Integrals Depending On Parameters

Integrals depending on parameters
Dr. Xuan Dieu Bui
School of Applied Mathematics and Informatics,

Hanoi University of Science and Technology
Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 1 / 21

Integrals Depending on a Parameter
1 Definite Integrals Depending on a Parameter

Continuity and taking limits under the integral sign
Differentiation under the Integral Sign
Integration under the Integral Sign
2 Improper Integrals depending on a parameter

Uniform Convergence of Improper Integrals
3 Euler Integral
The Gamma Function
The Beta Function

Definite Integrals Depending on a Parameter
Integrals depending on a parameter


3 Euler Integral
The Gamma Function
The Beta Function

Definite Integrals Depending on a Parameter Continuity and taking limits under the integral sign
Definite Integrals Depending on a Parameter
Definition
Suppose that f (x , y ) is a continuous function defined on [a, b] × [c, d]
Then
Zb
I(y ) = f (x , y )dx (1)
a
is a function defined on [c, d] and is called an integral depending on a

parameter of the function f (x , y ).


If function f (x , y ) is defined and continuous on the rectangle [a, b] × [c, d]
then the integral I(y ) is continuous on [c, d], i.e.,


If function f (x , y ) is defined and continuous on the rectangle [a, b] × [c, d]
then the integral I(y ) is continuous on [c, d], i.e.,
Zb Zb Zb
lim I(y ) = lim f (x , y )dx = lim f (x , y )dx = f (x , y0 )dx = I(y0 ).
y →y0 y →y0 y →y0
a a a
Example
R2
Compute lim x 2 cos xydx .
y →0 0

Definite Integrals Depending on a Parameter Differentiation under the Integral Sign
Leibniz’s Theorem
Suppose that
i) f (x , y ) is continuous on [a, b] × [c, d],
ii) fy′ (x , y ) is continuous on [a, b] × [c, d].
Then the integral I(y ) is differentiable on (c, d) and
 b ′
Z
′
I (y ) =  f (x , y )dx 
a y

Leibniz’s Theorem
Suppose that
i) f (x , y ) is continuous on [a, b] × [c, d],
ii) fy′ (x , y ) is continuous on [a, b] × [c, d].
Then the integral I(y ) is differentiable on (c, d) and
 b ′
Z Zb
′
I (y ) =  f (x , y )dx  = fy′ (x , y )dx .
a y a

Example
Evaluate
R1
a) I (y ) = arctan yx dx .
0
R1
ln x 2 + y 2 dx .

b) J(y ) =
0
Hint:
a) S1. Check the conditions of the Leibniz’ Theorem.
y2
S2. Calculate I ′ (y ) = 12 ln 1+y 2.
y 2
S3. I(y ) = arctan y1 + 21 y ln 1+y 2.
b) S1. Check the conditions of the Leibniz’ Theorem.

S2. Calculate I ′ (y ) = 2 arctan y1 .
S3. I(y ) = ln(1 + y 2 ) − 2 + 2y arctan y1 .
Definite Integrals Depending on a Parameter Integration under the Integral Sign
If f (x , y ) is defined and continuous on the rectangle [a, b] × [c, d], then
Zd
I(y )dy =
c

Definite Integrals Depending on a Parameter Integration under the Integral Sign
If f (x , y ) is defined and continuous on the rectangle [a, b] × [c, d], then
Zd Zd Zb Zb Zd
I(y )dy = dy f (x , y )dx = dx f (x , y )dy .
c c a a c
Example
By integrating under the integral sign, compute the integral
Z1
xb − xa
, (0 < a < b).
ln x
0

Improper Integrals depending on a parameter


3 Euler Integral
The Gamma Function
The Beta Function

Improper Integrals depending on a parameter Uniform Convergence of Improper Integrals

+∞
R
Consider the integral I (y ) = f (x , y )dx , y ∈ [c, d].
a
Definition
We say that the integral I(y ) is
R∞
i) convergent at y0 ∈ [c, d] if f (x , y0 )dx is convergent, i.e.,
a


+∞
R
a
Definition
R∞
a
∀ǫ > 0, ∃b = b(ǫ, y0 ) > a (depending on ǫ and y0 ) such that
Z A Z
∞
I(y0 ) − f (x , y0 )dx = f (x , y0 )dx < ǫ for all A > b.

