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Nicholas Jackson

EC119 Mathematical Analysis

ii

EC119 Mathematical Analysis CONTENTS

Contents

0 Introduction 1

0.1 Course description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

0.2 Aims and objectives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

0.3 Prerequisites . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

0.4 Assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

0.5 Assignments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

0.6 Recommended books . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

0.7 Learning methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

0.8 The Greek alphabet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

1 Set theory 5

1.1 Sets and elements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

2 Real Numbers 9

2.1 The Natural Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

2.2 The Integers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

2.3 The Rational Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

2.4 Irrational and real numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

2.5 Some further results for real numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

2.5.1 Classifying decimals as rational or irrational . . . . . . . . . . . . . . . . . . . . . . . . . 12

2.5.2 Absolute value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

2.5.3 The Triangle Inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

3 Complex Numbers 13

3.1 General Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

3.2 Algebra of Complex Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3.2.1 Addition, negative and subtraction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3.2.2 Multiplication . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3.2.3 Equality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3.3 Complex conjugate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3.3.1 Multiplicative Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3.3.2 Division . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

3.4 The Fundamental Theorem of Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

3.5 Geometric interpretation and the polar form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16

3.5.1 Complex multiplication . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16

3.5.2 Powers: De Moivre’s theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

3.5.3 Reciprocal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

3.5.4 Division . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

3.5.5 Conjugate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

3.6 Roots of polynomials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

3.6.1 Cube roots of unity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

3.6.2 The nth roots of unity: generalisation of the above . . . . . . . . . . . . . . . . . . . . . 19

3.7 Exponential form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

3.7.1 A remarkable result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

4.1 Some mathematical terms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

4.2 Why do we need to prove results? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

CONTENTS iii

EC119 Mathematical Analysis CONTENTS

4.4 Mathematical induction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

5 Functions 25

5.1 Domain and codomain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

5.2 Interval Notation for Subsets of R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

5.3 Images and image sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

5.4 One-one functions: injections . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

5.5 Onto functions: surjections . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

5.6 One-one and onto functions: bijections . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

5.7 Composition of functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28

5.8 Inverse Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28

5.9 Real-valued functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

5.10 An alternative definition of function (non-examined) . . . . . . . . . . . . . . . . . . . . . . . . 30

6 Counting 31

6.1 Finite Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

6.2 Infinite sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

6.3 Countable Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

7 Limits 35

7.1 Some well-behaved functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

7.2 Some general properties of limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

7.3 Further properties of limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

7.4 An important limit (1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

7.5 An important limit (2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

7.6 Some more properties and examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

7.7 Limits when x → ±∞ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40

8 Continuity 41

8.1 The Intermediate Value Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

8.2 Numerical methods for solving f(x)=0 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

8.2.1 The Newton–Raphson method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

8.2.2 The bisection method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

8.2.3 Direct iteration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

8.3 Monotone functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

9 Differentiability 45

9.1 Differentiation rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

9.2 Differentiating composite functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

9.3 Differentiating inverse functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

9.4 Table of derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

9.5 Leibniz’ Theorem (the extended product rule) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

9.6 Rolle’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

9.6.1 An application of Rolle’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

9.7 The Mean Value Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

9.7.1 Alternative forms of the Mean Value Theorem . . . . . . . . . . . . . . . . . . . . . . . 49

9.8 The Cauchy Mean Value Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50

10 L’Hôpital’s Rule 51

CONTENTS iv

EC119 Mathematical Analysis CONTENTS

10.2 Limits as x → ±∞ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

10.3 Further types: 00 , ∞0 , 1∞ , etc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

11 Taylor’s Theorem 53

11.1 Taylor’s Theorem – the nth Mean Value Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 53

11.2 Taylor and Maclaurin Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

11.3 Remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

11.4 Some Maclaurin series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58

11.5 Sequences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

11.6 Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

11.7 Convergence of series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

11.8 D’Alembert’s ratio test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

12 Integration 63

12.1 Indefinite Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

12.2 Linearity Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

12.3 Integral types and methods of integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

12.3.1 Integrals of the form g(f (x))f 0 (x) dx . . . . .

R

. . . . . . . . . . . . . . . . . . . . . . . 63

12.3.2 Integrals re-expressed in partial fraction form . . . . . . . . . . . . . . . . . . . . . . . . 64

12.3.3 Integration by parts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

12.3.4 Integrals of the form xα ln x dx . . . . . . . .

R

. . . . . . . . . . . . . . . . . . . . . . . 64

12.4 Definite integration and the Riemann integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

12.4.1 The Newton–Leibniz approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

12.4.2 The Riemann approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66

12.4.3 Some properties of definite integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66

12.4.4 The Mean Value Theorem for definite integrals . . . . . . . . . . . . . . . . . . . . . . . 67

12.4.5 The Fundamental Theorem of Calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

12.5 Improper Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

12.5.1 Infinite Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

12.5.2 Other improper integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

12.6 Functions defined by integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70

13.1 Qualitative approach: ‘knowing the direction and finding the path’ . . . . . . . . . . . . . . . . 71

13.2 Euler’s method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71

13.3 Linear equations: the integrating factor method . . . . . . . . . . . . . . . . . . . . . . . . . . . 72

13.3.1 Calculating the integrating factor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73

13.3.2 Verification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73

13.4 Nonlinear equations of ‘separable’ type . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74

14.1 Directly-integrable equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77

14.2 Linear second-order equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78

14.2.1 The solution of the related homogeneous equation . . . . . . . . . . . . . . . . . . . . . 78

14.2.2 The general solution of the nonhomogeneous equation . . . . . . . . . . . . . . . . . . . 79

14.3 Second-order linear equations with constant coefficients . . . . . . . . . . . . . . . . . . . . . . 79

14.3.1 The complementary solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79

14.3.2 The particular solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80

CONTENTS v

EC119 Mathematical Analysis CONTENTS

14.4 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81

CONTENTS vi

EC119 Mathematical Analysis 0 INTRODUCTION

0 Introduction

Lecturer Dr Nicholas Jackson <Nicholas.Jackson@warwick.ac.uk>

Mathematics B2.38, x28336

Class tutor Dr Mark Cummings <M.S.Cummings@warwick.ac.uk>

Credit 15 CATS

Teaching Two lectures and one class per week, in term 1.

Assessment One 1 21 –hour examination in June (80%)

Five fortnightly coursework assignments (20%)

Lectures Mondays 2pm–3pm R0.12, Fridays 11am–12pm L5

Classes Tuesdays 10am–11am H3.57 and 12pm–1pm H0.58 and Wednesdays 11am–12pm H0.43

This is an optional module offered alongside EC123 Mathematical Techniques B, for students who enjoyed

mathematics at A–level and wish to extend and deepen their understanding. This module is neither compulsory

nor a prerequisite for subsequent modules in economic theory, mathematical economics and econometrics, but

will help to provide a sound foundation for studying these subjects.

• To give a rigorous underpinning to the topics and techniques met in EC120 Quantitative Techniques and

EC123 Mathematical Techniques B.

• To develop a more detailed understanding of set theory and the calculus of functions of real variables.

• To develop and strengthen your capabilities for abstract thought.

By the end of this module you should have acquired a deeper understanding of the mathematics introduced in

other modules such as EC123 Mathematical Techniques B and EC120 Quantitative Techniques, and obtained a

sound foundation for later specialisation in the mathematical and statistical aspects of economics. You will have

had much more practice at thinking in a logical and precise manner, and will hopefully find your capabilities

for clear and rigorous reasoning are improved in a way that will be useful in the rest of your studies.

0.3 Prerequisites

Note that Further Mathematics A–level is not a prerequisite for this module. All that is required is an aptitude

for, and an interest in learning some additional mathematical techniques and establishing the theory behind what

you do in EC123 Mathematical Techniques B, as indicated by a good grade at A–level. (EC121 Mathematical

Techniques A is not a suitable corequisite.) Of course, those students who have done Further Mathematics may

well have an easier ride with some of the topics, but the final results in the summer don’t necessarily reflect

previous knowledge!

0.4 Assessment

The total mark for the module will comprise the following:

(ii) Five homework assignments (20% weight)

0.5 Assignments

Assignments will usually be handed out at the Monday lecture in odd-numbered weeks, and should be handed

in to the Undergraduate Office by the deadline stated on the assignment sheet: this will typically be 12pm

1

EC119 Mathematical Analysis 0 INTRODUCTION

(noon) on the Friday of the following week. This means that you will have just under two weeks to do the

assignment, and you are strongly recommended not to leave all of it until the Thursday evening. Deadlines

will be strictly enforced, and extensions or exemptions granted only in exceptional (and suitably-documented)

unforeseen circumstances such as illness, personal crisis, or natural disasters.

The class tutor will mark your work and return it to you in the following week’s class. Each assignment will

receive a total mark out of 25, comprising up to 20 marks for your answers to the questions, and up to five

marks for clarity of exposition.

Assignments will typically comprise three sections. Section A will consist of easier questions, which you should

do as a warm-up exercise, but which will not be marked or assessed. Section B will consist of harder questions,

which should be handed in by the specified deadline, and which will be marked for credit. Section C consists of

non-assessed questions which may be useful for revision purposes.

When working on your assignment, you may discuss your ideas with other students, but you must write up

your final solutions independently. Any instances of copying may be dealt with severely. (Please see the

Undergraduate Handbook’s section on plagiarism.)

There is no one recommended book for this course, as printed lecture notes will be provided. However, you

may wish to refer to some or all of the following:

S Lipschutz, Set Theory and Related Topics, Schaum Outline series, McGraw–Hill (1998) QA 248.L4

F M Hart, Guide to Analysis, Macmillan (2001) QA 300.H2

R P Burn, Numbers and Functions, Cambridge (2000) QA 300.B8

G H Hardy, A Course of Pure Mathematics, Cambridge (2008) QA 303.H2

Attendance at all lectures and classes is essential. Lecture notes will be distributed, and there is no reliance on

a single textbook. It is especially important to keep up with the problem sheets (which count towards your

final mark for this module), and to try lots of examples throughout the course, as well as regularly reviewing

your lecture notes to make sure you understand everything properly.

Mathematics is not a spectator sport – the only really successful way to learn and understand it is to do it.

This course contains edited highlights of the core of the first year Mathematics degree syllabus. Skipping the

lectures, classes and homework, and then trying to memorise the lecture notes in the last week before the exam

will not work.

You should:

Make your own notes

Even though lecture notes are provided, you should augment these with your own notes. First, taking notes

concentrates the mind. Also, the approach used in the lecture may be slightly different from that in the

handouts.

Read your lecture notes

Lecture notes may be distributed ahead of the lecture. If so, you should at the very least, skim read them

before the next lecture. Certainly (re)read them after the lecture, and before attempting the assignment.

If you do miss a lecture, collect the notes from the Undergraduate Office and make up the lost work as soon as

possible afterwards. Neither I nor Hiroko will have spare copies.

No one fully understands everything in a lecture as it is being delivered, so it is crucial to work at it afterwards

and before the next lecture.

Do the assignments

Start on these as soon as possible after the relevant lectures. Dont leave them until the night before you are

due to hand them in, or youll have no time to sort out any difficulties you may encounter. Mathematics is not

a spectator sport.

EC119 Mathematical Analysis 0 INTRODUCTION

Talk to others

Discuss the material with others on your course; indeed, explaining ideas to someone else is an excellent way of

mastering the material yourself. You may find that other students, for example engineers, scientists, as well as

mathematicians, are doing similar topics.

Use the library

If you find the lecture notes inadequate, look in some of the books suggested.

Seek help

If you have done all of the above, and are still having difficulty, do speak to me at the end of the lecture, or

come to see me during my office hours (no appointment is needed). Don’t suffer in silence.

Work consistently

Since the coursework counts 20% towards your final mark for this module, consistent work really pays off. In

previous years, most students have followed this advice and have done very well overall.

Revise thoroughly

As you will already know, the best way to revise maths is to do lots of problems, not by just reading through

lecture notes. Re-work assignment questions, try past papers, etc.

Alpha A α Nu N ν

Beta B β Xi Ξ ξ

Gamma Γ γ Omicron O o

Delta ∆ δ Pi Π π

Epsilon E or ε Rho P ρ or %

Zeta Z ζ Sigma Σ σ

Eta H η Tau T τ

Theta Θ θ or ϑ Upsilon Υ υ

Iota I ι Phi Φ φ or ϕ

Kappa K κ Chi X χ

Lambda Λ λ Psi Ψ ψ

Mu M µ Omega Ω ω

EC119 Mathematical Analysis 0 INTRODUCTION

EC119 Mathematical Analysis 1 SET THEORY

1 Set theory

Almost all of pure mathematics relies on the concept of a set, an amorphous collection of objects. Usually,

some additional structure is imposed on the set. We might, for example, impose an ordering on the elements

of the set, which then enables us to use symbols like <, >, 6 and > with impunity. If we define a notion of

‘distance’ between two elements of the set, we get a structure called a metric space, which is the subject of an

entire 30-lecture second-year module in the Mathematics Department. If we define some sort of ‘multiplication’

or ‘addition’ operation on the elements of the set, then we get a very versatile structure called a group, which

is important in a wide range of mathematical topics, as well as physics and chemistry.

Next term’s module EC133 Linear Algebra is concerned with objects called vector spaces, which again are

really just sets equipped with some extra structure. But for the rest of this section, we’ll just be looking at

ordinary sets with no extra structure.

The book Set Theory and Related Topics by Seymour Lipschutz [4] is a good (and cheap) reference for the

material in this and some later sections.

The most detailed and complex definition in the Oxford English Dictionary1 is that for the word ‘set’, comprising

several hundred distinct senses spread over 26 consecutive pages. For our purposes, the following definition will

suffice:

Definition 1.1 A set is a collection of objects, which are referred to as the members or elements of the set.

Example 1.2

(ii) The people living in Coventry.

(iv) The odd integers . . . , −5, −3, −1, 1, 3, 5, . . ..

(v) The consonants in the Latin alphabet.

(vi) All mountains on earth more than 8 500 metres high.

Sets are usually denoted by capital letters, and the elements, if not specified, by lower case letters.

Definition 1.3 (Membership) If A is a set and x is an element of A, we say that x belongs to A (or x is a

member of A) and we write x ∈ A. We denote non-membership by using the symbol ∈, / thus x ∈

/ A means

that x does not belong to the set A.

We can often describe a set by listing all of its elements. The order in which they are written is unimportant.

Example 1.4

(ii) {a, e, i, o, u}

(iii) {. . . , −5, −3, −1, 1, 3, 5, . . .} = {±1, ±3, ±5, . . .}

(iv) {Everest, K2, Kangchenjunga, Lhotse}

1 For a very readable history of the OED, see the books The Surgeon of Crowthorne [5] and The Meaning of Everything [6] by

Simon Winchester.

5

EC119 Mathematical Analysis 1 SET THEORY

Example 1.5

(i) {x | x2 − 3x + 2 = 0}

(ii) {x : x is even}

(iii) {x : 0 6 x 6 1} – the set of numbers x such that x lies between 0 and 1 inclusive.

(Strictly speaking, these sets are not properly defined, as we haven’t said what sort of number x represents.)

Definition 1.6 (Finite and infinite sets, cardinality) A set is said to be finite if it contains only a finite

number of elements, and infinite if it contains an infinite number of elements. The order or cardinality of a

set A is defined to be the number of elements the set contains, and is written |A| or card(A).

In Example 1.2, the sets (i), (ii), (iii), (v) and (vi) are finite, while (iv) and (vii) are infinite (but differently so –

more on this later).

Definition 1.7 (Equality) Two sets A and B are equal (written A = B) if they contain exactly the same

elements.

Example 1.8

{x : x2 = 1} = {−1, 1}

Definition 1.9 (Subsets) If A and B are two sets, we say that A is a subset of B (written A ⊆ B, or

sometimes B ⊇ A) if all the members of A are also in B:

‘whenever x ∈ A then x ∈ B’

The symbol ⊆ means that A could be equal to B (compare with the symbol 6). If there are additional

elements of B which are not contained in A, then we say that A is a proper subset of B (written A ⊂ B, or

sometimes B ⊃ A).

Clearly A = B if and only if 2 A ⊆ B and B ⊆ A. That is, every element of A is contained in B, and every

element of B is contained in A.

Definition 1.10 (Intersection) The intersection A ∩ B of two sets A and B is defined to be the set of all

elements which belong to both sets.

A ∩ B := {x : x ∈ A and x ∈ B}

n

\

Ai := A1 ∩ A2 ∩ . . . ∩ An

i=1

Definition 1.12 (The empty set) The empty set is a set which contains no elements; we represent it with

the symbol ∅, not to be confused with the lowercase Greek letter φ (phi). The empty set is a subset of all

other sets, since all of its elements are elements of any other given set.

Note ∅ =

6 {0}.

2 This phrase, which turns up quite often in mathematics, is occasionally abbreviated as ‘iff’.

EC119 Mathematical Analysis 1 SET THEORY

Example 1.13

(i) The set of all mountains on earth more than 30 000 feet high is empty.

(ii) If A = {1, 5, 7} and B = {2, 4, 11} then A ∩ B = ∅.

Definition 1.14 (Disjoint sets) If the intersection of two sets is empty, then they are said to be disjoint.

The sets A and B in Example 1.13(ii) are disjoint – they have no elements in common.

Definition 1.15 (Union) Given two sets A and B, their union A ∪ B is defined to be the set of all elements

which belong to A or B or both.

A ∪ B := {x : x ∈ A and/or x ∈ B}

n

[

Ai := A1 ∪ A2 ∪ . . . ∪ An

i=1

Note that

A ∪ A = A, A ∪ ∅ = A, A ∩ A = A, A∩∅=∅

for any set A. Also note that

A ∪ B = B ∪ A, A∩B =B∩A

for any sets A and B (we say ∪ and ∩ are commutative operations).

Definition 1.17 (The universal set) In any question involving sets, all sets under investigation may be

considered to be subsets of some fixed set, the universal set, which we denote by Ω.

Note that, if A ⊆ Ω,

A ∩ Ω = A, A∪Ω=Ω

for all sets A. (We could, in fact, formally define Ω to be the set satisfying these two properties.)

