Msii Lectures 2012-05-04 Signed

Giovanni Leoni, Mathematical Studies: Analysis II, Spring 2012, Carnegie Mellon University
Wednesday, January 18, 2012
1 Directional Derivatives and Di¤erentiability

Let E RN , let f : E ! R and let x0 2 E. Given a direction v 2 RN , let L be
the line through x0 in the direction v, that is,
L := x 2 RN : x = x0 + tv; t 2 R ;
and assume that x0 is an accumulation point of the set E \ L. The directional

derivative of f at x0 in the direction v is de…ned as
@f f (x0 + tv) f (x0 )

(x0 ) := lim ;
@v t!0 t
provided the limit exists in R. In the special case in which v = ei , the directional
@f
derivative @ei
(x0 ), if it exists, is called the partial derivative of f with respect
@f
to xi and is denoted @x i
(x0 ) or fxi (x0 ) or Di f (x0 ).
Remark 1 Let F := ft 2 R : x0 + tv 2 Eg R. If we consider the function

@f
of one variable g (t) := f (x0 + tv), t 2 F , then @v (x0 ), when it exists, is
@f @f
simply the derivative of g at t = 0, @v (x0 ) = g 0 (0). If @v (x0 ) exists, then g
is di¤ erentiable in t = 0 and so it is continuous at t = 0. Thus, the function f
restricted to the line L is continuous at x0 .
Remark 2 The previous de…nition continues to hold if in place of RN one takes

a normed space V , so that f : E ! R where E V .
In view of the previous remark, one would be tempted to say that if the
directional derivatives at x0 exist and are …nite in every direction, then f is
continuous at x0 . This is false in general, as the following example shows.
Example 3 Let
1 if y = x2 ; x 6= 0;
f (x; y) :=
0 otherwise.
Given a direction v = (v1 ; v2 ), the line L through 0 in the direction v intersects
the parabola y = x2 only in 0 and in at most one point. Hence, if t is very
small,
f (0 + tv1 ; 0 + tv2 ) = 0:
It follows that
@f f (0 + tv1 ; 0 + tv2 ) f (0; 0) 0 0

(0; 0) = lim = lim = 0:
@v t!0 t t!0 t
However, f is not continuous in 0, since f x; x2 = 1 ! 1 as x ! 0, while
f (x; 0) = 0 ! 0 as x ! 0.
1
Exercise 4 Let
(
x2 y
x4 +y 2 if (x; y) 6= (0; 0) ;
f (x; y) :=
0 if (x; y) = (0; 0) :
Find all directional derivatives of f at 0 and prove that f is not continuous at

0.
The previous examples show that in dimension N 2 partial derivatives do

not give the same kind of results as in the case N = 1. To solve this problem, we
introduce a stronger notion of derivative, namely, the notion of di¤erentiability.
We recall that a function T : RN ! R is linear if
T (x + y) = T (x) + T (y)
for all x; y 2 RN and

T (sx) = sT (x)
PN
for all s 2 R and x 2 RN . Write x = i=1 xi ei . Then by the linearity of T ,
N
! N
X X
T (x) = T xi e i = xi T (ei ) :
i=1 i=1
De…ne b := (T (e1 ) ; : : : ; T (eN )) 2 RN . Then the previous calculation shows

that
T (x) = b x for all x 2 RN :
De…nition 5 Let E RN , let f : E ! R, and let x0 2 E be an accumulation

point of E. The function f is di¤erentiable at x0 if there exists a linear function
T : RN ! R (depending on f and x0 ) such that
f (x) f (x0 ) T (x x0 )
lim = 0:
x!x0 kx x0 k
provided the limit exists. The function T , if it exists, is called the di¤erential of
f at x0 and is denoted df (x0 ) or dfx0 .
Exercise 6 Prove that if N = 1, then f is di¤ erentiable at x0 if and only there

exists the derivative f 0 (x0 ) 2 R.
Remark 7 The previous de…nition continues to hold if in place of RN one takes

a normed space V , so that f : E ! R where E V . In this case, however, we
require T : V ! R to be linear and continuous. Note that in RN every linear
function is continuous.
Friday, January 20, 2012
2
Example 8 Let V = ff : [ 1; 1] ! R : f is di¤ erentiable in [ 1; 1]g. Note
that V is a normed space with the norm kf k := maxx2[ 1;1] jf (x)j. Consider
the linear function T : V ! R de…ned by
T (f ) := f 0 (0) :
Then T is linear. To prove that T is not continuous, consider

1
fn (x) := sin n2 x :
n
Then
1
kfn 0k !0
n
but
fn0 (x) = n cos n2 x
so that
T (fn ) = fn0 (0) = n ! 1
and so T is not continuous, since T (fn ) 9 T (0) = 0.
The next theorem shows that di¤erentiability in dimension N 2 plays the

same role of the derivative in dimension N = 1.
Theorem 9 Let E RN , let f : E ! R, and let x0 2 E be an accumulation

point of E. If f is di¤ erentiable at x0 , then f is continuous at x0 .
Proof. Let T be the di¤erential of f at x0 . De…ne
R (x) := f (x) f (x0 ) T (x x0 ) :
Note that by the de…nition of di¤erentiability
R (x)
lim = 0:
x!x0 kx x0 k
Then
f (x) f (x0 ) = T (x x0 ) + R (x) = b (x x0 ) + R (x) :
Hence, by Cauchy’s inequality for x 2 E, x 6= x0 ,
0 jf (x) f (x0 )j jb (x x0 )j + jR (x)j kbk kx x0 k + jR (x)j

jR (x)j
= kx x0 k kbk + ! 0 (kbk + 0)
kx x0 k
as x ! x0 . It follows by the squeeze theorem that f is continuous at x0 .

Next we study the relation between directional derivatives and di¤erentia-
bility. The next theorem gives a formula for the vector b used in the previous
proof and hence determines T . Here we need x0 to be an interior point of E.
3
Theorem 10 Let E RN , let f : E ! R be di¤ erentiable at some point
x0 2 E . Then
(i) all the directional derivatives of f at x0 exist and
@f
(x0 ) = dfx0 (v) ;
@v
(ii) for every direction v,
X @fN
@f
(x0 ) = (x0 ) vi : (1)
@v i=1
@xi
Proof. Since x0 is an interior point, there exists B (x0 ; r) E. Let v 2 RN be

a direction and x = x0 + tv. Note that for jtj < r, we have that
kx x0 k = kx0 + tv x0 k = ktvk = jtj kvk = jtj 1 < r
and so x0 + tv 2 B (x0 ; r) E. Moreover, x ! x0 as t ! 0 and so, since f is
di¤erentiable at x0 ,
f (x)
f (x0 ) T (x x0 ) f (x0 + tv) f (x0 ) T (x0 + tv x0 )
0 = lim = lim
x!x0 kx x0 k t!0 kx0 + tv x0 k
f (x0 + tv) f (x0 ) tT (v)
= lim :
t!0 jtj
jtj
Since t is bounded by one, it follows that
f (x0 + tv) f (x0 ) tT (v) jtj f (x0 + tv) f (x0 ) tT (v)
lim = lim = 0:
t!0 t t!0 t jtj
But then
f (x0 + tv) f (x0 ) tT (v) f (x0 + tv) f (x0 )
0 = lim = lim T (v) ;
t!0 t t!0 t
@f
which shows that there exists @v (x0 ) = T (v).
PN
Part (ii) follows from the linearity of T . Indeed, writing v = i=1 vi ei , by
the linearity of T ,
N
! N N
@f X X X @f
(x0 ) = T (v) = T vi ei = vi T (ei ) = (x0 ) vi :
@v i=1 i=1 i=1
@xi
Remark 11 If in the previous theorem x0 is not an interior point but for some
direction v 2 RN , the point x0 is an accumulation point of the set E \ L, where
L is the line through x0 in the direction v, then as in the …rst part of the proof
@f
we can show that there exists the directional derivative @v (x0 ) and
@f
(x0 ) = dfx0 (v) :
@v
4
If all the partial derivatives of f at x0 exist, the vector
@f @f
(x0 ) ; : : : ; (x0 ) 2 RN
@x1 @xN
is called the gradient of f at x0 and is denoted by rf (x0 ) or grad f (x0 ) or
Df (x0 ). Note that part (ii) of the previous theorem shows that
XN
@f
dfx0 (v) = T (v) = rf (x0 ) v = (x0 ) vi : (2)
i=1
@xi
for all directions v. Hence, only at interior points of E, to check di¤erentiability

it is enough to prove that
f (x) f (x0 ) rf (x0 ) (x x0 )
lim = 0: (3)
x!x0 kx x0 k
Exercise 12 Let
(
x2 y
x2 +y 2 if (x; y) 6= (0; 0) ;
f (x; y) :=
0 if (x; y) = (0; 0) :
Prove that f is continuous at 0, that all directional derivatives of f at 0 exist

but that the formula
@f @f @f
(0; 0) = (0; 0) v1 + (0; 0) v2
@v @x @y
fails.
Exercise 13 Let
(
x2 y
x2 +y 4 if (x; y) 6= (0; 0) ;
f (x; y) :=
0 if (x; y) = (0; 0) :
Find all directional derivatives of f at 0. Study the continuity and the di¤ eren-
tiability of f at 0.
Theorems 9 and 10 give necessary conditions for the di¤erentiability of f at

x0 . Let’s prove that these conditions are not, however, su¢ cient.
Example 14 Let
x if y = x2 ; x 6= 0;
f (x; y) :=
0 otherwise.
Given a direction v = (v1 ; v2 ), the line L through 0 in the direction v intersects

the parabola y = x2 only in 0 and in at most one point. Hence, if t is very
small,
f (0 + tv1 ; 0 + tv2 ) = 0:
5
It follows that
@f f (0 + tv1 ; 0 + tv2 ) f (0; 0) 0 0
(0; 0) = lim = lim = 0:
@v t!0 t t!0 t
Thus formula (1) holds. Moreover, f is continuous in 0, since jf (x; y)j jxj !
0 as (x; y) ! (0; 0). We claim that f is not di¤ erentiable at (0; 0). To negate
di¤ erentiability, in view of the previous theorem and since (0; 0) is an interior
point, we need to prove that the quotient
f (x; y) f (0; 0) rf (0; 0) (x; y)
q
2 2
(x 0) + (y 0)
does not tend to zero as (x; y) ! (0; 0). Take y = x2 . Then
f x; x2 f (0; 0) rf (0; 0) x; x2 x 0 0 x; x2
q =q
2 2 2 2
(x 0) + (x2 0) (x 0) + (x2 0)
x x
=p = p 9 0:
x2 + x4 jxj 1 + x2
Exercise 15 Let f : E ! R be Lipschitz and let x0 2 E .
@f
(i) Assume that all the directional derivatives of f at x0 exist and that @v (x0 ) =
PN @f
i=1 @xi (x0 ) vi for every direction v. Prove that f is di¤ erentiable at x0 .
(ii) Assume that all the partial derivatives of f at x0 exist, that the directional
@f
derivatives @v (x0 ) exist for all v 2 S, where S is dense in the unit sphere,
@f PN @f
and that @v (x0 ) = i=1 @x i
(x0 ) vi for every direction v 2 S. Prove that
f is di¤ erentiable at x0 .
Monday, January 23, 2012

The next theorem gives an important su¢ cient condition for di¤erentiability
at a point x0 .
Theorem 16 Let E RN , let f : E ! R, let x0 2 E . Assume that there ex-

@f
ists r > 0 such that B (x0 ; r) E and the partial derivatives @x j
, j = 1; : : : ; N ,
exist for every x 2 B (x0 ; r) and are continuous at x0 . Then f is di¤ erentiable
at x0 .
Proof. Let x 2 B (x0 ; r). Write x = (x1 ; : : : ; xN ) and x0 = (y1 ; : : : ; yN ). Then
f (x) f (x0 ) = (f (x1 ; : : : ; xN ) f (y1 ; x2 ; : : : ; xN ))

+ + (f (y1 ; : : : ; yN 1 ; xN ) f (y1 ; : : : ; yN )) :
By the mean value theorem applied to the function of one variable f ( ; x2 ; : : : ; xN ),

@f
f (x1 ; : : : ; xN ) f (y1 ; x2 ; : : : ; xN ) = (z1 ) (x1 y1 ) ;
@x1
6
where z1 := ( 1 x1 + (1 1 ) y1 ; x2 ; : : : ; xN ) for some 1 2 (0; 1). Note that
kz1 x0 k kx x0 k :
Similarly, for i = 2; : : : ; N ,
@f
f (y1 ; : : : ; yi 1 ; xi ; : : : ; xN ) f (y1 ; : : : ; yi 1 ; yi ; : : : ; xN ) = (zi ) (xi yi ) ;
@xi
where zi := (y1 ; : : : ; yi 1 ; i xi + (1 i ) yi ; xi+1 ; : : : ; xN ) for some i 2 (0; 1)
and
kzi x0 k kx x0 k :
Write
f (x) f (x0 ) rf (x0 ) (x x0 )

N
X @f @f
= (zi ) (x0 ) (xi yi ) :
i=1
@xi @xi
Then
XN
jf (x) f (x0 ) rf (x0 ) (x x0 )j @f @f jxi yi j
(zi ) (x0 ) :
kx x0 k i=1
@xi @xi kx x0 k
jxi yi j
Since kx x0 k 1, we have that
XN
jf (x) f (x0 ) rf (x0 ) (x x0 )j @f @f
0 (zi ) (x0 ) : (4)
kx x0 k i=1
@xi @xi
Using the fact that kzi x0 k kx x0 k ! 0 as x ! x0 , together with the

@f
continuity of @x i
at x0 , gives
XN
jf (x) f (x0 ) rf (x0 ) (x x0 )j @f @f
0 (zi ) (x0 ) ! 0;
kx x0 k i=1
@xi @xi
which implies the di¤erentiability of f at x0 .

The previous theorem can be signi…cantly improved. Indeed, we have the
following result.
Theorem 17 Let E RN , let f : E ! R, let x0 2 E , and let i 2 f1; : : : ; N g.

Assume that there exists r > 0 such that B (x0 ; r) E and for all j 6= i and for
@f
all x 2 B (x0 ; r) the partial derivative @xj
exists at x and is continuous at x0 .
@f
Assume also that @xi (x0 ) exists. Then f is di¤ erentiable at x0 .
7
Proof. Without loss of generality, we may assume that i = N . Reasoning as
before we have that
f (x) f (x0 ) rf (x0 ) (x x0 )
N
X1 @f @f
= (zi ) (x0 ) (xi yi )
i=1
@xi @xi
f (y1 ; : : : ; yN 1 ; xN ) f (y1 ; : : : ; yN ) @f
+ (x0 ) (xN yN ) :
xN yN @xN
Hence, as before,
N
X1
jf (x) f (x0 ) rf (x0 ) (x x0 )j @f @f
0 (zi ) (x0 ) (5)
kx x0 k i=1
@xi @xi
f (y1 ; : : : ; yN 1 ; yN + (xN yN )) f (y1 ; : : : ; yN ) @f
+ (x0 ) :
xN yN @xN
Since t := xN yN ! 0 as x ! x0 , we have that
f (y1 ; : : : ; yN 1 ; yN + (xN yN )) f (y1 ; : : : ; yN )
xN yN
f (y1 ; : : : ; yN 1 ; yN + t) f (y1 ; : : : ; yN ) @f
= ! (x0 ) ;
t @xN
and so the right-hand side of (5) goes to zero as x ! x0 .
The next exercise shows that the previous conditions are su¢ cient but not
necessary for di¤erentiability.
Example 18 Let
1
x2 + y 2 sin x+y if (x; y) 6= (0; 0) or x + y 6= 0;
f (x; y) :=
0 otherwise.
Let’s prove that f is di¤ erentiable at (0; 0) but the partial derivatives are not
continuous at (0; 0). We have
1
f (x; 0) f (0; 0) x2 + 0 sin x+0 0 1
= = x sin !0
x 0 x 0 x
@f @f
as x ! 0, since sin x1 is bounded. Hence, @x (0; 0) = 0. Similarly, @y (0; 0) = 0.
Hence,
8 2 2
f (x; 0) f (0; 0) @f (0; 0) (x 0) @f
(0; 0) (y 0) < (x +y
p 2) 2x+y
sin 1
if x + y 6= 0;
q @x @y
= x +y
2 2 : 0 otherwise.
(x 0) + (y 0)
p 1
x2 + y 2 sin x+y if x + y 6= 0;
=
0 otherwise.
!0
8
1
p
as (x; y) ! (0; 0) since sin x+y is bounded and x2 + y 2 ! 0. Hence, f is
di¤ erentiable at (0; 0).
On the other hand, if x + y 6= 0,
!
@f 1 1 1
(x; y) = (2x + 0) sin + x2 + y 2 cos 2 ;
@x x+y x+y (x + y)
!
@f 1 1 1
(x; y) = (0 + 2y) sin + x2 + y 2 cos 2 :
@y x+y x+y (x + y)
Taking x = y gives
@f 1 1
(x; x) = 2x sin cos ;
@x 2x 2x
@f 1 1
(x; x) = 2x sin cos
@y 2x 2x
which have no limit as x ! 0, thus @f @f

@x and @y are not continuous at (0; 0).
Note that one should also check the existence of the partial derivatives at points
such that x + y = 0.
Wednesday, January 25, 2012
De…nition 19 Given E RN , we say that
(i) E is disconnected if there exist two nonempty open sets U; V RN such

that
E U [ V; E \ U 6= ;; E \ V 6= ;; E \ U \ V = ;:
(ii) E is connected if it is not disconnected.
We study properties of connected sets. We begin by showing that continuous

functions preserve connectedness.
Proposition 20 Let F RN and let f : F ! RM be a continuous function.

Then f (E) is connected for every connected set E F .
Proof. Let E F be a connected set and assume by contradiction that f (E)

is disconnected. Then there exist two open sets U; V RM such that
f (E) U [ V; f (E) \ U 6= ;; f (E) \ V 6= ;; f (E) \ U \ V = ;:
By continuity, f 1 (U ) and f 1 (V ) are relatively open, hence, there exist two

open sets A and B in RN such that f 1 (U ) = F \ A and f 1 (V ) = F \ B.
Hence,
E A [ B; E \ A 6= ;; E \ B 6= ;; E \ A \ B = ;;
which shows that E is disconnected.
9
Theorem 21 A set C R is connected if and only if it is convex.
Proof. Exercise.
We now introduce another notion of connectedness, which is simpler to verify.
De…nition 22 A continuous path is a continuous function ' : I ! RN , where

I R is an interval. The set ' (I) RN is called the range of the path. If
I = [a; b], the points ' (a) and ' (b) are called endpoints of the path. A set
E RN is called pathwise connected if for all x;y2 E there exists a continuous
path with endpoints x and y and range contained in E.
Proposition 23 Let E RN be pathwise connected. Then E is connected.
Proof. We claim that E is connected. If not, then there exist two nonempty
open sets U; V RN such that
E U [ V; E \ U 6= ;; E \ V 6= ;; E \ U \ V = ;:
Let x 2 C \ U and y 2 C \ V . By hypothesis there exists a continuous path

' : [a; b] ! RN such that ' (a) = x, ' (b) = y and ' ([a; b]) E. By Proposition
20 and Theorem 21, we have that ' ([a; b]) is connected. On the other hand,
' ([a; b]) E U [ V; x 2 ' ([a; b]) \ U; y 2 ' ([a; b]) \ V;
which is a contradiction.
Remark 24 In particular, convex sets and star-shaped sets are connected.
Exercise 25 Let E RN be a connected set. Prove that E is connected.
The next example and exercise show that in RN a connected set may fail to
be pathwise connected, unless the set is open.
Exercise 26 Let E R2 be the set given by
E1 = (x; y) 2 R2 : x = 0; 1 y 1 ;
1
E2 = (x; y) 2 R2 : x > 0; y = sin ;
x
E = E1 [ E2 :
Prove that E is connected but not pathwise connected.
De…nition 27 In the Euclidean space RN , a polygonal path is a continuous

path ' : [a; b] ! RN for which there exists a partition a = t0 < t1 < < tn = b
with the property that ' : [ti 1 ; ti ] ! RN is a¢ ne for all i = 1; : : : ; n, that is,
' (t) = ci + tdi for t 2 [ti 1 ; ti ] ;
for some ci ; di 2 RN .
10
Theorem 28 Let O RN be open and connected. Then O is pathwise con-
nected.
Proof. De…ne the sets
U := fx 2 O : there exists a polygonal path with

endpoints x and x0 and range contained in Og
and
V := fx 2 O : there does not exist a polygonal path with

endpoints x and x0 and range contained in Og :
We claim that U and V are open. To see this, let x 2 U . Since O is open, there
exists B (x; r) O. Let’s show that B (x; r) U . Indeed, let y 2 B (x; r).
Since x 2 U , there exists a polygonal path ' : [a; b] ! RN such that ' (a) = x0 ,
' (b) = x and ' ([a; b]) O. De…ne the polygonal path : [a; b + 1] ! RN as
follows
' (t) if t 2 [a; b] ;
(t) :=
x + (t b) y if t 2 [b; b + 1] :
Then (a) = x0 , (b + 1) = y. Since ([a; b + 1]) = ' ([a; b]) [ ([b; b + 1])
and ([b; b + 1]) is the segment joining x with y, which is contained in B (x; r),
we have that ([a; b + 1]) is contained in O. Hence, B (x; r) U . This shows
that U is open.
To prove that V is open, let x 2 V . Since O is open, there exists B (x; r) O.
Let’s show that B (x; r) V . Indeed, let y 2 B (x; r). Assume by contradiction
that y 2 U . Then there exists a polygonal path ' : [a; b] ! RN such that ' (a) =
x0 , ' (b) = y and ' ([a; b]) O. De…ne the polygonal path : [a; b + 1] ! RN
as follows
' (t) if t 2 [a; b] ;
(t) :=
y + (t b) x if t 2 [b; b + 1] :
Then (a) = x0 , (b + 1) = x and ([a; b + 1]) is contained in O, which shows
that x 2 U , which is a contradiction. Hence, B (x; r) V . This shows that V
is open.
Hence, U and V are open and by their de…nition they are disjoint and
O = U [ V . Moreover, U is nonempty, since x0 2 U . Thus, V must be
empty, otherwise O would be disconnected. Hence, O = U . It follows that
U is pathwise connected. Indeed, if x; y 2 O then there exist two polygonal
paths ' : [a; b] ! RN and : [c; d] ! RN such that ' (a) = x0 , ' (b) = x and
' ([a; b]) O, and (c) = x0 , (d) = y and ([c; d]) O. By “gluing” these
two polygonal paths appropriately, we can construct a polygonal path joining x
and y with range contained in O.
Exercise 29 Prove that the set R2 n Q2 is connected.
Exercise 30 Let E1 ; E2 RN be two connected sets. Prove that if there exists

x 2 E1 \ E2 , then E1 [ E2 is connected.
11
Friday, January 27, 2012
Next we show that if a set is not connected, we can decompose it uniquely
into a disjoint union of maximal connected subsets.
Proposition 31 Let E RN . Assume that

[
E= E ;
2
T
where each E is a connected set. If 2 E is nonempty, then E is connected.
Proof. We claim that E is connected. If not, then there exist two nonempty
open sets U; V RN such that
E U [ V; E \ U 6= ;; E \ V 6= ;; E \ U \ V = ;:
Since each E is connected, we must have that either E U or E V.

On the other hand, if 6= , then E \ E is nonempty, while E \ U \ V is
empty. Thus, all E either belong to U or to V . This contradicts the fact that
E \ U 6= ; and that E \ V 6= ;.
Let E RN . For every x 2 E, let Ex be the union of all the connected
subsets of E that contain x. Note that Ex is nonempty, since fxg is a connected
subset. In view of the previous proposition, the set Ex is connected. Moreover,
if x; y 2 E and x 6= y, then either Ex \ Ey = ; or Ex = Ey . Indeed, if not, then
again by the previous proposition the set Ex [Ey would be connected, contained
in E, and would contain x and y, which would contradict the de…nition of Ex
and of Ey . Thus, we can partition E into a disjoint union of maximal connected
subsets, called the connected components of E.
Exercise 32 Let C RN be a closed set. Then the connected components of

C are closed.
Exercise 33 Prove that if U RN is open, then the connected components of

U are open.
Example 34 In a metric space the connected components of an open set need

not be open. Consider the space X = f0g [ n1 : n 2 N with the metric
d (x; y) := jx yj. We claim that the connected component X0 containing 0
is the singleton f0g. Note that this is not open, since any ball B (0; r) con-
tains all n1 for n > 1r . To prove the claim, assume by contradiction that X0
1
contains other element of X, say, m 2 X0 . Consider an irrational number
1 1
m+1 < r < m and consider the open sets U = ( 1; r) \ X and V = (r; 1) \ X.
They disconnect X0 , which is a contradiction.
Next we prove the following theorem.
Theorem 35 Let U RN be open and let f : U ! R be such that for all

@f
x 2 U and all i = 1; : : : ; N there exists @x i
(x) = 0. Then f is constant in each
connected component of U .
12
The proof makes use of the mean value theorem.
Theorem 36 (Mean Value Theorem) Let x; y 2 RN , with x 6= y, let S be

the segment of endpoints x and y, that is,
S = ftx + (1 t) y : t 2 [0; 1]g ;
and let f : S ! R be such that f is continuous in S and there exists the

@f
directional derivative @v (z) for all z 2 S except at most x and y, where v :=
x y
kx yk . Then there exists 2 (0; 1) such that
@f
f (x) f (y) = ( x + (1 ) y) kx yk : (6)
@v
Lemma 37 Under the hypotheses of the previous theorem, the function g (t) :=
f (tx + (1 t) y), t 2 [0; 1], is di¤ erentiable for all t 2 (0; 1), with
@f
g 0 (t) = (tx + (1 t) y) kx yk :
@v
Proof. Fix t0 2 (0; 1) and consider
g (t) g (t0 ) f (tx + (1 t) y) f (t0 x + (1 t0 ) y)

=
t t0 t t0
f t0 x + (1 t0 ) y+ (t t0 ) kx yk kxx y
yk f (t0 x + (1 t0 ) y)
= kx yk
(t t0 ) kx yk
f (t0 x + (1 t0 ) y+sv) f (t0 x + (1 t0 ) y)
= kx yk ;
s
where s := (t t0 ) kx yk. Since s ! 0 as t ! t0 , it follows that there exists
g (t) g (t0 ) f (t0 x + (1 t0 ) y+sv) f (t0 x + (1 t0 ) y)

g 0 (t0 ) = lim = lim kx yk
t!t0 t t0 s!0 s
@f
= (t0 x + (1 t0 ) y) kx yk :
@v
Proof of the Mean Value Theorem. Consider the function g (t) := f (tx + (1 t) y),
t 2 [0; 1]. Since compositions of continuous functions is continuous, we have that
g is continuous. By the previous lemma, we are in a position to apply the mean
value theorem to the function g to …nd 2 [0; 1] such that
dg
g (1) g (0) = ( ) (1 0) ;
dt
that is,
@f
f (x) f (y) = ( x + (1 ) y) kx yk :
@v
13
Remark 38 If f is de…ned on a larger domain E and all points of S except at
most x and y are interior points of E, then by (1), we have that
XN
@f @f (xi yi )
( x + (1 ) y) = ( x + (1 ) y) ;
@v i=i
@xi kx yk
and so we can rewrite (6) in the form
XN
@f
f (x) f (y) = ( x + (1 ) y) (xi yi ) :
i=i
@xi
We now turn to the proof of Theorem 35.

Proof of Theorem 35. Since all the partial derivatives are zero, in particular
they are continuous. It follows from Theorem 16 that f is di¤erentiable for all
x 2 U.
Step 1: Let x 2 U . Since U is open, there exists B (x; r) U . We claim that
f is constant in B (x; r). Fix y 2 B (x; r). By the mean value theorem and
Remark 38, there exists 2 (0; 1) such that
XN
@f
f (x) f (y) = ( x + (1 ) y) (xi yi ) = 0:
i=i
@xi
This proves the claim.

Step 2: Let U be a connected component of U . By the previous exercise, U
is open. Next …x x0 2 U , let c := f (x0 ), and de…ne the set
A := fx 2 U : f (x) = cg :
We claim that A is open. Indeed, if x 2 A, then by the previous step there exists
B (x; r) U such that f is constant in B (x; r). Hence, f = c in B (x; r), which
implies that B (x; r) A. Thus every point of A is an interior point and so A
is open. Moreover, A is nonempty since x0 2 A. Next consider the set
1
A1 = fx 2 U : f (x) 6= cg = f (( 1; c) [ (c; 1)) :
Since ( 1; c) [ (c; 1) is open, f is continuous, and U is open, we have that

f 1 (( 1; c) [ (c; 1)) is open. Thus, we can write
U = A [ A1 ;
where A and A1 are open and disjoint. Since A is nonempty and U is connected,
necessarily A1 must be empty, since otherwise we would negate the fact that
U is connected. Hence, U = A, that is, f (x) = c for all x 2 U .
Monday, January 30, 2012
14
2 Higher Order Derivatives
Let E RN , let f : E ! R and let x0 2 E. Let i 2 f1; : : : ; N g and assume
@f
that there exists the partial derivatives @x i
(x) for all x 2 E. If j 2 f1; : : : ; N g
and x0 is an accumulation point of E \ L, where L is the line through x0 in
@f
the direction ej , then we can consider the partial derivative of the function @x i
with respect to xj , that is,
@ @f @2f
=: :
@xj @xi @xj @xi
Note that in general the order in which we take derivatives is important.
Example 39 Let
y 2 arctan xy if y 6= 0;
f (x; y) :=
0 if y = 0:
If y 6= 0, then
@f @ x 1 @ x
(x; y) = y 2 arctan = y2 2
@x @x y x @x y
1+ y
y3
= ;
x2 + y2
and
@f @ x x 1 @ x
(x; y) = y 2 arctan = 2y arctan + y2 2
@y @y y y x @y y
1+ y
x xy 2
= 2y arctan ;
y x2 + y 2
while at points (x0 ; 0) we have:
@f f (x0 + t; 0) f (x0 ; 0) 0 0
(x0 ; 0) = lim = lim = 0;
@x t!0 t t!0 t
@f f (x0 ; 0 + t) f (x0 ; 0) t arctan xt0
2
0
(x0 ; 0) = lim = lim
@y t!0 t t!0 t
x0
= lim t arctan = 0;
t!0 t
where we have used the fact that arctan xt0 is bounded and t ! 0. Thus,
( (
y3 2
@f 2 2 if y =
6 0; @f 2y arctan xy x2xy
+y 2 if y 6= 0;
(x; y) = x +y (x; y) =
@x 0 if y = 0; @y 0 if y = 0:
15
@2f
To …nd @y@x (0; 0), we calculate
@f @f
@2f @ @f @x (0; 0 + t) @x (0; 0)
(0; 0) = (0; 0) = lim
@y@x @y @x t!0 t
t3
0+t2 0
= lim = lim 1 = 1;
t!0 t t!0
while
@f @f
@2f @ @f @y (0 + t; 0) @y (0; 0)
(0; 0) = (0; 0) = lim
@x@y @x @y t!0 t
0 0
= lim = lim 0 = 0:
t!0 t t!0
@2f @2f
Hence, @x@y (0; 0) 6= @y@x (0; 0).
Exercise 40 Let
(
x3 y xy 3
x2 +y 2 if (x; y) 6= (0; 0) ;
f (x; y) :=
0 if (x; y) = (0; 0) :
@2f @2f
Prove that @x@y (0; 0) 6= @y@x (0; 0).
We present an improved version of the Schwartz theorem.
Theorem 41 (Schwartz) Let E RN , let f : E ! R, let x0 2 E , and let

i; j 2 f1; : : : ; N g. Assume that there exists r > 0 such that B (x0 ; r) E and for
2
@f @f
all x 2 B (x0 ; r), the partial derivatives @x i
(x), @xj
(x), and @x@j @x
f
i
(x) exist.
@2f @2f
Assume also that @xj @xi is continuous at x0 . Then there exists @xi @xj (x0 ) and
@2f @2f
(x0 ) = (x0 ) :
@xi @xj @xj @xi
Lemma 42 Let A : (( r; r) n f0g) (( r; r) n f0g) ! R. Assume that the

double limit lim(s;t)!(0;0) A (s; t) exists in R and that the limit limt!0 A (s; t)
exists in R for all s 2 ( r; r)nf0g. Then the iterated limit lims!0 limt!0 A (s; t)
exists and
lim lim A (s; t) = lim A (s; t) :
s!0 t!0 (s;t)!(0;0)
Proof. Let ` = lim(s;t)!(0;0) A (s; t). Then for every " > 0 there exists =
((0; 0) ; ") > 0 such that
jA (s; t) `j "
q
2 2
for all (s; t) 2 (( r; r) n f0g) (( r; r) n f0g), with js 0j + jt 0j .
16
Fix s 2 2; 2 n f0g. Then for all t 2 2; 2 n f0g,
jA (s; t) `j "
and so letting t ! 0 in the previous inequality (and using the fact that the limit
limt!0 A (s; t) exists), we get
lim A (s; t) ` "

t!0
for all s 2 2 ; 2 nf0g. But this implies that there exists lims!0 limt!0 A (s; t) =
`.
Proof of Theorem 41. Step 1: Assume that N = 2. Let jtj ; jsj < pr2 . Then
the points (x0 + s; y0 ), (x0 + s; y0 + t), and (x0 ; y0 + t) belong to B ((x0 ; y0 ) ; r).
De…ne
f (x0 + s; y0 + t) f (x0 + s; y0 ) f (x0 ; y0 + t) + f (x0 ; y0 )
A (s; t) := ;
st
g (x) := f (x; y0 + t) f (x; y0 ) :
By the mean value theorem

@f @f
g (x0 + s) g (x0 ) g0 ( ) @x ( t ; y0 + t) @x ( t ; y0 )
A (s; t) = = =
st t t
where is between x0 and x0 + t. Fix t and consider the function
@f
h (y) := ( t ; y) :
@x
By the mean value theorem,
@2f
h (b) h (a) = h0 (c) (b a) = ( t ; c) (b a)
@y@x
for some c between a and b. Taking b = t and a = 0, we get
@f @f @2f
( t ; y0 + t) ( t ; y0 ) = ( t; t) t
@x @x @y@x
where t is between y0 and y0 + t. Hence,
@2f @2f
A (s; t) = ( t; t) ! (x0 ; y0 ) ;
@y@x @y@x
where we have used the fact that ( ; ) ! (x0 ; y0 ) as (s; t) ! (0; 0) together
@2f
with the continuity of @y@x at (x0 ; y0 ). Note that this shows that there exists
the limit
@2f
lim A (s; t) = (x0 ; y0 ) :
(s;t)!(0;0) @y@x
17
On the other hand, for all s 6= 0,
1 f (x0 + s; y0 + t) f (x0 + s; y0 ) f (x0 ; y0 + t) f (x0 ; y0 )

lim A (s; t) = lim
t!0 s t!0 t t
@f @f
@y (x0 + s; y0 ) @y (x0 ; y0 )
= :
s
Hence, we are in a position to apply the previous lemma to obtain
@2f
(x0 ; y0 ) = lim A (s; t) = lim lim A (s; t)
@y@x (s;t)!(0;0) s!0 t!0
@f @f
@y (x0 + s; y0 ) @y (x0 ; y0 ) @2f
= lim = (x0 ; y0 ) :
s!0 s @x@y
Step 2: In the case N 2 let x = (x1 ; : : : ; xN ), x0 = (c1 ; : : : ; cN ). Assume

that 1 < i < j < N (the cases i = 1 and j = N are similar) and apply Step 1
to the function of two variables
F (xi ; xj ) := f (c1 ; : : : ; ci 1 ; xi ; ci+1 ; : : : ; cj 1 ; xj ; cj+1 ; : : : ; cN )
Wednesday, February 1, 2012

