Chapter 8 – Improper Integrals.

Subject: Real Analysis (Mathematics) Level: M.Sc.

Source: Syed Gul Shah (Chairman, Department of Mathematics, US Sargodha)
Collected & Composed by: Atiq ur Rehman ([email protected]), http://www.mathcity.org

We discussed Riemann-Stieltjes’s integrals of the form ò a

b
f da under the
restrictions that both f and a are defined and bounded on a finite interval [a, b] .
To extend the concept, we shall relax these restrictions on f and a .

Ø Definition
b
The integral ò a
f da is called an improper integral of first kind if a = -¥ or
b = + ¥ or both i.e. one or both integration limits is infinite.

Ø Definition
b
The integral ò a
f da is called an improper integral of second kind if f ( x) is
unbounded at one or more points of a £ x £ b . Such points are called singularities
of f ( x) .

Ø Notations
We shall denote the set of all functions f such that f ÎR(a ) on [a, b] by
R(a ; a, b) . When a ( x ) = x , we shall simply write R(a, b) for this set. The notation
a - on [a, ¥) will mean that a is monotonically increasing on [a, ¥) .

Ø Definition
Assume that f ÎR(a ; a, b) for every b ³ a . Keep a,a and f fixed and define
a function I on [a, ¥) as follows:
b
I (b) = ò f ( x ) da ( x) if b ³ a ………… (i)
a
The function I so defined is called an infinite ( or an improper ) integral of first
¥ ¥
kind and is denoted by the symbol ò a
f ( x) da ( x ) or by ò a
f da .
¥
The integral ò a
f da is said to converge if the limit
lim I (b) ………… (ii)
b®¥
¥
exists (finite). Otherwise, ò a
f da is said to diverge.
If the limit in (ii) exists and equals A , the number A is called the value of the
¥
integral and we write ò a
f da = A

Ø Example
b
Consider ò 1
x - p dx .
b
(1 - b ) 1- p ¥

òx òx
-p -p
dx = if p ¹ 1 , the integral dx diverges if p < 1 . When
1
p -1 1
1
p > 1 , it converges and has the value .
p -1
b ¥
If p = 1 , we get ò 1
x -1 dx = log b ® ¥ as b ® ¥ . Þ ò 1
x -1 dx diverges.
2 Chap. 8 – Improper Integrals.

Ø Example
b
Consider ò sin 2p x dx
0

(1 - cos 2p b)
b
Q ò sin 2p x dx = ® ¥ as b ® ¥ .
0
2p
¥
\ the integral ò sin 2p x dx diverges.
0

Ø Note
a ¥
If ò
-¥
f da and ò f da
a
are both convergent for some value of a , we say that

¥
the integral ò
-¥
f da is convergent and its value is defined to be the sum
¥ a ¥

ò
-¥
f da = ò
-¥
f da + ò f da
a

The choice of the point a is clearly immaterial.

¥ b
If the integral ò
-¥
f da converges, its value is equal to the limit: lim
b®+ ¥ ò f da .
-b

Ø Theorem
Assume that a - on [a, + ¥) and suppose that f ÎR(a ; a, b) for every b ³ a .
¥
Assume that f ( x ) ³ 0 for each x ³ a . Then ò a
f da converges if, and only if,
there exists a constant M > 0 such that
b

ò f da
a
£ M for every b ³ a .

Proof
b
We have I (b) = ò f ( x ) da ( x) , b³a
a

Þ I - on [a, + ¥)
Then lim I (b) = sup {I (b) | b ³ a} = M > 0 and the theorem follows
b®+¥
b
Þ ò f da £ M
a
for every b ³ a whenever the integral converges.

]]]]]]]]]]]]]]]]
 Chap. 8 – Improper Integrals. 3

Ø Theorem: (Comparison Test)

Assume that a - on [a, + ¥) . If f ÎR(a ; a, b) for every b ³ a , if
¥ ¥
0 £ f ( x ) £ g ( x) for every x ³ a , and if ò g da
a
converges, then ò f da
a
converges

and we have
¥ ¥

ò f da
a
£ ò g da
a

Proof
b b
Let I1 (b) = ò f da and I 2 (b) = ò g da , b³a
a a
Q 0 £ f ( x) £ g ( x ) for every x ³ a
\ I1 (b) £ I 2 (b) …………………. (i)
¥
Q ò g da converges \ $ a constant M > 0 such that
a
¥

ò g da £ M
a
, b ³ a …………………(ii)

From (i) and (ii) we have I1 (b) £ M , b ³ a.

Þ lim I1 (b) exists and is finite.
b®¥
¥
Þ ò f da
a
converges.

