MSc in Mathematics and Finance

Introductory Analysis
Mark H.A.Davis

1
1.1

The real numbers

Convergence

In these notes R denotes the set of real numbers (or the real line). For a1 , a2
R we have |ai | ai |ai |, i = 1, 2. Adding these two inequalities we have
(|a1 | + |a2 |) a1 + a2 (|a1 | + |a2 |)
and hence

|a1 + a2 | |a1 | + |a2 |.

This is the triangle inequality, which will be used constantly in what follows.
Let A be a set of real numbers. A is bounded if there is a number n such
that n < y < n for all y A. A number x is the supremum of A if (i)
y A y x and (ii) if x0 is another number such that y A y x0 then
x0 x. It is axiomatic in the construction of the real line that every bounded
set has a supremum (there are no gaps).
A sequence {xn } converges to x if for every  > 0 there is a number N such
that n > N |xn x| < . A sequence is monotone increasing [decreasing] if
m > n xm xn [xm xn ].
Proposition 1 A bounded monotone increasing sequence converges to its supremum
The limit superior of a sequence is defined as follows
lim sup xn = lim sup xk .
n k>n

If we define yn = supk>n xk then yn is a monotone decreasing sequence. Hence

the lim sup always exists. The inferior limit is defined as
lim inf xn = lim inf xk .
n

n k>n

Equivalently, lim inf xn = lim sup(xn ).

Proposition 2 A sequence {xn } converges to x iff
x = lim sup xn = lim inf xn .
n

Proof: It is clear that x := lim sup xn lim inf xn =: x . If xn x then yn

defined as above converges to x, so that x = x, and similarly x = x. From the
definitions, given  > 0 there exists N such that xn < x +  and xn > x  for
all n > N . Hence the sequence converges if x = x . If x < x there cannot
be a limit point x (Check the candidates x < x , x [x , x ], x > x .)

A subsequence of a sequence {xn } is a sequence {xn1 , xn2 , . . .} where n1 <

n2 < . . ..
Theorem 1 Any sequence has a monotone subsequence.
Proof: Call xm a peak of a sequence {xn } if xm supk>m xk . If {xn } has
infinitely many peaks xm1 , xm2 , . . . then these form a monotone decreasing subsequence. If {xn } has finitely many or no peaks, set n1 = m + 1, where m is
the index of the last peak (or 0 if there are none). Then xn1 is not a peak, so
there exists an index n2 such that xn2 xn1 . Now xn2 is not a peak, so there
exists n3 such that ...
This result leads to the famous Bolzano-Weierstrass Theorem
Theorem 2 Every bounded sequence has a convergent subsequence
Proof: By Theorem 1, a bounded sequence {xn } has a bounded monotone
subsequence, and bounded monotone sequences are convergent.

A sequence {xn } is a Cauchy sequence if for every  > 0 there exists M such
that n, m > M |xn xm | < .
Theorem 3

1. Every Cauchy sequence is bounded.

2. A sequence {xn } is convergent if and only if it is a Cauchy sequence.

Proof: (1) If {xn } is Cauchy then there exists M such that |xn xm | < 1 for
n, m M , so that in particular |xn xM | < 1 for all n > M . It follows that
for any k, |xk | max{|x1 |, |x2 |, . . . , |xM | + 1}.
(2) If xn x then for any  > 0 there is an N such that |xn x| < /2 for n > N .
Thus for n, m > N we have |xn xm | |xn x| + |xm x| < . Conversely if
{xn } is Cauchy we know from (1) that it is bounded and hence from Theorem
2 that there is a convergent subsequence xni x . We claim that the whole
sequence converges to x . Indeed, given  > 0 take M such that |xn xm | < /2
for n, m > M and an index i such that ni > M and |xnk x | < /2 for k i.
Then for m > ni , |xm x | |xm xni | + |xni x | /2 + /2 = .

1.2

Open, Closed and Compact Sets

An open interval in R is a set (a, b) = {x : a < x < b} while a closed interval is

[a, b] = {x : a x b}. An open set is a subset A R with the property that
x A B (x) A for some  > 0, where B (x) = {y : |y x| < } (the -ball
around x). A set B is closed if its complement B c = {x R : x
/ B} is open.
Theorem 4 A set A is open if and only if it is a disjoint union of countably
many open intervals.

