Uniform Convergence.

1 Introduction.
In this course we study amongst other things Fourier series. The Fourier series for a
periodic function f (x) with period 2π is defined as the series
∞
a0 X
+ (ak cos kx + bk sin kx) ,
2 k=1

where the coefficients ak , bk are defined as

1 π π
Z Z
1
ak = f (x) cos kx dx, bk = f (x) sin kx dx,
π −π π −π

with k = 0, 1, . . . (note that this means that b0 = 0).

This is an example of a functional series, which is a series whose terms are functions:
∞
X
uk (x).
k=0

As usual with series, we define the above infinite sum as a limit:

∞
X N
X
uk (x) = lim uk (x),
N →∞
k=0 k=0

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

2 Pointwise Convergence.
We are familiar with the power series
∞
X 1
xk = for |x| < 1.
k=0
1−x

1
 This statement says that for each x ∈ ] − 1, 1[ the power series in the left-hand side
converges to the number 1/(1 − x). If we put
n
X 1
fn (x) = xk , f (x) = ,
k=0
1−x
then we can rephrase this as

fn (x) → f (x) as n → ∞ for each x ∈ ] − 1, 1[.

We give this type of convergence a name: pointwise convergence. Note that we have
first defined a sequence of functions fn by putting
n
X
fn (x) = xk
k=0

for each n = 0, 1, 2, . . . .

Definition 2.1 (Pointwise convergence.) Suppose {fn (x) : n = 0, 1, 2, . . . } is a se-

quence of functions defined on an interval I. We say that fn (x) converges pointwise
to the function f (x) on the interval I if

fn (x) → f (x), as n → ∞, for each x ∈ I.

We call the function f (x) the limit function.

Example 2.1 fn (x) = x − n1 . Then fn (x) converges pointwise to x for each x ∈ R:

1
|fn (x) − x| = → 0 as n → ∞.
n

Example 2.2 fn (x) = e−nx on [1, 3]. For each x ∈ [1, 3] we have nx → ∞ as n → ∞
and therefore fn (x) → 0 as n → ∞ for each x ∈ [1, 3]. Thus fn (x) converges pointwise to
f (x) = 0 for each x ∈ [1, 3].

Example 2.3 fn (x) = e−nx on [0, 3]. For each 0 < x ≤ 3 we have nx → ∞ as n → ∞
and therefore fn (x) → 0 as n → ∞ for each 0 < x ≤ 3. However, at x = 0 we have
fn (0) = 1 for all n. Thus fn (x) converges pointwise to the function f (x) defined by
f (0) = 1, f (x) = 0 for each 0 < x ≤ 3. This is not a continuous function, despite the
fact that each function fn (x) is continuous.

The last example shows what can happen with pointwise convergence: the limit func-
tion may fail to be continuous, even though all functions in the sequence are continuous.

2
Example 2.4 Let the sequence fn be defined as
nx
fn (x) = x ∈ [0, ∞[.
(nx + 1)3
Then fn (0) = 0 and for each fixed x > 0

n2 x
fn (x) =
(nx + 1)3
n2 x
= 3
n (x + n1 )3
1 x
= →0 as n → ∞.
n (x + n1 )3

So that fn (x) → f (x) = 0 pointwise on [0, ∞[.

Then for x > − n1 we have

n2 (1 − 2nx)
fn0 (x) =
(nx + 1)4
and we see that for x > 0 we have fn0 (x) → 0 as n → ∞ whereas fn0 (0) = n2 → ∞. Here
we see that fn0 → f 0 only on for x > 0. This shows that differentiability is not always
respected by pointwise convergence.

The last two examples then lead us to pose the question: what extra condition (other
than just pointwise convergence) can guarantee that the limit function is also continuous
or differentiable? The answer to this is given by the concept of uniform convergence.

3 Uniform convergence
We define for a real-valued (or complex-valued) function f on a non-empty set I the
supremum norm of f on the set I:

kf kI = sup |f (x)|.
x∈I

Note that if f is a bounded function on I then

sup |f (x)| = sup{ |f (x)| : x ∈ I}

x∈I

exists, by the so-called supremum axiom. Observe that

|f (x)| ≤ kf kI for all x ∈ I,

and that |f (x)| takes on values which are arbitrarily near kf kI . In particular kf kI =
the largest value of |f (x)| whenever such a value exists (such as when I is a closed,
bounded interval and f (x) is a continuous function on I).
The supremum norm has the following properties for functions f and g on a set I:

3
 kf kI ≥ 0 and kf kI = 0 ⇔ f (x) = 0 for all x ∈ I

kcf k = |c| · kf kI for any constant c

kf + gkI ≤ kf kI + kgkI (triangle inequality)

kf kJ ≤ kf kI when J is a subset of I.