Definition 1.18 (Difference) Given two sets A and B, their difference A \ B is defined to be the set

consisting of all the elements of A which are not also contained in B:

A \ B := {x : x ∈ A and x ∈

/ B}

Note that A \ B need not be the same as B \ A (and, indeed, will not be unless A = B). If A and B are disjoint,

then A \ B = A, otherwise A \ B ⊂ A.

If A is the universal set Ω, then we refer to Ω \ B as simply the complement of B, and denote it variously by

B 0 , B c , B, B,

e and so forth (although in this course we will adopt the notation B 0 exclusively.)

Note also that

B ∪ B 0 = Ω, B ∩ B 0 = ∅, (B 0 )0 = B

for any set B.

Example 1.19

(ii) Let A = {1, 2, 3, 4, 5} and B = {2, 4, 6, 8}. Then A \ B = {1, 3, 5} and B \ A = {6, 8}.

EC119 Mathematical Analysis 1 SET THEORY

Definition 1.20 (Cartesian product) Given two sets A and B, their Cartesian product A×B is defined to

be the set of all ordered pairs (a, b) such that a ∈ A and b ∈ B. That is,

In general, the pair (a, b) is not the same as (b, a).

A × B = {(1, a), (1, b), (2, a), (2, b), (3, a), (3, b)}.

A1 × A2 × · · · An := {(a1 , a2 , . . . an ) : ai ∈ Ai , i = 1, 2, . . . n}

We use the Cartesian product when we represent a point in the plane by coordinates (x, y), because x ∈ R and

y ∈ R. The Cartesian product is R × R or R2 .

Furthermore, Rn consists of ordered elements of the form (x1 , x2 , . . . xn ) where each xi ∈ R. (x1 , x2 , . . . xn ) is

sometimes called an n–tuple. We will consider R2 , R3 and Rn in more depth next term, in the linear algebra

section of the course.

EC119 Mathematical Analysis 2 REAL NUMBERS

2 Real Numbers

The main purpose of this module is to investigate various properties of functions of real variables. In particular,

we will study calculus (differentiation and integration) in careful detail, and examine concepts such as limits,

continuity and differentiability in a properly rigorous manner.

In this section, we will spend a little time studying the various classes of real numbers.

This is the set of ‘counting numbers’ {1, 2, 3, . . .} and is denoted N (for ‘natural’).

We could extend this set slightly so that we include 0 (call it N∗ say, or N0 ). But if we extend the set further

to include negative numbers as well, the resultant set will satisfy even more of the basic properties specified.

Z+ = {positive integers} = N

Z− = {negative integers} = −N

All integers can be classified as being even (divisible by 2), or odd (not divisible by 2).

All even integers can be written in the form 2n, where n ∈ Z, and all odd integers can be written as 2n + 1, or

if more convenient, 2n − 1, again with n ∈ Z. The evens and odds are disjoint sets:

Zodd ∩ Zeven = ∅

Zodd ∪ Zeven = Z

Example 2.1 The sum of two even integers is even, the sum of two odd integers is even, and the sum of an

even and odd integer is odd.

Proof Let a = 2m and b = 2n be two even integers, where m, n ∈ Z. Then a + b = 2m + 2n = 2(m + n). Since

m and n are both integers, so is m + n and hence a + b = 2(m + n) is an even integer.

Now let a = 2m + 1 and b = 2n + 1. Then a + b = 2m + 2n + 1 + 1 = 2(m + n + 1), which is also even.

Finally, let a = 2m and b = 2n + 1. Then a + b = 2m + 2n + 1 = 2(m + n) + 1, which is an odd integer.

Example 2.2 The product of two even integers is even, the product of two odd integers is odd, and the product

of an even and odd integer is even.

A consequence of this result is that the square of an even integer is even, and the square of an odd integer is

odd.

Also the converse of this is true: given that a2 is even, where a ∈ Z, then a must be even, whereas if a2 is an

odd perfect square, then a must be odd.

m

The set of all numbers of the form n, where m and n are integers and n 6= 0, are called rational numbers,

and is denoted Q (for ‘quotient’).

The rational numbers are dense; that is, between any two rational numbers is at least one other rational

number:

9

EC119 Mathematical Analysis 2 REAL NUMBERS

p

Proof Let a = q and b = rs , where p, q, r, s ∈ Z and q, s 6= 0.

Then

1 1 p r (ps + rq)

2 (a + b) = + = ∈Q

2 q s 2qs

since both numerator and denominator are integers and the denominator is non-zero. Now

2 (a + b) − a = − =

2qs q 2qs

rq − ps 1r p 1

= = − = 2 (b − a) > 0

2qs 2 s q

Hence there is a rational number 12 (a + b) satisfying a < 21 (a + b). Similarly we can show that 12 (a + b) < b,

and the result follows.

So it looks as though we can ‘fill up’ the whole number line with rational numbers. But this is wrong, as we

shall see next.

√

Theorem 2.4 2 is not a rational number.

This result is attributed to the school of Pythagoras of Samos (480–400BC), although a more rigorous proof

is known to have been in existence by 380BC. This result contradicted a central pillar of the Pythagoreans’

worldview – that the rational numbers underlay the entirety of existence – and an apocryphal legend states that

this was so shocking that Pythagoras had the unfortunate responsible mathematician taken out and drowned.

The following proof uses a technique known as ‘proof by contradiction’ or reductio ad absurdum. Essentially

we start by assuming the desired result is not true, and then proceed logically to show that this leads to an

inconsistency. Thus, our initial assumption must have been incorrect.

√ √

Proof Suppose that 2 is rational. In that case, it can be written in the form 2 = pq , where p and q are

integers which have no factors in common – that is, pq is a proper fraction – and q 6= 0.

Squaring both sides:

p2

2 = 2 =⇒ p2 = 2q 2

q

Thus p2 is an even integer, and by Example 2.2 this means that p also must be even. (If p were odd, then p2

would be odd.)

So we can write p = 2r where r is some integer. Therefore

2q 2 = (2r)2 = 4r2

and so q 2 = 2r2 .

Hence q is also even, for the same reason that p is.

p

This means that both p and q are even, which contradicts the hypothesis that√ q was in its simplest form. So

the only option open to us is to conclude that it is not possible to express 2 as a rational number.

This proof uses a subtle but powerful technique called reductio ad absurdum, or proof by contradiction. Broadly

speaking, we start out by assuming the opposite statement to the one we want to prove, and then proceed

logically from that point until we arrive at a statement which is either inconsistent with the original hypothesis

or clearly false. The only possible conclusion then is that the original assumption was false, and therefore that

the thing we wanted to prove must have been true all along.

The mathematician G H Hardy (1877–1947) wrote, in his book A Mathematician’s Apology:

. . . and reductio ad absurdum, which Euclid loved so much, is one of a mathematician’s finest

weapons. It is a far finer gambit than any chess gambit: a chess player may offer the sacrifice of a

pawn or even a piece, but a mathematician offers the game.

EC119 Mathematical Analysis 2 REAL NUMBERS

√

Since 2 is not rational, we call it an irrational number. There is no specific symbol for the irrationals, but

all the rational and irrational numbers constitute the real numbers which we denote by the symbol R.

The symbols R+ and R− have analogous meanings to the symbols Z+ and Z− . We can define the irrational

numbers to be R \ Q. Obviously there are an infinite number of square

√ roots which are irrational – as an

exercise, see if you can adapt the proof of Theorem 2.4√to show that 3 is irrational. Similarly, an infinite

number of higher-order roots will also be irrational (eg 3 5).

Irrational numbers which are the solution of polynomial equations (eg x2 = 2) are said to be algebraic.

Irrational numbers which aren’t algebraic are called transcendental – well-known examples of this second

class are π and e.

It isn’t always easy to prove that a number is irrational, and indeed there have been many interesting numbers

which mathematicians have been convinced were irrational, but which were later shown to be rational.

The Feigenbaum constant δ = 4.669201 . . ., which turns up in the study of dynamical systems and chaos

theory (eg in models of population growth) is believed to be transcendental, but has not been proved to be so.

Chaitin’s constant (the probability that a random algorithm halts) is known to be not only transcendental, but

uncomputable.

It is sometimes possible to prove existence statements without finding explicit numbers which satisfy the

statement.

Proposition 2.5 There exist irrational real number x and y such that xy is rational.

√ √ √2

Proof We know that 2 is irrational. Consider the number 2 . It is (obviously) either rational or irrational.

√

If it is rational, then the result follows by setting x = y = 2.

If not, then set √ √2 √

√ √

x = 2 and y = 2.

√ 2 √

Then xy = ( 2 ) 2 = ( 2)2 = 2, which is rational.

√

The fact that 2 is irrational implies that between any two rational numbers there is at least one irrational

number.

√

2

Lemma 2.6 If a, b ∈ Q with a < b, then c = a + 2 (b − a) is an irrational number such that a < c < b.

√

2

Suppose that c is rational. We have c = a + 2 (b − a) and rearranging this we get

√ 2(c − a)

2= .

(b − a)

√

Since a, b, c ∈ Q, then 2 ∈ Q; but this is false. Therefore c is irrational.

√

For the second part, note that 1 < 2, since 1 < 2. This means that

√

1 2

0 < √ < 1, or 0 < < 1.

2 2

Hence √

2

c=a+ (b − a) < a + (b − a) = b.

2

Obviously √

2

a<a+ (b − a), (since b − a > 0, ie b > a).

2

Remark The rational and irrational numbers are mixed up in a very complicated way. Do not make the

common mistake of thinking that they alternate in some way along the real line.

EC119 Mathematical Analysis 2 REAL NUMBERS

2.5.1 Classifying decimals as rational or irrational

(i) Any finite decimal is rational.

(ii) Any infinite repeating decimal is rational.

Case (i) could be included within case (ii) because we can always append an infinite number of zeros to the end

of any finite decimal.

14362

Example 2.7 (i) 0.14362 = 0.1436200000 . . . = 100000 .

Let x = 0.123123123 . . ., then multiplying by 103 = 1000,

1000x = 123.123123123 . . . ,

123

and subtracting x we get 999x = 123 and so x = 999 .

Actually in this example we can simplify further by dividing the numerator and denominator by 3 to give

41

x = 333

If a ∈ R, then

a if a > 0,

|a| :=

−a if a < 0.

√

This means that a 6 |a|. Also |a| = a2 , or |a|2 = a2 . Later we will extend this concept to cover complex

numbers as well.

√

Note Nowadays, is always

√ defined to be the positive square root. So while the solutions of the equation

2

x = 4 are ±2, the symbol 4 means just 2, not ±2.

|a| may be interpreted as the distance between ‘a’ and the origin on the real number line.

|a − b| is the distance between a and b, and |a + b| is the distance between a and −b, (or between b and −a).

|a + b| 6 |a| + |b|

Proof Now (|a + b|)2 = (a + b)2 = a2 + 2ab + b2 . Also since a 6 |a| and b 6 |b|, then

= |a|2 + 2|a||b| + |b|2

= (|a| + |b|)2

Hence (|a + b|)2 6 (|a| + |b|)2 , and since all absolute values are non- negative, this leads to

|a + b| 6 |a| + |b|

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

3 Complex Numbers

We now complete the standard hierarchy of number systems

N⊂Z⊂Q⊂R⊂C

In the 16th century, there was much interest in solving algebraic equations. For example: find two numbers

whose sum is ten and product forty.

Algebraically, this is the problem

x + y = 10

xy = 40

x(10 − x) = 40

2

so x − 10x + 40 = 0

√ √ √ √

This has solutions x = 10± 2 −60 = 5 ± −15. So the solutions are x = 5 + −15 and y = 5 − −15.

√

Although, at this point, we haven’t yet attached any meaning to −15, if we manipulate these expressions

using the familiar rules of algebra, we can show that x + y = 10 and xy = 40.

Let us consider the equation x2 + 1 = 0. If x is a real number, this equation has no solutions. We know that

in general, a quadratic equation (a polynomial equation of degree 2) has 2, 1 or 0 real solutions. In some

circumstances, it is useful to think of such equations as having two solutions in all cases. If so, we have to

extend our set of real numbers R to accommodate this.

√

The Swiss mathematician Leonard Euler (1707–1783) introduced the symbol i for −1. We will define it via

i2 = −1, for reasons which will emerge later. In this case we solve x2 − i2 = 0 and the equation x2 + 1 = 0 has

solutions x = i and x = −i.

√ √ √ √ √

In Section

√ 2.7 we obtained √ solutions x = 5 + √−15 and y = 5 − −15. We can write −15 as 15i2 = 15i

(or i 15), and so x = 5 + i 15 and y = 5 − i 15

Any number of the form a + ib (or a + bi) where a and b are real numbers, is called a complex number. We

usually call a complex number z or w rather than x or y. We denote the set of all complex numbers C.

Two complex numbers are added or multiplied term by term using the usual rules of algebra, remembering

that i2 = −1.

Given a complex number z = a + ib, we call the real number a the real part of z and the real number b is the

imaginary part of z. This can be written Re(z) = a and Im(z) = b. Note that these terms are historical and

have no particular significance.

Example 3.1 Re(3 − 5i) = 3 and Im(3 − 5i) = −5, (not −5i).

Given the general complex number z = a + ib, if b = 0, then z is real, so a real number a is equivalent to the

complex number a + 0i.

If z = a + ib and a = 0 then we say that z is purely imaginary. If both a and b are zero, then the complex

number 0 + 0i is equivalent to the real number 0. So zero belongs to C and z = 0 means that both Re(z) = 0

and Im(z) = 0.

13

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

3.2.1 Addition, negative and subtraction

If z = a + bi and w = c + di then

z+w = (a + c) + (b + d)i

−w = −c − di

z−w = (a − c) + (b − d)i

3.2.2 Multiplication

If z = a + bi and w = c + di then

= (ac − bd) + (ad + bc)i

3.2.3 Equality

z z̄ = (a + bi)(a − bi) = a2 + b2 which is a positive real number for all nonzero complex numbers.

√

The real number a2 + b2 is called the modulus of z. It is denoted by |z|.

Thus

|z|2 = z z̄ = z̄z

(i) z + w = z̄ + w̄. The conjugate of a sum is the sum of the conjugates.

(ii) zw = z̄ w̄ The conjugate of a product is the product of the conjugates.

(i) z + w = (a + c) + (b + d)i, so

z + w = (a + c) − (b + d)i = (a − bi) + (c − di) = z̄ + w̄.

zw = (ac − bd) − (ad + bc)i = (a − bi)(c − di) = z̄ w̄.

If z = a + bi, z 6= 0, then z −1 = 1

z = 1

a+bi .

1 a − bi a − bi

z −1 = = = 2 .

z (a + bi)(a − bi) a + b2

We can now carry out division:

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

3.3.2 Division

= zw−1 = (a + bi). 2 = .

w c + d2 c2 + d2

z z

We also have w = w. The conjugate of a quotient is the quotient of the conjugates.

Consider the general polynomial of degree n:

Pn (x) = an xn + an−1 xn−1 + · · · a2 x2 + a1 x + a0

where the coefficients ai are real numbers and the leading coefficient an 6= 0.

The polynomial Pn (x) has exactly n roots. These can be a combination of real and distinct, real and repeated

or complex.

Note Roots of the polynomial are just solutions of the polynomial equation Pn (x) = 0, ie values of x for

which the equation holds.

P3 (x) = x3 + x2 + 3x − 5

Clearly, P3 (1) = 0 because 1 + 1 + 3 − 5 = 0, so x = 1 is a root and (x − 1) must be a factor. We could

search for another real root, but actually we would be unsuccessful. We find the remaining quadratic factor by

synthetic division.

The solutions of x2 + 2x + 5 = 0 are given by

√

−2 ± 4 − 20

x= = −1 ± 2i.

2

So the roots of P3 (x) are 1, −1 + 2i and −1 − 2i, and we can factorise the cubic as follows:

x3 + x2 + 3x − 5 = (x − 1)[x − (−1 + 2i)][x − (−1 − 2i)] = (x − 1)(x + 1 − 2i)(x + 1 + 2i).

Note that the complex roots occur in a conjugate pair. This will always be the case when the coefficients in the

original polynomial are real: ie all complex roots occur in conjugate pairs, as we shall now demonstrate.

Suppose that z ∈ C satisfies this equation, then so does z̄.

P (z) = an z n + an−1 z n−1 + · · · + a2 z 2 + a1 z + a0 = 0.

Now consider P (z̄) = an z̄ n + an−1 z̄ n−1 + · · · a2 z̄ 2 + a1 z̄ + a0 . We want to show that this also is zero.

Using Lemma 3.2,

P (z) = an z n + an−1 z n−1 + · · · a2 z 2 + a1 z̄ + a0

Now since ai ∈ R, then ai = ai , (the conjugate of a real number is the number itself), so

P (z) = an z n + an−1 z n−1 + · · · a2 z 2 + a1 z̄ + a0

= an z n + an−1 z n−1 + · · · + a2 z 2 + a1 z + a0 using Lemma 3.2

= an zn + an−1 z n−1 + · · · + a2 z2 + a1 z + a0 using Lemma 3.2

= 0̄ = 0

so z̄ satisfies the equation. Hence any complex roots of the polynomial equation occur in conjugate pairs.

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

From this theorem it is clear that a cubic must have one or three real roots.

If a pair of complex conjugate roots are a ± ib, then these give rise to a real quadratic factor because

[x − (a + ib)][x − (a − ib)] = x2 − (a + ib + a − ib)x + (a + ib)(a − ib)

= x2 − 2ax + (a2 + b2 )

Note here that the coefficient of x, viz −2a is ‘−the sum of the roots’ and the constant term a2 + b2 is the

‘square of the conjugates’.

Every complex number z = a + bi can be represented by a point (a, b) in the x–y plane. In this context, the

x–y plane is called the complex plane or Argand diagram.

Im(z)

b z=a+bi

r

θ

a Re(z)

In polar coordinates, the cartesian point (a, b) can be represented as hr, θi. Clearly, a = r cos θ and b = r sin θ.

So we can write

z = a + bi = r(cos θ + i sin θ).

If we square and add we get

a2 + b2 = r2 cos2 θ + r2 sin2 θ = r2

√

and so r = a2 + b2 .

Thus r = |z|, the modulus of z, which was defined earlier. Note that r > 0.

The polar angle θ is called the argument of z, written arg z and is defined by

r cos θ = a

r sin θ = b

a .

