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com

CHAPTER 3. REAL ANALYSIS

Real Analysis

• Sets and Relations

• Infinity and Induction

• Sequences of Numbers

• Series of Numbers

• Topology

• Continuity and Differentiation

• The Integral

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Notation and Set Theory

Sets are the most basic building blocks in mathematics, and it is in fact not easy to give a
precise definition of the mathematical object set. Once sets are introduced, however, one
can compare them, define operations similar to addition and multiplication on them, and
use them to define new objects such as various kinds of number systems. In fact, most of
the topics in modern analysis are ultimately based on sets.

Therefore, it is good to have a basic understanding of sets, and we will review a few
elementary facts in this section. Most, if not all, of this section should be familiar and its
main purpose is to define the basic notation so that there will be no confusion in the
remainder of this text.

Definition: Sets and Operations on Sets

o A set is a collection of objects chosen from some universe. The universe is

usually understood from the context. Sets are denoted by capital, bold
letters or curly brackets.
o A B: A is a subset of B means that every element in A is also contained
in B.
o A B: A union B is the set of all elements that are either in A or in B or
in both.
o A B: A intersection B is the set of all elements that are in both sets A
and B.
o A \ B: A minus B are all elements from A that are not in B.
o comp(A): The complement of A consists of all elements that are not in A.
o Two sets are disjoint if A B = 0 (the empty set)
o Two sets A and B are equal if A B and B A

The most commonly used sets are the sets of natural numbers, integers,
rational and real numbers, and the empty set. They are usually denoted by these
symbols:

o N = {1, 2, 3, 4, ... } = natural numbers (sometimes 0 is considered part of

the natural numbers as well)
o Z = {... -3, -2, -1, 0, 1, 2, 3, ... } = integers
o Q = {p / q : p, q Z} (read as “all number p / q, such that p and q are
elements of Z) = rational numbers
o R = real numbers
o 0 = empty set (the set that contains no elements)

All of the number systems (except the natural numbers) will be defined in a
mathematically precise way in later sections. First, some examples:
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Examples:

o Define the following sets: E = { x: x = 2n for n N}, O = { x: x = 2n + 1

for n N}, A = { x R : -4 < x < 3}, B = { x R : -1 < x < 7}, and I = { x
R: x2 = -2}. Then:
1. What, in words, are the sets E, O, and I ?
2. Find A B, A B, A \ B, comp(A).
3. Find O E, O I, comp(I).

Sets can be combined using the above operations much like adding and
multiplying numbers. Familiar laws such as associative, commutative, and
distributive laws will be true for sets as well. As an example, the next result will
illustrate the distributive law; other laws are left as exercises.

Proposition: Distributive Law for Sets

o A (B C) = (A B) (A C)
o A (B C) = (A B) (A C)

Many results in set theory can be illustrated using Venn diagram, as in the above
proof. However, such diagrams do not represent mathematically rigorous proofs.
Nonetheless, before an actual proof is developed, it is first necessary to form a
mental picture of the assumptions, conclusions, and implications of a theorem.
For this process a Venn diagram can be very helpful. You can practice Venn
diagrams by using them for some of the true/false statements in the exercises.

There are many other theorems dealing with operation on sets. One that is
particularly interesting is the theorem about de Morgan's Laws, because it deals
with any number of sets (even infinitely many). Drawing a Venn diagram in such
a situation would be impossible, but a mathematical proof can easily deal with
this situation:

Theorem: de Morgan’s Laws

o i.e. the complement of the intersection of any

number of sets equals the union of their complements.

o i.e. the complement of the union of any

number of sets equals the intersection of their complements.

So far, we have reviewed a few basic facts from set theory, and also got an idea
about how a course in Real Analysis will proceed:

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First, there are definitions, stating precisely what we are talking about. From those
definitions we derive new results, based on old results, notation, and logic. The
new results are called Theorems (if they are important or broad), Propositions (if
they are interesting, but not so broadly applicable) and Corollaries (which are
usually restatements of theorems or propositions in special situations). We will
proceed that way throughout the text.

The most difficult part of Real Analysis is trying to understand the proofs of new
results, or even developing your own proofs. While there are a few 'general'
methods for proofs, a lot of experience and practice is needed before you will feel
familiar with giving your own proofs. However, only a few proofs require real
ingenuity, and many other proofs can be understood by carefully reviewing the
definitions of terms involved. Therefore, as a rule:

o write down the precise mathematical definitions of all terms involved

before starting a proof

In following that rule, one often gets ideas about how to start a proof by starting
to manipulate the mathematical symbols involved in the precise definitions of the
terms.

Keep in mind that a proof can (almost) never be given by means of examples.
Working out a few examples can certainly be helpful - and should in fact always
be done before starting a proof - but they can not constitute a rigorous proof of a
general statement.