The proof of these properties is left as an exercise for the interested reader.
Now we come to the definition of uniform convergence:

Definition 3.1 A sequence of functions fn (x) defined on an set I is said to converge

uniformly to f (x) on I if

kfn − f kI → 0 as n → ∞.

We write this as

lim fn = f uniformly on I
n→∞
or as

fn → f uniformly on I as n → ∞.

Uniform convergence implies pointwise convergence, however there are sequences

which converge pointwise but not uniformly. Indeed we have

|fn (x) − f (x)| ≤ sup |fn (x) − f (x)| = kfn − f kI ,

x∈I

so that

fn → f uniformly on I as n → ∞

=⇒ |fn (x) − f (x)| → 0 for each x ∈ I

=⇒ fn → f pointwise on I.

We record this as a result:

Lemma 3.1 If the sequence of functions fn (x) converges uniformly to f (x) on the
interval I, then fn (x) converges pointwise to f (x).

4
This Lemma says that the limit function obtained through uniform convergence (if this
occurs) is the same as the limit function obtained from pointwise convergence. Or: if
fn (x) converges to f (x) uniformly, then it must converge to f (x) pointwise. This then
tells us how to go about testing for uniform convergence: first, obtain the pointwise
limit f (x) and then see if we have uniform convergence to f (x).

Example 3.1 fn (x) = e−nx on [1, 3]. We have seen above that fn (x) converges pointwise
to f (x) = 0 for each x ∈ [1, 3]. Then we have |fn (x) − f (x)| = |fn (x)| and we then have

kfn − f k = sup |fn (x)|

x∈[1,3]

= sup |e−nx |
x∈[1,3]

= sup e−nx
x∈[1,3]

= e−n → 0 as n → ∞.

Thus we have uniform convergence in this case. Note that the last step follows from the
observation that e−nx is strictly decreasing for x ≥ 0 with n ≥ 0, so that e−n ≥ e−nx for
all x ≥ 1.

Example 3.2 fn (x) = xe−nx on I = [0, ∞[. Here the interval is unbounded. First we
look at pointwise convergence: fn (0) = 0 and for x > 0 we have that fn (x) → 0 as n → ∞.
Thus fn (x) → 0 pointwise on I. We now need to investigate uniform convergence. Since
the limit function f (x) = 0 we have

kfn − f k = sup |xe−nx |

x∈[0,∞[

= sup xe−nx
x∈[0,∞[

because fn (x) ≥ 0 for x ≥ 0. Now, we have fn0 (x) = (1 − nx)e−nx for x > 0 (observe
that you should never differentiate on closed intervals), and we see that fn0 (x) = 0 when
x = 1/n. Further, fn0 (x) > 0 for 0 < x < 1/n, and fn0 (x) < 0 for x > 1/n, so we conclude
that fn (x) has a maximum at x = 1/n and hence

kfn − f k = sup xe−nx

x∈[0,∞[
1
= fn ( )
n
1
= → 0 as n → ∞.
ne
So we see that the sequence of functions fn (x) = xe−nx converges uniformly to 0 on the
interval I = [0, ∞[.

5
4 Uniform convergence and continuity.
We now come to two important results. The first is the following.
Theorem 4.1 Suppose fn (x) is a sequence of continuous functions on an interval I
and suppose also that fn (x) converges uniformly to f (x) on the interval I. Then the limit
function f (x) is also continuous.

Proof: We need to show that f (x) → f (a) when x → a for x, a ∈ I. First we note that
for any n = 0, 1, 2, . . . we have

|f (x) − f (a)| = |(f (x) − fn (x)) + (fn (x) − fn (a)) + (fn (a) − f (a))|

≤ |f (x) − fn (x)| + |fn (x) − fn (a)| + |fn (a) − f (a)|.

by the triangle inequality. Now, as we have already noted,

|f (x) − fn (x)| ≤ kf − fn kI , |f (a) − fn (a)| ≤ kf − fn kI ,

so we now have, for any n,

|f (x) − f (a)| ≤ 2kf − fn kI + |fn (x) − fn (a)|. (4.1)

We shall now see that we may make the right-hand side as small as we like. To do this
we note that the inequality (4.1) is true for an arbitrary value of n.
Now choose a positive number  > 0, as small as we like. We know that

kfn − f kI → 0 as n → ∞.
Therefore there must be an N > 0 for which we have kfn − f kI < /3 for all n ≥ N .
Then choose and fix such a value of n, say n = N .
We also have the fact that fN (x) is continuous, so for any choice of the number  > 0
there is an interval centered on a so that

|fN (x) − fN (a)| < /3

whenever x belongs to that interval. Formally, this is described as follows: since

fN (x) → fN (a) as x → a
there is, for any  > 0 a corresponding number δ > 0 so that

|fN (x) − fN (a)| < /3 whenever |x − a| < δ.