Also lim I1 (b) £ lim I 2 (b) £ M

b®¥ b®¥
¥ ¥
Þ ò f da £ ò g da .
a a

Ø Theorem (Limit Comparison Test)

Assume that a - on [a, + ¥) . Suppose that f ÎR(a ; a, b) and that
g ÎR (a ; a, b) for every b ³ a , where f ( x ) ³ 0 and g ( x ) ³ 0 if x ³ a . If
f ( x)
lim =1
x ®¥ g ( x )

¥ ¥
then ò f da
a
and ò g da
a
both converge or both diverge.

Proof
For all b ³ a , we can find some N > 0 such that
f ( x)
-1 < e " x ³ N for every e > 0 .
g ( x)
f ( x)
Þ 1-e < <1+ e
g ( x)
1
Let e = , then we have
2
1 f ( x) 3
< <
2 g ( x) 2
Þ g ( x ) < 2 f ( x ) …..…..(i) and 2 f ( x ) < 3 g ( x ) ……....(ii)
4 Chap. 8 – Improper Integrals.

¥ ¥
From (i) ò g da
a
< 2 ò f da
a
¥ ¥ ¥ ¥
Þ ò g da
a
converges if ò f da
a
converges and ò f da
a
diverges if ò f da
a
diverges.
¥ ¥
From (ii) 2 ò f da < 3ò g da
a a
¥ ¥ ¥ ¥
Þ ò f da
a
converges if ò g da
a
converges and ò g da
a
diverges if ò f da
a
diverges.
¥ ¥
Þ The integrals ò f da
a
and ò g da
a
converge or diverge together.

Ø Note
f ( x)
The above theorem also holds if lim = c , provided that c ¹ 0 . If c = 0 ,
x ®¥ g ( x )

¥ ¥
we can only conclude that convergence of ò g da
a
implies convergence of ò f da .
a

Ø Example
¥

òe
-x
For every real p , the integral x p dx converges.
1
¥
1
This can be seen by comparison of this integral with òx
1
2
dx .
-x p
f ( x) e x 1
Since lim = lim where f ( x) = e - x x p and g ( x) = 2 .
x ®¥ g ( x ) x®¥ 1 x
x2
f ( x) x p+2
Þ lim = lim e - x x p+ 2 = lim x = 0
x®¥ g ( x ) x ®¥ x ®¥ e

¥
1
and Q òx 2
dx is convergent
1
¥

òe
-x
\ the given integral x p dx is also convergent.
1

Ø Theorem
¥
Assume a - on [a, + ¥) . If f ÎR(a ; a, b) for every b ³ a and if ò
a
f da
¥
converges, then ò f da
a
also converges.

Or: An absolutely convergent integral is convergent.

Proof
If x ³ a , ± f ( x) £ f ( x )
Þ f ( x ) - f ( x) ³ 0
Þ 0 £ f ( x) - f ( x) £ 2 f ( x )
 Chap. 8 – Improper Integrals. 5

¥
Þ ò(
a
f - f ) da converges.
¥ ¥
Subtracting from ò
a
f da we find that ò f da
a
converges.

( Q Difference of two convergent integrals is convergent )

Ø Note
¥ ¥

ò f da
a
is said to converge absolutely if ò
a
f da converges. It is said to be
¥ ¥
convergent conditionally if ò f da
a
converges but ò
a
f da diverges.

Ø Remark
Every absolutely convergent integral is convergent.

Ø Theorem
Let f be a positive decreasing function defined on [a, + ¥) such that
f ( x ) ® 0 as x ® +¥ . Let a be bounded on [a, + ¥) and assume that
¥
f ÎR(a ; a, b) for every b ³ a . Then the integral ò
a
f da is convergent.
Proof
Integration by parts gives
b b

ò f da = f ( x ) × a ( x) a - ò a ( x ) df
b

a a
b
= f (b) × a (b) - f (a ) × a (a ) + ò a d (- f )
a
It is obvious that f (b)a (b) ® 0 as b ® + ¥
(Q a is bounded and f ( x ) ® 0 as x ® +¥ )
and f (a )a (a ) is finite.
b b
\ the convergence of ò f da
a
depends upon the convergence of ò a d (- f ) .
a

Actually, this integral converges absolutely. To see this, suppose a ( x) £ M for

all x ³ a ( Q a ( x ) is given to be bounded )
b b
Þ
a
ò a ( x) d ( - f ) £ ò M d ( - f )
a
b
But ò M d (- f ) = M - f = M f (a ) - M f (b) ® M f (a ) as b ® ¥ .
b
a
a
¥
Þ ò M d (- f ) is convergent.
a
Q - f is an increasing function.
¥
\ òa
a
d (- f ) is convergent. (Comparison Test)
¥
Þ ò f da
a
is convergent.
]]]]]]]]]]]]]]]]
6 Chap. 8 – Improper Integrals.