Two types of proofs will be encountered frequently, and deserve special attention:

o Proof by Induction: This type of proof is introduced in detail in the next

chapter.
o Proof by Contradiction: In this type of proof one assumes that the
proposition (i.e. what one actually would like to proof) is false. Then one
derives a contradiction, i.e. a logical impossibility. If that can be
accomplished, then one has shown that the negation of a statement will
result in an illogical situation. Hence, the original statement must be true.

Examples:

o Prove that when two even integers are multiplied, the result is an even
integer, and when two odd integers are multiplied, the result is an odd
integer.
o Prove that if the square of a number is an even integer, then the original
number must also be an even integer. (Try a proof by contradiction)
o Euclid's Theorem states that there is no largest prime. A proof by
contradiction would start out by assuming that the statement is false, i.e.
there is a largest prime. The advantage now is that if there was a largest

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prime, there would be only finitely many primes. This seems easier to
handle than the original statement which implies the existence of infinitely
many primes. Finish the proof.

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Countable Infinity

One of the more obvious features of the three number systems N, Z, and Q that were
introduced in the previous chapter is that each contains infinitely many elements. Before
defining our next (and last) number system, R, we want to take a closer look at how one
can handle 'infinity' in a mathematically precise way. We would like to be able to answer
questions like:

1. Are there more even than odd numbers ?

2. Are there more even numbers than integers ?
3. Are there more rational numbers than negative integers ?

While most people would probably agree that there are just as many even than odd
numbers, it might be surprising that the answer to the last two questions is no as well. All
of the sets mentioned have the same number - albeit infinite - of elements. The person
who first established a rigorous 'theory of the infinite' was G. Cantor.

The basic idea when trying to count infinitely large (or otherwise difficult to count) sets
can roughly be described as follows:

• Suppose you are standing in an empty classroom, with a lot of students waiting to
get in. How could you know whether there are enough chairs for everyone? You
can not count the students, because they walk around too much. So, you simply
let in the students, one by one, and take a seat. If all the seats are taken, and no
students are left standing, then there was the same number of students as chairs.

This simple idea of matching two sets element by element is the basis for comparing two
sets of any size, finite or infinite. Since 'matching elements from one set with those in
another set ' seems related to the concept of a function, we have arrived at the following
definition:

Definition: Cardinality

• Let A and B be two sets. We say that A and B have the same cardinality if there
is a bijection f from A to B. We write card(A) = card(B).
• If there exists a function f from A to B that is injective (i.e. one-to-one) we say
that card(A) card(B).
• If there exists a function f from A to B that is surjective (i.e. onto) we say that
card(A) card(B).

Please explain carefully what this definition has to do with the above idea of counting
students and chairs?

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Examples:

• We can now answer questions similar to the ones posed at the beginning:
1. Let E be the set of all even integers, O be the set of odd integers. Then
card(E) = card(O). What is the bijection ?
2. Let E be the set of even integers, Z be the set of all integers. Again,
card(E) = card(Z). Can you find the bijection ?
3. Let N be the set of natural numbers, Z be the set of all integers. Which set,
if any, has the bigger cardinality ?

Definition: Countable and Uncountable

• If a set A has the same cardinality as N (the natural numbers), then we say that A
is countable. In other words, a set is countable if there is a bijection from that set
to N.
• An alternate way to define countable is: if there is a way to enumerate the
elements of a set, then the set has the same cardinality as N and is called
countable.
• A set that is infinite and not countable is called uncountable.

The second part of this definition is actually just rephrasing of what it means to have a
bijection from N to a set A:

• If a set A is countable, there is a bijection f from N to A. Therefore, the elements

f(1), f(2), f(3), ... are all in A. But we can easily enumerate them, by putting them
in the following order: f(1) is the first element in A, f(2) is the second element in
A, f(3) is the third one, and so on...
• If a set A can be enumerated, then there is a first element, a second element, a
third element, and so on. Then the function that assigns to each element of A its
position in the enumeration process is a bijection between A and N and thus A is
countable by definition.

By the above examples, the set of even integers, odd integers, all positive and negative
integers are all countable.

Note that there is a difference between finite and countable, but we will often use the
word countable to actually mean countable or finite (even though it is not proper).
However, here is a nice result that distinguishes the finite from the infinite sets:

Theorem: Dedekind's Theorem

• A set S is infinite if and only if there exists a proper subset A of S which has the
same cardinality as S.

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Examples:

• Use Dedekind's Theorem to show that the set of integers Z and the interval of real
numbers between 0 and 2, [0, 2], are both infinite (which is of course not
surprising).

The surprising fact when dealing with countably infinite sets is that when combining two
countable sets one gets a new set that contains no more elements than each of the
previous sets. The next result will illustrate that.

Proposition: Combining Countable Sets

• Every subset of a countable set is again countable (or finite).

• The set of all ordered pairs of positive integers is countable.
• The countable union of countable sets is countable
• The finite cross product of countable sets is countable.

Think about these propositions carefully. It seems to be contrary to ones beliefs. To see
some rather striking examples for the above propositions, consider the following:

Examples:

• The set of all rational numbers is countable.

