Uniform Convergence.

1 Introduction.
In this course we study amongst other things Fourier series. The Fourier series for a
periodic function f(x) with period 2 is dened as the series
a
0
2
+

k=1
(a
k
cos kx + b
k
sin kx) ,
where the coecients a
k
, b
k
are dened as
a
k
=
1

f(x) cos kxdx, b

k
=
1

f(x) sin kx dx,

with k = 0, 1, . . . (note that this means that b
0
= 0).
This is an example of a functional series, which is a series whose terms are functions:

k=0
u
k
(x).
As usual with series, we dene the above innite sum as a limit:

k=0
u
k
(x) = lim
N
N

k=0
u
k
(x),
providing the limit exists. Note that dierent values of x will, in general, give dierent
limits, if they exist.
In this lecture we shall look at functional series, and functional sequences, and we
shall consider rst the question of convergence. To deal with this, we consider two types
of convergence: pointwise convergence and uniform convergence. There are three
main results: the rst one is that uniform convergence of a sequence of continuous
functions gives us a continuous function as a limit. The second main result is Weier-
strass Majorant Theorem, which gives a condition that guarantees that a functional
series converges to a continuous function. The third result is that integrals of a sequence
of functions which converges uniformly to a limit function f(x) also converge with the
limit being the integral of f(x). These results are not only good for your mental health,
they are also important tools in our later discussion of Fourier series, and that is the
reason for looking at them.
2 Pointwise Convergence.
We are familiar with the power series

k=0
x
k
=
1
1 x
for |x| < 1.
1
This statement says that for each x ] 1, 1[ the power series in the left-hand side
converges to the number 1/(1 x). If we put
f
n
(x) =
n

k=0
x
k
, f(x) =
1
1 x
,
then we can rephrase this as
f
n
(x) f(x) as n for each x ] 1, 1[.
We give this type of convergence a name: pointwise convergence. Note that we have
rst dened a sequence of functions f
n
by putting
f
n
(x) =
n

k=0
x
k
for each n = 0, 1, 2, . . . .
Denition 2.1 (Pointwise convergence.) Suppose {f
n
(x) : n = 0, 1, 2, . . . } is a se-
quence of functions dened on an interval I. We say that f
n
(x) converges pointwise
to the function f(x) on the interval I if
f
n
(x) f(x), as n , for each x I.
We call the function f(x) the limit function.
Example 2.1 f
n
(x) = x
1
n
. Then f
n
(x) converges pointwise to x for each x R:
|f
n
(x) x| =
1
n
0 as n .
Example 2.2 f
n
(x) = e
nx
on [1, 3]. For each x [1, 3] we have nx as n
and therefore f
n
(x) 0 as n for each x [1, 3]. Thus f
n
(x) converges pointwise to
f(x) = 0 for each x [1, 3].
Example 2.3 f
n
(x) = e
nx
on [0, 3]. For each 0 < x 3 we have nx as n
and therefore f
n
(x) 0 as n for each 0 < x 3. However, at x = 0 we have
f
n
(0) = 1 for all n. Thus f
n
(x) converges pointwise to the function f(x) dened by
f(0) = 1, f(x) = 0 for each 0 < x 3. This is not a continuous function, despite the
fact that each function f
n
(x) is continuous.
The last example shows what can happen with pointwise convergence: the limit func-
tion may fail to be continuous, even though all functions in the sequence are continuous.
2
Example 2.4 Let the sequence f
n
be dened as
f
n
(x) =
nx
(nx + 1)
3
x [0, [.
Then f
n
(0) = 0 and for each xed x > 0
f
n
(x) =
n
2
x
(nx + 1)
3
=
n
2
x
n
3
(x +
1
n
)
3
=
1
n
x
(x +
1
n
)
3
0 as n .
So that f
n
(x) f(x) = 0 pointwise on [0, [.
Then for x >
1
n
we have
f

