the form (2.5.5) appear frequently in applications, for instance, in the description of the amplitudes of oscillations of damped harmonic oscillators in mechanics and in the description of the current as a function of time in simple electric circuits in electrodynamics. Lemma 2.5.14. (An energy inequality for solutions of a differential equation) Let p, q P R. Further, let I be some open interval of R, x0 P I and f : I R satisfy the differential equation f 2 pxq ` p f 1 pxq ` q f pxq 0 for all x P I . Finally, dene E pxq : pf pxqq2 ` pf 1 pxqq2 for all x P I . Then for all x P I 0 E pxq E px0 q ek|xx0 | where k : 1 ` 2|p| ` |q | . Proof. Since f is twice differentiable, E is differentiable such that E 1 pxq 2f pxqf 1 pxq ` 2f 1 pxqf 2 pxq 156 (2.5.5)

2f pxqf 1 pxq 2 r p f 1 pxq ` q f pxq s f 1 pxq 2 p1 q qf pxqf 1 pxq 2 p pf 1 pxqq2 for all x P I . Hence E 1 is continuous and satises |E 1 pxq| 2 p1 ` |q |q |f 1 pxq| |f pxq| ` 2 |p| pf 1 pxqq2 p1 ` |q |q pf pxqq2 ` pf 1 pxqq2 ` 2 |p| pf 1 pxqq2 kE pxq for all x P I where it has been used that 2 |f 1 pxq| |f pxq| pf pxqq2 ` pf 1 pxqq2 . As a consequence, kE pxq E 1 pxq kE pxq for all x P I . We continue analyzing the consequences of these inequalities. For this, we dene auxiliary functions Er , El by Er pxq : ekx E pxq , El pxq : ekx E pxq for all x P I . Then Er1 pxq ekx pE 1 pxq kE pxqq 0 , El1 pxq ekx pE 1 pxq ` kE pxqq 0 for all x P I . Hence Er is decreasing, which is equivalent to the increasing of Er , and Er is increasing. Hence it follows by Theorem 2.5.10 that E pxq E px0 q ekpxx0 q E px0 q ek|xx0 | for x x0 and that E pxq E px0 q ekpx0 xq E px0 q ek|xx0 | . for x x0 . The unique dependence of the solutions of (2.5.6) on initial data, f px0 q and f 1 px0 q given at some x0 P R is a simple consequence of the preceding lemma. 157

Theorem 2.5.15. Let p, q P R. Further, let I be some open interval of R, 1 P R. Then there is at most one function f : I R such x0 P I and y0 , y0 that f 2 pxq ` p f 1 pxq ` q f pxq 0 (2.5.6) for all x P I and at the same time such that
1 f px0 q y0 , f 1 px0 q y0 .

: I R be such that Proof. For this, let f, f 2 pxq ` p f 1 pxq ` q f pxq 0 f 2 pxq ` p f 1 pxq ` q f pxq f for all x P I and px0 q y0 , f 1 px0 q f 1 px0 q y 1 . f px0 q f 0 satises Then u : f f u 2 pxq ` p u 1 pxq ` q upxq 0 for all x P I and upx0 q u 1 px0 q 0 . Hence it follows by Lemma 2.5.14 that upxq 0 for all x P I and hence . that f f Of course, of main interest for applications are the solutions of (2.5.6). These are obtained by reducing the solution of this equation to the solution of the special cases corresponding to p 0. The solutions of the last are obvious. Their representation is simplied by use of hyperbolic functions which are introduced next. Denition 2.5.16. We dene the hyperbolic sine function sinh, the hyperbolic cosine function cosh and the hyperbolic tangent function tanh by 1` x 1` x e ex , coshpxq : e ` ex , 2 2 158

sinhpxq :

3 2

1 1 2 3

Fig. 44: Graphs of the hyperbolic sine and cosine function.


y

0.5

0.5

Fig. 45: Graphs of the hyperbolic tangent function and asymptotes given by the graphs of the constant functions on R of values 1 and 1.

159

tanhpxq :

sinhpxq , coshpxq

for all x P R. Obviously, sinh, tanh are antisymmetric and cosh is symmetric, i.e., sinhpxq sinhpxq , cospxq coshpxq , tanhpxq tanhpxq for all x P R. Also these functions are differentiable and, in particular, sinh 1 cosh , cosh 1 sinh similarly to the sine and cosine functions. Another resemblance to these functions is the relation 2 2 ` 1 ` x cosh2 pxq sinh2 pxq e ` ex ex ex 4 ` 1 1 ` x e ` ex ex ` ex ex ` ex ` ex ex 2 ex 2 ex 1 4 4 for all x P R. In particular, this implies that cosh2 pxq sinh2 pxq 1 tanh pxq : 1 tanh2 pxq 2 cosh pxq cosh2 pxq
1

for all x P R. The solution of (2.5.6) corresponding to initial data, f px0 q and f 1 px0 q given at some x0 P R are obtained in the proof of the following theorem by considering a function that is related to f . As a consequence of (2.5.6), that function is a solution of the differential equation of the form (2.5.6) with p 0. The solutions of these special equations are obvious.
1 Theorem 2.5.17. Let p, q P R, D : pp2 {4q q and x0 , y0 , y0 P R. Then the unique solution to

f 2 pxq ` pf 1 pxq ` qf pxq 0

160

1 is given by satisfying f px0 q y0 and f 1 px0 q y0 f pxq y0 eppxx0 q{2 coshpD1{2 px x0 qq 1{2 py0 1{2 1 `D ` y0 sinhpD px x0 qq 2

for x P R if D 0, f pxq e
ppxx0 q{2

py 0 1 y0 ` ` y0 px x0 q 2

for x P R if D 0 and f pxq y0 eppxx0 q{2 cosp|D|1{2 px x0 qq 1 1{2 1{2 py0 ` y0 sinp|D| px x0 qq ` |D | 2 for x P R if D 0. Proof. For this, we rst notice that a function h : R R satises h 2 pxq ` ph 1 pxq ` qhpxq 0 for all x P R if and only if p2 h pxq ` q 4 2 pxq 0 h (2.5.8) (2.5.7)

: R R is dened by for all x P R where h pxq : epx{2 hpxq h (2.5.9)

is twice differenfor all x P R. Indeed, it follows by Theorem 2.4.8 that h tiable if and only if h is twice differentiable and in this case that 1 pxq epx{2 h 1 pxq ` p hpxq , h 2 p2 2 px{2 2 1 h pxq e h pxq ` p h pxq ` hpxq 4 161

for all x P R. The last implies that p2 p2 2 px{2 2 1 h pxq ` q hpxq e h pxq ` p h pxq ` hpxq 4 4 2 p ` epx{2 q hpxq epx{2 ph 2 pxq ` ph 1 pxq ` qhpxqq 0 4 for all x P R if and only if (2.5.7) is satised for all x P R. In addition, 1 hpx0 q y0 and h 1 px0 q y0 if and only if px0 q y0 epx0 {2 , h 1 px0 q py0 ` y 1 epx0 {2 . h (2.5.10) 0 2 For the solution of (2.5.8) and (2.5.10), we consider three cases. If D : pp2 {4q q 0, then a solution to (2.5.8) and (2.5.10) is given by pxq y0 epx0 {2 coshpD1{2 px x0 qq h py 0 1 ` D1{2 ` y0 epx0 {2 sinhpD1{2 px x0 qq 2 for x P R. If D 0, then a solution to (2.5.8) and (2.5.10) is given by pxq y0 epx0 {2 ` py0 ` y 1 epx0 {2 px x0 q h 0 2 for x P R. If D 0, then a solution to (2.5.8) and (2.5.10) is given by pxq y0 epx0 {2 cosp|D|1{2 px x0 qq h 1{2 py0 1 ` |D | ` y0 epx0 {2 sinp|D|1{2 px x0 qq 2 for x P R. Hence, nally, it follows by (2.5.9) and by Theorem 2.5.15 the statement of this theorem. According to Theorem 2.3.44, the inverse of a strictly increasing continuous function dened on a closed interval ra, bs of R where a, b P R are such that a b, is continuous, too. If the restriction of f to pa, bq is in addition differentiable, then the restriction of f 1 to pf paq, f pbqq is also differentiable. Moreover, the following theorem gives an often used representation of the derivative of the last in terms of the derivative of f . 162

Theorem 2.5.18. (Derivatives of inverse functions) Let f : ra, bs R be continuous where a, b P R are such that a b. Further, let f be differentiable on pa, bq and such that f 1 pxq 0 for every x P pa, bq. Then the inverse function f 1 is dened on rf paq, f pbqs as well as differentiable on pf paq, f pbqq with ` 1 1 1 (2.5.11) f p y q 1 1 f pf py qq for all y P pf paq, f pbqq. Proof. By Theorem 2.5.10, it follows that f is strictly increasing and hence that there is an inverse function f 1 for f . Further, by Theorem 2.3.44 f 1 is continuous, and by Theorem 2.3.43 it follows that f pra, bsq rf paq, f pbqs and hence that f 1 is dened on rf paq, f pbqs. Now let y P pf paq, f pbqq and y1 , y2 , . . . be a sequence in pf paq, f pbqq zty u which is convergent to y . Then f 1 py1 q, f 1 py2 q, . . . is a sequence in pa, bq ztf 1 py qu which, by the continuity of f 1 , converges to f 1 py q. Hence it follows for n P N that 1 f pf 1 pyn qq f pf 1 py qq f 1 pyn q f 1 py q yn y f 1 pyn q f 1 py q and hence by the differentiability of f in f 1 py q, that f 1 pf 1 py qq 0 and by Theorem 2.3.4 the statement (2.5.11). The following examples, give two applications of the previous theorem. The second example is from the eld of General Relativity. Example 2.5.19. Calculate the derivative of ln, arcsin, arccos and arctan. Solution: By Theorem 2.5.18, it follows that ln 1 pxq for every x P p0, 8q, arcsin 1 pxq 1 1 sin parcsinpxqq cosparcsinpxqq
1

1 exp 1 plnpxqq

1 1 expplnpxqq x

163

y 2

1 1

Fig. 46: Graph of the auxiliary function h from Example 2.5.20.

1 1 a ? , 2 1 x2 1 sin parcsinpxqq 1 1 arccos 1 pxq 1 cos parccospxqq sinparccospxqq 1 1 a ? 2 1 x2 1 cos parccospxqq for all x P p1, 1q and arctan 1 pxq for every x P R. Example 2.5.20. In terms of Kruskal coordinates, the radial coordinate projection r : p0, 8q of the Schwarzschild solution of Einsteins eld equation is given by rpu, v q h1 pu2 v 2 q 164 1 1 1 2 tan parctanpxqq p1 ` tan qparctanpxqq 1 ` x2
1

for all pv, uq P where h : p0, 8q p1, 8q is dened by x hpxq : 1 ex{p2M q 2M for all x P p0, 8q. Here : tpv, uq P R2 : u2 v 2 1u , and M 0 is the mass of the black hole. In addition, geometrical units are used where the speed of light and the gravitational constant have the value 1. Finally, h is bijective and h1 is differentiable. Calculate Br Br , . Bv Bu for all pv, uq P . Solution: For this, let pv, uq P . In a rst step, we conclude by Theorem 2.5.18 that Br pu, v q 2v ph1 q 1 pu2 v 2 q 2v r h 1 ph1 pu2 v 2 qq s1 Bv 2v r h 1 prpu, v qq s1 , Br pu, v q 2u ph1 q 1 pu2 v 2 q 2u r h 1 ph1 pu2 v 2 qq s1 Bu 2u r h 1 prpu, v qq s1 . Since h 1 pxq 1 x{p2M q 1 x x e ` 1 ex{p2M q ex{p2M q 2M 2M 2M 4M 2

for every x 0, this implies that r{p2M q Br e 2 pu, v q 8M v pu, v q , Bv r r{p2M q Br e 2 pu, v q 8M u pu, v q . Bu r 165

y 2 2

Fig. 47: Graphs of power functions corresponding to positive ( 0) and negative ( 0) a, respectively. See Denition 2.5.21.

The following denes general powers of strictly positive ( 0) real numbers in terms of the exponential function and its inverse, the natural logarithm function. Denition 2.5.21. (General powers) For every a P R, we dene the corresponding power function by xa : ealn x for all x 0. By Theorem 2.4.10, the power function pp0, 8q R, x xa q is differentiable with derivative a aln x a ln x`pa1qln x a ln x pa1qln x e e e e a xpa1q x x x in x 0. Also the following calculational rules are simple consequences of the denition of general powers and basic properties of the exponential function and its inverse. Example 2.5.22. Show that x0 1 , xa y a pxy qa , xa xb xa`b , pxa qb xab 166

y 1 x

1 1 2

Fig. 48: Graphs of ln and polynomial approximations corresponding to a 1{2, 1 and 2. See Example 2.5.23.

for all x, y 0 and a, b P R. Solution: By Denition 2.5.21, it follows for such x, y, a and b that x0 e0ln x e0 1 , xa y a ealn x ealn y ealn x`aln y eapln x`ln yq ea lnpxyq pxy qa , xa xb ealn x ebln x ealn x`bln x epa`bqln x xa`b , pxa qb ebln x ebln e
a aln x

eb a ln x ea b ln x xab .

The following derives frequently used polynomial approximations of the natural logarithm function as a further example for the application of Theorem 2.5.10. A verbalization of the estimate (2.5.12) is that the natural logarithm lnpxq is growing more slowly than any positive power of x for large x . Example 2.5.23. Show that for every a 0 lnpxq 1 a px 1q a (2.5.12)

167

for all x 1. (See Exercise 2.3.2 for an application of the case a 1{2.) Solution: Dene the continuous function f : r1, 8q R by f pxq : 1 a px 1q lnpxq a

for all x 1. Then f is differentiable on p1, 8q with f 1 pxq 1 ` aln x 1 a aln x 1 e e 1 0 a x x x

for x 1 and f p1q 0. Hence (2.5.12) follows by Theorem 2.5.10. Another important consequence of Theorem 2.5.6 is given by Taylors theorem which is frequently employed in applications. For its formulation, we need to introduce some additional terminology. Denition 2.5.24. If m, n P N such that m n and and am , . . . , an P R, we dene n ak : am ` am`1 ` ` an .
k m

Note that, as a consequence of the associative law for addition, it is not necessary to indicate the order in which the summation is to be performed. Further, obviously, n n n bk p ak ` b k q ak `
k m k m n k m n km km

and

ak

ak

for every P R and bm , . . . , bn P R. In addition, we dene for every n P N the corresponding factorial n! recursively by 0! : 1 , pk ` 1q! : pk ` 1qk ! for every k P N . Hence in particular, 1! 1, 2! 2, 3! 6, 4! 24, 5! 120 and so forth. 168

For the motivation of Taylors theorem, we consider a twice continuously differentiable function f dened on an open subinterval pa, bq of R where a, b P R are such that a b. Further, let x0 , x P pa, bq. According to the mean value theorem, there is in the open interval between x0 and x such that f pxq f px0 q f 1 p q . x x0 This implies that f pxq f px0 q ` px x0 qf 1 p q . Further, by the same reasoning, it follows the existence of in the open interval between x0 and such that f 1 p q f 1 px0 q ` p x0 qf 2 p q . Hence we conclude that f pxq f px0 q ` px x0 qf 1 p q f px0 q ` px x0 q r f 1 px0 q ` p x0 qf 2 p qs f px0 q ` px x0 qf 1 px0 q ` px x0 qp x0 qf 2 p q and |f pxq f px0 q px x0 qf 1 px0 q| |x x0 |2 |f 2 p q| . (2.5.13)

Since f 2 is continuous, we conclude that for every arbitrary preassigned error bound 0 there is an interval I around x0 such that |f pxq f px0 q px x0 qf 1 px0 q| for every x P I . Hence the restriction of f to I can be approximated within an error by the restriction of the linear polynomial function p1 pxq : f px0 q ` px x0 qf 1 px0 q

169

for all x P R to I . This polynomial is called the linearization of f around the point x0 . Note that
1 px0 q f 1 px0 q . p1 px0 q f px0 q , p1

Therefore, p1 is the uniquely determined linear, i.e. of order 1, polynomial that assumes the value f px0 q in x0 and whose derivative assumes the value f 1 px0 q in x0 . In particular, its graph coincides with the tangent to the graph of f in x0 . In applications, functions are frequently replaced by their linearizations around appropriate points to simplify subsequent reasoning. Often, this is done without performing an error estimate like (2.5.13) in the hope the error introduced by the replacement is in some sense small. If f is sufciently often differentiable, it is to be expected that f can be described with higher precision near x0 by polynomials of higher order than 1. Indeed, this is true and Taylors theorem provides such so called Taylor polynomials pn for n P N with n 1. It is tempting to speculate that pn is the uniquely determined polynomial of order n such that
pkq pn px0 q f px0 q , pn px0 q f pkq px0 q

for k 1, . . . , n. In that case, pn is easily determined to be of the form


n f pkq px0 q px x0 qk , pn pxq k! k0

for all x P R where we set f p0q : f and f is assumed to be pn ` 1q-times continuously differentiable. Indeed, this speculation turns out to be correct. We rst give Taylors theorem in a form which resembles that of the mean value theorem. Its proof proceeds by application of the last to a skillfully constructed auxiliary function. Theorem 2.5.25. (Taylors theorem) Let n P N , I be a non-trivial open interval and f : I R be ntimes differentiable. Finally, let a and b be 170

two different elements from I . Then there is c in the open interval between a and b such that f pbq
n 1

f pnq pcq f pkq paq pb aqk ` pb aqn k ! n ! k 0

(2.5.14)

where f p0q : f and pb aq0 : 1. Proof. Dene the auxiliary function g : I R by g pxq : f pbq
n 1

f pkq pxq pb xqk k ! k 0

for all x P I . Then it follows that g pbq 0 and moreover that g is differentiable with
n 1 f pkq pxq f pk`1q pxq k pb xq ` pb xqk1 g p xq k ! p k 1 q ! k 1 k 0 1 n 1

f pnq pxq pb xqn1 pn 1q!

for all x P I . Dene a further auxiliary function h : I R by n bx g paq hpxq : g pxq ba for all x P I . Then it follows that hpaq hpbq 0 and that h is differentiable with h 1 pxq f pnq pxq pb xqn1 pb xqn1 ` n g paq pn 1q! pb aqn

for all x P I . Hence according to Theorem 2.5.4, there is c in the open interval between a and b such that 0 h 1 pcq which implies (2.5.14). 171 f pnq pcq pb cqn1 pb cqpn1q ` n g paq pn 1q! pb aqn

Taylors Theorem 2.5.25 is usually applied in the following form, Corollary 2.5.26. (Taylors formula) Let n P N , I be a non-trivial open interval of length L and f : I R be ntimes differentiable. Finally, let x0 P I and C 0 be such that |f pnq pxq| C for all x P I . Then n 1 pkq CLn f p x0 q px x0 qk . f pxq k ! n ! k 0 for all x P I . Remark 2.5.27. The polynomial pn1 pxq :
n 1

f pkq px0 q px x0 qk k ! k 0

for all x P R in Corollary 2.5.26 is called the pn 1q-degree polynomial of f centered at x0 . In particular, it follows (for the case n 2) that: p1 pxq f px0 q ` f 1 px0 q px x0 q for all x P R which is also called the linearization or linear approximation of f at x0 and CL2 |f pxq p1 pxq| 2 if C 0 is such that |f 2 pxq| C for all x P I . In applications, one often meets the notation f pxq p1 pxq saying that f and p1 are approximately the same near x0 . If the error can be seen to be negligible for the application, this often leads to a replacement of f by its linearization. 172

y 1.25 1.2 1.15 1.1 1.05 0.1 0.2 0.3 0.4 0.5 x

Fig. 49: Graphs of f and p1 from Corollary 2.5.28.

Example 2.5.28. Calculate the linearization p1 of f : r1, 8q R dened by ? f pxq : 1 ` x for all x P r1, 8q at x 0, and estimate its error on the interval r0, 1{2s. Solution: f is twice differentiable on p1, 8q with 1 1 p1 ` xq1{2 , f 2 pxq p1 ` xq3{2 . 2 4 Hence p1 is given by 1 p 1 p xq 1 ` x 2 for all x P R Because of 1 1 3 { 2 p 1 ` xq 4 4 f 1 p xq for all x P r0, 1{2s, it follows from (2.5.27) that the absolute value of the relative error satises |p1 pxq f pxq| 1 |f pxq| 32 173

for all x P r0, 1{2s. We know that the rst derivative of a function f in a point p of its domain provides the slope of the tangent at the graph of the function in the point pp, f ppqq. Hence it is natural to ask whether there is geometrical interpretation of the second derivative. Indeed, such interpretation can be given in terms of the way how the graph of the function bends. This can be seen by help of Taylors theorem. For this, we consider a three times continuously differentiable function f dened on an open subinterval pa, bq of R where a, b P R are such that a b. Further, let x0 , x P pa, bq. According to Taylors theorem, there is in the open interval between x0 and x such that f pxq f px0 q ` f 1 px0 qpx x0 q ` f 3 p q f 2 p x0 q px x0 q2 ` px x0 q3 . 2 6 is continuous, it follows for x sufciently near to

If f 1 px0 q 0, since f 3 x0 that |f 3 p q| |f 2 px0 q| px x0 q2 |x x0 |3 2 6 and hence that f pxq f px0 q ` f 1 px0 qpx x0 q if f 2 px0 q 0 and f pxq f px0 q ` f 1 px0 qpx x0 q

if f 2 px0 q 0. Hence if f 2 px0 q 0, for x sufciently near to x0 , the value of f pxq exceeds the value of its linearization at x0 or, equivalently, the point px, f pxqq lies above the tangent at x0 . In this case, we say that f is locally convex at x0 . If f 2 px0 q 0, for x sufciently near to x0 , the value of f pxq is smaller than the value of its linearization at x0 or, equivalently, the point px, f pxqq lies below the tangent at x0 . In this case, we say that f is locally concave at x0 . Denition 2.5.29. (Convexity / concavity of a differentiable function) Let f : pa, bq R be differentiable where a, b P R are such that a b. We call f convex (concave) if f pxq f px0 q ` f 1 px0 qpx x0 q p f pxq f px0 q ` f 1 px0 qpx x0 q q 174

for all x0 , x P pa, bq such that x0 x. The following theorem proves the convexity / concavity of a function under less restrictive assumptions than our motivational analysis above. Theorem 2.5.30. Let f : pa, bq R be twice differentiable on pa, bq, where a, b P R are such that a b, and such that f 2 pxq 0 (f 2 pxq 0) for all x P pa, bq. Then f pxq f px0 q ` f 1 px0 qpx x0 q p f pxq f px0 q ` f 1 px0 qpx x0 q q

for all x0 , x P pa, bq such that x0 x, i.e., f is convex (f is concave). Proof. First, we consider the case that f 2 pxq 0 for all x P pa, bq. For this, let x0 P pa, bq and x P pa, bq be such that x x0 . According to Theorem 2.5.6, there is c P px0 , xq such that f pxq f px0 q f 1 pcq . x x0 By Theorem 2.5.10, it follows that f 1 is strictly increasing on rx0 , xs and hence that f pxq f px0 q f 1 pcq f 1 px0 q x x0 and that f pxq f px0 q ` f 1 px0 qpx x0 q . (2.5.15) Analogously for x P pa, bq such that x x0 , it follows that there c P px, x0 q such that f px0 q f pxq f 1 p cq x0 x 1 and such that f strictly increasing on rx, x0 s and hence that f px0 q f pxq f 1 pcq f 1 px0 q x0 x which implies (2.5.15). In the remaining case that f 2 pxq 0 for all x P pa, bq, application of the previous to f gives f pxq f px0 q f 1 px0 qpx x0 q 175

30 25 20 15 10 5 x

Fig. 50: Graphs of exp along with linearizations around x 1, 2 and 3.

and hence f pxq f px0 q ` f 1 px0 qpx x0 q for all x0 P pa, bq and x P pa, bq ztx0 u. Example 2.5.31. The exponential function exp is convex because of exp 2 pxq exppxq 0 for all x P R. See Fig. 50. Example 2.5.32. Find the intervals of convexity and concavity of f : R R dened by f pxq : x4 ` x3 2x2 ` 1 for all x P R. Solution: f is twice continuously differentiable with 1 1 1 3 2 2 2 2 f pxq 4x ` 3x 4x , f pxq 12x ` 6x 4 12 x ` x 2 3 c c 1 1 19 19 12 x ` ` x` 4 48 4 48 176

y 4

1 2

Fig. 51: Graph of f from Example 2.5.32 and parallels to the y axis through its inection points.

for all x P R. Hence f is convex on the intervals c c 1 1 19 19 8, , ` ,8 4 48 4 48 and concave on the interval c c 1 19 1 19 , ` . 4 48 4 48 The following theorem gives another useful characterization of a function dened on interval I of R to be convex. Such function is convex if and only if for every x, y P I such that x y the graph of f |px,yq lies below the straight line (secant) between px, f pxqq and py, f py qq. Theorem 2.5.33. Let f : pa, bq R be differentiable on pa, bq where a, b P R are such that a b. Then f is convex if and only if f py q f pxq f py q f pxq f pz q f pxq ` pz xq f py q py z q yx yx 177

x
Fig. 52: Graph of a convex function (black) and secant (blue). Compare Theorem 2.5.33.

for all x, y, z P pa, bq such that x z y . Proof. If f is convex, we conclude as follows. For the rst step, let x, y P pa, bq be such that x y . As a consequence of the convexity of f , it follows that f py q f pxq ` f 1 pxqpy xq , f pxq f py q ` f 1 py qpx y q f py q f pxq f 1 py q . yx This is true for all x, y P pa, bq be such that x y . Not that this implies that f 1 is strictly increasing. For the second step, let x, y, z P pa, bq be such that x z y . By the mean value theorem Theorem 2.5.6, it follows the existence of P px, y q such that f 1 pxq f py q f pxq f 1 p q . yx In the case that z , it follows by help of the rst step that f py q f pxq f py q f pz q f 1 p q f 1 pz q yx yz 178 and hence that

and hence that f pz q f py q py z q f py q f pxq . yx

In the case that z , it follows by help of the rst step that f py q f pxq f pz q f pxq f 1 p q f 1 pz q yx zx and hence that f pz q f pxq ` pz xq On the other hand, if f py q f pxq f pz q f pxq ` pz xq yx f py q f pxq f py q py z q yx f py q f pxq . yx

for all x, y, z P pa, bq such that x z y , we conclude as follows. For this, note that the previous implies that f pz q f pxq f py q f pxq f py q f pz q . zx yx yz In the following, let x, y, z, P pa, bq be such that x z y . It follows from the assumption that f p q f pxq f py q f pxq f pz q f pxq . zx x yx From this, it follows by taking the limit z x that f 1 pxq This implies that f 1 pxq f py q f pxq yx 179 f p q f pxq f py q f pxq . x yx

and therefore that f py q f pxq ` f 1 pxqpy xq . Also, it follows from the assumption that f py q f pxq f py q f pz q f py q f p q . yx yz y From this, it follows by taking the limit y that f py q f pxq f py q f pz q f 1 py q . yx yz This implies that f py q f pxq f 1 py q yx and therefore that f pxq f py q ` f 1 py qpx y q . (2.5.17) (2.5.16)

Since (2.5.16) is true for all x, y P pa, bq such that x y , we conclude the following for x, y P pa, bq such that y x f pxq f py q ` f 1 py qpx y q . Finally, from this and (2.5.17), it follows that f pxq f py q ` f 1 py qpx y q . for all x, y P pa, bq such that x y . A typical example for the application of Theorems 2.5.30, 2.5.33 is given in the following example which derives an occasionally used lower bound for the sine function.

180

y 1

Fig. 53: Graph of sine function (black) and secant (blue). Compare Example 2.5.34.

Example 2.5.34. Show that sinpxq 2x{ (2.5.18)

for all x P r0, {2s. Solution: By application of Theorem 2.5.30, it follows that the restriction of sin to p0, q is convex. According to Theorem 2.5.33, this implies that sinpxq sinp1{nq ` rx p1{nqs sinp1{nq 1 p {2q p1{nq

for all x P r1{n, {2s where n P N . By taking the limit n 8, this leads to sinpxq 2x{ for all x P p0, {2s. From the last and the fact that (2.5.18) is trivially satised for x 0, it follows the validity of (2.5.18) for all x P r0, {2s. We know that the vanishing of the rst derivative in a point x of the domain is a necessary, but in general not sufcient, condition for a differentiable function f to assume a local maximum or minimum in x. In that case, the tangent to graph of f in the point px, f pxqq is horizontal; if f is in addition twice continuously differentiable such that f 2 pxq 0 (f 2 pxq 0), then it follows by the continuity of f 2 that the restriction of f 2 to a sufciently small interval around x assumes strictly negative (strictly positive) values and hence that that restriction is concave (convex) and therefore that x marks the position of a local maximum (minimum) of f . 181

0.8

0.2 6 4 2 2 4 6 x

Fig. 54: Graph of f from Example 2.5.36.

Theorem 2.5.35. (Sufcient condition for the existence of a local minimum/maximum) Let f be a twice continuously differentiable real-valued function on some open interval I of R. Further, let x0 P I be a critical point of f such that f 2 pxq 0 (f 2 pxq 0). Then f has a local minimum (maximum) at x0 . Proof. Since f 2 is continuous with f 2 px0 q 0 (f 2 px0 q 0), there is an open interval J around x0 such that f 2 pxq 0 (f 2 pxq 0) for all x P J . ((Otherwise there is for every n P N some yn P I such that |yn x0 | 1{n and f 2 pyn q 0 (f 2 pyn q 0). In particular, this implies that limn8 yn x0 and by the continuity of f 2 also that limn8 f 1 pyn q f 2 px0 q. Hence it follows by Theorem 2.3.12 that f 2 px0 q 0 (f 2 px0 q 0). )) Hence it follows by Theorem 2.5.30 that f pxq f px0 q (f pxq f px0 q) for all x P J z tx0 u. Example 2.5.36. Find the values of the local maxima and minima of 5 2 f pxq : ln ` sin pxq 4 182

for all x P R. Solution: f is twice continuously differentiable with f 1 pxq


5 4

sinp2xq 2 cosp2xq sin2 p2xq 2 , f p x q 2 ` 5 2 5 ` sin2 pxq ` sin2 pxq ` sin p x q 4 4

for all x P R. Hence the critical points of f are at xk : k {2, k P Z and for each k P Z: 2p1qk . f 2 pxk q 5 2 ` sin p x q k 4 Hence it follows by Theorem 2.5.35 that f has a local minimum/maximum of value lnp5{4q at x2k and of value lnp9{4q at x2k`1 , respectively, and each k P Z. Another important consequence of Theorem 2.5.6 (or its equivalent, Rolles theorem) is given by Cauchys extended mean value theorem which is the basis for the proof of LHospitals rule, Theorem 2.5.38, for the calculation of indeterminate forms. The proof of the extended mean value theorem proceeds by application of Rolles theorem to a skillfully devised auxiliary function. Theorem 2.5.37. (Cauchys extended mean value theorem) Let f, g : ra, bs R be continuous functions where a, b P R are such that a b. Further, let f, g be continuously differentiable on pa, bq and such that g 1 pxq 0 for all x P pa, bq. Then there is c P pa, bq such that f 1 pcq f pbq f paq 1 . g pbq g paq g pcq (2.5.19)

Proof. Since g 1 is continuous with g 1 pxq 0 for all x P pa, bq, it follows by Theorem 2.3.37 that either g 1 pxq 0 or g 1 pxq 0 for all x P pa, bq and hence by Theorem 2.3.44 that g is either strictly increasing or strictly decreasing on pa, bq. Since g is continuous, from this also follows that g pbq g paq. Dene the auxiliary function h : ra, bs R by hpxq : f pxq f paq f pbq f paq pg pxq g paqq g pbq g paq 183

for all x P ra, bs. Then h is continuous as well as differentiable on pa, bq such that f pbq f paq 1 h 1 p xq f 1 p xq g pxq g pbq g paq for all x P ra, bs and hpaq hpbq 0. Hence according to Theorem 2.5.4, there is c P pa, bq such that h 1 pcq f 1 pcq which implies (2.5.19). LHospitals rule goes back to Johann Bernoulli who instructed the young French marquis Guillaume Francois Antoine de LHospital in 1692 in the new Leibnizian discipline of calculus during a visit in Paris. Johann signed a contract under which in return for a regular salary, he agreed to send LHospital his discoveries in mathematics, to be used as the marquis might wish. The result was that one of Johanns chief contributions to calculus from 1694 has ever since been known as LHospitals rule on indeterminate forms after its publication in LHospitals book Analyse des inniment petits in 1696 [69]. LHospitals book was the rst textbook on calculus and was met with great success. An indeterminate form, we already met in Example 2.3.54 where it was proved that sinpxq 1. (2.5.20) lim x0,x0 x Formally, that limit is of the indeterminate type 0 0 where the last formal expression is obtained by replacing sinpxq and x in the quotient sinpxq{x by
x0,x0

f pbq f paq 1 g p cq 0 g pbq g paq

lim sinpxq

and 184

x0,x0

lim x ,

respectively. Since sin and the identical function on R are continuous and according to the limit laws, this expression would give the correct result for the limit (2.5.20) if it would involve division by a non-zero number. But, since division by zero is not dened, that expression is not dened and hence indeterminate. The following theorem treats also indeterminate limits of the type 8 . 8 The calculation of limits of other indeterminate types can usually be reduced to the calculation of limits of these two types. LHospitals rule is a simple consequence of Cauchys extended mean value theorem. Theorem 2.5.38. (Indeterminate forms/LHospitals rule) Let f : pa, bq R and g : pa, bq R be continuously differentiable, where a, b P R are such that a b, and such that g 1 pxq 0 for all x P pa, bq. Further, let
x a

lim f pxq lim g pxq 0


xa

(2.5.21)

or let |f pxq| 0 and |g pxq| 0 for all x P pa, bq as well as lim 1 1 lim 0. x a |f pxq| |g pxq| f 1 p xq x a g 1 p x q lim exist. Then f 1 p xq f pxq lim 1 . xa g pxq xa g pxq lim (2.5.23) (2.5.22)

x a

Finally, let

Proof. Since g 1 is continuous with g 1 pxq 0 for all x P pa, bq, it follows by the Theorem 2.3.37 that either g 1 pxq 0 or g 1 pxq 0 for all x P pa, bq and hence by Theorem 2.3.44 that g is either strictly increasing or strictly decreasing on pa, bq. First, we consider the case (2.5.21). Then f and g 185

can be extended to continuous functions on ra, bq assuming the value 0 in a. Now, let x0 , x1 , . . . be a sequence of elements of pa, bq converging to a. Then by Theorem 2.5.37 for every n P N there is a corresponding cn P pa, xn q such that f pxn q f 1 p cn q 1 . g pxn q g p cn q Obviously, the sequence c0 , c1 , . . . is converging to a, and hence it follows that f pxn q f 1 pcn q f 1 p xq lim lim 1 lim 1 (2.5.24) n8 g pxn q n8 g pcn q x a g p x q and hence, nally, that (2.5.23). Finally, we consider the second case. So let |f pxq| 0 and |g pxq| 0 for all x P pa, bq, and in addition let (2.5.22) be satised. Further, let x0 , x1 , . . . be some sequence of elements of pa, bq converging to a and let b 1 P pa, bq. Because of (2.5.22), there is n0 P N such that g pb 1 q f pb 1 q f pxn q 1 and g pxn q 1 . for all n P N such that n n0 . Then according to Theorem 2.5.37 for any such n, there is a corresponding cn P pxn , b 1 q such that f pxn q f pb 1 q f 1 pcn q 1 . g p xn q g p b 1 q g pcn q Hence it follows that
g pb q 1 g f 1 pcn q f p xn q pxn q f pb 1 q g pxn q g 1 pcn q 1 f pxn q
1

and since c0 , c1 , . . . is converging to a by (2.5.22) and Theorem 2.3.4, it follows the relation (2.5.24) and hence, nally, (2.5.23). Example 2.5.39. Find
x0`

lim x lnpxq .