• The collection of all polynomials with integer coefficients is countable. To prove
this, follow these steps:
1. Show that all polynomials of a fixed degree n (with integer coefficients)
are countable by using the above result on finite cross products.
2. Show that all polynomials (with integer coefficients) are countable by
writing that set as a countable union of countable sets.

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Sequences

So far we have introduced sets as well as the number systems that we will use in this text.
Next, we will study sequences of numbers. Sequences are, basically, countably many
numbers arranged in a sequence that may or may not exhibit certain patterns. Here is the
formal definition of a sequence:

Definition: Sequence

• A sequence of real numbers is a function f: N R. In other words, a sequence

can be denoted by f(1), f(2), f(3), ..... Usually, we will denote such a sequence by

the symbol , where aj = f(j).

For example, the sequence 1, 1/2, 1/3, 1/4, 1/5, ... is written as . Keep in mind
that despite the strange notation, a sequence can be thought of as an ordinary function.
However, in many cases, that may not be the most expedient way to look at the situation.
It is often easier to simply look at a sequence as a 'string' of numbers that may or may not
exhibit a certain pattern.

We want to describe what the long-term behavior, or pattern, of a sequence may be, if
any.

Definition: Convergence

• A sequence of real (or complex) numbers is said to converge to a real (or

complex) number c if for every > 0 there is an integer N > 0 such that if j > N

then | aj - c | < . The number c is called the limit of the sequence and we
sometimes write aj c.

• If a sequence does not converge, then we say that it diverges.

Example:

• Consider the sequence . It converges to zero. Prove it.

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• The sequence does not converge. Prove it.

• The sequence converges to zero Prove it.

Convergent sequences, in other words, exhibit the behavior that they get closer and closer
to a particular number. Note, however, that divergent sequence can also have a regular
pattern, as in the second example above. But it is convergent sequences that will be
particularly useful to us right now.

We are going to establish several properties of convergent sequences, most of which are
probably familiar to you. Many proofs will use an ' argument' as in the proof of the next
result. This type of argument is not easy to get used to, but it will appear again and again,
so that you should try to get as familiar with it as you can.

Proposition: Convergent Sequences are Bounded

• Let be a convergent sequence. Then the sequence is bounded, and the

limit is unique.

Example:

• The Fibonacci numbers are recursively defined as x0 = 1, x1 = 1, and for all n > 1
we set xn = xn - 1 + xn - 2. Show that the sequence of Fibonacci numbers {1, 1, 2, 3,
5, ...} does not converge.

Convergent sequences can be manipulated on a term by term basis, just as one would
expect:

Proposition: Algebra on Convergent Sequences

• Suppose and are converging to a and b, respectively. Then

1. Their sum is convergent to a + b, and the sequences can be added term by
term.
2. Their product is convergent to a * b, and the sequences can be multiplied
term by term.
3. Their quotient is convergent to a / b, provide that b # 0, and the sequences
can be divided term by term (if the denominators are not zero).
4. If an bn for all n, then a b
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This theorem states exactly what you would expect to be true. The proof of it employs the
standard trick of 'adding zero' and using the triangle inequality. Try to prove it on your
own before looking it up.

Note that the fourth statement is no longer true for strict inequalities. In other words,
there are convergent sequences with an < bn for all n, but strict inequality is no longer true
for their limits. Can you find an example ?

While we now know how to deal with convergent sequences, we still need an easy
criteria that will tell us whether a sequence converges. The next proposition gives
reasonable easy conditions, but will not tell us the actual limit of the convergent
sequence.

First, recall the following definitions:

Definition: Monotonicity

• A sequence is called monotone increasing if aj + 1 aj for all j.

• A sequence is called monotone decreasing if aj aj + 1 for all j.

In other words, if every next member of a sequence is larger than the previous one, the
sequence is growing, or monotone increasing. If the next element is smaller than each
previous one, the sequence is decreasing. While this condition is easy to understand, there
are equivalent conditions that are often easier to check:

• Monotone increasing:
1. aj + 1 aj
2. aj + 1 - aj 0
3. aj + 1 / aj 1, if aj > 0
• Monotone decreasing:
1. aj + 1 aj
2. aj + 1 - aj 0
3. aj + 1 / aj 1, if aj > 0

Examples:

• Is the sequence monotone increasing or decreasing ?

• Is the sequence monotone increasing or decreasing ?

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• Is it true that a bounded sequence converges ? How about monotone increasing

sequences ?

Here is a very useful theorem to establish convergence of a given sequence (without,

however, revealing the limit of the sequence): First, we have to apply our concepts of
supremum and infimum to sequences:

• If a sequence is bounded above, then c = sup(xk) is finite. Moreover, given

any > 0, there exists at least one integer k such that xk > c - , as illustrated in
the picture.

• If a sequence is bounded below, then c = inf(xk) is finite. Moreover, given

any > 0, there exists at least one integer k such that xk < c + , as illustrated in
the picture.