Next we prove Taylor’s formula in higher dimensions. We set N0 := N [ f0g.
N
A multi-index is a vector = ( 1 ; : : : ; N ) 2 (N0 ) . The length of a multi-
index is de…ned as
j j := 1 + + N:
@
Given a multi-index , the partial derivative @x is de…ned as
@ @j j
:= ;
@x @x1 1 @xNN
@0f
where x = (x1 ; : : : ; xN ). If = 0, we set @x0 := f .
Example 43 If N = 3 and = (2; 1; 0), then
@ (2;1;0) @3
= :
@ (x; y; z)
(2;1;0) @x2 @y
Given a multi-index and x 2 RN , we set
! := 1! N !; x := x1 1 xNN :
If = 0, we set x0 := 1.
Using this notation, we can extend the binomial theorem.
18
Theorem 44 (Multinomial Theorem) Let x = (x1 ; : : : ; xN ) 2 RN and let
n 2 N. Then
n
X n!
(x1 + + xN ) = x :
!
m ulti-in dex, j j=n
Proof. Exercise.
Given an open set U RN , for every nonnegative integer m 2 N0 , we
m
denote by C (U ) the space of all functions that are continuous together with
T
1
their partial derivatives up to order m. We set C 1 (U ) := C m (U ).
m=0
Theorem 45 (Taylor’s Formula) Let U RN be an open set, let f 2 C m (U ),

m 2 N, and let x0 2 U . Then for every x 2 U ,
X 1 @ f
f (x) = (x0 ) (x x0 ) + Rm (x) ;
! @x
m ulti-in dex, 0 j j m
where
Rm (x)
lim m = 0:
x!x0 kx x0 k
Proof. Step 1: Since x0 2 U and U is open, there exists B (x0 ; r) U . We

prove Taylor’s formula with Lagrange’s reminder, that is,
X 1 @ f X 1 @ f
f (x) = (x0 ) (x x0 ) + (x0 + c (x x0 )) (x x0 ) ;
! @x ! @x
0 j j<m j j=m
(7)
for all x 2 B (x0 ; r) and where c 2 (0; 1). Fix x 2 B (x0 ; r), let h := x x0 and
consider the function g (t) := f (x0 + th) de…ned for t 2 [0; 1]. By Lemma 37
and Remark 38, we have that
N
X @f
dg
(t) = (x0 + th) hi = (h r) f (x0 + th)
dt i=1
@xi
with for all t 2 [0; 1]. By repeated applications of Lemma 37 and Remark 38,
we get that
d(n) g n
(t) = (h r) f (x0 + th)
dtn
n
for all n = 1; : : : ; m, where (h r) means that we apply the operator
@ @
h r = h1 + + hN
@x1 @xN
19
n times to f . By the multinomial theorem, and the fact that for functions in
C m partial derivatives commute,
n
n @ @
(h r) = h1 + + hN
@x1 @xN
X n! @
= h ;
! @x
multi-index, j j=n
and so
d(n) g X n! @ f
(t) = h (x0 + th) :
dtn ! @x
multi-index, j j=n
Friday, February 03, 2012

Proof. Using Taylor’s formula for g, we get
m
X1 1 d(n) g n 1 d(m) g m
g (1) = g (0) + (0) (1 0) + (c) (1 0)
n=1
n! dtn m! dtm
for some c 2 (0; 1). Substituting, we obtain

X 1 @ f X 1 @ f
f (x0 + h) = (x0 ) h + (x0 + ch) h : (8)
! @x ! @x
0 j j=m 1 j j=m
P 1 @ f
Step 2: We add and subtract j j=m ! @x (x0 ) (x x0 ) in (7), to get
X 1 @ f
f (x) = (x0 ) (x x0 )
! @x
0 j j m
X 1 @ f @ f
+ (x x0 ) (x0 + c (x x0 )) (x0 ) ;
! @x @x
j j=m
and set
X 1 @ f @ f
Rm (x) := (x x0 ) (x0 + c (x x0 )) (x0 ) :
! @x @x
j j=m
Fix " > 0 and …nd = (x0 ; ") > 0 such that
@ f @ f
(x) (x0 ) "
@x @x
for all j j = m and all x 2 U with kx x0 k . Then, since (x x0 )
m
kx x0 k , we have that
jRm (x)j X 1 @ f @ f
m (x0 + c (x x0 )) (x0 )
kx x0 k ! @x @x
j j=m
X 1
" ;
!
j j=m
20
Rm (x)
which shows that limx!x0 kx x0 km = 0.
Example 46 Let’s calculate the limit
y
(1 + x) 1
lim p :
(x;y)!(0;0) x2 + y 2
By substituting we get 00 . Consider the function
y y
f (x; y) = (1 + x) 1 = elog(1+x) 1 = ey log(1+x) 1;
which is de…ned in the set U := (x; y) 2 R2 : 1 + x > 0 . The function f is of
class C 1 . Let’s use Taylor’s formula of order m = 1 at (0; 0),
@f @f p
f (x; y) = f (0; 0) + (0; 0) (x 0) + (0; 0) (y 0) + o x2 + y 2 :
@x @y
We have
@f @ 1
(x; y) = ey log(1+x) 1 = ey log(1+x) y ;
@x @x 1+x
@f @
(x; y) = ey log(1+x) 1 = ey log(1+x) y log (1 + x) ;
@y @y
and so p
f (x; y) = 0 + 0 (x 0) + 0 (y 0) + o x2 + y 2 ;
which means that
p
(1 + x)
y
1 o x2 + y 2
lim p = lim p = 0:
(x;y)!(0;0) x2 + y 2 (x;y)!(0;0) x2 + y 2
Note that if we had to calculate the limit
y
(1 + x) 1
lim 2 2
;
(x;y)!(0;0) x +y
then we would need Taylor’s formula of order m = 2 at (0; 0),
@f @f
f (x; y) = f (0; 0) + (0; 0) (x 0) + (0; 0) (y 0)
@x @y
1 @2f 2 1 @2f
+ (0; 0) (x 0) + (0; 0) (x 0) (y 0)
(2; 0)! @x2 (1; 1)! @x@y
1 @2f 2
+ (0; 0) (y 0) + o x2 + y 2 :
(0; 2)! @y 2
Another simpler method would be to use the Taylor’s formulas for et and log (1 + s).
Exercise 47 Calculate the limit
1 cos [(x 2) y]
lim h i:
(x;y)!(2;0) 2
log 1 + (x 2) + y 2
21
3 Local Minima and Maxima
De…nition 48 Let f : E ! R, where E RN , and let x0 2 E. We say that
(i) f attains a local minimum at x0 if there exists r > 0 such that f (x)
f (x0 ) for all x 2 E \ B (x0 ; r),
(ii) f attains a global minimum at x0 if f (x) f (x0 ) for all x 2 E,
(iii) f attains a local maximum at x0 if there exists r > 0 such that f (x)
f (x0 ) for all x 2 E \ B (x0 ; r),
(iv) f attains a global maximum at x0 if f (x) f (x0 ) for all x 2 E.
Theorem 49 Let f : E ! R, where E RN . Assume that f attains a local
minimum (or maximum) at some point x0 2 E. If there exists a direction v
and > 0 such that the set
fx0 + tv : t 2 ( ; )g E (9)
@f @f
and if there exists @v(x0 ), then necessarily, (x0 ) = 0. In particular, if x0 is
@v
an interior point of E and f is di¤ erentiable at x0 , then all partial derivatives
and directional derivatives of f at x0 are zero.
Proof. Exercise.
Remark 50 In view of the previous theorem, when looking for local minima
and maxima, we have to search among the following:
Interior points at which f is di¤ erentiable and rf (x) = 0, these are
called critical points. Note that if rf (x0 ) = 0, the function f may not
attain a local minimum or maximum at x0 . Indeed, consider the function
f (x) = x3 . Then f 0 (0) = 0, but f is strictly increasing, and so f does
not attain a local minimum or maximum at 0.
Interior points at which f is not di¤ erentiable. The function f (x) = jxj
attains a global minimum at x = 0, but f is not di¤ erentiable at x = 0.
Boundary points.
To …nd su¢ cient conditions for a critical point to be a point of local minimum
or local maximu, we study the second order derivatives of f .
De…nition 51 Let f : E ! R, where E RN , and let x0 2 E. The Hessian
matrix of f at x0 is the N N matrix
0 @2f @2f
1
@x2
(x0 ) @xN @x1 (x0 )
B . 1 .. C
Hf (x0 ) : = B
@ .. .
C
A
@2f @2f
@x1 @xN (x0 ) @x2N
(x0 )
N
@2f
= (x0 ) ;
@xi @xj i;j=1
whenever it is de…ned.
22
Remark 52 If the hypotheses of Schwartz’s theorem are satis…ed for all i; j =
1; : : : ; N , then
@2f @2f
(x0 ) = (x0 ) ;
@xi @xj @xj @xi
which means that the Hessian matrix Hf (x0 ) is symmetric.
Given an N N matrix H, the characteristic polynomial of H is the poly-

nomial
p (t) := det (tIN H) ; t 2 R:
Theorem 53 Let H be an N N matrix. If H is symmetric, then all roots of

the characteristic polynomial are real.
Theorem 54 Given a polynomial of the form
p (t) = tN + aN 1t
N 1
+ aN 2t
N 2
+ + a1 t + a0 ; t 2 R;
where the coe¢ cients ai are real for every i = 0; : : : ; N 1, assume that all roots
of p are real. Then
(i) all roots of p are positive if and only if the coe¢ cients alternate sign, that
is, aN 1 < 0, aN 2 > 0, aN 3 < 0, etc.
(ii) all roots of p are negative if and only ai > 0 for every i = 0; : : : ; N 1.
Monday, February 06, 2012
Proof of Theorem 53. We begin by observing that if x and y 2 RN , then

(Hx) y = x (Hy). Indeed, we have
0 1 !
N
X XN N
X N
X
(Hx) y = @ Hij xj A yi = xj Hji yi = x (Hy) :
i=1 j=1 j=1 i=1
Step 1: We claim that there cannot be more than N distinct eigenvalues. To

see this it is enough to show that if x and y are eigenvectors corresponding to
di¤erent eigenvalues and , then x and y are orthogonal. Indeed, we have
(x y) = ( x) y = (Hx) y = x (Hy) = x ( y) = (x y) ;
and so
( ) (x y) = 0:
Since 6= , it follows that x y = 0.
Step 2: We prove the existence of one real eigenvalue 1. Consider the function
PN PN
(Hx) x j=1 i=1 Hij xi xj
f (x) := 2 = 2
kxk x1 + + x2N
23
(Hx) x
de…ned for all x 2 RN , x 6= 0. The expression kxk2
is called the Rayleigh
quotient. Note that f is of class C 1 and that
PN PN PN PN
@f x21 + + x2N j=1 i=1 Hij ( i;k xj + xi j;k ) j=1 i=1 Hij xi xj 2xk
(x) = 2
@xk (x21 + + x2N )
PN PN PN PN
x21 + + x2N j=1 Hkj xj + i=1 Hik xi j=1 i=1 Hij xi xj 2xk
= 2
(x21 + + x2N )
(10)
PN PN PN
2 x21 + + x2N j=1 Hkj xj j=1 i=1 Hij xi xj 2xk
= 2
(x21 + + x2N )
(Hx)k (Hx) x
=2 2 2 4 xk
kxk kxk
for all k = 1; : : : ; N , where in the third equality we have used the fact that H
is symmetric.
Since f is a continuous function and @B (0; 1) is compact, by the Weierstrass
theorem, there exists
max f (x) = f (x1 ) :
x2@B(0;1)
x
Hence, f (x) f (x1 ) for all x 2 @B (0; 1). If now x 2 RN , x 6= 0, then kxk
belongs to @B (0; 1), and so
x
f (x) = f f (x1 ) ;
kxk
where we have used the fact that f (tx) = f (x) for t > 0. This shows that x1
is a point of absolute maximum for f in RN n f0g. Since x1 is an interior point
and f is of class C 1 , it follows from Theorem 49 that x1 is a critical point of
f , that is,
rf (x1 ) = 0
for all k = 1; : : : ; N . It follows by (10) and the fact that kx1 k = 1 that
Hx1 ((Hx1 ) x1 ) x1 = 0;
or, equivalently, that

Hx1 = 1 x1 ;
where
1 := (Hx1 ) x1 :
This shows that 1 is a real eigenvalue of H and x1 is the corresponding eigen-
vector. Note that
1 = f (x1 ) = max f(Hx) x : kxk = 1g :
24
Step 3: Let 1 n N 1 and assume by induction that real eigenvalues
1 ,. . . , n of H have been found with corresponding orthonormal eigenvectors
x1 ,. . . , xn . Note that the eigenvalues may not be distinct, but xi xj = i;j for
all i; j = 1; : : : ; n. Consider the set
Y := x 2 RN : x xi = 0 for all i = 1; : : : ; n :
Note that Y is a subspace of RN of dimension N k. Since Y \ @B (0; 1) is

compact, by the Weierstrass theorem, there exists
max f (x) = f (xn+1 ) :

x2Y \@B(0;1)
Hence, f (x) f (xn+1 ) for all x 2 Y \ @B (0; 1). If now x 2 Y , x 6= 0, then

x
kxk belongs to Y \ @B (0; 1), and so
x
f (x) = f f (xn+1 ) ;
kxk
where we have used the fact that f (tx) = f (x) for t > 0. In particular, if v 2 Y
is a direction, the for every t 2 R,
f (xn+1 + tv) f (xn+1 ) ;
which shows that the function g (t) := f (xn+1 + tv) has a maximum at t = 0.
Hence,
@f
0 = g 0 (0) = (xn+1 ) :
@v
Using Theorems 16 and 10, we get that
rf (xn+1 ) v = 0
for all vectors v 2 Y of norm one, and, in turn, for all v 2 Y . By (10) and the
fact that kxn+1 k = 1 it follows that
2 (Hxn+1 ((Hxn+1 ) xn+1 ) xn+1 ) v = 0 (11)
for v 2 Y . On the other hand, Hxn+1 belongs to Y . Indeed, for all i = 1; : : : ; n
(Hxn+1 ) xi = xn+1 (Hxi ) = xn+1 ( i xi ) = i (xn+1 xi ) = 0;
where we have used the fact that xn+1 2 Y . Thus the vector rf (xn+1 ) =
2 (Hxn+1 ((Hxn+1 ) xn+1 ) xn+1 ) belongs to Y and so it is orthogonal to itself
by (11). It follows that
0 = rf (xn+1 ) = 2 (Hxn+1 ((Hxn+1 ) xn+1 ) xn+1 ) ;
so that
Hxn+1 = n+1 xn+1 ;
25
where n+1 := (Hxn+1 ) xn+1 . This proves that n+1 is an eigenvalue and
xn+1 a corresponding eigenvector. Note that n+1 may coincide with some of
the previous eigenvalues, but since xn+1 belongs to Y , xn+1 is distinct from all
the previous eigenvectors x1 ,. . . , xn . Moreover,
n+1 = f (xn+1 ) = max f(Hx) x : x 2 Y \ @B (0; 1)g :
This induction argument shows that there exist N distinct orthonormal

eigenvectors x1 ,. . . , xN . Thus, the eigenvectors form an orthonormal basis
in RN .
Step 4: Since for any t 2 R and i = 1; : : : ; N ,
(tIN H) xi = (t i ) xi ;
it follows that (see the following exercise),
det (tIN H) = (t 1) (t N) :
Exercise 55 Let H be an N N symmetric matrix and let x1 ,. . . , xN 2 RN be

orthonormal eigenvectors corresponding to eigenvalues 1 , . . . , N 2 R (possibly
repeated). Let A be the N N matrix whose columns are xT1 ,. . . , xTN .
(i) Prove that AT A = IN .
(ii) Prove that det A = 1.

T T
(iii) Prove that HA = 1 x1 N xN .
(iv) Prove that det H = 1 ::: N.

The next theorem gives necessary and su¢ cient conditions for a point to be
of local minimum or maximum.
Theorem 56 Let U RN be open, let f : U ! R be of class C 2 (U ) and let

x0 2 U be a critical point of f .
(i) If Hf (x0 ) is positive de…nite, then f attains a local minimum at x0 ,
(ii) if f attains a local minimum at x0 , then Hf (x0 ) is positive semide…nite,

(iii) if Hf (x0 ) is negative de…nite, then f attains a local maximum at x0 ,
(iv) if f attains a local maximum at x0 , then Hf (x0 ) is negative semide…nite.
26
Proof. (i) Assume that Hf (x0 ) is positive de…nite. Then by Remark ??,
N X
X N
@2f 2
(x0 ) vi vj m kvk (12)
j=1 i=1
@xj @xi
for all v 2 RN and for some m > 0.

We now apply Taylor’s formula of order two to obtain
X 1 @ f
f (x) = f (x0 ) + rf (x0 ) (x x0 ) + (x0 ) (x x0 ) + R2 (x)
! @x
j j=2
N X
X N
@2f
= f (x0 ) + 0 + (x0 ) (x x0 )i (x x0 )j + R2 (x) ;
j=1 i=1
@xj @xi
where we have used the fact that x0 is a critical point and where
R2 (x)
lim 2 = 0:
x!x0 kx x0 k
m
Using the de…nition of limit with " = 2, we can …nd > 0 such that
R2 (x) m
2 2
kx x0 k
for all x 2 E with kx x0 k . Using this property and (12), we get

!
2 2 R2 (x)
f (x) f (x0 ) + m kx x0 k + R2 (x) = f (x0 ) + kx x0 k m+ 2
kx x0 k
2 m 2 m
f (x0 ) + kx x0 k m = f (x0 ) + kx x0 k > f (x0 )
2 2
for all x 2 E with 0 < kx x0 k . This shows that f attains a (strict) local
minimum at x0 .
(ii) Since x0 2 U and U is open, there exists B (x0 ; r) U . Let v 2 RN and
consider the function
g (t) := f (x0 + tv) ; t 2 ( r; r) :
Since g (t) = f (x0 + tv) f (x0 ) = g (0) for all t 2 ( r; r), g attains a local
minimum at t = 0. By two applications of Lemma 37 and Remark 38, we have
that for t 2 ( r; r),
XN
@f
g 0 (t) = (x0 + tv) vi ;
i=1
@xi
N X
X N
@2f
g 00 (t) = (x0 + tv) vi vj :
j=1 i=1
@xj @xi
27
Hence, g 2 C 2 ( r; r), and so, since g attains a local minimum at t = 0,
N X
X N
@2f
0 g 00 (0) = (x0 ) vi vj :
j=1 i=1
@xj @xi
Since this is true for every direction v, it follows that Hf (x0 ) is positive semi-
de…nite.
Remark 57 Note that in view of the previous theorem, if at a critical point x0

the characteristic polynomial of Hf (x0 ) has one positive root and one negative
root, then f does not admit a local minimum or a local maximum at x0 .
Theorem 56 shows that if Hf (x0 ) is positive de…nite, then f admits a local

minimum at x0 . The following exercise shows that we cannot weakened this
hypothesis to Hf (x0 ) positive semide…nite.
Example 58 Let f (x; y) := x2 y 4 . Let’s …nd the critical points of f . We

have
@f @
(x; y) = x2 y 4 = 2x 0 = 0;
@x @x
@f @
(x; y) = x2 y4 = 0 4y 3 = 0:
@y @y
Hence, (0; 0) is the only critical point. Let’s …nd the Hessian matrix at these
points. Note that the function is of class C 1 , so we can apply Schwartz’s theo-
rem. We have
@2f @
(x; y) = (2x ) = 2;
@x2 @x
@2f @
(x; y) = 4y 3 = 12y 2 ;
@y 2 @y
@2f @
(x; y) = (2x) = 0:
@y@x @y
Hence,
2 0
Hf (0; 0) = ;
0 0
so that
1 0
0 = det Hf (0; 0)
0 1
2 0
= det =( 2) ( 0) 0
0 0
=( 2) ;
28
and so the roots are = 2 or = 0. Hence, at (0; 0) we cannot have a local
maximum. But it could be a local minimum. However, taking
f (0; y) = y4 ;
which has a strict maximum at y = 0. This shows that f does not admit a local
minimum or a local maximum at (0; 0).
4 Vector-Valued Functions
Since we will work with the di¤erent euclidean spaces, RM and RN , when needed
and to avoid confusion, we will denote by k kM and k kN the norms in RM and
RN , respectively. We recall that a function T : RN ! RM is linear if
T (x + y) = T (x) + T (y)
for all x; y 2 RN and
T (sx) = sT (x)
N
for all s 2 R and x 2 R .
De…nition 59 Let E RN , let f : E ! RM , and let x0 2 E be an accumu-
lation point of E. The function f is di¤erentiable at x0 if there exists a linear
function T : RN ! RM (depending on f and x0 ) such that
f (x) f (x0 ) T (x x0 )
lim = 0: (13)
x!x0 kx x0 kN
provided the limit exists. The function T , if it exists, is called the di¤erential of
f at x0 and is denoted df (x0 ) or dfx0 .
Theorem 60 Let E RN , let f : E ! RM , and let x0 2 E be an accumulation
point of E. Then f = (f1 ; : : : ; fM ) is di¤ erentiable at x0 if and only if all
its components fj , j = 1; : : : ; M , are di¤ erentiable at x0 . Moreover, dfx0 =
d (f1 )x0 ; : : : ; d (fM )x0 .
Proof. The proof relies on Exercise ?? and is left as an exercise.
We study the di¤erentiability of composite functions.
Theorem 61 (Chain Rule) Let F RM , E RN , let g : F ! E, g =
(g1 ; : : : ; gN ), and let f : E ! R. Assume that at some point y0 2 F there exist
the directional derivatives @g @gN
@v (y0 ), . . . , @v (y0 ) for some direction v and f is
1
di¤ erentiable at the point g (y0 ). Then the composite function f g admits a
directional derivative at y0 in the direction v and
X N
@ (f g) @gi
(y0 ) = dfg(y0 ) (ei ) (y0 ) :
@v i=1
@v
Moreover, if g is di¤ erentiable at y0 and f is di¤ erentiable at g (y0 ), then f g

is di¤ erentiable at y0 .
29
Proof. Set x0 := g (y0 ). Since f is di¤erentiable at x0 , we can write
f (x) = f (x0 ) + b (x x0 ) + R (x) ;
where b := dfg(y0 ) (e1 ) ; : : : ; dfg(y0 ) (eN ) and
R (x)
lim = 0: (14)
x!x0 kx x0 kN
Note that
R (x0 ) = 0:
Take x = g (y0 + tv). Then
f (g (y0 + tv)) = f (g (y0 )) + b (g (y0 + tv) g (y0 )) + R (g (y0 + tv)) ;
and so
(f g) (y0 + tv) (f g) (y0 ) f (g (y0 + tv)) f (g (y0 ))
= (15)
t t
g (y0 + tv) g (y0 ) R (g (y0 + tv))
=b + :
t t
We claim that
R (g (y0 + tv))
lim = 0:
t!0 t
If for some t, we have g (y0 + tv) = g (y0 ), then
R (g (y0 + tv)) = R (g (y0 )) = 0: (16)
On the other have, if g (y0 + tv) 6= g (y0 ), then
R (g (y0 + tv)) R (g (y0 + tv)) jtj g (y0 + tv) g (y0 )

= : (17)
t kg (y0 + tv) g (y0 )kN t t N
Since each function gi admits a …nite directional derivative at y0 , it follows that

g (y0 + tv) ! g (y0 ) as t ! 0 (why?). Hence, by (14)
R (g (y0 + tv))
lim = 0; (18)
t!0 kg (y0 + tv) g (y0 )kN
where the limit is taken over all t such that g (y0 + tv) 6= g (y0 ). On the other
hand, since g(y0 +tv)
t
g(y0 ) @g
! @v (y0 ), and jtj
t is bounded by one, we have that
jtj g(y0 +tv) g(y0 )
t t is bounded, which, together with (17) and (14), implies
N
that
R (g (y0 + tv))
lim =0
t!0t
where the limit is taken over all t such that g (y0 + tv) 6= g (y0 ) (here we are
using the fact that if a function is bounded and another function goes to zero,
30
then their product goes to zero). Together with (16), this implies that the claim
holds.
Using the claim, it follows that
(f g) (y0 + tv) (f g) (y0 ) g (y0 + tv) g (y0 ) R (g (y0 + tv))
=b +
t t t
@g
!b (y0 ) + 0;
@v
which proves the …rst part of the statement.
The second part of the statement is left as an exercise.
Remark 62 If x0 2 E , then
X @f N
@ (f g) @gi
(y0 ) = (g (y0 )) (y0 )
@v i=1
@xi @v
@g
= rf (g (y0 )) (y0 ) :
@v
Exercise 63 Prove the second part of the theorem.
Example 64 Consider the functions f : R2 ! R and g : R2 ! R2 de…ned by
f (x1 ; x2 ) = x1 x2 1; g (y1 ; y2 ) = (y1 y2 ey1 ; y1 sin (y1 y2 )) :
Then
@f @f
(x1 ; x2 ) = 1x2 0; (x1 ; x2 ) = x1 1 0;
@x1 @x2
@g1 @g1
(y1 ; y2 ) = 1y2 ey1 ; (y1 ; y2 ) = y1 1 0;
@y1 @y2
@g2 @g2
(y1 ; y2 ) = 1 sin (y1 y2 ) + y1 cos (y1 y2 ) (1y2 ) ; (y1 ; y2 ) = y1 cos (y1 y2 ) (y1 1) :
@y1 @y2
First method: Consider the composition
(f g) (y1 ; y2 ) = f (g1 (y1 ; y2 ) ; g2 (y1 ; y2 )) :
Then by the chain rule,

@ (f g) @f @g1 @f @g2
(y1 ; y2 ) = (g1 (y1 ; y2 ) ; g2 (y1 ; y2 )) (y1 ; y2 ) + (g1 (y1 ; y2 ) ; g2 (y1 ; y2 )) (y1 ; y2 )
@y1 @x1 @y1 @x2 @y1
= y1 sin (y1 y2 ) (1y2 ey1 ) + (y1 y2 ey1 ) (1 sin (y1 y2 ) + y1 cos (y1 y2 ) (1y2 )) ;
while
@ (f g) @f @g1 @f @g2
(y1 ; y2 ) = (g1 (y1 ; y2 ) ; g2 (y1 ; y2 )) (y1 ; y2 ) + (g1 (y1 ; y2 ) ; g2 (y1 ; y2 )) (y1 ; y2 )
@y2 @x1 @y2 @x2 @y2
= y1 sin (y1 y2 ) (y1 1 0) + (y1 y2 ey1 ) (y1 cos (y1 y2 ) (y1 1)) :
31
Second method: Write the explicit formula for (f g), that is,
(f g) (y1 ; y2 ) = f (g1 (y1 ; y2 ) ; g2 (y1 ; y2 ))
= (y1 y2 ey1 ) (y1 sin (y1 y2 )) 1:
Then
@ (f g) @
(y1 ; y2 ) = [(y1 y2 ey1 ) (y1 sin (y1 y2 )) 1]
@y1 @y1
= (1y2 ey1 ) (y1 sin (y1 y2 )) + (y1 y2 ey1 ) (1 sin (y1 y2 ) + y1 cos (y1 y2 ) (1y2 )) 0
and
@ (f g) @
(y1 ; y2 ) = [(y1 y2 ey1 ) (y1 sin (y1 y2 )) 1]
@y2 @y2
= (y1 1 0) (y1 sin (y1 y2 )) + (y1 y2 ey1 ) (y1 cos (y1 y2 ) (y1 1)) 0:
Next we de…ne the Jacobian of a vectorial function f : E ! RM .
De…nition 65 Given a set E RN and a function f : E ! RM , the Jacobian
matrix of f = (f1 ; : : : ; fM ) at some point x0 2 E, whenever it exists, is the
M N matrix
0 1 0 @f1 @f1 1
rf1 (x0 ) @x1 (x0 ) @xN (x0 )
B .. C B .. .. C
Jf (x0 ) := @ . A=@ . . A:
@fM @fM
rfM (x0 ) @x1 (x0 ) @xN (x0 )
It is also denoted
@ (f1 ; : : : ; fM )
(x0 ) :
@ (x1 ; : : : ; xN )
When M = N , Jf (x0 ) is an N N square matrix and its determinant is called
the Jacobian determinant of f at x0 . Thus,
@fj
det Jf (x0 ) = det (x0 ) :
@xi i;j=1;:::;N
Remark 66 Let E RN , let f : E ! RM , and let x0 2 E . Assume that f is

di¤ erentiable at x0 . Then by Theorem 60 all its components fj , j = 1; : : : ; M ,
are di¤ erentiable at x0 with
dfx0 = d (f1 )x0 ; : : : ; d (fM )x0 :
Since x0 is an interior point, it follows from (2) that for every direction v,
N
X @fj
d (fj )x0 (v) = rfj (x0 ) v = (x0 ) vi :
i=1
@xi
Hence,
dfx0 (v) = d (f1 )x0 (v) ; : : : ; d (fM )x0 (v)
= Jf (x0 ) v:
32
As a corollary of Theorem 61, we have the following result.
Corollary 67 Let F RM , E RN , let g : F ! E, g = (g1 ; : : : ; gN ), and

P
let f : E ! R . Assume that g is di¤ erentiable at some point y0 2 F and that
f is di¤ erentiable at the point g (y0 ) and that g (y0 ) 2 E . Then the composite
function f g is di¤ erentiable at y0 and
Jf g (y0 ) = Jf (g (y0 )) Jg (x0 ) :
De…nition 68 Given an open set U RN and a function f : U ! RM , we say

that f is of class C m for some nonnegative integer m 2 N0 , if all its components
fi , i = 1; : : : ; M , are of class C m . The space of all functions f : U ! RM of
T
1
class C m is denoted C m U ; RM . We set C 1 U ; RM := C m U ; RM .
m=0
5 Implicit and Inverse Function

Given a function f of two variables (x; y) 2 R2 , consider the equation
f (x; y) = 0:
We want to solve for y, that is, we are interested in …nding a function y = g (x)
such that
f (x; g (x)) = 0:
We will see under which conditions we can do this. The result is going to be
local.
In what follows given x 2 RN and y 2 RM and f (x; y), we write
0 @f1 @f1 1
@x1 (x; y) @xN (x; y)
@f B C
(x; y) := @ ... ..
. A
@x @f @fM
M
@x1 (x; y) @xN (x; y)
and 0 1
@f1 @f1
@y1 (x; y) @yM (x; y)
@f B . .. C
(x; y) := B
@ .. .
C:
A
@y @f @fM
M
@y1 (x; y) @yM (x; y)
Theorem 69 (Implicit Function) Let U RN RM be open, let f : U !

M m
R , and let (a; b) 2 U . Assume that f 2 C (U ) for some m 2 N, that
@f
f (a; b) = 0 and det (a; b) 6= 0:
@y
33
Then there exists BN (a; r0 ) RN and BM (b; r1 ) RM such that BN (a; r0 )
BM (b; r1 ) U and for every x 2 BN (a; r0 ) there exists a unique y 2 BM (b; r1 )
such that f (x; y) = 0. Moreover the function
g : BN (a; r0 ) ! BM (b; r1 )
x 7! y
satis…es g (a) = b, belongs to C m (BN (a; r0 )) and

1
@g @f @f
(x) = (x; g (x)) (x; g (x)) :
@x @y @x
Proof. We present a proof in the case N = M = 1.
Step 1: Existence of g. Since @f
@y (a; b) 6= 0, without loss of generality, we can
@f @f
assume that @y (a; b) > 0 (the case @y (a; b) < 0 is similar). Using the fact that
@f
@y is continuous at (a; b), we can …nd r > 0 such that
R := [a r; a + r] [b r; b + r] U
and
@f
(x; y) > 0 for all (x; y) 2 R:
@y
Consider the function h (y) := f (a; y), y 2 [b r; b + r]. Since
@f
h0 (y) = (a; y) > 0 for all y 2 [b r; b + r] ;
@y
we have that h is strictly increasing. Using the fact that h (b) = f (a; b) = 0, it
follows that
0 > h (b r) = f (a; b r) ; 0 < h (b + r) = f (a; b + r) :
Consider the function k1 (x) := f (x; b r), x 2 [a r; a + r]. Since k1 (a) < 0
and k1 is continuous at a, there exists 0 < 1 < r such that
0 > k1 (x) = f (x; b r) for all x 2 (a 1; a + 1) :
Similarly, consider the function k2 (x) := f (x; b + r), x 2 [a r; a + r]. Since

k2 (a) > 0 and k2 is continuous at a, there exists 0 < 2 < r such that
0 < k2 (x) = f (x; b + r) for all x 2 (a 2; a + 2) :
Let := min f 1 ; 2 g. Then for all x 2 (a ; a + ),
f (x; b r) < 0; f (x; b + r) > 0:
Fix x 2 (a ; a + ) and consider the function k (y) := f (x; y), y 2 [b r; b + r].

Since
@f
k 0 (y) = (x; y) > 0 for all y 2 [b r; b + r] ;
@y
34
we have that k is strictly increasing. Using the fact that k (b r) = f (x; b r) <
0 and k (b + r) = f (x; b + r) > 0, it follows that there exists a unique y 2
(b r; b + r) (depending on x) such that 0 = k (y) = f (x; y).
Thus, we have shown that for every x 2 (a ; a + ) there exists a unique
y 2 (b r; b + r) depending on x such that f (x; y) = 0. We de…ne g (x) := y.
Step 2: Continuity of g. Fix x0 2 (a ; a + ). Note that b r < g (x0 ) <
b + r. Let " > 0 be so small that
b r < g (x0 ) " < g (x0 ) < g (x0 ) + " < b + r:
Consider the function j (y) := f (x0 ; y), y 2 [b r; b + r]. Since

@f
j 0 (y) = (x0 ; y) > 0 for all y 2 [b r; b + r] ;
@y
we have that j is strictly increasing. Using the fact that j (g (x0 )) = f (x0 ; g (x0 )) =
0, it follows that
f (x0 ; g (x0 ) ") < 0; f (x0 ; g (x0 ) + ") > 0:
Consider the function j1 (x) := f (x; g (x0 ) "), x 2 (a ; a + ). Since j1 (x0 ) <
0 and j1 is continuous at x0 , there exists 0 < 1 < such that
0 > j1 (x) = f (x; g (x0 ) ") for all x 2 (x0 1 ; x0 + 1) :
Similarly, consider the function j2 (x) := f (x; g (x0 ) + "), x 2 (a ; a + ).