n
(x) =
n
2
(1 2nx)
(nx + 1)
4
and we see that for x > 0 we have f

n
(x) 0 as n whereas f

n
(0) = n
2
. Here
we see that f

n
f

only on for x > 0. This shows that dierentiability is not always

respected by pointwise convergence.
The last two examples then lead us to pose the question: what extra condition (other
than just pointwise convergence) can guarantee that the limit function is also continuous
or dierentiable? The answer to this is given by the concept of uniform convergence.
3 Uniform convergence
We dene for a real-valued (or complex-valued) function f on a non-empty set I the
supremum norm of f on the set I:
f
I
= sup
xI
|f(x)|.
Note that if f is a bounded function on I then
sup
xI
|f(x)| = sup{ |f(x)| : x I}
exists, by the so-called supremum axiom. Observe that
|f(x)| f
I
for all x I,
and that |f(x)| takes on values which are arbitrarily near f
I
. In particular f
I
=
the largest value of |f(x)| whenever such a value exists (such as when I is a closed,
bounded interval and f(x) is a continuous function on I).
The supremum norm has the following properties for functions f and g on a set I:
3
f
I
0 and f
I
= 0 f(x) = 0 for all x I
cf = |c| f
I
for any constant c
f + g
I
f
I
+g
I
(triangle inequality)
f
J
f
I
when J is a subset of I.
The proof of these properties is left as an exercise for the interested reader.
Now we come to the denition of uniform convergence:
Denition 3.1 A sequence of functions f
n
(x) dened on an set I is said to converge
uniformly to f(x) on I if
f
n
f
I
0 as n .
We write this as
lim
n
f
n
= f uniformly on I
or as
f
n
f uniformly on I as n .
Uniform convergence implies pointwise convergence, however there are sequences
which converge pointwise but not uniformly. Indeed we have
|f
n
(x) f(x)| sup
xI
|f
n
(x) f(x)| = f
n
f
I
,
so that
f
n
f uniformly on I as n
= |f
n
(x) f(x)| 0 for each x I
= f
n
f pointwise on I.
We record this as a result:
Lemma 3.1 If the sequence of functions f
n
(x) converges uniformly to f(x) on the
interval I, then f
n
(x) converges pointwise to f(x).
4
This Lemma says that the limit function obtained through uniform convergence (if this
occurs) is the same as the limit function obtained from pointwise convergence. Or: if
f
n
(x) converges to f(x) uniformly, then it must converge to f(x) pointwise. This then
tells us how to go about testing for uniform convergence: rst, obtain the pointwise
limit f(x) and then see if we have uniform convergence to f(x).
Example 3.1 f
n
(x) = e
nx
on [1, 3]. We have seen above that f
n
(x) converges pointwise
to f(x) = 0 for each x [1, 3]. Then we have |f
n
(x) f(x)| = |f
n
(x)| and we then have
f
n
f = sup
x[1,3]
|f
n
(x)|
= sup
x[1,3]
|e
nx
|
= sup
x[1,3]
e
nx
= e
n
0 as n .
Thus we have uniform convergence in this case. Note that the last step follows from the
observation that e
nx
is strictly decreasing for x 0 with n 0, so that e
n
e
nx
for
all x 1.
Example 3.2 f
n
(x) = xe
nx
on I = [0, [. Here the interval is unbounded. First we
look at pointwise convergence: f
n
(0) = 0 and for x > 0 we have that f
n
(x) 0 as n .
Thus f
n
(x) 0 pointwise on I. We now need to investigate uniform convergence. Since
the limit function f(x) = 0 we have
f
n
f = sup
x[0,[
|xe
nx
|
= sup
x[0,[
xe
nx
because f
n
(x) 0 for x 0. Now, we have f

n
(x) = (1 nx)e
nx
for x > 0 (observe
that you should never dierentiate on closed intervals), and we see that f

n
(x) = 0 when
x = 1/n. Further, f

n
(x) > 0 for 0 < x < 1/n, and f

n
(x) < 0 for x > 1/n, so we conclude
that f
n
(x) has a maximum at x = 1/n and hence
f
n
f = sup
x[0,[
xe
nx
= f
n
(
1
n
)
=
1
ne
0 as n .
So we see that the sequence of functions f
n
(x) = xe
nx
converges uniformly to 0 on the
interval I = [0, [.
5
4 Uniform convergence and continuity.
We now come to two important results. The rst is the following.
Theorem 4.1 Suppose f
n
(x) is a sequence of continuous functions on an interval I
and suppose also that f
n
(x) converges uniformly to f(x) on the interval I. Then the limit
function f(x) is also continuous.
Proof: We need to show that f(x) f(a) when x a for x, a I. First we note that
for any n = 0, 1, 2, . . . we have
|f(x) f(a)| = |(f(x) f
n
(x)) + (f
n
(x) f
n
(a)) + (f
n
(a) f(a))|
|f(x) f
n
(x)| +|f
n
(x) f
n
(a)| +|f
n
(a) f(a)|.
by the triangle inequality. Now, as we have already noted,
|f(x) f
n
(x)| f f
n