Proposition: Monotone Sequences

• If is a monotone increasing sequence that is bounded above, then the

sequence must converge.

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• If is a monotone decreasing sequence that is bounded below, then the

sequence must converge.

Examples:

• Prove that the sequences and converge. What is their limit?

• Define x0 = b and let xn = xn - 1 / 2 for all n > 0. Prove that this sequence converges
for any number b. What is the limit ?

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Series and Convergence

So far we have learned about sequences of numbers. Now we will investigate what may
happen when we add all terms of a sequence together to form what will be called an
infinite series.

The old Greeks already wondered about this, and actually did not have the tools to quite
understand it This is illustrated by the old tale of Achilles and the Tortoise.

Zeno's Paradox (Achilles and the Tortoise)

Achilles, a fast runner, was asked to race against a tortoise. Achilles can run 10 meters
per second, the tortoise only 5 meter per second. The track is 100 meters long. Achilles,
being a fair sportsman, gives the tortoise 10 meter advantage. Who will win ?

• Both start running, with the tortoise being 10 meters ahead.

• After one second, Achilles has reached the spot where the tortoise started. The
tortoise, in turn, has run 5 meters.
• Achilles runs again and reaches the spot the tortoise has just been. The tortoise, in
turn, has run 2.5 meters.
• Achilles runs again to the spot where the tortoise has just been. The tortoise, in
turn, has run another 1.25 meters ahead.

This continuous for a while, but whenever Achilles manages to reach the spot where the
tortoise has just been a split-second ago, the tortoise has again covered a little bit of
distance, and is still ahead of Achilles. Hence, as hard as he tries, Achilles only manages
to cut the remaining distance in half each time, implying, of course, that Achilles can
actually never reach the tortoise. So, the tortoise wins the race, which does not make
Achilles very happy at all.

Obviously, this is not true, but where is the mistake ?

Now let's return to mathematics. Before we can deal with any new objects, we need to
define them:

Definition: Series, Partial Sums, and Convergence

• Let { a n } be an infinite sequence.

1. The formal expression is called an (infinite) series.

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2. For N = 1, 2, 3, ... the expression lim Sn = is called the N-th partial

sum of the series.
3. If lim Sn exists and is finite, the series is said to converge.
4. If lim Sn does not exist or is infinite, the series is said to diverge.

Note that while a series is the result of an infinite addition - which we do not yet know
how to handle - each partial sum is the sum of finitely many terms only. Hence, the
partial sums form a sequence, and we already know how to deal with sequences.

Examples:

• = 1/2 + 1/4 + 1/8 + 1/16 + ... is an infinite series. The 3rd, 4th, and 5th
partial sums, for example, are, respectively: 0.875, 0.9375, and 0.96875.
o Does this series converge or diverge ?

• = 1 + 1/2 + 1/3 + 1/4 + 1/5 + ... is another infinite series, called harmonic
series. The 3rd, 4th, and 5th partial sums are, respectively: 1.833, 2.0833, and
2.2833.
o Does this series converge or diverge ?

Actually, if a series contains positive and negative terms, many of them may cancel out
when being added together. Hence, there are different modes of convergence: one mode
that applies to series with positive terms, and another mode that applies to series whose
terms may be negative and positive.

Definition: Absolute and Conditional Convergence

• A series converges absolutely if the sum of the absolute values

converges.
• A series converges conditionally, if it converges, but not absolutely.

Examples:

• Does the series converge absolutely, conditionally, or not at all ?

• Does the series converge absolutely, conditionally, or not at all ?

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• Does the series converge absolutely, conditionally, or not at all (this

series is called alternating harmonic series) ?

Conditionally convergent sequences are rather difficult to work with. Several operations
that one would expect to be true do not hold for such series. The perhaps most striking
example is the associative law. Since a + b = b + a for any two real numbers a and b,
positive or negative, one would expect also that changing the order of summation in a
series should have little effect on the outcome. However:

Theorem: Order of Summation

• Let be an absolutely convergent series. Then any rearrangement of terms in

that series results in a new series that is also absolutely convergent to the same
limit.

• Let be a conditionally convergent series. Then, for any real number c there
is a rearrangement of the series such that the new resulting series will converge to
c.

This will be proved as an exercise. One sees, however, that conditionally convergent
series probably contain a few surprises. Absolutely convergent series, however, behave
just as one would expect.

Theorem: Algebra on Series

• Let and be two absolutely convergent series. Then:

1. The sum of the two series is again absolutely convergent. Its limit is the
sum of the limit of the two series.
2. The difference of the two series is again absolutely convergent. Its limit is
the difference of the limit of the two series.
3. The product of the two series is again absolutely convergent. Its limit is
the product of the limit of the two series (Cauchy Product).