Ø Theorem (Cauchy condition for infinite integrals)

¥
Assume that f ÎR(a ; a, b) for every b ³ a . Then the integral ò f da
a
converges

if, and only if, for every e > 0 there exists a B > 0 such that c > b > B implies
c

ò f ( x) da ( x)
b
<e

Proof
¥
Let ò f da
a
be convergent. Then $ B > 0 such that
B b c
¥
e
b

ò f da - ò f da
a a
<
2
for every b ³ B ………..(i)

Also for c > b > B ,

¥
e
c

ò f da - ò f da
a a
<
2
…………….. (ii)

Consider
c c b

ò f da
b
= ò f da - ò f da
a a
c ¥ ¥ b
= ò f da - ò f da + ò f da - ò f da
a a a a
¥ ¥
e e
c b
£ ò f da - ò f da
a a
+ ò f da - ò f da
a a
< + =e
2 2
c
Þ ò f da
b
<e when c > b > B .

Conversely, assume that the Cauchy condition holds.

a +n
Define an = ò
a
f da if n = 1,2,......

The sequence {an } is a Cauchy sequence Þ it converges.

Let lim an = A
n®¥

e
c
Given e > 0 , choose B so that ò
b
f da <
2
if c > b > B .

e a+N
and also that an - A < whenever a + n ³ B . a
2 B b c
Choose an integer N such that a + N > B i.e. N > B - a
Then, if b > a + N , we have
b a+ N b

ò f da - A
a
= ò
a
f da - A + ò
a+ N
f da

e e
b
£ aN - A + ò
a+ N
f da < + =e
2 2
¥
Þ ò f da = A
a
This completes the proof.
 Chap. 8 – Improper Integrals. 7

Ø Remarks
¥
It follows from the above theorem that convergence of ò a
f da implies
b +e
lim ò f da = 0 for every fixed e > 0 .
b®¥ b
However, this does not imply that f ( x ) ® 0 as x ® ¥ .

Ø Theorem
¥
Every convergent infinite integral ò a
f ( x) da ( x) can be written as a convergent
infinite series. In fact, we have
¥ ¥ a +k

ò f ( x) da ( x) = å a
a k =1
k where ak = ò
a + k -1
f ( x) da ( x) ……….. (1)

Proof

{ò }
¥
a +n
Q ò f da converges, the sequence f da also converges.
a
a
a +n n ¥ ¥
But ò f da = å ak . Hence the series åa k converges and equals ò f da .
a k =1 k =1 a

Ø Remarks
It is to be noted that the convergence of the series in (1) does not always imply
k
convergence of the integral. For example, suppose ak = ò sin 2p x dx . Then each
k -1

ak = 0 and åa k converges.
¥
1 - cos 2p b
b
However, the integral ò sin 2p x dx = lim ò sin 2p x dx = lim
0
b®¥
0
b®¥ 2p
diverges.

IMPROPER INTEGRAL OF THE SECOND KIND

Ø Definition
Let f be defined on the half open interval ( a, b] and assume that f ÎR(a ; x, b)
for every x Î ( a, b] . Define a function I on ( a, b] as follows:
b
I ( x ) = ò f da if x Î ( a, b] ……….. (i)
x
The function I so defined is called an improper integral of the second kind and
b b
is denoted by the symbol ò f (t ) da (t )
a+
or
a+
ò f da .
b
The integral ò f da
a+
is said to converge if the limit

lim I ( x ) ……...(ii) exists (finite).

x ®a +
b
Otherwise, ò f da
a+
is said to diverge. If the limit in (ii) exists and equals A , the
b
number A is called the value of the integral and we write
a+
ò f da = A .
8 Chap. 8 – Improper Integrals.

Similarly, if f is defined on [a, b) and f ÎR(a ; a, x) " x Î [a, b) then

x
I ( x ) = ò f da if x Î [a, b) is also an improper integral of the second kind and is
a
b-

denoted as òa
f da and is convergent if lim I ( x ) exists (finite).
x ® b-

Ø Example
f ( x) = x - p is defined on (0, b] and f ÎR ( x, b) for every x Î (0, b] .
b
I ( x ) = ò x - p dx if x Î (0, b]
x
b b

òx ò
-p
= dx = lim x - p dx
e ®0
0+ 0 +e
b
x1- p b1- p - e 1- p
= lim = lim , ( p ¹ 1)
e ®0 1 - p e ®0 1- p
e

é finite , p < 1
=ê
ë infinite , p > 1
b
1
When p = 1 , we get ò dx = log b - log e ® ¥ as e ® 0 .
e
x
b

òx
-1
Þ dx also diverges.
0+

Hence the integral converges when p < 1 and diverges when p ³ 1 .

