Chapter 6

Integral depending of a parameter

1 De…nite case
In all this section we let I be an interval, a and b be two real numbers with a < b and G : I [a; b]
be a continuous function. We are concerned by the function F : I ! R de…ned by
Z b
F (x) = G(x; t)dt:
a

Theorem 1.1 (Continuity) The function F is continuous on I:

Proof. We have to prove that F is continuous on any interval [c; d] I: Since it is continuous
on the compact set [c; d] [a; b], the function G is uniformely continuous on [c; d] [a; b] :
Consequently, for any > 0, there exists > 0 such that for all (x1 ; t1 ) ; (x2 ; t2 ) 2 [c; d] [a; b],

jx2 x1 j + jt2 t1 j =) jG (x2 ; t2 ) G (x1 ; t1 )j :

b a
In particular, for all x1 ; x2 2 [c; d] and all t 2 [a; b],

jx2 x1 j =) jG (x2 ; t) G (x1 ; t)j ;

b a
leading to
Z b Z b Z b
jF (x2 ) F (x1 )j = (G (x2 ; t) G (x1 ; t)) dt jG (x2 ; t) G (x1 ; t)j dt dt = :
a a a b a
Ending the proof.
R1 sin(x t)dt
Example 1.2 The function F : R ! R de…ned by F (x) = 0 1+t2 x2
is continuous on R:
@G
Theorem 1.3 (Di¤erentiability) Suppose that the function G admits a partial derivative @x
continuous on I [a; b]. Then the function F is of class C 1 on I and we have
Z b
0 @G
F (x) = (x; t) dt:
a @x

Proof. Let x0 2 I and without loss of generality, suppose there is > 0 such that [x0 ; x0 + ]
I: Therefore, for all h 2 ( ; ) we have
Z b Z b
F (x0 + h) F (x0 ) @G G(x0 + h; t) G (x0 ; t) @G
(x0 ; t) dt = (x0 ; t) dt
h a @x a h @x
Z b
@G @G
= (x0 + t h; t) (x0 ; t) dt ;
a @x @x

1
where t 2 [0; 1] is given by the mean value theorem.
Because @G@x
is uniformely continuous on [x0 ; x0 + ] [a; b], for any > 0, there exists
> 0 such that
@G @G
jhj =) (x0 + t h; t) (x0 ; t) :
@x @x b a
Hence, for jhj we have
Z b Z b
F (x0 + h) F (x0 ) @G @G @G
(x0 ; t) dt (x0 + t h; t) (x0 ; t) dt
h a @x a @x @x
Z b
dt = :
a b a
Ending the proof.
R 2
Example 1.4 The function F (x) = 0 sin(xt)e t dt is of class C 1 on R with F (n) (x) =
R n 2
0
t sin(xt + n 2 )e t dt:
Theorem 1.5 (Fubini) For any interval [c; d] I; we have
Z d Z d Z b Z b Z d
F (x)dx = G(x; t)dt dx = G(x; t)dx dt:
c c a a c

Proof. Let [c; d] I and consider the functions F1 and F2 de…ned on [c; d] by
Z y Z b Z b
F1 (y) = G(x; t)dt dx and F2 (y) = e t)dt;
G(y;
c a a
Ry
e t) =
where G(y; G (x; t) dx.
c Rb e
Clearly, we have F10 (y) = a G(y; t)dt. Moreover, noticing that @@yG (y; t) = G (y; t) on [c; d],
we conclude from Theorem 1.3,
Z b e Z b
0 @G
F2 (y) = (y; t)dt = G(y; t)dt = F10 (y):
a @y a
Hence, we have F1 (y) = F2 (y) + , 2 R: Because F1 (c) = F2 (c) = 0, we conclude that
F1 (y) = F2 (y) for all y 2 [c; d]. In particular, we have F1 (d) = F2 (d); that is
Z d Z b Z b Z d
G(x; t)dt dx = G(x; t)dx dt:
c a a c

Corollary 1.6 If G (x; t) = g(x)h(t) for all (x; t) 2 I [a; b], then
Z b Z d Z d Z b Z d Z b
G(x; t)dx dt = G(x; t)dt dx = g(x)dx h(t)dt:
a c c a c a
Example 1.7
Z 1 Z ! Z Z Z
=2 =2 1 =2
x cos (xt) dx dt = x cos (xt) dt dx = [sin (xt)]10 dx
0 0 0 0 0
Z =2
= sin (x) dx = 1:
0

2
2 Improper integrals
We start with the following theorem known as the dominated convergence theorem and which
will be helpfull in the sequel.