Since θ ≡ θ + 2kπ for k ∈ Z, we usually define the principal value of the argument to lie in the range

0 6 θ < 2π or possibly, −π < θ 6 π, (0◦ 6 θ < 360◦ or −180◦ < θ 6 180◦ ).

Suppose z1 = r1 (cos θ1 + i sin θ1 ) and z2 = r2 (cos θ2 + i sin θ2 ), then

= r1 r2 cos θ1 cos θ2 + i cos θ1 sin θ2 + i sin θ1 cos θ2 + i2 sin θ1 sin θ2

= r1 r2 [cos(θ1 + θ2 ) + i sin(θ1 + θ2 )]

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

That is, multiply the moduli and add the arguments.

A consequence of the multiplication rule is that if z = hr, θi in polar form, then

3.5.3 Reciprocal

If z = r(cos θ + i sin θ) = hr, θi then

1 1

=

z r(cos θ + i sin θ)

1 ((cos θ − i sin θ))

= ·

r (cos θ + i sin θ)(cos θ − i sin θ)

1

= · (cos θ − i sin θ).

r

Now cos(−θ) = cos(θ) and sin(−θ) = − sin(θ) so the above could be written as

1 1

= [(cos(−θ) + i sin(−θ)] .

z r

Thus, in polar form,

1 D1 E

= , −θ

z

r−1

or z −1

= r , (−1)θ

It may also be shown that

Thus we have the general result

z n = hrn , nθi, for all n ∈ Z.

3.5.4 Division

If z1 = hr1 , θ1 i and z2 = hr2 , θ2 i then

z1 D1 E

= z1 .z2−1 = hr1 , θ1 i , −θ2 , z2 6= 0.

z2 r2

z1 Dr

1

E

= , (θ1 − θ2 )

z2 r2

that is, for division, divide the moduli and subtract the arguments.

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

3.5.5 Conjugate

Example 3.5

(i) Mark on an Argand diagram the complex numbers z1 = 3 − 2i, z2 = −i, z3 = i2 , z4 = −2 − 4i, z5 = 3.

Find the modulus and argument of each complex number and hence write in polar form.

√

(a) z1 = − 3 + i

(b) z2 = 4 + 4i

Hence express z1 z2 , zz21 , z11 and z14 in polar form.

√ π

π

2, 4 , 2, 6 and 2, − π6 in Cartesian form a + bi.

(iii) Express

3.6.1 Cube roots of unity

Find the roots of z 3 − 1.

Method 1 Since z 3 − 1 = 0 when z = 1, then (z − 1) must be a factor, and completing the factorisation

z 3 − 1 = (z − 1)(z 2 + z + 1),

√

3

so z 3 − 1 = 0 when z = 1 and when z 2 + z + 1 = 0, ie when z = − 21 ± 2 i.

√ √

So the roots of z 3 − 1 are 1, − 12 + 23 i and − 12 − 23 i. These are the three cube roots of 1, or the ‘cube roots of

unity’.

Method 2 We solve z 3 = 1 and express both sides of the equation in polar form. If z = hr, θi, then z 3 = hr3 , 3θi

and 1 = h1, 0i, so we solve

hr3 , 3θi = h1, 0i,

giving r3 = 1 and 3θ = 0.

This means that r = 1. We may be tempted to say that the second equation has the one solution θ = 0, but

this is wrong. We have to remember that the argument of a complex number isn’t defined uniquely, but we can

always add on integer multiples of 2π.

Thus we write 3θ = 2kπ, k = 0, 1, 2, . . ., i.e.

Dividing by 3 gives

2π 4π 8π

θ = 0, , , 2π, ,......

3 3 3

It is clear that after the first three values, 0, 2π 4π

3 , 3 , the remaining solutions are just repetitions.

2kπ

So we can write the three solutions as z = 3 , for k = 0, 1, 2. Writing in full, the solutions are

√

z1 = h1, 2π 2π 2π

= − 21 + i 23

3 i = cos 3 + i sin 3

√

z2 = h1, 4π 4π 4π

= − 21 − i 23 .

3 i = cos 3 + i sin 3

Remarks

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

2π

(ii) The three roots are distributed evenly around the origin with an angular separation of 3 .

z12 = h12 , 2. 2π 4π

3 i = h1, 3 i = z2

z22 = h1, 8π 2π

3 i ≡ h1, 3 i = z1 .

So if we denote either of z1 or z2 by ω then the other one is ω 2 and the three solutions are 1, ω and ω 2 .

P (z) = z 3 + az 2 + bz + c

and matching up with z 3 + az 2 + bz + c we, see in particular that the sum of the roots is α + β + γ = −a

In (iii) our polynomial is z 3 − 1. Since the term in z 2 is missing, or equivalently, its coefficient is zero,

then the sum of the roots is 0, and hence

1 + ω + ω2 = 0

Here we solve z n = 1. Following the same method as above, the roots are zk = 2kπ

n , for k = 0, 1, 2, . . . (n − 1).

Again the roots are distributed evenly around the origin with an angular separation of 2π

n . Now consider the

following:

z n + an−1 z n−1 + · · · a2 z 2 + a1 z + a0 = 0,

the sum of the solutions of the equation is equal to ‘the coefficient of z n−1 ’, i.e. the real number −an−1 .

Now when we look at the equation z n − 1 = 0 we see that an−1 = 0, so this tells us that the sum of the

roots of the polynomial is 0.

(ii) In finding the roots of z n − 1, we know that one root z0 = 1. Consider the root z1 = h1, 2π

n i. Then

n = z2 , n = z3 , . . . n = zn−1

z0 + z1 + z2 + z3 + · · · + zn−1 = 0

and using (ii)

1 + z1 + z12 + z13 + · · · + z1n−1 = 0.

This result may be shown to be true for any of the solutions zk , k 6= 0. So if we call any one of them ω, (ω 6= 1)

then

1 + ω + ω 2 + ω 3 + · · · + ω n−1 = 0.

Example 3.6

(ii) Solve z 4 = −1 + i

EC119 Mathematical Analysis 3 COMPLEX NUMBERS

On the face of it this looks difficult. Now suppose we multiply this throughout by (z − 1) then we get

(z − 1)(z 5 + z 4 + z 3 + z 2 + z + 1) = z 6 − 1.

We therefore solve z 6 = 1 following the method in Section 3.6.2. We then discard the extra solution z = 1. The

remaining five solutions are the ones required.

Example 3.8

(i) How would you find the roots of z 5 − z 4 + z 3 − z 2 + z − 1 = 0?

(ii) Can you generalise to find the roots of 1 + z + z 2 + · · · + z n ?

For real x we can find the following series representations (justification later on).

x2 x3 x4 x5

ex = 1+x+ 2! + 3! + 4! + 5! + ···

x2 x4

cos x = 1− 2! + 4! − · · ·

x3 x5

sin x = x− 3! + 5! − · · ·

z2 z3 z4 z5

ez = 1 + z + 2! + 3! + 4! + 5! + ···

If we now write z = iθ (where θ is real) then we obtain

(iθ)2 (iθ)3 (iθ)4 (iθ)5

eiθ = 1 + iθ + 2! + 3! + 4! + 5! + · · ·

2 3 4 5

= 1 + iθ − θ2! − i θ3! + θ4! + i θ5! + · · ·

2 4 3 5

1 − θ2! + θ4! − · · · + i θ − θ3! + θ5! − · · ·

=

We conclude that

This is known as Euler’s Formula.

Replacing θ by −θ in this formula gives

e−iθ = cos θ − i sin θ.

Note In this formula, θ must be measured in radians.

Now the complex number z = r(cos θ + i sin θ) may be written in the exponential form z = reiθ . We can then

use the usual laws of algebra (without justification!) to obtain the familiar polar results:

Multiplication If z1 = r1 eiθ1 , z2 = r2 eiθ2 , then

z = 1

reiθ

= 1r e−iθ

z1 r1 eiθ1 r1 i(θ1 −θ2 )

Division If z1 = r1 eiθ1 , z2 = r2 eiθ2 , then z2 = r2 eiθ2

= r2 e .

eiπ = −1

EC119 Mathematical Analysis 4 PROOF AND REASONING

As you may have realised by now, the mathematics that you encounter in this course may be somewhat different

from the mathematics you did at school. Making the transition can be quite difficult. Mathematics at school is

mostly about learning techniques, problem solving and doing calculations. At University, pure mathematics is

about definitions, theorems and proofs. It can be very theoretical and abstract. In this course, I will attempt

to achieve a balance between these approaches.

At the end of a school lesson, you would expect to understand most if not all of it, although you may need

extra practice by doing exercises before you feel completely confident. At the end of a lecture, this may not be

the case. You may well need to go away, work through the lecture notes on your own or better still, in a group,

before you fully understand the material. This is completely normal, and you should not consider that you are

failing (nor that the lecturer is useless) if you don’t understand immediately. But it does require input from

you in order to master the material. Please don’t be afraid to ask questions, either during or after the lectures,

or in the tutorials.

Theorem This is a key mathematical result or list of key results in a theory.

Lemma This is a minor mathematical result, usually preparing the way for a theorem.

Corollary This is a straightforward consequence of a theorem, often a special case of it.

Proposition In logic, a proposition is just a statement about something, be it true or false. It is often also

used to describe a statement of something to be proven.

Hypothesis or Conjecture This is an unproven mathematical result. Once it is proven, it may become a

lemma or a theorem.

Proof This is an argument that a mathematician uses to convince others that a result is true. The idea of

proof is very important to the whole subject of mathematics. This will be looked at in the next section.

Mathematics differs from many other disciplines in that it does not depend on previous experience or experiment

in order to justify its results: although such an approach may allow us to guess or conjecture, and form hypotheses.

Mathematicians like to present a topic in an orderly way, setting out what assumptions are made (axioms) and

then progress in a logical manner, with all terms used being defined precisely. Among mathematicians, there is

not always agreement about what constitutes an acceptable proof, ie what axioms are to be chosen.

You may feel little need to justify or prove various results, being quite happy to accept my word for it. This

isn’t a good idea – I could be making it all up, or I could just be wrong. We now look at what might constitute

a rigorous argument or proof.

Proofs have the following characteristics:

• All terms are defined.

• There is a logical argument indicating how the conclusion follows from the assumptions.

• All cases are covered.

We have met the following already:

Direct Proof

Start with ‘What I know’.

Set up a chain of argument.

End up with ‘What I want’.

21

EC119 Mathematical Analysis 4 PROOF AND REASONING

Contradiction

Assume that ‘the required result is false’.

Work to a contradiction.

Exhaustion

Check all possible cases individually.

Demonstration

Use this method when you are asked to ‘Prove there exists . . . ’.

You only need one example.

Counterexample

Use this method when you need to disprove something.

You need to show that it is false for some case.

One example is enough.

A good analogy for this method of proof is that of someone trying to climb a ladder.

In order to get to the top of the ladder, we first have to get on to the first rung; from there we go to the second

rung, to the third and so on. If we can get started, we can get to the top eventually.

Let P (n) be a proposition involving the natural number n.

Definition 4.1 (Principle of mathematical induction) Suppose we have a variable proposition P (n) which

depends on some natural number n. Then if P (1) is true, and if P (k) ⇒ P (k + 1) for some k ∈ N, then P (n)

is true for all n ∈ N.

n(n+1)

Example 4.2 Let P (n) be the statement “the sum of the first n natural numbers is 2 .”

We can prove this to be true for all n ∈ N.

Sn = 1 + 2 + 3 + · · · + (n − 1) + n

Sn = n + (n − 1) + (n − 2) + · · · + 2 + 1

2Sn = (n + 1) + (n + 1) + (n + 1) + · · · + (n + 1) + (n + 1)

| {z }

n times

Pn n(n+1)

So Sn = i=1 = 2 .

(ii) Proof by Induction

(a) (The first rung)

P (1): the sum of 1 natural number is obviously 1. Also from the formula,

1(2)

S1 = 2 = 1,

(b) Now suppose that the formula holds for some particular value of n, say n = k, i.e. assume P (k) is

true. The question then is, is P (k + 1) true? Does the formula hold for n = k + 1? (Again, the

analogy is: if, somehow or other, we’ve reached the kth rung, can we climb to the (k + 1)th?)

EC119 Mathematical Analysis 4 PROOF AND REASONING

k(k+1)

So we assume Sk = 1 + 2 + · · · + k = 2 . Then

Then Sk+1 = Sk + (k + 1)

k(k+1)

= 2 + (k + 1)

(k+1)(k+2)

= 2

(k+1)(k+1+1)

= 2

So if P (k) is true, then so is P (k + 1), or P (k) ⇒ P (k + 1).

(c) So now we have

P (k) ⇒ P (k + 1), where k ∈ N and P (1) is true.

We have the following implications:

P (1) is true, and P (1) ⇒ P (2) ⇒ P (3) ⇒ · · · ⇒ P (n) ⇒ P (n) is true for all n ∈ N.

Example 4.3 The sum of the first n odd numbers is n2 , that is,

n

X

Sn = 1 + 3 + 5 + · · · + (2n − 1) = (2i − 1) = n2 .

i=1

(ii) P (1): S1 = 1 and also the formula gives 12 = 1, so P (1) is true.

(iii) Assume P (k) is true: Sk = 1 + 3 + 5 + · · · + (2k − 1) = k 2 .

Now Sk+1 = Sk + (2k + 1) = k 2 + (2k + 1) = (k + 1)2 ,

which has the same form as Sk .

So if P (k) is true then so is P (k + 1).

(iv) Therefore P (n) is true for all n ∈ N.

(ii) P (1) : 51 − 1 = 4, which is divisible by 4, so P (1) is true.

(iii) Suppose P (k) is true. i.e. 5k − 1 is divisible by 4.

Then we could write 5k − 1 = 4m, where m ∈ N.

We now investigate P (k + 1).

5k+1 − 1 = 5.5k − 1

= 5(4m + 1) − 1

= 20m + 4

= 4(5m + 1)

(iv) By the principle of mathematical induction, P (n) is true for all n ∈ N.

P (n): the sum of the first n even numbers is n2 + n + 1.

EC119 Mathematical Analysis 4 PROOF AND REASONING

= (k 2 + k + 1) + (2k + 2)

= k 2 + 3k + 3

= (k + 1)2 + (k + 1) + 1

Therefore P (n) is true for all n ∈ N .

So, for example, the sum of the first 2 even numbers is 22 + 2 + 1 = 7, which is traditionally regarded as an

odd number. In fact the sum is 2 + 4 = 6.

What went wrong?

Example 4.6 Prove that if z is a complex number which in polar form is hr, θi, then z n = hrn , nθi for all

n ∈ N.

EC119 Mathematical Analysis 5 FUNCTIONS

5 Functions

We can illustrate the theory in this section by means of the following, rather contrived example

Example 5.1

(i) Consider the following scenario: We have a group of customers and a selection of goods that they can

buy. The rules of the game are as follows:

(a) Every customer has to choose one good (one and only one).

(b) Two or more customers are allowed to choose the same good, (there is a large enough supply).

(c) Not all goods have to be chosen, indeed all customers could choose the same good.

To be more precise, let the customers be a, b, c, d and the goods be p, q, r, s, t, u, v.

We know that a chooses q: so we write this as f (a) = q. Similarly, b chooses p, c chooses q and d chooses

u. So we have f (a) = q, f (b) = p, f (c) = q, f (d) = u.

We can represent this information in a diagram:

p

q

a

r

b

s

c

t

d

u

v

Note that the only goods chosen are p, q and u. Goods r, s, t and v have not been chosen by anyone.

We say that the domain of f is the set {a, b, c, d}, the codomain of f is the set {p, q, r, s, t, u, v} and the

image set is the set {p, q, u}. f is a function from the domain to the codomain.

(ii) We change the rules. Now, any good chosen by one customer cannot be chosen by anyone else, ie suppose

f (a) = q, f (b) = p, f (c) = t, f (d) = u. Again, some of the goods (r, s and v) have not been chosen.

p

q

a

r

b

s

c

t

d

u

v

The domain and codomains are as before, but the image set is now {p, q, t, u}. Since no good is chosen by

more than one customer, the function is said to be one-one or injective.

(iii) Yet another rule change: this time there are fewer goods to choose from. More than one customer is

allowed to choose a particular good, as in (i), but now there are none left over. All goods are chosen by

somebody.

Suppose the customers are a, b, c, d as before, the only goods now are p, q and u, and f (a) = q, f (b) = p,

f (c) = q, f (d) = u.

a

p

b q

c

u

d

Here the domain is the same as in (i) and (ii), the codomain is {p, q, u} and so also is the image set. Since

the image set is equal to the codomain, the function is said to be onto or surjective.

25

EC119 Mathematical Analysis 5 FUNCTIONS

This rather convoluted example illustrates the general properties of functions which we shall investigate next.

Note that I didn’t give a mathematical formula for the rule for f , just a verbal description of what it does.

Definition 5.2 Let A and B be sets. A function f : A → B, where f : x 7−→ y is a rule which assigns to

each x ∈ A a single (that is, exactly one) element y ∈ B. This assigned element is denoted f (x).

A is called the domain of the function f , and B is called the codomain of f .

Suppose a and b are real numbers with a < b, then the set of all real numbers x, such that

(i) a < x < b is denoted by (a, b), and is called an open interval. (Some books use ]a, b[ ).

(iii) a 6 x < b, is written [a, b) and we say the interval is semi-open or semi-closed.

(iv) x > a is denoted by (a, ∞).

(vi) x < b, (or x 6 b) is denoted by (−∞, b) (or (−∞, b]).

(iv), (v) and (vi) are all called semi-infinite intervals. If you prefer, you can use interval notation wherever

appropriate.

Examples 5.3

(i) Let A = B = R then

(a) f (x) = x2 is a function which assigns to each x ∈ R, the unique value x2 .

(b) f (x) = 0, for all x ∈ R is called the zero function.

(c) f (x) = x, for all x ∈ R is called the identity function.

(ii) Let A = {x : x ∈ R and x > 0}, or you could write this as R+ or using interval notation (0, ∞) and

B = R. Then f (x2 ) = x is not a function since both 2 and −2 are elements which satisfy this relation

(counter example).

√ √

If we write f (x) = x, then this is a function from (0, ∞) to R, since is defined to be the positive

square root.

(iii) Let A = the set of all car owners in GB, B = the set of all registration numbers of cars. f is a function

which assigns to each car owner the registration number of his/her car.

