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A Course in Analysis Volume II Differentiation and Integration of Functions of Several Variables Vector Calculus 1st Edition Niels Jacob
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A Course in
Analysis
Vol. II
Differentiation and integration of
Functions of Several Variables, Vector Calculus
A Course in Analysis
Vol. I
Part 1 Introductory Calculus
Part 2 Analysis of Functions of One Real Variable
Vol. II
Part 3 Differentiation of Functions of Several Variables
Part 4 Integration of Functions of Several Variables
Part 5 Vector Calculus
Vol. III
Part 6 Measure and Integration Theory
Part 7 Complex-valued Functions of a Complex Variable
Part 8 Fourier Analysis
Vol. IV
Part 9 Ordinary Differential Equations
Part 10 Partial Differential Equations
Part 11 Calculus of Variations
Vol. V
Part 12 Functional Analysis
Part 13 Operator Theory
Part 14 Theory of Distributions
Vol. VI
Part 15 Differential Geometry of Curves and Surfaces
Part 16 Differentiable Manifolds and Riemannian Geometry
Part 17 Lie Groups
Vol. VII
Part 18 History of Analysis
A Course in
Analysis
Vol. II
Differentiation and Integration of
Functions of Several Variables, Vector Calculus
Niels Jacob
Kristian P Evans
Swansea University, UK
Published by
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,
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ISBN 978-981-3140-95-0
ISBN 978-981-3140-96-7 (pbk)
Printed in Singapore
Preface
A detailed description of the content of Volume II of our Course in Analysis will
be provided in the introduction. Here we would like to take the opportunity to
thank those who have supported us in writing this volume. We owe a debt of
gratitude to James Harris who has typewritten a major part of the manuscript.
Thanks for typewriting further parts are expressed to Huw Fry and Yelena
Liskevich who also provided a lot of additional support. Lewis Bray, James
Harris and Elian Rhind did a lot of proofreading for which we are grateful. We
also want to thank the Department of Mathematics, the College of Science and
Swansea University for providing us with funding for typewriting.
Finally we want to thank our publisher, in particular Tan Rok Ting and Ng Qi
Wen, for a pleasant collaboration.
Niels Jacob
Kristian P. Evans
Swansea, January 2016
Introduction
This is the second volume of our Course in Analysis and it is designed for
second year students or above. In the first volume, in particular in Part 1, the
transition from school to university determined the style and approach to the
material, for example by introducing abstract concepts slowly or by giving very
detailed (elementary) calculations. Now we use an approach that is suitable for
students who are more used to the university style of doing mathematics. As we
go through the volumes our intention is to guide and develop students to nurture
a more professional and rigorous approach to mathematics. We will still take
care with motivations (some lengthy) when introducing new concepts, exploring
new notions by examples and their limitations by counter examples. However
some routine calculations are taken for granted as is the willingness to “fight”
through more abstract concepts.
In addition we start to change the way we use references and students should
pick up on this. Calculus and analysis in one dimension is so widely taught that
it is difficult to trace back in textbooks the origin of how we present and prove
results nowadays. Some comments about this were made in Volume I. The more
advanced the material becomes, the more appropriate it becomes to point out in
more detail the existing literature and our own sources. Still we are in a territory
where a lot of material is customary and covered by “standard approaches”.
However in some cases authors may claim more originality and students should
know about the existing literature and give it fair credit - as authors of books are
obliged to do. We hope that the more experienced reader will consider our
referencing as being fair, please see further details below.
The goal of this volume is to extend analysis for real-valued functions of one
real variable to mappings from domains in m to n, i.e to vector-valued
mappings of several variables. At a first glance we need to address three wider
fields: convergence and continuity; linear approximation and differentiability;
and integration. As it turns out, to follow this programme, we need to learn in
addition much more about geometry. Some of the geometry is related to
topological notions, e.g. does a set have several components? Does a set have
“holes”? What is the boundary of a set? Other geometric notions will be related
to the vector space structure of n, e.g. quadratic forms, orthogonality,
convexity, some types of symmetries, say rotationally invariant functions. But
we also need a proper understanding of elementary differential geometric
concepts such as parametric curves and surfaces (and later on manifolds and sub-
manifolds). Therefore we have included a fair amount of geometry in our treatise
starting with this volume.
The situation where we introduce integrals is more difficult. The problem is to
define a volume or an area for certain subsets in G ⊂ n. Once this is done for a
reasonably large class of subsets a construction of the integral along the lines of
the one-dimensional case is possible. It turns out that Lebesgue’s theory of
measure and integration is much better suited to this and we will develop this
theory in the next volume. Our approach to volume (and surface) integrals
following Riemann’s ideas (as transformed by Darboux) is only a first,
incomplete attempt to solve the integration problem. However it is essentially
sufficient to solve concrete problems in analysis, geometry as well as in
mathematical physics or mechanics.