We do not prove this here; see Bartle & Sherbert1 , p315. A set is countable if
it is in one-to-one correspondence with the natural numbers {1, 2, 3, . . .}.
A point x is a cluster point of a set A if B (x) A 6= for any  > 0. This
gives us the following characterization of closed sets. The proof is an exercise
for ther reader!
Theorem 5 A set A R is closed if and only if it contains all its cluster points
We will also need the following result, known as the nested intervals property:
Proposition 3 Let In = [an , bn ] be a nested sequence of closed intervals (i.e.
In Im when n > m). Then there exists a number x such that x In for all
n.
Proof: The nested property implies that the sequence an and [bn ] are increasing and decreasing respectively. Let a = sup an and b = inf bn . Then a b
and any point x [a , b ] satisfies x an , x bn for all n, i.e. x n In .
An open cover of a set A R is a collection of sets G = {G } such that
[
A
G .

A subcover is a smaller collection of sets in G that also covers A. A set K R is

compact if every open cover of K has a finite subcover (i.e. a subcover consisting
of a finite number of sets). We shall see several properties of compact sets in
a more general setting later, but in the case of compact sets in R we have the
following important characterization, known as the Heine-Borel theorem.
Theorem 6 A R is compact if and only if it is closed and bounded.
Proof: Suppose K is compact. Define open sets Bm = (m, m). Then
k
K
n=1 Bn , so it must be the case that K n=1 Bn for some k. Thus
K [k, k], i.e. K is bounded. To show K is closed we show that K c is open.
Take y K c and let Cn = {x R : |x y| > 1/n}. Then R \ {y} = n Cn and
since y
/ K the sets Cn cover K. Hence K m
1 Cn for some m, which implies
that B1/m (y) K c , so that K c is open. We have shown that compact sets are
closed and bounded.
For the converse we argue by contradiction, supposing that K is closed and
bounded and that G = {G } is an open cover of K with no finite sub-cover.
Suppose a is a number such that K [a/2, a/2] and define I10 = [a/2, 0] and
I100 = [0, a/2]. At least one of K I10 , K I100 must have these properties:
1. it is non-empty;
2. it is not contained in any finite sub-collection of G.
Denote by I2 whichever of I10 , I100 has these properties. Now bisect I2 into sets
I20 , I200 and denote by I3 whichever of these sets has the above property. In this
way we construct a nested sequence I1 I2 I3 which, by Proposition
3 must have a common point z. We claim that z is a cluster point of K. Take
1 R.G.

Bartle and D.R Sherbert: Introduction to real analysis, 3rd edn, Wiley 2000

 > 0. Now z In and the length of In is 2n , so In B (z) whenever

n n = log2 . By construction K In 6= , so B (z) K 6= , showing
that z is a cluster point. Since K is closed, z K by Theorem 5. Now G covers
K, so z G0 for some 0 . Since G0 is open, B (x) G0 for some  > 0.
This implies as above that In G0 . But this contradicts property 2 in the
construction of G0 . Thus no such collection G can exist: every cover must have
a finite sub-cover. K is compact.

Topological and Metric Spaces

2.1

Topological spaces

A topological space is a set X together with a collection T of subsets called open

sets with the following properties:
1. X T and T ;
2. A, B T A B T ;
3. If {Aj } T for j J, where J is an arbitrary index set, then j Aj T .
If (2) is satisfied then evidently n1 Ak T if A1 , . . . An T . Thus (1) and (2)
say that T is closed under unions and finite intersections. A subset A is closed
if its complement Ac = X \ A is open.
It is possible to have more than one topology on the same set X. The discrete
topology is the topology in which all sets are open; the trivial topology is the
one where T = {X, }. If T1 T2 we say that T1 is coarser than T2 , or T2 is
finer than T1 . The topologies are equivalent if T1 = T2 .
The standard example of a topological space is the set Rn = {(x1 , x2 , . . . , xn ) :
xi R, i = 1, . . . , n} with the usual topology: a set A is open if x A B (x)
A for some  > 0, where B (x) = {y : |x y| < } with the Euclidean distance
v
u n
uX
|x y| = t (xi yi )2 .
1