Since j2 (x0 ) > 0 and j2 is continuous at x0 , there exists 0 < 2 < such that
0 < j2 (x) = f (x; g (x0 ) + ") for all x 2 (x0 2 ; x0 + 2) :
Let := min f 1 ; 2 g. Then for all x 2 (a ; a + ),
f (x; g (x0 ) ") < 0; f (x; g (x0 ) + ") > 0:
But f (x; g (x)) = 0 and y 2 [b r; b + r] 7! f (x; y) is strictly increasing. It

follows that
g (x0 ) " < g (x) < g (x0 ) + "
and so g is continuous at x0 .
Step 3: Di¤erentiability of g. Fix x0 2 (a ; a + ). Consider the segment
joining (x; g (x)) and (x0 ; g (x0 )),
S = ft (x; g (x)) + (1 t) (x0 ; g (x0 )) : t 2 [0; 1]g :
By the mean value theorem there exists 2 (0; 1) such that

@f
0 = f (x; g (x)) f (x0 ; g (x0 )) = ( x + (1 ) x0 ; g (x) + (1 ) g (x0 )) (x x0 )
@x
@f
+ ( x + (1 ) x0 ; g (x) + (1 ) g (x0 )) (g (x) g (x0 )) :
@y
35
Hence,
@f
g (x) g (x0 ) @x ( x + (1 ) x0 ; g (x) + (1 ) g (x0 ))
= @f
x x0 @y ( x + (1 ) x0 ; g (x) + (1 ) g (x0 ))
@f @f
letting x ! x0 and using the continuity of g and of @x and of @y , we get
@f
g (x) g (x0 ) @x (x0 ; g (x0 ))
lim = @f
x!x0 x x0 @y (x0 ; g (x0 ))
and so
@f
(x0 ; g (x0 ))
g 0 (x0 ) = @x
@f
:
@y (x0 ; g (x0 ))
Since the right-hand side is continuous, it follows that g 0 is continuous. Thus g
is of class C 1 .
@f
The next examples show that when det @y (a; b) = 0, then anything can
happen.
@f
Example 70 In all these examples N = M = 1 and @y (x0 ; y0 ) = 0.
(i) Consider the function

2
f (x; y) := (y x) :
@f
Then f (0; 0) = 0, @y (0; 0) = 0 and g (x) = x satis…es f (x; g (x)) = 0.
(ii) Consider the function

f (x; y) := x2 + y 2 :
Then f (0; 0) = 0, @f
@y (0; 0) = 0 but there is no function g de…ned near
x = 0 such that f (x; g (x)) = 0.
(iii) Consider the function
f (x; y) := (xy 1) x2 + y 2 :
@f
Then f (0; 0) = 0, @y (0; 0) = 0 but
0 if x = 0;
g (x) = 1
x if x =
6 0;
which is discontinuous.

Next we give some examples on how to apply the implicit function theorem.
36
Example 71 Consider the function
f (x; y) := xey y:
Then f (0; 0) = 0, @f@y (x; y) = xe

y
1 so that @f
@y (0; 0) = 1. By the implicit
function theorem there exist r > 0 and a function g 2 C 1 (( r; r)) such that
g (0) = 0 and f (x; g (x)) = 0. To …nd the behavior of g near x = 0, we can use
Taylor’s formula. Let’s …nd g 0 (0) and g 00 (0). We have
xeg(x) g (x) = 0:
Hence, di¤ erentiating twice
1eg(x) + xg 0 (x) eg(x) g 0 (x) = 0;

2
eg(x) g 0 (x) + g 0 (x) eg(x) + xg 00 (x) eg(x) + x (g 0 (x)) eg(x) g 00 (x) = 0:
Substituting x = 0 and using g (0) = 0 we get
1e0 + 0 g 0 (0) = 0;
e0 g 0 (0) + g 0 (0) e0 + 0 + 0 g 00 (0) = 0:
So that g 0 (0) = 1 and g 00 (0) = 2. Hence,

1 2 2
g (x) = g (0) + g 0 (0) (x 0) + g 00 (0) (x 0) + o (x 0)
2
1 2 2
= 0 + 1 (x 0) + 2 (x 0) + o (x 0) :
2
Example 72 Consider the function
f (x; y; z) = y cos (xz) x2 + 1; y sin (xz) x :
Let’s prove that there exist r > 0 and g : (1 r; 1 + r) ! R2 of class C 1 such

that g (1) = 1; 2 and f (x; g (x)) = 0. Note that f is of class C 1 . Here the
point is 1; 1; 2 and
f 1; 1; = 1 cos 1 1 + 1; 1 sin 1 1 = (0; 0) :

2 2 2
Moreover,
!
@f1 @f1
@f @y (x; y; z) @z (x; y; z)
(x; y; z) = @f2 @f1
@ (y; z) @y (x; y; z) @z (x; y; z)
!
@ @
@y y cos (xz) x2 + 1 @z y cos (xz) x2 + 1
= @ @
@y (y sin (xz) x) @z (y sin (xz) x)
1 cos (xz) 0 0 xy sin (xz) 0 0
=
1 sin (xz) 0 xy cos (xz) 0
37
and so
@f cos 1 2 1 sin 1 2
det 1; 1; = det = 1 6= 0:
@ (y; z) 2 sin 1 2 1 cos 1 2
Hence, by the implicit function theorem there exist r > 0 and g : (1 r; 1 + r) !

R2 of class C 1 such that g (1) = 1; 2 and f (x; g (x)) = 0 for all x 2
(1 r; 1 + r), that is,
g1 (x) cos (xg2 (x)) x2 + 1 = 0;

g1 (x) sin (xg2 (x)) x = 0:
Reasoning as before, we can use Taylor’s formula to …nd the behavior of g1 and
g2 near x = 1, that is,
g1 (x) = g1 (1) + g10 (1) (x 1) + o ((x 1)) ;

g2 (x) = g2 (1) + g20 (1) (x 1) + o ((x 1)) :
Let’s di¤ erentiate the two equations. We get

g10 (x) cos (xg2 (x)) g1 (x) (1g2 (x) + xg20 (x)) sin (xg2 (x)) 2x + 0 = 0;
g10 (x) sin (xg2 (x)) + g1 (x) (1g2 (x) + xg20 (x)) cos (xg2 (x)) 1 = 0:
Taking x = 1 and using the fact that g1 (1) = 1 and g2 (1) = 2, we obtain
g10 (1) cos 1 2 1 2 + 1g20 (1) sin 1 2 2 = 0;

g10 (1) sin 1 2 + 1 2 + 1g20 (1) cos 1 2 1 = 0;
that is,
0 1 2 + g20 (1) 1 2 = 0;
g10 (1) 1 + 0 1 = 0;
and so g10 (1) = 1 and g20 (1) = 2 2. Hence,
g1 (x) = 1 + 1 (x 1) + o ((x 1)) ;

g2 (x) = + 2 (x 1) + o ((x 1)) :
2 2
Next we prove the inverse function theorem.
Theorem 73 (Inverse Function) Let U RN be open, let f : U ! RN , and

let a 2 U . Assume that f 2 C m (U ) for some m 2 N and that
det Jf (a) 6= 0:
Then there exists B (a; r0 ) U such that f (B (a; r0 )) is open, the function
f : B (a; r0 ) ! f (B (a; r0 ))
1
is invertible and f 2 C m (f (B (a; r0 ))). Moreover,
1 1
Jf 1 (y) = Jf f (y) :
38
Proof. We apply the implicit function theorem to the function h : U RN !
RN de…ned by
h (x; y) := f (x) y:
Let b = f (a). Then h (a; b) = 0 and
@h
det (a; b) = det Jf (a) 6= 0:
@x
Hence, by the implicit function theorem there exists B (a; r0 ) RN and B (b; r1 )
RN such that B (a; r0 ) B (b; r1 ) U RN and a function g : B (b; r1 ) !
m
B (a; r0 ) of class C such that h (g (y) ; y) = 0 for all y 2 B (b; r1 ), that is,
f (g (y)) = y
1
for all y 2 B (b; r1 ). This implies that g = f . Moreover,
1
@g @h @h
(y) = (g (y) ; y) (g (y) ; y) ;
@yk @x @yk
that is,
@f 1 1 1
(y) = Jf f (y) ek :
@yk
The next exercise shows that di¤erentiability is not enough for the inverse
function theorem.
Exercise 74 Consider the function f : R2 ! R2 de…ned by
0 if x = 0;
f1 (x; y) =
x + 2x2 sin x1 if x =
6 0;
f2 (x; y) = y:
Prove that f = (f1 ; f2 ) is di¤ erentiable in (0; 0) and Jf (0; 0) = 1. Prove that f
is not one-to-one in any neighborhood of (0; 0).
The next exercise shows that the existence of a local inverse at every point
does not imply the existence of a global inverse.
f (x; y) = (ex cos y; ex sin y) :
Prove that det Jf (x; y) 6= 0 for all (x; y) 2 R2 but that f is not injective.

Next we give a second proof of the inverse function theorem, which has the
adavntage that it can be extended to the case in which RN is replaced by a
normed space.
39
Theorem 76 (Inverse Function) Let U RN be open, let f : U ! RN , and
@f
let a 2 U . Assume that f is continuous and that for all x 2 U there exist @xji ,
i; j = 1; : : : ; N , and that they are continuous at a. If
det Jf (a) 6= 0;
then there exist r0 > 0 and r1 > 0 such that the function
f : B (a; r0 ) ! f (B (a; r0 ))
is invertible, f (B (a; r0 )) is open, and f 1 : f (B (a; r0 )) ! B (a; r0 ) is Lipschitz

continuous in f (B (a; r0 )) and di¤ erentiable at f (a), with
1
Jf 1 (f (a)) = (Jf (a)) :
Proof. Step 1: Assume that a = 0, that f (0) =0, and that Jf (0) = IN , the
identity matrix. Write
f (x) = x + h (x) :
@hj
Then h(0) =0 and Jh (0) = 0N . Since @xi are continuous at 0, there exists
r0 > 0 such that B (0; r0 ) U and
1
kJh (x)k < for all x 2 B (0; r0 ):
2
By the mean value theorem (applied how?) for all x1 ; x2 2 B (0; r0 ) and j =
1; : : : ; N ,
XN
@hj
jhj (x1 ) hj (x2 )j kx1 x2 k (zi;j ) ;
i=1
@xi
where kzi;j x2 k kx1 x2 k, and so
kh (x1 ) h (x2 )k
v
u !2
uX N XN
u @hj 1
kx1 x2 k t (zi;j ) < kx1 x2 k :
j=1 i=1
@xi 2
This shows that h : B (0; r0 ) ! RN is a contraction. Moreover, since h (0) = 0,

kh (x)k 21 kxk for all x 2 B (0; r0 ).
Fix y 2 B 0; 12 r0 and consider the function
hy (x) := y h (x) :
Then hy is a contraction, and for all x 2 B (0; r0 ),
1 1 1
khy (x)k kh (x)k + kyk kxk + kyk r0 + r0 :
2 2 2
40
Thus, we can apply the Banach …xed point theorem to hy : B (0; r0 ) ! B (0; r0 )
to conclude that hy has a unique …xed point z 2 B (0; r0 ), that is,
y h (z) = hy (z) = z:
In turn,
f (z) = z + h (z) = y:
Hence, we proved that for every y 2 B 0; 12 r0 there exists a unique z 2
B (0; r0 ) such that f (z) = y. This means that we can de…ne f 1 : B 0; 12 r0 !
B (0; r0 ).
To prove that f 1 is continuous, let y1 ; y1 2 B 0; 12 r0 and de…ne x1 :=
f (y1 ) and x2 := f 1 (y1 ). Then
1
x1 +h (x1 ) = y1 ;
x2 +h (x2 ) = y2 ;
1
and since kh (x1 ) h (x2 )k 2 kx1 x2 k, we have
1
kx1 x2 k ky1 y2 k + kh (x1 ) h (x2 )k ky1 y2 k + kx1 x2 k ;
2
and so
1
kx1 x2 k ky1 y2 k ;
2
which shows that
1 1
f (y1 ) f (y2 ) 2 ky1 y2 k :
Thus, f 1 is Lipschitz continuous. Taking V = B 0; 21 r0 and U1 := B 0; 21 r0 \

f 1 B 0; 12 r0 , we have that f : U1 ! V is a homeomorphism.
To prove that f 1 is di¤erentiable at 0, let y 2 B 0; 12 r0 and de…ne x :=
1
f (y). Then
x + h (x) = y;
and so
1 1
f (y) = y h f (y) :
Since h is of class C 1 , h(0) =0 and Jh (0) = 0N , we have that h (z) = o (z). But
since f 1 is Lipschitz continuous, it follows that h f 1 (y) = o (y). Hence, f 1
is di¤erentiable at 0 with Jf 1 (0) = IN .
Step 2: Up to a translation we may assume that a = 0 and that f (0) =0.
Moreover, if T : RN ! RN is invertible, then to prove that f is locally invertible,
it is enough to prove that T f is locally invertible. Since det Jf (0) 6= 0, the
1
matrix Jf (0) is invertible. In turn the linear function T (y) = (Jf (0)) y is
invertible.
To extend the previous theorem to the case of normed spaces, we …rst need
to extend the mean value theorem to this setting. The proof relies on the
Hahn–Banach theorem.
41
Given two nonempty sets X; Y , a (binary) relation is a subset R X Y .
Usually, we associate a symbol to it, say , so that x y means that (x; y) 2 R.
A partial ordering on a nonempty set is a relation R X X, denoted ,
such that
(i) x x for every x 2 X; that is (x; x) 2 R (re‡exivity).

(ii) For all x; y 2 X, if x y and y x, then x = y; that is, if (x; y) 2 R and
(y; x) 2 R, then x = y (antisymmetry).
(iii) For all x; y; z 2 X, if x y and y z, then x z; that is, if (x; y) 2 R
and (y; z) 2 R, then (x; z) 2 R (transitivity).
The word “partial” means that given x; y 2 X, in general we cannot always

say that x y or y x.
Example 77 Let X = P (R) = fall subsets of Rg. Given E; F 2 X, we say

that E F if E F . Then is a partial ordering, but given the sets f1; 2; 3g
and f2; 3; 4g, one is not contained into the other.
Given a partially ordered set (X; ), a totally ordered set, or chain, E X

is a set with the property that for all x; y 2 X, either x y or y x (or both).
In the previous example E = ff1; 2; 3g ; f1; 2g ; f2gg is a chain.
Given a partially ordered set (X; ), and a set E X, an upper bound of
E is an element x 2 X such that y x for all y 2 E. A set E may not have
any upper bounds. A maximal element of E is an element x 2 E such that if
x y for some y 2 E, then x = y. A set E may not have maximal elements or
it may have maximal elements that are not upper bounds (it can happen that
a maximal element cannot be compared with all the elements of E).
Proposition 78 (Zorn’s lemma) Given a partially ordered set (X; ), if every

totally ordered subset of X has an upper bound, then X has a maximal element.
Theorem 79 (Hahn-Banach) Let X be a vector space and let f : X ! R

be convex. Let X1 X be a subspace of X and let L1 : X1 ! R be a linear
function such that
f (x) L1 (x)
for all x 2 X1 . Then there exists a linear extension L : X ! R of L1 such that
f (x) L (x) f ( x) for all x 2 X:
Proof. Step 1: If X1 = X, then there is nothing to prove. Thus let y0 2 X nX1 ,

with y0 6= 0 and consider the subspace Y given by the linear span of X1 [ fy0 g.
If y 2 Y , then y = x + ty0 where x 2 X1 and t 2 R (this decomposition is
unique). De…ne
^ (x + ty0 ) := L1 (x) + tc;
L
42
where c 2 R has to be chosen appropriately. We claim that
f (x + ty0 ) L1 (x) L1 (x) f (x sy0 )
inf sup ; (19)
x2X1 ; t>0 t x2X1 ; s>0 s
or, equivalently,
f (x1 + ty0 ) L1 (x1 ) L1 (x2 ) f (x2 sy0 )
t s
for all x1 , x2 2 X1 and for all s, t > 0. This inequality may be rewritten as
sf (x1 + ty0 ) + tf (x2 sy0 ) L1 (tx2 + sx1 ) :
Since f is convex and L1 is linear,
sf (x1 + ty0 ) + tf (x2 sy0 )

s t
= (s + t) f (x1 + ty0 ) + f (x2 sy0 )
s+t s+t
s t
(s + t) f (x1 + ty0 ) + (x2 sy0 )
s+t s+t
s t s t
= (s + t) f x1 + x2 (s + t) L1 x1 + x2
s+t s+t s+t s+t
= L1 (sx1 + tx2 ) :
Hence (19) holds.

Given x1 2 X1 and t1 , s1 > 0,
f (x1 + t1 y0 ) L1 (x1 ) f (x + ty0 ) L1 (x)
1> inf
t1 x2X1 ; t>0 t
L1 (x) f (x sy0 ) L1 (x1 ) f (x1 s1 y0 )
sup > 1;
x2X1 ; s>0 s s1
which shows that the numbers in (19) are real and thus we can choose a real
number c 2 R with
f (x + ty0 ) L1 (x) L1 (x) f (x sy0 )
inf c sup :
x2X1 ; t>0 t x2X1 ; s>0 s
By the choice of c, we have that
f (x + ty0 ) ^ (x + ty0 )
L1 (x) + tc = L
^
for all x 2 X1 and all t 2 R. Hence, we have extended L1 as a linear function L
^
to Y in such a way that L f in Y .
Step 2: Now we use Zorn’s lemma. We consider all extensions L; ~ X~ of
~ is a subspace of X containing X1 , L
(L1 ; X1 ), where X ~ : X~ ! R is linear,
~ ~ ~
L f in X, and L = L1 in X1 .
43
We introduce a partial order. We say that
(L0 ; X 0 ) 4 (L00 ; X 00 )
if X 0 X 00 and L00 = L0 in X 0 . Given a chain f(L ; X )g, de…ne
[
X1 := X
and L1 (x) := L (x) if x 2 X . Then X1 is a subspace of X (by Proposition

??), L1 f in X1 , L1 = L1 in X1 , and (L ; X ) 4 (L1 ; X1 ). Hence,
every chain has an upper bound. It follows by Zorn’s lemma that there exists a
maximal element (L; Y ). If Y 6= X, then we can proceed as in Step 1 to extend
L. This would contradict the maximality of (L; Y ). Hence Y = X and the proof
is complete.
Corollary 80 Let (X; k k) be a normed space. Then for every x0 2 X n f0g
there exists L : X ! R linear such that
L (x0 ) = kx0 k and jL (x)j kxk for every x 2 X
Proof. Let Y = span fx0 g and de…ne
L0 (tx) = t kxk ; t 2 R:
Then L0 is linear , L0 (x0 ) = kx0 k, and jL0 (x)j kxk for all x 2 Y . Take
f (x) := kxk, x 2 X. By the Hahn-Banach theorem we can extend L0 to a
linear function L : X ! R such that L (x) kxk for all x 2 Y .
Using the previous corollary, we can extend the mean value theorem in the
in…nite-dimensional case.
De…nition 81 Let (X; k kX ) and (Y; k kY ) be two normed spaces, let E X,
and let f : E ! Y . Given x0 2 E and v 2 X, let L be the line through x0 in
the direction v, that is,
L := fx 2 X : x = x0 + tv; t 2 Rg ;
and assume that x0 is an accumulation point of the set E \ L. We say that f
admits a directional derivative at x0 in the direction v if there exists
@f f (x0 + tv) f (x0 )
(x0 ) := lim 2 Y:
@v t!0 t
Theorem 82 (Mean Value Theorem) Let (X; k kX ) and (Y; k kY ) be two
normed spaces, let x; y 2 X, with x 6= y, let S be the segment of endpoints x
and y, that is,
S = ftx + (1 t) y : t 2 [0; 1]g ;
and let f : S ! R be such that f is continuous in S and there exists the
directional derivative @f
@v (z) for all z 2 S except at most x and y, where v :=
x y
kx yk . Then
X
@f
kf (x) f (y)kY sup (w) kx ykX :
w2S @v Y
44
The proof is left as an exercise.
The next exercise shows that the existence of a local inverse at every point
does not imply the existence of a global inverse.
f (x; y) = (ex cos y; ex sin y) :
Prove that det Jf (x; y) 6= 0 for all (x; y) 2 R2 but that f is not injective.
6 Lagrange Multipliers
In Section 3 (see Theorem 56) we have seen how to …nd points of local minima
and maxima of a function f : E ! R in the interior E of E. Now we are ready
to …nd points of local minima and maxima of a function f : E ! R on the
boundary @E of E. We assume that the boundary of E has a special form, that
is, it is given by a set of the form
x 2 RN : g (x) = 0 :
De…nition 84 Let f : E ! R, where E RN , let F E and let x0 2 F . We

say that
(i) f attains a constrained local minimum at x0 if there exists r > 0 such

that f (x) f (x0 ) for all x 2 F \ B (x0 ; r),
(ii) f attains a constrained local maximum at x0 if there exists r > 0 such
that f (x) f (x0 ) for all x 2 F \ B (x0 ; r).
The set F is called the constraint.
Theorem 85 (Lagrange Multipliers) Let U RN be an open set, let f :

U ! R be a function of class C and let g : U ! R be a class of function C 1 ,
1 M
where M < N , and let
F := fx 2 U : g (x) = 0g :
Let x0 2 F and assume that f attains a constrained local minimum (or maxi-
mum) at x0 . If Jg (x0 ) has maximum rank M , then there exist 1 , . . . , M 2 R
such that
rf (x0 ) = 1 rg1 (x0 ) + + M rgM (x0 ) :
Proof. Assume that f attains a constrained local minimum at x0 (the case of

a local maximum is similar). Then there exists r > 0 such that f (x) f (x0 )
for all x 2 U \ B (x0 ; r) such that g (x) = 0. By taking r > 0 smaller, and since
U is open, we can assume that B (x0 ; r) U so that
f (x) f (x0 ) for all x 2 B (x0 ; r) with g (x) = 0: (20)
45
Since Jg (x0 ) has maximum rank M , there exists a M M submatrix which
has determinant di¤erent from zero. By relabeling the coordinates, if necessary,
we may assume that x = (z; y) 2 RN M RM , x0 = (a; b) and
@g
det (a; b) 6= 0:
@y
By the implicit function theorem applied to the function g : B (x0 ; r) ! RM

there exist r0 > 0, r1 > 0, and a function h : BN M (a; r0 ) ! BM (b; r1 ) of
class C 1 such that BN M (a; r0 ) BM (b; r1 ) B (x0 ; r), h (a) = b, and
g (z; h (z)) = 0 for all z 2 BN M (a; r0 ) :
Consider the function k : BN M (a; r0 ) ! BN M (a; r0 ) BM (b; r1 ) de…ned

by
k (z) := (z; h (z)) :
Then 0 1
IN M
B rh1 (a) C
B C
Jk (a) = B .. C;
@ . A
rhM (a)
which has rank N M . Moreover, since g (k (z)) = 0 for all z 2 BN M (a; r0 ),
by Theorem 61,
0 = Jg (x0 ) Jk (a)
0 @g1 @g1 1 0 @k1 @k1
1
@x1 (x0 ) @xN (x0 ) @z1 (a) @zN M (a)
B .. .. CBB .. .. C
C:
=@ . . A@ . . A
@gM @gM @kN @kN
@x1 (x0 ) @xN (x0 ) @z1 (a) @zN M (a)
Considering the transpose of this expression, we get

T T
0 = (Jk (a)) (Jg (x0 ))
0 @k1 @kN 10 @g1 @gM 1
@z1 (a) @z1 (a) @x1 (x0 ) @x1 (x0 )
B .. .. C B .. .. C
=@ . . A@ . . A;
@k1 @kN @g1 @gM
@zN M (a) @zN M (a) @xN (x0 ) @xN (x0 )
which implies that the vectors rgi (x0 ), i = 1; : : : ; M , belong to the kernel of
the linear transformation T : RN ! RM de…ned by
T
T (x) := (Jk (a)) x; x 2 RN :
Hence,
V := span frg1 (x0 ) ; : : : ; rgM (x0 )g ker T:
46
T
But dim V = rank Jg (x0 ) = M = N rank (Jk (a)) = dim ker T. Hence,
V = ker T:
Consider the function
p (z) := f (k (z)) ; z 2 BN M (a; r0 ) :
Since g (k (z)) = 0 for all z 2 BN M (a; r0 ), it follows from (20) that
p (z) = f (k (z)) f (x0 ) = f (k (a)) = p (a)
for all z 2 BN M (a; r0 ). Hence, the function p attains a local minimum at a.

It follows from Theorems 49 and 61 that
0 = Jp (a) = rf (x0 ) Jk (a) :
Considering the transpose of this expression, we get

T T
(Jk (a)) (rf (x0 )) = 0;
which implies that the vector rf (x0 ), i = 1; : : : ; M belong to the kernel of T ,

which coincides with V . It follows from the de…nition of V that there exist 1 ,
. . . , M 2 R such that
rf (x0 ) = 1 rg1 (x0 ) + + m rgM (x0 ) :
Example 86 We want to …nd points of local minima and maxima of the func-
tion f (x; y; z) := x y + 2z over the set
E = (x; y; z) 2 R3 : x2 + y 2 + 2z 2 2 :
Let’s …nd critical points of f in the interior. Since @f @x (x; y; z) = 1 6= 0, there

are no critical points in the interior. Thus, points of local minima and maxima,
if they exist, must be found on the boundary of E, that is,
@E = (x; y; z) 2 R3 : x2 + y 2 + 2z 2 = 2 :
In other words, we are looking at a constrained problem. The constraint is given

by x2 + y 2 + 2z 2 = 2. De…ne g (x; y; z) := x2 + y 2 + 2z 2 2. In this case the
Jacobian matrix of g coincides with the gradient, that is,
Jg (x; y; z) = rg (x; y; z) = (2x; 2y; 4z) :
In this case the maximum rank is one, so it is enough to check that (2x; 2y; 4z) 6=
(0; 0; 0) at points in the constraint @E. But (2x; 2y; 4z) = (0; 0; 0) only at the
origin and this point does not belong to the constraint.
47
To …nd the Lagrange multipliers, let’s consider the function
F (x; y; z) := f (x; y; z) + g (x; y; z) :
Let’s …nd the critical points of F which are on @E. We have
8 @F @
>
> @x (x; y; z) = @x x y + 2z + x2 + y 2 + 2z 2 2 = 1 + 2x = 0;
< @F @
y + 2z + x2 + y 2 + 2z 2 2 = 1 + 2y = 0;
@y (x; y; z) = @y x
@F @
> @z (x; y; z) = @z x y + 2z + x2 + y 2 + 2z 2 2 = 2 + 4z = 0;
>
:
g (x; y; z) = x2 + y 2 + 2z 2 2 = 0:
If = 0, we have no solution, while if 6= 0, we get
8
>
> x = 21 ;
<
y = 21 ;
>
> z = 21 ;
: 2
x + y 2 + 2z 2 2 = 0:
1 2 1 2 1 2 2
Substituting gives 2 + 2 +2 2 2 = 0, that is, 2 1 = 0,
p p p
p1 . 2 2 2
and so = 2
Thus, the only two possible points are 2 ; 2 ; 2 and
p p p
2 2 2
2 ; 2 ; 2
. Now, since E is closed and bounded (why?), it is compact.
Since f is continuous, it follows by the Weierstrass theorempthatp there
p
exist
2 2 2
the minimum and the maximum of f over E. Hence, f 2 ; 2 ; 2 =
p p p p p p p p p
2 2 2 2 2 2 2 2 2
2 2 2 2 is the minimum and f 2 ; 2 ; 2 = 2 + 2 +2 2 is
the maximum.
Exercise 87 Given the set
E = (x; y; z) 2 R3 : x2 xy + y 2 z 2 = 1; x2 + y 2 = 1 ;
…nd the points of E having minimal distance from the origin.
7 Curves
Let I R be an interval and let ' : I ! RN be a function. As the parameter
t traverses I, ' (t) traverses a curve in RN . Rather than calling ' a curve, it
is better to regard any vector function g obtained from ' by a suitable change
of parameter as representing the same curve as '. Thus, one should de…ne a
curve as an equivalence class of equivalent parametric representations.
De…nition 88 Given two intervals I; J R and two functions ' : I ! RN
N
and : J ! R , we say that they are equivalent if there exists a continuous,
bijective function h : I ! J such that
' (t) = (h (t))
for all t 2 I. We write ' and we call ' and parametric representations
and the function h a parameter change.
48
1
Note that in view of a theorem in the Real Analysis I notes, h : J ! I is
also continuous.
Exercise 89 Prove that is an equivalence relation.
De…nition 90 A curve is an equivalence class of parametric representations.
Given a curve with parametric representation ' : I ! RN , where I R

is an interval, the multiplicity of a point y 2 RN is the (possibly in…nite)
number of points t 2 I such that ' (t) = y. Since every parameter change
h : I ! J is bijective, the multiplicity of a point does not depend on the
particular parametric representation. The range of is the set of points of
RN with positive multiplicity, that is, ' (I). A point in the range of with
multiplicity one is called a simple point. If every point of the range is simple,
then is called a simple arc.
If I = [a; b] and ' (a) = ' (b), then the curve is called a closed curve.
A closed curve is called simple if every point of the range is simple, with the
exception of ' (a), which has multiplicity two.
Example 91 The two functions
' (t) := (cos t; sin t) ; t 2 [0; 2 ] ;

(s) := (cos 2s; sin 2s) ; s 2 [0; ] ;
are equivalent, take h (t) = 2t , while the function
p (r) := (cos r; sin r) ; r 2 [0; 4 ] ;
is not equivalent to the previous two, since the …rst curve is simple and the
second no. Note that the range is the same, the unit circle.
Example 92 Consider the curve with parametric representations ' : R ! R2 ,

given by
' (t) := (t (t 1) ; t (t 1) (2t 1)) ; t 2 R:
Let’s try to sketch the range of the curve. Set x (t) := t (t 1) and y (t) :=
t (t 1) (2t 1). We have x (t) 0 for t (t 1) 0, that is, when t 1 or
t 0, while x0 (t) = 1 (t 1) + t (1 0) = 2t 1 0 for t 21 . Moreover,
lim x (t) = lim t (t 1) = 1( 1 1) = 1;

t! 1 t! 1
lim x (t) = lim t (t 1) = 1 (1 1) = 1:

t!1 t!1
On the other hand, y (t) 0 for t (t 1) (2t 1) 0, that is, when 0 t 21

p p
3+ 3
or t 1, while y 0 (t) = 6t2 6t + 1 0 for t 6 or t 3 6 3 . Moreover,
lim y (t) = lim t (t 1) (2t 1) = 1;

t! 1 t! 1
lim y (t) = lim t (t 1) (2t 1) = 1:

t!1 t!1
49
To draw the range of the curve in the xy plane, note that x increasing means
that we are moving to the right, x decreasing to the left, y increasing means that
we are moving upwards, y decreasing downwards.
Next we start discussing the regularity of a curve.
De…nition 93 The curve is said to be continuous if one (and so all) of its

parametric representations is continuous.
The next result shows that the class of continuous curves is somehow too
large for our intuitive idea of curve. Indeed, we construct a continuous curve
that …lls the unit square in R2 . The …rst example of this type was given by
Peano in 1890.
Theorem 94 (Peano) There exists a continuous function ' : [0; 1] ! R2 such

that ' ([0; 1]) = [0; 1] [0; 1].
Proof. For every n 2 N divide the interval [0; 1] into 4n closed intervals Ik;n ,
2
k = 1; : : : ; 4n , of length 41n and the square [0; 1] into 4n closed squares Qk;n ,
n 1
k = 1; : : : ; 4 , of side length 2n . Construct a bijective correspondence between
the 4n intervals Ik;n and the 4n squares Qk;n in such a way that (see Figure ??)
(i) to two adjacent intervals there correspond adjacent squares,

1
(ii) to the four intervals of length 4n+1 contained in some interval Ik;n there
1
correspond the four squares of side length 2n+1 contained in the square
corresponding to Ik;n .
By relabeling the squares, if necessary, we will assume that the square Qk;n
corresponds to the interval Ik;n . Let
F := fIk;n : n 2 N; k = 1; : : : ; 4n g ;
G := fQk;n : n 2 N; k = 1; : : : ; 4n g :
By the axiom of continuity of the reals, if fJj g F is any in…nite sequence of

intervals such that Jj+1 Jj for all j 2 N and fRj g G is the corresponding
2
sequence of squares, then there exist unique t 2 [0; 1] and (x; y) 2 [0; 1] such
that
1
\ 1
\
ftg = Jj ; f(x; y)g = Rj :
j=1 j=1
We set the point t and the point (x; y) in correspondence.

We claim that this correspondence de…nes a continuous function ' : [0; 1] !
R2 with all the desired properties. Indeed, a point t 2 [0; 1] that is not an
endpoint of any interval determines uniquely a sequence fJj g F to which
it belongs and hence a point (x; y) belonging to the corresponding sequence
fRj g G. The same is true for t = 0 and t = 1. A point t that is common to
two di¤erent intervals Ik1 ;m and Ik2; m for some m 2 N is also common to two
50
di¤erent intervals Ik;n , k = 1; : : : ; 4n , for all n m. Hence, it belongs to two
di¤erent sequences fJj g, Jj0 F. Since the squares Rj and Rj0 , corresponding
0
to Jj and Jj , respectively, are adjacent by property (i), it follows that
1
\ 1
\
Rj = Rj0 :
j=1 j=1
2
Thus, to every t 2 [0; 1] there corresponds a unique (x; y) 2 [0; 1] that we
denote u (t).
2
Since every (x; y) 2 [0; 1] belongs to one, two, three, or four sequences
fRj g G, there exists one, two, three, or four t 2 [0; 1] such that ' (t) = (x; y).
2
Hence, ' ([0; 1]) = [0; 1] .
To prove that ' is continuous, write ' (t) = (x (t) ; y (t)), t 2 [0; 1]. By
conditions (i) and (ii) we have that
1 1
jx (t1 ) x (t2 )j 2 ; jy (t1 ) y (t2 )j 2
2n 2n
1
for all t1 ; t2 2 [0; 1], with jt1 t2 j 4n . This proves the uniform continuity of
'.
In view of the previous result, to recover the intuitive idea of a curve, we
restrict the class of continuous curves to those with …nite length.
In what follows, given an interval I R, a partition of I is a …nite set
P := ft0 ; : : : ; tn g I, where
t0 < t1 < < tn :
De…nition 95 Let I R be an interval and let ' : I ! RN be a function. The

pointwise variation of ' on the interval I is
( n )
X
VarI ' := sup k' (ti ) ' (ti 1 )k ; (21)
i=1
where the supremum is taken over all partitions P := ft0 ; : : : ; tn g of I, n 2 N. A

function ' : I ! RN has …nite or bounded pointwise variation if VarI ' < 1.
Exercise 96 Prove that if two parametric representations ' : I ! RN and

: J ! RN are equivalent, then VarI ' = VarJ .
We are now ready to de…ne the length of a curve.
De…nition 97 Given a curve , let ' : I ! RN be a parametric representation

of , where I R is an interval. We de…ne the length of as
L ( ) := VarI ':
We say that the curve is recti…able if L ( ) < 1.
51
In view of the previous exercise, the de…nition makes sense, that is, the length
of the curve does not depend on the particular representation of the curve.
Peano’s example shows that continuous curves in general are not recti…able,
that is, they may have in…nite length. Next we show that C 1 or piecewise C 1
curves are recti…able.
De…nition 98 Given an interval I R, a function ' : I ! RN is said to be

of class C in I if ' is di¤ erentiable in I and '0 is continuous.
1
De…nition 99 Given a function ' : [a; b] ! RN , we say that f is piecewise

C 1 if there exists a partition P = ft0 ; : : : ; tn g of [a; b] 2 I, with a = t0 < t1 <
< tn = b such that ' is of class C 1 in each interval [ti 1 ; ti ], i = 1; : : : ; n.
Note that at each ti , i = 1; : : : ; n 1, the function ' has a right and a left
derivative, but they might be di¤erent.
Example 100 Consider the curve with parametric representations ' : [ 1; 1] !

