LECTURE 4.

CHANGE OF VARIABLES IN MULTIPLE

INTEGRALS - PROOF

A course on calculus
MATH - K72K SP TA
Hanoi National University of Education - 2024
Outlines

Summarizing of the previous lecture

Parameter-dependent integrals with fixed domains of integration

Continuity
Differentiability
Integrability

Parameter-dependent integrals with variable domains of integration

Continuity
Differentiability

Exercises
Theorem
(Change of variables in multiple integrals) Suppose that
f : D ′ −→ R is integrable on D ′ and the transformation
g : D −→ D ′ is a diffeomorphism on D. Then f◦ g is integrable on
D and Z Z
f (x ′ )dx ′ = f (g (x))|Jg |dx,
D′ D

where Jg (x) is the Jacobian of g at x given by

 ∂g1 ∂g1 
∂x1 ··· ∂xn
Jg (x) = det  ... .. ..  .

. . 
∂gn ∂gn
∂x1 ··· ∂xn
Sketch of the proof of Thm.1 - Primitive
mappings

In the proof of Thm.1 we will use the notions of primitive mappings

and the partition of unity. Let’s define first the primitive mappings.
Primitive mappings
Definition
If G maps an open set E ⊂ Rn into Rn , and if there is an integer m
and a real function g with domain E s.t.
X
G (x) = xi ei + g (x)em , (x ∈ E ), (1)
i̸=m

then we call G primitive.

Sketch of the proof of Thm.1

A primitive mapping is thus one that changes at most one coordinate.

We see that (1) can be rewritten in the form

G (x) = x + [g (x) − xm ]em . (2)

Sketch of the proof of Thm.1

If g is differentiable at some point a ∈ E , so is G . The matrix [αij ]

of the operator G ′ (a) has

(D1 g )(a), . . . , (Dm g )(a), . . . , (Dn g )(a) (3)

̸ m, we have αjj = 1 and αij = 0 if i ̸= j.

as its mth row. For j =
The Jacobian of G at a is thus given by

JG (a) = det[G ′ (a)] = (Dm g )(a), (4)

and we see that G ′ (a) is invertible if and only if (Dm g )(a) ̸= 0.

Sketch of the proof of Thm.1 - Flips

Definition
A linear operator B on Rn that interchanges some pair of members
of the standard basis and leaves the others fixed will be called a flip.
For example, the flip B on R4 that interchanges e2 and e4 has the
form

B(x1 e1 + x2 e2 + x3 e3 + x4 e4 ) = x1 e1 + x4 e2 + x3 e3 + x2 e4 (5)

Hence B can also be thought of as interchanging two of the coordi-

nates, rather than two basis vectors.
Sketch of the proof of Thm.1

In the following we shall use the projections P0 , . . . , Pn in Rn , defined

by P0 x = 0 and

Pm x = x1 e1 + · · · + xm em (6)

for 1 ≤ m ≤ n.
Sketch of the proof of Thm.1 - Local presentation
of C 1 mappings

Theorem
Suppose that F is a C 1 -mapping of an open set E ⊂ Rn into Rn ,
0 ∈ E , F (0) = 0 and F ′ (0) is invertible. Then there is a
neighborhood of 0 in Rn in which a representation

F (x) = B1 ◦ · · · ◦ Bn−1 ◦ Gn ◦ · · · ◦ G1 (x) (7)

is valid.
In (7), each Gi is a primitive C 1 − mapping in some neighborhood
of 0; Gi (0) = 0, Gi′ (0) is invertible, and each Bi is either a flip or
the identity operator.
Sketch of the proof of Thm.1

Briefly, (7) represents F locally as a composition of primitive map-

pings and flips.
(See W. Rudin - Principles of Mathematical Analysis, for the detailed
proof of Thm.4. It uses the method of induction by n and the inverse
function theorem).
Sketch of the proof of Thm.1 - Partitions of unity

Theorem
Suppose K is a compact subset of Rn and {Vα } is an open cover of
K . Then there exist functions ψ1 , . . . , ψs ∈ C (Rn ) s.t.
(a) 0 ≤ ψi ≤ 1 for 1 ≤ i ≤ s;
(b) each ψi has its support in some Vα , and
Ps
(c) ψi (x) = 1 for every x ∈ K .
i=1