I
, |f(a) f
n
(a)| f f
n

I
,
so we now have, for any n,
|f(x) f(a)| 2f f
n

I
+|f
n
(x) f
n
(a)|. (4.1)
We shall now see that we may make the right-hand side as small as we like. To do this
we note that the inequality (4.1) is true for an arbitrary value of n.
Now choose a positive number > 0, as small as we like. We know that
f
n
f
I
0 as n .
Therefore there must be an N > 0 for which we have f
n
f
I
< /3 for all n N.
Then choose and x such a value of n, say n = N.
We also have the fact that f
N
(x) is continuous, so for any choice of the number > 0
there is an interval centered on a so that
|f
N
(x) f
N
(a)| < /3
whenever x belongs to that interval. Formally, this is described as follows: since
f
N
(x) f
N
(a) as x a
there is, for any > 0 a corresponding number > 0 so that
|f
N
(x) f
N
(a)| < /3 whenever |x a| < .
With all this put into equation (4.1), we obtain:
|f(x) f(a)| 2f f
N

I
+|f
N
(x) f
N
(a)|
2

3
+

3
=
6
if |x a| < . Thus for each > 0, chosen as small as we like, we may always choose a
> 0 so that
|f(x) f(a)| < whenever |x a| < .
This means that f(x) f(a) when x . Hence f(x) is continuous.
This result is very useful as a quick test for absence of uniform convergence: if
(i) f
n
(x), n = 0, 1, 2, . . . is a sequence of continuous functions (on some interval);
(ii) f
n
(x) converges pointwise to f(x);
(iii) f(x) is not continuous;
(iv) Then f
n
(x) does not converge uniformly to f(x).
Example 4.1 f
n
(x) = e
nx
on [0, 3] is a sequence of continuous functions, converging
pointwise to f(x) dened by
f(x) =
_
1 for x = 0
0 for 0 < x 3,
which is not continuous, and so, by Theorem 4.1, the sequence does not converge uni-
formly to f(x).
The second result we mention is the following, which is of great use in integrating
series:
Theorem 4.2 Suppose that f
n
(x) is sequence of continuous functions which converges
uniformly to a continuous function f(x) on a bounded interval [a, b]. Then we have
lim
n
_
b
a
f
n
(x)dx =
_
b
a
lim
n
f
n
(x)dx =
_
b
a
f(x)dx.
Proof: The proof is quite simple:

_
b
a
f
n
(x)dx
_
b
a
f(x)dx

_
b
a
(f
n
(x) f(x))dx

_
b
a
|f
n
(x) f(x)|dx

_
b
a
f
n
fdx
= f
n
f
_
b
a
1 dx
= f
n
f(b a) 0 as n .
7
Thus:
_
b
a
f
n
(x)dx
_
b
a
f(x)dx
as n if f
n
f uniformly on I, which is what we wanted to prove.
Remark 4.1 Theorem 4.2 is proved here for continuous functions so that the integrals
exist. It is however possible to replace the word continuous by the word integrable, and
the theorem is still true.
Example 4.2 If f
n
(x) =
1
1 + x
2
+
x
4
n
calculate
lim
n
_
1
0
f
n
(x)dx.
In this example, it is easy to see that f
n
(x) f(x) =
1
1 + x
2
pointwise on [0, 1]. Then
we have
|f(x) f
n
(x)| =
1
n

x
4
(1 + x
2
)(1 + x
2
+
x
4
n
)
and it is dicult to calculate sup
x[0,1]
|f(x) f
n
(x)| (you should try to do this, in order to
see how dicult it is). The best way to deal with this is to use the fact that (1 + x
2
)(1 +
x
2
+
x
4
n
) 1 on [0, 1] so that
0
x
4
(1 + x
2
)(1 + x
2
+
x
4
n
)
x
4
1
for x [0, 1], and then we have |f(x)f
n
(x)|
1
n
for all x [0, 1], from which we deduce
that
f f
n
= sup
x[0,1]
|f(x) f
n
(x)|
1
n
0 as n ,
and then we have uniform convergence of f
n
f, so that
lim
n
_
1
0
f
n
(x)dx =
_
1
0
f(x)dx =

4
by Theorem 4.2.
In the last calculation we have given an example of proving uniform convergence of a
sequence f
n
(x) dened on an interval I without computing the value of sup
xI
|f
n
(x)
f(x)|. It is important to realise that this is a useful way of avoiding very complicated
calculations. All one has to do is show that sup
xI
|f
n
(x) f(x)| 0 as n , which
can be done either by rst computing the value of sup
xI
|f
n
(x) f(x)|, or by obtaining
an inequality which then leads directly to sup
xI
|f
n
(x) f(x)| 0 as n .
8
We now prove a result about uniform convergence and dierentiability: it tells us
under which conditions the limit function f(x) is dierentiable whenever the functions of
the sequence f
n
(x) are dierentiable.
Theorem 4.3 Suppose that {f
n
(x); n = 0, 1, 2, . . . } is a sequence of functions on an
interval I and satisfying the following conditions:
(i) f
n
(x) is dierentiable on I for each n = 0, 1, 2, . . .
(ii) f
n
(x)converges pointwise to f(x) on I
(iii) f

n
(x) is continuous for each n and f

n
g converges uniformly on I where g(x)
is a continuous function on I.
Then the limit function f(x) is dierentiable and f

