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Definition
b
The integral a
f d is called an improper integral of first kind if a or
b or both i.e. one or both integration limits is infinite.
Definition
b
The integral a
f d is called an improper integral of second kind if f ( x) is
unbounded at one or more points of a x b . Such points are called singularities of
f ( x) .
Examples
1
1 1
dx , dx and ( x 2 1)dx are
0
1 x 2
x2
examples of improper integrals of first kind.
1 1
1 1
dx and dx are examples of improper
1
x 0
2 x 1
integrals of second kind.
Notations
We shall denote the set of all functions f such that
f R( ) on [a, b] by R( ; a, b) . When ( x) x , we
shall simply write R(a, b) for this set. The notation on
[a, ) will mean that is monotonically increasing on
[ a, ) .
2 Ch 01: Improper Integrals of 1st and 2nd Kinds
Definition
Assume that f R( ; a, b) for every b a . Keep a, and f fixed and define a
function I on [a, ) as follows:
b
I (b) f ( x) d ( x) if b a .
a
The integral a
f ( x) d ( x) is said to converge if the lim I (b) exists (finite).
b
Otherwise, a
f d is said to diverge.
If the lim I (b) exists and equals A , the number A is called the value of the integral
b
and we write a
f d A .
Remark
If f d
a
is convergent(divergent), then f d
c
is convergent(divergent) for c a.
If f d
c
is convergent (divergent), then f d
a
is convergent (divergent) for a c
if f in bounded in [a, c] .
Example
Consider and integral 1
x p dx , where p is any real number. Discuss its
convergence or divergence.
Solution
b
Let I (b) x p dx where b 1 .
1
b
x1 p 1 b1 p
b
Then I (b) x dx
p
if p 1 .
1
1 p 1
p 1
If b , then b1 p 0 for p 1 and b1 p for p 1 .
Therefore we have
if p 1,
1 b1 p
lim I (b) lim 1
p 1 if p 1.
b b p 1
b
Now if p 1 , we get 1
x1 dx log b as b .
Ch 01: Improper Integrals of 1st and 2nd Kinds 3
diverges if p 1,
Hence we concluded: x p dx 1
1 p 1 if p 1.
Example
Is the integral sin 2 x dx converges or diverges?
0
Solution:
b
Consider I (b) sin 2 x dx , where b 0 .
0
cos 2 x 1 cos 2 b
b b
We have sin 2 x dx .
0
2 0 2
Also cos 2 b l as b , where l has values between 1 and 1 , that is, limit is
not unique.
Therefore the integral sin 2 x dx diverges.
0
Note
a
If
f d and f d
a
are both convergent for some value of a , we say that the
integral
f d is convergent and its value is defined to be the sum
a
f d
f d f d
a
Review:
A function f is said to be increasing, if for all x1, x2 D f (domain of f ) and
x1 x2 implies f ( x1 ) f ( x2 ) .
A function f is said to be bounded if there exist some positive number
such that f (t ) for all t D f .
If f is define on [a, ) and lim f ( x) exists then f is bounded on [a, ) .
x
Theorem
Assume that is monotonically increasing on [a, ) and suppose that
f R( ; a, b) for every b a . Assume that f ( x) 0 for each x a . Then a
f d
converges if, and only if, there exists a constant M 0 such that
b
f d
a
M for every b a .
Proof
b
Let I (b) f d for b a .
a
First suppose that a
f d is convergent, then lim I (b) exists, that is, I (b) is
b
I (b2 ) f d f d f d
a a b1
b1 b2
f d
a
g d .
a
Proof
b b
Let I1 (b) f d and I 2 (b) g d , b a.
a a
Since 0 f ( x) g ( x) for every x a ,
therefore
I1 (b) I 2 (b) …………………. (i)
Since g d
a
converges, there exists a constant M 0 such that
b
g d M
a
, b a …………………(ii)
Example
sin 2 x
Is the improper integral 2 dx convergent or divergent?
1
x
Solution:
sin 2 x 1
Since sin x 1 for all x 1, , therefore
2
2 for all x 1, .
x2 x
2
sin x 1
This gives 2 dx 2 dx .
1
x 1
x
1 sin 2 x
Now 2 dx is convergent, therefore 2 dx is convergent.
1
x 1
x
6 Ch 01: Improper Integrals of 1st and 2nd Kinds
Review:
For all a, b, c , a b c c b a c b or c a b c a .
If lim f ( x) m , then for all real 0 , there exists N 0 such that
x
f ( x) m whenever x N .
If a
f d converges(diverges), then
N
f d converges(diverges) if N a.
If f d
N
is convergent (divergent), then f d
a
is convergent (divergent) for
a N if f is bounded in [a, N ] .
then f d
a
and g d
a
both converge or both diverge.