Ø Note
c b-
If the two integrals ò f da
a+
and ò f da
c
both converge, we write
b- c b-

a+
ò f da = ò f da + ò f da
a+ c
The definition can be extended to cover the case of any finite number of sums.
We can also consider mixed combinations such as
b ¥ ¥

ò f da + ò f da
a+ b
which can be written as ò f da .
a+

Ø Example
¥

òe
-x
Consider x p -1 dx , ( p > 0)
0+

This integral must be interpreted as a sum as

¥ 1 ¥

òe òe dx + ò e - x x p -1 dx
-x p -1 -x p -1
x dx = x
0+ 0+ 1

= I1 + I 2 ………..….…… (i)
I 2 , the second integral, converges for every real p as proved earlier.
1 1
To test I1 , put t = Þ dx = - 2 dt
x t
 Chap. 8 – Improper Integrals. 9

1
e
æ 1 ö
1 1
- 1 1- p - 1 - p -1
Þ I1 = lim ò e- x x p -1 dx = lim òe tt ç - 2 dt ÷ = lim òe tt dt
e ®0
e
e ®0
1 è t ø e ®0
1
e
-1
Take f (t ) = e t t - p -1 and g (t ) = t - p -1
-1 ¥
f (t ) e t × t - p -1
òt
- p -1
Then lim = lim - p -1 = 1 and since dt converges when p > 0
t ®¥ g (t ) t ®¥ t 1
¥
- 1 - p -1
\ òe
1
t t dt converges when p > 0
¥

òe
-x
Thus x p -1 dx converges when p > 0 .
0+
When p > 0 , the value of the sum in (i) is denoted by G( p ) . The function so
defined is called the Gamma function.

Ø Note
The tests developed to check the behaviour of the improper integrals of Ist kind
are applicable to improper integrals of IInd kind after making necessary
modifications.

Ø A Useful Comparison Integral

b
dx
ò ( x - a )n
a

We have, if n ¹ 1 ,
b b
dx 1
ò ( x - a )n
a +e
=
(1 - n)( x - a )n-1 a +e

1 æ 1 1 ö
= ç (b - a ) n-1 - e n-1 ÷
(1 - n) è ø
1
Which tends to or + ¥ according as n < 1 or n > 1 , as e ® 0 .
(1 - n)(b - a) n-1
Again, if n = 1 ,
b
dx
òa+e x - a = log(b - a) - log e ® + ¥ as e ® 0 .
b
dx
Hence the improper integral ò ( x - a )n
a
converges iff n < 1 .

]]]]]]]]]]]]]]]]
10 Chap. 8 – Improper Integrals.

Ø Question
Examine the convergence of
1 1 1
dx dx dx
(i) ò 1 (ii) ò0 x 2 (1 + x)2 (iii) òx
( ) (1 - x )
1 1
0 x
3
1+ x 2
0
2 3

Solution
1
dx
(i) ò0 x 13
(1 + x ) 2

Here ‘0’ is the only point of infinite discontinuity of the integrand.

We have
1
f ( x) = 1
x 3 1 + x2 ( )
1
Take g ( x) = 1
x 3
f ( x) 1
Then lim = lim =1
x ®0 g ( x ) x ®0 1 + x 2
1 1
Þ ò
0
f ( x) dx and ò0
g ( x ) dx have identical behaviours.
1 1
dx dx
Q ò0 x 13 converges \ ò0 x 13 also converges.
(1 + x )
2

1
dx
(ii) ò0 x 2 (1 + x)2
Here ‘0’ is the only point of infinite discontinuity of the given integrand.
We have
1
f ( x) = 2
x (1 + x )2
1
Take g ( x) = 2
x
f ( x) 1
Then lim = lim =1
( )
2
x ®0 g ( x ) x ®0
1 + x
1 1
Þ ò 0
f ( x) dx and ò
0
g ( x) dx behave alike.
1
But n = 2 being greater than 1, the integral ò0
g ( x) dx does not converge. Hence
the given integral also does not converge.
1
dx
(iii) òx
(1 - x )
1 1
2 3
0

Here ‘0’ and ‘1’ are the two points of infinite discontinuity of the integrand.
We have
1
f ( x) = 1
x 2 (1 - x ) 3
1

We take any number between 0 and 1, say 1 , and examine the convergence of
2
 Chap. 8 – Improper Integrals. 11

1
2 1
the improper integrals ò0 f ( x ) dx and ò
1
f ( x ) dx .
2
1
2
1 1
To examine the convergence of òx 1
2 (1 - x)
1
3
dx , we take g ( x) =
x
1
2
0

Then
f ( x) 1
lim = lim =1
x ®0 g ( x) x®0 (1 - x) 13
1 1
2 2
1 1
Q ò0 x 12 dx converges \ ò 1
x (1 - x)
2
1
3
dx is convergent.
0
1
1 1
To examine the convergence of ò
1
1
x 2 (1 - x)
1
3
dx , we take g ( x) =
(1 - x)
1
3
2
Then
f ( x) 1
lim = lim 1 = 1
x ®1 g ( x) x®1 x 2
1 1
1 1
Q ò 1
dx converges Q ò 1 1
dx is convergent.
1 (1 - x ) 3 1 x 2 (1 - x ) 3
2 2
1
Hence ò 0
f ( x ) dx converges.