Let us now discuss the content of this volume in more detail. In the first four
chapters we cover convergence and continuity. Although our main interest is in
handling mappings f : G → n, G ⊂ m, in order to be prepared for dealing with
convergence of sequences of functions, continuity of linear operators, etc., we
discuss convergence and continuity in metric spaces as we introduce the basic
concepts of point set topology. However we also spend time on normed spaces.
We then turn to continuous mappings and study their basic properties in the
context of metric and topological spaces. Eventually we consider mappings f : G
→ n and for this we investigate some topological properties of subsets of n. In
particular we discuss the notion of compactness and its consequences. The main
theoretical concepts are developed along the lines of N. Bourbaki, i.e. J.
Dieudonné [10], however when working in the more concrete Euclidean context
we used several different sources, in particular for dealing with connectivity we
preferred the approach of M. Heins [24]. A general reference is also [9]
Differentiability is the topic in Chapter 5 and Chapter 6. First we discuss partial
derivatives of functions f : G → , G ⊂ n, and then the differential of mappings
f : G → n, G ⊂ m. These chapters must be viewed as “standard” and our
approach does not differ from any of the approaches known to us. Once
differentiability is established we turn to applications and here geometry is
needed. An appropriate name for Chapter 7 and Chapter 8 would be G. Monge’s
classical one: “Applications of Analysis to Geometry”. We deal with parametric
curves in n, with some more details in the case n = 3, and we have a first look
at parametric surfaces in 3. In addition to having interesting and important
applications of differential calculus we prepare our discussion of the integral
theorems of vector calculus where we have to consider boundaries of sets either
as parametric curves or as parametric surfaces. These two chapters benefit
greatly from M. DoCarmo’s textbook [11].
In Chapter 9 to Chapter 11 we extend the differential calculus for functions of
several variables as we give more applications, many of them going back to the
times of J. d’Alembert, L. Euler and the Bernoulli family. Key phrases are Taylor
formula, local extreme values under constraints (Lagrange multipliers) or
envelopes. However note that Taylor series or more generally power series for
functions of several variables are much more difficult to handle due to the
structure of convergence domains and we postpone this until we discuss
complex-valued functions of complex variables (in Volume III). Of a more
theoretical nature, but with a lot of applications, is the implicit function theorem
and its consequence, the inverse mapping theorem. In general in these chapters
we follow different sources and merge them together. In particular, since some of
the classical books include nice applications, however in their theoretical parts
they are now outdated, some effort is needed to obtain a coherent view. The
book of O. Forster [19] was quite helpful in treating the implicit function
theorem. In Chapter 12 curvilinear coordinates are addressed - a topic which is
all too often neglected nowadays. However, when dealing with problems that
have symmetry, for example in mathematical physics, curvilinear coordinates are
essential. In our understanding, they also form a part of classical differential
geometry, as can be already learned from G. Lamé’s classical treatise.
Almost every book about differential calculus in several variables discusses
convexity, e.g. convex sets which are useful when dealing with the mean value
theorem, or convex functions when handling local extreme values. We have
decided to treat convex sets and functions in much more detail than what other
authors do by including more on the geometry of convex sets (for example
separating hyperplanes) where S. Hildebrandt’s treatise [26] was quite helpful.
We further do this by discussing extreme points (Minkowski’s theorem) and its
applications to extreme values of convex functions on compact convex sets. We
also look at a characterisation of differentiable convex functions by variational
inequalities as do we discuss the Legendre transform (conjugate functions) of
convex functions and metric projections onto convex sets. All of this can be
done in n at this stage of our Course and it will be helpful in other parts such as
the calculus of variations, functional analysis and differential geometry. Most of
all, these are beautiful results.
After introducing continuity or differentiability (or integrability) we can consider
vector spaces of functions having these (and some additional) properties. For
example we may look at the space C(K) of all continuous functions defined on a
compact set K ⊂ n, which is equipped with the norm ǁgǁ∞ := supx∈K|g(x)| a
Banach space. Already in classical analysis the question whether an arbitrary
continuous function can be approximated by simpler functions such as
polynomials or trigonometrical functions was discussed. It was also discussed
whether a uniformly bounded sequence of continuous functions always has a
uniformly convergent subsequence. We can now interpret the first question as
the problem to find a “nice” dense subset in the Banach space C(K) whereas the
second problem can be seen as to find or characterise (pre-) compact sets in
C(K). We deliberately put these problems into the context of Banach spaces, i.e.
we treat the problems as problems in functional analysis. We prove the general
Stone-Weierstrass theorem, partly by a detour, by first proving Korovkin’s
approximatiuon theorem, and we prove the Arzela-Ascoli theorem. We strongly
believe at this stage of the Course that students should start to understand the
benefit of reformulating concrete classical problems as problems of functional
analysis.