(iv) f , as given in Example 5.1, is a function.

In Example 5.1(i) we saw that four of the values in the codomain B were not attained.

Definition 5.4 (Image) In the above definition of function, corresponding to each element x ∈ A is the

unique element f (x) in B. f (x) is the image of x in B.

Definition 5.5 (Image set) The image set or range of the function f : A → B is the set of all values of

f (x) attained in B, with x ∈ A. It is a subset of the codomain B. and we could write the image set as f (A);

clearly f (A) ⊆ B.

In Example 5.1(i), the image set is {p, q, u}.

EC119 Mathematical Analysis 5 FUNCTIONS

In Example 5.1(i), we saw that two elements of the domain, namely a and c, have the same image q. We now

consider functions where this possibility is disallowed.

Definition 5.6 (Injective function) A function f : A → B is one-one, injective, or an injection if f (a) = f (b)

only when a = b.

The function defined in Example 5.3(ii) is one-one.

Definition 5.7 (Surjective function) A function f : A → B is onto, surjective, or a surjection if its image

set exactly coincides with its codomain. That is, for any b ∈ B there exists at least one (and possibly more

than one) a ∈ A such that f (a) = b.

Definition 5.8 (Bijective function) A function which is both injective and surjective is said to be bijective

or a bijection.

Much of the above can often be illustrated best using graphs, although this isn’t appropriate for all functions.

Example 5.9

(i) The function f : R → R given by f (x) = x2 is not onto because in this case the image set is the set of

non-negative real numbers, not the whole set R. We could write the image set as R+ ∪ {0}, or R+ 0 or

much easier, [0, ∞).

(ii) The function f : R → R+ 2

0 , f (x) = x is onto.

(iii) (i) above is not one-one: for example, f (2) = 4 and f (−2) = 4 (counter-example).

(iv) The function f : (0, ∞) → R, where f (x) = x2 is one-one.

Proof (Take note of the method of proof used here, (also see parts (vi) and (vii)).

We have to show: given f (a) = f (b) for all real a, b > 0 then a = b.

Consider f (b) − f (a) = b2 − a2 = (b − a)(b + a) = 0.

Now (b + a) > 0, since both a and b are positive, therefore a = b.

OR f (a) = f (b) ⇒ a2 = b2 ⇒ a = ±b. Since neither a nor b is negative, this implies that a = b.

(v) Let X = {1, 2, 3, 4}, Y = {a, b, c, d}, then f : X → Y given by f (1) = b, f (2) = c, f (3) = a, f (4) = d is a

bijection since it is both one-one and onto.

(vi) The function f : R → R given by f (x) = x + 1 is a bijection

It is onto because the image set f (R) is the whole of the real numbers R.

It is one-one because if for any a, b ∈ R, f (a) = f (b),

then a + 1 = b + 1 ⇒ a = b.

(vii) Let Y = {x ∈ R : x 6= 0} = R \ {0}.

1

The function f : Y → Y given by f (x) = x is a bijection.

It is onto because the image set is Y

It is one-one because for all a, b ∈ Y .

1 1

f (a) = f (b) ⇒ a = b ⇒ a = b(6= 0)

EC119 Mathematical Analysis 5 FUNCTIONS

Definition 5.10 (Composite function) Given two functions f : A → B and g : C → D such that f (A) ⊆ C,

we can form the composite function (g ◦ f ) : A → D by defining (g ◦ f )(a) = g(f (a)) for all a ∈ A.

Example 5.11

(a) Clearly the image set of f is {x ∈ R : x > 2}, which is a subset of R, the domain of g, so g ◦ f can

be formed.

g ◦ f (x) = g(f (x)) = 5f (x) = 5(3x2 + 2) = 15x2 + 10.

(b) Similarly, the image set of g is the whole of R which is the same as the domain of f , and f ◦ g can

be formed.

f ◦ g(x) = f (g(x)) = f (5x) = 3(5x)2 + 2 = 75x2 + 2

(ii) Let A be the set of even integers, ie A = {x ∈ Z : x = 2m, for some m ∈ Z}

Let f : Z → A be given by f (x) = 2x and g : A → Z be given by g(x) = x2

(a) The image set of f is A, so g ◦ f can be formed

(b) The image set of g is of the form {x ∈ Z : x = 4m, for m ∈ Z} and so is a subset of Z, the domain

of f , so f ◦ g can be formed.

The inverse function f −1 (where it exists) reverses the effect of f ,

That is, if f (x) = y, then f −1 (y) = x. In other words f −1 (f (x)) = x.

More formally:

Definition 5.12 (Inverse function) Let X and Y be sets, and suppose that f is a function from X to Y .

We say that f is invertible if there exists a function f −1 : Y → X such that:

(i) f −1 ◦ f (x) = x for all x ∈ X,

(ii) f ◦ f −1 (y) = y for all y ∈ Y .

(i) says that f −1 ◦ f : X → X is the identity function on X

(ii) says that f ◦ f −1 : Y → Y is the identity function on Y .

Proof (Omitted.)

Examples 5.14

EC119 Mathematical Analysis 5 FUNCTIONS

(ii) Refer to Example 5.9(i) and (ii). Neither of these functions has an inverse.

√

Suppose f : [0, ∞) → [0, ∞), where f (x) = x2 . Then writing y = x2 we obtain x = y. So we write

√

f −1 : [0, ∞) → [0, ∞), f −1 (x) = x

(X and Y are the same in this case).

(iii) Refer to Example 5.9(vi): f : R → R, f (x) = x + 1. Write y = x + 1, then x = y − 1 and the inverse

function is

f −1 : R → R, f −1 (x) = x − 1

(Check: f ◦ f −1 (x) = f (f −1 (x)) = f (x − 1) = (x − 1) + 1 = x).

(iv) f : R → R+ , f (x) = ex . Write y = ex , then x = ln y, so

f −1 : R+ → R, f −1 (x) = ln x

(Check: f −1 (f (x)) = f −1 (ex ) = ln(ex ) = x; similarly, f (f −1 (x)) = f (ln x) = eln x = x).

(v) Y = R \ {0} f : Y → Y , where f (x) = x1 . Write y = x1 , then x = 1

y

f −1 : Y → Y, f −1 (x) = x1 .

This function is self inverse.

Much of this is much easier to grasp when we resort to the use of diagrams and graphs.

The graph of f −1 is just the graph of f reflected in the line y = x.

(i) f : R → R, f (x) = x3

(ii) f : R− → R+ , f (x) = x2

√

(iii) f : R+ → R− , f (x) = − x

Many of the functions that we shall discuss in this part of the course will be real valued functions of a real

variable. By ‘of a real variable’ we mean that the domain of the function is R, or some proper subset of R,

(for example, some interval of the real line) and ‘real valued function’ means that the image set is such that

f (x) ∈ R for all x in the domain of f : the codomain will always be taken to be R. Note that we cannot always

take the domain to be the whole of R, so in general, f : A → R, where A ⊆ R.

(i) even if f (−x) = f (x) for all x in the domain of f ,

(ii) odd if f (−x) = −f (x) for all x in the domain of f .

Even Odd Neither

EC119 Mathematical Analysis 5 FUNCTIONS

The product and quotient of two even functions or of two odd functions is even.

The product and quotient of an even and an odd function is odd.

(Note that the domain of any quotient function will have to exclude any values for which the denominator

is zero). In order to refer sensibly to a function as being even or odd, we have to assume that its domain is

symmetric about the origin.

Let X and Y be sets. A function f : X −→ Y is a subset S of the Cartesian product X × Y such that

(i) for each x ∈ X, (x, y) ∈ S for some y ∈ Y , ‘there is a y corresponding to each x’.

(ii) if (x, y1 ) ∈ S and (x, y2 ) ∈ S where x ∈ X and y1 ∈ Y , y2 ∈ Y , then y1 = y2 , ‘for each x there corresponds

only one y’.

Example 5.16

(i) Consider the function from N to N given by S = {(1, 2), (2, 4), (3, 6), . . .}.

Clearly, S = N × N, that is, S is a subset of the Cartesian product N × N. (Check that S satisfies the

conditions above). This function corresponds to the function f : N → N given by f (x) = 2x under our

previous definition.

(ii) Let X = {a, b, c} and Y = {d, e, f, g}. Then S = {(a, d), (b, d), (c, e)} is a function. The function

corresponds to f (a) = d, f (b) = d, f (c) = e.

(iii) Let X = {1, 2, 3} and Y = {6, 7, 9}. Then S = {(1, 7), (2, 8)} is not a function because it does not satisfy

condition (i), since (3, −) is missing.

(iv) Let X and Y be as in (iii) above. Then S = {(1, 7), (1, 8), (2, 6), (3, 6)} is not a function because it does

not satisfy condition (ii). Both y = 7 and y = 8 correspond to x = 1.

(a) S = {(1, a), (2, a), (3, b), (4, c)}

(b) S = {(1, a), (2, b), (4, c)}

(c) S = {(1, a), (1, b), (2, c), (3, c), (4, b)}

(iii) How many of these are functions?

(iv) How many are onto, how many are one-one, and how many are bijections?

EC119 Mathematical Analysis 6 COUNTING

6 Counting

6.1 Finite Sets

If the set is finite, then counting how many elements are in the set is theoretically a straightforward process,

even if not so in practice.

Example 6.1 Consider the finite sets in Examples 1.2 and 1.4 (in Section 1).

(i) A = {−3, 137, 1391} (ii) B = {the people living in Coventry} (iii) C = {x ∈ R : x2 +3x+2 = 0}

(iv) D = {b, c, d, f, g, h, j, k, l, m, n, p, q, r, s, t, v, w, x, y, z} (v) E = {a, e, i, o, u}

(vi) F = {Everest, K2, Kangchenjunga, Lhotse}

In each case, you would probably count by working systematically from left to right. There is a bijection

between A and the set {1, 2, 3}, between C and {1, 2}, between D and the set {1, . . . , 21}, and between E and

{1, 2, 3, 4, 5}.

The population of Coventry is continually and unpredictably fluctuating, so it’s difficult to say exactly what the

cardinality of B is at any given time. It is, however, finite, and in 2006 was estimated to be just under 310 000.

There are four mountains on Earth with heights above 8 500m, so there is a bijection between F and the set

{1, 2, 3, 4}.

Definition 6.2 A set X is said to be finite if either X = ∅, or for some n ∈ N there is a bijection between X

and the set {1, 2, . . . n}. Then X is said to have size or cardinality |X| = n.

Example 6.4 N, Z, Q, R and C are all infinite (why?) but N ⊂ Z ⊂ Q ⊂ R ⊂ C, so is R more infinite than N,

say?

Definition 6.5 A set X is said to be countable if either X is finite or there exists a bijection from N to

X, (that is, there is an exact match between the two sets). A set X is said to be uncountable if it is not

countable.

Example 6.6

(ii) Z = {. . . − 3, −2, −1, 0, 1, 2, 3, . . .} is countable, because we can define a function

n

2 if n is even

f : N → Z, given by f (n) = 1−n

2 if n is odd.

f (1) = 0, f (2) = 1, f (3) = −1, f (4) = 2, f (5) = −2 and so on. f is a bijection (why?).

Example 6.8

(ii) The prime numbers are countable.

31

EC119 Mathematical Analysis 6 COUNTING

(iii) The set of all natural numbers greater than 100 is countable.

(iv) Any subset of the natural numbers is countable, and any infinite set of natural numbers has the same

cardinality as N itself.

Definition 6.9 A set X which is infinite but countable is said to have cardinality ℵ0 (aleph null, aleph nought

or aleph zero).

Q+ = {q ∈ Q : q > 0}.

1 2 3 4 5 6 ...

1 1/1 2/1 −→ 3/1 4/1 −→ 5/1 6/1 −→ ...

↓ % . % . % .

2 1/2 2/2 3/2 4/2 5/2 6/2 ...

. % . % . %

3 1/3 2/3 3/3 4/3 5/3 6/3 ...

↓ % . % . % .

4 1/4 2/4 3/4 4/4 5/4 6/4 ...

. % . % . %

5 1/5 2/5 3/5 4/5 5/5 6/5 ...

↓ % . % . % .

6 1/6 2/6 3/6 4/6 5/6 6/6 ...

.. .. .. .. .. .. ..

. . . . . . .

1 1 2 3 2 1 1 2 3 4

, , , , , , , , , ,... etc

1 2 1 1 2 3 4 3 2 1

In this list will be some repetitions, because for example,

2 1 1 2 3

≡ , ≡ ≡ . . . etc

2 1 2 4 6

Rewrite the list, deleting any entry if it has occurred before, and we get

1 1 2 3 1 1 2 3 1

, , , , , , , , ,...

1 2 1 1 3 4 3 2 4

We can now set up a bijection between N and this (revised) list.

If an is the rational number which is the nth member of this list, then

f : N → Q+ , given by f (n) = an

is a bijection, and Q+ is countable. We can then extend the list to the whole of Q.

0, a1 , −a1 , a2 , −a2 , . . .

EC119 Mathematical Analysis 6 COUNTING

Remark Although we do not have an explicit formula for the bijection, we have an explicit prescription for

constructing it:-

1 2 3 4 5 6 7 8 9 10 11 ...

↓ ↓ ↓ ↓ ↓ ↓ ↓ ↓ ↓ ↓ ↓

1

0 1 -1 2 − 12 2 -2 3 -3 1

3 - 13 ...

Theorem 6.11 R is not countable, that is, it is uncountable. There is no bijection from N to R

Proof (Omitted.)

Remark Since R is not the same size as N it must have its own cardinality. R, or any other set X for which

there is a bijection from R to X is said to have cardinality ℵ1 (aleph one).

EC119 Mathematical Analysis 6 COUNTING

EC119 Mathematical Analysis 7 LIMITS

7 Limits

First we present an informal definition:

Definition 7.1 (informal) If we can make f as close as we like to a real number `, by making x sufficiently

close to, but not equal to, the real number a, we say that f (x) approaches or tends to the limit ` as x tends

to a. We write either

f (x) → ` as x → a or lim f (x) = `

x→a

This definition means that the ‘distance’ between f (x) and ` can be as small as any prescribed number provided

that the ‘distance’ between x and a is small enough. Mathematically this is written as follows:

Definition 7.2 (formal) For a real valued function f of a real variable x, f (x) tends to the limit ` when

x → a if for every choice of ε > 0, however small, there is a corresponding number δ > 0 such that

There are many functions for which the limit as x tends to a is the value of the function at x = a.

(i) f (x) = 1

(ii) f (x) = 5x2

(iii) f (x) = sin x

(iv) f (x) = ex

Such functions are called continuous functions. See Section 8 for more on this.

2

−1

Example 7.4 Consider the function g : R \ {1} → R defined by g(x) = xx−1 . What happens when x gets

closer and closer to 1? Note that in this example g(1) is not defined, nor is there any value of x which makes

g(x) = 2.

x

(i) g(x) = x

x x 6= 0

(ii) g(x) =

1 x=0

x

(iii) g(x) = |x|

If f and g are real valued functions of a real variable x and if f (x) → ` and g(x) → m as x → a then

(i) k.f (x) → k`, where k is a constant;

(iii) f (x)g(x) → `m;

1

(iv) f (x) → 1` , provided ` 6= 0;

f (x) `

(v) g(x) → m, provided m 6= 0.

35

EC119 Mathematical Analysis 7 LIMITS

Suppose f (x), g(x), h(x) are defined on some domain and they satisfy the inequality

that is, f is always sandwiched between g and h. If both g(x) and h(x) tend to the same limit ` as

x → a, then f (x) → ` as x → a.

(ii) If f (x) → ` and g(x) → m as x → a and f (x) 6 g(x), in some neighbourhood of a, then ` 6 m.

Let R∗ = R \ {0}. Consider the function f : R∗ → R defined by h(x) = sinx x .

The domain has to be R∗ because putting x = 0 leads to 00 which is indeterminate or undefined.

We want to find out what happens to f as x gets close to zero.

Using trigonometry, we can show that

π

sin x < x < tan x for 0<x< 2, (where x is measured in radians)

x 1

then dividing by sin x 1 < sin x < cos x

sin x π

or cos x < x < 1, for 0<x< 2.

We now let x decrease towards zero, or ‘approach zero through positive values’, which is usually written x → 0+ ,

then cos x increases towards 1.

Hence sinx x also increases towards 1, since it is ‘sandwiched’ between cos x and 1.

This result is also true when x approaches zero through negative values, which we write x → 0− , because sinx x

is an even function.

We can therefore say that sinx x → 1 as x → 0 in any manner, or

sin x

lim x = 1.

x→0

This limit is important because it is used in proving that the derivative of sin x is cos x.

0.9

0.8

0.7

0.6

0.5

–2 –1 0 1 2

x

sin x

Figure 7.1: f (x) = x

EC119 Mathematical Analysis 7 LIMITS

sin x

Remark In the above example we have said nothing about whether or not x

(ii) has a value when we put x = 0.

In fact sinx x is indeterminate when x = 0 as we have stated above. Also we did not need to use any value for

f (0) at any stage of our calculation of the limit. There is no value of x for which sinx x = 1 and we can say that

the limit is unattained.

This means that when x becomes close to 0, sinx x becomes close to 1, and we can make sinx x as close as we

please to 1 for all values of x sufficiently close to 0.

√

1+x−1

Example 7.6 limx→0 x .

sin3 x

(remember sin2 x + cos2 x = 1).

sin x

Example 7.8 We know that x → 1 and (x + 2) → 2 as x → 0. Then

5 sin x

(i) x →

sin x

(ii) x +x+2→

sin x(x+2)

(iii) x →

x 1

(iv) sin x → and x+2 →

sin x

(v) x(x+2) →

xm −am

lim = mam−1 , m∈Q

x→a x−a

Now xm − am = (x − a)(xm−1 + xm−2 a + xm−3 a2 + · · · + am−1 ).

xm −am

If x 6= a, then g(x) = x−a = xm−1 + xm−2 a + xm−3 a2 + · · · + am−1 (m terms).

m−1 m−2 m−3 2 m−1 m−1

Letting x → a, then g(x) → a +a a+a a + ··· + a = ma

an −xn

Then xm − am = x−n − a−n = 1

xn − 1

an = xn an

n n

xm −am −a ) n−1

x−a = − x(x na

n an (x−a) → − a2n = −na−n−1 = mam−1

The proof is trickier when m is not an integer. This limit is important in proving that the derivative of xn is

nxn−1

Remarks

(i) The phrase ‘x tends to a’ implies that x must be allowed to approach a from both sides, ie from below,

x → a− and from above, x → a+ and obtain the same answer from both sides.