Ø Question
1

ò x (1 - x ) dx exists iff m , n are both positive.

m -1 n-1
Show that
0
Solution
The integral is proper if m ³ 1 and n ³ 1 .
The number ‘0’ is a point of infinite discontinuity if m < 1 and the number ‘1’ is
a point of infinite discontinuity if n < 1 .
Let m < 1 and n < 1 .
We take any number, say 1 , between 0 & 1 and examine the convergence of
2
1
2 1

ò0 x (1 - x ) ò1 x (1 - x ) dx
m-1 n -1 m-1 n -1
the improper integrals dx and at ‘0’ and ‘1’
2
respectively.
Convergence at 0:
We write
m-1 n -1 (1 - x) n-1 1
f ( x) = x (1 - x ) = and take g ( x) =
x1-m x1- m

f ( x)
Then ® 1 as x ® 0
g ( x)
1
2
1
As ò0 x1-m dx is convergent at 0 iff 1 - m < 1 i.e. m > 0
1
2

ò0 x (1 - x ) dx
m-1 n -1
We deduce that the integral is convergent at 0, iff m is +ive.
12 Chap. 8 – Improper Integrals.

Convergence at 1:
m-1 n -1 x m-1 1
We write f ( x ) = x (1 - x ) = and take g ( x) =
(1 - x)1-n (1 - x )1- n
f ( x)
Then ® 1 as x ® 1
g ( x)
1
1
As ò
1 (1 - x )
1-n
dx is convergent, iff 1 - n < 1 i.e. n > 0 .
2
1

ò1 x (1 - x ) dx converges iff
m-1 n -1
We deduce that the integral n > 0.
2
1

ò0 x (1 - x ) dx exists for positive values of m , n only.

m -1 n-1
Thus

It is a function which depends upon m & n and is defined for all positive values
of m & n . It is called Beta function.
Ø Question
Show that the following improper integrals are convergent.
¥ ¥ 1 1
2 1 sin 2 x x log x
(i) ò sin dx (ii) ò 2 dx (iii) ò dx (iv) ò0 log x × log(1 + x) dx
1
x 1
x 0
(1 + x ) 2

Solution
1 1
(i) Let f ( x ) = sin 2 and g ( x) = 2
x x
2
f ( x) sin 2 1x æ sin y ö
then lim = lim 1 = lim ç ÷ =1
x ®¥ g ( x ) x ®¥
2 x
y ®0
è y ø
¥ ¥
1
Þ ò1 f ( x) dx and ò1 x 2 dx behave alike.
¥ ¥
1 1
Q ò 2 dx is convergent \ ò sin 2 dx is also convergent.
1
x 1
x
¥
sin 2 x
(ii) ò 2 dx
1
x
sin 2 x 1
Take f ( x ) = 2
and g ( x) = 2
x x
2
sin x 1
sin 2 x £ 1 Þ £ 2 " x Î (1, ¥ )
x2 x
¥ ¥
1 sin 2 x
and ò 2 dx converges \ ò 2 dx converges.
1
x 1
x

Ø Note
1
sin 2 x sin 2 x
ò0 x2 dx is a proper integral because lim
x ®0 x2
= 1 so that ‘0’ is not a point
¥
sin 2 x
of infinite discontinuity. Therefore ò 2 dx is convergent.
0
x
 Chap. 8 – Improper Integrals. 13

1
x log x
(iii) ò0 (1 + x)2 dx
Q log x < x , x Î (0,1)
\ x log x < x 2
x log x x2
Þ <
(1 + x ) (1 + x )
2 2

1
x2
Now ò (1 + x ) 2
dx is a proper integral.
0
1
x log x
\ ò (1 + x )
0
2
dx is convergent.

1
(iv) ò0 log x × log(1 + x) dx
Q log x < x \ log( x + 1) < x + 1
Þ log x × log(1 + x) < x ( x + 1)
1 1
Q ò0 x ( x + 1) dx is a proper integral \ ò0 log x × log(1 + x) dx is convergent.

Ø Note
a
1
(i) ò0 x p dx diverges when p ³ 1 and converges when p < 1 .
¥
1
(ii) òa x p dx converges iff p > 1 .

