Real Analysis two Lectures

By Engr. Andrew Agbor A. (PhD. fellow)

Spring 2025

LECTURE III

IMPROPER INTEGRALS
𝑏
We defined the integral (∫𝑎 𝑓(𝑥)𝑑𝑥) under the conditions that f is defined and bounded on the
bounded interval [a; b]. In this lecture, we will extend the theory of integration to bounded
functions defined on unbounded intervals and also to unbounded functions defined on bounded
or unbounded intervals.
𝑥
Suppose 𝑓 is Riemann integrable on [𝑎, 𝑥] 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥 > 𝑎, 𝑖. 𝑒 ∫𝑎 𝑓(𝑡)𝑑𝑡 exists for all 𝑥 > 𝑎.
𝑥
If lim ∫𝑎 𝑓(𝑡)𝑑𝑡 = 𝐿, 𝑓𝑜𝑟 𝑠𝑜𝑚𝑒 𝐿 ∈ ℝ, we say the improper integral
𝑥→∞
∞ ∞
∫𝑎 𝑓(𝑡)𝑑𝑡 𝑐𝑜𝑛𝑣𝑒𝑟𝑔𝑒𝑠 𝑡𝑜 L, which can be expressed as ∫𝑎 𝑓(𝑡)𝑑𝑡 = 𝐿
∞ 1
For example, the improper integral ∫1 𝑑𝑡 converges because
𝑡2

𝑥 1 1
∫1 𝑑𝑡 = 1 − 𝑥 = 1 𝑎𝑠 𝑥 → ∞.
𝑡2

∞1
Exercise; Say whether or not the improper integral ∫1 𝑑𝑡 converges.
𝑡

NB: An improper integral that does not converge, is said to diverge.

Improper integrals are divided into two categories; type 1 and type 2
a) Improper Integrals of type 1
These are improper integrals that takes one of the following forms;
𝑏
i) ∫−∞ 𝑓(𝑥)𝑑𝑥
∞
ii) ∫𝑎 𝑓(𝑥)𝑑𝑥
∞
iii) ∫−∞ 𝑓(𝑥)𝑑𝑥
So, we can say that improper integrals of type I are integrals with which one or both of
the limits of integration is indefinite (infinity).
In this case, the above integrals can be evaluated as follows
𝑏
For (i), If ∫𝑡 𝑓(𝑥)𝑑𝑥 is defined for all 𝑡 < 𝑏, then;
𝑏 𝑏

∫ 𝑓(𝑥)𝑑𝑥 = lim ∫ 𝑓(𝑥)𝑑𝑥

𝑡→−∞
−∞ 𝑡

Examples
 0 1
Evaluate the improper integral ∫−∞ 1+𝑥 2 𝑑𝑥 and say whether it converges or diverges

Solution
0 0
1 1 𝜋
∫ 2
𝑑𝑥 = lim ∫ 2
𝑑𝑥 = lim [𝑡𝑎𝑛−1 (𝑥)]0𝑡 =
1+𝑥 𝑡→−∞ 1+𝑥 𝑡→∞ 2
−∞ 𝑡
0 1 𝜋
Hence ∫−∞ 1+𝑥 2 𝑑𝑥 converged to 2
𝑡
For (ii), If ∫𝑎 𝑓(𝑥)𝑑𝑥 is defined for all 𝑡 > 𝑎, 𝑡ℎ𝑒𝑛;

∞ 𝑡

∫ 𝑓(𝑥)𝑑𝑥 = lim ∫ 𝑓(𝑥)𝑑𝑥

𝑡→∞
𝑎 𝑎

Example
∞ 1
Evaluate the improper integral ∫1 𝑑𝑡 and say whether it converges or diverges
𝑡2

Solution
∞ 𝑥 𝑥𝑥
1 1 −2 1 −2+1
∫ 2 𝑑𝑡 = lim ∫ 2 𝑑𝑡 = lim ∫ 𝑡 𝑑𝑡 = lim [ 𝑡 ]
𝑡 𝑥→∞ 𝑡 𝑥→∞ 𝑥→∞ −2 + 1
1 1 1 1

