Compact Textbooks in Mathematics

Alessandro Fonda

The Kurzweil-
Henstock
Integral for
Undergraduates
A Promenade Along the Marvelous
Theory of Integration
Compact Textbooks in Mathematics
Compact Textbooks in Mathematics

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Alessandro Fonda

The
Kurzweil-Henstock
Integral for
Undergraduates
A Promenade Along the Marvelous
Theory of Integration
Alessandro Fonda
Dipartimento di Matematica e Geoscienze
Università degli Studi di Trieste
Trieste, Italy

ISSN 2296-4568 ISSN 2296-455X (electronic)

Compact Textbooks in Mathematics
ISBN 978-3-319-95320-5 ISBN 978-3-319-95321-2 (eBook)
https://doi.org/10.1007/978-3-319-95321-2

Library of Congress Control Number: 2018949935

Mathematics Subject Classification (2010): 26A39, 26A42, 26A63, 26A66, 26B15, 26B20, 28A75

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 v

The author with Jaroslav Kurzweil in September 2008

To Sofia, Marcello, and Elisa
 ix

Introduction

This book is the outcome of the beginners’ courses held over the past
few years for my undergraduate students. The aim was to provide them
with a general and sufficiently easy to grasp theory of the integral. The
integral in question is indeed more general than Lebesgue’s in RN , but its
construction is rather simple, since it makes use of Riemann sums which,
being geometrically viewable, are easily understandable.
This approach to the theory of the integral was developed independently
by Jaroslav Kurzweil and Ralph Henstock since 1957 (cf. [5, 8]). A number
of books are now available [1, 4, 6, 7, 9–13, 15–19, 21]. However, I feel that
most of these monographs are addressed to an expert reader, rather than to
a beginner student. This is why I wanted to maintain here the exposition
at a very didactical level, trying to avoid as much as possible unnecessary
technicalities.
The book is divided into three main chapters and five appendices, which
I now briefly describe, mainly as a guide for the lecturer.
The first chapter outlines the theory for functions of one real variable. I
have done my best to keep the explanation as simple as can be, following
as far as possible the lines of the theory of the Riemann integral. However,
there are some interesting peculiarities.
▬ The Fundamental Theorem of differential and integral calculus is very
general and natural: one only has to assume the given function to be
primitivable, i.e., to be the derivative of a differentiable function. The
proof is simple and clearly shows the link between differentiability and
integrability.
▬ The generalized integral, on a bounded but not compact interval, is
indeed a standard integral: in fact, Hake’s theorem shows that a function
having a generalized integral on such an interval can be extended to a
function which is integrable in the standard sense on the closure of its
domain.
▬ Integrable functions according to Lebesgue are those functions which are
integrable and whose absolute value is integrable, too.

In the second chapter, the theory is extended to real functions of several

real variables. No difficulties are encountered while considering functions
defined on rectangles. When the functions are defined on more general
domains, however, an obstacle arises concerning the property of additivity
on subdomains. It is then necessary to limit one’s attention to functions
which are integrable according to Lebesgue, after having introduced the
concept of measurable set. On the other hand, for the Fubini Reduction
Theorem there is no need to deal with Lebesgue integrable functions. It has a
rather technical but conceptually simple proof, which only makes use of the
x Introduction

Kurzweil–Henstock definition. In the Theorem on the Change of Variables

in the integral, once again complications may arise (see, e.g., [2]), so that I
again decided to limit the discussion only to functions which are integrable
according to Lebesgue. The same goes for functions which are defined on
unbounded sets. These difficulties are intrinsic, not only at an expository
level, and research on some of these issues is still being carried out.
The third chapter illustrates the theory of differential forms. The aim is
to prove the classical theorems carrying the name of Stokes, and Poincaré’s
theorem on exact differential forms. Dimension 3 has been considered
closely: indeed, the theorems by Stokes–Cartan and Poincaré are proved in
this chapter only in this case, and the reader is referred to Appendix B for
the general proof. Also, I opted to discuss only the theory for M-surfaces,
without generalizing and extending it to more complex geometrical objects
(see however Appendix C). In some parts of this chapter, the regularity
assumptions could be weakened, but I did not want to enter into a topic
touching a still ongoing research.
In Appendix A, the basic facts about differential calculus in RN are
reviewed.
In Appendix B, the theorems by Stokes–Cartan and Poincaré are proved.
The proofs are rather technical but do not present great conceptual difficul-
ties.
In Appendix C, one can find a brief introduction to the theory of
differentiable manifolds, with particular emphasis on the corresponding
version of the Stokes–Cartan theorem. I did not want to deal with this
argument extensively, and the proofs are only sketched. For a more complete
treatment, we refer to [20].
In Appendix D, one of the most surprising results of modern mathematics
is reported, the so-called Banach–Tarski paradox. It states that a three-
dimensional ball can be divided into a certain number of subsets which,
after some well-chosen rotations and translations, finally give two identical
copies of the starting ball. Why reporting on this in a book about integration?
Well, the Banach–Tarski paradox shows the existence of sets which are
not measurable (a rotation and a translation maintain the measure of a set,
provided this set is measurable!), and it does this in a very spectacular way.
Appendix E entails a short historical note on the evolution of the concept
of integral. This note is by no means complete. The aim is to give an idea of
the role played by the Riemann sums in the different stages of the history of
the integral.
Note A preliminary version of this book was published in Italian under the
title Lezioni sulla teoria dell’integrale. It has been revised here, extending
and improving most of the arguments.
 xi

Contents

1 Functions of One Real Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Alessandro Fonda
1.1 P-Partitions and Riemann Sums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 The Notion of δ-Fineness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Integrable Functions on a Compact Interval . . . . . . . . . . . . . . . . . . . . . . . . 6
1.4 Elementary Properties of the Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.5 The Fundamental Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.6 Primitivable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.7 Primitivation by Parts and by Substitution . . . . . . . . . . . . . . . . . . . . . . . . . . 18
1.8 The Cauchy Criterion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
1.9 Integrability on Sub-Intervals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.10 R-Integrable Functions and Continuous Functions . . . . . . . . . . . . . . . . . . 28
1.11 The Saks–Henstock Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
1.12 L-Integrable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
1.13 The Monotone Convergence Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
1.14 The Dominated Convergence Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
1.15 Integration on Non-Compact Intervals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
1.16 The Hake Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
1.17 Integrals and Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

2 Functions of Several Real Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

Alessandro Fonda
2.1 Integrability on Rectangles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
2.2 Integrability on a Bounded Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
2.3 The Measure of a Bounded Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
2.4 The Chebyshev Inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
2.5 Negligible Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
2.6 A Characterization of Bounded Measurable Sets . . . . . . . . . . . . . . . . . . . 75
2.7 Continuous Functions and L-Integrable Functions . . . . . . . . . . . . . . . . . . 79
2.8 Limits and Derivatives Under the Integration Sign . . . . . . . . . . . . . . . . . . 82
2.9 The Reduction Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
2.10 Change of Variables in the Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
2.11 Change of Measure by Diffeomorphisms . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
2.12 The General Theorem on the Change of Variables . . . . . . . . . . . . . . . . . . 104
2.13 Some Useful Transformations in R2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
2.14 Cylindrical and Spherical Coordinates in R3 . . . . . . . . . . . . . . . . . . . . . . . . 110
2.15 The Integral on Unbounded Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

3 Differential Forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125

Alessandro Fonda
3.1 The Vector Spaces M (RN ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
3.2 Differential Forms in RN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
xii Contents

3.3 External Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128

3.4 External Differential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
3.5 Differential Forms in R3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
3.6 M-Surfaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
3.7 The Integral of a Differential Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
3.8 Scalar Functions and M-Superficial Measure . . . . . . . . . . . . . . . . . . . . . . . . 146
3.9 The Oriented Boundary of a Rectangle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
3.10 The Gauss Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
3.11 Oriented Boundary of a M-Surface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
3.12 The Stokes–Cartan Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
3.13 Analogous Results in R2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
3.14 Exact Differential Forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167

A Differential Calculus in RN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175

Alessandro Fonda
A.1 The Differential of a Scalar-Valued Function . . . . . . . . . . . . . . . . . . . . . . . . 176
A.2 Twice Differentiable Scalar-Valued Functions . . . . . . . . . . . . . . . . . . . . . . . 178
A.3 The Differential of a Vector-Valued Function . . . . . . . . . . . . . . . . . . . . . . . . 180
A.4 Some Computational Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182
A.5 The Implicit Function Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
A.6 Local Diffeomorphisms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190

B Stokes–Cartan and Poincaré Theorems . . . . . . . . . . . . . . . . . . . . . . . . 193

Alessandro Fonda

C On Differentiable Manifolds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 201

Alessandro Fonda

D The Banach–Tarski Paradox . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 207

Alessandro Fonda

E A Brief Historical Note .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213

Alessandro Fonda

Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
 1 1

Functions of One Real Variable

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2_1

Along this chapter, we denote by I a compact interval of the real line R, i.e., an interval
of the type [a, b].

1.1 P-Partitions and Riemann Sums

Let us start by introducing the notion of P-partition of the interval I.

Definition 1.1
A P-partition of the interval I = [a, b] is a set

 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xm , [am−1 , am ])} ,

whose elements appear as couples (xj , [aj −1 , aj ]), where [aj −1 , aj ] is a subset of
I and xj is a point in it. Precisely, we have

a = a0 < a1 < · · · < am−1 < am = b ,

and, for every j = 1, . . . , m,

xj ∈ [aj −1 , aj ] .
 2 Chapter 1 • Functions of One Real Variable
1
Example Consider the interval [0, 1]. As examples of P-partitions of I we have the
following sets:
 
1
= , [0, 1]
6
     
1 1 1
= 0, 0, , , ,1
3 2 3
        
1 1 1 1 2 2 2
= , 0, , , , , , ,1
3 3 3 3 3 3 3
           
1 1 3 1 1 5 1 3 7 3
= , 0, , , , , , , , , ,1 .
8 4 8 4 2 8 2 4 8 4

We consider now a function f , defined on the interval I , having real values. To each
P-partition of the interval I we can associate a real number, in the following way.

Definition 1.2
Let f : I → R be a function and

 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xm , [am−1 , am ])}

a P-partition of I. We call Riemann sum associated to I, f and  the real number

S(I, f, ) defined by


m
S(I, f, ) = f (xj )(aj − aj −1 ) .
j =1

In order to better understand this definition, assume for simplicity the function f to
be positive on I. Then, to each P-partition of I we associate the sum of the areas of the
rectangles having base [aj −1 , aj ] and height [0, f (xj )].

f (x )

a x 1 a 1 x2 a2 x3 a 3 x4 b x
1.2 · The Notion of δ-Fineness
3 1
If f is not positive on I, the areas will be considered with positive or negative sign
depending on whether f (xj ) be positive or negative, respectively. If f (xj ) = 0, the j -th
term of the sum will obviously be zero.

Example Let I = [0, 1], f (x) = 4x 2 − 1, and

        
1 1 1 1 3 7 3
= , 0, , , , , , ,1 .
8 4 2 4 4 8 4

Then,

15 1 1 33 1 9
S(I, f, ) = − · +0· + · = .
16 4 2 16 4 32

Now we ask whether, taking the P-partitions finer and finer, the Riemann sums
associated to them will converge to some value. When this happens for a positive
function f, such a value can be visualized as the area of the region in the Cartesian
plane which is confined between the graph of f and the horizontal axis. To be able to
analyze this question, we need to specify what we mean for a P-partition to be “fine”.

1.2 The Notion of δ-Fineness

Let us introduce the notion of “fineness” for the P-partition  previously defined. For
brevity, we call gauge on I every function δ : I → R such that δ(x) > 0 for every
x ∈ I. Such a function will be useful for having a control on the amplitude of the
various intervals determined by the points of the P-partition.

Definition 1.3
Given a gauge δ on I, we say that the P-partition  introduced above is δ-fine if,
for every j = 1, . . . , m,

xj − aj −1 ≤ δ(xj ) , and aj − xj ≤ δ(xj ) .

Equivalently, we may write

[aj −1 , aj ] ⊆ [xj − δ(xj ), xj + δ(xj )] ,

or else

xj − δ(xj ) ≤ aj −1 ≤ xj ≤ aj ≤ xj + δ(xj ) .

We will show now that it is always possible to find a δ-fine P-partition of the interval
I, whatever the gauge δ. In the following theorem, due to P. Cousin, the compactness of
the interval I plays an essential role.
 4 Chapter 1 • Functions of One Real Variable
1

Theorem 1.4
Given a compact interval I, for every gauge δ on I there is a δ-fine P-partition of I.

Proof
We proceed by contradiction. Assume there exists a gauge δ on I for which it is impossible to
find any δ-fine P-partition of I. Let us divide the interval I in two equal sub-intervals, having
the mid point of I as common extremum. Then, at least one of the two sub-intervals does not
have any δ-fine P-partition. Let us choose it, and divide it again in two equal sub-intervals.
Continuing this way, we construct a sequence (In )n of bottled sub-intervals, whose lengths
tend to zero, each of which does not have any δ-fine P-partitions. By the Cantor Theorem
there is a point c ∈ I belonging to all of these intervals. Moreover, it is clear that, from a
certain n thereof, every In will be contained in [c − δ(c), c + δ(c)]. Choose one of these,
e.g. In̄ . Then the set  = {(c, In̄ )}, whose only element is the couple (c, In̄ ), is a δ-fine
P-partition of In̄ , in contradiction with the above. 


Examples Let us see, as examples, some δ-fine P-partitions of the interval [0, 1]. We start
with a constant gauge: δ(x) = 15 . Since the previous theorem does not give any information
on how to find a δ-fine P-partition, we will proceed by guessing. As a first guess, we choose
the aj equally distant and the xj as the middle points of the intervals [aj −1 , aj ]. Hence:

j 2j − 1
aj = , xj = (j = 1, . . . , m) .
m 2m
For the corresponding P-partition to be δ-fine, it has to be

1 1 1 1
xj − aj −1 = ≤ , aj − xj = ≤ .
2m 5 2m 5

These inequalities are satisfied choosing m ≥ 3. If m = 3, we have the δ-fine P-partition

        
1 1 1 1 2 5 2
, 0, , , , , , ,1 .
6 3 2 3 3 6 3

If, instead of taking the points xj in the middle of the respective intervals, we would like
−1
to choose them, for example, at the left extremum, i.e. xj = j m , in order to have a δ-fine
P-partition we should ask that

1 1 1
xj − aj −1 = 0 ≤ , aj − xj = ≤ .
5 m 5

These inequalities are verified if m ≥ 5. For instance, if m = 5, we have the δ-fine P-partition
              
1 1 1 2 2 2 3 3 3 4 4 4
0, 0, , , , , , , , , , , , ,1 .
5 5 5 5 5 5 5 5 5 5 5 5
1.2 · The Notion of δ-Fineness
5 1
Notice that, with such a choice of the aj , if m ≥ 5, the points xj can actually be taken
arbitrarily in the respective intervals [aj −1 , aj ], still obtaining δ-fine P-partitions.
The previous example shows how it is possible to construct δ-fine P-partitions in the case
of a gauge δ which is constant with value 15 . It is clear that a similar procedure can be used for
a constant gauge with arbitrary value. Consider now the case when δ is a continuous function.
Then, the Weierstrass Theorem says that there is for δ(x) a minimum positive value: let it be
δ̄. Consider then the constant gauge with value δ̄, and construct a δ̄-fine P-partition with the
procedure we have seen above. Clearly, such a P-partition has to be δ-fine, as well. We have
thus seen how the case of a continuous gauge can be reduced to that of a constant gauge.
Consider now the following non-continuous gauge:
⎧
⎪ 1
⎨ if x = 0 ,
δ(x) = 2x
⎪
⎩ if x ∈ ]0, 1] .
2

As before, we proceed by guessing. Let us try, as above, taking the aj equally distant and the
xj as the middle points of the intervals [aj −1 , aj ]. This time, however, we are going to fail;
indeed, we should have
x1
x1 = x1 − a0 ≤ δ(x1 ) = ,
2

which is clearly impossible if x1 > 0. The only way to solve this problem is to choose
x1 = 0. We decide then, for instance, to take the xj to coincide with aj −1 , as was also done
above. We thus find a δ-fine P-partition:
        
1 1 1 3 3 3
0, 0, , , , , , ,1 .
2 2 2 4 4 4

Notice that a more economic choice could have been

     
1 1
0, 0, , 1, , 1 .
2 2

The choice x1 = 0 is however unavoidable.

Consider now the following gauge: once fixed a point c ∈ ]0, 1[ ,
⎧ c−x
⎪
⎪ if x ∈ [0, c[ ,
⎪
⎪
⎪
⎨ 2
1
δ(x) = if x = c ,
⎪
⎪ 5
⎪
⎪
⎩ x −c
⎪
if x ∈ ]c, 1] .
2
 6 Chapter 1 • Functions of One Real Variable
1
Similar considerations to those made in the previous case lead to the conclusion that, in order
to have a δ-fine P-partition, it is necessary that one of the xj be chosen as to be the point c.
For example, if c = 12 , a possible choice is the following:
              
1 1 1 3 1 3 5 3 5 3 3
0, 0, , , , , , , , , , , 1, , 1 .
4 4 4 8 2 8 8 4 8 4 4

1.3 Integrable Functions on a Compact Interval

Consider a function f , defined on the interval I = [a, b]. We are now in the position to
define what we mean by convergence of the Riemann sum when the P-partitions become
“finer and finer”.1

Definition 1.5
A function f : I → R is said to be integrable if there is a real number A with the
following property: given ε > 0, it is possible to find a gauge δ on I such that, for
every δ-fine P-partition  of I, it is

|S(I, f, ) − A| ≤ ε .

We will also say that f is integrable on I .

Let us prove that there is at most one A ∈ R which verifies the conditions of the
definition. If there were a second one, say A , we would have that, for every ε > 0 there
would be two gauges δ and δ on I associated respectively to A and A by the definition.
Define the gauge

δ (x) = min{δ(x), δ (x)} .

Once a δ -fine P-partition  of I is chosen, we have that  is both δ-fine and δ -fine,
hence

|A − A | ≤ |A − S(I, f, )| + |S(I, f, ) − A | ≤ 2ε .

Since this holds for every ε > 0, it necessarily has to be A = A .

If f : I → R is an integrable function, the only element A ∈ R verifying the
conditions of the definition is called the integral of f on I and is denoted by one of the
following symbols:
b b
f, f, f (x) dx , f (x) dx .
I a I a

1 The following definition is due to J. Kurzweil and R. Henstock: see Appendix E for a historical overview.
1.3 · Integrable Functions on a Compact Interval
7 1
The presence of the letter x in the notation introduced here has no independent
importance. It could be replaced by any other letter t, u, α, . . . , or by any other symbol,
unless already used with another meaning. For reasons to be explained later on, we set,
moreover,
a b a
f =− f, and f = 0.
b a a

Examples Consider the function f : [a, b] → R, with 0 ≤ a < b, defined by f (x) = x n ,

where n is a natural number. In case n = 0, we have a constant function of value 1. In that
case, the Riemann sums are all equal to b − a, and one easily verifies that the function is
integrable and
b
1 = b−a.
a

If n = 1, given a P-partition  of [a, b], the Riemann sum associated is


m
S(I, f, ) = xj (aj − aj −1 ) .
j =1

In order to find a candidate for the integral, let us consider a particular P-partition where the
xj are the middle points of the intervals [aj −1 , aj ]. In this particular case, we have


m 
m
aj −1 + aj 1 2
m
1
xj (aj − aj −1 ) = (aj − aj −1 ) = (aj − aj2−1 ) = (b2 − a 2 ).
2 2 2
j =1 j =1 j =1

We want to prove now that the function f (x) = x is integrable on [a, b] and that its integral
is really 12 (b2 − a 2 ). Fix ε > 0. Taken any P-partition , we have:
 
   m 
 1    m
a −1 + a 
S(I, f, ) − (b2 − a 2 ) =  xj (aj − aj −1 ) −
j j
(aj − aj −1 )
  
2 j =1 j =1
2 
m 
 
 aj −1 + aj 
≤ 
xj − 2  (aj − aj −1 )
j =1


m
aj − aj −1
≤ (aj − aj −1 ) .
2
j =1

ε
If we choose the gauge δ to be constant with value b−a , then, for every δ-fine P-partition 
we have:
 
   m
aj − aj −1 ε 
m
S(I, f, ) − 1 (b2 − a 2 ) ≤ 2δ = (aj − aj −1 ) = ε .
 2  2 b−a
j =1 j =1
 8 Chapter 1 • Functions of One Real Variable
1
The condition of the definition is thus verified with this choice of the gauge, and we have
proved that
b 1 2
x dx = (b − a 2 ) .
a 2

If n = 2, it is more difficult to find a candidate for the integral. It can be found by

choosing a particular P-partition where the xj are [ 13 (aj2−1 + aj −1 aj + aj2 )]1/2 ; indeed, in
this case, the Riemann sum is given by

 j −1 + aj −1 aj + aj
m a2 2
1 3
m
1
(aj − aj −1 ) = (aj − aj3−1 ) = (b3 − a 3 ) .
3 3 3
j =1 j =1

At this point, it is possible to proceed like in the case n = 1 to prove that the function
f (x) = x 2 is integrable on [a, b] and that its integral is 13 (b3 − a 3 ) : once fixed ε > 0,
choose the constant gauge δ = 2(b2ε−a 2 ) so that, for any δ-fine P-partition,

   
m 

 1   aj2−1 + aj −1 aj + aj2 
S(I, f, ) − (b − a ) ≤
3 3
xj −
2
 (aj − aj −1 )
 3   3 
j =1


m
≤ (aj2 − aj2−1 )2δ
j =1

ε 
m
= (aj2 − aj2−1 ) = ε .
b2 −a 2
j =1

We have thus proved that

b 1 3
x 2 dx = (b − a 3 ) .
a 3

In general, it is possible to prove in an analogous way that every function f (x) = x n is

integrable on [a, b], and
b 1
x n dx = (bn+1 − a n+1 ) .
a n+1

1.4 Elementary Properties of the Integral

Let f, g be two real functions defined on I = [a, b], and α ∈ R be a constant. It is easy
to verify that, for every P-partition  of I,

S(I, f + g, ) = S(I, f, ) + S(I, g, ) ,

1.4 · Elementary Properties of the Integral
9 1
and

S(I, αf, ) = αS(I, f, ) .

