Econ 605 CH 4 Integral Calculus 2018

Econ 605: Mathematics for Economists
Ch 4: Breif Review of Integral Calculus
Sisay Regassa SENBETA
Addis Ababa University
December 25, 2018
December 25, 2018

Sisay Regassa SENBETA (Addis Ababa University ) Econ 605: Mathematics for EconomistsCh 4: Breif Review of Integral Calculus 1 / 26
Learning Objectives
After completing this chapter, you will refresh your memory of

integral calculus: what it is, how it works, and its application in economics;
skills needed to formulate problems in integral caculus and solve the problems;
skills to apply integral calculus to problems that arise in di¤erent subdisciplines
of economics.
The only new topic that might not have been covered at undergraduate level
is the Leibniz’s Formula which is discussed towards the end of the chapter.
Note that mastery of this chapter helps you a lot to understand the discussion
on di¤erential equation (chapter 5) and optimal control theory (chapter 6).
December 25, 2018

Review of One variable Integration ...
Let f (x ) be a continuous function on an interval I . The inde…nite integral
of f (x ) is a function F (x ) whose derivative is equal to f (x ) for all x in I .
In symbols,
Z
f (x ) dx = F (x ) + C where F 0 (x ) = f (x )
For instance, if a 6= 1, then

Z
1 d 1
x a dx = x a +1 + C because x a +1 = xa
a+1 dx a+1
Two other important inde…nite integrals are:

Z
1
dx = ln jx j + C ,
x
and Z
1 ax
e ax dx = e +C (a 6 = 0)
a
December 25, 2018
Review of Techniques of Integration
Just as there are rules of diferentiation, we can also develop certain rules of
integration - the latter are heavily dependent on the rules of derivation.
Rule I (the power rule)
Z
1
x n dx = x n +1 + C (n 6 = 1)
n+1
Example
R
Find x 3 dx. Here, we have n = 3, and therefore
Z
1 4
x 3 dx = x +C
4
December 25, 2018

Review ...
Example
Rp p
Find x 3 dx. Since x 3 = x 3 /2 , we have n = 3/2; therefore
Z p
x 5 /2 2p 5
x 3 dx = 5
+C = x +C
2
5
December 25, 2018

Review ...
Example
R 1 dx, x
Find x4
( 6= 0). Since 1/x 4 = x 4, we have n = 4. Thus the integral is
Z
1 x 4 +1 1
dx = +C = +C
x4 4+1 3x 3
Note that the correctness of the results of integration can always be checked
by di¤erentiation; if the integration process is correct, the derivative of the
integral must be equal to the integrand.
Rule II (the exponential rule)
Z
e x dx = e x + C
Rule III (the logarithmic rule)

Z
1
dx = ln x + C , (x > 0)
x
December 25, 2018
Review ...
It is of interest that the integrand involved in Rule III is 1/x = x 1 , which is

a special form of power function x n with n = 1. This particular integrand is
inadmissible under the power rule, but now taken care of by the logarithmic
rule.
As stated, the logaritmic rule is placed under restriction x > 0, because
logarithms do not exist for nonpositive values of x. A more general
formulation of the rule, which can take care of negative values of x, is
Z
1
dx = ln jx j + C , (x 6 = 0)
x
As variant of Rules II and III, we also have the following two rules
Rule IIa Z
f 0 (x ) e f (x ) dx = e f (x ) + C
December 25, 2018

Review ...
Rule IIIa Z
f 0 (x )
dx = ln f (x ) + C , [f (x ) > 0]
f (x )
= ln jf (x )j + C , [f (x ) 6 = 0]
Rule IV (the integration of a sum): The integral of the sum of a …nite
number of functions is the sum of the integrals of those functions. For the
two-function case, this means that
Z Z Z
[f (x ) + g (x )] dx = f (x ) dx + g (x ) dx = F (x ) + G (x ) + C1 + C2
Rule V (the integral of a multiple): The integral of k times an integrand

(k being a constant) is k times the integral of the integrand. In symbols,
Z Z
kf (x ) dx = k f (x ) dx
That is, a multiplicative constant can be “factored out” of the integral sign.
Note that this rule does not apply if k is a variable!!
December 25, 2018
Review ...
Rules Involving Substitution