With all this put into equation (4.1), we obtain:

|f (x) − f (a)| ≤ 2kf − fN kI + |fN (x) − fN (a)|

 
≤2 + =
3 3

6
if |x − a| < δ. Thus for each  > 0, chosen as small as we like, we may always choose a
δ > 0 so that

|f (x) − f (a)| <  whenever |x − a| < δ.

This means that f (x) → f (a) when x → δ. Hence f (x) is continuous.
This result is very useful as a quick test for absence of uniform convergence: if

(i) fn (x), n = 0, 1, 2, . . . is a sequence of continuous functions (on some interval);

(ii) fn (x) converges pointwise to f (x);

(iii) f (x) is not continuous;

(iv) Then fn (x) does not converge uniformly to f (x).

Example 4.1 fn (x) = e−nx on [0, 3] is a sequence of continuous functions, converging

pointwise to f (x) defined by
(
1 for x = 0
f (x) =
0 for 0 < x ≤ 3,
which is not continuous, and so, by Theorem 4.1, the sequence does not converge uni-
formly to f (x).

The second result we mention is the following, which is of great use in integrating
series:

Theorem 4.2 Suppose that fn (x) is sequence of continuous functions which converges
uniformly to a continuous function f (x) on a bounded interval [a, b]. Then we have
Z b Z b Z b
lim fn (x)dx = lim fn (x)dx = f (x)dx.
n→∞ a a n→∞ a

Proof: The proof is quite simple:

Z b Z b  Z b 
   

 fn (x)dx − f (x)dx =  (fn (x) − f (x))dx
 
a a a
Z b
≤ |fn (x) − f (x)|dx
a
Z b
≤ kfn − f kdx
a
Z b
= kfn − f k 1 dx
a
= kfn − f k(b − a) → 0 as n → ∞.

7
Thus:
Z b Z b
fn (x)dx → f (x)dx
a a
as n → ∞ if fn → f uniformly on I, which is what we wanted to prove.

Remark 4.1 Theorem 4.2 is proved here for continuous functions so that the integrals
exist. It is however possible to replace the word continuous by the word integrable, and
the theorem is still true.
1
Example 4.2 If fn (x) = x4
calculate
1 + x2 + n Z 1
lim fn (x)dx.
n→∞ 0
1
In this example, it is easy to see that fn (x) → f (x) = pointwise on [0, 1]. Then
1 + x2
we have

1 x4
|f (x) − fn (x)| = · x4
n (1 + x2 )(1 + x2 + n
)
and it is difficult to calculate sup |f (x) − fn (x)| (you should try to do this, in order to
x∈[0,1]
see how difficult it is). The best way to deal with this is to use the fact that (1 + x2 )(1 +
4
x2 + xn ) ≥ 1 on [0, 1] so that

x4
0≤ x4
≤ x4 ≤ 1
(1 + x2 )(1 + x2 + n
)
1
for x ∈ [0, 1], and then we have |f (x) − fn (x)| ≤ for all x ∈ [0, 1], from which we deduce
n
that
1
kf − fn k = sup |f (x) − fn (x)| ≤ → 0 as n → ∞,
x∈[0,1] n
and then we have uniform convergence of fn → f , so that
Z 1 Z 1
π
lim fn (x)dx = f (x)dx =
n→∞ 0 0 4
by Theorem 4.2.

In the last calculation we have given an example of proving uniform convergence of a

sequence fn (x) defined on an interval I without computing the value of supx∈I |fn (x)−
f (x)|. It is important to realise that this is a useful way of avoiding very complicated
calculations. All one has to do is show that supx∈I |fn (x) − f (x)| → 0 as n → ∞, which
can be done either by first computing the value of supx∈I |fn (x) − f (x)|, or by obtaining
an inequality which then leads directly to supx∈I |fn (x) − f (x)| → 0 as n → ∞.

8
 We now prove a result about uniform convergence and differentiability: it tells us
under which conditions the limit function f (x) is differentiable whenever the functions of
the sequence fn (x) are differentiable.

Theorem 4.3 Suppose that {fn (x); n = 0, 1, 2, . . . } is a sequence of functions on an

interval I and satisfying the following conditions:

(i) fn (x) is differentiable on I for each n = 0, 1, 2, . . .

(ii) fn (x)converges pointwise to f (x) on I

(iii) fn0 (x) is continuous for each n and fn0 → g converges uniformly on I where g(x)
is a continuous function on I.

Then the limit function f (x) is differentiable and f 0 (x) = g(x).