These linearity properties are inherited by the integral, as will be proved in the following
two propositions.

Proposition 1.6
If f and g are integrable on I, then f + g is integrable on I and one has

(f + g) = f+ g.
I I I

Proof
 
Set A1 = I f and A2 = I g. Being ε > 0 fixed, there are two gauges δ1 and δ2 on I such
that, for every P-partition  of I, if  is δ1 -fine, then

ε
|S(I, f, ) − A1 | ≤ ,
2

while if  is δ2 -fine, then

ε
|S(I, g, ) − A2 | ≤ .
2

Let us define the gauge δ on I as δ(x) = min{δ1 (x), δ2 (x)}. Let  be a δ-fine P-partition of
I. It is thus both δ1 -fine and δ2 -fine, and we have:

|S(I, f + g, ) − (A1 + A2 )| = |S(I, f, ) − A1 + S(I, g, ) − A2 |

≤ |S(I, f, ) − A1 | + |S(I, g, ) − A2 |
ε ε
≤ + = ε.
2 2

This completes the proof. 



Proposition 1.7
If f is integrable on I and α ∈ R, then αf is integrable on I and one has

(αf ) = α f.
I I
 10 Chapter 1 • Functions of One Real Variable
1
Proof

If α = 0, the result is obvious. If α
= 0, set A = I f and fix ε > 0. There is a gauge δ on I
such that
ε
|S(I, f, ) − A| ≤ ,
|α|

for every δ-fine P-partition  of I. Then, for every δ-fine P-partition  of I, we have

ε
|S(I, αf, ) − αA| = |αS(I, f, ) − αA| ≤ |α| = ε,
|α|

and the proof is thus completed. 



We have just proved that the set of integrable functions on [a, b] is a vector space
and that the integral is a linear function on it.

Example Every polynomial function is integrable on an interval [a, b]. If for instance
f (x) = 2x 2 − 3x + 7, we have
b b b b 2 3 3
f =2 x 2 dx − 3 x dx + 7 1 dx = (b − a 3 ) − (b2 − a 2 ) + 7(b − a) .
a a a a 3 2

We now study the behavior of the integral with respect to the order relation in R.

Proposition 1.8
If f is integrable on I and f (x) ≥ 0 for every x ∈ I, then

f ≥ 0.
I

Proof
Fix ε > 0. There is a gauge δ on I such that
 
 
S(I, f, ) − f  ≤ ε ,
 
I

for every δ-fine P-partition  of I. Hence,

f ≥ S(I, f, ) − ε ≥ −ε ,
I

being clearly S(I, f, ) ≥ 0. Since this is true for every ε > 0, it has to be I f ≥ 0, thus
proving the result. 

1.5 · The Fundamental Theorem
11 1

Corollary 1.9
If f and g are integrable on I and f (x) ≤ g(x) for every x ∈ I, then

f ≤ g.
I I

Proof
It is sufficient to apply the preceding proposition to the function g − f. 


Corollary 1.10
If f and |f | are integrable on I, then
 
 
 f  ≤ |f | .
 
I I

Proof
Applying the preceding corollary to the inequalities

−|f | ≤ f ≤ |f | ,

we have

− |f | ≤ f ≤ |f | ,
I I I

whence the conclusion. 



1.5 The Fundamental Theorem

The following theorem constitutes a link between the differential and the integral
calculus. It is called the Fundamental Theorem of differential an integral calculus.
More briefly, we will call it the Fundamental Theorem.

Theorem 1.11
Let F : [a, b] → R be a differentiable function, and let f be its derivative: F (x) =
f (x) for every x ∈ [a, b]. Then, f is integrable on [a, b], and
b
f = F (b) − F (a) .
a
 12 Chapter 1 • Functions of One Real Variable
1
Proof
Fix ε > 0. For any x ∈ I = [a, b], since F (x) = f (x), there is a δ(x) > 0 such that, for
every u ∈ I ∩ [x − δ(x), x + δ(x)], one has
ε
|F (u) − F (x) − f (x)(u − x)| ≤ |u − x| .
b−a
We thus have a gauge δ on I. Consider now a δ-fine P-partition of I ,

 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xm , [am−1 , am ])} .

Since, for every j = 1, . . . , m,

xj − δ(xj ) ≤ aj −1 ≤ xj ≤ aj ≤ xj + δ(xj ) ,

one has

|F (aj ) − F (aj −1 ) − f (xj )(aj − aj −1 )| =

= |F (aj ) − F (xj ) − f (xj )(aj − xj ) + [F (xj ) − F (aj −1 ) + f (xj )(aj −1 − xj )]|

≤ |F (aj ) − F (xj ) − f (xj )(aj − xj )| + |F (aj −1 ) − F (xj ) − f (xj )(aj −1 − xj )|

ε
≤ (|aj − xj | + |aj −1 − xj |)
b−a
ε
= (aj − xj + xj − aj −1 )
b−a
ε
= (aj − aj −1 ) .
b−a

We deduce that
  
 m

F (b) − F (a) − f (xj )(aj − aj −1 ) =

j =1
 m 
 
m


= [F (aj ) − F (aj −1 )] − f (xj )(aj − aj −1 )
j =1 j =1
 m 
 

= [F (aj ) − F (aj −1 ) − f (xj )(aj − aj −1 )]
j =1
m 
 
 
≤ F (aj ) − F (aj −1 ) − f (xj )(aj − aj −1 )
j =1


m
ε
≤ (aj − aj −1 ) = ε ,
b−a
j =1

and the theorem is proved. 


1.6 · Primitivable Functions
13 1
1.6 Primitivable Functions

We introduce the concept of primitive of a given function.

Definition 1.12
A function f : I → R is said to be primitivable if there is a differentiable function
F : I → R such that F (x) = f (x) for every x ∈ I. Such a function F is called a
primitive of f .

The Fundamental Theorem establishes that all primitivable functions defined on a

compact interval I = [a, b] are integrable, and that their integral is easily computable,
once a primitive is known. It can be reformulated as follows.

Theorem 1.13
Let f : [a, b] → R be primitivable and let F be a primitive. Then f is integrable on
[a, b], and
b
f = F (b) − F (a) .
a

It is sometimes useful to denote the difference F (b) − F (a) with the symbols

[F ]ba , [F (x)]x=b
x=a ,

or variants of these as, for instance, [F (x)]ba , when no ambiguities arise.

Example Consider the function f (x) = x n . It is easy to see that F (x) = 1

n+1 x
n+1 is a
primitive. The Fundamental Theorem tells us that
b  b
1 1
x n dx = x n+1 = (bn+1 − a n+1 ) ,
a n+1 a n+1

a result we already obtained in a direct way in the case 0 ≤ a < b.

The fact that the difference F (b) − F (a) does not depend from the chosen primitive
is explained by the following proposition.

Proposition 1.14
Let f : I → R be a primitivable function, and let F be one of its primitives. Then, a
function G : I → R is a primitive of f if and only if F − G is a constant function on
I.
 14 Chapter 1 • Functions of One Real Variable
1
Proof
If F − G is constant, then

G (x) = (F + (G − F )) (x) = F (x) + (G − F ) (x) = F (x) = f (x) ,

for every x ∈ I, and hence G is a primitive of f. On the other hand, if G is a primitive of f ,

we have

(F − G) (x) = F (x) − G (x) = f (x) − f (x) = 0 ,

for every x ∈ I. Consequently, F − G is constant on I. 



Notice that, if f : I → R is a primitivable function, it is also primitivable on every

sub-interval of I. In particular, it is integrable on every interval [a, x] ⊆ I, and therefore
it is possible to define a function
x
x → f,
a

which we call the indefinite integral of f . We denote this function by one of the
following symbols:
· ·
f, f (t) dt
a a

(notice that in this last notation it is convenient to use a different letter from x for the
variable of f ; for instance, we have chosen here the letter t). The Fundamental Theorem
tells us that, if F is a primitive of f, then, for every x ∈ [a, b],
x
f = F (x) − F (a) .
a
·
This fact yields, taking into account Proposition 1.14, that the function a f is itself a
primitive of f. We thus have the following

Corollary 1.15
·
Let f : [a, b] → R be a primitivable function. Then, the indefinite integral a f is
one of its primitives: it is a function defined on [a, b], differentiable and, for every
x ∈ [a, b], we have
 · 
f (x) = f (x) .
a

·
Notice that the choice of the point a in the definition of a f is by no way necessary.
·
One could take any point ω ∈ I and consider the function ω f. The conventions made
1.6 · Primitivable Functions
15 1
on the integral with exchanged extrema are such that the above stated theorem still holds.
Indeed, if F is a primitive of f, even if x < ω we have
x ω
f =− f = −(F (ω) − F (x)) = F (x) − F (ω) ,
ω x
·
so that ω f is still a primitive of f.
We will denote the set of all primitives of f with one of the following symbols:

f, f (x) dx .

Concerning the use of x, an observation analogous to the one made for the integral can
be made here, as well: it can be replaced by any other letter or symbol, with the due
precautions. When applying the theory to practical problems, however, if F denotes a
primitive of f, instead of correctly writing

f = {F + c : c ∈ R} ,

it is common to find improper expressions of the type

f (x) dx = F (x) + c ,

where c ∈ R stands for an arbitrary constant; we will adapt to this habit, too. Let us
make a list of primitives of some elementary functions:

ex dx = ex + c ,

sin x dx = − cos x + c ,

cos x dx = sin x + c ,

x α+1
x α dx = +c (α
= −1) ,
α+1

1
dx = ln |x| + c ,
x

1
dx = arctan x + c ,
1 + x2

1
√ dx = arcsin x + c .
1 − x2
 16 Chapter 1 • Functions of One Real Variable
1
Notice that the definition of primitivable function makes sense even in some cases where
f is not necessarily defined on a compact interval, and indeed the formulas above are
valid on the natural domains of the considered functions.

Example Using the Fundamental Theorem, we find:

π
sin x dx = [− cos x]π0 = − cos π + cos 0 = 2 .
0

Notice that the presence of the arbitrary constant c can sometimes lead to apparently
different results. For example, it is readily verified that one also has

1
√ dx = − arccos x + c .
1 − x2

This is explained by the fact that arcsin x = π2 − arccos x for every x ∈ [−1, 1], and
one should not think that here c refers to the same constant as the one appearing in the
last formula of the above list.
One should be careful with the notation introduced for the primitives, which looks
similar to that for the integral, even if the two concepts are completely different. Their
relation comes from the Fundamental Theorem: we have
·
f ∈ f,
ω

with any ω ∈ I, and

b  · b
f = f .
a ω a

One could be tempted to write

b  b
f = f (x) dx ;
a a

actually the left term is a real number, while the right term is something we have not even
b
defined (it could be the set whose only element is a f ). In the applications, however,
one often abuses of these notations.
From the known properties of derivatives, one can easily prove the following
proposition.

Proposition 1.16
Let f and g be two functions, primitivable on the interval I, and α ∈ R be arbitrary.
Let F and G be two primitives of f and g, respectively. Then

(Continued )
1.6 · Primitivable Functions
17 1

Proposition 1.16 (continued)

1. f + g is primitivable on I and F + G is one of its primitives; we will briefly write2

(f + g) = f+ g;

2. αf is primitivable on I and αF is one of its primitives; we will briefly write

(αf ) = α f.

As a consequence of this proposition we have that the set of primitivable functions

on I is a vector space.
We conclude this section exhibiting an interesting class of integrable functions
which are not primitivable. Let the function f : [a, b] → R be such that the set

E = {x ∈ [a, b] : f (x)
= 0}

is finite or countable (for instance, a function which is zero everywhere except at a

point, or the Dirichlet function, defined by f (x) = 1 if x is rational, and f (x) = 0 if x
is irrational). b
Let us prove that such a function is integrable, with a f = 0. Assume for
definiteness that E be infinite (the case when E is finite can be treated in an analogous
way). Being countable, we can write E = {en : n ∈ N}. Once ε > 0 has been fixed, we
construct a gauge δ on [a, b] in this way: if x
∈ E, we set δ(x) = 1; if instead for a
certain n it is x = en , we set
ε
δ(en ) = .
2n+3 |f (en )|

Let now  = {(x1 , [a0 , a1 ]), . . . , (xm , [am−1 , am ])} be a δ-fine P-partition of [a, b]. By
the way f is defined, the associated Riemann sum becomes

S([a, b], f, ) = f (xj )(aj − aj −1 ) .
{1≤j ≤m : xj ∈E}

2 Hereand in the following we use in an intuitive way the algebraic operations involving sets. To be precise, the
sum of two sets A and B is defined as

A + B = {a + b : a ∈ A, b ∈ B} .
 18 Chapter 1 • Functions of One Real Variable
1
Now, [aj −1 , aj ] ⊆ [xj − δ(xj ), xj + δ(xj )], so that aj − aj −1 ≤ 2δ(xj ), and if xj is in
E it is xj = en , for some n ∈ N. To any such en can however correspond one or two
points xj , so that we will have
   ∞
 ∞

  ε
 f (xj )(aj − aj −1 ) ≤ 2 |f (en )|2δ(en ) = 4 = ε.
 2 n+3
{1≤j ≤m : xj ∈E} n=0 n=0

b
This shows that f is integrable on [a, b] and that a f = 0.
Let us see now that, if E isnon-empty, then f is not primitivable on [a, b]. Indeed, if
·
it were, its indefinite integral a f should be one of its primitives. Proceeding as above,
x
one sees that, for every x ∈ [a, b], one has a f = 0. Then, being the derivative of a
constant function, f should be identically zero, which is false.

1.7 Primitivation by Parts and by Substitution

We introduce here two methods frequently used for determining the primitives of certain
functions. The first is known as the method of primitivation by parts.

Proposition 1.17
Let F, G : I → R be two differentiable functions, and let f, g be the respective
derivatives. One has that f G is primitivable on I if and only if such is F g, in which
case a primitive of f G is obtained subtracting from F G a primitive of F g; we will
briefly write:

f G = FG − Fg .

Proof
Being F and G differentiable, such is F G, as well, and we have

(F G) = f G + F g .

Being (F G) primitivable on I with primitive F G, the conclusion follows from Proposi-

tion 1.16. 


Example We would like to find a primitive of the function h(x) = xex . Define the following
functions: f (x) = ex , G(x) = x, and consequently F (x) = ex , g(x) = 1. Applying the
formula given by the above proposition, we have:

ex x dx = ex x − ex dx = xex − ex + c ,

where c stands, as usual, for an arbitrary constant.

1.7 · Primitivation by Parts and by Substitution
19 1
As an immediate consequence of Proposition 1.17, we have the rule of integration
by parts:

b b
f G = F (b)G(b) − F (a)G(a) − Fg .
a a

Examples Applying the formula directly to the function h(x) = xex of the previous
example, we obtain
1 1
ex x dx = e1 · 1 − e0 · 0 − ex dx = e − [ex ]10 = e − (e1 − e0 ) = 1 .
0 0

Notice that we could attain the same result using the Fundamental Theorem, having already
found that a primitive of h is given by H (x) = xex − ex :
1
ex x dx = H (1) − H (0) = (e − e) − (0 − 1) = 1 .
0

Let us see some more examples. Let h(x) = sin2 x. With the obvious choice of the
functions f and G, we find

sin2 x dx = − cos x sin x + cos2 x dx

= − cos x sin x + (1 − sin2 x) dx

= x − cos x sin x − sin2 x dx ,

from which we get

1
sin2 x dx = (x − cos x sin x) + c .
2

Consider now the case of the function h(x) = ln x, with x > 0. In order to apply the
formula of primitivation by parts, we choose the functions f (x) = 1, G(x) = ln x. In this
way, we find

1
ln x dx = x ln x − x dx = x ln x − 1 dx = x ln x − x + c .
x

The second method we want to study is known as the method of primitivation by

substitution.
 20 Chapter 1 • Functions of One Real Variable
1

Proposition 1.18
Let ϕ : I → R be a differentiable function and f : ϕ(I ) → R be a primitivable
function on the interval ϕ(I ), with primitive F. Then, the function (f ◦ ϕ)ϕ is
primitivable on I, and one of its primitives is given by F ◦ ϕ. We will briefly write:
 
(f ◦ ϕ)ϕ = f ◦ϕ.

Proof
The composite function F ◦ ϕ is differentiable on I and

(F ◦ ϕ) = (F ◦ ϕ)ϕ = (f ◦ ϕ)ϕ .

It follows that (f ◦ ϕ)ϕ is primitivable on I , with primitive F ◦ ϕ. 



2
Example We look for a primitive of the function h(x) = xex . Defining ϕ(x) = x 2 , f (t) =
1 t
2 e (it is advisable to use different letters to indicate the variables of ϕ and f ), we have that
h = (f ◦ ϕ)ϕ . Since a primitive of f is seen to be F (t) = 12 et , a primitive of h is F ◦ ϕ, i.e.

2 1 x2
xex dx = F (ϕ(x)) + c = e +c.
2

The formula of primitivation by substitution is often written in the form




f (ϕ(x))ϕ (x) dx = f (t) dt  ,
t=ϕ(x)

where, if F is a primitive of f, the right term should be read as



f (t) dt  = F (ϕ(x)) + c ,
t=ϕ(x)

where c ∈ R is arbitrary. Formally, there is a “change of variable” t = ϕ(x), and the

symbol dt joins the game to replace ϕ (x) dx (the Leibniz notation dx
dt
= ϕ (x) may be
used as a mnemonic rule).

Example In order to find a primitive of the function h(x) = ln x

x , we can choose ϕ(x) = ln x,
apply the formula

ln x 
dx = t dt  ,
x t=ln x
1.7 · Primitivation by Parts and by Substitution
21 1

and thus find 12 (ln x)2 + c (in this case, writing t = ln x, one has that the symbol dt replaces
1
x dx).

As a consequence of the above formulas, we have the rule of integration by

substitution:

b ϕ(b)
f (ϕ(x))ϕ (x) dx = f (t) dt .
a ϕ(a)

Indeed, if F is a primitive of f on ϕ(I ), by the Fundamental Theorem, we have

b ϕ(b)
(f ◦ ϕ)ϕ = (F ◦ ϕ)(b) − (F ◦ ϕ)(a) = F (ϕ(b)) − F (ϕ(a)) = f.
a ϕ(a)

2
Example Taking the function h(x) = xex considered above, and defining ϕ(x) = x 2 ,
f (t) = 12 et , we have

2 2
4 1 t 1 e4 − 1
xex dx = e dt = [et ]40 = .
0 0 2 2 2

Clearly, the same result is obtainable directly by the Fundamental Theorem, once we know
2
that a primitive of h is given by H (x) = 12 ex . Indeed, we have

2
2 1 4 1 0 e4 − 1
xex dx = H (2) − H (0) = e − e = .
0 2 2 2

In case the function ϕ : I → ϕ(I ) be invertible, one can also write



f (t) dt = f (ϕ(x))ϕ (x) dx 

,
x=ϕ −1 (t)

with the corresponding formula for the integral,

β ϕ −1 (β)
f (t) dt = f (ϕ(x))ϕ (x) dx .
α ϕ −1 (α)

√
Example Looking for a primitive of f (t) = 1 − t 2 , with t ∈ ] − 1, 1[ , we may try to
consider the function ϕ : ]0, π[→] − 1, 1[ defined as ϕ(x) = cos x, so that

f (ϕ(x))ϕ (x) = 1 − cos2 x (− sin x) = − sin2 x .
 22 Chapter 1 • Functions of One Real Variable
1
As we have already proved, this last function is primitivable, so we can write
 

1 − t 2 dt = − sin2 x dx 
x=arccos t

1 
=− (x − sin x cos x) +c
2 x=arccos t
1  
= − arccos t − t 1 − t 2 + c .
2

We are now in the position to compute primitives and integrals for a large class of
functions. Some of these are proposed in the exercises below.

Exercises
1. Making use of the known rules for the computation of the primitives, recover the
following formulas:

1 1
dx = − +c,
(2 + 3x)7 18(2 + 3x)6

√ 2
x + 7 dx = (x + 7)3 + c ,
3

x 2 + 3x − 2 2 5  √
√ dx = x + 2 x3 − 4 x + c ,
x 5

1 2   
√ √ dx = − (x + 1)3 + x 3 + c ,
x − x+1 3

1
dx = ln |x − 3| − ln |x − 2| + c ,
x2 − 5x + 6

1
dx = arctan(x + 2) + c ,
x 2 + 4x + 5

1 1
dx = tan x − +c,
sin2 x cos2 x tan x

1
dx = 2 arctan(ex ) + c ,
cosh x

ln x 1
dx = (ln x)2 + c .
x 2
1.8 · The Cauchy Criterion
23 1
2. Primitivation by parts gives the following:

x sin x dx = sin x − x cos x + c ,

√ √
1 − x2 1 − x2
dx = − + arcsin x + c ,
x2 x
 
(ln x)2 dx = x (ln x)2 − 2 ln x + 2 + c ,


arcsin x dx = x arcsin x + 1 − x2 + c .

3. Let f : R → R be a primitivable T -periodic function. Provide a criterion to ensure that

its primitives are T -periodic, as well.
4. Prove that, if f : R → R is any primitivable function, then
2π 2π
f (sin x) cos x dx = 0 , f (cos x) sin x dx = 0 .
0 0

5. Given a primitivable function f : R → R, prove that:

a) if f is an odd function, then all its primitives are even functions;
b) if f is an even function, then one of its primitives is an odd function;
b
c) if a f = 0 for every a, b ∈ R, then f is identically equal to zero.

1.8 The Cauchy Criterion

We have the following characterization for a function to be integrable.