R2 , given by
' (t) := (t; jtj) ; t 2 [ 1; 1] ;
is not a curve of class C 1 since at t = 0 the second component of ' is not
di¤ erentiable, but it is piecewise C 1 , since
' (t) = (t; t) ; t 2 [ 1; 0] ;

' (t) = (t; t) ; t 2 [0; 1] ;
are both C 1 functions. Note that the left derivative at 0 is '0 (0) = (1; 1)
while the right derivative is '0+ (0) = (1; 1). Hence, the curve has a corner at
the point ' (0) = (0; 0).
By requiring parametric representations, parameter changes and their in-

verses to be di¤erentiable, or Lipschitz, or of class C n , n 2 N0 , etc., or piecewise
C 1 , we may de…ne curves that are di¤erentiable, or Lipschitz, or of class C n ,
n 2 N0 , or piecewise C 1 , respectively.
Theorem 101 Let be a curve of class C 1 , with parametric representation

N
' : [a; b] ! R . Then
Z b
k'0 (t)k dt = L ( ) :
a
Before proving the theorem we need to de…ne the integral of a function

: [c; d] ! RN .
De…nition 102 Given f : [c; d] ! RN , we say that f is Riemann integrable

over [c; d] if each component fi , i = 1; : : : ; N , is Riemann integrable over [c; d]
and we set Z Z Z !
d d d
f (t) dt := f1 (t) dt; : : : ; fN (t) dt :
c c c
52
Rd
Hence, c
f (t) dt is a vector in RN .
Lemma 103 Assume that f : [c; d] ! RN is Riemann integrable. Then kf k :

[c; d] ! R is Riemann integrable over [c; d] and
Z d Z d
f (t) dt kf (t)k dt: (22)
c c
Proof. Since products and sums of Riemann integrable functions are Riemann
integrable, it follows that the function
h (t) := f12 (t) + 2

+ fN (t)
is Riemann integrable over [c; d]. Using the fact that the square root is a con-
tinuous function, we have that
p
kf (t)k = h (t)
is still Riemann integrable over [c; d] (why?).

Rd
It remains to prove the inequality (22). Set x := c f (t) dt. Then by the
linearity of the integral and Cauchy’s inequality
N
X N
X Z d Z N
dX
2
kxk = x2i = xi fi (t) dt = xi fi (t) dt
i=1 i=1 c c i=1
Z d Z d
kxk kf (t)k dt = kxk kf (t)k dt:
c c
If x = 0, then there is nothing to prove. If x 6= 0, then we can divide both sides

of the previous inequality by kxk, to obtain
Z d Z d
f (t) dt = kxk kf (t)k dt:
c c
The opposite inequality does not hold in general, but we have the following
lemma.
Lemma 104 Assume that f : [c; d] ! RN is Riemann integrable. Then for

t0 2 [c; d],
Z d Z d Z d
f (t) dt kf (t)k dt 2 kf (t) f (t0 )k dt:
c c c
Proof. We have
Z d Z d
f (t) dt = (d c) f (t0 ) + (f (t) f (t0 )) dt;
c c
53
and so
Z d Z d
f (t) dt (d c) kf (t0 )k f (t) f (t0 ) dt
c c
Z d Z d
kf (t0 )k dt kf (t) f (t0 )k dt:
c c
On the other hand, kf (t0 )k kf (t)k kf (t) f (t0 )k, and so, upon integration,
Z d Z d Z d
kf (t0 )k dt kf (t)k dt kf (t) f (t0 )k dt:
c c c
Combining the last two inequalities gives the desired result.

Proof of Theorem 101. Given a partition P := ft0 ; : : : ; tn g, by the funda-
mental theorem of calculus and Lemma 103, we have
n
X n
X Z ti n Z
X ti Z b
k' (ti ) ' (ti 1 )k = '0 (t) dt k'0 (t)k dt = k'0 (t)k dt
i=1 i=1 ti 1 i=1 ti 1 a
and taking the supremum over all partitions gives

Z b
L( ) k'0 (t)k dt:
a
To prove the other inequality …x " > 0. Since '0 is uniformly continuous, there
exists > 0 such that k'0 (t) '0 (s)k " for all t; ys 2 [a; b] with jt sj .
Consider a partition P := ft0 ; : : : ; tn g with ti ti 1 . Then by Lemma 104
in [ti 1 ; ti ],
Z ti
k' (ti ) ' (ti 1 )k = '0 (t) dt
ti 1
Z ti Z ti
k'0 (t)k dt 2 k'0 (t) '0 (ti 1 )k dt
ti 1 ti 1
Z ti Z ti
k'0 (t)k dt 2 " dt;
ti 1 ti 1
and so
n
X n Z
X ti Z ti
0
L( ) k' (ti ) ' (ti 1 )k k' (t)k dt 2 " dt
i=1 i=1 ti 1 ti 1
Z b
= k'0 (t)k dt 2" (b a) :
a
It su¢ ces to let " ! 0+ .
54
Remark 105 The previous theorem continues to hold for piecewise C 1 curves.
Exercise 106 Let f : [0; 1] ! R be the Cantor function and consider the curve
of parametric representation
' (t) := (t; f (t)) :
Prove that L ( ) = 2.
Remark 107 Note that the derivative of the Cantor function f exists and is
zero except on a set of Lebesgue measure zero, hence (here we are using the
Lebesgue integral)
Z 1 Z 1
p
k'0 (t)k dt = 1 + 0 dt = 1 < L ( ) = Var ' = 2:
0 0
Rb
It turns out that the class of curves for which a k'0 (t)k dt = L ( ) (again,
using the Lebesgue integral instead of the Riemann integral) is given by ab-
solutely continuous curves.
De…nition 108 Let I R be an interval. A function ' : I ! RN is said to be

absolutely continuous on I if for every " > 0 there exists > 0 such that
X̀
k' (bk ) ' (ak )k " (23)
k=1
for every …nite number of nonoverlapping intervals (ak ; bk ), k = 1; : : : ; `, with

[ak ; bk ] I and
X̀
(bk ak ) :
k=1
The space of all absolutely continuous functions ' : I ! RN is denoted by

AC I; RN . When N = 1 we simply write AC (I).
Remark 109 Note that since ` is arbitrary, we can also take ` = 1, namely,
replace …nite sums by series.
Exercise 110 Let I R be an interval and let f : I ! R.
(i) Prove that f belongs to AC (I) if and only if for every " > 0 there exists
> 0 such that
X̀
(f (bk ) f (ak )) "
k=1
for every …nite number of nonoverlapping intervals (ak ; bk ), k = 1; : : : ; `,

with [ak ; bk ] I and
X̀
(bk ak ) :
k=1
55
(ii) Assume that for every " > 0 there exists > 0 such that
X̀
(f (bk ) f (ak )) "
k=1
for every …nite number of intervals (ak ; bk ), k = 1; : : : ; `, with [ak ; bk ] I

and
X̀
(bk ak ) :
k=1
Prove that f is locally Lipschitz.
Part (ii) of the previous exercise shows that in De…nition 108 we cannot
remove the condition that the intervals (ak ; bk ) are pairwise disjoint.
By taking ` = 1 in De…nition 108, it follows that an absolutely continuous
function f : I ! R is uniformly continuous. The next exercise shows that the
converse is false.
Exercise 111 Let f : (0; 1] ! R be de…ned by

1
f (x) := xa sin ;
xb
where a; b 2 R. Study to see for which a; b the function f is absolutely contin-
uous. Prove that there exist a; b for which f is uniformly continuous but not
absolutely continuous.
Exercise 112 Let I R be an interval and let f : I ! R be di¤ erentiable with

bounded derivative. Prove that f belongs to AC (I).
Exercise 113 Let f; g 2 AC ([a; b]). Prove the following.
(i) f g 2 AC ([a; b]).

(ii) f g 2 AC ([a; b]).
f
(iii) If g (x) > 0 for all x 2 [a; b], then g 2 AC ([a; b]).
(iv) What happens if the interval [a; b] is replaced by an arbitrary interval I R

(possibly unbounded)?
Exercise 114 Let I R be an interval and let f : I ! R be uniformly contin-

uous.
(i) Prove that f may be extended uniquely to I in such a way that the extended
function is still uniformly continuous.
(ii) Prove that if f belongs to AC (I), then its extension belongs to AC I .
56
(iii) Prove that there exist A; B > 0 such that for all x 2 I,
jf (x)j A + B jxj :
The previous exercise shows that although an absolutely continuous function

may be unbounded, it cannot grow faster than linear when jxj ! 1.
Exercise 115 Let I R be an interval, let ' : I ! RN be a function, and let
c 2 I . Prove that
VarI ' = VarI\( 1;c] ' + VarI\[c;1) ':
Next we show that absolutely continuous functions have bounded variation.
Proposition 116 Let ' : [a; b] ! RN be absolutely continuous. Then ' has
…nite variation.
Proof. Take " = 1, and let > 0 be as in De…nition 108. Let n be the integer
part of 2(b a) and partition [a; b] into n intervals [ti 1 ; ti ] of equal length b na ,
a = t0 < t1 < < tn = b:
Since b na , in view of (23), on each interval [ti 1 ; ti ] we have that Var[ti 1 ;ti ]
'
1, and so by the previous exercise
n
X 2 (b a)
Var[a;b] ' = Var[ti 1 ;ti ]
' n < 1;
i=1
b a
where we have used the fact that n 2.
Solutions, …rst midterm :(
Given a curve , with parametric representation ' : I ! RN , where I R
is an interval. If ' is di¤erentiable at a point t0 2 I and '0 (t0 ) 6= 0, the straight
line parametrized by
(t) := ' (t0 ) + '0 (t0 ) (t t0 ) ; t 2 R;
is called a tangent line to at the point ' (t0 ), and the vector '0 (t0 ) is called
a tangent vector to at the point ' (t0 ). Note that if is a simple arc, then
the tangent line at a point y of the range of , if it exists, is unique, while
if the curve is self-intersecting at some point y 2 , then there could be more
than one tangent line at y.
Given a function f : I ! R, where I R is an interval, the graph of f is
the range of a curve parametrized by
' (t) = (t; f (t)) :
If f is di¤erentiable at some point t0 2 I, then the tangent vector is given by
'0 (t0 ) = (1; f 0 (t0 )) :
57
De…nition 117 Given a recti…able curve , we say that is parametrized by
arclength if it admits a parametrization : [0; L ( )] ! RN such that is
0
di¤ erentiable for all but …nitely many 2 [0; L ( )] with ( ) = 1 for all but
…nitely many .
The name arclength comes from the fact that if is piecewise C 1 then for
every 1 < 2 , by Theorem 101 we have that the length of the portion of the
curve parametrized by : [ 1 ; 2 ] ! RN is given by
Z 2 Z 2
0
( ) d = 1d = 2 1:
1 1
De…nition 118 A curve is regular if is piecewise C 1 and it admits a para-

metric representation ' : [a; b] ! RN for which the left and right derivative are
di¤ erent from zero for all t 2 [a; b].
Theorem 119 If is a regular curve, then can be parametrized by arclength.
Proof. Let ' : [a; b] ! RN be a piecewise C 1 parametric representation of

and de…ne the length function
Z t
s (t) := k'0 (r)k dr:
a
Note that by by Theorem 101, s (b) = L ( ), while s (a) = 0. Hence, s : [a; b] !

[0; L ( )] is onto. We claim that s is invertible. Indeed, if t1 < t2 , then since
k'0 (r)k > 0 for all but …nitely many t in [t1 ; t2 ], we have that
Z t2
s (t2 ) s (t1 ) = k'0 (r)k dr > 0
t1
(why?). Hence, s : [a; b] ! [0; L ( )] is invertible. By a theorem in the Real

Analysis notes, s 1 : [0; L ( )] ! [a; b] is continuous. By the fundamental
theorem of calculus, s0 (t) = k'0 (t)k > 0 for all but …nitely many t. Hence, s is
piecewise C 1 . In turn, by a theorem in the Real Analysis notes, for any such t,
d 1 1
s (s (t)) = :
d s0 (t)
Hence, there exists
d 1 1 1
s ( )= = (24)
d s0 (s 1 ( )) k'0 (s 1 ( ))k
for all but …nitely many . Since ' is piecewise C 1 and the left and right
derivatives of ' are always di¤erent from zero, it follows from (24) and the
continuity of s 1 that s 1 is piecewise C 1 . Thus, the function : [0; L ( )] !
RN , de…ned by
( ) := ' s 1 ( ) ; 2 [0; L ( )] ; (25)
58
is equivalent to '. Moreover, by the chain rule and (24), for all but …nitely
many ,
0 d '0 s 1 ( )
( ) = '0 s 1 ( ) s 1 ( )=
d k'0 (s 1 ( ))k
0
and so ( ) = 1.
Example 120 Consider the curve with parametric representations ' : [0; 2 ] !
R3 , given by
' (t) := (R cos t; R sin t; 2t) ; t 2 [0; 2 ] :
Since
'0 (t) = ( R sin t; R cot st; 2) 6= (0; 0; 0) ;
the curve is regular. Let’s parametrize it using arclength. Set
Z t Z tp
s (t) := 0
k' (r)k dr = R2 sin2 t + R2 cos2 t + 4 dr
0 0
p
= R2 + 4t:
p
In particular, s (2 ) = 2 R 2
p + 4 is the length of the curve. The inverse of s
is t (s) := pRs2 +4 , s 2 0; 2 R2 + 4 . Hence,
s s 2s
(s) := ' (t (s)) = R cos p ; R sin p ;p ;
R2 +4 R2 +4 R2 + 4
p
where s 2 0; 2 R2 + 4 , is the parametrization by arclength.
8 Curve Integrals
In this section we de…ne the integral of a function along a curve.
De…nition 121 Given a piecewise C 1 curve with parametric representation

' : [a; b] ! RN and a bounded function f : E ! R, where ' ([a; b]) E, we
de…ne the curve (or line) integral of f along the curve as the number
Z Z b
f ds := f (' (t)) k'0 (t)k dt;
a
whenever the function t 2 [a; b] 7! f (' (t)) k'0 (t)k is Riemann integrable.
R
Note that f ds is always de…ned if f is continuous.
Next we show that the curve integral does not depend on the particular
parametric representation.
59
Proposition 122 Let be a piecewise C 1 curve and let ' : [a; b] ! RN and
: [c; d] ! RN be two parametric representations. Given a continuous function
f : E ! R, where E contains the range of ,
Z b Z d
0
f (' (t)) k'0 (t)k dt = f ( ( )) ( ) d :
a c
Proof. Exercise
Remark 123 In particular, if is a regular curve and : [0; L ( )] ! RN is

0
the parametric representation obtained using arclength, then ( ) = 1 for
all but …nitely many . Hence,
Z Z L( )
f ds = f ( ( )) d :
0
The following properties are left as an exercise.
Proposition 124 Let be a piecewise C 1 curve and let f; g : E ! R be two

continuous functions, where E contains the range of . Then
(i) for all a; b 2 R,

Z Z Z
(af + bg) ds = a f ds + b g ds;
Z Z
(ii) if f g, then f ds g ds,
Z Z
(iii) f ds jf j ds L ( ) max jf j, where is the range of ,
(iv) if ' : [a; b] ! RN is a parametric representation of , c 2 (a; b), and 1

and 2 are the curves of parametric representations '1 : [a; c] ! RN and
'2 : [c; b] ! RN , then
Z Z Z
f ds = f ds + f ds:
1 2
Next we introduce the notion of an oriented curve.
De…nition 125 Given a curve with parametric representations ' : I ! RN

and : J ! RN , we say that ' and have the same orientation if the para-
meter change h : I ! J is increasing and opposite orientation if the parameter
change h : I ! J is decreasing. If ' and have the same orientation, we write
' .
Exercise 126 Prove that is an equivalence relation.
60
De…nition 127 An oriented curve is an equivalence class of parametric rep-
resentations with the same orientation.
Note that any curve gives rise to two oriented curves. Indeed, it is enough
to …x a parametric representation ' : I ! RN and considering the equivalence
class + of parametric representations with the same orientation of ' and the
equivalence class of parametric representations with the opposite orientation
of '.
Let E RN and let g : E ! RN be a continuous function. Given a piecewise
C oriented curve with parametric representation ' : [a; b] ! RN such that
1
' ([a; b]) E, we de…ne

Z Z N
bX
g := gi (' (t)) '0i (t) dt:
a i=1
De…nition 128 Let U RN be an open set and let g : U ! RN . We say that

g is conservative vector …eld if there exists a di¤ erentiable function f : U ! R
such that
rf (x) = g (x)
for all x 2 U . The function f is called a scalar potential for g.
Theorem 129 (Fundamental Theorem of Calculus for Curves) Let U

RN be an open set, let f 2 C 1 (U ), let x, y 2 U and let a piecewise C 1 ori-
ented curve with parametric representation ' : [a; b] ! RN such that ' (b) = x,
' (a) = y, and ' ([a; b]) U . Then
Z
rf = f (x) f (y) :
Proof. De…ne p (t) := f (' (t)) and observe that by Theorem 61, p is piecewise
C 1 with
XN
@f
p0 (t) = (' (t)) '0i (t)
i=1
@xi
for all but …nitely many t. Hence,

Z Z N
bX Z b
@f
rf = (' (t)) '0i (t) dt = p0 (t) dt = p (b) p (a) = f (x) f (y) ;
a i=1 @xi a
where we have used the fundamental theorem of calculus.

The previous theorem shows that if a conservative vector …eld is continuous,
then its integral along a curve joining two points depends only on the value at
the two points and not on the particular curve. If U is connected, then this
condition turns out to be equivalent to the vector …eld being conservative.
Theorem 130 Let U RN be an open connected set and let g : U ! RN be a

continuous function. Then the following conditions are equivalent.
61
(i) g is a conservative vector …eld,
(ii) for every x, y 2 U and for every two piecewise C 1 oriented curves 1 and
N
2 with parametric representations '1 : [a; b] ! R and '2 : [c; d] ! RN ,
respectively, such that '1 (b) = '2 (d) = x, '1 (a) = '2 (c) = y, and
'1 ([a; b]) ; '2 ([c; d]) U ,
Z Z
g= g:
1 2
(iii) for every piecewise C 1 closed oriented curve with range contained in U ,
Z
g = 0:
Friday, March 02, 2012

Proof. We prove that (i) implies (ii). Assume that g is a conservative vector
…eld with scalar potential f : U ! R, let x, y 2 U and let '1 : [a; b] ! RN and
'2 : [c; d] ! RN be as in (ii). Then by the previous theorem
Z Z Z Z
g= rf = f (x) f (y) = rf = g:
1 1 2 2
Conversely assume that (ii) holds. We need to …nd a scalar potential for g. Fix
a point x0 2 U and for every x 2 U de…ne
Z
f (x) := g;
where a piecewise C 1 oriented curve with parametric representation ' :

[a; b] ! RN such that ' (b) = x, ' (a) = x0 , and ' ([a; b]) U . We claim
that there exist
@f
(x) = gi (x) :
@xi
Since U is open and x 2 U , there exists B (x; r) U . Fix jhj < r, then the
segment joining the point x + hei with x is contained in B (x; r). De…ne the
curve : [a; b + 1] ! RN as follows
' (t) if t 2 [a; b] ;
(t) :=
x + (t b) hei if t 2 [b; b + 1] :
Using (ii), we have that
Z Z N
b+1 X
f (x + hei ) = g = f (x) + gj (x + (t b) hei ) h ij dt
' b j=1
Z b+1
= f (x) + gi (x + (t b) hei ) h dt =
b
Z h
= f (x) + gi (x + sei ) ds;
0
62
where in the last equality we have used the change of variable s = (t b) h. It
follows by the mean value theorem that
Z h
f (x + hei ) f (x) 1
= gi (x + sei ) ds = gi (x + sh ei ) ;
h h 0
where sh is between 0 and h. As h ! 0, we have that sh ! 0 and so x+sh ei ! x.

Using the continuity of gi , we have that there exists
f (x + hei ) f (x)
lim = lim gi (x + sh ei ) = gi (x) ;
h!0 h h!0
which proves the claim.

The equivalence between (ii) and (iii) is left as an exercise.
Next we give a simple necessary condition for a …eld g to be conservative.
De…nition 131 Let U RN be an open set and let g : U ! RN be di¤ eren-

tiable. We say that g is an irrotational vector …eld or a curl-free vector …eld
if
@gi @gj
(x) = (x)
@xj @xi
for all i; j = 1; : : : ; N and all x 2 U .
Theorem 132 Let U RN be an open set and let g : U ! RN be a conserva-

tive vector …eld of class C 1 . Then g is irrotational.
Proof. Since g is a conservative vector …eld, there exists a a scalar potential

f : U ! R with rf = g in U . But since g is of class C 1 , we have that f is of
class C 2 . Hence, we are in a position to apply the Schwartz theorem to conclude
that
@gi @2f @2f @gj
(x) = (x) = (x) = (x)
@xj @xj @xi @xi @xj @xi
for all i; j = 1; : : : ; N and all x 2 U .
The next example shows that there exist irrotational vector …elds that are
not conservative.
Example 133 Let U := R2 n f(0; 0)g and consider the function
y x
g (x; y) := ; :
x2 + y 2 x2 + y 2
Note that
@ y x2 + y 2
= 2;
@y x2 + y 2 (x2 + y 2 )
@ x x2 + y 2
= 2;
@x x2 + y2 (x2 + y 2 )
63
and so g is irrotational. However, if we consider the closed curve of parametric
representation ' (t) = (cos t; sin t), t 2 [0; 2 ], we have that
Z Z 2
sin t 0 cos t 0
g= (cos t) + (sin t) dt
0 cos2 t + sin2 t cos2 t + sin2 t
Z 2
= sin2 t + cos2 t dt = 2 6= 0;
0
and so g cannot be conservative.
The problem here is the fact that the domain has a hole.
De…nition 134 A set E RN is starshaped with respect to a point x0 2 RN

if for every x 2 E, the segment joining x and x0 is contained in E.
Theorem 135 (Poincaré’s Lemma) Let U RN be an open set starshaped

N
with respect to a point x0 and let g : U ! R be an irrotational vector …eld of
class C 1 . Then g is a conservative vector …eld.
Lemma 136 (Di¤erentiation under the Integral Sign) Let U RN be

M
an open set, let R R be a closed rectangle and let f : U R ! R be a
@f
continuous function, let i = 1; : : : ; N and assume that there exists @xi
(x; y) for
@f
every x 2 U and y 2 R and that @xi is continuous in U R. Consider the
function Z
g (x) := f (x; y) dy; x 2 U:
R
Then g is continuous and for every x 2 U there exists
Z
@g @f
(x) = (x; y) dy;
@xi R @x i
@g
and @xi is continuous in U .
Proof. Exercise.
Proof of Theorem 135. For every x 2 U de…ne
Z
f (x) := g;
where is the curve given by the parametric representation ' : [0; 1] ! RN is

de…ned by
' (t) := x0 + t (x x0 ) :
Note that
Z N
1X
f (x) = gj (x0 + t (x x0 )) (xj x0j ) dt:
0 j=1
64
By the previous lemma, we have that
0 1
Z 1 XN
@f @ @
(x) = gj (x0 + t (x x0 )) (xj x0j )A dt
@xi 0 @x i j=1
0 1
Z 1 X N
@ @gj
= (x0 + t (x x0 )) t (xj x0j ) + gi (x0 + t (x x0 )) 1A dt
0 j=1
@x i
0 1
Z 1 X N
@ @gi
= (x0 + t (x x0 )) t (xj x0j ) + gi (x0 + t (x x0 )) 1A dt;
0 j=1
@x j
where we have used the fact that g is an irrotational vector …eld. De…ne
h (t) := tgi (x0 + t (x x0 )) :
By Theorem 61,
XN
@gi
h0 (t) = (x0 + t (x x0 )) t (xj x0j ) + gi (x0 + t (x x0 )) :
j=1
@xj
Hence, by the fundamental theorem of calculus,

Z 1
@f
(x) = h0 (t) dt = h (1) h (0) = 1gi (x) 0;
@xi 0
which completes the proof.

Monday, March 05, 2012
Next we prove that the Poincaré lemma continues to hold in a very important
class of sets, namely simply connected sets.
De…nition 137 Given a set E RN , two continuous closed curves, with

parametric representations ' : [a; b] ! RN and : [a; b] ! RN such that
' ([a; b]) E and ([a; b]) E, are homotopic in E if there exists a continu-
ous function h : [a; b] [0; 1] ! RN such that h ([a; b] [0; 1]) E,
h (t; 0) = ' (t) for all t 2 [a; b] ; h (t; 1) = (t) for all t 2 [a; b] ;
h (a; s) = h (b; s) for all s 2 [0; 1] :
The function h is called a homotopy in E between the two curves.
Roughly speaking, two curves are homotopic in E if it is possible to deform

the …rst continuously until it becomes the second without leaving the set E.
De…nition 138 A set E RN is simply connected if it is pathwise connected

and if every continuous closed curve with range in E is homotopic in E to a point
in E (that is, to a curve with parametric representation a constant function).
65
Example 139 A star-shaped set is simply connected. Indeed, let E RN be
star-shaped with respect to some point x0 2 E and consider a continuous closed
curve with parametric representation ' : [a; b] ! RN such that ' ([a; b]) E.
Then the function
h (t; s) := s' (t) + (1 s) x0
is an homotopy between and the point x0 .
Remark 140 It can be shown that R2 n a point is not simply connected, while
R3 n a point is. On the other hand, R3 n a line is not simply connected.
Using the Poincaré lemma, we can de…ne the integral of g : U ! RN be an

irrotational vector …eld of class C 1 over a curve that is only continuous. More
precisely, let U RN be an open set and let g : U ! RN be an irrotational
vector …eld of class C 1 .
Consider a continuous oriented curve with parametric representation ' :
[a; b] ! RN such that ' ([a; b]) U . Since U is open, for every x 2 ' ([a; b]) we
may …nd B (x; rx ) U . Using the continuity of ', we have that ' ([a; b]) is a
compact set. Thus, there exists a …nite number of balls B1 , . . . , Bn such that
n
[
' ([a; b]) Bi :
i=1
By increasing the number n and by counting some of the balls more than once,
we can construct a partition P of [a; b],
a = t0 < t1 < < tn = b
such that ' ([ti 1 ; ti ]) Bi for all i = 1; : : : ; n. Since each ball is convex, by
Poincaré lemma g : Bi ! RN is conservative, and so there exists a function
fi : Bi ! R of class C 1 such that rfi = g in Bi . Let i be the curve with
parametric representation ' : [ti 1 ; ti ] ! RN . Assuming for a moment that is
piecewise C 1 , it follows by the fundamental theorem of calculus for curves that
Z n Z
X n Z
X n
X
g= g= rfi = (fi (' (ti )) fi (' (ti 1 ))) :
i=1 i i=1 i i=1
If instead is onlyR continuous, we could use the right-hand side of the previous
equality to de…ne g, that is, we would de…ne
Z n
X
g := (fi (' (ti )) fi (' (ti 1 ))) : (26)
i=1
Proposition 141 Let U RN be an open set, let g : U ! RN be an irrota-

tional vector …eld of class C 1 , and let be a continuous oriented curve with
N
parametric
R representation ' : [a; b] ! R such that ' ([a; b]) U . Then the
number g de…ned in (26) does not depend on the particular partition P .
66
Proof. Step 1: Let’s start by showing that (26) does not change if we add a
point to the partition. Let i 2 f1; : : : ; ng and …x c 2 (ti 1 ; ti ). Consider the
partition P 0 := P [ fcg. Since ' (c) 2 Bi , we have that
(fi (' (ti )) fi (' (c)))+(fi (' (c)) fi (' (ti 1 ))) = (fi (' (ti )) fi (' (ti 1 ))) :
R
Hence, the number g does not change if we add c to the partition P . More
R
generally, if we consider any re…nement of P , the number g does not change.
Step 2: Assume now that Q is another partition with corresponding balls B10 ,
0
. . . , Bm and with function hj : Bj0 ! R of class C 1 such that rhj = g in Bj0 .
Consider a partition P 0 = fs1 ; : : : ; s` g, which is a common re…nement of both
P and Q. For every k = 1; : : : ; `, we have that [sk 1 ; sk ] is contained in some
interval [ti 1 ; ti ] for some i = 1; : : : ; n and so ' ([sk 1 ; sk ]) Bi . Similarly,
' ([sk 1 ; sk ]) Bj0 for some j = 1; : : : ; m. Note that the set Bi \ Bj0 and on
this set we have that rfi = g = rhj . Hence, r (fi hj ) = 0 in Bi \ Bj0 and
since this set is convex (and in particular connected), it follows from Theorem
?? that fi (x) hj (x) = cij for all x 2 Bi \ Bj0 . Since ' ([sk 1 ; sk ]) Bi \ Bj0 ,
it follows that
fi (' (sk )) fi (' (sk 1 )) = (hj (' (sk )) + cij ) (hj (' (sk 1 ))
+ cij ) = hj (' (sk )) hj (' (sk 1 )) :
R
Thus, the two sums have the same elements, which shows that g as de…ned
in (26) does not depend on the particular partition P .
Remark 142 Note that if the curve is closed and ' ([a; b]) is contained in one
ball B U , then by Poincaré lemma there exists a function f : B ! R of class
C 1 such that rf = g in B, and so by considering the partition t0 := a < t1 := b,
we get Z
g = f (' (b)) f (' (a)) = 0:
Next we prove that the integral of an irrotational vector …eld over homotopic
curves does not change.
Theorem 143 Let U RN be an open set, let g : U ! RN be an irrotational

vector …eld of class C 1 , and let 1 and 2 be two continuous, closed, oriented
curves that are homotopic in U . Then
Z Z
g= g;
1 2
R R
where g and g are de…ned in (26).
1 2
In view of the previous theorem, we can generalize the Poincaré lemma to

simply connected domains.
Theorem 144 (Poincaré’s Lemma, II) Let U RN be an open simply con-

nected set and let g : U ! RN be an irrotational vector …eld of class C 1 . Then
g is a conservative vector …eld.
67
Proof. In view of Theorem 130, it su¢ ces to show that
Z
g=0
for every piecewise C 1 closed oriented curve with range contained in U . Fix
such a curve 1 . Since U is simply connected, we have that 2 is homotopic
to a point of U , that is, to a curve 2 with constant parametric representation.
By the previous theorem Z Z
g= g;
1 2
R
but since 2 has a constant parametric representation, we have that g = 0,
2
and the proof is completed.
Wednesday, March 07, 2012
To prove Theorem 130 we begin with a useful lemma.
Lemma 145 (Lebesgue’s Number) Let K RN be a compact set and let

fU g be a family of open sets covering K. Then there exists a number > 0
(called Lebesgue’s number) such that if E K has diameter less than , then
E is contained in one of the U .
Proof. If one of the U is RN , then any > 0 will do. Thus, assume that
none of the U is the entire space. Since K is compact, there exist a …nite
subfamily of fU g that still covers K, say, U1 ; : : : ; Un . Consider the closed set
Ci := RN n Ui and de…ne
n
1X
f (x) := dist (x; Ci ) :
n i=1
We claim that f > 0 in K. Indeed, let x 2 K. Then there exists i 2 f1; : : : ; ng

such that x 2 Ui . Since Ui is open, there is B (x; r) Ui , and so dist (x; Ci ) r,
which shows that f (x) nr > 0. This prove the claim.
Since f is continuous (exercise) and K is compact, by the Weierstrass theo-
rem there exists
min f (x) :
x2K
Let := minx2K f (x) and not that > 0 by what we proved before. Consider
a set E K with diameter less than , and let x0 2 E. Then
n n
1X 1X
f (x0 ) = dist (x0 ; Ci ) dist (x0 ; Cm ) = dist (x0 ; Cm ) ;
n i=1 n i=1
where dist (x0 ; Cm ) := max fdist (x0 ; Ci ) : i = 1; : : : ; ng. Since dist (x0 ; Cm )
, it follows that B (x0 ; ) Um . But E has diameter less than , and so
E B (x0 ; ) Um and the proof is completed.
68
Proof of Theorem 143.. Let ' : [a; b] ! RN and : [a; b] ! RN be paramet-
ric representations of 1 and 2 . Since 1 and 2 are homotopic in U , there ex-
ists a continuous function h : [a; b] [0; 1] ! RN such that h ([a; b] [0; 1]) U ,
h (t; 0) = ' (t) for all t 2 [a; b] ; h (t; 1) = (t) for all t 2 [a; b] :
Since U is open, for every x 2 h ([a; b] [0; 1]) we may …nd B (x; rx ) U . Since
[a; b] [0; 1] is compact and h is continuous, the set h ([a; b] [0; 1]) is compact.
The family of balls fB (x; rx ) : x 2 h ([a; b] [0; 1])g covers the compact set
h ([a; b] [0; 1]). Thus, there exists a …nite number of balls B (x1 ; r1 ), . . . ,
B (xn ; rn ) such that
n
[
h ([a; b] [0; 1]) B (xi ; ri ) :
i=1
Since the function h is continuous and B (xi ; ri ) is open, we have that h 1 (B (xi ; ri ))
is relatively open in [a; b] [0; 1], that is, it is given by the intersection of an
open set Wi with [a; b] [0; 1]. Since the sets W1 ; : : : ; Wn cover the compact set
[a; b] [0; 1], by the Lebesgue’s number lemma there exists > 0 such that any
subset of [a; b] [0; 1] with diameter less than is contained in some of the Wi .
Consider a partition a = t0 < t1 < < t` = b of [a; b] and a partition
0 = s0 < s1 < < sm = 1 of [0; 1] such that each rectangle Rj;k := [tj 1 ; tj ]
[sk 1 ; sk ] has diameter less than . By the Lebesgue number lemma, there
exists i 2 f1; : : : ; ng such that Rj;k h 1 (B (xi ; ri )). Hence, h (@Rj;k )
B (xi ; ri ). If we move counterclockwise along the boundary of Rj;k starting
from the vertex (tj 1 ; sk 1 ), we have a closed curve. By composing a parametric
representation of this curve with h we obtain a closed continuous curve j;k with
range h (@Rj;k ) B (xi ; ri ). It follows by Remark 142 that
Z
g = 0:
j;k
Hence,
m Z
X̀ X
g = 0:
j=1 k=1 j;k
Now each j;k can be decomposed into four curves corresponding to the four
sides of the rectangle Rj;k . Moreover, if one of the side of Rj;k is in the interior of
[a; b] [0; 1] (except for its endpoints), then the corresponding curve will appear
twice with opposite orientation. Hence, after cancelling out all the interior
curves, we are left with four curves corresponding to the boundary of [a; b] [0; 1],
precisely, Z Z Z Z
g g+ g g = 0;
1 3 4 2
where 3 and 3 are the curves parametrized by h (a; s) and h (b; s), s 2 [0; 1],
respectively. But since h (a; s) = h (b; s) for all s 2 [0; 1], it follows that
Z Z
g g = 0;
1 2
69
and the proof is completed.
Example 146 Consider the function g : R2 ! R2 de…ned by
g (x; y) := (yex ; ex cos y) :
We have,
@
(yex ) = 1ex ;
@y
@ x
(e cos y) = ex 0;
@x
and so g is irrotational. Since R2 is convex, it is starshaped with respect to
every point. Hence, by the previous theorem, g is conservative. To …nd a scalar
potential, note that
@f @f
(x; y) = yex ; (x; y) = ex cos y
@x @y
and so
Z x Z x
@f
f (x; y) f (0; y) = (s; y) ds = yes ds
0 @x 0
= y (ex 1) :
Hence,
f (x; y) = f (0; y) + y (ex 1) :
Di¤ erentiating with respect to y, we get
@f @f
ex cos y = (x; y) = (0; y) + ex 1
@y @y
and so
@f
(0; y) = cos y + 1:
@y
Hence,
Z y Z y
@f
f (0; y) f (0; 0) = (0; t) dt = ( cos t + 1) dt
0 @y 0
=y sin y
and so
f (x; y) = f (0; y) + y (ex 1) =

= f (0; 0) + y sin y + yex y = f (0; 0) sin y + yex :
70
Given an open set U RN and a di¤erentiable function g : U ! RN , a
di¤erentiable function h : U ! R is called an integrating factor for g if the
function
hg = (hg1 ; : : : ; hgN )
is irrotational.
Exercise 147 Assume that N = 2 and that g : U ! R2 is of class C 2 . Prove

that if
@g1 @g2
(x; y) (x; y) = (x) g2 (x; y) (x) g1 (x; y)
@y @x
for some continuous functions : I ! R and : J ! R, where I and J are
intervals, then an integrating factor is given by
Rx Ry
a(t) dt b(s) ds
u (x; y) = e x0
e y0
;
where x0 2 I and y0 2 J are some …xed points.
Exercise 148 Given the function g : U ! R2 de…ned by
x
g (x; y) := 2 ln (xy) + 1; ;
y
1. Find the domain U of g and prove that is g is not irrotational in U .

