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CH 7
CH 7
Riemann-Stieltjes integrals
b
SP, 1,
ft k k , where t k x k1 , x k
k1
n
k
k1
b a.
b
a df fbb faa
Given any point c a, b, we may choose a monotonic function f defined as follows.
f
0 if x c
1 if x c.
So, we have
b
a df c b.
So, we know that is constant on a, b.
literature: We say that f is integrable with respect to if there exists a real number A
having the property that for every 0, there exists a 0 such that for every partition
P of a, b with norm P and for every choice of t k in x k1 , x k , we have
|SP, f, A| .
b
(a) Show that if fd exists according to this definition, then it is also exists according
a
to Definition 7.1 and the two integrals are equal.
Proof: Since refinement will decrease the norm, we know that if there exists a real
number A having the property that for every 0, there exists a 0 such that for every
partition P of a, b with norm P and for every choice of t k in x k1 , x k , we have
|SP, f, A| . Then choosing a P with P , then for P P P . So,
we have
|SP, f, A| .
b
That is, fd exists according to this definition, then it is also exists according to
a
Definition 7.1 and the two integrals are equal.
Proof: Note that fd exists and equals 0 according to Definition 7.1If fd exists
a
a
according to this definition, then given 1, there exists a 0 such that for every
partition P of a, b with norm P and for every choice of t k in x k1 , x k , we have
|SP, f, | 1. We may choose a partition P a x 0 , . . . , x n b with P and
c x j , x j1 , where j 0, . . . , n 1. Then
SP, f, fxx j1 x j 1, where x c, x j1
which contradicts to |SP, f, | 1.
7.4 If f R according to Definition 7.1, prove that ab fxdx also exists according to
M k fx k S 1 S 2 ,
where S 1 is the sum of terms arising from those subintervals of P containing no points of
P and S 2 is the sum of remaining terms. Then
S 1 UP , f I /2 and S 2 NMP NM /2,
and hence UP , f I . Similarly,
LP, f I if P for some .
Hence |SP, f I| if P min, .
Proof: The hint has proved it.
Remark: There are some exercises related with Riemann integrals, we write thme as
references.
b
(1) Suppose that f 0 and f is continuous on a, b, and fxdx 0. Prove that
a
fx 0 on a, b.
Proof: Assume that there is a point c a, b such that fc 0. Then by continuity of
fc
f, we know that given 2 0, there is a 0 such that as |x c| , x a, b, we
have
fc
|fx fc|
2
which implies that
fc
fx if x c , c a, b : I
2
So, we have
b
fc
0
|I| fxdx fxdx 0, where 0 |I|, the length of I
2
I
a
which is absurb. Hence, we obtain that fx 0 on a, b.
(2) Let f be a continuous function defined on a, b. Suppose that for every continuous
function g defined on a, b which satisfies that
a gxdx 0,
we always have
b
a fxgxdx 0.
Show that f is a constant function on a, b.
b
I
ba
, then we have
a gxdx 0,
which implies that, by hypothesis,
b
a fxgxdx 0
which implies that
b
a gx 2 dx 0 if letting c
I
ba
which implies that gx 0 forall x a, b by (1). That is, fx
I
ba
on a, b.
(3) Define
0 if x 0, 1 Q
hx
1
n
Then h R0, 1.
Proof: Note that we have shown that h is continuous only at irrational numbers on
0, 1 Q. We use it to show that h is Riemann integrable, i.e., h R0, 1. Consider the
upper sum UP, f as follows.
Given 0, there exists finitely many points x such that fx /2. Consider a
partition P x 0 a, . . . , x n b so that its subintervals I j x j1 , x j for some j
containing those points and |I j | /2. So, we have
n
UP, f
M k x k
k1
/2 /2
UP , f, LP , f, ,
then we automatically have, for any finer P P ,
UP, f, LP, f,
since the refinement makes U increase and L decrease.
(4) Assume that the function fx is differentiable on a, b, but not a constant and that
fa fb 0. Then there exists at least one point on a, b for which
4
b a 2
|f |
a fxdx.
fx fx fb f zx b Mb x, where z x, b.
So, by (*) and (**), we know that
**
ab
2
a fxdx a
fxdx ab fxdx
2
ab
2
x adx M ab b xdx
2
M ab
2
4
fxdx.
b a 2 a
Note that by (*) and (**), the equality does NOT hold since if it was, then we had
f x M on a, b which implies that f is a constant function. So, we have
M
4
fxdx.
b a 2 a
By definition of supremum, we know that there exists at least one point on a, b for
which
M
|f |
4
b a 2
a fxdx.
then
x
a gtdt
fx ce
In particular, as c 0, we have f 0 on a, b.
Proof: Let c 0 and define
Fx c gtftdt,
a
then we have
(i). Fa c 0.
(ii). F x gxfx 0 F is increasing on a, b by Mean Value Theorem
(iii). Fx fx on a, b F x gxFx by (ii).
So, from (iii), we know that
x
a gtdt
a gtdt
Fx Fae
ce
by (i).
For c 0, we choose c n 1/n 0, then by preceding result,
x
gtdt
fx 1
0 as n .
ne a
So, we have proved all.
(6) Define
fx
x1
sint 2 dt.
x1 2
1
2
1
2
sin u du
u
x1 2
dcos u
u
cos u
u
x1 2
x2
x1 2
x2
cos x 1 2
cosx 2
2x
2x 1
cos u du
2u 3/2
x1 2
x2
cos u du
4u 3/2
cos x 1 2
cosx 2
2x
2x 1
x1 2
x1 2
cos u du
4u 3/2
du
1
1
1
2x
4 x2
2x 1
u 3/2
1
1
1
1
2x
2x
2x 1
2x 1
1/x.