1 𝑥 𝑥 −1 𝑥
= lim [−1 𝑡−1 ] = lim [−𝑡−1 ] = lim [ 𝑡 ] =
𝑥→∞ 1 𝑥→∞ 1 𝑥→∞ 1
−1 −1 1
= lim [ − ( )] = lim (1 − ) = 1 − 0 = 1
𝑥→∞ 𝑥 1 𝑥 𝑥→∞
∞ 1 ∞ 1
Since ∫1 𝑑𝑡 = 1 which is finite, we say the improper integral ∫1 𝑑𝑡 converges.
𝑡2 𝑡2

For (iii), If (i) and (ii) are both defined then;

∞ 0 ∞ 0 𝑡

∫ 𝑓(𝑥)𝑑𝑥 = ∫ 𝑓(𝑥)𝑑𝑥 + ∫ 𝑓(𝑥)𝑑𝑥 = lim ∫ 𝑓(𝑥)𝑑𝑥 + lim ∫ 𝑓(𝑥)𝑑𝑥

𝑡→−∞ 𝑡→∞
−∞ −∞ 0 𝑡 0

Examples
∞ 1
Evaluate ∫−∞ 1+𝑥 2 𝑑𝑥, and say whether it converges or not

Solution
 ∞ 0 ∞
1 1 1
∫ 2
𝑑𝑥 = ∫ 2
𝑑𝑥 + ∫ 𝑑𝑥
1+𝑥 1+𝑥 1 + 𝑥2
−∞ −∞ 0

0 𝑡
1 1
= lim ∫ 𝑑𝑥 + lim ∫ 𝑑𝑥
𝑡→−∞ 1 + 𝑥2 𝑡→∞ 1 + 𝑥2
𝑡 0
= lim [𝑡𝑎𝑛−1 (𝑥)]0𝑡
+ lim [𝑡𝑎𝑛−1 (𝑥)]0𝑡
𝑡→−∞ 𝑡→∞
𝜋 𝜋
= + =𝜋
2 2
∞ 1 0 1 ∞ 1 𝜋 𝜋
∴ ∫−∞ 𝑑𝑥 = ∫−∞ 𝑑𝑥 + ∫0 𝑑𝑥 = + = 𝜋.
1+𝑥 2 1+𝑥 2 2 1+𝑥 2 2
Which converges
Type II (Discontinuous integrands)
These integrals have integrands that have a point of discontinuity in the interval for which the
function is being integrated.
These points of discontinuity can be elaborated below as follows
1.) If 𝑓(𝑥) is continuous on (𝑎, 𝑏] and discontinuous at 𝑥 = 𝑎, that is the function f is
discontinuous at a. Then we have that
𝑏 𝑏

∫ 𝑓(𝑥)𝑑𝑥 = lim+ ∫ 𝑓(𝑥)𝑑𝑥

𝑡→𝑎
𝑎 𝑡

2.) If 𝑓(𝑥) is continuous on [𝑎, 𝑏) and discontinuous at 𝑥 = 𝑏, that is the function f

has the point 𝑥 = 𝑏 as a point of discontinuity. Then we will have that
𝑏 𝑡

∫ 𝑓(𝑥)𝑑𝑥 = lim− ∫ 𝑓(𝑥)𝑑𝑥

𝑡→𝑏
𝑎 𝑎
3.) If 𝑓(𝑥) is discontinuous at 𝑥 = 𝑐, where 𝑎 < 𝑐 < 𝑏, and continuous on
[𝑎, 𝑐) ∪ (𝑐, 𝑏], then
𝑏 𝑐 𝑏

∫ 𝑓(𝑥)𝑑𝑥 = ∫ 𝑓(𝑥)𝑑𝑥 + ∫ 𝑓(𝑥)𝑑𝑥

𝑎 𝑎 𝑐

2 1
Examples: Evaluate the indefinite integral ∫
−1 𝑥−1
𝑑𝑥
Solution
a) Here, the 𝑥 = 1 is the point of discontinuity so our interval will
exclude 1 as follows [−1,2] = [−1,1) ∪ (1,2]
2 1 2 𝑡
1 1 1 1
∫ 𝑑𝑥 = ∫ 𝑑𝑥 + ∫ 𝑑𝑥 = lim− ∫ 𝑑𝑥 +
𝑥−1 𝑥−1 𝑥−1 𝑡→1 𝑥−1
−1 −1 1 1−
 2 1
lim+ ∫𝑡 𝑑𝑥
𝑡→1 𝑥−1
=> lim−[𝑙𝑛|𝑥 − 1|]𝑡−1 + lim+[|𝑥 − 1|]2𝑡
𝑡→1 𝑡→1
=> lim− [𝑙𝑛|𝑡 − 1| − 𝑙𝑛|−2|] + lim+[𝑙𝑛|1| − 𝑙𝑛|𝑡 − 1|]
𝑡→1 𝑡→1
=> −∞ − ∞ = −∞
2 1
Hence ∫−1 𝑑𝑥 diverges
𝑥−1

