Chapter 5

IMPROPER INTEGRALS

5.1 De…nitions

De…nition 54 A function f is said to be locally integrable on I if it is integrable

on every interval [a; b] I

De…nition 55 Let f be a function de…ned on the interval [a; b[ = I (where b = +1)

Zb
and locally integrable on I: We say that the integral f (x) dx converges at b if the
a
Zx
function F (x) = f (t) dt de…ned on [a; b[ has a …nite limit as x ! b (this …nite
a
Zb
limit is called the integral of f on [a; b[ and is denoted as f (t) dt); otherwise,
a
Zb
f (t) dt is said to be divergent.
a

Zb
- Let f be a function de…ned on I = ]a; b] (where b = 1) can be f (x) dx and
a
Zb
locally integrable on I. We say that the integral F (x) = f (t) dt converges at a if
x

48
CHAPTER 5. IMPROPER INTEGRALS 49

Zb
the function F (x) = f (t) dt de…ned on ]a; b] ahas a …nite limit as x ! a:
x

Z+1
dx
Example 56 I = .
x
a

Z+1 +1
dx 1
1. For 6 1; I =
= = 1
.
x ( 1) x 1
a
1
If >1)I= ; so I converges.
1
If < 1 ) I diverges.
Z+1
dx
2. For = 1; I = = [ln x]+1
1 = +1; so I diverges.
x
a

Example 57 Study the convergence of the following integrals:

Z+1
a) e t dt :
0

Zx Z+1
t x x
We have e dt = 1 e , and as lim e = 0; e t dt is convergent and equals
x!+1
0 0
1.
Z+1
b) cos tdt :
0

Zx Z+1
We have cos tdt = sin x; as lim sin x does not exist, cos tdt is divergent.
x!+1
0 0

Z2
1
c) dt :
t 1
1

Z2
1
We have dt = ln (x 1) if x > 1: As lim ln (x 1) = 1; the integral
t 1 x!1
>
x
Z2
1
dt is divergent.
t 1
1
CHAPTER 5. IMPROPER INTEGRALS 50

- Let f be a function de…ned on I = ]a; b[ except possibly at isolated points; a or

b could be 1 or +1 . Suppose that the function f is locally integrable on I. We

Zb
say that the integral f (t) dt is convergent (at both a and b) if there exists c 2 ]a; b[
a
Zc Zb
such that f (t) dt and f (t) dt are both convergent. By de…nition, we set
a c

Zb Zc Zb
f (t) dt = f (t) dt + f (t) dt:
a a c

Z2
dt
Example 58 I = .
t 1
0
Z1 Z2
dt dt
We have I = +
t 1 t 1
0 1
Z1 Z2
dt dt
is divergent and is divergent ) I is divergent.
t 1 t 1
0 1

5.2 Absolute Convergence of Improper Integrals

Zb Zb
De…nition 59 We say that the integral f (t) dt is absolutely convergent if jf (t)j dt
a a
is convergent.

Zb Zb
Theorem 60 f (t) dt absolutely convergent ) f (t) dt convergent. Indeed, since
a a
Zb Zb
for all real t : jf (t)j f (t) jf (t)j ; then f (t) dt jf (t)j dt:
a a
Zb Zb Zb
As jf (t)j dt < +1; we have f (t) dt < +1; so f (t) dt is convergent.
a a a

Z+1
t
Example 61 e sin tdt
0
CHAPTER 5. IMPROPER INTEGRALS 51

Z+1 Z+1 Z+1

t t
We have je sin tj dt = e jsin tj dt e t dt < +1;
0 0 0
Z+1 Z+1
t t
so e sin tdt is absolutely convergent, and therefore, e sin tdt is conver-
0 0
gent.