We will give one more rather abstract result on series before stating and proving easy to
use convergence criteria. The one result that is of more theoretical importance is

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Theorem: Cauchy Criteria for Series

• The series converges if and only if for every > 0 there is an integer N > 1

such that if n > m > N then | |<

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Open and Closed Sets

In the previous chapters we dealt with collections of points: sequences and series. Each
time, the collection of points was either finite or countable.and the most important
property of a point, in a sense, was its location in some coordinate or number system.
Now will deal with points, or more precisely with sets of points, in a more abstract
setting. The location of points relative to each other will be more important than their
absolute location, or size, in a coordinate system. Therefore, concepts such as addition
and multiplication will not work anymore, and we will have to start, in a sense, at the
beginning again.

All of the previous sections were, in effect, based on the natural numbers. Those numbers
were postulated as existing and all other properties - including other number systems -
were deduced from those numbers and a few principles of logic.

We will now proceed in a similar way: first, we need to define the basic objects we want
to deal with, together with their most elementary properties. Then we will develop a
theory of those objects and called it topology.

Definition: Open and Closed Sets

• A set U R is called open, if for each x U there exists and > 0 such that the
interval ( x - , x + ) is contained in U. Such an interval is often called an -
neighborhood of x, or simply a neighborhood of x.
• A set F is called closed if the complement of F, R \ F, is open.

Examples:

• Which of the following sets are open, closed, both, or neither ?

1. The intervals (-3, 3), [4, 7], (-4, 5], (0, ) and [0, )
2. The sets R (the whole real line) and 0 (the empty set)
3. The set {1, 1/2, 1/3, 1/4, 1/5, ...} and {1, 1/2, 1/3, 1/4, ...} {0}

It is fairly clear that when combining two open sets (either via union or intersection) the
resulting set is again open, and the same statement should be true for closed sets. What
about combining infinitely many sets ?

Proposition: Unions of Open Sets, Intersections of Closed Sets

• Every union of open sets is again open.

• Every intersection of closed sets is again closed.
• Every finite intersection of open sets is again open
• Every finite union of closed sets is again closed.

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How complicated can an open or closed set really be ? The basic open (or closed) sets in
the real line are the intervals, and they are certainly not complicated. As it will turn out,
open sets in the real line are generally easy, while closed sets can be very complicated.

The worst-case scenario for the open sets, in fact, will be given in the next result, and we
will concentrate on closed sets for much of the rest of this chapter.

Proposition: Characterizing Open Sets

• Let U R be an arbitrary open set. Then there are countably many pairwise
disjoint open intervals such that U =

Next we need to establish some relationship between topology and our previous studies,
in particular sequences of real numbers. We shall need the following definitions:

Definition: Boundary, Accumulation, Interior, and Isolated Points

• Let S be an arbitrary set in the real line R.

1. A point b R is called boundary point of S if every non-empty
neighborhood of b intersects S and the complement of S. The set of all
boundary points of S is called the boundary of S, denoted by bd(S).
2. A point s S is called interior point of S if there exists a neighborhood of
S completely contained in S. The set of all interior points of S is called the
interior, denoted by int(S).
3. A point t S is called isolated point of S if there exists a neighborhood U
of t such that U S = {t}.
4. A point r S is called accumulation point, if every neighborhood of r
contains infinitely many distinct points of S.

Examples:

• What is the boundary and the interior of (0, 4), [-1, 2], R, and O ? Which points
are isolated and accumulation points, if any ?
• Find the boundary, interior, isolated and accumulation points, if any, for the set
{1, 1/2, 1/3, ... } {0}

Here are some results that relate these various definitions with each other.

Proposition: Boundary, Accumulation, Interior, and Isolated Points

• Let S R. Then each point of S is either an interior point or a boundary point.

• Let S R. Then bd(S) = bd(R \ S).
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• A closed set contains all of its boundary points. An open set contains none of its
boundary points.
• Every non-isolated boundary point of a set S R is an accumulation point of S.
• An accumulation point is never an isolated point.

Finally, here is a theorem that relates these topological concepts with our previous notion
of sequences.

Theorem: Closed Sets, Accumulation Points, and Sequences

• A set S R is closed if and only if every Cauchy sequence of elements in S has a

limit that is contained in S.
• Every bounded, infinite subset of R has an accumulation point.

• If S is closed and bounded, and is any sequence in S, then there exists a

subsequence of that converges to an element of S.

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Limits of Functions

We now want to combine some of the concepts that we have introduced before:
functions, sequences, and topology. In particular, if we have some function f(x) and a
given sequence { an }, then we can apply the function to each element of the sequence,
resulting in a new sequence. What we would want is that if the original sequence
converges to some number L, then the new sequence { f( an )} should converge to f(L),
and if the original sequence diverges, the new one should diverge also. This seems not
too much to ask for, but is quite simple minded.

Example:

• Consider the function f, where f(x) = 1 if x 0 and f(x) = 2 if x > 0.

