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Differentiate Integral Sign

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102 views14 pages

Differentiate Integral Sign

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Gusbob
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© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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DIFFERENTIATING UNDER THE INTEGRAL SIGN

KEITH CONRAD

I had learned to do integrals by various methods shown in a book that my high school physics teacher Mr. Bader had given me. [It] showed how to dierentiate parameters under the integral sign its a certain operation. It turns out thats not taught very much in the universities; they dont emphasize it. But I caught on how to use that method, and I used that one damn tool again and again. [If] guys at MIT or Princeton had trouble doing a certain integral, [then] I come along and try dierentiating under the integral sign, and often it worked. So I got a great reputation for doing integrals, only because my box of tools was dierent from everybody elses, and they had tried all their tools on it before giving the problem to me. Richard Feynman [1, pp. 7172] 1. Introduction The method of dierentiation under the integral sign, due originally to Leibniz, concerns integrals 1 depending on a parameter, such as 0 x2 etx dx. Here t is the extra parameter. (Since x is the variable of integration, x is not a parameter.) In general, we might write such an integral as
b

(1.1)
a

f (x, t) dx,

where f (x, t) is a function of two variables like f (x, t) = x2 etx . Example 1.1. Let f (x, t) = (2x + t3 )2 . Then
1 1

f (x, t) dx =
0 0

(2x + t3 )2 dx.

An anti-derivative of (2x + t3 )2 with respect to x is 1 (2x + t3 )3 , so 6


1

(2x + t3 )2 dx =
0

(2x + t3 )3 6

x=1 x=0

(2 + t3 )3 t9 = 6 4 = + 2t3 + t6 . 3 This answer is a function of t, which makes sense since the integrand depends on t. We integrate over x and are left with something that depends only on t, not x. An integral like a f (x, t) dx is a function of t, so we can ask about its t-derivative, assuming that f (x, t) is nicely behaved. The rule is: the t-derivative of the integral of f (x, t) is the integral of the t-derivative of f (x, t): (1.2) d dt
b b b

f (x, t) dx =
a 1 a

f (x, t) dx. t

KEITH CONRAD

This is called dierentiation under the integral sign. If you are used to thinking mostly about functions with one variable, not two, keep in mind that (1.2) involves integrals and derivatives with respect to separate variables: integration with respect to x and dierentiation with respect to t. Example 1.2. We saw in Example 1.1 that 0 (2x + t3 )2 dx = 4/3 + 2t3 + t6 , whose t-derivative is 6t2 + 6t5 . According to (1.2), we can also compute the t-derivative of the integral like this: d dt
1 1 1

(2x + t3 )2 dx =
0 0 1

(2x + t3 )2 dx t 2(2x + t3 )(3t2 ) dx

=
0 1

=
0

(12t2 x + 6t5 ) dx 6t2 x2 + 6t5 x


x=1 x=0

= 6t2 + 6t5 . The answers agree. 2. Eulers factorial integral in a new light For integers n 0, Eulers integral formula for n! is

(2.1)
0

xn ex dx = n!,

which can be obtained by repeated integration by parts starting from the formula

(2.2)
0

ex dx = 1

when n = 0. Now we are going to derive Eulers formula in another way, by repeated dierentiation after introducing a parameter t into (2.2). For any t > 0, let x = tu. Then dx = t du and (2.2) becomes
0

tetu du = 1.

Dividing by t and writing u as x (why is this not a problem?), we get

(2.3)
0

1 etx dx = . t

This is a parametric form of (2.2), where both sides are now functions of t. We need t > 0 in order that etx is integrable over the region x 0. Now we bring in dierentiation under the integral sign. Dierentiate both sides of (2.3) with respect to t, using (1.2) to treat the left side. We obtain
0

xetx dx =

1 , t2

so (2.4)
0

xetx dx =

1 . t2

DIFFERENTIATING UNDER THE INTEGRAL SIGN

Dierentiate both sides of (2.4) with respect to t, again using (1.2) to handle the left side. We get
0

x2 etx dx =

2 . t3

Taking out the sign on both sides,

(2.5)
0 0 0

x2 etx dx =

2 . t3 6 , t4 24 , t5 120 . t6

If we continue to dierentiate each new equation with respect to t a few more times, we obtain x3 etx dx = x4 etx dx =

and
0

x5 etx dx =

Do you see the pattern? It is

(2.6)
0

xn etx dx =

n! . tn+1

We have used the presence of the extra variable t to get these equations by repeatedly applying d/dt. Now specialize t to 1 in (2.6). We obtain
0

xn ex dx = n!,

which is our old friend (2.1). Voil! a The idea that made this work is introducing a parameter t, using calculus on t, and then setting t to a particular value so it disappears from the nal formula. In other words, sometimes to solve a problem it is useful to solve a more general problem. Compare (2.1) to (2.6). 3. A damped sine integral We are going to use dierentiation under the integral sign to prove