a A


+∞
R
a
Definition
R∞
a
Z A Z
∞

a A
ii) convergent on [c, d] if I (y ) is convergent at any y ∈ [c, d],


+∞
R
a
Definition
R∞
a
Z A Z
∞

a A

iii) uniformly convergent on [c, d] if


+∞
R
a
Definition
R∞
a
Z A Z
∞

a A

iii) uniformly convergent on [c, d] if ∀ǫ > 0, ∃b = b(ǫ) > a such that
Z ∞

f (x , y )dx < ǫ for all A > b and y ∈ [c, d].
A
Example
R∞
Show that the integral I(y ) = sin(yx )dx is convergent if y = 0 and is
1
divergent if y 6= 0.

Example
R∞
Show that the integral I(y ) = sin(yx )dx is convergent if y = 0 and is
1
divergent if y 6= 0.
Example
+∞
R
a) Evaluate I(y ) = ye −yx dx (y > 0).
0
b) Prove that I(y ) converges to 1 uniformly on [y0 , +∞) for all y0 > 0.
c) Explain why I(y ) is not uniformly convergent on (0, +∞).

Sufficient Conditions for Uniform Convergence
Theorem (Weierstrass Criterion)

If
i) |f (x , y )| 6 g (x ) ∀ (x , y ) ∈ [a, +∞) × [c, d] ,
R +∞
ii) The improper integral a g (x ) dx is convergent,
R +∞
then I (y ) = a f (x , y )dx is uniformly convergent on [c, d].
Example
Prove that
R∞ cos αx
a) I(y ) = x 2 +1
is uniformly convergent on R.
0

Improper Integrals depending on a parameter Continuity and taking limits under the integral sign
Example
!
+∞ +∞

R R
Prove that lim+ ye −yx dx 6= lim+ ye −yx dx
y →0 0 0 y →0

Example
!
+∞ +∞

R R
y →0 0 0 y →0
Theorem (Continuity and taking limits under the integral sign)

If
i) f (x , y ) is continuous on [a, +∞) × [c, d],
R +∞
ii) I (y ) = a f (x , y )dx is uniformly convergent on [c, d],
then I (y ) is continuous on [c, d], i.e.,

Example
!
+∞ +∞

R R
y →0 0 0 y →0
Theorem (Continuity and taking limits under the integral sign)

If
R +∞
ii) I (y ) = a f (x , y )dx is uniformly convergent on [c, d],
then I (y ) is continuous on [c, d], i.e.,
+∞
Z Z +∞ Z +∞
lim I(y ) = lim f (x , y )dx = lim f (x , y )dx = f (x , y0 )dx .
y →y0 y →y0 a y →y0 a
a

Improper Integrals depending on a parameter Differentiation under the Integral Sign
Example
+∞
R e −αx −e −βx
Evaluate x , (α, β > 0).
0

Improper Integrals depending on a parameter Differentiation under the Integral Sign
Example
+∞
0
Theorem (Differentiation under the Integral Sign)

If
i) f (x , y ) and fy′ (x , y ) are continuous on [a, +∞) × [c, d],
+∞
R
ii) I (y ) = f (x , y )dx is convergent on [c, d],
a
+∞
R ′
iii) fy (x , y )dx is uniformly convergent on [c, d],
a
+∞
R ′
then I (y ) is differentiable on [c, d] and I ′ (y ) = fy (x , y ) dx .
a

Improper Integrals depending on a parameter Integration under the Integral Sign
Example
+∞
0

Example
+∞
0
Theorem (Integration under the Integral Sign)

If
R +∞
ii) I (y ) = a f (x , y )dx is uniformly continuous on [c, d],
then I (y ) is integrable on [c, d] and
!
Z d Z d Z +∞ Z +∞ Z d
I (y ) dy := f (x , y ) dx dy = f (x , y ) dy dx .
c c a a c

Integration Techniques
+∞
R
Evaluate I (y ) = f (x , y )dx .
a

+∞
R ′
S1. Evaluate I ′ (y ) by differentiating I ′ (y ) = fy (x , y ) dx .
a
R
S2. Evaluate I (y ) by integrating I (y ) = I ′ (y ) dy + C .
S3. Evaluate I(y0 ) to find C .
Remark: Remember to check the conditions.