Proof
f ( x)
Suppose lim 1 , then for all real 0 , we can find some N 0 , such that
x g ( x )
f ( x)
1 x N a.
g ( x)
f ( x)
1 1 x N a.
g ( x)
1
If we choose , then we have
2
1 f ( x) 3
x N a.
2 g ( x) 2
This implies g ( x) 2 f ( x) …..…..(i) and 2 f ( x) 3g ( x) ……....(ii)
From (i) g d
N
2 f d ,
N
so if f d
a
converges, then f d
N
converges and hence by comparison test we
get g d
N
is convergent, which implies g d
a
is convergent.
Ch 01: Improper Integrals of 1st and 2nd Kinds 7
Now if g d diverges, then g d diverges and hence by comparison test we
a N
get f d
N
is divergent, which implies f d
a
is divergent.
From (ii), we have 2 f d 3 g d ,
N N
so if g d converges, then g d converges and hence by comparison test we
a N
get f d
N
is convergent, which implies f d
a
is convergent.
Now if f d
a
diverges, then f d
N
diverges and hence by comparison test we
get f d
N
is divergent, which implies f d
a
is divergent.
The integrals f d
a
and g d
a
converge or diverge together.
Note
f ( x)
The above theorem also holds if lim c , provided that c 0 . If c 0 , we
x g ( x )
can only conclude that convergence of g d
a
implies convergence of f d .
a
Example
e
x
For every real p , the integral x p dx converges.
1
1
This can be seen by comparison of this integral with x
1
2
dx .
1
Let f ( x) e x x p and g ( x) .
x2
f ( x) e x x p
Now lim lim
x g ( x ) x 1
x2
f ( x) x p2 x p2
lim lim e x lim x 0 . (find this limit yourself)
x g ( x) x x e
8 Ch 01: Improper Integrals of 1st and 2nd Kinds
1
Since 2 dx is convergent, therefore the given integral e
x
x p dx is also
1
x 1
convergent.
Remark
It is easy to show that if f d
a
and g d are convergent, then
a
( f g ) d
a
is convergent.
cf d , where c is some constant, is convergent.
a
Note
An improper integral f d
a
is said to converge absolutely if
a
f d converges.
It is said to be convergent conditionally if f d
a
converges but
a
f d diverges.
Theorem
Assume is monotonically increasing on [a, ) . If f R( ; a, b) for every
b a and if
a
f d converges, then f d
a
also converges.
Remark
Every absolutely convergent integral is convergent.
Ch 01: Improper Integrals of 1st and 2nd Kinds 9
Review
If lim f ( x) m , then for all real 0 , there exists real N 0 such that
x
f ( x) m whenever x N .
A sequence an is said to be convergent if there exist a number l such that
for all 0 , there exists an integer n0 (depending on ) such that
an l whenever n n0 .
A number l is called limit of the sequence and we write lim an l .
n
and only if, for every 0 there exists a B 0 such that c b B implies
c
f
b
d
Proof
b
Let f d
a
be convergent, that is lim f d f d .
b
a a B b c
Then B 0 such that
b
f d f d
a a
2
for every b B . ………..(i)
Also for c b B ,
c
f d f d
a a
2
…………….. (ii)
c b c
As we know f d f d f d , this gives
a a b
c c b
f d
b
f d f d
a a
c b
f d f d f d f d
a a a a
c b
a
f d f d
a
a
f d f d
a
2
2
c
f d
b
when c b B .
10 Ch 01: Improper Integrals of 1st and 2nd Kinds
a
f d A
a
f d A
a N
f d
b
aN A
a N
f d
2
2
f d A
a
This completes the proof.
Remarks
It follows from the above theorem that convergence of
a
f d implies
b
lim f d 0 for every fixed 0 .
b b
However, this does not imply that f ( x) 0 as x .
Ch 01: Improper Integrals of 1st and 2nd Kinds 11
Definition
Let f be defined on the half open interval a, b (having point of infinite
discontinuity at a ) and assume that f R( ; x, b) for every x a, b . Define a
function I on a, b as follows:
b
I ( x) f d if x a, b
x
b
If lim I ( x) exists then the integral
xa f d
a
is said to be convergent. Otherwise,
b
f d
a
is said to be divergent. If lim I ( x) A , the number A is called the value of
xa
b
the integral and we write f d A.
a
Note
The tests developed to check the behaviour of the improper integrals of Ist kind are
applicable to improper integrals of IInd kind after making necessary modifications.
Example
f ( x) x p is defined on (0, b] and f R( x, b) for every x (0, b] .
b
I ( x) x p dx if x (0, b]
x
b
x1 p b1 p 1 p
b b
x dx lim x dx lim
p p
lim , ( p 1)
0 0 1 p 0 1 p
0 0
finite , p 1
infinite , p 1
b
1
When p 1 , we get x dx log b log as 0 .