(3.1)
0

sin x dx = . x 2

This formula is important in signal processing and Fourier analysis. Since (sin x)/x is even, an equivalent formula over the whole real line is sin x dx = . x To prove (3.1) using dierentiation under the integral sign, we need to introduce a parameter. Instead of integrating (sin x)/x, we will integrate f (x, t) = etx (sin x)/x, where t 0. Note f (x, 0) = (sin x)/x. Set sin x F (t) = etx dx x 0 for t 0. Our goal is to show F (0) = /2, and we will get this by studying F (t) for variable t. Using dierentiation under the integral sign, for t > 0 we have

F (t) =
0

xetx

sin x dx = x

etx (sin x) dx.

KEITH CONRAD

The integrand etx sin x, as a function of x, can be integrated by parts: (a sin x cos x) ax eax sin x dx = e . 1 + a2 Applying this with a = t and turning the indenite integral into a denite integral,

F (t) =
0

tx

(t sin x + cos x) tx (sin x) dx = e 1 + t2

x=

.
x=0

As x , t sin x + cos x oscillates a lot, but in a bounded way (since sin x and cos x are bounded functions), while the term etx decays exponentially to 0 since t > 0. So the value at x = is 0. We are left with the negative of the value at x = 0, giving 1 F (t) = etx (sin x) dx = . 1 + t2 0 We know an explicit antiderivative of 1/(1 + t2 ), namely arctan t. Since F (t) has the same tderivative as arctan t for t > 0, they dier by a constant: F (t) = arctan t + C for t > 0. Lets write this out explicitly: sin x dx = arctan t + C. (3.2) etx x 0 Notice we obtained (3.2) by seeing both sides have the same t-derivative, not by actually nding an antiderivative of etx (sin x)/x. To pin down C in (3.2), let t in (3.2). The integrand on the left goes to 0, so the integral on the left goes to 0.1 Since arctan t /2 as t (3.2) as t becomes 0 = + C, so 2 C = /2. Feeding this back into (3.2), sin x (3.3) etx dx = arctan t x 2 0 for all t > 0. Now let t 0+ in (3.3). Since etx 1 and arctan t 0, we obtain sin x dx = , x 2 0 so were done. Notice again the convenience introduced by a parameter t. After doing calculus with the parameter, we let it go this time to a boundary value (t = 0) to remove it and solve our problem. Remark 3.1. Evaluating 0 ( sin x )2 dx by parts with u = sin2 x and dv = dx/x2 , the integral x equals 0 sin(2x) dx = 0 sin x dx = . That 0 sin x dx = 0 ( sin x )2 dx seems amazing. x x 2 x x 4. The Gaussian integral The improper integral formula

2 /2

(4.1)

ex

dx =

2
2

is fundamental to probability theory and Fourier analysis. The function 1 ex /2 is called a 2 Gaussian, and (4.1) says the integral of the Gaussian over the whole real line is 1. The physicist Lord Kelvin (after whom the Kelvin temperature scale is named) once wrote (4.1) on the board in a class and said A mathematician is one to whom that [pointing at the formula] is
1Taking the limit of t inside the integral is justied by the dominated convergence theorem from measure theory.

DIFFERENTIATING UNDER THE INTEGRAL SIGN

as obvious as twice two makes four is to you. We will prove (4.1) using dierentiation under the integral sign. The method will not make (4.1) as obvious as 2 2 = 4. If you take further courses you may learn more natural derivations of (4.1) so that the result really does become obvious. For now, just try to follow the argument here step-by-step. We are going to aim not at (4.1), but at an equivalent formula over the range x 0: 2 x2 /2 (4.2) e dx = = . 2 2 0 For t > 0, set
t 2 x2 /2

A(t) =
0

dx

We want to calculate A() and then take a square root. Dierentiating with respect to t,
t

A (t) = 2
0

ex

2 /2

dx et

2 /2

= 2et
1

2 /2

t 0

ex

2 /2

dx.

