Chapter #2: Real Analysis

Math Econ (MEF)

Raúl Bajo ([email protected])

Some covenient notation:

. Z = {· · · , −n, · · · , −2, −1, 0, 1, 2, · · · , n, · · · } is the set of integers.
n o
. Q = pq | p, q ∈ Z, q 6= 0 is the set of rational numbers.

. R =] − ∞, +∞[ is the set of real numbers.

. R+ = [0, +∞[ is the set of non negative real numbers.
. R++ =]0, +∞[ is the set of positive real numbers.

Sequences
• A sequence of real numbers is an element of RN , and the conventional
notation is (xn )n∈N or (x0 , x1 , · · · , xn , · · · ) or (x1 , · · · , xn , · · · ).
Note: a sequence in an arbitrary set X is an element X N .

. The sequence (xn ) is bounded if there is a ∈ N s.t. |xn | ≤ a for all n.

. The sequence (xn ) converges to x if we have
∀ε > 0 ∃m ∈ N s.t. ∀n ≥ m |xn − x| < ε
a property that we write limn xn = x

• A Cauchy sequence is a sequence (xn ) such that:

∀ε > 0 ∃m ∈ N s.t. ∀n, n0 ≥ m |xn − xn0 | < ε

Fundamental result: a sequence of real numbers is convergent if and only

if it is a Cauchy sequence.
(Note: this result is in a way tautological, because the set of real numbers
is defined as the set of Cauchy sequences in Q, up to a quotient operation).

• Upper and lower bounds: the subset X of R is bounded above (resp. below )
if there exists an integer a such that ∀x ∈ X, x ≤ a (resp. x ≥ a). In this
case, a is called an upper bound of X (resp. a lower bound ).
A key application of the fundamental result: every set X bounded above
has a smallest upperbound denoted sup(X) and called the supremum of
X. Every set X bounded below has a largest lowerbound inf(X) and called
the infimum of X.

1
 • Maximum: max X = {x ∈ X s.t. ∀a ∈ X, a ≤ x}
Minimum: min X = {x ∈ X s.t. ∀a ∈ X, a ≥ x}

• The sequence (xn ) is called non-decreasing (resp. non-increasing) if xn ≤

xn+1 for all n (resp. xn ≥ xn+1 ).

. A non-decreasing (resp. non-increasing) sequence that is bounded

above (resp. below) converges to the supremum (resp. infimum) of
its values.
. If In is a nested sequence of closed intervals In = [an , bn ], i.e. In+1 ⊆
In for all n, then the intersection ∩n In is non empty. If, moreover,
limn (bn − an ) = 0, then ∩n In contains exactly one number.

• The lim inf and lim sup of a bounded sequence (xn ) are defined as follows:


lim sup(xn ) = inf{supm≥n xm | n = 1, 2, · · · } = limn supm≥n xm
lim inf(xn ) = sup{inf m≥n xm | n = 1, 2, · · · } = limn (inf m≥n xm )
Fact: lim inf(xn ) ≤ lim sup(xn ) with equality if and only if (xn ) con-
verges, in which case its limit is the common value.

• Limit points of a sequence (xn ): a number y such that ∀ε > 0 ∀m ∈ N

∃n ≥ m |xn − y| ≤ ε.



• A subsequence of the sequence (xn ) ∈ RN is a sequence xϕ(n) = xϕ(0),ϕ(1),··· ,ϕ(n),···
where ϕ is a strictly increasing function of N into itself.

. Every subsequence of a converging sequence converges to the same

limit.
. The number y is a limit point

of the sequence (xn ) if and only if there
exists a subsequence xϕ(n) of (xn ) converging to y.
. If (xn ) is a bounded sequence, limn sup xn and limn inf xn are, re-
spectively, its largest and its smallest limit point.
. Corollary: a bounded sequence is convergent if and only if it has a
unique limit point.
. Corollary: every bounded sequence has at least one limit point.