Now we shall introduce two more rules of integration which seek to simplify
the process of integration, when the circumstances are appropriate, by a
substitution of the original variable of integration.
Whenever the newly introduced variable of integration makes the integration
process easier than under the old, these rules will become of service.
Rule VI (the substitution rule): The integral of f (u ) (du/dx ) with respect
to the variable x is the integral of f (u ) with respect to the variable u:
Z Z
du
f (u ) dx = f (u ) du = F (u ) + C
dx
R R
where the operation du has been substituted for the operation dx.
December 25, 2018

Review ...
The above rule, the integral-calculus counterpart of the chain rule, may be
proved by means of the chain rule itself. Given a function F (u ), where
u = u (x ), the chain rule states that
d d du du du
F (u ) = F (u ) = F 0 (u ) = f (u )
dx du dx dx dx
Since f (u ) (du/dx ) is the derivative of F (u ), it follows that the integral
(anti-derivative) of the former must be
Z
du
f (u ) dx = F (u ) + C
dx
You may note that this result, in fact, follows also from the canceling of the
two dx expressions on the left.
December 25, 2018

Review ...
Example
R
Find 2x x 2 + 1 dx. The answer to this can be obtained by …rst multiplying
out the integrand:
Z Z
x4
2x x 2 + 1 dx = 2x 3 + 2x dx = + x2 + C
2
but let us now do it by the substitution rule. Let u = x 2 + 1; then du/dx = 2x,
or dx = du/2x. Substitution of du/2x for dx will yield
Z Z Z
du u2
2x x 2 + 1 dx = 2xu = udu = + C1
2x 2
1 4 1
= x + 2x 2 + 1 + C1 = x 4 + x 2 + C
2 2
where C = 21 + C1 . The same answer can also be obtained by substituting du/dx
for 2x (instead of du/2x for dx).
December 25, 2018

Review ...
Example
R 99
Find 6x 2 x 3 + 2 dx. The integrand of this example is not easily multiplied
out, and thus the substitution rule now has a better opportunity to display its
e¤ectiveness. Let u = x 3 + 2; then du/dx = 3x 2 , so that
Z 99 Z Z
du
6x 2 x 3 + 2 dx = 2 u 99 dx = 2u 99 du
dx
2 100 1 100
= u +C = x3 + 2 +C
100 50
Example
R
Find 8e 2x +3 dx. Let u = 2x + 3; then du/dx = 2, or dx = du/2. Hence,
Z Z Z
du
8e 2x +3 dx = 8e u =4 e u du = 4e u + C = 4e 2x +3 + C
2
December 25, 2018

Review ...
Rule VII (integration by parts): The integral of v with respect to u is
equal to uv less the integral of u with respect to v :
Z Z
vdu = uv udv
R
The
R essence of this rule is to replace the operation du by the operation
dv .
The rationale behind this result is relatively simple. First, the product rule of
di¤erentiation gives us
d (uv ) = vdu + udv
If we integrate both sides of the equation (i.e., integrate each di¤erential), we
get a new equation Z Z Z
d (uv ) = vdu + udv
or Z Z
uv = vdu + udv
R
Then by sabtracting udv from both sides, the previously stated result
emerges.
December 25, 2018
Review ...
Example
R
Find x (x + 1)1 /2 dx. Unlike the examples we discussed under the substitution
rule, the present example is not amenable to the type of substitution used
R in Rule
VI. However, we may consider the given integral to be in the form of vdu, and
apply Rule VII. To this end, we shall let v = x, implying dv = dx, and also let
u = 32 (x + 1)3 /2 , so that du = (x + 1)1 /2 dx. Then we can …nd the integral to
be Z Z Z
x (x + 1)1 /2 dx = vdu = uv udv
Z
2 2
= (x + 1 )3 /2 x (x + 1)3 /2 dx
3 3
2 4
= (x + 1)3 /2 x (x + 1)5 /2 + C
3 15
December 25, 2018

Review ...
Example
R
Find ln xdx, (x > 0). We cannot apply the logarithmic rule here, because that
rule deals with the integrand 1/x, not ln x. Nor can we use Rule VI. But if we let
v = ln x,implying dv = (1/x ) dx, and also let u = x so that du = dx, then the
integration can be performed as follows:
Z Z Z
ln xdx = vdu = uv udv
Z
= x ln x dx = x ln x x C = x (ln x 1) + C
December 25, 2018

