diff --git a/chapters/measures_integrals.tex b/chapters/measures_integrals.tex index bff42d8..d25da0b 100644 --- a/chapters/measures_integrals.tex +++ b/chapters/measures_integrals.tex @@ -8,4 +8,5 @@ \subfile{sections/contents_measures.tex} \subfile{sections/integrals.tex} + \subfile{sections/int_real_nums.tex} \end{document} \ No newline at end of file diff --git a/chapters/sections/int_real_nums.tex b/chapters/sections/int_real_nums.tex new file mode 100644 index 0000000..f96ef1c --- /dev/null +++ b/chapters/sections/int_real_nums.tex @@ -0,0 +1,300 @@ +% !TeX root = ../../script.tex +\documentclass[../../script.tex]{subfiles} + +\begin{document} +\section{Integrals over the real numbers} + +\begin{defi} + Let $a, b \in \realn$, $a < b$ and $f: [a, b] \rightarrow \cmpln$ integrable. Then set + \[ + \int_a^b f(x) \dd x := \int_{(a, b)} f \dd\lambda = \int f \cdot \charfun_{(a, b)} \dd\lambda + \] + and + \[ + \int_b^a f(x) \dd x = -\int_a^b f(x) \dd x + \] +\end{defi} + +\begin{rem} + Let $a, b \in \realn$, $a < b$, then every bounded function is integrable over $(a, b)$ + \[ + \int_{(a, b)} \abs{f} \dd\lambda \le \int_{(a, b)} \underbrace{\sup_{x \in (a, b)} \abs{f(x)}}_{\in \realn} \dd\lambda = \supnorm{f} \underbrace{\int_{(a, b)} \charfun_{(a, b)} \dd\lambda}_{\lambda((a, b))} = \supnorm{f} \cdot (b - a) + \] + If $f$ is continuous on $[a, b]$ then it is also bounded. Let $a < c < b$ + \begin{align*} + \int_a^b f(x) \dd x = \int f \dot \charfun_{(a, b)} \dd\lambda &= \int f \cdot (\charfun_{(a, c)} + \charfun_{(c, b)}) \dd\lambda \\ + &= \int f \cdot \charfun_{(a, c)} \dd\lambda + \int f \cdot \charfun_{(c, b)} \dd\lambda \\ + &= \int_a^c f(x) \dd x + \int_c^b f(x) \dd x + \end{align*} + One can easily see that this formula holds for any $c \in \realn$. +\end{rem} + +\begin{thm}[Mean value theorem for integrals] + Let $a, b \in \realn$, $a < b$ and $f, g: [a, b] \rightarrow \realn$ continuous with $g \ge 0$. + Then $\exists \xi \in (a, b)$ such that + \[ + \int_a^b f(x) g(x) \dd x = f(\xi) \int_a^b g(x) \dd x + \] + Especially, $\exists \eta \in (a, b)$ such that + \[ + \int_a^b f(x) \dd x = f(\eta) (b - a) + \] +\end{thm} +\begin{proof} + Let $f$ be continuous, and $[a, b]$ compact. Then define + \begin{align*} + c = \min_{a \le x \le b} f(x) && C = \max_{a \le x \le b} f(x) + \end{align*} + Thus, + \begin{equation} + \exists x_m, x_M \in [a, b]: ~~f(x_m) = c, ~f(x_M) = C + \end{equation} + Define $\tilde{a} := \min \set{x_m, x_M}$ and $\tilde{b} := \max \set{x_m, x_M}$. Then + \begin{equation} + c \cdot g(x) \le f(x) g(x) \le C g(x) + \end{equation} + If we define + \begin{equation} + I = \int_a^b g(x) \dd x + \end{equation} + then we have + \begin{equation} + c \cdot I \le \int_a^b \le C \cdot I + \end{equation} + Due to the mean value theorem, $\exists \xi \in (\tilde{a}, \tilde{b}) \subset (a, b)$ such that + \begin{equation} + f(\xi) = \rec{I} \int_a^b f(x) g(x) \dd x + \end{equation} +\end{proof} + +\begin{defi} + Let $a, b \in \realn$, $a < b$ and $f: [a, b] \rightarrow \cmpln$. + Then + \[ + F: [a, b] \rightarrow \cmpln + \] + is said to be the antiderivative of $f$, if it is continuous, on $[a, b]$ differentiable and $F' = f$. +\end{defi} + +\begin{rem} + Let $F, G$ be antiderivatives of $f$. Then on $(a, b)$ we have + \[ + (F - G)' = F' - G' = f - f = 0 + \] + Thus $F - G = c$ for $c \in \cmpln$. Since $F, G$ are continuous, $F - G = c$ also holds on $[a, b]$. +\end{rem} + +\begin{thm}[Fundamental Theorem of Calculus] + Let $a, b \in \realn$, $a < b$ and $f: [a, b] \rightarrow \cmpln$ continuous. Then for arbitrary $x_0 \in [a, b]$ the function + \[ + x \longmapsto \int_{x_0}^x f(y) \dd y + \] + is an antiderivative of $f$. + Let $G$ be an antiderivative of $f$, then + \[ + \int_a^b