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Integral Reiman
Integral Reiman
Calvin
17 July 2014
Contents
1 The Riemann Integral 2
1.1 Riemann Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Properties of Riemann Integrable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.3 The Fundamental Theorem of Calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.4 Lebesgue’s Integrability Criterion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.5 Substitution Theorem and Integration by Parts . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
3 Reference 34
2 Riemann Integral
Therefore, we can say that the norm of P is the length of the largest subinterval in the Partition P .
n
Definition 1.1.3 (Tagged Partition). For a partition P = {[xi−1 , xi ]}i=1 in [a, b]. Let us choose a point
ti ∈ [xi−1 , xi ] for every i < n, we call ti as tags of subinterval [xi−1 , xi ]. The partition P together with its tags
are called tagged partition of interval [a, b] denoted by
n
Ṗ := {([xi−1 , xi ] , ti )}i=1
Remarks:
1. Tags can be chosen in any way(eg. left endpoint, right endpoint, midpoint, etc)
Using this knowledge of the Partition, now we can define the Riemann Integral
Definition 1.1.5 (Riemann Integral). A function f : [a, b] → R is said to be Riemann Integrable on [a, b] if
there exists L ∈ R such that for every > 0 there exists δ > 0 such that if P is a tagged partition of [a, b] with
||Ṗ || < δ, then
S(f ; Ṗ ) − L <
We denote the set of all Riemann Integrable functions on [a, b] as R[a, b].
Remark:
1. Although the definition of the Riemann Integral!is similar to the definition of the limit of the Riemann
Sum as the norm goes to 0, lim S(f ; Ṗ ) = L , S(f ; Ṗ ) is not a function of ||Ṗ ||. So this is a different
||Ṗ ||→0
type of limit from what we have studied before.
Theorem 1.1.6 (Uniqueness Theorem). If f ∈ R[a, b], then its integral is unique
Riemann Integral 3
Proof. Assume instead that L1 and L2 both satisfy Definition 1.1.5 with L1 6= L2 , without loss of generality,
assume that L2 > L1 . Then, for all > 0, there exists δ1 > 0 such that if a tagged partition P˙1 with norm
||P˙1 || < δ1 , then
S f ; P˙1 − L1 <
Also, there exists δ2 > 0 such that if a tagged partition P˙2 with norm ||P˙2 || < δ2 , then
S f ; P˙2 − L2 <
Choose δ = min{δ1 , δ2 } > 0. Let Ṗ be a tagged partition with norm ||Ṗ || < δ. Since ||Ṗ || < δ1 and ||Ṗ || < δ2 ,
then
S f ; Ṗ − L1 < (1.3)
and
S f ; Ṗ − L2 < (1.4)
L2 −L1
We then fix = 2 > 0. Then from Equation 1.3, we get
3L1 − L2 L +L
1 2
− + L1 < S f ; Ṗ < + L1 =⇒ < S f ; Ṗ <
2 2
Similarly, Equation 1.4 gives us
L1 + L2 3L − L
2 1
− + L2 < S f ; Ṗ < + L2 =⇒ < S f ; Ṗ <
2 2
So we have
3L1 − L2 L +L
1 2
3L − L
2 1
< S f ; Ṗ < < S f ; Ṗ <
2 2 2
which is impossible so we have a contradition that L1 6= L2 . Therefore, the value of the integral is unique.
b. f + g ∈ R[a, b] and
Z b Z b Z b
(f + g) = f+ g
a a a
n
Proof. Consider Ṗ = {([xi−1 , xi ] , ti )}i=1 on [a, b], then
n
X n
X
S(kf ; Ṗ ) = kf (ti )(xi − xi−1 ) = k f (ti )(xi − xi−1 ) = kS(f ; Ṗ )
i=1 i=1
and
S(f ; Ṗ ) ≤ S(g; Ṗ )
4 Riemann Integral
For part a, as f ∈ R[a, b], then for all > 0, there exists δ > 0 such that if a tagged partition Ṗ with norm
||Ṗ || < δ, then
Z b
S f ; Ṗ − f <
a |k|
So Z b Z b
Z b |k|
S kf ; Ṗ − k f = kS f ; Ṗ − k f = |k| S f ; Ṗ − f < =
a a a |k|
Rb
Therefore, the Riemann Integral of the function kf is equal to k a f
For part b, as f, g ∈ R[a, b], then for all > 0, there exists δ1 > 0 such that if a tagged partition P˙1 with
norm ||P˙1 || < δ1 , then
Z b
˙
S f ; P1 − f <
a 2
Similarly, there exists δ2 > 0 such that if a tagged partition P˙2 with norm ||P˙2 || < δ2 , then
Z b
S g; P˙2 − g <
a 2
We let δ = min{δ1 , δ2 } > 0. Since ||Ṗ || < δ1 and ||Ṗ || < δ2 , then
Z b Z b
S f ; Ṗ − f < and S g; Ṗ − g < (1.5)
a 2 a 2
Corollary 1.1.9. If g ∈ R[a, b] and if f (x) = g(x) except for a finite number of points in [a, b], then f is
Rb Rb
Riemann integrable and a f = a g.
Proof. Consider h : [a, b] → R such that h(x) = f (x) − g(x) then we can use Theorem 1.1.8 to show that
Rb
a
h = 0 Therefore,
Z b Z b Z b Z b Z b Z b
(f − g) = h = 0 =⇒ f− g = 0 =⇒ f= g
a a a a a a
Theorem 1.1.10 (Boundedness Theorem on Integrals). If f ∈ R[a, b], then f is bounded on [a, b].
Remark:
1. The converse (All bounded functions are Riemann Integrable) is not true, and example is shown in
Example 1.2.2
Rb
Proof. Assume by contradiction that f ∈ R[a, b] is an unbounded function with a = L. By choosing = 1,
there exists δ > 0 such that if a tagged partition Ṗ with ||Ṗ || < δ, then
S f ; Ṗ − L < 1 =⇒ S f ; Ṗ < |L| + 1 (1.6)
n
Then we let Q = {[xi−1 , xi ]}i=1 be a partition with ||Q|| < δ. Since f is not bounded on [a, b], then there exists
a subinterval [xk−1 , xk ] in which f is not bounded.
Since f is not bounded for [xk−1 , xk ], for all M > 0, there
exists x ∈ [a, b] such that |f (x)| > M . Here
P
we fix M such that M = |L| + 1 + i6=k f (ti )(xi − xi−1 ) To make the contradiction with Equation 1.6, we
need to choose appropriate tags. For subinterval [xi−1 , xi ] such that i 6= k, pick ti = xi . For i = k we choose
tk ∈ [xk−1 , xk ] such that
X
|f (tk )(xk − xk−1 )| > M = |L| + 1 +
f (ti )(xi − xi−1 )
i6=k
Rb
Proof. ( =⇒ ) As f ∈ R[a, b], let a f = L. If we choose tagged partitions Ṗ and Q̇ such that ||Ṗ || < δ and
||Q̇|| < δ, then
S f ; Ṗ − L < and S f ; Q̇ − L <
2 2
So, we have
S f ; Ṗ − S f ; Q̇ = S f ; Ṗ − L + L − S f ; Q̇ ≤ S f ; Ṗ − L + S f ; Q̇ − L < + =
2 2
And so we are done.