(x) = g(x).
Proof: First note that
f
n
(x) f
n
(a) =
_
x
a
f

n
(t)dt
for each f
n
(x) and for each choice of x, a I. Because f
n
(x) converges pointwise to f(x)
for all x I, the left-hand side converges to f(x) f(a) as n . Also, f

n
g
uniformly on I so by Theorem 4.2 we have that
_
x
a
f

n
(t)dt
_
x
a
g(t)dt,
and we then nd that
f(x) f(a) =
_
x
a
g(t)dt.
Now, g(t) is continuous, so that, by the Fundamental Theorem of Calculus,
d
dx
_
x
a
g(t)dt = g(x)
so that f(x) must be dierentiable and f

(x) = g(x).
This result is very useful, as we shall see, in examining the dierentiability of functional
series.
5 Applications to functional series.
Denition 5.1 A functional series is a series

k=0
u
k
(x)
where each term of the series u
k
(x) is a function on an interval I.
9
We can also dene pointwise convergence for functional series:
Denition 5.2 The functional series

k=0
u
k
(x)
is pointwise convergent for each x I if the limit

k=0
u
k
(x) = lim
N
N

k=0
u
k
(x)
exists for each x I.
Thus, we always dene a sequence of partial sums S
N
(x) given as
S
N
(x) =
N

k=0
u
k
(x)
so that
S
0
(x) = u
0
(x), S
1
(x) = u
0
(x) + u
1
(x), S
2
(x) = u
0
(x) + u
1
(x) + u
2
(x), . . .
and if
lim
N
S
N
(x)
exists for x then we say that the series

k=0
u
k
(x) = lim
N
S
N
(x)
converges at x. It converges pointwise on the interval I if
lim
N
S
N
(x)
exists for each x I.
With these denitions, we deduce from Theorem 4.1 that if the functions u
k
(x) are all
continuous on I and if the sequence of partial sums S
N
(x) converges uniformly to S(x)
on I, then S(x) is continuous. However, we would like an ecient way of deciding if a
functional series converges uniformly to a (unique) limit. It is not at all easy to apply
the denition of uniform convergence to an innite sum of functions, so another method
is desirable. The appropriate result is Weierstrass Majorant Theorem:
Theorem 5.1 Suppose that the functional series

k=0
u
k
(x)
10
is dened on an interval I and that there is a sequence of positive constants M
k
so
that
|u
k
(x)| M
k
, k = 0, 1, 2, . . .
for all x I. If

k=0
M
k
converges, then

k=0
u
k
(x)
converges uniformly on I.
Proof: If the conditions are fulllled then we immediately have, from the Comparison
Theorems for Positive Series, that, for each x I, the series

k=0
|u
k
(x)|
is convergent, so that

k=0
u
k
(x)
is absolutely convergent, and therefore convergent. This means that

k=0
u
k
(x)
is pointwise convergent on I, and we denote the limit by S(x). We now show that the
partial sums
S
N
(x) =
N

k=0
u
k
(x)
converges uniformly to S(x) on I under the conditions of the theorem. We have
S(x) S
N
(x) =

k=N+1
u
k
(x)
(all we do is subtract the rst N terms from the series). Then it follows that
|S(x) S
N
(x)|

k=N+1
|u
k
(x)|

k=N+1
M
k
for each x I, since |u
k
(x)| M
k
for each x I according to our assumption. Then
11
S S
N

k=N+1
M
k
.
We also know (by assumption) that

k=0
M
k
converges, so we must have that

k=N+1
M
k

0 as N . Consequently,
S S
N

I
0 as N ,
and our result is proved.
Corollary 5.1 If
(i) the functional series
S(x) =

k=0
u
k
(x) converges uniformly on interval I,
(ii) u
k
(x) is a continuous function on I for each k = 0, 1, 2, . . . ,
then S(x) is continuous on I.
Proof: Because a nite sum of continuous functions is again a continuous function, it
follows that the partial sums
S
N
(x) =
N