f(y) \dd y = G(b) - G(a) + \] +\end{thm} +\begin{proof} + First, let $f$ be real-vauled. + \begin{equation} + F(x) := \int_{x_0}^x f(y) \dd y + \end{equation} + For a fixed $x \in [a, b]$ and $h$ such that $x + h \in [a, b]$ we have + \begin{equation} + \begin{split} + F(x + h) - F(x) &= \int_{x_0}^{x + h} f(y) \dd y - \int_{x_0}^x f(y) \dd y \\ + &= \int_x^{x+h} f(y) \dd y = f(\xi_h) \cdot h + \end{split} + \end{equation} + with $\xi_h \in (x, x + h)$ from the mean value theorem. For $h \rightarrow 0$, the $\xi_h$ converges to $x$, and thus $f(\xi_h) \rightarrow f(x)$ + \begin{equation} + \implies \limes{h}{0} \left( F(x + h) - F(x) \right) = 0 + \end{equation} + so $F$ is continuous. For $x \in (a, b)$ we have $x + h \in (a, b)$ for a small enough $h$, and then + \begin{equation} + \limes{h}{0} \frac{F(x + h) - F(x)}{h} = \limes{h}{0} f(\xi_k) = f(x) = F'(x) + \end{equation} + If $G$ is another antiderivative then $G = F + c$ with $c \in \realn$. + \begin{equation} + \int_a^b f(y) \dd y = \int_a^{x_0} f(y) \dd y + \int_{x_0}^b f(y) \dd y = F(b) - F(a) = G(b) - G(a) + \end{equation} + For complex-valued $f$, simply decompose $f$ into a real and imaginary part. +\end{proof} + +\begin{rem} + The antiderivative of $f$ is often denoted as + \begin{align*} + \int f(x) \dd x && \text{indefinite integral} + \end{align*} + This notation is also used for + \begin{align*} + \int_{-\infty}^{\infty} f(x) \dd x && \text{definite integral} + \end{align*} +\end{rem} + +\begin{cor}[Partial Integration] + Let $a, b \in \realn$, $a < b$ and $f, g: [a, c] \rightarrow \cmpln$ continuously differentiable. Then + \[ + \int f'(x) g(x) \dd x = f(x) g(x) - \int f(x) g'(x) \dd x + \] + And the definite integral is + \[ + \int_a^b f'(x) g(x) \dd x = f(b)g(b) - f(a)g(a) - \int_a^b f(x)g'(x) \dd x + \] +\end{cor} +\begin{proof} + Let $H: [a, b] \rightarrow \cmpln$ be the antiderivative of $fg'$. Then $fg - H$ is continuously differentiable, and + \begin{equation} + (fg - H)' = f'g + fg' - H' = f'g + \end{equation} + so $fg - H$ is an antiderivative of $f'g$. From the fundamental theorem follows + \begin{equation} + \begin{split} + \int_a^b f'(x) g(x) \dd x &= (fg - H)(b) - (fg - H)(a) \\ + &= f(b)g(b) - f(a)g(a) - \underbrace{(H(b) - H(a))}_{\int_a^b f(x)g'(x) \dd x} + \end{split} + \end{equation} +\end{proof} + +\begin{cor}[Substitution] + Let $a, b \in \realn$, $a < b$ and $g: [a, b] \rightarrow \realn$ continuously differentiable. + Choose $\xi = \min g([a, b])$ and $\eta = \max g([a, b])$. + Let + \[ + f: [\xi, \eta] \longrightarrow \cmpln + \] + be continuous. Then + \[ + \int f(g(x)) g'(x) \dd x = \int f(y) \dd y + \] + for ($y = g(x)$), and + \[ + \int_a^b f(g(x)) g'(x) \dd x = \int_{g(a)}^{g(b)} f(y) \dd y + \] +\end{cor} +\begin{proof} + Let $F$ be an antiderivative of $f$, then $F \circ g$ is continuously differentiable, and due to the chain rule + \begin{equation} + (F \circ g)'(x) = F'(g(x)) g'(x) = f(g(x)) g'(x) + \end{equation} + thus $F \circ g$ is an antiderivative of $(f \circ g)g'$ + \begin{equation} + \begin{split} + \int_a^b f(g(x)) g'(x) \dd x &= (F \circ g)(b) - (F \circ g)(a) = F(g(b)) - F(g(a)) \\ + &= \int_{g(a)}^{g(b)} f(y) \dd y + \end{split} + \end{equation} +\end{proof} + +\begin{eg} + Consider + \[ + \tan x = \frac{\sin x}{\cos x} = -\frac{\cos' x}{\cos x} + \] + We have to determine the antiderivative of $f(y) = \rec{y}$ with $y = \cos x$ + \[ + -\int \rec{y} \dd y = -\ln y + \] + After resubstituting we get + \[ + \int \tan x \dd x = -\ln \abs{\cos x} + \] + The derivative of this function is identical to $\tan$ wherever it is defined. + If we want to calculate definite integrals like + \[ + \int_a^b \tan x \dd x + \] + there cannot be any incontinuities between $a$ and $b$. +\end{eg} + +\begin{eg} + Consider + \begin{align*} + F: (0, \infty) &\longrightarrow \realn \\ + a &\longmapsto \int_0^{\infty} \frac{e^{-x}}{x + a} \dd x + \end{align*} + Is this function continuous? +\end{eg} + +\begin{cor} + Let $\metric$ be a metric space, $f: \Omega \times X \rightarrow \cmpln$ and $\tilde{a} \in X$. + Let $f(\cdot, a)$ be integrable $\forall a \in X$ and let $f(\omega, \cdot)$ be continuous in $\tilde{a}$ $\forall \omega \in \Omega$. + Let $U$ be a neighbourhood of $\tilde{a}$ and $g$ an integrable function (independent from $a$) such that + \[ + \abs{f(\omega, a)} \le g(\omega) ~~\forall \omega \in \Omega ~\forall a \in U + \] + Then the function + \begin{align*} + F: X &\longrightarrow \cmpln \\ + a &\longmapsto \int f(\omega, a) \dd \mu(\omega) + \end{align*} + is continuous in $\tilde{a}$. +\end{cor} +\begin{proof} + Let $\anyseqdef[a]{X}$ be a sequence with $a_n \rightarrow \tilde{a}$. Set $f_n = f(\cdot, a_n)$. + For sufficiently bit $n$, $a_n$ is in the neighbourhood $U$, and thus + \begin{equation} + \abs{f_n} = \abs{f(\cdot, a_n)} \le g + \end{equation} + Then $\forall \omega \in \Omega$ + \begin{equation} + \limn f_n(\omega) = \limn f(\omega, a_n) = f(\omega, \tilde{a}) + \end{equation} + And + \begin{equation} + \begin{split} + \limn F(a_n) &= \limn \int f_n(\omega) \dd\mu(\omega) \\ + &= \int \limn f(\omega, a_n) \dd\mu \\ + &= \int f(\omega, \tilde{a}) \dd\mu(\omega) \\ + &= F(\tilde{a}) + \end{split} + \end{equation} + The sequence criterion for continuity tells os that $F$ is continuous in $\tilde{a}$. +\end{proof} + +\begin{eg} + Let $\tilde{a} \in (0, \infty)$. Then + \[ + \forall a \in \left(\frac{\tilde{a}}{2}, \infty\right) ~\forall x \in [0, \infty): ~~\frac{e^{-x}}{x + a} \le \frac{e^{-x}}{\frac{\tilde{a}}{2}} = \frac{2 e^{-x}}{\tilde{a}} \text{ integrable} + \] + Thus, $F$ is continuous in $\tilde{a}$. Since $\tilde{a}$ was arbitrary, $F$ is continuous. +\end{eg} + +\begin{cor} + Let $X \subset \realn^n$ be open, $f: \Omega \times X \rightarrow \cmpln$ and $\tilde{a} \in X$, $f(\cdot, a)$ integrable + $\forall a \in X$. Let $U$ be a neighbourhood of $\tilde{a}$, and $f(\omega, \cdot)$ differentiable $\forall \omega \in \Omega$ in every point of $U$. + Let $g$ be integrable (independent from $a$) such that + \[ + \norm{D_a f(\omega, a)} \le g(\omega) + \] + Then the function + \begin{align*} + F: X &\longrightarrow \cmpln \\ + a &\longmapsto \int f(\omega, a) \dd\mu(\omega) + \end{align*} + is differentiable in $\tilde{a}$ and + \[ + DF(\tilde{a}) = \int D_a f(\omega, \tilde{a}) \dd\mu(\omega) + \] +\end{cor} +\begin{proof} + Without proof. +\end{proof} + +\begin{eg} + The term + \[ + \frac{e^{-x}}{x + a} + \] + is differentiable in terms of $a$ + \[ + \abs{\dv{a} \frac{e^{-x}}{x + a}} = \frac{e^{-x}}{(x + a)^2} \le \frac{4}{\tilde{a}^2} e^{-x} ~~\forall a \in \left(\frac{\tilde{a}}{2}, \infty\right) ~\forall x \in [0, \infty) + \] + Thus $F$ is differentiable and + \[ + F'(a) = -\int \frac{e^{-x}}{(x + \tilde{a})^2} \dd x + \] + Since $\tilde{a}$ was arbitrary, $F$ is differentiable. +\end{eg} +\end{document} \ No newline at end of file diff --git a/chapters/sections/integrals.tex b/chapters/sections/integrals.tex index bf29b56..6be63eb 100644 --- a/chapters/sections/integrals.tex +++ b/chapters/sections/integrals.tex @@ -609,7 +609,7 @@ All functions from now on will be considered measurable. We use $\int_A g \dd\mu$ even if $g$ isn't defined outside of $A$. Integrals are independent from the behavior on null sets, so \[ - \int_0^1 \rec{x} \dd x = 0 + \int_{-1}^1 \rec{x} \dd x = 0 \] is perfectly fine, even though the integrand is not defined for $x = 0$. \end{rem} diff --git a/script.pdf b/script.pdf index 84bdd2a..feb5eaa 100644 Binary files a/script.pdf and b/script.pdf differ