For x X, A X we say that A is a neighbourhood of x if x B A

for some open set B. A sequence {xn } in X converges to x X if for any
neighbourhood A of x there is a number N such that xn A for all n N .
(xn is eventually in every neighbourhood of x.) A point z is a cluster point of
a set A if B A 6= whenever B is a neighbourhood of z. The closure of a set
A, denoted A, is the set of all cluster points of A.
If X, Y are sets, a function f is a rule that associates one element f (x) Y
with each x X. X and Y are the domain and range of f respectively. For
A X, B Y we denote f (A) = {y Y : y = f (x) for some x A} and
f 1 (B) = {x A : f (x) B}. The function f is continuous if f 1 (B) S for
all B T .
Theorem 7 If f : (X, S) (Y, T ) is continuous and {xn } is a sequence in X,
then xn x implies f (xn ) f (x).

Proof: Let B be a neighbourhood of f (x) and f (x) O B where O T .

Then f 1 (O) S is a neighbourhood of x. If {xn } converges to x then xn
f 1 (O) for large n, which is equivalent to f (xn ) O.
A family G of open sets is a base for a topology T if every open set in T can
be expressed as a union of sets in G
Proposition 4 G is a base for T if and only if for any A T and x A there
exists G G such that x G A.
Proof: Exercise!
A topological space (X, T ) satifies the 2nd axiom of countability if it has a
countable base (i.e. there is a base G consisting of a countable number of sets.)
Theorem 8 If (X, T ) has a countable base then X contains a countable dense
subset, i.e. a countable set {x1 , x2 , . . .} whose closure is equal to X
Proof: Let G = {G1 , G2 , . . .} be a countable base and choose points x1 , x2 , . . .
such that xi Gi , i = 1, 2, . . .. Let M be the set of these xi . We claim that
= X. If not, A = X \ M
is a non-empty open set that contains no points of
M
M . But A is the union of some sets Gn containing points xn , a contradiction.

The 1st axiom of countability states that each x X has a countable neighbourhood base, i.e. a countable system H of neighbourhoods of x such that if
A is a neighbourhood of x there exists H H such that x H A.
Proposition 5 If (X, T ) satisfies the 1st axiom of countability, every cluster
point of a set A X is the limit of a convergent sequence {xn } A.
Proof: Let x be a cluster point of A and {Hi } be a countable neighbourhood
base at x. The Hi0 = ik=1 Hk is also a countable neighbourhood base, and for
each i there exists xi Hi0 A because x is a cluster point. Now xi x as
i (Show this!)
A topological space (X, T ) is compact if every open cover of X has a finite
sub-cover. There is a useful general criterion for compactness, which is as follows. A system of subsets H of X is centred if every finite intersection n1 Hk of
members of H is non-empty.
Proposition 6 X is compact if and only if every centred system of closed subsets of X has non-empty intersection
Proof: Let X be compact and H a centred system of closed subsets. Then
the complementary sets Hc = {H c : H H} are open. The centred property
implies that no finite union of sets in Hc covers X, but then the whole system
Hc cannot cover X, by compactness. Hence H has non-empty intersection.
Conversely, suppose every centred system of closed subsets has non-empty
intersection. Let G = {G } be any open cover of X. Then Gc = . Hence the
sets {Gc } are not centred, i.e. there are sets Gc1 , . . . , Gcn such that n1 Gk = ;
but then the corresponding sets Gk cover X. X is compact.
Here now are some important properties of compact spaces. A point z is an
accumulation point 2 of a set A if every neighbourhood of z contains infinitely
2 this

terminology does not seem to be completely standardized.