Example
Evaluate (a, b, α, β > 0):
2 2
R1 x b −x a R +∞ e −αx −e −βx
a) 0 ln x dx . c) dx .
0 x2
R +∞ e −αx −e −βx
b) 0 x dx . d)
R +∞ dx
.
0 (x 2 +y )n+1
Integration Techniques
R +∞
Evaluate I (y ) = a f (x , y )dx .

Rd
S1. Express f (x , y ) = c F (x , y ) dy .
S2. Change the order of integration: ! !
+∞
R +∞
R Rd Rd +∞
R
f (x , y )dx = F (x , y )dy dx = F (x , y )dx dy .
a a c c a
Remark: Remember to check the conditions.

Example
Evaluate (a, b, α, β > 0)
2 2
R1 x b −x a R +∞e −αx −e −βx
a) 0 ln x dx . c) dx .
0 x2
R +∞ e −αx −e −βx R +∞ −ax sin bx −sin cx
b) 0 x dx . d) 0 e x .

Euler Integral


3 Euler Integral
The Gamma Function
The Beta Function

Euler Integral The Gamma Function
The Gamma Function

+∞
x p−1 e −x dx defined on (0, +∞).
R
Γ (p) =
0
Example

1
Evaluate Γ (1), Γ 2 .
Properties
a) Γ (p + 1) = pΓ (p).

The Gamma Function

+∞
R
Γ (p) =
0
Example

1
Properties
a) Γ (p + 1) = pΓ (p).
If α ∈ (n, n
+ 1], then Γ(α) = (α − 1)(α
 − 2) . . . (α − n)Γ(α − n).
Γ (1) = 1, Γ (n) = (n − 1)!
Specially, √ therefore √
Γ 1 = π Γ n + 1 = (2n−1)!! π.
2 2 2n

The Gamma Function

+∞
R
Γ (p) =
0
Example

1
Properties
a) Γ (p + 1) = pΓ (p).
If α ∈ (n, n
+ 1], then Γ(α) = (α − 1)(α
 − 2) . . . (α − n)Γ(α − n).
Γ (1) = 1, Γ (n) = (n − 1)!
Γ 1 = π Γ n + 1 = (2n−1)!! π.
2 2 2n
b) Derivative Rof the Gamma function:
Γ(k) (p) = 0+∞ x p−1 (ln x )k e −x dx .

The Gamma Function

+∞
R
Γ (p) =
0
Example

1
Properties
a) Γ (p + 1) = pΓ (p).
If α ∈ (n, n
+ 1], then Γ(α) = (α − 1)(α
 − 2) . . . (α − n)Γ(α − n).
Γ (1) = 1, Γ (n) = (n − 1)!
Γ 1 = π Γ n + 1 = (2n−1)!! π.
2 2 2n
b) Derivative Rof the Gamma function:
Γ(k) (p) = 0+∞ x p−1 (ln x )k e −x dx .
c) Γ (p) Γ (1 − p) = π
sin pπ ∀0 < p < 1.

Euler Integral The Beta Function
The Beta Function

q−1
Form 1: B (p, q) = 01 x p−1 (1 − x )
R
dx .
x p−1
Form 2: B (p, q) = 0+∞ (1+x t
R
)p+q
dx (change of variable x = t+1 ).

The Beta Function

q−1
Form 1: B (p, q) = 01 x p−1 (1 − x )
R
dx .
x p−1
Form 2: B (p, q) = 0+∞ (1+x t
R
)p+q
Properties
a) Symmetry: B (p, q) = B (q, p).

