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1 Double Integrals

The space bounded between a two-variable function f (x, y) and a particular region on

the x-y plane is a three-dimensional object with a certain volume. How do we calculate

the latter? To do this, we first approximate the space using rectangular columns. By

taking infinitely many such infinitesimally thin columns, we finally obtain the required

volume.

1.0

0.8

0.6

y

0.4

0.2

0.0

Figure 1. The base area of rectangular columns used for approximating the required volume (see text).

To see this, let us consider the volume bounded between f (x, y) = 10 and the tri-

angular region below y = x and bounded between 0 and 1 (Figure 1). We know the

exact answer is 1/2 × 1 × 1 × 10 = 5. Without worrying about the exact value, let

us try to approximate the volume by cutting rectangular columns that have 0.1 base

thickness equal and base lengths 0.1, 0.2, . . . , 0.9. Since these rectangular columns all

have the same height, their volume of of each of these rectangular columns is given by

V = Thickness × Vertical Surface Area. This leads to

V2 = 0.1 × (0.8 × 10) = 0.8

···

V9 = 0.1 × (0.1 × 10) = 0.1

The sum is 4.5, which is not too far away. If we imagine cutting columns with finer and

finer thickness, then in the limit,

1

n−1

X 1 i 10 (n − 1)n

lim × × 10 = lim 2 = 5,

n→∞

i=1

n n n→∞ n 2

which is the exact value. Note that if we had cut the columns vertically, we would have

obtained the same answer too.

We can generalise the above example for any general, well-behaved f (x, y) as follows.

Suppose the domain of f (x, y) is defined according to some relation x ≥ g(y), with

a < x < b. The vertical area of a slab with thickness y is given by

Z b

f (x, y)dx.

x=g(y)

Z g −1 (b) Z b

V = f (x, y)dx dy,

g −1 (a) x=g(y)

Z 1Z 1 Z 1 1

y2

V = 10dxdy = 10 (1 − y)dy = 10 y − = 5.

0 y 0 2 0

We can also reverse the order of integration by integrating with respect to y first,

Z 1Z x Z 1

V = 10dydx = 10 ydy = 5.

0 0 0

The reversal of order of integration is a useful trick that can help us complete the inte-

gration process. If you find a particular order of integration tough, try this approach.

EXAMPLE 1. Find Z 1 Z 1

2 +y)

I= √

xe−(x dxdy.

0 y

!

Z Z 1 1

−y 2

I= e √

xe−x dx dy,

0 y

which leads to

" 2

#1

1 1

−e−x 1 1

Z Z

−y

I= e dy = e−y (e−y − e−1 )dy = (1 + e−2 − 2e−1 ).

0 2 √ 2 0 4

y

♣

2

For probability distributions of two continuous random variables f (x, y) over a suit-

able domain, the double integral must be equal to 1, since the volume in this case is

equivalent to the probability measure. For example, consider the case of two indepen-

dent variables X and Y , both having the uniform pdf for 0 < x < 1 and 0 < y < 1. The

joint pdf is given by

f (x, y) = f (x)f (y) = 1,

where the domain is the unit square with the bottom left corner as the origin. We can

easily check that Z 1Z 1

1dydx = 1,

0 0

since geometrically, this is just the volume of a column with unit square base and unit

height. If we want to find the probability that Y < 0.5 − X, then we just need to find

the set of all points (x, y) that satisfy this relation. This is given by the triangular area

below the line y = 0.5 − x, so the probability is just 1/2 × 1/2 × 1/2 × 1 = 1/8. Using

double integrals, we can check that

1/2 1

1/2 1/2

x x2

−x

1 1

Z Z Z

2

1dydx = − x dx = − = .

0 0 0 2 2 2 0 8

lifespan of females of the same species. Assume that X and Y are independent, and that

1 −x/10 1 −y/20

f (x) = 10 e and f (y) = 20 e . For a randomly chosen pair of male and female,

what is the probability that the male will outlive the female?

1 n x y o

f (x, y) = exp − + .

10 · 20 10 20

The domain is the first quadrant. The event of a male outliving a female is defined by

X > Y , which consists of the set of all points (x, y) such that x > y. This means the

required probability is

Z ∞Z x

1 n x y o

P (X > Y ) = exp − + dydx.

0 0 10 · 20 10 20

1

Z ∞ x Z x 1 y

= exp − dx exp − dy

10 0 10 0 20 20

Z ∞

1 x h x i

= exp − 1 − exp(− ) dx

10 0 10 20

1

= .

3

The algebra leading to the final answer has been omitted and is left as an exercise. ♣

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