Continuity
• Interval: an interval of R is a subset s.t. ∀x, y = {x ∈ I and y ∈ I} ⇒
[x, y] ⊆ I.
There are nine types of intervals depending upon their endpoints being
real numbers or ±∞, and on whether an endpoint belongs to I or not.
• Limit of a function over a subset: Let A be a subset of R and a be in the
closure of A of A (that is, a is the limit of at least one sequence of A),
we say that f ∈ RA converges to b ∈ R when x converges to a in A (or
simply, the limit of f in A at a is b) and we write limx→a f (x) = b. That
is,
∀ε > 0 ∃δ > 0 s.t. ∀x ∈ A we have |x − a| ≤ δ ⇒ |f (x) − b| ≤ ε

2
 . Left-limit: limx→a− f (x) = b
∀ε > 0 ∃δ > 0 s.t. |x − a| ≤ δ (with x < a) ⇒ |f (x) − b| ≤ ε
. Right-limit: limx→a+ f (x) = b
∀ε > 0 ∃δ > 0 s.t. |x − a| ≤ δ (with x > a) ⇒ |f (x) − b| ≤ ε

• Continuity of a function f : A → R where A is a bounded interval.

def
f is continuous at a (interior point of A) ⇔ limx→a f (x) = f (a)
That is, ∀ε > 0 ∃δ > 0 |x − a| ≤ δ ⇒ |f (x) − f (a)| ≤ ε

. f is left-continuous at a (interior point of A) if limx→a− f (x) = f (a)

(x < a− )
. f is right-continuous at a (interior point of A) if limx→a+ f (x) = f (a)
(x > a+ )

• Function f is continuous at a ∈ A ⇔ f is both right and left continuous

at a ∈ A.
• Function f is continuous on A if it is continuous ∀a ∈ A.
• Operation on continuous functions: the sum, the product, the quotient
respect the property of continuity at a given point, that of right continuity,
and that of left continuity.
The composition of functions respects the continuity property: assume f ∈
RA , g ∈ RB , f (A) ⊆ B, then {f continuous at a, and g continuous at b =
f (a)} ⇒ g ◦ f continuous at a.
• If f is monotone on R, it is continuous at all points, with the exception of
at most an enumerable sets of points.
• A closed and bounded interval of R is a set [a, b] = {x | a ≤ x ≤ b} where
a, b ∈ R. If f is continuous on A (i.e. continuous at every point of A),
and [a, b] ⊆ A, then f ([a, b]) is a closed and bounded interval. This crucial
observation has two important corollaries.

(i) Intermediate value theorem: if f is continuous on the closed, bounded

interval [a, b], f takes all the values between f (a) and f (b):
∀x ∈]f (a), f (b)[ ∃c ∈]a, b[ f (c) = x
(ii) Extreme value theorem: if f is continuous on the closed, bounded
interval [a, b], f reaches its maximum and its minimum:
∃c, d ∈ [a, b] s.t. f (c) = max[a,b] f (x) and f (d) = min[a,b] f (x)

• Let I be an interval and f ∈ RI . The four following properties are equiv-

alent:

(i) f is a bijection from I into f (I), f is continuous and f −1 is continous

on f (I)
(ii) f is continuous and one-to-one on I
(iii) f is continuous and strictly monotone
(iv) f is strictly monotone and f (I) is an interval

3
 • Uniform continuity: f ∈ RA is uniformly continuous on A if
∀ε > 0 ∃η > 0 s.t. ∀x, y ∈ A we have |x − y| ≤ η ⇒ |f (x) − f (y)| ≤ ε
E.g. f (x) = x2 is continuous but not uniformly continuous on R+ .

. Fact: if f is continuous on A, where A is compact, then f is uniformly

continuous.

Continuity (correspondences)
• The concept of continuity is different for correspondences. In fact, there
are two different concepts for them, called “upper hemicontinuity” and
“lower hemicontinuity”.
• Define the correspondence F : X →→ Y

. F is upper hemicontinuous (uhc) at x if ∀xn ∈ X, ∀y ∈ Y , and

∀yn ∈ F (xn ) such that xn → x and yn → y, we have that y ∈ F (x).
The correspondence is uhc if it has a “closed graph”.
. F is lower hemicontinuous (lhc) at x if ∀xn ∈ X where xn → x,
∀y ∈ F (x), ∃xnk (subsequence of xn ) and ∃yk ∈ F (xnk ) such that
yk → y.

• A correspondence is continuous at x if it is both uhc and lhc at x.