Because of (c), {ψi } is called a partition of unity, and (b) is some-

times expressed by saying that {ψi } is subordinate to the cover {Vα }.
Sketch of the proof of Thm.1 - Partitions of unity

(See W. Rudin - Principles of Mathematical Analysis, for a simple

proof of Thm.5).
Corollary
If f ∈ C (Rn ) and the support of f lies in K , then
s
X
f = ψi f . (8)
i=1

Each ψi f has its support in some Vα .

Completion of the proof for the change of variable
formula

For simplicity, we confine ourselves to continuous function with com-

pact support, although this is too restrictive for many applications.
We will prove the following
Theorem
Suppose that T is a 1 − 1 C 1 -mapping of an open set E ⊂ Rn into
Rn such that JT (x) ̸= 0 for all x ∈ E . If f is a continuous function
on Rn whose support is compact and lies in T (E ), then
Z Z
f (y )dy = f (T (x))|JT (x)|dx. (9)
Rn Rn
Proof of Theorem 7

Obviously, that (9) is true if T is a primitive C 1 mapping or a linear

mapping which merely interchanges two coordinates.
If the theorem is true for transformation P, Q, and if S(x) = P(Q(x)),
then
Z Z
f (z)dz = f (P(y ))|JP (y )|dy
Z
= f (P(Q(x)))|JP (Q(x))||JQ (x)|dx
Z
= f (S(x))|JS (x)|dx,
Proof of Theorem 7

since

JP (Q(x))JQ (x) = det P ′ (Q(x)) det Q ′ (x)

= det P ′ (Q(x))Q ′ (x) = det S ′ (x) = JS (x)

by the multiplication theorem for determinants and the chain rule.

Thus the theorem is also true for S.
Proof of Theorem 7

Each poin a ∈ E has a neighborhood U ⊂ E in which

T (x) = T (a) + B1 ◦ · · · ◦ Bn−1 ◦ Gn ◦ · · · ◦ G1 (x − a) (10)

where Gi and Bi are as in Theorem 4. Setting V = T (U), it follows

that (9) holds if the support of f lies in V . Thus:
Each point y ∈ T (E ) lies in an open set Vy ⊂ T (E ) such that (9)
holds for all continuous functions whose support lies in Vy .
Proof of Theorem 7

Now let f be a continuous function with compact support

P K ⊂ T (E ).
Since {Vy } covers K , Corollary 6 shows that f = ψi f , where each
ψi is continuous, and each ψi has its support in some Vy . Thus (9)
holds for each ψi f , and hence also for their sum f .
Parameter-dependent integrals with fixed domains of
integration

Definition
Let f : [a, b] × X −→ R, where X is a metric space. Suppose that
for all x ∈ X the function t 7→ f (t, x) is integrable on [a, b]. Then
Z b
I (x) = f (t, x)dt (11)
a

defines a function I : X −→ F .
This function I is said to be the integral depending on a parameter
(parameter x) with a fixed domain of integration.
Parameter-dependent integrals with fixed domains of
integration

Example
Compute Z 1
I (x) = f (t, x)dt, x ∈ R,
0
with
f (t, x) = sgn(t − x) : 0 ≤ t ≤ 1, x ∈ R.
Solution: For x < 0, f (t, x) = 1. Thus I (x) = 1.
For x > 1, f (t, x) = −1. Hence I (x) = −1.
When 0 ≤ x ≤ 1, we have
Z x Z 1
I (x) = f (t, x)dt + f (t, x)dt
0 x
Z x Z 1
= (−1)dt + 1dt
0 x
= −x + 1 − x = 1 − 2x.
Theorem
Let f : [a, b] × X −→ R be a continuous function. Then the
function
Z b
I (x) = f (t, x)dt
a

is continuous on X .
Proof of continuity

Let {xn } be a sequence in X , xn → x with x ∈ X as n → ∞. Take

ε > 0. Consider f on the compact set A := [a, b] × {xn , x}∞
n=1 .
Since f is continuous, f is uniformly continuous on A. Therefore,
there exists n0 such that

|f (t, xn ) − f (t, x)| < ε, ∀n > n0 .