Solution: Dene f pxq : lnpxq and g pxq : 1{x for all x P p0, 1q. Then f and g are continuously differentiable and such that g 1 pxq 1{x2 0 for 186

all x P p0, 1q. Further, |f pxq| | lnpxq| 0, |g pxq| |1{x| 1{|x| 0 for all x P p0, 1q. Finally, (2.5.22) is satised and
x 0

lim

f 1 p xq lim pxq 0 . g 1 p x q x 0

Hence according to Theorem 2.5.38:


x0`

lim x lnpxq 0 .

Example 2.5.40. Determine


x8

lim xex .

Solution: Dene f py q : 1{y and g py q : expp1{y q for all y P p0, 1q. Then f and g are continuously differentiable and such that g 1 py q y 2 expp1{y q 0 for all y P p0, 1q. Further, |f py q| 1{|y | 0, |g py q| expp1{y q 0 for all y P p0, 1q. Finally, (2.5.22) is satised and
y 0

lim

1 f 1 py q lim 0. g 1 py q y0` e1{y

Hence according to Theorem 2.5.38:


x8

lim xex lim

y 0`

1{y 0. e1{y

Example 2.5.41. Calculate


x8

lim x2 ex .

Solution: Dene f py q : 1{y 2 and g py q : expp1{y q for all y P p0, 1q. Then f and g are continuously differentiable as well as such that g 1 py q expp1{y q{y 2 0 for all y P p0, 1q. Further, |f py q| 1{y 2 0, |g py q| expp1{y q 0 for all y P p0, 1q. Finally, (2.5.22) is satised and by Example 2.5.40
y 0

lim

f 1 py q 2{y 0. lim g 1 py q y0` e1{y 187

Hence according to Theorem 2.5.38: lim x2 ex lim 1{y 2 0. y 0` e1{y

x8

Remark 2.5.42. Recursively in this way, it can be shown that


x8

lim xn ex 0 .

for all n P N. That the condition that g 1 pxq 0 for all x P pa, bq in Theorem 2.5.38 is not redundant can be seen from the following example. Example 2.5.43. For this dene 2 2 2 2 , g pxq : ` sin e sinp1{xq f pxq : ` sin x x x x for all x P p0, 2{5q. Then f and g are continuously differentiable and satisfy 1 1 lim 0. x0 |f pxq| x0 |g pxq| lim Since f p xq e sinp1{xq g pxq

for all x P p0, 2{5q, pf {g qpxq does not have a limit value for x 0. Further, it follows that 2 4 2 1 2 1 f pxq 2 1 ` cos 2 cos , x x x x 1 1 2 1 1 sinp1{xq 2 g pxq 2 cos e ` sin ` 4 cos x x x x x and hence that f 1 pxq 4x cosp1{xq e sinp1{xq g 1 pxq 2 ` x sinp2{xq ` 4x cosp1{xq 188

for all

* 2 x P p0, 2{5q z :kPN . p2k ` 1q 4x cosp1{xq e sinp1{xq 0. x0` 2 ` x sinp2{xq ` 4x cosp1{xq lim

"

We notice that

This does not contradict Theorem 2.5.38 since g 1 has zeros of the form 2{pp2k ` 1q q, k P N. Hence there is no b 0 such that the restrictions of f and g would satisfy the assumptions in Theorem 2.5.38. The following example shows that in general the existence of f pxq x a g p x q lim does not imply the existence of f 1 pxq . xa g 1 pxq lim Example 2.5.44. For this, dene f pxq : x sinp1{x2 q expp1{xq , g pxq : expp1{xq for all x 0. Then
x0

lim f pxq 0 , lim g pxq , lim


x 0

f pxq 0. x0 g pxq

Further, 1 2 2 x p x ` 1 q sin p 1 { x q 2 cos p 1 { x q expp1{xq , x2 1 f 1 pxq xpx ` 1q sinp1{x2 q 2 cosp1{x2 q g 1 pxq 2 expp1{xq , 1 x g pxq f 1 pxq for all x 0. Hence f 1 {g 1 does not have a limit value for x 0. 189

For the motivation of following contraction mapping lemma, we consider a method of calculating square roots of numbers which can be traced back to ancient Greek times, but there are indications that this method was already known in ancient Babylonia. For this, we consider the problem of approxi? mation of N by fractions where N is some non-zero natural number. If q is some non-zero positive rational number such that q2 N , then it follows that q ? N, ? 1 q N ? N N N and hence that ? N N . q 1 q : 2 N q` q

Hence, the arithmetic mean

of q and N {q , which is ? the midpoint of the interval rq, N {q s, might be a better approximation to N than q . Indeed, a little calculation gives that 2 N 1 2 N2 1 2 q` N q ` 2N ` 2 N q N 4 q 4 q 2 N N 1 2 1 2 2 q 2N ` 2 q N ` 2 pN q q 4 q 4 q 2 2 pN q q 1 N 2 1 pN q q 0 4 q2 4q 2 and hence that q 2 N N q 2 if 1 4 N 1 1 q2 190

which is equivalent to N 5q 2 . Hence if q 2 N 5q 2 , ? then q is a better approximation to N than q . Note that q does not satisfy the same inequalities since q 2 N . On the other hand, N 1 : q ` q 2 q satises 1 N q N 1 pN q 2 q 4 q 2 N pq 2 N q2 1 2 1 2 pq Nq 0 4 q 4 q2 ? and hence is a better approximation to N than q since 1 N 1 2 1 . 4 q 2 Hence by continuing this process, we arrive at rational approximations to ? N whose accuracy increase in every step. For instance for N 2 and q 1, note that q 2 N ? 5q 2 since 1 2 5, we arrive at the following rational approximations to 2 3 17 577 665857 886731088897 , , , , . 2 12 408 470832 627013566048 ? The value 17{12, which gives 2 within an error of 3 103 , was used as ? a common rough approximation of 2 by the Babylonians. Starting from q 17{12, Babylonian arithmetic leads to the fraction 1` 24 51 10 30547 ` 2` 3 60 60 60 21600 191

y 6

3 2 1 2 2 x

Fig. 55: Graph of T for the case N 2 and auxiliary curves.

which was found on the Babylonian tablet YBC 7289 and gives an error of 6 107 . A modern interpretation of the process in terms of maps is that

? 2 within

q , T pq q , T pT pq qq pT T qpq q , T pT pT pq qqq pT pT T qqpq q . . . , where T : p0, 8q p0, 8q is dened by 1 N T pxq : x` 2 x for every x 0, gives a sequence of approximations to accuracy. We expect that ? lim T n pq q N
n8

? N of increasing

where T n for n P N is inductively dened by T 0 : idp0,8q and T k`1 : T T k , for k P N. Indeed, if x0 , x1 , . . . converges to some element of x P p0, 8q, where x 0 and xk : T k pxq 192

x 2

10

15

20

Fig. 56: pn, xn q for x 1 and n 1 to n 20.

for all k P N, then xk`1 T


k `1

1 pxq T pT pxqq T pxk q 2


k

N xk ` xk

and hence it follows by the limit laws that N N 1 1 xk ` x ` x lim xk`1 lim . k8 k8 2 xk 2 x As a consequence, in this case, x satises the equation N 1 x 0 2 x or equivalently x2 N which implies that ? x N

193

? since it was assumed that x 0. It is natural to ask in what sense N is a particular point for the map T . For this, we notice that ? ? 1 ? N Tp N q N`? N , 2 N ? ? that is, T maps N onto itself, i.e., N is a so called xed point of the map T . Also, every xed point x of T satises the equation N 1 x` x 2 x ? which is equivalent to x N , i.e., there is no other xed point of T . Finally, it is natural to ask whether there is a special property of the map that leads to the convergence of x0 , x1 , . . . . For this, we notice that for ? ? x N and y N , it follows that N 1 xy and hence that 1 1 N N N |T pxq T py q| xy` x y p x y q 2 x y 2 xy N 1 |x y | 1 |x y | . 2 xy 2 This leads to |T pT pxqq T pT py qq| and inductively to |T k pxq T k py q| for all k P N. Since 1 |x y | 2k 1 1 |T pxq T py q| |x y | 2 4

? N is a xed point of T , this implies that ? ? 1 |T k pxq N | k |x N | 2 194

and hence that


k8

lim T k pxq

? N .

(2.5.25)

Since for x

? N , as already observed above, it follows that pT pxqq2 N px2 N q2 0 4x2 ? N .

and hence that T pxq

Therefore, we conclude that (2.5.25) holds for all x 0. In addition, we notice that the fact that N P N was nowhere used in the previous discussion. As a consequence, summarizing that discussion, we proved the following result. Theorem 2.5.45. (Babylonian method of approximating roots of real numbers, I) Let a 0 and T : p0, 8q p0, 8q be dened by a 1 x` T pxq : 2 x for every x 0, then ? lim T k pxq a
k8

where T for n P N is inductively dened by T 0 : idp0,8q and T k`1 : T T k , for k P N. Functions T satisfying |T pxq T py q| |x y | for some 0 1 and all x, y of their domain are called contractions. We notice from the previous discussion that if such a function T has a xed point x and maps its domain into that domain, then it follows as above that
k8

lim T k pxq x .

for all x P DpT q. On the other hand, in many cases the existence of such a xed point is not obvious, but such can be shown with the help of Theorem 2.3.33 if the domain of T is a closed interval of R. This is the additional point that is treated in Theorem 2.5.46. 195

Lemma 2.5.46. (Contraction mapping lemma on the real line) Let T : ra, bs R be such that T pra, bsq ra, bs where a, b P R are such that a b. In addition, let T be a contraction, i.e., let there exist P r0, 1q such that |T pxq T py q| |x y | (2.5.26) for all x, y P ra, bs. Then T has a unique xed point, i.e., a unique x P ra, bs such that T px q x . Further, | x x | and
n8

|x T pxq| 1

(2.5.27) (2.5.28)

lim T n pxq x

for every x P ra, bs where T n for n P N is inductively dened by T 0 : idra,bs and T k`1 : T T k , for k P N. Proof. Note that (2.5.26) implies that T is continuous. Further, dene the hence continuous function f : ra, bs R by f pxq : |x T pxq| for all x P ra, bs. Note that x P ra, bs is a xed point of T if and only if it is a zero of f . By Theorem 2.3.33 f assumes its minimum in some point x P ra, bs. Hence 0 f px q f pT px qq |T px q T pT px qq| |x T px q| f px q and therefore f px q 0 since the assumption f px q 0 leads to the contradiction that 1 . If x P ra, bs is a xed point of T , then | x x | |T px q T px q| |x x | and hence x x since the assumption x x leads to the contradiction that 1 . Finally, let x P ra, bs. Then |x x | |x T px q| |x T pxq ` T pxq T px q| 196

|x T pxq| ` |T pxq T px q| f pxq ` |x x | and hence (2.5.27). Further from (2.5.27) and |T n pxq x | |T n pxq T n px q| n |x x | it follows (2.5.28) since limn8 n 0. The following example applies the previous lemma to the Babylonian method of approximating roots of real numbers. In this, there are used more widely applicable methods in the proof of invariance of the domain of the function T and in the proof that T is a contraction. Example 2.5.47. (Babylonian method of approximating roots of real numbers, II) Let a 0 and N P N be such that N 2 a. Finally, dene ? T : r a, N s R by 1 a T pxq : x` 2 x ? for all x P r a, N s. Then ? lim T n pN q a . (2.5.29)
n8

n f p xq , 1

Proof. First, we note that ? ? 1 a N` N T p aq a , T p N q 2 N ? and ? hence that a is a xed point of T . Further, T is twice differentiable on p a, N q with derivatives 1 a 1 ` a T 1 pxq 1 2 2 x2 a 0 , T 2 p xq 3 0 2 x 2x x ? 1 for all x P p a,? N q. Hence T, ? T are strictly increasing according to Theorem 2.3.44, T pr a, N sq r a, N s and 1 a 1 0 T 1 pxq 1 2 . 2 N 2 197

y 15 10 5 x

1 5

Fig. 57: Graph of pR R, x x3 2x 5q.

In particular, it follows by Theorem 2.5.6 that |T pxq T py q| 1 |x y | 2

? for all x, y P r a, N s. By Lemma 2.5.46, it follows that T has a unique ? xed point, which hence is given by a , and in particular (2.5.29). For instance for N 2 and q 1, we get in this way the rst ve approximating fractions 3 17 577 665857 886731088897 , , , , 2 12 408 470832 627013566048 with corresponding errors (according to (2.5.27)) equal or smaller than 1 1 1 1 1 , , , , . 6 204 235416 313506783024 555992422174934068969056 In 1669, Newton submitted a paper with title De analysi per aequationes numero terminorum innitas to the Royal Society. This paper was published only much later in 1712 [82]. Among others, Newton introduces by 198

example a iterative method for the approximation of zeros of differentiable functions which is now named after him. For this, he considers the equation x3 2x 5 0 . (2.5.30)

As a rst approximation to the solution in the interval [2,3], compare Fig 57, he uses x 2. Substitution of x 2 ` p into (2.5.30) gives 0 x3 2x 5 p2 ` pq3 2p2 ` pq 5 8 ` 12p ` 6p2 ` p3 4 2p 5 1 ` 10p ` 6p2 ` p3 Neglecting higher order terms in p than rst order, i.e., effectively replacing the last polynomial in p by its linearization around p 0, he arrives at the equation 1 ` 10p 0 and hence at p 1{10. In this way, he arrives at x 2.1 as a second approximation to the solution. He then substitutes x 2.1 ` q into (2.5.30) to obtain 0 x3 2x 5 p2.1 ` q q3 2p2.1 ` q q 5 9.261 ` 13.23q ` 6.3q 2 ` q 3 4.2 2q 5 0.061 ` 11.23q ` 6.3q 2 ` q 3 . Again, neglecting higher order terms in q than rst order, i.e., in this effectively replacing the last polynomial in q by its linearization around q 0, he arrives at the equation 0.061 ` 11.23q and hence at q 0.0054 where only the rst leading digits of are retained. In this way, he arrives at the rounded result x 2.0946 as a third approximation to the solution which approximates that solution within an error of 5 105 . It has to be taken into account that Newtons paper does not contain references to his uxions or uents. On the other hand, in spirit, his procedure 199

matches todays version of the method. The only difference is that todays method does not involve substitutions. It proceeds as follows. We dene f : pR R, x x3 2x 5q. Starting from the rst approximation x0 2 of its zero, we calculate the linearization p10 of f around x0 . Since f 1 pxq 3x2 2 for all x P R, we arrive at p10 pxq f px0 q ` f 1 px0 qpx x0 q 1 ` 10 px 2q 21 ` 10x for all x P R. Effectively replacing the function f by its linearization p10 , we arrive at the equation 21 ` 10x 0 and hence, as Newton, at the rst approximation x1 2.1. In the second step, we calculate the linearization p11 of f around x1 . It is given by p11 pxq f px1 q ` f 1 px1 qpx x1 q 0.061 ` 11.23px 2.1q 23.522 ` 11.23x for all x P R. Again, effectively replacing the function f by its linearization p11 , we arrive at the equation 23.522 ` 11.23x 0 and hence, as Newton, at the second approximation x2 2.0946 by repeating Newtons way of rounding the result. From todays perspective, Newtons method can be viewed as a particular application of the contraction mapping lemma. This is also used below to prove the convergence of the method and to provide an error estimate. The method is iterative and used to approximate solutions of the equation f pxq 0 where f : I R is a differentiable function on a non-trivial open

200

interval I of R. Starting from an approximation xn P I to such a solution, the correction xn`1 is given by the zero of the linearization around xn , f pxn q ` f 1 pxn qpx xn q , x P R, and hence by xn`1 xn f pxn q f 1 p xn q (2.5.31)

assuming f 1 pxn q 0, thereby essentially replacing the function f by its linearization around xn . It is instructive to analyze the recursion (2.5.31) in a little more detail where we assume that f 1 is in addition continuous. For this, lets assume that f pxn q 0. If f is increasing in some neighborhood of xn , i.e., if f 1 pxn q 0, then we would expect the solution to be located to the left (= towards smaller values) of xn and, indeed, in this case, xn`1 is to the left of xn . If f is decreasing in some neighborhood of xn , i.e., if f 1 pxn q 0, then we would expect the solution to be located to the right (= towards larger values) of xn and also xn`1 is to the right of xn . If f pxn q 0 and f is increasing in some neighborhood of xn , i.e., if f 1 pxn q 0, then we would expect the solution to be to the right of xn and also xn`1 is to the right of xn . Finally, if f is decreasing in some neighborhood of xn , i.e., if f 1 pxn q 0, then we would expect that the solution is to the left of xn and also xn`1 is to the left of xn . Hence the recursion (2.5.31) shows as very intuitive behavior. On the other hand, for this reasoning to be make sense, the solution should be very near to xn . In particular in cases that xn is near to a critical point of f , the method usually fails because of leading to corrections of a much too large size. Finally, since the graph of the linearization of f around xn gives the tangent to the graph of f in the point pxn , f pxn qq, xn`1 gives the abscissa of the intersection of that tangent with the x-axis. This fact gives a geometric interpretation to Newtons method.

201

y 14

12

x2

x1

x0

Fig. 58: Graph of f from Example 2.5.48 (a 2) and Newton steps starting from x0 4.

The following example shows that the Babylonian method of approximating roots of real numbers can be seen as a particular case of Newtons method. Example 2.5.48. Let a 0. Dene f : R R by f pxq : x2 a for all x P R. Then xn`1 f pxn q x2 a 1 xn n xn 1 f pxn q 2xn 2 a xn ` xn

for xn 0 which is the iteration used in Example 2.5.45. Theorem 2.5.49. (Newtons method) Let f be a twice differentiable realvalued function on a non-trivial open interval I of R. Further, let I contain a zero x0 of f and be such that f 1 pxq 0 for all x P I and in particular such that f pxqf 2 pxq f 12 pxq 202

for all x P I and some P R satisfying 0 1. Then


n8

lim T n pxq x0 f pxq . f 1 pxq

(2.5.32)

for all x P I where T pxq : x Finally, |x x 0 | for all x P I .

|x T pxq| 1

(2.5.33)

Proof. First, it follows that T is differentiable with derivative T 1 pxq f pxqf 2 pxq f 12 pxq

for all x P I and that x0 is a xed point of T . By Theorem 2.5.6 it follows that T pxq T px0 q T pxq x0 x x0 1 x x0 for all x P I different from x0 and hence that |T pxq x0 | |x x0 | (2.5.34)

for all x P I . Now let ra, bs, where a, b P R such that a b, be some closed subinterval of I containing x0 . Then it follows by (2.5.34) that T pra, bsq ra, bs and by Theorem 2.5.6 that T pxq T py q xy for all x, y P ra, bs satisfying x y and hence that |T pxq T py q| |x y | for all x, y P ra, bs. Hence by Lemma 2.5.46, the relations (2.5.32) and (2.5.33) follow for all x P ra, bs. 203

0.5 x

0.5 0.5 1

0.5

Fig. 59: Zero of f from Example 2.5.50 given by the xcoordinate of the intersection of two graphs.

The following example gives an application of Newtons method to a standard problem from quantum theory. Example 2.5.50. Find an approximation x1 to the solution of x0 cospx0 q such that |x0 x1 | 106 . Solution: Dene f : R R by f pxq : x cospxq for all x P R. Then f is innitely often differentiable with f 1 pxq 1 ` sinpxq , f 2 pxq cospxq f pxqf 2 pxq cospxq px cospxqq 1 2 f p xq p1 ` sinpxqq2 where only in the last identity it has to be assumed that x is different from {2 ` 2k for all k P Z. Further ?3 1 f 0, f ? 0, 6 6 2 4 4 2 204

and hence according Theorem 2.3.37, f has a zero in the open interval I : p {6, {4q. Also f 1 pxq 1 ` sinpxq 1 ` sinp {6q 3{2 0 for all x P I . Further, 1 f f2 3 cospxq ` x sinpxq 2x pxq 1 2 f p1 ` sinpxqq2 and 3 cospxq ` x sinpxq 2x 3 cos 4 ` 3 5 sin 0 2 ? 6 6 4 2 12

and hence f f 2 {f 12 is strictly increasing on r {6, {4s as a consequence of Theorem 2.5.10. Therefore, ` ` ` ? cos 6 cos f pxqf 2 pxq 1 6 ` 6 9 ` 3 27 f 12 pxq p1 ` sin 6 q2 ` ` ` ? cos 4 4 cos 4 2 2 ` ? 2 p1 ` sin 4 q 8`6 2 and ? f pxqf 2 pxq 1 9 3 : 1 1 f 12 pxq 27 3 for all x P I . Starting the iteration from 0.7 gives to six decimal places 0.739436 , 0.739085 with the corresponding errors 0.000527006 , 4.08749 108 . Hence the zero x0 of f in the interval I agrees with x1 0.739085 205

to six decimal places. That there is no further zero of f can be concluded as follows. Since the derivative of f does not vanish in the interval p {2, {2q, it follows by Theorem 2.5.4 that there are no other zeros in this interval. Further, for |x| {2 p 1q there is no zero of f because | cospxq| 1 for all x P R. The quantity U2 ` pU1 U2 q x2 0 is the ground state energy of a particle in a nite square well potential with U3 U1 , 0, KL 2. See [79].

Problems 1) Give the maximum and minimum values of f and the points where they are assumed. a) b) c) d) e) f) g) f pxq : x2 ` 5x ` 7 , x P r5, 0s , f ptq : t3 ` 6t2 ` 9t ` 14 , t P r5, 0s , f psq : s4 ` p8{3qs3 6s2 ` 1 , s P r5, 5s , f ptq : 4pt 3q2 pt2 ` 1q , t P r1, 4s , f pxq : p9x ` 12q{p3x2 4q , x P r1, 0s , f pxq : px2 ` x ` 1q exppxq , x P r0.3, 1.5s , ? f pxq : exppx{ 3 q cospxq , x P r0, 8q .

2) Consider a projectile that is shot into the atmosphere. If v 0 is the component of its speed at initial time 0 in the vertical direction, its height z ptq above ground at time t 0 is given by z ptq vt gt2 {2 where g 9.81m{s2 is the acceleration due to gravity and it is assumed that z p0q 0. Calculate the maximal height the projectile reaches and also the time of its ight, i.e., the time when it returns to the ground. 3) Reconsider the situation from previous problem, but now with inclusion of a viscous frictional force opposing the motion of the projectile. Then z ptq rpv ` g qp1 exppt{qq gts where it is again assumed that z p0q 0. Here m{ where m 0 is the mass of the projectile and 0 is a parameter describing the strength of the friction. Calculate the maximal height the projectile reaches and also the time of its ight, i.e., the time when it returns to the ground.

206

4) Let a 0 and b 0. Find an equation for the straight line through the point pa, bq that cuts from the rst quadrant a triangle of minimum area. State that area. 5) Let a 0 and b 0. Find an equation for the straight line through the point pa, bq whose intersection with the rst quadrant is shortest. State the length of that intersection. 6) Find the maximal volume of a cylinder of given surface area A 0. 7) From each corner of a rectangular cardboard of side lengths a 0 and b 0, a square of side length x 0 is removed, and the edges are turned up to form an open box. Find the value of x for which the volume of that box is maximal. 8) A rectangular movie screen on a wall is h1 -meters above the oor and h2 -meters high. Imagine yourself sitting in front of the screen and looking into the direction of its center. Measured in this direction, what distance x from the wall will give you the largest viewing angle of the movie screen? [This is the angle between the straight lines that connect your eyes to the lowest and the highest points on the screen.] Assume that the height of your eyes above the oor is hs meters where hs h1 . 9) Imagine that the upper half-plane H` : R p0, 8q and the lower half-plane H : R p8, 0q of R2 are lled with different physical media with the xaxis being the interface I . Further, let px1 , y1 q P H` , px2 , y2 q P H . Light rays in both media proceed along straight lines and at constant speeds v1 and v2 , respectively. According to Fermats principle, a ray connecting px1 , y1 q and px2 , y2 q chooses the path that takes the least time. Show that that path satises Snells law, i.e., sinp1 q{ sinp2 q v1 {v2 where 1 (2 ) is the angle of the part of the ray in H` Y I (H Y I ) with the normal to the xaxis originating from its intersection with I . 10) For the following functions nd the intervals of increase and decrease, the local maximum and minimum values and their locations and the intervals of convexity and concavity and the inection points. Use the gathered information to sketch the graph of the function. If available, check your result with a graphing device. a) f psq : 7s4 3s2 ` 1 , s P R , b) f ptq : t4 ` p8{3qt3 6t2 ` 3 , t P R , c) f pxq : 4px 3q2 px2 ` 1q , x P R .

207

11) For the following functions nd vertical and horizontal asymptotes, the intervals of increase and decrease, the local maximum and minimum values and their locations and the intervals of convexity and concavity and the inection points. Use the gathered information to sketch the graph of the function. If available, check your result with a graphing device. a) f pxq : x{p1 ` x2 q , x P R , ? b) f pxq : x2 ` 1 x , x P R , ? ? c) f pxq : p9x ` 12q{p3x2 4q , x P R zt2{ 3, 2{ 3u . 12) Calculate the linearization of f around the given point. a) b) c) d) e) f) g) f pxq : p1 ` xqn , x 1 , around x 0 where n P R , f pxq : lnpxq , x 0 , around x 1 , f pq : sinpq , P R , around 0 , f pq : tanpq , P p {2, {2q , around 0 , f pxq : sinhpxq : pex ex q{2 , x P R , around x 0 , f pq : lnrp5{4q ` cosp3qs , P R , around 0 3 {4 , f pxq : p3x2 x ` 5q{p5x2 ` 6x 3q , x P R ztx P R : 5x2 ` 6x 3 0u , around x 1 . p1 ` xqn 1 ` nx for all x 0 and n 1 , p1 ` xqn 1 ` nx for all x 0 and 0 n 1 , ln x x 1 for all x 0 , sinpq for all 0 , tanpq for all P p0, {2q , sinhpxq : pex ex q{2 x for all x 0 . ln x px 1q{x for all x 0 .

13) Show that a) b) c) d) e) f) g)

14) Calculate a x a x , b) lim 1 , 1` x8 x8 x x tanpxq x tanpxq c) lim , d) lim , x0 x0 1 cospxq x sinpxq 1 1 e) lim ? , f) lim , x0` x0 x x sinpxq lnpxq r lnpxq sn`2 g) lim , h) lim , x8 x8 x x a) lim

208

i) lim l) n)

x1

lnpxq , j) tanpxq

x0`

lim xx , k)
x8

x0`

lim xa{ lnpxq ,

x0`

lim r sinpxq s tanpxq , m) lim x1{x , lim x


sinpxq

x0`

, o) lim r cosp1{xq sx ,
x8

cosp3xq cosp2xq , q) p) lim x0` x2 where n P N, a P R.

x1`

lim

1 ` cospxq x2 2x ` 1

15) Explain why Newtons method fails to nd the zero(s) of f in the following cases. a) f pxq : x2 x6 , x P R , with initial approximation x 1{2 , b) f pxq : x1{3 , x P R . 16) A circular arch of length L 0 and height h 0 is to be constructed where L{h . a) Show that x : L{p2rq, where r 0 is the radius of the corresponding circle, satises the transcendental equation cospxq 1 2h x. L

b) Assume that L{h 7. By Newtons method, nd an approximation x0 to x such that |x0 x| 106 . 17) The characteristic frequencies of the transverse oscillations of a string of length L 0 with xed left end and right end subject to the boundary condition v 1 pLq ` hv pLq 0, where v : r0, Ls R is the amplitude of deection of the string and h P R, is given by x{L where x tan x (2.5.35) hL [20]. Assume hL 1{3, and nd by Newtons method an approximation x0 to the smallest solution x 0 of (2.5.35) such that |x0 x| 106 . 18) The characteristic frequencies of the transverse vibrations of a homogeneous beam of length L 0 with xed ends are given by rEJ {pS qs1{2 px{Lq2 where coshpxq cospxq 1 , (2.5.36)

E is Youngs modulus, J is the moment of inertia of a transverse section, S is the area of the section, is the density of the material

209

of the beam, and coshpy q : pey ` ey q{2 for all y P R [65]. By Newtons method, nd an approximation x0 to the smallest solution x 0 of (2.5.36) such that |x0 x| 106 . 19) (Binomial theorem) Let n P N . Dene f : p1, 8q R by f pxq :
n n k x k k 0

for all x P p1, 8q where the so called binomial coefcients are dened by n n 1 n pn 1q pn pk 1qq : 1 , : k! 0 k for every k P N . a) Show that p1 ` xqf 1 pxq nf pxq for all x P p1, 8q. b) Conclude from part a) that f pxq p1 ` xqn for all x P p1, 8q. c) Show the binomial theorem, i.e., that n n k n k n px ` y q x y k k0 for all x, y P R.

210

Fig. 60: The yellow area A enclosed by the graph of f : p r0, 1s R, x 1 x2 q and the coordinate axes is determined by Archimedes method.