Proof: First note that

Z x
fn (x) − fn (a) = fn0 (t)dt
a

for each fn (x) and for each choice of x, a ∈ I. Because fn (x) converges pointwise to f (x)
for all x ∈ I, the left-hand side converges to f (x) − f (a) as n → ∞. Also, fn0 → g
uniformly on I so by Theorem 4.2 we have that
Z x Z x
0
fn (t)dt → g(t)dt,
a a
and we then find that
Z x
f (x) − f (a) = g(t)dt.
a

Now, g(t) is continuous, so that, by the Fundamental Theorem of Calculus,

Z x
d
g(t)dt = g(x)
dx a
so that f (x) must be differentiable and f 0 (x) = g(x).
This result is very useful, as we shall see, in examining the differentiability of functional
series.

5 Applications to functional series.

Definition 5.1 A functional series is a series
∞
X
uk (x)
k=0

where each term of the series uk (x) is a function on an interval I.

9
 We can also define pointwise convergence for functional series:

Definition 5.2 The functional series

∞
X
uk (x)
k=0

is pointwise convergent for each x ∈ I if the limit

∞
X N
X
uk (x) = lim uk (x)
N →∞
k=0 k=0

exists for each x ∈ I.

Thus, we always define a sequence of partial sums SN (x) given as

N
X
SN (x) = uk (x)
k=0

so that

S0 (x) = u0 (x), S1 (x) = u0 (x) + u1 (x), S2 (x) = u0 (x) + u1 (x) + u2 (x), . . .

and if

lim SN (x)
N →∞

exists for x then we say that the series

∞
X
uk (x) = lim SN (x)
N →∞
k=0

converges at x. It converges pointwise on the interval I if

lim SN (x)
N →∞

exists for each x ∈ I.

With these definitions, we deduce from Theorem 4.1 that if the functions uk (x) are all
continuous on I and if the sequence of partial sums SN (x) converges uniformly to S(x)
on I, then S(x) is continuous. However, we would like an efficient way of deciding if a
functional series converges uniformly to a (unique) limit. It is not at all easy to apply
the definition of uniform convergence to an infinite sum of functions, so another method
is desirable. The appropriate result is Weierstrass’ Majorant Theorem:

Theorem 5.1 Suppose that the functional series

∞
X
uk (x)
k=0

10
is defined on an interval I and that there is a sequence of positive constants Mk so
that

|uk (x)| ≤ Mk , k = 0, 1, 2, . . .
for all x ∈ I. If
∞
X
Mk
k=0

converges, then
∞
X
uk (x)
k=0

converges uniformly on I.

Proof: If the conditions are fullfilled then we immediately have, from the Comparison
Theorems for Positive Series, that, for each x ∈ I, the series
∞
X
|uk (x)|
k=0

is convergent, so that
∞
X
uk (x)
k=0

is absolutely convergent, and therefore convergent. This means that

∞
X
uk (x)
k=0

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

converges uniformly to S(x) on I under the conditions of the theorem. We have

∞
X
S(x) − SN (x) = uk (x)
k=N +1

(all we do is subtract the first N terms from the series). Then it follows that
∞
X ∞
X
|S(x) − SN (x)| ≤ |uk (x)| ≤ Mk
k=N +1 k=N +1

for each x ∈ I, since |uk (x)| ≤ Mk for each x ∈ I according to our assumption. Then

11
 ∞
X
kS − SN kI ≤ Mk .
k=N +1
P∞ P∞
We also know (by assumption) that k=0 Mk converges, so we must have that k=N +1 Mk →
0 as N → ∞. Consequently,

kS − SN kI → 0 as N → ∞,
and our result is proved.

Corollary 5.1 If

(i) the functional series

∞
X
S(x) = uk (x) converges uniformly on interval I,
k=0

(ii) uk (x) is a continuous function on I for each k = 0, 1, 2, . . . ,

then S(x) is continuous on I.

Proof: Because a finite sum of continuous functions is again a continuous function, it

follows that the partial sums
N
X
SN (x) = uk (x)
k=0

are continuous functions for N = 0, 1, 2, . . . . Then by Theorem 4.1, we have that S(x) =
limN →∞ SN (x) is a continuous function.

Example 5.1 Take the functional series

∞
X sin kx
.
k=1
k2
We have
 
 sin kx  | sin kx| 1
|uk (x)| =  2  = 2
≤ 2
k k k
since | sin t| ≤ 1 for all real t. We know (standard positive series) that
∞
X 1
1
k2
1/k α converge for α > 1 and diverge for α ≤ 1). Hence,
P
converges (series of the form
by Weierstrass’ Majorant Theorem,

12
 ∞
X sin kx
k=1
k2
converges uniformly for all x, and by Corollary 5.1 this series is a continuous function of
x for all x ∈ R.

