MTH125 Real Analysis for Financial Mathematics 2021
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MTH125
Real Analysis for Financial Mathematics
December 2021
Tutorial Sheet of Week 13
1. Let c ∈ R , and define a function f : [−1, 1] → R by
f(x) =
北(1)
Is the function f integrable on the interval [−1, 1] ?
Solution:
Yes, f is integrable on the interval [−1, 1] . Clearly, f is continuous on [−1, 0) ∪ (0, 1] , and only possibly discontinuous at the point 0 . Since f is bounded ( |f(x)| ≤ max{1, |c|} for all x ∈ [−1, 1] ), by using a proposition of the lecture, we infer f is integrable as desired. □
2. Let ⌊x⌋ denote the integral part function. Is the function f(x) := {1北0, − ⌊ 北(1)
integrable over the interval [0, 1] ? (Hint: draw a graph of the function f .)
Solution:
Yes, f is integrable over the interval [0, 1] . Since f is bounded ( |f(x)| ≤ 1 for all x ∈ [−1, 1] ), by a lemma of the lecture we only need to show for every 6 ∈ (0, 1) , f is integrable on [6,1] . Let us fix 6 ∈ (0, 1) , and the function f has only ⌊
⌋−1 discontinuous points on [6,1] . So, we may apply a proposition of the lecture to see that f is integrable
on [6,1] . This implies f is integrable over the interval [0, 1] as desired. □
3. Compute the integral '
4(北) 北 with the substitution t = tan x . Solution:
If t = tanx , then we have 1+t2 = 1+tan2 x = cos(1)2 北 . So, cos2 x =
and sin2 x =
. As (tanx)\ = cos(1)2 北 , we get
\![]()
= \1 ∞
·
dt = \1 ∞
dt = [ −
− t−1]1(∞) =
.
4. (a) Prove by induction that the following identity
\−
cos2n tdt = π (
)
holds for all n ∈ N+. Here,
![]()
u 2i := 2 · 4 · 6 · ... · 2n .
Solution:
Let us prove it by induction on n .
Induction basis: When n = 1 , we have
![]()
![]()
\−
cos2 tdt = \−
dt = [
+
] ![]()
=
= π ·
,
as desired. Actually, the statement also holds for n = 1 if ni(0)=1 ci := 1 (which is the standard definition of the product over an empty set). Hence, we could also choose n = 0 as base case, which would be much easier to prove.
Induction hypothesis: Suppose the identity is true for n = k , for some k ∈ N+ . Induction step: We prove the identity for n = k + 1 . Using integration by parts, we see that, for all ℓ ∈ N+ ,
π π
\− π(2) cos2ℓ tdt = \− π(2) (cos2ℓ−1 t)(sint)\ dt
2 2
π
=[(cos2ℓ−1 t)sint]![]()
− \− π(2) (sint) · (2ℓ − 1) · (cos2ℓ−2 t) · (−sint)dt
2
π
=(2ℓ − 1) \− π(2) (1 − cos2 t)cos2ℓ−2 tdt
2
![]()
=(2ℓ − 1) (\−
cos2ℓ−2 tdt) − (2ℓ − 1) \−
cos2ℓ tdt.
Therefore, the identity
![]()
\− π(2) cos2ℓ tdt =
\− π(2) cos2ℓ−2 tdt
holds for all ℓ ∈ N+ . Consequently, in combination with the Induction hypothesis, we have
![]()
\−
cos2(k+1) tdt =
\−
cos2k tdt =
· π (
) = π (
)
and this proves the identity when n = k + 1 .
Therefore, the identity holds for all n ∈ N+ . □
(b) Compute the integral \
for every positive integer n with the substitution x = tant .
Solution:
If x = tant , then we have 1 + x2 = 1 + tan2 t =
. As
=
, we get
![]()
\−
= \−
cos2n t ·
dt = \−
cos2(n− 1) tdt.
By using part (a), we have
\ ∞ dx
= ![]()
1
if n = 1
) , if n ∈ N+ / {1} .
□
5. Prove that if the integral \
f(x)dx is convergent, then we have limn→∞ \
1 f(nx)dx = 0 .
Solution:
By using the substitution t = nx , we get
\−1(1) f(nx)dx = \−n(n) f(t) ·
=
.
As \
f(x)dx is convergent, we have
n(l)
\−n(n) f(t)dt = c,
for some c ∈ R (think about it!). Therefore, we infer
n(l)
\−1(1) f(nx)dx =n(l)
= 0,
as desired. □
6. Is the calculation
\−1(1)
dx = [ln|x|]
1 = 0.
correct?
Solution:
No, it is not correct. Indeed, the function
has a singularity at the point x = 0 and we may try it as follows
\−1(1)
dx = \0 1
dx + \−1(0)
dx = (6l1
+ \611
dx) + (6l2
− \
dx)
= (6l1
+ [ln|x|]6(1)1 ) + 6l2
− [ln|x|]
1 = ∞ + (−∞).
But, the last addition above is not valid. Even if there is just one +∞ or just one −∞ , we did not allow that when partial integrals are glued together. As this always happens, no matter how we try to split the integral, the improper integral \
1北(1)dx diverges (even has no limit).
2023-01-13