UNIFORM CONVERGENCE OF IMPROPER INTEGRALS

Ø Definition
Let f be a real valued function of two variables x & y , x Î [a, + ¥) , y ÎS
¥
where S Ì ¡ . Suppose further that, for each y in S , the integral ò a
f ( x, y ) da ( x )
is convergent. If F denotes the function defined by the equation
¥
F ( y ) = ò f ( x, y ) da ( x) if y ÎS
a
the integral is said to converge pointwise to F on S

Ø Definiton
¥
Assume that the integral òa
f ( x, y ) da ( x ) converges pointwise to F on S . The
integral is said to converge Uniformly on S if, for every e > 0 there exists a B > 0
(depending only on e ) such that b > B implies
b
F ( y ) - ò f ( x, y ) da ( x) < e " y ÎS .
a
( Pointwise convergence means convergence when y is fixed but uniform
convergence is for every y ÎS ).
14 Chap. 8 – Improper Integrals.

Ø Theorem (Cauchy condition for uniform convergence.)

¥
The integral ò
a
f ( x, y ) da ( x ) converges uniformly on S , iff, for every e > 0
there exists a B > 0 (depending on e ) such that c > b > B implies
c

ò f ( x, y ) da ( x)
b
<e " y ÎS .

Proof
¥
Proceed as in the proof for Cauchy condition for infinite integral ò a
f da .

Ø Theorem (Weierstrass M-test)

b
Assume that a - on [a, + ¥) and suppose that the integral òa
f ( x , y ) da ( x )
exists for every b ³ a and for every y in S . If there is a positive function M
¥
defined on [a, + ¥) such that the integral òa
M ( x) da ( x) converges and
f ( x, y ) £ M ( x) for each x ³ a and every y in S , then the integral
¥
òa
f ( x, y ) da ( x ) converges uniformly on S .
Proof
Q f ( x, y ) £ M ( x) for each x ³ a and every y in S .
\ For every c ³ b , we have
c c c

ò f ( x, y) da ( x) £ ò
b b
f ( x, y ) da ( x) £ ò M da ………… (i)
b
¥
Q I = ò M da is convergent
a
\ given e > 0 , $ B > 0 such that b > B implies
b

ò M da - I < e …………… (ii)

2
a
Also if c > b > B , then
c

ò M da - I < e …………… (iii)

2
a
c c b
Then ò M da
b
= ò M da - ò M da
a a
c b
= ò M da - I + I - ò M da
a a
c b
£ ò M da - I + ò M da - I < e +e =e (By ii & iii)
2 2
a a
c
Þ ò f ( x, y) da ( x)
b
< e , c > b > B & for each y ÎS

Cauchy condition for convergence (uniform) being satisfied.

¥
Therefore the integral òa
f ( x, y ) da ( x ) converges uniformly on S .

]]]]]]]]]]]]]]]]
 Chap. 8 – Improper Integrals. 15

Ø Example
¥

ò0 e
- xy
Consider sin x dx

e - xy sin x £ e - xy = e - xy (Q sin x £ 1 )
and e- xy £ e - xc if c£ y
Now take M ( x ) = e - cx
¥ ¥
1
ò0 M ( x) dx = ò0 e
- cx
The integral dx is convergent & converging to .
c
¥

ò0 e
- xy
\ The conditions of M-test are satisfied and sin x dx converges

uniformly on [c, + ¥) for every c > 0 .

Ø Theorem (Dirichlet’s test for uniform convergence)

b
Assume that a is bounded on [a, + ¥) and suppose the integral òa f ( x, y) da ( x)
exists for every b ³ a and for every y in S . For each fixed y in S , assume that
f ( x, y ) £ f ( x¢, y ) if a £ x¢ < x < + ¥ . Furthermore, suppose there exists a positive
function g , defined on [a, + ¥) , such that g ( x ) ® 0 as x ® +¥ and such that
x ³ a implies
f ( x, y ) £ g ( x) for every y in S .
¥
Then the integral ò a
f ( x, y ) da ( x ) converges uniformly on S .
Proof
Let M > 0 be an upper bound for a on [ a, +¥ ) .
Given e > 0 , choose B > a such that x ³ B implies
e
g ( x) <
4M
e
( Q g ( x ) is +ive and ® 0 as x ® ¥ \ g ( x ) - 0 < for x ³ B )
4M
If c > b , integration by parts yields
c c

òb f da = f ( x, y ) × a ( x) b - ò a df
c

b
c
= f (c, y )a (c) - f (b, y )a (b) + ò a d (- f ) ………… (i)
b
But, since - f is increasing (for each fixed y ), we have
c c

òa d (- f ) £ M ò d (- f ) ( Q upper bound of a is M )
b b
= M f (b, y ) - M f (c, y ) …………… (ii)
Now if c > b > B , we have from (i) and (ii)
c c

ò f da
b
£ f (c, y )a (c) - f (b, y )a (b) + òa d (- f )
b

£ a (c) f (c, y ) + f (b, y ) a (b) + M f (b, y ) - f (c, y )

£ a (c) f (c, y ) + a (b) f (b, y ) + M f (b, y ) + M f (c, y )
16 Chap. 8 – Improper Integrals.