EC119 Mathematical Analysis 7 LIMITS

0.8

0.6

0.4

0.2

–2 –1 0 1 2

x

–0.2

1

Figure 7.2: f (x) = x sin x

sin x

(ii) f (x) does not necessarily approach ` steadily as x → a as is the case for x when x → 0, (see Figure 7.1

on page 36).

Consider the function f given by f (x) = x sin x1 (see Figure 7.2).

The function is even because it is the product of x and a sine function, which are both odd. We find that

f is positive for some values of x near 0, and negative for others. What is critical is that the numerical

difference between f and ` should get smaller and smaller, that is, it should be as small as we like,

provided we are close enough to 0.

(iii) The difference between f and `, as described above, must be as small as we require for all values of x

sufficiently near a.

Consider the function f (x) = sin x1 (see Figure 7.3).

0.5

–2 –1 1 2

x

–0.5

–1

1

Figure 7.3: f (x) = sin x

, n ∈ Z, and is as small as we like if x is

sufficiently close to one of these numbers. However in fact, the function does not have a limit as x → 0,

because it does not stay close to 0 for all small values of x.

EC119 Mathematical Analysis 7 LIMITS

(iv) In the definition of limit, no mention is made of f (a), the value of f at x = a, indeed the function may

not even be defined when x = a. So when we say ‘all values of x sufficiently close to a’, we mean all

values of x in some small interval about x = a, but excluding the value a itself. This interval may be

written in the form a − δ < x < a + δ, for x 6= a or, better,

0 < |x − a| < δ.

(|x − a| is the ‘distance’ between ‘x’ and ‘a’). The interval is called a neighbourhood of a.

(v) If f (x) = k, a constant, for all x in some neighbourhood of a, then limx→a = k.

(i) If f (x) → 0 as x → a, then f (x) is as small as we please for all x sufficiently close to a.

1

In this case, f (x) will not tend to a limit, but will be numerically large as x → a.

1

Let f (x) = x2 . Then when x is small (positive or negative), x2 is small and positive, and x2 is large and

positive. x12 can be made as large as we please provided x is sufficiently close to 0.

1

We say that x2 tends to infinity when x tends to 0, and write

1

x2 → ∞ as x → 0.

(ii) NB When we say that f (x) tends to the limit ` as x → a, we shall understand ` to be finite. We shall

not say that x12 tends to a limit as x → 0.

In other words, a limit is by definition a finite limit.

(iii) f (x) = x1 sin x1 (see Figure 7.4).

20

y 10

x

–10

–20

1 1

Figure 7.4: f (x) = x sin x

1

The function sin assumes all values between 1 and −1, however close we get to x = 0.

x

It follows that f (x) = x1 sin x1 can take any value, positive or negative, however large.

1

But f (x) does not remain large for all values of x near x = 0, eg it is zero when x = nπ , for n ∈ Z, and

so does not tend to ±∞ as x → 0.

We say that

(a) sin x1 oscillates finitely between -1 and +1 (see Figure 7.3),

EC119 Mathematical Analysis 7 LIMITS

1 1

(b) x sinoscillates infinitely as x → 0 (see Figure 7.4).

x

(iv) (a) The functions x1 , x12 and x1 sin x1 are all unbounded near x = 0, because they tend to infinity

(positive or negative) as x → 0.

(b) sin x1 is said to be bounded near x = 0 because it lies between two fixed numbers for all small

values of x.

The terms ‘bounded’ and ‘unbounded’ can be applied to the behaviour of any function in the neighbourhood

of any number a.

Theorem 7.9 If f (x) → ` as x → a, then f (x) is bounded near x = a. (` is finite and when x is close to a,

f (x) is close to `).

If x becomes sufficiently large, g(x) = x1 becomes small and positive, since it can be made as small as we like

provided that x is large enough. Similarly, f (x) = sinx x can be made as small as we please for all x sufficiently

large, (see Figures 7.1–7.4). We say that x1 , x12 and sinx x tend to 0 as x tends to infinity.

Definition 7.10 (informal) If the values of f (x) can be made as close as we like to the number ` by making

x sufficiently large, we say that f (x) tends to the limit ` as x tends to infinity. We write

x→∞

1

We can often find out what happens as x → ∞, by writing x = t and then letting t → 0.

x2 +1

Example 7.11 Consider the behaviour of f (x) = x+1 as x → −1 and as x → ±∞.

1

Example 7.12 (i) limx→∞ xα , α>0

x2 −4x+3

(ii) limx→∞ x3 −x2 +x−1

√ √ √

(iii) limx→∞ x x+a− x

EC119 Mathematical Analysis 8 CONTINUITY

8 Continuity

We want a mathematically precise concept of a continuous function. Intuitively, the graph of such a function

f (x) should have no breaks or jumps in it. That is, at any given point, the value of the function should be

equal to the limit of the function (from both sides):

The function f (x) is continuous at x = a if limx→a f (x) = f (a). If f (x) either does not have a well-defined

limit at x = a, or if the limit is not equal to f (a) then we say that f (x) is discontinuous at x = a.

We therefore see that f has to be defined at a as well as in the neighbourhood of a.

Examples 8.2

(

x2 + 1 x > 1,

(ii) g(x) =

2x − 3 x < 1.

x2 −a2

(iii) h(x) = x−a , for x 6= a; h(a) = 2a.

We are particularly interested in functions which are continuous for most, if not all, of their domain:

If f is continuous at each point of an open interval (a, b), then f is continuous in (a, b). For a closed interval

[a, b], we add the end conditions

x→a+ x→b−

Theorem 8.4 The sum, difference, product and quotient of continuous functions are also continuous functions

(except for the zeros of the denominator in the case of quotients).

Care must be taken with domains:

The domain of sums, differences, products are the intersections of individual domains.

The domain of a quotient is the intersection of individual domains, minus any values for which the denominator

is zero.

(i) f : R → R, f (x) = xn , n ∈ N.

(ii) g : R∗ → R, g(x) = 1

xn , n∈N

(iii) Polynomials:

p : R → R given by p(x) = a0 + a1 x + a2 x2 + · · · + an xn , ai ∈ R, n ∈ N.

p(x)

(iv) Rational functions, that is, functions which are quotients of polynomials = q(x) . The domain excludes

any values of x for which q(x) = 0.

(v) sin(x), continuous for all x ∈ R.

(vi) cos(x), continuous for all x ∈ R.

(viii) ln(x), continuous for all {x ∈ R : x > 0}

41

EC119 Mathematical Analysis 8 CONTINUITY

If f : R → R is a continuous function of x at x1 and g : R → R is also a continuous function of t at t1 , where

x1 = g(t1 ), then F (t) = f (g(t)) is continuous at t = t1 .

If f is continuous on [a, b], then it is also bounded on [a, b].

This means that there are constants M and m such that m 6 f (x) 6 M , and it attains its bounds (its bounding

values). That is, there are numbers c, d ∈ [a, b] such that f (c) = m and f (d) = M .

Examples 8.8

(i) y = sin(x), and −1 6 sin(x) 6 1. Bounds are ±1, which are attained.

(ii) φ(x) = x1 , for 0 < x 6 1, and φ(0) = 0. φ is finite in [0, 1], but it is not continuous on this closed interval.

It tends to −∞ as x → 0, and is not bounded.

(iii) f (x) = sin(x) π

x , where 0 < x 6 2 . An upper bound is 1, but

sin(x)

x never takes the value 1 at any point

within the given interval, and it is not continuous since it is not defined at x = 0.

(

1

sin(x) x 6= 0,

x ∈ 0, π2 .

(iv) g(x) = x

1 x = 0.

2 1

Now, the function is defined at x = 0. We see that M = 1 and m = π, and that limx→0 x sin(x) = 1 = g(0),

hence g is continuous.

lim f g(x) = f lim g(x)

x→a x→a

x2 −1

Examples 8.10 (i) limx→1 sin x−1

Theorem 8.11 (Simple version) If f is continuous on [a, b] and f (a) and f (b) have opposite signs, then

there is at least one point c ∈ (a, b) at which f (c) = 0.

Theorem 8.12 (General version) If f is continuous on [a, b] and f (a) = α and f (b) = β, then for any

number γ ∈ (α, β) there is at least one number c ∈ (a, b) at which f (c) = γ.

Both versions of these theorems together are called the Intermediate Value Theorem (IVT). They are very

useful, and in fact are just common sense.

Example 8.13 Show that the polynomial equation p(x) = x5 − 5x + 2 = 0 has at least 3 real roots.

By experimentation, we find that p(−2) = −20, p(−1) = 6, p(0) = 2, p(1) = −2, p(2) = 24, so there must be a

root in each of the intervals (−2, 1), (0, 1) and (1, 2).

There could be more. How many?

Corollary 8.14 If f is continuous on [a, b] and is such that a 6 f (x) 6 b whenever a 6 x 6 b, then the

equation f (x) = x has a real root in [a, b].

EC119 Mathematical Analysis 8 CONTINUITY

We now examine three different numerical methods for solving equations of the form f (x) = 0.

For this method, we iteratively calculate a sequence of approximate solutions given by the recurrence relation

f (xn )

xn+1 = xn − .

f 0 (xn )

Newton’s method does not always work in finding a specific root. It may converge to the ‘wrong’ root if you

choose the ‘wrong’ initial value.

Example 8.15 Find, to an accuracy of one decimal place, a root of the quadratic polynomial p(x) = x5 − 5x + 2.

We first note that p(0) = 2 and p(1) = −2, so by the IVT, there is a solution in the interval (0, 1). Take the

initial approximation to be x0 = 0.5.

(x5 −5xn +2)

The first derivative of p(x) is p0 (x) = 5x4 − 5, so we have to iterate xn+1 = xn − n(5x4 −5) .

n

Setting x0 = 0.5, we find that x1 = 0.4 and x2 = 0.4021. Since x1 and x2 agree to the required accuracy we

can stop, so x = 0.4 to one decimal place. (Carry on for greater accuracy.)

This is a direct application of the IVT. It always works, but convergence is slow, so it isn’t very efficient.

Example 8.16 Use the bisection method to find an approximate (to an accuracy of one decimal place) solution

of the equation x5 − 5x + 2 = 0.

Interval [0, 1], p(0) > 0, p(1) < 0, so take x = 0.5, p(0.5) < 0,

Interval [0, 0.5], p(0) > 0, p(0.5) < 0, p(0.25) > 0

Interval [0.25, 0.5], p(0.25) > 0, p(0.5) < 0, p(0.375) > 0

Interval [0.375, 0.5], p(0.375) > 0, p(0.5) < 0, p(0.4375) < 0

Interval [0.375, 0.4375], p(0.375) > 0, p(0.4375) < 0, p(0.40625) < 0

This is very slow.

This is when we rearrange the given equation as an iterative formula.

Rewrite x5 − 5x + 2 = 0 as x = 15 (x5 + 2). (Why choose this? See below). Express this as an iteration formula:

This gives reasonable convergence quite quickly.

An alternative rearrangement is p

x = 5 (5x − 2)

Does this work?

x0 = 0.5, x1 = 0.871, x2 = 1.1866, x3 = 1.315, x4 = 1.355, x5 = 1.367, . . .

This is not converging on the root in (0, 1), but does seem to be converging on to the root in (1, 2). The second

rearrangement does work for the root in (−2, −1) whereas our first rearrangement does not.

Suppose we want to find the root c of the equation F (x) = 0. Rearrange this to the form

xn+1 = f (xn ).

EC119 Mathematical Analysis 8 CONTINUITY

This will converge to the required root c, i.e. c = f (c), if both the initial value x0 and c both lie within an

interval for which

|f 0 (x)| 6 α, where α < 1

Example 8.18 Show that the equation xex = 1 has a solution between 0 and 1. Find a root correct to 2

decimal places.

Definition 8.19 The function f : X → Y is said to be strictly increasing on a set X if, whenever x1 < x2 ,

for all x1 , x2 ∈ X.

Note that f doesn’t have to be continuous in this definition.

A strictly monotone (or strictly monotonic) function is one which is either strictly increasing or strictly

decreasing.

By a (not strictly) monotonic increasing function, we mean that

EC119 Mathematical Analysis 9 DIFFERENTIABILITY

9 Differentiability

Having considered what it means for a function to be continuous, we now want to examine what it means for a

function to be differentiable. Intuitively, we expect the graph of the function to be smooth, with no jagged

points in it.

Definition 9.1 (Derivative at a point) Suppose f (x) is defined at all points in the neighbourhood of x = a,

and the ratio

f (a + h) − f (a)

h

tends to a (finite) limit as h → 0, then f is said to be differentiable at a. The value of the limit is called the

derivative of f at a, and is denoted by f 0 (a). That is,

f (a + h) − f (a)

f 0 (a) = lim

h→0 h

Note that the limit must exist and be taken from both sides of x = a.

As before, we can extend the concept of differentiability at a single point, to differentiability over an interval:

Definition 9.2 (Derivative in an interval) Suppose f (x) is defined for all x ∈ (a, b). Then f is said to be

differentiable in (a, b) if it is differentiable at all points of the interval as determined by Definition 9.1.

There is an important connection between the concepts of continuity and differentiability:

(Note that the converse is not true in general: there exist continuous functions which are not differentiable.)

Proof It is often more convenient to write x in place of (a + h), and in this case, h is replaced by (x − a) and

with this notation, the limit becomes

f 0 (a) = lim = x→a .

x→a x−a lim (x − a)

x→a

Cross multiplying,

lim (f (x) − f (a)) = f 0 (a) lim (x − a) = 0,

x→a x→a

Example 9.5 Are the following functions differentiable? If not, why and where not?

(i) f (x) = xn , (n ∈ N)

(ii) g(x) = |x|

sin(x)−sin(a)

Example 9.6 To find the derivative of sin(x) from first principles, we consider the ratio x−a . Using

the trigonometric identity

sin C − sin D = 2 cos C+D C−D

2 sin 2 ,

we have

x+a x−a

sin(x) − sin(a) 2 cos 2 sin 2 x+a

x−a

x−a

= = cos 2 · sin 2 2

x−a x−a

so

sin(x) − sin(a) 2a

lim = cos 2 · 1 = cos(a)

x→a x−a

Thus the derivative of sin(x) is cos(x).

45

EC119 Mathematical Analysis 9 DIFFERENTIABILITY

(

x2 if x < 0

f (x) =

x3 if x > 0

is differentiable at x = 0, and hence for all x.

(i) f ± g are differentiable at x = a, with derivative f 0 (a) ± g 0 (a) (Sum/Difference Rule)

(iii) f g is differentiable at x = a with derivative f 0 (a)g(a) + f (a)g 0 (a) (Product Rule)

f f 0 (a)g(a)−f (a)g 0 (a)

(iv) g is differentiable at x = a with derivative {g(a)}2 provided that g(a) 6= 0 (Quotient Rule)

Rules (i) and (ii) together mean that differentiation is a linear transformation.

Suppose g is differentiable at x = a and that g(a) = b. Also suppose f is differentiable at b. Then the

composite function f ◦ g or f (g(x)) is differentiable at a, and its derivative at a is f 0 (b)g 0 (a). More generally,

if h(x) = f (g(x)) on some interval, then h0 (x) = f 0 (g(x))g 0 (x).

This is the familiar chain rule when written in Leibniz notation:

Write u = g(x), y = f (u), so that

dy dy du

= · .

dx du dx

(i) (x2 + 1)3

(ii) ln(2x3 − 1)

(iii) x cos−1 (x/2)

(iv) xx

Suppose that f : A → B has an inverse f −1 : B → A, where A and B are subsets of R. Using the composite

relation in Section 9.2, viz h(x) = f (g(x)), then x = f (f −1 (x)) = f −1 (f (x)). Differentiating the second version

with respect to x, 0

1 = f −1 (f (x)) f 0 (x)

so that

0 1

f −1 (f (x)) = .

f 0 (x)

This looks more straightforward in Leibniz notation:

dy dx 0

= f 0 (x) and = f −1 (y) ,

dx dy

so

dx . dy

=1 .

dy dx

EC119 Mathematical Analysis 9 DIFFERENTIABILITY

(ii) f −1 (x) = sin−1 (x/a)

f (x) f 0 (x) f (x) f 0 (x) f (x) f 0 (x)

sin−1 x √ 1

k 0 sin(ax) a cos(ax) a a2 −x2

cos−1 x

− a21−x2

xn nxn−1 cos(ax) −a sin(ax) a

√

tan−1 x a

eax aeax tan(ax) a sec2 (ax) a a2 +x2

1

ln(ax) x

Let y = uv, where u = u(x) and v = v(x).

The familiar product rule gives y 0 = u0 v + uv 0 , where u0 = u0 (x), etc.

Applying the product rule again and again gives

y 00 = u00 v + 2u0 v 0 + uv 00

000

y = u000 + 3u00 v + 3u0 v 0 + uv 000

Clearly this notation is impractical, so instead we write y 0 = y (1) , y 00 = y (2) , etc, then these equations become

y (2) = u(2) v + 2u(1) v (1) + uv (2)

y (3) = u(3) v + 3u(2) v (1) + 3u(1) v (2) + uv (3)

n n

y (n) = u(n) v + u(n−1) v (1) + u(n−2) v (2) + · · · + uv (n)

1 2

d5 2

Example 9.11 Find dx5 (x sin(x)).

(i) continuous on the closed interval [a, b],

(ii) differentiable on the open interval (a, b), and

Then there is at least one number c ∈ (a, b) such that f 0 (c) = 0.

Question Why an open interval in the second hypothesis? Why not a closed interval?

EC119 Mathematical Analysis 9 DIFFERENTIABILITY

Consider any function f which is both continuous and differentiable for all R or continuous and differentable in

the interval (a, b). Suppose α and β are two solutions of the equation f (x) = 0 which lie within the interval

(a, b), that is, f (α) = f (β) = 0. Then the conditions of Rolle’s theorem are satisfied and between α and β there

is at least one point where f 0 (x) = 0.

