KEY CONCEPTS: Introduction to Real

Analysis
Samvel Atayan and Brent Hickman
Summer 2008
1 Sets and Functions
PRELIMINARY NOTE: Many denitions given in these notes are framed in
terms specic to the real numbers. This simplies matters greatly because
of the familiar ordering and distance concepts which come as standard fea-
tures in (nite-dimensional) Euclidean space. However, many of the concepts
given below have useful analogs in more exotic spaces (e.g., spaces of func-
tions or spaces of innite sequences), but those require some knowledge of
metric topology, which will be a major emphasis of your Economic Analysis I
(06E:200) class. For the purpose of math camp, we will resign ourselves to
the quaint shackles of Euclidean space.
1.1 Sets
Denition 1 A set is a collection of elements.
If an element x is in a set A then we denote x A, if x is not in A,
then we write x / A
If every element of a set A is also in set B, then A is a subset of B and
we denote this as A B or B A.
A is a proper subset of B if there is at least one element in B that is
not in A. We denote this by A B or B A.
Two sets are equal if they contain all the same elements: A = B.
That is, A B and B A.
1
A set is dened by listing its elements or by specifying the property
that determines the elements of the set: {x A : P(x)} , where P is
some property.
Examples:
Natural numbers: N = {1, 2, 3, ...}
Integers: Z = {0, 1, 1, 2, 2, ...}
Rational numbers: Q = {
m
n
: m, n Z and n = 0}
Real numbers: R
S = {2k : k N}
1.2 Set operations
The union of sets A and B is the set
A B = {x : x A or x B}
The intersection of the sets A and B is the set
A B = {x : x A and x B}
The complement of B relative to A (or the dierence between A
and B) is the set
A\B = {x : x A and x / B}
A set with no elements is called the empty set and is denoted by .
Two sets are disjoint if they have no elements in common: AB = .
DeMorgan laws:
A\(B C) = (A\B) (A\C)
A\(B C) = (A\B) (A\C)
For a countable collection of sets {A
1
, A
2
, ..., A
n
, ...} :
2
union :

n=1
A
n
= {x : x A
n
for some n N}
intersection:

n=1
A
n
= {x : x A
n
for all n N}
Cartesian product of two sets is a set of all ordered pairs:
AB = {(a, b) : a A, b B}
A ball of radius around x in R is a set dened by B

(x) = {y R :
|x y| < }
For a set A, a limit point of A is a point l R such that for each
> 0, there exists some y A such that y B