Tests for Convergence:

When we cannot evaluate an improper integral directly, we try to determine whether
it converges or diverges. If the integral diverges, we are done. If it converges, we
can use numerical methods to approximate its value. The principal tests for
convergence or divergence are the Direct Comparison Test and the Limit
Comparison Test

I. Direct Comparison Test for Integrals

Let 𝑓 𝑎𝑛𝑑 𝑔 be functions. If 0 < 𝑓(𝑥) ≤ 𝑔(𝑥) on the interval [𝑎, ∞), where
𝑎 ∈ ℝ, 𝑡ℎ𝑒𝑛
∞ ∞
1. If ∫𝑎 𝑔(𝑥)𝑑𝑥 𝑐𝑜𝑛𝑣𝑒𝑟𝑔𝑒𝑠, 𝑡ℎ𝑒𝑛 ∫𝑎 𝑓(𝑥)𝑑𝑥, 𝑐𝑜𝑛𝑣𝑒𝑟𝑔𝑒𝑠.
∞ ∞
2. If ∫𝑎 𝑓(𝑥)𝑑𝑥, 𝑑𝑖𝑣𝑒𝑟𝑔𝑒𝑠, 𝑡ℎ𝑒𝑛 ∫𝑎 𝑔(𝑥)𝑑𝑥 𝑎𝑙𝑠𝑜 𝑑𝑖𝑣𝑒𝑟𝑔𝑒𝑠.

Example.
Determine if the improper integral below is convergent or divergent

∞
𝑐𝑜𝑠 2 𝑥
∫ 𝑑𝑥
𝑥2
2

Solution
𝑐𝑜𝑠 2 𝑥 1 1
Since the 0 ≤ 𝑐𝑜𝑠 2 𝑥 ≤ 1 => 0 ≤ ≤ , so in this case, our 𝑔(𝑥) = .
𝑥2 𝑥2 𝑥2
Hence
∞ ∞ 𝑡 𝑡
𝑐𝑜𝑠 2 𝑥 1 1
0≤∫ 2
𝑑𝑥 ≤ ∫ 2 𝑑𝑥 = lim ∫ 2 𝑑𝑥 = lim ∫ 𝑥 −2 𝑑𝑥
𝑥 𝑥 𝑡→∞ 𝑥 𝑡→∞
2 2 2 2
𝑡
1 −1 1
= lim [ 𝑥 −2+1
] = lim [−𝑥 −1 ]𝑡2 = lim [ − (− )]
𝑡→∞ −2 + 1 2 𝑡→∞ 𝑡→∞ 𝑡 2
 1 1 1
lim ( − ) = .
𝑡→∞ 2 𝑡 2
∞ 𝑐𝑜𝑠2 𝑥
Hence, ∫ 𝑑𝑥 converges
2 𝑥2

II) Limit Comparison Test for Integrals:

If the positive functions f(x) and g(x) are continuous on [𝑎, ∞] and if
𝑓(𝑥)
lim =𝐿<∞
𝑥→∞ 𝑔(𝑥)

∞ ∞
Then both ∫𝑎 𝑓(𝑥)𝑑𝑥 𝑎𝑛𝑑 ∫𝑎 𝑔(𝑥)𝑑𝑥 converges or diverges.
∞ 1
Example: show that ∫1 𝑑𝑥 converges
1+𝑥 2

Solution
1 1
Let 𝑓(𝑥) = 1+𝑥 2 and 𝑔(𝑥) = 𝑥 2, then

𝑓(𝑥) 𝑥2 1
lim = lim ( ) = lim ( )=1
𝑥→∞ 𝑔(𝑥) 𝑥→∞ 1 + 𝑥 2 𝑥→∞ 1
+ 1
𝑥2
∞ 1
Hence by comparison test, ∫1 𝑑𝑥 converges
1+𝑥 2