The final chapter of Part 3 deals with line integrals. We locate line integrals in
Part 3 and not Part 4 since eventually they are reduced to integrals of functions
defined on an interval and not on a domain in n, n > 1. We discuss the basic
definition, the problem of rectifying curves and we start to examine the
integrability conditions.
As already indicated, defining an integral in the sense of Riemann for a bounded
function f : G → , G ⊂ compact, is not as straightforward as it seems. In
Chapter 16 we give more details about the problems and we indicate our strategy
to overcome these difficulties. A first step is to look at iterated integrals for
functions defined on a hyper-rectangle (which we assume to be axes parallel)
and this is done in the natural frame of parameter dependent integrals. In the
following chapter we introduce and investigate Riemann integrals (volume
integrals) for functions defined on hyper-rectangles. This can be done rather
closely along the lines we followed in the one-dimensional case. Identifying
volume integrals with iterated integrals allows us to reduce the actual integration
problem to one-dimensional integrals.
Integrating functions on sets G other than hyper-rectangles is much more
difficult. The main point is that we do not know what the volume of a set in n
is, hence Riemann sums are difficult to introduce. Even the definition of an
integral for step functions causes a problem. It turns out that the boundary ∂G
determines whether we can define, say for a bounded continuous function f : G
→ an integral. This leads to a rather detailed study of boundaries and their
“content” or “measure”. Basically it is the intertwining of the topological notion
“boundary” with the (hidden) measure theoretical notion “set of measure zero”
which causes difficulties. We devote Chapter 19 to these problems and once we
end up with the concept of (bounded) Jordan measurable sets, we can construct
integrals for bounded (continuous) functions defined on bounded Jordan
measurable sets. In our presentation of this part we combine parts of the
approaches of [20], [25] and [26].
In order to evaluate volume integrals we need further tools, in particular the
transformation theorem. Within the Riemann context this theorem is notoriously
difficult and lengthy to prove which is essentially due to the problems mentioned
above, i.e. the mixture of topological and measure theoretical notions. In the
context of Lebesgue’s theory of integration the transformation theorem admits a
much more transparent proof, we also refer to our remarks in Chapter 21. For
this reason we do not provide a proof here but we clearly state the result and give
many applications. Eventually we return to improper and parameter dependent
integrals, but now in the context of volume integrals. Many of these
considerations will become of central importance when investigating partial
differential equations.
The final part of this volume is devoted to vector calculus in 2, but most of all
in 3. A pure mathematician’s point of view could be to first introduce manifolds
including E. Cartan’s exterior calculus, then to introduce integrals for k-forms
over m-dimensional sub-manifolds of n-dimensional manifolds, and then to
eventually prove the general Stokes’ theorem. By specialising we can now derive
the classical theorems of Gauss, Green and Stokes. This programme neither
takes the historical development into account nor is it suitable for second year
students. Thus we decided on a more classical approach. Chapter 23 gives in
some sense a separate introduction to Part 5, hence we can be more brief here.
In Chapter 24 we discuss the problem of how to define the area of a parametric
surface and then we turn to surface integrals for scalar-valued functions as well
as for vector fields. With line and surface integrals at our disposal we can prove
Gauss’ theorem (in 3 and later on in n), Stokes’ theorem in 3 and Green’s
theorem in the plane. One part of our investigations is devoted to the question of
in what type of domain can we prove these theorems? Another part deals with
applications. Our aim is to give students who are interested in applied
mathematics, mathematical physics or mechanics the tools (and the ideas of the
mathematical background) needed to solve such problems. Only in Volume VI
will we provide a rigorous proof of the general Stokes’ theorem.
As in Volume I we have provided solutions to all problems (ca. 275) and since
we depend on a lot of results from linear algebra we have collected these results
in an appendix. Since many of our considerations are geometry related, the text
contains a substantial number of figures (ca. 150). All of these figures were done
by the second named author using LaTex. Finally a remark about referring to
Volume I. When referring to a theorem, a lemma, a definition, etc. in Volume I
we write, for example, Theorem I.25.9 etc., and when referring to a formula we
write, for example, (I.25.10) etc.
As in Volume I, problems marked with a * are more challenging.