6 Properties of Riemann Integrable Functions
( ⇐= ) For every > 0, let δ > 0 such that if tagged partitions Ṗ and Q̇ with ||Ṗ || < δ and ||Q̇|| < δ, then
S f ; Ṗ − S f ; Q̇ <
2
Let P˙n be a sequence of tagged partitions with ||P˙n || < δ for all n ∈ N. So we choose m, n ∈ N and without
loss of generality, we assume m > n. Clearly, this means that ||P˙n || < δ and ||P˙m || < δ which in turn implies
S f ; P˙n − S f ; P˙m <
2
This shows that S f ; P˙n is a cauchy sequence and in turn, converges to some number L ∈ R. Or in other
words,
∀ > 0, ∃N ∈ N : n > N =⇒ S f, P˙n − L <
2
Rb
Finally, to show that f ∈ R[a, b] and that a f = L, given > 0, we let δ > 0 and n > N such that if a
tagged partition Q̇ with ||Q̇|| < δ, then
S f ; Q̇ − L ≤ S f ; Q̇ − S f ; P˙n + S f ; P˙n − L < + =
2 2
Proof. We are going to use the converse of the Cauchy Criterion. Therefore we need to prove that: There
exists
> 0 for
every δ > 0, there exists tagged partitions Ṗ and Q̇ with ||Ṗ || < δ and ||Q̇|| < δ such that
f ; Ṗ − S f ; Q̇ ≥ . Taking = b−a 2 , we let Ṗ and Q̇ be partitions on [a, b]
S
For all n ∈ N,
n
Ṗ = {([xi−1 , xi ] , ti )}i=1 such that x0 = a, xn = b and ti ∈ Q for all i < n
and
n
Q̇ = {([xi−1 , xi ] , ti )}i=1 such that x0 = a, xn = b and ti ∈ R \ Q for all i < n
Xn n
X
S f ; Ṗ = f (ti )(xi − xi−1 ) = (xi − xi−1 ) = (xn − xn−1 + xn−1 − xn−2 + · · · + x1 − x0 ) = (xn − x0 ) = b − a
i=1 i=1
While
Xn
S f ; Q̇ = f (ti )(xi − xi−1 ) = 0
i=1
Then,
b−a
S f ; Ṗ − S f ; Q̇ = |b − a| > =
2
Therefore, the Dirichlet function is not Riemann integrable on [a, b] for all a, b ∈ R
Theorem 1.2.3 (Squeeze Theorem). f : [a, b] → R, then f ∈ R[a, b] if and only if for all > 0, there exists
functions g, h ∈ R[a, b] with
g(x) ≤ f (x) ≤ h(x) ∀x ∈ [a, b]
such that Z b
(h − g) <
a
Properties of Riemann Integrable Functions 7
Proof. ( =⇒ ) We can let f (x) = g(x) = h(x) for all x ∈ [a, b] and let > 0
( ⇐= ) Given > 0, we choose functions g, h ∈ R[a, b] such that
such that Z b
(h − g) < < (1.8)
a 3
As g, h ∈ R[a, b], there exists δ > 0 such that if any tagged partition Ṗ with ||Ṗ || < δ, then
Z b Z b
S g; Ṗ − g < and S h; Ṗ − h <
a 3 a 3
It follows that Z b Z b
g − < S g; Ṗ and S h; Ṗ < h+
a 3 a 3
Due to Equation 1.7, we know that S g; Ṗ ≤ S f ; Ṗ ≤ S h; Ṗ . Therefore,
Z b Z b
g− < S f ; Ṗ < h+
a 3 a 3
Given > 0, let δ > 0 such that if a tagged partition with ||Ṗ || < δ,
Xn X
S ϕA ; Ṗ = ϕ(ti )(xi − xi−1 ) = (xi − xi−1 ) = d − c
i=1 x∈A
Below is an illustration of the function f , φ, and Φ where the curve is the function f , the step function above
f is Φ and the step function below f is φ
Clearly, we have φ(x) ≤ f (x) ≤ Φ(x) for all x ∈ [a, b] So, for all > 0, there exists δ > 0, such that if any
partition Ṗ with ||Ṗ || < δ, then
Then,
n n n
!
b
(b − a)
Z X X X
Φ−φ= (f (vi ) − f (ui ))(xi − xi−1 ) < (xi − xi−1 ) = (xi − xi−1 ) = =
a i=1 i=1
b−a b−a i=1
b−a
Finally, we just apply the squeeze theorem (Theorem 1.2.3) to complete the proof.
Theorem 1.2.6. If f : [a, b] → R is monotone on [a, b], then f ∈ R[a, b]
As the proof is very similar to Theorem 1.2.5. The proof is omitted.
Theorem 1.2.7 (Additivity Theorem). Let f : [a, b] → R and c ∈ [a, b], then f is Riemann Integrable on [a, b]
if and only if f is Riemann Integrable on [a, c] and f is Riemann Integrable on [c, b] and so if the condition is
true,
Z b Z c Z b
f= f+ f
a a c
The Fundamental Theorem of Calculus 9
Rc
Proof. ( ⇐= ) As f ∈ R[a, b] with af = L 1 , then
for all > 0, there exists δ1 R> 0 such that if any tagged
b
partition P˙1 with ||P˙1 || < δ1 , then S f ; P˙1 − L1 < 2 Also, as f ∈ R[c, b] with c f = L2 , then for all > 0,
there exists δ2 > 0 such that if any tagged partition P˙2 with ||P˙2 || < δ2 , then S f ; P˙2 − L2 < 2 . If M is a
bound for |f |, choose δ = min δ1 , δ2 , 2M , such that if a tagged partition Ṗ with ||Ṗ || < δ, we will prove that
S f ; Ṗ − (L1 + L2 ) <
n
(i) Case 1: Let Ṗ = {([xi−1 , xi ] , ti )}i=1 . If c is a partition point of Ṗ (i.e. c = xi for some i < n), we
split the partitionto P˙
1 and P
˙
2 on [a, c] and b] respectively. Then, since we know that ||P1 || < δ1 and
[c,
˙
||P2 || < δ2 and S f ; Ṗ = S f ; P1 + S f ; P2 , ˙
S f ; Ṗ − (L1 + L2 ) = S f ; P˙1 − L1 + S f ; P˙2 − L2
≤ S f ; P˙1 − L1 + S f ; P˙2 − L2 < + =
2 2
(ii) Case 2: If c is not a partition is a point of Ṗ , then there exists k < n such that c ∈ [xk−1 , xk ]. We consider
a tagged partition P˙ 0 with one more partition point than Ṗ at c, i.e.