Remark 5.1 One advantage of Weierstrass’ Majorant Theorem is that we do not have
to calculate the value of the series at each x ∈ I in order to decide if we have uniform
convergence. However, a drawback is that the conditions of the theorem are only suffi-
cient to establish uniform convergence, they are not absolutely necessary for uniform
convergence. In the final section of these lecture notes we give a necessary and sufficient
condition for uniform convergence.

Remark 5.2 In our statement of Weierstrass’ Majorant Theorem, we have not said any-
thing about how to find the constants Mk . Usually we take

Mk = sup |uk (x)|,

x∈I
P
but this is not strictly necessary: any sequence (of constants) will do provided that Mk
converges.

Another result of interest is the following:

Theorem 5.2 If

(i) the functional series

∞
X
uk (x) converges uniformly on the interval I
k=0

(ii) uk (x) is continuous on I for each k = 0, 1, 2, . . . ,

then
∞
! ∞ Z
Z x X X x 
uk (t) dt = uk (t)dt
a k=0 k=0 a

for all a, x ∈ I. In other words, if the series of continuous functions converges uniformly
on I, then the integral of the sum is the sum of the integrals of the functions, just as in
the case of a finite sum.
P∞ PN
Proof: Put S(t) = k=0 uk (t) and SN (t) = k=0 uk (t), then we have SN → S uniformly
on I so that
Z x Z x Z x
lim SN (t)dt = lim SN (t)dt = S(t)dt,
N →∞ a a N →∞ a

according to Theorem 4.2. Note that since SN (t) is a finite sum of functions, we see that

13
 N
!
Z x Z x X
SN (t)dt = uk (t) dt
a a k=0
N Z
X x 
= uk (t)dt ,
k=0 a

and we then find that

∞
! ∞ Z
Z x X X x 
uk (t) dt = uk (t)dt .
a k=0 k=0 a

P
We can also say something about the differentiability of the series uk (x), using
Theorem 4.3 In this case, as in the previous two theorems, we replace fn (x) by SN (t) and
f (x) by S(t). Thus, we want the following:

• SN (x) → S(x) pointwise on I

0
• SN (x) → G(x) uniformly on I

• SN (x) is continuously differentiable for each N

and then we may conclude that S(x) is continuously differentiable with S 0 (x) = G(x). All
we need is to formulate these requirements and result as follows:
∞
X
Theorem 5.3 Suppose that uk (x) satisfies the following conditions:
k=0

∞
X
• uk (x) converges pointwise on I
k=0

∞
X
• u0k (x) converges uniformly on I
k=0

• uk (x) is continuously differentiable for each k

∞
X
Then uk (x) is continuously differentiable and
k=0
∞
! ∞
d X X
uk (x) = u0k (x).
dx k=0 k=0

14
 0
Proof: We have that each SN (x) is continuous on I and

SN (x) −→ S(x) pointwise on I

0
SN −→ G uniformly on I.

Then by Theorem 4.3, S(x) is differentiable and S 0 (x) = G(x) on I. In other words:
∞
! ∞
d X X
uk (x) = u0k (x)
dx k=0 k=0

6 Integrals dependent on a parameter.

We shall come across integrals of the form
Z ∞ Z ∞
f (x, y)dy and f (x, y)dy,
0 −∞

examples of which are the (one-sided) Laplace transform of f :

Z ∞
F (s) = f (t)e−st dt,
0
and the Fourier transform of f :
Z ∞
1
F (ω) = f (t)e−iωt dt.
2π −∞

These are called integrals depending on a parameter.

If we have
Z ∞
F (x) = f (x, y)dy,
0
we would like to have
Z ∞
0
F (x) = fx (x, y)dy,
0
whenever f (x, y) satisfies suitable conditions. This situation is analogous to the case for
functional series (where we replace f (x, y) by un (x) and integration over y is replaced by
summation over n). With this in mind, we introduce the concept of uniform conver-
gence of integrals.

Definition 6.1 We say that the integral

Z ∞
F (x) = f (x, y)dy
a
converges uniformly on I if:

15
 Z ∞
(i) F (x) = f (x, y)dy converges pointwise for each x ∈ I;
a

(ii) the family of functions FR defined as

Z R
FR (x) = f (x, y)dy
a
converges uniformly to F on I. That is, if

kFR − F kI −→ 0 as R → ∞.

A test for uniform convergence of integrals is an analogy of the Weierstrass test for
functional series:

Theorem 6.1 (M-test) Suppose

(i) f (x, y) is continuous on I × [a, ∞[

(ii) |f (x, y)| ≤ M (y) for all x ∈ I and y ∈ [a, ∞[

Z ∞
(iii) M (y)dy converges.
a

Then
Z ∞
F (x) = f (x, y)dy
a
converges uniformly on I.