12 Ch 01: Improper Integrals of 1st and 2nd Kinds
x
1
dx also diverges.
0
Note
c b
If the two integrals f d
a
and f d
c
both converge, we write
b c b
a
f d f d f d
a c
The definition can be extended to cover the case of any finite number of sums. We
can also consider mixed combinations such as
b
f d f d
a b
which can be written as f d .
a
Assignment
Consider ( p) e x x p1 dx , ( p 0) . Evaluate the convergence of this improper
0
integral.
We have, if n 1 ,
b b
dx 1
x a n
a
(1 n)( x a) n1 a
1 1 1
(b a ) n1 n1
(1 n)
1
Which tends to or according as n 1 or n 1 , as 0 .
(1 n)(b a)n1
Again, if n 1 ,
b
dx
a
xa
log(b a) log as 0 .
b
dx
Hence the improper integral x a n
a
converges iff n 1 .
Ch 01: Improper Integrals of 1st and 2nd Kinds 13
Question
Examine the convergence of
1 1 1
dx dx dx
(i) 1 (ii) 0 x2 (1 x)2 (iii) x
1 x 3
1 1
0 x
3
1 x 2
0
2
Solution
1
dx
(i) x
1 x
1
3 2
0
1
dx
(ii) 0 x2 (1 x)2
Here ‘0’ is the only point of infinite discontinuity of the given integrand.
We have
1
f ( x) 2
x (1 x) 2
1
Take g ( x) 2
x
f ( x) 1
Then lim lim 1
x0 g ( x) x0 2
1 x
1 1
0
f ( x) dx and
0
g ( x) dx behave alike.
1
But n 2 being greater than 1, the integral 0
g ( x) dx does not converge. Hence the
given integral also does not converge.
1
dx
(iii) x
1 x 3
1 1
2
0
14 Ch 01: Improper Integrals of 1st and 2nd Kinds
Here ‘0’ and ‘1’ are the two points of infinite discontinuity of the integrand.
We have
1
f ( x) 1
x 2 1 x 3
1
We take any number between 0 and 1, say 1 , and examine the convergence of
2
1
2 1
the improper integrals 0
f ( x) dx and
1
f ( x) dx .
2
1
2
1 1
To examine the convergence of x
0
1
2
(1 x)
1
3
dx , we take g ( x)
x
1
2
Then
f ( x) 1
lim lim 1
x 0 g ( x) x0 (1 x) 13
1 1
2 2
1 1
x
0
1
2
dx converges
0
1
x (1 x)
2
1
3
dx is convergent.
1
1 1
To examine the convergence of
1
1
x 2 (1 x)
1
3
dx , we take g ( x)
(1 x)
1
3
2
Then
f ( x) 1
lim lim 1 1
x1 g ( x) x1 x 2
1 1
1 1
(1 x)
1
1
3
dx converges
1
x 1
2 (1 x)
1
3
dx is convergent.
2 2
1
Hence 0
f ( x) dx converges.
Question
1
x 1 x
m 1 n 1
Show that dx exists iff m , n are both positive.
0
Solution
The integral is proper if m 1 and n 1 .
The number ‘0’ is a point of infinite discontinuity if m 1 and the number ‘1’ is a
point of infinite discontinuity if n 1 .
Let m 1 and n 1 .
Ch 01: Improper Integrals of 1st and 2nd Kinds 15
We take any number, say 1 , between 0 & 1 and examine the convergence of the
2
1
2 1
x 1 x x 1 x
m 1 n 1 m 1 n 1
improper integrals dx and dx at ‘0’ and ‘1’
0 1
2
respectively.
Convergence at 0:
We write
m 1 n 1 (1 x) n1 1
f ( x) x (1 x) and take g ( x)
x1m x 1 m
f ( x)
Then 1 as x 0
g ( x)
1
2
1
As x
0
1 m
dx is convergent at 0 iff 1 m 1 i.e. m 0
1
2
x m1 1 x dx is convergent at 0, iff m is +ive.
n 1
We deduce that the integral
0
Convergence at 1:
m1 n1 x m1 1
We write f ( x) x (1 x) and take g ( x)
(1 x)1n (1 x)1n
f ( x)
Then 1 as x 1
g ( x)
1
1
As (1 x)
1
1 n
dx is convergent, iff 1 n 1 i.e. n 0 .
2
1
x 1 x
m 1 n 1
We deduce that the integral dx converges iff n 0 .
1
2
1
x 1 x
m 1 n 1
Thus dx exists for positive values of m , n only.
0
It is a function which depends upon m & n and is defined for all positive values of
m & n . It is called Beta function.