Note: There is another proof by Second Mean Value Theorem to show above as
follows. Since
fx 1
2
x1 2
sin u du by (a),
u
fx 1
2
1
2
1
2
which implies that
1
x
x2 sin udu x 1 1
x1 2
sin udu
1 cosx 2 cos y 1
cos y cos x 1 2
x
x1
1x 1
cosy 1x cosx 2 1 cos x 1 2
x1
x1
cos x 1 2
cosx 2
1
1
x
|cos y|
x
x1
x1
|fx| 1
2
cos x 1 2
cosx 2
x
x1
1 1
x
x1
1
2
1 1
1
1x 1
x
2
x1
x1
2
since no x makes |cosx | cos x 1 2
1/x.
(b) Prove that 2xfx cosx 2 cos x 1 2 rx, where |rx| c/x and c is a
constant.
Proof: By (a), we have
x1 2
cos x 1 2
cosx 2
cos u du
fx
2
2x
2x 1
4u 3/2
x
which implies that
2xfx
cosx 2
cosx 2
x1 2
x cos x 1 2 x
x1
x2
cos x 1
cos u du
2u 3/2
x1 2
1 cos x 1 2 x
x1
x2
cos u du
2u 3/2
where
rx 1 cos x 1 2 x
2
x1
x1 2
cos u du
u 3/2
x1 2
x1 2
1 x
2 x2
x1
1 1
x1
x1
2
x.
|cos u|
du
u 3/2
u 3/2 du
Note: Of course, we can use the note in (a) to show it. We write it as follows.
Proof: Since
fx 1
2
which implies that
1x
1
x1
2xfx
where
1 cos x 1 2
x1
rx
x 1 cosy
x1
|rx|
Proof: Yes,
x
x sin 2 tdt
1
2
1
2
x sin udu x1
2 2
x
x
1
x
y sin udu
1
2
2x
which implies that the integral exists.
Note: (i) We can show it without Second Mean Value Theorem by the method of (a).
However Second Mean Value Theorem is more powerful for this exercise.
(ii) Here is the famous Integral named Dirichlet Integral used widely in the STUDY
of Fourier Series. We write it as follows. Show that the Dirichlet Integral
0 sinx x dx
converges but not absolutely converges. In other words, the Dirichlet Integral converges
conditionally.
Proof: Consider
x
sin x dx 1
x
x
x sin xdx x1
we have
x
sin x dx 2 2 4 .
x
x
x
x
So, we know that Dirichlet Integral converges.
Define I n 4 2n, 2 2n, then
0 sinx x dx In sinx x dx
2
2
2n
2
2
dx
n0
4
.
2n
x1
sine t dt.
Show that
e x |fx| 2
and that
e x fx cose x e 1 cose x1 rx,
where |rx| min1, Ce x , for all x and
Proof: Since
x1
fx
e x1
x
sine t dt
sin u du by Change of Variable (let u e t )
u
e x1
ex
cos e x1
cos
e x e x1 e x
which implies that
e x cos e x1
du since cos u is not constant 1
|fx| cos
x1
ex
x
u2
e
e
1 1 1 1
e1x x1
e
ex
e
which implies that
e x |fx| 2.
In addition, by (*), we have
e x fx cose x e 1 cose x1 rx,
where
rx
e x
e x1
cos u du
u2
ex
ex
e x1
cos u du
u2
e x1
sin e x1 sin e x 2
ex
e 2x1
ex
1
**
e 2x1
e x1
12x 2
e
ex
du
u3
sin u du
u3
since sin u is not constant 1
2e x for all x.
By (**) and (***), we have proved that |rx| min1, Ce x for all x, where C 2.
***
Note: We give another proof on (7) by Second Mean Value Theorem as follows.
Proof: Since
fx
e x1
sin u du
u
y
e x1
**
|rx|
ex
e x1
1
e 2x
ex
cos u du
u2
y
e x1
cos udu
cos udu
e 2x1
e x |sin y sin e x e 2 sin e x1 sin y|
e x |sin y1 e 2 e 2 sin e x1 sin e x |
e x 1 e 2 e x |e 2 sin e x1 | e x |sin e x |
x
a f 2 xdx 1.
Prove that
b
a xfxf xdx
1
2
and that
b
a f x 2 dx a x 2 f 2 xdx
1.
4
Proof: Consider
b
xf 2 x| ba fxdxfx
a
a xfxf xdx
1 .
2
In addition, by Cauchy-Schwarz Inequality, we know that
b
f x 2 dx x 2 f 2 xdx
1.
4
a
Note that the equality does NOT hold since if it was, then we have f x kxfx. It
implies that
f x kxfxe
xfxf xdx
kx 2
2
kx 2
2
kx 2
2
, a constant
***
C 0 since fa 0.
That is, fx 0 on a, b which is absurb.
7.5 Let a n be a sequence of real numbers. For x 0, define
x
Ax
an an,
nx
n1
where x is the largest integer in x and empty sums are interpreted as zero. Let f have a
continuous derivative in the interval 1 x a. Use Stieltjes integrals to derive the
following formula:
a
Proof: Since
a
a n fn Aafa by
na
1 fxdAx a n fn and A1 a 1 ,
n2
we know that
a
Proof:
n
k1s
k1
1 x s dx 1
n
xdx s n s n 1 s 1 1
1
n
x
dx n 1s
s1
1 x
n x
1s1 s s1 dx if s 1.
n
1 x
(b) k1
Proof:
1
k
log n
n xx
x2
1.
1k
k1
1 dx 1
x
n
xdx 1 n 1 n 1 1 1 1
1
1 x 1 dx 1 x 1 dx 1
log n
x
dx 1
x2
x x
1.
x2
n
1
2n
1 k fk 1
f xx 2x/2dx.
k1
Proof:
2n
2n
1 fk fk 2 f2k
k
k1
k1
2n
k1
2n
fxdx f1 2
fxdx/2
2n
2n
2n
is continuous on 1, 2n
2n
2n
f xx 2x/2dx.