Theorem 1.19
A function f : I → R is integrable if and only if for every ε > 0 there is a gauge δ on
 of I , one has
I such that, taking two δ-fine P-partitions , 

 ≤ ε.
|S(I, f, ) − S(I, f, )|

Proof
Let us see first the necessary condition. Let f be integrable on I with integral A, and fix
ε > 0. Then, there is a gauge δ on I such that, for every δ-fine P-partition  of I, it is

ε
|S(I, f, ) − A| ≤ .
2
 24 Chapter 1 • Functions of One Real Variable
1
 are two δ-fine P-partitions, we have:
If  and 

ε ε
 )| ≤ |S(I, f, ) − A| + |A − S(I, f, 
|S(I, f, ) − S(I, f,   )| ≤ + = ε.
2 2

Let us see now the sufficient condition. Once assumed the stated condition, let us choose
ε = 1 so that we find a gauge δ1 on I such that

 ≤ 1,
|S(I, f, ) − S(I, f, )|

whenever  and   are δ1 -fine P-partitions of I. Taking ε = 1/2, we can find a gauge δ2 on
I, that we can choose so that δ2 (x) ≤ δ1 (x) for every x ∈ I, such that

 )| ≤ 1 ,
|S(I, f, ) − S(I, f, 
2

whenever  and   are δ2 -fine P-partitions of I. We can continue this way, choosing ε = 1/k,
with k a positive integer, and find a sequence (δk )k of gauges on I such that, for every x ∈ I,

δ1 (x) ≥ δ2 (x) ≥ · · · ≥ δk (x) ≥ δk+1 (x) ≥ . . . ,

and such that

 )| ≤ 1 ,
|S(I, f, ) − S(I, f, 
k

whenever  and   are δk -fine P-partitions of I.

Let us fix, for every k, a δk -fine P-partition k of I . We want to show that (S(I, f, k ))k
is a Cauchy sequence of real numbers. Let ε̄ > 0 be given, and let us choose a positive integer
m such that mε̄ ≥ 1. If k1 ≥ m and k2 ≥ m, assuming for instance k2 ≥ k1 , we have

1 1
|S(I, f, k1 ) − S(I, f, k2 )| ≤ ≤ ≤ ε̄ .
k1 m

This proves that (S(I, f, k ))k is a Cauchy sequence. Hence, it has a finite limit, which we
denote by A.
Now we show that A is just the integral of f on I. Fix ε > 0, let n be a positive integer
such that nε ≥ 1, and consider the gauge δ = δn . For every δ-fine P-partition  of I and for
every k ≥ n, it is

1
|S(I, f, ) − S(I, f, k )| ≤ ≤ ε.
n

Letting k tend to +∞, we have that S(I, f, k ) tends to A, and consequently

|S(I, f, ) − A| ≤ ε .

The proof is thus completed. 


1.9 · Integrability on Sub-Intervals
25 1
1.9 Integrability on Sub-Intervals

In this section we will see that if a function is integrable on an interval I = [a, b],
it is also integrable on any of its sub-intervals. In particular, it is possible to consider
its indefinite integral. Moreover, we will see that, if a function is integrable on two
contiguous intervals, it is also integrable on their union. More precisely, we have the
following property of additivity on sub-intervals.

Theorem 1.20
Given three points a < c < b, let f : [a, b] → R be a function. Then, f is integrable
on [a, b] if and only if it is integrable both on [a, c] and on [c, b]. In this case,
b c b
f = f+ f.
a a c

f(x)

a c b x

Proof
First assume f to be integrable on [a, b]. Let us choose for example the first sub-interval,
[a, c], and prove that f is integrable on it, using the Cauchy criterion. Fix ε > 0 ; being f
integrable on [a, b], it verifies the Cauchy condition on [a, b], and hence there is a gauge δ
on [a, b] such that

 ≤ ε,
|S([a, b], f, ) − S([a, b], f, )|

for every two δ-fine P-partitions ,   of [a, b]. The restrictions of δ to [a, c] and [c, b] are
two gauges δ1 and δ2 on the respective sub-intervals. Let now 1 and   1 be two δ1 -fine
P-partitions of [a, c]. Let us fix a δ2 -fine P-partition 2 of [c, b] and consider the P-partition
 of [a, b] made by 1 ∪ 2 , and the P-partition   of [a, b] made by   1 ∪ 2 . It is clear

that both  and  are δ-fine. Moreover, we have

1 )| = |S([a, b], f, ) − S([a, b], f, 

|S([a, c], f, 1 ) − S([a, c], f,   )| ≤ ε ;
 26 Chapter 1 • Functions of One Real Variable
1
the Cauchy condition thus holds, so that f is integrable on [a, c]. Analogously it can be
proved that f is integrable on [c, b].
Suppose now that f be integrable on [a, c] and on [c, b], and let us prove then that f is
c b
integrable on [a, b] with integral a f + c f. Once ε > 0 is fixed, there are a gauge δ1 on
[a, c] and a gauge δ2 on [c, b] such that, for every δ1 -fine P-partition 1 of [a, c] it is
 
 c  ε
S([a, c], f, 1 ) − f  ≤ ,
 2
a

and for every δ2 -fine P-partition 2 of [c, b] it is

 
 b  ε
S([c, b], f, 2 ) − f  ≤ .
 2
c

We define now a gauge δ on [a, b] in this way:

⎧  
⎪ c−x
⎨ min δ1 (x), 2 if a ≤ x < c
δ(x) = min{δ1 (c), δ2 (c)} if x = c
⎪
⎩  
min δ2 (x), x−c
2 if c < x ≤ b .

Let now

 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xm , [am−1 , am ])}

be a δ-fine P-partition of [a, b]. Notice that, because of the particular choice of the gauge δ,
there must be a certain j¯ for which xj¯ = c. Hence, we have

S([a, b], f, ) = f (x1 )(a1 − a0 ) + · · · + f (xj¯−1 )(aj¯−1 − aj¯−2 ) +

+f (c)(c − aj¯−1 ) + f (c)(aj¯ − c) +
+f (xj¯+1 )(aj¯+1 − aj¯ ) + · · · + f (xm )(am − am−1 ) .

Let us set

1 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xj¯−1 , [aj¯−2 , aj¯−1 ]), (c, [aj¯−1 , c])}

and

2 = {(c, [c, aj¯ ]), (xj¯+1 , [aj¯ , aj¯+1 ]), . . . , (xm , [am−1 , am ])}

(but in case aj¯−1 or aj¯ coincide with c we will have to take away an element). Then 1 is a
δ1 -fine P-partition of [a, c] and 2 is a δ2 -fine P-partition of [c, b], and we have

S([a, b], f, ) = S([a, c], f, 1 ) + S([c, b], f, 2 ) .

1.9 · Integrability on Sub-Intervals
27 1
Consequently,
  
 c b 
S([a, b], f, ) − f+ f  ≤

a c
   
 c   b 
≤ S([a, c], f, 1 ) − f  + S([c, b], f, 2 ) − f 
a c
ε ε
≤ + = ε,
2 2

which completes the proof. 



Example Consider the function f : [0, 2] → R defined by


2 if x ∈ [0, 1] ,
f (x) =
3 if x ∈ ]1, 2] .

1
Being f constant on [0, 1], it is integrable there, and 0 f = 2. Moreover, on the interval
[1, 2] the function f differs from a constant only in one point: we have that f (x) − 3 is
zero except for x = 1. For what have been proved somewhat before, the function f − 3 is
integrable on [1, 2] with zero integral and so, being f = (f − 3) + 3, even f is integrable
2
and 1 f = 3. In conclusion,

2 1 2
f (x) dx = f (x) dx + f (x) dx = 2 + 3 = 5 .
0 0 1

It is easy to see from the theorem just proved above that if a function is integrable
on an interval I, it still is on any sub-interval of I. Moreover, we have the following

Corollary 1.21
If f : I → R is integrable, for any three arbitrarily chosen points u, v, w in I one has
w v w
f = f+ f.
u u v

Proof
The case u < v < w follows immediately from the previous theorem. The other possible
cases are easily obtained using the conventions on the integrals with exchanged or equal
extrema. 

 28 Chapter 1 • Functions of One Real Variable
1
1.10 R-Integrable Functions and Continuous Functions

Let us introduce an important class of integrable functions.

Definition 1.22
We say that an integrable function f : I → R is R-integrable (or integrable
according to Riemann), if among all possible gauges δ : I → R which verify the
definition of integrability it is always possible to choose one which is constant on I.

It is immediate to see, repeating the proofs, that the set of R-integrable functions is
a vector subspace of the space of integrable functions. Moreover, the following Cauchy
criterion holds for R-integrable functions, whenever one considers only constant gauges.

Theorem 1.23
A function f : I → R is R-integrable if and only if for every ε > 0 there is a constant
 of I , one has
δ > 0 such that, taken two δ-fine P-partitions , 

 ≤ ε.
|S(I, f, ) − S(I, f, )|

The Cauchy criterion permits to prove the integrability of continuous functions. To

simplify the expressions to come, we will denote by μ(K) the length of a bounded
interval K. In particular,

μ([a, b]) = b − a .

It will be useful, moreover, to make the convention that the length of the empty set is
equal to zero.

Theorem 1.24
Every continuous function f : I → R is R-integrable.

Proof
Fix ε > 0. Being f continuous on a compact interval, it is uniformly continuous there, so
that there is a δ > 0 such that, for x and x in I,
ε
|x − x | ≤ 2δ ⇒ |f (x) − f (x )| ≤ .
b−a
1.10 · R-Integrable Functions and Continuous Functions
29 1
We will verify the Cauchy condition for the R-integrability by considering the constant
gauge δ. Let

 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xm , [am−1 , am ])}

and

 = {(x̃1 , [ã0 , ã1 ]), (x̃2 , [ã1 , ã2 ]), . . . , (x̃m

  , [ãm  ])}
−1 , ãm

be two δ-fine P-partitions of I. Let us define the intervals (perhaps empty or reduced to a
single point)

Ij,k = [aj −1 , aj ] ∩ [ãk−1 , ãk ] .

Then, we have



m 
m
aj − aj −1 = μ(Ij,k ) , ãk − ãk−1 = μ(Ij,k ) ,
k=1 j =1

and, if Ij,k is non-empty, |xj − x̃k | ≤ 2δ. Hence,

 
    
 m  m m m

 )| = 
|S(I, f, ) − S(I, f,  f (x )μ(I ) − f ( x̃ )μ(I ) 
 j j,k k j,k 
j =1 k=1 k=1 j =1 
 
 m m  
  
=  [f (xj ) − f (x̃k )] μ(Ij,k )
j =1 k=1 

 
m 
m
≤ |f (xj ) − f (x̃k )| μ(Ij,k )
j =1 k=1

 
m 
m
ε
≤ μ(Ij,k ) = ε .
b−a
j =1 k=1

Therefore, the Cauchy condition holds true, and the proof is completed. 


Concerning the continuous functions, even the following holds.

Theorem 1.25
Every continuous function f : [a, b] → R is primitivable.
 30 Chapter 1 • Functions of One Real Variable
1
Proof
Being continuous, f is integrable on every sub-interval of [a, b], so that we can consider the
· ·
function a f, indefinite integral of f. Let us prove that a f is a primitive of f, i.e., that
·
taken a point x0 in [a, b], the derivative of a f in x0 coincides with f (x0 ). We first consider
the case when x0 ∈ ]a, b[ . We want to prove that
 x0 +h x0 
1
lim f− f = f (x0 ) .
h→0 h a a

f (x )

a x0 x0 + h b x

Equivalently, since
 x0 +h x0  x0 +h
1 1
f− f − f (x0 ) = (f (x) − f (x0 )) dx ,
h a a h x0

we will show that

x0 +h
1
lim (f (x) − f (x0 )) dx = 0 .
h→0 h x0

Fix ε > 0. Being f continuous in x0 , there is a δ > 0 such that, for every x ∈ [a, b] satisfying
|x − x0 | ≤ δ, one has |f (x) − f (x0 )| ≤ ε. Taking h such that 0 < |h| ≤ δ, we distinguish
two cases. If 0 < h ≤ δ, then
 x0 +h 
1  1 x0 +h 1 x0 +h
 (f (x) − f (x0 )) dx  ≤ |f (x) − f (x0 )| dx ≤ ε dx = ε ;
h h x0 h x0
x0

on the other hand, if −δ ≤ h < 0, we have

 x +h  x0 x0
1 
≤ 1 1
0
 (f (x) − f (x )) dx |f (x) − f (x )| dx ≤ ε dx = ε ,
h 0  −h 0
−h x0 +h
x0 x0 +h

and the proof is competed when x0 ∈ ]a, b[ . In case x0 = a or x0 = b, we proceed

analogously, considering the right or the left derivative, respectively. 

1.10 · R-Integrable Functions and Continuous Functions
31 1
Notice that it is not always possible to find an elementary expression for the primitive
2
of a continuous function. As an example, the function f (x) = ex is primitivable, being
continuous, but it can be proved that there is no elementary formula defining any of its
primitives.3
Let us now prove that the Dirichlet function f is not R-integrable on any interval
[a, b] (remember that f is 1 on the rationals and 0 on the irrationals). We will show that
the Cauchy condition is not verified. Take δ > 0 and let a = a0 < a1 < · · · < am = b
be such that, for every j = 1, . . . , m, one has aj − aj −1 ≤ δ. In every interval [aj −1 , aj ]
we can choose a rational number xj and an irrational number x̃j . The two P-partitions

 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xm , [am−1 , am ])} ,

 = {(x̃1 , [a0 , a1 ]), (x̃2 , [a1 , a2 ]), . . . , (x̃m , [am−1 , am ])} ,



are δ-fine, and by the very definition of f we have


m
 =
S([a, b], f, ) − S([a, b], f, ) [f (xj ) − f (x̃j )](aj − aj −1 )
j =1


m
= (aj − aj −1 ) = b − a .
j =1

Since δ > 0 has been taken arbitrarily, the Cauchy condition for R-integrability does not
hold, so that f cannot be R-integrable on [a, b].

Exercises
1. Recalling that

2 tan θ 1 − tan2 θ
sin(2θ) = , cos(2θ) = ,
1 + tan2 θ 1 + tan2 θ

recover the following formulas:

  
1  x  1  1 + tan x2 
dx = ln tan  + c , dx = ln  +c.
sin x 2 cos x 1 − tan x2 

Alternatively,
 
1 1  1 + sin x 
dx = ln  +c.
cos x 2 1 − sin x 

3 By “elementary formula” I mean here an analytic formula where only polynomials, exponentials, logarithms
and trigonometric functions appear.
 32 Chapter 1 • Functions of One Real Variable
1
2. Show that, if f : [0, 1] → R is defined as

1 if x ∈
/ Q,
f (x) =
3 if x ∈ Q ,

1
then 0 f (x) dx = 1.
c
3. Let f : R → R be continuous and odd. Then, −c f = 0, for every c ∈ R.
4. Prove that, if f : [a, b] → R is monotone, then it is R-integrable.
5. Show that every R-integrable function f : [a, b] → R is necessarily bounded.

1.11 The Saks–Henstock Theorem

Let us go back to analyze the definition ofintegrability for a function f : I → R. The

function f is integrable on I with integral I f if, for every ε > 0, there is a gauge δ on
I such that, for every δ-fine P-partition

 = {(x1 , [a0 , a1 ]), (x2 , [a1 , a2 ]), . . . , (xm , [am−1 , am ])}

of I, the following holds:

 
 
S(I, f, ) − f  ≤ ε .
 
I

In this situation, since


m m
 aj
S(I, f, ) = f (xj )(aj − aj −1 ) , f = f,
j =1 I j =1 aj −1

we have
 
 m  a j 
 
 f (xj )(aj − aj −1 ) − f  ≤ ε .

 j =1 aj −1 

a
This fact tells us that the sum of all “errors” (f (xj )(aj − aj −1 ) − ajj−1 f ) is arbitrarily
small, provided that the P-partition be sufficiently fine. Notice that those “errors” may
be either positive or negative, so that in the sum they could compensate with one another.
The following Saks–Henstock’s theorem tells us that even the sum of all absolute
values of those “errors” can be made arbitrarily small.
1.11 · The Saks–Henstock Theorem
33 1

Theorem 1.26
Let f : I → R be an integrable function and let δ be a gauge on I such that, for

every δ-fine P-partition  of I, it happens that |S(I, f, ) − I f | ≤ ε. Then, for such
P-partitions  = {(x1 , [a0 , a1 ]), . . . , (xm , [am−1 , am ])} we also have

m  aj 
  
f (xj )(aj − aj −1 ) − f  ≤ 4ε .
 aj −1 
j =1

Proof
We consider separately in the sum the positive and the negative terms. Let us prove that the
sum of the positive terms is less than or equal to 2ε. In an analogous way one can proceed for
the negative terms. Rearranging the terms in the sum, we can assume that the positive ones
a
be the first q terms (f (xj )(aj − aj −1 ) − ajj−1 f ), with j = 1, . . . , q, i.e.,

a1 aq
f (x1 )(a1 − a0 ) − f , . . . , f (xq )(aq − aq−1 ) − f.
a0 aq−1

Consider the remaining m − q intervals [ak−1 , ak ], with k = q + 1, . . . , m :

[aq , aq+1 ] , . . . , [am−1 , am ] .

Being f integrable on these intervals, there exist some gauges δk on [ak−1 , ak ], respectively,
which we can choose such that δk (x) ≤ δ(x) for every x ∈ [ak−1 , ak ], for which
 
 ak  ε
S([ak−1 , ak ], f, k ) − f  ≤ ,
 m − q
ak−1

for every δk -fine P-partition k of [ak−1 , ak ]. Consequently, the family   made by the
couples (x1 , [a0 , a1 ]), . . . , (xq , [aq−1 , aq ]) and by the elements of the families k , with k
varying from q + 1 to m, is a δ-fine P-partition of I such that


q 
m
 =
S(I, f, ) f (xj )(aj − aj −1 ) + S([ak−1 , ak ], f, k ) .
j =1 k=q+1

Then, we have:

q 
 aj  
q q
 aj
f (xj )(aj − aj −1 ) − f = f (xj )(aj − aj −1 ) − f
j =1 aj −1 j =1 j =1 aj −1
 
m   m
 ak 
 −
= S(I, f, ) S([ak−1 , ak ], f, k ) − f− f
k=q+1 I k=q+1 ak−1
 34 Chapter 1 • Functions of One Real Variable
1
  m  
    ak 
≤ S(I, f, 
) − f  +

S([ak−1 , ak ], f, k ) −
 f 
I k=q+1 ak−1

ε
≤ ε + (m − q) = 2ε .
m−q

Proceeding similarly for the negative terms, the conclusion follows. 



The following corollary will be useful in the next section to study the integrability
of the absolute value of an integrable function.

Corollary 1.27
Let f : I → R be an integrable function and let δ be a gauge on I such that, for

every δ-fine P-partition  of I, it happens that |S(I, f, ) − I f | ≤ ε. Then, for such
P-partitions  = {(x1 , [a0 , a1 ]), . . . , (xm , [am−1 , am ])} we also have
  
 m  aj 
   
S(I, |f |, ) −  f  ≤ 4ε .
  aj −1 
 j =1

Proof
Using the well known inequalities for the absolute value, we have:
    m   
 m  aj    aj  
     
S(I, |f |, ) −  f  =  |f (xj )|(aj − aj −1 ) −  f 
  aj −1    aj −1  
 j =1 j =1

m 
  
  aj 
  
≤ |f (xj )(aj − aj −1 )| −  f 
  aj −1 
j =1

m  aj 
  
≤ f (xj )(aj − aj −1 ) − f  ≤ 4ε .
 aj −1 
j =1

This completes the proof. 



In the sequel it will be useful to consider even the so-called sub-P-partitions of the
interval I. A sub-P-partition is a set of the type = {(ξj , [αj , βj ]) : j = 1, . . . , m},
where the intervals [αj , βj ] are non-overlapping, but not necessarily contiguous, and
ξj ∈ [αj , βj ] for every j = 1, . . . , m. Using the Cousin’s theorem, it is easy to see that
every sub-P-partition can be extended to a P-partition of I.
1.12 · L-Integrable Functions
35 1
For a sub-P-partition , it is still meaningful to consider the associated Riemann
sum:


m
S(I, f, ) = f (ξj )(βj − αj ) .
j =1

Moreover, given a gauge δ on I, the sub-P-partition is δ-fine if, for every j, one has

ξj − αj ≤ δ(ξj ) e βj − ξj ≤ δ(ξj ) .

The Saks–Henstock’s theorem can then be generalized to the sub-P-partitions, simply

considering the fact that every sub-P-partition is a subset of a P-partition. We can thus
obtain the following equivalent statement of the Saks–Henstock’s theorem.

Theorem 1.28
Let f : I → R be an integrable function and let δ be a gauge on I such that, for every

δ-fine P-partition  of I, it happens that |S(I, f, ) − I f | ≤ ε. Then, for every
δ-fine sub-P-partition = {(ξj , [αj , βj ]) : j = 1, . . . , m} of I, we have

m  βj 
  
f (ξj )(βj − αj ) − f  ≤ 4ε .
 αj 
j =1

Notice that, as a consequence of this last statement, for such sub-P-partitions we

have, in particular,
 
 m βj 
  
S(I, f, ) − f  ≤ 4ε .

 j =1 αj 

1.12 L-Integrable Functions

In this section, we introduce another important class of integrable functions on the

interval I = [a, b].

Definition 1.29
We say that an integrable function f : I → R is L-integrable (or integrable
according to Lebesgue), if even |f | happens to be integrable on I.

It is clear that every positive integrable function is L-integrable. Moreover, every

continuous function on [a, b] is L-integrable there, since |f | is still continuous. We
have the following characterization of L-integrability.
 36 Chapter 1 • Functions of One Real Variable
1

Proposition 1.30
Let f : I → R be an integrable function, and consider the set S of all real numbers

q 


 ci 
 f  ,

i=1 ci−1

obtained choosing c0 , c1 , . . . , cq in I in such a way that a = c0 < c1 < · · · < cq = b.