k=0
u
k
(x)
are continuous functions for N = 0, 1, 2, . . . . Then by Theorem 4.1, we have that S(x) =
lim
N
S
N
(x) is a continuous function.
Example 5.1 Take the functional series

k=1
sin kx
k
2
.
We have
|u
k
(x)| =

sin kx
k
2

=
| sin kx|
k
2

1
k
2
since | sin t| 1 for all real t. We know (standard positive series) that

1
1
k
2
converges (series of the form

1/k

converge for > 1 and diverge for 1). Hence,

by Weierstrass Majorant Theorem,
12

k=1
sin kx
k
2
converges uniformly for all x, and by Corollary 5.1 this series is a continuous function of
x for all x R.
Remark 5.1 One advantage of Weierstrass Majorant Theorem is that we do not have
to calculate the value of the series at each x I in order to decide if we have uniform
convergence. However, a drawback is that the conditions of the theorem are only su-
cient to establish uniform convergence, they are not absolutely necessary for uniform
convergence. In the nal section of these lecture notes we give a necessary and sucient
condition for uniform convergence.
Remark 5.2 In our statement of Weierstrass Majorant Theorem, we have not said any-
thing about how to nd the constants M
k
. Usually we take
M
k
= sup
xI
|u
k
(x)|,
but this is not strictly necessary: any sequence (of constants) will do provided that

M
k
converges.
Another result of interest is the following:
Theorem 5.2 If
(i) the functional series

k=0
u
k
(x) converges uniformly on the interval I
(ii) u
k
(x) is continuous on I for each k = 0, 1, 2, . . . ,
then
_
x
a
_

k=0
u
k
(t)
_
dt =

k=0
__
x
a
u
k
(t)dt
_
for all a, x I. In other words, if the series of continuous functions converges uniformly
on I, then the integral of the sum is the sum of the integrals of the functions, just as in
the case of a nite sum.
Proof: Put S(t) =

k=0
u
k
(t) and S
N
(t) =

N
k=0
u
k
(t), then we have S
N
S uniformly
on I so that
lim
N
_
x
a
S
N
(t)dt =
_
x
a
lim
N
S
N
(t)dt =
_
x
a
S(t)dt,
according to Theorem 4.2. Note that since S
N
(t) is a nite sum of functions, we see that
13
_
x
a
S
N
(t)dt =
_
x
a
_
N

k=0
u
k
(t)
_
dt
=
N

k=0
__
x
a
u
k
(t)dt
_
,
and we then nd that
_
x
a
_

k=0
u
k
(t)
_
dt =

k=0
__
x
a
u
k
(t)dt
_
.
We can also say something about the dierentiability of the series

u
k
(x), using
Theorem 4.3 In this case, as in the previous two theorems, we replace f
n
(x) by S
N
(t) and
f(x) by S(t). Thus, we want the following:
S
N
(x) S(x) pointwise on I
S

N
(x) G(x) uniformly on I
S
N
(x) is continuously dierentiable for each N
and then we may conclude that S(x) is continuously dierentiable with S

(x) = G(x). All

we need is to formulate these requirements and result as follows:
Theorem 5.3 Suppose that

k=0
u
k
(x) satises the following conditions:

k=0
u
k
(x) converges pointwise on I

k=0
u

k
(x) converges uniformly on I
u
k
(x) is continuously dierentiable for each k
Then

k=0
u
k
(x) is continuously dierentiable and
d
dx
_

k=0
u
k
(x)
_
=

k=0
u

k
(x).
14
Proof: We have that each S

N
(x) is continuous on I and
S
N
(x) S(x) pointwise on I
S

N
G uniformly on I.
Then by Theorem 4.3, S(x) is dierentiable and S

(x) = G(x) on I. In other words:

d
dx
_

k=0
u
k
(x)
_
=

k=0
u

k
(x)
6 Integrals dependent on a parameter.
We shall come across integrals of the form
_

0
f(x, y)dy and
_

f(x, y)dy,
examples of which are the (one-sided) Laplace transform of f:
F(s) =
_

0
f(t)e
st
dt,
and the Fourier transform of f:
F() =
1
2
_

f(t)e
it
dt.
These are called integrals depending on a parameter.
If we have
F(x) =
_