Theorem 2.1 Let (fn ) be a sequence of continuous functions de…ned on the interval [a; b) and
let f : [a; b) ! R be a function. Suppose that

i) fn ! f uniformely on any interval [a; c] [a; b) ;

ii) there is a function ' : [a; b) ! R such that jfn (x)j '(x) for all x 2 [a; b) and all n 2 N;
Rb
with a '(x)dx convergent.
Rb Rb Rb
Then a
f (x)dx is convergent and limn!1 a
fn (x)dx = a
f (x)dx:

Proof. First, because of the condition i, the function f is continuous on [a; b) : Then passing
to the limit when n ! 1 in jfn (x)j '(x), we obtain jf (x)j '(x) for all x 2 [a; b) ; proving
Rb Rb
that a jf (x)j dx is convergent. Hence, we proved that a f (x)dx is convergent.
Rb
Now, let > 0: There exists c 2 [a; b) such that c '(x)dx =4: Moreover, because of
Rb
condition ii, there exists n 2 N such that a jfn (x) f (x)j dx =2 for all n n :
At the end we conclude that for all n n ; we have
Z b Z b Z c Z b
(fn (x) f (x)) dx jfn (x) f (x)j dx = jfn (x) f (x)j dx + jfn (x) f (x)j dx
a a a c
Z c Z b Z b
jfn (x) f (x)j dx + jfn (x)j dx + jf (x)j dx
a c c
Z c Z b Z b
jfn (x) f (x)j dx + '(x)dx + '(x)dx
a c c

+ + = :
2 4 4
Rb Rb
This shows that limn!1 a fn (x)dx = a f (x)dx:
In the remainder of this section we let I and [a; b) be real intervals and G : I [a; b) ! R
be a continuous function. The function F : I ! R is de…ned by
Z b
F (x) = G(x; t)dt:
a

Theorem 2.2 (Continuity) Suppose that exists a function ' : [a; b) ! R such that jG(x; t)j
Rb
' (t) for all (x; t) 2 I [a; b) ; with a '(t)dt convergent. Then the function F is continuous on
I:

Proof. Let x 2 I and let (xn ) I such that lim xn = x : Set Gn (t) = G(xn ; t) and G (t) =
G(x ; t): Because of the continuity of G, we have lim Gn (t) = G (t) for all t 2 [a; b) : Moreover,
Gn ! G uniformely on any [a; ] [a; b) : Indeed, by the uniform continuity of G on
[x ; x + ] [a; ], where = supn2N jxn j, for all > 0 there exists 2 (0; ) such that for

3
all x; y 2 [x ; x + ] ; jx yj implies jG(x; t) G(y; t)j : Since lim xn = x , there
exists n 2 N such that jxn x j : Consequently, for all n n , we have jGn (t) G (t)j
for all t 2 [a; ] :
Also, for all n 2 N and all t 2 [a; b), we have jGn (t)j '(t): Thus, of the conditions of
Theorem 2.1 are satis…ed, thereby we have
Z b Z b Z b
lim F (xn ) = lim G(xn ; t)dt = lim G(xn ; t)dt = G(x ; t)dt = F (x ):
n!1 n!1 a a n!1 a

This ends the proof.

