4

Improper Integrals

In Chapter 3, we defined definite integral of a function f for the case when f is a

bounded function defined on a closed interval [a, b]. can we still have a notion of
integral even when the above assumptions on f and the domain of integration are
not satisfied? We consider a notion of integral, called improper integral, in a few
cases.

4.1 Definitions
4.1.1 Integrals over infinite intervals

First we consider integrals of functions defined over infinite integrals of the form
[a, ∞), (−∞, b] and (−∞, ∞). Recall that Rieman integral was defined over intervals
of the form [a, b].

Definition 4.1 (i) Suppose f is defined on [a, ∞) and integrable on [a, t] for all
Z t
t > a. If lim f (x) dx exists, then we define the improper integral of f over
t→∞ a
[a, ∞) as
Z ∞ Z t
f (x) dx := lim f (x) dx.
a t→∞ a

(ii) Suppose f is defined on (−∞, b] and integrable on [t, b] for all t < b. If
Z b
lim f (x) dx exists, then we define the improper integral of f over (−∞, b]
t→−∞ t
as Z b Z b
f (x) dx = lim f (x) dx.
−∞ t→−∞ t

(iii) Suppose f is defined on R := (−∞,Z c∞) and integrable

Z ∞on [a, b] for every
closed and bounded interval [a, b] ⊆ R. If f (x) dx and f (x) dx exist for
−∞ c
some c ∈ R, then we define the improper integral of f over (−∞, ∞) as
Z ∞ Z c Z ∞
f (x) dx = f (x) dx + f (x) dx.
−∞ −∞ c

135
136 Improper Integrals M.T. Nair

In Definition 4.1, the following results is used without mentioning:

• Suppose f is defined on (−∞, ∞) and integrable on [a, b] for Revery closed and
Rc ∞
bounded interval [a, b] ⊆ R. If the integrals −∞ f (x) dx and c f (x) dx exist
for some c ∈ R, then they exist for every c ∈ R, and
Z c Z ∞ Z a Z ∞
f (x) dx + f (x) dx = f (x) dx + f (x) dx.
−∞ c −∞ a

for every a ∈ R.

Exercise 4.1 Prove the above result. J

Rt
Remark 4.1 We may observe that the existence of limt→∞ −t f (x) dx does not,
R∞
in general, imply the existence of −∞ f (x) dx. To see this, consider the function
f : R → R defined by
f (x) = x, x ∈ R.
Rt Rc
Then we have −t f (x) dx = 0 for every t ∈ R, but the integrals −∞ f (x) dx and
R∞
c f (x) dx do not exist for any c ∈ R. 

Next we consider integrals of functions defined over infinite integrals of the form
(a, ∞) and (−∞, b).
R∞
Definition 4.2Z ∞ (i) Suppose f is defined on (a, ∞) and t f (x)dx exists for all

t > a. If lim f (x) dx exists, then we define the improper integral of f over
t→a t
(a, ∞) as
Z ∞ Z ∞
f (x) dx := lim f (x) dx.
a t→a t

Rt
(ii) Suppose f is defined on (−∞, b) and −∞ f (x)dx exists for all t < b. If
Z t
lim f (x) dx exists, then we define the improper integral of f over (−∞, b)
t→b −∞
as Z ∞ Z t
f (x) dx := lim f (x) dx.
a t→b −∞


Remark 4.2 In the case of (a, ∞), the function may not be defined at the point
a or may be unbounded on (a, a + δ) for some δ > 0 so that we cannot talk about
the Riemann integral over [a, a + δ] for δ > 0. Analogous remark holds for functions
defined on (−∞, b). 
 Definitions 137

4.1.2 Improper integrals over finite intervals

Now we consider the case when f is defined on a interval J of finite length, but
either the function is not defined at any one of the end points or the function is not
bounded on J.
Z b
Definition 4.3 (i) Suppose f is defined on (a, b]. If f (x) dx exists for every
Z b t

t ∈ (a, b), and if lim f (x) dx exists, then we define the improper integral of f
t→a t
over (a, b] as
Z b Z b
f (x) dx = lim f (x) dx.
a t→a t

Z t
(ii) Suppose f is defined on [a, b). If f (x) dx exists for every t ∈ (a, b), and
Z t a

if lim f (x) dx exists, then we define the improper integral of f over [a, b) as
t→b a

Z b Z t
f (x) dx = lim f (x) dx.
a t→b a

Z c Z b
(iii) Suppose f is defined on [a, c) and (c, b]. If f (x) dx and f (x) dx exist,
a c
then we define the improper integral of f over [a, b] as

Z b Z c Z b
f (x) dx = f (x) dx + f (x) dx.
a a c


Remark 4.3 In the case of improper integrals over (a, b], the function may not be
defined at the point a or may be unbounded on (a, a + δ) for some δ > 0 so that we
cannot talk about the Riemann integral over [a, a+δ] for δ > 0. Analogous statement
holds for case of improper integrals over [a, b). In the case of improper integrals over
[a, b], the function may not be defined at the point c or may be unbounded on [a, c)
and (c, b] for some δ > 0 so that we cannot have the Riemann integral over [a, b]. 