0
f(x, y)dy,
we would like to have
F

(x) =
_

0
f
x
(x, y)dy,
whenever f(x, y) satises suitable conditions. This situation is analogous to the case for
functional series (where we replace f(x, y) by u
n
(x) and integration over y is replaced by
summation over n). With this in mind, we introduce the concept of uniform conver-
gence of integrals.
Denition 6.1 We say that the integral
F(x) =
_

a
f(x, y)dy
converges uniformly on I if:
15
(i) F(x) =
_

a
f(x, y)dy converges pointwise for each x I;
(ii) the family of functions F
R
dened as
F
R
(x) =
_
R
a
f(x, y)dy
converges uniformly to F on I. That is, if
F
R
F
I
0 as R .
A test for uniform convergence of integrals is an analogy of the Weierstrass test for
functional series:
Theorem 6.1 (M-test) Suppose
(i) f(x, y) is continuous on I [a, [
(ii) |f(x, y)| M(y) for all x I and y [a, [
(iii)
_

a
M(y)dy converges.
Then
F(x) =
_

a
f(x, y)dy
converges uniformly on I.
Proof: We have
F
R
(x) F(x) =
_

R
f(x, y)dy
from which we obtain
|F
R
(x) F(x)|
_

R
|f(x, y)|dy

_

R
M(y)dy,
by assumption. Consequently,
F
R
F
I

_

R
M(y)dy 0 as R ,
because
16
_

a
M(y)dy converges
implies that
_

R
M(y)dy 0 as R .
Thus, F
R
F uniformly on I.
Now we come to proving that if F
R
F uniformly on an interval I, then F is
continuous if each F
R
is continuous. here, the problem is to show that F
R
(x) is continuous.
We have the following result:
Lemma 6.1 For each nite R > 0 we have
F
R
(x) =
_
R
a
f(x, y)dy
is a continuous function on [c, d] if f(x, y) is continuous on [c, d] [a, R].
The proof of this result is given in the appendix. From this result, it follows that if
f(x, y) is continuous on I [a, [ then F
R
(x) is continuous at every x I for every choice
of R > a: choosing x
0
I we can nd an bounded, closed interval [c, d] so that x
0
[c, d].
With these remarks we have:
Theorem 6.2 If
(i) f(x, y) is continuous on I [a, [
(ii) F(x) =
_

a
f(x, y)dy converges uniformly on I
Then F(x) is continuous.
Proof: From Lemma 6.1 we know that each
F
R
(x) =
_
R
a
f(x, y)dy
is continuous at each x I for each R > 0. Since F
R
F uniformly, it follows from
Theorem 4.1 that F is continuous at each x I. This proves the result.
We now come to a very useful result on the integration of integrals with parameters:
Theorem 6.3 (i) f(x, y) is continuous on I [a, [
(ii) F(x) =
_

a
f(x, y)dy converges uniformly on I
Then for any bounded, closed interval [b, c] I we have
_
c
b
__

a
f(x, y)dy
_
dx =
_

a
__
c
b
f(x, y)dx
_
dy.
17
Proof: Note that since
F
R
(x) =
_
R
a
f(x, y)dy
is continuous for each R > 0, by Lemma 6.1, we have
_
c
b
F
R
(x)dx =
_
R
a
__
c
b
f(x, y)dx
_
dy.
(This result is known as Fubinis Theorem). Then we have, by uniform convergence of
F
R
F (Theorem 4.2) that
lim
R
_
c
b
F
R
(x)dx =
_
c
b
F(x)dx,
from which we immediately have
_
c
b
__

a
f(x, y)dy
_
dx =
_

a
__
c
b
f(x, y)dx
_
dy.
Finally, we come to our theorem on dierentiating under the integral:
Theorem 6.4 (i) f(x, y) and f
x
(x, y) be continuous on I [a, [
(ii) F(x) =
_

a
f(x, y)dy converges pointwise on I
(iii) G(x) =
_

a
f
x
(x, y)dy converges uniformly on I
Then
F

(x) =
_

a
f
x
(x, y)dy.
Proof: Since G(x) =
_

a
f
x
(x, y)dy converges uniformly on I, and f
x
(x, y) is continuous
on I [a, [, G(x) is a continuous function on I, by Theorem 6.2. Then for any b, x I
we have
_
x
b
G(t)dt =
_
x
b
__

a
f
t
(t, y)dy
_
dt
=
_

a
__
x
b
f
t
(t, y)dt
_
dy by Theorem 6.3
=
_

a
[f(x, y) f(b, y)]dy
= F(x) F(b).
Now, G(t) is continuous, so that
18
d
dx
_
x
b
G(t)dt = G(x),
and from this it follows that F(x) is dierentiable and
F

(x) = G(x) =
_

a
f
x
(x, y)dy,
and the theorem is proved.
We now turn to two examples. First we look at the one-sided Laplace transform
F(s) =
_