7.8x Let 1 x x
2 1 tdt. If
0
that
1
2
fk 1 fxdx 1 2 xf xdx
k1
f1 fn
.
2
f1 fn
2
2 xdf x f n 2 n f 1 2 1
fk 1 fxdx 1 f x 1 xdx
k1
1 fxdx 1 f xd 2 x
1 fxdx
f1 fn
2
f1 fn
2
f1 fn
2
n
n
f1
fn
fxdx 2 xf xdx
since f is continuous on 1, n.
2
1
1
1 fxdx 1 2 xdf x
1kn
Since
x x 1
2
1/2
and
a1
,
C 1 x x 1 dx
2 x
1
**
and
n
x x 1
2
dx .
x
So,
n!
e C : C 1 .
e n n n1/2
Now, using Wallis formula, we have
2 2 4 4 2n2n
/2
lim
n 1 3 3 5 5 2n 12n 1
which implies that
2 n n! 4
1 o1 /2
2n! 2 2n 1
which implies that, by (***),
4
C 41 2 n n n1/2 e n
1 o1 /2
C 21 2n 2n1/2 e 2n 2n 1
lim
n
2 , and x x
1
1
2
dx
1
2
log 2 1.
Note: In (***), the formula is called Stirling formula. The reader should be noted that
Wallis formula is equivalent to Stirling formula.
***
where the sum is extended over all primes p x. The prime number theorem states that
log x
x x 1.
lim
x
This is usually proved by studying a related function given by
x
log p,
px
where again the sum is extended over all primes p x. Both function and are step
functions with jumps at the primes. This exercise shows how the Riemann-Stieltjes integral
can be used to relate these two functions.
(a) If x 2, prove that x and x can be expressed as the following
Riemann-Stieltjes integrals:
x
x
1 dt.
x log tdt, x
log
t
3/2
3/2
Note. The lower limit can be replaced by any number in the open interval 1, 2.
Proof: Since x px log p, we know that by Theorem 7.9,
x
3/2
1 dt.
log t
x
2
t
t dt,
x t
x
dt.
2
log x
2 t log t
These equations can be used to prove that the prime number theorem is equivalent to
x
the relation lim x x 1.
x
2
t
t dt since
3/2
t
t dt 0 by x 0 on 0, 2,
3/2
3/2
1 dt
log t
t
x
3/2
dt
2
log
x
log3/2
t log t
t
x
dt
since 3/2 0
2
log x
t log t
x t
2
t
x
dt
since
dt 0 by x 0 on 0, 2.
2
2
log x
2 t log t
3/2 t log t
3/2
2
*
3
4
**
(b) f gd fd gd.
a
a
a
Proof: In any compact interval J, we have
supf g sup f sup g.
xJ
xJ
xJ
M k f k a fd /2
k1
and
n2
M k g k a gd /2.
k1
n1
UP, f,
M k f k and UP, g,
k1
n2
M k g k
k1
a fd a gd
UP, f g,
which implies that
b
f gd
fd gd
a
since is arbitrary.
b
(c) f gd fd gd
a
a
a
fx
1 if x 0, 1 Q c
x0
x0
a fd fa a
dx fb dx
x0
x0
a fd fa a
gd fb gd.
x0
x0
a fxgxdx fa a
gd fb gd.
x0
Proof: Since
b
x0
a fxgxdx fa a
gd fb gd.
x0
a fd
a |f|dV MVb,
a fd
Mb a.
a fd SP, f,
n
ft k k , where t k x k1 , x k
k1
n
|ft k ||x k x k1 |
k1
n
|ft k |Vx k Vx k1
k1
SP, |f|, V
UP, |f|, V since V is increasing on a, b
which implies that, taking infimum,
b
a fd a |f|dV
since |f| RV on a, b.
So, we have
b
a fd
a |f|dV
since |f|dV is clear non-negative. If M is an upper bound for |f| on a, b, then (*) implies
a
that
b
a fd
a |f|dV MVb
a fd
Mb a
if x x.
a fxd n x a fxdx.
a fxd n x
MV n b 0 as n
a fxd n x a fxdx.
a a
b
fx gx
fy gy
f 2 xdx
dy dx
g 2 xdx
a fxgxdx
fxgxdx
a f 2 xdx a g 2 xdx
a a
b
fx gx
fy gy
dy dx
1
2
a a fxgy fygx 2 dy
1
2
a a f 2 xg 2 y 2fxgyfygx f 2 yg 2 xdy
1
2
a f 2 xdx a g 2 ydy
dx
fxgxdx fygydy
a
b
g 2 xdx f 2 ydy
if on a, b, then we have
dx
0 1
2
fx gx
fy gy
a a
f 2 xdx
dy dx
g 2 ydy
a fxgxdx
a fxgxdx
a f 2 xdx a g 2 xdx
Az 2 2Bz C.
It implies that
B 2 AC.
That is,
b
a fxgxdx
a f 2 xdx a g 2 xdx
Note: (1) The reader may recall the inner product in Linear Algebra. We often
consider Riemann Integral by defining
f, g :
a fxgxdx
where f and g are real continuous functions defined on a, b. This definition is a real case.
For complex case, we need to preserve its positive definite. So, we define
f, g :
a fxg xdx
where f and g are complex continuous functions defined on a, b, and g means its
conjugate. In addition, in this sense, we have the triangular inequality:
f g f h f h, where f
f, f .
Proof: Let K sup xa,b |fx|, and given 0, we want to show that
f g .
Since f R on a, b where on a, b, given 1 0, there is a partition
P x 0 a, . . . , x n b such that
n
UP, f, LP, f,
M j f m j f j 2 .
j1
j
B
M j f m j f j 2 by (1)
B
j .
x
A
j1 ,x j
2
|ft gt| d
4M j f m j f 2 j by (3)
A
4 M j f m j f j by definition of A
A
4 j by 1
4 b
and
x
B
j1 ,x j
2
|ft gt| d
4K 2 j
B
4K 2 by (2).