Definition 4.4 If improper integral of a function f over an interval J (of finite

or infinite length) exists, then we say that the the improper integral exists or
improper integral converges; otherwise we say that the improper integral
does not exist or improper integral diverges. 
138 Improper Integrals M.T. Nair

4.1.3 Typical examples

Z ∞
1
Example 4.1 Consider the improper integral dx. Note that
1 x
Z t
1
dx = [ln x]t1 = ln t → ∞ as t → ∞.
1 x
R∞ 1
Hence, 1 x dx diverges. 
Z ∞
1
Example 4.2 Consider the improper integral dx Note that
1 x2
Z t  t
1 1 1
2
dx = − =1− →1 as t → ∞.
1 x x 1 t
R∞ 1
Hence, 1 x2
dx converges. 
Z ∞
1
Example 4.3 For p 6= 1, consider the improper integral dx. In this case,
1 xp
we have t
t
x−p+1 t−p+1 − 1
Z 
1
dx = = .
1 xp −p + 1 1 −p + 1
Note that,
t−p+1 − 1 1
p>1 =⇒ → as t → ∞,
−p + 1 p−1
and
t−p+1 − 1
p<1 =⇒ → ∞ as t → ∞,
−p + 1
The above observations combined with Example 4.1 show that
Z ∞ 
1 converges for p > 1,
dx
1 xp diverges for p ≤ 1.


Z 1
1
Example 4.4 (i) We consider the improper integral dx: Note that for 0 <
0 x
δ < 1,
Z 1
1 1
dx = [log x]1δ = log 1 − log δ = − log δ = log → ∞ as δ → 0.
δ x δ
Thus, the integral diverges.
Z 1
1
(ii) For p 6= 1, consider the improper integral dx. In this case, we have
0 xp
 −p+1 1
1
1 − δ −p+1
Z
1 x
dx = = .
δ xp −p + 1 δ −p + 1
 Integrability by Comparison 139

Note that,
δ −p+1 − 1
p>1 =⇒ → ∞ as δ → 0,
−p + 1
and
δ −p+1 − 1 1
p<1 =⇒ → as δ → 0.
−p + 1 1−p
The above observations combined with (i) above give
Z 1 
1 converges for p < 1,
dx
0 xp diverges for p ≥ 1.


Rb dx
Example 4.5 Let a < b and α < 1. Then a (b−x)α converges:
We observe that for a < t < b,
Z t Z b−a
dx du
= .
a (b − x)α b−t uα

Now,
Z t Z b−a
dx du
lim exists ⇐⇒ lim exists
t→b a (b − x)α t→b b−t uα
Z b−a
du
⇐⇒ lim exists
ε→0 ε uα
⇐⇒ α < 1.


Rt
Exercise 4.2 Suppose f ≥ 0 on [a, b) and the integral a f (x)dx exists for every
Rb
t ∈ [a, b). If lim (b − x)α f (x) converges for some α < 1, then show that a f (x)dx
x→b
also converges.
[Hint: Observe that for any ε > 0, there exists x0 ∈ [a, b) such that the number
β+ε
β := limx→b (b − x)α f (x) satisfies 0 ≤ f (x) ≤ (b−x) α for all x ∈ [x0 , b).]

4.2 Integrability by Comparison

We state a result which will be useful in asserting the existence of certain improper
integral by comparing it with certain other improper integral.
Suppose J is either an interval of finite or infinite length. Suppose f is defined
on J, except possibly at a finite number of point in J. We denote the improper
integral of f over J by Z
f (x) dx.
J
140 Improper Integrals M.T. Nair

R
We say that the improper integral J f (x) dx converges whenever it exists, and
diverges if it does not exist.
For example, if J = [a, b], then f may not be defined at a or at b or at some
point c ∈ (a, b), and the corresponding improper integrals, by definition, are
Z b Z t Z t Z b
lim f (x) dx, lim f (x) dx, lim f (x) dx + lim f (x) dx
t→a t t→b a t→c− a t→c+ t

respectively.
Theorem 4.1 Suppose f and g are defined on J.
R R
(i) If 0 ≤ f (x) ≤ g(x) for all x ∈ J, and J g(x) dx exists, then J f (x) dx
exists.
R R
(ii) If J |f (x)| dx exists, then J f (x) dx exists.