1. The sequence { 1/n } converges to 0. What happens to the sequence { f( 1/
n)}?
2. The sequence { 3 + (-1)n } is divergent. What happens to the sequence { f (
3 + (-1)n ) } ?
3. The sequence { (-1)n / n } converges to zero. What happens to the
sequence { f ( (-1)n / n ) } ?

As the above easy example shows, things can be more complicated than anticipated.
Therefore, we have to attack the problem more systematically. First, we need to define
what we mean by 'limit of a function'.

Definition: Limit of a Function (sequences version)

• A function f with domain D in R converges to a limit L as x approaches a number

c if for any sequence { xn in D that converges to c the sequence { f ( xn ) }
converges to L.

We write f(x) = L

Examples:

• Apply this definition in these cases:

1. Let f(x) = m x + b. Then does the limit of that function exist at an arbitrary
point x ?
2. Let g(x) = [x], where [x] denotes the greatest integer less than or equal to
x. Then does the limit of g exist at an integer ? How about at numbers that
are not integers ?
3. In the above definition, does c have to be in the domain D of the
function ? Is c in the closure(D) ? Do you know a name for c in terms of
topology ?

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The above definition works quite well to show that a functionis not continuous, because
you only have to find one particular sequence whose images do not converge as a
sequence. It is not a good definition, in general, to prove convergence of a function,
because you will have to check every possible convergent sequence, and that is hard to
do. We would therefore like another definition of convergence or limit of a function.

Definition: Limit of a function (epsilon-delta Version)

• A function f with domain D in R converges to a limit L as x approaches a number

c closure (D) if: given any > 0 there exists a > 0 such that:
o if x D and | x - c | < then | f(x) - L | <

Example:

• Consider the function f with f(x) = 1 if x is rational and f(x) = 0 if x is irrational.

Does the limit of f(x) exist at an arbitrary number x ?

Regardless of which of the two definitions might be considered easier to use in a

particular situation, the basic problem right now is that we have two different definitions
for the same concept. We therefore have to show that both definitions are actually
equivalent to each other.

Proposition: Equivalence of Definitions of Limits

• If f is any function with domain Din R, and c closure(D) then the following are
equivalent:
1. For any sequence { xn } in D that converges to c the sequence { f ( xn ) }
converges to L
2. given any > 0 there exists a > 0 such if x closure(D) and | x - c | <
then | f(x) - L | <

In other words, both definitions of continuity are equivalent, and we can use which ever
seems the easiest. Here are some basic properties of limits of functions.

Proposition: Properties for limits of Functions

• If f(x) exists, the limit is unique.

• [ f(x) + g(x) ] = f(x) + g(x), provided that f(x) and g(x)
exist.
• [ f(x) g(x) ] = f(x) g(x), provided that f(x) and g(x) exist.

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• [ f(x) / g(x) ] = f(x) / g(x), provided that f(x) and g(x)

exist and g(x) # 0.

Sometimes a function may not have a limit using the above definitions, but when the
domain of the function is restricted, then a limit exists. This leads to the concepts of one-
sided limits.

Definition: One-Sided Limits of a Function

• If f is a function with domain D and c closure(D). Then:

1. f has a left-hand limit L at c if for every > 0 there exists > 0 such that

if x D and c - < x < c then | f(x) - L | < . We write f(x) = L.

2. f has a right-hand limit L at c if for every > 0 there exists > 0 such

that if x D and c < x < c + then | f(x) - L | < . We write f(x) =

L.

This is the formal definition of x approaching c either only from the right side, or only
from the left side. These one-sided limits are related to regular limits in a straight forward
manner:

Proposition: Limits and One-Sided Limits

• f(x) = L if and only if f(x) = L and f(x) = L

Now that we have some idea about limits of functions, we will move to the next question:
if some sequence converges to c, and the function converges to L as x approaches c, then
when is it true that f(c) = L ? This will be the contents of the next section, continuity.

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The Riemann Integral

In a calculus class integration is introduced as 'finding the area under a curve'. While this
interpretation is certainly useful, we instead want to think of 'integration' as more
sophisticated form of summation. Geometric considerations, in our situation, will not be
so fruitful, whereas the summation interpretation of integration will make many of its
properties easy to remember.

First, as usual, we need to define integration before we can discuss its properties. We will
start with defining the Riemann integral, and we will move to the Riemann-Stieltjes and
the Lebesgue integral later.

Definition: Partition of an Interval

• A partition P of the closed interval [a, b] is a finite set of points P = { x0, x1,
x2, ..., xn} such that
o a = x0 < x1 < x2 < ... < xn-1 < xn = b
• The maximum difference between any two consecutive points of the partition is
called the norm or mesh of the partition and denoted as | P |, i.e.
o | P | = max { xj - xj-1, j = 1 ... n }
• A refinement of the partition P is another partition P' that contains all the points
from P and some additional points, again sorted in order of magnitude.

Examples:

• What is the norm of a partition of 10 equally spaced points in the interval [0, 2] ?
• What is the norm of a partition of n equally spaced points in the interval [a, b] ?
• Show that if P' is a refinement of P then | P' | | P |.