2. Find an integrating factor h for the function g.
3. Prove that the function hg is conservative. (Do not use part (4)).
4. Find a potential f of the function hg.
Remark 149 Conservative …elds are useful is solving di¤ erential equations.
Consider the di¤ erential equation
g1 (x; y (x))
y 0 (x) = ;
g2 (x; y (x))
where
g (x; y) = (g1 (x; y) ; g2 (x; y))
is of class C 1 . If g conservative, then there exists a function f : U ! R such
that rf = g, so that
@f
@x (x; y (x))
y 0 (x) = @f ;
@y (x; y (x))
which implies that

@f @f
(x; y (x)) + (x; y (x)) y 0 (x) = 0:
@x @y
71
Consider the function
h (x) := f (x; y (x)) :
By the chain rule, we have that
@f @f
h0 (x) = (x; y (x)) + (x; y (x)) y 0 (x) = 0:
@x @y
Hence, h is constant in each connected domain of its domain. Assume that h is
de…ned in some interval I, then
f (x; y (x)) = constant
for all x 2 I. Thus, we have solved implicitly our di¤ erential equation.
If g is not irrotational, but it admits an integrating factor h 6= 0, then
g1 (x; y (x)) h (x; y (x)) g1 (x; y (x))

y 0 (x) = = ;
g2 (x; y (x)) h (x; y (x)) g2 (x; y (x))
and if the function hg is conservative with rp = hg, then we can conclude as

before that
p (x; y (x)) = constant
for all x 2 I, so we have solved implicitly our di¤ erential equation.

midsemester break, no classes
Monday, March 12–Friday, March 16, 2012
Spring break, no classes
In R2 there are important characterizations of simply connected domains.
Indeed, we have the following result.
Theorem 150 Let U R2 be an open bounded connected set. Then the fol-
lowing are equivalent:
1. U is homeomorphic to the unit ball B ((0; 0) ; 1).

2. U is simply connected.
3. ind (x) = 0 for every continuous closed oriented curve with range con-
tained in U and for every x 2 R2 n U .
4. R2 n U is connected.
R
5. g = 0 for every irrotational vector …eld g : U ! R2 of class C 1 and for
every continuous closed oriented curve with range contained in U .
72
Proof. Let’s prove that (1) implies (2). Assume that there exists an invertible
function : U ! B ((0; 0) ; 1), which is continuous together with its inverse and
consider a continuous closed curve, with parametric representation ' : [a; b] !
R2 such that ' ([a; b]) U . De…ne the function h : [a; b] [0; 1] ! R2 by
1
h (t; s) = (s (' (t))) :
Then h ([a; b] [0; 1]) U,

1
h (t; 0) = (0) for all t 2 [a; b] ; h (t; 1) = ' (t) for all t 2 [a; b] ;
1 1
h (a; s) = (s (' (a))) = (s (' (b))) = h (b; s) for all s 2 [0; 1] :
Hence, U is simply connected.
Remark 151 If U is unbounded, then in place of (4) one has that S2 n U is

connected, where S2 is the Riemann sphere. Precisely, we consider an element
1 not in R2 , and we take S2 := R2 [ f1g. Given r > 0, we de…ne the open
ball centered at 1 and radius r, as the set
B (1; r) := R2 n B ((0; 0) ; r) [ f1g
and we give a topology S2 be declaring a set U S2 to be open if it can be

written as union of open balls centered at points of S2 and of positive radius.
The name comes from the fact that S2 is homeomorphic to the unit sphere in
R3 . The homeomorphism is given by
2r cos 2r sin r2 1
(r cos ; r sin ) := ; ; ; (1) := (0; 0; 1) :
r2 + 1 r2 + 1 r2 + 1
Note that saying that S2 n U is connected is not equivalent to saying that

2
R n U is connected. Indeed, consider the set R (0; 1). Then its complement
is not connected in R2 n U but it is connected in S2 n U .
Next we de…ne the winding number of a closed curve around a point not on
its range. Let x0 2 R2 and let be a continuous oriented curve with range
not containing x0 and parametric representation ' : [a; b] ! R2 . Then for every
t 2 [a; b], the vector ' (t) x0 is di¤erent from zero and so we can write it in
polar coordinates, namely,
' (t) x0
= (cos (t) ; sin (t)) :
k' (t) x0 k
Now for each t, there are in…nitely many possible (t), which di¤er by multiples
of 2 . We want to prove that it is possible to chose (t) in such a way that
is a continuous function.
73
Theorem 152 Let x0 2 R2 and let be a continuous oriented curve with
range not containing x0 and parametric representation ' : [a; b] ! R2 , and let
0 be such that
' (a) x0
= (cos 0 ; sin 0 ) :
k' (a) x0 k
Then there exists a unique continuous function : [a; b] ! R such that (a) = 0
and
' (t) x0
= (cos (t) ; sin (t)) (27)
k' (t) x0 k
for all t 2 [a; b]. Moreover, the number (b) (a) does not depend on the
particular choice of 0 and on the parametric representation '.
Proof. Step 1: Assume …rst that (' (t) x0 ) (' (a) x0 ) > 0 for all t 2 [a; b].
Let
u := (cos 0 ; sin 0 ) ; v := ( sin 0 ; cos 0 )
and observe that fu; vg is an orthonormal basis in R2 . De…ne the function
' (t) x0
f (t) := :
k' (t) x0 k
Then f (t) u > 0 for all t 2 [a; b] and so we may de…ne the continuous function
: [a; b] ! R given by
f (t) v
(t) := 0 + arctan :
f (t) u
Since u v = 0,
u v
(a) = 0 + arctan
= 0:
u u
It remains to show that (27) holds. Since j (t) 0j < 2, we have that
cos ( (t) 0 ) > 0 for all t 2 [a; b], and so
1 1
cos ( (t) 0) =p 2
=r
1 + tan ( (t) 2
0) f (t) v
1+ f (t) u
f (t) u f (t) u
=q = = f (t) u;
2 2 kf (t)k
(f (t) u) + (f (t) v)
where we have used the facts that fu; vg is an orthonormal basis in R2 , that
f (t) u > 0, and that kf (t)k = 1. In turn,
sin ( (t) 0) = cos ( (t) 0 ) tan ( (t) 0)

f (t) v
= (f (t) u) = f (t) v:
f (t) u
74
Hence, since fu; vg is an orthonormal basis in R2 ,
f (t) = (f (t) u) u + (f (t) v) v

= cos ( (t) 0 ) (cos 0 ; sin 0 ) + sin ( (t) 0) ( sin 0 ; cos 0 )
= (cos ( (t) 0 ) cos 0 sin ( (t) 0 ) sin 0 ; cos ( (t) 0 ) sin 0 + sin ( (t) 0 ) cos 0 )
= (cos (t) ; sin (t)) :

Proof. Step 2: By the Weierstrass theorem, there exists
"0 := min k' (t) x0 k > 0:

t2[a;b]
Since ' is continuous on the compact set [a; b], it is uniformly continuous, and
so there exists = ("0 ) > 0 such that
"0
k' (t) ' (s)k
2
for all s; t 2 [a; b] with js tj . Consider a partition
a = t0 < t1 < < tn = b
with ti ti 1 . For t 2 [ti 1 ; ti ], by Cauchy’s inequality we have that
(' (t) x0 ) (' (ti 1) x0 ) = (' (t) ' (ti 1) + ' (ti 1) x0 ) (' (ti 1) x0 )
2
= (' (t) ' (ti 1 )) (' (ti 1) x0 ) + k' (ti 1) x0 k
2
k' (t) ' (ti 1 )k k' (ti 1 ) x0 k + k' (ti 1 ) x0 k
"0
+ k' (ti 1 ) x0 k k' (ti 1 ) x0 k > 0:
2
Hence, we can apply Step 1 in the interval [t0 ; t1 ] to construct a continuous func-
tion : [t0 ; ti ] ! R such that (t0 ) = 0 and (27) holds for all t 2 [t0 ; t1 ]. Induc-
tively, assuming that we have constructed a continuous function : [t0 ; ti 1 ] !
R such that (t0 ) = 0 , we set i 1 := (ti 1 ) and apply Step 1 in the in-
terval [ti 1 ; ti ] to construct a continuous function : [ti 1 ; ti ] ! R such that
(ti 1 ) = i 1 and (27) holds for all t 2 [ti 1 ; ti ]. This gives the desired function
.
Step 3: We prove that is unique. Assume that there exist two continuous
function 1 : [a; b] ! R and 2 : [a; b] ! R such that 1 (a) = 2 (a) = 0 and
(27) holds (with 1 and 2 in place of ) for all t 2 [a; b].
Since (cos 1 (t) ; sin 1 (t)) = (cos 2 (t) ; sin 2 (t)) for all t 2 [a; b], we have
that for every t 2 [a; b] there exists kt 2 Z such that 1 (t) 2 (t) = 2 kt .
But since 1 and 2 are continuous, we have that kt has to be the same for all
t. Hence, 1 (t) 2 (t) = 2 k0 for all t 2 [a; b] and for some k0 2 Z. But,
1 (a) = 2 (a) = 0 and so k0 = 0.
,
75
Step 4: We show that the number (b) (a) does not depend on the particular
choice of 0 . Let 01 and 02 be such that
' (a) x0
= (cos 01 ; sin 01 ) = (cos 02 ; sin 02 )
k' (a) x0 k
and let 1and 2 be the corresponding functions constructed in Step 2. Then
01 02 = 2 k for some k 2 Z, and so the function
3 (t) := 1 (t) 01 + 02
satis…es (27) and 3 (a) = 02 . Hence, by uniqueness, 3 = 2, that is, 1 (t)

01 = 2 (t) 02 for all t 2 [a; b]. Taking t = b gives
1 (b) 1 (a) = 2 (b) 2 (a) :

Step 5: Finally we prove that the number (b) (a) does not depend on the
parametric representation '. Let : [c; d] ! R2 be equivalent to '. Then there
exists a continuous, bijective increasing function h : [a; b] ! [c; d] such that
' (t) = (h (t))
for all t 2 [a; b]. Let and be the functions corresponding to ' and . Then
(h (t)) x0
' (t) x0 = (h (t)) x0 = k (h (t)) x0 k
k (h (t)) x0 k
= k (h (t)) x0 k cos (h (t)) ; sin (h (t)) :
In turn, k' (t) x0 k = k (h (t)) x0 k and so
' (t) x0
= cos (h (t)) ; sin (h (t)) :
k' (t) x0 k
This shows that the function h is admissible for ' and so by uniqueness,
(b) (a) = (h (b)) (h (a)) = (d) (c) ;
where we have used the fact that h is increasing. This completes the proof.
Remark 153 Note that if the parametrization ' is of class C 1 or piecewise C 1 ,
then the function is of class C 1 .
In particular, if is a continuous closed oriented curve with range not con-
taining x0 and with parametric representation ' : [a; b] ! R2 , then
' (a) x0 ' (b) x0
(cos (a) ; sin (a)) = = = (cos (b) ; sin (b)) ;
k' (a) x0 k k' (b) x0 k
and so the number (b) (a) is a multiple of 2 . We de…ne the winding number
of around x0 to be the integer
(b) (a)
ind (x0 ) = : (28)
2
76
Note that ind (x0 ) gives the total number of times that curve travels coun-
terclockwise around the point x0 . Let’s …nd an explicit formula for ind (x0 ) in
the case in which the curve is piecewise C 1 .
Theorem 154 Let x0 = (x0 ; y0 ) 2 R2 and let be a piecewise C 1 closed
oriented curve with range not containing x0 . Then
Z
1
ind (x0 ) = g;
2
where g : R2 n fx0 g ! R2 is the the irrotational vector …eld

!
y y0 x x0
g (x; y) := 2 2; 2 2 : (29)
(x x0 ) + (y y0 ) (x x0 ) + (y y0 )
Proof. Let ' : [a; b] ! R2 be a parametric representation of . De…ne r (t) :=

k' (t) x0 k, then by (27),
' (t) = x0 + r (t) (cos (t) ; sin (t)) ; t 2 [a; b] :
Hence,
'0 (t) = r0 (t) (cos (t) ; sin (t))+r (t) ( 0
(t) sin (t) ; 0
(t) cos (t)) ; t 2 [a; b] :
It follows that
Z Z b
r (t) sin (t) 0 0
g= (r (t) cos (t) r (t) (t) sin (t))
a r2 (t)
r (t) cos (t) 0
+ (r (t) sin (t) + r (t) 0 (t) cos (t)) dt
r2 (t)
Z b
= sin2 (t) + cos2 (t) 0 (t) dt = (b) (a) :
a
This concludes the proof.

Next we prove that the winding number is constant on connected components
of the complement of the range of .
Theorem 155 Let be a piecewise C 1 closed oriented curve with range .
Then the function not containing x0 . Then
x 2 R2 n 7! ind (x)
is constant on each connected component of the open set R2 n and it is zero
on the unbounded connected component of R2 n .
Proof. Let ' : [a; b] ! R2 be a parametric representation of . By the previous
theorem,
Z b
1 ('2 (t) y) '01 (t) + ('1 (t) x) '02 (t)
ind (x) = 2 dt:
2 a k' (t) xk
77
Since ' : [a; b] ! R2 is piecewise C 1 , there exists a partition
a = t0 < t1 < < tn = b
such that the function ' : [ti 1 ; ti ] ! R2 is C 1 for every i = 1, . . . , n. Hence,

the function
('2 (t) y) '01 (t) + ('1 (t) x) '02 (t)
g (t; x; y) := 2
k' (t) xk
is uniformly continuous in [ti R2 . In turn, the function

1 ; ti ]
Z ti
1
(x; y) 7! g (t; x; y) dt
2 ti 1
is continuous. Writing,
n Z
1 X ti
ind (x) = g (t; x; y) dt;
2 i=1 ti 1
we have that the function ind is continuous in R2 n . Since it takes only integer
values, it follows that it must be constant on each connected component of the
open set R2 n .
It remains to show that it is zero in the unbounded connected component
of R2 n . Since ' : [a; b] ! R2 is piecewise C 1 , we can …nd M > 0 such that
k' (t)k M for all t 2 [a; b], and k'0 (t)k M for all but …nitely many t 2 [a; b].
Hence, for kxk > R > M , we have that
k' (t) xk kxk k' (t)k kxk M > 0;
and so
(M + kxk) M + (M + kxk) M 4
jg (t; x; y)j 2 <
(kxk M) b a
provided R is su¢ ciently large. It follows that for kxk > R,
1
jind (x)j ;
2
and since ind takes only integer values, ind (x) = 0.
Another important application of Theorem 154 is the following.
Theorem 156 Let U R2 be an open set and let 1 and 2 be two continuous,
closed, oriented curves that are homotopic in U . Then
ind 1
(x) = ind 2
(x)
for all x 2 R2 n U . In particular, if U is simply connected, then ind (x) = 0

for every continuous closed oriented curve with range contained in U and for
every x 2 R2 n U .
78
Proof. Fix x0 2 R2 n U and let 1 and 2 be as in the statement.RSince the R the
vector …eld (29) is irrotational, it follows by Theorem 143, that g= g,
1 2
and so ind 1 (x0 ) = ind 2 (x0 ). On the other hand, if U is simply connected,
then every continuous closed oriented curve 1 is homotopic to a point.
R But
for a curve 2 with constant parametric representation we have that g = 0,
2
and so by the …rst part of the theorem, ind 1 (x0 ) = 0.
Remark 157 The previous theorem proves the implication (2)=)(3) in Theo-
rem 150.
To prove that (3)=)(4) in Theorem 150 we need the following result. Given
n closed continuous oriented curves 1 , . . . , N , the family := f 1 ; : : : ; N g
is called a cycle. The range of is given by the union of the ranges of 1 ,
. . . , N . Given a point x 2 R2 not contained in the range of , we de…ne the
winding number of around x to be the integer
n
X
ind (x) := ind k
(x) :
k=1
Theorem 158 Let U R2 be an open set and let K U be a compact set.

Then there exists a cycle with range contained in U n K such that
1 if x 2 K;
ind (x) =
0 if x 2 R2 n U:
Proof. Exercise.
We prove that (3)=)(4) in Theorem 150.
Proof of Theorem 150, continued. Assume that condition (3) in Theorem
150 is satis…ed but that R2 n U is not connected. Since R2 n U is closed, its
connected components are also closed. Hence, we can …nd two disjoint nonempty
closed sets C and K such that
R2 n U = C [ K:
Moreover, since U is bounded, we may assume that there is only one unbounded
connected component contained in C, so that K is compact.
Let V := R2 n C. Then V is open and contains K. By the previous theorem
there exists a cycle with range contained in V n K such that
1 if x 2 K;
ind (x) =
0 if x 2 R2 n V:
But V n K = R2 n C n K = R2 n (C [ K) = R2 n R2 n U = U . Hence, the

range of is contained in U but ind (x) = 1 for all x 2 K R2 n U , which
contradicts hypothesis (3) in Theorem 150,since the winding number of each
closed curve in the cycle should be zero.
Next assume that (4) holds, that is, that R2 n U is connected. Consider a
continuous closed oriented curve with range contained in U and let be its
79
range. By Theorem 155, the function ind is constant on connected components
of R2 n . But R2 nU R2 n and each connected component of the smaller set is
contained in a connected component of the larger set. Hence, the function ind
is constant on connected components of R2 n U . Since R2 n U is connected and
unbounded, it follows that it must be contained in the unbounded connected
component of R2 n , hence by Theorem 155, ind (x) = 0 for all x 2 R2 n U .
This proves that (3) holds.
Exercise 159 Prove that when U is open and connected (but not necessarily
bounded) then condition (3) in Theorem 150 is equivalent to the fact that S2 n U
is connected.

Solutions second midterm.
9 Integration
The next theorem is very important in exercises. It allows to calculate triple,
double, etc.. integrals by integrating one variable at a time.
Theorem 160 (Repeated Integration) Let S RN and T RM be rec-

tangles, let f : S T ! R be Riemann integrable and assume that for every
x 2 S, theR function y 2 T 7! f (x; y) is Riemann integrable. Then the function
x 2 S 7! T f (x; y) dy is Riemann integrable and
Z Z Z
f (x; y) d (x; y) = f (x; y) dy dx: (30)
S T S T
Similarly, if for every y 2 T , the function

R x 2 S 7! f (x; y) is Riemann inte-
grable, then the function y 2 T 7! S f (x; y) dx is Riemann integrable and
Z Z Z
f (x; y) d (x; y) = f (x; y) dx dy:
S T T S
Proof. Let R := S T . Let P and Q be two partitions of R. Construct a

re…nement (exercise) P 0 = fR1 ; : : : ; Rn g of P and Q with the property that
each rectangle Rk can be written as Rk = Si Tj , where PN = fS1 ; : : : ; Sm g
and PM = fT1 ; : : : ; T` g are partitions of S and T , respectively. Using the fact
that
measN +M Rk = measN +M (Si Tj ) = measN Si measM Tj ;
80
we have
m X̀
X
L (f; P) L (f; P 0 ) = measN Si measM Tj inf inf f (x; y)
x2Si y2Tj
i=1 j=1
m
X X̀
measN Si inf measM Tj inf f (x; y)
x2Si y2Tj
i=1 j=1
Xm Z Z Z
measN Si inf f (x; y) dy f (x; y) dy dx
x2Si T S T
i=1
Z Z m
X Z
f (x; y) dy dx measN Si sup f (x; y) dy
S T i=1 x2Si T
m
X X̀
measN Si sup measM Tj sup f (x; y)
i=1 x2Si j=1 y2Tj
m X̀
X
measN Si measM Tj sup sup f (x; y)
i=1 j=1 x2Si y2Tj
= U (f; P 0 ) U (f; Q) ;
which shows that

Z Z Z Z
L (f; P) f (x; y) dy dx f (x; y) dy dx U (f; Q) :
S T S T
Taking the supremum over all partitions P of R, we get

Z Z Z
f (x; y) d (x; y) f (x; y) dy dx
S T S T
Z Z
f (x; y) dy dx U (f; Q) :
S T
Taking the in…mum over all partitions Q of R, we get

Z Z Z
f (x; y) d (x; y) f (x; y) dy dx
S T S T
Z Z Z
f (x; y) dy dx f (x; y) d (x; y) :
S T S T
Since f is Riemann integrable, it follows that

Z Z Z Z Z
f (x; y) d (x; y) = f (x; y) dy dx = f (x; y) dy dx;
S T S T S T
R
which implies that the function x 2 S 7! T
f (x; y) dy is Riemann integrable
and that (30).
81
Remark 161 Note that if in Theorem 160 we remove the hypothesis that for
every x 2 S, the function y 2 T 7! f (x; y) is Riemann integrable, we can still
R R
prove that the functions x 2 S 7! T f (x; y) dy and x 2 S 7! T f (x; y) dy are
Riemann integrable with
Z Z Z !
f (x; y) d (x; y) = f (x; y) dy dx
S T S T
Z Z
= f (x; y) dy dx:
S T
The proof is similar to the one of Theorem 160 and we leave it as an exercise.
In turn, !
Z Z Z
f (x; y) dy f (x; y) dy dx = 0:
S T T
R R
Since T f (x; y) dy T
f (x; y) dy 0, it follows from Exercise ?? that there
exists a set E S of Lebesgue measure zero such that
Z Z
f (x; y) dy f (x; y) dy = 0
T T
for all x 2 S n E. Thus, for every x 2 S n E, the function y 2 T 7! f (x; y) is

Riemann integrable.
The following example shows that without assuming that f is Riemann in-
tegrable, the previous theorem fails.
Example 162 Let f : [0; 1] [0; 1] ! R be de…ned by

8
>
< 1 if there exist p 2 prime and m; n 2 N
f (x; y) := such that (x; y) = m n
p; p ;
>
:
0 otherwise.
Let E be the set of all (x; y) 2 [0; 1] [0; 1] for which there exist p 2 prime and
m n
m; n 2 N such that (x; y) = p; p . Using the density of the rationals and of
the irrationals, it can be shown that both E and ([0; 1] [0; 1]) n E are dense in
[0; 1] [0; 1]. Hence, the set of discontinuity points of f is [0; 1] [0; 1]. Thus,
f is not Riemann integrable. On the other hand, if we …x x 2 [0; 1] and we
consider the function f (x; ), then we have the following two cases. If x = m p
for some p 2 prime and some m 2 N, then
( n o
1 if y 2 p1 ; : : : ; p p 1 ; pp ;
f (x; y) =
0 otherwise.
82
Thus f (x; ) is only discontinuous at a …nite number of points and so it is
Riemann integrable in [0; 1] with
Z 1
f (x; y) dy = 0:
0
In the second case, x cannot be written in the form mp for some p 2 prime
and some m 2 N. In this case f (x; y) = 0 for all y 2 [0; 1] and so again
R1
0
f (x; y) dy = 0, which shows that
Z 1 Z 1 Z 1
f (x; y) dy dy = 0 dy = 0
0 0 0
and similarly, Z Z Z
1 1 1
f (x; y) dx dx =
0 dx = 0:
0 0 0
R
So the iterated integrals exist and are equal, but the integral [0;1] [0;1]
f (x; y) d (x; y)
does not exist.
The following example shows that the fact that f : S T ! R be Riemann
integrable does not imply that for every x 2 S, the function y 2 T 7! f (x; y)
is Riemann integrable.
Example 163 Let f : [0; 1] [0; 1] ! R be de…ned by
1 if y 2 [0; 1] \ Q and x = 21 ;
f (x; y) :=
0 otherwise.
The function f is discontinuous only on the segment 12 [0; 1], which has
Lebesgue measure zero. Hence, f is Riemann integrable in [0; 1] [0; 1]. On
the other hand, if we …x x = 12 and we consider the function g (y) = f 12 ; y ,
y 2 [0; 1], we have that g is discontinuous at every y 2 [0; 1], and so g is not
Riemann integrable in [0; 1].
R
Exercise 164 Calculate [0;1] [0;1] f (x; y) d (x; y) in two di¤ erent ways, where
f (x; y) := x sin (x + y) :
10 Peano–Jordan Measure
Given a bounded set E RN , let R be a rectangle containing E. We say that
E is Peano–Jordan measurable if the function E is Riemann integrable over R.
In this case the Peano–Jordan measure of E is given by
Z
meas E := E (x) dx:
R
In dimension N = 2, the Peano–Jordan of a set is called area of the set and in

dimension N = 3 it is called volume of a set.
83
Exercise 165 Prove that the previous de…nition does not depend on the choice
of the rectangle R containing E.
Remark 166 Note that a rectangle is Peano–Jordan measurable and its Peano–
Jordan measure coincides with its elementary measure (see Remark ??).
Remark 167 If E; F RN are two Peano–Jordan measurable sets, with E

F , then E F , and so by Proposition ??,
meas E meas F:
Exercise 168 Prove that if E RN and F RN are Peano–Jordan mea-

surable and R is a rectangle containing E, then E [ F , E \ F , R n E are
Peano–Jordan measurable.
Exercise 169 Prove that if E1 ; : : : ; En RN are Peano–Jordan measurable

and pairwise disjoint, then
n
! n
[ X
meas Ei = meas Ei :
i=1 i=1
ExerciseS170 Prove that if E1 ; : : : ; En RN are Peano–Jordan measurable

n
and E i=1 Ei is Peano–Jordan measurable, then
n
X
meas E meas Ei :
i=1
De…nition 171 A set E RN is called a pluri-rectangle if it can be written

as a …nite union of rectangles.
Exercise 172 Prove that a pluri-rectangle can be written as a …nite union of

disjoint rectangles.
Remark 173 In view of the previous exercise and of Exercise 169, it follows
that every pluri-rectangle is Peano–Jordan measurable.
Given a bounded set E RN , the Peano–Jordan inner measure of E is

given by
measi E := sup fmeas P : P pluri-rectangle, E P g ;
while the Peano–Jordan outer measure of E is given by
measo E := inf fmeas P : P pluri-rectangle, E Pg:
The following theorem characterizes Peano–Jordan measurability.
84
Theorem 174 Given a bounded set E RN ,
Z
measi E = E (x) dx; (31)
R
Z
measo E = E (x) dx: (32)
R
In particular, measi E measo E and E is is Peano–Jordan measurable if and

only measi E = measo E, in which case meas E = measi E = measo E.
Proof. Exercise.
Remark 175 In view of the previous theorem, if a bounded set E RN has

Peano–Jordan measure zero, then for every " > 0 there exists a pluri-rectangle
P is containing E such that
meas P ":
Sn
By writing P as a union of disjoint rectangles, P = i=1 Ri , we have that
n
X
meas Ri ":
i=1
This implies that E has Lebesgue measure zero. However, the opposite is not
true. For example the set E := [0; 1] \ Q has Lebesgue measure zero (since it
is countable), but it is not Peano Jordan measurable and its outer measure is
actually one. Indeed, its characteristic function is the Dirichlet function.
Exercise 176 Let E RN , let x 2 E, let y 2 RN n E. Prove that the segment

S joining x and y intersects @E.
Theorem 177 A bounded set E RN is Peano–Jordan measurable if and only

if its boundary is Peano–Jordan measurable and it has Peano–Jordan measure
zero.
Proof. We begin by observing that if P is a pluri-rectangle, then meas @P = 0

(why?), and so
meas P = meas P = meas P :
Step 1: Assume that E RN is Peano–Jordan measurable and let R be a
rectangle containing E. By the previous theorem, for every " > 0 there exist a
pluri-rectangle P1 contained in E and and a pluri-rectangle P2 is containing E
such that
0 meas P2 meas P1 ":
Hence,
meas P2 n P1 = meas P2 meas P1

= meas P2 meas P1 ":
85
Note that P2 n P1 is still a pluri-rectangle (exercise) and since
E P2 ; P1 E ;
we have that
@E = E n E P2 n P1 :
Hence,
0 sup fmeas P : P pluri-rectangle, @E Pg

inf fmeas P : P pluri-rectangle, @E Pg meas P2 n P1 ";
which, by letting " ! 0+ , implies that
0 = sup fmeas P : P pluri-rectangle, @E Pg

= inf fmeas P : P pluri-rectangle, @E P g = 0:
It follows by the previous theorem that @E is Peano–Jordan measurable with

measure zero.
Step 2: Assume that @E RN is Peano–Jordan measurable with measure
zero. Since E is bounded, so is E and so there exists a rectangle R containing
E. Since meas @E = 0 by the previous theorem there exists a a pluri-rectangle
P containing @E such that
meas P ":
The set R n P is a pluri-rectangle and thus we can write it as disjoint unions of
rectangles,
[n
RnP = Ri :
i=1
Let P1 be the pluri-rectangle given by the union of all the rectangles Ri that
are contained in E, so that P1 E. Let P2 := P [ P1 . We claim that
E P2 :
Fix x 2 E. If x does not belong to P2 , then in particular it cannot belong to P

and so it belongs to R n P . Hence, there exists Ri such that x 2 Ri . But then
Ri must be contained in E. Indeed, if not, then there exists y 2 Ri \ (R n E).
It follows by Exercise 176 that the segment S joining x and y must contained
a point on the boundary of @E, which is a contradiction since the segment S is
contained in Ri and Ri does not intersect P @E. This proves the claim.
Since the claim holds, for every " > 0 we have found a pluri-rectangle P1
contained in E and and a pluri-rectangle P2 is containing E such that
0 meas P2 meas P1 ":
It follows by the previous theorem that E is Peano–Jordan measurable.

The next theorem shows that the integral of a nonnegative function is given
by the volume of the subgraph.
86
Theorem 178 Let R RN be a rectangle and let f : R ! [0; 1) be a bounded
function. Then f is Riemann integrable over R if and only if the set
Sf := f(x; y) 2 R [0; 1) : 0 y f (x)g
is Peano–Jordan measurable in RN +1 and in this case

Z
measN +1 Sf = f (x) dx:
R
Proof. Step 1: Assume that f is Riemann integrable over R. Given " > 0, by
Theorem ?? there exists a partition P " of R such that
0 U (f; P " ) L (f; P " ) ":
Write P " = fR1 ; : : : ; Rn g and set
Ti := Ri 0; inf f ; Ui := Ri 0; sup f
Ri Ri
and
n
[ n
[
P1 := Ti ; P2 := Ui :
i=1 i=1
Then P1 and P2 are pluri-rectangles, P1 Sf P2 and

n
X n
X
measN +1 P2 measN +1 P1 = measN +1 Ui measN +1 Ti
i=1 i=1
Xn n
X
= sup f 0 measN Ri inf f 0 measN Ri
Ri Ri
i=1 i=1
= U (f; P " ) L (f; P " ) ":
It follows from Theorem 174 that the set Sf is Peano–Jordan measurable with
Z
measN +1 Sf = f (x) dx:
R
Conversely, assume that the set Sf is Peano–Jordan measurable. Let R [0; M ]

be a rectangle containing Sf . Then Sf is Riemann-integrable over R [0; M ]
with Z
measN +1 Sf = Sf (x; y) d (x; y) :
R
For every x 2 R, the function
y 2 [0; M ] 7! Sf (x; y) = [0;f (x)] (y)
87
is Riemann integrable. Hence, by Theorem 160, the function
Z Z
x 2 R 7! Sf (x; y) dy = [0;f (x)] (y) dy
[0;M ] [0;M ]
Z f (x)
= 1 dy = f (x)
0
is Riemann integrable and

Z Z Z !
measN +1 Sf = Sf (x; y) d (x; y) = Sf (x; y) dy dx
R [0;M ] R [0;M ]
Z Z ! Z Z !
f (x)
= [0;f (x)] (y) dy dx = 1 dy dx
R [0;M ] R 0
Z
= f (x) dx:
R
This completes the proof.
Remark 179 With a similar proof one can show that if R RN is a rectangle
and f : R ! R is a bounded function, with f (x) c for all x 2 R. Then f is
Riemann integrable over R if and only if the set
Tf := f(x; y) 2 R [c; 1) : c y f (x)g
is Peano–Jordan measurable in RN +1 and in this case

Z
measN +1 Tf = (f (x) c) dx:
R
Monday, April 02, 2012
Corollary 180 Let R RN be a rectangle and f : R ! R be a Riemann

integrable function, with f (x) c for all x 2 R. Then @Tf has Peano–Jordan
measure zero in RN +1 . In particular, the graph of f ,
Gr f := f(x; y) 2 R R : y = f (x)g
has Peano–Jordan measure zero in RN +1 .
Exercise 181 Given two sets E; F RN , prove that
@ (E n F ) @E [ @F
Corollary 182 Let R RN be a rectangle, let : R ! R and : R ! R be

two Riemann integrable functions, with (x) (x) for all x 2 R, let
E := f(x; y) 2 R R: (x) y (x)g ;
88
and let f : E ! R be a bounded continuous function. Then f is Riemann
integrable over E and
Z Z Z !
(x)
f (x; y) d (x; y) = f (x; y) dy dx:
E R (x)
Proof. Consider a rectangle R [a; b] containing E and let
f (x; y) if (x; y) 2 E;
g (x; y) :=
0 if (x; y) 2 (R [a; b]) n E:
We need to show that g is Riemann integrable over R [a; b]. Hence, we need
to look at the set of discontinuity points of g. Since g is continuous in E, we
have that the discontinuity points of g are on the boundary of E. Thus, we
need to show that @E has Lebesgue measure zero in RN +1 . We will show more,
namely that it has Peano–Jordan measure zero in RN +1 . Let c 2 R be such
that (x) c for all x 2 R. Then
E = f(x; y) 2 R [c; 1) : c y (x)g n f(x; y) 2 R [c; 1) : c y< (x)g

=T nT :
By the previous exercise, @E @T [ @T and since @T and @T have Peano–

Jordan measure zero in RN +1 in view of the previous corollary, it follows that
@E has Peano–Jordan measure zero in RN +1 . This shows that g is Riemann
integrable over R [a; b].
For every x 2 R, the function
8
< 0 if y > (x)
y 2 [a; b] 7! g (x; y) = f (x; y) if (x) y (x)
:
0 if y < (x)
is Riemann integrable since it is discontinuous at most at the twoR points y =

(x) and y = (x). Hence, by Theorem 160, the function x 2 R 7! [a;b] g (x; y) dy
is Riemann integrable and
Z Z Z !
g (x; y) d (x; y) = g (x; y) dy dx
R [a;b] R [a;b]
Z Z !
(x)
= f (x; y) dy dx:
R (x)
This completes the proof.
Remark 183 If and are continuous, then the set of discontinuity points of
g is given by the union of the graphs of and , but if and are discontinuous,
then the set of discontinuity points of g is larger (why?).
89
Given a rectangle R RN , a Peano–Jordan measurable set E R, and a
Riemann integrable function f : R ! R, we de…ne the integral of f over E as
Z Z
f (x) dx := E (x) f (x) dx:
E R
Note that this integral is well-de…ned since the product of Riemann integrable
functions is still Riemann integrable.
Exercise 184 (Mean Value Theorem) Let E RN be a Peano–Jordan mea-

surable set and let f : E ! R be a bounded continuous function.
(i) Prove that f is Riemann integrable over E.