Let x = ty, so A (t) = 2et


2 /2

1 0

tet

2 y 2 /2

dy =
0

2te(1+y

2 )t2 /2

dy.

The function under the integral sign is easily antidierentiated with respect to t:
1

A (t) =
0

2e(1+y )t t 1 + y2

2 /2

d dy = 2 dt
2 2

1 0

e(1+y )t 1 + y2

2 /2

dy.

Letting e(1+x )t /2 B(t) = dx, 1 + x2 0 we have A (t) = 2B (t) for all t > 0, so there is a constant C such that
1

(4.3)

A(t) = 2B(t) + C
0
2

for all t > 0. To nd C, we let t 0+ in (4.3). The left side tends to ( 0 ex dx)2 = 0 while the 1 right side tends to 2 0 dx/(1 + x2 ) + C = /2 + C. Thus C = /2, so (4.3) becomes
t 0 2

ex

2 /2

dx

2 2

1 0

e(1+x )t 1 + x2

2 /2

dx.
x2 /2 dx 0 e

Letting t in this equation, we obtain ( is (4.2).

x2 /2 dx)2 0 e

= /2, so

/2. That

5. Higher moments of the Gaussian For every integer n 0 we want to compute a formula for

(5.1)

xn ex

2 /2

dx.

(Integrals of the type xn f (x) dx for n = 0, 1, 2, . . . are called the moments of f (x), so (5.1) is the 2 n-th moment of the Gaussian.) When n is odd, (5.1) vanishes since xn ex /2 is an odd function. What if n = 0, 2, 4, . . . is even?

KEITH CONRAD

The rst case, n = 0, is the Gaussian integral (4.1):

(5.2)

ex

2 /2

dx =

2.

To get formulas for (5.1) when n = 0, we follow the same strategy as our treatment of the factorial 2 integral in Section 2: stick a t into the exponent of ex /2 and then dierentiate repeatedly with respect to t. For t > 0, replacing x with tx in (5.2) gives 2 tx2 /2 (5.3) dx = . e t Dierentiate both sides of (5.3) with respect to t, using dierentiation under the integral sign on the left: x2 tx2 /2 2 e dx = 3/2 , 2 2t so 2 2 tx2 /2 (5.4) x e dx = 3/2 . t Dierentiate both sides of (5.4) with respect to t. After removing a common factor of 1/2 on both sides, we get 3 2 4 tx2 /2 (5.5) x e dx = 5/2 . t Dierentiating both sides of (5.5) with respect to t a few more times, we get 3 5 2 6 tx2 /2 x e dx = , t7/2 3 5 7 2 8 tx2 /2 , x e dx = t9/2 and 3 5 7 9 2 10 tx2 /2 x e dx = . t11/2 Quite generally, when n is even

xn etx

2 /2

dx =

1 3 5 (n 1) tn/2

2 , t

where the numerator is the product of the positive odd integers from 1 to n 1 (understood to be the empty product 1 when n = 0). In particular, taking t = 1 we have computed (5.1): 2 xn ex /2 dx = 1 3 5 (n 1) 2.
1 As an application of (5.4), we now compute ( 1 )! := 0 x1/2 ex dx, where the notation ( 2 )! and 2 its denition are inspired by Eulers integral formula (2.1) for n! when n is a nonnegative integer.

DIFFERENTIATING UNDER THE INTEGRAL SIGN

Using the substitution u = x1/2 in 1 2

1/2 x e dx, 0 x

we have

! =
0

x1/2 ex dx ueu (2u) du u2 eu du


2 2 2

=
0

= 2
0

= = =

u2 eu du by (5.4) at t = 2

23/2 . 2

6. A cosine transform of the Gaussian We are going to use dierentiation under the integral sign to compute
0

cos(tx)ex

2 /2

dx.