Proof of continuity

Hence,
Z b

|I (x) − I (xn )| = | f (t, xn ) − f (t, x) dx|
a
Z b
≤ |f (t, xn ) − f (t, x)|dt < ε(b − a)
a

for all n > n0 . Thus lim I (xn ) = I (x), so I (x) is continuous on X .

n→∞
1-dimensional result

The 1− dimensional version of Thm.10 is following

Theorem
Let f : [a, b] × [c, d] −→ R be a continuous function, f = f (x, y ).
Then the function
Z b
I (y ) = f (x, y )dx
a

is continuous on [c, d].

Differentiability

Theorem
Suppose that X is an open subset of Rn . Let f : [a, b] × X −→ R
be a continuous function and continuously differentiable with
respect to x ∈ X . Then the function
Z b
I (x) = f (t, x)dt
a

is continuously differentiable on X and

Z b
∂f
I ′ (x) = (t, x)dt, x ∈ X.
a ∂x
Proof of differentiability

Let x0 ∈ X and {hk } ⊂ Rn , hk → 0 as k → ∞, x0 +hk ∈ X , k ≥ 1.

∂f
Since ∂x is uniformly continuous on [a, b] × {x0 , x0 + hk }∞
k=1 , for all
ε > 0 there exists k0 s.t.
∂f ∂f
| (t, x0 + λhk ) − (t, x0 )| < ε
∂x ∂x
for all k > k0 , 0 ≤ λ ≤ 1 and t ∈ [a, b].
For k ≥ 1 and t ∈ [a, b] we have
Z 1
∂f
f (t, x0 + hk ) − f (t, x0 ) = (t, x0 + λhk )(hk )dλ.
0 ∂x
Proof of differentiability

This implies
Z b
∂f
I (x0 + hk ) − I (x0 ) − (t, x0 )(hk )dt
a ∂x
Z bh
∂f i
= f (t, x0 + hk ) − f (t, x0 ) − (t, x0 )(hk ) dt
a ∂x
Z b nZ 1h
∂f ∂f i o
= (t, x0 + λhk ) − (t, x0 ) (hk )dλ dt
a 0 ∂x ∂x
Z bZ 1
∂f ∂f
≤ (t, x0 + λhk ) − (t, x0 ) |hk |dλ
a 0 ∂x ∂x
≤ ε(b − a)|hk | for all k > k0 .
Proof of differentiability

From the last inequality it follows that I (x) is differentiable at x0 and

Z b
′ ∂f
I (x0 ) = (t, x0 )dt.
a ∂x

Since x0 is an arbitrary point in X , the function I (x) is differentiable

at all x ∈ X and
Z b
′ ∂f
I (x0 ) = (t, x0 )dt, x ∈ X.
a ∂x

∂f
From the continuity of ∂x (t, x) on [a, b] × X and from Thm.10 it
′
follows that I is continuous on X .
In the 1− dimensional case we have the following result.
Theorem
Let function f = f (x, y ) be defined on the rectangle
D = [a, b] × [c, d] such that f is continuous function with respect
to x ∈ [a, b] for each fixed y from [c, d]. Moreover, suppose that
∂f
∂y (x, y ) is a continuous function in the rectangle D. Then the
parameter-dependent integral
Z b
I (y ) = f (x, y )dx, y ∈ [a, b]
a

is a differentiable function and

Z b
′ ∂f
I (y ) = (x, y )dx, y ∈ [a, b].
a ∂y

The proof of Thm.13 is similar to that of Thm.12

Integrability

Theorem
Suppose that X is a bounded and Jordan measurable subset of Rn .
Let f : [a, b] × X −→ R be a continuous function. Then the
function
Z b
I (x) = f (t, x)dt, x ∈X
a

is integrable on X and
Z Z Z b Z b Z
I (x)dx = dx f (t, x)dt = dt f (t, x)dx.
a a
X X X
Proof of integrability

By Thm.10 the functions

Z b Z
I (x) = f (t, x)dt and J(t) = f (t, x)dx
a
X

are continuous on X and [a, b] respectively. Therefore they are inte-

grable on X and [a, b] respectively. Fubini’s theorem gives us
Z Z b
I (x)dx = J(t)dt.
a
X

This is the required identity.