The function f is L-integrable on I if and only if S is bounded above. In that case, we
have

|f | = sup S .
I

Proof
Assume first f to be L-integrable on I . If a = c0 < c1 < · · · < cq = b, then f and |f | are
integrable on every sub-interval [ci−1 , ci ], and we have

q 
   q
 ci  ci
 f  ≤ |f | = |f | .

i=1 ci−1 i=1 ci−1 I


Consequently, the set S is bounded above: sup S ≤ I |f |.
On the other hand, assume now S to be bounded above and let us prove that in that case

|f | is integrable on I and I |f | = sup S . Fix ε > 0. Let δ1 be a gauge such that, for every
δ1 -fine P-partition  of I, one has
 
  ε
S(I, f, ) − f  ≤ .
I 8

Letting A = sup S , by the properties of the sup there surely are a = c0 < c1 < · · · < cq = b
such that
q  
ε   ci 
A− ≤  f  ≤ A.
2 ci−1
i=1

We construct the gauge δ2 in such a way that, for every x ∈ I, it has to be that [x −δ2 (x), x +
δ2 (x)] meets only those intervals [ci−1 , ci ] to which x belongs. In this way,
▬ if x belongs to the interior of one of the intervals [ci−1 , ci ], we have that [x − δ2 (x), x +
δ2 (x)] is contained in ]ci−1 , ci [ ;
▬ if x coincides with one of the ci in the interior of [a, b], then [x − δ2 (x), x + δ2 (x)] is
contained in ]ci−1 , ci+1 [ ;
▬ if x = a, then [x, x + δ2 (x)] is contained in [a, c1 [ ;
▬ if x = b, then [x − δ2 (x), x] is contained in ]cq−1 , b].
1.12 · L-Integrable Functions
37 1
Set, for every x ∈ I, δ(x) = min{δ1 (x), δ2 (x)}. Once taken a δ-fine P-partition  =
{(x1 , [a0 , a1 ]), . . . , (xm , [am−1 , am ])} of I, consider the intervals (possibly empty or reduced
to a point)

Ij,i = [aj −1 , aj ] ∩ [ci−1 , ci ] .

The choice of the gauge δ2 yields that, if Ij,i has a positive length, then xj ∈ Ij,i . Indeed, if
xj
∈ [ci−1 , ci ], then

[aj −1 , aj ] ∩ [ci−1 , ci ] ⊆ [xj − δ2 (xj ), xj + δ2 (xj )] ∩ [ci−1 , ci ] = Ø .

Therefore, taking those Ij,i , the set

 = {(xj , Ij,i ) : j = 1, . . . , m , i = 1, . . . , q , μ(Ij,i ) > 0}



is a δ-fine P-partition of I, and we have


m 
m 
q
S(I, |f |, ) = |f (xj )|(aj − aj −1 ) = ) .
|f (xj )|μ(Ij,i ) = S(I, |f |, 
j =1 j =1 i=1

Moreover,
   
q   q  m   m  
ε   ci   
q 
  
A− ≤ f = f  ≤  f  ≤ A,
     Ij,i 
2
i=1 ci−1 
i=1 j =1 I j,i  i=1 j =1

and by Corollary 1.27,

  
 m  
 q 
  ε ε
S(I, |f |, 
) −  f  ≤ 4 = .
  
 i=1 j =1 I j,i  8 2

Consequently, we have

 − A|
|S(I, |f |, ) − A| = |S(I, |f |, )
    q m   
 q  m       
     
≤ S(I, |f |, )
 −  f 
 +   f  − A 

   
  i=1 j =1 Ij,i  
i=1 j =1 Ij,i

ε ε
≤ + = ε,
2 2

which is what was to be proved. 



We have a series of corollaries.

 38 Chapter 1 • Functions of One Real Variable
1

Corollary 1.31
Let f, g : I → R be two integrable functions such that, for every x ∈ I,

|f (x)| ≤ g(x) ;

then f is L-integrable on I.

Proof
Take c0 , c1 , . . . , cq in I so that a = c0 < c1 < · · · < cq = b. Being −g(x) ≤ f (x) ≤ g(x)
for every x ∈ I, we have that
ci ci ci
− g≤ f ≤ g,
ci−1 ci−1 ci−1

i.e.
 
 ci  ci
 f  ≤ g,

ci−1 ci−1

for every 1 ≤ i ≤ q. Hence,

q 

 q
 ci   ci
 f  ≤ g= g.

i=1 ci−1 i=1 ci−1 I


Then, the set S is bounded above by I g, so that f is L-integrable on I . 


Corollary 1.32
Let f, g : I → R be two L-integrable functions and α ∈ R be a constant. Then f + g
and αf are L-integrable on I.

Proof
By the assumption, f, |f | and g, |g| are integrable on I . Then, such are also f + g, |f | + |g|,
αf, and |α||f |. On the other hand, for every x ∈ I, it is

|(f + g)(x)| ≤ |f (x)| + |g(x)| ,

|αf (x)| ≤ |α| |f (x)| .

Corollary 1.31 then guarantees that f + g and αf are L-integrable on I . 


1.12 · L-Integrable Functions
39 1
We have thus proved that the L-integrable functions make up a vector subspace of
the space of integrable functions.

Corollary 1.33
Let f1 , f2 : I → R be two L-integrable functions. Then min{f1 , f2 } and max{f1 , f2 }
are L-integrable on I .

Proof
It follows immediately from the formulas

1
min{f1 , f2 } = (f1 + f2 − |f1 − f2 |) ,
2
1
max{f1 , f2 } = (f1 + f2 + |f1 − f2 |)
2

and from Corollary 1.32. 



Corollary 1.34
A function f : I → R is L-integrable if and only if both its positive part f + =
max{f, 0} and its negative part f − = max{−f, 0} are integrable on I . In that case,
  +  −
I f = I f − I f .

Proof
It follows immediately from Corollary 1.33 and the formulas f = f + −f − , |f | = f + +f − .



We want to see now an example of an integrable function which is not L-integrable.

Let f : [0, 1] → R be defined by
1 1
f (x) = sin 2 ,
x x
if x
= 0, and f (0) = 0. Let us define the two auxiliary functions g : [0, 1] → R and
h : [0, 1] → R such that, if x
= 0,
1 1 1 1
g(x) = sin 2 + x cos 2 , h(x) = −x cos ,
x x x x2
 40 Chapter 1 • Functions of One Real Variable
1
and g(0) = h(0) = 0. It is easily seen that g is primitivable on [0, 1] and that one of its
primitives G : [0, 1] → R is given by

x2 1
G(x) = cos 2 ,
2 x
if x
= 0, and G(0) = 0. Moreover, h is continuous on [0, 1], hence it is primitivable
there, too. Hence, even the function f = g + h is primitivable on [0, 1]. By the
Fundamental Theorem, f is then integrable on [0, 1]. We will show now that |f | is
not integrable on [0, 1]. Consider the intervals [((k + 1)π)−1/2 , (kπ)−1/2 ], with k ≥ 1.
The function |f | is continuous on these intervals, hence it is primitivable there. By the
substitution y = 1/x 2 , we obtain
(kπ )−1/2
  (k+1)π
1  1  1
 sin 2  dx = | sin y| dy .
((k+1)π )−1/2 x x kπ 2y

On the other hand,

(k+1)π (k+1)π
1 1 1
| sin y| dy ≥ | sin y| dy = .
kπ 2y 2(k + 1)π kπ (k + 1)π

If |f | were integrable on [0, 1], we would have that, for every n ≥ 1,

1 ((n+1)π )−1/2 n
 (kπ )−1/2 1
|f | = |f | + |f | + |f |
0 0 k=1 ((k+1)π )−1/2 π −1/2

n
 (kπ )−1/2
≥ |f |
k=1 ((k+1)π )−1/2


n
1
≥ ,
k=1
(k + 1)π

∞ 1
which is impossible, since the series k=1 (k+1)π diverges. Hence, f is not L-integrable
on [0, 1].

1.13 The Monotone Convergence Theorem

In this section and in the next one, we will consider the situation where a sequence of
integrable functions (fk )k converges pointwise to a function f : for every x ∈ I,

lim fk (x) = f (x) .

k→∞
1.13 · The Monotone Convergence Theorem
41 1
The question is whether

f = lim fk ,
I k→∞ I

i.e., whether the following formula holds:

 
lim fk (x) dx = lim fk (x) dx .
I k→∞ k→∞ I

Example Let us first show that in some cases the answer could be in the negative. Consider
the functions fk : [0, π] → R, with k = 1, 2, . . . , defined by

k sin(kx) if x ∈ [0, πk ] ,
fk (x) =
0 otherwise.

For every x ∈ [0, π], we have limk→∞ fk (x) = 0, while

π π/k π
fk (x) dx = k sin(kx) dx = sin(t) dt = 2 .
0 0 0

We will see now that the formula holds true if the sequence of functions is monotone,
or bounded in some way. Let us start with the following result, known as the Monotone
Convergence Theorem, due to B. Levi.

Theorem 1.35
We are given a function f : I → R and a sequence of functions fk : I → R, with
k ∈ N, verifying the following conditions:
1. the sequence (fk )k converges pointwise to f ;
2. the sequence (fk )k is monotone;
3. each function fk is integrable on I ;

4. the real sequence ( I fk )k has a finite limit.

Then, f is integrable on I , and

f = lim fk .
I k→∞ I

Proof
We assume for definiteness the sequence (fk )k to be increasing on I ; therefore, we have

fk (x) ≤ fk+1 (x) ≤ f (x) ,

 42 Chapter 1 • Functions of One Real Variable
1
for every k ∈ N and every x ∈ I. Let us set

A = lim fk .
k→∞ I

We will prove that f is integrable on I and that A is its integral. Fix ε > 0. Being every fk
integrable on I, there are some gauges δk∗ on I such that, if k is a δk∗ -fine P-partition of I,
 
  ε
S(I, fk , k ) − fk  ≤
  3 · 2k+3 .
I

Moreover, there is a k̄ ∈ N such that, for every k ≥ k̄, it is

ε
0≤ A− fk ≤ ,
I 3

and since the sequence (fk )k converges pointwise on I to f, for every x ∈ I there is a natural
number n(x) ≥ k̄, such that, for every k ≥ n(x), one has

ε
|fk (x) − f (x)| ≤ .
3(b − a)

Let us define the gauge δ in the following way: for every x ∈ I,

∗
δ(x) = δn(x) (x) .

Let now  = {(x1 , [a0 , a1 ]), . . . , (xm , [am−1 , am ])} be a δ-fine P-partition of I. We have:
 
 m 
 
|S(I, f, ) −A| =  f (xj )(aj − aj −1 ) − A
j =1 
 
 m 
 
≤  [f (xj ) − fn(xj ) (xj )](aj − aj −1 ) +
j =1 
    m 
 aj 
 m   aj 
+ fn(xj ) (xj )(aj − aj −1 ) −  
fn(xj )  +  fn(xj ) − A .
 j =1 aj −1  j =1 aj −1 

Estimation of the first term gives

 
 m 
   m
 [f (xj ) − fn(x ) (xj )](aj − aj −1 ) ≤ |f (xj ) − fn(xj ) (xj )|(aj − aj −1 )
 j 
j =1  j =1


m
ε ε
≤ (aj − aj −1 ) = .
3(b − a) 3
j =1
1.13 · The Monotone Convergence Theorem
43 1
In order to estimate the second term, set

r = min n(xj ) , s = max n(xj ) ,

1≤j ≤m 1≤j ≤m

and notice that, putting together the terms whose indices n(xj ) coincide with a same value k,
by the second statement of Saks–Henstock’s theorem (Theorem 1.28) we obtain
  
 aj
 m 
 fn(xj ) (xj )(aj − aj −1 ) − fn(xj )  =

j =1 aj −1 
 ⎧  ⎫
 aj
 s ⎨  ⎬
=  fk (xj )(aj − aj −1 ) − fk 
 k=r ⎩{1≤j ≤m : n(xj )=k} aj −1 ⎭
 aj 
 s   
 
≤ fk (xj )(aj − aj −1 ) − fk 
 aj −1 
k=r {1≤j ≤m : n(xj )=k}


s
ε ε
≤ 4 ≤ .
3 · 2k+3 3
k=r

Concerning the third term, since r ≥ k̄, using the monotonicity of the sequence (fk )k we
have
m
 aj
0≤ A− fs = A − fs ≤
I j =1 aj −1

m
 aj
≤A− fn(xj ) ≤
j =1 aj −1

m
 aj
ε
≤A− fr = A − fr ≤ ,
3
j =1 aj −1 I

from which
 
 m a 
 j  ε
 f − A ≤ .
 n(xj )  3
j =1 aj −1 

Hence,
ε ε ε
|S(I, f, ) − A| ≤ + + = ε,
3 3 3

and the proof is thus completed. 


 44 Chapter 1 • Functions of One Real Variable
1
As an immediate consequence of the Monotone Convergence Theorem, we have the
analogous statement for a series of functions.

Corollary 1.36
We are given a function f : I → R and a sequence of functions fk : I → R, with
k ∈ N, verifying the following conditions:

1. the series k fk converges pointwise to f ;
2. for every k ∈ N and every x ∈ I, it is fk (x) ≥ 0;
3. each function fk is integrable on I ;
 
4. the series k ( I fk ) converges.
5. Then, f is integrable on I , and

∞

f = fk .
I k=0 I

2
Example Consider the Taylor series associated to the function f (x) = ex ,

∞

2 x 2k
ex = .
k!
k=0

2k
The functions fk (x) = xk! satisfy the assumptions 1 and 2 of the corollary. Moreover, they
are integrable on I = [a, b] and

 b
b x 2k+1 b2k+1 − a 2k+1
fk (x) dx = = ,
a (2k + 1)k! a (2k + 1)k!
 
so that it can be seen that the series k ( I fk ) converges. It is then possible to apply the
corollary, thus obtaining

∞ 2k+1

b 2 b − a 2k+1
ex dx = .
a (2k + 1)k!
k=0

·
In particular, considering the indefinite integral 0 f, we find an expression for the primitives
2
of ex , i.e.,
∞

2 x 2k+1
ex dx = +c.
(2k + 1)k!
k=0
1.14 · The Dominated Convergence Theorem
45 1
1.14 The Dominated Convergence Theorem

We start by proving the following preliminary result.

Lemma 1.37
Let f1 , f2 , . . . , fn : I → R be integrable functions. If there exists an integrable
function g : I → R such that, for every x ∈ I and 1 ≤ k ≤ n it happens that

g(x) ≤ fk (x) ,

then min{f1 , f2 , . . . , fn } and max{f1 , f2 , . . . , fn } are integrable on I .

Proof
Consider the case n = 2. The functions f1 −g and f2 −g, being integrable and non-negative,
are L-integrable. Hence, min{f1 − g, f2 − g} and max{f1 − g, f2 − g} are L-integrable, by
Corollary 1.33. The conclusion then follows from the fact that

min{f1 , f2 } = min{f1 − g, f2 − g} + g ,
max{f1 , f2 } = max{f1 − g, f2 − g} + g .

The general case can be easily obtained by induction. 



We are now ready to state and prove the following important result due to H.
Lebesgue, known as the Dominated Convergence Theorem.

Theorem 1.38
We are given a function f : I → R and a sequence of functions fk : I → R, with
k ∈ N, verifying the following conditions:
1. the sequence (fk )k converges pointwise to f ;
2. each function fk is integrable on I ;
3. there are two integrable functions g, h : I → R for which

g(x) ≤ fk (x) ≤ h(x) ,

for every k ∈ N and x ∈ I.


Then, the sequence ( I fk )k has a finite limit, f is integrable on I , and

f = lim fk .
I k→∞ I
 46 Chapter 1 • Functions of One Real Variable
1
Proof
For any couple of natural numbers k, , define the functions

φk, = min{fk , fk+1 , . . . , fk+ } , k, = max{fk , fk+1 , . . . , fk+ } .

By the above proved lemma, all φk, and k, are integrable on I . Moreover, for any fixed
k, the sequence (φk, ) is decreasing and bounded below by g, and the sequence (k, ) is
increasing and bounded above by h. hence, these sequences converge to two functions φk
and k , respectively:

lim φk, = φk = inf{fk , fk+1 , . . . } ,

→∞

lim k, = k = sup{fk , fk+1 , . . . } .

→∞
 
Furthermore, the sequence ( I φk, ) is decreasing and bounded below by I g, while the
 
sequence ( I k, ) is increasing and bounded above by I h. The Monotone Convergence
Theorem then guarantees that the functions φk and k are integrable on I .
Now, the sequence (φk )k is increasing, and the sequence (k )k is decreasing; as
limk→∞ fk = f, we must have

lim φk = lim inf fk = f ,

k→∞ k→∞

lim k = lim sup fk = f .

k→∞ k→∞
 
Moreover, the sequence ( I φk )k is increasing and bounded above by I h, while the
 
sequence ( I k )k is decreasing and bounded below by I g. We can then apply again the
Monotone Convergence Theorem, from which we deduce that f is integrable on I and

f = lim φk = lim k .
I k→∞ I k→∞ I
  
Being φk ≤ fk ≤ k , we have I φk ≤ I fk ≤ I k , and the conclusion follows. 


Example  for k ≥ 1, the functions fk : [0, 3] → R defined by fk (x) =

 Consider,
k2
arctan kx − k+1 . We have the following situation:
⎧ π
⎪
⎪− if x ∈ [0, 1[ ,
⎪
⎪
⎨ 2
lim fk (x) = 0 if x = 1 ,
k→∞ ⎪
⎪
⎪π
⎪
⎩ if x ∈ ]1, 3] .
2
Moreover,
π
|fk (x)| ≤ ,
2
1.15 · Integration on Non-Compact Intervals
47 1
for every k ∈ N and x ∈ [0, 3]. The assumptions of the theorem are then satisfied, taking the
two constant functions g(x) = − π2 , h(x) = π2 . We can then conclude that

3  
k2 π π π
lim arctan kx − dx = − + 2 = .
k→∞ 0 k+1 2 2 2

Exercises
1. By the use of the Dominated Convergence Theorem, prove that
1 √1 x 
sin(ekx )
lim √ dx = 0 , lim k arctan dx = 0 .
k→∞ 0 k k→∞ −1 k

2. Let fk : [0, 1] → R be defined as

⎧  
⎪ 1
⎪
⎨0 if x ∈ 0 , ,
k
fk (x) =  
⎪
⎪ 1 1
⎩ if x ∈ ,1 .
kx k

Prove that
1
lim fk (x) dx = 0 ,
k→∞ 0

both by a direct computation and by the Monotone or the Dominated Convergence

Theorems. Let now
⎧  
⎪ 1
⎪
⎨ 0 if x ∈ 0 , ,
k2
fk (x) =  
⎪
⎪ 1 1
⎩ if x ∈ ,1 .
kx k2

Explain why, in this case, neither the Monotone nor the Dominated Convergence
Theorems can be applied.
3. Compute the following limit:
π  x  x 
lim k 3 sin − dx .
k→∞ 0 k k

1.15 Integration on Non-Compact Intervals

We begin by considering a function f : [a, b[ → R, where b ≤ +∞. Assume that f be

integrable on every compact interval of the type [a, c], with c ∈ ]a, b[ . This happens,
for instance, when f is continuous on [a, b[ .
 48 Chapter 1 • Functions of One Real Variable
1
Definition 1.39
We say that a function f : [a, b[ → R is integrable if f is integrable on [a, c] for
every c ∈ ]a, b[ , and the limit
c
lim f
c→b− a

exists and is finite. In that case, the above limit is called the integral of f on [a, b[
b b
and it is denoted by a f , or a f (x) dx.

 +∞  +∞
In particular, if b = +∞, we will write: a f , or a f (x) dx.

Examples Let a > 0; it is readily seen that the function f : [a, +∞[ → R, defined by
f (x) = x −α , is integrable if and only if α > 1, in which case we have
+∞ dx a 1−α
= .
a x α α−1

Consider now the case a < b < +∞. It can be verified that the function f : [a, b[ → R,
defined by f (x) = (b − x)−β , is integrable if and only if β < 1, in which case we have
b dx (b − a)1−β
= .
a (b − x) β 1−β

a a b

One often speaks of improper integral when considering functions which are
defined on non-compact intervals. One also says that the integral c converges if the
function f is integrable on [a, b[ , i.e., when the limit limc→b− a f exists and is finite.
If the limit does not exist, it is said that the integral is undetermined. If it exists and
equals +∞ or −∞, it is said that the integral diverges to +∞ or to −∞, respectively.
It is clear that the convergence of the integral depends solely on the behavior of the
function near the point b. In other words, modifying the function outside a neighborhood
of b, the convergence of the integral is by no means compromised.
Let us now state the Cauchy convergence criterion.
1.15 · Integration on Non-Compact Intervals
49 1

Theorem 1.40
Let f : [a, b[ → R be a function, which is integrable on [a, c], for every c ∈ ]a, b[ .
A necessary and sufficient condition for f to be integrable on [a, b[ is that for every
ε > 0 there is a c̄ ∈ ]a, b[ such that, taking as c and c any two numbers in [c̄, b[ ,
it is
 c

 
 f  ≤ ε .

c

Proof
It is a direct consequence of the Cauchy criterion for the limit, when applied to the function
c
F : [a, b[ → R defined as F (c) = a f . 


From the Cauchy criterion we deduce the following comparison criterion.

Theorem 1.41
Let f : [a, b[ → R be a function, which is integrable on [a, c], for every c ∈ ]a, b[ . If
there is an integrable function g : [a, b[ → R such that, for every x ∈ [a, b[ ,

|f (x)| ≤ g(x) ,

then f is integrable on [a, b[ , too.

Proof
Once fixed ε > 0, there is a c̄ ∈ ]a, b[ such that, taking arbitrarily c , c in [c̄, b[ , it is
 c
| c g| ≤ ε. If for example c ≤ c , being −g ≤ f ≤ g, one has
c c c
− g≤ f ≤ g,
c c c

and therefore
 
 c  c
 
 f ≤ g ≤ ε.
 c  c

The Cauchy condition then holds, whence the conclusion. 



As an immediate consequence, we have the following.