many points of A. A subset K of a topological space X is compact if K is

compact in the relative topology (see Problems).
Theorem 9 Let (X, T ) be a compact space.
1. Every infinite subset of X has an accumulation point.
2. If f : X R is continuous then f (X) is compact in R.
3. If f : X R is continuous then f attains its supremum.
4. If A is a closed subset of X then A is compact.
Proof: (1) Any infinite subset contains an infinite sequence {x1 , x2 , . . .} of
distinct points. Let Fn = {xk : k > n}. Then any point in n Fn is an accumulation point. However, {Fn } is a centred system of closed sets, so n Fn 6= .
(2) Exercise.
(3) By (2), f (X) is compact in R, i.e. closed and bounded, so f (X) contains
y = sup{f (x) : x X}. Thus there is some x such that y = f (x ).
(4) If {G } is an open cover of A then {G } together with the open set Ac
covers X. The result follows.
Combining (1) of Theorem 9 and Proposition 5 we can say that if a space
satisfies the first axiom of countability then any sequence in a compact set
has a convergent subsequence. Property (1) of Theorem 9 is called countable
compactness. We have the following result.
Theorem 10 Countable compactness and compactness are equivalent in a space
with a countable base.
Proof: The proof will not be given here; see K&F3 p96.
In a general topological space X it is not necessarily the case that compact
sets are closed. However, this is true if X is a Hausdorff space, which is a space
in which any two distinct points have disjoint neighbourhoods.
Theorem 11 A compact subset of a Hausdorff space is closed.
Proof: Let K be compact and take a point x
/ K. (If there is no such
point then K is the whole space and is automatically closed.) For each point
y K there are disjoint open neighbourhoods Ay , By of x, y respectively. Now
{By : y K} covers K, so {Byi : i = 1, . . . , n} covers K for some finite subset.
Then O = n1 Ayi is an open neighbourhood of x that is disjoint from K.

2.2

Metric Spaces

A metric on a set X is a function d : X X R such that

(1) d(x, y) = d(y, x) 0 for x, y X
(2) d(x, y) = 0 if and only if x = y
(3) For x, y, z X, d(x, z) d(x, y) + d(y, z).
The -ball around x is B (x) = {y X : d(x, y) < }. The metric topology
on X is defined by saying that a set A is open if x A implies that B A
for some  > 0. The standard example is Euclidean space Rn as defined earlier.
Cauchy sequences and completeness are also defined as before: a metric space
X is complete if every Cauchy sequence has a limit in X.
3 A.N.

Kolmogorov and S.V. Fomin, Introductory Real Analysis,Dover 1970

Proposition 7 Every metric space satisfies the first axiom of countability. The
second is satisfied if and only if the space is separable (has a countable dense
subset).
Proof: The family {B1/n (x), n = 1, 2, . . .} is a countable neighbourhood base
at x, proving the first statement. Each space that satisfies the 2nd axiom is
separable. For the converse, let X be separable and Y a countable dense subset
and define U = {Br (y) : y Y, r rational}. Then U is countable. If A is a
neighbourhood of a point x then Br (x) A where r = 1/n, for some n. Take
y Y such that d(x, y) < r/3. Then x B2r/3 (y) Br (x), showing that U is
a base for the metric topology.
A simple but extremely useful result is the contraction mapping theorem.
Let (X, d) be a metric space and f : X X be a function. f is a contraction
mapping if
d(f (x), f (y)) d(x, y), x, y X
(1)
for some < 1. A contraction mapping is continuous because it follows from
(1) that f (xn ) f (x) whenever xn x. A point x X is a fixed point of f if
f (x) = x.
Theorem 12 If (X, d) is a complete metric space then every contraction mapping has a unique fixed point.
Proof: Take an arbitrary point x0 and define xn = f (xn1 ) = f n (x0 ) for
n = 1, 2, . . .. We claim that this is a Cauchy sequence. Indeed, for n n0 we
have
d(xn , xn0 )

d(f n (x0 ), f n (x0 ))

n d(x0 , xn0 n )
n (d(x0 , x1 ) + d(x1 , x2 ) + + d(xn0 n1 , xn0 n ))

n d(x0 , x1 )(1 + + 2 + + n n1 )
1
n d(x0 , x1 )
0 as n .
1

Since X is complete, the limit x = limn xn exists, and by continuity f (x) =

lim f (xn ) = lim xn+1 = x. To show uniqueness, note that if f (x) = x and
f (y) = y then (1) states that d(x, y) d(x, y), which can only be satisfied if
d(x, y) = 0. But then x = y.
We now discuss compactness in metric spaces. If (X, d) is a metric space
and  > 0, a set A is an -net for M X if for every x M there is a y A
such that d(x, y) < . M is totally bounded if there exists a finite -net for each
 > 0.
Theorem 13 Every countably compact metric space is totally bounded.
Proof: Suppose (X, d) is not totally bounded, i.e. for some 0 there is no
finite 0 -net. Let a1 be arbitrary, and pick a2 such that d(a1 , a2 ) > 0 . This
must be possible, else a1 is an 0 -net. Now pick a3 such that d(a1 , a3 ) > 0
and d(a2 , a3 ) > 0 . Again, this must be possible, else {a1 , a2 } is an 0 -net.
Continuing, we obtain a sequence {a1 , a2 , . . .} such that d(ai , aj ) > 0 for i 6= j.
This sequence has no accumulation point, so X is not countably compact.
7