Contents
Preface
Introduction
List of Symbols
Appendices
References
Subject Index
List of Symbols
In general, symbols already introduced in Volume I are not listed here and we
refer to the List of Symbols in Volume I.
tangent vector
normal vector
lγ length of a curve
γ1 ⊕ γ2 sum of two curves
epi(f) epi-graph of f
conv(A) convex hull of A
ext(K) set of extreme points of K
voln(G) n dimensional volume of G
J(n)(G) Jordan content of G
mesh(Z) mesh size or width of the partition Z
∫* lower integral
∫* upper integral
∫γ ψ · dp line integral of a function
∫γ Xp · dp line integral of a vector field
∫S ψ · dp surface integral of a function
∫S A · dp surface integral of a vector field
VZ(γ) Z-variation of a curve
V(γ) total variation of a curve
(X; ) vector space of all bounded functions f : X →
C([a, b]) continuous functions on [a, b]
Ck([a, b]) k times continuously differentiable functions on [a, b]
C(X) continuous functions on X
Cb(X) space of bounded functions on the metric space X
C0(X) space of all continuous functions with compact support
Ck(G) k-times continuously differentiable functions on G
Suppose that for each pair (x, y) of points x, y belonging to a set X we can define
a distance d(x, y) such that d satisfies (a’) - (c’). It is natural to ask the following
question: can we transfer our theory of limits established in to X using the
distance d? The answer to this question is yes and it leads to the theory of metric
spaces.
Definition 1.1. Let ≠ X be a set. A metric (or distance or distance function) on
X is a mapping d : X × X → such that the following properties
(i) d(x, y) ≥ 0 and d(x, y) = 0 if and only if x = y;
(ii) d(x, y) = d(y, x);
(iii) d(x, y) ≤ d(x, z) + d(z, y),
hold for all x, y, z ∈ X. The pair (X, d) is called a metric space.
Remark 1.2. A. It is possible to replace in Definition 1.1 condition (i) by the
second part of (i) : d(x, y) = 0 if and only if x = y. Indeed, for x, y ∈ X we find
implying d(x, y) ≥ 0.
B. Of course (ii) is a symmetry condition and we will again call (iii) the triangle
inequality.
Then (Y, dY) is again a metric space. The proof is obvious, the interpretation is
that if we can define the distance for every pair of points in X, we can of course
restrict this distance to subsets and the restriction defines a distance on this
subset.
C. On every ≠ X we can define a metric by
and (X, d) is a metric space. Indeed, (i) is trivial by the definition as is (ii). In
order to see (iii), i.e. the triangle inequality, note that for x ≠ y we find
Thus on every non-empty set we can introduce at least one metric, which
however is not very interesting. But it is worth to note a corollary of this fact: on
a given set we may have several metrics.
D. We want to return to X = and add a class of examples which later on will
turn out to be quite useful. Let φ : → + be an even function such that φ(x) = 0
if and only if x = 0. Further we assume that φ is sub-additive, i.e. for all x, y ∈
we have
If we define
or
or
as well as
or
We already know the notion of a norm on a vector space (over ), see Definition
I.23.12. We recall the definition and prove that every norm induces a metric.
Definition 1.5. Let V be a vector space over or . A norm ǁ.ǁ on V is a
mapping
a metric is defined on V.
Proof. Obviously we have ǁx − yǁ = d(x, y) ≥ 0 and 0 = d(x, y) = ǁx − yǁ if and
only if x = y. Moreover we find
B. On n we define
Note that
In addition we have
since
In Problem 6 we will prove that for p, q ≥ 1 there exists constants cp, q > 0 and
Cp, q > 0 such that
holds for all x ∈ n. Combining (1.15) with (1.12) or (1.14) we see that (1.15)
holds for all 1 ≤ p, q ≤ ∞.
Example 1.9. (Compare with Lemma I.24.5) Let X ≠ be a set and b(X; )
the vector space of all bounded real-valued functions on X, i.e. f ∈ b(X; ) if f
: X → and |f(x)| ≤ Mf < ∞ for all x ∈ X. On b(X; ) we have the norm
In Problem 9 we will see that on every real vector space a positive definite
symmetric bilinear form will induce a norm. We want to combine the metrics
considered in Example 1.3.D with norms. Let (V, ǁ.ǁ) be a normed space and ψ :
+ → + be as in Example 1.3.D, i.e. ψ is monotone increasing such that ψ(t) =
0 if and only if t = 0 and ψ has on [0, ∞) a continuous monotone decreasing
derivative. On V we can define the metric
which follows from the fact that for x ≠ 0 the right hand side is unbounded with
respect to λ ∈ while the left hand side is of course bounded with respect to λ.