(ii) Prove that
Z
meas E inf f (x) f (x) dx meas E sup f (x) :
x2E E x2E
(iii) Prove that if E is connected and has positive measure, then there exists
c 2 E such that Z
1
f (x) dx = f (c) :
meas E E
Example 185 Let’s calculate the integral

ZZ
x (1 y) dxdy;
E
where
E := (x; y) 2 R2 : y x; x2 + y 2 1; x 0; y 0 :
We can rewrite E as follows,
( p )
2 p
E= (x; y) 2 R2 : 0 y ;y x 1 y2
2
and since the function f (x; y) := x (1p y) is bounded and continuous in E and
the functions (y) := y and (y) := 1 y 2 are continuous, we can apply the
previous corollary to conclude that
0 p 1
ZZ Z p22 Z p1 y2 ! Z p22 2 x= 1 y2
x
x (1 y) dxdy = x (1 y) dx dy = (1 y) @ A dy
E 0 y 0 2 x=y
p
Z 2
2 1 y2 y2
= (1 y) dy
0 2 2
1p 1
= 2 :
6 16
90
Exercise 186 Calculate the integral
ZZZ
(x + z) dxdydz;
E
where
E := (x; y; z) 2 R3 : x + y + z 1; x 0; y 0; z 0 :
11 Improper Integrals
In this section we study integrability for functions that are either unbounded
or are de…ned on unbounded sets. If f : [a; 1) ! R is a continuous function,
we have seen that the improper or generalized Riemann integral of f over R is
given by Z Z
1 r
f (x) dx := lim f (x) dx;
a r!1 a
provided the limit exists. If now f : E ! R is continuous, where, say
E := (x; y) 2 R2 : x 0; y 0
we would be tempted to follow a similar procedure, that is, to de…ne
ZZ ZZ
f (x; y) dxdy := lim f (x; y) dxdy;
E r!1 [0;r] [0;r]
or ZZ ZZ
f (x; y) dxdy := lim f (x; y) dxdy:
E r!1 E\B((0;0);r)
Unfortunately, in general, it could happen than one limit exist but the other
does not.
Example 187 Buck. Consider the function
f (x; y) := sin x2 + y 2
de…ned in the set
E := (x; y) 2 R2 : x 0; y 0 :
By Theorem 160,
ZZ ZZ
sin x2 + y 2 dxdy = sin x2 cos y 2 + cos x2 sin y 2 dxdy
[0;r] [0;r] [0;r] [0;r]
Z r Z r
= sin x2 cos y 2 + cos x2 sin y 2 dx dy
0 0
Z r Z r
2
=2 sin x dx cos y 2 dy
0 0
Z 1 Z 1
!2 sin x2 dx cos y 2 dy =
0 0 4
91
as r ! 1 (Fresnel integrals). On the other hand, using polar coordinates,
ZZ Z 2
Z r
2 2 2
sin x + y dxdy = sin d d
E\B((0;0);r) 0 0
=r
1 2
= cos
2 2 =0
1 1
= cos r2
2 2 2
and so the limit as r ! 1 does not exist.
The problem is that while in R there is only one “natural”way to approach

[a; 1) with compact sets, namely, using [0; r], r > 0, in higher dimensions there
is much more freedom to approach an unbounded set with bounded sets. We
would like a notion of integral that does not depend on the particular sequence
of approximating sets.
Given a set E RN , a sequence fEn g of Peano–Jordan subsets of E is called
an exhausting sequence if En En+1 for all n and
1
[
E= En :
n=1
De…nition 188 Let E RN , let f : E ! R, and assume that there exists at

least one exhausting sequence of E such that f is Riemann integrable over each
set of the sequence. We say that f is Riemann integrable in the improper sense
over E if there is an extended real number ` 2 [ 1; 1] with the property that
there exists Z
lim f (x) dx = `
n!1 En
for every exhausting sequence fEn g of E such that f is Riemann integrable over
each En . The number
R ` is called the improper Riemann integral of f over E
and is denoted E f (x) dx.
Remark 189 Note that we do not test the existence of the limit along every
exhausting sequence but only over those exhausting sequences fEn g for which f
is Riemann integrable over each En .
We begin by showing that if f is Riemann integrable over a set, then f

is Riemann integrable in the improper sense and the two notions of integrals
coincide.
Theorem 190 Let E RN be a Peano–Jordan measurable set and let f : E !

R be Riemann integrable. Then f is Riemann integrable in the improper sense
and the Riemann integral of f over E coincides with the improper Riemann
integral of f over E.
92
Proof. Exercise.
The de…nition of improper Riemann integral is not practical, since one needs
to check all exhausting sequences of E. The next result shows that for nonneg-
ative functions (and similarly for nonpositive) it is enough to consider only one
exhausting sequence.
Theorem 191 Let E RN and let f : E ! [0; 1). If there exists one ex-
hausting sequence fEn g such that f is Riemann integrable over each En and the
limit Z
lim f (x) dx
n!1 En
exists, then f is Riemann integrable in the improper sense.
Proof. Let fFk g be an exhausting sequence of E such that f is Riemann

integrable over each Fk . Then for each …xed k, the sets fEn \ Fk gn is an
exhausting sequence of Fk and since f is Riemann integrable over each Fk , it
follows from the previous theorem that
Z Z Z
f (x) dx = lim f (x) dx lim f (x) dx;
Fk n!1 En \Fk n!1 En
where in the last inequality we have used the fact that f 0.n Letting k !o 1
R
and using again the fact that f 0 (so that the sequence Fk
f (x) dx is
increasing, we obtain
Z Z
lim f (x) dx lim f (x) dx:
k!1 Fk n!1 En
By repeating the previous argument with En and Fk interchanged, we obtain the

opposite inequality. This shows that the limit does not depend on the particular
exhausting sequence and proves the theorem.
Wednesday, April 04, 2012
The previous theorem fails if f is allowed to change sign as the previous
example shows.
Example 192 Let’s compute

Z 1
x2
e dx:
1
We calculate ZZ
x2 y 2
e dxdy:
R2
2 2
Consider the exhausting sequence fB ((0; 0) ; n)g. Since f (x; y) = e x y is
continuous and bounded over each ball, it is Riemann integrable over each ball.
93
Using polar coordinates, we have
ZZ Z n Z 2 Z n
2 2
r2 r2
e x y dxdy = e r d dr = 2 e r dr
B((0;0);n) 0 0 0
r=n
1 r2 1 n2 1
=2 e =2 e + :
2 r=0 2 2
Hence,
ZZ ZZ
x2 y 2 x2 y 2
e dxdy = lim e dxdy
R2 n!1 B((0;0);n)
1 n2 1
= lim 2 e + = :
n!1 2 2
On the other hand, using the exhausting sequence f[ n; n] [ n; n]g, by Theo-

rem 160 we get
ZZ Z n Z n Z n 2
x2 y 2 x2 y2 t2
e dxdy = e e dxdy = e dt
[ n;n] [ n;n] n n n
and so
ZZ ZZ
x2 y 2 x2 y 2
= e dxdy = lim e dxdy
R2 n!1 [ n;n] [ n;n]
Z n 2 Z 1 2
t2 t2
= lim e dt = e dt ;
n!1 n 1
which implies that Z 1 p

t2
e dt = :
1
Next we prove a comparison result that will be useful in applications.
Theorem 193 (Comparison for Improper Riemann Integrals) Let E

RN and let f : E ! R and g : E ! R. Assume that f is Riemann integrable
over every subset F E over which g is Riemann integrable.
(i) If
jf (x)j g (x)
R
and g is Riemann integrable in the improper sense over E with E g (x) dx <
1, then f and jf j are Riemann integrable in the improper sense over E
and Z Z Z
f (x) dx jf (x)j dx g (x) dx:
E E E
94
(ii) If
f (x) g (x) 0
R
and g is Riemann integrable in the improper sense over E with E g (x) dx =
1, then f is Riemann integrable in the improper sense over E and
Z
f (x) dx = 1:
E
Proof. (i) Let fEn g be an exhausting sequence of nE such that g ois Riemann
R
integrable over each En . Since jf j 0, the sequence En jf (x)j dx is increas-
ing, and so there exists the limit
Z
lim jf (x)j dx = ` 2 [0; 1] :
n!1 En
R R
On the other hand, since En jf (x)j dx En
g (x) dx by Proposition ??, it
follows that
Z Z Z
lim jf (x)j dx lim g (x) dx = g (x) dx < 1:
n!1 En n!1 En E
In view of Theorem 191, it follows that jf j is Riemann integrable in the improper

sense over E. nR o
Similarly, since jf j f 0, the sequence En
(jf (x)j f (x)) dx is in-
creasing, and so there exists the limit
Z
lim (jf (x)j f (x)) dx = `1 2 [0; 1] :
n!1 En
R R
On the other hand, since En (jf (x)j f (x)) dx 2 En jf (x)j dx by Proposi-
tion ??, it follows that
Z Z Z
lim (jf (x)j f (x)) dx lim 2 jf (x)j dx = 2 jf (x)j dx < 1:
n!1 En n!1 En E
In view of Theorem 191, it follows that jf j f is Riemann integrable in the

improper sense over E.
Using the fact that f = jf j (jf j f ), it follows that
Z Z Z
f (x) dx = jf (x)j dx (jf (x)j f (x)) dx:
En En En
Letting n ! 1, we have that the right-hand side has a limit, and so there exists
Z Z Z
lim f (x) dx = lim jf (x)j dx lim (jf (x)j f (x)) dx
n!1 E n!1 E n!1 E
n
Z n
Z n
= jf (x)j dx (jf (x)j f (x)) dx:

E E
95
This shows that for every exhausting sequence fEn g of E such that f is Riemann
integrable over each En , there exists the limit
Z Z Z
lim f (x) dx = jf (x)j dx (jf (x)j f (x)) dx:
n!1 En E E
Since the limit is the same for every exhausting sequence fEn g, we have that f
is Riemann integrable in the improper sense over E.
(ii) Let fEn g be an exhausting sequence of E such that g is Riemann inte-
grable over each En . By hypothesis f is Riemann integrable over each En , and
so by Proposition ??, it follows that
Z Z
f (x) dx g (x) dx:
En En
Letting n ! 1, we get
Z Z Z
lim f (x) dx lim g (x) dx = g (x) dx = 1:
n!1 En n!1 En E
It follows from
R Theorem 191 that f is Riemann integrable in the improper sense
over E with E f (x) dx = 1.
Remark 194 An important function g in the previous theorem is given by

1
g (x) := a;
kx x0 k
where x0 is a …xed point of RN and a > 0.
Exercise 195 Consider the function

1
f (x; y) := 2
(x2 + y 2 )
de…ned in the set
E := (x; y) 2 R2 : y x4 ; x 2 + y 2 2; x > 0; y > 0 :
Prove that f is Riemann integrable in the improper sense over E and that the
improper Riemann integral is …nite.
x2 y2
f (x; y) := 2
(x2 + y 2 )
de…ned in the open square Q of vertices (0; 0), (0; 1), (1; 1), and (1; 0). Prove
that f is not Riemann integrable in the improper sense over Q.
96
The next result shows that if f is Riemann integrable in the improper sense
over E with …nite improper Riemann integral, then the same is true for jf j.
This is in sharp contrast with the 1-dimensional case. Hence, the de…nition of
improper integral in RN is not an extension of the one given for N = 1.
Theorem 197 Let E RN and let f : E ! R be Riemann integrable in

the improper sense over E with …nite improper Riemann integral. Then jf j is
Riemann integrable in the improper sense over E with …nite improper Riemann
integral.
Proof. Step 1: Let F E be Peano–Jordan measurable and assume that f is

Riemann integrable over F . Then there exists a Peano–Jordan measurable set
G F such that Z Z
jf (x)j dx 3 f (x) dx :
F G
R
Let s := F
jf (x)j dx. If s = 0, take G := ;. If s > 0, then writing
Z Z Z
s := jf (x)j dx = f + (x) dx + f (x) dx;
F F F
R
where +
R f := max ff; 0g and f := Rmax f f; 0g, we have that F f + (x) dx 2s
or F f (x) dx 2s . Assume that F f + (x) dx 2s (the other case is similar).
Let R be a rectangle containing F . Since
Z Z
+ s s
F (x) f (x) dx = f + (x) dx > ;
R F 2 3
by the de…nition of lower integral there exists a partition P = fR1 ; : : : ; Rn g of
R such that
n
X
+ s
L Ff ; P := meas Ri inf F (x) f + (x) > :
i=1
x2Ri 3
Let G be given by the union of all rectangles Ri such that inf x2Ri F (x) f + (x) >
0. Then G is a pluri-rectangle, and so it is Peano–Jordan measurable. Moreover,
if x 2 G, then x 2 Ri for some i. In turn, F (x) f + (x) > 0, which implies that
x 2 F . Thus, G F . Moreover, f (x) = f + (x) for all x 2 G. Hence,
Z Z
f (x) dx = f + (x) dx
G G
Z
s 1
L F f +; P > = jf (x)j dx:
3 3 F
Friday, April 06, 2012

Proof. Step 2: We claim that there exists L > 0 such that
Z
f (x) dx L
F
97
for every Peano–Jordan measurable set F E such that f is Riemann integrable
over F . Assume by contradiction that this is not the case and let fEn g be
an exhausting sequence of E such that f is Riemann integrable over each En .
De…ne G1 := E1 . Since f is Riemann integrable
R over G1 , we have that jf j is also
Riemann integrable over G1 , so that G1 jf (x)j dx < 1. By the contradiction
hypothesis, there exists a Peano–Jordan measurable set F1 E such that f is
Riemann integrable over F1 and
Z Z
f (x) dx 1+ jf (x)j dx;
F1 G1
R
since otherwise we could take L := 1 + G1 jf (x)j dx. Inductively, for every
n 2 we can …nd a Peano–Jordan measurable set Fn E such that f is
Riemann integrable over Fn and
Z Z
f (x) dx n+ jf (x)j dx;
Fn Gn
where Gn := En [ F1 [ [ Fn 1 .
Note that the sequence Hn := Fn [ Gn is an admissible exhausting sequence
of E. Moreover, using the fact that Hn n Fn Gn , we have that
Z Z Z
f (x) dx = f (x) dx + f (x) dx
Hn Fn Hn nFn
Z Z
f (x) dx f (x) dx
Fn Hn nFn
Z Z
f (x) dx jf (x)j dx
Fn Hn nFn
Z Z
f (x) dx jf (x)j dx n;
Fn Gn
which implies that

Z Z
f (x) dx = lim f (x) dx = 1:
E n!1 Hn
R
This contradicts the fact that E f (x) dx < 1.
Step 3: We claim that Z
jf (x)j dx 3L
F
for every Peano–Jordan measurable set F E such that f is Riemann integrable
over F . This follows from Step 2 by applying Step 1.
Step 4: In view of the previous step, for any fEn g exhausting sequence of E
such that jf j is Riemann integrable over each En we have that
Z
jf (x)j dx 3L:
En
98
Since jf j 0, letting n ! 1 and using Theorem 191, we get that
Z
jf (x)j dx 3L:
E
Example 198 Consider the function f : [ ; 1) ! R de…ned by

sin x
f (x) = :
x
Then the limit Z r
sin x
lim dx
r!1 x
exists and is …nite. To see this, we integrate by parts,
Z r h cos x ir Z r cos x
sin x
dx = dx
x x x2
Z r
1 cos r cos x
= + dx:
r x2
R1 1
Since cos
x2
x 1
x2 and x2 dx < 1, it follows that there exists
Z r Z r
sin x 1 cos x
lim dx = 0 + lim dx =: ` 2 R: (33)
r!1 x r!1 x2
Thus, f is Riemann integrable in the improper sense according to the de…nition
of Real Analysis I. However, f is not Riemann integrable in the improper sense
according to De…nition 188. We show this in two two ways.
R 1 sin x
We show that x dx = 1. Indeed, for n 2,
Z n X n Z k n
X Z k
sin x sin x 1
dx = dx jsin xj dx
x (k 1) x k (k 1)
k=2 k=2
Xn Z n
X
1 2
= jsin xj dx = :
k 0 k
k=2 k=2
Hence,
Z 1 Z n n
X
sin x sin x 2
dx = lim dx lim = 1:
x n!1 x n!1 k
k=2
In view of the previous theorem and of (33), f cannot be Riemann integrable in

the improper sense according to De…nition 188. A more direct way to see this
is to consider the exhausting sequence
2n
[
En := [ ; (2n 1) ] [ [2k ; (2k + 1) ] :
k=n
99
We have
Z Z (2n 1) X 2n Z (2k+1)
sin x sin x sin x
dx = dx + dx
En x x 2k x
k=n
Z (2n 1) 2n
X Z (2k+1)
sin x 1
dx + sin x dx
x (2k + 1) 2k
k=n
Z (2n 1) X 2n
sin x 2
= dx +
x (2k + 1)
k=n
Z (2n 1) X 2n
sin x 2
dx +
x (4n + 1)
k=n
Z (2n 1)
sin x 2n + 2
= dx + :
x +4 n
Letting n ! 1 and using (33) gives

Z Z (2n 1)
sin x sin x 2n + 2 1
lim inf dx lim dx + lim =`+ > `;
n!1 En x n!1 x n!1 +4 n 2
which shows that f cannot be Riemann integrable in the improper sense accord-
ing to De…nition 188, since along two exhausting sequences we obtain di¤ erent
limits.
12 Change of Variables
We show that Lipschitz transformations map sets of measure zero into sets of
measure zero.
Theorem 199 Let E RN be a Peano–Jordan measurable and let g : E ! RM

be a Lipschitz function, with N M . Moreover, if N = M , assume that E has
measure zero. Then g (E) is Peano–Jordan measurable with measure zero.
Proof. Exercise.
Next we show that Peano–Jordan measurability is preserved under C 1 trans-
formations.
Theorem 200 Let U RN be an open set and let g : U ! RM be a function

1
of class C . Let E RN be a Peano–Jordan measurable set with E U.
Moreover, if N = M , assume that E has measure zero. Then g (E) is Peano–
Jordan measurable with measure zero.
Proof. Exercise.
100
Remark 201 In particular, it g is the parametrization of a curve, then N = 1
so that by the previous theorem it follows that the range of a curve has measure
zero for all M > 1. Hence, sets of the type
E1 := (x; y) 2 R2 : 4x2 + 9y 2 16 ;
2 2 2
E2 := (x; y) 2 R : x + y 1 ;
are Peano-Jordan measurable, since their boundary is the range of a curve.

Consider the parametrization cos t; 34 sin t , t 2 [0; 2 ], for @E1 and (cos t; sin t),
t 2 [0; 2 ], for @E2 .
We will see that a similar result holds in higher dimensions. In this case to
describe the boundary of a set we will need to talk about surfaces.
An alternative proof would be to show that g : E ! RM is Lipschitz (see

the following exercise).
Exercise 202 Let U RN be an open set, let K U be a compact set, and

let f : U ! R be a function of class C 1 .
1. Prove that R := dist (K; @U ) > 0.

2. For 0 < < R and consider the set
V := fx 2 U : dist (x; K) < g :
Prove that V is open, bounded and K V V U.

3. Prove that f : K ! R is Lipschitz continuous.
Corollary 203 Let U RN be an open set and let g : U ! RN be a function of

class C 1 . Let E RN be a Peano–Jordan measurable set with E U . Assume
that det Jg (x) 6= 0 for all x 2 E . Then g (E) is Peano–Jordan measurable.
Proof. Exercise.
Using the previous theorems, we can show the change of variables theorem.
Theorem 204 (Change of variables for multiple integrals) Let U RN

be an open set and let g : U ! RN be a one-to-one function of class C 1 such
that det Jg (x) 6= 0 for all x 2 U . Let E RN be Peano–Jordan measurable
with E U and let f : g (E) ! R be Riemann integrable. Then the function
x 2 E 7! f (g (x)) jdet Jg (x)j is Riemann integrable and
Z Z
f (y) dy = f (g (x)) jdet Jg (x)j dx:
g(E) E
Example 205 Let’s calculate the integral

ZZ
(x + y) dxdy;
F
101
where
F := (x; y) 2 R2 : 0 < x < y < 2x; 1 < xy < 2 :
Consider the change of variables u = xy and v = xy . Let’s solve for x and y.
p p
We have x = uv and y = uv. De…ne g : U ! R2 as follows
r
u p
g (u; v) := ; uv ;
v
where
U := (u; v) 2 R2 : u > 0; v > 0 :
Then g is one-to-one and its inverse is given by g 1 (x; y) := xy; xy . (Note
that in general it is much simpler to check that g is one-to-one than …nding the
inverse). Moreover,
@g1 @g1
@u (u; v) @v (u; v)
det Jg (u; v) = det @g2 @g2
@u (u; v) @v (u; v)
p
u
!
p1 3=2 1
2p uv p2v
= det = :
pv pu 2v
2 u 2 v
Set E = (1; 2) (1; 2) and note g (E) = F . By the change of variables theorem,
ZZ ZZ
(x + y) dxdy = (g1 (u; v) + g2 (u; v)) jdet Jg (u; v)j dudv
F E
ZZ r
u p 1
= + uv dudv
E v 2v
ZZ p p
1 u u
= 3=2
+ dudv:
2 E v v
It follows that
ZZ Z Z p p Z p v=2
!
2 2 2 p
1 u u 1 u
(x + y) dxdy = + dv du = 2 + u log v du
F 2 1 1 v 3=2 v 2 1 v 1=2 v=1
Z 2 p
1 p 1
= u ln 2 du = (ln 2) 2 2 1 :
2 1 3

Given an open set U RN , a function g : U ! RN is called elementary
or primitive if there exists m 2 f1; : : : ; N g such that for all i = 1; : : : ; N , with
i 6= m, and all x 2 U ,
gi (x) = xi :
In other words, except for the m-th component, g is the identity. Note that if
g is di¤erentiable, then
rgi (x) = ei
102
for all i = 1; : : : ; N , with i 6= m, and all x 2 U , so that
@gm
det Jg (x) = (x) : (34)
@xm
A function g : U ! RN is called a ‡ip if there exist m; n 2 f1; : : : ; N g such that
for all i = 1; : : : ; N , with i 6= m; n, and all x 2 U ,
gi (x) = xi ;
while
gm (x) = xn ; gn (x) = xm :
Theorem 206 Let U RN be an open set and let g : U ! RN be a function

1
of class C such that det Jg (x) 6= 0 for all x 2 U . Given x0 2 U , there exist
B (x0 ; r) U and n bounded functions of class C 1 , gi : Ui ! RN , i = 1; : : : ; n,
such that Ui RN is open and bounded, Un = B (x0 ; r), det Jgi (x) 6= 0 for all
x 2 Ui , gi is either elementary or a ‡ip, gi (Ui ) Ui 1 for all i = 2; : : : ; n, and
g = g1 gn in B (x0 ; r)
Lemma 207 Let g : [a; b] ! R be a one-to-one di¤ erentiable function with

continuous derivative g 0 such that g 0 (x) 6= 0 for all x 2 [a; b], and let f :
g ([a; b]) ! R be a bounded function Then
Z Z b
f (y) dy = f (g (x)) jg 0 (x)j dx
g([a;b]) a
0
Proof. Assume that g 0 (the case g 0 0 is similar). Since [a; b] is compact
and g : [a; b] ! R is continuous, g 0 is uniformly continuous, and so given " > 0,
0
there exists = (") > 0 such that
jg 0 (x) g 0 (z)j " (35)
for all x; z 2 [a; b] with jx zj .

Consider a partition P of [a; b] and …nd a re…nement P" = fx0 ; : : : ; xn g with
the property that (xi xi 1 ) for all i = 1; : : : ; n. Since g : [a; b] ! R is one-
to-one and continuous, the set g ([a; b]) is an interval and, setting yi := g (xi ),
the set Q" = fy0 ; : : : ; yn g is a partition of g ([a; b]). Let Ji be the closed interval
of endpoints yi 1 and yi . By the de…nition of upper integral
Z Xn
f (y) dy U (f; Q" ) = (yi yi 1 ) sup f (y) : (36)
g([a;b]) i=1 y2Ji
By the mean value theorem, there exists ci 2 (xi 1 ; xi ) such that
(yi yi 1) = (g (xi ) g (xi 1 )) = g 0 (ci ) (xi xi 1)

0
(xi xi 1) sup g (x) :
x2Ji
103
Moreover, since g ([xi 1 ; xi ]) = Ji ,
sup f (y) = sup f (g (x)) :

y2Ji x2[xi 1 ;xi ]
Hence,
n
X n
X
(yi yi 1 ) sup f (y) (xi xi 1) sup f (g (x)) sup g 0 (z) :
i=1 y2Ji i=1 x2[xi 1 ;xi ] z2[xi 1 ;xi ]
(37)
Given x; z 2 [xi 1 ; xi ], we have that
f (g (x)) g 0 (z) = f (g (x)) (g 0 (x) + g 0 (z) g 0 (x))

f (g (x)) g 0 (x) + jf (g (x))j jg 0 (z) g 0 (x)j (38)
0
f (g (x)) g (x) + "M;
where we have used (35), and where M 0 is a bound for jf j. It follows that
sup f (g (x)) sup g 0 (z) sup (f (g (x)) g 0 (x)) + "M;

x2[xi 1 ;xi ] z2[xi 1 ;xi ] x2[xi 1 ;xi ]
and so
n
X
(xi xi 1) sup f (g (x)) sup g 0 (z)
i=1 x2[xi 1 ;xi ] z2[xi 1 ;xi ]
n
X n
X
(xi xi 1) sup f (g (x)) g 0 (x) + (xi xi 1 ) "M (39)
i=1 x2[xi 1 ;xi ] i=1
= U ((f g) g 0 ; P" ) + "M (b a) U ((f 0
g) g ; P ) + "M (b a) :
By combining the inequalities (36)-(39), we get

Z
f (y) dy U ((f g) g 0 ; P ) + "M (b a) :
g([a;b])
Taking the in…mum over all partitions P of [a; b], we get

Z Z b
f (y) dy f (g (x)) g 0 (x) dx + "M (b a) :
g([a;b]) a
Letting " ! 0 gives

Z Z
f (y) dy f (g (x)) g 0 (x) dx:
g([a;b]) [a;b]
To prove the opposite inequality, consider the function f1 (x) := f (g (x)) g 0 (x),
let g ([a; b]) = [c; d] and apply what we just proved to the nonnegative bounded
104
1
function f1 , using g in place of g, to get
Z b Z Z d
0 1 1 0
f (g (x)) g (x) dx = f1 (x) dx f1 g (y) g (y) dy
a g 1 ([c;d]) c
Z Z
1 1 0
= f g g (y) g0 g 1
(y) g (y) dy = f (y) dy;
g([a;b]) g([a;b])
where we have used the fact that

1 0 1
g (y) =
g 0 (g 1 (y))
for all y 2 [a; b] (see Theorem ??).
The previous lemma holds under signi…cantly weaker hypotheses.
In the proof of Theorem 204 we will use the following facts about sections.
If V RN is open, writing x = (x0 ; xN ) 2 RN 1 R, we have that for every
0 N 1
x 2R the section
Vx0 = fxN 2 R : (x0 ; xN ) 2 V g
is open in R. In turn, if C RN is closed, we have that for every x0 2 RN 1
the section
Cx0 = fxN 2 R : (x0 ; xN ) 2 Cg
is closed. Indeed, R n Cx0 = fxN 2 R : (x0 ; xN ) 2= Cg = RN n C x0 , which is
open.
Proof of Theorem 204. Step 1: Let’s prove that the theorem holds if U is
open and bounded and g is elementary and bounded. Without loss of generality,
we may assume that the only component that is not the identity is the last one,
so that for all i = 1; : : : ; N 1 and all x 2 U ,
gi (x) = xi :
In this case, by (34),

@gN
jdet Jg (x)j = (x) :
@xN
Consider a rectangle R containing g (U ) and de…ne
f (y) if y 2 R;
h (y) := (40)
0 if y 2 R n g (E) :
Then by the de…nition of Riemann integral of f over E, we have that

Z Z
f (y) dy = h (y) dy: (41)
g(E) R
Let
R = I1 IN :
105
Write y = (y0 ; yN ) 2 RN 1 R and let R = R0 IN , where R0 := I1 IN 1.
By Theorem 160 and Remark 161,
Z Z Z
h (y) dy = h (y0 ; yN ) dyN dy0 : (42)
R R0 IN
Fix y0 2 R0 . By the inverse function theorem, the set V := g (U ) is open and

so its section Vy0 . Moreover, since E is compact and g is continuous, it follows
that the set K := g E is compact. In turn, its section Ky0 is also compact.
Since Vy0 is open in R, it can be written as a countable union of disjoint open
intervals, that is, [
Vy 0 = Jn :
n
Then [
Ky0 Vy0 = Jn IN ;
n
S`
and so by compactness there exists ` 2 N such that Ky0 n=1 Jn IN .
Using the fact that h (y0 ; yN ) = 0 for all yN 2
= (g (E))y0 Ky0 , we have that
(see Proposition 242 in the Real Analysis I notes)
Z X̀ Z
0
h (y ; yN ) dyN = h (y0 ; yN ) dyN : (43)
IN n=1 Jn
Consider the the change of variables yN = gN (y0 ; xN ). Since the function

k (xN ) := gN (y0 ; xN ), xN 2 Uy0 , is one-to-one and of class C 1 and Jn Vy0 =
k (Uy0 ), we have that k 1 (Jn ) is an interval, and so we are in a position to apply
the previous lemma to obtain
X̀ Z X̀ Z @gN 0
h (y0 ; yN ) dyN = h (y0 ; gN (y0 ; xN ))
(y ; xN ) dxN :
n=1 Jn
1
n=1 k (Jn )
@xN
(44)
Since gi (y0 ; xN ) = yi for i 6= N , k 1 (Jn ) Uy0 , and h (y0 ; gN (y0 ; xN )) = 0
for xN 2
= Ey 0 Uy0 , if we consider an interval R1 := R0 J containing U and
de…ne (
@gN
f (g (x)) @x (x) if x 2 E;
h1 (x) := N
0 if y 2 R1 n E;
then by (40) and Proposition 242 in the Real Analysis I notes
X̀ Z @gN 0 X̀ Z
0 0
h (y ; gN (y ; xN )) (y ; xN ) dxN = h1 (y0 ; xN ) dxN
n=1 k 1 (J )
n
@xN n=1 k
1 (J
n)
(45)
Z
= h1 (y0 ; xN ) dxN :
J
106
Hence, by (41)-(45), Theorem 160 and Remark 161,
Z Z Z
f (y) dy = h1 (y0 ; xN ) dxN dy0
g(E) R0 J
Z
= h1 (x) dx
R1
Z
= f (g (x)) jdet Jg (x)j dx:
E
Step 2: If g is a ‡ip, then Jg (x) is obtained by interchanging two rows in

the identity matrix IN and so jdet Jg (x)j = 1. The results follows by applying
Theorem 160.
Proof. Step 3: We prove that if the theorem holds for g1 : U1 ! RN and for
g2 : U2 ! RN , where g2 (U2 ) U1 , then it holds for g1 g2 . More precisely, we
are assuming that Ui RN are open bounded sets, that gi : Ui ! RN are one-
to-one bounded functions of class C 1 such that det Jgi (x) 6= 0 for all x 2 Ui , and
that for all Ei RN Peano–Jordan measurable sets with Ei Ui and for all fi :
gi (Ei ) ! R Riemann integrable, the functions x 2 Ei 7! fi (gi (x)) jdet Jgi (x)j
are Riemann integrable and
Z Z
fi (y) dy = fi (gi (x)) jdet Jgi (x)j dx;
gi (Ei ) Ei
where i = 1; 2.
Consider the function g := g1 g2 : U2 ! RN , let E RN be a Peano–
Jordan measurable set with E U2 and let f : g (E) ! R be Riemann inte-
grable. Then Z Z
f (y) dy = f (y) dy;
g(E) g1 (g2 (E))
and so, by applying the change of variable y = g1 (z) (with E1 := g2 (E) and
f1 := f ), we get
Z Z
f (y) dy = f (g1 (z)) jdet Jg1 (z)j dz:
g1 (g2 (E)) g2 (E)
On the other hand, applying the change of variable z = g2 (x) (with f2 (z) :=
f (g1 (z)) jdet Jg1 (z)j and E2 := E), we get
Z Z
f (g1 (z)) jdet Jg1 (z)j dz = f (g1 (g2 (x))) jdet Jg1 (g2 (x))j jdet Jg2 (x)j dx
g2 (E) E
Z
= f (g (x)) jdet Jg (x)j dx;
E
where we have used the fact that
Jg (x) = Jg1 (g2 (x)) Jg2 (x)
107
by Corollary 67, so that
det Jg (x) = det Jg1 (g2 (x)) det Jg2 (x) 6= 0:
Step 4: By Theorem 206 for every x 2 U there exists B (x; rx ) U such

that g restricted to B (x; rx ) is given by the union of …nite many elementary
di¤eomorphisms and ‡ips. Since E U , the family of balls B x; 12 rx x2U
covers the compact set E, and so by compactness there exist x1 ; : : : ; xn 2 U
such that
[n
1
E B xi ; rxi : (46)
i=1
2
1 1
Let := min 2 rx1 ; : : : ; 2 rxn > 0. Consider a rectangle P containing E and
de…ne
f (g (x)) jdet Jg (x)j if x 2 E;
h2 (x) :=
0 if y 2 P n E;
Partition P into a …nite number of rectangles of diameter less than , say,
m
[
P = Rj :
j=1
Then
Z Z m Z
X
f (g (x)) jdet Jg (x)j dx = h2 (x) dx = h2 (x) dx
E P j=1 Rj
X Z
= f (g (x)) jdet Jg (x)j dx;
j such that Rj \E6=; Rj \E
where in the last R equality we have used the fact that if Rj does not intersect
the set E, then Rj h2 (x) dx = 0.
Fix j such that Rj \ E 6= ;. Then by (46), there exists i 2 f1; : : : ; mg such
that Rj intersects B xi ; 12 rxi . On the other hand, the diameter of Rj is less
1
than 2 rxi , and so Rj is contained in B (xi ; rxi ).
By construction g restricted to B (xi ; rxi ) is given by the union of …nitely
many elementary di¤eomorphisms and ‡ips. Hence, by applying Steps 1, 2, and
3 (with U replaced by B (xi ; rxi ) and with E replaced by Rj \ E), we conclude
that Z Z
f (g (x)) jdet Jg (x)j dx = f (y) dy;
Rj \E g(Rj \E)
and by summing over all Rj that intersect the set E, we get