So, for all > 0, there exists δ > 0 such that if any partition P˙ 0 with ||P˙ 0 || < δ < 2M
, then
S f ; Ṗ − S f ; P˙ 0 = |f (tk )(xk − xk−1 ) − f (c)(xk − xk−1 )|
= |f (tk ) − f (c)| (xk − xk−1 ) < 2M (xk − xk−1 ) < 2M =
2M
This satisfies the Cauchy Criterion (Theorem 1.2.1) and so, f ∈ R[a, b]
( =⇒ ) As f ∈ R[a, b], given > 0, let δ > 0 such that if tagged partitions Ṗ and Q̇ with ||Ṗ || < δ and
||Q̇|| < δ, then
S f ; Ṗ − S f ; Q̇ <
We consider P˙ 0 and Q̇0 on [a, c] with ||P˙ 0 || < δ and ||Q̇0 || < δ. By adding the same additional partition points
and tags in [c, b] to P˙ 0 and Q̇0 , we get Ṗ and Q̇ such that ||Ṗ || < δ and ||Q̇|| < δ and so
S f ; P˙ 0 − S f ; Q̇0 = S f ; Ṗ − S f ; Q̇ <
This shows that it fulfills the Cauchy Criterion (Theorem 1.2.1). So f is Riemann Integrable on [a, c]
The same applies to [c, b] and so, we are done.
Theorem 1.3.3 (Fundamental Theorem of Calculus (First Form)). Let f : [a, b] → R and f is Riemann
Integrable on [a, b]. Suppose that there is a function F : [a, b] → R such that:
(a) F is continuous on [a, b],
(b) F 0 (x) = f (x) for most x ∈ [a, b] except for a finite set of points,
Rb
Then, we have a f = F (b) − F (a)
Remarks:
1. The function F such that F 0 (x) = f (x) for all x ∈ [a, b] is called the antiderivative of x
2. We can permit a finite number of points c where F 0 (c) does not exists or F 0 (c) 6= f (c)
Proof. As f ∈ R[a, b], for all > 0, there exists δ > 0 such that if any tagged partition Ṗ with ||Ṗ || < δ then
Z b
S f ; Ṗ − f <
a
We let [xi−1 , xi ] be the ith subinterval of P. Then, by applying the Mean Value Theorem on F , for each i < n,
there exists ui ∈ (xi−1 , xi ) such that
F (xi ) − F (xi−1 )
= F 0 (ui ) = f (ui )
xi − xi−1
F (xi ) − F (xi−1 ) = f (ui )(xi − xi−1 )
th
By adding all the i terms, we get
n
X n
X
F (b) − F (a) = (F (xi ) − F (xi−1 )) = f (ui )(xi − xi−1 ) (1.9)
i=1 i=1
R b
n
Then, letting P˙u = {([xi−1 , xi ] , ui )}i=1 , Equation 1.9 is equal to S f ; P˙u So, we can conclude that, F (b) − F (a) − a f <
Rb
for all > 0. But, since we can make > 0 as small as possible, we infer that F (b) − F (a) = a f
Example 1.3.4. Let a, b ∈ R such that a < 0 < b. Let function F : [a, b] → R such that F (x) = |x|. Then let
f : [a, b] → R such that
1 if x > 0
f (x) = 0 if x = 0
−1 if x < 0
Proof. We can see that F 0 (x) = f (x) for all ∈ [a, b] \ {0} as F (x) is not differentiable at 0. However, the
Fundamental Theorem of Calculus still applies.
a b
Lebesgue’s Integrability Criterion 11
Rb
We can see that the function f (x) is a step function and so a
f = b + a and F (b) − F (a) = |b| − |a| = b + a
Rb
and therefore, a f = F (b) − F (a)
Theorem 1.3.5 (Fundamental Theorem of Calculus (Second Form)). Let f ∈ R[a, b], and let f be continuous
at c ∈ [a, b]. Then the indefinite integral
Z c
F (c) = f for c ∈ [a, b]
a
Let h satisfy 0 < h < δ, the Additivity Theorem (Theorem 1.2.7) implies that f is Riemann Integrable on
[a, c], [a, c + h] and [c, c + h] and that
Z c+h Z c+h Z c
f= f− f = F (c + h) − F (c)
c a a
F (c + h) − F (c)
=⇒ − ≤ − f (c) ≤
h
F (c + h) − F (c)
=⇒ − f (c) ≤
h
But, since we can choose > 0 to be very small, we can infer that
F (c + h) − F (c)
lim = F 0 (c) = f (c)
h→0+ h
By proving using the similar method for the left hand side, we conclude that F 0 (c) = f (c).
Definition 1.4.1 (Lebesgue Outer Measure). Let A ⊆ R and let l((a, b)) = b − a for all open interval (a, b).
Then the Lebesgue Outer Meausure of A µ∗ (A) is defined to be
(∞ ∞
)
X [
µ∗ (A) = inf l(Ik ) : {Ik } is a sequence of open intervals in which A ⊆ Ik
k=1 k=1
Remarks:
1. We can see here that 0 ≤ µ∗ (A) ≤ ∞ for all A ⊂ R
Definition 1.4.2 (Null Set). A set A ⊂ R is a null set if for all > 0, µ∗ (A) ≤
Example 1.4.3. All countable sets are null sets.
12 Lebesgue’s Integrability Criterion
Proof. Let set A = {xk : k ∈ N} be a countably infinite set. Then, we define the sequence of open interval {Ik }
to be
Ik = xk − k+1 , xk + k+1 for all k ∈ N
2 2
Then,
∞ ∞
X X
l(Ik ) = =
2k
k=1 k=1
∗ ∗
As µ (A) is the infimum, we have µ (A) <
Example 1.4.4. The set of rational numbers Q is a null set.
Proof. We start by denoting that Q = {rk : k ∈ Z}. Then we can use a similar proof with the proof in Example
1.4.3
Definition 1.4.5. If P (x) is a statement about the point x ∈ [a, b], we say that P (x) holds almost everywhere
on I if there exists a null set Z ⊂ I such that P (x) holds for all x ∈ I \ Z or we may write
P (x)∀∞ x ∈ I
x is continuous at x ∈ R \ Q. By Archimedean Property, let b ∈ R \ Q, then there exists n such that n1 < .
Consider the interval (b − 1, b + 1), we can say that there is only a finite number of rationals with denominator
less than n. So we can choose δ > 0 small enough such that (b − δ, b + δ) does not contain a rational number
with denominator less than n.
It follows that |x − b| < δ where x ∈ A. We have |f (x) − f (b)| = |f (x)| ≤ n1 < . So f (x) is continuous for
all x ∈ R \ Q.
So the set of all discontinuous points is S = Q ∩ [0, 1] and so as the set is countably infinite, then S is a null
set and by the Lebesgue Integrability Criterion, the Thomae function is Riemann Integrable on [0, 1].
Theorem 1.4.8 (Compostition Theorem). Let f ∈ R[a, b] with f ([a, b]) ⊆ [c, d] and let g : [c, d] → R be
continuous. Then, g ◦ f ∈ R[a, b]
Remarks:
1. The condition g is continuous can not be dropped
Proof. We can split this proof into two cases
(i) Case 1. If f is continuous at [a, b], then g ◦ f is also continuous at [a, b]. This implies that g ◦ f is Riemann
integrable on [a, b]
(ii) Case 2. If f has a finite number of discontinuous points in [a, b], then as f satifies the Lebesgue’s
Integrability Theorem (Theorem 1.4.6), then the set S = {u : f is discontinuous at u} is a null set as it is
countable (By example 1.4.3. It follows that the set S 0 ⊆ S where S 0 = {u : g ◦ f is discontinuous at u}.