Proof: We have
Z ∞
FR (x) − F (x) = f (x, y)dy
R
from which we obtain

Z ∞
|FR (x) − F (x)| ≤ |f (x, y)|dy
ZR∞
≤ M (y)dy,
R

by assumption. Consequently,
Z ∞
kFR − F kI ≤ M (y)dy → 0 as R → ∞,
R
because

16
 Z ∞
M (y)dy converges
a
implies that
Z ∞
M (y)dy −→ 0 as R → ∞.
R
Thus, FR −→ F uniformly on I.
Now we come to proving that if FR → F uniformly on an interval I, then F is
continuous if each FR is continuous. here, the problem is to show that FR (x) is continuous.
We have the following result:
Lemma 6.1 For each finite R > 0 we have
Z R
FR (x) = f (x, y)dy
a
is a continuous function on [c, d] if f (x, y) is continuous on [c, d] × [a, R].

The proof of this result is given in the appendix. From this result, it follows that if
f (x, y) is continuous on I ×[a, ∞[ then FR (x) is continuous at every x ∈ I for every choice
of R > a: choosing x0 ∈ I we can find an bounded, closed interval [c, d] so that x0 ∈ [c, d].
With these remarks we have:
Theorem 6.2 If
(i) f (x, y) is continuous on I × [a, ∞[
Z ∞
(ii) F (x) = f (x, y)dy converges uniformly on I
a

Then F (x) is continuous.

Proof: From Lemma 6.1 we know that each

Z R
FR (x) = f (x, y)dy
a
is continuous at each x ∈ I for each R > 0. Since FR → F uniformly, it follows from
Theorem 4.1 that F is continuous at each x ∈ I. This proves the result.
We now come to a very useful result on the integration of integrals with parameters:
Theorem 6.3 (i) f (x, y) is continuous on I × [a, ∞[
Z ∞
(ii) F (x) = f (x, y)dy converges uniformly on I
a
Then for any bounded, closed interval [b, c] ⊂ I we have
Z c Z ∞  Z ∞ Z c 
f (x, y)dy dx = f (x, y)dx dy.
b a a b

17
Proof: Note that since
Z R
FR (x) = f (x, y)dy
a
is continuous for each R > 0, by Lemma 6.1, we have
Z c Z R Z c 
FR (x)dx = f (x, y)dx dy.
b a b

(This result is known as Fubini’s Theorem). Then we have, by uniform convergence of

FR → F (Theorem 4.2) that
Z c Z c
lim FR (x)dx = F (x)dx,
R→∞ b b
from which we immediately have
Z c Z ∞  Z ∞ Z c 
f (x, y)dy dx = f (x, y)dx dy.
b a a b

Finally, we come to our theorem on differentiating under the integral:

Theorem 6.4 (i) f (x, y) and fx (x, y) be continuous on I × [a, ∞[

Z ∞
(ii) F (x) = f (x, y)dy converges pointwise on I
a
Z ∞
(iii) G(x) = fx (x, y)dy converges uniformly on I
a
Then
Z ∞
0
F (x) = fx (x, y)dy.
a

Z ∞
Proof: Since G(x) = fx (x, y)dy converges uniformly on I, and fx (x, y) is continuous
a
on I × [a, ∞[, G(x) is a continuous function on I, by Theorem 6.2. Then for any b, x ∈ I
we have

Z x Z x Z ∞ 
G(t)dt = ft (t, y)dy dt
b b a
Z ∞ Z x 
= ft (t, y)dt dy by Theorem 6.3
a b
Z ∞
= [f (x, y) − f (b, y)]dy
a
= F (x) − F (b).

Now, G(t) is continuous, so that

18
 Z x
d
G(t)dt = G(x),
dx b
and from this it follows that F (x) is differentiable and
Z ∞
0
F (x) = G(x) = fx (x, y)dy,
a
and the theorem is proved.
We now turn to two examples. First we look at the one-sided Laplace transform
Z ∞
F (s) = f (t)e−st dt.
0
If f (t) satisfies the condition that |f (t)| ≤ Aeat for some constants A > 0, a (we then
say that f (t) is of exponential order) and that f (t) is continuous for t > 0, then F (s)
converges uniformly for all s > a, since we then have |f (t)e−st | ≤ Ae−(s−a)t and then,
according to the Theorem 6.1, F (s) converges uniformly for s > a. Note that tn for any
n ∈ N is of exponential order since we have tn e−t → 0 as t → ∞, so that for t ≥ 0 there
is for a given n ∈ N a constant A > 0 with |tn e−t | ≤ A so that |tn | ≤ Aet . Hence it
follows that tn f (t) is of exponential order if f (t) is. Then it follows that if F (s) converges
uniformly for s > a, we have by Theorem 6.4 that F (s) is differentiable and
Z ∞
0
F (s) = (−t)f (t)e−st dt.
0