Thus on n, or more generally, on every normed space we have a lot of different
metrics, certain ones are derived from the norms given by (1.10), but others are
not necessarily derived from norms.
There is an important difference between a norm and a metric with regard to
subsets. We know by Example 1.3.B that we can restrict every metric to any
subset and the restriction is again a metric. This does not apply to a norm. A
norm is always defined on a vector space and in general a subset of a vector
space is not a vector space. However we can always restrict the metric induced
by a norm to any subset of a normed space and we will get a metric space.
Example 1.10. A. Let (X, dX) and (Y, dY) be two metric spaces. On X × Y a
metric dX×Y is defined by
Clearly dX×Y((x1, y1), (x2, y2)) ≥ 0 and equality implies that dX(x1, x2) = 0 and
dY(y1, y2) = 0, or x1 = x2 and y1 = y2, i.e. (x1, y1) = (x2, y2). Moreover, the
symmetry of dX×Y follows immediately from that of dX and dY, respectively.
Finally, since
and claim that (V × W, ǁ.ǁV×W) is a normed space too. The proof goes along the
lines of part A, we refer also to Problem 5.
As pointed out in the introduction to this chapter open intervals, i.e. sets of the
form {y ∈ | |x − y| < η} are playing a central role when introducing limits for
sequences of real numbers or real-valued functions defined on a subset of . We
now introduce a substitute for open intervals in general metric spaces.
Definition 1.11. Let (X, d) be a metric space and y ∈ X.
A. We call
Boston:
The Columbian Centinel.
The Independent Chronicle.
New York:
New York Daily Advertiser.
Commercial Advertiser.
New York Journal.
American Minerva.
The Argus.
The Time Piece.
Gazette of the United States.
Louden’s Diary, or Register.
Philadelphia:
National Gazette.
Gazette of the United States.
The General Advertiser.
The Aurora.
Porcupine’s Gazette.
Pennsylvania Daily Advertiser.
Baltimore:
Maryland Gazette.
Maryland Journal.
Portsmouth:
New Hampshire Gazette.
Charleston:
City Gazette.
Windsor, Vermont:
Spooner’s Vermont Journal.
Hartford:
The Courant.
The American Minerva.
New Haven:
Connecticut Gazette.
Magazines
American Historical Review, October, 1899, January, 1900, ‘Contemporary
Opinion of the Virginia and Kentucky Resolutions,’ by Frank M.
Anderson.
American Historical Association, Annual Reports, 1912, ‘The Enforcement
of the Alien and Sedition Laws,’ by Frank M. Anderson; 1896-97, ‘Letters
of Phineas Bond.’
The Nation, July 18, 1912, ‘Extracts from Diary of Moreau de St. Mery’;
September 5, 1895, ‘The Authorship of the Giles Resolutions,’ by Paul L.
Ford.
INDEX
Adams, Abigail, New York house at Richmond Hill, 16;
on removal of capital to Philadelphia, 116;
on Philadelphia, 125;
and Mrs. Bingham, 128, 129.
Adet, ——, Minister to United States, from French Republic, credited with
efforts to influence election in 1796, 311.
Alien Bill, aimed at Irish immigrants, 374;
French residents frightened and sail for France, 376;
passed by close vote, 379.
Aurora, The, on the Jay Treaty, 273, 274, 276, 277, 280, 286;
on Hamilton’s Reynolds pamphlet, 355, 356.
Burk, John D., editor of New York Time Piece, arrested for sedition, 405.
Cooper, Dr. Thomas, scientist and physician, indicted under Sedition Act,
398;
convicted and imprisoned, 399;
refuses to ask for pardon, 399.
Duane, William, editor of The Aurora, arrested and prosecuted under the
Alien Act, 396, 397;
is acquitted, 397;
indicted for sedition, 397;
assaulted and beaten by soldiers, 420;
prosecuted under Sedition Law, 442.
Duer, William, financial failure of, in 1792 starts panic, 176, 177;
threatens damaging revelations from debtors’ prison, 187.
French Revolution, the, its influence in the United States, 207, 208;
Hamiltonians instinctively hostile to purposes of, 208;
denounced by leading Federalist Senators, 209;
supported by Jefferson, 210;
sympathy for, of the common people, 213;
enthusiasm for the French, 213, 214;
enthusiasm for, heightened by arrival of Genêt, 221, 222;
liberty caps and liberty poles, 222;
Democratic and Jacobin Clubs everywhere, 223;
Federalists alarmed, 223;
clubs denounced as vicious ‘nurseries of sedition,’ 223.
Grenville, Lord William Wyndham, negotiates treaty with John Jay, 269-71.