Probability and Calculus

Improper Integrals
b

The forms

f ( x)dx,

f ( x)dx,

f ( x)dx , where f is continuous over the indicated interval,

are called improper integrals (These integrals are improper because the interval of integration
is unbounded).

Improper Integrals. If f is continuous over the indicated interval and the limit exists, then

1)

f ( x)dx lim f ( x)dx ;

b

2)

f ( x)dx lim

3)

f ( x)dx

f ( x)dx ;
a

f ( x)dx f ( x)dx ,
c

where c is any point on (, ) , provided both improper integrals on the right exist.

If the indicated limit exists, then the improper integral is said to exist or to converge; if
the limit does not exist, then the improper integral is said not to exist or to diverge.

Example 1 (Evaluating an Improper Integral). Evaluate the following, if it converges:

dx
2 x .
Solution.

b
dx
dx
b
lim (ln x) 2 lim ln b ln 2 .
x blim

x b
2

Since ln b as b , the limit does not exist. Hence, the improper integral diverges.

Example 2 (Evaluating an Improper Integral). Evaluate

f ( x)dx for

4
if x 0,

f ( x) ( x 2)2
0 otherwise.

Solution. The function f is discontinuous at x 0 . However, since f ( x) 0 for x 0 , we can

proceed as follows:
b

b
4
4
4

f
(
x
)
dx

f
(
x
)
dx

dx

lim
dx lim 4( x 2) 1 lim
2 2 .
2

0
0 ( x 2)2

b b 2
0
b ( x 2)
b

0
The integral converges.
1

Example 3 (Oil Production). It is estimated that an oil well will produce oil at a rate of R (t )
million barrels per year t years from now, as given by
R(t ) 8e0.05t 8e 0.1t .
Estimate the total amount of oil that will be produced by this well.
T

Solution. The total amount of oil produced in T years of operation is

R(t )dt . At some point in

0

the future, the annual production rate will become so low that it will no longer be economically
feasible to operate the well. However, since we do not know when this will occur, it is
convenient to assume that the well is operated indefinitely so we can use an improper integral.
Thus, the total amount of oil produced is approximately

R(t )dt lim R(t )dt lim 8e

T

0.05 t

T
8e 0.1t dt lim (160e 0.05t 80e0.1t )
0
T

lim 160e 0.05T 80e 0.1T 80 80 or 80,000,000 barrels.

T

The total production over any finite time period [0, T ] is less than 80,000,000 barrels, and the
larger T is, the closer the total production will be to 80,000,000 barrels.

Application: Capital Value

If money is invested at a rate r compounded continuously for T years, then the present
value, PV, and the future value, FV, are related by the continuous compound interest formula
FV PVerT ,
which also can be written as
PV e rT FV .
This relationship is valid for both single deposits and amounts generated by continuous income
streams. Thus, if f (t ) is a continuous income stream, the future value is given by
T

FV e

rT

f (t )e

rt

dt

(Future value),

and, using the compound interest formula, the present value is given by

PV e

rT

FV e

rT

rT

f (t )e

rt

dt f (t )e rt dt

(Present value).

If we let T approach in this formula for present value, we obtain an improper integral
that represents the capital value of the income stream.
Capital Value of a Perpetual Income Stream. A continuous income stream is called perpetual
if it never stops producing income. The capital value, CV, of a perpetual income stream f (t ) at
a rate r compounded continuously is the present value over the time interval [0, ) . That is,

CV f (t )e rt dt .
0

Capital value provides a method for expressing the worth (in terms of todays dollars) of
an investment that will produce income for an indefinite period of time.
2

Example 4 (Capital Value). A family has leased the oil rights of a property to a petroleum
company in return for a perpetual annual payment of $ 1,200. Find the capital value of this lease
at 5 % compounded continuously.
Solution. The annual payments from the oil company produce a continuous income stream with
rate of flow f (t ) 1, 200 that continues indefinitely (It is common practice to treat a sequence of
equal periodic payments as a continuous income stream with a constant rate of flow, even if the
income is received only at the end of each period). Thus, the capital value is

T
CV f (t )e rt dt 1, 200e 0.05t dt lim 1, 200e0.05t dt lim 24,000e0.05t

0
T
T

0
0
0

lim 24,000e 0.05T 24,000 $ 24,000.