2.6

Riemann Integration

An early example of integration is given by Archimedes quadrature of the segment of the parabola. For this, he presents two proofs. Here, we display his rst proof because it anticipates the denition of the Riemann integral. The second proof will be given at beginning of Section 3.3 on series of real numbers. We use his method to calculate the area A of the parabolic segment tpx, y q P R2 : x P r0, 1s ^ 0 y 1 x2 u that is contained the rectangle r0, 1sr0, 1s, see Fig. 60. He approximates A by what would be called upper and lower sums today, but the construction of those sums was geometrically motivated. We slightly alter that construction, but otherwise closely follow his method. For this, we divide the x-axis into intervals of equal lengths, for instance, into four intervals r0, 1{4s , r1{4, 2{4s , r2{4, 3{4s , r3{4, 4{4s

211

y 1

1 4

1 2

3 4

Fig. 61: The yellow area gives the upper bound U4 for A, compare text.

of equal lengths 1{4. Then the sum U4 of the areas of the two-dimensional intervals r0, 1{4s r 0, 1 p0{4q2 s , r1{4, 2{4s r 0, 1 p1{4q2 s , r2{4, 3{4s r 0, 1 p2{4q2 s , r3{4, 4{4s r 0, 1 p3{4q2 s given by 3 k2 1 1 2 U4 4 k 0 4 exceeds A, and the sum L4 of the areas of the two-dimensional intervals r0, 1{4s r 0, 1 p1{4q2 s , r1{4, 2{4s r 0, 1 p2{4q2 s , r2{4, 3{4s r 0, 1 p3{4q2 s , r3{4, 4{4s r 0, 1 p4{4q2 s given by 4 1 k2 L4 1 2 4 k 1 4 212

y 1

1 4

1 2

3 4

Fig. 62: The yellow area gives the lower bound L4 for A, compare text.

is smaller than A, L4 A U4 . In the same way, by division of the x-domain into intervals of equal lengths 1{n, where n P N , we arrive at n1 n 1 k2 1 k2 Un 1 2 , Ln 1 2 n k 0 n n k1 n and the inequalities Ln A Un . Since Un Ln we conclude that Ln A Ln ` 1 1 n 2 , n n n 1 . n

213

Further, 1 Ln n n n k2 1 2 pn ` 1qp2n ` 1q n 1 k 1 n2 n 3 k 1 6n2 k 1 1 1 1 1` 1` 1 3 n 2n

where it has been used that


n k 1

k2

1 npn ` 1qp2n ` 1q . 6

The last formula was known to Archimedes. He proved it in his treatise on spirals [37]. Of course, it is tempting (and correct) to take the limit n 8 to conclude that 1 2 2 lim Ln A lim Ln , A lim Ln ` n8 n8 n8 3 n 3 and hence that 2 . (2.6.1) 3 Below, the Riemann integral of f : r0, 1s R dened by f pxq : 1 x2 for every x P r0, 1s, will be dened essentially as the common limit of the sequences L1 , L2 , . . . and U1 , U2 , . . . , which give the area enclosed by the graph of f and the coordinate axes, and denoted by 1 f pxq dx A
0

where Leibnizs sign is a stylized S and is intended to remind of the summation involved in the denition of the integral. Hence the previous reasoning shows that 1 2 f pxq dx . 3 0 214

Note that (2.6.1) presupposes an intuitive geometric notion of the area A. Today, the limits would be used for the denition of A. As derivatives of functions are used to dene tangents at curves, integrals of functions are used to dene areas (or volumes in Calculus III). Also, note that the whole calculation, including the limit value, uses only rational numbers and therefore does not pose a problem to ancient Greek mathematics. In other cases where the quadrature failed, like the quadrature of the circle, that area was not describable by a rational number. Finally, instead of (2.6.1), Archimedes showed an equivalent result that expressed A in terms of a rational multiple of the area of a triangle inscribed into the parabolic segment. For the last result, we refer to the beginning of Section 3.3 in Calculus II on series of real numbers. We return to the question of showing that A 2{3. Since there was no limit concept at the time, this proof had to be performed by a so called double reductio ad absurdum, i.e., by leading both assumptions that A 2{3 and that A 2{3 to a contradiction which leaves only the option that A 2{3. Since 2 3n ` 1 2 3n 1 2 1 2 1 Ln A Un ` ` , 2 2 3 n 3 6n 3 6n 3 n this can be done as follows. For this, we assume that A p2{3q ` for some 0. Then, it follows for n 1{ that 2 1 2 2 `A ` ` . 3 3 n 3 On the other hand, if A p2{3q for some 0, it follows for n 1{ that 2 2 1 2 A . 3 3 n 3 Hence the only remaining possibility is that A 2{3. Of course, in ancient Greece only rational were considered in such analysis. A generalization of Archimedes result to natural powers of x were made 215

only in the 17th century by Descartes and Fermat, but unpublished, and in 1647 by Bonaventura Cavalieri [24]. The next decisive step was the discovery of the fundamental theorem of calculus independently by Newton [83] and Leibniz [68], see Theorems 2.6.19, 2.6.21, i.e., the realization that differentiation and integration are inverse processes. For motivation of that theorem, we go back to the start of Section 2.4 to the discussion of Galileos results on bodies in free fall near the surface of the earth. Starting from the fallen distance sptq at time t, sptq 1 2 gt 2 (2.6.2)

for all t 0, we determined the instantaneous speed v ptq of the body at time t as the derivative v ptq s 1 ptq gt where g 9.81m{sec2 is the acceleration of the earths gravitational eld. We now investigate the reverse question, how to calculate sptq from the instantaneous speeds between times 0 and t. There are two main approaches to this problem. The rst uses that v ptq s 1 ptq for every t 0 and concludes that s is the anti-derivative of v such that sp0q 0 and hence (by application of Theorem 2.5.7) is given by (2.6.2). A second approach leading on integration uses the following relation between s and v . For every t 0 and n P N , it follows that k k`1 s t s t sptq sp0q n n k 0 ` 1 `k n 1 s k` t s n t k`1 k n t t . k `1 k n n t t n n k 0
n 1

216

vt

m sec

10 8 6 4 2 t sec

0.2

0.4

0.6

0.8

1.2

Fig. 63: S6 p1.2q is given by the yellow area under Gpv q.

For k P t0, . . . , n 1u, s `k ` k `1 t s n t n k `1 k t n t n

is the average speed in the time interval k k`1 t, t . n n In this case, it is given by ` 1 `k 2 2 s k` t s t k` ngt k ` 1 k n n gt k `1 k 2 n n n t n t n k gt v t ` n 2n

1 2

in terms of the instantaneous speed v at the beginning of the time interval. 217

Hence, we conclude that n1 gt2 k t gt2 sptq sp0q ` v t Sn ptq ` 2n k0 n n 2n where Sn ptq : This leads on sptq sp0q lim
n8 n 1 k 0 n 1 k 0

k t t . n n

k t t . n n

Note that the sum Sn ptq has the geometrical interpretation of an area under Gpv q, see Fig. 63. Below the limit n 1 t k t lim v n8 n n k 0 will coincide with the integral of the function v over the interval r0, ts which is denoted by
t

v p q d .
0

Hence sptq sp0q

t v p q d
0

gives the relation between instantaneous speed and the distance traveled between times 0 and t. It is satised for the motion in one dimension in general. The last relation gives the connection between the integral of v over the interval r0, ts, t 0, and its anti-derivative s. It constitutes a special case of the fundamental theorem of calculus and is valid for a wide class of functions v . From the knowledge of an anti-derivative s of v , i.e., some function s such that s 1 p q v p q for all P r0, ts, this relation allows the calculation of the integral of v over the interval r0, ts. 218

As a consequence of the discovery of the fundamental theorem of calculus, during the 18th century, the integral was generally regarded as the inverse of the derivative, i.e., the statement of the fundamental theorem of calculus was used to dene the integral. Only in cases where an anti-derivative could not be found, denitions of the integral as a limit of some sort of sums or an area under a curve were used to derive approximations. In particular, the notion of area was still considered intuitive such that no precise denition was needed. At the beginning of the 19th century, the work of Fourier made it necessary to dene integrals also of discontinuous functions. Cauchy was the rst to give a denition for continuous functions. Still, it contained an unnatural element in a preference of function values assumed at left ends of intervals used to subdivide the domain of such a function. The rst fully satisfactory denition, applicable to a large class of discontinuous functions, was given by Bernhard Riemann in 1854 in his habilitation thesis [87]. The equivalent denition used in this text is due to Jean-Gaston Darboux. After this introduction, we start with natural denitions of the length of intervals, partitions of intervals and corresponding lower and upper sums of bounded functions. Such sums already appeared in the previous calculation of the area of the parabolic segment and in the motivation of the fundamental theorem of calculus. They corresponded to partitions of intervals into subintervals of equal length. In the limit of vanishing length, we arrived at the area A as well as at integrals of v . Below, the size of a partition generalizes that length. On the other hand, we will allow for much general partitions of intervals in the denition of the integral. As a consequence, those partitions cannot be characterized by a single parameter, and hence a denition of the integral in form of a simple limit is not possible. Such limit is replaced by the supremum of lower sums and the inmum of upper sums which is required to coincide for integrable functions. Denition 2.6.1.

219

(i) Let a, b P R be such that a b. We dene the lengths of the corresponding intervals pa, bq, pa, bs, ra, bq, ra, bs by lppa, bqq lppa, bsq lpra, bqq lpra, bsq : b a . A partition P of ra, bs is an ordered sequence pa0 , . . . , a q of elements of ra, bs such that a a0 a1 a b where is an element of N . Since pa, bq is such a partition of ra, bs, the set of all partitions of that interval is non-empty. A partition P 1 of ra, bs is called a renement of P if P is a subsequence of P 1 . (ii) A partition P pa0 , . . . , a q of a bounded closed interval I of R induces a division of I into, in general non-disjoint, subintervals I
1 j 0

Ij , Ij : raj , aj `1 s , j 0, . . . , .

The size of P is dened as the maximum of the lengths of these subintervals. In addition, we dene for every bounded function f on I the lower sum Lpf, P q and upper sum U pf, P q corresponding to P by: Lpf, P q : U pf, P q :
1 j 0 1 j 0

inf tf pxq : x P Ij u lpIj q , suptf pxq : x P Ij u lpIj q .

Note that if K 0 is such that |f pxq| K for all x P I , it follows that K inf tf pxq : x P J u suptf pxq : x P J u K 220

for every subset J of I and hence that |Lpf, P q| |U pf, P q|


1 j 0 1 j 0

| inf tf pxq : x P Ij u| lpIj q K

1 j 0

lpIj q K lpI q , lpIj q K lpI q .

| suptf pxq : x P Ij u| lpIj q K

1 j 0

As a consequence, the sets tLpf, P q : P P Pu , tU pf, P q : P P Pu are bounded where P denotes the set of all partitions of I . Example 2.6.2. Consider the interval I : r0, 1s and the continuous function f : I R dened by f pxq : x for all x P I . P0 : p0, 1q , P1 : p0, 1{2, 1q are partitions of I . The size of P0 is 1, whereas the size of P1 is 1{2. Also, P1 is a renement of P0 . Finally, Lpf, P0 q 0 1 0 , U pf, P0 q 1 1 1 , 1 1 1 1 Lpf, P1 q 0 ` , 2 2 2 4 1 3 1 1 U pf, P1 q ` 1 2 2 2 4 and hence Lpf, P0 q Lpf, P1 q U pf, P1 q U pf, P0 q . Intuitively, it is to be expected that a renement of a partition of an interval leads to a decrease of corresponding upper sums and an increase of corresponding lower sums as has also been found in the special case in the previous example. Indeed, this is intuition is correct. 221

Lemma 2.6.3. Let f be a bounded real-valued function on a closed interval I of R. Further, let P, P 1 be partitions of I , and in particular let P 1 be a renement of P . Then Lpf, P q Lpf, P 1 q U pf, P 1 q U pf, P q . (2.6.3)

Proof. The middle inequality is obvious from the denition of lower and upper sums given in Def 2.6.1(ii). Further, let P pa0 , . . . , a q be a partition of [a,b] where P N and a0 , . . . , a P ra, bs. Obviously, for the proof of the remaining inequalities it is sufcient (by the method of induction) to 1 1 P I is such that , a1 , . . . , a q where a1 assume that P 1 pa0 , a1
1 a0 a1 a1

and where we simplied to keep the notation simple. Then Lpf, P 1 q Lpf, P q 1 1 1 1 inf tf pxq : x P ra0 , a1 su lpra0 , a1 sq ` inf tf pxq : x P ra1 , a1 su lpra1 , a1 sq inf tf pxq : x P ra0 , a1 su lpra0 , a1 sq 1 1 inf tf pxq : x P ra0 , a1 su tlpra0 , a1 sq ` lpra1 , a1 sq lpra0 , a1 squ 0 . Analogously, it follows that U pf, P 1 q U pf, P q 0 and hence, nally, (2.6.3). As a consequence of their denition, lower sums are smaller than upper sums. It is not difcult to show that the same is true for the supremum of the lower sums and the inmum of the upper sums. Theorem 2.6.4. Let f be a bounded real-valued function on the interval ra, bs of R and P be the set of all partitions of ra, bs where a and b are some elements of R such that a b. Then supptLpf, P q : P P Puq inf ptU pf, P q : P P Puq . 222 (2.6.4)

Proof. By Theorem 2.6.3, it follows for all P1 , P2 P P that Lpf, P1 q Lpf, P q U pf, P q U pf, P2 q , where P P P is some corresponding common renement, and hence that supptLpf, P1 q : P1 P Puq U pf, P2 q and (2.6.4). As a consequence of Lemma 2.6.3 and since every partition P of some interval of R is a renement of the trivial partition containing only its initial and endpoints, we can make the following denition. Denition 2.6.5. (The Riemann integral) Let f be a bounded real-valued function on the interval ra, bs of R where a and b are some elements of R such that a b. Denote by P the set consisting of all partitions of ra, bs. We say that f is Riemann-integrable on ra, bs if supptLpf, P q : P P Puq inf ptU pf, P q : P P Puq . In that case, we dene the integral of f on ra, bs by b f pxq dx : supptLpf, P q : P P Puq inf ptU pf, P q : P P Puq .
a

In particular if f pxq 0 for all x P ra, bs, we dene the area A under the graph of f by
b

A :
a

f pxq dx .

Example 2.6.6. Let f be a constant function of value c P R on some interval ra, bs of R where a and b are some elements of R such that a b. In particular, f is bounded. Further, let P pa0 , . . . , a q be a partition of ra, bs where P N and a0 , . . . , a P ra, bs. Then Lpf, P q U pf, P q
1 k0

c lprak , ak`1 sq 223

1 k 0

c pak`1 ak q

1 k0

pak`1 ak q c pb aq .

Hence all lower and upper sums are equal to c pb aq. As a consequence, f is Riemann-integrable and b f pxq dx c pb aq .
a

Note that this result can restated as saying that b dx


a

is given by the difference of the values the antiderivative pra, bs R, x xq of the integrand at b and a. That this is not just accidental will be seen later on. The same is also true in more general cases as specied in the version Theorem 2.6.21 of the fundamental theorem of calculus. Note that according to the previous example, the integral of every function dened on an interval containing precisely one point is zero. The value of the function in this point does not affect the value of the integral. This observation will lead further down to the denition of so called zero sets. Example 2.6.7. Consider the function f : ra, bs R dened by f p xq : x , for all x P ra, bs where a and b are some elements of R such that a b. Since f pxq |x| max |a|, |b| for every x P ra, bs, f is bounded. For every n P N , dene the partition Pn of ra, bs by n p b aq ba ,...,a ` b . Pn : a, a ` n n Calculate Lpf, Pn q and U pf, Pn q for all n P N . Show that f is Riemannintegrable over ra, bs and calculate the value of b f pxq dx .
a

224

Solution: We have: I and n1 j pb aq b a pb aq2 L pf, Pn q a` a p b aq ` j n n n2 j 0 j 0 pb aq2 1 pb aq2 n pn 1q a pb aq ` 1 , a p b aq ` n2 2 2 n


n 1 j 0 n 1 n 1 j 0

j pb aq pj ` 1qpb aq a` ,a ` n n

U pf, Pn q

pj ` 1qpb aq b a a` n n

a p b aq `

n1 p b aq 2 n pb aq2 p j ` 1 q a p b a q ` pn ` 1q 2 n2 n 2 j 0 pb aq2 1 a p b aq ` 1` , 2 n

Hence
n8

lim L pf, Pn q lim U pf, Pn q


n8

1 p b 2 a2 q . 2

As a consequence, it follows that 1 pb2 a2 q supptLpf, P q : P P Puq 2 and that inf ptU pf, P q : P P Puq and hence by Theorem 2.6.4 that supptLpf, P q : P P Puq inf ptU pf, P q : P P Puq 225 1 p b 2 a2 q 2 1 p b 2 a2 q 2

where P denotes the set of partitions of ra, bs. Hence f is Riemann-integrable and b 1 x dx pb2 a2 q . 2 a Note that the last result can be restated as saying that b x dx
a

is given by the difference of the values the antiderivative pra, bs R, x x2 {2q of the integrand at b and a. That this is not just accidental will be seen later on. The same is also true in more general cases as specied in the version Theorem 2.6.21 of the fundamental theorem of calculus. In the past, we have seen that the property of convergence of a sequence as well as of the continuity and differentiability of functions is automatically transferred to sums, products and quotients, see Theorems 2.3.4, 2.3.46, 2.3.48 and 2.4.8. Also did this fact considerably simplify the process of the decision whether a given sequence is convergent or given functions are continuous or differentiable. In many cases, this is an obvious consequence of the convergence of elementary sequences as well as of the continuity or differentiability of elementary functions. For these reasons, it is natural to ask whether multiples, sums, products and quotients of integrable functions are integrable as well. Indeed, this is the case for multiples, sums and products. In the case of quotients, this is the case if the divisor is in addition nowhere vanishing, and if the quotient is bounded. The corresponding proof is relatively simple in the case of multiples and sums of integrable functions and is part of the following theorem. In the case of products and quotients, the statement is a consequence of Lebesgues criterion for Riemann-integrability, Theorem 2.6.13, which is proved in the appendix. Within the denition of Riemann-integrability above, we also dened the area under the graph of a positive integrable function in terms of its integral. This is reasonable in view of applications only if that integral is positive. This positivity is a simple consequence of the positivity of the lower sums.

226

Theorem 2.6.8. (Linearity and positivity of the integral) Let f, g be bounded and Riemann-integrable on the interval ra, bs of R where a and b are elements of R such that a b and c P R. Then f ` g and cf are Riemann-integrable on ra, bs and b b b pf pxq ` g pxqq dx f pxq dx ` g pxq dx , a a a b b cf pxq dx c f pxq dx .
a a

If f is in addition positive, then b f pxq dx 0 .


a

Proof. In the following, we denote by P the set of all partitions of ra, bs. First, if M1 0 and M2 0 are such that |f pxq| M1 and |g pxq| M2 , then |pf ` g qpxq| |f pxq ` g pxq| |f pxq| ` |g pxq| M1 ` M2 , |pcf qpxq| |cf pxq| |c| |f pxq| |c|M1 for all x P ra, bs and hence f ` g and cf are bounded for every c P R. Second, it follows for every subinterval J of I : ra, bs that inf tf pxq : x P J u ` inf tg pxq : x P J u f pxq ` g pxq pf ` g qpxq , pf ` g qpxq f pxq ` g pxq suptf pxq : x P J u ` suptg pxq : x P J u for all x P J and hence that inf tf pxq : x P J u ` inf tg pxq : x P J u inf tpf ` g qpxq : x P J u suptpf ` g qpxq : x P J u suptf pxq : x P J u ` suptg pxq : x P J u . Hence it follows for every partition P of I that Lpf, P q ` Lpg, P q Lpf ` g, P q U pf ` g, P q 227

U pf, P q ` U pg, P q . If n P N , by rening partitions, we can construct Pn P P such that b b 1 1 f pxq dx Lpf, Pn q , g pxq dx Lpg, Pn q , 2n 2n a a b b 1 1 f pxq dx ` g pxq dx ` U pf, Pn q , U pg, Pn q . 2n 2n a a Hence b

1 f pxq dx ` g pxq dx Lpf ` g, Pn q U pf ` g, Pn q n a a b b 1 f pxq dx ` g pxq dx ` n a a

and b 1 suptLpf ` g, P q : P P Pu n a a b b 1 inf tU pf ` g, P q : P P Pu f pxq dx ` g pxq dx ` . n a a f pxq dx ` g pxq dx b

Since the last is true for every n P N , we conclude that suptLpf ` g, P q : P P Pu inf tU pf ` g, P q : P P Pu b b f pxq dx ` g pxq dx .
a a

Hence f ` g is Riemann-integrable and b b b pf pxq ` g pxqq dx f pxq dx ` g pxq dx .


a a a

Further, if c 0, it follows for every subinterval J of I that inf tcf pxq : x P J u c inf tf pxq : x P J u , 228

suptcf pxq : x P J u c suptf pxq : x P J u and hence that Lpcf, P q c Lpf, P q , U pcf, P q c U pf, P q for every partition P of I . The last implies that b suptLpcf, P q : P P Pu c suptLpf, P q : P P Pu c f pxq dx , a b inf tU pcf, P q : P P Pu c inf tU pf, P q : P P Pu c f pxq dx .
a

If c 0, it follows for every subinterval J of I that inf tcf pxq : x P J u c suptf pxq : x P J u , suptcf pxq : x P J u c inf tf pxq : x P J u and hence that Lpcf, P q c U pf, P q , U pcf, P q c Lpf, P q for every partition P of I . The last implies that b suptLpcf, P q : P P Pu c inf tU pf, P q : P P Pu c
a b

f pxq dx , f pxq dx .
a

inf tU pcf, P q : P P Pu c suptLpf, P q : P P Pu c Hence it follows in both cases that b b cf pxq dx c f pxq dx .
a a

Finally, if f is such that f pxq 0 for all x P I , then inf tf pxq : x P J u 0 229

for all subintervals J of I and hence Lpf, P q 0 for every partition P of I . As a consequence, b f pxq dx suptLpf, P q : P P Pu 0 .
a

The Riemann integral can be viewed as a map into the real numbers with domain given by the set of bounded Riemann-integrable functions over some bounded closed interval I of R. According to the previous theorem, that map is linear, i.e., the integral of the sum of such functions is equal to the sums of their corresponding integrals and the integral of a scalar multiple of such a function is given by that multiple of the integral of that function. In addition, it is positive, in the sense that it maps such functions which are in addition positive, i.e., which assume only positive ( 0) values, into a positive real number. It is easy to see that the linearity and positivity of the map implies also its monotony, i.e., if such functions f and g satisfy f g , dened by f pxq g pxq for all x P I , then the integral of f is equal or smaller than the integral of g . Corollary 2.6.9. (Monotony of the integral) Let f, g be bounded and Riemann-integrable on the interval ra, bs of R where a and b are elements of R such that a b, and in addition let f pxq g pxq for all x P ra, bs. Then
b b

f pxq dx
a a

g pxq dx .

Proof. For this, we dene the auxiliary function h : ra, bs R by hpxq : g pxq f pxq for all x P ra, bs. According to Theorem 2.6.8, h is bounded and Riemann-integrable. Finally, since f pxq g pxq for all x P ra, bs, it follows that hpxq 0 for all x P ra, bs. Hence it follows by the linearity and positivity of the integral that b b b b b 0 hpxq dx g pxq dx ` rf pxqs dx g pxq dx f pxq dx
a a a a a

230

and hence that

b f pxq dx
a

b g pxq dx .
a

The reader might have wondered why we did not dene divisions of intervals induced by partitions in such a way that they contain only pairwise disjoint intervals, although that would have been possible. In our denition subsequent intervals in a division contain a common point. Hence, in a certain sense, associated upper and lower sums count the values of the function in such points twice. The reason for our denition is that it is technically simpler than one which uses pairwise disjoint intervals and that the use of a denition of the latter type would have led to the same integral. The last is reected by the fact that values of functions in individual points dont inuence the value of the integral. For this note that by Example 2.6.6, it follows that the integral of any function dened on a interval containing only one point is zero. The value of the function in this point does not affect the value of the integral. The reason behind this behavior is, of course, the fact that we dened the length of intervals as the difference between their right and left boundary. Hence the length of an interval containing only one point is zero. Such intervals are examples of so called zero sets. The values assumed by a function on a zero set do not inuence the value of the integral. There are several denitions of zero sets possible. The following common denition uses the intuition that they should be, in some sense, of vanishing length. Denition 2.6.10. (Sets of measure zero) A subset S of R is said to have measure zero if for every 0 there is a corresponding sequence I0 , I1 , . . . of open subintervals of R such that the union of those intervals contains S and at the same time such that n lim lpIk q .
n8 k 0

Remark 2.6.11. Note that any nite subset of R and also any subset of a set of measure zero has measure zero. 231

Theorem 2.6.12. Every countable subset S of R is a set of measure zero. Proof. Since S is countable, there is a bijection : N S . Let 0 and dene for each n P N the corresponding interval In : ppnq {2n`3 , pnq ` {2n`3 q. Then for each N P N: ` 1 N `1 N `1 N N n`2 1 1 1 2 lpIn q 1 1 2 4 2 2 1 2 n0 n0 and hence
N 8 N k 0

lim

lpIk q

. 2

So far, we proved existence of the integral only in few simple cases. The following celebrated theorem due to Henri Lebesgue changes this. It gives a characterization of Riemann-integrability. Because of its technical character, the proof is transferred to the Appendix. Theorem 2.6.13. (Lebesgues criterion for Riemann-integrability) Let f : ra, bs R be bounded where a and b are some elements of R such that a b. Further, let D be the set of discontinuities of f . Then f is Riemann-integrable if and only if D is a set of measure zero. Proof. See the proof of Theorem 5.2.6 in the Appendix. Remark 2.6.14. A property is said to hold almost everywhere on a subset S of R if it holds everywhere on S except for a set of measure zero. Thus, Theorem 2.6.13 states that a bounded function on a non-trivial bounded and closed interval of R is Riemann-integrable if and only if the function is almost everywhere continuous. Since |f pxq| a rf pxqs2

for every x P ra, bs, if f is bounded and Riemann-integrable on the interval ra, bs of R, where a and b are elements of R such that a b, we conclude by 232

application of the previous theorem that also |f | is bounded and Riemannintegrable. Since f pxq |f pxq| f pxq for all x P ra, bs, it follows by the monotony of the Riemann integral, Corollary 2.6.9, that b b b f pxq dx |f pxq| dx f pxq dx
a a a

and hence that

b b f pxq dx |f pxq| dx .
a a

The last estimate is frequently applied. For a rst application, see Example 2.6.16. As a consequence, we proved the following theorem. Theorem 2.6.15. Let f be bounded and Riemann-integrable on the interval ra, bs of R where a and b are elements of R such that a b. Then |f | is bounded and Riemann-integrable and b b f pxq dx |f pxq| dx .
a a

Example 2.6.16. For many functions that are important for applications, there are integral representations which are often crucial for the derivation of their properties. For instance, for every n P Z, the corresponding Bessel function of the rst kind Jn satises 1 Jn pxq cospx sin nq d 0 for all x P R and is the solution of the differential equation x2 f 2 pxq ` xf 1 pxq ` px2 n2 qf pxq 0 , for all x P R. By Corollary 2.6.9, it follows the simple estimate 1 1 | cospx sin nq| d d 1 |Jn pxq| 0 0 233

y 1

20

20

0.5

Fig. 64: Graph of J0 .

for all x P R and hence that Jn is a bounded function. Bessel functions occur frequently in the description of physical systems that are axially symmetric, i.e., symmetric with respect to rotations around an axis. Within the denition of Riemann-integrability above, we also dened the area under the graph of an bounded integrable function that assumes only positive ( 0) values in terms of its integral. Geometric intuition suggests that areas are additive, that is, if A is the set under the graph of a bounded integrable function and A is the disjoint union of two such sets B and C , we expect that the area of A is equal to the sum of the areas of B and C . Indeed in the following, it will be shown that this intuition is reected in the additivity of the integral. Theorem 2.6.17. (Additivity of upper and lower Integrals) Let f : ra, bs R be bounded where a and b are some elements of R such that a b and c P ra, bs. Then supptLpf, P q : P P Puq supptLpf |ra,cs , P q : P P Pra,cs uq ` supptLpf |rc,bs , P q : P P Prc,bs uq , inf ptU pf, P q : P P Puq inf ptU pf |ra,cs , P q : P P Pra,cs uq ` inf ptU pf |rc,bs , P q : P P Prc,bs uq 234

where P, Pra,cs , Prc,bs denote the set consisting of all partitions of ra, bs, ra, cs and rc, bs, respectively. Proof. For this, let P1 pa0 , . . . , a q P Pra,cs and P2 pa `1 , . . . , a ` q P Prc,bs , where , are some elements of N , and P : pa0 , . . . , a , a `1 , . . . , a ` q the corresponding element of P. Then Lpf, P q Lpf |ra,cs , P1 q ` Lpf |rc,bs , P2 q , U pf, P q U pf |ra,cs , P1 q ` U pf |rc,bs , P2 q . Now let 0. Obviously because of Lemma 2.6.3, we can assume without restriction that P is such that supptLpf, P q : P P Puq Lpf, P q , 3 supptLpf |ra,cs , P q : P P Pra,cs uq Lpf, P1 q , 3 supptLpf |rc,bs , P q : P P Prc,bs uq Lpf, P2 q . 3 Then also supptLpf, P q : P P Puq supptLpf |ra,cs , P q : P P Pra,cs uq supptLpf |rc,bs , P q : P P Prc,bs uq . Analogously because of Lemma 2.6.3, we can also assume without restriction that P is such that U pf, P q inf ptU pf, P q : P P Puq , 3 U pf, P1 q inf ptU pf |ra,cs , P q : P P Pra,cs uq , 3 U pf, P2 q inf ptU pf |rc,bs , P q : P P Prc,bs uq . 3 Then also inf ptU pf, P q : P P Puq inf ptLpf |ra,cs , P q : P P Pra,cs uq 235

inf ptLpf |rc,bs , P q : P P Prc,bs uq .

Corollary 2.6.18. (Additivity of the Riemann Integral) Let f : ra, bs R be bounded and Riemann-integrable where a and b are some elements of R such that a b, and c P ra, bs. Then b f pxq dx
a a

c f pxq dx `

b f pxq dx .
c

Proof. The statement is a simple consequence of Theorem 2.6.13 and Lemma 2.6.17. So far, we calculated the value of the integral only in some simple cases and from its denition. At the moment, by help of the linearity of the integral and the results in these cases, we can calculate integrals of linear functions over bounded closed intervals of R, only. The next fundamental theorem will give us a powerful tool for such calculation. Below, that fundamental theorem will be given in two variations. Both are direct consequences of the additivity. The rst displays that integration and differentiation are inverse processes. The second is a consequence of the rst. For a certain class of integrands, it allows the calculation of the integral from the knowledge of the values of an antiderivative its integrand at the ends of the interval of integration. Theorem 2.6.19. Let f : ra, bs R be bounded and Riemann-integrable where a and b are some elements of R such that a b. Then F : ra, bs R dened by
x

F pxq :
a

f ptq dt

for every x P ra, bs is continuous. Furthermore, if f is continuous in some point x P pa, bq, then F is differentiable in x and F 1 p xq f p xq . 236

Proof. For x, y P ra, bs, it follows by the Corollaries 2.6.18, 2.6.9 that y |F py q F pxq| f ptq dt M | y x|
x

if y x as well as that x |F py q F pxq| f ptq dt M | y x|


y

if y x, where M 0 is such that |f ptq| M for all t P ra, bs, and hence the continuity of F . Further, let f be continuous in some point x P pa, bq. Hence given 0, there is 0 such that |f ptq f pxq| for all t P ra, bs such that |t x| . (Otherwise, there is some 0 along with a sequence t0 , t1 , . . . in ra, bs such that |f ptn q f pxq| and |tn x| 1{n for all n P N. Then t0 , t1 , . . . is converging to x, but f pt0 q, f pt1 q, . . . is not convergent to f pxq. ) Now let h P R be such that |h| and small enough such that x ` h P pa, bq. We consider the cases h 0 and h 0. In the rst case, it follows by Theorem 2.6.13 and Corollary 2.6.18, 2.6.9 that x`h x F px ` hq F pxq 1 f ptq dt f pxq f pxq f ptq dt h h a a x x x`h 1 f ptq dt f pxq f ptq dt ` f ptq dt h x a xa 1 `h 1 x`h r f p t q f p x qs dt |f ptq f pxq| dt . h h x x Analogously, in the second case it follows that x`h x 1 F px ` hq F pxq f pxq f ptq dt f ptq dt f pxq h h a a 237

x`h x`h x 1 f ptq dt f ptq dt f ptq dt f pxq h a a x`h x x 1 1 r f p t q f p x qs dt |f ptq f pxq| dt . h |h| x`h x`h Hence it follows that F px ` hq F pxq f pxq h0,h0 h lim and that F is differentiable in x with derivative f pxq. Remark 2.6.20. Note that because of Theorem 2.6.13, the function F in Theorem 2.6.19 is differentiable with derivative f pxq for almost all x P pa, bq. Theorem 2.6.21. (Fundamental Theorem of Calculus) Let f : ra, bs R be bounded and Riemann-integrable where a and b are some elements of R such that a b. Further, let F be a continuous function on ra, bs as well as differentiable on pa, bq such that F 1 pxq f pxq, for all x P pa, bq. Then b f pxq dx F pbq F paq .
a

In calculations, we sometimes use the notation rF pxqs |b a : F pbq F paq . Proof. Let 0 and P pa0 , . . . , a q be a partition of ra, bs where is an element of N . By Theorem 2.5.6 for every j P t0, 1, . . . , 1u, there is a corresponding cj P raj , aj `1 s such that F paj `1 q F paj q F 1 pcj qpaj `1 aj q where we dene F 1 paq : f paq and F 1 pbq : f pbq. Hence F p b q F p aq
1 j 0

rF paj `1 q F paj qs 238

1 j 0

f pcj qpaj `1 aj q .

and Lpf, P q F pbq F paq U pf, P q . Hence supptLpf, P q : P P Puq F pbq F paq inf ptU pf, P q : P P Puq supptLpf, P q : P P Puq .