R +1
Example 2.3 Let for x > 1; F (x) = 1 tx e t dt: Setting G(x; t) = tx e t , we have G is
continuous on ( 1; +1) [0; +1) and Rfor all (x; t) 2 [a; b] [0; +1) with 1 < a < b < +1,
+1
we have G(x; t) max ta ; tb e t and 1 max ta ; tb e t dt converges. By Theorem 2.2 we
conclude that F is continous on any interval [a; b] [0; +1), then on [0; +1) :

Theorem 2.4 (Di¤erentiability) Suppose

Rb
i) there exists ' : [a; b) ! R such that jG(x; t)j ' (t) for all (x; t) 2 I [a; b) with a
'(t)dt
convergent,
@G
ii) the function G admits a partial derivative @x
continuous on I [a; b) and
@G
iii) there exists : [a; b) ! R such that (x; t) (t) for all (x; t) 2 I [a; b) with
Rb @x

a
(t)dt convergent.

Then the function F is of class C 1 on I and we have

Z b
0 @G
F (x) = (x; t) dt:
a @x

Proof. Let x0 2 I and without loss of generality, suppose there is > 0 such that [x0 ; x0 + ]
I: Therefore, for any sequence (hn ) ( ; ) with lim hn = 0, we have
Z b Z b
F (x0 + hn ) F (x0 ) @G G(x0 + hn ; t) G (x0 ; t) @G
(x0 ; t) dt = (x0 ; t) dt
hn a @x a hn @x
Z b
@G @G
= (x0 + t hn ; t) (x0 ; t) dt
a @x @x
Z b
@G @G
(x0 + t hn ; t) (x0 ; t) dt;
a @x @x
where t 2 [0; 1] is given by the mean value theorem.
Rb
Put n (t) = @G@x
(x0 + t hn ; t) @G
@x
(x0 ; t) : We have j n (t)j = n (t) 2 (t) and a 2 (t)dt
is convergent. For any 2 (a; b), the function @G @x
is uniformely continuous on [x0 ; x0 + ]
[a; ], for any > 0, there exists 2 (0; ) such that for all x; y 2 [x0 ; x0 + ] and all
t 2 [a; ]
@G @G
jx yj =) (x; t) (y; t) :
@x @x

4
Since hn ! 0, there exists n0 2 N such that jhn j for all n n0 . This implies that for all
n n0 ; we have
@G @G
j n (t)j = (x0 + t hn ; t) (x0 ; t) ;
@x @x
proving that n ! 0 uniformely on [a; ] :
At the end we conclude by Theorem 2.1 that shows that
Z b
F (x0 + hn ) F (x0 ) @G
lim (x0 ; t) dt = 0:
n!+1 hn a @x
Rb
This shows that F is di¤erentiable on I with F 0 (x) = a @G @x
(x; t) dt: Clearly, by Theorem 2.2
0
F is continuous on I:
R +1 x t
Example 2.5 Let for x > 0; F (x) = 1
t e dt: Setting G(x; t) = tx e t , we have G is
continuous on (0; +1) [0; +1) and for all (x; t) 2 [a; b] [0; +1) with 0 < a < b < +1,
R +1
we have G(x; t) max t ; t e and 1 max ta ; tb e t dt converges. Moreover, we have
a b t
@G
@x
(x; t) = xtx 1 e t is continuous on I [0; +1) : By Theorem 2.2 we conclude that F is
continous on any interval [a; b] [0; +1), then on [0; +1) :
Theorem 2.6 (Fubini) Suppose that exists a function ' : [a; b) ! R such that jG(x; t)j
Rb
' (t) for all (x; t) 2 I [a; b) ; with a '(t)dt convergent. Then for any interval [c; d] I, we
have Z d Z d Z b Z b Z d
F (x)dx = G(x; t)dt dx = G(x; t)dx dt:
c c a a c

Proof. For any 2 (a; b) we have

Z d Z d Z b Z d Z Z d Z b
F (x)dx = G(x; t)dt dx = G(x; t)dt dx + G(x; t)dt dx:
c c a c a c