Using these partitions, we can define the following finite sum:

Definition: Riemann Sums

If P = { x0, x1, x2, ..., xn} is a partition of the closed interval [a, b] and f is a function
defined on that interval, then the Riemann Sum of f with respect to the partition P is
defined as:

• R(f, P) = f(tj) (xj - xj-1)

where tj is an arbitray number in the interval [xj-1, xj].

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Note: If the function f is positive, a Riemann Sum

geometrically corresponds to a summation of areas of
rectangles with length xj - xj-1 and height f(tj).

Examples

• Suppose f(x) = x2 on [0, 2]. Find

1. the fifth Riemann sum for an equally spaced partition, taking always the
left endpoint of each subinterval
2. the fifth Riemann sum for an equally spaced partition, taking always the
right endpoint of each subinterval
3. the fifth Riemann sum for an equally spaced partition, taking always the
midpoint of each subinterval.

Riemann sums have the practical disadvantage that we do not know which point to take
inside each subinterval. To remedy that one could agree to always take the left endpoint
(resulting in what is called the left Riemann sum) or always the right one (resulting in the
right Riemann sum). However, it will turn out to be more useful to single out two other
close cousins of Riemann sums:

Definition: Upper and Lower Sum

Let P = { x0, x1, x2, ..., xn} be a partition of the closed interval [a, b] and f a bounded
function defined on that interval. Then:

• the upper sum of f with respect to the partition P is defined as:

o U(f, P) = cj (xj - xj-1)

where cj is the supremum of f(x) in the interval [xj-1, xj].

• the lower sum of f with respect to the partition P is defined as

o L(f, P) = dj (xj - xj-1)

where dj is the infimum of f(x) in the interval [xj-1, xj].

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Here is an example where the upper sum in

displayed in dark brown and the lower sum in
light brown.

The partition P = {0.5, 1, 1.5, 2}, and the

numbers for the sums are chosen:

• for the upper sum: c1 = f(1), c2 = f(2),

and c3 = f(1)

• for the lower sum: d1 = f(0.5), d2 = f(1),

and d3 = f(2)

Examples:

• Suppose f(x) = x2-1 for x in the interval [-1, 1]. Find:

1. The left and right sums where the interval [-1, 1] is subdivided into 10
equally spaced subintervals.
2. The upper and lower sums where the interval [-1, 1] is subdivided into 10
equally spaced subintervals.
3. The upper and lower sums where the interval [-1,1] is subdivided into n
equally spaced subintervals.
• Why is, in general, an upper (or lower) sum not a special case of a Riemann sum ?
Find a condition for a function f so that the upper and lower sums are actually
special cases of Riemann sums.
• Find conditions for a function so that the upper sum can be computed by always
taking the left endpoint of each subinterval of the partition, or conditions for
always being able to take the right endpoints.
• Suppose f is the Dirichlet function, i.e. the function that is equal to 1 for every
rational number and 0 for every irrational number. Find the upper and lower sums
over the interval [0, 1] for an arbitrary partition.

These various sums are related via a basic inequality, and they are also related to a
refinement of the partition in the following theorem:

Proposition: Size of Riemann Sums

Suppose P = { x0, x1, x2, ..., xn} is a partition of the closed interval [a, b], f a bounded
function defined on that interval. Then we have:

• The lower sum is increasing with respect to refinements of partitions, i.e.

L(f, P) L(f, P') for every refinement P' of the partition P
• The upper sum is decreasing with respect to refinements of partitions, i.e.
U(f, P) U(f,P') for every refinement P' of the partition P
• L(f, P) R(f, P) U(f, P) for every partition P

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In other words, the lower sum is always less than or equal to the upper sum, and the
upper sum is decreasing with respect to a refinement of the partition while the lower sum
is increasing with respect to a refinement of the partition. Hence, a natural question is:
will the two quantities ever coincide ?

Definition: The Riemann Integral

Suppose f is a bounded function defined on a closed, bounded interval [a, b]. Define

• the upper integral I*(f) = inf{ U(f,P): P a partition of [a, b]}

• the lower integral I*(f) = sup{ L(f,P): P a partition of [a, b]}

Then if I*(f) = I*(f) the function f is called Riemann integrable and the Riemann integral

of f over the interval [a, b] is denoted by f(x) dx

Note that upper and lower sums depend on the particular partition chosen, while the
upper and lower integrals are independent of partitions. However, this definition is very
difficult for practical applications, since we need to find the sup and inf over any
partition.

Examples

• Show that the constant function f(x) = c is Riemann integrable on any interval [a,
b] and find the value of the integral.
• Is the function f(x) = x2 Riemann integrable on the interval [0,1] ? If so, find the
value of the Riemann integral. Do the same for the interval [-1, 1].
• Is the Dirichlet function Riemann integrable on the interval [0, 1] ?