Example 2.6.22. Calculate 7 sin


0

x 3

dx . x

Solution: By f pxq : 7 sin

3 for all x P r0, s, there is dened a continuous and hence Riemann-integrable function on r0, s. Further by x F pxq : 21 cos 3 for all x P r0, s, there is dened a continuous function on r0, s which is differentiable on p0, q such that g 1 pxq f pxq for all x P p0, q. Hence by Theorem 2.6.21 x 21 21 sin dx 21 cos ` 21 cosp0q 21 . 3 3 2 2 0 Example 2.6.23. A simple number theoretic function is the greatest integer or oor function dened by rxs : n for all x P rn, n ` 1q and n P N. Calculate
x 0

ry s dy
0

,
x

ry s dy

for all x 0 and x 0, respectively. Solution: Note that the greatest integer functions is almost everywhere continuous and hence according to 239

y 4 2 x

2 2 4

Fig. 65: Graph of the greatest integer function and anti-derivative.

Theorem 2.6.13 also Riemann-integrable on any closed interval of R. For every n P N and every x P rn, n ` 1q, it follows by Corollary 2.6.18 and Theorem 2.6.21 that x n x x n 1 k `1 ry s dy ` n dy ry s dy ry s dy ` ry s dy
0 n 1 k`1 0 n n 1 k0 k n

k 0 k

k dy ` npx nq

k ` npx nq

k 0 n`1 1 ` r xs n pn 1q ` npx nq n x rxs x . 2 2 2 Analogously, it follows for every n P Z such that n 1 and every x P rn, n ` 1q that 0 ry s dy
x x

n`1 ry s dy `

0 ry s dy
n`1

n`1 n dy `
x

1 k `1 kn`1 k

ry s dy

240

npn ` 1 xq `

1 k`1 kn`1 k

k dy npn ` 1 xq ` n`1 x 2

1 kn`1

k .

n npn ` 1 xq pn ` 1q n 2 See Fig. 65.

1 ` r xs rxs x 2

A basic method for the evaluation of integrals with trigonometric integrands consists in the application of the addition theorems for sine and cosine. Example 2.6.24. Calculate sinpmq sinpnq d
0

where m, n P N . Solution: By help of the addition theorem for the cosine function, it follows that cosppm ` nqq cospmq cospnq sinpmq sinpnq , cosppm nqq cospmq cospnq ` sinpmq sinpnq , and hence that sinpmq sinpnq 1 r cosppm nqq cosppm nqq s 2

for all P R. This leads to 1 r cosppm nqq cosppm ` nqq s d sinpmq sinpnq d 2 0 0 1 1 r sinppm nqq s r sinppm ` nqq s 0 0 0 2pm nq 2pm ` nq if m n and 1 r 1 cosppm ` nqq s d sinpmq sinpnq d 2 0 0 1 r sinppm ` nqq s 0 2 2pm ` nq 2 if m n. 241

Example 2.6.25. Find the solutions of the following (differential) equation for f : R R: f 1 pxq e2x ` sinp3xq (2.6.5) for all x P R. Solution: If f is such function, it follows that f is continuously differentiable. Hence it follows by Theorem 2.6.21 that x x 1 f py q dy pe2y ` sinp3y qq dy f p xq f p x0 q x0 x0 x 1 2y 1 1 1 1 1 e cosp3y q e2x cosp3xq e2x0 ` cosp3x0 q 2 3 2 3 2 3 x0 where x0 P R and x x0 . Hence f pxq for all x P R where c f p0q 1 1 1 ` f p0q . 2 3 6 1 2x 1 e cosp3xq ` c , 2 3

On the other hand if c P R and fc : R R is dened by fc pxq : 1 2x 1 e cosp3xq ` c 2 3

for all x P R, then it follows by direct calculation that fc satises (2.6.5) for all x P R. Hence the solutions of the differential equation are given by the family of functions fc , c P R. Note that c f p0q p1{6q. Hence for every c P R, there is precisely one solution of the differential equation with initial value f p0q c. The same is true for initial values given in any other point of R. Example 2.6.26. Find the solutions of the following differential equation for f : R R. f 1 pxq ` af pxq 3 (2.6.6)

242

for all x P R where a P R. Solution: If f is such function, it follows that f is continuously differentiable. Further, by using the auxiliary function h : R R dened by hpxq : eax for every x P R, it follows that phf q 1 pxq hpxqf 1 pxq ` h 1 pxqf pxq eax f 1 pxq ` aeax f pxq eax rf 1 pxq ` af pxqs 3 eax for all x P R. Hence it follows by Theorem 2.6.21 that x 3 3 phf qpxq phf qpx0 q 3 eay dy eax eax0 a a x0 and therefore that phf qpxq phf qpx0 q ` 3 3 p1 eax0 q ` peax 1q a a 3 ax pe 1q ` c a

for x x0 where x0 P R. From this, we conclude that phf qpxq and f p xq 3 p1 eax q ` c eax a

for all x P R where c f p0q. On the other hand if c P R and fc : R R is dened by 3 fc pxq : p1 eax q ` c eax a for all x P R, then it follows by direct calculation that fc satises (2.6.6) for all x P R. Hence the solutions of the differential equation are given by the family of functions fc , c P R. Note that c f p0q. Hence for every c P R, there is precisely one solution of the differential equation with initial value f p0q c. The same is true for initial values given in any other point of R. 243

Problems 1) Calculate 3 px2 ` 5x ` 7q dx a)


2 2

2 , d) , h)
2

b)
0

9 t2{3 dt 2

c)
1

pe 2

2x

3xq dx dx ,

e)
1 1

4 ? 3x x

sinpxq dx , 3 4 ? f) 3x ` 2 dx , 5 x 3x ` 5 dx x3 , 3 , , dx , k)
1 1 2

g) i)
0

0 {2

x dx 2x2 ` 1

1 sinpx{2q cospx{2q dx dx 3 4 sinpxq cos2 pxq dx 5 x ` | 5x 3 |2 dx

j) l) m) n) o) q)
0 2 2 5

|3x 4| dx

{2 3 1 2

1 |x 1| ` 4|x ` 1| 3

5 | x 1 | | x ` 1 | | x ` 2 | dx , 2 4 3 {6 | sinpx{2q| dx , p) | cosp3xq| dx
{6

, ,

0 2

2 sinpmq sinpnq d cospmq cospnq d , r)


0

sinpmq cospnq d

s)
0

where m, n P N . 2) Dene f : R R by $? &?3 p1 ` xq if x 1{2 f p xq : 3{2 if 1{2 x 1{2 %? 3 p1 xq if 1{2 x for every x P R. Calculate the area in R2 that is enclosed by the graph of f and the x-axis. Verify your result using facts from elementary

244

geometry. Use the result to calculate the area enclosed by a hexagon of side length 1. 3) Calculate the area in R2 that is enclosed by the graphs of the polynomials p1 pxq : 1 ` p7{2q x x2 , p2 pxq : 4 p7{2q x ` x2 where x P R. 4) Calculate the area in R2 that is enclosed by the curve C : tpx, y q P R2 : y 2 4x2 ` 4x4 0u . 5) Show that cospxq 1 for all x P r0, {2s. 6) Find the solutions to the differential equation for f : R R. a) f 1 pxq 3f pxq x{2 , x P R , b) f 1 pxq ` 3f pxq ex{4 , x P R , c) 2f 1 pxq f pxq 3 ex , x P R . 7) Consider the following differential equation for f : R R. f 2 pxq 3x ` 4 for all x P R. a) Find the solutions of this equation. b) Find that solution which satises f p0q 1 and f 1 p0q 2. c) Find that solution which satises f p0q 2 and f p1q 3. 8) Calculate a0 : 2 1 1 2 f pxq dx , ak : cospkxqf pxq dx , 2 0 0 1 2 bk : sinpkxqf pxq dx 0 x2

for all k P N . a) # f pxq : 1 1 if x P r0, s , if x P p, 2 s

245

b) f pxq : x for all x P r0, 2 s , c) # f pxq : x if x P r0, s . 2 x if x P p, 2 s

Remark: These are the coefcients of the Fourier expansion of f . The representation # + n f pxq lim a0 ` lim rak cospkxq ` bk sinpkxqs
n8 k 1

is valid for every point x P r0, 2 s of continuity of f .

9) Calculate the area in R2 that is enclosed by the ellipse " * 2 y2 2 x C : px, y q P R : 2 ` 2 1 a b where a, b 0. 10) Calculate the area in R2 that is enclosed by the branches of hyperbolas * " x2 y2 2 C1 : px, y q P R : y 0 ^ 2 2 1 , a b " * py cq2 x2 2 C2 : px, y q P R : y c ^ 2 1 a2 b where a, b 0 and c a. 11) Let a, b P R be such that a b. Further, let f : ra, bs R be positive, i.e., such that f pxq 0 for all x P ra, bs, and assume a value 0 in some point of ra, bs. Show that b f pxq dx 0 .
a

12) Let a, b P R be such that a b. Further, let f : ra, bs R and g : ra, bs R be bounded and Riemann-integrable. Show the following Cauchy-Schwartz inequality for integrals: 2
b b b

f pxqg pxq dx
a

f 2 pxq dx
a

g 2 pxq dx

246

In addition, show that equality holds if and only if there are , P R satisfying that 2 ` 2 0 and such that f ` g 0. Hint: Consider
b

r f pxq ` g pxq s2 dx
a

as a function of P R.

13) Newtons equation of motion for a point particle of mass m 0 moving on a straight line is given by mf 2 ptq F pf ptqq (2.6.7)

for all t P R where f ptq is the position of the particle at time t and F pxq is the external force at the point x. For the specied force, calculate the solution function f of (2.6.7) with initial position f p0q x0 and initial speed f 1 p0q v0 where x0 , v0 P R. a) F pxq 0 , x P R , b) F pxq F0 , x P R where F0 is some real parameter . 14) Newtons equation of motion for a point particle of mass m 0 moving on a straight line under the inuence of a viscous friction is given by mf 2 ptq f 1 ptq (2.6.8) for all t P R where f ptq is the position of the particle at time t and 0 is a parameter describing the strength of the friction. Calculate the solution function f of (2.6.8) with initial position f p0q x0 and initial speed f 1 p0q v0 where x0 , v0 P R. Investigate, whether f has a limit value for t 8. 15) Newtons equation of motion for a point particle of mass m 0 moving on a straight line under the inuence of low viscous friction, for instance friction exerted by air, is given by mf 2 ptq pf 1 ptqq2 (2.6.9)

for all t P R where f ptq is the position of the particle at time t and 0 is a parameter describing the strength of the friction. Find solutions f of (2.6.9) with initial position f p0q x0 and initial speed f 1 p0q v0 where x0 , v0 P R. 16) Consider a projectile that is shot into the atmosphere. According to Newtons equation of motion, the height f ptq above ground at time t P R satises the equation mf 2 ptq g pf 1 ptqq2 (2.6.10)

247

for all t P R where g 9.81m{s2 is the acceleration due to gravity and 0 is a parameter describing the strength of the friction. Find solutions f of (2.6.10) with initial height f p0q z0 and initial speed component f 1 p0q v0 where z0 , v0 P R.

248

3
3.1

Calculus II
Techniques of Integration

This section studies standard techniques of integration, namely the methods of change of variables (also referred to as integration by substitution), integration by parts, integration by decomposition of rational integrands into partial fractions and, nally, approximate numerical calculation of integrals. 3.1.1 Change of Variables

The method of change of variables (also referred to as integration by substitution) is based on the chain rule for differentiation. For motivation, we consider a continuously differentiable and increasing function g dened on a non-trivial open interval I of R and a continuously differentiable function F that is dened on an open interval containing Ranpg q. Further, let c, d P I be such that c d. Then it follows by the chain rule for differentiation that F g : I R is continuously differentiable with derivative given by pF g q 1 puq F 1 pg puqq g 1 puq for all u P I . Further, it follows by the fundamental theorem of calculus, Theorem 2.6.21, that gpdq F 1 pxq dx F pg pdqq F pg pcqq pF g qpdq pF g qpcq
g pcq

d
c

d pF g q puq du
c 1 1

F 1 pg puqq g 1 puq du .

Hence by dening f : F , we arrive at the formula for the change of variables gpdq d f pxq dx f pg puqq g 1 puq du
g pcq c

249

for f . We note that the previous reasoning proves the validity of this equation if, in addition to the assumptions above on g , c and d, f is a continuous function that is dened on a open interval of containing Ranpg q for which there is a antiderivative F , i.e., for which there is a differentiable function F : Dpf q R such that F 1 pxq f pxq for all x P Dpf q. In the proof of the following theorem, the last is concluded from the continuity of the function f and the fundamental theorem of calculus in the form of Theorem 2.6.19. Theorem 3.1.1. (Change of variables) Let c, d P R such that c d. Further, let g : rc, ds R be continuous, such that g pcq g pdq and continuously differentiable on pc, dq with a derivative which can be extended to a continuous function on rc, ds. Finally, let I be an open interval interval of R containing g prc, dsq and f : I R be continuous. Then gpdq f pxq dx
g pcq c

d f pg puqq g 1 puq du . (3.1.1)

Proof. In the special case that g is a constant function, the statement of the theorem is obviously true. In the remainder of this proof, we consider the case of a non-constant g . We denote by g 1 the extension of the derivative of g |pc,dq to a continuous function on rc, ds and dene G : rc, ds R by u f pg pu qq g 1 pu q du Gpuq :
c

for all u P rc, ds. By Theorem 2.6.19 it follows that G is continuous as well as differentiable on pc, dq with G 1 puq f pg puqq g 1 puq for all u P pc, dq. Further, we dene F : rx0 , x1 s R by x F pxq :
x0

gpcq f px q dx
x0 1 1

f px 1 q dx 1

250

for all x P rx0 , x1 s where x0 , x1 P I are such that x0 is smaller than the minimum value of g and x1 is larger than the maximum value of g , respectively. By Theorem 2.6.19 it follows that F is continuous as well as differentiable on px0 , x1 q with F 1 pxq f pxq for all x P px0 , x1 q. Hence it follows by Theorems 2.3.51, 2.4.10 that F g is continuous as well as differentiable on pc, dq with pF g q 1 puq f pg puqq g 1 puq G 1 puq for all u P pc, dq. From Theorem 2.5.7 and F pg pcqq Gpcq 0, it follows that F g G and hence by Corollary 2.6.18 also (3.1.1). Example 3.1.2. Calculate 3
1

? x x 1 dx .

Solution: For this, we dene g : R R by g puq : u ` 1 for all u P R. Then g is increasing and continuously differentiable with a derivative function constant of value 1. In particular, g p0q 1 and g p2q a 3. Further, we dene the continuous function f : R R by f pxq : x |x 1| for all x P R. Hence it follows by Theorem 3.1.1 that 2 gp2q 3 ? f pg puqq g 1 puq du f pxq dx x x 1 dx
2 g p0q 0

2 ? 2 5{2 2 3{2 3{2 1{2 pu ` 1q u du p u ` u q du u ` u 5 3 0 0 0 2 2 22 3{2 44 ? p3u ` 5q u3{2 2 2. 15 15 15 0 2 2 Note that, we could have achieved this result also by the following more simple reasoning. 3 3 ? ? x x 1 dx px 1 ` 1q x 1 dx
1 1

251

3
1

px 1q

3{2

` px 1q

1{2

3 2 3{2 p3x ` 2q px 1q 15 1

3 2 2 5{2 3{2 dx px 1q ` px 1q 5 3 1 22 3{2 44 ? 2 2. 15 15

Simple substitutions can often be avoided by application of such simple tricks. Below, we will give some examples where this is not the case. Example 3.1.3. Calculate 2
1

sinpln xq dx . x

Solution: For this, we dene g : R R by g puq : eu for all u P R. Then g is increasing and continuously differentiable with derivative g 1 puq eu for all u P R. In particular, g p0q 1 and g pln 2q exppln 2q 2. Further, we dene the continuous function f : p0, 8q R by f pxq : sinpln xq{x for all x 0. Then, it follows by Theorem 3.1.1 that gpln 2q ln 2 2 sinpln xq dx f pxq dx f pg puqq g 1 puq du x g p0q 0 1 ln 2 lnp2q u sinpln e q u 2 e du sin u du r cos us |ln 1 cospln 2q 0 u e 0 0 ln 2 ln 2 ln 2 ln 2 2 2 2 1 cos ` sin 2 sin 1 cos 2 2 2 2 2 where, in particular, the addition theorem for the cosine was applied. The reason for continuing the simplication of the result 1 cospln 2q is motivated by applications. Usually in applications, a calculation of the previous type is only a small step in a sequence of steps toward a nal result. Hence, typically, such result would be needed as input for the next step. Therefore, it is useful to reduce results in their size in order to avoid a nal result of even larger size. Usually, the implications of results of relatively large size are less obvious. Note also that, the nal expression 252

makes obvious the positivity of the integral which is due to the positivity of the integrand in the interval of integration. The last can be seen from the inequality 0 ln x x 1 for all x P r1, 2s where the inequality (2.5.12) for the case a 1 was applied. Quite generally, such a consistency check of the signs of results can avoid errors. Also in this case, the application of change of variables could have been avoided. Usually, for a successful application of the method of change of variables, the presence of an inner function in the integrand is needed. The function g in Theorem 3.1.1 is then dened in such a way that that inner function is simplied. In many simple cases, the derivative of that inner function is also present in the integrand. Often, this can be used to guess an antiderivative F of the integrand. For instance in this case, an obvious candidate for an inner function is the natural logarithm function ln. Since ln 1 pxq 1{x for all x 0, we see that its derivative is also present in the integrand. Hence a rst guess (incorrect) for such F might be F pxq : sinpln xq for all x 0. Then it would follow by the chain rule for differentiation that F 1 pxq cospln xq cospln xq 1 x x

for all x 0. F 1 does not coincide with the integrand on the interval r1, 2s because of the presence of the cosine function instead of the sine function. Of course, there is a simple remedy for this. A second (correct) guess for such F would be F pxq : cospln xq for all x 0. As a consequence of the chain rule for differentiation, this gives 1 sinpln xq F 1 pxq sinpln xq x x 253

and hence that F is a antiderivative of the integrand. Hence, we conclude by the fundamental theorem of calculus that 2 sinpln xq ln 2 2 2 dx r cospln xqs |1 1 cospln 2q 2 sin . x 2 1 We give now in succession four examples of more serious applications of change of variables. The rst three give standard trigonometric substitutions whose goal is the removal of square roots in integrands. The fourth example gives a standard substitution that is used to transform rational expression in sine and cosine functions of the same argument into rational expressions of the new variable. Example 3.1.4. Calculate x
0

dy a y 2 ` a2

for every x 0 where a 0. Solution: Dene g : p {2, {2q R by g pq : a tan for all P p {2, {2q. Then g is a bijective as well as continuously differentiable such that g 1 pq a p1 ` tan2 q for all P p {2, {2q. The inverse g 1 is given by x g 1 pxq : arctan a for all x P R. By Theorem 3.1.1 x gpg1 pxqq g1 pxq dy dy g 1 pq d a a a pg pqq2 ` a2 y 2 ` a2 y 2 ` a2 0 g p0q 0 c g1 pxq d 1 ` sinpg 1 pxqq x x2 ln ln ` 1` 2 . cos cospg 1 pxqq a a 0 254

Example 3.1.5. Calculate 2? 9 x2 dx .


0

Solution: Dene g : p {2, {2q p3, 3q by g pq : 3 sin for all P p {2, {2q. Then g is a bijective as well as continuously differentiable such that g 1 pq 3 cos for all P p {2, {2q. The inverse g 1 is given by x g 1 pxq arcsin 3 for all x P p3, 3q. By Theorem 3.1.1 gparcsinp2{3qq ? 2? 2 9 x dx 9 x2 dx
0 g p0q

arcsinp2{3q a
0

arcsinp2{3q 9 pg pqq2 g pq d 9
0 1

cos2 d

9 p1 ` cosp2qq d 2 0 9 1 2 arcsin ` sinp2 arcsinp2{3qq 2 3 2 ? 2 2 9 2 9 arcsin ` cosparcsinp2{3qq 5 ` arcsin . 2 3 3 2 3

arcsinp2{3q

Example 3.1.6. Calculate 5 x4


4

? x2 9 dx .

Solution: Dene g : p0, {2q p3, 8q by g pq : 3 cos for all P p0, {2q. Then g is a bijective as well as continuously differentiable such that sin g 1 p q 3 cos2 255

for all P p0, {2q. The inverse g 1 is given by 3 1 g pxq arccos x for all x P p3, 8q. By Theorem 3.1.1 5 x
4 4

gparccosp3{5qq ? ? 2 x 9 dx x4 x2 9 dx
g parccosp3{4qq

arccosp3{5q
arccosp3{4q

pg pqq4

pg pqq2 9 g 1 pq d

1 arccosp3{5q cos sin2 d 9 arccosp3{4q ? 1 1 3 sin parccosp3{5qq sin3 parccosp3{4qq rp4{5q3 p 7{4q3 s . 27 27 Example 3.1.7. Calculate {2
0

d . 5 ` 4 cos

Solution: Dene g : R p, q by g pxq : 2 arctan x for all x P R. This is a standard substitution to transform a rational integrand in sin and cos into a rational integrand. Then g is bijective as well as continuously differentiable such that g 1 p xq 2 1 ` x2

for all x P R. The inverse g 1 is given by g 1 pq : tan p{2q 256

1 2

Fig. 66: Graphs of solutions of the differential equation (3.1.2) in the case that a 1 with initial values , {2, {2 and at x 0. Compare Example 3.1.8.

for all P p, q. By Theorem 3.1.1 {2 gp1q 1 d d g 1 pxq dx 5 ` 4 cos 0 g p0q 5 ` 4 cos 0 5 ` 4 cospg pxqq 1 1 1 g pxq dx g 1 pxq dx g pxq 0 5 ` 4 2 cos2 0 2 1 5`4 1 2 xq 1`tan2 p gp 2 q 1 1 2 dx dx 2 1 ` 2 2 arctan . 2 2 3 3 5 ` 4 1`x2 1 0 1`x 0 x `9 Note that cospg pxqq for all x P R. The following example gives a typical application of change of variables to the solution of (separable) ordinary differential equations of the rst order. 257 1 x2 2x , sinpg pxqq . 2 1`x 1 ` x2

Example 3.1.8. Find solutions of the following differential equation for f : R R with the specied initial values. f 1 pxq a sinpf pxqq (3.1.2)

for all x P R where a 0, f p0q P p0, q. Solution: If f is such function, it follows that f is continuously differentiable. Since f p0q P p0, q, it follows by the continuity of f the existence of an open interval c, d P R such that c 0 d and such that f p[c, d]q p0, q. Since a 0 and the sine function is 0 on the interval [0, ], it follows from (3.1.2) that x1 f px1 q f px0 q ` f px1 q f px0 q f px0 q ` f 1 pxq dx x0 x1 f px0 q ` a sinpf pxqq dx f px0 q
x0

for all x0 , x1 P [c, d] such that x0 x1 . In addition, the restriction of f to [c, d] is non-constant since the sine function has no zeros on p0, q. Hence we conclude from (3.1.2) by Theorem 3.1.1 for x P [c, d] that x ap x c q
c

x a du
c

f 1 puq du sinpf puqq

f pxq
f pcq

d . sinpq

Further, it follows by use of the transformation g from the previous Example 3.1.7 and Theorem 3.1.1 that f pxq
f pcq

d sinpq

tanpf pxq{2q
tanpf pcq{2q

tanpf pxq{2q d g 1 p xq dx g ptanpf pcq{2qq sinp q tanpf pcq{2q sinpg pxqq dx tanpf pxq{2q ln . x tanpf pcq{2q

gptanpf pxq{2qq

Hence it follows that apx cq ln tanpf pxq{2q tanpf pcq{2q (3.1.3)

258

which leads to f pcq apxcq . e f pxq 2 arctan tan 2 From (3.1.3), we conclude that f pcq ac f p0q tan e tan . 2 2 Substituting this identity into (3.1.3) gives f p0q ax f pxq 2 arctan tan e . 2 On the other hand, for every c P p, q, it follows by elementary calculation that f : R R dened by c f pxq : 2 arctan tan eax 2 for all x P R satises (3.1.2) and f p0q c. As a side remark, note that for every k P Z the constant function of value k is a solution of (3.1.2). In addition, if f is a solution of (3.1.2), then for every k P Z also fk : R R dened by fk pxq : f pxq ` 2k q for every x P R is a solution of (3.1.2). For the motivation of the following theorem, we consider the map R : pR2 R2 dened by Rpx, y q : px, y q for all px, y q P R2 . A geometrical interpretation of R is that of a reection in the y -axis. This can be seen as follows. For this, let px, y q be some point in R2 . Then the line segment from px, y q to Rpx, y q px, y q, at the intersection p0, y q with the y -axis, is at a right angle with the y -axis and both points px, y q and Rpx, y q are at a distance |x| from the y -axis. Therefore, R meets the geometrical denition of the reection in the y -axis. Intuitively (according to elementary geometry), we would not expect that 259 (3.1.4)

y 4

2 1 x

Fig. 67: The line segment from p1, 3q to Rp1, 3q p1, 3q intersects the y -axis at a right angle and is halved by that axis. The yellow rectangles are mapped onto each other by R. Compare text.

such reection changes areas, i.e., if S is some subset of R2 of area A, then we expect that the set RpS q has the same area. For instance, a rectangle ra, bs rc, ds in R2 , where a b and c d, is mapped by R into the rectangle Rp ra, bs rc, ds q rb, as rc, ds . Both rectangles have the same area pb aqpd cq. Within the denition of Riemann-integrability above, we dened the area under the graph of a bounded integrable f : ra, bs R, where a, b P R are such that a b, that assumes only positive ( 0) values by b f pxq dx .
a

260

: rb, as R dened by f pxq : We consider the associated function f f pxq for all x P rb, as. We claim that the graph of f is the image of the graph of f under R, i.e., q RpGpf qq . Gpf Indeed, if x P rb, as, then x P ra, bs and pxqq px, f pxqq Rpx, f pxqq P RpGpf qq . px, f Also, if x P ra, bs, then x P rb, as and pxqq P Gpf q . Rpx, f pxqq px, f pxqq px, f ppxqqq px, f is bounded, integrable and that the area under Therefore, we expect that f is equal to the area under the graph of f , i.e., that the graph of f a b f pxq dx . (3.1.5) f pxq dx
a b

Indeed, it is shown within the proof of the following theorem that this is the case. Note that we can view this result as a kind of change of variables. For this, we dene g : R R by g pxq : x. The g is decreasing and continuously differentiable with a derivative function which is constant of value 1. Hence g does not satisfy the assumptions of Theorem 3.1.1. In particular, g paq a and g pbq b. A formal application of the change of variable formula (3.1.1) would give b b f pxq dx f pg puqq g 1 puq du pincorrectq
a a

which does not make sense according to our denitions because a b. The correct formula (3.1.5), can be obtained from this formula by exchange of the integration limits. Theorem 3.1.9. Let f be a bounded Riemann-integrable function on ra, bs where a and b are some elements of R such that a b. Then b a f pxq dx f pxq dx .
a b

261

y 4 3 2 1 x

Fig. 68: The graphs of p r2, 1s R, x pxq2 q and and p r1, 2s R, x x2 q are reection symmetric with respect to the y -axis. Compare text.

Proof. Dene f : rb, as R by f pxq : f pxq for all x P rb, as. Then f is bounded, and for any partition P pa0 , . . . , a q of ra, bs where P N , a0 , . . . , a P ra, bs, P : pa , . . . , a0 q it is a partition of rb, as, and in particular Lpf, P q Lpf , P q, U pf, P q U pf , P q. Analogously, for any partition P pa0 , . . . , a q of rb, as where P N , a0 , . . . , a P rb, as, P : pa , . . . , a0 q is a partition of ra, bs, and in particular Lpf , P q Lpf, P q, U pf , P q U pf, P q. Hence the set consisting of the lower sums of f is equal to the set of lower sums of f and the set consisting of the upper sums of f is equal to the corresponding set of upper sums of f . The following example displays a typical application of the previous theorem to functions f that are dened on intervals that are symmetric to the origin, i.e., of the form ra, as, where a 0, as well as bounded, integrable and antisymmetric, i.e., such that f pxq f pxq for all x P ra, as. Their integrals vanish.

262

Example 3.1.10. Calculate 1 3 sinp2xq dx .


1

Solution: By Theorem 3.1.9, it follows that 1 1 1 3 sinp2xq dx 3 sinp2xq dx 3 sinp2xq dx


1 1 1

and hence that

1 3 sinp2xq dx 0 .
1

A variation of the previous reasoning is displayed in the next example. Example 3.1.11. Calculate x sin2 pxq dx .
0

Solution: First by Theorem 3.1.9, it follows that 0 0 2 2 x sin pxq dx pxq sin pxq dx x sin2 pxq dx .
0

Further, it follows by Theorem 3.1.1 and Example 2.6.24 that 0 2 x sin pxq dx py q sin2 py q dy 0 2 2 2 y sin py q dy ` sin py q dy y sin2 py q dy ` 2 0 0 0 and, nally, that x sin2 pxq dx
0

2 . 4

263

Another typical application of Theorem 3.1.9 applies to functions f dened on intervals that are symmetric to the origin, i.e., of the form ra, as, where a 0, that are bounded, integrable and symmetric, i.e., such that f pxq f pxq for all x P ra, as. The value of the integral of such a function is twice the value of the corresponding integral of its restrictions to r0, as. Example 3.1.12. Show that sinpxq sinpxq dx 2 dx . x x 0 Solution: By Corollary 2.6.18 and Theorem 3.1.9, it follows that 0 sinpxq sinpxq sinpxq dx dx ` dx x x x 0 sinpxq sinpxq sinpxq dx ` dx 2 dx . x x x 0 0 0 Remark 3.1.13. The solution of following problem n) from 1) illustrates the general rule that one should never blindfoldly rely on computer programs. In Mathematica 5.1, the command Integraterpx^ 2 2x ` 4q^ t3{2u, tx, 1, 2us gives the output 1 p68 ` 27 Logr3sq 16 which is incorrect.

Problems 1) Calculate the value of the integral. For this, if the antiderivative of the integrand is not obvious, use a suitable substitution. 1 1 1{2 a) p2x ` 1q dx , b) u p2u ` 1q1{2 du ,
0 0

264

1 c)
1

3 x p3x ` 1q
2 1{2

dx

d)
2

? ,
2

5 e) g) i)
0 1 x

px 2q2 sin ? sinp xq ? dx x tanpq d ,

3 3

x x2 h)

dx 1

s ds , 2s2 ` 3 2 4u ` 2 f) du 2 2 u ` u 12 du 4 , ?
2

u eu
0

{2

x P r0, {2q , 2 , ? l)
1

j)

x dx x`2

k) m)

4b ? 3 ` x dx 3 c b
6

3`
3 7

2`

x dx

x1{2 dx , x 1 {3 ` 4 2 dx n) 2 2x ` 4q3{2 p x 1

o) q) s) u)

3 dx dx ? ? , p) , 2 2 2 x 4 x2 ` 9 3 x 1 x {2 2 d dx ? , r) , 2 2 sinp3q ` 2 5x 0 1 x a {2 d 1 ` sinp2q d , t) sin p q ` 2 cospq 0 0 {2 4 cos pq d . 4 4 {2 sin p q ` cos p q

2) Let a P R, f : ra, as R be Riemann-integrable and g : R R be Riemann-integrable over every interval rb, cs where b, c P R are such that b c. Show that a) a f pxq dx 0
a

if f is antisymmetric, i.e., if f pxq f pxq for all x P ra, as. b) a f pxq dx 2


a 0

a f pxq dx

if f is symmetric, i.e., if f pxq f pxq for all x P ra, as. c) c f pxq dx


b b`

c` f pxq dx

265

if b, c P R are such that b c and f is periodic with period 0, i.e., if f px ` q f pxq for all x P R. 3) Calculate the area in ( 8, 0 ]2 that is enclosed by the strophoid ( C : px, y q P R2 : pa xq y 2 pa ` xq x2 0 where a 0. 4) Find solutions of the following differential equation for f : R R with the specied initial values. f 1 pxq 2 cospf pxqq ` 3 for all x P R, f p0q P [ , q.