Corollary 1 Every countably compact space has a countable dense subset and
a countable base.
Proof: If X is totally bounded then X has a finite 1/n-net for n = 1, 2, . . ..
The union of these is a countable dense subset D, and {B1/n (x) : x D, n =
1, 2, . . .} is a countable base.
Corollary 2 Every countably compact metric space is compact.
Proof: This follows from Corollary 1 and Theorem 10 above.
Here now is the main result of this section.
Theorem 14 A metric space (X, d) is compact if and only if it is complete and
totally bounded.
Proof: If X is not complete, there is a Cauchy sequence {xn } with no limit.
The sequence {xn } then has no accumulation points, so X is not compact. In
view of Theorem 13 this shows that if X is compact then it is totally bounded
and complete.
Conversely, suppose X is totally bounded and complete, and let {xn } be
an infinite sequence of distinct points. Let N1 be a 1-net; then for some y1
N1 , A1 = B1 (y1 ) contains an infinite subsequence x11 , x12 , . . . of {xn }. Now let N2
be a 1/2-net of A1 and A2 = B1/2 (y2 ) for some y2 N2 contain a further infinite
subsequence x21 , x22 , . . . of x11 , x12 , . . .. In this way we construct sets A1 , A2 , . . .
such that the radius of An is 2(n1) and each An contains infinitely many points
of the original sequence. Defining A0n to be the sphere with the same centre as
An but twice the radius, we obtain a nested sequence A01 A02 . . . with the
same property. The sequence A0n has non-empty intersection: this follows by an
argument very similar to the nested intervals theorem, Proposition 3 above. If
x0 n A0n then clearly x0 is an accumulation point of xn . Thus X is countably
compact, and hence compact by 2.

2.3

The space of continuous functions

The most important space in stochastic analysis is the space C[0, T ] of all continuous functions f : [0, T ] R. The metric is the uniform metric
d(f, g) = max |f (t) g(t)|.
t[0,T ]

It is easy to check that this is a metric.

Proposition 8 C[0, T ] is complete and separable.
Proof: Let fn be a Cauchy sequence in C[0, T ]. For each t, {fn (t)} is a Cauchy
sequence of real numbers and hence converges to a limit f (t). It remains to show
that the function t f (t) is continuous. For s, t [0, T ],
|f (t) f (s)| |f (t) fn (t)| + |fn (t) fn (s)| + |fn (s) f (s)|.

(2)

Given  > 0 we can choose n such that the first and third terms on the right
are both less than /3, whatever s, t. Now fn is continuous, so for fixed t we
can choose such that |t s| < |fn (t) fn (s)| < /3; then from (2),
|f (t) f (s)| < . Thus f is continous at all t.
8

There are many countable dense subsets. We could for example take the set
of piecewise linear functions with rational breakpoints, such a function being
defined by rational numbers 0 = t0 < t1 < < tn = T and a0 , . . . an such that
(t) = ak +

t tk
(ak+1 ak ) for t [tk , tk+1 [
tk+1 tk

There is a standard criterion for compactness in C[0, T ] known as the Arzel`

a
theorem. A subset A C[0, T ] is uniformly bounded if there is a number K
such that |f (t)| K for all f A and t [0, T ]. A is equicontinuous if for any
 > 0 there exists such that |s t| < |f (s) f (t)| <  for all s, t [0, T ]
and f A.
Theorem 15 A necessary condition for a set A C[0, T ] to be relatively compact is that A be uniformly bounded and equicontinuous.
Relative compactness means that the closure A is compact. The proof of this
theorem will be found on p. 102 of K&F. It is somewhat lengthy but uses only
arguments similar to those deployed in these notes.