Now consider two consecutive solutions of f 0 (x) = 0. No more than one solution of f (x) = 0 can lie between

consecutive roots of f 0 (x).

There may be no solution, but if there is one, then there is only one. This may be proved by contradiction

using Rolle’s Theorem:

Suppose a and b are consecutive roots of f 0 (x), that is, f 0 (a) = f 0 (b) = 0, and that there are two solutions of

f (x) = 0 between a and b. But by Rolle’s Theorem, there is at least one c ∈ (a, b) where f 0 (c) = 0, so a and b

are not consecutive roots of f 0 (x).

This is a contradiction, hence there cannot be more than one solution of f (x) = 0 between consecutive roots of

f 0 (x).

Example 9.13 Verify that Rolle’s Theorem is satisfied for the following function on the given interval. Hence

find the value(s) of c.

f (x) = x(1 − x)3 on [0, 1].

Theorem 9.14 If f is continuous on [a, b] and differentiable on (a, b) and f 0 (x) > 0 in (a, b), then f is strictly

increasing throughout [a, b]. If f 0 (x) > 0, then f is increasing (but not strictly so).

(i) There is at least one solution in (−2, −1), in (0, 1) and in (1, 2) – a minimum of three solutions.

(ii) There are at most 5 solutions for x ∈ R (by the Fundamental Theorem of Algebra). We now show that it

has exactly 3 roots and no more.

(iii) p0 (x) = 5x4 − 5, p0 (x) = 0 when x = ±1, so there is at most one solution of p(x) = 0 between -1 and 1, so

using (a) there is exactly on solution in (0, 1).

(iv) For |x| > 1, p0 (x) > 0, so p is a strictly increasing function.

(v) For x > 1, since p(1) = −2 < 0, there can be at most one solution, which is the solution in (1, 2).

(vi) For x < −1, p(−1) = 6 > 0, p0 (x) > 0, so p decreases as we move to the left and so there can be at most

one solution which is the solution in (−2, −1).

Example 9.17 Show that xesin x = cos x has no more than one root in the interval (0, π2 ). First use the

Intermediate Value Theorem to prove that it has at least one root.

(ii) differentiable in the open interval (a, b),

then there exists at least one number c ∈ (a, b) such that

f (b) − f (a)

= f 0 (c).

b−a

EC119 Mathematical Analysis 9 DIFFERENTIABILITY

This theorem says that the gradient of the chord between the points (a, f (a)) and (b, f (b)) is equal to the

gradient of the tangent to the curve at x = c.

If, as indicated in the diagram, b > a, and in addition, if f 0 (c) > 0, then f (b) > f (a) and the function is

increasing.

Theorem 9.20 If f is continuous on [a, b] and differentiable in (a, b) and f 0 (x) = 0 for all x ∈ (a, b), then

f (x) is constant for all x ∈ [a, b].

Corollary 9.21 If both f and g are continuous in [a, b], and are such that f 0 (x) − g 0 (x) = 0 for all x ∈ (a, b)

then f (x) − g(x) is constant for all x ∈ [a, b].

(i) Obviously, since b 6= a the theorem may be written

We can interpret this as f (b) is approximately equal to f (a), and the term (b − a)f 0 (c) is the error or

remainder in making this approximation.

(ii) Let b = a + h (h can be positive or negative) and c = a + θh, where 0 < θ < 1, then

f (a + h) = f (a) + hf 0 (a + θh).

Solution Let f (x) = ln x. We know that f (x) is continuous and differentiable for all x > 0 and that f 0 (x) = x1 .

Using the Mean Value Theorem in the form

f (b) − f (a)

= f 0 (c), then

b−a

ln(b) − ln(a) 1

= , where 0 < a < c < b. (∗)

b−a c

Now consider the function g(x) = x1 (that is, the derivative f 0 (x) of f ).

Now g 0 (x) = − x12 < 0, so g is a decreasing function, and since 0 < a < c < b,

1 1 1

< < (†)

b c a

Substituting into (∗) gives

1 ln (b/a) 1

< = .

b b−a a

Now write a = 1, b = 1 + x, (where x > 0), then

1 ln(1 + x)

< < 1, for x > 0

1+x x

x

or < ln(1 + x) < x.

1+x

(More than was asked for!)

Note that result (†) could be written down very easily for this problem, without adopting the above approach,

but the method indicated is useful for more complicated problems.

EC119 Mathematical Analysis 9 DIFFERENTIABILITY

Theorem 9.23 (The Cauchy Mean Value Theorem) If f and g are continuous on [a, b] and are differentiable

in (a, b), then there is a number c ∈ (a, b) such that

= 0 , where g 0 (x) 6= 0 in(a, b).

g(b) − g(a) g (c)

Important note Contrary to first appearances, this result is not a simple matter of applying the First MVT

to f and g separately and then dividing the one by the other, because application of the First MVT leads to a

different ‘c’ for each function. Also note that when g(x) = x, the Cauchy MVT reverts to the ordinary MVT.

EC119 Mathematical Analysis 10 L’HÔPITAL’S RULE

10 L’Hôpital’s Rule

Theorem 10.1 (L’Hôpital’s Rule) If f (a) = 0, g(a) = 0 and f 0 (a), g 0 (a) both exist, and g 0 (a) 6= 0, then

f (x) f 0 (a)

lim = 0

x→a g(x) g (a)

= =

g(x) g(x) − g(a) x−a x−a

f (x) f 0 (a)

lim = 0

x→a g(x) g (a)

Remarks

Theorem 10.2 If f (a) = 0, g(a) = 0 and f and g are differentiable in some neighbourhood of x = a, but not

necessarily at x = a itself, and g 0 (x) 6= 0 in this neighbourhood, except possibly at x = a, then

f (x) f 0 (x)

lim = lim 0

x→a g(x) x→a g (x)

This is proved using the Cauchy Mean Value Theorem.

sin x

(i) limx→0 x

ex −1

(ii) limx→0 x

(x−1)3

(iii) limx→1 ln x

eax −e−ax

(iv) limx→0 ln(1+x)

When attempting to use L’Hôpital’s rule (version 1), you may get f 0 (a) = 0, g 0 (a) = 0, in which case you need

to apply version 1 or 2 again, provided the limits exist.

lim = lim 0 = lim 00 = 00 , and so on.

x→a g(x) x→a g (x) x→a g (x) g (a)

cos x−1

(i) limx→0 x2

x3 +x2 −x−1

(ii) limx→1 x2 +2x−3

51

EC119 Mathematical Analysis 10 L’HÔPITAL’S RULE

We can use L’Hôpital’s Rule.

ln(sin x)

Example 10.5 limx→0 ln(sin 2x) .

Then f (x) = ln(sin x) and g(x) = ln(sin 2x) → −∞ as x → 0. Also f 0 (x) = cos x

sin x and g 0 (x) = 2 cos 2x

sin 2x .

Neither of these exist at x = 0, but we can solve as follows:

lim 0

= lim · = lim =1

x→0 g (x) x→0 sin x 2 cos 2x x→0 cos 2x

10.2 Limits as x → ±∞

1

These can be solved directly in the same way as in the preceding examples, or we could replace x by t and let

t → 0.

f (x)

= lim f 1t g 1t

lim provided the limits exist.

x→∞ g(x) t→0

ex = limx→∞ 1

ex = 0, since as x → ∞, e−x → 0.

2

ex −1

(ii) limx→0 sin(x2 )

x 1

(iii) limx→1 x−1 − ln x . (Type ‘∞ − ∞’.)

For limits like these, try taking logs:

1 ln(1−x)

Let y = (1 − x)1/x , then ln y = x ln(1 − x) or x . Then

ln(1 − x) 1 . 1

lim = lim − 1 = lim − = −1.

x→0 x x→0 1−x x→0 1−x

Thus ln y → −1 as x → 0, or y → e−1 as x → 0.

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

11 Taylor’s Theorem

The following is a restatement of Theorem 9.18 on page 48, and is proved (as an exercise in Assignment 8) by

applying Rolle’s Theorem to an appropriate continuous and differentiable function.

Theorem 11.1 (First Mean Value Theorem) If f is continuous on [a, b] and differentiable on (a, b) then

there exists c ∈ (a, b) such that

We can now extend this result, by again applying Rolle’s theorem to an appropriate function, to give:

Theorem 11.2 (Second Mean Value Theorem) If f and its first derivative is continuous on [a, b], and f and

is twice differentiable on (a, b) then there exists c ∈ (a, b) such that

(b − a)2 00

f (b) = f (a) + (b − a)f 0 (a) + f (c), where a < c < b

2!

In fact, these theorems also hold when b < a, so we could write

f (a + h) = f (a) + R1 ,

and f (a + h) = f (a) + hf 0 (a) + R2

2

where h could be positive or negative and the remainders are R1 = hf 0 (c), R2 = h2! f 00 (c).

c lies between a and a + h and as before, we could write c = a + θh, where 0 < θ < 1.

Alternatively we could write

f (x) = f (a) + R1

f (x) = f (a) + (x − a)f 0 (a) + R2

2

In this case, R1 = (x − a)f 0 (c) and R2 = (x−a)

2! f 00 (c), where c lies between a and x.

If we ignore the remainder term, we obtain a polynomial approximation T (x) to the function f (x) near x = a.

In the first case, the approximation is just a constant, and in the second, a linear approximation.

First approximation

T0 (x) = e0 = 1, R1 = xec = xeθx , (0 < θ < 1).

Second approximation

x2 θx

T1 (x) = e0 + xe0 = 1 + x, R2 =

e .

2!

We can continue in this way, until we find the general form of the theorem.

As before this may be stated in different ways.

Theorem 11.4 (Taylor’s Theorem) Suppose f possesses derivatives of orders 1, 2, . . . , (n−1) on the closed

interval [a, b]. If

(i) f and its derivatives are all continuous on [a, b], and

(ii) f has a derivative of order n on (a, b)

then there is a number c ∈ (a, b), such that

f (b) = f (a) + (b − a)f 0 (a) + f (a) + · · · + f (a) + f (c).

2! (n − 1)! n!

53

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

Once again, the last term is the remainder. In this form it is called the Lagrange form of the remainder, that is,

we write

(b − a)n (n)

Rn = f (c).

n!

Remarks

(ii) It may be more convenient to write x in place of b:

f (x) = f (a) + (x − a)f 0 (a) + f (a) + · · · + f (a) + Rn

2! (n − 1)!

(x−a)n (n)

where Rn = n! f (c), for a < c < x.

(iii) If we ignore the remainder term, we obtain a polynomial approximation to the function f (x) near the

point x = a.

(iv) If a = 0, we obtain a special case of Taylor’s Theorem

f (x) = f (0) + f 0 (0)x + x + x + ··· + x + Rn

2! 3! (n − 1)!

xn (n)

where Rn = n! f (θx), 0 < θ < 1.

(vi) We can write Taylor’s theorem alternatively as follows. Replace b by a + h and c by a + θh, where

0 < θ < 1, then

h2 00 hn−1 (n−1)

f (a + h) = f (a) + hf 0 (a) + f (a) + · · · + f (a) + Rn

2! (n − 1)!

hn (n)

where Rn = n! f (a + θh), for 0 < θ < 1.

Example 11.5

(i) Find a polynomial approximation to f (x) = ex near x = 0, up to and including the term in x4 .

(ii) Estimate the remainder when x = 0.5, 1, 2.

Solution

(i) (a = 0) We have already obtained the first two approximations in Example 11.3. If f (x) = ex , it has

derivatives of all orders, and all its derivatives are ex .

Thus f (0) = f 0 (0) = f 00 (0) = f 000 (0) = f iv (0) = 1, and the fourth order polynomial approximation to ex is

x2 x3 x4

T4 (x) = 1 + x + + + .

2! 3! 4!

x5

(ii) The remainder is R5 = 5! eθx , for 0 < θ < 1.

Consider any fixed value of x, then eθx is an increasing function of θ on its domain (0,1).

x5 x 5 ex

When θ = 0, eθx = 1 and when θ = 1, eθx = ex so we can say that 5! < R5 < 5! .

Evaluating for different values of x:

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

x R5

0.5 2.6 × 10 < R5 < 4.3 × 10−4

−4

2 0.27 < R5 < 1.97.

So we see that the further we are from x = 0, the greater the error.

Suppose that a and x are two distinct real numbers, and I is the closed interval [a, x] with end-points a and x,

(x can be greater or less than a).

Suppose that f satisfies the conditions of Taylor’s theorem on I, then

f (x) = f (a) + (x − a)f 0 (a) + f (a) + · · · + f (a) + Rn , (1)

2! (n − 1)!

that is, f (x) = Sn + Rn ,

Pn−1 (x−a)k (k)

where Sn is the partial sum k=0 k! f (a), ie the sum of the first n terms,

(x−a)n (n)

Rn is the remainder n! f

(c) and c lies between a and x.

We now need to find out what happens to Sn + Rn as n → ∞.

There are two questions:

(ii) If the series converges, does it converge to f (x)?

It could well be that the series is convergent, but possibly only on some restricted interval of the real line, the

interval of convergence.

In addition, in order to establish convergence to f (x), we would need to show that for x and a in the interval

of convergence for Sn , the remainder Rn converges to 0 as n → ∞.

P∞

So first we should find the range of values for which the series n=0 Sn converges, then show that Rn → 0, for

these values of x, as n → ∞. This can get quite complicated and we shall not pursue this in any detail here.

Note that when a = 0, Taylor series are frequently called Maclaurin Series.

x2 x3 xn−1

exp(x) = 1 + x + + + ··· + + Rn

2! 3! (n − 1)!

xn eθx

where Rn = , 0 < θ < 1.

n!

One method for testing series for convergence is called the Ratio Test, (see Section 11.8 on page 61 for further

details). We compare two consecutive terms in the series as follows:

un+1 xn (n − 1)! |x|

un n! xn−1 = n

= .

As n → ∞, this tends to 0 < 1, regardless of the value of x. The test tells us that the series converges.

xn eθx

The remainder Rn = n! → 0 as n → ∞, so the series actually converges to the function exp(x) for all x.

This example illustrates how intervals of convergence may be found. They aren’t always the whole of R.

Example 11.7 Find the Taylor (Maclaurin) series for the following functions centred at x = 0.

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

0

f (x) = cos x f 0 (0) = 1

f 00 (x) = − sin x f 00 (0) = 0

f 000 (x) = − cos x f 000 (0) = −1

f (4) (x) = sin x f (4) (0) = 0

.. ..

. .

x3 x5

sin x = x − + − ···

3! 5!

Once again it may be shown that this series converges for all x ∈ R.

(ii) f (x) = (1 + x)α , for α ∈ R.

0

f (x) = α(1 + x) α−1

f 0 (0) = α

f 00 (x) = α(α − 1)(1 + x)α−2 f 00 (0) = α(α − 1)

f 000 (x) = α(α − 1)(α − 2)(1 + x)α−3 f 000 (0) = α(α − 1)(α − 2)

.. ..

. .

α(α−1) α(α−1)(α−2)

So (1 + x)α = 1 + α x + 2! x2 + 3! x3 + · · ·

Clearly, if α ∈ N, the series will stop at some point, and the Taylor series is a finite polynomial. Otherwise,

if α ∈

/ N, it may be shown that the series converges for |x| < 1 only.

(iii) f (x) = ln(1 + x)

11.3 Remarks

One series can be used to obtain another.

Example 11.8

∞

X 1

(−1)n xn = 1 − x + x2 − x3 + · · · = , |x| < 1

n=0

1+x

∞

X 1

(−1)n x2n = 1 − x2 + x4 − x6 + · · · = , |x| < 1

n=0

1 + x2

Example 11.9 Using a standard series, find the series expansion, and interval of convergence for

(2 + 3x)1/2 .

Convergent power series may be differentiated term by term to give a new convergent series whose sum is the

derivative of the sum of the original series.

11.3 Remarks 56

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

Example 11.10

∞

X 1

xn = 1 + x + x2 + · · · = , |x| < 1

n=0

1−x

∞

X 1

nxn−1 = 1 + 2x + 3x2 + · · · = , |x| < 1 etc.

n=1

(1 − x)2

Note that while the domain of both functions in this example is R \ {1}, the domain of the series is the interval

(−1, 1), so in each case, the series cannot be equal to the function outside (−1, 1).

Similarly, we may integrate a convergent power series, term by term, to give a new convergent series whose

sum is the integral of the sum of the original series. The interval of convergence remains the same.

Example 11.11

∞

X 1

(−1)n x2n = 1 − x2 + x4 − x6 + · · · = , |x| < 1

n=0

1 + x2

Integrating,

∞

X (−1)n x2n+1 x3 x5 x7

=x− + − + · · · = tan−1 x |x| < 1.

n=0

(2n + 1) 3 5 7

Series can be multiplied, and one series can be substituted into another.

(i) ex sin x

(ii) esin x

π

Example 11.13 Find the Taylor series for f (x) = sin x, about x = 2.

sin x

(i) limx→0 x .

1−cos x

(ii) limx→0 x2 .

11.3 Remarks 57

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

It’s a good idea to try to remember the first few of these:

∞

x2 x3 X xn

ex = 1 + x + + + ··· = , x∈R

2! 3! n=0

n!

∞

x3 x5 x7 X (−1)n x2n+1

sin x = x − + − + ··· = , x∈R

3! 5! 7! n=0

(2n + 1)!

∞

x2 x4 x6 X (−1)n x2n

cos x = 1 − + − + ··· = , x∈R

2! 4! 6! n=0

(2n)!

∞

x2 x3 x4 X (−1)n−1 xn

ln(1 + x) = x − + − + ··· = , x ∈ (−1, 1]

2 3 4 n=1

n

α(α − 1) 2 α(α − 1)(α − 2) 3

(1 + x)α = 1 + α x + x + x + ··· , |x| < 1, α ∈

/N

2! 3!