Hence,
b
a |ft gt| 2 d 4 b a 4K 2
2
if we choose is small enough so that 4 b a 4K 2 2 . That is, we have
proved that
f g .
P.S.: The exercise tells us a Riemann-Stieltjes integrable function can be approximated
(approached) by continuous functions.
(3)There is another important result called Holders inequality. It is useful in Analysis
and more general than Cauchy-Schwarz inequality. In fact, it is the case p q 2 in
Holders inequality. We consider the following results.
Let p and q be positive real numbers such that
1 1 1.
q
p
Prove that the following statements.
(a) If u 0 and v 0, then
p
p
uv up vq .
1
q
1,
v p1 ,
and f u 0 if u
0, v p1
1
p
vp
a f p d 1 a g q d,
then
b
a fgd 1.
Proof: By Holders inequality, we have
gq
fp
fg p q
b
b
fp
gq
1
1
d
p
q d p q 1.
a
a fgd a
fgd
1/p
|f| p d
|g| q d
1/q
a fgd
a |fg|d.
Also,
b
a |f| p d M p a
|f|
M
d 1
and
b
a |g| q d N q a
|g|
N
d 1.
|f| |g|
d 1
M N
a fgd
MN
1/p
a |f| p d
a |g| q d
1/q
(d) Show that Holders inequality is also true for the improper integrals.
Proof: It is clear by (c), so we omit the proof.
7.17 Assume that f R, g R, and f g R on a, b. Show that
1
2
a a fy fxgy gxdy
b
b a fxgxdx
a
dx
a fxdx a gxdx
a fxdx a gxdx
b a fxgxdx
a
when both f and g are increasing (or both are decreasing) on a, b. Show that the reverse
inequality holds if f increases and g decreases on a, b.
Proof: Since
1
2
1
2
a a fy fxgy gxdy
dx
b a fygydy
a
dx
a fxdx a gxdx
0 1 fy fxgy gxdy dx
2 a a
and (let , and f on a, b, g on a, b),
0 1 fy fxgy gxdy dx,
2 a a
we know that, (let , f, and g on a, b)
b
a fxdx a gxdx
b a fxgxdx
a
a fxdx a gxdx
Riemann integrals
b a fxgxdx.
a
a
akb
n
k1
lim
n
k1
n
, lim
4 n
k2 n2
n 2 k 2 1/2 log
1 2 .
k1
SP, f fxdx .
a
ba
n
SP, f fxdx
a
a
akb
n
k1
fxdx .
a
That is,
ba
lim
n
n
a
akb
n
k1
lim
n
k1
1
k
n
n
1
lim
n n
k2 n2
1
n
n
k1
k1
1
2
1
k
n
dx
1 x2
arctan 1 arctan 0
/4.
1
, we know that by above result,
2 1/2
Since k1 n 2 k 2 1/2
k
n
ba
n
lim
n
1
n 2 k 2 1/2 lim
n n
k1
1
1 nk
k1
1/2
dx
1/2
1 x 2
/4
/4
1 2
log 1 2 .
7.19 Define
x
0 e t dt
fx
, gx
e x 2 t 2 1 dt.
t2 1
0 e t dt
2
e x
x 2 t 2 1
0 h x dt
1
0 2xe x t 1 dt
2
2e x
0 xe xt dt
2
2e x 2 e u 2 du,
0
f x
Remark: The reader should think it twice on how to find the auxiliary function g.
(b) Use (a) to prove that
lim
x
0 e t dt
2
1 .
2
x t 1
hx, t e 2
t 1
|e x 2 t 2 1 |
1
for all x 0;
x 2 t 2 1
we know that
1
0
So, by (a), we get
e x 2 t 2 1 dt
t2 1
1
x2
dt
1 t2
0 as x .
lim
fx /4
x
which implies that
x
0 e t dt
lim
x
x
2
2
since lim x e t dt exists by e t dt
dt
0 1t 2
1
2
arctan x /2 as x .
Remark: (1) There are many methods to show this. But here is an elementary proof
with help of Taylor series and Wallis formula. We prove it as follows. In addition, the
reader will learn some beautiful and useful methods in the future. For example, use the
application of Gamma function, and so on.
Proof: Note that two inequalities,
x2
e x2
xk!
2k
for all x
k0
and
k0
x 2k
k!
x 2k
1 if |x| 1
1 x2
k0
and
1 if x 0 e nx 2
1 x2
2
e x
1
1 x2
0 1 x 2 n dx 0 e nx dx 0 e nx dx 0
2
1
1 x2
dx.
Note that
0 e nx dx
2
1
n
0 e x dx :
2
K .
n
Also,
/2
0 1 x 2 n dx 0
2 4 6 2n 22n
1 3 5 2n 1
and
1
1 x2
dx
/2
1 3 5 2n 3
,
2 4 6 2n 2 2
so
2 4 6 2n 22n
1 3 5 2n 3
K n
1 3 5 2n 1
2 4 6 2n 2 2
which implies that
2 4 6 2n 22n 2
1 3 5 2n 3 2 2n 1
n
n
2
K
2n 1 1 3 5 2n 1 2 2n 1
2n 1
2 4 6 2n 2 2
By Wallis formula, we know that, by (4)
.
K
2
That is, we have proved that Euler-Possion Integral
n
.
2
0 e x dx
2
2 4 6 2n 22n 2
.
2
2
1 3 5 2n 1 2n 1
/2
/2
sin 2n tdt
.