3.1.2

Integration by Parts

The method of integration by parts is based on the product rule for differentiation. For motivation, we consider continuous functions F : ra, bs R and G : ra, bs R whose restrictions to the open interval pa, bq are differentiable with derivatives which can be extended to bounded Riemannintegrable functions f : ra, bs R and g : ra, bs R, respectively. Then it follows by the fundamental theorem of calculus and the product rule for differentiation that b F pbqGpbq F paqGpaq pF Gq 1 pxq dx a b rF 1 pxqGpxq ` F pxqG 1 pxqs dx a b b 1 F pxqGpxq dx ` F pxqG 1 pxq dx a a b b f pxqGpxq dx ` F pxqg pxq dx
a a

and hence that b b F pxqg pxq dx F pbqGpbq F paqGpaq f pxqGpxq dx .


a a

266

We note the sign change and how antiderivatives, denoted by capital letters, switch positions inside the integrals. A typical application of the last formula consists in the following steps. The integrand of a given integral needs to be represented by a product of functions. Its rst function will be differentiated in the process. It is an antiderivative of that derivative. The last will appear as the rst factor in the transformed integrand. For the second function an antiderivative should be available. That antiderivative will appear as the second factor in the transformed integrand. The nal result is obtained in form of a difference. The minuend is given by the difference of the product of the rst factor with the antiderivative of the second factor evaluated at the upper limit of integration and the value of that product at the lower limit of integration. The subtrahend is given by the integral over the original interval of integration with the transformed integrand. Theorem 3.1.14. (Integration by parts) Let f , g be bounded Riemannintegrable functions on ra, bs where a and b are elements of R such that a b. Further, let F, G be continuous functions on ra, bs which are differentiable on pa, bq and such that F 1 pxq f pxq and G 1 pxq g pxq for all x P pa, bq. Then b b F pxqg pxq dx F pbqGpbq F paqGpaq f pxqGpxq dx .
a a

Proof. First as a consequence of Theorem 2.6.13, f G and F g are both Riemann-integrable as products of Riemann-integrable functions. Moreover, F G is continuous and differentiable such that pF Gq 1 pxq f pxqGpxq` F pxqg pxq for all x P pa, bq, and f G ` F g is Riemann-integrable by Theorem 2.6.8 as a sum of Riemann-integrable functions. Hence by Theorem 2.6.21 b b b ` f pxqGpxqdx ` F pxqg pxqdx f pxqGpxq ` F pxqg pxq dx
a a a

F pbqGpbq F paqGpaq .

267

The rst example gives a typical application of integration by parts where the occurrence of the derivative of the rst factor in the transformed integrand is used to lower the order of a polynomial appearing in the original integral. Example 3.1.15. Calculate x cosp3xq dx .
0

Solution: Dene F, G, f, g : r0, s R by F pxq : x , g pxq : cosp3xq , f pxq : 1 , Gpxq : 1 sinp3xq 3

for all x P r0, s. Hence by Theorems 3.1.14, 2.6.21: 1 1 2 1 sinp3xq dx cosp3 q cosp0q . x cosp3xq dx 3 0 9 9 9 0 Another typical application consists in a repeated use of integration by parts until the original integral reappears, but multiplied by a factor which is different from 1. In such a case the resulting equation can be solved for the original integral. Example 3.1.16. Calculate ex sinp2xq dx .
0

Solution: Dene F, G, f, g : r0, s R by 1 F pxq : ex , g pxq : sinp2xq , f pxq : ex , Gpxq : cosp2xq 2 for all x P r0, s. Then by Theorem 3.1.14, 1 1 x x e sinp2xq dx p1 e q ` e cosp2xq dx 2 2 0 0 268

(3.1.6)

To determine the last integral, dene F, G, f, g : r0, s R by F pxq : ex , g pxq : cosp2xq , f pxq : ex , Gpxq : for all x P r0, s. Then by Theorem 3.1.14, 1 x 1 x e cosp2xq dx e sinp2xq dx . 2 0 4 0 and hence by (3.1.6), (3.1.7) nally: 2 ex sinp2xq dx pe 1q . 5 0 Of course, every integrand can be represented by its product with the constant function of value 1. Such a representation can sometimes lead to a successful application of the method of partial integration as in the following example. Example 3.1.17. Calculate e lnp4xq dx .
1

1 sinp2xq 2

(3.1.7)

Solution: Dene F, G, f, g : r1, es R by F pxq : lnp4xq , g pxq : 1 , f pxq : 1 , Gpxq : x x

for all x P r0, es. Then by Theorem 3.1.14, e e lnp4xq dx p1 ` ln 4q e ln 4 dx pe 1q ln 4 ` 1 .


1 1

Often, the method of partial integration can be used to derive a recursion relation for an integral containing a parameter. Such a case is considered in the following example. In particular, its result will lead to the subsequent Wallis product representation of . 269

Example 3.1.18. Calculate In :


0

sinn pxq dx

for n P N . Solution: For n 1, 2, we conclude that sinpxq dx r cospxqs0 2 , sin2 pxq dx 0 0 1 1 1 r1 cosp2xqs dx x sinp2xq . 2 2 0 2 0 For n 3, we conclude by partial integration that n In sin pxq dx sinn1 pxq sinpxq dx 0 0 ( n1 sin pxqr cospxqs 0 pn 1q sinn2 pxq cospxqr cospxqs dx 0 pn 1q sinn2 pxq cos2 pxq dx 0 sinn2 pxqr1 sin2 pxqs dx pn 1qpIn2 In q pn 1q
0

and hence that

n1 In2 . n Hence we conclude by induction that In I2k`1 2 for all k P N zt0, 1u. The result from the previous example leads on John Wallis product representation of which will be used in the subsequent derivation of Stirlings formula and in the calculation of Gaussian integrals. 270 2 2k 1 2k 1 , I2k 3 2k ` 1 2 2k

3.3

3.2

3.1

10

20

30

40

50

Fig. 69: Sequences a1 , a2 , . . . and b1 , b2 , . . . from the proof of Wallis product representation for , Theorem 3.1.19, that converge to from below and above, respectively.

Theorem 3.1.19. (Wallis product representation of , 1656, [98]) 2 2 2k lim 4pk ` 1q . k8 3 2k ` 1 Proof. In this, we are using the notation from the previous example. Since 0 sinpxq 1 for all x P r0, s, it follows that sinn`1 pxq sinpxq sinn pxq sinn pxq for all x P r0, s and hence that n`1 In`1 sin pxq dx sinn pxq dx In
0 0

for all n P N . As a consequence, 2 2k 1 2k 1 2 I2k`1 I2k 3 2k ` 1 2 2k 271

I2k1 2 and 2

2pk 1q 2 3 2k 1

2 2k 2 4 2pk 1q 2k 2k ` 1 3 2k ` 1 1 3 2k 3 2k 1 2k ` 1 2 2k 2 ak : p4k ` 2q 3 2k ` 1 2pk 1q 2 4 2pk 1q 2k 2 2 3 2k 1 1 3 2k 3 2k 1 2 2 2pk 1q bk : 4k 3 2k 1

for k P N zt0, 1, 2u. Further, 2 2pk ` 1q 8pk ` 1q2 8k 2 ` 16k ` 8 2 1, 2k ` 3 p4k ` 2qp2k ` 3q 8k ` 16k ` 6 2 bk ` 1 2k 4k 2 ` 4k 4pk ` 1q 2 1, bk 4k 2k ` 1 4k ` 4k ` 1 2 4k 2k ` 1 p2k ` 1q 1 bk 1` ak 4k ` 2 2k 2k 2k 4k ` 6 ak ` 1 ak 4k ` 2 for all k P N zt0, 1, 2u. Hence the sequences a3 , a4 , . . . and are convergent, as increasing sequence that is bounded from above by and decreasing sequence that is bounded from below by , respectively, and converge to the same limit . Essentially as an application of Wallis product formula, we prove Stirlings asymptotic formula for factorials which is often used in applications . Theorem 3.1.20. (Stirlings formula, 1730, [92]) n! n n ? lim ? 2 . n8 n e 272 (3.1.8)

y 1.05 1.04 1.03 1.02 1.01 10 20 30 40 50 x

? Fig. 70: Graph of pp0, 8q R, x px ` 1q px{eqx { 2x q. Note that pn ` 1q n! for every n P N. See Theorem 3.1.20.

Proof. First, we notice that ln is concave since ln2 pxq 1{x2 0 for all x 0. Hence it follows by Theorem 2.5.33 that x`1 x`1 x`1 lnpy q dy lnpxq ` py xq ln dy lnpxq x x x x`1 1 x`1 1 x ln ` x` ln r lnpxq ` lnpx ` 1qs x 2 x 2 for all x 0. In addition, it follows from the Denition 2.5.29 of the concavity of a differentiable function that lnpy q lnpxq ` yx y px ` 1q , lnpy q lnpx ` 1q ` , x x`1

where x 0 and y 0, and hence that x`1 1 1 lnpy q dy lnpxq 1 ` 1 ` lnpxq ` , 2x 2x x 273

x`1 lnpy q dy lnpx ` 1q 1 ` 1


x

1 1 lnpx ` 1q 2px ` 1q 2px ` 1q

and x`1 1 1 lnpxq ` lnpx ` 1q ` 2x 2px ` 1q x 1 1 1 1 r lnpxq ` lnpx ` 1qs ` . 2 4 x x`1 1 lnpy q dy 2

Hence it follows that x`1 1 1 1 1 0 lnpy q dy r lnpxq ` lnpx ` 1qs 2 4 x x`1 x for all x 0 and hence that n n1 n1 1 1 1 1 r lnpk q ` lnpk ` 1qs lnpy q dy 0 2 k 1 4 k 1 k k ` 1 1 1 1 1 1 . 4 n 4 Therefore, we conclude that the sequence S1 , S2 , . . . , where n Sn :
1 n1 1 r lnpk q ` lnpk ` 1qs lnpy q dy 2 k 1

lnpnq lnpnq r y lnpy q y sn 1 lnpn!q ` 2 2 1 ? lnpnq n n n 1 ` ln n lnpnq pn 1q lnpn!q ` 2 n! e lnpy q dy lnpn!q `

for every n P N , is increasing as well as bounded from above and therefore convergent to an element of the closed interval form 0 to 1{4. Hence it follows also the existence of n! n n lim ? n8 n e 274

which will be denoted by a in the following. For the determination of its value, we use Wallis product. According to Theorem 3.1.19 2 2 2k 2pk ` 1q p2k k !q4 lim 2pk ` 1q lim k8 2k ` 1 p2k ` 1q rp2k q!s2 2 k8 3 2k ` 1 p2k k !q4 lim k8 p2k ` 1q rp2k q!s2 2k 2 k 4 ? 2k k 2p4k`1q k p2k k !q4 1 ? 2k lim 2 k8 p2k ` 1q rp2k q!s e k e 2k 2 k 4 ? 2k k pk !q4 1 k a2 ? 2 k . lim k8 2p2k ` 1q rp2k q!s2 e 4 k e ? Hence it follows that a 2 and, nally, (3.1.8). The example below gives another application of the method of partial integration to an integrand containing a parameter which leads on Eulers famous product representations of the sine and the cosine. These representations will be used later on in the proof of the reection formula for the gamma function. For the formulation of these representations, we need to introduce the product symbol. Denition 3.1.21. (Product symbol) If I is some non-empty nite index set and ai P R for every i P I , the symbol ai
iPI

denotes the product of all ai where i runs through the elements of I . Note that, as a consequence of the commutativity and associativity of multiplication, the order in which the products are performed is inessential. Example 3.1.22. ( Eulers product representation of the sine and cosine, 1748, [38]) Show that for every x P R n x x x2 lim 1 2 , sin 2 2 n8 k1 4k 275

cos

x 2

lim

n k 0

n8

x2 1 p2k ` 1q2

. (3.1.9)

Solution: For this, we dene for every n P N a corresponding In : R R by {2 cospxtq cosn ptq dt In pxq :
0

for every x P R. In particular, this implies that # 1 I0 pxq 2 sinpx{2q{px{2q

if x 0 , if x 0

for x R t1, 1u {2 {2 1 rcosppx ` 1qtq ` cosppx 1qtqs dt cospxtq cosptq dt I1 pxq 2 0 0 {2 1 sinppx ` 1qtq sinppx 1qtq cospx{2q ` , 2 x`1 x1 1 x2 0 for x P t1, 1u {2 I1 pxq
0

{2 cos ptq dt
0 2

1 r1 ` cosp2tqs dt 2

{2 1 1 t ` sinp2tq 2 2 4 0 and hence # {4 I1 pxq cospx{2q{p1 x2 q if x P t1, 1u . if x R t1, 1u

In the following, let x P R. T For n P N z t0, 1u, we conclude by partial integration that {2 {2 2 x In pxq x cosn ptq x cospxtq dt r x cosn ptq sinpxtqs 0
0

276

{2 `n
0

{2 sinptq cosn1 ptq x sinpxtq dt n sinptq cosn1 ptq cospxtq 0 cosn ptq pn 1q sin2 ptq cosn2 ptq cospxtq dt n cosn ptq pn 1q cosn2 ptq cospxtq dt

{2 `n
0

{2 n
0 2

n In pxq npn 1qIn2 pxq . Therefore, it follows that In2 pxq and hence that n 2 x2 In pxq npn 1q

In2 pxq x2 In pxq 1 2 . In2 p0q n In p0q From this, it follows by induction that n I0 pxq I2n pxq x2 1 , I0 p0q I2n p0q k1 p2k q2 n I1 pxq I2n`1 pxq x2 1 I1 p0q I2n`1 p0q k1 p2k ` 1q2 for every n P N . In the following, we show that In pxq 1. n8 In p0q lim For this, we note that |x|t | cospxtq 1| | cosp|x|tq 1| r sinpsqsds |x|t 0 for t 0. Hence it follows for every n P N that {2 |In pxq In p0q| r cospxtq 1s cosn ptq dt 0 277 (3.1.10)

{2 |x|
0

{2 t cosptq cos
n1

ptq dt |x|
0

sinptq cosn1 ptq dt

| x| n

where it has been used that t cosptq sinptq for 0 t {2. Hence it follows (3.1.10) and, nally, (3.1.9). For this, note that the second relation in (3.1.9) is trivially satised for x P t1, 1u. The following application of the method of partial integration to an integrand containing a parameter leads on a recursion formula that will be used in the method of integration of rational expressions by decomposition into partial fractions displayed in the next section. Example 3.1.23. Let m be some natural number 1, a P R and c 0. Dene F, G, f, g : R R by F py q : py 2 ` c2 qm , g py q : 1 , f py q : 2my py 2 ` c2 qpm`1q , Gpy q : y for all y P R. Then by Theorem 3.1.14 for every x a x x x a y 2 dy dy ` 2 m 2 2 m 2 2 m`1 px2 ` c2 qm pa2 ` c2 qm a py ` c q a py ` c q x a dy x 2 ` 2m 2 2 m 2 m 2 2 m px ` c q pa ` c q a py ` c q x dy 2mc2 2 2 m`1 a py ` c q and hence it follows the recursion (or reduction) formula x dy 1 x a 2 2 m`1 2mc2 px2 ` c2 qm pa2 ` c2 qm a py ` c q 2m 1 x dy ` , 2 2 2 m 2mc a py ` c q which is used in the method of integration by decomposition into partial fractions below. 278

The following nal example gives a another typical application of the method of partial integration. Also in this, the integrand contains a parameter. The method is used to derive an estimate for a special function, a Bessel function, dened in terms of an integral. It is a remarkable fact that estimates even of elementary functions are often easier to achieve by help of integral representations. Example 3.1.24. Show that |Jn pxq| 2 x 2 n x2

for all n P N and x P R such that 0 x n. Solution: Dene F pq : 1 , g pq : px cos nq cospx sin nq , x cos n x sinpq f pq : , Gpq : sinpx sin nq px cos nq2

for all P r0, s. Then by Theorem 3.1.14, 1 cospx sin nq d Jn pxq 0 1 x sinpq sinpx sin nq d , 0 px cos nq2 and hence 1 |Jn pxq|
0

x sinpq 2 x d . px cos nq2 n 2 x2

Problems 1) Calculate the value of the integral. In this, where applicable, n P N . 3 a)


0

{2 4t e
2 5t

dt

b)
0

r sinp2q ` 3 cosp7q s d

279

c)
0 1

2 e

cosp2q d

, , h)

d)
1

lnp2xq dx x2
? 2

, ,

1{ x2 arctanp3xq dx f)
0

e)
0

lnp2x2 ` 1q dx xn lnpxq dx
1

3 x sinpnxq dx , .

g)
0

2) Derive a reduction formula where the integral is expressed in terms of the same integral with a smaller n. In this n P N , a P R, x a and, where applicable, m P N, b, c P R . x x a) sinn py q dy , b) cosn py q dy , ax xa n by c) y e dy , d) y n sinpby q dy , a ax x n e) y cospby q dy , f) y m rlnpy qsn dy , a a x x cy g) e sinpby q dy , h) ecy cospby q dy .
a a

3) Let I be some non-empty open interval of R, h : I R a map and a, b P I be such that a b. a) If h is twice differentiable on I and such that hpaq hpbq 0, show that b 1 b px bqpx aqh 2 pxq dx . hpxq dx 2 a a b) If h is four times differentiable on I and such that hpaq hpbq h 1 paq h 1 pbq 0, show that b
a

1 hpxq dx 24

b px bq2 px aq2 h pivq pxq dx .


a

[Remark: Note that if h f p where f : I R is twice and four times differentiable, respectively, and p : I R is a polynomial function of the order 1, 3, respectively, then h 2 f 2 , h pivq f pivq , respectively. In connection with the above formulas, this fact is used in the estimation of the errors for the Trapezoid Rule / Simpson Rule for the numerical approximation of integrals. See Section 3.1.4.]

280

4) Let a, b P R be such that a b and f, g : ra, bs R be restrictions to ra, bs of twice continuously differentiable functions dened on open intervals of R containing ra, bs. In addition, let f paq f pbq 0 and g paq g pbq 0. a) Show that b g pxqf 2 pxq dx
a a

b g 2 pxqf pxq dx .

b) In addition, assume that f and g solve the differential equations f 2 pxq ` U pxq f pxq f pxq , g 2 pxq ` U pxq g pxq g pxq where U : ra, bs R is continuous and , P R are such that . Show that b f pxqg pxq dx 0 .
a

3.1.3

Partial Fractions

The method of integration of rational expressions by decomposition into partial fractions is suggested by the following simple observation. For this, let a1 , a2 , A1 , A2 P R. Then A2 A1 px a2 q ` A2 px a1 q A1 ` x a1 x a2 px a1 qpx a2 q pA1 ` A2 qx pA1 a2 ` A2 a1 q x 2 p a1 ` a2 q x ` a1 a2 for all x P R zta1 , a2 u. Note that for the left hand side of the last equation, as a function of x, there is an antiderivative which is given by A1 lnp|x a1 |q ` A2 lnp|x a2 |q for every x P R zta1 , a2 u.

281

On the other hand, for a given quotient p{q of polynomials p of rst order and q of second order an antiderivative is usually not obvious. Here we exclude the case that the quotient can be reduced to the quotient of a zero order polynomial and a rst order polynomial. Also, we assume that the coefcient of the leading order of q is equal to 1 which can always be achieved by appropriate denition of p and q . Therefore, for the purpose of integration, it is natural to try to represent such a quotient p{q in the form ppxq A1 A2 ` q pxq x a1 x a2 (3.1.11)

for all x P R z r ta1 , a2 u Y q 1 pt0uq s and for some a1 , a2 P R, A1 , A2 P R such that a1 a2 . In this, we notice that the vanishing of one of the coefcients A1 , A2 or a1 a2 would lead on the excluded case that the quotient can be reduced to a quotient of a zero order polynomial and a rst order polynomial. In the following, we will determine A1 , A2 , a1 and a2 . We immediately note from the singular behavior of the right hand side of equation (3.1.11) near a1 and a2 that q needs to vanish in the points a1 and a2 . This can also be shown as follows. The equation (3.1.11) implies that rA1 px a2 q ` A2 px a1 qs q pxq ppxqpx a1 qpx a2 q for all x P R z r ta1 , a2 u Y q 1 pt0uq s. Hence A1 pa1 a2 q q pa1 q lim rA1 px a2 q ` A2 px a1 qs q pxq
xa1

lim ppxqpx a1 qpx a2 q 0 ,


xa1 xa2

A2 pa2 a1 q q pa2 q lim rA1 px a2 q ` A2 px a1 qs q pxq lim ppxqpx a1 qpx a2 q 0 .


xa2

Since A1 0, A2 0 and a1 a2 , this implies that q pa1 q q pa2 q 0 . 282

Hence q has the two different zeros a1 , a2 and q pxq px a1 qpx a2 q for all x P R. Then (3.1.11) implies that ppxq A1 px a2 q ` A2 px a1 q for all x P R zta1 , a2 u and therefore that ppa1 q lim ppxq A1 pa1 a2 q , ppa2 q lim ppxq A2 pa2 a1 q .
xa1 xa2

The last system gives A1 ppa2 q ppa1 q , A2 . a2 a1 a2 a1

Indeed, if p is a polynomial of rst order and a1 , a2 P R are such that a1 a2 , then p p a1 q 1 ppa2 q 1 ` a2 a1 x a1 a2 a1 x a2 1 ppa1 qpx a2 q ` ppa2 qpx a1 q a2 a1 px a1 qpx a2 q

for all x P R zta1 , a2 u. In addition, ppa1 qpa1 a2 q ` ppa2 qpa1 a1 q ppa1 q a2 a1 ppa1 qpa2 a2 q ` ppa2 qpa2 a1 q ppa2 q. a2 a1 Hence ppa1 qpx a2 q ` ppa2 qpx a1 q ppxq a2 a1 ppxq ppa1 q 1 ppa2 q 1 ` px a1 qpx a2 q a2 a1 x a1 a2 a1 x a2 283

for all x P R and

for all x P R zta1 , a2 u gives a decomposition as required. In particular, an antiderivative of ppxq R zta1 , a2 u R , x px a1 qpx a2 q is given by p p a1 q ppa2 q lnp|x a1 |q ` lnp|x a2 |q a2 a1 a2 a1

for every x P R zta1 , a2 u. As noticed above, a decomposition of the type (3.1.11) is impossible if the polynomial q has a double zero or no real zero. For this reason, we try to nd a similar decomposition also for these cases. If q has a double zero a P R, then p{q is given by ppxq , px aq2 for all x P R ztau. Then p 1 paq px aq ` ppaq p 1 paq ppaq ppxq ` 2 2 px aq px aq x a px aq2 for all x P R ztau. Hence an antiderivative of ppxq R ztau R, x px aq2 is given by p 1 paq lnp|x a|q for every x P R ztau. Finally, if q has no real zero, then c 2 c2 q pxq x2 ` cx ` d x ` `d 2 4 284 ppaq xa

for all x P R where c, d P R are such that d c2 . 4

Further, p is given by ppxq ax ` b for all x P R and some a, b P R. Then ax ` ac ` b ac ppxq ax ` b 2 2 2 q p xq x ` cx ` d x2 ` cx ` d 1 2ax ` ac ac 1 ` b ` 2 2 c 2 x ` cx ` d 2 x` `d
2

c2 4

b ac 2x ` c 1 a `b 2 b 2 2 2 x ` cx ` d d c4 d

c2 4

1`

1
x` c b 2 2 d c4

for all x P R. The rst summand on the right hand side of the last equation, as a function of x, has an antiderivative given by a lnpx2 ` cx ` dq 2 for all x P R. Hence it remains to nd an antiderivative for the second summand. Since we know from Calculus I that arctan 1 pxq for all x P R, such is given by b b d
ac 2 c2 4

1 1 ` x2

c 2 c2 4

x` arctan b d

for all x P R. Note that in the last step, we could also have employed change of variables, but the procedure here is more direct. Hence in the case that c2 d , 4 285

an antiderivative of p{q , given by ax ` b x2 ` cx ` d for every x P R, is given by b a lnpx2 ` cx ` dq ` b 2 d for all x P R. The previous analysis can be generalized to quotients of the form p{q where p, q are polynomials of order m and n, respectively, such that m n. The result is given below without proof. The proof can be found in texts on function theory, that is, the theory of functions of one complex variable. For readers that already know complex numbers, we just indicate how their introduction might be helpful in this respect. For this, we consider the case that ppxq 1 and q x2 ` 1 for all x P R. The polynomial q has no real zero, but if we extend q to the complex plane by q pz q : z 2 ` 1 for every complex number z , then q has the roots i and i, where i denotes the imaginary unit, since q piq i2 ` 1 1 ` 1 0 , q piq piq2 ` 1 1 ` 1 0 . In particular, i 1 1 1 q pz q 2 z`i zi for every complex z different from i and i. As reected in this example, the introduction of complex numbers allows in every case the decomposition of the extension of p{q to complex numbers into sums of functions that assume the values 1 1 , , ... , za pz aqpaq in every complex z not among the zeros of that extension of q where a runs through the zeros of q and for every such a the symbol a denotes the corresponding multiplicity. This fact simplies the discussion signicantly. 286
ac 2 c2 4

c 2 c2 4

x` arctan b d

Lemma 3.1.25. Let p, q : R R be polynomials of degree m, n P N , respectively, where m n. Finally, let a1 , . . . ar be the (possibly empty) sequence of pairwise different real roots of q , where r P N, and let m1 , . . . , mr be the sequence in N consisting of the corresponding multiplicities. (i) There are s P N along with (possibly empty and apart from reordering unique) sequences pbr`1 , cr`1 q, . . . , pbr`s , cr`s q of pairwise different elements of R p0, 8q and mr`1 , . . . , mr`s in N such that m q pxq qn px a1 qm1 . . . px ar qmr px br`1 q2 ` cr`1 r`1 m . . . px br`s q2 ` cr`s r`s for all x P R where qn is the coefcient of the nth order of q . (ii) There are unique sequences of real numbers A11 , . . . , A1m1 , . . . , Ar1 , . . . , Armr and pairs of real numbers pBr`1,1 , Cr`1,1 q, . . . , pBr`1,mr`1 , Cr`1,mr`1 q, . . . , pBr`s,1 , Cr`s,1 q, . . . , pBr`s,mr`s , Cr`s,mr`s q, respectively, such that A11 A1m1 p p xq ` ` ` ... q pxq x a1 px a1 qm1 Ar1 Armr ` ` ` px ar qmr x ar Br`1,mr`1 x ` Cr`1,mr`1 Br`1,1 x ` Cr`1,1 ` ` ` ` ... rpx br`1 q2 ` cr`1 smr`1 px br`1 q2 ` cr`1 Br`s,mr`s x ` Cr`s,mr`s Br`s,1 x ` Cr`s,1 ` ` ` rpx br`s q2 ` cr`s smr`s px br`s q2 ` cr`s for all x P R zta1 , . . . , ak u. Proof. See Function Theory. Corollary 3.1.26. Let p, q, m, n; a1 , . . . ak , m1 , . . . , mr , pb1 , c1 q . . . , pbnk , cnk q, mr`1 , . . . , mr`s , A11 , . . . , A1m1 , . . . , Ar1 , . . . , Armr and 287

pBr`1,1 , Cr`1,1 q, . . . , pBr`1,mr`1 , Cr`1,mr`1 q, . . . , pBr`s,1 , Cr`s,1 q, . . . , pBr`s,mr`s , Cr`s,mr`s q as in Lemma 3.1.25. Then by F pxq : A11 lnp|x a1 |q A1m1 1 ` ... m1 1 px a1 qm1 1 Armr 1 ` ... ` Ar1 lnp|x ar |q mr 1 px ar qmr 1 Br`1,1 lnrpx br`1 q2 ` cr`1 s ` 2 br`1 Br`1,1 ` Cr`1,1 x br ` 1 ` ... ` arctan cr ` 1 cr`1 Br`1,1 1 ` 2p1 mr`1 q rpx br`1 q2 ` cr`1 smr`1 1 ` pbr`1 Br`1,1 ` Cr`1,1 q Fr`1 pxq ` . . . Br`s,1 lnrpx br`s q2 ` cr`s s ` 2 br`s Br`s,1 ` Cr`s,1 x br ` s ` arctan ` ... cr ` s cr ` s Br`s,1 1 ` 2 2p1 mr`s q rpx br`s q ` cr`s smr`s 1 ` pbr`s Br`s,1 ` Cr`s,1 q Fr`s pxq

for all x P R zta1 , . . . , ak u, there is dened an anti-derivative F of p{q . Here Fr`1 , . . . , Fr`s : R R denote anti-derivatives satisfying Fr1`l pxq rpx br`l q2 1 ` cr`l smr`l

for all x P R and l 2, . . . s. Note that such functions can be calculated by the recursion formula from Example 3.1.23. In the following, we give ve examples of typical applications of the previous lemma and its corollary. The fth example gives such application to the solution of a (separable) rst order differential equation. 288

Example 3.1.27. Calculate 2


0

x2

4 dx . 9

Solution: 2 2 2 4 2 1 1 4 dx dx dx 2 x3 x`3 0 px 3qpx ` 3q 0 3 0 x 9 2 2 2 plnp|2 3|q lnp|2 ` 3|qq plnp| 3|q lnp|3|qq lnp5q , 3 3 3 where it has been used that for every function f 1 1 1 1 , pf pxq ` aqpf pxq ` bq b a f pxq ` a f pxq ` b

(3.1.12)

where a, b P R are such that a b and x P Dpf q is such that f pxq R ta, bu. The previous identity is also of use in applications of the method of integration by partial fractions to more complicated situations. Example 3.1.28. Calculate 3
0

x2

3x ` 4 dx . ` 2x ` 2

Solution: 3

3 3 3 2x ` 2 1 3x ` 4 dx dx ` dx 2 2 2 0 2 x ` 2x ` 2 0 px ` 1q ` 1 0 x ` 2x ` 2 3 3 lnp32 ` 2 3 ` 2q ` arctanp3 ` 1q lnp2q arctanp1q 2 2 3 17 ln ` arctanp4q . 2 2 4

Example 3.1.29. Calculate 2


1

1 dx . x2 px2 ` 1q2 289

Solution: Since the integrand is a restriction of the composition of the maps pR R, x 1{rxpx`1q2 s q and p R R, x x2 q, by Lemma (3.1.25) there are A, B, C P R such that x2 px2 1 C A B ` 2 2` 2 2 ` 1q x x ` 1 px ` 1q2 (3.1.13)

for all x 0. Hence for all x P R 1 Apx2 ` 1q2 ` Bx2 px2 ` 1q ` Cx2 pA ` B qx4 ` p2A ` B ` C qx2 ` A and hence A 1, B 1 and C 1. Hence it follows by the recursion formula from Example 3.1.23 that 2 2 2 2 1 1 1 1 dx dx dx dx 2 2 2 2 2 2 2 1 x 1 x `1 1 px ` 1q 1 x px ` 1q 2 1 1 ` arctanp2q dx 2 2 2 4 1 px ` 1q 1 2 1 1 2 1 1 dx ` arctanp2q 2 4 2 5 3 2 1 x2 ` 1 7 3 ` arctanp2q . 15 2 4 Another way of arriving at the decomposition (3.1.13) is by help of the identity (3.1.12) which leads on 1 1 1 1 1 1 2 2 x2 px2 ` 1q2 x ` 1 x2 px2 ` 1q x ` 1 x2 x2 ` 1 1 1 1 1 1 2 2 2 x px ` 1q px ` 1q2 x2 x2 ` 1 px2 ` 1q2 for all x P R . Example 3.1.30. Calculate x
a

dy 1 ` y4 290

y 1

Fig. 71: Graph of the antiderivative F of f pxq : 1{p1 ` x4 q, x P R, satisfying F p0q 0. Compare Example 3.1.30.

where a P R and x a. Solution: Since x4 ` 1 0 for all x P R, according to Lemma 3.1.25 there are b, c, d, e P R such that 1 ` y 4 py 2 ` by ` cq py 2 ` dy ` eq (3.1.14) 4 3 2 3 2 2 y ` dy ` ey ` by ` bdy ` bey ` cy ` cdy ` ce y 4 ` pb ` dqy 3 ` pc ` e ` bdqy 2 ` pbe ` cdqy ` ce for all y P R. This equation is satised if and only if b ` d 0 , c ` e ` bd 0 , be ` cd 0 , ce 1 . From the rst equation, we conclude that d b which leads to the equivalent reduced system d b , e ` c b2 , bpe cq 0 , ce 1 . The assumption that b 0 leads to e c and 1 ce c2 . Hence it follows that b 0. Therefore, the second equation of the last system leads to the equivalent reduced system d b , b2 2c , e c , c2 1 291

? ? which has the solution c e 1 and? b 2? , d 2. (The other remaining solution c e 1 and b 2, d 2 results in a reordering of the factors in (3.1.14)). Hence it follows that ? ? 1 ` y 4 py 2 ` 2 y ` 1q py 2 2 y ` 1q for all y P R. Note that, the last could have also been more simply derived as follows ? 1 ` y 4 1 ` 2y 2 ` y 4 2y 2 py 2 ` 1q2 p 2y q2 ? ? py 2 ` 2 y ` 1q py 2 2 y ` 1q valid for all y P R. Further, according to Corollary 3.1.26 there are uniquely determined A, B, C, D P R such that Ay ` B Cy ` D 1 2 ? ` 2 ? 4 1`y y ` 2y ` 1 y 2y ` 1 for all y P R. In particular, this implies that 1 1 Ay ` B Cy ` D ? ? ` 1 ` y4 1 ` py q4 y2 2 y ` 1 y2 ` 2 y ` 1 Cy ` D Ay ` B 2 ? ` 2 ? y ` 2y ` 1 y 2y ` 1 for all y P R. Since A, B, C and D are uniquely determined by the equations (3.1.15) for every y P R, it follows that C A and D B . Hence we conclude that there are uniquely determined A, B P R such that Ay ` B Ay ` B 1 2 ? ` 2 ? 4 1`y y ` 2y ` 1 y 2y ` 1 for all y P R. In particular, 1 1 2B 1 ` 04 292 (3.1.15)

and hence B 1{2. Also 1 1 A ` p1{2q A ` p1{2q ? ` ? 4 2 1`1 2` 2 2 2 ? ? ? 2 2 1 2` 2 1 2 2 2 A` ` A ` A` 2 2 2 2 2 2 ? and hence A 2{4. We conclude that ? ? 1 1 2y ` 2 2y ` 2 ? ? ` 1 ` y4 4 y2 ` 2 y ` 1 y2 2 y ` 1 ? ? 1 2y ` 1 2y 1 ? ? ` 4 y2 ` 2 y ` 1 y2 2 y ` 1 ? ? ? 2 2 2 ` `? ` `? 2 2 4 2y ` 1 ` 1 2y 1 ` 1 for all y P R. Hence it follows that ? 2 ? 2 ? x x ` 2x ` 1 dy 2 x 2x ` 1 ? ? ln ln 4 8 a2 ` 2 a ` 1 a2 2 a ` 1 a 1`y ? ? ? 2 arctanp 2 x ` 1q arctanp 2 a ` 1q ` 4 ? ? ? 2 arctanp 2 x 1q arctanp 2 a 1q . ` 4 Remark 3.1.31. The previous example gives another illustration of the general rule that one should never blindfoldly rely on computer programs. In Mathematica 5.1, the command Integrater1{p1 ` x^ 4q, xs gives the output ? ? ? 1 ? p2ArcTanr1 2xs ` 2ArcTanr1 ` 2xs Logr1 ` 2x x2 s 4 2 293

y 1.2 0.8 0.5

Fig. 72: Graphs of the solutions f0 , f1{4 , f1{2 , f3{4 and f1 of (3.1.16) in the case that a 1. Compare Example 3.1.32.