Z X Z
f (g (x)) jdet Jg (x)j dx = f (y) dy
E j such that Rj \E6=; g(Rj \E)
Z
= f (y) dy;
g(E)
108
where we have used the fact that, since g is one-to-one, the sets g (Rj \ E) are
disjoint, so that
0 1
[ [
g (Rj \ E) = g @ (Rj \ E)A
j such that Rj \E6=; j such that Rj \E6=;
0 1
m
[
= g@ (Rj \ E)A = g (P \ E) = g (E) :
j=1
13 Spherical Coordinates in RN
The most important applications of the previous theorem is spherical coor-
dinates in RN . We introduce them by induction. For N = 2 we use polar
coordinates. More precisely, we de…ne
g (r; ) := (r cos ; r sin ) ; ( ; r) 2 [0; 1) [0; 2 ) :
Note that partial derivatives of any order exist in R2 and are continuous. The
Jacobian of g is given by
@g1 @g1
@r (r; ) @ (r; )
det Jg (r; ) = det @g2 @g2
@r (r; ) @ (r; )
cos r sin
= det = r cos2 + r sin2 = r;
sin r cos
which is zero at r = 0. We observe that g is onto but g is one-to-one only in

the set where (0; 1) [0; 2 ). However, this is not open. Consider instead, the
open sets U := (0; 1) (0; 2 ) and V := R2 n f(x; 0) : x 0g and let’ p s prove
that g : U ! V is invertible. For every (x; y) 2 V , we have that r = x2 + y 2 ,
while is the angle from (0; 0) to the half-line through (x; y), with 0 < < 2 .
To …nd in terms of x and y, we use the fact that
sin
cot = ;
2 1 cos
so that
sin
=2 = 2 arccot cot = 2 arccot :
2 2 1 cos
p y
1
Hence, g (x; y) := x2 + y 2 ; 2 arccot p . Note that we cannot
x2 +y 2 x
apply Theorem 204 to g but we can apply Corollary ??, since if W is, say, a
bounded set W [0; 1) [0; 2 ) the “bad” set F is given by
F := f(r; 0) : 0 r Rg [ f(0; ) : 2 [0; 2 )g
109
for some large R > 0. Moreover g (F ) is a bounded subset of the x-axis. Hence,
meas (F ) = meas (g (F )) = 0.
Exercise 208 Find the integral

ZZ
x + y 2 dxdy;
F
where
F := (x; y) 2 R2 : 1 < x2 + y 2 < 4; x > 0; y > 0 :
Assume that spherical coordinates have been given in RN 1 . Given x 2 RN ,

let r = kxk and let 1 be the angle from the positive x1 -axis to x, precisely,
1 x1
1 := cos ; 0< 1 < :
r
Then x1 = r cos 1 . Let ( ; 2 ; : : : ; N 1) be the spherical coordinates of x0 =
(x2 ; : : : ; xN ). Then
q p q
2
= kx0 kN 1 = kxk x21 = r2 r2 cos2 1 =r sin2 1 = r jsin 1j = r sin 1:
Hence, by induction we get
x1 = r cos 1;
x2 = r sin 1 cos 2;
..
.
xN 1 = r sin 1 sin 2 sin N 2 cos N 1;
xN = r sin 1 sin 2 sin N 2 sin N 1:
Consider the transformation
g (r; 1; : : : ; N 1) := (r cos 1; ; r sin 1 sin 2 sin N 2 sin N 1)
where r 0, 0 N 1 < 2 , 0 i < for all i = 1; : : : ; N 2. Note that

partial derivatives of any order exist in RN and are continuous. Moreover, by
induction it can be shown that
jdet Jg (r; 1; : : : ; N 1 )j = rN 1
sinN 2
1 sinN 3
2 sin N 2:
Consider the open sets
U := (0; 1) (0; ) (0; ) (0; 2 ) ;

V := g (U ) :
110
Then g : U ! V is invertible and the inverse is given by
r = kxk ;
x1
1 = arccot p ;
x22 + + x2N
..
.
xN 2
N 2 = arccot q ;
x2N 1+ x2N xN 1
xN
N 1 = 2 arccot q :
x2N 2
1 + xN xN 1

If f is radial, that is, if f (x) = h (kxk), where h : [r1 ; r2 ] ! [0; 1) is a
continuous function, then
Z Z r2
f (x) dx = N h (r) rN 1 dr;
B(0;r2 )nB(0;r1 ) r1
where N does not depend on h, r1 , r2 . To …nd N , take h = 1 and r1 = 0 and

r2 = 1. Then
Z 1
N (1 0)
meas (B (0; 1)) = N rN 1 dr = ;
0 N
and so N = N meas (B (0; 1)).
Note that by taking h = 1 and r1 = 0 and r2 = R we get
N
meas (B (0; R)) = RN = meas (B (0; 1)) RN : (47)
N
To …nd meas (B (0; 1)), we have the following:
Theorem 209 Let N 1. Then the measure of B (x0 ; r) is

N=2
rN :
(1 + N=2)
Proof. Since B (x0 ; r) = x0 + rB (0; 1), by homogeneity, we have that the

volume of B (x0 ; r) is given by rN times the volume of the unit ball B (0; 1).
Write points of RN +1 as (x; y) with x 2 RN and y 2 R and consider the set
n o
2
D := (x; y) 2 RN +1 : kxkN < y :
We now consider the integral

Z
y
e dxdy:
D
111
We now integrate into two di¤erent ways.
Z Z Z !
1
y y
e dxdy = e dx dy
D 0 B (0;y 1=2 )
Z Z !
1
y
= e 1 dx dy
0 B (0;y 1=2 )
Z 1
y
= e measN B 0; y 1=2 dy
0
Z 1 Z 1
y N=2 y N=2
= e y measN B (0; 1) dy = measN B (0; 1) e y dy
0 0
= (1 + N=2) measN B (0; 1) :
On the other hand,

Z Z Z !
1
y y
e dxdy = e dy dx
D RN kxk2N
Z
y y=1
= e y=kxk2N
dx
RN
Z Z
kxk2N x21 x22 x2N
= e dx = e dx1 dx2 dxN
N RN
ZR
x21 x22 x2N
= e e e dx1 dx2 dxN
RN
Z Z Z
x21 x22 x2N
= e dx1 e dx2 e dxN = IN ;
R R R
where Z
t2
I := e dt:
R
This shows that
(1 + N=2) measN B (0; 1) = I N :
Now for N = 2, we know that meas2 B (0; 1) = , while (1 + 2=2) = (2) = 1.
Hence,
= I 2;
1=2
which shows that I = . This completes the proof.
Example 210 An important function g in Theorem 193 is the radial function

given by
1
g (x) := a;
kx x0 k
where x0 is a …xed point of RN and a > 0. Note that g is continuous in its
domain RN n fx0 g. Consider the domain E = B (x0 ; R) n fx0 g. An exhaust-
ing sequence fEn g is given by En := B (x0 ; R) n B x0 ; n1 . Using spherical
112
1
coordinates, we have that for all n > R,
Z Z R Z R
1 rN 1
a dx = N dr = N rN a 1
dr
En kx x0 k 1=n ra 1=n
8
< [log r]r=R if a = N;
= N h N ar=1=n
ir=R
: rN a if a 6= N
r=1=n
log R + log n if a = N;
= N 1 N a 1
N a R nN a if a =
6 N:
Letting n ! 1 and using Theorem 191, we obtain

Z Z
1 1
a dx = lim a dx
B(x0 ;R)nfx0 g kx x 0 k n!1 En kx x0 k
1 if a N;
= N 1 N a
N aR if a < N:
On the other hand, if we consider the domain F = RN n B (x0 ; R). An ex-

hausting sequence fFn g is given by Fn = B (x0 ; n) n B (x0 ; R). Using spherical
coordinates, we have that for all n > R,
Z Z n N 1
1 r
a dx = N dr
Fn kx x0 k R ra
log n log R if a = N;
= N 1
N a nN a R N a
if a =
6 N:
Letting n ! 1 and using Theorem 191, we obtain

Z Z
1 1
a dx = lim a dx
B(x0 ;R)nfx0 g kx x 0 k n!1 En kx x0 k
1 if a N;
= N 1 N a
a NR if a > N:
Corollary 211 Let E RN , let f : E ! R be continuous and let x0 2 RN n E.

Assume that there exist a > 0 and C > 0 such that
C
jf (x)j a for all x 2 E:
kx x0 k
(i) If E is a (bounded) Peano–Jordan measurable set and a < N , then f

is Riemann integrable in the improper sense over E with …nite improper
Riemann integral.
(ii) If E RN n B (x0 ; R) admits an exhausting sequence and a > N , then f
is Riemann integrable in the improper sense over E with …nite improper
Riemann integral.
113
Proof. Since f is continuous and jf (x)j g (x) := kx Cx0 ka , we have that f
is bounded whenever g is bounded. Hence, f is Riemann integrable over every
subset F E over which g is Riemann integrable. Thus, we are in a position
to apply the Theorem 193.
Corollary 212 Let E RN , let f : E ! R be continuous and let x0 2 RN n E.

Assume that there exist a > 0 and C > 0 such that
C
f (x) a for all x 2 E:
kx x0 k
(i) If E is a (bounded) Peano–Jordan measurable set containing B (x0 ; R) n

fx0 g, a N , and f is bounded on each En := E n B x0 ; n1 , then f is
Riemann integrable in the improper sense over E with in…nite improper
Riemann integral.
(ii) If E admits an exhausting sequence fEn g such that f is bounded on each

En , E contains RN n B (x0 ; R), and a > N , then f is Riemann integrable
in the improper sense over E with in…nite improper Riemann integral.
Proof. Since f is continuous, and by hypothesis f is bounded on each En , where

En is given by either part (i) or (ii), it follows that f is Riemann integrable over
En . We can now continue as in the proof of part (ii) of Theorem 193 to conclude
that f is Riemann integrable in the improper sense over E and
Z
f (x) dx = 1:
E
Note that if in part (i) the set E does not contain a punctured ball, then the
integral could be …nite.

1
f (x; y) := 2
(x2 + y 2 )
de…ned in the set
E := (x; y) 2 R2 : y x4 ; x 2 + y 2 2; x > 0; y > 0 :
Prove that f is Riemann integrable in the improper sense over E and that the
improper Riemann integral is …nite.
114
14 Di¤erential Surfaces
De…nition 214 Given 1 k < N , a nonempty set M RN is called a k-
dimensional di¤erential surface or manifold if for every x0 2 M there exist an
open set U containing x0 and a di¤ erentiable function ' : W ! RN , where
W Rk is an open set such that
(i) ' : W ! M \ U is a homeomorphism, that is, it is invertible and contin-

uous together with its inverse ' 1 : M \ U ! W ,
(ii) J' (y) has maximum rank k for all y 2 W .
The function ' is called a local chart or a system of local coordinates or

a local parametrization around x0 . We say that M is of class C m , m 2 N,
(respectively, C 1 ) if all local charts are of class C m (respectively, C 1 ).
Roughly speaking a set M RN is a k-dimensional di¤erential surface if

for every point x0 2 M we can “cut” a piece of M around x0 and deform
it/‡atten it in a smooth way to get, say, a ball of Rk . Another way to say
this is that locally M looks like Rk . Thus the range of a simple di¤erentiable
curve is a 1-dimensional surface since locally it looks like R, while the range of a
self-intersecting curve is not, because at self-intersection point the range of the
curve does not look like R. Similarly, a sphere in R3 is a 2-dimensional surface
because locally it looks like R2 , while a cone is not because near the tip it does
not look like R2 .
A simple way to construct k-dimensional di¤erential surface is to start with
a set of Rk and then deform it in a smooth way.
Remark 215 The di¤ erence between curves and surfaces, it’s that a surface is
a set of RN , while a curve is an equivalence class of functions. Also for surfaces
we do not allow self-intersections. Also, a curve can be described by only one
parametrization, while a surface usually needs more than one.
Remark 216 Note that Theorem 200 implies that if a bounded k-dimensional
di¤ erential surface is Peano–Jordan measurable, then its measure must be zero.
Example 217 Consider the hyperbola
M := (x; y) 2 R2 : x2 y2 = 1 :
Note that the set M is not the range of a curve, because it is not connected. To
cover M we need at least two local charts, precisely, we can take the open sets
V := (x; y) 2 R2 : x > 0 ; W := (x; y) 2 R2 : x < 0 ;
and the functions ' : R ! M \ V and : R ! M \ W de…ned by

p p
' (t) := 1 + t2 ; t ; (t) := 1 + t2 ; t ; t 2 R:
115
Note that both ' and are of class C 1 (the argument inside the square roots
t p t
is never zero). Moreover, '0 (t) = p1+t2
; 1 and 0 (t) := 1+t2
; 1 , and
1
so the rank of J' (t) and of J (t) is one. Finally, ' : M \ V ! R and
1
: M \ W ! R are given by
1 1
' (x; y) = y; (x; y) = y;
which are continuous. Thus, M is a 1-dimensional surface of class C 1 .
Example 218 Given an open set V Rk and a di¤ erential function h : V !

R, consider the graph of h,
Gr h := f(y; t) 2 V R : t = h (y)g :
A chart is given by the function ' : V ! Rk+1 given by ' (y) := (y; h (y)).
Then,
Ik
J' (y) = ;
rf (y)
which has rank N . Note that ' is one-to-one and that ' (V ) = Gr h. Hence,
there exists ' 1 : Gr f ! V . Moreover, ' 1 is continuous, since the projection
: Rk+1 ! Rk
(y; t) 7! y
is of class C 1 and ' 1 is given by the restriction of to Gr h. Hence, Gr h is

an k-dimensional di¤ erential surface.
The next proposition gives an equivalent de…nition of surfaces, which is very

useful for examples.
Proposition 219 Given 1 k < N , a nonempty set M RN ,and m 2 N,

then the following are equivalent:
(i) M is a k-dimensional surface of class C m .

(ii) For every x0 2 M there exist an open set U RN containing x0 and a
N k m
function g : U ! R of class C , such that
M \ U = fx 2 U : g (x) = 0g
and Jg (x) has maximum rank N k for all x 2 M \ U .
Example 220 (Torus) A torus is a 2-dimensional surface M obtained from a

rectangle of R2 by identifying opposite sides. Consider the chart ' : (0; 2 )
(0; 2 ) ! R2 given by
' (u; v) := ((r cos u + a) cos v; (r cos u + a) sin v; r sin u) ; (48)
116
where a > 0 and r > 0. De…ne M := ' ((0; 2 ) (0; 2 )) R3 .
First method. Let’s prove that M is a 2-dimensional surface. Note that ' is
of class C 1 and
0 1
r sin u cos v (r cos u + a) sin v
J' (u; v) = @ r sin u sin v (r cos u + a) cos v A :
r cos u 0
Observe that if r cos u + a = 0, then
0 1
r sin u cos v 0
J' (u; v) = @ r sin u sin v 0 A
r cos u 0
and so J' (u; v) cannot have rank 2. Thus, for M to be a 2-dimensional surface
we need to assume that r cos u + a 6= 0 for all u 2 (0; 2 ). In what follows we
assume that
a > r:
r sin u cos v (r cos u + a) sin v
The submatrix has determinant r sin u (r cos u + a).
r sin u sin v (r cos u + a) cos v
Then r cos u + a > 0. If sin u 6= 0, then the determinant is di¤ erent from zero
and so so J' (u; v) has rank 2. On the other hand, when sin u = 0, that is, when
u = , then 0 1
0 ( r + a) sin v
J' ( ; v) = @ 0 ( r + a) cos v A :
r 0
For any v 2 (0; 2 ), either cos v 6= 0 or sin v 6= 0 (or both) and so either the
0 ( r + a) cos v 0 ( r + a) sin v
submatrix or have determi-
r 0 r 0
nant di¤ erent from zero. Thus, we have shown that when a > r, J' (u; v) has
rank 2 for all (u; v) 2 (0; 2 ) (0; 2 ).
To see that ' is one-to-one, consider (x; y; z) 2 M . We want to …nd a
unique pair (u; v) such that ' (u; v) = (x; y; z). Note that to …nd u we can use
sin u = zr . The problem is that there are two values of u, one in 0; 2 [ 32 ; 2
and one in 2 ; 32 . If x2 + y 2 a2 , then
2 2 2
(r cos u + a) cos2 v + (r cos u + a) sin2 v = (r cos u + a) a2 ;
3
that is cos u (r cos u + 2a) 0, so that cos u 0, that is, 2 u 2 . So in
this case this determines uniquely u in terms of (x; y; z). On the other hand, if
x2 + y 2 > a2 , then cos u > 0, and so either 0 < u < 2 or 32 u < 2 . Again,
this determines uniquely u in terms of (x; y; z). In turn,
x y
cos v = ; sin v = ;
(r cos u + a) (r cos u + a)
which determine uniquely v. Thus, ' is one-to-one. We leave as an exercise to
check that ' 1 is continuous.
117
Second method: Let’s write down M explicitly.
p 2
M= (x; y; z) 2 R3 : z 2 = r2 x2 + y 2 a :
p 2
Note that r2 x2 + y 2 a 0, that is
p
r x2 + y 2 a :
p p
Since a > r, if x2 +py 2 a 0, we would get r a x2 + y 2 , which is a
contradiction. Hence, x2 + y 2 > a. Consider the function
p 2
g (x; y; z) := z 2 + x2 + y 2 a r2 :
Then
Jg (x; y; z) = rg (x; y; z)
!
p 2x p 2y
= 2 x2 + y 2 a p ;2 x2 + y 2 a p ; 2z :
2 x2 + y 2 2 x2 + y 2
p @g @g
Since x2 + y 2 > a, x and y cannot be both zero, so @x (x; y; z) or @y (x; y; z)
are di¤ erent from zero. Thus, Jg (x; y; z) has maximum rank 1. This shows that
M is a 2-dimensional surface of class C 1 .
Note that M is obtained by taking the circle of radius r and center (0; a; 0),
namely,
2
(y a) + z 2 = r2
and revolving it about the z.
The Klein bottle is obtained by starting from a rectangle of R2 , re‡ecting
one of its sides across its center and then performing the identi…cation.
Exercise 221 (Klein Bottle) Consider the function ' : (0; 2 ) (0; 2 ) ! R4
given by
u u
' (u; v) := (r cos v + a) cos u; (r cos v + a) sin u; r sin v cos ; r sin v sin :
2 2
Then Klein bottle is the set M := ' ((0; 2 ) (0; 2 )) R4 . Prove that M is a
2-dimensional surface of class C 1 .
Example 222 Consider the unit sphere in RN , N 2,
M := x 2 RN : kxk = 1 :
2
Given x0 2 M consider the function g (x) := kxk 1 (here N k = 1 and so
k = N 1). Then Jg (x) = rg (x) = 2x. By taking a ball B (x0 ; r) so small that
it does not intersect the origin, we have that 2x 6= 0 for all x 2 M \ B (x0 ; r)
and so M is a (N 1)-dimensional surface of class C 1 .
118
Example 223 Given an open set U RN and a function f : U ! R of class
1
C , for every c 2 R consider the level set
Bc := fx 2 U : f (x) = cg :
Given x0 2 Bc consider the function g (x) := f (x) c (here N k = 1 and so

k = N 1). Then Jg (x) = rf (x). Hence, we have a problem if Bc contains
some critical points. Thus, let
M := fx 2 U : f (x) = cg n fx 2 U : rf (x) = 0g :
Given x0 2 M , since rf (x0 ) 6= 0 and f is of class C 1 , by taking a small ball

B (x0 ; r) we have that rf (x) 6= 0 for all x 2 M \ B (x0 ; r) and so M is an
(N 1)-dimensional surface of class C 1 .

Proof of Proposition 219. Step 1: We prove that (i) implies (ii). Given
x0 2 M , let U; W , and ' be as in De…nition 214. Let y0 2 W be such that
' (y0 ) = x0 . Since J' (y0 ) has maximum rank k, there is an k k submatrix of
J' (y0 ), which has determinant di¤erent from zero. By changing the coordinates
axes of RN , if necessary, without loss of generality, we may assume for simplicity
assume that 0 1
@'1 @'1
@y1 (y0 ) @yk (y0 )
B . .. C
det B
@ .. .
C 6= 0:
A
@'k @'k
@y1 (y0 ) @y1 (y 0 )
Consider the projection
: RN ! Rk
de…ned by
(x) := (x1 ; : : : ; xk )
k
and let f : W ! R be de…ned by
f (y) := (' (y)) = ('1 (y) ; : : : ; 'k (y)) : (49)
Then 0 1
@'1 @'1
@y1 (y0 ) @yk (y0 )
B . .. C
det Jf (y0 ) = det B
@ .. .
C 6= 0;
A
@'k @'k
@y1 (y0 ) @y1 (y0 )
and so by the inverse function theorem there exists r > 0 such that Bk (y0 ; r)
W , f (Bk (y0 ; r)) is open, and f : Bk (y0 ; r) ! f (Bk (y0 ; r)) is invertible, with
inverse f 1 : f (Bk (y0 ; r)) ! Bk (y0 ; r) of class C m . Let z := (x1 ; : : : ; xk ),
then we have shown that we can write y as a function of z, y = f 1 (z). Let
w := (xk+1 ; : : : ; xN ) so that x = (z; w).
119
Since ' is a homeomorphism, the set ' (Bk (y0 ; r)) is relatively open in M ,
that is, it can be written as
' (Bk (y0 ; r)) = M \ U1
N
for some open set U1 R . Then
M \ U1 = f' (y) : y 2 Bk (y0 ; r)g :
1 1
= z; 'k+1 f (z) ; : : : ; 'N f (z) : z 2 U1 :
This shows that M \ U1 is given by the graph of the function z 2 U1 7!
'k+1 f 1 (z) ; : : : ; 'N f 1 (z) . Consider the function g : U1 ! RN k of
class C m de…ned by
1 1
g (x) := xk+1 'k+1 f (x1 ; : : : ; xk ) ; : : : ; xN 'N f (x1 ; : : : ; xk ) :
Then
M \ U1 = fx 2 U1 : g (x) = 0g :
Moreover, Jg (x) contains the submatrix IN k, since for i; j k + 1,
@gi @ 1
(x) = xi 'i f (x1 ; : : : ; xk ) = i;j 0:
@xj @xj
Hence, Jg (x) has maximum rank N k for all x 2 U1 .
Step 2: We prove that (ii) implies (i). Exercise.
15 Surface Integrals
To de…ne the integral of a function over a surface, we use local charts. Given
1 k < N we de…ne
N;k := 2 Nk0 : 1 1 < 2 < < k N :
m
Given a k-dimensional surface M of class C , m 2 N, consider a local chart
' : V ! M , let E ' (V ) be such that ' 1 (E) is Peano–Jordan measurable
and let f : E ! R be a bounded function. The surface integral of f over E is
de…ned as
v
Z Z u X 2
u @ (' 1 ; : : : ; ' k )
k
f dH := f (' (y)) t det (y) dy; (50)
E ' 1 (E) @ (y1 ; : : : ; yk )
2 N;k
s
2
1
P @ (' 1 ;:::;' k )
provided the function y 2 ' (E) 7! f (' (y)) 2 N;k det @(y1 ;:::;yk ) (y)
R
is Riemann integrable. Note that E f dHk exists if f is bounded and continu-
ous. In particular, if f = 1, the number
v
Z Z u X 2
u @ (' 1 ; : : : ; ' k )
Hk (E) := 1d = t det (y) dy
E ' 1 (E) @ (y1 ; : : : ; yk )
2 N;k
is called the k-dimensional surface measure of E.
120
Remark 224 To understand the expression under the square root, observe that
the Jacobian matrix of ',
0 1
@'1 @'1
@y1 (y) @yk (y)
B .. .. C
J' (y) = B
@ . .
C
A
@'N @'N
@y1 (y) @yk (y)
is an N k matrix, where 1 k < N . The expression under square root is

obtained by considering the sum of the squares of the determinant of all k k
submatrices of J' (y).
R
Remark 225 It can be shown that the number E f dHk does not depend on
the particular local chart '.
Example 226 Consider the set
M := (x; y; z; w) 2 R4 : x2 + y 2 = 1; z 2 + w2 = 1; x; z > 0 :
Let’s prove that it is a 2-dimensional surface. A (local) chart ' : 2; 2

2 ; 2 ! M is given by
' (u; v) := (cos u; sin u; cos v; sin v) ;
so that 0 1
sin u 0
B cos u 0 C
B
J' (u; v) = @ C:
0 sin v A
0 cos v
cos u 0
Since cos u; cos v > 0, the submatrix has determinant cos u cos v <
0 cos v
0, and so J' (u; v) has rank 2. Moreover ' is one-to-one with continuous inverse
and of class C 1 . Hence,
X @ (' 1 ; ' 2 )
2
sin u 0
2
sin u 0
2
det (u; v) = det + det
@ (u; v) cos u 0 0 sin v
2 4;2
2 2
sin u 0 cos u 0
+ det + det
0 cos v 0 sin v
2 2
cos u 0 0 sin v
+ det + det
0 cos v 0 sin v
= 0 + sin2 u sin2 v + sin2 u cos2 v + cos2 u sin2 v + cos2 u cos2 v + 0
= 1:
121
R
Let’s now calculate the surface integral M
x2 + z 2 dH2 . We have
Z Z 2 Z 2 p
x2 + z 2 dH2 = cos2 u + cos2 v 1 dudv
M 2 2
Z 2
Z 2
= cos2 u du + cos2 v dv = 2
:
2 2

Carnival, no classes.
16 Divergence Theorem
De…nition 227 An open and bounded set U RN is regular if there exist a
function g 2 C 1 RN , with rg (x) 6= 0 for all x 2 @U , such that
U = x 2 RN : g (x) < 0 ;
@U = x 2 RN : g (x) = 0 :
Since rg (x) 6= 0 for all x 2 @U , it follows that @U is an (N 1)-dimensional
surface of class C 1 .
De…nition 228 Given an open, bounded, regular set U RN , a point x0 2 @U ,
the tangent space to @U at x0 is given by
Tx0 = x 2 RN : rg (x0 ) x = 0 :
A vector 2 RN n f0g is called a normal vector to @U at x0 if it is orthogonal
to all vectors in Tx0 , that is, x = 0 for all x 2 Tx0 . A unit normal vector
to @U at x0 is called a unit outward normal to U at x0 if there exists > 0
such that x0 t 2 U and x0 + t 2 RN n U for all 0 < t < .
Exercise 229 Prove that if U RN is an open, bounded, regular set, and g is
as in De…nition 227, then for every x0 2 @U , the unit outward normal to U at
x0 is the unit vector
rg (x0 )
(x0 ) = :
krg (x0 )k
Hence, : @U ! RN is a continuous function.
We are ready to prove the divergence theorem.
Theorem 230 (Divergence Theorem) Let U RN be an open, bounded,
N
regular set and let f : U ! R be such that f is bounded and continuous in
U and there exist the partial derivatives of f in RN at all x 2 U and they are
continuous and bounded. Then
Z Z
div f (x) dx = f (x) (x) dHN 1 (x) ;
U @U
122
where
XN
@fi
div f := :
i=1
@xi
Proof. Step 1: We …rst prove that the divergence theorem holds when U is
replaced by a rectangle
R := (a1 ; b1 ) (aN ; bN ) :
Write R0 := (a2 ; b2 ) (aN ; bN ) and let x0 := (x2 ; : : : ; xN ). Then by
Theorem 160,
Z Z Z b1 !
@f1 @f1
(x) dx = (x1 ; x0 ) dx1 dx0
R @x1 R0 a1 @x1
Z
= (f1 (b1 ; x0 ) f1 (a1 ; x0 )) dx0
R0
Z Z
0 0
= f (b1 ; x ) e1 dx + f (a1 ; x0 ) ( e1 ) dx0
R0 R0
Z Z
= f (x) dHN 1 (x) + f (x) dHN 1 (x) ;
fb1 g R0 fa1 g R0
where in the third equality we have used the fundamental theorem of calculus
applied to the function of one variable x1 2 [a1 ; b1 ] 7! f1 (x1 ; x0 ) with x0 …xed,
and in the last equality
R @fi we have used formula (??). Repeating this argument for
all the integrals R @x i
(x) dx and then summing the resulting identities gives
the desired result.
Step 2: Next we prove that the divergence theorem holds when U is replaced
by a set of the form
V := (x1 ; x0 ) 2 R RN 1
: h (x0 ) < x1 < b1 ; x0 2 R0 ;
where R0 := (a2 ; b2 ) (aN ; bN ) and h : RN 1 ! R is a function of class C 1
and f = 0 in an open neighborhood of @V n graph h. The change of variables
y1 := x1 h (x0 ) ; y0 := x0
maps the set V into the set
W := (y1 ; y0 ) 2 R RN 1
: 0 < y1 < b1 h (y0 ) ; x0 2 R0 :
Let R := (0; b1 ) R0 and consider the function
f (y1 + h (y0 ) ; y0 ) if y 2 W;
g (y) :=
0 if y 2 R n W:
Since f = 0 near x1 = b1 , it follows that g is continuous in R with bounded

continuous partial derivatives in R. Hence, by Step 1,
Z Z Z Z
N 1
div g (y) dy = div g (y) dy = g (y) (y) dH (y) = g1 (0; y0 ) dy0 :
W R @R R0
123
By Theorem 61, if y 2 W ,
@f1
div g (y) = (y1 + h (y0 ) ; y0 )
@x1
XN
@fi @h 0 @fi
+ (y1 + h (y0 ) ; y0 ) (y ) + (y1 + h (y0 ) ; y0 )
i=2
@x 1 @yi @xi
XN
@fi @h 0
= div f (y1 + h (y0 ) ; y0 ) + (y1 + h (y0 ) ; y0 ) (y ) :
i=2
@x1 @yi

Proof. Hence,
Z Z
div f (y1 + h (y0 ) ; y0 ) dy = f1 (h (y0 ) ; y0 ) dy0
W R0
XZ
N
@fi @h 0
(y1 + h (y0 ) ; y0 ) (y ) dy:
i=2 W @x1 @yi
Consider the change of variables
k : RN ! RN ;
y 7! (y1 + h (y0 ) ; y0 ) :
Note that k is invertible, with inverse given by
1
k : RN ! RN
x 7! (x1 h (x0 ) ; x0 ) :
Moreover, we have
0 @h @h 1
1 @y2 (y0 ) @yN (y0 )
B 0 C
B C
Jk (y) = B .. C;
@ . IN 1 A
0
which implies that det Jk (y) = 1. Hence, by Theorem 204,
Z XN Z Z
@fi @h 0
div f (x) dx = (x) (x ) dx f1 (h (x0 ) ; x0 ) dx0 :
V i=2 V @x 1 @xi R 0
By the fundamental theorem of calculus,

Z Z Z b1 !
@fi @h 0 @fi 0 @h 0
(x) (x ) dx = (x1 ; x ) dx1 (x ) dx0
V @x1 @xi R0 h(x0 ) @x1 @xi
Z
@h 0
= (fi (b1 ; x0 ) fi (h (x0 ) ; x0 )) (x ) dx0
R0 @x i
Z
@h 0
= (0 fi (h (x0 ) ; x0 )) (x ) dx;
R 0 @x i
124
and so
Z Z N Z
X @h 0
div f (x) dx = f1 (h (x0 ) ; x0 ) dx0 + fi (h (x0 ) ; x0 ) (x ) dx0
V R0 i=2 R0 @xi
Z N Z
X @h 0
= f1 (h (x0 ) ; x0 ) dx0 + fi (h (x0 ) ; x0 ) (x ) dx0
R0 i=2 R0 @xi
q
Z 2
1 + krh (x0 )kN
0 0 0 1
= f (h (x ) ; x ) ( 1; rh (x )) q dx0
R0 2
1 + krh (x0 )kN 1
Z
= f (x) (x) dHN 1 (x) ;
@V
where in the last equality we have used formula (??). This concludes the proof
in this case.
Note that a similar proof works when the role of the variable x1 is played
by another variable xi , so that
V := x 2 RN 1
: h (xi ) < xi < bi ; xi 2 R0 ; (51)
where xi 2 RN 1 is the vector obtained from x by removing the i-th component,

and also when V has the form
V := x 2 RN 1
: ai < xi < h (xi ) ; xi 2 R0 ; (52)
Step 3: We prove that in a neighborhood of every point x 2 @U on the bound-

ary there exists an open cube Q (x; rx ) centered at x and of side-length rx such
that U \ Q (x; rx ) is either of the form (51) or (52).
Fix x0 2 @U . Since rg (x) 6= 0, there exists i (which depends on x0 ) such
@g
that @x i
(x0 ) 6= 0. By relabelling the axes, for simplicity we can assume that
@g @g
i = 1 and that @x 1
(x0 ) < 0 (the case @x 1
(x0 ) > 0 is similar). By continuity
@g @g
of @x1 we may …nd s > 0 such that @x1 < 0 in B (x0 ; s). It follows that if
x = (x1 ; x0 ) 2 B (x0 ; s) \ @U , so that g (x1 ; x0 ) = 0, then g (t; x0 ) < 0 for all
t > x1 with (t; x0 ) 2 B (x0 ; s), which implies that (t; x0 ) 2 U , while g (t; x0 ) > 0
for all t < x1 with (t; x0 ) 2 B (x0 ; s), which implies that (t; x0 ) 2 RN n U .
Apply the implicit function theorem to the function g : B (x0 ; s) ! R
at the point x0 = (a; b) to …nd BN 1 (b; r), an interval (a ; a + ), with
(a ; a + ) BN 1 (b; r) B (x0 ; s), and a function h : BN 1 (b; r) !
(a ; a + ) of class C 1 such that g (h (x0 ) ; x0 ) = 0 for all x0 2 BN 1 (b; r).
Thus @U \ ((a ;a + ) B nN 1 (b; r))
o is given by the graph of the function
h. Finally, de…ne rx0 := min ; pNr 1
. Then
1 1
Q (x0 ; rx0 ) = a rx0 ; a + rx0 QN 1 (a; rx0 ) (a ; a + ) BN 1 (b; r)
2 2
and by the previous discussion U \ Q (x0 ; rx0 ) has the form (51).
125
Step 4: If x 2 @U , there exists an open cube Q (x; rx ) centered at x and of
side-length rx such that U \ Q (x; rx ) is either of the form (51) or (52). On the
other hand, if x 2 U , which is open, then there exists Q (x; rx ) U .
For every x 2 U construct a nonnegative function 'x 2 C 1 RN such that
'x > 0 in Q x; 21 rx and 'x = 0 outsideQ (x; rx ) (exercise). Since U is closed
and bounded, it is compact. Since the family of open sets Q x; 12 rx x2U
cover U , there exist a …nite number Q x1 ; 12 rx1 , . . . , Q xn ; 21 rxn that still
cover U . Note that Q (xk ; rxk ) is either contained in U or U \ Q (xk ; rxk ) is of
the form (51) or (52) and that
n
X
' := 'k > 0 in U ;
k=1
since Q x1 ; 12 rx1 , . . . , Q xn ; 12 rxn that still cover U and 'k > 0 in Wk . De…ne
(
'k (x)
'(x) if 'k (x) > 0;
k (x) :=
0 otherwise.
Pn
Then k 2 C 1 RN , k = 0 outside Q (xk ; rxk ) and k=1 k = 1 in U . The
family f k g is called a partition of unity subordinated to the family of open sets
Q (x1 ; rx1 ), . . . , Q (xn ; rxn ). Hence,
n
! n
@ @ X X @ k
0= (1) = k =
@xi @xi @xi
k=1 k=1
in U . For every k = 1; : : : ; n, we have that the function k f is zero outside