Here we are including t in the integral from the beginning. Call the above integral F (t). We will calculate F (t) by looking at its t-derivative:

(6.1)

F (t) =
0

x sin(tx)ex

2 /2

dx.
2 /2

This is good from the viewpoint of integration by parts since xex So we apply integration by parts to (6.1): u = sin(tx), and du = t cos(tx) dx, Then

is the derivative of ex

2 /2

dv = xex dx v = ex
2 /2

F (t) =
0

u dv

= = = As x , ex
2 /2

uv
0

0 x=

v du

sin(tx) ex2 /2 sin(tx) ex2 /2

t
x=0 x= x=0 0

cos(tx)ex

2 /2

dx

tF (t).
2 /2

blows up while sin(tx) stays bounded, so sin(tx)/ex F (t) = tF (t).

goes to 0. Therefore

KEITH CONRAD
2 /2

We know the solutions to this dierential equation: constant multiples of et


0

. So

cos(tx)ex

2 /2

dx = Cet

2 /2

for some constant C. To nd C, set t = 0. The left side is The right side is C. Thus C = /2, so we are done:
0

x2 /2 dx, 0 e

which is

/2 by (4.2).

cos(tx)ex

2 /2

dx =

t2 /2 e . 2
2

Remark 6.1. If we want to compute G(t) = 0 sin(tx)ex /2 dx, with sin(tx) in place of cos(tx), then in place of F (t) = tF (t) we have G (t) = 1tG(t), and G(0) = 0. From the dierential equa2 2 2 2 2 2 t tion, (et /2 G(t)) = et /2 , so G(t) = et /2 0 ex /2 dx. So while 0 cos(tx)ex /2 dx = et /2 , 2 2 the integral 0 sin(tx)ex /2 dx is impossible to express in terms of elementary functions. 7. Nasty logs, part I Consider the following integral over a nite interval:
1 0

xt 1 dx. log x

Since 1/ log x 0 as x the integrand vanishes at x = 0. As x 1 , (xt 1)/ log x 0. Therefore the integrand makes sense as a continuous function on [0, 1], so it is not an improper integral. The t-derivative of this integral is 0+ ,
1 0

xt log x dx = log x

xt dx =
0

1 , 1+t

which we recognize as the t-derivative of log(1 + t). Therefore


1 0

xt 1 dx = log(1 + t) + C. log x
1 0

To nd C, set t = 0. The integral and the log term vanish, so C = 0. Thus xt 1 dx = log(1 + t). log x
1 0

For example, x1 dx = log 2. log x

Notice we computed this denite integral without computing an anti-derivative of (x 1)/ log x. 8. Nasty logs, part II We now consider the integral

F (t) =
2

dx xt log x

DIFFERENTIATING UNDER THE INTEGRAL SIGN

where t > 1. The integral converges by comparison with integral diverges to :


2

dx/xt . We know that at t = 1 the

dx x log x

= = =

b 2

lim

dx x log x
b

b b

lim log log x


2

lim log log b log log 2

= . So we expect that as t 1+ , F (t) should blow up. But how does it blow up? By analyzing F (t) and then integrating back, we are going to show F (t) behaves essentially like log(t 1) as t 1+ . Using dierentiation under the integral sign, F (t) = 1 dx t log x t x 2 t x ( log x) = dx log x 2 dx = xt 2 x= xt+1 = t + 1 x=2 =

21t . 1t We want to bound this derivative from above and below when t > 1. Then we will integrate to get bounds on the size of F (t). For t > 1, the dierence 1 t is negative, so 21t < 1. Dividing both sides by 1 t, which is negative, reverses the sense of the inequality and gives 21t 1 > . 1t 1t This is a lower bound on F (t). To get an upper bound on F (t), we want to use a lower bound on 21t . For this purpose we use a tangent line calculation. The function 2x has the tangent line y = (log 2)x + 1 at x = 0 and the graph of y = 2x is everywhere above this tangent line, so 2x (log 2)x + 1 for all x. Taking x = 1 t, (8.1) 21t (log 2)(1 t) + 1. When t > 1, 1 t is negative, so dividing (8.1) by 1 t reverses the sense of the inequality: 21t 1 log 2 + . t1 1t This is an upper bound on F (t). Combining both bounds, 1 1 (8.2) < F (t) log 2 + 1t 1t for all t > 1.