The Beta Function

q−1
Form 1: B (p, q) = 01 x p−1 (1 − x )
R
dx .
x p−1
Form 2: B (p, q) = 0+∞ (1+x t
R
)p+q
Properties

B (p, q) = p−1
p+q−1 B (p − 1, q) , if p > 1
b) q−1
B (p, q) = B (p, q − 1) , if q > 1.
p+q−1

The Beta Function

q−1
Form 1: B (p, q) = 01 x p−1 (1 − x )
R
dx .
x p−1
Form 2: B (p, q) = 0+∞ (1+x t
R
)p+q
Properties

B (p, q) = p−1
p+q−1 B (p − 1, q) , if p > 1
b) q−1
B (p, q) = B (p, q − 1) , if q > 1.
p+q−1
(m−1)!(n−1)!
Specially, B (1, 1) = 1 therefore B (m, n) = (m+n−1)! , ∀m, n ∈ N.
Example
π
sinm t cosn tdt as the Beta function.
R 2
Express 0
√ Rπ 1

m+1 n+1

Hint: Let sin t = x to conclude 02 sinm t cosn tdt = 2 B 2 , 2 .

Euler Integral
The Trigonometric Form of the Beta Function

π
R2
B (p, q) = 2 sin2p−1 t cos2q−1 tdt.
0

Euler Integral
The Trigonometric Form of the Beta Function

π
R2
B (p, q) = 2 sin2p−1 t cos2q−1 tdt.
0
Relation between the Gamma and Beta functions

Γ (p) Γ (q)
B (p, q) = .
Γ (p + q)
Example
π R +∞ √
6 4 x
d) dx .
R 2
a) 0 sin x cos xdx . 0 (1+x 2 )2
R a 2n √
b) 0 x a2 − x 2 dx (a > 0) . e)
R +∞ 1
dx .
R +∞ 10 −x 2 0 1+x 3
c) x e dx . R1 1
0 f) 0 n 1−x n dx , n ∈
√ N∗ .

Integrals Depending On Parameters

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Integrals Depending On Parameters

Uploaded by

Copyright:

Available Formats

Integrals depending on parameters

Dr. Xuan Dieu Bui

School of Applied Mathematics and Informatics,

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 1 / 21

1 Definite Integrals Depending on a Parameter

2 Improper Integrals depending on a parameter

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 2 / 21

Integrals depending on a parameter

1 Definite Integrals Depending on a Parameter

2 Improper Integrals depending on a parameter

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 3 / 21

Definite Integrals Depending on a Parameter

is a function defined on [c, d] and is called an integral depending on a

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 4 / 21

Continuity and taking limits under the integral sign

Continuity and taking limits under the integral sign

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 5 / 21

Continuity and taking limits under the integral sign

Continuity and taking limits under the integral sign

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 5 / 21

Differentiation under the Integral Sign

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 6 / 21

Differentiation under the Integral Sign

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 6 / 21

Differentiation under the Integral Sign

b) S1. Check the conditions of the Leibniz’ Theorem.

Integration under the Integral Sign

If f (x , y ) is defined and continuous on the rectangle [a, b] × [c, d], then

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 8 / 21

Integration under the Integral Sign

If f (x , y ) is defined and continuous on the rectangle [a, b] × [c, d], then

By integrating under the integral sign, compute the integral

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 8 / 21

Integrals depending on a parameter

1 Definite Integrals Depending on a Parameter

2 Improper Integrals depending on a parameter

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 9 / 21

Improper Integrals depending on a parameter

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 10 / 21

Improper Integrals depending on a parameter

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 10 / 21

Improper Integrals depending on a parameter

ii) convergent on [c, d] if I (y ) is convergent at any y ∈ [c, d],

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 10 / 21

Improper Integrals depending on a parameter

ii) convergent on [c, d] if I (y ) is convergent at any y ∈ [c, d],

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 10 / 21

Improper Integrals depending on a parameter

ii) convergent on [c, d] if I (y ) is convergent at any y ∈ [c, d],

Improper Integrals depending on a parameter

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 11 / 21

Improper Integrals depending on a parameter

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 11 / 21

Sufficient Conditions for Uniform Convergence

Theorem (Weierstrass Criterion)

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 12 / 21

Continuity and taking limits under the integral sign

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 13 / 21

Continuity and taking limits under the integral sign

Theorem (Continuity and taking limits under the integral sign)

Dr. Xuan Dieu Bui Integrals depending on parameters I ♥ HUST 13 / 21

Continuity and taking limits under the integral sign

Theorem (Continuity and taking limits under the integral sign)