` Logr1 `

? 2x ` x2 sq

which is incorrect. A rst inspection of the last formula reveals that the argument of the rst natural logarithm function is becoming negative for large x such that the logarithm is not dened. This gives a rst indication that the expression is incorrect. Comparison with the result from Example 3.1.30 shows that the sign of that argument has to be reversed. Example 3.1.32. Find solutions of the following differential equation for f : R R with the specied initial values. f 1 pxq af pxqp1 f pxqq (3.1.16)

for all x P R where a 0, f p0q P p0, 1q. Solution: If f is such function, it follows that f is continuously differentiable. Since f p0q P p0, 1q, it follows by the continuity of f the existence of an open interval c, d P R such that c 0 d and such that f p[c, d]q p0, 1q. Since a 0 and the function af p1 f q is 0 on the interval [c, d], it follows from (3.1.2) that x1 f px1 q f px0 q ` f px1 q f px0 q f px0 q ` f 1 pxq dx
x0

294

0.5

1 1

0.5

Fig. 73: Graphs of the solutions f2 and f4 of (3.1.16) in the case that a 1. Compare Example 3.1.32.

x1 f px0 q `
x0

a f pxqp1 f pxqqdx f px0 q

for all x0 , x1 P [c, d] such that x0 x1 . In addition, the restriction of f to [c, d] is non-constant since the function pR R, x axp1 xqq has no zeros on p0, 1q. Hence we conclude from (3.1.2) by Theorem 3.1.1 for x P [c, d] that f pxq x x du f 1 py q dy apx cq a du f pcq up1 uq c c f py qp1 f py qq f pxq f pxq 1 1 u ` du ln u 1u 1 u f pcq f pcq 1 f pcq f pxq ln f pcq 1 f pxq and hence that f p cq f pxq f p xq 1 ` 1 1 eac eax 1 . 1 f pcq 1 f pxq 1 f p xq 1 f pxq This implies that f pcq f p0q eac 1 f pcq 1 f p0q 295

and hence that f p0q 1 eax 1 . 1 f p0q 1 f pxq Finally, this leads on f pxq 1 1 1`
f p0q 1f p0q

eax

eax eax `
1f p0q f p0q

On the other hand, for every c P R , it follows by elementary calculation that the function fc dened by $ ax & axe 1c for x P R if 0 c 1 e ` c fc pxq : ax % axe 1c for x P R zta1 lnppc 1q{cqu if c 1 or c 0 e `
c

satises (3.1.16). Note also that f0 , dened as the constant function of value zero on R, is a further solution of (3.1.16) such that f0 p0q 0.

Problems 1) Calculate the integral. 2 2 3u ` 2 2x ` 1 a) du , b) dx , 2 2 2 u ` u 12 0 x 6x ` 9 1 4 u3 3x ` 1 du , d) dx , c) 2`3 3 7x 6 u x 3 0 3 3 x2 ` 3 x2 ` 3 x 1 dx , f) dx , e) 3 2 3 2 2 x ` 6x ` 12x ` 8 1 x 2x 7x 4 1 3 x2 ` 3x ` 4 x2 1 g) dx , h) dx , 3 2 4 2 1 x ` 4x ` x ` 4 3 x ` 4x ` 4 4 4 3x ` 5 3x ` 7 i) dx , j) dx , 4 2 4 3 2 0 x ` 4x ` 3 2 x ` 4x ` 6x ` 4x ` 1 1{2 3 1 x ` 4x ` 5 x3 ` 3x2 ` 1 k) dx , l) dx , 4 2 4 2 1{2 x 2x ` 1 0 x 15x ` 10x ` 24

296

0 m) n)
0 3 2 1

2x2 ` 1 dx x4 ` x3 9x2 ` 11x 4 , , .

x3 ` x ` 1 dx x4 3x3 3x2 ` 7x ` 6 x2 ` 1 dx x4 ` 2x3 ` 3x2 ` 4x ` 2 x4 2x3 ` x2 ` 4 dx ` 3x3 ` 5x2 ` 9x ` 6

o)
0 2

p)
1

3.1.4

Approximate Numerical Calculation of Integrals

Usually, in cases where an evaluation of a given integral in terms of known functions appears to be impossible, resort is taken to approximation methods. Basic numerical methods for this, the midpoint rule, the trapezoid rule and Simpsons rule, are given within this section. Each of them uses approximations of integrands analogous to those leading to upper and lower sums in the denition of the Riemann integral. For this, partitions of the interval of integration I are used which induce divisions into subintervals of equal length. Generally, the decrease of that length leads to better approximations. On each subinterval, the corresponding restriction of the integrand f : I R is replaced by a certain polynomial approximation characteristic for each method. The integral of f over I is then approximated by the sum of the integrals of the approximating polynomials over the subintervals. The midpoint rule uses on each subinterval the constant polynomial whose value coincides with the value of f in the midpoint of that interval. This is equivalent to the approximation of f by its linearization around the midpoint of the subinterval, since the integral of the non-constant part of the polynomial over that interval vanishes. The last is the reason, why the midpoint rule leads to results which are similar in accuracy to those of the trapezoid method. The trapezoid method approximates f on each subinterval by the linear polynomial that interpolates between the values of f at the interval ends, i.e., by that linear polynomial that assumes the same values as f at both ends of the subinterval. Finally, Simpsons method approximates f on each subinterval by the quadratic polynomial that interpolates between the value of f at the end points and at the midpoint of that interval. 297

From this description, it might be expected that among those methods, Simpsons rule is the most accurate, followed by the trapezoid rule and the midpoint rule. Indeed, Simpsons rule is the most accurate which is also reected in the fact that its error is proportional to n4 where n is the of number of subintervals of the division. On the other hand, the error of both, the midpoint and the trapezoidal rule, is proportional to n2 . Often, the trapezoid rule gives better approximations than the midpoint rule, but there are also cases known where the opposite is true. For instance, in the examples below this is the case. All these methods, can lead to poor results in the case of an oscillating f as long as the length of the subintervals is comparable to the average distance of subsequent minima and maxima of f . Such cases are depicted in the gures below. The key for the following derivation of an error estimate for the midpoint rule is the observation that the associated integrals over the subintervals coincide with those of the linearization of the integrand around the midpoints. As a consequence, the remainder estimate of Corollary 2.5.26 to Taylors theorem can be applied. Theorem 3.1.33. (Midpoint Rule) Let a, b P R be such that a b, f : ra, bs R be bounded and twice differentiable on pa, bq such that |f 2 pxq| K for all x P pa, bq and some K 0. Then (i) b K a ` b f pxq dx f p b a q pb aq3 . 2 24 a (ii) In addition, let n P N , h : pb aq{n and ai : a ` i h for all i P t0, . . . , nu. Then n 1 b ai ` ai ` 1 K pb aq3 f . f pxq dx h a 24 2 n2 i0

298

y 40 30 20 10 x

1.2

1.4

1.6

1.8

Fig. 74: Midpoint approximation.

Proof. (i) By the Corollary 2.5.26 to Taylors theorem, it follows that 2 a`b K x |f pxq p1 pxq| 2 2 for all x P pa, bq where p 1 p xq : f a`b 2 `f
1

a`b 2

a`b x 2

for all x P R is the rst-degree Taylor-polynomial of f centered around pa ` bq{2. Further, b b a`b a`b a`b 1 p1 pxq dx f pb aq ` f x dx 2 2 2 a a 2 b a`b 1 a`b a`b 1 f pb aq ` f x 2 2 2 2 a a`b f pb aq . 2 299

In addition, b b b f pxq dx p1 pxq dx |f pxq p1 pxq| dx a a a 2 3 b K b a`b a`b K x x dx 2 a 2 6 2 a K p b aq 3 . 24 (ii) is a simple consequence of (i). Example 3.1.34. We use the midpoint rule to approximate the value of 2 dx lnp2q . 1 x For this, we use the partition pa0 , a1 , a2 , a3 , a4 q p4{4, 5{4, 6{4, 7{4, 8{4q leading to a division of r1, 2s into the four subintervals of length h 1{4. Then 3 3 a ` a 1 1 i i `1 h f 2 2 i 0 ai ` ai ` 1 i 0 1 1 1 1 1 1 1 1 1 ` 7 8 2 ` ` ` 5 ` 5 6 ` 6 2 4 9 11 13 15 `4 `4 `7 `4 4 4 4 4 4 4448 0.691 6435 where f pxq : 1{x for all x P r1, 2s and the last approximation is to three decimal places. To three decimal places, lnp2q is given by lnp2q 0.693 . The result of this application of the midpoint gives lnp2q within an error of 2 103 . Since |f 2 pxq| 2x3 2 300

y 40 30 20 10 x

1.2

1.4

1.6

1.8

Fig. 75: Trapezoid approximation.

for all x P p1, 2q, Theorem 3.1.33 (ii) leads to the error bound 4448 2 1 3 6435 lnp2q 24 16 192 6 10 . The following derivation of an error estimate for the trapezoid rule exploits the fact that the difference of the approximating polynomial on a subinterval and the restriction of the integrand vanishes at the interval ends. By partial integration, the integral of such a difference can be transformed into an integral containing the second order derivative of the difference, instead. Since the approximating polynomial is only of rst order, the last coincides with the second order derivative of the restriction of integrand. This leads to an error estimate in terms of a bound on the second derivative of f . Theorem 3.1.35. (Trapezoid Rule) Let I be some non-empty open interval of R, f : I R be twice continuously differentiable and a, b P I be such that a b. In particular, let |f 2 pxq| K for all x P pa, bq and some K 0. Then 301

(i) b f pxq dx f paq ` f pbq pb aq K pb aq3 . 12 2 a (ii) In addition let n P N , h : pb aq{n and ai : a ` i h for all i P t0, . . . , nu. Then n 1 b f pai q ` f pai`1 q K pb aq3 . f pxq dx h 12 a 2 n2 i 0 Proof. Dene ppxq : f paq ` f pbq f paq p x aq ba

for all x P R and h : f p. In particular, it follows that hpaq hpbq 0 and b f paq ` f pbq p b aq . ppxq dx 2 a By partial integration, it follows that b 1 b 1 b 2 hpxq dx px bqpx aqh pxq dx px bqpx aqf 2 pxq dx 2 2 a a a and hence that b 1 b 2 hpxq dx 2 pb xq px aq |f pxq| dx a a b K K pb xq px aq dx pb aq3 . 2 a 12 (ii) is a simple consequence of piq. Example 3.1.36. As before the midpoint rule, we use the trapezoid rule to approximate the value of 2 dx lnp2q . 1 x 302

Again, we use the partition pa0 , a1 , a2 , a3 , a4 q p4{4, 5{4, 6{4, 7{4, 8{4q leading to a division of r1, 2s into the four subintervals of length h 1{4. Then 3 n 1 1 1 1 f p ai q ` f p ai ` 1 q ` h 2 8 i 0 ai ai ` 1 i 0 1 4 4 4 4 4 4 4 4 1 1 2 2 2 1 ` ` ` ` ` ` ` ` ` ` ` 8 4 5 5 6 6 7 7 8 2 4 5 6 7 8 1171 0.697 1680 where f pxq : 1{x for all x P r1, 2s and the last approximation is to three decimal places. To three decimal places, lnp2q is given by lnp2q 0.693 . The result of this application of the midpoint gives lnp2q within an error of 4 103 . Since |f 2 pxq| 2x3 2 for all x P p1, 2q, Theorem 3.1.35 (ii) leads to the error bound 1171 2 1 11 103 . ln p 2 q 12 16 1680 96 The following derivation of an error estimate for Simpsons rule is similar to that for the trapezoid rule. Again, it uses partial integration to exploit the the fact that the difference of the approximating polynomial on a subinterval and the restriction of the integrand vanishes at the endpoints and also in the middle of the interval. This leads to an error estimate in terms of a bound on the fourth derivative of the integrand.

303

Theorem 3.1.37. (Simpsons Rule) Let h 0, I be some open interval of R containing rh, hs, f : I R be four times continuously differentiable and |f pivq pxq| K for all x P ph, hq and some K 0. Then h K 5 1 f p x q dx r f p h q ` 4 f p 0 q ` f p h qs h 90 h . 3 h Proof. Dene " * 2 1 x 1 x rf phq ` f phqs f p0q 2 ` rf phq f phqs ` f p0q ppxq : 2 h 2 h for all x P R and g : f p. Then g phq g p0q g phq 0 and " * h 1 2h ppxq dx rf phq ` f phqs f p0q ` f p0q 2h 2 3 h 1 rf phq ` 4f p0q ` f phqs h . 3 By partial integration, it follows that 0 h 3 piv q px ` hq p3x hq g pxq dx ` px hq3 p3x ` hq g pivq pxq dx
h 0

h
0

h px hq p3x ` hq rg
3 piv q

pxq ` g

piv q

pxqs dx 72
h

g pxq dx

and hence that h K h 3 g pxq dx 36 ph xq p3x ` hq dx h 0 h K 3 K 5 5 4 p h xq h p h xq h . 36 5 90 0

304

y 50 40 30 20 10 1.2 1.4 1.6 1.8 2 x

Fig. 76: Simpsons approximation.

Corollary 3.1.38. Let I be some non-empty open interval of R, f : I R be four times continuously differentiable and a, b P I be such that a b. In particular, let |f pivq pxq| K for all x P pa, bq and some K 0. Finally, let n P N , h : pb aq{n and ai : a ` i h for all i P t0, . . . , nu. Then n1 b h f pai q ` 4f ppai ` ai`1 q{2q ` f pai`1 q f pxq dx a 6 i 1 Note that n1 h f pai q ` 4f ppai ` ai`1 q{2q ` f pai`1 q 6 i1
n 1 n 1 2 1 f pai q ` f pai`1 q h f ppai ` ai`1 q{2q ` h 3 3 2 i 1 i 1

K pb aq5 . 2880 n4

305

hence equals the sum of two-thirds of the corresponding sum for the midpoint rule and one-third of the corresponding sum for the trapezoid rule. Proof. The corollary is a simple consequence of Theorem 3.1.37. Example 3.1.39. As before the midpoint and trapezoid rule, we use Simpsons rule to approximate the value of 2 dx . lnp2q 1 x Again, we use the partition pa0 , a1 , a2 , a3 , a4 q p4{4, 5{4, 6{4, 7{4, 8{4q leading to a division of r1, 2s into the four subintervals of length h 1{4. Then n1 h f pai q ` 4f ppai ` ai`1 q{2q ` f pai`1 q 6 i 1 2 4448 1 1171 1498711 ` 0.693155 3 6435 3 1680 2162160 where f pxq : 1{x for all x P r1, 2s and the last approximation is to six decimal places. Also, the corresponding sums for the midpoint rule and the trapezoid rule have been used. To six decimal places, lnp2q is given by lnp2q 0.693147 . The result of this application of Simpsons rule gives lnp2q within an error of 8 106 . Since |f pivq pxq| 24x5 24 for all x P p1, 2q, Theorem 3.1.38 (ii) leads to the error bound 1498711 24 1 5 ln p 2 q 2162160 2880 256 30720 4 10 . 306

Problems 1) Calculate the integral. In addition, evaluate the integral approximately, using the midpoint rule, the trapezoidal rule and Simpsons rule. In this, subdivide the interval of integration into 4 intervals of equal length. Compare the approximation to the exact result. 1 a)
0 1

du p1 ` uq2

1 , b)
0

2x dx p1 ` x2 q2

c)
0

3u2 du p1 ` u3 q2

2) By using Simpsons rule, approximate the area in R2 that is enclosed by the Cartesian leaf ? C : tpx, y q P R2 : 3 2 py 2 x2 q ` 2 x px2 ` 3y 2 q 0u where a 0. In this, subdivide the interval of integration into 4 intervals of equal length. Compare the approximation to the exact result which is given by 1.5. 3) The time for one complete swing (period) T of a pendulum with length L 0 is given by a 2 L{g ` ? T k 2 I pk q 1 k2 where 1 I pk q
1

? 1 u2 ? ? `? du , 2 2 1k u 1 k 2 ` 1 k 2 u2

0 P p {2, {2q is the initial angle of elongation from the position of rest of the pendulum, k : | sinp0 {2q|, and where g is the acceleration of the Earths gravitational eld. By using Simpsons rule, approximate T for 0 {4. In this, subdivide the interval of integration into 4 intervals of equal length.

307

3.2

Improper Integrals

A large number of integrals in applications are improper in the sense that they are not Riemann integrals of functions over bounded closed intervals of R. For instance in physics, integrals over unbounded sets occur naturally in the description of systems of innite extension which are basic for physics. Another important source for improper integrals is in theory of special functions where the majority of integral representations is in form of improper Riemann integrals (or, alternatively, Lebesgue integrals). Also special functions have important applications. The majority appears as solutions of differential equations from applications, like Bessel functions, hypergeometric functions, conuent hypergeometric functions or elliptic functions. Others, like the gamma function or the beta function appear naturally in the denitions of the former. For this reason, in this section we also introduce basic special functions, the gamma function and the beta function, by help of such integral representations and derive their basic properties. In particular, Legendres duplication formula, Eulers reection formula and Gauss representation for the gamma function are proved in this section. In applications, these results are often needed also for complex arguments. As is known, these follow from those for real arguments by help of the principle of analytic continuation. In addition, elementary properties of Gaussian integrals are derived that are frequently used in quantum theory and in probability theory. Original proofs of some of these results used improper double integrals. In the meantime, more elementary proofs have been found that allow their derivation already at an early stage in a calculus course. In particular, we use results from [26] and [61]. For motivation, in the following we consider the problem of the calculation of the period of a simple pendulum in Earths gravitational eld which leads in a natural way on an improper Riemann integral. A simple pendulum is dened as a particle of mass m 0 suspended from a point O by a string of length L 0 and of negligible mass. During the time of

308

Fig. 77: A simple pendulum. The dashed line marks the rest position. Compare text.

development of calculus in the 17th century, such motion was considered in 1673 by the inventor of the pendulum clock, Christian Huygens [56]. In the analysis below, we use Newtons equation of motion . The last was not known to Huygens at that time. Newtons equation of motion give the following differential equation for the angle of elongation from the rest position of the pendulum as a function of time. g 2 ` sin 0 (3.2.1) L where g is the acceleration of Earths gravitational eld. The general solution of this equation is not expressible in terms of elementary functions, but only in terms of special functions called elliptic functions. In the following, instead of nding the solutions of (3.2.1), we pursue the goal of nding the time for the pendulum to reach the angle 0 after release from rest at initial time 0, i.e., 1 p0q 0, and with initial elongation 0 P p0, {2q. The time corresponds to one-fourth of the time necessary for completion of one complete swing, i.e., to one-fourth of the period of the pen309

dulum. For this, we assume that there is a unique solution : R R of (3.2.1) such that p0q 0 , 1 p0q 0, 0 P Ranpq, and we dene : min 1 pt0uq. Only this solution of (3.2.1), whose existence and uniqueness can be proved, we consider in the following. Note that these assumptions imply that is twice differentiable and, as a particular consequence of (3.2.1), that 2 is continuous. In a rst step, we use the conserved energy for the solutions of 3.2.1, see Example 2.5.9, to derive a differential equation for that contains no higher order derivatives of than of rst order. Multiplication of (3.2.1) by 1 gives 1 1 12 g g 1 1 2 cos . 0 ` sin L 2 L Hence it follows by Theorem 2.5.7 that the function inside the brackets is constant and therefore that 1 1 g 1 g g p ptqq2 cos ptq p 1 p0qq2 cos p0q cos 0 2 L 2 L L which leads to 2g rcos ptq cos 0 s L for every t P R. The solution of the last equation for 1 ptq for some t P R requires the knowledge of the sign of 1 ptq. By the fundamental theorem of calculus, it follows from (3.2.1) that t g t 1 1 1 2 sin psq ds 0 ptq ptq p0q psq ds L 0 0 p 1 ptqq2 for all t P r0, s where it has been used that p q 0 and ptq P r0, 0 s r0, {2q. Both follow from the denition of . Hence, we conclude that c 2g a 1 ptq cos ptq cos 0 L for all t P r0, s.

310

Since 1 ptq 0 for all P p0, q, it follows by Theorems 2.3.44, 2.5.10 and 2.5.18 that for the restriction of to the interval r0, s there is a strictly decreasing continuous inverse function 1 : r0, 0 s R whose restriction to p0, 0 q is differentiable such that d L 1 1 a p1 q1 pq 1 1 p pqq 2g cos p1 pqq cos 0 d d L 1 1 L 1 ? b ` 2g cos cos 0 2 g sin2 0 sin2 `
2 2

for all P p0, 0 q where the addition theorem for the cosine has been used to conclude that cos cos 2 cos2 sin2 1 2 sin2 2 2 2 2 for every P R. Hence it follows by the fundamental theorem of calculus that p1 qp0q p1 qpq rp1 qpq p1 qp0qs 1 p qpq p1 q1 p q d 0 d L d 1 b p1 qpq ` ` ` 2 g 0 sin2 20 sin2 2 d d 1 L 1 b p qpq ` ` 2k g 0 1 1 sin2
k2 2

for every P r0, 0 q where k P p0, 1q is dened by 0 . k : sin 2 By use of the substitution g : r0, sinp{2q{k s R dened by g puq : 2 arcsinpkuq 311

for every u P r0, sinp{2q{k s, we arrive at d 1 L k sinp 2 q du a p1 qpq ` . g 0 p1 u2 qp1 k 2 u2 q Finally, since 1 : r0, 0 s R is continuous, we conclude that d 1 du L k sinp 2 q a lim 2 0 g 0 p1 u qp1 k 2 u2 q d L u du a . lim 2 u1 g 0 p1 u qp1 k 2 u 2 q It would be natural to indicate the last by d L 1 du a , g 0 p1 u 2 qp1 k 2 u 2 q but the integrand of the last integral is not dened at u 1 and its restriction to the interval r0, 1q is an unbounded function. Hence the last integral is no Riemann integral. The denitions below turn it into an improper Riemann integral dened by d 1 L u du du a a : lim . u1 g 0 p1 u 2 qp1 k 2 u 2 q p1 u 2 qp1 k 2 u 2 q 0 As a side remark, we mention that u du a 2 p1 u qp1 k 2 u 2 q 0 for 0 u 1 is called an elliptic integral of the rst kind (in Jacobian form) and is denoted by the symbol F pu|k q. Denition 3.2.1. (Improper Riemann integrals) 312

(i) Let a P R, b P R Y t8u such that a b if b 8 and f : ra, bq R be almost everywhere continuous. Then F : ra, bq R, dened by x f py q dy F pxq :
a

for every y P ra, bq, is a continuous function according to Theorem 2.6.19. We say that f is improper Riemann-integrable if there is L P R such that x f py q dy L . lim F pxq lim
x b x b a

In this case, we dene the improper Riemann integral of f by b x f py q dy lim f py q dy .


a x b a

(ii) Let a P R Y t8u, b P R be such that a b if a 8 and f : pa, bs R be almost everywhere continuous. Then F : pa, bs R dened by
b

F pxq :
x

f py q dy

for every y P ra, bq is a continuous function according to Theorem 2.6.19. We say that f is improper Riemann-integrable if there is some L P R such that b lim F pxq lim f py q dy L .
x a x a x

In this case, we dene the improper Riemann integral of f by b b f py q dy lim f py q dy .


a x a x

313

(iii) Let a P R Y t8u, b P R Y t8u such that a b if a 8 and b 8. Further, let f : pa, bq R be almost everywhere continuous. We say that f is improper Riemann-integrable if, both, f |pa,cs and f |rc,bq are improper Riemann-integrable for some c P pa, bq. In this case, we dene b c b f pxq dx : f pxq dx ` f pxq dx .
a a c

That this denition is indeed independent of c is a consequence of the additivity of the Riemann integral, Theorem 2.6.18. The proof of this will be given in the subsequent second remark below. Remark 3.2.2. Note that according to the previous denition, the restrictions to pa, bs, ra, bq or pa, bq of a continuous function dened on a bounded closed interval ra, bs, where a, b P R are such that a b, are improper Riemann-integrable, and that the values of the associated improper integrals all coincide with the Riemann integral of that function. Remark 3.2.3. In the following, we use the notation from Denition 3.2.1. That Denition 3.2.1 (iii) is independent of c P pa, bq can be seen as follows. For this, let d P pc, bq and sequences a1 , a2 , . . . in pa, ds, b1 , b2 , . . . in rd, bq that are convergent to a and b, respectively. Then it follows by the additivity of the Riemann integral, Theorem 2.6.18, for sufciently large n P N that c d d f pxq dx ` f pxq dx f pxq dx ,
ak c ak

d f pxq dx `
c

bk f pxq dx
d

bk f pxq dx .
c

Hence it follows by the limit laws that c c d d f pxq dx lim f pxq dx f pxq dx ` lim f pxq dx
a

b
c

k8 a k bk

d f pxq dx
c

k8 a k bk

f pxq dx lim

k8 c

f pxq dx ` lim

k8 d

f pxq dx .

314

Therefore, f |pa,ds and f |rd,bq are improper Riemann-integrable and satisfy c


a b c

f pxq dx , f pxq dx f pxq dx ` a c d b f pxq dx f pxq dx ` f pxq dx .


c d

The last implies that c b d b f pxq dx ` f pxq dx f pxq dx ` f pxq dx .


a c a d

The case that d P pa, cq is analogous. If a1 , a2 , . . . in pa, ds, b1 , b2 , . . . in rd, bq are convergent to a and b, respectively. Then it follows by the additivity of the Riemann integral, Theorem 2.6.18, for sufciently large n P N that c c d f pxq dx , f pxq dx ` f pxq dx
ak d ak

c f pxq dx `
d

bk f pxq dx
c

bk f pxq dx .
d

Hence it follows by the limit laws that d c c c f pxq dx f pxq dx ` lim f pxq dx f pxq dx lim
a

b
c

k8 a k bk

k8 a k

c f pxq dx
d

bk f pxq dx ` lim
k8 d

f pxq dx lim

k8 c

f pxq dx .

Therefore, f |pa,ds and f |rd,bq are improper Riemann-integrable and satisfy c f pxq dx
a b c

c
d

f pxq dx ` f pxq dx , a c b f pxq dx f pxq dx ` f pxq dx .


d d

315

The last implies that b d b c f pxq dx ` f pxq dx f pxq dx ` f pxq dx .


a c a d

In the following, we give two prime examples of improper integrals whose integrands are restrictions of powers of the identity function on p0, 8q. The rst example shows that such are improper integrable over an interval p0, as, where a 0, if and only if that power is greater than 1. The second example shows that such are improper integrable over an interval ra, 8q, where a 0, if and only if that power is smaller than 1. Example 3.2.4. Dene f : pp0, as R, x 1{x q for every real where a 0. Show that (i) f is improper Riemann-integrable for every 1 and a a1 dx . 1 0 x (ii) f is not improper Riemann-integrable for every 1. Solution: For P R zt1u and P p0, aq, it follows that 1 a a a1 1 dx x 1 1 x and for 1 that a

dx r lnpxqsa lnpaq lnpq x

and hence the statements. Example 3.2.5. Dene f : p ra, 8q R, x 1{x q for every real where a 0. Show that

316

(i) f is improper Riemann-integrable for every 1 and 8 dx 1 1 1 . 1 a a x (ii) f is not improper Riemann-integrable for every 1. Solution: For P R zt1u and x a, it follows that 1 x x x1 a1 y dy 1 a 1 a y and for 1 x
a

dy r lnpy qsx a lnpxq lnpaq y

and hence the statements. The following gives an important criterion for improper Riemann integrability. It is based on the fact that for every bounded continuous and increasing function F : ra, bq R where a P R, b P R Y t8u are such that a b if b 8, lim F pxq
x b

exists. Within the following theorem, F is an antiderivative of the absolute value of an almost everywhere continuous integrand. In this connection, the theorem is applied by showing that that absolute value has an improper Riemann-integrable majorant. Theorem 3.2.6. Let a P R, b P R Y t8u be such that a b if b 8 and f : ra, bq R be almost everywhere continuous. Finally, let G : ra, bq R be dened by
x

Gpxq :
a

|f py q| dy

for all x P ra, bq and be bounded. Then, f and |f | are improper Riemannintegrable.