2
2n2n 2 4 2
2n 12n 3 3 1
2n 12n 1 3 1
So,
2n2n 2 4 2
2n 12n 3 3 1
Hence, from
2n2n 2 4 2
2n 12n 3 3 1
1
2n 1
2
2n2n 2 4 2
2n 12n 3 3 1
1
1
2n
2n 1
1 .
2n
1 0,
2n 2
we know that
lim
n
2 4 6 2n 22n 2
.
2
2
1 3 5 2n 1 2n 1
(2) Here is another exercise from Hadamards result. We Write it as follows. Let
f C k R with f0 0. Prove that there exists an unique function g C k1 R such that
f xgx on R.
Proof: Consider
fx fx f0
1
0 dfxt
0 xf xtdt
x f xtdt;
0
we know that if gx :
1
0
f xtdt,
fx
x
if x 0
0 if x 0.
a |gt|dt .
|fx k fx k1 |
k1
xk
x
k1
gtdt
k1
k1
|fx k fx k1 | a |gt|dt
k1
a |gt|dt
V f a, b
since is arbitrary.
x
Conversely, since |gt|dt exists, given 0, there exists a partition P 2 such that
a
UP 2 , |g|
a |gt|dt /2.
V f a, b /2
|ft k ft k1 |.
k1
a |gt|dt /2
and
p
V f a, b /2
|fs k fs k1 |
k1
p
sk
s
k1
p
gtdt
k1
|c k x k x k1 |
k1
UP, |g|
which imply that
V f a, b
a |gt|dt
since is arbitrary.
Therefore, from above discussion, we have proved that
V f a, b
a |gt|dt.
a f tdt.
n
f j t
j1
1/2
.
1
|f x f y|
3b a
Since f t R on a, b, for the same , there exists 2 0 such that as P 1 2 ,
where P 1 x 0 a, . . . , x n bwe have
b
f t j x j
j1
and f a, b exists by Theorem 6.17, for the same , there exists a partition
P 2 s 0 a, . . . , s m b such that
m
f a, b /3
fs k fs k1
k1
k1
j1
1/2
f j s k f j s k1
.
4
|f x f y|
3b a
(ii) As P , we have
SP, f
b
a
f tdt
/3, where
SP, f
f tj y j
j1
(iii) As P , we have
f a, b /3
k1
j1
k1
j1
k1
q
j1
1/2
f j s k f j s k1
1/2
f j y k f j y k1 2
f j z k 2
f z k y j
k1
f a, b
By (ii) and (iii), we have
gz k y j SP, g
k1
k1
q
j1
gz k y j gtj y j
|gz k gtj |y j
k1
q
3b a y j
k1
/3.
a f tdt f a, b
a f tdt.
f k ax a k
, k 1, 2, . . . , n.
k!
x t k1 f k tdt
k!
k 1! a
f k ax a k
I k1 x,
k!
we know that
I k1 x I k x
f k ax a k
, for k 1, 2, . . . , n.
k!
(b) Use (a) to express the remainder in Taylors formula (Theorem 5.19) as an integral.
Proof: Since fx fa I 0 x, we know that
fx fa I 0 x
n
fa I k1 x I k x I n x
k1
k0
f k ax a k
1
n!
k!
a x t n f n1 tdt by (a).
Remark: 1. The reader should be noted that with help of Mean Value Theorem, we
have
x
n1 cx a n1
1 x t n f n1 tdt f
.
n! a
n 1!
2. Use Integration by parts repeatedly; we can show (*). Of course, there is other
proofs such as Mathematical Induction.
Proof: Since
uv n1 dt uv n u v n1 u v n2 . . . 1 n u n v 1 n1 u n1 vdt,
letting vt x t n and ut ft, then
n
fx
f
k0
k a
k!
x a k 1
n!
a x t n f n1 tdt.
Note: The reader should give it a try to show it. Since it is not hard, we omit the detail.
3. The remainder term as an integral is useful; the reader should see the textbook in
Ch9, pp242-244.
4. There is a good exercise related with an application of Taylors Remainder. We write
it as a reference.
Let u t ftut 0, where ft is continuous and non-negative on 0, c If u is
defined and not a zero function on 0, c and
b
ux ua u ax a x tu tdt
x
u ax a x tu tdt
a
x
u ax a x tutftdt.
a
**
|ux| |u a|x a.
By (**),
b
0 ub u ab a b tutftdt
a
a b tutft
a b tt aftdt
a b tt ae t dt e a 2 b a e b 2 b a
by integration by parts twice, we have, (let b a x),
e a 2 b a e b 2 b a b a
e a 2 x e xa 2 x x
xe a 1 e ax 2e x x 2
0 since a b and e x 1 x.
(ii) In the proof of exercise, we use the uniqueness theorem: If px and qx are
continuous on 0, a, then
y pxy qxy 0, where y0 y 0 , and y 0 y 0
has one and only one solution. In particular, if y0 y 0 0, then y 0 on 0, a is the
only solution. We do NOT give a proof; the reader can see the book, Theory of Ordinary
Differential Equation by Ince, section 3.32, or Theory of Ordinary Differential
Equation by Coddington and Levison, Chapter 6.
However, we need use the uniqueness theorem to show that u (in the exercise) has at
most finitely many zeros in 0, c.
Proof: Let S x : ux 0, x 0, c. If #S , then by Bolzano-Weierstrass
Theorem, S has an accumulation point p in 0, c. Then up 0 by continuity of u. In
addition, let r n p, and ur n 0, then
ux up
ur n up
u p lim
lim
0.
xp
rn p
xp
n
(Note that if p is the endpoint of 0, c, we may consider x p or x p ). So, by
uniqueness theorem, we then have u 0 on 0, c which contradicts to the hypothesis, u
is not a zero function on 0, c. So, #S .
7.23 Let f be continuous on 0, a. If x 0, a, define f 0 x fx and let
x
f n1 x 1 x t n ftdt, n 0, 1, 2, . . .
n! 0
(a) Show that the nth derivative of f n exists and equals f.