Review ...
Example
R
Find xe x dx. In this case, we shall simply let v = x, and u = e x , so that
dv = dx and du = e x dx. Applying Rule VII, we have
Z Z Z
xe x dx = vdu = uv udv
Z
x
=e x e x dx = e x x e x + C = e x (x 1) + C
The validity of this result, like those of the preceding examples, can be readily
checked by di¤erentiation.
December 25, 2018

De…nite integrals ...
All the integrals we discussed in the preceding section are of the inde…nite
variety: each is a function of a variable and, hence, possesses no de…nite
numerical value.
Now, for a given inde…nite integral of a continuous function f (x ),
Z
f (x ) dx = F (x ) + C
If we choose two values of x in the domain, say, a and b (a < b ), substitute

then successively into the right side of the equation, and form the di¤erence
[F (b ) + C ] [F (a ) + C ] = F (b ) F (a )
we get a speci…c numerical value, free of the variable x as well as the

arbitrary constant C .
This value is called the de…nite integral of f (x ) from a to b, we refer to a as
the lower limit of integration and b as the upper limit of integration.
December 25, 2018

De…nite ...
The above integral symbol needs to be modi…ed when writing the de…nite
integral (also referred to as Riemann Integral) where the lower and upper
limits are clearly indicated on the integral sysmbol as
Z b
f (x ) dx = [F (x )]ba = F (x ) + C (1)
a
A de…nite integral of a function de…ned on some interval is the area underneath

the curve over the interval.
Example
R5
Evaluate 1 3x 2 dx. Since the inde…nite integral is x 3 + C , this de…nite integral
has the value
Z 5
3x 2 dx = x 3 ]51 = (5)3 (1)3 = 125 1 = 124
1
December 25, 2018

De…nite ...
Example
Find the integral
Z 10 Z 10 Z 10
10t 2 t 3 dt = 10t 2 dt t 3 dt
0 0 0
10 3 10 1 4 10
= t ]0 t ]
3 4 0
10(10)3 1
= (10)4
3 4
December 25, 2018

Some important properties
The derivative of the integral is equal to the integrand

Z Z
F (x ) = F 0 (x ) = f (x )
Z
d
) f (x ) dx = f (x )
dx
Z
) F 0 (x ) dx = F (x ) + C
Moreover, Z t
f (x ) dx =jta F (t ) F (a )
a
so di¤erentiating with respect to t with a …xed, it follows that
Z t
d
f (x ) dx = F 0 (t ) = f (t ) (2)
dt a
December 25, 2018

The above result can be stated as: The derivative of the de…nite integral with
respect to the upper limit of integration is equal to the integrand as a
function evaluated at that limit.
Correspondingly,
Z a
f (x ) dx =jat F (x ) = F (a) F (t )
t
So that Z
d a
f (x ) dx = F 0 (t ) = f (t ) (3)
dt t
That is, the derivative of the de…nite integral with respect to the lower limit
of integration is equal to minus the integrand as a function evaluated at that
limit.
December 25, 2018

In general,
Z b (t )
d
f (x ) dx = f (b (t )) b 0 (t ) f (a (t )) a0 (t ) (4)
dt a (t )
Proof.
Rv
Let F 0 (x ) = f (x ). Then u f (x ) dx = F (v ) F (u ), so in particular
Z b (t )
f (x ) dx = F (b (t )) F (a (t ))
a (t )
Using the chain rule to di¤erentiate the RHS of this equation w.r.t. t, we obtain
F 0 (b (t )) b 0 (t ) F 0 (a (t )) a0 (t )
but F 0 (b (t )) = f (b (t )) and F 0 (a (t )) = f (a (t )).
December 25, 2018

Leibniz’s Formula
The case in the previous slide can be generalized by what is referred to as the
Leibniz’s formula
Theorem
(Leibniz’s Formula)
Suppose that f (x, t ) and fx0 (x, t ) are contininuous over the rectangle determined
by a x b, c t d. Suppose too that u (x ) and v (x ) are C 1 functions over
[a, b ], and that the ranges of u and v are contained in [c, d ]. Then
Z v (x )
F (x ) = f (x, t ) dt (5)
u (x )
Z v (x )
∂f (x, t )
) F 0 (x ) = f (x, v (x )) v 0 (x ) f (x, u (x )) u 0 (x ) + dt
u (x ) ∂x
(6)
December 25, 2018

Leibniz’s ...
Note that when x changes in (5), the limits of integaration u (x ) and v (x )

both change, and moreover the integrand f (x, t ) changes for each t.
Formula (6) captures the total e¤ect of all these changes.
Let H be the function of three variables
Z v
H (t, u, v ) = f (t, x ) dx
u
Then with u = a (t ) and v = b (t ), we have F (t ) = H (t, a (t ) , b (t )).