Example
1
xb − xa
Z
Find the integral dx, 0 < a < b.
0 ln x
Solution

First we note that

b
xb − xa
Z
= x y dy , 0 < a < b.
ln x a
Z 1 Z b
Therefore, I (a, b) = dx x y dy . Since the function f (x, y ) sat-
0 a
isfies conditions of Thm.14, we can change the order of integration
Z 1 Z b Z b Z 1
I (a, b) = dx x y dy = dy x y dx =
0 a a 0
b b
x y +1 b+1
Z Z
x=1 dy
= dy = = ln .
a y +1 x=0 a y +1 a+1
Example
y2 − x2
Consider f (x, y ) = in the square [0, 1] × [0, 1].
(x 2 + y 2 )2
Conditions of Thm.14 are not satisfied, since the discontinuity
occurs at (0, 0). We have
1
1
Z
x x=1
fdx = = , (y > 0),
0 x + y2
2 x=0 1 + y2
Z 1 Z 1 1 π
dy fdx = arctan y = ,
0 0 0 4
meanwhile Z 1 Z 1
π
dx fdy = − .
0 0 4
Example
Compute the following integral
π
Z2
I (a) = ln(a2 − sin2 θ)dθ, (a > 1)
0

by differentiating with respect to a.

Solution

We see that conditions of Thm.13 are satisfied. Therefore we have

π
Z2
2adθ π
I ′ (a) = 2
=√ .
a2 − sin θ 2
a −1
0

By integrating w.r.t. a, we can recover the value of I (a):

p
I (a) = π ln(a + a2 − 1) + C .
In order to determine the constant C , we represent I (a) in the form
π
Z2  1 
I (a) = π ln a + ln 1 − 2 sin2 θ dθ,
a
0

that implies
π √
1 a + a2 − 1
Z
2
 
2
C= ln 1 − 2 sin θ dθ − π ln .
0 a a
Passing to the limit as a → +∞, since
 1   1
ln 1 − 2 sin2 θ ≤ ln 1 − 2 ,
a a
we obtain that the integral tends to 0, and it is obvious now that
C = −π ln 2. Finally
√
a + a2 − 1
I (a) = π ln .
2
Example
Calculate the following integral
Zπ
I (r ) = ln(1 − 2r cos x + r 2 )dx, (|r | < 1).
0
Solution
Differentiating w.r.t. r we get
Zπ
′ −2 cos x + 2r
I (r ) = dx.
1 − 2r cos x + r 2
0
x
By substituting t = tan we get
2
+∞
4[r − 1 + (r + 1)t 2 ] dt
Z
′
I (r ) = h i
0 (1 + t 2 ) (1 − r )2 + (1 + r )2 t 2
2 +∞ h 1 (r 2 − 1)
Z i
= + dt
r 0 (1 + t 2 ) (1 − r 2 ) + (1 + r )2 t 2
2h ∞ (r 2 − 1)(1 + r ) 1 + r ∞i
= arctan t + arctan t
r 0 (1 + r )2 (1 − r ) 1−r 0
2π π 
= − = 0,
r 2 2
for all r : 0 < |r | < r0 < 1 with some r0 > 0.
In that case

I (r ) = C = const, ∀r : 0 < |r | < r0 < 1.

However I (0) = 0, that means C = 0. So I (r ) = 0 for |r | < 1.