Proof: Consider, by Chain Rule,
***
f n
1
n 1!
we have
f n
n f.
That is, nth derivative of f n exists and equals f.
Remark: (1) There is another proof by Mathematical Induction and Integration by
parts. It is not hard; we omit the proof.
(2) The reader should note that the exercise tells us that given any continuous function f
on a, b, there exists a function g n on a, b such that g n
n f, where n N. In fact, the
function
x
g n 1 x t n ftdt, n 0, 1, 2, . . .
n! a
(3) The reader should compare the exercise with 7.22. At the same time, look at two
integrands in both exercises.
(b) Prove the following theorem of M. Fekete: The number of changes in sign of f in
0, a is not less than the number of changes in sign in the ordered set of numbers
fa, f 1 a, . . . , f n a.
Hint: Use mathematical induction.
Proof: Let Tf denote the number of changes in sign of f on 0, a and S n f the
number of changes in sign in the ordered set of numbers
fa, f 1 a, . . . , f n a.
We prove Tf S n f for each n by Mathematical Induction as follows. Note that
S n f n.
As n 1, if S 1 f 0, then there is nothing to prove it. If S 1 f 1, it means that
faf 1 a 0. Without loss of generality, we may assume that fa 0, so f 1 a 0
which implies that
a
0 f 1 a 1 ftdt
0! 0
which implies that there exists a point y 0, a such that fy 0. Hence, Tf S 1 f
holds for any continuous functions defined on 0, a.
Assume that n k holds for any continuous functions defined on 0, a, As n k 1, .
we consider the ordered set of numbers
fa, f 1 a, . . . , f k a, f k1 a.
Note that
f n1 a f 1 n a for all n N,
so by induction hypothesis,
Tf 1 S k f 1
Suppose S k f 1 p, and f 1 0 0, then f 1 f at least has p zeros by Rolles
Theorem. Hence,
*
Tf Tf 1 S k f 1 p
We consider two cases as follows.
(i) faf 1 a 0 :With help of (*),
Tf S k f 1 S k1 f.
lim
n
fx n dx
1/n
M.
1/n
I f n xdx
|I| 1/n M
1/n
a fx n dx
b a 1/n M
lim n sup fx n dx
1/n
1/n
a fx dx
n
M.
1/n
M.
a fx gxdx
lim
n
1/n
max fx.
xa,b
Since the proof is similar, we omit it. (The reader may let x gtdt).
a
7.25 A function f of two real variables is defined for each point x, y in the unit square
0 x 1, 0 y 1 as follows:
1 if x is rational,
fx, y
1
0_
2y if x is irrational.
0_
xx j1 ,x j
xx j1 ,x j
0_
(b) Show that fx, ydy exists for each fixed x and compute fx, ydy in terms of x
0
0
and t for 0 x 1, 0 t 1.
Proof: If x Q 0, 1, then fx, y 1. And if x Q c 0, 1, then fx, y 2y. So,
for each fixed x, we have
1
and
t
(c) Let Fx fx, ydy. Show that Fxdx exists and find its value.
Proof: By (b), we have
Fx 1 on 0, 1.
1
0 Fxdx 1.
7.26 Let f be defined on 0, 1 as follows: f0 0; if 2 n1 x 2 n , then
fx 2 n for n 0, 1, 2, . . .
has
fxdx
2 k1
2
k1
n
2 k1
k1
n
fxdx
2 k1
dx
2 k1 2 k
k1
1
4
1 14
1 14
2 1
3
2
3
1
4
2 as n .
3
a fxdx lim
n a
fxdx
n
So,
a fxdx a
fxdx
n
an
fxdx
M|a n a|
.
b
an
2
3
x ftdt.
Given any x 0, 1, then there exists a positive N such that 2 N1 x 2 N . So,
1
x ftdt 2
ftdt
2 1
3
1
4
2 1
3
3
1
4
2 N
x
N
ftdt
2 N 2 N x by Remark in (a)
1
2
x.
So,
N
x 1 1
3 4
2 N x 1 2 2N
3
xAx 1 Ax 2
3
where Ax 2 N . Note that 2 N1 x 2 N , we have
N log 1/2 x , where y is the Gauss symbol.
Fx
1
2
Hence,
Ax 2 log x/ log 2 .
Remark: (1) The reader should give it a try to show it directly by considering 0, x,
where 0 x 1.
(2) Here is a good exercise. We write it as a reference. Suppose that f is defined on
0, 1 by the following
fx
1
2n
if x
j
2n
2n
M k x k
UP, f
k1
1n
2
2n
Mk
k1
1n 2n n 1
2
2
So, f satisfies the Riemanns condition on 0, 1.
0 as n .
Note: (1) The reader should give it a try to show that the set of discontinuities of f has
measure zero. Thus by Theorem 7.48 (Lebesgues Criterion for Riemann Integral), we
know that f R on 0, 1. In addition, by the fact, the lower Riemann integral equals the
Riemann integral, we know that its integral is zero.
(2) For the existence of Riemann integral, we summarize to be the theorem: Let f be a
bounded function on a, b. Then the following statements are equivalent:
(i) f R on a, b.
(ii) f satisfies Riemanns condition on a, b.
b
b
(iii) fxdx fxdx
a
a
(iv) the set of discontinuities of f on I has measure zero.
P.S.: The reader should see the textbook, pp 391; we have the general discussion.
a cos fxdx
2.
m
Hint: Multiply and divide the integrand by f x and use Theorem 7.37(ii).
Proof: Since f x m 0, and
b
a cos fxdx a
1
f
cos fx
f xdx
f x
1
f b
f b
a cos fxdx
2.
m
k1 x : f x 1/k
1/k is open. We know that C is a G set.