0
f(t)e
st
dt.
If f(t) satises the condition that |f(t)| Ae
at
for some constants A > 0, a (we then
say that f(t) is of exponential order) and that f(t) is continuous for t > 0, then F(s)
converges uniformly for all s > a, since we then have |f(t)e
st
| Ae
(sa)t
and then,
according to the Theorem 6.1, F(s) converges uniformly for s > a. Note that t
n
for any
n N is of exponential order since we have t
n
e
t
0 as t , so that for t 0 there
is for a given n N a constant A > 0 with |t
n
e
t
| A so that |t
n
| Ae
t
. Hence it
follows that t
n
f(t) is of exponential order if f(t) is. Then it follows that if F(s) converges
uniformly for s > a, we have by Theorem 6.4 that F(s) is dierentiable and
F

(s) =
_

0
(t)f(t)e
st
dt.
The second application is to integrals of the form
F() =
_

f(t)e
it
dt.
Here we dene
F() = lim
R
F
R
(),
with
F
R
() =
_
R
R
f(t)e
it
dt
for each R > 0. To ensure convergence we require that f(t) satisfy the condition that
_

|f(t)|dt = lim
R
_
R
R
|f(t)|dt
exist. The set of such f(t) is denoted by L
1
(R, dt). Then it follows that, if f L
1
(R, dt) is
continuous, we have that F() converges uniformly by Theorem 6.1, and then by Theorem
6.2 we have that F() is continuous as a function of . If we have f(t) continuous with
f(t) L
1
(R, dt) and tf(t) L
1
(R, dt) we then nd that F() is dierentiable and that
F

() =
_

(it)f(t)e
it
dt.
19
7 APPENDIX.
7.1 Supremum and Inmum: a recapitulation.
Denition 7.1 Let A R. Then the supremum of A, denoted by sup A, is dened as
the smallest number a R with the property that x a for all x A. In mathematical
shorthand we have
sup A = min{a R : x a for all x A}.
Similarly, the inmum of A, denoted by inf A, is dened as the largest number
b R with the property that x b for all x A. In mathematical shorthand we have
inf A = max{b R : x b for all x A}.
Remark 7.1 Note that in these denitions neither the supremum nor the inmum need
belong to the set A.
Example 7.1
(i) A = [1, 3]. Here we have sup A = 3, inf A = 1, and both these belong to A.
(ii) A =] 1, 3]. Here sup A = 3, inf A = 1, but only inf A belongs to A.
(iii) A =] 1, 3[. Here sup A = 3, inf A = 1, and both are not in A.
(iv) A = [1, [. Here inf A = 1 whereas sup A does not exist.
Denition 7.2 Let f : R R be a function. Then the supremum of f(x) over A is
dened as the smallest number a R with the property that f(x) a for all x A.
In mathematical shorthand we have
sup
xA
f(x) = min{a R : f(x) a for all x A}.
Similarly, the inmum of f(x) over A is dened as the largest number b R
with the property that f(x) b for all x A. In mathematical shorthand we have
inf
xA
= max{b R : f(x) b for all x A}.
Example 7.2 (i) f(x) = x
3
, A = [1, 3] Then, since f(x) is a strictly increasing
function, we have
sup
xA
f(x) = 27, inf
xA
f(x) = 1.
20
(ii) f(x) = x
2
, A = [1, 3] Then note that f(x) = x
2
is not strictly increasing on this
interval: it is decreasing on [1, 0] and then strictly increasing on [0, 3]. So we have
sup
x[1,0]
f(x) = 1, inf
x[1,0]
f(x) = 0
and
sup
x[0,3]
f(x) = 9, inf
x[0,3]
f(x) = 0.
Combining these two observations, we nd that
sup
x[1,3]
f(x) = 9, inf
x[1,3]
= 0.
(iii) f(x) = arctan x, A = R. Here we have a strictly increasing function, and we have
sup
xR
f(x) =