Therefore, by Lebesque’s Integrability Theorem (Theorem 1.4.6), g ◦ f is Riemann Integrable on [a, b]
Substitution Theorem and Integration by Parts 13
and p
1
q if x ∈ Q such that x = q in lowest terms and q > 0
g(x) =
0 if x ∈ R \ Q
We already know that f, g ∈ R[0, 1] Show that f ◦ g(x) is not Riemann Integrable on [0, 1]
Proof. We can see that g(x) > 0 for all x ∈ Q and g(x) = 0 for all x ∈ R \ Q. So
1 if x ∈ Q
f ◦ g(x) =
0 x∈R\Q
Proof. Consider Z u
F (u) = f (x)dx for u ∈ [a, b]
α(c)
By the Fundamental Theorem of Calculus, F 0 (u) = f (u) Let H(x) = F (α(x)) Also by the Fundamental
Theorem of Calculus,
Z d
H(d) = H 0 (d)dx
c
Then,
Z α(d)
f (α)dα = F (α(d)) = H(d)
α(c)
To complete the proof, we just need to find H 0 (d). As f and α are both differentiable on [a, b] and [c, d]
respectively, then
H 0 (d) = F 0 (α(x)) · α0 (x) = f (α(x)) · α0 (x)
Therefore,
Z d Z α(d)
f (α(x)) · α0 (x)dx = f (α)dα
c α(c)
14 Substitution Theorem and Integration by Parts
Theorem 1.5.2 (Integration by Parts). Let F and G be differentiable on [a, b], let f = F 0 and g = G0 with
f, g ∈ R[a, b]. Then
Z b Z b
b
f G = [F G]a − Fg
a a
(F G)0 = F 0 G + F G0 = f G + F g
As all F, G, f, g ∈ R[a, b], then f G, F g ∈ R[a, b]. So, by using the Fundamental Theorem of Calculus,
Z b Z b Z b
b 0
[F G]a = (F G) = fG + Fg
a a a
Therefore,
Z b Z b
b
f G = [F G]a − Fg
a a
Theorem 1.5.3 (Equivalence Theorem). A function f : [a.b] → R is Darboux Integrable if and only if it is
Riemann Integrable
Proof. ( =⇒ ) Assume f is Darboux Integrable on [a, b]. Then, for all > 0, let P be a partition on [a, b] such
that U (f ; P ) − L(f ; P ) < . We then define the step function φ and Φ in which
and
Φ(x) = Mk for x ∈ [xk−1 , xk ) ∀k < n
So we have
φ(x) ≤ f (x) ≤ Φ(x) ∀x ∈ [a, b]
As φ, Φ are step functions, it is Riemann Integrable and moreover,
Z b n
X
Φ= Mk (xk − xk−1 ) = U (f ; P )
a k=1
Z b n
X
φ= mk (xk − xk−1 ) = L (f ; P )
a k=1
Therefore, we have
Z b
Φ − φ = U (f ; P ) − L(f ; P ) <
a
Rb
and so by squeeze theorem, f ∈ R[a, b]. As a f = L(f ; P ) = U (f ; P ) and so if a tagged partition Q̇ with
||Q̇|| < δ, then
S(f ; Q̇) − U (f ; P ) < |U (f ; P ) − L(f ; P )| <
( ⇐= ) Assume f is Riemann Integrable on [a, b]. By Cauchy criterion, for all > 0, there exists δ > 0 such
that for all tagged partitions ṖM and Ṗm , if ||ṖM || < δ and ||Ṗm || < δ, then
S f ; ṖM − S f ; Ṗm <
3
n
We then fix partition P = {[xi−1 , xi ]}i=1 .
For all i < n, consider set Ai = {f (x) : x ∈ [xi−1 , xi ]}. Let Mi be sup Ai , as Mi is a supremum,
∀ > 0, choose tags ui ∈ [xi−1 , xi ] such that Mi < f (ui ) +
3n(xi − xi−1 )
Substitution Theorem and Integration by Parts 15
This implies,
Mi (xi − xi−1 ) < f (ui )(xi − xi−1 ) +
3n
n n
X X
Mi (xi − xi−1 ) < f (ui )(xi − xi−1 ) +
i=1 i=1
3n
and so,
U (f ; P ) < S(f ; ṖM ) +
3
n
where ṖM = {([xi−1 , xi ] , ui )}i−1
Similarly, let mi be inf Ai ,
∀ > 0, choose tags vi ∈ [xi−1 , xi ] such that mi > f (vi ) −
3n(xi − xi−1 )
This implies
mi (xi − xi−1 ) > f (vi )(xi − xi−1 ) −
3n
n n
X X
mi (xi − xi−1 ) > (f (vi )(xi − xi−1 ) − )
i=1 i=1
3n
and so,
L(f ; P ) > S(f ; Ṗm ) −
3
n
where ṖM = {([xi−1 , xi ] , vi )}i−1
Therefore,
2 2
U (f ; Ṗ ) − L(f ; Ṗ ) < S f ; ṖM − S f ; Ṗm + 2 < S f ; ṖM − S f ; Ṗm + < + =
3 3 3
16 Definition and Main Properties
Remarks:
Remarks:
1 The use of gauge allow more control on the length of the subinterval than using the norm (we can put
smaller subinterval when the function is rapidly increasing and a larger subinterval when the function is
nearly constant).
2 The set of all Generalised Riemann Integrable function is denoted by R∗ [a, b]
Theorem 2.1.4 (Uniqueness Theorem). If f ∈ R∗ [a, b], then the value of the integral is uniquely defined.
Remarks:
1 The proof below is very similar to the Uniqueness Theorem of the Riemann Integral
Definition and Main Properties 17
Proof. Assume L1 and L2 both satisfy Definition 2.1.3 with L1 6= L2 and without loss of generality, assume
L2 > L1 . Let > 0, then there exists gauge δ1 such that if P˙1 is a δ1 -fine partition, then
S f ; P˙1 − L1 <
Define δ(t) = min {δ1 (t), δ2 (t)} for each t ∈ [a, b] so that δ gauge on [a, b]. If Ṗ is a δ-fine partition, the Ṗ is
both δ1 -fine and δ2 -fine. So we have
S f ; Ṗ − L1 < (2.1)
S f ; Ṗ − L2 < (2.2)
L2 −L1
We then let = 2 > 0. Then from Equation 2.1, we have
3L1 − L2 L +L
1 2
< S f ; Ṗ <
2 2
and from Equation 2.2, we have
L1 + L2 3L − L
2 1
< S f ; Ṗ <
2 2
We then get
3L1 − L2 L +L
1 2
3L − L
2 1
< S f ; Ṗ < < S f ; Ṗ <
2 2 2
which is impossible therefore we have a contradiction that L1 6= L2 and so the value of the integral is unique.
Theorem 2.1.5 (Consistency Theorem). Let f : [a, b] → R. If f is Riemann Integrable on [a, b], then f is
Generalised Riemann Integrable on [a, b] and their integrals are the same, i.e.