0 if x Q c 0, 1
1 if x Q 0, 1
1/g R on 0, 1. In addition, the reader should note that when we ask whether a function
is Riemann-integrable or not, we always assume that f is BOUNDED on a COMPACT
INTERVAL a, b.
(d) If f and g are bounded functions having the same discontinuities on a, b, then
f R on a, b if, and only if, g R on a, b.
Proof: () Suppose that f R on a, b, then D f , the set of discontinuities of f on a, b
has measure zero by Theorem 7.48. From hypothesis, D f D g , the set of discontinuities
of g on a, b, we know that g R on a, b by Theorem 7.48.
() If we change the roles of f and g, we have proved it.
Proof: Note that h is bounded on a, b. Let D h and D g denote the set of dsicontinuities
of h and g on a, b, respectively. Then
Dh Dg.
Since g R on a, b, then |D g | 0 by Theorem 7.48. Hence, |D h | 0 which implies that
h R on a, b by Theorem 7.48.
Remark: (1) There has a more general theorem related with Riemann-Stieltjes
Integral. We write it as a reference.
(Theorem)Suppose g R on a, b, m gx M for all x a, b. If f is
continuous on m, M, the composite function h defined by hx fgx R on
a, b.
Proof: It suffices to consider the case that is increasing on a, b. If a b,
there is nothing to prove it. So, we assume that a b. In addition, let
K sup xa,b |hx|. We claim that h satisfies Riemann condition with respect to on
a, b. That is, given 0, we want to find a partition P such that
n
UP, h, LP, h,
M k h m k h k .
k1
.
1
|fx fy|
2b a
Since g R on a, b, for this 0, there exists a partition P such that
n
UP, g, LP, g,
M k g m k g k 2 .
k1
M k h m k h k 2 by (2)
B
k .
B
So, we have
UA, h, LA, h,
M k h m k h k
A
/2 by (1)
and
UB, h, LB, h,
M k h m k h k
B
2K k
B
2K
/2.
It implies that
UP, h, LP, h, UA, h, LA, h, UB, h, LB, h,
.
That is, we have proved that h satisfies the Riemann condition with respect to on a, b.
So, h R on a, b.
Note: We mention that if we change the roles of f and g, then the conclusion does
NOT hold. Since the counterexample is constructed by some conclusions that we will learn
in Real Analysis, we do NOT give it a proof. Let C be the standard Cantor set in 0, 1 and
C the Cantor set with positive measure in 0, 1. Use similar method on defining Cantor
Lebesgue Function, then there is a continuous function f : 0, 1 0, 1 such that
fC C . And Choose g X C on 0, 1. Then
h g f X C
which is NOT Riemann integrable on 0, 1.
(2) The reader should note the followings. Since these proofs use the exercise 7.30 and
Theorem 7.49, we omit it.
(i) If f R on a, b, then |f| R on a, b, and f r R on a, b, where r 0, .
(ii) If |f| R on a, b, it does NOT implies f R on a, b. And if f 2 R on a, b, it
does NOT implies f R on a, b. For example,
f
1 if x Q a, b
1 Q c a, b
(iii) If f 3 R on a, b, then f R on a, b.
7.31 Use Lebesgues theorem to prove that if f R and g R on a, b and if
fx m 0 for all x in a, b, then the function h defined by
hx fx gx
is Riemann-integrable on a, b.
Proof: Consider
hx exph log f,
then by Theorem 7.49,
f R log f R h log f R exph log f h R.
those points which lie in the open middle third of I; that is, A 1 0, 13 23 , 1. Let A 2
be the subset of A 1 obtained by removing he open middle third of 0, 13 and of 23 , 1.
Continue this process and define A 3 , A 4 , . . . . The set C n1 A n is called the Cantor set.
Prove that
(a) C is compact set having measure zero.
Proof: Write C n1 A n . Note that every A n is closed, so C is closed. Since A 1
is closed and bounded, A 1 is compact and C A 1 , we know that C is compact by
Theorem 3.39.
n
In addition, it is clear that |A n | 23 for each n. Hence, |C| lim n |A n | 0, which
implies that C has a measure zero.
2 if x jj 0
0 if x jj 2.
a2n n/2 ,
n1
then it is clear that is 1-1 and onto. So, C is equivalent to 0, 1. That is, C is
uncountable.
(d) Let fx 1 if x C, fx 0 if x C. Prove that f R on 0, 1.
Proof: In order to show that f R on 0, 1, it suffices to show that, by Theorem 7.48,
f is continuous on 0, 1 C since it implies that D C, where D is the set of
discontinuities of f on 0, 1.
Let x 0 0, 1 C, and note that C C , so there is a 0 such that
(a) 0 fx 1/n! if 0 x 1.
Proof: It is clear.
(b) Each kth derivative f k 0 and f k 1 is an integer.
Proof: By Leibnitz Rule,
f k x
1
n!
kj n n j 1x nj
1 kj n n k j 11 x nkj
j0
1 if k n
kn 1 kn n 2n k 1 if k n
Fx
bn
1 k f 2k x 2n2k .
k0
Prove that:
(c) F0 and F1 are integers.
Proof: By (b), it is clear.
(d) 2 a n fx sin x
d
dx
F x sin x Fx cos x
F x
2 Fx
bn
1 k f 2k2 x 2n2k
2bn
k0
1 k f 2k x 2n2k
k0
n1
2 b n 1 k f 2k x 2n2k 2 b n fx 2n
k1
n1
k0
b n 1 n f 2n2 x
2 b n fx 2n
F1 F0 a n fx sin xdx.
0
SP, f, fxdx /2
a
where
n
SP, f,
ft j j for t j x j1 , x j
j1
n
j1
and
b
SP, f fx xdx /2
a
where
n
SP, f
ft j t j x j for t j x j1 , x j
j1
**
SP, f, SP, f .