However I (0) = 0, that means C = 0. So I (r ) = 0 for |r | < 1.
Example Z 1
arctan x
Compute the integral I = √ dx.
2
0 x 1−x
Solution: Introducing a parameter, let’s consider a more general
integral Z 1
arctan xy
I (y ) = √ dx, (y ≥ 0),
2
0 x 1−x
from which our integral is obtained for y = 1.
Solution

Differentiating w.r.t. y , we have

Z 1
′ dx
I (y ) = √ ;
2 2 2
0 (1 + x y ) 1 − x

that can be computed easily, for example, by the substitution x =

cos θ:
Z π
2 dθ 1 tan θ π2 π 1
I ′ (y ) = 2 2
= p arctan p = p .
0 1 + y cos θ 1 + y2 1 + y2 0 2 1 + y2
Thus, by integrating we find
π p
I (y ) = ln(y + 1 + y 2 ) + C .
2
Since I (0) = 0, we get C = 0.
For y = 1 we obtain the given integral
π √
I = I (1) = ln(1 + 2).
2
Parameter-dependent integrals with variable domains of
integration - Definition

Let D be the rectangle [a, b] × [c, d]. Suppose that C1 and C2 are
two curves that are contained in D with the corresponding equations

x = α(y ) and x = β(y ), y ∈ [c, d]

where α(y ), β(y ) are functions defined on [c, d].

Suppose that f (x, y ) is defined on D, integrable with respect to
x ∈ [a, b] for every fixed y ∈ [c, d].
β(y
Z )
Put I (y ) = f (x, y )dx, y ∈ [c, d].
α(y )
Then I (y ) is a function defined on [c, d].
Continuity

Theorem
Let f (x, y ) be continuous in D. Assume that α(y ), β(y ) are
continuous in [c, d]. Then the parameter-dependent integral
β(y
Z )
I (y ) = f (x, y )dx, y ∈ [c, d]
α(y )

is a continuous function in [c, d].

Proof of continuity

Consider a fixed y0 ∈ [c, d]. We have

β(y
Z ) β(y
Z 0) β(y
Z ) α(y
Z 0)
I (y ) = f (x, y )dx = f (x, y )dx + f (x, y )dx + f (x, y )dx
α(y ) α(y0 ) β(y0 ) α(y )

= I1 (y ) + I2 (y ) + I3 (y ).

We will prove that Ik (y ), k = 1, 2, 3 are continuous at y0 .

Since f (x, y ) is continuous in D, so it is in the rectangle [α(y0 ), β(y0 )]×
β(y
Z 0)
[c, d]. By Thm.11 we have I1 (y ) = f (x, y )dx is continuous in
α(y0 )
[c, d], and therefore, at y0 .
 β(y
Z )
In order to investigate the continuity of I2 (y ) = f (x, y )dx we
β(y0 )
note that f is bounded in the closed rectangle D, since f is continuous
there. That means, there exists M > 0 s.t.:

|f (x, y )| ≤ M, ∀(x, y ) ∈ D.

Hence
β(y
Z )
|I2 (y )| = f (x, y )dx ≤ M|β(y ) − β(y0 )|.
β(y0 )
Since β(y ) is continuous in [c, d], so it is at y0 . It implies that
lim [β(y ) − β(y0 )] = 0. From the last inequality we get
y →y0

lim I2 (y ) = 0.
y →y0

A similar argument is applied for lim I3 (y ).

y →y0
Differentiability
Theorem

Assume that
a) f (x, y ) is defined on D and continuous w.r.t. x ∈ [a, b] for
every fixed y ∈ [c, d].
∂f
b) f (x, y ) has the partial derivative (x, y ) that is continuous
∂y
(w.r.t. both variables) in D.
c) α(y ) and β(y ) are differentiable in [c, d].
Differentiability

Then the integral

β(y
Z )
I (y ) = f (x, y )dx, y ∈ [c, d]
α(y )

is a differentiable function and the following formula holds

β(y
Z )
′ ∂f (x, y )
I (y ) = dx+β ′ (y )f (β(y ), y )−α′ (y )f (α(y ), y ), y ∈ [c, d].
∂y
α(y )
Proof of differentiability

Consider y0 ∈ [c, d]. We write I (y ) again in the form

β(y
Z ) β(y
Z 0) β(y
Z ) α(y
Z 0)
I (y ) = f (x, y )dx = f (x, y )dx + f (x, y )dx + f (x, y )dx
α(y ) α(y0 ) β(y0 ) α(y )

= I1 (y ) + I2 (y ) + I3 (y ).

and we will prove that Ik (y ), k = 1, 2, 3 are differentiable at y0 .