 50 Chapter 1 • Functions of One Real Variable
1

Corollary 1.42
Let f : [a, b[ → R be a function, which is integrable on [a, c], for every c ∈ ]a, b[ . If
|f | is integrable on [a, b[ , then also f is such, and
 
 b  b
 f  ≤ |f | .

a a

In the case when both f and |f | are integrable on [a, b[ , we say that f is L-
integrable, or absolutely integrable, on [a, b[ .

Example Consider the function f : [π, +∞[ → R defined by f (x) = sinx x . We will see that
it is integrable on [π, +∞[ , but not absolutely integrable there. To see that it is integrable,
take c > π and integrate by parts:
  c
c sin x − cos x c cos x
dx = − dx .
π x x π π x2

We find that
c c
1 cos x
lim f =− − lim dx ,
c→+∞ π π c→+∞ π x2

and this last limit is finite by the comparison theorem, since

 cos x 
 
 2  ≤ x −2 .
x
Hence, f is integrable on [π, +∞[ . Assume by contradiction that it was also absolutely
integrable. In that case, for every integer n ≥ 2, we would have
  n−1

nπ  sin x  (k+1)π | sin x|
  dx = dx
 x  x
π k=1 kπ


n−1 (k+1)π
1
≥ | sin x| dx
(k + 1)π kπ
k=1

2  1
n−1
= .
π k+1
k=1
∞ 1
but this is impossible, since the series k=1 k+1 diverges.

Let us now state a corollary of the comparison criterion which is often used in
practice.
1.15 · Integration on Non-Compact Intervals
51 1

Corollary 1.43
Let f, g : [a, b[ → R be two functions with positive values, which are integrable on
[a, c] for every c ∈ ]a, b[ . Assume that the following limit exists:

f (x)
L = lim .
x→b− g(x)
Then, the following conclusions hold:
a) if L = 0 and g is integrable on [a, b[ , then such is f, as well;
b) if 0 < L < +∞, then f is integrable on [a, b[ if and only if such is g;
c) if L = +∞ and g is not integrable on [a, b[ , then neither f is such.

Example Consider the function f : [0, +∞[ → R defined by

2 +1)
f (x) = e1/(x − 1.

As a comparison function, I would like to take g(x) = x −2 . A technical problem arises,

however, since g is not defined on [0, +∞[ . We can proceed in two different ways: either
we restrict f to an interval of the type [a, +∞[ , with a > 0, and we observe that this
operation does not modify the convergence (or the non convergence) of the integral, since
f is continuous on [0, a]; or we adapt to this situation the function g : for instance, we can
choose

1 if x ∈ [0, 1] ,
g(x) =
x −2 if x ≥ 1 .

Once this has been done, observe that

x 2 e1/(x +1) − 1
2
f (x)
= lim x 2 (e1/(x +1) − 1) = lim 2
2
lim = 1.
x→+∞ g(x) x→+∞ x→+∞ x + 1 1/(x 2 + 1)

Since g is integrable on [0, +∞[ , such is f, as well.

We consider now a function f : ]a, b] → R, with a ≥ −∞. There is an analogous

definition of its improper integral.

Definition 1.44
We say that a function f : ]a, b] → R is integrable if f is integrable on [c, b] for
every c ∈ ]a, b[ , and the limit
b
lim f
c→a + c

(Continued )
 52 Chapter 1 • Functions of One Real Variable
1
Definition 1.44 (continued)
exists and is finite. In that case, the above limit is called the integral of f on ]a, b]
b b
and it is denoted by a f , or a f (x) dx.

Given the function f : ]a, b] → R, it is possible to consider the function g :

[a , b [ → R, with a = −b and b = −a, defined by g(x) = f (−x). It is easy to
see that f is integrable on ]a, b] if and only if g is integrable on [a , b [ . In this way we
are reconducted to the previous theory.
We will also define the integral of a function f : ]a, b[ → R, with −∞ ≤ a < b ≤
+∞, in this way:

Definition 1.45
We say that f : ]a, b[ → R is integrable if, once we fix a point p ∈ ]a, b[ , the
function f is integrable on [p, b[ and on ]a, p]. In that case, the integral of f on
]a, b[ is defined by
b p b
f = f+ f.
a a p

It is easy to verify that the given definition does not depend on the choice of p ∈
]a, b[ .

Examples If a, b ∈ R, one can verify that the function

f (x) = ((x − a)(b − x))−β

is integrable on ]a, b[ if and only if β < 1. In this case, it is possible to choose, for instance,
p = (a + b)/2. Another case arises when a = −∞ and b = +∞. For example, one easily
verifies that the function f (x) = (x 2 +1)−1 is integrable on ]−∞, +∞[ . Taking for instance
p = 0, we have:
+∞ 0 +∞
1 1 1
dx = dx + dx = π .
−∞ x2 + 1 −∞ x2 + 1 0 x2 + 1

A further case one could face in the applications is when a function happens not to
be defined in an interior point of an interval.
1.16 · The Hake Theorem
53 1
Definition 1.46
Given a < q < b, we say that a function f : [a, b] \ {q} → R is integrable if f is
both integrable on [a, q[ and on ]q, b]. In that case, we set
b q b
f = f+ f.
a a q

√
For example, if a < 0 < b, the function f (x) = |x|/x is integrable on [a, b]\{0},
and
√
b
|x| 0
−1 b
1 √ √
dx = √ dx + √ dx = 2 b − 2 −a .
a x a −x 0 x
On the other hand, the function f (x) = 1/x is not integrable on [a, b] \ {0}, even if
the fact that f is odd could lead someone to define the integral on symmetric intervals
with respect to the origin as being equal to zero. However, by doing so, some important
properties of the integral would be lost, as for example the additivity on sub-intervals.
Different situations can be faced combining together those treated above. I prefer
not to go deeper into these details; in each single case, the choice of the appropriate
method will be made by the right guess.

1.16 The Hake Theorem

Recall that a function f : [a, b[ → R is said to be integrable if it is integrable on [a, c],

for every c ∈ ]a, b[ , and the limit
c
lim− f
c→b a

exists and is finite. We want to prove the following result due to H. Hake.

Theorem 1.47
Let b < +∞, and assume f : [a, b[ → R to be a function which is integrable on
[a, c], for every c ∈ ]a, b[ . Then, the function f is integrable on [a, b[ if and only if it
is the restriction of an integrable function f¯ : [a, b] → R. In that case,
b b
f¯ = f.
a a
 54 Chapter 1 • Functions of One Real Variable
1
Proof
Assume first that f be the restriction of an integrable function f¯ : [a, b] → R. Fix ε > 0;
we want to find a γ > 0 such that, if c ∈ ]a, b[ and b − c ≤ γ , then
 
 c b 
 f− f¯ ≤ ε .

a a

b
Let δ be a gauge such that, for every δ-fine P-partition of [a, b], it is |S(I, f¯, )− a f¯| ≤ ε8 .
We choose a positive constant γ ≤ δ(b) such that γ |f¯(b)| ≤ ε2 . If c ∈ ]a, b[ and b − c ≤ γ ,
by the Saks–Henstock theorem, taking the δ-fine sub-P-partition  = {(b, [c, b])}, we have
 
 b  ε ε
f¯(b)(b − c) − f¯ ≤ 4 = ,
 8 2
c

and hence
   
 c b   b  ε ε ε ε
 f− f¯ =  f¯ ≤ + |f¯(b)(b − c)| ≤ + |f¯(b)|γ ≤ + = ε .
 2 2 2 2
a a c

Let us prove now the other implication. Assume f to be integrable on [a, b[ , and let A
be its integral. We extend f to a function f¯ defined on the whole interval [a, b], by setting,
for instance, f¯(b) = 0. In order to prove that f¯ is integrable on [a, b] with integral A, fix
ε > 0. There is a γ > 0 such that, if c ∈ ]a, b[ and b − c ≤ γ , then
 
 c  ε
 f − A ≤ .
 2
a

Consider the sequence (ci )i of points in [a, b[ , given by

b−a
ci = b − .
i +1

Notice that it is strictly increasing, it converges to b, and it is c0 = a. Since f is integrable

on each interval [ci−1 , ci ], we can consider, for each i ≥ 1, a gauge δi on [ci−1 , ci ] such that,
for every δi -fine P-partition i of [ci−1 , ci ], one has
 
 ci  ε
S([ci−1 , ci ], f, i ) − f  ≤ .
 2i+4
ci−1

We define a gauge δ on [a, b] by setting

⎧ ! "
⎪
⎪ min δi (x), x−c2i−1 , ci −x if x ∈ ]ci−1 , ci [ ,
⎪
⎪  
2
⎨
min !δ1 (a), c12−a " if x = a ,
δ(x) = c −c ci+1 −ci
⎪
⎪ min δi (ci ), δi+1 (ci ), i 2 i−1 , if x = ci and i ≥ 1 ,
⎪
⎪ 2
⎩
γ if x = b .
1.16 · The Hake Theorem
55 1
Let  = {(xj , [aj −1 , aj ]) : j = 1, . . . , m}, be a δ-fine P-partition of [a, b]. Denote by q
be the smallest integer for which cq+1 ≥ am−1 . The choice of the gauge permits to split the
Riemann sum, similarly as in the proof of the theorem on the additivity of the integral on
subintervals. The sum S([a, b], f¯, ) will thus contain
▬ q Riemann sums on [ci−1 , ci ], with i = 1, . . . , q;
▬ a Riemann on [cq , am−1 ];
▬ a last term f¯(xm )(b − am−1 ).

To better clarify what we just said, assume for example that q = 2; then there must be a j¯1
for which xj¯1 = c1 , and a j¯2 for which xj¯2 = c2 . Then,

S([a, b], f¯, ) = [f (x1 )(a1 − a) +. . .+ f (xj¯1 −1 )(aj¯1 −1 − aj¯1 −2 ) + f (c1 )(c1 − aj¯1 −1 )]

+ [f (c1 )(aj¯1 − c1 ) +. . .+ f (xj¯2 −1 )(aj¯2 −1 − aj¯2 −2 ) + f (c2 )(c2 − aj¯2 −1 )]

+ [f (c2 )(aj¯2 − c2 ) + · · · + f (xm−1 )(am−1 − am−2 )]

+ f¯(xm )(b − am−1 ) .

In general, we will have


q
S([a, b], f¯, ) = S([ci−1 , ci ], f, i ) + S([cq , am−1 ], f, q+1 ) +
i=1

+f¯(xm )(b − am−1 ) ,

where, for i = 1, . . . , q, i is a δi -fine P-partition of [ci−1 , ci ], while q+1 is a δq+1 -fine

P-partition of [cq , am−1 ], and hence a δq+1 -fine sub-P-partition of [cq , cq+1 ]. By the choice
of the gauge δ, it has to be xm = b and hence f¯(xm ) = 0. Moreover, since δ(xm ) = γ , it is
b − am−1 ≤ γ . Using the fact that

am−1 q
 ci am−1
f = f+ f,
a i=1 ci−1 cq

by the Saks–Henstock theorem we have

   
 am−1   am−1 
|S([a, b], f¯, ) − A| ≤ S([a, b], f¯, ) − f  +  f − A
a a
q 
 
 ci 
≤ S([ci−1 , ci ], f, i ) − f  +

i=1 ci−1
 am−1   am−1 

   
+ S([cq , am−1 ], f, q+1 ) − f  +  f − A
 cq  a
 56 Chapter 1 • Functions of One Real Variable
1

q
ε ε ε
≤ + 4 q+4 +
2i+4 2 2
i=1
ε ε ε
≤ + + = ε,
4 4 2
and the proof is thus completed. 


The above theorem suggests that even for a function of the type f : [a, +∞[ → R
the definition of the improper integral could be reduced to that of a usual integral.
Indeed, fixing arbitrarily b > a, we could define a continuously differentiable strictly
increasing function ϕ : [a, b[ → R such that ϕ(a) = a and limu→b− ϕ(u) = +∞; for
example, take ϕ(u) = a + ln b−a
b−u
. A formal change of variables then gives
+∞ b
f (x) dx = f (ϕ(u))ϕ (u) du ,
a a

and to this last integral Hake’s theorem applies.

With this idea in mind, it is possible to prove that f : [a, +∞[ → R is integrable
and its integral is a real number A if and only if for every ε > 0 there is a gauge δ,
defined on [a, +∞[ , and a positive constant α such that, if

a = a0 < a1 < · · · < am−1 , with am−1 ≥ α ,

and, for every j = 1, . . . , m − 1,

xj − δ(xj ) ≤ aj −1 ≤ xj ≤ aj ≤ xj + δ(xj ) ,

then
 m−1 
 
 f (xj )(aj − aj −1 ) − A ≤ ε .

j =1

We refer to the book of Bartle [1] for a complete treatment of this case.
Needless to say, similar considerations can be made in the case when the function f
is defined on an interval of the type ]a, b], with −∞ ≤ a.

1.17 Integrals and Series

We now prove a theorem which shows the close connection between the theory of
numerical series and that of the improper integral.
1.17 · Integrals and Series
57 1

Theorem 1.48
Let f : [1, +∞[ → R be a function which is positive, decreasing and integrable on
[1, c], for every c > 1. Then f is integrable on [1, +∞[ if and only if the series
∞
k=1 f (k) converges. Moreover, we have

∞
 +∞ ∞

f (k) ≤ f ≤ f (k) .
k=2 1 k=1

Proof
For x ∈ [k, k + 1], it has to be f (k + 1) ≤ f (x) ≤ f (k). Hence,
k+1
f (k + 1) ≤ f ≤ f (k) .
k

Summing up, we obtain


n n+1 
n
f (k + 1) ≤ f ≤ f (k) .
k=1 1 k=1

 c
Being f positive, the sequence ( nk=1 f (k))n and the function c → 1 f are both increasing
and therefore have a limit. The conclusion now follows from the comparison theorem for
limits. 


1 2 3 4 5

Observations It is clear that the choice a = 1 in the theorem just proved is by no way
necessary. Notice moreover that this theorem is often used to determine the convergence
of a series, giving the estimate
+∞ ∞
 +∞
f ≤ f (k) ≤ f (1) + f.
1 k=1 1
 58 Chapter 1 • Functions of One Real Variable
1
∞
Example Consider the series k=1 k −3 ; in this case:

+∞  1∞ +∞
1 1
3
dx ≤ ≤ 1+ dx ,
1 x k3 1 x3
k=1

and then
∞
1  1 3
≤ 3
≤ .
2 k 2
k=1

A greater accuracy is easily attained by computing the sum of a few first terms and then using
the estimate given by the integral. For example, separating the first two terms, we have:

∞
 ∞
1 1  1
3
=1+ + ,
k 8 k3
k=1 k=3

with
+∞  1∞ +∞
1 1 1
3
dx ≤ ≤ + dx .
3 x k3 27 3 x3
k=3

We thus have the following estimate:

∞
255  1 263
≤ ≤ .
216 k3 216
k=1

We conclude this chapter with some exercises on this final part.

Exercises
1. Establish whether the following improper integrals converge:
+∞ #
x
dx
0 x3 + 1
+∞ 1
√ √ dx
0 x (1 + x + x)

2. For which α ∈ R the integrals

+∞ +∞
1 1
dx , dx
π x(ln x)α π x(ln x)(ln(ln x))α

converge?
1.17 · Integrals and Series
59 1
3. The following improper integrals converge?
2 1
ln x 1
√ dx , dx
0 x cos x 0 x ln x

4. The following series converge?

∞
 ∞

1 1
,
k ln k k ln k ln(ln k)
k=1 k=1
 61 2

Functions of Several Real Variables

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2_2

In this chapter we extend the theory developed in the previous one to functions of several
variables defined on subsets of RN, with values in R. In order to simplify the exposition,
we will often concentrate on the case N = 2. It will not be so difficult for the reader to
extend the various results to the case of a generic dimension N.

2.1 Integrability on Rectangles

We begin by considering the case of functions defined on rectangles. A rectangle of

RN is a set of the type [a1 , b1 ] × · · · × [aN , bN ]. This word is surely familiar in the
case N = 2. If N = 1, a rectangle happens to be a compact interval while, if N = 3,
usually one prefers to call it “rectangle parallelepiped”. In the following exposition, we
concentrate for simplicity on the two-dimensional case. The general case is perfectly
similar and does not involve greater difficulties, except for the notations.
We consider the rectangle I = [a1 , b1 ] × [a2 , b2 ] ⊆ R2 . Let us define the measure
of I :

μ(I ) = (b1 − a1 )(b2 − a2 ) .

We say that two rectangles are non-overlapping if their interiors are disjoint.
A P-partition of the rectangle I is a set

 = {(x 1 , I1 ), (x 2 , I2 ), . . . , (x m , Im )} ,

where the Ij are non-overlapping rectangles whose union is I and, for every j =
1, . . . , m, the point x j = (xj , yj ) belongs to Ij .
 62 Chapter 2 • Functions of Several Real Variables

Example If I = [0, 10] × [0, 6], a possible P-partition is the following:

2
 = {((1, 1), [0, 7] × [0, 2]), ((0, 5), [0, 3] × [2, 6]),

((5, 4), [3, 10] × [4, 6]), ((10, 0), [7, 10] × [0, 4]), ((5, 3), [3, 7] × [2, 4])} .

x2 I3
x3
I2
I5 x5
I4

x1 I1
x4

Let us now consider a function f defined on the rectangle I, with values in R, and let
 = {(x j , Ij ) : j = 1, . . . , m} be a P-partition of I. We call Riemann sum associated
to I, f and  the real number S(I, f, ) defined by


m
S(I, f, ) = f (x j )μ(Ij ) .
j =1

Whenever f happens to be positive, this number is the sum of the volumes of the
parallelepipeds having as base Ij and height [0, f (x j )].

x3

x2

x1

We now introduce the notion of fineness for the P-partition  defined above. We
call gauge on I every function δ : I → R such that δ(x) > 0 for every x ∈ I. Given
2.1 · Integrability on Rectangles
63 2
a gauge δ on I, we say that the P-partition  introduced above is δ-fine if, for every
j = 1, . . . , m,

Ij ⊆ [xj − δ(xj , yj ), xj + δ(xj , yj )] × [yj − δ(xj , yj ), yj + δ(xj , yj )] .

In the following, given x = (x, y) ∈ I and r > 0, in order to shorten the notations we
will write

B[x, r] = [x − r, x + r] × [y − r, y + r] ;

the P-partition  will then be δ-fine if, for every j = 1, . . . , m,

Ij ⊆ B[x j , δ(x j )] .

Example Let I = [0, 1] × [0, 1] and δ be the gauge defined as follows:

⎧
⎪ x +y
⎨ if (x, y)
= (0, 0) ,
δ(x, y) = 1 3
⎪
⎩ if (x, y) = (0, 0) .
2

We want to find a δ-fine P-partition of I. Similarly as was seen in the case N = 1 we have
in this case that one of the points x j necessarily has to coincide with (0, 0). We can then
choose, for example,
          
1 1 1 1 1
= (0, 0), 0, × 0, , , 1 , 0, × ,1 ,
2 2 2 2 2
          
1 1 1 1 1
1, , , 1 × 0, , (1, 1), , 1 × ,1 .
2 2 2 2 2

It is interesting to observe that it is not always possible to construct δ-fine P-partitions by

only joining points on the edges of I . The reader can be convinced by trying to do this with
the following gauge:
⎧
⎪ x +y
⎨ if (x, y)
= (0, 0) ,
δ(x, y) = 1 16
⎪
⎩ if (x, y) = (0, 0) .
2

As in the one-dimensional case, one can prove that for every gauge δ on I there
exists a δ-fine P-partition of I (Cousin’s Theorem). The following definition is identical
to the one seen in Chapter 1.
 64 Chapter 2 • Functions of Several Real Variables

Definition 2.1
2 A function f : I → R is said to be integrable (on the rectangle I ) if there is a real
number A with the following property: given ε > 0, it is possible to find a gauge δ
on I such that, for every δ-fine P-partition  of I, it is

|S(I, f, ) − A| ≤ ε .

We briefly overview all the properties which can be obtained from the given
definition in the same way as was done in the case of a function of a single variable.
There is at most one A ∈ R which verifies the conditions of the definition. Such a
number is called the integral of f on I and is denoted by one of the following symbols:

f, f (x) dx , f (x, y) dx dy .
I I I

The set of integrable functions is a vector space, and the integral is a linear function on
it:

(f + g) = f + g , (αf ) = α f
I I I I I

(with α ∈ R); it preserves the order:

f ≤g ⇒ f ≤ g.
I I

The Cauchy criterion of integrability holds. Moreover, we have the following

version of the theorem on additivity on subrectangles.

Theorem 2.2
Let f : I → R be a function and K1 , K2 , . . . , Kl be non-overlapping sub-rectangles
of I whose union is I. Then, f is integrable on I if and only if it is integrable on each
of the Ki . In that case, we have

l

f = f.
I i=1 Ki

In particular, if a function is integrable on a rectangle, it still is on every subrectangle.

The proof of the theorem is similar to that given in the one-dimensional case, and is
based on the possibility of constructing a gauge which permits to split the Riemann
sums on I in the sum of Riemann sums on the single subrectangles.
2.1 · Integrability on Rectangles
65 2
We say that an integrable function on I is R-integrable there (or integrable
according to Riemann) if, among all possible gauges δ : I → R which verify the
definition of integrability, it is always possible to choose one which is constant on I. The
set of R-integrable functions is a vector subspace of the space of integrable functions and
contains the subspace of continuous functions.
We say that an integrable function f : I → R is L-integrable (or integrable
according to Lebesgue) if |f | is integrable on I, as well. The L-integrable functions
make up a vector subspace of the space of integrable functions. If f and g are two L-
integrable functions on I , then the functions min{f, g} and max{f, g} are L-integrable
on I , too. A function f is L-integrable on I if and only if such are its positive part
f + = max{f, 0} and its negative part f − = max{−f, 0}.
The Saks–Henstock’s theorem, the Monotone Convergence Theorem of B. Levi
and the Dominated Convergence Theorem of H. Lebesgue extend, with statements and
proofs perfectly analogous to those given in the first chapter, to the integrable functions
on a rectangle.