Z b Z b
Riemann f = Generalised Riemann f
a a
Proof. Given > 0, we are going to find an appropriate gauge on [a, b]. Since f ∈ R[a, b], there exists δ > 0
such that if any tagged partition Ṗ with ||Ṗ ||, then
S f ; Ṗ − L <
We let a function δ 0 : [a, b] → (0, ∞) such that δ 0 (t) = 41 δ for all t ∈ [a, b] so that δ 0 can be a gauge on [a, b]. If
n
Ṗ = {([xi−1 , xi ] , ti )}i=1 is a δ 0 -fine partition, then
1 1
Ii ⊆ [ti − δ 0 (ti ), ti + δ 0 (ti )] = ti − δ, ti + δ
4 4
As
1 1 1
0 < xi − xi−1 < ti + δ − ti + δ = δ < δ for all i ∈ N, i < n
4 4 2
We can see that Ṗ also satisfies ||Ṗ || < δ and as f is Riemann Integrable, the statement
S f ; Ṗ − L <
must be true. So, we can see that f is also Generalised Riemann Integrable. Therefore, by choosing a constant
function as a gauge, we can see that all Riemann Integrable function are Generalised Riemann Integrable.
We know that from Example 1.2.2 that the Dirichlet function is not Riemann Integrable, however we are
going to prove shortly that it is Generalised Riemann Integrable.
18 Definition and Main Properties
R1
Therefore, f is Generalised Riemann Integrable and 0
f =0
Theorem 2.1.7. Suppose f, g ∈ R∗ [a, b]
a. If k ∈ R, then kf ∈ R∗ [a, b] and
Z b Z b
kf = k f
a a
b. f + g ∈ R∗ [a, b] and
Z b Z b Z b
(f + g) = f+ g
a a a
Proof. As the proof the similar to Theorem 1.1.7, the proof is omitted
Below is the Cauchy Criterion for Generalised Riemann Integral, the proof is similar with the Cauchy
Criterion for Riemann Integral (Theorem 1.2.1)
Theorem 2.1.8 (Cauchy Criterion). A function f : [a, b] → R is Generalised Riemann Integrable if and only
if for every > 0, there exists a gauge δ on [a, b] such that if any tagged δ-fine partition Ṗ , Q̇, then
S f ; Ṗ − S f ; Q̇ <
Rb
Proof. ( =⇒ ) As f ∈ R∗ [a, b], let a f . If we choose a gauge δ 0 such that Ṗ and Q̇ are δ 0 -fine partition of [a, b],
then
S f ; Ṗ − L < and S f ; Q̇ − L <
2 2
We set δ(t) = δ 0 (t) for all t ∈ [a, b], so if Ṗ and Q̇ are δ-fine, then
S f ; Ṗ − S f ; Q̇ ≤ S f ; Ṗ − L + S f ; Q̇ − L < + =
2 2
And so we are done.
Definition and Main Properties 19
( ⇐= ) For every > 0, there exists a gauge δ on [a, b] such that if any tagged partition Ṗ , Q̇ are δ-fine,
then
S f ; Ṗ − S f ; Q̇ <
2
Let P˙n be a sequence of δ-fine partitions. So, we choose m, n ∈ N and WLOG, we assume m > n. Clearly, P˙n
and P˙m are δ-fine, which in turn implies
S f ; P˙n − S f ; P˙m <
2
This shows that S(f ; P˙n ) is a cauchy sequence and in turn, converges to some number L ∈ R. Or in other
words,
∀ > 0, ∃N ∈ N : n > N =⇒ S f ; P˙n − L <
2
Rb
Finally, to show that f ∈ R∗ [a, b] and that a f = L, given > 0, we let δ be a gauge and n > N such that if
a tagged partition Q̇ is δ-fine, then
S f ; Q̇ − L < S f ; Q̇ − S f ; P˙n + S f ; P˙n − L < + =
2 2
Rb
Therefore, the function f is Generalised Riemann Integrable on [a, b] with integral a = L.
Theorem 2.1.9 (Squeeze Theorem). Let f : [a, b] → R. Then f ∈ R∗ [a, b] if and only if for every > 0, there
exists functions g, h ∈ R∗ [a, b] with
Similarly, there exists a gauge δ2 on [c, b] such that if a tagged partition P˙2 is δ2 -fine on [c, b], then
S f2 ; P˙2 − L2 <
2
Define gauge δ on [a, b] by
min δ1 (t), 21 (c − t)
if t ∈ [a, c)
δ(t) = min {δ
1 (c), δ2 (c)} if t = c
min δ2 (t), 21 (c − t) if t ∈ (c, b]
Using this gauge will force the δ-fine partition to have c has a tag for any subinterval containing c. We will show
that if Q̇ is a δ-fine partition of [a, b], then there exists a δ1 -fine partition Q̇1 on [a, c] and a δ2 -fine partition
Q̇2 on [c, b] such that
S f ; Q̇ = S f1 ; Q̇1 + S f2 ; Q̇2 (2.3)
20 Definition and Main Properties
(i) Case 1. If c is a partition point on Q̇, then it belongs to two subinterval of Q̇ and is the tag for both
subinterval. Let Q̇1 be the part of Q̇ in [a, c] and so Q̇1 is δ1 -fine. Similarly, let Q̇2 be the part of Q̇ in
[c, b] and so Q̇2 is δ2 -fine. So then
Xn X X
S f ; Q̇ = f (ti )(xi − xi−1 ) = f (ti )(xi − xi−1 ) + f (ti )(xi − xi−1 )
i=1 xi ∈[a,c] xi ∈[c,b]
= S f ; Q̇1 + S f ; Q̇2
n
(ii) Case 2. If c is not a partition point in Q̇ = {([xi−1 , xi ] , ti )}i=1 , then as Q̇ is δ-fine, c is forced to have c
as its tags in one of its intervals, say [xk−1 , xk ]. Then as
we can split subinterval ([xk−1 , xk ] , c) to ([xk−1 , c] , c) and ([c, xk ] , c) and so using similar methods with
case (i), we split Q̇ to Q̇1 , a δ1 -fine partition in [a, c] and Q̇2 , a δ2 -fine partition in [c, b] and so
S f ; Q̇ = S f ; Q̇1 + S f ; Q̇2
≤ S f ; Q̇1 − L1 + S f ; Q̇2 − L2 < + =
2 2
Therefore, we conclude that f ∈ R∗ [a, b] and
Z b Z c Z b
f= f+ f
a a c
( =⇒ ) Let f ∈ R∗ [a, b] and given > 0, there exists a gauge δ such that if any tagged partitions Ṗ , Q̇ are
δ-fine, then
S f ; Ṗ − S f ; Q̇ <
Then let P˙ 0 , Q̇0 be δ-fine partitions on [a, c]. By adding the same partition points and tags on [c, b] to both P˙ 0
and Q̇0 , we can extend both partitions to δ-fine partitions Ṗ and Q̇ of [a, b] and
S f ; Ṗ − S f ; Q̇ = S f ; P˙ 0 − S f ; Q̇0
So
S f ; P˙ 0 − S f ; Q̇0 = S f ; Ṗ − S f ; Q̇ <
and so the partitions P˙ 0 and Q̇0 of [a, c] satisfies the Cauchy Criterion. We then repeat for the interval [c, b]
and so we have proved that f ∈ R∗ [a, c] and f ∈ R∗ [c, b]. To prove that
Z b Z c Z b
f= f+ f
a a c
we use the fact that f ∈ R∗ [a, c] with integral L1 and that f ∈ R∗ [c, b] with integral L2 and we apply the
Rb Rc Rb
( ⇐= ) part of the proof that a f = L1 + L2 = a f + c f
We will now begin with the Fundamental Theorem of Calculus for Generalised Riemann Integral. Notice
that the first form is stronger than that of the ordinary Riemann Integral.