From Theorem 1.5 we deduce that

Z d Z Z Z d
G(x; t)dt dx = G(x; t)dx dt;
c a a c

leading to Z Z Z Z Z
d d d b
F (x)dx = G(x; t)dx dt + G(x; t)dt dx: (1)
c a c c
The hypothesis in the theorem gives
Z d Z b Z d Z b Z b
G(x; t)dt dx '(t)dt dx = (d c) '(t)dt ! 0 as ! b:
c c

Therefore, letting y ! b in (1) we obtain

Z d Z Z d Z d Z b
F (x)dx = lim G(x; t)dx dt + lim G(x; t)dt dx
c y!b a c y!b c
Z Z d
= lim G(x; t)dx dt
y!b a c
Z b Z d
= G(x; t)dx dt:
a c

5
Ending the proof.
Example 2.7 AZSAQZZQE
Theorem 2.8 (Fubini) Suppose that I = [c; d) with 1<c<d +1;
i) there exists a function ' : [a; b) ! R such that jG(x; t)j ' (t) for all (x; t) 2 I [a; b) ;
Rb
with a '(t)dt convergent,
ii) that exists a function : I ! R such that jG(x; t)j (x) for all (x; t) 2 I [a; b) ; with
Rb
a
(x)dx convergent and
Rd Rb Rb Rd
iii) at least one of the integrals c a
jG(x; t)j dt dx and a c
jG(x; t)j dx dt is convergent.

Then Z Z Z Z
d b b d
G(x; t)dt dx = G(x; t)dx dt:
c a a c
Rd Rb
Proof. Suppose that c a
jG(x; t)j dt dx converges and set for (x; y) 2 [c; d) [a; b) ;
Ry Rb
F (x; y) = a G(x; t)dt: Since for all (x; t) 2 [c; d) [a; b) ; jG(x; t)j (x) with a (x)dx
convergent, we have by Theorem 2.6,
Z y Z d Z d Z y Z d
G(x; t)dx dt = G(x; t)dt dx = F (x; y)dx: (2)
a c c a c
Rd Rd
Let us prove limy!b c F (x; y)dx = c limy!b F (x; y)dx: To this aim let (yn ) be such that
yn ! b and put Fn (x) = F (x; yn ): We have Fn ! F uniformely on [c; d) : Indeed, for any
x 2 [c; d) we have
Z yn Z b Z b
jFn (x) F (x)j = G(x; t)dt G(x; t)dt jG(x; t)j dt
a a yn
Z b
j'(t)j dt ! 0 when n ! +1:
yn

Moreover, we have
Z yn Z yn Z b
jFn (x)j G(x; t)dt jG(x; t)j dt jG(x; t)j dt
a a a
Rd Rb
with c a
jG(x; t)j dt dx convergent.
By Theorem 2.1 we conclude
Z yn Z d Z d Z d Z d Z b
lim G(x; t)dx dt = lim Fn (x)dx = lim Fn (x)dx = G(x; t)dt dx;
n!+1 a c n!+1 c c n!+1 c a

leading to Z Z Z Z
b d d b
G(x; t)dx dt = G(x; t)dt dx:
a c c a

6
Remark 2.9 If in the above theorem G(x; t) = g(x)h(t); we obtain
Z b Z d Z d Z b Z d Z b
G(x; t)dx dt = G(x; t)dt dx = g(x)dx h(t)dt :
a c c a c a

Example 2.10 vbvcccvcbb

3 Functions Gamma and Beta

De…nition 3.1 We call function Gamma the function denoted by and de…ned for x > 0 by
Z +1
(x) = tx 1 e t dt:
0

Proposition 3.2 The function has the following properties.