Example 4.6 Since  

 sin x  1  cos x  1
 xp  ≤ xp ,  p ≤ p
   
x x
it follows from Example 4.3 and Theorem 4.1(ii) that the improper integrals
Z ∞ Z ∞
sin x cos x
p
dx and dx
1 x 1 xp
converge for all p > 1. 
R∞ x R∞
In fact 1 sin xp dx and 1
cos x
xp dx converge for all p > 0 as we see in the next
example.

Example 4.7 Let p > 0. Then for t > 0,

Z t  t Z t
sin x 1 1
p
dx = p
(− cos x) − p p+1
cos x dx
1 x x 1 1 x
  Z t
cos t cos x
= cos 1 − p − p p+1
dx.
t 1 x
Z ∞
cos x cos t
By the result in Example 4.6, dx converges for all p > 0. Also, tp →
1 xp+1
0 as t → ∞. Hence,
Z ∞
sin x
dx converges for all p > 0.
1 xp
Similarly, we see that
Z ∞
cos x
dx converges for all p > 0.
1 xp

 Integrability Using Limits 141

Example 4.8 Since

   
 sin x   sin x  1 1  cos x  1
 xp   x  xp−1 ≤ xp−1 ,  p ≤ p
 =   
x x
it follows from Example 4.4 above and Theorem 4.1(ii)that
Z 1
sin x
dx converges for all p < 2,
0 xp
Z 1
cos x
dx converges for all p < 1.
0 xp


Example 4.9 Observe that

sin x sin x 1 sin 1
p
= p−1
≥ p−1 ∀x ∈ (0, 1].
x x x x
R1 1
Since 0 xp−1 dx diverges for p − 1 ≥ 1, i.e., for p ≥ 2, it follows that
Z 1
sin x
dx diverges for all p ≥ 2,
0 xp


Example 4.10 From Examples 4.8, 4.9, 4.7,

Z ∞
sin x
dx converges for 0 < p < 2.
0 xp


4.3 Integrability Using Limits

Now some more results which facilitate the assertion of convergence/divergence of
improper integrals, whose proofs follow from the definition of limits.
Rb
Theorem 4.2 Suppose f (x) ≥ 0, g(x) ≥ 0 for all x ∈ [a, ∞), a f (x)dx and
Rb f (x)
a g(x)dx exists for every b > a. Suppose further that g(x) → ` as x → ∞ for some
` ≥ 0.
R∞ R∞
(i) If ` 6= 0, then a f (x)dx converges ⇐⇒ a g(x)dx converges.
R∞ R∞
(ii) If ` = 0, then a g(x)dx converges =⇒ a f (x)dx converges.
f (x)
Further, if → ∞ as x → ∞, then
g(x)
Z ∞ Z ∞
g(x)dx converges =⇒ f (x)dx converges.
a a
142 Improper Integrals M.T. Nair

f (x)
Proof. Suppose further that → ` as x → ∞ for some ` ≥ 0.
g(x)
(i) Suppose ` 6= 0. Then ` > 0, and for ε > 0 with ` − ε > 0, there exists x0 ≥ a
such that
f (x)
`−ε< < ` + ε ∀ x ≥ x0 .
g(x)
Hence
(` − ε)g(x) < f (x) < (` + ε)g(x) ∀ x ≥ x0 .
R∞ R∞ Rx
Consequently, x0 f (x)dx converges iff x0 g(x)dx converges. As a 0 f (x)dx and
R x0
a g(x)dx exist, the result in (i) follows.

(ii) Suppose ` = 0. Then for ε > 0, there exists x0 ≥ a such that

f (x)
< ε ∀ x ≥ x0 .
g(x)
R∞
Thus, f (x) < εg(x) for all x ≥ x0 . Hence, convergence of x0 g(x)dx implies the
R∞
convergence of x0 f (x)dx. From this the result in (ii) follows.
f (x)
Next, suppose further that → ∞ as x → ∞. Then for M > 0, there exists
g(x)
x0 ≥ a such that
f (x)
0≤ ≤M ∀ x ≥ x0 .
g(x)
Hence
0 ≤ f (x) ≤ M g(x) ∀ x ≥ x0 .
R∞ R∞ Rx
Consequently, x0 g(x)dx converges implies x0 f (x)dx converges. As a 0 f (x)dx
Rx
and a 0 g(x)dx exist, the proof is over.
Exercise 4.3 Suppose f and g are non-negative continuous functions on J. Then
Z b Z b
f (x)dx exists ⇐⇒ g(x)dx exists
a a
in the following cases:

f (x)
1. J = (a, b] and lim = ` and ` > 0.
x→a g(x)

f (x)
2. J = [a, b) and lim = ` and ` > 0.
x→b g(x)
f (x)
3. J = [a, ∞) and lim = ` and ` > 0.
x→∞ g(x)

f (x)
4. J = (−∞, b] and lim = ` and ` > 0.
x→−∞ g(x)
Z b Z b
In 1-4 above, if ` = 0, then g(x)dx exists =⇒ g(x)dx exists . J
a a
 Gamma and Beta Functions 143

4.4 Gamma and Beta Functions

Gamma and Beta Functions are certain improper integrals which appear in many
applications.
Gamma function
We show that for x > 0, the improper integral
Z ∞
Γ(x) := tx−1 e−t dt
0

converges. The function Γ(x), x > 0, is called the gamma function.

R1
Note that for tx−1 e−t ≤ tx−1 for all t > 0, and 0 tx−1 dt converges for x > 0.
Hence, by Theorem 4.1,
Z 1
tx−1 e−t dt converges for x > 0.
0

tx−1 e−t R ∞ −2
Also, we observe that → 0 as t → ∞, and 1 t dt converges. Hence, by
R ∞ x−1 −tt−2
Theorem 4.2, 1 t e dt converges. Thus,
Z ∞ Z 1 Z ∞
x−1 −t x−1 −t
Γ(x) := t e dt = t e dt + tx−1 e−t dt
0 0 1

converges for every x > 0.

Beta function
We show that for x > 0, y > 0, the improper integral
Z 1
β(x, y) := tx−1 (1 − t)y−1 dt
0

converges. The function β(x, y) for x > 0, y > 0 is called the beta function.
Clearly, the above integral is proper for x ≥ 1, y ≥ 1. Hence it is enough to
consider the case of 0 < x < 1, 0 < y < 1. In this case both the points t = 0 and
t = 1 are problematic. hence, we consider the integrals
Z 1/2 Z 1
tx−1 (1 − t)y−1 dt, tx−1 (1 − t)y−1 dt.
0 1/2

We note that if 0 < t ≤ 1/2, then (1−t)y−1 ≤ 21−y so that tx−1 (1−t)y−1 ≤ 21−y tx−1 .
R 1/2 R 1/2
Since 0 tx−1 dt converges it follows that 0 tx−1 (1 − t)y−1 dt converges. To deal
with the second integral, consider the change of variable u = 1 − t. Then
Z 1 Z 1/2
tx−1 (1 − t)y−1 dt = uy−1 (1 − u)x−1 du
1/2 0
144 Improper Integrals M.T. Nair

which converges by the above argument. Hence,

Z 1
β(x, y) := tx−1 (1 − t)1−y dt, x > 0, y > 0
0

converges for every x > 0, y > 0.

4.5 Additional Exercises

Z ∞  
1
1. Does sin dx converge?
1 x2
[ Hint: Note that sin x12  ≤ x12 .]



Z ∞
cos x
2. Does dx converge?
2 x(log x)2
 
 cos x 
[Hint: Observe  x(log 2
x) 
≤ x(log1 x)2 and use the change of variable t = log x.]

∞
sin2 x
Z
3. Does dx converge?
0 x2
2 sin2 x
[Hint: Observe sinx2 x ≤ x12 for x ≥ 1 and x2
, 0 < x ≤ 1 has a continuous
extension on [0, 1].]
Z 1
sin x
4. Does dx converge?
0 x2
[Hint: Observe sin x
= sinx x x1 ≥ sin1 1 .]



x2
Z ∞ Z b
5. Does f (x)dx exists implies f (x)dx → 0 as a, b → ∞.
a0 a
Rb Rb Ra
[Hint: Note that a f (x)dx = a0 f (x)dx − a0 f (x)dx → 0 as a, b → ∞.]
Z ∞
2
6. Does e−x dx converge?
0
2 2
[Hint: Note that e−x is continuous on [0, 1], and e−x ≤ 1
x2
for 1 ≤ x ≤ ∞.]
Z ∞
sin(log x)
7. Does dx converge?
2 x
R∞
[Hint: Use the change of variable t = log x, and the fact that log 2 sin t dt
diverges.]
Z 1
8. Does ln xdx converge?
0
[Hint: Use the change of variable t = log x.]