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CONVERGENCE OF IMPROPER INTEGRALS

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We dened a f (t)dt under the conditions that f is dened and bounded on the bounded interval [a, b]. In this lecture, we will extend the theory of integration to bounded functions dened on unbounded intervals and also to unbounded functions dened on bounded or unbounded intervals. Improper integral of the rst kind: Suppose f is (Riemann) integrable on [a, x] for all x > a, x x i.e., a f (t)dt exists for all x > a. If lim a f (t)dt = L for some L R, then we say that the improper integral (of the rst kind) a f (t)dt converges to L and we write Otherwise, we say that the improper integral a f (t)dt diverges.

x a f (t)dt b

= L.

Observe that the denition of convergence of improper integrals is similar to the one given for x series. For example, a f (t)dt, x > a is analogous to the partial sum of a series.

1 Examples : 1. The improper integral 1 t1 dt converges, because, 1 t1 dt = 1 x 1 as x . 2 2 1 x 1 On the other hand, 1 t dt diverges because limx 1 t dt = limx log x. In fact, one can show 1 that 1 t1 dt converges to p1 for p > 1 and diverges for p 1. p x

2. Consider 3. The

t2 dt. We will use substitution in this example. Note 0 te 2 x t2 x2 1 dt = 1 0 es ds = 1 (1 ex ) 2 as x . 2 2 0 te x integral 0 sintdt diverges, because, 0 sintdt = 1 cosx.

that

We now derive some convergence tests for improper integrals. These tests are similar to those used for series. We do not present the proofs of the following three results as they are similar to the proofs of the corresponding results for series. Theorem 17.1 : Suppose f is integrable on [a, x] for all x > a where f (t) 0 for all t > a. If x there exists M > 0 such that a f (t)dt M for all x a then a f (t)dt converges. This result is similar to the result: If an 0 for all n and the partial sum Sn M for all n, then an converges. The proofs are also similar. One uses the above theorem to prove the following theorem which is analogous to the comparison test of series. In the following two results we assume that f and g are integrable on [a, x] for all x > a. Theorem 17.2 : (Comparison test) Suppose 0 f (t) g(t) for all t > a. If converges, then a f (t)dt converges. Examples : 1. The improper integral 2. The improper integral

2+sint dt t 1 cos2 t dt 1 t2 a g(t)dt

converges, because 0

2+sint t

cos2 t t2

1 . t2

diverges, because

1 t

Theorem 17.3 : (Limit Comparison Test(LCT)) Suppose f (t) 0 and g(t) > 0 for all x > a. If lim f (t) = c where c = 0, then both the integrals a f (t)dt and a g(t)dt converge or both g(t)

t

t p 1 e t dt 1 1 sin t dt

a g(t)dt

implies convergence of

sin 1 t

1 t

a f (t)dt.

et tp t2

1 as t .

0 as x .

So far we considered the convergence of improper integrals of only non-negative functions. We will now consider any real valued functions. The following result is anticipated.

2 Theorem 17.4 : If an improper integral a | f (t) | dt converges then every absolutely convergent improper integral is convergent.

x a f (t)dt

converges i.e.,

Proof : Suppose a | f (t) | dt converges and a f (t)dt exists for all x > a. Since 0 f (x)+ | f (x) | 2 | f (x) |, by comparison test a (f (x)+ | f (x) |)dx converges. This implies that a (f (x)+ | f (x) | | f (x) |)dx converges. The converse of the above theorem is not true (see Problem 2). The following result, known as Dirichlet test, is very useful. Theorem 17.5 : Let f, g : [a, ) R be such that (i) f is decreasing and f (t) 0 as t , (ii) g is continuous and there exists M such that Then a f (t)g(t)dt converges.

x a g(t)dt

We will not present the proof of the above theorem but we will use it. Examples : Integrals

sint t dt

and

cos t t dt b

are convergent.

Improper integrals of the form f (t)dt are dened similarly. We say that f (t)dt c is convergent if both f (t)dt and c f (t)dt are convergent for some element c in R and c f (t)dt = f (t)dt + c f (t)dt. Improper integral of second kind : Suppose function f could be unbounded on (a, b]). If lim the improper integral (of the second kind) Example : The improper integral

1 1 0 tp dt b x f (t)dt b x f (t)dt

xa+ b a f (t)dt

exists for all x such that a < x b (the = M for some M R, then we say that

b a f (t)dt

= M.

Comparison test and limit comparison test for improper integral of the second kind are analogous to those of the rst kind. If an improper integral is a combination of both rst and second kind then one denes the convergence similar to that of the improper integral of the kind f (t)dt,

1 0

1ex xp .

Solution : Let I1 =

0

f (x)dx and I2 =

1

integrals I1 and I2 converge. Now one has to see how the function f (x) behaves in the respective x 1 intervals and apply the LCT. Since lim 1e = 1, by LCT with xp1 , we see that I1 is convergent x

x0

0

1 xp )

i p > 1. Therefore

sin x xp dx 1

1 | sin x| xp dx

Solution : Let 0 < p 1. By Dirichlets Test, the integral converges. We claim that does not converge. Since, | sin x| sin x, we see that

1 cos 2x 2xp dx 2

| sinpx | x

sin2 x xp

By Dirichlets Test,

1

1 2xp

1

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