Q (xk ; rxk ) and since Q (xk ; rxk ) is either contained in U or U \ Q (xk ; rxk ) is
of the form (51) or (52), we can apply either Step 1 or Step 2 in Vk to conclude
that
Z Z Z
div ( k f ) dx= div ( k f ) dx = kf dHN 1
U U \Q(xk ;rxk ) @ (U \Q(xk ;rxk ))
(53)
Z
= kf dHN 1 ;
@U
where we have used the fact thatPn k f is zero outside Q (xk ; rxk ). Summing (53)
over k and using the fact that k=1 k = 1 in U , we have
Z Z n
! n Z
X X
div f dx = div kf dx = div ( k f ) dx
U U k=1 k=1 U
n Z
X Z n
X Z
= kf dHN 1
= kf dHN 1
= f dHN 1
;
k=1 @U @U k=1 @U
which is what we wanted.
126
R
Remark 231 In physics @U f (x) (x) dHN 1 (x) represents the outward ‡ux
of a vector …eld f across the boundary of a region U .
If E RN and f : E ! RN is di¤erentiable, then f is called a divergence-free
…eld or solenoidal …eld if
div f = 0:
Thus for a smooth solenoidal …eld, the outward ‡ux across the boundary of a
regular set U is zero.
Corollary 232 The theorem continues to hold if U RN is open, bounded, and
its boundary consists of two sets E1 and E2 , where E1 is a closed set contained
in the …nite union of compact surfaces of class C 1 and dimension less than
N 1, while for every x0 2 E2 there exist a ball B (x0 ; r) and a function
g 2 C 1 (B (x0 ; r)) such that with rg (x) 6= 0 for all x 2 B (x0 ; r) \ @U , such
that
B (x0 ; r) \ U = fx 2 B (x0 ; r) : g (x) < 0g ;
B (x0 ; r) n U = fx 2 B (x0 ; r) : g (x) > 0g ;
B (x0 ; r) \ @U = fx 2 B (x0 ; r) : g (x) = 0g :
Note that the radius of the ball and the function g depend on x0 .
Example 233 Let’s calculate the outward ‡ux of the function
f (x; y; z) := (0; yz; x)
across the boundary of the region
U := (x; y; z) 2 R3 : x2 + y 2 < z 2 ; x2 + y 2 + z 2 < 2y; z > 0 :
Note that U is not a regular open set (why?) but it satis…es the hypotheses of
the previous corollary (why?).
We have
@ @ @
div f (x; y; z) = (0) + (yz) + (x) = 0 + 1z + 0;
@x @y @z
and so by the divergence theorem
Z Z
f dH2 = z dxdydz:
@U U
Using cylindrical coordinates x = r cos , y = r sin , z = z, we get r2 cos2 +

r2 sin2 < z 2 , that is, r2 < z 2 , r2 cos2 + r2 sin2 + z 2 < 2r sin , that is,
r2 + z 2 < 2r sin , and z > 0, hence, r2 < z 2 < 2r sin r2 , which implies that
2 2
r < 2r sin r , or equivalently, r < sin . In turn, sin should be positive,
and so 2 (0; ).
n p o
W := (r; ; z) 2 R3 : 0 < < ; r < sin ; r < z < 2r sin r2 :
127
Hence, by changing variables
Z Z Z Z p ! !
sin 2r sin r2
z dxdydz = z dz r dr d
U 0 0 r
Z Z p
z= 2r sin r2
!
sin
z2
= r dr d
0 0 2 z=r
Z Z !
sin
2 3
= r sin r dr d
0 0
Z r=sin Z
r3 r4 1 1
= sin d = sin4 sin4 d
0 3 4 r=0 0 3 4
Z
1 1
= sin4 d = :
0 12 32
Corollary 234 (Integration by Parts) Let U RN be an open, bounded,

regular set and let f : U ! R and g : U ! R be such that f and g are bounded
and continuous in U and there exist the partial derivatives of f and g in R at
all x 2 U and they are continuous and bounded. Then for every i = 1; : : : ; N ,
Z Z Z
@g @f
f (x) (x) dx = g (x) (x) dx + f (x) g (x) i (x) dHN 1 (x) :
U @xi U @xi @U
Proof. Fix i 2 f1; : : : ; N g. We apply the divergence theorem to the function

f : U ! RN de…ned by
f (x) g (x) if j = i;
fj (x) :=
0 if j 6= i:
Then
XN
@fj @ (f g) @g @f
div f = = =f +g ;
j=1
@xj @x i @xi @xi
and so
Z Z Z Z
@g @f N 1
f +g dx = div f dx = f dH = fg i dHN 1
:
U @xi @xi U @U @U
De…nition 235 Given an open set U RN and an integer m 2 N, we say that

a function f : U ! R is of class C m U if f can be extended to a function of
class C m (V ), where V is an open set containing V .
Another important application is given by the area’s formulas in R2 . Let

U R2 be an open, bounded set and assume that its boundary @U is the range
of a closed, simple, regular curve with parametric representation ' : [a; b] !
128
R2 . Then the hypotheses of Corollary 232 are satis…ed (why?). Given t 2 [a; b],
the vector '0 (t) is tangent to the curve at the point ' (t) 2 @U . Hence, if
' (t) = (x (t) ; y (t)), the outer normal to @U at the point ' (t) is either
( y 0 (t) ; x0 (t)) ( y 0 (t) ; x0 (t))

q or q ;
2 2 2 2
(x0 (t)) + (y 0 (t)) (x0 (t)) + (y 0 (t))
depending on the orientation of the curve. We say that has a positive orien-
tation for @U if as we traverse the curve starting from t = a we …nd U on our
left. In this case, the outward normal at the point ' (t) is is given by
(y 0 (t) ; x0 (t))
(' (t)) = q :
2 2
(x0 (t)) + (y 0 (t))
Hence, if f; g : U ! R are bounded and continuous in U and there exist

the partial derivatives of f and g at all (x; y) 2 U and they are continuous
and bounded, then applying the divergence theorem to the function f (x; y) :=
(f (x; y) ; g (x; y))
Z Z
@f @g
(x; y) + (x; y) dxdy = (f; g) dH1
U @x @y @U
Z b q
y 0 (t) 2 2
= f (x (t) ; y (t)) q (x0 (t)) + (y 0 (t)) dt
a 2 2
(x0 (t)) + (y 0 (t))
Z b q
x0 (t) 2 2
+ g (x (t) ; y (t)) q (x0 (t)) + (y 0 (t)) dt;
a 2 2
(x0 (t)) + (y 0 (t))
Z b
= [f (x (t) ; y (t)) y 0 (t) g (x (t) ; y (t)) x0 (t)] dt
a
Z Z
=: f dy g dx:
@U @U
Taking g = 0 or f = 0 we get the Gauss-Green formulas

Z Z
@f
(x; y) dxdy = f dy: (54)
@x
ZU @U
Z
@g
(x; y) dxdy = g dx: (55)
U @y @U
Note that by subtracting these two identities, we get

Z Z Z
@f @g
(x; y) (x; y) dxdy = f dy + g dx: (56)
U @x @y @U @U
We will use this formula in the proof of Stokes’theorem.
129
Taking f (x; y) = x in (54), we get the second area’s formula
Z Z b Z
meas U = 1 dxdy = x (t) y 0 (t) dt = x dy;
U a @U
while taking g (x; y) = y in (55) we get the second area’s formula

Z Z b Z
meas U = 1 dxdy = y (t) x0 (t) dt = y dx:
U a @U
By adding these two identities, we get

Z Z Z
1 0 0 1
meas U = [ y (t) x (t) + x (t) y (t)] dt = x dy y dx :
2 @U 2 @U @U
Example 236 Let’s …nd the area of the region U enclosed by the curve of para-
metric representation
x ( ) = (1 cos ) cos ;
2 [0; 2 ] :
y ( ) = (1 cos ) sin ;
To see that it is simple, note that for 0 < < 2 , (1 cos ) > 0. The curve
starts from the origin and goes around clockwise only once. Note that
x0 ( ) = sin + 2 sin cos = sin ( 1 + 2 cos ) ;

y 0 ( ) = cos + sin2 cos2 = 2 cos2 + cos + 1:
Thus, x0 ( ) = 0 only for sin = 0, that is = 0; ; 2 ,and cos = 21 , that is,

for = 13 ; 53 . At those values,
y 0 (0) = y 0 (2 ) = 2 + 1 + 1 = 0; y0 ( ) = 2 1 + 1;
1 1 1
y0 = 2 cos2 + cos + 1 = 1;
3 3 3
5 5 5
y0 = 2 cos2 + cos + 1 = 1:
3 3 3
Hence, the curve is not regular, but since these are only a …nite number of bad
points, we can apply Corollary 232. Using the third area formula, we get
Z
1 2
meas U = (1 cos ) sin [sin cos (1 cos ) sin ] d
2 0
Z
1 2
+ (1 cos ) cos [sin sin + (1 cos ) cos ] d
2 0
Z Z
1 2 2 1 2 2 3
= (1 cos ) cos2 + sin2 d = (1 cos ) d = :
2 0 2 0 2
130
Proposition 237 Given two open sets A; D RN , with D bounded and dist (A; D)
3d > 0 for some d > 0, there exists a function f 2 C 1 RN such that,
0 f 1, f (x) = 0 for all x 2 A, f (x) = 1 for all x 2 D, and
C
krf (x)k
d
for all x 2 RN , where C > 0 depends only on N .
Proof. Construct a nonnegative function g 2 C 1 RN such that g = 0 in

RN n B (0; 1), g > 0 in B 0; 12 and
Z
g (x) dx = 1:
B(0;1)
Since D is bounded, so is the set E := x 2 RN : dist (x; D) < d . Moreover,

dist A; E 2d. For every x 2 E consider the ball B (x; d). Since E is compact,
we may …nd a …nite number of balls that covers E. Let W be the union of these
balls. Then W is Peano–Jordan measurable, since the boundary is contained in
the union of the sphere, which has measure zero, and
x 2 RN : dist (x; D) < d E W x 2 RN : dist (x; D) < 2d :
De…ne Z
1 x y
f (x) := g W (y) dy; x 2 RN :
dN RN d
Let’s prove that f has the right properties. Since g = 0 in RN n B (0; 1), we
have that g x d y = 0 for all x d y > 1, and so
Z
1 x y
f (x) = N g dy:
d B(x;d)\W d
If x 2 A, then since, dist (A; D) 3d, and W x 2 RN : dist (x; D) < 2d ,

we have that B (x; d) \ W = ;, and so f (x) = 1. On the other hand, if x 2 D,
then B (x; d) E W and so
Z Z
1 x y
f (x) = N g dy = g (z) dz = 1;
d B(x;d) d B(0;1)
x y
where we have made the change of variables d = z.
131
To prove that f is of class C 1 , let ei , i = 1; : : : ; N , be an element of the
canonical basis of RN and for every h 2 R, with 0 < jhj , consider
Z
f (x + hei ) f (x) 1 1 @g x y
W (y) dy
h dN RN d @xi d
2 3
Z g x+hei y
g x y
1 4 d d 1 @g x y 5
= N W (y) dy
d RN h d @xi d
Z Z !
1 1 h @g x y + tei @g x y
= N +1 dt W (y) dy
d RN h 0 @xi d @xi d
Z Z !
1 1 h @g x y + tei @g x y
= N +1 W (y) dy dt;
d h 0 B(x;d+ d) @xi d @xi d
where we have used Fubini’s theorem and the fact that supp g B (0; 1).
Since g 2 Cc1 RN its partial derivatives are uniformly continuous. Hence
for every > 0 there exists = ( ; x; ) > 0 such that
@g @g
(z) (w)
@xi @xi
for all z; y 2 B (x; 1 + ), with jz wj . Then for 0 < jhj min f ; g we
have
Z
f (x + hei ) f (x) 1 @g x y
W (y) dy ;
h dN +1 RN @xi d
which shows that
Z
@f 1 @g x y
(x) = N +1 W (y) dy:
@xi d RN @xi d
Wednesday, May 2, 2012
De…nition 238 Given 1 k N , a bounded set E RN has k-Peano–Jordan

measure zero if for every " > 0 there exists " > 0 with the property that for
every 0 <S " there exists a …nite family fQn g of cubes of side-length such
that E n Qn , and X k
(diamQn ) ":
n
Exercise 239 Prove that if k = N , then a bounded set E RN has N -Peano–

Jordan measure zero if and only if it is Peano–Jordan measurable and it has
Peano–Jordan measure zero.
Theorem 240 Let E RN be a bounded set with k-Peano–Jordan measure

zero, 1 k N , and let g : E ! RM be a Lipschitz function, with k M.
Then g (E) has k-Peano–Jordan measure zero.
132
Proof. The proof is very similar to the one of Theorem 199 and is left as an
exercise.
Using the previous theorem we can show that if two k-dimensional surfaces
intersect “transversally”, then their intersection has k-Peano–Jordan measure
zero.
Corollary 241 Given a k-dimensional surface M of class C m , m 2 N, consider

a local chart ' : V ! M , let K V be a compact Peano–Jordan measurable
set. Then ' (@K) has k-Peano–Jordan measure zero.
Proof. Since K is Peano–Jordan measurable in Rk , its boundary @K has

Peano–Jordan measure zero. In turn, by the previous exercise, @K has k-Peano–
Jordan measure zero. It follows from the previous theorem that ' (@F ) has
k-Peano–Jordan measure zero.
We will prove the following result.
Theorem 242 The divergence theorem continues to hold if U RN is open,

bounded, and its boundary consists of two sets E1 and E2 , where E1 has (N 1)-
Peano–Jordan measure zero, while for every x0 2 E2 there exist a ball B (x0 ; r)
and a function g 2 C 1 (B (x0 ; r)) such that with rg (x) 6= 0 for all x 2
B (x0 ; r) \ @U and
B (x0 ; r) \ U = fx 2 B (x0 ; r) : g (x) < 0g ;

B (x0 ; r) n U = fx 2 B (x0 ; r) : g (x) > 0g ;
B (x0 ; r) \ @U = fx 2 B (x0 ; r) : g (x) = 0g :
Using again the fact that partial derivatives of g are uniformly continuous, we
can prove that the partial derivatives of f are continuous, so that f is of class
C 1.
Proof of Theorem 242. Step 1: Assume that f is zero on an open neighbor-

hood D of E1 . Then for every x 2 @U n D, there exists an open cube Q (x; rx )
centered at x and of side-length rx such that U \ Q (x; rx ) is either of the form
(51) or (52). On the other hand, if x 2 U , which is open, then there exists
Q (x; rx ) U . Since U n D is closed and bounded, it is compact. Since the
family of open sets Q x; 21 rx x2U nD cover U n D, there exist a …nite number
Q x1 ; 12 rx1 , . . . , Q xn ; 12 rxn that still cover U n D. As in Step 4 of Theorem
230 construct a partition of unity f k g subordinated to the family of open sets
Q (x1P
; rx1 ), . . . , Q (xn ; rxn ). For x 2 U n D, as in Step 4 of Theorem 230, we
n
have k=1 div ( k f ) (x) = div f (x),
Z Z Z
N 1
div ( k f ) dx= k f dH = kf dHN 1 ;
U nD @U nD @U
133
and so, using the fact that f = 0 in D,
Z Z Z n
X n Z
X
div f dx = div f dx = div ( kf ) dx = div ( kf ) dx
U U nD U nD k=1 k=1 U nD
n Z
X Z n
X Z
N 1 N 1
= kf dH = kf dH = f dHN 1
;
k=1 @U nD @U k=1 @U
which is what we wanted.

Step 2: Let
1
An := x 2 RN : dist (x; E1 ) < ;
2n
3
Dn := x 2 RN : dist (x; E1 ) > n :
2
1
Then dist (An ; Dn ) 2n . By the previous proposition there exists 'n 2
1 N
C R such that 'n (x) = 0 for all x 2 An , 'n (x) = 1 for all x 2 Dn ,
and
kr'n (x)k C2n
for all x 2 RN , where C > 0 depends only on N .
Then the function 'n f satis…es all the hypotheses of Step 1 and so
Z Z
div ('n f ) dx= 'n f dHN 1 :
U @U
Now
N
X N
X XN
@ ('n fi ) @'n @fi
div ('n f ) = = fi + 'n
i=1
@xi i=1
@xi i=1
@xi
= rf r'n + 'n div f ;
and so Z Z Z
div ('n f ) dx = rf r'n dx + 'n div f dx:
U U U
Since 'n (x) = 1 for all x 2 Dn , 0 'n 1, and the partial derivatives of f are
bounded,
Z Z Z
1 div f dx 'n div f dx = (1 'n ) div f dx
U U U
Z
= (1 'n ) div f dx
U nDn
3
M measo x 2 U : dist (x; E1 ) !0
2n
134
as n ! 1 by Lemma 243. Moreover, since r'n (x) = 0 if x 2 An [ Dn , and
kr'n (x)k C2n otherwise,
Z Z
rf r'n dx = rf r'n dx
U fy2U : 21n dist(y;E0 ) 23n g
3
CM 2n measo x 2 U : dist (x; E1 ) !0
2n
as n ! 1 again by Lemma 243.
Finally, since 'n (x) = 1 for all x 2 Dn and f is bounded,
Z Z Z
1f dHN 1 'n f dHN 1 = (1 'n ) f dHN 1
@U @U @U
Z
M (1 'n ) dHN 1 M HN 1
(@U n Dn ) :
@U
Using improper surface integrals, which we have note done..., one can show that
HN 1 (@U n Dn ) ! 0.
Although it was not needed in the proof, it actually turn out the sets Dn
are Peano–Jordan measurable.
Friday, May 04, 2012
Lemma 243 Let K RN be a compact set with (N 1)-Peano–Jordan mea-
sure zero and for every r > 0 consider the set
Ar := x 2 RN : dist (x; K) < r :
Then
1
lim+ measo (Ar ) = 0:
r!0 r
Proof. Since K has (N 1)-Peano–Jordan measure zero for every " > 0 there
exists r" > 0 with the property that for every 0 <Sr r" there exists a …nite
family fQ (xn;r ; r)gn of open cubes such that K n Q (xn;r ; r) and
X p N 1 X N (N 1)=2
N 1
Nr = (diamQ (xn;r ; r)) ":
n n
2N
S
If x 2 Ar , then there is y 2 K such that kx yk < r. Since, K n Q (xn;r ; r),
there is a cube Q (xn;r ; S r) such that x 2 Q (xn;r ; r). It follows that y 2
Q (xn;r ; 2r) and so Ar n Q (xn;r ; 2r). In turn,
1 1X 1X N
measo (Ar ) meas (Q (xn;r ; 2r)) = (2r)
r r n r n
n
X
2N p N 1
= Nr ":
N (N 1)=2
n
This shows that

1
lim measo (Ar ) = 0:
r!0 r
135
17 Stokes Theorem
We recall that given two vectors a = (a1 ; a2 ; a3 ) and b = (b1 ; b2 ; b3 ) of R3 , their
cross-product or vector-product is de…ned by
a b := (a2 b3 a3 b2 ; a3 b1 a1 b3 ; a1 b2 a2 b1 )
0 1
e1 e2 e3
= det @ a1 a2 a3 A :
b1 b2 b3
Let U R3 be an open set and let f : U ! R3 be a di¤erentiable function.

The curl of f is the function curl f : U ! R3 de…ned by
@f3 @f2 @f1 @f3 @f2 @f1

curl f (x; y; z) := ; ;
@y @z @z @x @x @y
0 1
e1 e2 e3
= det @ @
@x
@
@y
@
@z
A=r f:
f1 f2 f3
We will present Stokes’theorem in a very special setting. The general case relies
on the notion of oriented manifolds with boundaries. Let W R2 be an open
3 2
set and let ' : W ! R be a one-to-one function of class C such that J' (u; v)
has maximum rank 2 for all (u; v) 2 W . Consider a bounded regular open set
V R2 with V W and and assume that its boundary @V is the range of a
closed, simple, regular curve with parametric representation : [a; b] ! R2 .
Let M := ' (V ). Note that M is a 2-dimensional di¤erential surface. We
will call the boundary of M to be the set
@ M := ' (@V ) :
The boundary of M is the range of the curve of parametric representation

' : [a; b] ! R3 . If has a positive orientation for @V , we will say that
has a positive orientation for @M . In what follows we will assume that has a
positive orientation for @V .
Finally, for every point (x; y; z) 2 M , let (u; v) 2 W be such that (x; y; z) =
' (u; v) (note that (u; v) is unique, since ' is one-to-one). We de…ne the normal
to M at (x; y; z) as the vector
@' @'
@u (u; v) @v (u; v)
(x; y; z) =
@' @'
@u (u; v) @v (u; v)
1
=
@' @'
@u (u; v) @v (u; v)
@'2 @'3 @'3 @'2 @'3 @'1 @'1 @'3 @'1 @'2 @'2 @'2
; ; :
@u @v @u @v @u @v @u @v @u @v @u @v
136
Theorem 244 (Stokes’Theorem) Let U R3 be an open set and let f :
3 1
U ! R be a function of class C . Let M and be as above with M [@ M U .
Then Z Z
2
curl f dH = f:
M
Proof. Let’s write explicitly the left-hand side,

Z
curl f dH2
M
ZZ @' @'
@f3 @f2 @'2 @'3 @'3 @'2 @u @v
= ' ' dudv
V @y @z @u @v @u @v @' @'
@u @v
ZZ @' @'
@f1 @f3 @'3 @'1 @'1 @'3 @u @v
+ ' ' dudv
V @z @x @u @v @u @v @' @'
@u @v
ZZ @' @'
@f2 @f1 @'1 @'2 @'2 @'2 @u @v
+ ' ' dudv:
V @x @y @u @v @u @v @' @'
@u @v
After some tedious calculations, we obtain that the right-hand side of the pre-
vious equality reduces to
ZZ
@h @g
dudv;
V @u @v
where
@'1 @'2 @'3
g (u; v) := f1 (' (u; v)) (u; v) + f2 (' (u; v)) (u; v) + f3 (' (u; v)) (u; v) ;
@u @u @u
@'1 @'2 @'3
h (u; v) := f1 (' (u; v)) (u; v) + f2 (' (u; v)) (u; v) + f3 (' (u; v)) (u; v) :
@v @v @v
137
Indeed, by the chain rule,
@h @g @f1 @'1 @'1 @f1 @'2 @'1 @f1 @'3 @'1
= ' + ' + '
@u @v @x @u @v @y @u @v @z @u @v
@f2 @'1 @'2 @f2 @'2 @'2 @f2 @'3 @'2
+ ' + ' + '
@x @u @v @y @u @v @z @u @v
@f3 @'1 @'3 @f3 @'2 @'3 @f3 @'3 @'3
+ ' + ' + '
@x @u @v @y @u @v @z @u @v
@f1 @'1 @'1 @f1 @'2 @'1 @f1 @'3 @'1
' ' '
@x @v @u @y @v @u @z @v @u
@f2 @'1 @'2 @f2 @'2 @'2 @f2 @'3 @'2
' ' '
@x @v @u @y @v @u @z @v @u
@f3 @'1 @'3 @f3 @'2 @'3 @f3 @'3 @'3
' ' '
@x @v @u @y @v @u @z @v @u
@f1 @'2 @'1 @'2 @'1 @f1 @'3 @'1 @'3 @'1
= ' + '
@y @u @v @v @u @z @u @v @v @u
@f2 @'1 @'2 @'1 @'2 @f2 @'3 @'2 @'3 @'2
+ ' + '
@x @u @v @v @u @z @u @v @v @u
@f3 @'1 @'3 @'1 @'3 @f3 @'2 @'3 @'2 @'3
+ ' + ' :
@x @u @v @v @u @y @u @v @v @u
Hence, by the Gauss–Green formula (56),

Z ZZ Z Z
@h @g
curl f dH2 = dudv = g dx + h dy:
M V @u @v @V @V
On the other hand,

Z Z Z b
0 0
g dx + h dy = (g ( (t)) 1 (t) + h ( (t)) 2 (t)) dt
@V @V a
Z b
@'1 0 @'1 0
= f1 ' 1 + 2 dt
a @u @v
Z b
@'2 0 @'2 0
+ f2 ' 1 + 2 dt
a @u @v
Z b
@'3 0 @'3 0
+ f3 ' 1 + 2 dt
a @u @v
Z b Z
0 0 0
= (f1 1 + f2 2 + f3 3) dt = f;
a
where := ' : [a; b] ! R3 is a parametric representation of .
Example 245 Given the surface M of parametric representation
' (u; v) := u v; u; u2 + v 2 ; (u; v) 2 V;
138
where V := (u; v) 2 R2 : u2 + v 2 < 1 , let’s calculate
Z
curl f dH2 ;
M
where
f (x; y; z) := x2 z; y; yz ; (x; y; z) 2 R3 :
Note that ' is de…ned in R2 so we can take W = R2 . To see that ' is one-to-
one, we …nd the inverse, we have x = u v, y = u, z = u2 + v 2 and so, u = z,
v = u x = z x. Thus,
1
' (x; y; z) = (z; z x) ;
which is continuous. Hence, ' : V ! M is a homeomorphism. Moreover,

0 1
1 1
J' (u; v) = @ 1 0 A:
2u 2v
1 1
The submatrix has determinant di¤ erent from zero, and so J' (u; v)
1 0
has always maximal rank two. Thus, we are in a position to apply Stokes’
theorem. The boundary of V is the unit circle. Thus a parametric representation
of is : [0; 2 ] ! R2 , where (t) := (cos t; sin t). In turn, a parametric
representation for is given by := ' : [0; 2 ] ! R3 , where
(t) = cos t sin t; cos t; cos2 t + sin2 t :
In turn,
0
(t) = ( sin t cos t; sin t; 0) :
Hence, by Stokes’ theorem
Z Z
curl f dH2 = f
M
Z 2 h i
2
= (cos t sin t) 1 ( sin t cos t) + (cos t) ( sin t) + (cos t) (1) 0 dt
0
Z 2
= cos2 t sin2 t (cos t sin t) + cos t sin t dt
0
Z 2
= 1 2 sin2 t cos t 1 + 2 cos2 t sin t + cos t sin t dt
0
t=2
2 2 1
= sin3 t + cos t + cos3 t + sin2 t
sin t = 0:
3 3 2 t=0
R
Exercise 246 In the previous example calculate M curl f dH2 directly, with-
out using Stokes’s theorem.
139
Remark 247 Stokes’ theorem continues to hold for oriented manifolds with
boundaries. Roughly speaking, a 2-dimensional manifold M in R3 is orientable
if it is possible to de…ne a normal as a function of (x; y; z) in a continuous way.
The Klein bottle or the Möbius strip are a typical examples of manifolds that not
orientable. Indeed, the normal as a function of (x; y; z) is discontinuous (but it
is continuous if you look at it as a function of (u; v)). If you think of the normal
as a person walking on the manifold, after going around once, that person would
…nd himself/herself upside down, which means that there is a discontinuity.
Saturday, May 05, 2012

I will not ask this part because it was not covered in class, but since you
asked, here it is.
18 More on Surface Integrals

Next we consider the case in which the domain of the function to be integrated
cannot be covered by only one chart. For this we need to use partitions of unity.
Given a k-dimensional surface M of class C m , for every x 2 M there exist an
open set Ux containing x and a local chart 'x : Wx ! M \Ux . Since Ux is open,
there exists B (x; rx ) Ux . Construct a nonnegative function gx 2 C 1 RN
such that gx > 0 in Ax := B x; 12 rx and gx = 0 outside Yx := B (x; rx ) Ux .
Assume that the set M is compact. Since the family of open sets fAx gx2M
covers M , there exist x1 ; : : : ; xn 2 M such that Ax1 , . . . , Axn still covers M .
For simplicity in the notation, we set gi := gxi , 'i := 'xi , ri := rxi , Ai := Axi ,
and Ui := Uxi . Note that
n
X
g := gi > 0 in M;
i=1
since A1 , . . . , An that still cover M and gi > 0 in Ai . De…ne

(
gi (x)
g(x) if gi (x) > 0;
hi (x) :=
0 otherwise.
Pn
Then hi 2 C 1 RN , hi = 0 outside Ui and i=1 hi = 1 in M . The family fhi g
is called a partition of unity subordinated to the family of open sets U1 , . . . , Un .
De…nition 248 Given a k-dimensional surface M of class C m , 1 k < N,

m 2 N, a set E M is Hk -measurable if ' 1 (E) is Peano–Jordan measurable
in Rk for every local charts ' : V ! M .
Given a k-dimensional surface M of class C m , 1 k < N , m 2 N, an

k
H -measurable set E M and a bounded function f : E ! R, consider the
partition of unity fhi g constructed above. For every i = 1; : : : ; n, the function
f hi : E ! R is zero at all points of E outside Ui \ M = 'i (Wi ), thus we can
140
use (50) for the surface integral of f hi over the set E \ 'i (Wi ). Hence, we can
de…ne the k-dimensional surface integral of f over E to be
Z Xn Z
k
f dH := f hi dHk ; (57)
E i=1 E\'i (Wi )
R
whenever all the surface integrals E\'i (Wi ) f hi dHk exist in the sense of (50).
Note that this is always the case if f is bounded and continuous.
We need to show that this de…nition does not depend on the choice of the
partition of unity. Let j : Vj ! M \ Dj , j = 1; : : : ; m, be other local charts
covering M , with Vj Rk and Dj RN open and let pj 2 C 1 RN , j =
1; : : : ; m, be a partition
Pn of unity subordinated to the family of open sets D1 ,
. . . , Dm . Since i=1 hi = 1 in M , for every j = 1; : : : ; m and every x 2 M ,
n
X
f (x) pj (x) = f (x) pj (x) hi (x) ;
i=1
and so using the surface integral de…ned in (50) for the local chart j (note that
f pj is zero outside Dj ), we have
Z Z Xn Xn Z
f pj dHk = f pj hi dHk = f pj hi dHk
E\ j (Vj ) E\ j (Vj ) i=1 i=1 E\ j (Vj )
n Z
X
= f pj hi dHk :
i=1 E\ j (Vj )\'i (Wi )
Hence, summing over j,

m Z
X n Z
m X
X
f pj dHk = f pj hi dHk : (58)
j=1 E\ j (Vj ) j=1 i=1 E\ j (Vj )\'i (Wi )
Similarly, starting with f hi in place of f pj , we get that

Z m Z
X
k
f hi dH = f pj hi dHk ;
E\'i (Wi ) j=1 E\ j (Vj )\'i (Wi )
and so, summing over i,

Xn Z m Z
n X
X
f hi dHk = f pj hi dHk : (59)
i=1 E\'i (Wi ) i=1 j=1 E\ j (Vj )\'i (Wi )
Since the right-hand sides of (58) and (59) are equal, it follows that
Xm Z Xn Z
k
f pj dH = f hi dHk ;
j=1 E\ j (Vj ) i=1 E\'i (Wi )
which shows that the de…nition (57) does not depend on the particular choice
of the local charts and partition of unity.
141

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Giovanni Leoni, Mathematical Studies: Analysis II, Spring 2012, Carnegie Mellon University

Wednesday, January 18, 2012

1 Directional Derivatives and Di¤erentiability

and assume that x0 is an accumulation point of the set E \ L. The directional

@f f (x0 + tv) f (x0 )

Remark 1 Let F := ft 2 R : x0 + tv 2 Eg R. If we consider the function

Remark 2 The previous de…nition continues to hold if in place of RN one takes

@f f (0 + tv1 ; 0 + tv2 ) f (0; 0) 0 0

Find all directional derivatives of f at 0 and prove that f is not continuous at

The previous examples show that in dimension N 2 partial derivatives do

for all x; y 2 RN and

De…ne b := (T (e1 ) ; : : : ; T (eN )) 2 RN . Then the previous calculation shows

De…nition 5 Let E RN , let f : E ! R, and let x0 2 E be an accumulation

Exercise 6 Prove that if N = 1, then f is di¤ erentiable at x0 if and only there

Remark 7 The previous de…nition continues to hold if in place of RN one takes

Friday, January 20, 2012

Then T is linear. To prove that T is not continuous, consider

The next theorem shows that di¤erentiability in dimension N 2 plays the

Theorem 9 Let E RN , let f : E ! R, and let x0 2 E be an accumulation

Proof. Let T be the di¤erential of f at x0 . De…ne

R (x) := f (x) f (x0 ) T (x x0 ) :

Note that by the de…nition of di¤erentiability

0 jf (x) f (x0 )j jb (x x0 )j + jR (x)j kbk kx x0 k + jR (x)j

as x ! x0 . It follows by the squeeze theorem that f is continuous at x0 .

Proof. Since x0 is an interior point, there exists B (x0 ; r) E. Let v 2 RN be

for all directions v. Hence, only at interior points of E, to check di¤erentiability

Prove that f is continuous at 0, that all directional derivatives of f at 0 exist

Theorems 9 and 10 give necessary conditions for the di¤erentiability of f at

Given a direction v = (v1 ; v2 ), the line L through 0 in the direction v intersects

does not tend to zero as (x; y) ! (0; 0). Take y = x2 . Then

Monday, January 23, 2012

Theorem 16 Let E RN , let f : E ! R, let x0 2 E . Assume that there ex-

Proof. Let x 2 B (x0 ; r). Write x = (x1 ; : : : ; xN ) and x0 = (y1 ; : : : ; yN ). Then

f (x) f (x0 ) = (f (x1 ; : : : ; xN ) f (y1 ; x2 ; : : : ; xN ))

By the mean value theorem applied to the function of one variable f ( ; x2 ; : : : ; xN ),

f (x) f (x0 ) rf (x0 ) (x x0 )

Using the fact that kzi x0 k kx x0 k ! 0 as x ! x0 , together with the

which implies the di¤erentiability of f at x0 .

Theorem 17 Let E RN , let f : E ! R, let x0 2 E , and let i 2 f1; : : : ; N g.

which have no limit as x ! 0, thus @f @f

Wednesday, January 25, 2012

De…nition 19 Given E RN , we say that

(i) E is disconnected if there exist two nonempty open sets U; V RN such

(ii) E is connected if it is not disconnected.

We study properties of connected sets. We begin by showing that continuous

Proposition 20 Let F RN and let f : F ! RM be a continuous function.

Proof. Let E F be a connected set and assume by contradiction that f (E)

f (E) U [ V; f (E) \ U 6= ;; f (E) \ V 6= ;; f (E) \ U \ V = ;:

By continuity, f 1 (U ) and f 1 (V ) are relatively open, hence, there exist two

which shows that E is disconnected.

De…nition 22 A continuous path is a continuous function ' : I ! RN , where

Proposition 23 Let E RN be pathwise connected. Then E is connected.

Let x 2 C \ U and y 2 C \ V . By hypothesis there exists a continuous path

' ([a; b]) E U [ V; x 2 ' ([a; b]) \ U; y 2 ' ([a; b]) \ V;

Remark 24 In particular, convex sets and star-shaped sets are connected.

Exercise 25 Let E RN be a connected set. Prove that E is connected.

Exercise 26 Let E R2 be the set given by

Prove that E is connected but not pathwise connected.