R +1
1. is C 1 on (0; +1) with (k) (x) = 0 (ln t)k tx 1 e t dt:

2. limx!0 (x) = limx!+1 (x) = +1:

3. For all x > 0 we have (x+1) = x (x): In particular, for all n 2 N, we have (n+1) = n!:

4.
p x x
(x + 1) v 2 x for x ! +1 (Stirling):
e
5. For all x > 0 we have
nx n!
(x) = lim :
n!+1 x (x + 1) (x + 2) (x + n)

6. For all x 2 (0; 1) we have

(x) (1 x) = :
sin ( x)
7. For all x > 0 we have p
1 2
(x) (x + ) = x (2x):
2 4
8. For all x > 0 we have Y
1 x x=n x
= xe e 1+ ;
(x) n 1
n

where
! Z
X
n
1 +1
= lim ln(n) = ln(t)e t dt is the Euler constant.
n!+1
k=1
k 0

7
 9. For all x > 0 we have
0
(x) 1 X 1 1
= ;
(x) x n 1
n x+n
0
(x)
0 X 1
= :
(x) n 0
(x + n)2

Proof.
1) Set G(x; t) = tx 1 e t = e(x 1) ln t t for t; x > 0: We have that G is C 1 on (0; +1)
k
(0; +1) with @@xGk (x; t) = (ln t)k tx 1 e t . By induction, Theorem 2.4 gives that is C 1 on any
interval [a; b] (0; +1) ; then is C 1 on (0; +1) : Moreover, for any k 2 N we have
Z +1 k Z +1
@ G
(k)
(x) = k
(x; t) dt = (ln t)k tx 1 e t dt:
0 @x 0

2) For any x > 0 we have

Z 2 Z 2
x 1 t 2 2x
(x) t e dt e tx 1 dt = :
0 0 e2 x
Leading to limx!0 (x) = limx!+1 (x) = +1:
3) For any x > 0 we have
Z +1 Z +1
x t x t +1
(x + 1) = t e dt = t e 0 + xtx 1 e t dt
0 0
Z +1
= x tx 1 e t dt = x (x):
0
p
4) By the change of variables s = tpxx (i.e. t = s x + x), we obtain
Z +1 Z +1
p p x p
(x + 1) = t e dt = x p s x + x e s x x ds
x t
0 x
Z +1 x
x x p s p
s x
= x p
p +1 e ds
e x x
Z +1
x x p s p
= x p
exp x ln p +1 s x ds
e x x
Z p
x
x x p s p
= x p
exp x ln p +1 s x ds
e x x
Z +1
x x p s p
+ x p
exp x ln p +1 s x ds:
e x x
Then we show that
Z +1
s p
lim p exp x ln p +1 s x ds = 0 and
x!+1 x x
Z p
x Z +1 p
s p s2
lim p
exp x ln p +1 s x ds = e ds = 2 :
x!+1 x x 1

8
Leading to the result.
5) For any x > 0 and n 2 N, we have
p (x + n)x+n
x (x + 1) (x + n) (x) = (x + n + 1) v 2 (x + n)
ex+n
p (x + n)x (x + n)n
= 2 (x + n)
ex en
x x n
p x
1 + n nx nn 1 + n
= 2 (x + n)
ex en
v n n!;
x

leading to
nx n!
(x) = lim :
n!+1 x (x + 1) (x + n)
6) For x 2 (0; 1) we have
Yn
sin( x) Y Y
n (k x) (x + k)
x2 x2 k=1
= 1 = lim 1 = lim ;
x k 1
k2 n!+1
k=1
k2 n!+1 (n!)2

leading to
(1 x) (1 x + 1) (1 x + n 1) x (x + 1) (x + n) nx 1
= lim
sin( x) n!+1 (n 1)! (n 1)1 x n!nx (n 1)x 1

1
= :
(x) (1 x)
7) For all x > 0 we have

1 nx n! nx+1=2 n!
(x) (x + ) = lim 1
2 n!+1 x (x + 1) (x + n) x + 2
x + 12 + 1 (x + 12 + n)
nx n!2n+1 2n nx+1=2 n!
= lim
n!+1 2x (2x + 2) (2x + 2n) (2x + 1) (2x + 3) (2x + 2n + 1)
and
(2n + 1)2x (2n + 1)!
(2x) = lim :
n!+1 2x (2x + 1) (2x + 2n + 1)
Dividing we get
4x (x) (x + 12 ) 22n+1 4x n2x+1=2 (n!)2 e4x n2x+2n+1=2 2 n
= lim 2x = lim 2x+2n+1
p
(2x) n!+1 (2n + 1) (2n + 1)! n!+1 (2n + 1) 2 (2n + 1)
2x 2n p
1 1 2 n
= lim e 1 + 1+ p = 2 :
n!+1 2n 2n 2 n(2n + 1)
Hence, p
1 2
(x) (x + ) = x (2x):
2 4