The second application is to integrals of the form

Z ∞
F (ω) = f (t)e−iωt dt.
−∞
Here we define

F (ω) = lim FR (ω),

R→∞
with
Z R
FR (ω) = f (t)e−iωt dt
−R
for each R > 0. To ensure convergence we require that f (t) satisfy the condition that
Z ∞ Z R
|f (t)|dt = lim |f (t)|dt
−∞ R→∞ −R
exist. The set of such f (t) is denoted by L (R, dt). Then it follows that, if f ∈ L1 (R, dt) is
1

continuous, we have that F (ω) converges uniformly by Theorem 6.1, and then by Theorem
6.2 we have that F (ω) is continuous as a function of ω. If we have f (t) continuous with
f (t) ∈ L1 (R, dt) and tf (t) ∈ L1 (R, dt) we then find that F (ω) is differentiable and that
Z ∞
0
F (ω) = (−it)f (t)e−iωt dt.
−∞

19
7 APPENDIX.

7.1 Supremum and Infimum: a recapitulation.

Definition 7.1 Let A ⊂ R. Then the supremum of A, denoted by sup A, is defined as
the smallest number a ∈ R with the property that x ≤ a for all x ∈ A. In mathematical
shorthand we have

sup A = min{a ∈ R : x ≤ a for all x ∈ A}.

Similarly, the infimum of A, denoted by inf A, is defined as the largest number
b ∈ R with the property that x ≥ b for all x ∈ A. In mathematical shorthand we have

inf A = max{b ∈ R : x ≥ b for all x ∈ A}.

Remark 7.1 Note that in these definitions neither the supremum nor the infimum need
belong to the set A.

Example 7.1

(i) A = [−1, 3]. Here we have sup A = 3, inf A = −1, and both these belong to A.

(ii) A =] − 1, 3]. Here sup A = 3, inf A = −1, but only inf A belongs to A.

(iii) A =] − 1, 3[. Here sup A = 3, inf A = −1, and both are not in A.

(iv) A = [−1, ∞[. Here inf A = −1 whereas sup A does not exist.

Definition 7.2 Let f : R → R be a function. Then the supremum of f (x) over A is

defined as the smallest number a ∈ R with the property that f (x) ≤ a for all x ∈ A.
In mathematical shorthand we have

sup f (x) = min{a ∈ R : f (x) ≤ a for all x ∈ A}.

x∈A

Similarly, the infimum of f (x) over A is defined as the largest number b ∈ R

with the property that f (x) ≥ b for all x ∈ A. In mathematical shorthand we have

inf = max{b ∈ R : f (x) ≥ b for all x ∈ A}.

x∈A

Example 7.2 (i) f (x) = x3 , A = [−1, 3] Then, since f (x) is a strictly increasing
function, we have

sup f (x) = 27, inf f (x) = −1.

x∈A x∈A

20
 (ii) f (x) = x2 , A = [−1, 3] Then note that f (x) = x2 is not strictly increasing on this
interval: it is decreasing on [−1, 0] and then strictly increasing on [0, 3]. So we have

sup f (x) = 1, inf f (x) = 0

x∈[−1,0] x∈[−1,0]

and

sup f (x) = 9, inf f (x) = 0.

x∈[0,3] x∈[0,3]

Combining these two observations, we find that

sup f (x) = 9, inf = 0.

x∈[−1,3] x∈[−1,3]

(iii) f (x) = arctan x, A = R. Here we have a strictly increasing function, and we have

π π
sup f (x) = , inf f (x) = − .
x∈R 2 x∈R 2

It is tempting to take the largest value of a function on an interval as the supremum,

and the least value for the infimum. The last example shows that the neither the supre-
mum nor the infimum need be attainable values of a function. However, we have the
following simple but useful result:

Lemma 7.1 Suppose that f (x) is a real-valued continuous function on the closed,
bounded interval [a, b]. Then

sup f (x) = max{f (x) : x ∈ [a, b]}, inf f (x) = min{f (x) : x ∈ [a, b]}.
x∈[a,b] x∈[a,b]

That is, the supremum of a continuous function over a closed, bounded interval is equal
to its largest value over that interval, and the infimum is the least value of the function
over the interval.