So, by the chain rule for di¤erentiating composite functions
F 0 (t ) = Ht0 + Hu0 a0 (t ) + Hv0 b 0 (t ) (7)

∂H
Ht0 = ∂t when u and v are constant.
December 25, 2018

Leibniz’s ...
It is reasonable to guess that we can di¤erentiate H partially with respect to.

t by di¤erentiating under the integral sign, giving
Z v
Ht0 = ft0 (t, x ) dx
u
Moreover, according to (2) and (3),
Hu0 = f (t, u ) and Hv0 = f (t, v )
Inserting these results into (7) yields (6).

Note that if f (t, x ) is independent of t, then ∂f (t, x ) /∂t = 0, so (6)
reduces (4)
Example
R x2
Use LF to compute F 0 (x ) when F (x ) = x 12 t 2 xdx. Check the answer by
calculating the integral …rst and then di¤erentiating.
December 25, 2018

Leibniz’s ...
Solution
We obtain
x 1 Z 2
1 2 2 1 2
F 0 (x ) = x x.2x x x.1 + t 2 dt
2 2 x 2
1 3 1 3 x2 1 3 7 2 3
= x6 x + t ]x = x 6 + x2 x3 = x6 x
2 6 6 6 3
In this case, the integral F (x ) is easy to calculate explicitly:

Z x2
1 1 x2 1 3 1 7
F (x ) = x t 2 dt = x] t = x x4
2 x 2 x 3 6
Di¤erentiating with respect to x gives the same expression for F 0 (x ) as before.

That is,
dF (x ) d 1 7 7 2 3
= x x4 = x6 x
dx dx 6 6 3
December 25, 2018


Econ 605 CH 4 Integral Calculus 2018

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Econ 605: Mathematics for Economists

Ch 4: Breif Review of Integral Calculus

Sisay Regassa SENBETA

Addis Ababa University

December 25, 2018

December 25, 2018

After completing this chapter, you will refresh your memory of

December 25, 2018

For instance, if a 6= 1, then

Two other important inde…nite integrals are:

December 25, 2018

December 25, 2018

Rule III (the logarithmic rule)

It is of interest that the integrand involved in Rule III is 1/x = x 1 , which is

December 25, 2018

Rule V (the integral of a multiple): The integral of k times an integrand

Rules Involving Substitution

December 25, 2018

December 25, 2018

December 25, 2018

December 25, 2018

December 25, 2018

December 25, 2018

December 25, 2018

If we choose two values of x in the domain, say, a and b (a < b ), substitute

we get a speci…c numerical value, free of the variable x as well as the

December 25, 2018

A de…nite integral of a function de…ned on some interval is the area underneath

December 25, 2018

December 25, 2018

The derivative of the integral is equal to the integrand

December 25, 2018

December 25, 2018

but F 0 (b (t )) = f (b (t )) and F 0 (a (t )) = f (a (t )).

December 25, 2018

December 25, 2018

Note that when x changes in (5), the limits of integaration u (x ) and v (x )

Then with u = a (t ) and v = b (t ), we have F (t ) = H (t, a (t ) , b (t )).

F 0 (t ) = Ht0 + Hu0 a0 (t ) + Hv0 b 0 (t ) (7)

December 25, 2018

It is reasonable to guess that we can di¤erentiate H partially with respect to.

Moreover, according to (2) and (3),

Hu0 = f (t, u ) and Hv0 = f (t, v )

Inserting these results into (7) yields (6).

December 25, 2018

In this case, the integral F (x ) is easy to calculate explicitly:

Di¤erentiating with respect to x gives the same expression for F 0 (x ) as before.

December 25, 2018

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