10

KEITH CONRAD

We are concerned with the behavior of F (t) as t 1+ . Lets integrate (8.2) from a to 2, where 1 < a < 2: 2 2 2 1 dt log 2 + F (t) dt dt. < 1t a a 1t a Using the Fundamental Theorem of Calculus,
2 2 2

log(t 1)
a

< F (t)
a

((log 2)t log(t 1))


a

so log(a 1) < F (2) F (a) (log 2)(2 a) + log(a 1). Manipulating to get inequalities on F (a), we have (log 2)(a 2) log(a 1) + F (2) F (a) < log(a 1) + F (2) Since a 2 > 1 for 1 < a < 2, (log 2)(a 2) is greater than log 2. This gives the bounds log(a 1) + F (2) log 2 F (a) < log(a 1) + F (2) Writing a as t, we get log(t 1) + F (2) log 2 F (t) < log(t 1) + F (2), so F (t) is a bounded distance from log(t1) when 1 < t < 2. In particular, F (t) as t 1+ . 9. Smoothly dividing by t Let h(t) be an innitely dierentiable function for all real t such that h(0) = 0. The ratio h(t)/t makes sense for t = 0, and it also can be given a reasonable meaning at t = 0: from the very denition of the derivative, when t 0 we have h(t) h(0) h(t) = h (0). t t0 Therefore the function h(t)/t, if t = 0, r(t) = h (0), if t = 0 is continuous for all t. We can see immediately from the denition of r(t) that it is better than continuous when t = 0: it is innitely dierentiable when t = 0. The question we want to address is this: is r(t) innitely dierentiable at t = 0 too? If h(t) has a power series representation around t = 0, then it is easy to show that r(t) is innitely dierentiable at t = 0 by working with the series for h(t). Indeed, write h(t) = c1 t + c2 t2 + c3 t3 + for all small t. Here c1 = h (0), c2 = h (0)/2! and so on. For small t = 0, we divide by t and get (9.1) r(t) = c1 + c2 t + c3 t3 + , which is a power series representation for r(t) for all small t = 0. The value of the right side of (9.1) at t = 0 is c1 = h (0), which is also the dened value of r(0), so (9.1) is valid for all small x (including t = 0). Therefore r(t) has a power series representation around 0 (its just the power series for h(t) at 0 divided by t). Since functions with power series representations around a point are innitely dierentiable at the point, r(t) is innitely dierentiable at t = 0. However, this is an incomplete answer to our question about the innite dierentiability of r(t) 2 at t = 0 because we know by the key example of e1/t (at t = 0) that a function can be innitely

DIFFERENTIATING UNDER THE INTEGRAL SIGN

11

dierentiable at a point without having a power series representation at the point. How are we going to show r(t) = h(t)/t is innitely dierentiable at t = 0 if we dont have a power series to help us out? Maybe theres actually a counterexample? The way out is to write h(t) in a very clever way using dierentiation under the integral sign. Start with
t

h(t) =
0

h (u) du.

(This is correct since h(0) = 0.) For t = 0, introduce the change of variables u = tx, so du = t dx. At the boundary, if u = 0 then x = 0. If u = t then x = 1 (we can divide the equation t = tx by t because t = 0). Therefore
1 1

h(t) =
0

h (tx)t dx = t
0

h (tx) dx.

Dividing by t when t = 0, we get r(t) = h(t) = t


1

h (tx) dx.
0

The left and right sides dont have any t in the denominator. Are they equal at t = 0 too? The 1 left side at t = 0 is r(0) = h (0). The right side is 0 h (0) dx = h (0) too, so
1

(9.2)

r(t) =
0

h (tx) dx

for all t, including t = 0. This is a formula for h(t)/t where there is no longer a t being divided! Now were set to use dierentiation under the integral sign. The way we have set things up here, we want to dierentiate with respect to t; the integration variable on the right is x. We can use dierentiation under the integral sign on (9.2) when the integrand is dierentiable. Since the integrand is innitely dierentiable, r(t) is innitely dierentiable! Explicitly,
1

r (t) =
0

vh (tx) dx
1

and r (t) =
0

vh (tx) dx
1

and more generally r(k) (t) =


0

xk h(k+1) (tx) dx.


h(k+1) (0) k+1 .

In particular,

r(k) (0)

1 k (k+1) (0) dx 0 x h

10. A counterexample We have seen many examples where dierentiation under the integral sign can be carried out with interesting results, but we have not actually stated conditions under which (1.2) is valid. Something does need to be checked. In [3], an incorrect use of dierentiation under the integral sign due to Cauchy is discussed, where a divergent integral is evaluated as a nite expression. The following example shows that even if both sides of (1.2) make sense, they need not be equal.

12

KEITH CONRAD

Example 10.1. For any real numbers x and t, let xt3 , if x = 0 or t = 0, f (x, t) = (x2 + t2 )2 0, if x = 0 and t = 0. Let F (t) =
0 1

f (x, t) dx.

