3.

Improper integrals

3.1. Integrals on unbounded domain

Consider f: [a, )R, integrable on every interval [a, b]c[a, ).
If the limit
b
lim
}
b
a
dx ) x ( f exists and is finite, we say the improper integral
}

a
dx ) x ( f is convergent and its
value is
}

a
dx ) x ( f =
b
lim
}
b
a
dx ) x ( f .
Otherwise, we say the improper integral
}

a
dx ) x ( f is divergent.
Similarly, we define the following improper integrals:
}

b
dx ) x ( f =
a
lim
}
b
a
dx ) x ( f
}

dx ) x ( f =


b
a
lim
}
b
a
dx ) x ( f if the considered limits exist.

3.2. Integrals of unbounded functions

Consider a function f: (a, b] R, aeR, integrable on every interval [c, d]c(a, b] such as ) x ( f lim
a x
a x
>

= (f
unbounded at a).
If the limit
}
>

b
c
a c
a c
dx ) x ( f lim exists and is finite we say the improper integral
}
b
a
dx x f ) ( is convergent and its
value is
}
b
a
dx ) x ( f
not
=
}
+
b
a
dx ) x ( f =
}
>

b
c
a c
a c
dx ) x ( f lim . Otherwise
}
b
a
dx ) x ( f is divergent.
In the same way, if f: [a, b) R, beR, integrable on every interval [a, c]c[a, b) such as ) x ( f lim
b x
b x
<

= we
define
}
b
a
dx ) x ( f
not
=
}
b
a
dx ) x ( f =
}
<

c
a
b c
b c
dx ) x ( f lim if the limit exists.
Finally, if f: [a, b)(b, c] R, integrable on every interval [d, e] c[a, b)(b, c] such as ) x ( f lim
b x
= we
define
}
c
a
dx ) x ( f =
} }
+
> <

u
a
c
v
b v , b u
b v , u
] dx ) x ( f dx ) x ( f [ lim if the limit exist (or
}
c
a
dx ) x ( f =
}
b
a
dx ) x ( f +
}
+
c
b
dx ) x ( f ).

3.3. Gamma integral
The improper integral
}

0
x 1 p
dx e x , p>0 is called Gamma integral (gamma function) and is denoted I(p)=
}

0
x 1 p
dx e x , p>0.
Remark
Gamma integral is convergent for every p>0.
Properties
Gamma integral has the following properties:
1) I(1)=1;
2) I(p)=(p-1) I(p-1), p>1;
3) I(n)=(n-1)!, neN;
4) I(
2
1
)= t .
Exercise
Prove the properties 1-3.













3.4. Beta integral
The improper integral
}


1
0
1 q 1 p
dx ) x 1 ( x , p, q>0 is called Beta integral (Beta function) and is denoted
B(p, q)=
}


1
0
1 q 1 p
dx ) x 1 ( x .
Remark
Beta integral is convergent for every p, q>0.
Properties
Beta integral has the following properties:
1) B(p, q)= B(q, p), p, q>0;
2) B(p, q)=
1 q p
1 p
+

B(p-1, q), p>1, q>0;

3) B(p, q)=
1 q p
1 q
+

B(p, q-1), p>0, q>1;

4) B(p, q)=
) 2 q p )( 1 q p (
) 1 q )( 1 p (
+ +

B(p-1, q-1), p, q>1;
5) B(p, q)=
) q p (
) q ( ) p (
+ I
I I
, p, q>0.

3.5. Euler -Poisson integral
The improper integral
}

0
x
dx e
2
is called Euler-Poisson integral.
Proposition
}

0
x
dx e
2
=
2
t
.
Proof
By the substitution x
2
=t (dx=
t 2
1
dt), we get
}

0
x
dx e
2
=
}

0
t
dt e
t 2
1
=
}

0
t
2
1
dt e t
2
1
=
2
1
I(
2
1
)=
2
t
.