Theorem 2.1.11 (Fundamental Theorem of Calculus(First Form)). Suppose there exists a countable set E ⊆
[a, b], a function f, F : [a, b] → R∗ such that
Definition and Main Properties 21
Remarks:
1. Here, compared to the Fundamental Theorem of Calculus for ordinary Riemann Integral, f ∈ R∗ [a, b] is
a conclusion instead of a condition.
Proof. We will proof for the case E = ∅, so we assume (2) holds for all x ∈ [a, b]. Given > 0, we use gauge
δ(t) > 0 for t ∈ [a, b] such that if 0 < |z − t| ≤ δ(t) for z ∈ [a, b], then
F (z) − F (t)
− f (t) <
z−t 2(b − a)
Therefore, we have
|z − t|
|F (z) − F (t) − f (t)(z − t)| ≤
2(b − a)
for z ∈ [t − δ(t), t + δ(t)] ∩ [a, b].
Now, for all subinterval ([xi−1 , xi ], ti ) of δ(t)-fine partition, we have ti ∈ [xi−1 , xi ] ⊆ [ti − δ(ti ), ti + δ(ti )].
If we consider
|F (xi ) − F (xi−1 ) − f (ti )(xi − xi−1 )| ,
then we get
|F (xi ) − F (ti ) − f (ti )(xi − ti ) + F (ti ) − F (xi−1 ) + f (ti )(ti − xi−1 )|
≤ |F (xi ) − F (ti ) − f (ti )(xi − ti )| + |F (xi−1 ) − F (ti ) − f (ti )(xi−1 − ti )|
|xi − ti | |xi−1 − ti | (xi − ti ) (ti − xi−1 ) (xi − xi−1 )
≤ + = + =
2(b − a) 2(b − a) 2(b − a) 2(b − a) 2(b − a)
So if ti ∈ [xi−1 , xi ] ⊆ [ti − δ(ti ), ti + δ(ti )], then
(xi − xi−1 )
|F (xi ) − F (xi−1 ) − f (ti )(xi − xi−1 )| ≤
2(b − a)
n
Let partition Ṗ = {([xi−1 , xi ] , ti )}i=1 to be δ-fine, then ti ∈ [xi−1 , xi ] ⊆ [ti − δ(ti ), ti + δ(ti )] for all i ≤ n, i ∈ N.
Then
Xn
(F (xi ) − F (xi−1 )) = F (b) − F (a)
i=1
So,
X n
S f ; Ṗ − (F (b) − F (a)) = F (b) − F (a) − S f ; Ṗ = (F (xi ) − F (xi−1 ) − f (ti )(xi − xi−1 ))
i=1
n n
X X 1 (b − a)
≤ |F (xi ) − F (xi−1 ) − f (ti )(xi − xi−1 )| ≤ (xi − xi−1 ) < =
i=1 i=1
b−a 2 b−a
Rb
Therefore, we conclude that f ∈ R∗ [a, b] and a
f = F (b) − F (a).
Theorem 2.1.12 (Fundamental Theorem of Calculus(Second Form)). Let f ∈ R∗ [a, b]. Let F be the indefinite
integral of f such that Z x
F (x) = f (t)dt for x ∈ [a, b]
a
Then we have
22 Definition and Main Properties
Theorem 2.1.13 (Substitution Theorem). Let I = [a, b] and J = [c, d]. Let F : I → R and α : J → R be
continuous function with α(J) ⊆ I.
Suppose there exists Ef ⊂ I and Eα ⊂ J such that f (x) = F 0 (x) for x ∈ I \ Ef and α0 (t) exists for t ∈ J \ Eα ,
and that E = α−1 (Ef ) ∪ Eα is countable. If we fix f (x) = 0 for all x ∈ Ef and α0 (t) = 0 for t ∈ Eα .
We can conclude that f ∈ R∗ (α(J)), that (f ◦ α) · α0 ∈ R∗ (J) and that
Z d Z α(d)
0 d
(f ◦ α)α = (F ◦ α)|c = f
c α(c)
Proof. Since α is continuous on J, then the range of α, α(J), is a closed interval in I. Also, α− 1(Ef ) is
countable, so Ef ∩ α(J) = α(α−1 (Ef )) is also countable. As f (x) = F 0 (x) for all x ∈ α(J) \ Ef , then the
Fundamental Theorem of Calculus implies that f ∈ R∗ (α(J)) and
Z α(d)
α(d)
f = F |α(c) = F (α(d)) − F )α(c))
α(c)
Since E is countable, the Fundamental Theorem of Calculus implies that (f ◦ α) · α0 (t) ∈ R∗ (J) and
Z d
d
(f ◦ α) · α0 = F ◦ α|c = F (α(d)) − F (α(c))
c
sin x1
if 0 < x ≤ 1
k(x) =
0 if x = 0
Note that here we are not necessarily dealing with Generalised Riemann Integral in these cases.
Theorem 2.2.1 (Hake’s Theorem). If f : [a, b] → R, then f ∈ R∗ [a, b] if and only if for all γ ∈ [a, b],
f ∈ R∗ [a, γ] and Z γ
lim− f =A∈R (2.4)
γ→b a
Rb
In this case, a
f = A.
Remarks:
1. The theorem implies that the Generalised Riemann Integral cannot be extended by taking limits. So if
Equation 2.4 holds, f already belongs to R∗ [a, b].
2. We can know whether a function is integrable on [a, b] just by looking on subinterval [a, γ] with γ < b.
So this is just another tool to show that a function is Generalised Riemann Integral on [a, b].
3. We can use Equation 2.4 to evaluate the integral of a function.
P∞
Example 2.2.2. Let k=1 ak such ak ∈ R for all k ∈ N be a series converging to A ∈ R. Let f : [0, 1] → R
such that Z 1 X∞
f= ak = A
0 k=1
and
2k ak
if ck−1 ≤ x < ck 1
f (x) = where ck = 1 − for all k ∈ N,
0 if x = 1 2k
then f ∈ R∗ [0, 1].
Proof. Clearly, we can see that f on [0, γ] for γ ∈ [0, 1] is a step function and so is integrable. So, by summing
the areas,
Z γ n n n n
X X 1 1 X 1 X
f= 2k ak (ck − ck−1 ) + rγ = 2k ak − k + k−1 + rγ = 2k ak ( k ) + rγ = ak + rγ
0 2 2 2
k=1 k=1 k=1 k=1
where |rγ | ≤ |an+1 |. But as the series is convergent, lim an = 0 and so rγ → 0 as n becomes large enough and
n→∞
so,
Z γ Xn
lim− f = lim ak = A
γ→1 0 n→∞
k=1
So f ∈ R∗ [a, b].
P∞
Example 2.2.3. We will use k=1 ak and f from Example 2.2.2.
P∞ P∞
(a) If k=1 |ak | converges ( k=1 ak converge absolutely), then |f | converge.
24 Improper and Lebesgue Integral
P∞ P∞
(b) If |ak | does not converges ( k=1 ak converge conditionaly), then |f | does not converge.
k=1
P∞
Proof. We just apply Example 2.2.2 to k=1 |ak | and |f |.