2
, inf
xR
f(x) =

2
.
It is tempting to take the largest value of a function on an interval as the supremum,
and the least value for the inmum. The last example shows that the neither the supre-
mum nor the inmum need be attainable values of a function. However, we have the
following simple but useful result:
Lemma 7.1 Suppose that f(x) is a real-valued continuous function on the closed,
bounded interval [a, b]. Then
sup
x[a,b]
f(x) = max{f(x) : x [a, b]}, inf
x[a,b]
f(x) = min{f(x) : x [a, b]}.
That is, the supremum of a continuous function over a closed, bounded interval is equal
to its largest value over that interval, and the inmum is the least value of the function
over the interval.
Proof: Since f(x) is continuous and the interval is closed, then f(x) has a largest value
and a least value on the interval: there exist x
1
, x
2
[a, b] so that f(x
1
) f(x) f(x
2
)
for all x [a, b], and we now see that
sup
x[a,b]
f(x) = f(x
2
), inf
x[a,b]
f(x) = f(x
1
),
and the result is proved.
21
7.2 Proof of Lemma 6.1
We sketch the proof and refer to any good book on analysis for further details.
Our task is to prove that for each x [c, d] we have
F
R
(x + h) F
R
(x) as h 0.
Then we have
|F
R
(x + h) F
R
(x)|
_
R
a
|f(x + h, y) f(x, y)|dy.
Now if f is continuous on [c, d] [a, R] it can be shown that for any > 0 there is a > 0
so that
|f(x
0
, y
0
) f(x
1
, y
1
)| <
whenever
_
(x
0
x
1
)
2
+ (y
0
y
1
)
2
< . That is, whenever the distance between the
points (x
0
, y
0
) and (x
1
, y
1
) is less than . This is called uniform continuity. Using this
fact, we choose > 0 (arbitrarily small) and then for each given R we nd a > 0 so that
|f(x + h, y) f(x, y)| <

R a
whenever |h| < . From this it follows that
|F
R
(x + h) F
R
(x)| < whenever |h| < .
Note that we have > 0 arbitrarily small, and for each such choice there is a corresponding
. From this it follows that
|F
R
(x + h) F
R
(x)| 0 as h 0.
Hence F
R
(x) is continuous on [c, d], for each choice of R > 0.
7.3 Cauchys condition for uniform convergence of series
In this section we record, without proof, a result which is of some interest: Cauchys cri-
terion for uniform convergence of functional series, and we make some comments
on some aspects of uniform convergence.
Theorem 7.1 Suppose that {u
k
(x)} is a sequence of continuous functions dened on an
interval I. Then the series

k=0
u
k
(x)
is uniformly convergent on I if and only if for each choice of > 0, however small, there
exists a (corresponding) integer N > 0 so that
|u
k+1
(x) + u
k+2
(x) + + u
m
(x)| <
22
for all m > k N and for all x I. In particular, we then have, on putting m = k + 1,
|u
k+1
(x)| <
for all k N and all x I.
The proof of this result requires more mathematical machinery than we have at hand,
and can be found in any good textbook on Mathematical Analysis.
As an illustration of the usefulness of this result we look at the series expansion of e
x
.
We have
e
x
= 1 + x +
x
2
2!
+ +
x
n
n!
+ =

k=0
x
k
k!
.
This expansion is true for each x R, so we have pointwise convergence of the series.
However, we do not have uniform convergence on R. To see this, we apply the last
comment in the theorem: we need to nd, for a given > 0, an N > 0 so that for all
x R we have
|u
k+1
(x)| =
|x|
k+1
k!
<
whenever k N. However, if we choose any k we may choose x so that
|x|
k+1
k!
is as large as we like, contradicting the requirement for uniform convergence. Hence
we do not have uniform convergence on the whole of R. However, if we only consider
x [a, a] for some a > 0 then we can prove uniform convergence of the series on this
closed, bounded interval. This can be done using Weierstrass Majorant Theorem.
This phenomenon occurs often, and then we say that the series converges uniformly
on closed, bounded intervals or converges on compact sets. Another example of
this phenomenon occurs in power series (which are the rst kind of functional series
taught in elementary calculus courses). For instance, for the geometric series

k=0
x
k
we have absolute convergence for |x| < 1 and divergence for |x| 1. For |x| < 1 we have

k=0
x
k
=
1
1 x
= S(x).
The corresponding partial sums are
S
N
(x) =
N

k=0
x
k
=
1 x
N+1
1 x
.
23
The sequence S
N
(x) does not converge uniformly to S(x) on the interval ] 1, 1[ : we
have
|S
N
(x) S(x)| =
|x|
N+1
1 x
and as x 1

we see that |x|

N+1
1 and 1/(1 x) , so that we may make
|S
N
(x) S(x)| as large as we like, and it then follows that S
N
S does not exist, so
it is impossible for S
N
S 0 as N . However, if we consider the series on the
closed, bounded interval [a, a] with a xed 0 < a < 1, we have
|S
N
(x) S(x)|
a
N+1
1 a
for all x [a, a], and therefore
S
N
S = sup
x[a,a]
|S
N
(x) S(x)|
a
N+1
1 a
0 as N ,
because 0 < a < 1 gives a
N+1
when N . So we have uniform convergence of
the series on compact subsets of ] 1, 1[.
24