This statement is valid for I1 (y ) thanks to Thm.12 and we have
β(y
Z 0)
∂f (x, y )
I1′ (y ) = dx, y ∈ [c, d].
∂y
α(y0 )
Regarding I2 (y ), let’s consider the ratio
β(y
Z ) β(y
Z 0)
I2 (y ) − I2 (y0 ) 1 n o
= f (x, y )dx − f (x, y )dx
y − y0 y − y0
β(y0 ) β(y0 )
β(y
Z )
1
= f (x, y )dx.
y − y0
β(y0 )
Since f (x, y ) is continuous w.r.t. x ∈ [a, b], it is continuous in the
interval [β(y0 ), β(y )] too. Applying the mean value theorem for the
definite integrals we obtain
β(y
Z )
f (x, y )dx = f (x ∗ , y )[β(y ) − β(y0 )],
β(y0 )

where the point x ∗ is between β(y0 ) and β(y ). Thus

I2 (y ) − I2 (y0 ) β(y ) − β(y0 )

= f (x ∗ , y ) .
y − y0 y − y0

β(y ) − β(y0 )
By assumption c) we have lim = β ′ (y0 ).
y →y0 y − y0
On the other hand, since β(y ) is differentiable in [c, d], it is contin-
uous on that interval. Hence β(y ) → β(y0 ) as y → y0 . However,
since x ∗ lays between β(y0 ) and β(y ), x ∗ = x ∗ (y ) → β(y0 ) as
y → y0 .
Moreover, by assumption, f (x, y ) is continuous w.r.t. x for each y
∂f (x, y )
fixed and it has the partial derivative that is continuous
∂y
w.r.t. y , therefore f (x, y ) is continuous w.r.t. y also. It implies that
f (x ∗ , y ) → f [β(y0 ), y0 ] when y → y0 .
From this argument, there exists the limit

β(y ) − β(y0 )
lim f (x ∗ , y ) = f [β(y0 ), y0 ].β ′ (y0 ).
y →y0 y − y0

The last expression means there exists the derivative

I2 (y ) − I2 (y0 )
I2′ (y0 ) = lim = f [β(y0 ), y0 ].β ′ (y0 ).
y →y0 y − y0
Analogously, we can prove that there exist the derivative I3′ (y ) and

I3′ (y0 ) = −f [α(y0 ), y0 ]α′ (y0 ).

Summarizing, we see that I (y ) is differentiable at any y0 ∈ [c, d]

and we obtain the required formula for I ′ (y ).
Exercises

1. Examine the continuity of the following integral

Z 1
yf (x)dx
I (y ) = 2 2
0 x +y

where f (x) is a positive and continuous function on [0, 1].

2. FindZ
1 p
a) lim x 2 + α2 dx.
α→0 −1
Z 1
dx
b) lim  x n .
n→∞ 0
1+ 1+
n
Exercises

3. Let Z α
φ(x)dx
I (α) = √
0 α−x
where φ(x) is a continuous function with the derivative φ′ (x) that
is continuous on the interval [0, a]. Prove that for 0 < α < a
Z α ′
′ φ(0) φ (x)dx
I (α) = √ + √ .
α 0 α−x
Exercises

4. By integrating
Z 1 of the integrand find the following integrals
 1 xb − xa
a) I = sin ln dx, (a > 0, b > 0).
x ln x
Z0 1  1 xb − xa
b) I = cos ln dx, (a > 0, b > 0).
0 x ln x
Exercises

5. Prove that the Bessel function

1 π
Z
In (x) = cos(nφ − x sin φ)dφ
π 0

satisfies the equation

x 2 In′′ (x) + xIn′ (x) + (x 2 − n2 )In (x) = 0.

Exercises
6.

Find
Z the following integrals
1
a) x α (ln x)n dx, α > 0, n ∈ N+ .
0
Z π
2
b) ln(1 + y sin2 x) dx, y > −1.
0