T

Continuous Random Variables

Probability theory is concerned with determining the long-run frequency of the outcomes of an
experiment when the outcome each time the experiment is performed is uncertain. For example,
when a fair coin is tossed, it is uncertain whether it will turn up heads or tails. However,
probability theory enables us to predict that the coin will turn up heads approximately 50 % of
the time.
Assigning a value to each outcome of an experiment defines a function called a random
variable. For example, consider the experiment of tossing 3 coins and the function X whose
values are the number of heads. The possible outcomes of the experiment and the corresponding
values of X are shown in the following table:
Number of Heads in the Toss of 3 Coins
Sample Space S

Number of Heads
X (e j )

e1 : TTT
e2 : TTH
e3 : THT

0
1
1

e4 : HTT
e5 : THH

1
2

e6 : HTH

e7 : HHT

e8 : HHH

Since the set of possible outcomes for this experiment is a finite set, X is called a discrete
random variable.
Things are more complicated if an experiment has an infinite number of outcomes. For
example, consider the experiment of turning on light bulbs and letting them remain lit until they
burn out. One bulb may be defective and not light at all. Another may still be lit 50 or 100 years
from now. Let X be the function whose values (in hours) are the life expectancies of the light
3

bulbs. Theoretically, there is no reason to exclude any of the values in the interval [0, ) as a
possibility for the life expectancy of the bulb. Thus, we assume that the range of X is [0, ) , and
we call X a continuous random variable.

Continuous Random Variable. A continuous random variable X is a function that assigns a

numeric value to each outcome of an experiment. The set of possible values of X is an interval of
real numbers. This interval may be open or closed, and it may be bounded or unbounded.
The term continuous here refers to the fact that the values of the random variable form a
continuous set of real numbers, such as [0, ) , rather than a discrete set, such as 0,1, 2,3 or

2, 4,8, .

Probability Density Functions

If X is a discrete random variable, then the probability that X lies in a given interval can be
computed by addition. For example, consider the experiment of tossing 3 coins, and let X
represent the number of heads. The probability distribution for X is shown in the following table:
Probability Distribution
Number of Heads X

Probability p ( x)

1/8

3/8

3/8

1/8

We denote the probability that X is between 0 and 2, inclusively, by P (0 X 2) and compute

it by addition:
1 3 3 7
P(0 X 2) P( X 0) P( X 1) P( X 2) .
8 8 8 8
If X is a continuous random variable, the same approach will not work. Since X can now
assume any real number in the interval 0, 2 , it is impossible to write P (0 X 2) as a finite or
even an infinite sum. Instead, we introduce a new type of function, called a probability density
function, and use integrals involving this function to compute the probability that a continuous
random variable X lies in a given interval. For example, we might use a probability density
function to find the probability that the actual amount of soda in a 12 ounce is between 11.9 and
12.1 ounces, or that the speed of a car involved in an accident was between 60 and 65 miles per
hour.
For convenience in stating definitions and formulas, we will assume that the value of a
continuous random variable can be any real number; that is, the range is (, ) .

Probability Density Function. The function f ( x) is a probability density function for a

continuous random variable X if:
1) f ( x) 0 for all x (, ) ;

2)

f ( x)dx 1 ;

3) The probability that X lies in the interval c, d is given by

d

P(c X d ) f ( x)dx .
c

Range of X (, ) Domain of f.

Example 5 (Using a Probability Density Function). Let

12 x 2 12 x 3 if 0 x 1,
f ( x)
0 otherwise.

Verify that f satisfies the first two conditions for a probability density function. Then find each of
the following probabilities:
(A) P (.4 X .7) ; (B) P ( X .5) ;
(C) P ( X .6) ;
(D) P ( X .3) .
Solution. From the graph of f we can see that f ( x) 0 for all x. Also,

(A)

f ( x)dx 12 x 2 12 x3 dx 4 x3 3x 4

.7

.7

.4

.4

P(.4 X .7) f ( x)dx 12 x 2 12 x3 dx 4 x3 3x 4

.7
.4

1
0

1.

.4725 .

(B) Note that f ( x) 0 for x 0 :

.5

.5

.5

P( X .5) f ( x)dx 12 x 2 12 x3 dx 4 x3 3 x 4

.3125 .

(C) Note that f ( x) 0 for x 1 :

1

P( X .6) f ( x)dx 12 x 2 12 x 3 dx 4 x3 3x 4
.6

.6

.6

.5248 .

.3

(D) P( X .3) f ( x)dx 0 .