Exercises
1. Let f : [a, b] × [c, d] → R be defined as f (x, y) = x. Prove that f is integrable and
compute

f (x, y) dx dy .
[a,b]×[c,d]

2. Let f : [0, 1] × [0, 1] → R be the function defined as

⎧  
⎨3 if x ∈ 0, 12 ,
f (x, y) =  
⎩5 if x ∈ 12 , 1 .

Prove that f is integrable with

f (x, y) dx dy = 4 .
[0,1]×[0,1]


3. Prove that, if f : I → R is equal to 0 for every (x, y) ∈
/ Q × Q, then I f = 0.
4. By the use of the dDominated Convergence Theorem, prove that

cos(ek(x +y ) )
2 2

lim √ dx dy = 0 ,
k→∞ [0,1]×[0,1] k
 
√ x +y
lim k sinh dx dy = 0 .
k→∞ [−1,1]×[−1,1] k
 66 Chapter 2 • Functions of Several Real Variables

2.2 Integrability on a Bounded Set

2
Given a bounded set E and a function f whose domain contains E, we define the
function fE as follows:

f (x) if x ∈ E ,
fE (x) =
0 if x
∈ E .

We can prove the following

Proposition 2.3
Let I1 and I2 be two rectangles containing the set E. Then, fE is integrable on I1 if
 
and only if it is integrable on I2 . In that case, we have I1 fE = I2 fE .

Proof
We consider for simplicity the case N = 2. Assume that fE be integrable on I1 . Let K be
a rectangle containing both I1 and I2 . We can construct some non-overlapping rectangles
K1 , . . . , Kr , also non-overlapping with I1 , such that I1 ∪ K1 ∪ · · · ∪ Kr = K. We
now prove that fE is integrable on each of the subrectangles K1 , . . . , Kr , and that the
 
integrals K1 fE , . . . , Kr fE are all equal to zero. Notice that fE restricted to each of these
subrectangles is zero everywhere except perhaps on one of their edges. We are thus led to
prove the following lemma, which will permit us to conclude the proof.

Lemma 2.4
Let K be a rectangle and g : K → R be a function which is zero everywhere except

perhaps on one edge of K. Then g is integrable on K and K g = 0.

Proof
We first assume that the function g be bounded on K, i.e., that there is a constant C > 0 for
which

|g(x, y)| ≤ C ,

for every (x, y) ∈ K. Fix ε > 0. Let L be the edge of the rectangle K on which g can be
nonzero, and denote by  its length. Define the constant gauge δ = C
ε
. Then, for every δ-fine
2.2 · Integrability on a Bounded Set
67 2
P-partition  = {(x 1 , I1 ), (x 2 , I2 ), . . . , (x m , Im )} of K, we have:


m
|S(K, g, )| ≤ |g(x j )|μ(Ij )
j =1

= |g(x j )|μ(Ij )
{j : x j ∈L}

≤C μ(Ij )
{j : x j ∈L}

≤ Cδ = ε .

This proves that g is integrable on K and K g = 0 in the case when g is bounded on K. If
g is not such, assume that it has non-negative values. Define the following sequence (gk )k of
functions:

gk (x) = min{g(x), k} .

Being the functions gk bounded, for what have been seen above we have K gk = 0, for every
k. It is easily seen that the sequence thus defined satisfies the conditions of the Monotone
Convergence Theorem and converges pointwise to g. It then follows that g is integrable on
K and

g = lim gk = 0 .
K k K

If g does not have only non-negative values, it is always possible to consider g + and g − .
  
From the above, K g + = K g − = 0, and then K g = 0, which is what was to be
proved. 


End of the Proof

Having proved that fE is integrable on each of the K1 , . . . , Kr and that the integrals
 
K1 fE , . . . , Kr fE are equal to zero, by the theorem of additivity on subrectangles we have
that, being fE integrable on I1 , it is such on K, and

fE = fE + fE + · · · + fE = fE .
K I1 K1 Kr I1

But then fE is integrable on every sub-interval of K, and in particular on I2 . We can now

construct, analogously to what has just been done for I1 , some non-overlapping rectangles
J1 , . . . , Js , also non-overlapping with I2 , such that I2 ∪ J1 ∪ · · · ∪ Js = K. Similarly, we
will have

fE = fE + fE + · · · + fE = fE ,
K I2 J1 Js I2
 
which proves that I1 fE = I2 fE . To see that the condition is necessary and sufficient, just
exchange the roles of I1 and I2 in the above proof. 

 68 Chapter 2 • Functions of Several Real Variables

We are thus led to the following.

2
Definition 2.5
Given a bounded set E, we say that the function f : E → R is integrable (on the
set E) if there is a rectangle I containing the set E on which fE is integrable. In
that case, we set

f = fE .
E I

When f is integrable on E according to the previous definition, one has that fE

is integrable on any rectangle containing the set E, and the integral of fE remains the
same on each such rectangle.
With the given definition, all the properties of the integral seen before easily
extend. There is an exception concerning the additivity, since it is not true in general
that a function which is integrable on a bounded set remains integrable on any of its
subsets. Indeed, take a function f : E → R which is integrable but not L-integrable.
We consider the subset

E = {x ∈ E : f (x) ≥ 0} ,

and we show that f cannot be integrable on E . If it was, then f + would be integrable

on E. But then also f − = f + − f would be integrable on E, and therefore f should
be L-integrable on E, in contradiction with the assumption.
We will see that, with respect to additivity, the L-integrable functions have a
somewhat better behavior.

2.3 The Measure of a Bounded Set

Definition 2.6
A bounded set E is said to be measurable if the constant function 1 is integrable on

E. In that case, the number E 1 is said to be the measure of E and is denoted by
μ(E).

The measure of a measurable set is thus a non-negative number. The empty set is
assumed to be measurable, and its measure is equal to 0. In the case of a subset of R2 ,
its measure is also called the area of the set. If E = [a1 , b1 ] × [a2 , b2 ] is a rectangle, it
is easily seen that

μ(E) = 1 = (b1 − a1 )(b2 − a2 ) ,
E
2.3 · The Measure of a Bounded Set
69 2
so that the notation is in accordance with the one already introduced for rectangles. For
a subset of R3, the measure is also called the volume of the set.
Not every set is measurable. It is shown in Appendix C that, when dealing with
non-measurable sets, some paradoxical situations can arise. In the following, we will be
careful to always consider measurable sets.
Let us analyze some properties of the measure. It is useful to introduce the
characteristic function of a set E, defined by

1 if x ∈ E ,
χE (x) =
0 if x
∈ E .

If I is a rectangle containing the set E, we thus have

μ(E) = χE .
I

Proposition 2.7
Let A and B be two bounded and measurable sets. The following properties hold:
(a) if A ⊆ B, then B \ A is measurable, and

μ(B \ A) = μ(B) − μ(A) ;

in particular, μ(A) ≤ μ(B).

(b) A ∪ B and A ∩ B are measurable, and

μ(A ∪ B) + μ(A ∩ B) = μ(A) + μ(B) ;

in particular, if A and B are disjoint, then μ(A ∪ B) = μ(A) + μ(B).

Proof
Let I be a rectangle containing A ∪ B. If A ⊆ B, then χB\A = χB − χA , and property (a)
follows by integrating on I .
Being χA∪B = max{χA , χB } and χA∩B = min{χA , χB }, we have that χA∪B and χA∩B
are integrable on I . Moreover,

χA∪B + χA∩B = χA + χB ,

and integrating on I we have (b). 



The following proposition states the property of complete additivity of the measure.
 70 Chapter 2 • Functions of Several Real Variables

2 Proposition 2.8
If (Ak )k≥1 is a sequence of bounded and measurable sets, whose union A = ∪k≥1 Ak
is bounded, then A is measurable, and

∞

μ(A) ≤ μ(Ak ) .
k=1

If the sets Ak are pairwise disjoint, then equality holds.

Proof
Assume first that the sets Ak be pairwise disjoint. Let I be a rectangle containing their union
A. Then, for every x ∈ I,

∞

χA (x) = χAk (x) .
k=1

Moreover, since for every positive integer q it is

 

q $
q
μ(Ak ) = μ Ak ≤ μ(I ) ,
k=1 k=1

  ∞
the series ∞k=1 I χAk = k=1 μ(Ak ) converges. By the corollary following the Monotone
Convergence Theorem, we have that A is measurable and


∞ ∞
 ∞

μ(A) = χA = χAk = χAk = μ(Ak ) .
I I k=1 k=1 I k=1

When the sets Ak are not pairwise disjoint, consider the sets B1 = A1 , B2 = A2 \ A1 and,
in general, Bk = Ak \ (A1 ∪ · · · ∪ Ak−1 ). The sets Bk are measurable, pairwise disjoint, and
∪k≥1 Bk = ∪k≥1 Ak . The conclusion then follows from what has been proved above. 


We have a similar proposition concerning the intersection of a countable family of

sets.

Proposition 2.9
If (Ak )k≥1 is a sequence of bounded and measurable sets, their intersection A =
∩k≥1 Ak is a measurable set.
2.3 · The Measure of a Bounded Set
71 2
Proof
Let I be a rectangle containing the set A. Then,
⎛ ⎞
% $
Ak = I \ ⎝ (I \ (Ak ∩ I ))⎠ ,
k≥1 k≥1

and the conclusion follows from the two previous propositions. 



The following two propositions will provide us with a large class of measurable sets.

Proposition 2.10
Every open and bounded set is measurable.

Proof
Consider for simplicity the case N = 2. Let A be an open set contained in a rectangle I.
We divide the rectangle I in four rectangles of equal areas using the axes of its edges. Then
we proceed analogously with each of these four rectangles, thus obtaining sixteen smaller
rectangles, and so on. Being A open, for every x ∈ A there is a small rectangle among those
just constructed which contains x and is contained in A. In this way, it is seen that the set
A is covered by a countable family of rectangles; being the union of a countable family of
measurable sets, it is therefore measurable. 


Proposition 2.11
Every compact set is measurable.

Proof ◦ ◦
Let
◦
B be a compact set, and let I be a rectangle whose
◦
interior
◦
I contains B. Being I and
I \ B open and hence measurable, we have that B = I \ (I \ B) is measurable. 


Example The set

E = {(x, y) ∈ R2 : 1 < x 2 + y 2 ≤ 4}

is measurable, being the difference of the closed disks with radius 2 and 1 centered at the
origin:

E = {(x, y) ∈ R2 : x 2 + y 2 ≤ 4} \ {(x, y) ∈ R2 : x 2 + y 2 ≤ 1} .
 72 Chapter 2 • Functions of Several Real Variables

2.4 The Chebyshev Inequality

2
Theorem 2.12
Let E be a bounded set, and f : E → R be an integrable function, with non-negative
values. Then, for every r > 0, the set

Er = {x ∈ E : f (x) > r}

is measurable, and

1
μ(Er ) ≤ f.
r E

Proof
Let I be a rectangle containing E. Once fixed r > 0, we define the following functions on
I:

fk (x) = min{1, k max{fE (x) − r, 0}} .

They make up an increasing sequence of L-integrable functions which pointwise converges

to χEr . Clearly,

0 ≤ fk (x) ≤ 1 ,

for every k and every x ∈ I. The Monotone (or Dominated, as well) Convergence Theorem
guarantees that χEr is integrable on I , i.e., that Er is measurable. Since, for every x ∈ E, it
is rχEr (x) ≤ f (x), integrating we obtain the inequality we are looking for. 


Corollary 2.13
Let E be a bounded and measurable set, and f : E → R an integrable function with
non-negative values. Then, taken two real numbers r, s such that 0 ≤ r < s, the set

Er,s = {x ∈ E : r ≤ f (x) < s}

is measurable.
2.5 · Negligible Sets
73 2
Proof
Let Er = {x ∈ E : f (x) ≥ r}. With the notations of the previous theorem, if r > 0, we have
%
Er = Er− 1 ,
k
k> 1r

while, if r = 0, we have Er = E. In any case, Er is measurable. Being Er,s = Er \ Es , the

conclusion follows. 


2.5 Negligible Sets

Definition 2.14
We say that a bounded set is negligible if it is measurable and its measure is equal
to zero.

Every set made of a single point is negligible. Consequently, all finite or countable
bounded sets are negligible. The edge of a rectangle in R2 is a negligible set, as shown
by Lemma 2.4. Another interesting example of a negligible and not countable set is
given by the Cantor set (see, e.g., [1, Theorem 4.16]).
By the complete additivity of the measure, the union of any sequence of negligible
sets, if it is bounded, is always a negligible set.

Theorem 2.15
If E is a bounded set and f : E → R is equal to zero except for a negligible set, then

f is integrable on E and E f = 0.

Proof
Let T be the negligible set on which f in non-zero. Assume first that the function f be
bounded, i.e., that there is a constant C > 0 such that

|f (x)| ≤ C ,

for every x ∈ E. We consider a rectangle I containing E and prove that I fE = 0. Fix
ε > 0. Since T has zero measure, there is a gauge δ such that, for every δ-fine P-partition
 = {(x j , Ij ), j = 1, . . . , m} of I,
 ε
S(I, χT , ) = μ(Ij ) ≤ ,
C
{j : x j ∈T }
 74 Chapter 2 • Functions of Several Real Variables

so that
2
 
|S(I, fE , )| ≤ |f (x j )|μ(Ij ) ≤ C μ(Ij ) ≤ ε .
{j : x j ∈T } {j : x j ∈T }


Hence, in case f is bounded, it is integrable on E and E f = 0. If f is not bounded, assume
first that it has non-negative values. Define on E a sequence of functions (fk )k :

fk (x) = min{f (x), k} .

Being the functions fk bounded and equal to zero except on T , for what has just been seen

they are integrable on E with E fk = 0, for every k. It is easily seen that the defined
sequence satisfies the conditions of the Monotone Convergence Theorem and converges
pointwise to f. Hence, f is integrable on E, and

f = lim fk = 0 .
E k E

If f does not have non-negative values, it is sufficient to consider f + and f − , and apply to
them what has been said above. 


Theorem 2.16
If f : E → R is an integrable function on a bounded set E, having non negative

values, with E f = 0, then f is equal to zero except on a negligible set.

Proof
Using the Chebyshev inequality, we have that, for every positive integer k,

μ(E 1 ) ≤ k f = 0.
k E

Hence, every E 1 is negligible, and since their union is just the set where f is non-zero, we
k
have the conclusion. 


Definition 2.17
Let E be a bounded set. We say that a proposition is true almost everywhere on E
(or for almost every point of E) if the set of points for which it is false is negligible.

The results proved above have the following simple consequence.

2.6 · A Characterization of Bounded Measurable Sets
75 2

Corollary 2.18
If two functions f and g, defined on the bounded set E, are equal almost everywhere
 
on E, then f is integrable on E if and only if such is g. In that case, E f = E g.

This last corollary permits us to consider some functions which are defined almost
everywhere, and to define their integral.

Definition 2.19
A function f, defined almost everywhere on E, with real values, is said to be
integrable on E if it can be extended to an integrable function g : E → R. In this
 
case, we set E f = E g.

It can be seen that all the properties and theorems seen before remain true for
such functions. The reader is invited to verify this.

2.6 A Characterization of Bounded Measurable Sets

The following covering lemma will be useful in what follows.

Lemma 2.20
Let E be a set contained in a rectangle I, and let δ be a gauge on E. Then, there is
a finite or countable family of non-overlapping rectangles Jk , contained in I, whose
union covers the set E, with the following property: in each of the sets Jk there is a
point x k belonging to E such that Jk ⊆ B[x k , δ(x k )].

Proof
We consider for simplicity the case N = 2. Let us divide the rectangle I in four rectangles,
having the same areas, by the axes of its edges. We proceed analogously with each of these
four rectangles, obtaining sixteen smaller rectangles, and so on. We thus obtain a countable
family of smaller and smaller rectangles. For every point x of E we can choose one of these
rectangles which contains x and is itself contained in B[x, δ(x)]. These rectangles would
satisfy the properties of the statement, if they were non-overlapping.
In order that the sets Jk be non-overlapping, it is necessary to make a careful choice
of them, and here is how to do it. We first choose those from the beginning four, if there
are any, which contain a point x k belonging to E such that Jk ⊆ B[x k , δ(x k )]; once
this choice has been made, we eliminate all the smaller rectangles contained in them. We
consider then the sixteen smaller ones and, among the ones which remained after the first
elimination procedure, we choose those, if there are any, which contain a point x k belonging
 76 Chapter 2 • Functions of Several Real Variables

to E such that Jk ⊆ B[x k , δ(x k )]; once this choice has been made, we eliminate all the
2 smaller rectangles contained in them; and so on. 


Remark Notice that if, in the assumptions of the covering lemma, it happens that E is
contained in an open set which is itself contained in I, then all the rectangles Jk can be
chosen so to be all contained in that open set.

We can now prove the following characterization of the bounded measurable sets.1

Proposition 2.21
Let E be a bounded set, contained in a rectangle I. The three following propositions
are equivalent:
(i) the set E is measurable;
(ii) for every ε > 0 there are two finite or countable families (Jk ) and (Jk ), each
made of [non-overlapping] rectangles contained in I, such that
   
$ $ $ $

E⊆ Jk , I \ E ⊆ Jk and μ Jk ∩ Jk ≤ ε;
k k k k

(iii) there are two sequences (En )n≥1 and (En )n≥1 of bounded and measurable
subsets such that

En ⊆ E ⊆ En , lim (μ(En ) − μ(En )) = 0 .

n→∞

In that case, we have:

μ(E) = lim μ(En ) = lim μ(En ) .

n→∞ n→∞

Proof
Let us first prove that (i) implies (ii). Assume that E be measurable, and fix ε > 0. By the
Saks–Henstock’s theorem, there is a gauge δ on I such that, for every δ-fine sub-P-partition
 = {(x j , Kj ) : j = 1, . . . , m} of I,
m 
 
  ε
 
χE (x j )μ(Kj ) − χE  ≤ .
 Kj  2
j =1

By the covering lemma, there is a family of non-overlapping rectangles Jk , contained in I ,

whose union covers E and in each Jk there is a point x k belonging to E such that Jk ⊆
B[x k , δ(x k )]. Let us fix a positive integer N and consider only (x 1 , J1 ), . . . , (x N , JN ). They

1 In the following statements, the words in squared brackets may be omitted.

2.6 · A Characterization of Bounded Measurable Sets
77 2
make up a δ-fine sub-P-partition of I. From the above inequality we then deduce that

N 
 
  ε
μ(Jk ) − χ ≤ ,
 E  2
k=1 Jk

whence


N N

ε ε ε
μ(Jk ) ≤ χE + ≤ χE + = μ(E) + .
2 2 2
k=1 k=1 Jk I

Since this holds for every positive integer N, we have thus constructed a family (Jk ) of
non-overlapping rectangles, such that
$  ε
E⊆ Jk , μ(Jk ) ≤ μ(E) + .
2
k k

Consider now I \E, which is measurable, as well. We can repeat the same procedure as above
replacing E by I \ E, thus finding a family (Jk ) of non-overlapping rectangles, contained in
I , such that
$  ε
I \E ⊆ Jk , μ(Jk ) ≤ μ(I \ E) + .
2
k k

Consequently,
 
$ $
I\ Jk ⊆E⊆ Jk ,
k k

and hence
        
$ $ $ $

μ Jk ∩ Jk =μ Jk \ I \ Jk
k k k k
    
$ $
=μ Jk −μ I \ Jk
k k
   
$ $
=μ Jk − μ(I ) + μ Jk
k k
 ε  ε
≤ μ(E) + − μ(I ) + μ(I \ E) +
2 2
= ε,

and the implication is thus proved.

 78 Chapter 2 • Functions of Several Real Variables

Taking ε = n1 , it is easy to see that (ii) implies (iii). Let us prove now that (iii) implies
2 (i). Consider the measurable sets
$ %
 =
E En , =
E En ,
n≥1 n≥1

for which it has to be

 ⊆ E ⊆ E
E ,  ) = μ(E)
μ(E  .

Equivalently, we have

χE ≤ χE ≤ χE , (χE − χE ) = 0 ,
I

 ) =
so that χE = χE = χE almost everywhere. Then, E is measurable and μ(E) = μ(E
 Moreover,
μ(E).

0 ≤ lim[μ(E) − μ(En )] ≤ lim[μ(En ) − μ(En )] = 0 ,

n n

hence μ(E) = limn μ(En ). Analogously it is seen that μ(E) = limn μ(En ), and the proof
is thus completed. 


Proposition 2.22
Let E be a bounded set. Then, E is negligible if and only if for every ε > 0 there is a
finite or countable family (Jk ) of [non-overlapping] rectangles such that
$ 
E⊆ Jk , μ(Jk ) ≤ ε .
k k

Proof
The necessary condition is proved in the first part of the proof of the previous proposition.
Let us prove the sufficiency. Once fixed ε > 0, assume there exists a family (Jk ) with
the given properties. Let I be a rectangle containing the set E. On the other hand, consider a
family (Jk ) whose elements all coincide with I. The condition (ii) of the previous proposition
is then satisfied, so that E is indeed measurable. Then,
 
$ 
μ(E) ≤ μ Jk ≤ μ(Jk ) ≤ ε ;
k k

being ε arbitrary, it has to be μ(E) = 0. 


2.7 · Continuous Functions and L-Integrable Functions
79 2
Remark Observe that if E is contained in an open set which is itself contained in a rectangle
I, all the rectangles Jk can be chosen so to be all contained in that open set.

As a consequence of the previous proposition, it is not difficult to prove the

following.

Corollary 2.23
If IN −1 is a rectangle in RN −1 and T is a negligible subset of R, then IN −1 × T is
negligible in RN .

Proof
Fix ε > 0 and, according to Proposition 2.22, let (Jk ) be a finite or countable family of
intervals in R such that
$  ε
T ⊆ Jk , μ(Jk ) ≤ .
μ(IN −1 )
k k

Defining the rectangles J˜k = IN −1 × Jk , we have that

$   ε
IN −1 × T ⊆ J˜k , μ(J˜k ) = μ(IN −1 ) μ(Jk ) ≤ μ(IN −1 ) = ε,
μ(IN −1 )
k k k

and Proposition 2.22 applies again. 