£ M g (c) + M g (b) + M g (b) + M g (c)

= 2M [ g (b) + g (c)]
é e e ù
< 2M ê + ú =e
ë 4 M 4 M û
c
Þ ò f da
b
<e for every y in S .
¥
Therefore the Cauchy condition is satisfied and òa f ( x, y) da ( x) converges
uniformly on S .

Ø Example
¥
e - xy
Consider ò0 x
sin x dx

e - xy
Take a ( x) = cos x and f ( x, y ) = if x > 0 , y ³ 0 .
x
1
If S = [0, +¥ ) and g ( x) = on [e , +¥ ) for every e > 0 then
x
i) f ( x, y ) £ f ( x¢, y ) if x¢ £ x and a ( x) is bounded on [e , +¥ ) .
ii) g ( x ) ® 0 as x ® +¥
e - xy 1
iii) f ( x, y ) = £ = g ( x) " y ÎS .
x x
So that the conditions of Dirichlet’s theorem are satisfied.
Hence
¥ - xy ¥ - xy

òe x sin x dx = + òe x d (- cos x) converges uniformly on [e , +¥ ) if e > 0 .

e e

e
sin x sin x
Q lim =1 \ òe
- xy
dx converges being a proper integral.
x ®0 x x
0
¥
dx also converges uniformly on [0, +¥ ) .
sin x
ò0 e
- xy
Þ
x

Ø Remarks
Dirichlet’s test can be applied to test the convergence of the integral of a
product. For this purpose the test can be modified and restated as follows:
Let f ( x) be bounded and monotonic in [ a, +¥ ) and let f ( x) ® 0 , when
X
x ® ¥ . Also let òa f ( x) dx be bounded when X ³ a .
¥
Then òa f ( x)f ( x) dx is convergent.

Ø Example
¥
sin x
Consider
x ò0
dx

sin x
Q ® 1 as x ® 0 .
x
 Chap. 8 – Improper Integrals. 17

\ 0 is not a point of infinite discontinuity.

¥
sin x
Now consider the improper integral ò1 x
dx .

1
The factor of the integrand is monotonic and ® 0 as x ® ¥ .
x
X
Also ò sin x dx
1
= - cos X + cos(1) £ cos X + cos(1) < 2
X
So that ò1 sin x dx is bounded above for every X ³ 1 .
¥ 1
sin x sin x
Þ ò dx is convergent. Now since ò0 x dx is a proper integral, we see
1
x
¥
sin x
that ò0 x
dx is convergent.

Ø Example
¥

ò0 sin x
2
Consider dx .

1
We write sin x 2 = × 2 x × sin x 2
2x
¥ ¥
1
Now ò sin x 2 dx = ò × 2 x × sin x 2 dx
1 1
2x
1
is monotonic and ® 0 as x ® ¥ .
2x
X

ò 2 x sin x dx = - cos X 2 + cos(1) < 2

2
Also
1
X

ò1 2 x sin x dx is bounded for X ³ 1 .

2
So that
¥ ¥
1
Hence ò × 2 x × sin x 2 dx i.e. ò1 sin x
2
dx is convergent.
1
2x
1

ò0 sin x
2
Since dx is only a proper integral, we see that the given integral is

convergent.
Ø Example
¥
sin x
Consider ò e - a x dx , a > 0
0
x
¥
sin x
ò0 x dx is convergent.
-a x
Here e is monotonic and bounded and
¥
sin x
ò0 e
-a x
Hence dx is convergent.
x

]]]]]]]]]]]]]]]]
18 Chap. 8 – Improper Integrals.

Ø Example
¥
sin x
Show that ò0 x
dx is not absolutely convergent.

Solution
np We need not
sin x
Consider the proper integral ò dx take x
x
0 because x ³ 0 .
where n is a positive integer. We have
np n rp
sin x sin x
ò x dx = å =
ò x dx
0 r 1 ( r -1)p

Put x = (r - 1)p + y so that y varies in [0,p ] .

We have sin[(r - 1)p + y ] = (-1)r -1 sin y = sin y
rp p
sin x sin y
\ ò x
dx = ò
( r - 1)p + y
dy
( r -1)p 0

Q rp is the max. value of [(r - 1)p + y ] in [0,p ]

p p
sin y 1 2 é Division by max. value
\ ò dy ³ ò sin y dy = êë Q
0
(r - 1)p + y rp 0 rp will lessen the value
np n
sin x 2 2 n 1
Þ ò0 dx ³ å = å
x 1 rp p 1 r
n
1
Q år ®¥
1
as n ® ¥ , we see that
np
sin x
ò0 x
dx ® ¥ as n ® ¥ .