∞

X

(1 + x)−1 = 1 − x + x2 − x3 + · · · = (−1)n xn , |x| < 1

n=0

X∞

(1 + x)−2 = 1 − 2x + 3x2 − 4x3 + · · · = (−1)n (n + 1)xn , |x| < 1

n=0

X∞

(1 − x)−1 = 1 + x + x2 + x3 + · · · = xn , |x| < 1

n=0

∞

x2 x3 x4 X xn

ln(1 − x) = − x − − − − ··· = − , x ∈ [−1, 1)

2 3 4 n=1

n

∞

x3 x5 x7 X (−1)n x2n+1

tan−1 x = x − + − + ··· = , |x| < 1

3 5 7 n=0

2n + 1

1 x3 1 3 x5 1 3 5 x7

sin−1 x = x + · + · · + · · · + ··· , |x| < 1

2 3 2 4 5 2 4 6 7

1 2 17 7 62 9 π

tan x = x + x3 + x5 + x + x + ··· , |x| <

3 15 315 2835 2

20

15

10

–3 –2 –1 1 2 3

x

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

y 1

–10 –5 0 5 10

x

–1

–2

Figure 11.2: Graphs of successive polynomial approximations to f (x) = sin(x), Tn for n = 1, 3, 5, 7, 13, 21

10

6

y

4

–1 0 1 2 3 4

–2 x

–4

–6

–8

–10

Figure 11.3: Graphs of successive polynomial approximations to f (x) = ln(1 + x), Tn for n = 1, 2, 3, 4, 7, 10

11.5 Sequences

Definition 11.15 A sequence is a function whose domain is the integers or a subset of the integers (n ∈ A ⊆

Z).

Example 11.16

n, for n ∈ N.

(ii) a, a + d, a + 2d, . . .. The general term is un = a + (n − 1)d (an arithmetic sequence).

(iii) a, ax, ax2 , ax3 , . . .. The general term is un = axn−1 (a geometric sequence).

In general, if un tends to a finite limit as n → ∞, then we say that the infinite sequence converges.

11.6 Series

11.5 Sequences 59

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

If we sum the first n terms in the sequence we obtain the finite sum

n

X

Sn = u1 + u2 + u3 + · · · + un = uk .

k=1

S1 = u1 , S2 = u1 + u2 , S3 = u1 + u2 + u3 , . . . Sn = u1 + u2 + u3 + · · · + un . . .

If this sequence S1 , S2 , . . . , Sn , . . . tends to a finite limit as n → ∞, then we say that the infinite series

converges.

The value of this limit is called the sum of the infinite series, that is,

n

X

lim Sn = un = S.

n→∞

i=1

Example 11.18 (The geometric sequence and series) Consider the familiar geometric sequence

1, x, x2 , x3 , . . . xn−1 , xn , . . .

You have seen that this sequence converges when −1 < x 6 1. For this sequence we can find a formula for Sn ,

the sum of the first n terms, as follows:

Sn = 1 + x + x2 + x3 + · · · + xn−1

multiplying throughout by x: xSn = x + x2 + x3 + · · · + xn−1 + xn

(1 − xn )

Sn = , provided that x 6= 1.

1−x

What happens as n → ∞?

1

(i) If |x| < 1, Sn → 1−x : Convergent.

1−(−1)n

(iii) If x = −1, Sn = 2 which oscillates between 0 and 1: Divergent.

(iv) If x = 1, Sn = n → ∞: Divergent.

So the series only converges when |x| < 1, and in this case we can write

∞

X 1

S = 1 + x + x2 + x3 + · · · + xn + · · · = xn = = (1 − x)−1 , |x| < 1.

n=0

1−x

∞

X 1

1 − x + x2 − x3 + · · · + (−1)n xn + · · · = (−1)n xn = = (1 + x)−1 , |x| < 1.

n=0

1+x

11.6 Series 60

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

For most series, it is impossible to find a neat formula for Sn , the sum of the finite series and so we cannot

proceed as in the example above. Many tests have been developed which enable us to determine whether or

not a series converges, without finding an explicit formula for Sn and also without finding its limiting value,

the sum S. Before we look at one of these, we note the following useful result:

P∞

An infinite series n=1 un cannot converge unless its terms un → 0 as n → ∞.

So we see that although the geometric sequence converges when x = 1, (converges to 1), the series certainly

does not converge for this value of x.

The converse is not true, as illustrated in the next example.

Example 11.19

1 1 1

(i) 1 + 2 + 4 + 8 + · · · is convergent. This is a geometric series, with x = 12 .

1 1 1 1

(ii) 1 + 2 + 3 + 4 + · · · is not convergent even though un = n → 0 as n → ∞.

This series is called the harmonic series.

P∞

Given the series un and limn→∞ uun+1 = `, then:

n=1 n

(ii) if ` > 1 or if the ratio → ∞ (that is, no finite limit ` exists) then the series diverges,

(iii) if ` = 1, no conclusion can be drawn, and the test fails.

EC119 Mathematical Analysis 11 TAYLOR’S THEOREM

EC119 Mathematical Analysis 12 INTEGRATION

12 Integration

Contrary to the customary order of presentation: starting with differentiation and later considering integration,

the ideas of the integral calculus were in fact developed first3 . The original ideas were noted by Archimedes in

223 BC, but the majorR initial contributions were made by Leibniz sometime between 1673 and 1676. He was

the first to use the notation. (Of course, Newton was involved as well).

There are many types of integrals, Riemann, Riemann–Stieltjes, Lebesgue, line integrals, double and other

multiple integrals, improper integrals of various kinds, and so forth. but all can be interpreted as a generalisation

of area. Here, we shall develop the theory in the usual way. First we consider indefinite integrals, then definite

integrals, the connection between differentiation and integration, and finally, improper integrals.

This is simply the reverse process to differentiation. You should be able to recognise all the following standard

integrals:

R R R

f (x) f (x) dx f (x) f (x) dx f (x) f (x) dx

xα+1 1 1

xα α+1 , α 6= −1 x ln |x| eax a eax

1

cos(ax) a sin(ax) sin(ax) − a1 cos(ax) sec2 (ax) 1

a tan(ax)

1 1 −1 x √ 1 sin−1 xa

x2 +a2 a tan a a2 −x2

d

Since dx (C) = 0, we should always add an arbitrary constant C to the results above.

R R R

(i) f + g = f + g.

R R

(ii) kf = k f , where k ∈ R is a scalar constant.

Certain types of integral may be solved by applying particular standard techniques.

R

12.3.1 Integrals of the form

Integrals of the form

R

R

Example 12.1

(i) (3 − 4x)1/5 dx

R

(ii) x2x+4 dx

R

R

63

EC119 Mathematical Analysis 12 INTEGRATION

Example 12.2

1 1 1 1

R R

(i) (x−1)(x+1) dx = 2 x−1 − x+1 dx

1

R

(ii) (x−1)(x2 +1) dx

This is an application of the product rule

(f g)0 = f 0 g + f g 0

f g 0 , we rearrange it as follows

R

for differentiation. Given the integral

Z Z Z

0 0 0

fg = ((f g) − f g) = f g − f 0g

In Leibniz notation:

Z Z

dv du

u dx = uv − v dx.

dx dx

Typically, this method is used on integrals of the following forms:

Z Z Z

xn eax dx xn cos(ax) dx, xn sin(ax) dx n∈N

Z Z

ax

e cos(bx) dx, eax sin(bx) dx

Essentially we are trying to rearrange the integral in such a way as to end up with an easier integral than we

dv

began with. This usually means that we have to choose u and dx carefully. The method is also used to evaluate

Z

xα ln x dx, (α 6= −1),

sin−1 x dx, and also some integrals which can be solved using alternative methods.

R R

including ln x dx and

Example 12.3

(i) x2 e−5x dx

R

R

(ii) x cos(2x) dx

(iii) e−x sin x dx

R

xα ln x dx

R

12.3.4 Integrals of the form

dv du xα+1

Let u = ln x, dx = xα , dx = x1 ,

α 6= −1, and the integral becomes

v= α+1 ,

xα+1 xα+1

Z Z

1

· ln x − dx = xα+1 ln x − xα dx

(α + 1) x(α + 1) (1 + α)

xα+1

1

= xα+1 ln x − + C, for all α 6= −1.

(1 + α) (α + 1)

Now consider the case α = −1: Z

ln x

dx.

x

du

Let u = ln x, then dx = x1 , so we use substitution, not parts, and the integral is

Z

u du = 12 u2 + C = 12 (ln x)2 + C.

EC119 Mathematical Analysis 12 INTEGRATION

R

Surprisingly, integration by parts still works for the case α = 0: ln x dx.

dv

Let u = ln x, dx = 1, du 1

dx = x , v = x, and

Z Z

ln x dx = x ln x − dx = x ln x − x + C.

R

If u = sin−1 x, dx

dv

= 1, dudx =

√ 1

1−x2

, v = x, and

Z Z

x p

sin−1 x dx = x sin−1 x − √ dx = x sin−1 x + 1 − x2 + C.

1−x 2

and so on.

12.4.1 The Newton–Leibniz approach

In elementary work, we use geometric arguments to establish the existence of the definite integral as the limit

of a sum

a b

b−a

Divide the interval [a, b] into n equal subintervals of width h = n .

Sum the areas of the rectangles indicated above:

Xn

= h f (a + ih)

i=1

n

(b − a) X (b − a)

= f a+i

n i=1

n

Write this as Z b

f (x) dx,

a

which represents the ‘area under the graph’ of y = f (x) from x = a to x = b.

n ( n

)

(b − a) X (b − a) (b − a) (b − a) X

Sn = a+i = na + i

n i=1

n n n i=1

EC119 Mathematical Analysis 12 INTEGRATION

Pn n(n+1)

Now i=1 i= 2 , (previously proved by mathematical induction), so

(b − a)2 n(n + 1)

Sn = (b − a)a + ·

n2 2

(b−a)2

and as n → ∞, Sn → (b − a)a + 2 = 12 (b − a)(2a + b − a) = 21 (b2 − a2 )

The difficulty with the Newton–Leibniz approach is that we automatically assume that f is a continuous

function. Indeed in the diagram, I’ve also made it look smooth – ie differentiable.

The first rigorous theory of integration, in which there is no mention of graphs or diagrams, was given by

G F B Riemann in about 1854, hence the name Riemann integration. Riemann’s integral is exactly the same as

the ordinary familiar definite integral (due to Newton and Leibniz) when f is continuous.

The condition for the existence of the Riemann integral is that f should be bounded on the interval [a, b], that

is,

m 6 f (x) 6 M, for x ∈ [a, b]

To define the integral, and to find how to perform the limiting process, we now subdivide [a, b] into n parts,

not necessarily the same width, so that

We call the length of the general interval [xi , xi+1 ], ∆xi and choose any number inside the interval ti . We then

form the sum

n−1

X

Sn = f (t0 )∆x0 + f (t1 )∆x1 + · · · + f (tn−1 )∆xn−1 = f (ti )∆xi .

i=0

Sn obviously depends on the function f , on the form of the subdivision, and on the choice of ti .

Assume n → ∞, and simultaneously the largest of the subintervals ∆xi → 0 and that Sn → a limit S, then f

is said to be Riemann-integrable. It can be shown that every continuous function is Riemann-integrable.

So in addition to continuous functions, this definition of integration also allows us to deal with functions which

are not differentiable, and those which are piecewise continuous (functions which have a finite number of finite

continuities).

Example 12.5

R4

(i) f (x) = |x| is not differentiable at x = 0, but the integral −1 |x| dx exists.

−1, x < 0 R1

(ii) f (x) = sgn x = is not continuous at x = 0, but −2 sgn x dx exists.

1, x > 0

R1 1

(iii) f (x) = x1 . 0 x

dx does not exist because f does not exist at x = 0, ie f is not bounded on [0, 1].

(i) The linearity properties as for indefinite integrals (see p 36).

Ra

(ii) a f dx = 0.

Ra Rb

(iii) b f dx = − a f dx.

Rb Rb

(iv) If f > g throughout [a, b], then a f (x) dx > a g(x) dx.

Rb

Special case: If f > 0 throughout [a, b], then a f (x) dx > 0.

EC119 Mathematical Analysis 12 INTEGRATION

Z b

m(b − a) 6 f (x) dx 6 M (b − a)

a

Z Z

b b

f (x) dx 6 |f (x)| dx

a a

Theorem 12.6 If f is continuous on [a, b] then there is a number c ∈ (a, b) such that

Z b

f (x) dx = (b − a)f (c).

a

This is the theorem which connects integration and differentiation. This discovery by Newton and Leibniz

was quite astonishing at the time it was made, and laid the foundation for the development of the Calculus,

considered by some to be the mathematical discovery that fuelled the scientific revolution for the next 200

years.

Rx

(i) If f is Riemann-integrable on (a, b) and F (x) = a f (t) dt, then F is a continuous function of x on [a, b].

(ii) Furthermore, if f is continuous on [a, b], then F is differentiable, and F 0 = f . In this case,

Z b

f (x) dx = F (b) − F (a).

a

d

f (t) dt = f (x). (2)

dx a

12.5.1 Infinite Integrals

We wish to attach meaning to integrals of the form

Z ∞

f (x) dx, (3)

a

Z b

f (x) dx, (4)

−∞

Z ∞

f (x) dx. (5)

−∞

RConsidering

∞

type (3), if f is Riemann-integrable on (a, b) for all b > a, then we define the infinite integral

a

f (x) dx, to be the following limit, if it exists:

EC119 Mathematical Analysis 12 INTEGRATION

Z ∞ Z b

f (x) dx = lim f (x) dx

a b→∞ a

If the limit exists and is equal to ` say, we say that the infinite integral converges to `.

If the limit does not exist, we say that the integral diverges.

There are various tests, not gone into here, which enable us to establish convergence, without actually finding

the limit; but we shall not adopt this approach, but rather, work out limiting values for some infinite integrals.

Example 12.8

(i) f (x) = λe−λx , where x > 0 and λ > 0. This is the exponential distribution.

Show that the area under the graph of f over [0, ∞) is 1.

Suppose that b > 0.

Z b b

λe−λx dx = −e−λx 0 = 1 − e−λb

0

−λb

As b → ∞, e → 0, so the integral is convergent to 1.

R∞ 1

(ii) 0 1+x2 dx.

R∞

(iii) 1 x1α dx. Consider

Z b −α+1 b

1 x 1

b1−α − 1 ,

I= α

dx = =

1 x 1 − α 1 (1 − α)

where b > 1 and α 6= 1. Now let b → ∞.

1

If α > 1, then b1−α → 0 and the integral converges to α−1 .

If α < 1, then b1−α → ∞ and the integral diverges.

Rb b

If α = 1, the integral is 1 x1 dx = [ln x]1 = ln b − ln 1 = ln b.

This tends to infinity as b → ∞, so the integral diverges.

Rb

Type (4) −∞

f (x) dx is similar to type (5) above. We define

Z b Z b

f (x) dx = lim f (x) dx

−∞ a→−∞ a

R0 R0

Example 12.9 −∞

ex dx converges to 1 and −∞

xex dx converges to −1.

R∞

For type (5) we define −∞

f (x) dx by

Z ∞ Z c Z ∞

f (x) dx = f (x) dx + f (x) dx.

−∞ −∞ c

for some real number c. So the integral on the left only exists when both the integrals on the right exist. (c is

frequently taken to be 0, but this isn’t necessary).

Z b

lim f (x) dx.

b→∞ −b

EC119 Mathematical Analysis 12 INTEGRATION

lim sin x dx

a→−∞ a

does not exist, and neither does

Z b

lim sin x dx,

b→∞ c

but Z b

lim sin x dx = 0,

b→∞ −b

R∞ 1

Example 12.11 −∞ 1+x2

dx.

R∞ 2

Example 12.12 −∞

xe−cx dx, for c > 0.

Rb

We wish to evaluate a f (x) dx, if possible, when f becomes unbounded somewhere in [a, b].

We define the integral by

Z b Z b

f (x) dx = lim f (x) dx, h > 0,

a h→0 a+h

This is similar to (i).

Z b Z b−h

f (x) dx = lim f (x) dx, h > 0,

a h→0 a

if the limit exists.

(iii) Suppose f becomes infinite at x = c ∈ (a, b).

We define the integral by

Z b Z c−h Z b

f (x) dx = lim f (x) dx + lim f (x) dx, h, k > 0,

a h→0 a k→0 c+k

provided both limits exist. This result can be extended to functions which have a finite number of infinite

discontinuities.

Example 12.13

R1 1

(i) 0 √1−x 2

dx.

R1

(ii) 0

x−α dx.

EC119 Mathematical Analysis 12 INTEGRATION

It is important to realise that there are a large number of integrals which cannot be expressed in terms of

elementary functions, and so are frequently used to define new functions. They are computed numerically.

Examples are

Z Z x Z Z Z Z Z √

−x2 e sin x 1 x −x

e dx dx dx dx x dx x dx sin x dx

x x ln x

Example 12.14

(

x sin t

t 6= 0

Z

Si(x) = f (t) dt, where f (t) = t ,

0 1, t=0

Z ∞

Γ(x) = tx−1 e−t dt.

0

2 2

erf(x) = √ e−t dt.

π 0

and there are many more (such as the elliptic functions F , E and Π).

R∞

It is an astonishing fact that improper integrals 0 f (t) dt can often be calculated where ordinary integrals

Rb

a

f (t) dt cannot. The following example makes use of techniques which are beyond the scope of this course.

Rb 2 R∞ 2

Example 12.15 There is no elementary formula for a e−t dt, but the value of 0 e−t dt can be calculated

precisely. The usual technique involves squaring to get the double integral

Z ∞ 2 Z ∞ Z ∞ Z ∞ Z ∞

−t2 −x2 −y 2 2

+y 2 )

e dt = e e dx dy = e−(x dx dy

0 0 0 0 0

π π

Z 2

Z ∞ Z 2 1 −r2 ∞

−r 2 π

e r dr dθ = −2e 0

dθ = 4,

0 0 0

R∞ 2

√

π

and hence 0

e−t dt = 2 .

(x − µ)2

1

f (x) = √ exp − for x ∈ (−∞, ∞).

σ 2π 2σ 2

Verify that f does indeed represent a probability density function, and find the mean and variance of the

distribution.

EC119 Mathematical Analysis 13 FIRST-ORDER DIFFERENTIAL EQUATIONS

When we solve algebraic, or trigonometric equations, the unknown quantity is a variable. In contrast, the

solution(s) of differential equations are unknown functions.

(i) An ordinary differential equation is an equation containing the derivatives of a function of a single

variable.

(ii) A partial differential equation is one where the unknown function is a function of several variables, so

the equation contains partial derivatives.

(iii) The order of a differential equation is the order of the highest order derivative within the equation.

(iv) A differential equation is said to be linear if it does not contain products, quotients, or powers of the

derivatives, or of the unknown function.

