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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) := {10, − ⌊ 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)    with the substitution t = tan x . Solution:

If t = tanx , then we have 1+t2  = 1+tan2 x = cos(1)2   . So, cos2 x =   and sin2 x =  . As  (tanx)\  = cos(1)2   , we get

\  = \1   · dt = \1 dt = [  t1]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)  cos2tdt = \π(2)  (cos2ℓ−1 t)(sint)\ dt

2                                                      2

π

=[(cos2ℓ−1 t)sint] \π(2)  (sint) · (21) · (cos2ℓ−2 t) · (sint)dt

2

π

=(21) \π(2)  (1 cos2 t)cos2ℓ−2 tdt

2

=(21) (\ cos2ℓ−2 tdt) (21) \ cos2tdt.

Therefore, the identity

\ π(2)  cos2tdt =  \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(n1) 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).