Below, we are going to give the definition of a class of Riemann Integrable function - The Lebesgue Integrable
Function.
Definition 2.2.4 (Lebesgue Integrable Functions). Let f ∈ R∗ [a, b] such that |f | ∈ R∗ [a, b]. Then f is said to
be Lebesgue Integrable on [a, b]. The collection of all Lebesgue Integrable functions on [a, b] is denoted by L[a, b]
Remark:
1. Note that this is not the standard definition of Lebesgue Integrable Functions. However, by using the set
of Generalised Riemann Integrable functions, it is easier to prove if a function is Lebesgue Integrable.
Riemann/Generalised Riemann Integral Lebesgue Integral
Theorem 2.2.5 (Comparison Test). If f, g ∈ R∗ [a, b] and |f (x)| ≤ g(x) for all x ∈ [a, b], then f ∈ L[a, b] and
Z
b Z b Z b
f ≤ |f | ≤ g (2.5)
a a a
Proof. We are going to omit the proof for f ∈ L[a, b] and we are just going to prove Equation 2.5. So we note
that
− |f | ≤ f ≤ |f | .
Theorem 2.1.7 implies that
Z b Z b Z b
− |f | ≤ f≤ |f |
a a a
and so Z
b Z b
f ≤ |f |
a a
Proof. |cf (x)| = |c| |f (x)| for all x ∈ [a, b]. If |f | ∈ R∗ [a, b], then cf, |cf | ∈ R∗ [a, b]. So cf ∈ L[a, b]. By
Triangle Inequality, |f (x) + g(x)| ≤ |f (x)| + |g(x)| for all x ∈ [a, b]. Since |f | + |g| ∈ R∗ [a, b], by comparison
test (Theorem 2.2.5), we have f + g ∈ L[a, b] and
Z b Z b Z b Z b
|f + g| ≤ (|f | + |g|) = |f | + |g|
a a a a
Improper and Lebesgue Integral 25
Theorem 2.2.7. Let f ∈ R∗ [a, b]. Then the following statement are equivalent.
a) f ∈ L[a, b]
b) There exists g ∈ L[a, b] such that f (x) ≤ g(x) for all x ∈ [a, b]
c) There exists h ∈ L[a, b] such that h(x) ≤ f (x) for all x ∈ [a, b]
Proof. (a =⇒ b) Let g = f
(b =⇒ a) Consider function g − f . As g − f ≥ 0 for all x ∈ [a, b] and since g − f ∈ R∗ [a, b], then
g − f = |g − f | ∈ R∗ [a, b] and so by Definition 2.2.4, g − f ∈ L[a, b]. Then just apply Theorem 2.2.6 to
g = f + (g − f ).
Proof for a ⇐⇒ c uses a similar method (just opposite) and so will be omitted.
Theorem 2.2.8. If f, g ∈ L[a, b], then max {f, g} , min {f, g} ∈ L[a, b] where
f (x) if f (x) ≥ g(x) for all x ∈ [a, b]
max {f, g} =
g(x) if g(x) > f (x) for all x ∈ [a, b]
and
f (x) if f (x) ≤ g(x) for all x ∈ [a, b]
min {f, g} =
g(x) if g(x) < f (x) for all x ∈ [a, b]
0 ≤ |f − g| = 2 max{f, g} − f − g ≤ 2α − f − g
Proof. The proof is trivial and so will be omitted. For part (iv). consider the Triangle Inequality.
Theorem 2.2.12 (Properties of the Distance Function).
Proof. ( =⇒ ) As {fn } converges, then it is a Cauchy Sequence. So, given > 0, there exists M ∈ R, such that
if m, n ≥ M , then |fm − fn | < (b−a)·u where u is the maximum value fm − fn can achieve for each m, n. Then,
by Theorem 2.2.6, |fm − fn | ∈ L[a, b]. So
b
· u · (b − a)
Z
dist(fm , fn ) = |fm − fn | < =
a (b − a) · u
and
n
X
S(f ; Q̇) = f (ti )(xi − xi−1 ) + f (tn+1 )(∞ − xn )
i=1
As the final term f (tn+1 )(∞ − xn ) is not meaningful, we only consider the first n turns in which n is large
enough. So, for the integral over [0, ∞) only deal with the first n subpartition.
Ṗ = {([x0 , x1 ] , ti ) , . . . , ([xn−1 , xn ] , tn )}
Note that the partition Ṗ only lack the subinterval ([xn , ∞] , tn+1 ) such that
n
[
[a, ∞) = [xi−1 , xi ] ∪ [xn , ∞)
i=1
Infinite Integral 27
For Ṗ to be meaningful, we put a condition on xn in which we define a number d∗ such that Ṗ is (δ, d∗ )-fine
if
[xi−1 , xi ] ⊆ [ti − δ(ti ), ti + δ(ti )] for all t ∈ N, t ≤ n
and
1
[xn , ∞) ⊆ ∗ , ∞
d
Definition 2.3.1. Let f : [a, ∞) → R. f is Generalised Riemann Integrable on [a, ∞) if there exsits A ∈ R
such that for all > 0 there exists a gauge δ ∈ [a, ∞) such that if Ṗ is a (δ, d∗ )-fine tagged partition in [a, ∞),
then
S f ; Ṗ − A ≤
R∞
If f suffice the condition above, then f ∈ R∗ [a, ∞) and a f = A
Definition 2.3.2. Let f : [a, ∞) → R, f is Lebesgue Integrable is f, |f | ∈ R∗ [a, ∞). If f suffice the condition,
then f ∈ L[a, ∞).
Theorem 2.3.3 (Hake’s Theorem). If f : [a, ∞) → R, then f ∈ R∗ [a, ∞) if and only if for all γ ∈ (a, ∞),
f : [a, γ] is Generalised Riemann Integrable on [a, γ] and
Z γ
lim f =A∈R
γ→∞ a
R∞
In this case, a
f =A
Proof. Given > 0, there exists a gauge δf on [a, ∞) such that if a tagged partition Ṗ is δf -fine, then
Z ∞
S f ; Ṗ − f <
a 2
Similarly, there exist a gauge δg on [a, ∞) such that if a tagged partition Ṗ is δg -fine, then
Z ∞
S g; Ṗ − g <
a 2
So, we use the gauge δ(t) = min {δf (t), δg (t)} for t ∈ [a, ∞) such that if a tagged partition Ṗ is δ-fine, then
Z ∞ Z ∞
Z ∞ Z ∞
S f + g; Ṗ − f+ g ≤ S f ; Ṗ −
f + S g; Ṗ −
g < + =
a a a a 2 2
Theorem 2.3.5. Let f : [a, ∞) → R and c ∈ (a, ∞), then f ∈ R∗ [a, ∞) if and only if f is Generalised Riemann
Integral on [a, c] and [c, ∞). In this case,
Z ∞ Z c Z ∞
f= f+ f
a a c
∗
Proof. ( ⇐= ) As f ∈ R [c, ∞), using Hake’s Theorem (Theorem 2.3.3) we get for all γ ∈ (c, ∞), f is integrable
on [c, γ] and Z Z ∞ γ
f = lim f
c γ→∞ c
28 Infinite Integral
We then apply the additivity theorem (Theorem 2.1.10), to [a, γ] = [a, c] ∪ [c, γ] and so
Z γ Z c Z γ
f= f+ f
a a c
So we have Z ∞ Z γ Z c Z γ Z c Z ∞
f = lim f= f + lim f= f+ f
a γ→∞ a a γ→∞ c a c
( =⇒ ) We can get the proof just by working backwards from the first part of the proof.