9
 8) For all x > 0 we have

nx n! nx
(x) = lim = lim
n!+1 x (x + 1) (x + n) n!+1 x (1 + x) 1 + x2 (1 + nx )
P
exp x + nk=1 k1 + (1)
= lim Yn
n!+1
x (1 + xk )
k=1
(1)
e e x
= lim Yn ;
n!+1
x e x=k (1 + xk )
k=1

leading to
1 Y x
x x=n
= xe e 1+ :
(x) n 1
n

9) We have from 8,
X x x
ln ( (x)) = ln (x) x+ ln 1 + :
n 1
n n

Di¤erentiating we obtain
0
(x) 1 1 X 1
= and
+
(x) n 1
x x+n n
0
(x) 1 X 1 X 1
= 2+ 2 = 2:
(x) x n 1
(x + n) n 0
(x + n)

De…nition 3.3 We call function Beta the function denoted by B and de…ned for (x; y) 2
(0; +1) (0; +1) by Z 1
B(x; y) = tx 1 (1 t)y 1 dt:
0

Proposition 3.4 The function Beta has the following properties.

1. For all (x; y) 2 (0; +1) (0; +1) we have B(x; y) = B(y; x):

2. For all (x; y) 2 (0; +1) (0; +1) we have

x
B(x; y);
B(x + 1; y) =
x+y
y
B(x; y + 1) = B(x; y);
x+y
B(x + 1; y) + B(x; y + 1) = B(x; y)

3. For all x > 0 we have B(x; x) = 21 2x

B(x; 1=2):

10
 4. For all (x; y) 2 (0; +1) (0; +1) we have
(x) (y)
B(x; y) = :
(x + y)
In particular if for m; n 2 N we have
(m) (n) (m 1)! (n 1)!
B(m; n) = = :
(m + n) (m + n 1)!

Proof.
1) By the change of variables t = 1 s we get,
Z 1 Z 1
y 1
B(x; y) = tx 1
(1 t) dt = (1 s)x 1
sy 1 ds = B(y; x):
0 0

2) Integrating by parts we obtain

Z 1 1 Z
y 1 tx (1 t)y x 1 x
B(x + 1; y) = x
t (1 t) dt = + t 1
(1 t)y dt
0 y 0 y 0
Z Z
x 1 x 1 y 1 x 1 x
= t (1 t) dt t (1 t)y 1 dt
y 0 y 0
x x
= B(x; y) B(x + 1; y);
y y
leading to
x
B(x + 1; y) = B(x; y):
x+y
By symmetry, we obtain
y y
B(x; y + 1) = B(y + 1; x) = B(y; x) = B(x; y):
x+y x+y
Clearly, B(x + 1; y) + B(x; y + 1) = B(x; y):
2
3) Let x > 0; using successively the changes of variables s = 2t; = 1 s and u = we
get
Z 1 Z 1=2 Z 1=2
x 1 x 1
B(x; x) = (t (1 t)) dt = 2 (t (1 t)) dt = 2 (t (1 t))x 1 dt
0 0 0
Z 1 Z 1
2 x 1
= 22 2x (s (2 s))x 1 ds = 22 2x 1 d
0 0
Z 1 Z 1
x 1 du 1
= 2 2 2x
(1 u) 1=2
=2 1 2x
(1 u)x 1 u 2 1 du
0 2u 0
1 2x
= 2 B(x; 1=2):

4) For x; y > 0 we have

Z +1 Z +1 Z +1 Z +1
x 1 t y 1 s (t+s) x 1 y 1
(x) (y) = t e dt s e ds = e t s dt ds:
0 0 0 0