317

Proof. Let pbn qnPN be a sequence in ra, bq which is convergent to b. Since G is bounded and increasing, suptRan Gu exists. As a consequence for given 0, there is some c P ra, bq such that suptRan Gu Gpcq . Hence it also follows that suptRan Gu Gpxq for all x P rc, bq. Then there is n0 P N such that bn c for all n P N satisfying n n0 . Therefore it also follows that | suptRan Gu Gpbn q| for n P N satisfying n n0 and hence nally lim Gpbn q suptRan Gu .
n8

Hence |f | is improper Riemann-integrable and b |f pxq| dx suptRan Gu .


a

Further, for every x P ra, bq, it follows that x x p|f py q| f py qq dy 2 |f py q| dy 2 suptRan Gu .


a a

Hence |f | f and therefore also f is improper Riemann-integrable. As an application of the previous theorem, the next example denes the gamma function. The last extends the factorial function pN N, n n!q to a function with domain given by all real numbers which are no negative integers and such that the functional relationship of the factorial that pn ` 1q! pn ` 1qn! for all n P N is preserved. The proof of the last will be given within the example that is next to the following example. A main reason for the importance of the gamma function for applications is the fact that it appears naturally in the denition of many special functions that are solutions of differential equations from applications. Example 3.2.7. Show that fy : pp0, 8q R, x ex xy1 q is improper Riemann-integrable for every y 0. Hence we can dene the gamma function : p0, 8q R by 8 py q : ex xy1 dx
0

318

y 1 24

0.5 6 2 1 2 3 4 5

Fig. 78: Graphs of the gamma function (left) and 1{.

for all y P p0, 8q. Solution: Let y 0. For every 0, it follows that 1 1 1 x y 1 xy1 dx e x dx y and hence by Theorem 3.2.6 that fy |p0,1s is improper Riemann-integrable and that 1 1 ex xy1 dx . y 0 Further, hy : pr1, 8q R, x ex{2 xy1 q has a maximum at x0 : maxt1, 2py 1qu. Hence it follows for every R 1 that R R x y 1 ex{2 dx 2hy px0 q e1{2 e x dx hy px0 q
1 1

and by Theorem 3.2.6 that fy |r1,8q is improper Riemann-integrable. Note for later use that 1 R R x x p1q e dx ` lim e dx lim ex dx
0 R8 1 R8 0

lim p1 e
R8

q1. 319

Example 3.2.8. Show that py ` 1q y py q for all y 0 and hence that pn ` 1q n! (3.2.3) (3.2.2)

for all n P N. Solution: By partial integration it follows for every y 0, P p0, 1q and R P p1, 8q that R R x y y R y e x dx e e R ` y ex xy1 dx

and hence (3.2.2). Since p1q 1 0! , from this follows (3.2.3) by induction. As another example of an application of Theorem 3.2.6, the next example denes Gaussian integrals. Such integrals appear in quantum theory in the study of the quantization of the harmonic oscillator which is of fundamental importance for physics. In addition, they appear naturally in the study of the normal distribution in probability theory. The last distribution is frequently used for the description of error progression due to random errors occurring in measurements of physical quantities. Example 3.2.9. ( Gaussian integrals, I ) Show that fm,n : p r0, 8q 2 R, x xm enx {2 q is improper Riemann-integrable for all m P N, n P N . In particular, show that I : N N R dened by 8 2 I pm, nq : xm enx {2 dx
0

for all m P N, n P N satises m`1 I pm, nq n for all m P N, n P N and, in particular, I pm ` 2, nq I p2k ` 1, nq 2k k ! , n k `1 320 (3.2.4)

I p2pk ` 1q, nq

1 3 p2k ` 1q 1 ? I p0, 1q n k `1 n

(3.2.5)

for all k P N. Solution: First, it follows for n P N and x 1 that x x 1 x 1 2 2 ny 2 {2 ye dy pny q eny {2 dy eny {2 n 0 n 0 0 1 2 1 enx {2 , xn 1 x 2 ny 2 {2 ny 2 {2 e dy e dy ` eny {2 dy 0 0 1 1 x 2 2 eny {2 dy ` yeny {2 dy
0 0

and hence by Theorem 3.2.6 that f0,m and f1,m are improper Riemannintegrable as well as that 8 1 2 I p1, nq y eny {2 dy . (3.2.6) n 0 Further, according to Example 2.5.12, ex 1 and ex x for all x 0. Hence it follows that x x x2 y x x y dy e dy e e 1 2 0 0 for all x 0 and in this way inductively that ex xm m!

for all x 1 and m P N. In addition, it follows for m P N, n P N and x 0 that x 1 x m`1 2 m`2 ny 2 {2 y e dy y pny q eny {2 dy n 0 0 x 1 m`1 ny2 {2 1 x 2 ` y e pm ` 1q y m eny {2 dy n n 0 0 321

m`1 1 2 xm`1 enx {2 ` n n Since,

x y m eny
0

2 {2

dy .

(3.2.7)

1 m`1 nx2 {2 m! xnx2 {2 x e e , n n

1 2 lim xm`1 enx {2 0 . x8 n Hence it follows from (3.2.7) inductively the improper Riemann-integrability of fn,m for all m P N and n P N as well as the validity of (3.2.4) for all m P N and n P N . Further, it follows from (3.2.6) and (3.2.7) by induction that I p2k ` 1, nq 1 3 p2k ` 1q 2k k ! , I p 2 p k ` 1 q , n q I p0, nq nk`1 n k `1

we notice that

for all k P N and, nally, as a consequence of x e


0 ny 2 {2

1 dy ? n

?n x
0

e u

2 {2

du

that I p2pk ` 1q, nq 1 3 p2k ` 1q 1 ? I p0, 1q . n k `1 n

Equation (3.2.5) reduces the calculation of the Gaussian integrals I pm, 1q for even m P N to the calculation of 8 2 ex {2 dx .
0

The determination of the last is the object of the following example. As an application of the result, the value of p1{2q is calculated in the subsequent example.

322

Example 3.2.10. ( Gaussian integrals, II ) Together with Wallis product representation of from Theorem 3.1.19, the application of the results of Example 3.2.9 allow the calculation of I p0, 1q as follows. Employing the notation of Example 3.2.9, in a rst step, we conclude for m P N, n P N that x x 2 m 2 ny 2 {2 y py tq e dy y m`2 eny {2 dy 0 0 0 x x 2 2 2t y m`1 eny {2 dy ` t2 y m`2 eny {2 dy
0 0

and hence that x y


0 m`2 ny 2 {2

x dy
0

y
m`2 ny 2 {2

dy

x
0

2 y
m`1 ny 2 {2

dy

for all x 0 and, nally, I pm ` 1, nq a I pm, nq I pm ` 2, nq .

In particular, since according to (3.2.4) I pn ` 1, nq I pn 1, nq , I pn ` 2, nq we conclude that c I pn ` 1, nq a I pn, nq I pn ` 2, nq n I pn ` 2, nq n`1 n`1 I pn, nq , n

I pn ` 2, nq , a I pn, nq I pn 1, nq I pn ` 1, nq I pn ` 1, nq and hence that I pn, nq I pn ` 1, nq I pn ` 2, nq . 323

In particular, the case n 2k ` 1 where k P N, leads to 2k k ! I p2k ` 1, 2k ` 1q I p2k ` 2, 2k ` 1q p2k ` 1qk`1 1 3 p2k ` 1q 1 I p0, 1q I p2k ` 3, 2k ` 1q ? k ` 1 p2k ` 1q 2k ` 1 2k`1 pk ` 1q! p2k ` 1qk`2 and hence to d

2k ` 1 ? 2 4 2k 2 k`1 I p0, 1q 4pk ` 1q 3 p2k ` 1q d 2 4 2pk ` 1q 2k ` 1 2k ` 3 ? 2 k`2 4pk ` 2q 2k ` 1 3 p2k ` 3q

Finally, taking the limit k 8 in the last expression and applying Wallis product representation of (3.2.5) leads to c 8 y 2 { 2 . (3.2.8) I p0, 1q e dy 2 0 Example 3.2.11. Show that p1{2q ? .

Solution: For this, let , R 0. By change of variables, it follows that 2 R 1 R {2 1{2 x y 2 { 2 ? x e dx e dy 2 2 {2 and hence by taking the limits that c 1 ? p1{2q . 2 2 324

40 z 20 0 0 0.5 1 x 1.5 2 0 0.5 1.5 1 y

Fig. 79: Graph of the Beta function.

As another example of an application of Theorem 3.2.6, the next example denes Eulers beta function. Example 3.2.12. ( Beta function, I ) Show that fx,y : pp0, 1q R, x tx1 p1 tqy1 q is improper Riemann-integrable for all x 0, y 0. Hence we can dene the Beta function B : p0, 8q2 R by 1 tx1 p1 tqy1 dt B px, y q :
0

for all x 0, y 0. Solution: For this, let x 0, y 0. In addition, let , P p0, 1{2q. Then x 1{2 x 1{2 1{2 2t 2 1 x1 y 1 x1 x t p1 tq dt 2 t dt x x 2 x1 1 1 , x 2 1 1 1 2p1 tqy x1 y 1 y 1 t p1 tq dt 2 p1 tq y 1{2 1{2 1{2 325

2 y

y y 1 1 1 1 y . 2 y 2

Hence it follows by Theorem 3.2.6 that fx,y |p0,1{2s and fx,y |p1{2,1q are improper Riemann-integrable and that x1 1 y1 1{2 1 1 1 1 x1 y 1 x1 y 1 t p1tq dt , t p1tq dt . x 2 y 2 0 1{2 As a consequence, fx,y is improper Riemann-integrable and satises x1 y 1 1 1 1 1 1 x1 y 1 t p1 tq dt ` . x 2 y 2 0 The next example represents the Gamma function essentially as a limit of the beta function. As another example of an application of Theorem 3.2.6, the next example denes Eulers beta function. Example 3.2.13. ( Beta function, II ) Show that
y 8

lim y x B px, y q pxq

(3.2.9)

for all x 0. Solution: For this, let x 0, y 2. In addition, let , P p0, 1{2q. Then 1 tx1 p1 tqy1 dt x1 y 1 py1qp1q 1 s s 1 ds y 1 py1q y1 y1 y1 py1qp1q 1 s x1 s 1 ds . py 1qx py1q y1 Further, y 1 py1qp1q py1qp1q s x1 x1 s s 1 ds s e ds py1q y1 py 1q 326

py1qp1q
py 1q

y 1 s x1 s s s e 1 1 e ds . y1

We consider the auxiliary function h : r0, 8q R by y 1 s hpsq : 1 1 es y1 for all s P r0, 8q. Then hp0q 0, h is continuous and differentiable on p0, 8q with derivative y 2 s s 1 1 es 0 h p sq y1 y1 for 0 s y 1. Hence it follows for s P r0, y 1s that y 2 s u u 1 |hpsq| hpsq eu du y1 0 y1 s u u du exp u ` py 2q ln 1 y1 0 y1 s s u u u u exp u py 2q du exp du y1 y1 0 y1 0 y1 e s2 2py 1q where the case a 1 of (2.5.12) has been used. Hence it follows further that y 1 py1qp1q s s x1 s e ds s e 1 1 y1 py 1q py1qp1q e s2 e sx1 es ds px ` 2q . 2py 1q 2py 1q py 1q From the previous, we conclude that |py 1qx B px, y q pxq| 327 e px ` 2q 2py 1q

and hence that


y 8

lim y x B px, y q pxq .

The following example expresses the beta function in terms of the gamma function. Example 3.2.14. ( Beta function, III ) Show that B px, y q pxq py q px ` y q (3.2.10)

for all x, y 0. Solution: For this, let x, y 0. In the rst step, we show by use of partial integration that B px, y ` 1q y B px ` 1, y q . x (3.2.11)

For this, let , P p0, 1{2q. Then 1 1 1 x y 1 x x1 y y t p1 tq dt t p1 tqy1 dt t p1 tq ` x x 1 1 y rp1 qx y x p1 qy s ` tx p1 tqy1 dt x x which implies (3.2.11). Further, it follows that 1 1 x1 y t p1 tq dt ` tx p1 tqy1 dt 1 1 x1 y 1 p1 t ` tq t p1 tq dt tx1 p1 tqy1 dt

and hence that B px, y ` 1q ` B px ` 1, y q B px, y q . As a consequence, we obtain from (3.2.11) the equation B px, y q B px, y ` 1q ` B px ` 1, y q 328 x`y B px, y ` 1q y

which results in

y B px, y q . x`y By induction, we conclude from (3.2.12) that B px, y ` 1q B px, y ` nq

(3.2.12)

y py ` 1q py ` n 1q B px, y q px ` y q px ` y ` 1q px ` y ` n 1q

for every n P N . In particular, 1 2 pn 1q , y py ` 1q py ` n 1q 1 2 pn 1q B px ` y, nq px ` y q px ` y ` 1q px ` y ` n 1q B py, nq where it has been used that 1 B pz, 1q
0

(3.2.13)

tz1 dt

1 z

for every z 0. Hence it follows that B py, nqB px, y ` nq B px, y q B px ` y, nq x y n n B py, nq py ` nqx B px, y ` nq . y`n nx`y B px ` y, nq From this follows (3.2.10) by taking the limit n 8 and applying (3.2.9). Note that, as a consequence of (3.2.9) and the rst identity of (3.2.13), we arrive at Gauss representation of the gamma function pxq lim pn ` 1qx B px, n ` 1q lim nx B px, n ` 1q
n8 n8

lim

n n! n8 x px ` 1q px ` nq

for every x 0. 329

Theorem 3.2.15. (Gauss representation of the gamma function) For every x 0 nx n! pxq lim . (3.2.14) n8 x px ` 1q px ` nq As an application of Gauss representation of the gamma function and the product representation of the sine, (3.1.9), we prove the reection formula for . Theorem 3.2.16. (Eulers reection formula for the gamma function) The equation (3.2.15) pxq p1 xq sinpxq holds for all 0 x 1. Proof. For this, let 0 x 1. Then it follows by (3.1.9) that nx n! pxq p1 xq lim n8 x px ` 1q px ` nq n1x n! lim n8 p1 xq p2 xq rpn ` 1q xs 1 pn!q2 n lim x n8 p1 x2 q pn2 x2 q pn ` 1q x 1 1 1 x ` lim ` . 2 2 x x x n8 1 12 1 n2 x sinpxq sinpxq

Remark 3.2.17. Note that the reection formula (3.2.15) can and is used to extend the gamma function to negative values of its argument. See Fig. 80. As nal examples for the application of improper integrals, Legendres duplication formula for the gamma function is proved, and an occasionally occurring integral is evaluated in terms of the gamma function.

330

y 10 4 3 2 1.5 0.5 1 2 3 4 x 1 4 10 1.5 1

Fig. 80: Graphs of the extensions of the gamma function (left) and 1{ to negative values of the argument.

Example 3.2.18. Show Legendres duplication formula for the gamma function 1 (3.2.16) p2xq ? 22x1 pxq px ` p1{2qq for all x 0. Solution: For this, let x 0 and , P p0, 1{2q. Then 1 pxq pxq B px, xq rtp1 tqsx1 dt p2xq 0 Further, it follows by change of variables that *x1 1 1 " 1 1 1 1 x1 rtp1 tqs dt t ` dt t 2 2 2 2 x1 p1{2q p1{2q x1 1 2 22x u du 2 1 p2uq2 du 4 p1{2q p1{2q 12 12x 2 p1 v 2 qx1 dv 21 12 0 12x 2 x1 2 x1 2 p1 v q dv ` p1 v q dv
0 21

331

12 2
12x 0

12 p1 v q
2 x1

p1 v q
2 x1

dv `
0

dv

(3.2.17)

Further, it follows by change of variables that b 2 1 b 1{2 2 x1 p1 v q dv y p1 y qx1 dy , 2 a a2 where 0 a b, and hence by taking the limit a 0 that b 2 1 b 1{2 2 x1 p1 v q dv y p1 y qx1 dy . 2 0 0 Hence it follows from (3.2.17) that 1 rtp1 tqsx1 dt 2
p12 q

p12q2 y 1{2 p1 y qx1 dy


0

22x
0

y 1{2 p1 y qx1 dy `

and by taking the limits that p1{2q pxq pxq pxq 212x B p1{2, xq 212x . p2xq px ` p1{2qq Example 3.2.19. Show that ` `1 ` `1 {2 2 ` ` 2 sin pq cos pq d 2 2 ` 1 0

(3.2.18)

for all , 1{2. Solution: For this, let , 1{2 and , P p0, 1{2q. Then it follows by change of variables that 1 tp1q{2 p1 tqp 1q{2 dt

arcsinp?1 q
? arcsinp q

2 sinpq cospq rsin2 pqsp1q{2 r1 sin2 pqsp 1q{2 d 332

arcsinp?1 q 2
? arcsinp q

sin pq cos pq d

and hence by taking the limits that ` 1 ` `1 {2 ` 2 `1 `1 2 ` B sin pq cos pq d . , 2 2 2 ` ` 1 0 2

Problems 1) Show the existence in the sense of an improper Riemann integral and calculate the value. In this, if applicable, s, a 0. 1 a) c) e) g) lnpxq dx , b) 0 8 esx dx , d) 0 8 esx cospaxq dx
0

1 x lnpxq dx , 0 8 esx sinpaxq dx , 0 8 ? , f) e x dx ,


0 x

8
0 8

dx , h) x expp x2 q dx , x 8 8 dx dx i) , j) , 3 4 0 1`x 0 x `3 8 8 dx dx k) , l) , x x 2 2 8 e ` e 8 x ` a 8 8 dx dx , n) . m) 2 3 2 0 x ` 5x ` 6 0 x ` 2x ` 3x ` 6

e ?

2) The radial part of the wave function of an electron in a bound state around a proton is given by Rnl : p0, 8q R where n P N , l P t0, . . . , n 1u are the principal quantum number and the azimuthal quantum number, respectively [62]. Calculate the expectation value xry of the radial position of the electron in the corresponding state given by 8 3 2 r Rnl prq dr xry 0 a 8 2 2 r Rnl prq dr 0

333

y 0.2 0.5 0.4 0.3 0.2 0.1 1 y 0.2 2 3 4 r 0.1

2 y 0.1

10

12

0.1

0.05

2 y 0.1

10

12

r y 0.1

12

16

20

24

0.05

0.05

12

16

20

24

12

16

20

24

2 Fig. 81: Graphs of pp0, 8q R, r r2 Rnl prqq corresponding to a) to f). Compare Problem 2.

334

where a 0.529 108 cm is the Bohr radius. ? 2 r r {2 a) R10 prq 2 er , b) R20 prq 1 e 2 2 ? 6 r {2 c) R21 prq re , 12 ? 2 3 2 2 2 d) R30 prq 1 r` r e r {3 , 9 3 27 8 1 2 ? e) R31 prq r r er{3 , 6 27 6 4 f) R32 prq ? r2 er{3 81 30 for all r 0.

3) The wave function of a harmonic oscillator, i.e., the wave function of a point particle of mass m 0 under the inuence of a linear restoring force, is given by n : R R where n P N is the principal quantum number [3]. Calculate the expectation value xxy of the position of the mass point in the corresponding state given by 8 2 x n pxq dx 8 xxy . 8 2 pxq dx 8 n [In this, a pm { q1{2 , pk {mq1{2 , k 0 is the springs constant and is the reduced Plancks constant.] 1{2 ea 1{2 2axea 1{2 1{2

a) b) c) d) 0 pxq 1 pxq 2 pxq 3 pxq

a ?

x 2 {2

,
2

a ? 2 8 a ?

x 2 {2

,
2

p4a2 x2 2q ea

x2 {2

,
2

a ? 48

p8a3 x3 12axq ea

x 2 {2

for all x P R. 4) The time for one complete swing (period) T of a pendulum with

335

y 0.6

0.4

0.2 0.1 4 2 y 2 4 x 4 2 y 2 4 x

0.4

0.4

Fig. 82: Squares of the wave functions of a harmonic oscillator. Compare Problem 3.

336

length L 0 is given by d L 1 du a T 2 g 1 p1 u2 qp1 k 2 u2 q where 0 P p {2, {2q is the initial angle of elongation from the position of rest of the pendulum, k : | sinp0 {2q|, and where g is the acceleration of the Earths gravitational eld. Show that the corresponding integral exists in the improper Riemann sense. Split the integrand into a Riemann integrable and an improper Riemann integrable part where the last leads on an integral that can easily be calculated. In this way, we give another representation of T that involves only a proper Riemann integral.

337

A D

Fig. 83: Archimedes construction in the quadrature of the parabola. Refer to text.

3.3

Series of Real Numbers

In this section, we start the study of series of real numbers. A special case of an important series, the geometric series, already appeared in Archimedes second proof of his quadrature of the parabola. For motivation, this second proof is considered in the following. For this, we consider a parabola along with a line segment AE between two points A and E on that parabola and the point C of smallest distance from AE . See Fig 83. Archimedes proved that the area of the parabolic segment ACE is 4{3 of the area of the inscribed triangle with corners A, C and E . He did this by dissecting the parabolic segment iteratively by triangles constructed from line segments between points on the parabola as follows. In the rst step, two triangles with corners A, B, C and C, D, E are constructed in the same way from the line segments AC and CE , respectively, as the triangle with corners A, B, C was constructed from the line segment AE , i.e., the points B and D are the points of minimal distance from AC and CE , respectively. Then the same process is continued with the line segments AB , BC , CD, DE leading to four new triangles and so forth. At the time of Archimedes writing of his quadrature of the parabola, the

338

G D A I B C
Fig. 84: Auxiliary diagram for the description of results on parabolic segments used in Archimedes proof. Refer to text.

following facts were known to be true for every line segment AE on a parabola. See Fig 84. (i) The tangent to the point C on the parabola of largest distance from AE is parallel to AE . (ii) The parallel to the axis of the parabola through C halves every line segment BD between two points B and D on the parabola that is parallel to AB . (iii) If I , G are the points of intersection of the parallel to the axis through C with BD and AE , respectively, then CI pBI q2 . CG pAGq2 Note that they imply that AT AP 2AT (3.3.2) (3.3.1)

where AP denotes the area of the parabolic segment ACE and AT denotes the area of the inscribed triangle with corners A, C and E . See Fig 85. 339

E G

A M

L
Fig. 85: The double of the area of the triangle ACE gives an upper bound for the area of the parabolic segment ACE . Refer to text.

E F G H K A D J B I C

Fig. 86: Archimedes construction of quadrature of the parabola including auxiliary lines (dashed) and points. Refer to text.

340

Archimedes did not prove these facts, but referred for such proofs to earlier works on conics by Euclid and Aristaeus. We will give proofs in Example 3.5.26 below using methods from analytical geometry. By help of this knowledge, Archimedes concluded that the areas of the triangles ABC , CDE are 1{4 of the areas of the triangles ACG and GCE , respectively. See Fig 86. This can seen as follows. We denote by I the intersection of the parallel to AE through B with the parallel to the axis through C . Note that Fig 86 suggests that its prolongation goes through the point D, but this will not be used in the following. That this is indeed the case will be side result of the proof. Further, we denote by G the intersection of AE with the parallel to the axis through C . Finally, we denote by J, H the intersections of the parallel to the axis of the parabola through B with AC and AE , respectively. Since this parallel halves AC , BH and CG as well as BI , HG are parallel, we conclude that AH HG and hence by (3.3.1) that CI pBI q2 pHGq2 1 . 2 2 CG pAGq p2HGq 4 (3.3.3) 1 AG , BI HG , BH IG 2

Further, the triangles with corners AJH and ACG are similar. Hence AH 1 JH . CG AG 2 In particular, by help of the last and (3.3.3), it follows that BJ BH JH IG JH CG CI JH 3 1 JH JH JH . 2 2 3 CG JH 4

Hence the triangles ABC and ACH have the side AC in common and the corresponding height of the triangle ABC ( distance from AC to B ) is 341

half of that corresponding height of the triangle ACH ( distance from AC to H ). Hence the area of the triangle ABC is half the area of the triangle ACH . Now also the triangles ACH and ACG have the side AC in common and the corresponding height of the triangle ACH ( distance from AC to H ) is half of that corresponding height of the triangle ACG ( distance from AC to G). Hence it follows that the area of the triangle ABC is 1{4 of the area of the triangle ACG. The reasoning is analogous for the areas of the triangles CDE and GCE , respectively. See Fig 86. For this, we denote by I the intersection of the parallel to AE through D with the parallel to the axis through C . Note that this denition of the point I could conict with its previous denition. But only the last denition will be used in the following, and a by product of the proof is that these points indeed coincide. As before, we denote by G the intersection of AE with the parallel to the axis through C . Finally, we denote by K, F the intersections of the parallel to the axis of the parabola through D with CE and AE , respectively. Since this parallel halves CE and CG, DF as well as ID, GF are parallel, we conclude that GF FE and hence by (3.3.1) that pIDq2 pGF q2 1 CI . CG pGE q2 p2GF q2 4 (3.3.4) 1 GE , ID GF , DF IG 2

Note that this implies, that both previous denitions of I coincide. Further, the triangles with corners FKE and GCE are similar. Hence KF FE 1 . CG GE 2 In particular, by help of the last and (3.3.4), it follows that DK DF KF IG KF 342 3 CG KF 4

3 1 KF KF KF . 2 2

Hence the triangles CDE and CEF have the side CE in common and the corresponding height of the triangle CDE ( distance from CE to D) is half of that corresponding height of the triangle CEF ( distance from CE to F ). Hence the area of the triangle CDE is half the area of the triangle CEF . Now also the triangles CEF and GCE have the side CE in common and the corresponding height of the triangle CEF ( distance from CE to F ) is half of that corresponding height of the triangle GCE ( distance from CE to G). Hence it follows that the area of the triangle CDE is 1{4 of the area of the triangle GCE As a consequence, the sum of the areas of the triangles ABC and CDE is 1{4 of the area of the triangle ACE . Hence it follows that AT AT AP AT 2 4 4 and inductively that
n k 1 AT AT AP AT 2 n`1 n ` 1 4 4 4 k 0

(3.3.5)

for every n P N. At this point observes that 1 4n`1 ` 1 1 4 1 1 1 n`1 n`1 n 3 4 3 4 3 4

for every n P N which leads to


n `1 k n k 1 1 1 1 1 1 1 n`1 ` n`1 ` n`1 ` 3 4 4 4 3 4 4 k0 k 0 n k 1 1 1 n` 3 4 4 k 0

343

for every n P N. Hence it follows that n k 0 k 1 1 1 1 4 1 1 n` 0` 3 4 4 3 4 4 3 k 0 k 0 for every n P N. For every n P N, this leads to AT 4 1 1 AT A A 2 P T 4n`1 3 3 4n 4n`1 which is equivalent to AT AT 1 4 7 AT n`1 n`1 ` n AP AT 3 4 4 3 4 3 AT AT 1 10 AT 2 n`1 ` . 4 3 4n 3 4n`1

(3.3.6)

Differently to Archimedes, we can conclude from this by help of Theorem 2.3.12 directly that 4 AP AT . 3 Since the limit concept was not developed at that time, Archimedes had to employ a usual double reductio ad absurdum argument for this, i.e., to lead both assumptions that AP 4AT {3 and that AP 4AT {3 to a contradiction which leaves only the option that AP 4AT {3. This can be done as follows. First, we notice that AP 4AT {3 according to (3.3.6). Therefore the assumption that AP 4AT {3 for some 0 contradicts (3.3.6) . Second, we assume that AP 4AT {3 ` for some 0. Then, it follows for n P N satisfying n that 10 AT 3 ln 4

4 10 AT AT 3 3 4n`1 which contradicts (3.3.6) . Hence the only remaining possibility is that AP 4AT {3. Of course, in ancient Greece only rational were considered AP 344

in such analysis. A modern way of stating Archimedes result can be given as follows. Since it follows from (3.3.5) that n k 1 AT AT AP 1 1 AP 2 n`1 AP n`1 (3.3.7) AT 4 4 A 4 A T T k 0 for every n P N, the sequence S0 , S1 , . . . , dened by S n :
n k 1 k0

for every n P N, is increasing and bounded from above by AP {AT and hence convergent. In particular, it follows from (3.3.7) by Theorem 2.3.12 that n k 1 . AP AT lim n8 4 k 0 In the following, the natural notation
8 k 1 k 0

: lim

n k 1 k0

n8

will be used and referenced as the sum of the sequence x0 , x1 , . . . , dened by k 1 xk : 4 for every k P N. In addition, the sequence S0 , S1 , . . . will be called the sequence of partial sums of x0 , x1 , . . . . Sequences of partial sums are also called series. In this sense, Archimedes calculates the sum of the sequence 1, q, q 2 , . . . for the case q 1{4 which is given by 4{3. The series corresponding to the sequences 1, q, q 2 , . . . where q runs through all real numbers are called geometric series. 345

Denition 3.3.1. Let x1 , x2 , . . . be a sequence of elements of R. We say that x1 , x2 , . . . is summable if the corresponding sequence of partial sums S1 , S2 , . . . , dened by n Sn : xk (3.3.8)
k 1

for every n P N, is convergent to some real number. In this case, the sum of x1 , x2 , . . . is denoted by
8 k 1

xk .

(3.3.9)

Otherwise, we say that x1 , x2 , . . . is not summable. The sequence in (3.3.8) is also called a series and in case of its convergence a convergent series with its sum denoted by (3.3.9). In case of its divergence, that series is called divergent. In the following, we give two examples of series that play an important role in the analysis of the convergence of series, geometric series and the harmonic series. The former contain a real parameter. If and only if the absolute value of that parameter is smaller than 1, the corresponding geometric series converges. The harmonic series is divergent. Example 3.3.2. (Geometric series) Let x P R. In the following, we use the convention that x0 : 1. Show that the so called geometric series S0 , S1 , . . . , dened by n xk Sn :
k0

for every n P N, is convergent if and only if |x| 1. In the last case, show that 8 1 . xk 1x k 0 Solution: Note that in the case x 1, it follows that Sn n and hence the divergence of the corresponding the geometric series. For x 1, it follows 346

10

20

30

40

50

Fig. 87: Partial sums of the harmonic series and graphs of ln and 21 ` [2 lnp2q]1 ln .

that x Sn and hence that

n k 0

xk `1

n `1 k 1

xk Sn 1 ` xn`1

1 xn`1 . 1x As a consequence, the series of partial sums is convergent if and only if |x| 1, and in this case Sn
8 k0

xk lim Sn
n8

1 . 1x

Example 3.3.3. (Harmonic series) Show that the harmonic series, dened by n 1 Sn : k k 1 347

for every n P N , is divergent. Solution: For every n P N zt0, 1u, it follows that
2n 20 22 2n 1 1 1 1 ` ` ` k k1 k k21 k k k 1 k2n1 20 22 2n 1 1 1 ` ` ` 0 2 2 2 2n k 1 k21 k2n1

1 1 ` ` p2n 2n1 q n 2 2 2 1 1 n1 n`1 lnp2n q ` lnp2q 1 ` ` ` 1 ` 2 2 2 2 2 lnp2q 1 ` p22 21 q and hence the divergence of the harmonic series. Remark 3.3.4. Note that because series are sequences of partial sums, we can apply the limit laws of Theorem 2.3.4 to series. Often, a given series consists of the partial sums corresponding to a sequence of the form f p1q, f p2q, . . . where f : r1, 8q R is some function. For instance in the case of a geometric series corresponding to q 0, such function is given by f pxq : e px1q ln q for x 1, and in the case of the harmonic series, such function is given by f pxq : 1 x

for x 1. We note that in such case, the sequence of partial sums f p1q, f p2q, . . . , dened by n f pk q
k 1

for every n P N , has the form of a Riemann sum, i.e., the form of sums used in the denition of the Riemann integral, corresponding to a decomposition of R into the intervals r1, 2s, r2, 3s, . . . of length 1. Hence, we would 348

expect that there is a relationship between the existence of the improper Riemann integral of f and the convergence of the series. Indeed, this is true for a particular class of functions f . Theorem 3.3.5. (Integral test) Let f : r1, 8q R be positive decreasing and almost everywhere continuous. Then f p1q, f p2q, . . . is summable if and only if f is improper Riemann-integrable. In this case, 8 f pxq dx
1 8 k 1

8 f pk q f p1q `
1

f pxq dx

(3.3.10)

as well as 8 f pxq dx
m`1 8 km`1

8 f pk q
m

f pxq dx

(3.3.11)

for every m P N . Proof. For this, we dene the auxiliary function g : r1, 8q R by g p1q : f p2q as well as g pxq : f pk ` 1q for all x P pk, k ` 1s and k P N . Then n`1 g pxq dx
m n k `1 km k

g pxq dx

n `1 km`1

f pk q

for every m, n P N such that m n. If f is improper Riemann-integrable, it follows because of |g | f and by Theorem 3.2.6 that g is improper Riemann-integrable and hence that f p1q, f p2q, . . . is summable and 8 8 f pxq dx f pk q
km`1 m

for every m P N . If on the other hand f p1q, f p2q, . . . is summable, we dene the auxiliary function h : r1, 8q R by hpxq : f pk q for all x P rk, k ` 1q and k P N . Then x x 8 f py q dy hpy q dy f pk q
m m k m

349

for every m P N and x P r1, 8q. Hence it follows by Theorem 3.2.6 that f is improper Riemann-integrable and that 8 8 f py q dy . f pk q
k m m

for every m P N . Remark 3.3.6. Note that (3.3.11) can be used to estimate remainder terms of the sequence. The following two examples give applications of the integral test to further series that play an important role in the analysis of the convergence of series. In particular, the following example denes Riemanns zeta function which has important applications in the description of the distribution of the prime numbers. Further applications are in quantum statistical physics and quantum eld theory. Finally, there is a famous problem concerning the zeros of the extension of Riemanns zeta function to complex numbers. All even integers that are smaller than 0 are zeros of that extension. Riemanns conjecture from 1859 claims that all other zeros have the real part 1{2. It is not yet known whether this is true. The solution to this problem would have profound consequences in the theory of numbers. Example 3.3.7. (Riemanns Zeta function) Show that by
8 1 psq : ns n1

for every s P p1, 8q there is dened a function : p1, 8q R. This function is called Riemanns zeta function. Solution: For every s P p1, 8q the corresponding function fs : r1, 8q R dened by fs pxq : 1{xs for every x 1 is positive decreasing and continuous and by Example 3.2.5 improper Riemann-integrable. Hence the statement follows from Theorem 3.3.5. In addition, it follows by (3.3.10) that 8 8 1 s fs pxq dx psq 1 ` fs pxq dx . s1 s1 1 1 350

y 10 8 6 4 2 1.5 2 2.5 3 s

Fig. 88: Graphs of (black), 1{p1 sq (blue) and s{p1 sq (red).