.3

The probability in Example 5D illustrates a fundamental difference between discrete and

continuous random variables. In the discrete case, there is a probability distribution P ( x) that
gives the probability of each possible value of the random variable. Thus, if c is one of the values
of the random variable, then P ( X c) P (c) . In the continuous case, the integral of the
probability density function f ( x) gives the probability that the outcome lies in a certain interval.
If c is any real number, then the probability that the outcome is exactly c is
c

P( X c) P(c X c) f ( x)dx 0 .
c

Thus, P ( X c) 0 for any number c.

The fact that P ( X c) 0 also implies that excluding either end point from an interval
does not change the probability that the random variable lies in that interval; that is,
b

P(a X b) P(a X b) P(a X b) P(a X b) f ( x)dx .

a

Example 6 (Shelf-Life). The shelf-life (in months) of a certain drug is a continuous random
variable with probability density function
50 /( x 50) 2 if x 0,
f ( x)
0 otherwise.
Find the probability that the drug has a shelf-life of:
(A) between 10 and 20 months;
(B) at most 30 months;
(C) over 25 months.
Solution.
20

(A)

P(10 X 20)

10

30

(B)

P( X 30)

P( X 25)

50
50
0 ( x 50)2 dx x 50

30

f ( x)dx

(C)

20

50
50
50 50 5

.
f ( x)dx
dx

2
( x 50)
x 50 10 70 60 42
10
20

f ( x)dx

25

50

( x 50)

30

3
50

1 .
8
80

dx .

25

This improper integral can be evaluated directly using the techniques discussed by us. However,
there is another method that does not involve evaluation of any improper integrals. Since f is a
probability density function, we can write

25

50
50
50
dx
dx
dx .
1 f ( x)dx
2
2
( x 50)
( x 50)
( x 50)2

0
0
25

Solving this last equation for

50

( x 50)

dx , we have

25

50
50
50
25 ( x 50)2 dx 1 0 ( x 50)2 dx 1 x 50
Thus, P( X 25)

25

25

2
50
1
1 .
3
75

2
.
3

Cumulative Distribution Functions

Each time we compute the probability for a continuous random variable, we must find the
antiderivative of the probability density function. This antiderivative is used so often that it is
convenient to give it a name.

Cumulative Distribution Function. If f is a probability density function, then the associated

cumulative distribution function F is defined by
x

F ( x) P( X x)

f (t )dt .

Furthermore,

P ( c X d ) F ( d ) F (c ) .

Properties of Cumulative Distribution Functions. If f is a probability density function and

x

F ( x)

f (t )dt

is the associated cumulative distribution function, then:

1) F ( x) f ( x) whenever f is continuous;
2) 0 F ( x) 1, x ;
3) F ( x) is nondecreasing on (, ) .

Example 7 (Using a Cumulative Distribution Function). Find the cumulative distribution

function for the probability density function
12 x 2 12 x 3 if 0 x 1,
f ( x)
0 otherwise,

and use it to compute P (.1 X .9) .

Solution. If x 0 , then
x

F ( x)

If 0 x 1 , then
x

F ( x)

f (t )dt

f (t )dt

0dt 0 .

f (t )dt f (t )dt 0 12t 2 12t 3 dt 4t 3 3t 4

0

x
0

4 x3 3x4 .

If x 1 , then
x

F ( x)

f (t )dt

f (t )dt f (t )dt f (t )dt 0 1 0 1 .

Thus,

if
0
3
4
F ( x) 4 x 3x if
1
if

And

x 0,
0 x 1,
x 1.

P (.1 X .9) F (.9) F (.1) .9477 .0037 .944 .

Example 8 (Shelf-Life). Returning to the discussion of the shelf-life of a drug in Example 6,

suppose a pharmacist wants to be 95 % certain that the drug is still good when it is sold. How
long is it safe to leave the drug on the shelf?
Solution. Let x be the number of months the drug has been on the shelf when it is sold. The
probability that the shelf-life of the drug is less than the number of months it has been sitting on
the shelf is P (0 X x) . The pharmacist wants this probability to be .05. Thus, we must solve
the equation P (0 X x) .05 for x. First, we will find the cumulative distribution function F.
For x 0 , we see that F ( x) 0 . For x 0 ,
50
50
dt
2
(50 t )
50 t
0
x

F ( x)

50
50
x
1 1

.
50 x
50 x 50 x

Thus,
if x 0,
0
F ( x)
x /(50 x) if x 0.
Now, to solve the equation P (0 X x) .05 , we solve
F ( x) F (0) .05 F (0) 0 ,
x
.05, x 2.5 .05 x, .95 x 2.5, x 2.6.
50 x
If the drug is sold during the first 2.6 months it is on the shelf, then the probability that it is still
good is .95.