Lebanese University

Faculty of Sciences (I) BS of Mathematics 2019-2020

Sheet 1
Math 3306 : Integration 2

Exercise 1 :
1. For the functions f1 , f2 : R2 −→ R defined as below, compare the following integrals
when they exist :
Z 1 Z 1  Z 1 Z 1  Z Z
f (x, y) dx dy; f (x, y) dy dx and f (x, y) dx dy.
0 0 0 0 [0,1]2


f1 (x, y) = xy
3
a) (x2 + y 2 ) 2
f (0, 0) = 0
1
2 2
f (x, y) = x − y = Re 1

2 2
b) (x2 + y 2 ) (x + iy)2
f2 (0, 0) = 0


Z bZ < 1 let Ca,b = [a, 1] × [b, 1]. Show that f2 is integrable on

2. a) For 0 < a < 1, 0 <
Ca,b and compute f2 (x, y) dxdy using the expression of f2 .
Ca,b
−π π
b) Show that for every C ∈ [ , ], there exists an increasing rectangle sequences
4 4
Can ,bn such that [0, 1] × [0, 1] \ ∪ Can ,bn is a null set and
n ∈N
Z Z
lim f2 (x, y) dxdy = C.
n−→+∞ Can ,bn

Exercise 2 :
Z Z
dxdy X1
1) Show that = 2
.
[0,1]2 1 − xy n≥1
n
X1 π2
2) Our aim is to show that = .
n≥1
n2 6
Use the change of variables x = u − v, y = u + v in the previous integral, then
1 − cos t t
set u = cos t. (We recall that = tan ).
sin t 2
Exercise 3 :
Let (E, T, µ) be a σ finite measure space, we consider a measurable function f : (E, T, µ) −→
(R, B, R+ ) .
 1. Let g : R+ −→ R+ be an increasing function of class C 1 such that g(0) = 0. Show
that Z Z +∞
g ◦ f dµ = g 0 (t)µ({f ≥ t})dt.
E 0
Hint : Write g(f (t)) as an integral form.
Z Z +∞
2. Show that f dµ = µ{f ≥ t} dt.
E 0
3. We suppose that µ is finite and there exists p ≥ 1 et c > 0 such that for every

t > 0, µ({|f | > t}) ≤ ct−p .

Show that f ∈ Lq (E, T, µ) for all q ∈ [1, p[. Is f must be in Lp (E, T, µ) ?

Exercise 4 :
Let f : [0, 1] −→ R+ be a measurable function. We define

Ff = {(x, y) ∈ R2 , 0 ≤ x ≤ 1, 0 ≤ y ≤ f (x)}

and for a ≥ 0 let Mf (a) = m{x ∈ [0, 1], a ≤ f (x)}. (m is the Lebesgue measure).

1) Show that Ff is a measurable set on [0, 1] × R+ .

2) Using Fubini theorem, show that :
i) a ∈ R+ −→ Mf (a) ∈ R+ is a measurable function.
Z +∞ Z 1
ii) Mf (y) dy = f (x) dx,
0 0
Z +∞ Z 1
∗ k−1
iii) ∀ k ∈ N , ky Mf (y) dy = f k (x) dx.
0 0
Hint : For i) and ii) start with the identity function 1F . For iii) use the function

(x, y) −→ ky k−1 1F (x, y).

3) Let Gf = {(x, y)|x ∈ [0, 1], y = f (x)} be the graph of f . Show that Gf ⊂ R2 is a
null set. Deduce that, for almost every y ≥ 0,
m{x ∈ [0, 1], f (x) = y} = 0.

Exercise 5 :
Z +∞
√
dy π 2
We recall that = (see exercise 6) and we fix a > 0.
0 1 + y4 4
2
a) Show that f (x, y) = e−xy sin x is integrable on [0, a] × R+ and that
Z a Z +∞ √ Z a
π sin x
f (x, y) dydx = √ dx.
x=0 y=0 2 0 x
Z +∞
sin x
b) Deduce that the integral √ is (semi)-convergent, and compute it.
0 x

2
Exercise 6 : Z +∞
2
For x > 0, y > 0, we define ϕ(x, y) = e−xu du.
y

1) Show that the function ϕ is continuous on ]0, ∞[×]0, ∞[.

2) Show that, for y > 0 fixed, the function x ∈]0, ∞[−→ ϕ(x, y) ∈ R+ is integrable, and
the function
Z +∞
y −→ Ψ(y) = sin(x)ϕ(x, y) dx
0

is well defined and continuous on ]0, +∞[.

3) Show that Ψ is differentiable on ]0, ∞[; then find Ψ0 and lim Ψ(y), and deduce a
y−→+∞
simplified expression of Ψ.
Exercise 7 :
Let ϕ : RN → R+ be a continuous function.
Z Z ∞
−ϕ(x)
1. Show that e dx = e−t mes {x; ϕ(x) ≤ t} dt,
RN 0
where mesA is the Lebesgue measure of aubset A of RN .
(Hint : write e−ϕ(x) as an integral form.)
2. We suppose now that ϕ is homogenous of degree α > 0, i. e ∀λ ∈ R+ and ∀x ∈ RN ,
ϕ(λx) = λα ϕ(x).
(a) Show that
Z  Z
−ϕ(x) N
e dx = Γ +1 1{x∈RN ;ϕ(x)≤1} (x)dx.
RN α RN
R∞
We recall that Γ(s) = 0 e−t ts−1 dt, s > 0 is the Euler function and 1A is the
characteristic function of A.
(b) Deduce that the volume
( of the unit ball of RN) ,
N
X
BN = BN (0, 1) = x ∈ RN ; ||x||22 = x2i ≤ 1
i=1
N Z
π 2 2 N
is given by VolBN = . (We recall that e−||x||2 dx = π 2 ).
Γ( N2 + 1) RN
3
(c) Calculate also the volume of the ellipsoïd E ⊂ R of equation :

x21 x22 x23

+ 2 + 2 ≤1
a2 b c
with a, b, c > 0.