2.5

1.5

0.5

10

20

30

40

50

Fig. 89: Partial sums of the series from Example 3.3.8 for the case p 1.

351

Example 3.3.8. Let p 1. Determine whether the sequence a2 , a3 , . . . dened by n 1 an : k plnpk qqp k 2 for every n P N zt0, 1u is convergent or divergent. Solution: For this, we dene the auxiliary function h : r2, 8q R by hpxq : x plnpxqqp for every x 2. Then h is strictly positive, strictly increasing and continuous and hence f : r1, 8q R dened by f pxq : 1{rpx ` 1qplnpx ` 1qqp s for every x 1 is positive, strictly decreasing and continuous. Further for p 1: n dx lnplnpn ` 1qq lnplnp2qq 1 px ` 1q lnpx ` 1q for every n P N . Using that lnplnp2m qq lnpm lnp2qq for every m P N , it follows that f is not improper Riemann-integrable. Hence it follows by Theorem 3.3.5 the divergence of the corresponding sequence a2 , a3 , . . . . For p 1 it follows that x dy 1 rplnpx ` 1qq1p plnp2qq1p s p p y ` 1 qp ln p y ` 1 qq 1 p 1 for every x 1 and hence the improper Riemann-integrability of f and by Theorem 3.3.5 the convergence of the corresponding sequence a2 , a3 , . . . . The following comparison test is often applied to decide the convergence of a given series. For motivation, we investigate the convergence of the series S1 , S2 , . . . dened by n 1 Sn : 2 k `2 k 1 for all n P N . A basic strategy in the solution of any problem is to investigate whether that problem has a peculiarity that prevents its immediate solution. Indeed, without the addition of 2 in the denominator of the summands, S1 , S2 , . . . would coincide with the zeta series corresponding to s 2 which was shown to converge. In such cases, it is often possible to 352

reduce, in some sense, the solution of the given problem to the solution of the simpler problem. For instance in this case, we notice that
n 8 1 1 1 Sn : p2q 2 2 k ` 2 k 1 k k2 k 1 k 1 n

for every n P N . Hence S1 , S2 , . . . is an increasing sequence that is bounded from above and therefore convergent (with a sum that is smaller than p2q). The following theorem generalizes this method of comparison of series. Theorem 3.3.9. (Comparison test) Let x1 , x2 , . . . and y1 , y2 , . . . be sequences of positive real numbers. Further, let xn c yn for all n P tN, N ` 1, . . . u where c 0 and N is some element of N . If y1 , y2 , . . . is summable, then x1 , x2 , . . . is summable, too. Proof. If y1 , y2 , . . . is summable, it follows that
n k 1

xk

n k 1

c yk c

n k 1

yk c

8 k 1

yk

for every n P N . Hence the sequence of partial sums of x1 , x2 , . . . is increasing (since xk 0 for all k P N ) and bounded from above and therefore convergent. In Example 3.3.3, we proved that the harmonic series is divergent by showing that 2n lnp2n q ` lnp2q 1 k 2 lnp2q k 1 for every n P N. In addition, Fig 87 supported the validity of the more general estimate n 1 lnpnq ` lnp2q k 2 lnp2q k 1 for every n P N . The last could indicate a logarithmic increase of the partial sums of the harmonic series with the number of summands. Indeed, as 353

another application of the previous theorem, the following example proves the more precise statement that n 1 lim lnpnq n8 k k 1 where is a real number in the interval r0, 1s called Eulers constant. To seven decimal places, is given by 0.5772156. Example 3.3.10. Show that the sequence a1 , a2 , . . . dened by n 1 lnpnq an : k k 1 for all n P N is convergent. See Fig. 87. Solution: For this, we dene an auxiliary sequence b1 , b2 , . . . by n n 1 lnpn ` 1q an ` lnpnq lnpn ` 1q an ` ln bn : k n`1 k 1 for all n P N . Then 1 n`2 bn`1 bn ln n`1 n`1 1 1 1 n`1 1 x 1 dx dx n`1 0 x`n`1 n`1 0 x`n`1 and hence 0 bn`1 bn 1 pn ` 1q2

for all n P N . Therefore b1 , b2 , . . . is increasing and bounded from above since n 1 8 1 pbk`1 bk q b1 ` bn b1 ` k2 k 1 k 1 354

for all n P N z t0, 1u. Hence b1 , b2 , . . . and a1 , a2 , . . . are convergent. The constant n 1 : lim lnpnq n8 k k 1 is known as Euler constant. Presently, it is not yet known whether it is rational or irrational. Since n`1 n k `1 n n 1 dx dx 1 1 lnpn ` 1q 1` x x k k`1 1 k1 k k 1 k 1 n 1 k`1 n dx dx 1` 1` 1 ` lnpnq , x x k 1 k 1 it follows that 0 ln n`1 n an 1

for every n P N z t0, 1u and hence that 0 1. To seven decimal places it is given by 0.5772156. The following example derives Weierstrass representation of the gamma function as a simple consequence of the previous result and Gauss representation (3.2.14) of the gamma function. Example 3.3.11. (Weierstrass representation of the gamma function) Show Weierstrass representation of the gamma function
n x x{k 1 xex lim 1` e n8 pxq k k1

(3.3.12)

for every x 0 where is Eulers constant. Solution: For this, let x 0. According to (3.2.14), pxq is given by pxq lim
n nx n! 1 x1 lim nx n8 x px ` 1q px ` nq n8 1` k 1 x k

355

Further,
n 1 nx exppx lnpnqq exp x lnpnq k k1 n n 1 ex{k . exp x lnpnq k k 1 k 1

n x exp k k 1

Hence it follows that pxq x


1 n 1 lim exp x lnpnq n8 k k1 n ex{k n8 1` x k k1

n ex{k 1` x k k 1

x1 ex lim which implies (3.3.12).

The following comparison test is a simple consequence of the comparison test from Theorem 3.3.9. Theorem 3.3.12. (Limit comparison test) Let x1 , x2 , . . . and y1 , y2 , . . . be sequences of positive real numbers. Further, let xn 1. n8 yn lim (Note that this implies that yn 0 for all n P tN, N ` 1, . . . u and some N P N .) Then x1 , x2 , . . . is summable if and only if y1 , y2 , . . . is summable. Proof. Since limn8 pxk {yk q 1, there is N P N satisfying N 2 and such that 1 xk 3 2 yk 2 for all k P N such that k N . In particular, this implies that 0 yk 2xk , 0 xk 356 3yk 2

for all k P N such that k N . Hence it follows by help of Theorem 3.3.9 that the sequence xN , xN `1 , . . . is summable if and only if yN , yN `1 , . . . is summable. Since
n k 1

xk

N 1 k 1

xk `

n k N

xk ,

n k 1

yk

N 1 k 1

yk `

n k N

yk

for every n P N satisfying n N , the last also implies the statement of the theorem. In the following, we give three typical applications of the previous comparison test. In particular, the two subsequent examples study series which are frequently used in the analysis of the convergence of given series. Furthermore, the following example, along with the fact that the sequence whose members are all equal to 1 is not summable, shows that the series 1, 1{2s , 1{3s , . . . is not summable for s 1 and hence that psq cannot be dened for s 1 in the same way as for s 1. Example 3.3.13. Let p 1. Determine, whether the sequence a1 , a2 , . . . dened by 1 an : p n for all n P N , is summable. Solution: Since p 1, it follows for every n P N that 1 1 p n n for all n P N and hence by Theorem 3.3.9 and Example 3.3.3 the divergence of a1 , a2 , . . . . Example 3.3.14. Let p 1. Determine whether the sequence a2 , a3 , . . . dened by n 1 an : k plnpk qqp k 2

357

for every n P N zt0, 1u is convergent or divergent. Solution: Since p 1, it follows for every k 3 that plnpk qq1p 11p 1 and hence that 1 1 . k plnpk qqp k lnpk q

Hence it follows by Theorem 3.3.9 and Example 3.3.8 that the sequence a2 , a3 , . . . is divergent. Example 3.3.15. Determine whether the sequence a1 , a2 , . . . dened by an : 3n2 ` n ` 1 pn5 ` 2q1{2

for all n P N is summable. Solution: Dene bn : 3 n1{2

for all n P N . Then b1 , b2 , . . . is not summable according to Example 3.3.13. In addition, it follows that an 1 n8 bn lim and hence by Theorem 3.3.12 also that a1 , a2 , . . . is not summable. In the 17th and 18th century, it was generally assumed that the reordering of the members of a sequence lead to a sequence which is summable if and only if the same is true for the original sequence and in that case that the sums of both sequences coincide. Indeed, we will see in the following that this is true for absolutely summable sequences that include sequences of positive p 0q real numbers. On the other hand, we will also see that the above statement is false in more general cases. This false belief led to contradictions which plagued the calculus in those centuries. We present one example from that time [60] of a too naive handling of series resulting from 358

a reordering of a sequence whose members alternate in sign. Since 1668 [78], it was known that
8 p1qn`1 lnp2q , n n1

a fact that will be proved in Example 3.4.19. On the other hand, it was argued that therefore 1 1 1 1 1 lnp2q 1 ` ` ` . . . 2 3 4 5 6 1 1 1 1 1 1 1 1 1 ` ` ` ... ` ` ` ` ... 2 ` ` ` ... 3 5 2 4 6 2 4 6 2 1 1 1 1 1 ` ` ` ... 0 . 1 ` ` ` ... 2 3 2 1 2 3 It should be noted that already the second line in the above derivation cannot be concluded by the limit laws because all three series inside the brackets diverge. Hence the above can also be viewed as a classic example of the false treatment of 8 as a real number which was quite common at that time. The discovery of such apparent contradictions contributed essentially to a re-examination and rigorous founding of the theory of innite series. A simple example for the fact that the reordering of a sequence can affect its sum is the following. For this, we consider a reordering of the sequence a1 , a2 , . . . dened by p1qk`1 ak : k for every k P N . The partial sums of this sequence are called the alternating harmonic series whose sum was also considered in the above derivation.

359

1.1

0.9

10 0.7

20

30

40

50

n3

0.6

0.5

Fig. 90: Partial sums of the alternating harmonic series and its rearrangement from Example 3.3.16.

Example 3.3.16. (A rearrangement of the alternating harmonic series) For this, we dene the sequence a1 , a2 , . . . by p1qk`1 k for every k P N , and the sequence b1 , b2 , . . . by ak : 1 1 p1q4k2 a4k3 , 4k 3 4k 3 1 1 b3k1 : p1q4k a4k1 , 4k 1 4k 1 1 1 b3k : p1q2k`1 a2 k 2k 2k for every k P N . From the last, we conclude that the sequence b1 , b2 , . . . contains only members of the sequence a1 , a2 , . . . . The fact that it contains all of them can be seen as follows. For this, let k P N . If k is even, then b3k2 : b3 pk{2q a2 pk{2q ak . 360

If k is odd, then there is l P N such that k 2l 1. If l is even, then b3 pl{2q1 a4 pl{2q1 a2l1 ak . Finally, if l is odd, then b3 ppl`1q{2q2 a4 ppl`1q{2q3 a2l1 ak . Hence, b1 , b2 , . . . is a reordering of a1 , a2 , . . . . The ninth partial sum corresponding to a1 , a2 , . . . is given by 1 1 1 1 1 1 1 1 1 ` ` ` ` , 2 3 4 5 6 7 8 9

whereas the ninth partial sum corresponding to b1 , b2 , . . . is given by 1` 1 1 1 1 1 1 1 1 ` ` ` ` . 3 2 5 7 4 9 11 6

Assuming the convergence of the alternating harmonic series which is proved in Example 3.3.19, it follows that
8 1 1 5 p1qk 1 ` . k 2 3 6 k1

Further, because of b3k2 ` b3k1 ` b3k for every k P N , it follows that


3n k 1

8k 3 0 2k p4k 3qp4k 1q

bk

5 6

for every n P N . Therefore, either b1 , b2 , . . . is not summable (!), or


8 5 p1qk bk . p!q 6 k 1 k k 1 8

361

In the following, we continue the study of series with view on sums of alternating sequences. Any sequence y1 , y2 , . . . of real numbers can be represented in the equivalent form x1 |y1 |, x2 |y2 |, . . . where the sequence x1 , x2 , . . . assumes values in t1, 1u. In this sense, y1 , y2 , . . . is always a product of a bounded sequence that describes sign changes and a sequence of positive numbers. In the case that the partial sums of x1 , x2 , . . . stay bounded, as is the case for alternating y1 , y2 , . . . , consideration of this product structure is helpful in the analysis of the convergence of the series that corresponds to y1 , y2 , . . . . The basis for such analysis is provided by the following summation by parts formula which resembles the formula for partial integration. Theorem 3.3.17. (Summation by parts) Let x1 , x2 , . . . and y1 , y2 , . . . be sequences of real numbers and S1 , S2 , . . . be the sequence of partial sums of x1 , x2 , . . . . Then
n k m

xk yk pSn ` cqyn`1 pSm1 ` cqym

n km

pSk ` cqpyk`1 yk q

for all m, n P N such that n m and all c P R where we dene S0 : 0. Proof. It follows for all m, n P N , that
n km n

xk y k

n k m

pSk Sk1 qyk

n km

Sk yk

n 1 km1

Sk yk`1

k m

Sk yk

n k m

Sk yk`1 ` Sn yn`1 Sm1 ym


n k m n

Sn yn`1 Sm1 ym Sn yn`1 Sm1 ym Sn yn`1 Sm1 ym

Sk pyk`1 yk q pSk ` cqpyk`1 yk q `


n k m

c pyk`1 yk q

k m n

pSk ` cqpyk`1 yk q ` cyn`1 cym 362

k m

pSn ` cqyn`1 pSm1 ` cqym

pSk ` cqpyk`1 yk q .

k m

The following Dirichlets test is mainly a consequence of the summation by parts formula. This test is frequently used in connection with the summation of alternating sequences also because it provides a very simple estimate of the error resulting from the truncation of the series after nitely many terms. Theorem 3.3.18. (Dirichlets test) Let x1 , x2 , . . . be a sequence of real numbers such that its partial sums form a bounded sequence and y1 , y2 , . . . be a decreasing sequence of real numbers such that limk8 yk 0. Then the sequence x1 y1 , x2 y2 , . . . is summable,
8 k 1

xk yk M1 y1 `

pSk M1 qpyk yk`1 q

(3.3.13)

k 1

and for every n P N 8 xk yk pM2 M1 q yn`1 kn`1

(3.3.14)

where M1 , M2 P R are a lower bound and upper bound, respectively, of the partial sums of x1 , x2 , . . . . Proof. For this let S1 , S2 , . . . be the sequence of partial sums of x1 , x2 , . . . and M1 , M2 P R be lower and upper bounds, respectively. Then by Theorem 3.3.17
n k 1

xk yk pSn M1 qyn`1 ` M1 y1 `

pSk M1 qpyk yk`1 q

k 1

as well as 0
n k1

pSk M1 qpyk yk`1 q 363

pM2 M1 qpyk yk`1 q

k 1

pM2 M1 qpy1 yn`1 q pM2 M1 q y1 for all n P N . Therefore the sequence


1

pSk M1 qpyk yk`1 q,

pSk M1 qpyk yk`1 q, . . .

k 1

k 1

is increasing as well as bounded from above and hence convergent. Therefore, since limk8 yk 0, it follows the summability of x1 y1 , x2 y2 , . . . and p3.3.13q. Finally, it follows for every n P N that
8 kn`1

xk yk pSn M1 qyn`1 `

pSk M1 qpyk yk`1 q

kn`1

and hence
8 kn`1 8 kn`1

xk yk pSn M1 qyn`1 pM2 M1 qyn`1 xk yk pSn M1 qyn`1 `


8 kn`1

pM2 M1 qpyk yk`1 q

pM2 Sn qyn`1 pM2 M1 qyn`1 and (3.3.14). Example 3.3.19. Let s 0. Determine whether the sequence a1 , a2 , . . . dened by p1qn1 an : ns for all n P N is summable. Solution: Dene xn : p1qn1 , yn : 1 ns

364

y 10 5 s

1.5 5 10

2.5

Fig. 91: Graph of an extended Riemanns zeta function .

for all n P N . Then the partial sums S1 , S2 , . . . of x1 , x2 , . . . oscillate between 0 and 1 and y1 , y2 , . . . is decreasing as well as convergent to 0. Hence by Theorem 3.3.18 a1 , a2 , . . . is summable and 8 8 1 1 ak s p 2 k ` 1 q p2k ` 2qs k 1 k 0 8 1 1 ` 21s psq p1 21s q psq s s p 2 k ` 1 q p 2 k ` 2 q k 0 if, in addition, s 1. Note that the last formula can and is used to dene on p0, 1q. See Fig. 91. In some cases where Dirichlets test cannot be applied Abels test is of use. Also Abels test is mainly a consequence of the summation by parts formula. Theorem 3.3.20. (Abels test) Let x1 , x2 , . . . be a summable sequence of real numbers and y1 , y2 , . . . a decreasing convergent sequence of real num365

bers. Then the sequence x1 y1 , x2 y2 , . . . is summable and 8 8 8 xk yk M1 y1 ` xk M1 lim yk ` pSk M1 qpyk yk`1 q
k 1 k1 n8 k1

(3.3.15) where M1 P R is a lower bound of the partial sums of x1 , x2 , . . . . Proof. For this, let S1 , S2 , . . . be the sequence of partial sums of x1 , x2 , . . . and M1 , M2 P R be lower and upper bounds, respectively. Further, let M3 , M4 P R be lower and upper bounds, respectively, of y1 , y2 , . . . . Then by Theorem 3.3.17
n k 1

xk yk pSn M1 qyn`1 ` M1 y1 `

n k1

pSk M1 qpyk yk`1 q

as well as 0
n k1

pSk M1 qpyk yk`1 q

pM2 M1 qpyk yk`1 q

k 1

pM2 M1 qpy1 yn`1 q pM2 M1 q pM4 M3 q for all n P N . Therefore, the sequence
1

pSk M1 qpyk yk`1 q,

pSk M1 qpyk yk`1 q, . . .

k 1

k 1

is increasing as well as bounded from above and hence convergent. Finally, it follows the summability of x1 y1 , x2 y2 , . . . and p3.3.15q by the limit laws for sequences. The following example gives an application of Abels test. Example 3.3.21. Show that the sequence a1 , a2 , . . . dened by a2n1 : n1 1 , a2n : 2 n n`1 366

0.5

10

15

20

25

30

0.2 0.3 0.4

0.6 0.1

10

15

20

25

30

0.8

Fig. 92: Sequences of absolute values and partial sums of the sequence from Example 3.3.21.

for every n P N is summable. Solution: We note that |a2n | |a2n1 | 1 n1 1 0, 2 2 n`1 n n pn ` 1q 1 n 1 |a2n | |a2n`1 | 0 n ` 1 pn ` 1q2 pn ` 1q2

for all n P N and hence that the sequence |a1 |, |a2 |, . . . is neither decreasing nor increasing. Hence Dirichlets test cannot be directly applied. On the other hand, Abels test can be applied successfully as follows. For this, we dene 1 1 , x2n : , x1 : 1 , x2n`1 : n`1 n n n y1 : 0 , y2n`1 : , y2n : n`1 n`1 for every n P N . Then x1 y1 0 a1 , x2n`1 y2n`1 x2n y2n 1 n n a2n`1 , n`1 n`1 pn ` 1q2

1 n 1 a2 n n n`1 n`1 367

for all n P N . The partial sums of the sequence x1 , x2 , . . . are given by


2 n1 k1 2n k 1

xk

x2k1 `

n 1

x2k

xk

k 1 n k 1

x2k1 `

k 1 n k 1

n n1 1 1 1 , k k 1 k n k 1

x2k

n n 1 1 0 k k 1 k k 1

for every n P N such that n 2, and hence x1 , x2 , . . . is summable. Further, y1 , y2 , . . . is decreasing and convergent to 1. Hence it follows by Abels test that a1 , a2 , . . . is summable. Therefore, a1 , a2 , . . . is summable, too. In the following, we dene and study absolutely summable sequences. Any reordering of such a sequence leads to a convergent series whose sum coincides with the sum of the original series. In applications mainly absolutely summable sequences occur. Exceptions are rare. One such exception is described in [9]. Denition 3.3.22. (Absolute summability) A sequence x1 , x2 , . . . of real numbers is said to be absolutely summable if the corresponding sequence |x1 |, |x2 |, . . . is summable. It is called conditionally summable if it is summable, but |x1 |, |x2 |, . . . is not. Of course, the previous denition is reasonable only if any absolutely summable sequence is summable, too. The last is easy to prove. Theorem 3.3.23. Any absolutely summable sequence of real numbers is summable. Proof. For this, let x1 , x2 , . . . be some absolutely summable sequence of real numbers. Then x1 ` |x1 |, x2 ` |x2 |, . . . is a sequence of positive real numbers and
n

pxk ` |xk |q 2

n k 1

| xk | 2

8 k 1

| xk |

k 1

368

for all n P N . Hence the sequence of partial sums corresponding to the sequence x1 ` |x1 |, x2 ` |x2 |, . . . is increasing as well as bounded from above and hence convergent. Therefore, x1 ` |x1 |, x2 ` |x2 |, . . . is summable. Hence it follows by the limit laws that x1 , x2 , . . . is summable, too. Remark 3.3.24. Note that the previous denition and theorem reduce the decision whether a given sequence is absolutely summable (and therefore also summable) to the decision whether a corresponding sequence of positive real numbers is summable. Usually, the decision of the last is relatively easy, and we already developed a number of tools for this. For this reason, the second step in the analysis is often the inspection whether the sequence is absolutely summable. Usually, the rst step inspects whether the summability of the sequence can be concluded by help of the limit laws from the already known summability of certain sequences, or whether there are obvious reasons why the sequence is not summable. If this fails, absolute summability is investigated. If this also fails, the applicability of Dirichlets test or Abels test is investigated next. Example 3.3.25. In Example 3.3.2, we have seen that the geometric series, dened by n Sn : xk
k 0

for every n P N, is convergent if and only if |x| 1 where x0 : 1. In the last case, this also implies that the geometric series dened by n : S
n k 0

|xk |

n k 0

| x| k ,

where |x|0 : 1, is convergent and hence that 1, x, x2 , . . . is absolutely summable. Example 3.3.26. Determine whether the sequence sinp1q sinp2q sinp3q , , ,... 12 22 32 369 (3.3.16)

is absolutely summable. Solution: For every k P N , it follows that sinpk q 1 k2 k2 . Hence it follows by Example 3.3.7 and Theorem 3.3.9 that the sequence (3.3.16) is absolutely summable. Example 3.3.27. The examples of the harmonic series Example 3.3.3 and the alternating harmonic series, i.e., the case s 1 in Example 3.3.19, show that not every summable sequence is absolutely summable. The following characterization of summability is sometimes useful in the analysis of sequences and will be used later on. It is a simple consequence of the denition of summability of a sequence and the completeness of the real number system in the form of Theorem 2.3.17. Theorem 3.3.28. (Cauchys characterization of summable sequences) A sequence x1 , x2 , . . . of real numbers is summable if and only if the corresponding sequence of partial sums is a Cauchy sequence, i.e., if and only if for every 0, there is some N P N such that n xk km for all m, n P N satisfying n m N . Proof. First, if x1 , x2 , . . . is a sequence of real numbers whose corresponding sequence of partial sums is a Cauchy sequence, then it follows Theorem 2.3.17 that the last sequence is convergent and hence that x1 , x2 , . . . is a summable. If x1 , x2 , . . . is a summable sequence of real numbers, then the corresponding sequence of partial sums is convergent and hence also a Cauchy sequence according to Theorem 2.3.17. The last can also be proved directly as follows. For this, let 0. Since x1 , x2 , . . . is summable, there is N P N such that m 8 x x k k k 1 2 k 1 370

for all m P N satisfying m N . Hence it follows for all m, n P N such that n m N ` 1 that n n m 1 n 8 8 m 1 xk xk xk xk xk ` xk xk . k m k 1 k 1 k 1 k 1 k 1 k1

The following corollary is often used to show that a given sequence is not summable. Corollary 3.3.29. Let x1 , x2 , . . . be a summable sequence of real numbers. Then lim xn 0 .
n8

Example 3.3.30. We consider the sequence x1 , x2 , . . . dened by xn : p1qn n`1 n

for every n P N . If x1 , x2 , . . . were convergent to 0 also every of its subsequences would converge to zero. On the other hand, lim x2n lim 2n ` 1 1. n8 2n

n8

Hence x1 , x2 , . . . is not convergent to 0 and therefore also not summable. In the following, we give the two most important tests, the ratio test and the root test, for the decision whether a given sequence is absolutely summable or not. Both tests compare, by application of Theorem 3.3.9, the corresponding series to geometric series. Usually, the structure of the members of the sequence decides which of the tests is applied. The ratio test uses for this the ratio of the absolute values of subsequent members and the root test the n-th root of the absolute value of the n-th member. Since the structure of the last is often more complicated than that of the ratio, the quotient test is more frequently applied. 371

Theorem 3.3.31. (Ratio test) Let x1 , x2 , . . . be a sequence of real numbers. (i) If there are q P p0, 1q and N P N such that xn`1 xn q for all n P N such that n N , then x1 , x2 , . . . is absolutely summable. Note that this can only be the case if only nitely many of the members of x1 , x2 , . . . are zero. (ii) If there is N P N such that xn`1 xn 1 for all n P N such that n N . Then x1 , x2 , . . . is not summable. Also this can only be the case if only nitely many of the members of x1 , x2 , . . . are zero. Proof. (i): For this, let q P p0, 1q and N P N be such that |xn`1 | q |xn | for all n P N satisfying n N . Then it follows by induction that |xn | |xN | q nN for all n P N such that n N . Hence it follows by Example 3.3.2 and Theorem 3.3.9 the absolute summability of x1 , x2 , . . . . (ii): For this let N P N be such that |xn`1 |{|xn | 1 for all n P N satisfying n N . Then it follows by induction that |xn | |xN | for all n P N satisfying n N and hence since xN 0 that x1 , x2 , . . . is not converging to 0. Hence it follows by Corollary 3.3.29 that x1 , x2 , . . . is not summable.

372

Example 3.3.32. Find all values real x for which the sequence x0 x1 x2 , , ,... 0! 1! 2! is summable. Solution: For x 0, the corresponding sequence is obviously absolutely summable. For x P R and n P N, it follows that n`1 x n! | x| lim n 0 lim n8 pn ` 1q! x n8 n ` 1 and hence by Theorem 3.3.31 the absolute summability of the corresponding sequence. Theorem 3.3.33. (Root test) Let x1 , x2 , . . . be a sequence of real numbers. (i) If there are q P r0, 1q and N P N such that |xn |1{n q for all n P N satisfying n N , then x1 , x2 , . . . is absolutely summable. (ii) If there is N P N such that |xn |1{n 1 for all n P N satisfying n N , then x1 , x2 , . . . is not summable. Proof. (i): For this, let q P r0, 1q and N P N be such that |xn |1{n q for all n P N satisfying n N . Then it follows that | xn | q n for all n P N satisfying n N and hence by Example 3.3.2 and Theorem 3.3.9 the absolute summability of x1 , x2 , . . . . (ii): For this let N P N be such that |xn |1{n 1 for all n P N satisfying n N . Then it follows that | xn | 1 for all n P N such that n N and hence that x1 , x2 , . . . is not converging to 0. Hence it follows by Corollary 3.3.29 that x1 , x2 , . . . is not summable.

373

Example 3.3.34. Determine whether the sequence p1q2 1 1 1 3 4 , p 1 q , p 1 q , ... pln 2q2 pln 3q3 pln 4q4

is summable. Solution: For n P N zt0, 1u, it follows that 1{n 1 n lim 1 0 lim p 1 q n n8 ln n n8 pln nq and hence by Theorem 3.3.33 the absolute summability of the sequence. Example 3.3.35. Note that in the case of the sequence a1 , a2 , . . . dened by 1 an : s n for all n P N , where s 0, that neither the ratio nor the root test can be applied, since s an`1 n lim 1s 1 , lim n8 n8 an n`1
n8

lim ns{n lim es lnpnq{n e0 1 .


n8

Finally, by application of Cauchys characterization of summable sequences, Theorem 3.3.28, we prove that every reordering of an absolutely summable sequence leads to a convergent series whose sum coincides with the sum of the original series. Theorem 3.3.36. (Rearrangements of absolutely convergent series) Let x1 , x2 , . . . be an absolutely summable sequence of real numbers. Further, let f : N N be bijective. Then the sequence xf p1q , xf p2q , . . . is also absolutely summable and
8 k1

xk

8 k 1

xf pkq .

(3.3.17)

374

Proof. First, it follows that the sequence of partial sums of |xf p1q |, |xf p2q |, . . . is increasing with upper bound 8 | x k | and hence convergent. Hence k 0 |xf p1q |, |xf p2q |, . . . is absolutely summable. Further, let 0. By Theorem 3.3.28, there is N P N such that for all n, m P N satisfying n m N , it follows that
n km

| xk | .

Since f is bijective, there is Nf P N such t1, . . . , N u tf p1q, . . . , f pNf qu . Hence it follows for every n P N satisfying n maxtN, Nf u: n n xk . xf pkq k 1 k 1 Hence it follows also (3.3.17).

Problems 1) Express the periodic decimal expansion as a fraction. a) 0.9 2) Calculate a) c)


8 3p1 ` p1qn q 2n n1

b)

0.3

c) 0.377

, d)

b)
8

8 1 1 1 4 n n`4 n1 .

1 npn ` 3q n1

1 npn ` 1qpn ` 3q n 1

3) Determine whether the sequence a1 , a2 , . . . is absolutely summable, conditionally summable or not summable. k 1 4 a) ak , b) ak 51{k , k 5

375

a) c) e) g) i) k) k)

1 p1qk , , b) ak 1{k k plnpk ` 1qq 3 arctanpk q 22k1 ak 4{3 , d) ak , p2k 1q! k `1 ? ? p3qk p1 ` k 2 q k`3 k ak , f) ak , k! k e1{k k ak p1qk 2 , h) ak p1qk 2 , k `2 k `3 k2 3 3k 3 ak p1qk 2 , j) ak k{2 , k `k`2 e p2k q! kk ak , l) ak , p3k q! k! k 1 rlnpk qs3 ak 1 ` , l) ak k k2 ak

where k P N . 4) Determine the values q 1 for which the corresponding sequence a3 , a4 , . . . 1 ak : , k lnpk q rlnplnpk qqsq k P t3, 4, . . . u, is summable. Give reasons for your answer. 5) Dene a4k : a4k`1 : 1, a4k`2 : a4k`3 : 1 for every k P N. Determine whether the sequence a ? k , 3 k`7 k P N, is absolutely summable, conditionally summable or not summable. Give reasons for your answer. 6) Estimate the error if the sum of the rst N terms is used as an approximation of the series. a) a)
8 1 , N 3 n2 n 1

b) ,

1 , N 9 n rlnpnqs2 n2 b)

8 p1qn`1 , N 7 n n 1

8 p1qn`1 , N 14 . n2 n1

7) Calculate the sum correct to 3 decimal places a)


8 1 n4 n1

b)

8 n 2

n5

1 lnpnq

376

a)

8 n1

p1qn

1 p2nq!

b)

p1qn`1

n1

n! n2n

8) A rubber ball falls from initial height 3m. Whenever it hits the ground, it bounces up 3{4-th of the previous height. What total distance is covered by the ball before it comes to rest? 9) If a1 , a2 , . . . is sequence of real numbers such that
n8

lim an 0 ,

does this imply the summability of the sequence? Give reasons for your answer. 10) Give an example for a convergent sequence of real numbers a1 , a2 , . . . and a divergent sequence of real numbers b1 , b2 , . . . satisfying lim an`1 bn`1 1 , lim 1. n8 bn an

n8

11) Give an example for a convergent sequence of real numbers a1 , a2 , . . . and a divergent sequence of real numbers b1 , b2 , . . . satisfying
n8

lim pan q1{n 1 , lim pbn q1{n 1 .


n8

12) Assume that a1 , a2 , . . . is a summable sequence of positive real num2 bers. Show that the sequence a2 1 , a2 , . . . is also summable. Is the last also generally true if members of a1 , a2 , . . . can be negative?

377

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