Proof: Since f (x) is continuous and the interval is closed, then f (x) has a largest value
and a least value on the interval: there exist x1 , x2 ∈ [a, b] so that f (x1 ) ≤ f (x) ≤ f (x2 )
for all x ∈ [a, b], and we now see that

sup f (x) = f (x2 ), inf f (x) = f (x1 ),

x∈[a,b] x∈[a,b]

and the result is proved.

21
7.2 Proof of Lemma 6.1
We sketch the proof and refer to any good book on analysis for further details.
Our task is to prove that for each x ∈ [c, d] we have

FR (x + h) −→ FR (x) as h → 0.
Then we have
Z R
|FR (x + h) − FR (x)| ≤ |f (x + h, y) − f (x, y)|dy.
a

Now if f is continuous on [c, d] × [a, R] it can be shown that for any  > 0 there is a δ > 0
so that

|f (x0 , y0 ) − f (x1 , y1 )| < 

p
whenever (x0 − x1 )2 + (y0 − y1 )2 < δ. That is, whenever the distance between the
points (x0 , y0 ) and (x1 , y1 ) is less than δ. This is called uniform continuity. Using this
fact, we choose  > 0 (arbitrarily small) and then for each given R we find a δ > 0 so that

|f (x + h, y) − f (x, y)| <
R−a
whenever |h| < δ. From this it follows that

|FR (x + h) − FR (x)| <  whenever |h| < δ.

Note that we have  > 0 arbitrarily small, and for each such choice there is a corresponding
δ. From this it follows that

|FR (x + h) − FR (x)| −→ 0 as h → 0.
Hence FR (x) is continuous on [c, d], for each choice of R > 0.

7.3 Cauchy’s condition for uniform convergence of series

In this section we record, without proof, a result which is of some interest: Cauchy’s cri-
terion for uniform convergence of functional series, and we make some comments
on some aspects of uniform convergence.

Theorem 7.1 Suppose that {uk (x)} is a sequence of continuous functions defined on an
interval I. Then the series
∞
X
uk (x)
k=0

is uniformly convergent on I if and only if for each choice of  > 0, however small, there
exists a (corresponding) integer N > 0 so that

|uk+1 (x) + uk+2 (x) + · · · + um (x)| < 

22
for all m > k ≥ N and for all x ∈ I. In particular, we then have, on putting m = k + 1,

|uk+1 (x)| < 

for all k ≥ N and all x ∈ I.

The proof of this result requires more mathematical machinery than we have at hand,
and can be found in any good textbook on Mathematical Analysis.
As an illustration of the usefulness of this result we look at the series expansion of ex .
We have
∞
x x2 xn X xk
e =1+x+ + ··· + + ··· = .
2! n! k=0
k!
This expansion is true for each x ∈ R, so we have pointwise convergence of the series.
However, we do not have uniform convergence on R. To see this, we apply the last
comment in the theorem: we need to find, for a given  > 0, an N > 0 so that for all
x ∈ R we have

|x|k+1
|uk+1 (x)| = <
k!
whenever k ≥ N . However, if we choose any k we may choose x so that

|x|k+1
k!
is as large as we like, contradicting the requirement for uniform convergence. Hence
we do not have uniform convergence on the whole of R. However, if we only consider
x ∈ [−a, a] for some a > 0 then we can prove uniform convergence of the series on this
closed, bounded interval. This can be done using Weierstrass’ Majorant Theorem.
This phenomenon occurs often, and then we say that the series converges uniformly
on closed, bounded intervals or converges on compact sets. Another example of
this phenomenon occurs in power series (which are the first kind of functional series
taught in elementary calculus courses). For instance, for the geometric series
∞
X
xk
k=0

we have absolute convergence for |x| < 1 and divergence for |x| ≥ 1. For |x| < 1 we have
∞
X 1
xk = = S(x).
k=0
1−x
The corresponding partial sums are
N
X 1 − xN +1
k
SN (x) = x = .
k=0
1−x

23
The sequence SN (x) does not converge uniformly to S(x) on the interval ] − 1, 1[ : we
have

|x|N +1
|SN (x) − S(x)| =
1−x
and as x → 1− we see that |x|N +1 → 1 and 1/(1 − x) → ∞, so that we may make
|SN (x) − S(x)| as large as we like, and it then follows that kSN − Sk does not exist, so
it is impossible for kSN − Sk → 0 as N → ∞. However, if we consider the series on the
closed, bounded interval [−a, a] with a fixed 0 < a < 1, we have

aN +1
|SN (x) − S(x)| ≤
1−a
for all x ∈ [−a, a], and therefore

aN +1
kSN − Sk = sup |SN (x) − S(x)| ≤ → 0 as N → ∞,
x∈[−a,a] 1−a
because 0 < a < 1 gives aN +1 → ∞ when N → ∞. So we have uniform convergence of
the series on compact subsets of ] − 1, 1[.

24