2.7 Continuous Functions and L-Integrable Functions

We begin this section by showing that the continuous functions are L-integrable on
compact sets.

Theorem 2.24
Let E ⊆ RN be a compact set and f : E → R be a continuous function. Then, f is
L-integrable on E.

Proof
We consider for simplicity the case N = 2. Being f continuous on a compact set, there is a
constant C > 0 such that

|f (x)| ≤ C ,
 80 Chapter 2 • Functions of Several Real Variables

for every x ∈ E. Let I be a rectangle containing E. First we divide I into four rectangles, by
2 tracing the segments joining the mid points of its edges; we denote by U1,1 , U1,2 , U1,3 , U1,4
these subrectangles. We now divide again each of these rectangles in the same way,
thus obtaining sixteen smaller subrectangles, which we denote by U2,1 , U2,2 , . . . , U2,16 .
Proceeding in this way, for every k we will have a subdivision of the rectangle I in 22k
small rectangles Uk,j , with j = 1, . . . , 22k . Whenever E has non-empty intersection with
◦ ◦
Uk,j , we choose and fix a point x k,j ∈ E ∩ Uk,j . Define now the function fk in the following
way: ◦ ◦
▬ if E ∩ Uk,j is non-empty, fk is constant on Uk,j with value f (x k,j );
◦ ◦
▬ if E ∩ Uk,j is empty, fk is constant on Uk,j with value 0.

The functions fk are thus defined almost everywhere on I, not being defined only on the
points of the grid made up by the above constructed segments, which form a countable family
of negligible sets. The functions fk are integrable on each subrectangle Uk,j , being constant
in its interior. By the property of additivity on subrectangles, these functions are therefore
integrable on I. Moreover,

|fk (x)| ≤ C ,

for almost every x ∈ I and every k ≥ 1. Let us see now that fk converges pointwise almost
everywhere to fE . Indeed, taking
◦
a point x ∈ I not belonging to the grid, for every k there is
a j = j (k) for which x ∈ Uk,j (k) ; we have two possibilities:
◦
a) x
∈ E; in this case, being E closed, we have that, for k sufficiently large, Uk,j (k) (whose
dimensions tend to zero as k → ∞) will have empty intersection with E, and then
fk (x) = 0 = fE (x).
b) x ∈ E; in this case, if k → +∞, we have that x k,j (k) → x (again using the fact that
◦
Uk,j (k) has dimensions tending to zero). By the continuity of f, we have that

fk (x) = f (x k,j (k) ) → f (x) = fE (x) .

The Dominated Convergence Theorem then yields the conclusion. 



We now see that the L-integrability is conserved on measurable subsets.

Theorem 2.25
Let f : E → R be a L-integrable function on a bounded set E. Then, f is L-integrable
on every measurable subset of E.

Proof
Assume first f to have non-negative values. Let S be a measurable subset of E, and define
on E the functions fk = min{f, kχS }. They form an increasing sequence of L-integrable
2.7 · Continuous Functions and L-Integrable Functions
81 2
functions, since such are both f and kχS , which converges pointwise to fS . Moreover, it is

fk ≤ f,
E E

for every k. The Monotone Convergence Theorem then guarantees that f is integrable on S
in this case. In the general case, f being L-integrable, both f + and f − are L-integrable on
E. Hence, by the above, they are both L-integrable on S, and then such is f , too. 


Let us prove now the property of complete additivity of the integral for L-
integrable functions. We will say that two bounded measurable subsets are non-
overlapping if their intersection is a negligible set.

Theorem 2.26
Let (Ek ) be a finite or countable family of measurable non-overlapping sets whose
union is a bounded set E. Then f is L-integrable on E if and only if the two following
conditions hold:
(a) f is L-integrable on each Ek ;
 
(b) k Ek |f (x)| dx < +∞.

In that case, we have:


f = f.
E k Ek

Proof
Observe that
 
f (x) = fEk (x) , |f (x)| = |fEk (x)| ,
k k

for almost every x ∈ E. If f is L-integrable on E, from the preceding theorem, (a) follows.
Moreover, it is obvious that (b) holds whenever the sets Ek are in a finite number. If instead
they are infinite, for any fixed n, we have

n
 n

|f (x)| dx = |fEk (x)| dx ≤ |f (x)| dx ,
k=1 Ek k=1 E E

and (b) follows.

Assume now that (a) and (b) hold. If the sets Ek are in a finite number, it is sufficient to

integrate on E both terms in the equation f = k fEk . If instead they are infinite, assume
first that f has non-negative values. In this case, the corollary following the Monotone
 82 Chapter 2 • Functions of Several Real Variables


Convergence Theorem, when applied to the series k fEk , yields the conclusion. In the
2 general case, it is sufficient to consider, as usual, the positive and the negative parts of f .



Exercises
1. Compute the area of the set

{(x, y) ∈ R2 : 0 ≤ x ≤ 1 , 0 ≤ y ≤ x} .

2. Compute the following integral:

x 2 dx dy .
[0,1]×[0,1]

3. Prove that the function f : ]0, 1] × [0, 1] → R, defined as

 
√ 1 1
f (x, y) = k if (x, y) ∈ , × [0, 1] ,
k+1 k

is integrable, and give an estimate of its integral.

2.8 Limits and Derivatives Under the Integration Sign

Let X be a metric space, Y a bounded subset of RN, and consider a function f : X×Y →
R. (For simplicity, we may think of X and Y as subsets of R.) The first question we want
to face is the following: when does the formula
   
lim f (x, y) dy = lim f (x, y) dy
x→x0 Y Y x→x0

hold? The following is a generalization of the Dominated Convergence Theorem.

Theorem 2.27
Let x0 be an accumulation point of X, and assume that:
(i) for every x ∈ X \ {x0 }, the function f (x, ·) is integrable on Y, so that we can
define the function

F (x) = f (x, y) dy ;
Y

(ii) for almost every y ∈ Y the limit limx→x0 f (x, y) exists and is finite, so that we
can define almost everywhere the function

η(y) = lim f (x, y) ;

x→x0

(Continued )
2.8 · Limits and Derivatives Under the Integration Sign
83 2

Theorem 2.27 (continued)

(iii) there are two integrable functions g, h : Y → R such that

g(y) ≤ f (x, y) ≤ h(y) ,

for every x ∈ X \ {x0 } and almost every y ∈ Y.

Then, η is integrable on Y, and we have:

lim F (x) = η(y) dy .
x→x0 Y

Proof
Let us take a sequence (xk )k in X \ {x0 } which tends to x0 . Define, for every k, the functions
fk : Y → R such that fk (y) = f (xk , y). By the assumptions (i), (ii) and (iii) we can apply
the Dominated Convergence Theorem, so that
   
lim F (xk ) = lim fk (y) dy = lim fk (y) dy = η(y) dy .
k k Y Y k Y

The conclusion then follows from the characterization of the limit by the use of sequences. 


We have the following consequence.

Corollary 2.28
If X is a subset of RM, Y ⊆ RN is compact, and f : X × Y → R is continuous, then
the function F : X → R, defined by

F (x) = f (x, y) dy ,
Y

is continuous.

Proof
The function F (x) is well defined, being f (x, ·) continuous on the compact set Y. Let us fix
x0 ∈ X and prove that F is continuous at x0 . By the continuity of f,

η(y) = lim f (x, y) = f (x0 , y) .

x→x0
 84 Chapter 2 • Functions of Several Real Variables

Moreover, once taken a compact neighborhood U of x0 , there is a constant C > 0 such that
2 |f (x, y)| ≤ C, for every (x, y) ∈ U × Y. Theorem 2.27 can then be applied, and we have:

lim F (x) = f (x0 , y) dy = F (x0 ) ,
x→x0 Y

thus proving that F is continuous at x0 . 



Let now X be a subset of R. The second question we want to face is the following:
when does the formula
   
d ∂f
f (x, y) dy = (x, y) dy
dx Y Y ∂x

hold? The following result is often quoted as the Leibniz rule.

Theorem 2.29
Let X be an interval in R containing x0 , Y ⊆ RN be bounded, and assume that:
(i) for every x ∈ X, the function f (x, ·) is integrable on Y, so that we can define the
function

F (x) = f (x, y) dy ;
Y

∂f
(ii) for every x ∈ X and almost every y ∈ Y, the partial derivative ∂x (x, y) exists;
(iii) there are two integrable functions g, h : Y → R such that

∂f
g(y) ≤ (x, y) ≤ h(y) ,
∂x

for every x ∈ X and almost every y ∈ Y.

Then, the function ∂f

∂x (x, ·), defined almost everywhere on Y, is integrable there, the
derivative of F at x0 exists, and we have:
 
∂f
F (x0 ) = (x0 , y) dy .
Y ∂x

Proof
We define, for x ∈ X different from x0 , the function

f (x, y) − f (x0 , y)
ψ(x, y) = .
x − x0
2.8 · Limits and Derivatives Under the Integration Sign
85 2
For every x ∈ X \ {x0 }, the function ψ(x, ·) is integrable on Y. Moreover, for almost every
y ∈ Y, it is

∂f
lim ψ(x, y) = (x0 , y) .
x→x0 ∂x

By the Lagrange Mean Value Theorem, for (x, y) as above there is a ξ ∈ X between x0 and
x such that

∂f
ψ(x, y) = (ξ, y) .
∂x

By assumption (iii), we then have

g(y) ≤ ψ(x, y) ≤ h(y) ,

for every x ∈ X \ {x0 } and almost every y ∈ Y. We are then in the hypotheses of the previous
theorem, and we can conclude that the function ∂f∂x (x0 , ·), defined almost everywhere on Y,
is integrable there, and
   
∂f
lim ψ(x, y) dy = (x0 , y) dy .
x→x0 Y Y ∂x

On the other hand,

   
f (x, y) − f (x0 , y)
lim ψ(x, y) dy = lim dy
x→x0 Y x→x0 Y x − x0
 
1
= lim f (x, y) dy − f (x0 , y) dy
x→x0 x − x0 Y Y

F (x) − F (x0 )
= lim ,
x→x0 x − x0

so that F is differentiable at x0 and the conclusion holds true. 



Corollary 2.30
If X is an interval in R, Y is a compact subset of RN, and the function f : X × Y → R
is continuous and has a continuous partial derivative ∂f ∂x : X × Y → R, then the
function F : X → R, defined by

F (x) = f (x, y) dy ,
Y

is differentiable with a continuous derivative.

 86 Chapter 2 • Functions of Several Real Variables

Proof
2 The function F (x) is well defined, being f (x, ·) continuous on the compact set Y. Taking a
point x0 ∈ X and a nontrivial compact interval U ⊆ X containing it, there is a constant C > 0
such that | ∂f
∂x (x, y)| ≤ C, for every (x, y) ∈ U × Y. By Theorem 2.27, F is differentiable at
x0 . The same argument holds replacing x0 by any x ∈ X, and
 
∂f
F (x) = (x, y) dy .
Y ∂x

The continuity of F : X → R now follows from Corollary 2.28. 



Example Consider, for x ≥ 0, the function

e−x (y +1)
2 2

f (x, y) = .
y2 + 1
1
We want to see if the corresponding function F (x) = 0 f (x, y) dy is differentiable and, in
this case, to find its derivative. We have that

∂f
(x, y) = −2xe−x (y +1) ,
2 2

∂x
which, for y ∈ [0, 1] and x ≥ 0, is such that
#
2
≤ −2xe−x ≤ −2xe−x (y +1) ≤ 0 .
2 2 2
−
e

We can then apply the Leibniz rule, so that

1
F (x) = −2x e−x
2 (y 2 +1)
dy .
0

Now that we have found the derivative of F (x), let us make a digression, so to present a
nice formula. By the change of variable t = xy, one has
1 x  x 2
d
e−x
2 (y 2 +1)
dy = −2e−x e−t dt = − e−t dt
2 2 2
−2x .
0 0 dx 0

Taking into account that F (0) = π/4, we can write

 x 2
π
e−t dt
2
F (x) = − .
4 0

We would like now to pass to the limit for x → +∞. Since, for x ≥ 0, one has

e−x (y +1)
2 2

0≤ ≤ 1,
y2 + 1
2.9 · The Reduction Formula
87 2

we can pass to the limit under the sign of integration, thus obtaining

 
e−x (y +1) e−x (y +1)
1 2 2 1 2 2

lim dy = lim dy = 0 .
x→+∞ 0 y2 + 1 0 x→+∞ y 2 + 1

Hence,
 +∞ 2
π
e−t dt
2
=
0 4

and, by symmetry,
+∞ √
e−t dt =
2
π,
−∞

which is a very useful formula in various applications.

2.9 The Reduction Formula

Before stating the main theorem, it is useful to first prove a preliminary result.

Proposition 2.31
Let f : I → R be an integrable function on the rectangle I = [a1 , b1 ] × [a2 , b2 ].
Then, for almost every x ∈ [a1 , b1 ], the function f (x, ·) is integrable on [a2 , b2 ].

Proof
Let T ⊆ [a1 , b1 ] be the set of those x ∈ [a1 , b1 ] for which f (x, ·) is not integrable on
[a2 , b2 ]. Let us prove that T is a negligible set. For each x ∈ T , the Cauchy condition does
not hold. Hence, if we define the sets
⎧ ⎫
⎪
⎨ for every gauge δ2 on [a2 , b2 ] there are two ⎪
⎬
Tn = x : δ2 -fine P-partitions 2 and   2 of [a2 , b2 ] such that ,
⎪
⎩ ⎪
⎭
2 ) >
S([a2 , b2 ], f (x, ·), 2 ) − S([a2 , b2 ], f (x, ·),  1
n

we have that each x ∈ T belongs to Tn , if n is sufficiently large. So, T is the union of all Tn ,
and if we prove that any Tn is negligible, by the properties of the measure we will also have
that T is such. In order to do so, let us consider a certain Tn and fix ε > 0. Being f integrable
on I, there is a gauge δ on I such that, taken two δ-fine P-partitions  and   of I, it is

ε
 ≤
|S(I, f, ) − S(I, f, )| .
n
 88 Chapter 2 • Functions of Several Real Variables

The gauge δ on I determines, for every x ∈ [a1 , b1 ], a gauge δ(x, ·) on [a2 , b2 ]. We now
2  x of [a2 , b2 ] in the
associate to each x ∈ [a1 , b1 ] two δ(x, ·)-fine P-partitions x2 and  2
following way:
– if x ∈ Tn , we can choose x2 and   x such that
2

1
 x2 ) >
S([a2 , b2 ], f (x, ·), x2 ) − S([a2 , b2 ], f (x, ·),  ;
n

–  x equal to each other.

if instead x
∈ Tn , we take x2 and  2

 x thus determined:
Let us write the two P-partitions x2 and  2

x2 = {(yjx , Kjx ) : j = 1, . . . , mx } ,  x ) : j = 1, . . . , m

 x2 = {(ỹjx , K x } .
j

We define a gauge δ1 on [a1 , b1 ], setting

δ1 (x) = min{δ(x, y1x ), . . . , δ(x, ym

x x x
x ), δ(x, ỹ1 ), . . . , δ(x, ỹm
x )} .

Let now 1 = {(xi , Ji ) : i = 1, . . . , k} be a δ1 -fine P-partition of [a1 , b1 ]. We want to prove

that S([a1 , b1 ], χTn , 1 ) ≤ ε, i.e.

μ(Ji ) ≤ ε .
{i : xi ∈Tn }

To this aim, define the following two P-partitions of I which make use of the elements of
1 :

 = {((xi , yjxi ), Ji × Kjxi ) : i = 1, . . . , k , j = 1, . . . , mxi } ,

 xi ) : i = 1, . . . , k , j = 1, . . . , m
 = {((xi , ỹ xi ), Ji × K xi } .
j j

They are δ-fine, and hence

ε
 ≤
|S(I, f, ) − S(I, f, )| .
n

On the other hand, we have

 )| =
|S(I, f, ) − S(I, f, 
 mxi m̃xi 
 k  
k 

=  xi )
x x x
f (xi , yj i )μ(Ji × Kj i ) − f (xi , ỹj i )μ(Ji × K j 
i=1 j =1 i=1 j =1
 ⎡ x ⎤
  m̃xi
 
 k m i

=  μ(Ji ) ⎣ xi )⎦
x x x
f (xi , yj i )μ(Kj i ) − f (xi , ỹj i )μ(K j 
 i=1 j =1 j =1 
2.9 · The Reduction Formula
89 2
 k 
 
 xi  i )]
x
= μ(Ji )[S([a2 , b2 ], f (xi , ·), 2 ) − S([a2 , b2 ], f (xi , ·), 
 2 
i=1

=  xi )] .
μ(Ji )[S([a2 , b2 ], f (xi , ·), x2i ) − S([a2 , b2 ], f (xi , ·),  2
{i : xi ∈Tn }

Recalling that, if xi ∈ Tn ,

1
 xi ) >
S([a2 , b2 ], f (xi , ·), x2i ) − S([a2 , b2 ], f (xi , ·),  ,
2 n

we conclude that

ε 1 
 )| >
≥ |S(I, f, ) − S(I, f,  μ(Ji ) ,
n n
{i : xi ∈Tn }

and hence S([a1 , b1 ], χTn , 1 ) ≤ ε, which is what we wanted to prove. All this shows that
the sets Tn are negligible, and therefore T is negligible, too. 


The following Reduction Theorem, due to G. Fubini, permits to compute the

integral of an integrable function of two variables by performing two integrations of
functions of one variable.

Theorem 2.32
Let f : I → R be an integrable function on the rectangle I = [a1 , b1 ] × [a2 , b2 ].
Then:
(i) for almost every x ∈ [a1 , b1 ], the function f (x, ·) is integrable on [a2 , b2 ];
b
(ii) the function a22 f (·, y) dy, defined almost everywhere on [a1 , b1 ], is integrable
there;
(iii) we have
b1  b2 
f = f (x, y) dy dx .
I a1 a2

Proof
We have already proved (i) in the preliminary proposition. Let us now prove (ii) and (iii).
Let T be the negligible subset of [a1 , b1 ] such that, for x ∈ T , the function f (x, ·) is not
integrable on [a2 , b2 ]. Being T × [a2 , b2 ] negligible in I, we can modify on that set the
function f without changing the integrability properties. (We can choose, for example, f = 0
on that set.) In this way, we can assume without loss of generality that T be empty. Let us
define
b2
F (x) = f (x, y) dy .
a2
 90 Chapter 2 • Functions of Several Real Variables

2 We want to prove that F is integrable on [a1 , b1 ] and that

b1
F = f.
a1 I

Let ε > 0 be fixed. Because of the integrability of f on I, there is a gauge δ on I such that,
for every δ-fine P-partition  of I,
 
 
S(I, f, ) − f  ≤ ε .
  2
I

We now associate to each x ∈ [a1 , b1 ] a δ(x, ·)-fine P-partition x2 of [a2 , b2 ] such that
ε
|S([a2 , b2 ], f (x, ·), x2 ) − F (x)| ≤
2(b1 − a1 )

(this is possible since f (x, ·) is integrable on [a2 , b2 ] with integral F (x)). Let us write the
P-partitions thus determined:

x2 = {(yjx , Kjx ) : j = 1, . . . , mx } .

We define a gauge δ1 on [a1 , b1 ], by setting

δ1 (x) = min{δ(x, y1x ), . . . , δ(x, ym

x
x )} .

Consider now a δ1 -fine P-partition of [a1 , b1 ] :

1 = {(xi , Ji ) : i = 1, . . . , n} ,

and construct the following δ-fine P-partition of I , making use of the elements of 1 :

 = {((xi , yjxi ), Ji × Kjxi ) : i = 1, . . . , n , j = 1, . . . , mxi } .

We have the following inequalities:

 
 
S([a1 , b1 ], F, 1 ) − f  ≤
 
I
 
 
≤ |S([a1 , b1 ], F, 1 ) − S(I, f, )| + S(I, f, ) − f 

I
  mxi
n  
 n  ε

≤ F (xi )μ(Ji ) − f (xi , yjxi )μ(Ji × Kjxi ) +
2
i=1 i=1 j =1
2.9 · The Reduction Formula
91 2
n 
 mxi


 xi  ε
≤ F (xi ) − xi
 f (x ,
i jy )μ(K j μ(Ji ) + 2
)
i=1 j =1


n
ε ε
≤ μ(Ji ) + = ε .
2(b1 − a1 ) 2
i=1

This proves that F is integrable on [a1 , b1 ] and

b1
F = f.
a1 I

The proof is thus completed. 



Example Consider the function f (x, y) = x 2 sin y on the rectangle I = [−1, 1] × [0, π].
Being f continuous on a compact set, it is integrable there, so that:
1  π 
f = x 2 sin y dy dx
I −1 0
1 1  1
x3 4
= x 2 [− cos y]π0 dx = 2 x 2 dx = 2 = .
−1 −1 3 −1 3

Clearly, the following version of the Reduction Theorem holds, which is symmetric
with respect to the preceding one.

Theorem 2.33
Let f : I → R be an integrable function on the rectangle I = [a1 , b1 ] × [a2 , b2 ].
Then:
(i) for almost every y ∈ [a2 , b2 ], the function f (·, y) is integrable on [a1 , b1 ];
b
(ii) the function a11 f (x, ·) dx, defined almost everywhere on [a2 , b2 ], is integrable
there;
(iii) we have:
b2  b1 
f = f (x, y) dx dy .
I a2 a1

As an immediate consequence, we have that, if f is integrable on I = [a1 , b1 ] ×

[a2 , b2 ], then
b1  b2  b2  b1 
f (x, y) dy dx = f (x, y) dx dy .
a1 a2 a2 a1

Therefore, if the above equality does not hold, then the function f is not integrable on I.
 92 Chapter 2 • Functions of Several Real Variables

Examples Consider the function

2 ⎧ 2
⎨ x −y
2
if (x, y)
= (0, 0) ,
f (x, y) = (x + y )2
2 2
⎩
0 if (x, y) = (0, 0) ,

on the rectangle I = [0, 1] × [0, 1]. If x

= 0, it is
 y=1
1 x2 − y2 y 1
dy = = 2 ,
0 (x 2 + y 2 )2 x 2 + y 2 y=0 x +1

so that
1  1 x2 − y2
 1
1 π
dy dx = dx = [arctan x]10 = .
0 0 (x 2 + y 2 )2 0 x +1
2 4

Analogously, we see that

1  1 x2 − y2

π
dx dy = − ,
0 0 (x 2 + y 2 )2 4

and we thus conclude that f is not integrable on I.