(x).
1.3 Functions and Mappings
A function f from a set A into a set B, denoted f : A B, is a set f
of ordered pairs in AB such that for each x A there exist a unique
b B with (a, b) f.
The set A of rst elements of function f is called the domain of f
and is denoted D(f). The set B of all second elements in f is called
the range of f and is denoted by R(f). Note that D(f) = A, while
R(f) B.
For the following, consider a function f, mapping A into B.
Let E A, then the direct image of E under f is the subset f(E) B
given by
f(E) = {f(x) : x E}
Let H B, then the inverse image of H under f is the subset
f
1
(H) A given by
f
1
(H) = {x A : f(x) H}
3
The function f is injective (one-to-one) if whenever x
1
= x
2
then
f(x
1
) = f(x
2
).
The function f is surjective (onto) if f(A) = B. That is, R(f) = B.
If f is both injective and surjective then it is bijective.
If f : A B is a bijection of A onto B, then
f
1
= {(b, a) B A : (a, b) f}
is a function mapping B into A, called the inverse of f.
IMPORTANT NOTE: inverse images always exist; inverse func-
tions exist ONLY for bijections.
If f : A B and g : B C, and if R(f) D(g) = B, then the
composite function g f is the function from A into C dened by
(g f)(x) = g(f(x)) for all x A
Theorem 1 Let f : A B and g : B C be functions and let H C.
Then
(g f)
1
(H) = f
1
(g
1
(H))
1.4 Finite, innite, and countable sets
The empty set has zero elements
If n N, a set A has n elements if there exist a bijection from N
n
=
{1, ..., n} onto A.
A set A is nite if it either empty or it has n elements for some n N
A set A is innite if it is not nite.
Theorem 2 Suppose that S and T are sets and that T S.
1. if S is a nite set, then T is a nite set
2. If T is an innite set, then S is an innite set
4
A set S is denumerable (countably innite) if there exists a bijec-
tion of N onto S.
A set S is countable if it is either nite or denumerable
A set S is uncountable if it is not countable.
Theorem 3 Suppose that S and T are sets and that T S.
1. if S is a countable set, then T is a countable set
2. If T is an uncountable set, then S is an uncountable set
Exercise 1 Prove that Z is a countable set.
Exercise 2 Prove that Q is a countable set.
Exercise 3 Prove that R\Q is an uncountable set (HINT: proceed by contra-
diction and use the fact that the irrationals are expressed by nonterminating,
nonrepeating decimals, with comparisons being performed in lexicographic
fashion).
Theorem 4 The countable union of countable sets is countable is countable.
A set S T is said to be dense in T if for any two members of T,
say x and y, there exists s S such that x < s < y.
Exercise 4 Prove that Q is dense in itself.
Exercise 5 Prove that Q is dense in R (HINT: use the familiar lexicographic
representation of real numbers).
Exercise 6 Prove that R \ Q is dense in R (HINT: use the familiar lexico-
graphic representation of real numbers).
5
2 The completeness property of R
Now we consider the set of real numbers.
Let S R and S = . Then
1. The set S is bounded above if there exist a number u R such
that s u for all s S. Then each such u is an upper bound of
S.
2. The set S is bounded below if there exists a number w R such
that w s for all s S. Each such w is called a lower bound
of S.
3. A set S is bounded if it is both bounded above and below. A set
is unbounded if it is not bounded.
Let S R and S = .
If S is bounded above, then a number u is a supremum (or a least
upper bound, l.u.b.) of S if:
1. u is an upper bound of S, and
2. if v is any upper bound of S, then u v
If S is bounded below, then a number w is an inmum (or a greatest
lower bound, g.l.b.) if
1. w is a lower bound of S, and
2. if r is any lower bound of S, then r w.
Note that there is only one supremum (inmum) of a given set S R.
The set S should have upper (lower) bound in order to have the supremum
(inmum). It does not have to be an element of the set S. Also, it is unique.
Notation:
sup S and inf S
Lemma 1 An upper bound u of a nonempty set S R is the supremum of
S if and only if for every > 0 there exist an s

S such that u < s

6
Theorem 5 The Completeness Property of R/Supremum Property
of R. Every nonempty set of real numbers that has an upper bound also has
a supremum in R.
Consider the range of the function f : D R.
Then f is bounded above if the set f(D) = {f(x) : x D} is bounded
above in R. That is, there exist B R such that f(x) B for all
x D.
Then f is bounded below if the set f(D) = {f(x) : x D} is bounded
below in R.
Then f is bounded if it is bounded above and below. That is, B R
such that |f(x)| B for x D.
Some properties:
If f(x) g(x) for all x D, then
sup
xD
f(x) sup
xD
g(x)
If f(x) g(y) for all x, y D, then
sup
xD
f(x) inf
yD
g(y)
2.1 The Archimedean Property
Theorem 6 Archimedean Property If x R then there exist n
x
N
such that x < n
x
.
Corollary 1 If S =

1
n
| n N

, then inf S = 0
Corollary 2 If t > 0, there exists n
t
N such that 0 <
1
nt
< t
7
3 Limits of functions
Denition 2 Suppose f : A R. Let x p and p is a limit point of A.
Then the limit of f as x approaches p is dened as lim
xp
f(x) = q
if such point q exists, and for every > 0 there exist > 0 such that if
|p x| < then |f(x) q| < .
Theorem 7 Suppose f, g : A R and lim
xp
f(x) = q and lim
xp
g(x) = r.
Then
1. lim
xp
[f(x) + g(x)] = q + r
2. lim
xp
(fg)(x) = qr
3. lim
xp

f
g

(x) =
q
r
, if r = 0.
Theorem 8 (LHopitals rules) Let a < b , and functions f
and g are dierentiable on (a, b) such that g

(x) = 0 for all x (a, b).