We will use a variety of notations. We should choose the one which is most appropriate to the context, or to

the situation being modelled. For example:

dy

dx = f (x, y) or y 0 = f (x, y) : solve for y

dx

dt = g(t, x) or ẋ = g(t, x) : solve for x, etc.

˙ means ‘differentiate with respect to time t’ .

13.1 Qualitative approach: ‘knowing the direction and finding the path’

Most differential equations do not have solutions that can be found in a neat closed form, so instead, numerical

techniques have to be used. Even when analytical solutions can be found, it is sometimes useful to have a

qualitative picture of the behaviour of possible solutions. Such an approach is illustrated in the following

example.

dy

Example 13.1 dx = x + y.

This can be solved analytically (see later), but we can obtain a qualitative picture of the behaviour of y as

follows.

We can obtain a direction diagram or gradient field, because at each point of the x, y plane, we know that the

dy

gradient dx is equal to x + y. For example, at (1, 2), the gradient is 3, at (−1, 0) the gradient is −1, and so on.

We represent the gradient at the point (x, y) by a short line segment drawn at the point. When the picture is

complete, we have obtained our gradient field.

The line segments give us a means of drawing curves that follow the direction of the gradient field, because we

know that they are tangential to the solution curves or integral curves y = y(x). In applied subjects they are

also called trajectories or time paths. Generally, there will be an infinite number of them.

Through each point (x, y) will pass one and only one solution curve, so we can determine the precise solution

of our differential equation provided we know a single point on it. In particular, if we know the value of y

when x = 0, we can find the appropriate integral curve. Such a condition is called an initial condition. The

problem of solving the differential equation with a given initial condition is called an initial value problem.

See Figure 13.1 for solution curves corresponding to two sets of initial conditions.

dy

Suppose that we wish to solve dx = f (x, y), subject to the initial condition y = y0 when x = x0 .

If x1 = x0 + h is a nearby point on the solution curve through (x0 , y0 ). (Stepsize h is x1 − x0 ). Then we

can use the differential equation to find an approximate value for y1 . Using the definition of a derivative,

y1 −y0

h ≈ f (x0 , y0 ), or, approximately y1 = y0 + hf (x0 , y0 ).

Repetition of this result gives a table of approximate values of y. This formula can be refined in several ways

to give greater accuracy.

dy

Example 13.2 dx = xy. See Figure 13.2.

71

EC119 Mathematical Analysis 13 FIRST-ORDER DIFFERENTIAL EQUATIONS

10 10

5 5

y(x) 0 y(x) 0

–5 –5

–10 –10

–10 –5 0 5 10 –10 –5 0 5 10

x x

dy

Figure 13.1: Two solution curves for the equation dx = x + y, for initial values y = 3.5, x = −5.0 (left) and

y = 4.1, x = −5.0 (right)

10 10

5 5

y(x) 0 y(x) 0

–5 –5

–10 –10

–10 –5 0 5 10 –10 –5 0 5 10

x x

dy

Figure 13.2: Two solution curves for the equation dx = xy, for initial values y = 2, x = −2 (left) and y = −3,

x = −2 (right)

These are equations that are of (or can be rearranged into) the form

dy

dt + a(t)y = b(t),

where a(t) and b(t) are continuous functions on some interval of the real numbers,

Example 13.3 t2 dy 6 0. Consider the left hand side and recall the product rule for

dt + 2ty = b(t) for t =

differentiation:-

d dv du

dt (uv) = u dt + v dt .

We see that the left hand side of the differential equation may be expressed as

d 2

dt (t y).

Z

2

t y = b(t) dt + C, (6)

Z

1

y = 2 b(t) dt + C

t

Note that the arbitrary constant must be inserted at stage (6), not at the end.

Usually, the terms on the left hand side do not combine together as simply as in the preceding example.

The trick is to multiply through by an adjusting function to put it into the required form. This is called an

integrating factor.

EC119 Mathematical Analysis 13 FIRST-ORDER DIFFERENTIAL EQUATIONS

(i) We start with an equation in the form dy

dt + a(t)y = b(t).

R

(ii) Evaluate a(t) dt. No arbitrary constant is needed at this stage.

R

(iii) Determine u(t) = exp a(t) dt . This is the integrating factor.

(iv) Multiply the differential equation throughout by u(t), then it can be rearranged to

d

dt u(t)y = u(t)b(t).

(v) Integrate R

u(t)y = u(t)b(t) dx + C,

1

R

so y = u(t) u(t)b(t) dx + C .

13.3.2 Verification

If R

u(t)y = exp a(t) dt ,

then

du

R

dt = a(t) exp a(t) dt = a(t)u(t).

So

d

dt u(t)y = u(t)b(t)

becomes

u(t) dy

dt = a(t)u(t)y = u(t)b(t),

for u(t) 6= 0, or

dy

dt + a(t)y = b(t).

dx

Example 13.4 dt = xt.

The integrating factor is

2

−2t dt = e−t .

R

u(t) = exp

The differential equation then becomes

2 2

d

dt e−t x = te−t .

Integrating both sides of this equation gives

2 2

e−t x = te−t dt + C.

R

2

= − 21 e−t + C,

hence 2

x = Cet − 1

2

This is the general solution of the differential equation.

dx x

Example 13.6 Find the general solution of dt = t + t.

Example 13.7 Consider the differential equation in Example 13.1. Rearrange it to the standard linear form

dy

dx − y = x.

The integrating factor is u(x) = exp − dx = e−x , so the differential equation becomes dx d

e−x y = xe−x .

R

Integrating, we get e−x y = xe−x dx = −xe−x − e−x +C = −e−x (1+x)+C, so that y = −(1+x)+Cex . This is

R

Now consider various solution curves, and compare with the diagrams obtained earlier:

The solution curve through (0, 0) is given by setting C = 1, yielding the solution y = −(1+x)+ex .

The solution curve through (−2, 0) is given by setting C = −e2 , which gives the solution y = −(1+x) − ex+2 .

As x → −∞, y → −(1+x) or (x+y) → −1.

EC119 Mathematical Analysis 13 FIRST-ORDER DIFFERENTIAL EQUATIONS

Example 13.8 (A special case) As in the previous example, a linear differential equation which is frequently

encountered in applications is

dy

dt + ay = b,

where a and b are constants. This can be solved in several ways as we shall see later, but for now we’ll use the

integrating factor method.

The integrating factor is exp a dt = eat . Thus

R

d at

e y = beat

dt

b

eat y = eat + C

a

b

y = Ce−at +

a

dy

Suppose dx = f (x)g(y) where f is some function of just x, and g is some function of just y. Then we can write

this equation in the form

1 dy

= f (x)

g(y) dx

provided that g(y) 6= 0. Integrating both sides of this equation with respect to x gives

Z Z

1 dy

dx = f (x) dx + C,

g(y) dx

Z Z

1

or dy = f (x) dx + C.

g(y)

Note that the arbitrary constant need only be added to one side of the equation.

If possible, evaluate both integrals, and again if possible express the result in the explicig form y = F (x). In

this case, F (x) is the general solution of the differential equation.

dy

In addition, we have to consider separately what happens when g(y) = 0. In this case, dx ≡ 0 and there will be

solutions y = constant for each value of y for which g(y) = 0.

If we know any one point on the time path, any arbitrary constant may be determined.

dx

Example 13.9 dt = xt. Rearranging this gives

Z Z

1

dx = t dt.

x

1 2

Assume first that x > 0, then ln x = 12 t2 + C, so that x = exp 21 t2 + C , which can be written x = Ae 2 t for

some A > 0.

1 2

Alternatively, if x < 0, then the solution is ln(−x) = 12 t2 + D. This leads to x = −Be 2 t for some B > 0.

Both cases are covered by the general solution x = A exp 12 t2 ; whether A > 0 or A < 0 depends on the initial

value.

Note We have already solved this equation using the integrating factor method.

dt = −2x t. Find the solution curve through the point (t, x) = (0, − 2 ).

What happens if we change the initial value of x?

dt +ay = b (where a and b are constants) again. Separating

the variables gives Z Z

1

dy = dt.

ay − b

EC119 Mathematical Analysis 13 FIRST-ORDER DIFFERENTIAL EQUATIONS

1

Assuming that ay > b, we integrate to give a ln(ay − b) = −t + C, that is,

ay − b = e−at+K = Ae−at

As before, in both cases the general solution may be rewritten in the form y = b

a + Ce−at , where C is an

arbitrary constant.

S(P ) = α + βP (the supply equation)

Assume P changes continuously with time; that is, P = P (t). The model says that Ṗ is proportional to excess

demand:

dP

= k(D(P ) − S(P ))

dt

for some k > 0. Then dP dt + k(b + β)P = k(a − α).

This is of the form of Example 13.8.

Wt = (1 + r)Wt−1 + Yt − Ct

where Wt is the size of the account (wealth), r is the interest rate, Yt the amount deposited, and Ct the amount

withdrawn.

The continuous-time analogue of this is

dW

= rW (t) + Y (t) − C(t),

dt

where r is constant.

EC119 Mathematical Analysis 13 FIRST-ORDER DIFFERENTIAL EQUATIONS

EC119 Mathematical Analysis 14 SECOND-ORDER DIFFERENTIAL EQUATIONS

In general, these are of the form

d2 y

dy

=F x, y, or ẍ = F (t, x, ẋ).

dx2 dx

d 2 d

(1 − x ) P (x) + n(n + 1)P (x) = 0,

dx dx

originally studied by Adrien-Marie Legendre (1752–1833) gives rise to a family of functions Pn (x), called

Legendre polynomials, the first few of which are:

P0 (x) = 1

P1 (x) = x

P2 (x) = 12 (3x2 − 1)

P3 (x) = 12 (5x3 − 3x)

P4 (x) = 18 (35x4 − 30x2 + 3)

P5 (x) = 18 (63x5 − 70x3 + 15x)

d2 y dy

x2 2

+x + (x2 − α2 )y = 0

dx dx

was originally studied by Daniel Bernoulli (1700–1782) and Friedrich Bessel (1784–1846) and has no solutions

in terms of elementary functions. Instead, we define a new class of functions (Bessel functions) to be the

solutions of this equation.

First, we look at equations that can be integrated directly.

d2 x

Example 14.3 The equation dt2 = k, where k is some given constant, can be integrated directly.

dx

Integrating once gives dt= kt + C; integrating again gives x = 12 kt2 + Ct + D., where C and D are two

arbitrary constants.

In order to determine them, we need two pieces of information about x. These could be:

(i) Two points through which the solution curve passes. This is called a boundary value problem.

dx

(ii) x and the gradient function dt at the same point. This is called an initial value problem.

(iii) If we know x at one point and the gradient at another, this is called a mixed problem.

d2 x dx

2

= + t, (or ẍ = ẋ + t), x(0) = 1, ẋ(0) = 2.

dt dt

dx

The easiest approach is to replace dt by a new variable, y say, then the equation becomes a first order one

ẏ = y + t, with y(0) = 2.

77

EC119 Mathematical Analysis 14 SECOND-ORDER DIFFERENTIAL EQUATIONS

y = −(1 + t) + Cet

When t = 0, y = 2, so C = 3.

Now we have

ẋ = −(1 + t) + 3et x(0) = 1.

Integrating directly with respect to t gives

x = −t − 21 t2 + 3et + D.

When t = 0, x = 1, so D = −2. The solution is x = − 2 + t + 12 t2 + 3et .

These are any equations of the form

d2 y dy

a(t) + b(t) + c(t)y = f (t) (7)

dt2 dt

where a(t), b(t), c(t) and f (t) are continuous functions of t on some interval, and a(t) 6= 0.

If f (t) = 0, the equation is said to be homogeneous.

If f (t) 6= 0, the equation is inhomogeneous or nonhomogeneous.

In short-hand notation, we could write (7) as

Ly = f (t) (8)

where L is the linear differential operator

d2 d

a(t) 2

+ b(t) + c(t).

dt dt

We first investigate the solution(s) of

d2 y dy

a(t) + b(t) + c(t)y = 0, or Ly = 0 (9)

dt2 dt

Let V be the set of all solutions of (9) and let u1 , u2 ∈ V , that is,

Lu1 = 0

Lu2 = 0

Adding these gives L(u1 +u2 ) = 0, so (u1 +u2 ) is also a solution of (9).

Similarly, if u is a solution of (9) so that Lu = 0, and k ∈ R then L(ku) = 0 and ku is also a solution.

V is a vector space, consisting of all the vectors (ie functions) which are mapped to the zero function by the

linear map L.

We can combine the two properties above and say that Au1 +Bu2 is a solution of (9) for all choices of the

(real) arbitrary constants A and B.

Is the general solution of (9) always the form Au1 + Bu2 ?

No, only when u1 and u2 span the solution space of (9) and are linearly independent. In other words, they

must form a basis for the solution space of (9).

(i) 1, t, t2 , t3 , . . .

(ii) sin t, cos t, sin 2t, cos 2t, sin 3t . . .

(iii) et , e2t , e3t , . . .

EC119 Mathematical Analysis 14 SECOND-ORDER DIFFERENTIAL EQUATIONS

The nonhomogeneous differential equation (7) or (8) has the general solution

Au1 (t)+Bu2 (t) is called the complementary solution and is the general solution of (9), the related homogeneous

equation,

v(t) is any particular solution of (7) so that Lv = f (t), provided that v 6∈ V , the solution set of the homogeneous

equation (9).

In other words, u1 , u2 and v must be linearly independent functions.

Verification Substituting into the differential equation (8), and using the definition of a linear transformation,

the left-hand side is

= 0 + 0 + Lv

= f (t) = right-hand side.

We now specialise further and assume that a, b and c are constants. We shall continue to assume that f

depends on t. (Compare this work with the discrete case considered in Mathematical Techniques B).

We solve the homogeneous differential equation

d2 y dy

a 2

+b + cy = 0. (11)

dt dt

2

If we try the solution y = emt , then dy

dt = me

mt

and ddt2y = m2 emt .

Substitute into the homogeneous differential equation (11):

emt am2 + bm + c

= 0

This is called an auxiliary or characteristic equation, which has solutions

√

−b ± b2 − 4ac

m1 , m2 = .

2a

Clearly three cases arise:

Case 1 (m1 , m2 are real and distinct, ie (b2 > 4ac))

These are linearly independent functions, so the complementary solution is a linear combination of them, viz.

Aem1 t + Bem2 t ,

Case 2 (m1 = m2 = m are real and equal, ie (b2 = 4ac))

u1 = emt .

Clearly the second solution u2 cannot also be emt , because u1 and u2 must be linearly independent.

EC119 Mathematical Analysis 14 SECOND-ORDER DIFFERENTIAL EQUATIONS

The second solution is u2 = temt . This can be verified by substitution into the differential equation. The

complementary solution is

Aemt + Btemt or emt (A + Bt),

where A and B are again arbitrary.

Case 3 (m1 , m2 = α ± iβ complex conjugate, ie (b2 < 4ac))

u2 = e(α−iβ)t = eαt e−iβt = eαt (cos βt − i sin βt).

u1 and u2 are linearly independent, but they are complex, and are not really suitable choices for solutions to a

real problem. Instead we choose two real linearly independent solutions from the complex subspace spanned by

u1 and u2 , viz. eαt cos βt and eαt sin βt.

That is,

u1 + u2 u1 − u2

and .

2 2

The general solution is thus

eαt (A cos βt + B sin βt).

Summary

real and distinct Aem1 t + Bem2 t

real and equal emt (A + Bt)

αt

complex conjugate e (A cos βt + B sin βt).

Examples 14.6

(i) ẍ − 4x = 0

(ii) ẍ − 4ẋ + 4x = 0

(iii) ẍ − 6ẋ + 13x = 0

f (t) Trial solution

constant C

t Ct + D

t2 Ct2 + Dt + E

polynomial in t polynomial of same degree in t

ekt Cekt , provided k 6= either m

sin at

C cos at + D sin at

cos at

Auxiliary equation m2 + 5m + 6 = 0, so m = −2, −3.

Complementary solution Ae−2t + Be−3t

Particular solution

Substituting into the differential equation gives 6C = 4, so C = 23 , and hence the general solution is

x = 32 + Ae−2t + Be−3t .

EC119 Mathematical Analysis 14 SECOND-ORDER DIFFERENTIAL EQUATIONS

Try x = Ce2t , then ẋ = 2Ce2t and ẍ = 4Ce2t

Substituting into the differential equation gives

20C ≡ 3

3

C ≡ 20 .

20 e + Ae−2t + B −3t .

(iii) f (t) = 8e−2t .

We could try Ce−2t , but this will fail because we already have a solution e−2t in the complementary

solution, so we need to find another linearly independent solution. Instead we try x = Cte−2t .

Then ẋ = C(1 − 2t)e−2t , ẍ = C(4t − 4)e−2t . (Use Leibniz’ theorem?)

Substituting into the differential equation gives C(4t − 4)e−2t + 5C(1 − 2t)e−2t + 6Cte−2t ≡ 8e−2t , that

is, (−4 + 5)C ≡ 8, or C = 8.

The general solution is thus

x = 8te−2t + Ae−2t + Be−3t .

In each of the above cases, determine what happens in the long run.

17

Example 14.8 Solve ẍ + 5ẋ + 6x = 3e2t subject to x(0) = 0 and ẋ(0) = 20 .

14.4 Stability

This is a very important consideration when dealing with dynamical systems.

If small changes in the initial conditions have no effect on the long run behaviour of the solution, the system

is said to be stable. If small changes in initial conditions can lead to significant differences in the long run

behaviour then the system is unstable.

Recall that the solution is of the form

This will be stable if the complementary solution tends to 0 as t → ∞ for all values of A and B; in this case x

tends to the particular solution as t → ∞, which is independent of the initial conditions.

Thus the equation will be stable in the three cases considered above if

(ii) m1 = m2 = m is real and negative, or

14.4 Stability 81

EC119 Mathematical Analysis REFERENCES

References

[1] R P Burn, Numbers and Functions, Cambridge (2000) QA 300.B8

[3] F M Hart, Guide to Analysis, Macmillan (2001) QA 300.H2

[4] S Lipschutz, Set Theory and Related Topics, Schaum’s Outlines, McGraw–Hill (1998) QA 248.L4

[6] S Winchester, The Meaning of Everything, Oxford University Press (2003)

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