5.3 Some Convergence Criteria

Zb
Majorization Convergence Criterion: If f is positive, then the integral f (t) dt
a
Zx
converges at b if the function F (x) = f (t) dt is bounded on [a; b[ :
a
Comparison Criterion: Let f and g be two positive functions, de…ned and

locally integrable on [a; b[ :

If there exists M > 0 such that f (x) M g (x) 8x 2 [a; b[ ; then:

Zb Zb
g (t) dt < +1 ) f (t) dt < +1:
a a

Equivalence Criterion: Given two positive functions f and g de…ned and

locally integrable on [a; b[ : Let l = lim fg(x)

(x)
: Then
<
x!b
Zb Zb
- if l = 0; g (x) dx converges ) f (x) dx converges.
a a
Zb Zb
- if l = +1; then if f (x) dx diverges ) g (x) dx diverges
a a
- if l is …nite, both integrals are of the same nature.

1
Remark 62 In applications, the function g (x) = is frequently used.
x
Z+1
t2
Example 63 a) Convergence of e dt (comparison with e t )
0
CHAPTER 5. IMPROPER INTEGRALS 52

Z+1
t t2 1
b) Show that t e dt converges for > 0 comparison with t2
1

Z+1
t t2 1
c) Show that t e dt converges for > 0 (comparaison with t )
1

5.4 Reference Integrals

- Riemann Integrals:
Z+1
dt
t
; (a > 0) ; converges if > 1:
a

Za
dt
t
; (a > 0) ; converges if < 1:
0

- Bertrand Integrals:

Let ; 2R
Z+1
dt
t (ln(t))
; (a > 0) ; converges if ( > 1) or ( = 1 and > 1) :
a

- Gauss Integrals:
Z+1 p
t2
The integral e dt converges and equals 2
0

- Dirichlet Integrals:
Z+1
sin t
The integral t
dt converges and equals 2 :
0

- Fresnel Integrals:
Z+1 Z+1
2
The integrals sin t dt and cos t2 dt are convergent and equal p :
2 2
0 0
CHAPTER 5. IMPROPER INTEGRALS 53

Let’s show that the …rst integral converges:

Z+1 Z+1
2 sin t2
sin t dt = 2t dt:
2t
0 0

1 0 1
We set u = 2t
!u = t2

0 sin t2
v = ! v = sin t2
2t

Z+1 +1 Z+1 Z+1

sin t2 sin t2 sin t2
sin t2 dt = dt = dt
2t 0 t2 t2
0 0 0
Z1 Z+1
sin t2 sin t2
= dt dt:
t2 t2
0 1

sin t2
The …rst integral converges because lim 2 = 1:
t!+1 t

Z+1
sin t4 1 1
For the second integral, we have t2 t2
: Since t2
dt is convergent, it follows
1
Z+1 Z+1
sin t2
that t2
dt is convergent. In conclusion, sin t2 dt is convergent.
1 0

5.5 Integral depending on a parameter

5.5.1 Limit passage under the integral sign

Z
We study lim fn (t) dt:
n!+1
I
Zb Zb
If I = [a; b] ; we know that if fn are continuous and fn ! f (CU), then fn ! f dt:
a a
Let ffn g be a sequence of functions from I to K (K = R or C) :
CHAPTER 5. IMPROPER INTEGRALS 54

1) fn are piecewise continuous on I;

2) fn ! f simply, where f is piecewise continuous on I;

3) 9' : I ! R+ piecewise continuous on I and integrable, verifying 8n 2 N

jfn (x)j ' (x) ;

Z Z
then the functions fn are integrable on I; and thus fn ! f dt:
I I

Z+1
1+2 sin( nt )
Example 64 Study lim 1+t2
dt:
n!+1
1
Let f : R ! R; de…ned by

t
1 + 2 sin n
fn (t) = :
1 + t2

1
We have fn ! f; simply with f (t) = 1+t2
: The functions fn and f are piecewise

continuous. Moreover,
3
jfn (t)j = ' (t) :
1 + t2

By dominated convergence, the functions fn and f are integrable, and

Z+1 t Z+1
1 + 2 sin n 1
lim dt = dt:
n!+1 1 + t2 1 + t2
1 1

5.5.2 Continuity of a parameter-dependent integral

We study functions of the form

Z
g:x2X! f (x; t) dt;
I

where X s often an interval in R:

Continuity by Domination:

If f : X I ! K is such that
CHAPTER 5. IMPROPER INTEGRALS 55

1. For all x 2 X; t ! f (x; t) is piecewise continuous on I;

2. For all t 2 I; x ! f (x; t) is piecewise continuous on X;

3. There exists ' : I ! R+ , piecewise continuous and integrable, such that

8 (x; t) 2 X I; jf (x; t)j ' (t) ;

Z
then the function g : x ! f (x; t) dt is well-de…ned and continuous on I:
I

Z+1
e Xt
Example 65 De…nition and continuity of g (x) = 1+t2
dt with x 2 R+
0
e xt
Consider f (x; t) ! 1+t2
de…ned onr R+ [0; +1[ :

For all t 2 [0; +1[ ; x ! f (x; t) is continuous on R+ :

1
For all (x; t) 2 R+ [0; +1[ ; jf (x; t)j ' (t) = 1+t2
; where ' : [0; +1[ ! R+
1
is piecewise continuous on [0; +1[ because ' (t) s t2
when t is very large.

By domination, the function g is well-de…ned and continuous on R+ :

5.5.3 Di¤erentiation of a parameterized integral

Z
We study functions of the form g : x 2 X ! f (x; t) dt where X is an interval in
I
R:

De…nition 66 Let f : (x; t) ! f (x; t) be de…ned on X I: We say that f has a

@f
partial derivative @x
if 8t 2 I, the function x ! f (x; t) is di¤erentiable. In this
@f d
case, we de…ne @x
(x; t) = dx
f (x; t) : Let f : X I ! K be such that f has a partial
@f
derivative @x
: If, in addition,

1. For all x 2 X t ! ' (x; t) is piecewise continuous and integrable on I;

CHAPTER 5. IMPROPER INTEGRALS 56

2. For all x 2 X t ! f (x; t) is piecewise continuous on I;

@f
3. For all x 2 X t ! @x
(x; t) is piecewise continuous on I;

@f
4. For all x 2 X t ! @x
(x; t) is continuous on X;

5. There exists ' : I ! R+ that is piecewise continuous and integrable, such that

@f
8 (x; t) 2 X I: (x; t) ' (t) ;
@x

Z
then the function g : x ! f (x; t) dt is well-de…ned and C 1 on X; with
I
Z
0 @f
g (x) = @x
(x; t) dt:
I

Z+1
t2
Example 67 Calculation of g (x) = e cos (xt) dt with x 2 R:
0
t2
Let f (x; t) = e cos (xt), here X = R; I = [0; +1[ : f is de…ned on R [0; +1[
@f t2
and has a partial derivative @x
(x; t) = te sin (xt) ;

For all x 2 R; f (x;t)

1 ! 0 as t ! +1, so t ! f (x; t) is piecewise continuous on
t2

[0; +1[ ;
@f
For all x 2 R; t ! @x
(x; t) is piecewise continuous on [0; +1[ ;
@f
For all t 2 [0; +1[ ; x ! @x
(x; t) is continuous on R;
@f t2
Moreover, for all (x; t) 2 R [0; +1[ : @x
(x; t) te = ' (t) where ' :

[0; +1[ ! R is piecewise continuous and integrable on [0; +1[ :

Z+1
0 2
By domination, the function g is C 1 , and g (x) = te t sin (xt) dt:
0
0 t2
Let V = te and U = sin (xt) ; then

+1 Z+1
0 1 t2 x t2
g (x) = e sin (xt) e cos (xt) dt;
2 0 2
0
CHAPTER 5. IMPROPER INTEGRALS 57

resulting in the …rst-order linear di¤erential equation for g

0 x
g (x) = g (x) :
2

g is a solution to a …rst-order linear di¤erential equation with the initial condition

p
g (0) = 2
, and we obtain
p
1 2
x
g (x) = e 2 :
2
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