For instance, F (0) =

1 0 f (x, 0) dx

1 0 0 dx 1 0

= 0. When t = 0,

F (t) = =
t2

xt3 dx (x2 + t2 )2 t3 du (where u = x2 + t2 ) 2u2

1+t2

t3 2u

u=1+t2 u=t2 t3

= =

2(1 + t2 ) t . 2(1 + t2 )

t3 2t2

This formula also works at t = 0, so F (t) = t/(2(1 + t2 )) for all t. Therefore F (t) is dierentiable and 1 t2 F (t) = 2(1 + t2 )2
1 for all t. In particular, F (0) = 2 . 1 Now we compute t f (x, t) and then 0 t f (x, t) dx. Since f (0, t) = 0 for all t, f (0, t) is dieren tiable in t and t f (0, t) = 0. For x = 0, f (x, t) is dierentiable in t and

f (x, t) = t = =

(x2 + t2 )2 (3xt2 ) xt3 2(x2 + t2 )2t (x2 + t2 )4 xt2 (x2 + t2 )(3(x2 + t2 ) 4t2 ) (x2 + t2 )4 xt2 (3x2 t2 ) . (x2 + t2 )3
xt2 (3x2 t2 ) , (x2 +t2 )3

Combining both cases (x = 0 and x = 0), (10.1) f (x, t) = t if x = 0, if x = 0.

0,

In particular t t=0 f (x, t) = 0. Therefore at t = 0 the left side of (1.2) is F (0) = 1/2 and the 1 right side of (1.2) is 0 t t=0 f (x, t) dx = 0. The two sides are unequal! The problem in this example is that t f (x, t) is not a continuous function of (x, t). Indeed, the denominator in the formula in (10.1) is (x2 + t2 )3 , which has a problem near (0, 0). Specically,

DIFFERENTIATING UNDER THE INTEGRAL SIGN

13

while this derivative vanishes at (0, 0), it we let (x, t) (0, 0) along the line x = t, then on this line t f (x, t) has the value 1/(4x), which does not tend to 0 as (x, t) (0, 0). Theorem 10.2. The two sides of (1.2) both exist and are equal at a point t = t0 provided the following two conditions hold:
f (x, t) and t f (x, t) are continuous functions of two variables when x is in the range of integration and t is in some interval around t0 , there are upper bounds |f (x, t)| A(x) and | t f (x, t)| B(x), both being independent of t, b b such that a A(x) dx and a B(x) dx converge.

Proof. See [2, pp. 337339]. In Table 1 we include choices for A(x) and B(x) for each of the functions we have treated. Since the calculation of a derivative at a point only depends on an interval around the point, we have replaced a t-range such as t > 0 with t c > 0 in some cases to obtain choices for A(x) and B(x). Section 2 3 4 5 6 7 8 9 f (x, t) xn etx etx sin x x
et (1+x ) 1+x2 n etx2 x
2 2

x range [0, ) [0, )

t range tc>0 tc>0

t we want 1 0

A(x) xn ecx ecx


1 1+x2 2 xn ecx

B(x) xn+1 ecx ecx 2c


2 xn+2 ecx

cos(tx)ex

2 /2

xt 1 log x 1 xt log x xk h(k+1) (tx)

[0, 1] 0tc t R tc>0 1 [0, ) R all t (0, 1] t c > 1 1 [2, ) tc>1 t>1 [0, 1] R 0 Table 1. Summary

ex /2 ??
1 x2 log x

|x|ex 1
1 xc

2 /2

??

??

1. Prove for t > 0 that


0

11. Exercises cos x 1 t etx dx = log . x 1 + t2 sin(tx) , t cos(tx) , t

2. Starting with the indenite integral formulas cos(tx) dx = compute formulas for xn sin x dx and sin(tx) dx =

xn cos x dx for n = 2, 3, 4.

3. If you are familiar with integration of complex-valued functions, show


e(x+iy) dx =

for all y R. In other words, show the integral on the left side is independent of y. (Hint: Compute the y-derivative of the left side.)

14

KEITH CONRAD

References
[1] R. P. Feynman, Surely Youre Joking, Mr. Feynman!, Bantam, New York, 1985. [2] S. Lang, Undergraduate Analysis, 2nd ed., Springer-Verlag, New York, 1997. [3] E. Talvila, Some Divergent Trigonometric Integrals, Amer. Math. Monthly 108 (2001), 432436.

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