Question
Show that the following improper integrals are convergent.
1 1
2 1 sin 2 x x log x
(i) sin dx (ii) 2 dx (iii) dx (iv) log x log(1 x) dx
1
x 1
x 0
(1 x ) 2
0
Solution
1 1
(i) Let f ( x) sin 2 and g ( x) 2
x x
16 Ch 01: Improper Integrals of 1st and 2nd Kinds
2
f ( x) sin 2 1x sin y
then lim lim 1 lim 1
x g ( x ) x
2
y 0
x y
1
1
f ( x) dx and 1 x 2 dx behave alike.
1 2 1
1 x 2
dx is convergent 1 x dx is also convergent.
sin
sin 2 x
(ii) 1 x 2 dx
sin 2 x 1
Take f ( x) 2 and g ( x)
x x
2
sin x 1
sin 2 x 1 2 x 1,
x2 x
1 sin 2 x
and dx converges 2 dx converges.
1
x 1
x
Note
1
sin 2 x sin 2 x
0 x 2 dx is a proper integral because x0 x 2 1 so that ‘0’ is not a point of
lim
sin 2 x
infinite discontinuity. Therefore 0 x 2 dx is convergent.
1
x log x
(iii) (1 x)
0
2
dx
log x x , x (0,1)
x log x x 2
x log x x2
1 x 1 x
2 2
1
x2
Now 1 x
0
2
dx is a proper integral.
1
x log x
1 x
0
2
dx is convergent.
1
(iv) log x log(1 x) dx
0
Ch 01: Improper Integrals of 1st and 2nd Kinds 17
log x x log( x 1) x 1
log x log(1 x) x ( x 1)
1 1
x ( x 1) dx
0
is a proper integral log x log(1 x) dx is convergent.
0
Note
a
1
(i) 0 x p dx diverges when p 1 and converges when p 1 .
1
(ii) x
a
p
dx converges iff p 1 .
Questions
Examine the convergence of
x 1 dx
(i)
dx (ii) 1 (1 x) x dx (iii) x
1 x
3 1 1
1
(1 x ) 1
3 2
Solution
x 1
(i) Let f ( x) and take g ( x ) .
(1 x)3 x2
f ( x) x3
As lim lim 1
x g ( x) x (1 x)3
x 1
Therefore the two integrals dx and 1 x2 dx have identical behaviour for
1
(1 x)3
convergence at .
1 x
1 x2 dx is convergent 1 (1 x)3 dx is convergent.
1 1 1
(ii) Let f ( x) and take g ( x) 3
(1 x) x x x x 2
f ( x) x
We have lim lim 1
x g ( x ) x 1 x
1 1
and x
1
3
2
dx is convergent. Thus 1 (1 x) x dx is convergent.
1
(iii) Let f ( x)
1 x
1 1
3 2
x
1 1
we take g ( x) 1 1
5
x 3 x 2
x 6
18 Ch 01: Improper Integrals of 1st and 2nd Kinds
f ( x) 1
We have lim
x g ( x )
1 and x
1
5
6
dx is divergent f ( x) dx is divergent.
1
Question
1
Show that 1 x2 dx is convergent.
Solution
We have
1 0 1 a
1
1 x2 a a 1 x2 0 1 x2
dx lim dx dx
a 1 a
1 a 1
lim dx 0 1 x 2 a 0 1 x 2
dx 2 lim dx
0 1 x
a 2
a
2 lim tan 1 x 2
a 0
2
therefore the integral is convergent.
Question
tan 1 x
Show that dx is convergent.
0
1 x 2
Solution
tan 1 x 1
(1 x ) 2
tan 1 x as x Here f ( x )
tan x
(1 x )
2
2 1 x
2
tan 1 x 1 1
0 1 x2 dx & 0 1 x 2 dx behave alike. and g ( x)
1 x
2
1
1 x
0
2
dx is convergent A given integral is convergent.
Question
e
x
Show that cos x dx is absolutely convergent.
0
Solution
e
x x x
e cos x e and dx 1
0
the given integral is absolutely convergent. (Comparison test)
Ch 01: Improper Integrals of 1st and 2nd Kinds 19
Question
e x
1
Show that
0 1 x4
dx is convergent.
Solution
e x 1 and 1 x 2 1 for all x (0,1) .
e x 1 1
1 x4 (1 x 2 )(1 x 2 ) 1 x2
1 1
1 1
Also
0 1 x 2
dx lim
0
0 1 x 2
dx
lim sin 1 (1 )
0 2
1 x
e
0 1 x4
dx is convergent. (by comparison test)
References:
1. Tom M. Apostol, Mathematical Analysis, 2nd Edition, 1974.
2. S.C. Malik and Savita Arora, Mathematical Analysis, 2nd Edition, 1992.