Derivatives
• Given f ∈ RA , where A is an interval, and a an interior point of A, we say
that f is differentiable (or derivable) at a if limx→a f (x)−f
x−a
(a)
exists. This
0
limit is called the derivative of f at a and denoted f (a).
f (x)−f (a) 0
. Left-derivative of f at a: limx→a− x−a = f− (a).
f (x)−f (a) 0
. Right-derivative of f at a: limx→a+ x−a = f+ (a).

• If f is differentiable (resp. left-differentiable, resp. right-differentiable)

at a, then it is continuous as well (resp. left-continuous, resp. right-
continuous).

• Operations on differentiable functions: the sum, the product, the quo-

tient and the composition of functions respect the property of differen-
tiability at a given point. The same applies to right-differentiability and
left-differentiability, except for the composition.
• Computation rules:
P 0 P 0
. (
i αi fi ) = i αi fi where αi for i = 1, · · · , n are constant.
0 P 0
. (f1 · f2 · · · fn ) =
i fi · (f1 · · · fi−1 · fi+1 · · · fn ).
 0 0
.
1
f = − ff2 .
. (f ◦ g)0 (x) = f 0 (g(x)) · g 0 (x) (chain rule).

4
• Successive derivatives are denoted f 0 , f 00 , f (3) , ..., f (p) , ...
• f is in the class C p , or simply “f is C p ” on an open interval A if f (p)
exists everywhere in A and is continuous on A.

. If f (p) exists at a, we say that f is p times differentiable at a; in this

case f is C p−1 in an interval around a, but not necessarily C p .
. The set of C p functions is stable (respected) by the sum, the product,
the quotient and the composition of functions.

• Rolle theorem: If f is continuous on the interval [a, b] in R, and differ-

entiable on ]a, b[, there exists a number c ∈]a, b[ such that
f (b) − f (a) = (b − c) · f 0 (c)
This fundamental result has many implications. Fix any interval I of R
and a function f continuous on I and differentiable in all interior points
of I:
. f is constant on I if and only if f 0 is the null function.
. f is non-decreasing if and only f 0 is non negative on the interior of
I.
. f is (strictly) increasing if and only f 0 is positive on the interior of I.
• Local extremum: we say that x is a local extremum of f if there is an
interval V ⊆ I around x s.t. f reaches at x its maximum on V or its
minimum on V (we speak of a local maximum, or a local minimum).
Under the same premises as above:

. x is a local extremum of f only if f 0 (x) = 0.

. Let f, g be two functions continuous on [a, b] and differentiable on
]a, b[.
Then {|f 0 (x)| ≤ g 0 (x) for all x ∈]a, b[} ⇒ |f (b) − f (a)| ≤ g(b) − g(a).
. {|f 0 (x)| ≤ K for all x ∈]a, b[} ⇒ |f (b) − f (a)| ≤ K · (b − a).

• Taylor development: this is a more sophisticated application of Rolle’s

theorem, allowing to approximate a cn+1 function by a polynomial of
degree n.
The Global Taylor formula is as follows. Let f be of class C n on the
(bounded) interval [a, b] and differentiable (n + 1) times on ]a, b[; then
there exists c ∈]a, b[ such that:
Pn k n+1
f (b) = f (a) + k=1 (b−a)k! f
(k)
(a) + (b−a)
(n+1)! · f
(n+1)
(c)
The Local Taylor formula is as follows. Let f be n times at a, then the
function δ(x) defined by:
Pn k
δ(0) = 0 and for all x 6= 0: f (x) = f (a) + k=1 (x−a)
k! (a) + (x − a)n · δ(x)
satisfies limx→0 δ(x) = 0.
• Applications:

5
 . A polynomial of degree n coincides with its Taylor development of
order n.
. If f and g have the same k-th derivative at a, for k = 0, 1, 2, · · · , n,
the difference (f − g)(x) = (x − a)n · δ(x) is a “very flat” function.
. The exponential
P∞ xfunction is C ∞ and coincides with its “Taylor series”
n
x
e = 1 + n=1 n! .

• L’Hopital’s rule (using derivatives to find limits).

Suppose limx→c f (x) = limx→c g(x) = 0, or limx→c f (x) = ± limx→c g(x) =
±∞, where c is any real number or ±∞.
f 0 (x) f (x)
Then, if limx→c g 0 (x) = a, then limx→c g(x) = a.