Probability Theory and Statistics 114

Prof. Willie Brink

Applied Mathematics, Stellenbosch University

Lecture 29
Integration

1/10
Chapter 5
CONTINUOUS RANDOM VARIABLES

2/10
Integration

Determine the area under the curve of a given function f (x), between x = a and x = b.

y = f (x)

A=?

a b x

3/10
We may approximate this area by summing the areas of a bunch of rectangles:

y y

a
△x
b x a b x

N
X This sum will approach the true area
A ≈ f (xi ) △x
i=1 as △x → 0.

Z b
Notation: A = f (x) dx
a

4/10
The fundamental theorem of calculus

Let F (x) be an antiderivative of f (x), that is dF

dx = f (x). Then
Z b
 b
f (x) dx = F (x) a = F (b) − F (a).
a

Example

Z 5 5
2x 2 = 2(5)2 − 2(2)2 = 42

(4x) dx = 2
2

5/10
The linearity of integration

Z b   h Z b i hZ b i
c1 f (x) + c2 g (x) dx = c1 f (x) dx + c2 g (x) dx
a a a

Example

Z 1  −x
5e + 7x cos(x + 3) − 2(x 2 − 1) dx

0
Z 1 Z 1 Z 1 Z 1
= 5 e −x dx + 7 x cos(x + 3) dx − 2 x 2 dx + 2 1 dx
0 0 0 0

6/10
Exercises

Z 1
(a) 1 dx =2 F (x) = x
−1

Z 5
(b) x dx = 10.5 F (x) = 12 x 2
2

Z 3
(c) (x 2 − 1) dx = 12 F (x) = 13 x 3 − x
−3

Z 10
1
(d) dx = 0.4950 F (x) = −1/(2x 2 )
1 x3

Z 1  −2x 
(e) e + 2x − 1 dx = 0.4323 F (x) = − 12 e −2x + x 2 − x
0

7/10
Useful formulas

Z b
1 dx = b − a
a

Z b
x m dx = 1
b m+1 − am+1


m+1 for any integer m ̸= −1
a

Z b
e mx dx = 1
e mb − e ma


m for any m ̸= 0
a

8/10
Improper integration

An improper integral has one or both limits (a and b) infinite, or an

integrand (f (x)) that tends to infinity in the range of integration.

We can solve such integrals by taking limits, for example

Z ∞ Z b
f (x) dx = lim f (x) dx
a b→∞ a

9/10
Examples

Z ∞ Z b
1 1
(a) dx = lim dx
1 x2 b→∞ 1 x2
h 1 ib
= lim −
b→∞ x 1
h 1 i
= lim − +1 = 1
b→∞ b

Z 0 Z 0
(b) e x dx = lim e x dx
−∞ a→−∞ a

0
ex

= lim a
a→−∞

1 − ea
 
= lim = 1
a→−∞

10/10