The third example shows that not every function is Riemann integrable, and the second
one shows that we need an easier condition to determine integrability of a given function.
The next lemma provides such a condition for integrability.

Lemma: Riemann's Lemma

Suppose f is a bounded function defined on the closed, bounded interval [a, b]. Then f is
Riemann integrable if and only if for every > 0 there exists at least one partition P such
that
| U(f,P) - L(f,P) | <

Examples

• Is the function f(x) = x2 Riemann integrable on the interval [0,1] ? If so, find the
value of the Riemann integral. Do the same for the interval [-1, 1] (since this is

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the same example as before, using Riemann's Lemma will hopefully simplify the
solution).
• Let f(x) = 0 if x is irrational and f(p/q) = 1/q if x = p/q is rational, p, q relatively
prime and q > 0, and assume f is restricted to [0, 1]. Is f Riemann integrable ? If
so, what is the value of the integral ?

Now we can state some easy conditions that the Riemann integral satisfies. All of them
are easy to memorize if one thinks of the Riemann integral as a somewhat glorified
summation.

Proposition: Properties of the Riemann Integral

Suppose f is a Riemann integrable function defined on [a, b]. Then

• c f(x) + d g(x) dx = c f(x) dx + d g(x) dx

• If a < b then f(x) dx = f(x) dx + f(x) dx

• | f(x) dx | | f(x) | dx

• If g is another function defined on [a, b] such that g(x) on [a, b], then g(x) dx

f(x) dx
• If g is another Riemann integrable function on [a, b] then f(x) . g(x) is integrable
on [a, b]

Examples

• Find an upper and lower estimate for x sin(x) dx over the interval [0, 4].

• Suppose f(x) = x2 if x 1 and f(x) = 3 if x > 1. Find f(x) dx over the interval [-1,
2].
• If f is an integrable function defined on [a, b] which is bounded by M on that

interval, prove that M (a - b) f(x) dx M (b - a)

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Now we can illustrate the relation between Riemann integrable and continuous functions.

Theorem: Riemann Integrals of Continuous Functions

Every continuous function on a closed, bounded interval is Riemann integrable. The

converse is false.

Note that this theorem does not say anything about the actual value of the Riemann
integral. Also, we can drop the explicit condition that f is bounded, since every
continuous function on a compact set is automatically bounded.

Since differentiable functions are continuous, this result therefore implies that

• { integrable functions } { continuous functions } { differentiable functions}

and each set is in fact a proper subset of the next.

Examples

• Find a function that is not integrable, a function that is integrable but not
continuous, and a function that is continuous but not differentiable.

To finalize the relation between integrable and continuous functions, the following
theorem can be proved:

Theorem: Riemann Integrals of almost Continuous Functions

• If f is a bounded function defined on a closed, bounded interval [a, b] and f is

continuous except at countably many points, then f is Riemann integrable.

The converse is also true:

• If f is a bounded function defined on a closed, bounded interval [a, b] and f is

Riemann integrable, then f is continuous on [a, b] except possibly at countably
many points.

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Examples

• Show that every monotone function defined on [a, b] is Riemann integrable.

Now that we have easy conditions to determine which functions are integrable, it would
also be convenient to have a nice shortcut to easily compute the actual value of an
integral.

Theorem: Fundamental Theorem of Calculus

Suppose f is an integrable function defined on the closed, bounded interval [a, b], define a
new function:

• F(x) = f(t) dt

Then F is continuous in [a, b]. Moreover, if f is also continous, then F is differentiable in

(a, b) and

• F'(x) = f(x) for all x in [a, b].

Note that this theorem has an easy corollary that enables us to quickly find the value of
an integral in many situations.

Corollary: Integral Evaluation Shortcut

Suppose f is an continuous function defined on the closed, bounded interval [a, b], and F
is a function on [a, b] such that F'(x) = f(x) for all x in (a, b). Then

• f(x) dx = F(b) - F(a)

Before we look at several examples, we should rephrase these results in less rigorous
notation. The first theorem says, basically:

f(x) dx = f(x)
while the corollary states, basically, that:

f(x) dx = f(b) - f(a)

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Hence, loosely speaking, integration and differentiation are inverse operations of each
other.

Examples

• Define a function F(x) = x2 sin(x) dx for x in the interval [a, a + 10].

1. Find F(a)
2. Find F'(x)
3. Find F''(x)
4. Find all critical points of F(x) in [a, a + 10]
• Find the value of the following integrals:

1. x5 - 4 x2 dx on the interval [0, 2].

2. 1/x2 + cos(x) dx on the interval [1, 4].

3. (1 + x2)-1 dx on the interval [-1, 1].

• Show that if one starts with an integrable function f in the Fundamental Theorem
of Calculus that is not continuous, the corresponding function F may not be
differentiable.

In the next chapter we will introduce the Riemann-Stieltjes integral, and also learn two

more shortcuts to compute the value of an integral called substitution method and

integration by parts.

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