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I am trying to solve Rudin 8.11:

Suppose $f$ is Riemann-integrable on $[0,A]$ for all $A<\infty$, and $f(x) \rightarrow 1$ as $x \rightarrow \infty$. Prove that $$\lim_{t \rightarrow 0} \;\int_{0}^{\infty}t e^{-tx} f(x) dx =1.$$

This is easy if one assumes $f$ is differentiable (it is a special case of the Final Value Theorem for Laplace transforms), but I'm apparently not even allowed to assume continuity here. Anyone have any ideas?

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    $\begingroup$ The formula is not true for $f$ constant equal to $1$. In this case, the integral is $\frac{1}{t}$ for every $t>0$. You might want to correct that. Multiply the lhs by $t$. $\endgroup$ – Julien Apr 10 '13 at 5:27
  • $\begingroup$ @copper.hat It is true with an extra $t$ on the left. $\endgroup$ – Julien Apr 10 '13 at 5:28
  • $\begingroup$ ah yes that was a typo $\endgroup$ – mikefallopian Apr 10 '13 at 5:35
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Assuming you left out the $t$, split the interval $[0,\infty)$ into $[0,A]$ and $[A,\infty)$ and choose $A$ so that $|f(x)-1|<\epsilon$ for all $x>A$. Write the integral as the sum of integrals over either interval. On the first interval, you can use dominated convergence theorem and the fact that $f$ is integrable on $[0,A]$. On the infinite interval, use the fact that $f$ is close to 1.

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    $\begingroup$ +1. On the first interval, the boundedness of $f$ is enough. $\endgroup$ – Did Apr 10 '13 at 5:31
  • $\begingroup$ this is great! thanks $\endgroup$ – mikefallopian Apr 10 '13 at 7:03

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