Let, now, X be any real number.

There exists a +tive integer n such that np £ X < (n + 1)p .
X np
sin x sin x
We have ò0 x
dx ³ ò0 x
dx
X
sin x
Let X ® ¥ so that n also ® ¥ . Then we see that ò0 x
dx ® ¥
¥
sin x
So that ò0 x
dx does not converge.

Ø Questions
Examine the convergence of
¥ ¥ ¥
x 1 dx
(i) ò
(1 + x)3
dx (ii) ò1 (1 + x) x dx (iii) òx
(1 + x )
1 1
3 2
1 1

Solution
x x 1
(i) Let f ( x) = and take g ( x) = 3 = 2
(1 + x) 3
x x
3
f ( x) x
As lim = lim =1
x ®¥ g ( x ) x®¥ (1 + x ) 3
 Chap. 8 – Improper Integrals. 19

¥ ¥
x 1
Therefore the two integrals ò dx and ò 2 dx have identical behaviour
1
(1 + x) 3
1
x
for convergence at ¥ .
¥ ¥
1 x
Q ò 2 dx is convergent \ ò dx is convergent.
1
x 1
(1 + x ) 3

1 1 1
(ii) Let f ( x ) = and take g ( x) = = 3
(1 + x) x x x x 2
f ( x) x
We have lim = lim =1
x ®¥ g ( x ) x ®¥ 1 + x
¥ ¥
1 1
and ò1 x 3 2 dx is convergent. Thus ò1 (1 + x) x
dx is convergent.

1
(iii) Let f ( x ) =
(1 + x )
1 1
x 3 2

1 1
we take g ( x) = 1 1
= 5
x 3 ×x 2 x 6
¥ ¥
f ( x) 1
We have lim = 1 and ò 5 dx is convergent \ ò1 f ( x) dx is convergent.
x ®¥ g ( x ) 6
1 x

Ø Question
¥
1
Show that
-¥
ò 1+ x 2
dx is convergent.

Solution
We have
¥
1 é0 1 a
1 ù
ò 1 + x2 dx = alim
-¥
®¥ ò 1 + x 2
ê
êë - a
dx + ò
0
dx ú
1 + x 2 úû
éa 1 a
1 ù éa 1 ù
= lim ê ò dx + ò dx ú = 2 lim ê ò dx ú
ë0 1+ x 1+ x ë 01+ x
a ®¥ 2 2 a®¥ 2
0 û û
a æp ö
= 2 lim tan -1 x = 2 ç ÷ = p
a ®¥ 0
è2ø
therefore the integral is convergent.

Ø Question
¥
tan -1 x
Show that ò0 1 + x 2 dx is convergent.
Solution
tan -1 x p -1
Q (1 + x 2 ) × = tan -1
x ® as x ® ¥ Here f ( x ) =
tan x
(1 + x 2 ) 2 1+ x
2

¥ ¥
tan -1 x 1 g (x) = 1 + x
2

ò0 1 + x 2 dx ò0 1 + x 2 dx behave alike.
and
&
¥
1
Q ò0 1 + x 2 dx is convergent \ A given integral is convergent.
20 Chap. 8 – Improper Integrals.

Ø Question
¥
sin x
Show that ò0 (1 + x)a dx converges for a > 0 .
Solution
¥ X

ò0 sin x dx is bounded because ò0 sin x dx £ 2 " x >0.

, a > 0 is monotonic on [0, +¥ ) .

1
Furthermore the function
(1 + x)a
¥
sin x
Þ the integral ò0 (1 + x)a dx is convergent.
Ø Question
¥

ò0 e
-x
Show that cos x dx is absolutely convergent.

Solution
¥
Q e cos x < e ò0 e
-x -x -x
and dx = 1

\ the given integral is absolutely convergent. (comparison test)

Ø Question
e- x
1
Show that ò0 1- x 4
dx is convergent.

Solution
Q e - x < 1 and 1 + x 2 > 1
e- x 1 1
\ < <
1 - x4 (1 - x 2 )(1 + x 2 ) 1 - x2
1 1-e
1 1
Also ò0 1 - x2
dx = lim
e ®0 ò
0 1 - x2
dx

p
= lim sin -1 (1 - e ) =
e ®0 2
e- x
1
Þ ò0 1- x 4
dx is convergent. (by comparison test)

References: (1) Lectures (Year 2003-04)

Prof. Syyed Gul Shah
Chairman, Department of Mathematics.
University of Sargodha, Sargodha.
(2) Book
Mathematical Analysis
Tom M. Apostol (John Wiley & Sons, Inc.)
Made by: Atiq ur Rehman ([email protected])
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