Hence,
b
a fxdx a fx xdx
b
7.35 Prove the following theorem, which implies that a function with a positive
integral must itself be positive on some interval. Assume that f R on a, b and that
b
0 fx M on a, b, where M 0. Let I fxdx, let h 12 I/M b a, and
a
assume that I 0. Then the set T x : fx h contains a finite number of intervals,
the sum of whose lengths is at least h.
n
Hint. Let P be a partition of a, b such that every Riemann sum SP, f k1 ft k x k
satisfies SP, f I/2. Split SP, f into two parts, SP, f kA kB , where
A k : x k1 , x k T, and B k : k A.
If k A, use the inequality ft k M; if k B, choose t k so that ft k h. Deduce that
kA x k h.
Proof: It is clear by Hint, so we omit the proof.
Remark: There is another proof about that a function with a positive integral must
itself be positive on some interval.
Proof: Suppose NOT, it means that in every subinterval, there is a point p such that
fp 0. So,
n
LP, f
m j x j 0 since m j 0
j1
a fxdx 0
which contradicts to a function with a positive integral. Hence, we have proved that a
function with a positive integral must itself be positive on some interval.
Supplement on integration of vector-valued functions.
(Definition) Given f 1 , . . . , f n real valued functions defined on a, b, and let
f f 1 , . . . , f n : a, b R n . If on a, b. We say that f R on a, b means that
f j R on a, b for j 1, 2, . . . , n. If this is the case, we define
b
a fd a f 1 d, . . . , a f n d
From the definition, the reader should find that the definition is NOT stranger for us. When
we talk f f 1 , . . . , f n R on a, b, it suffices to consider each f j R on a, b for
j 1, 2, . . . , n.
For example, if f R on a, b where on a, b, then f R on a, b.
Proof: Since f R on a, b, we know that f j R on a, b for j 1, 2, . . . , n.
Hence,
f 2j R on a, b
k1
f 2j
R on a, b
R on a, b.
k1
a fd
a fd.
Proof: Consider
b
a f 1 d, . . . , a f n d, a f 1 d, . . . , a f n d
y 2
a f j d a f j d
j1
b
y j a f j d
j1
n
a f j y j d
j1
a fjyj
j1
a fyd
b
y fd
a
a fd.
Tx gx Kx, ttdt,
a
Proof: Consider
T 1 x T 2 x
Kx, t 1 t 2tdt
a
b
|| |Kx, t 1 t 2t|dt
a
||M | 1 t 2t|dt
a
Since ||
(*), we know that
M 1 b
||Mb a 1 t 2t.
a , then there exists c such that || c M 1 b a 1 . Hence, by
1
T 1 x T 2 x 1 t 2t
where 0 cMb a : 1. So, T is a contraction of Ca, b and hence has a fixed
b
point which is a solution of the integral equation x gx Kx, ttdt.
a
x b ft, tdt on a c, a c.
a
Proof: ()Since
x a c, a c
x a tdt
a
x
a ft, tdt on a c, a c.
a
()Assume
x
x b ft, tdt on a c, a c,
a
then
x ft, x on a c, a c.
(b) Assume that |fx, y| M on Q, where M 0, and let c minh, k/M. Let S
Consider
|fx b| |fx f N x| |f N x b|
fx f N x f N x b
Mc
which implies that
|fx b| Mc for all x
since is arbitrary. So, f S. It means that S is closed.
(c) Prove that the function T defined on S by the equation
x
Tx b ft, tdt
a
|Tx b|
a ft, tdt
a |ft, t|dt
x aM
Mc
we know that Tx S. That is, T maps S into itself.
(d) Now assume that f satisfies a Lipschitz condition of the form
|fx, y fx, z| A|y z|
for every pair of points x, y and x, z in Q, where A 0. Prove that T is a contraction of
S if h 1/A. Deduce that for h 1/A the differential equation y fx, y has exactly one
solution y x on a c, a c such that a b.
Proof: Note that h 1/A, there exists such that h 1/A. Since
T 1 x T 2 x
Ax a 1 t 2 t
Ah 1 t 2 t
1 t 2 t
where 0 A : 1. Hence, T is a contraction of S. It implies that there exists one and
x b ft, tdt
a
a |fx gx|dx.
We do NOT give it a proof. The reader can see the book, Measure and Integral (An
Introduction to Real Analysis) by Richard L. Wheeden and Antoni Zygmund, Ch5.
2. The reader may recall the Mean Value Theorem: Let f be a continuous function on
a, b. Then
b
a fxdx fx 0 b a
where x 0 a, b. In fact, the point x 0 can be chosen to be interior of a, b. That is,
x 0 a, b.
Proof: Let M sup xa,b fx, and m inf xa,b fx. If M m, then it is clear. So, we
may assume that M m as follows. Suppose NOT, it means that x 0 a or b. Note that,
fx 1 m fx 0 : r M fx 2
by continuity of f on a, b. Then we claim that
fx 0 m or M.
If NOT, i.e.,
fx 1 r fx 2
it means that there exists a point p x 1 , x 2 such that fp r by Intermediate Value
Theorem. It contradicts to p a or b. So, we have proved the claim. If fa m, then
b
a fxdx mb a 0 a fx mdx
which implies that, by fx m 0 on a, b,
fx m forall x a, b.
So, it is impopssible. Similarly for other cases.
Remark: (1) The reader can give it a try to consider the Riemann-Stieltjes Integral as
follows. Let be a continuous and increasing function on a, b. If f is continuous on
a, b, then
b
a fxdx fcb a
where c a, b.
Note: We do NOT omit the continuity of on a, b since
0 if x 0
fx x on 0, 1; x
1 if x 0, 1
(2) The reader can see the textbook, exercise 14.13 pp 404.
Exercise: Show that
2
/2
dx
1
1
2
sin x
.
2