Suppose that lim
xa
+ f(x) = 0 = lim
xa
+ g(x)
1. a) if lim
xa
+
f

(x)
g

(x)
= L R, then lim
xa
+
f(x)
g(x)
= L
b) if lim
xa
+
f

(x)
g

(x)
= L {, +}, then lim
xa
+
f(x)
g(x)
= L
Suppose that lim
xa
+ f(x) = = lim
xa
+ g(x)
1. a) if lim
xa
+
f

(x)
g

(x)
= L R, then lim
xa
+
f(x)
g(x)
= L
b) if lim
xa
+
f

(x)
g

(x)
= L {, +}, then lim
xa
+
f(x)
g(x)
= L
Exercise 7 CRRA Preferences: use LHopitals rules to show that prefer-
ences given by
c
1

1
approach log preferences as 1.
8
4 Sequences
A sequence of real numbers is a function f : N R. Therefore,
the sequence can be denoted by f(1), f(2), .... Usually we denote the
sequence by {x
n
}

n=1
, where x
n
= f(n).

1,
1
2
,
1
3
, ...

1
n

n=1
{1, 1, 1, 1, 1, ...} = {(1)
n
}

n=1
b
n
= b for n N
4.1 The Limit of a Sequence
A sequence of real numbers {x
n
} is said to converge to point x R,
or x is a limit of {x
n
} if for every > 0 there exist N

N such that
for all n N

we have |x
n
x| < .
If sequence has a limit then it is convergent, if it has no limit then it
is divergent.
Notation:
lim
n
x
n
= x or x
n
x
Theorem 9 Let {x
n
} be a sequence in R, and let x R. Then {x
n
} con-
verges to x if and only if for any > 0, B

(x) about x excludes at most a

nite number of elements of {x
n
}.
Exercise 8 Prove that a sequence can converge to at most one point.
Example 1 (a) lim(
1
n
) = 0;
(b) lim(
1
n
2
+1
) = 0;
(c) lim(
3n+2
n+1
) = 3.
In order to show that a sequence {x
n
} does not converge to x, we have
to nd one number > 0 such that for any N N one can nd a
particular n N such that

x
n
N
x

. Alternatively, we need only

nd one > 0, such that B

(x) excludes innitely many members of

the sequence. Note, however, that showing that {x
n
} diverges is not as
simple...
9
4.2 Limit Theorems
A sequence {x
n
} in R is bounded if there exists M R and M > 0
such that |x
n
| M for all n N.
Theorem 10 A convergent sequence in R is bounded
Theorem 11 Let {x
n
} and {y
n
} be two sequences in R such that x
n
x
and y
n
y. Then the sequences {x
n
+ y
n
} , {x
n
y
n
} , {x
n
y
n
} , and {cx
n
}
converge to x + y, x y, xy, cx, respectively.
Theorem 12 If x
n
x, z
n
z, z
n
= 0 for all n N and z = 0, then the
quotient sequence {x
n
/z
n
} x/z.
Theorem 13 If {x
n
} and {y
n
} are convergent sequences in R and if x
n
y
n
for all n N, then lim
n
x
n
lim
n
y
n
.
Theorem 14 If {x
n
} is a convergent sequence in R and if a x
n
b for
all n N, then a lim
n
x
n
b.
Theorem 15 Let {x
n
},{y
n
} , {z
n
} be sequences in R. If x
n
y
n
z
n
for all n N and lim
n
x
n
= lim
n
z
n
, then {y
n
} is convergent with
lim
n
x
n
= lim
n
y
n
= lim
n
z
n
.
Exercise 9 Prove the above theorem
Theorem 16 If x
n
x, then |x
n
| |x| .
Exercise 10 Prove the above theorem
Theorem 17 Let x
n
x and x
n
0. Then sequence

x
n

x
Exercise 11 Prove the above theorem
Theorem 18 Let x
n
be a sequence of positive real numbers such that L =
lim
n
x
n+1
xn
exists. If L < 1 then {x
n
} converges and x
n
0.
Theorem 19 Let x
n
be a sequence of real numbers converging to x. Then
any rearrangement of the members of the sequence will also converge to x.
Exercise 12 Prove the above theorem
10
4.3 Monotone Sequences
A sequence {x
n
} is nondecreasing if x
1
x
2
... x
n
x
n+1