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 s
The change of variables u = s + t and s = uv; i.e. t = u (1 v) and v = s+t
on the domain

D = fu > 0 and 0 < v < 1g ;

we get
Z Z
(x) (y) = e u x 1
u (1 v)x 1
uy 1 v y 1 ududv
Z ZD
= e u(1 v)x 1 v y 1 dudv
u x+y 1
D
Z +1 Z 1
= u x+y 1
e u (1 v)x 1 v y 1 dv du
0 0
Z +1 Z 1
= e uu x+y 1
du (1 v)x 1 v y 1 dv
0 0
= (x + y) B(x; y):

4 Laplace transform
De…nition 4.1 A function f : R ! R is said to be

1. causal if f (t) = 0 for all t < 0;

t
2. of exponential order if there exists ; M > 0 such that jf (x)j Me for t > 0:

In what follows, we let CE (R) the set of all functions f : R ! R that are causal and of
exponential order.

De…nition 4.2 The Laplace transform of the function f 2 CE (R) is the function F : C ! C
de…ned by Z +1
F (p) = f (t)e pt dt:
0

Usually the Laplace transform of f 2 CE (R) is denoted by L(f ): If L(f ) = F , then we

write f F and we say that F is the image of f or f is the original of F:
In the remainder of this section, we admit that the Laplace transform is bijective on CE (R) :

Proposition 4.3 The Laplace transform has the following properties.

1. Linearity. For all f; g 2 CE (R) and all a; b 2 R, we have L(af + bg) = aL(f ) + bL(g):
pt0
2. If g(t) = f (t t0 ), where f; g 2 CE (R), then f F )g e F (p):
(p)
3. If f 2 CE (R) is T -periodic, then f 1 e pT
, where is the Laplace transform of the
restriction of f to [0; t] extended by 0:

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 1
4. If f 2 CE (R) and > 0, then f ( t) F (p= ) ; where f F:
p0 t
5. If f 2 CE (R) and p0 2 C, then f (t) e F (p p0 ) ; where f F:

6. If f; f 0 2 CE (R) and f F , then f 0 pF (p) f (0+ ):

Pl=k 1
7. If f; f (k) 2 CE (R) and f F , then f (k) pk F (p) l=0 pn l 1 (l)
f (0+ ):
Rt
8. If f 2 CE (R) and f F , then 0 f (s)ds F (p) =p:

9. If f 2 CE (R) and f F , then tn f (t) ( 1)n F (n) (p) :

R +1
10. If f 2 CE (R) and f F , then f (t) =t p
F (z) dz:

11. If f 2 CE (R) and f F , then limp!1 F (p) = 0:

12. If f 2 CE (R) and f F , then limt!0+ f (t) = limp!1 pF (p) and limt!+1 f (t) =
limp!0 pF (p) :
Rt
13. If f; g 2 CE (R) and f F; g G, then f g F G, where (f g) (t) = 0
f (s)g(t s)ds
is the convolution product of f and g:

Exercise 4.4 Determine the Laplace transform of the functions in CE (R) de…ned for t 0
by

f1 (t) = 1; f2 (t) = tn n 2 N; f3 (t) = cos (wt) ; f4 (t) = sin (wt) ; f5 (t) = exp ( t) ;
X
f6 (t) = cosh ( t) ; f7 (t) = sinh ( t) ; f8 (t) = t > 0; f8 (t) = an tn with R = 1:

Exercise 4.5 Determine the Laplace transform of the periodic functions de…ned for t 0 by

sin t; if t 2 [0; ] ;
f (t) = x [x] ; g(t) =
0; if t 2 [ ; 2 ] :

Exercise 4.6 Solve the di¤erential equations

1. y 00 2y 0 + y = 0 with y(0) = 0, y 0 (0) = 1:

2. y 00 + w2 y = sin(wt) with y(0) = 1; y 0 (0) = 1:

3. ty 00 + y 0 + ty = 0 with y(0) = 1; y 0 (0) = 0:

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