Example 2.3.6. Let α > 1 and fα (x) = 1
xα for x ∈ [1, ∞). We show that fα ∈ R∗ [1, ∞).
Proof. Let y ∈ (1, ∞), then fα is continuous on [1, γ] and so f ∈ R∗ [1, γ]. By Fundamental Theorem of
Calculus, we also have Z γ γ
1 1 1−α
1 1
α
dx = x = 1 −
1 x 1−α
1 α−1 γ α−1
Then, Hake’s Theorem implies that
Z ∞ Z γ
1 1 1 1 1
α
dx = lim α
dx = lim 1 − α−1 = when α > 1
1 x γ→∞ 1 x γ→∞ α−1 γ α−1
Then by Fundamental Theorem of Calculus (Theorem 2.1.12), we can show that fa ∈ R∗ [1, ∞)
Example 2.3.7. Let
sin x
if x ∈ (0, ∞) x
f (x) =
1 if x = 0
R∞
Consider the Generalised Riemann Integrability of 0 f (x)dx.
Rγ
Proof. Since f (x) is continuous on [0, γ] for all γ ∈ (0, ∞), f ∈ R∗ [0, γ]. To prove that 0
f (x)dx has a limit
as γ reaches ∞, we let 0 < β < γ and use integration by parts.
Z γ Z β Z γ Z γ
sin x cos x γ cos x
f (x)dx − f (x)dx = dx = − dx
0 0 β x x β β x2
Since |cos x| ≤ 1 and |sin x| ≤ 1,we are going to prove that the above terms approach to 0 as β < γ goes to ∞.
Consider the Cauchy sequence n1 . As it is a Cauchy sequence, we know that
1 1
For all > 0, there exists M ∈ R such that if M < β < γ, then − <
γ β 2
Then, for all > 0, there exists M ∈ R such that if M < β < γ, then
Z γ Z γ γ Z γ
cos x γ cos x cos x γ cos x 1 1 1
− 1 < 2 =
− − dx = + dx≤ + dx ≤ 2
x β x 2 x β x 2 x β 2
β x γ β 2
β β
Therefore, the Cauchy Criterion applies and and Hake’s Theorem implies that f ∈ R∗ [0, ∞).
Theorem 2.3.8 (Fundamental Theorem). Let E ⊂ [a, ∞) such that E is countable and that f, F : [a, ∞) → R
such that
1) F is continuous on [a, ∞) and lim F (x) exists.
x→∞
0
2) F (x) = f (x) for all x ∈ (a, ∞), x ∈ E
Then f ∈ R∗ [a, ∞) and Z ∞
f = lim F (x) − F (a) (2.6)
a x→∞
Proof.
Rγ If γ ∈ [a, ∞), we apply the Fundamental Theorem to interval [a, γ] to conclude that f ∈ R∗ [a, γ] and
a
f = F (γ) − F (a). We then use Hake’s Theorem to show that f ∈ R∗ [a, ∞) and we have Equation 2.6.
Infinite Integral 29
So that
[xi−1 , xi ] ⊆ [ti − δ(ti ), ti + δ(ti )] for all i ≤ n, i ∈ N
and
1
(−∞, x0 ] ⊆ −∞, −
d∗
such that
[xi−1 , xi ] ⊆ [ti − δ(ti ), ti + δ(ti )] for all i ∈ N, i ≤ n
and
1 1
(−∞, x0 ] ⊆ −∞, − and [xn , ∞) ⊆ ∗ , ∞
d∗ d
Theorem 2.3.9 (Hake’s Theorem). If f : (−∞, ∞) → R, then f ∈ R∗ (−∞, ∞) if and only if for all β < γ ∈
(−∞, ∞), f ∈ R∗ [β, γ] and Z γ
lim f =C∈R
β→−∞ β
γ→+∞
Theorem 2.3.10 (Fundamental Theorem). Let E ⊆ (−∞, ∞) and E is countable and f, F : (−∞, ∞) → R
such that
a) F is continuous (−∞, ∞) and lim F (x) exists.
x→±∞
Theorem 2.3.11 (Comparison Test for Improper Integral). Let g be a non-negative function continuous on
(a, b), let f be a function continuous on (a, b). Suppose
As the function g(x) converges, it is bounded. So there exists a number M ∈ R such that
g(x) = xt+1 e−x ≤ M for all x ≥ 1
which implies that
f (x) = xt−1 e−x ≤ M x−2
It is also easy to prove that the function M x−2 ∈ R∗ [1, ∞) and so the rest of the proof follows from the first
integral and Hake’s Theorem.
By Hake’s Theorem, as the gamma function is Generalised Riemann Integrable, given > 0, the gamma
function is Generalised Riemann Integrable on [0, γ] and
Z ∞ Z γ
t −x
Γ(t + 1) = x e dx = lim xt e−x dx
0 γ→∞ 0
Using Integration by Parts,
Z γ Z γ Z γ
γ
lim xt e−x dx = lim −xt e−x 0 + t xt−1 e−x dx = lim t xt−1 e−x dx
γ→∞ 0 γ→∞ 0 γ→∞ 0
Therefore,
Γ(t + 1) = t(t − 1) . . . (2)(Γ(1)) = t!
Convergence Theorems 31
2. Sequence {xn } is a Cauchy sequence if for all > 0, there exists N ∈ N such that if n > m > N , then
|an − am | <
Rb
Another way of obtaining lim fn is using the Equi-integrability Theorem discussed below
k→∞ a
Definition 2.4.2 (Equi-integrability Hypothesis). The sequence {fk } in R∗ [a, b] is said to be equi-integrable if
for all > 0, there exists a guauge δ ∈ [a, b] such that if Ṗ is a δ-fine partition on [a, b] and n ∈ N, then
Z b
S fn ; Ṗ − fn <
a
Proof. For all > 0, by Equi-integrability Hypothesis (Definition 2.4.2), there exists a gauge δ on [a, b] such
n
that if Ṗ = {([xi−1 , xi ] , ti )}i=1 on [a, b] is δ-fine, we have
Z b
S fn ; Ṗ − fn < for all n ∈ [a, b]
a
Since Ṗ has finite number of tags and f (t) = lim fn (t) for all t ∈ [a, b], there exists N ∈ N such that if
n→∞
m, n ≥ N , then
X n
S fn ; Ṗ − S fm ; Ṗ ≤ |fn (ti ) − fm (ti )| · (xi − xi−1 ) ≤ (b − a) (2.9)
i=1
Theorem 2.4.4 (Monotone Convergence Theorem). Let {fk } be a monotone sequence of function in R∗ [a, b]
Rb
such that f (x) = lim fn (x) almost everywhere in [a, b], then f ∈ R∗ [a, b] if and only if { a fn } is bounded in
n→∞
R and if the conditition is satisfied,
Z b Z b
f = lim fn
a n→∞ a
3 Reference
1. Bartle, Robert G. & Sherbert, Donald R.(1982). Introduction to Real Analysis - 4th edition