.... If the inequalities are strict, we say it is increasing. A sequence
{x
n
} is nonincreasing if x
1
x
2
... x
n
x
n+1
..... If
the inequalities are strict, we say it is decreasing. Sequence {x
n
} is
monotone if it is either nonincreasing or nondecreasing.
Theorem 20 Monotone Convergence Theorem. A monotone sequence
of real numbers is convergent if and only if it is bounded.
Let {x
n
} be a sequence of real numbers and let n
1
< n
2
< ... < n
k
< ...
be a strictly increasing sequence of natural numbers. Then the sequence
{x
n
k
} = {x
n
1
, x
n
2
, ..., x
n
k
, ...} is called a subsequence of {x
n
}.
Theorem 21 If x
n
then every subsequence x
n
k
x as well.
Theorem 22 Monotone Subsequence Theorem. If {x
n
} is a sequence
in R, then it has a monotone subsequence.
Theorem 23 Bolzano-Weierstrass Theorem. Every bounded sequence
in R has a convergent subsequence.
Theorem 24 If every subsequence of {x
n
} converges to x R then {x
n
}
converges to x.
A sequence {x
n
} in R is a Cauchy sequence if for every > 0 there
exist N

N such that for all n, m N

, |x
n
x
m
| < .
Theorem 25 If {x
n
} is convergent then {x
n
} is Cauchy.
Theorem 26 A Cauchy sequence of real numbers is bounded
Theorem 27 Cauchy Convergence Criterion. A sequence {x
n
} in R
is convergent if and only if it is a Cauchy sequence.
Example 2 Claim: {x
n
} is a Cauchy sequence if x
n
=
1
n
n N.
Proof: Given > 0, let N

>
1

. Let n, m be greater than N

and WLOG,
let n < m. Thus, we have the following inequalities, which prove the result:

1
x
n

1
x
m

1
n

1
m

<

1
n

< ,
where the rst inequality follows from the fact that n < m.
11
5 Series
Consider an innite series with the general term denoted x
n
; the series
then has the form

n=1
x
n
Let s
n
be the n-th partial sum given by

n
i=1
x
i
. If lim
k
s
k
exists then
series is said to converge. Otherwise, we say that it diverges.
The following condition is necessary for the convergence of a series

n=1
x
n
:
lim
n
x
n
= 0.
Otherwise, the sequence of partial sums will diverge. Note, however,
that it is not a sucient condition. For example:
Consider the series

n=1
1

n
s
n
= 1 +
1

2
+
1

3
+ ... +
1

n

n

n
=

n
The n-th partial sum increases without bound as n increases. Hence
the the series diverges.
If {x
n
} is a sequence in R, then the series

x
n
is absolutely con-
vergent if the series

|x
n
| is convergent in R. The series is condi-
tionally convergent if it is convergent but not absolutely convergent.
Theorem 28 If a series in R is absolutely convergent, then it is convergent.
Some convergence tests:
Theorem 29 The nth Term Test. If the series

x
n
converges, then
limx
n
= 0
Theorem 30 Cauchy Criterion for series. The series

x
n
converges
if and only if for every > 0 there exists N

N such that if m > n N

,
then
|s
m
s
n
| = |x
n+1
+ x
n+2
+ ... + x
m
| <
12
Theorem 31 Comparison Test. Let {x
n
} and {y
n
} be real sequences
such that for some K N
0 x
n
y
n
for all n K
1. Then the convergence of

y
n
implies the convergence of

x
n
2. The divergence of

x
n
implies the divergence of

y
n
Theorem 32 Root Test. Given

x
n
, let = lim
n
n

|x
n
|. Then if
< 1,

x
n
converges, if > 1 then

x
n
diverges, and if = 1, then the
test provides no information.
Theorem 33 Ratio Test. The series

x
n
converges if

x
n+1
xn

< 1, and
diverges if

x
n+1
xn

1.
Given a sequence {c
n
} in R, the series

c
n
x
n
is called the power
series. The numbers c
n
are called the coecients of the series. Let
= lim
n
n

|c
n
|. The radius of convergence is given by R =
1

.
Then

c
n
x
n
are convergent if |x| < R, and diverges if |x| > R.
13