As a further example, consider the function
⎧
⎨ xy
if (x, y)
= (0, 0) ,
f (x, y) = (x 2 + y 2 )2
⎩0 if (x, y) = (0, 0) ,

on the rectangle I = [−1, 1] × [−1, 1]. In this case, if x

= 0, we have

 y=1
1 xy −x
dy = = 0,
−1 (x 2 + y 2 )2 2(x 2 + y 2 ) y=−1

so that
1  1 
xy
dy dx = 0 .
−1 −1 (x 2 + y 2 )2

Analogously, we see that

1  1 
xy
dx dy = 0 .
−1 −1 (x 2 + y 2 )2

Nevertheless, we are not allowed to conclude that f is integrable on I. Truly, it is not at all.
Indeed, if f were integrable, it should be such on every subrectangle, and in particular on
2.9 · The Reduction Formula
93 2
[0, 1] × [0, 1]. But, if x
= 0, we have

 y=1
1 xy −x 1
dy = = ,
0 (x 2 + y 2 )2 2(x 2 + y 2 ) y=0 2x(x 2 + 1)

which is not integrable with respect to x on [0, 1].

When the function f is defined on a bounded subset E of R2 , it is possible to state

the Reduction Theorem for the function fE . Let I = [a1 , b1 ] × [a2 , b2 ] be a rectangle
containing E. Let us define the sections of E :

Ex = {y ∈ [a2 , b2 ] : (x, y) ∈ E} , Ey = {x ∈ [a1 , b1 ] : (x, y) ∈ E} ,

and the projections of E :

P1 E = {x ∈ [a1 , b1 ] : Ex
= Ø} , P2 E = {y ∈ [a2 , b2 ] : Ey
= Ø} .

E
Ex

x P1 E

We can then reformulate the Reduction Theorem in the following way.

Theorem 2.34
Let f : E → R be an integrable function on the bounded set E. Then:
(i) for almost every x ∈ P1 E, the function fE (x, ·) is integrable on the set Ex ;

(ii) the function x → Ex f (x, y) dy, defined almost everywhere on P1 E, is integrable
there;
(iii) we have:
 
f = f (x, y) dy dx .
E P1 E Ex

(Continued )
 94 Chapter 2 • Functions of Several Real Variables

2 Theorem 2.34 (continued)


Analogously, the function y → Ey f (x, y) dx, defined almost everywhere on
P2 E, is integrable there, and

 
f = f (x, y) dx dy .
E P2 E Ey

Example Consider the function f (x, y) = |xy| on the set

E = {(x, y) ∈ R2 : 0 ≤ x ≤ 1, −x 2 ≤ y ≤ x 2 } .

Being f continuous and E compact, the theorem applies; we have P1 E = [0, 1] and, for
every x ∈ P1 E, Ex = [−x 2 , x 2 ]. Hence:

 
1 x2
f = |xy| dy dx
E 0 −x 2

1  x 2 1  1
y|y| x6 1
= |x| dx = x dx =
5
= .
0 2 −x 2 0 6 0 6

As a corollary, we have a method to compute the measure of a bounded measur-

able set.

Corollary 2.35
If E ⊆ R2 is a bounded and measurable set, then:
(i) for almost every x ∈ P1 E, the set Ex is measurable;
(ii) the function x → μ(Ex ), defined almost everywhere on P1 E, is integrable
there;
(iii) we have:

μ(E) = μ(Ex ) dx .
P1 E

Analogously, the function y → μ(Ey ), defined almost everywhere on P2 E, is

integrable there, and

μ(E) = μ(Ey ) dy .
P2 E
2.9 · The Reduction Formula
95 2
Example Let us compute the area of the disk with radius R > 0 : let E = {(x, y) ∈ R2 :
x 2 + y 2 ≤ R 2 }. Being E a compact
√ set, it√is measurable. We have that P1 E = [−R, R] and,
for every x ∈ P1 E, Ex = [− R 2 − x 2 , R 2 − x 2 ]. Hence:
R  π/2
μ(E) = 2 R 2 − x 2 dx = 2R 2 cos2 t dt
−R −π/2
π/2
= R 2 [t + cos t sin t]−π/2 = πR 2 .

In the case of functions of more than two variables, analogous results to the preceding
ones hold true, with the same proofs. One simply needs to separate the variables in two
different groups, calling x the first group and y the second one, and the same formulas
hold true.

Example We want to compute the volume of the three-dimensional ball with radius R > 0 :
let E = {(x, y, z) ∈ R3 : x 2 + y 2 + z2 ≤ R 2 }. Let us group together the variables (y, z)
√ the projection on the x-axis: P1 E = [−R, R]. The sections Ex then are disks
and consider
of radius R 2 − x 2 , and we have:

R  R
x3 4
μ(E) = π(R 2 − x 2 ) dx = π(2R 3 ) − π = πR 3 .
−R 3 −R 3

Another way to compute the same volume is to group the variables (x, y) and consider
P1 E = {(x, y) : x 2 + y 2 = R 2 }. For every (x, y) ∈ P1 E, it is
 . . 
E(x,y) = − R −x −y , R −x −y ,
2 2 2 2 2 2

so that
⎛ √ ⎞
. R R2 −x 2 .
μ(E) = 2 R 2 − x 2 − y 2 dx dy = ⎝ √ 2 R 2 − x 2 − y 2 dy ⎠ dx
P1 E −R − R 2 −x 2

R  π/2  R 4
= 2(R 2 − x 2 ) cos2 t dt dx = π(R 2 − x 2 ) dx = πR 3 ,
−R −π/2 −R 3
√ 
by the change of variable t = arcsin y/ R 2 − x 2 .

Iterating the above reduction procedure, it is possible to prove, for a function of N

variables which is integrable on a rectangle

I = [a1 , b1 ] × [a2 , b2 ] × · · · × [aN , bN ] ,

 96 Chapter 2 • Functions of Several Real Variables

formulas like
2    
b1 b2 bN
f = ... f (x1 , x2 , . . . , xN ) dxN . . . dx2 dx1 .
I a1 a2 aN

Exercises
1. Compute the following integrals:

x 2 y dx dy ,
[0,1]×[2,3]

2
y exy dx dy ,
[−1,1]×[1,2]

sin(x 3 ) arctan(x 2 y) dx dy .
[−1,1]×[−2,2]

2. Compute, for any α ≥ 1, the area of the set

E = {(x, y) ∈ R2 : 1 ≤ x ≤ α, x 2 − y 2 ≥ 1} .

3. Compute the integral

sin2 (xy) dx dy ,
E

with the same set E defined above.

4. Compute the integral

(x 2 + y 2 ) dx dy ,
E

where E = {(x, y) ∈ R2 : x 2 + y 2 ≤ R 2 }, for some R > 0.

5. Compute the volume of the set
 
x2 y2 z2
(x, y, z) ∈ R3 : + + ≤ 1 ,
a2 b2 c2

where a, b, c are positive constants (geometrically corresponding to the three semi-axes

of an ellipsoid).

2.10 Change of Variables in the Integral

In this section we look for an analogue to the formula of integration by substitution,

which was proved in  Chap. 1 for functions of a single variable. The proof of that
formula was based on the Fundamental Theorem. Since we do not have such a powerful
2.10 · Change of Variables in the Integral
97 2
tool for functions of several variables, actually we will not be able to completely
generalize that formula.
The function ϕ will be not only assumed to be differentiable, but we will need it
to be a diffeomorphism between two open sets A and B of RN . In other words, ϕ :
A → B will be continuously differentiable, invertible, and ϕ −1 : B → A continuously
differentiable, as well. It is useful to recall that a diffeomorphism transforms open sets
into open sets, closed sets into closed sets and, for every point q ∈ A, the Jacobian
matrix ϕ (q) is invertible: it is det ϕ (q)
= 0. Moreover, we will need the following
property.

Lemma 2.36
Let A ⊆ RN be an open set, and ϕ : A → RN be a C 1 -function; if S is a subset of A
of the type

S = [a1 , b1 ] × · · · × [aN −1 , bN −1 ] × {c} ,

then ϕ(S) is negligible.

Proof
For simplicity, let us concentrate on the case of a subset of R2 of the type

S = [0, 1] × {0} .

Consider the rectangles (indeed squares)

   
k−1 k 1 1
Jk,n = , × − , ,
n n 2n 2n

with k = 1, . . . , n. For n large enough, they are contained in a rectangle R which is itself
contained in A. Being R a compact set, there is a constant C > 0 such that ϕ (q) ≤ C,
for every q ∈ R. Then, ϕ is Lipschitz
√ continuous on R with Lipschitz constant C. Since the
sets Jk,n have as diameter n1 2, the√sets ϕ(Jk,n ) are surely contained in some squares J˜k,n
whose sides’ lengths are equal to Cn 2. We then have that ϕ(S) is covered by the rectangles
J˜k,n , and

  
C√ 2
n
2C 2
μ(J˜k,n ) ≤ n 2 = .
n n
k=1

Since this quantity can be made arbitrarily small, the conclusion follows from Corollary 2.22.


 98 Chapter 2 • Functions of Several Real Variables

As a consequence of the above lemma, it is easy to see that the image of the boundary
2 of a rectangle through a diffeomorphism ϕ is a negligible set. In particular, given two
non-overlapping rectangles, their images are non-overlapping sets.
We are now ready to prove a first version of the Theorem on the Change of
Variables in the integral, which will be generalized in a later section.

Theorem 2.37
Let ϕ be a diffeomorphism between two open and bounded sets A and B = ϕ(A), and
f : B → R be a continuous function. Then, for every closed subset D of A, we have:

f (x) dx = f (ϕ(u)) | det ϕ (u)| du .
ϕ(D) D

Proof
Notice first of all that the integrals appearing in the formula are both meaningful, being the
sets D and ϕ(D) compact and the considered functions continuous. We will proceed by
induction on the dimension N. Let us first consider the case N = 1.
First of all, using the method of integration by substitution, one verifies that the formula is
true when D is a compact interval [a, b] : it is sufficient to consider the two possible cases in
which ϕ is increasing or decreasing, and recall that every continuous function is primitivable.
For instance, if ϕ is decreasing, we have ϕ([a, b]) = [ϕ(b), ϕ(a)], so that:
ϕ(a)
f (x) dx = f (x) dx
ϕ([a,b]) ϕ(b)
a
= f (ϕ(u))ϕ (u) du
b
b
= f (ϕ(u))|ϕ (u)| du
a

= f (ϕ(u))|ϕ (u)| du .
[a,b]

◦
Let now R be a closed subset of A whose interior R contains D. Being both f and
(f ◦ ϕ)|ϕ | continuous,
◦ ◦
they are integrable on the compact sets ϕ(R) and R, respectively.
The open sets R and R \ D can each be split into a countable union of non-overlapping
compact intervals, whose images through ϕ also are non-overlapping
◦ ◦
close intervals. By the
complete additivity of the integral, the formula holds true for R and R \ D :

◦
f (x) dx = ◦
f (ϕ(u))|ϕ (u)| du ,
ϕ(R ) R

◦
f (x) dx = ◦
f (ϕ(u))|ϕ (u)| du .
ϕ(R \D) R \D
2.10 · Change of Variables in the Integral
99 2
Hence,

f (x) dx = ◦ ◦
f (x) dx
ϕ(D) ϕ(R \(R \D))

= ◦
f (x) dx − ◦
f (x) dx
ϕ(R ) ϕ(R \D)

= ◦
f (ϕ(u))|ϕ (u)| du − ◦
f (ϕ(u))|ϕ (u)| du
R R \D

= f (ϕ(u))|ϕ (u)| du ,
D

so that the formula is proved in the case N = 1.

Assume now that the formula holds for the dimension N, and let us prove that it also
∂ϕi
holds for N + 1.2 Once we fix a point ū ∈ A, at least one of the partial derivatives ∂u j
(ū)
∂ϕN+1
is non-zero. We can assume without loss of generality that it is ∂uN+1 (ū)
= 0. Consider the
function

α(u1 , . . . , uN +1 ) = (u1 , . . . , uN , ϕN +1 (u1 , . . . , uN +1 )) .

Being det α (ū) = ∂ϕ

∂uN+1 (ū)
= 0, we have that α is a diffeomorphism between an open
N+1

neighborhood U of ū and an open neighborhood V of α(ū). Assume first that D be contained

in U, and set D  = α(D).
We define on V the function β = ϕ ◦ α −1 , which is of the form

β(v1 , . . . , vN +1 ) = (β1 (v1 , . . . , vN +1 ), . . . , βN (v1 , . . . , vN +1 ), vN +1 ) ,

where, for j = 1, . . . , N, it is

βj (v1 , . . . , vN +1 ) = ϕj (v1 , . . . , vN , [ϕN +1 (v1 , . . . , vN , ·)]−1 (vN +1 )) .

Such a function β is a diffeomorphism between the open sets V and W = ϕ(U ).

Consider the sections

Vt = {(v1 , . . . , vN ) : (v1 , . . . , vN , t) ∈ V } ,

and the projection

PN +1 V = {t : Vt
= Ø} .

For t ∈ PN +1 V , define the function

βt (v1 , . . . , vN ) = (β1 (v1 , . . . , vN , t), . . . , βN (v1 , . . . , vN , t)) ,

2 At a first reading, it is advisable to consider the transition from N = 1 to N + 1 = 2.

 100 Chapter 2 • Functions of Several Real Variables

which happens to be a diffeomorphism, defined on the open set Vt , whose image is the open
2 set

Wt = {(x1 , . . . , xN ) : (x1 , . . . , xN , t) ∈ W } .

Moreover, det βt (v1 , . . . , vN ) = det β (v1 , . . . , vN , t). Consider also the sections

t = {(v1 , . . . , vN ) : (v1 , . . . , vN , t) ∈ D}
D  ,

and the projection

 = {t : D
PN +1 D t
= Ø} .

 t and PN +1 β(D).
Analogously, we consider β(D)  By the definition of β, it is

 t = βt (D
β(D) t ) ,  = PN +1 D
PN +1 β(D) .

Using the Reduction Theorem and the inductive assumption, we have:

 
f = f (x1 , . . . , xN , t) dx1 . . . dxN dt

β(D) 
PN+1 β(D) t )
βt (D
 
= f (βt (v1 , . . . , vN ), t) | det βt (v1 , . . . , vN )| dv1 . . . dvN dt

PN+1 D t
D
 
= f (β(v1 , . . . , vN , t)) | det β (v1 , . . . , vN , t)| dv1 . . . dvN dt

PN+1 D t
D

= f (β(v)) | det β (v)| dv .

D

Consider now the function f˜ : V → R defined as

f˜(v) = f (β(v)) | det β (v)| .

Define the sections

Du1 ,...,uN = {uN +1 : (u1 , . . . , uN , uN +1 ) ∈ D} ,

and the projection

P1,...,N D = {(u1 , . . . , uN ) : Du1 ,...,uN

= Ø} .

In an analogous way we define α(D)u1 ,...,uN and P1,...,N α(D). They are all closed sets and,
by the definition of α, we have

α(D)u1 ,...,uN = ϕN +1 (u1 , . . . , uN , Du1 ,...,uN ) , P1,...,N α(D) = P1,...,N D .

2.10 · Change of Variables in the Integral
101 2
Moreover, for every (u1 , . . . , uN ) ∈ P1,...,N D, the function defined by

t → ϕN +1 (u1 , . . . , uN , t)

is a diffeomorphism of one variable between the open sets Uu1 ,...,uN and Vu1 ,...,uN , sections
of U and V , respectively. Using the Reduction Theorem and the one-dimensional formula of
change of variables proved above, we have that

 
f˜ = f˜(v1 , . . . , vN +1 ) dvN +1 dv1 . . . dvN
α(D) P1,...,N α(D) α(D)u1 ,...,uN

 
= f˜(v1 , . . . , vN +1 ) dvN +1 dv1 . . . dvN
P1,...,N D ϕN+1 (u1 ,...,uN ,Du1 ,...,uN )


= f˜(u1 , . . . , uN , ϕN +1 (u1 , . . . , uN +1 ))·
P1,...,N D Du1 ,...,uN
  
 ∂ϕN +1 

· 
(u1 , . . . , uN +1 ) duN +1 du1 . . . duN
∂uN +1

= f˜(α(u)) | det α (u)| du .
D

Hence, being ϕ = β ◦ α, we have:

f (x) dx = f (x) dx
ϕ(D) 
β(D)

= f (β(v)) | det β (v)| dv

D

= f˜(v) dv
α(D)

= f˜(α(u)) | det α (u)| du
D

= f (β(α(u))) | det β (α(u))| | det α (u)| du
D

= f (ϕ(u)) | det ϕ (u)| du .
D

We have then proved that, for every u ∈ A, there is a δ(u) > 0 such that the thesis holds true
when D is contained in B[u, δ(u)]. A gauge δ is thus defined on A. By Lemma 2.20, we can
now cover A with a countable family (Jk ) of non-overlapping rectangles, each contained in
a rectangle of the type B[u, δ(u)], so that the formula holds for the closed sets contained in
any of these rectangles.
At this point let us consider an arbitrary closed subset D of A. Then, the formula holds
for each D ∩ Jk and, by the complete additivity of the integral and the fact that the sets
 102 Chapter 2 • Functions of Several Real Variables

ϕ(D ∩ Jk ) are non-overlapping (as a consequence of Lemma 2.36), we have:

2 
f (x) dx = f (x) dx
ϕ(D) k ϕ(D∩Jk )


= f (ϕ(u)) | det ϕ (u)| du
k D∩Jk

= f (ϕ(u)) | det ϕ (u)| du .
D

The theorem is thus completely proved. 



Remark The formula on the change of variables is often written, setting ϕ(D) = E, in the
equivalent form

f (x) dx = f (ϕ(u)) | det ϕ (u)| du .
E ϕ −1 (E)

Example Consider the set

E = {(x, y) ∈ R2 : −1 ≤ x ≤ 1, x 2 ≤ y ≤ x 2 + 1} ,

and let f (x, y) = x 2 y be a function on it. Defining ϕ(u, v) = (u, v + u2 ), we have a

diffeomorphism with det ϕ (u, v) = 1. Being ϕ −1 (E) = [−1, 1] × [0, 1], by the Theorem on
the Change of Variables and the use of the Reduction Theorem we have:
1  1  1  
u2 11
x 2 y dx dy = u2 (v + u2 ) dv du = + u4 du = .
E −1 0 −1 2 15

2.11 Change of Measure by Diffeomorphisms

In this section we study how the measure is changed by the action of a diffeomorphism.

Theorem 2.38
Let ϕ be a diffeomorphism between two open and bounded sets A and B. If D is a
measurable subset of A, then ϕ(D) is measurable, | det ϕ | is integrable on D, and

μ(ϕ(D)) = | det ϕ (u)| du .
D

Proof
By the preceding theorem, the formula holds true whenever D is closed. Since every open
set can be written as the union of a countable family of non-overlapping (closed) rectangles,
2.11 · Change of Measure by Diffeomorphisms
103 2
by the complete additivity and the fact that A is bounded, the formula holds true even if D is
an open set.
Assume now that D is a measurable◦
set whose closure D is contained in A. Let R be a
closed subset of A whose interior R contains D. Then, there is a constant C > 0 such that
| det ϕ (u)| ≤ C for every u ∈ R. By Proposition 2.21, for every ε > 0 there are two finite or
◦
countable families (Jk ) and (Jk ), each made of non-overlapping rectangles contained in R,
such that
     
◦ $ $ $ $

R \ Jk ⊆ D ⊆ Jk , μ Jk ∩ Jk ≤ ε.
k k k k

Since the formula to be proved holds both on the open sets and on the closed sets, it certainly
holds on each rectangle Jk and Jk ; then, it holds on ∪k Jk , on ∪k Jk , and since it holds even
◦ ◦ ◦
on R, it has to be true on R \ (∪k Jk ), as well. We have thus that ϕ(∪k Jk ) and ϕ(R \ (∪k Jk ))
are measurable,
    
◦ $ $
ϕ R \ Jk ⊆ ϕ(D) ⊆ ϕ Jk ,
k k

and
      
$ ◦ $
μ ϕ Jk − μ ϕ R\ Jk =
k k

= | det ϕ (u)| du − ◦
| det ϕ (u)| du
∪k Jk R \(∪k Jk )

= | det ϕ (u)| du
(∪k Jk )∩(∪k Jk )
   
$ $
≤ Cμ Jk ∩ Jk
k k

≤ Cε .
◦
Taking ε = n1 , we find in this way two sequences Dn = ∪k Jk,n and Dn = R \ (∪k Jk,n
) with

the above properties. By Proposition 2.21, we have that ϕ(D) is measurable and μ(ϕ(D)) =
limn μ(ϕ(Dn )) = limn μ(ϕ(Dn )). Moreover, since χDn converges almost everywhere to χD ,
by the Dominated Convergence Theorem we have:

μ(ϕ(D)) = lim μ(ϕ(Dn ))

n

= lim | det ϕ (u)| du
n Dn

= lim | det ϕ (u)|χDn (u) du
n R
 104 Chapter 2 • Functions of Several Real Variables

2 = | det ϕ (u)|χD (u) du
R

= | det ϕ (u)| du .
D

We can now consider the case of an arbitrary measurable set D in A. Being A open we
can consider a sequence of non-overlapping rectangles (Kn ) contained in A whose union is
A. The formula holds for each of the sets D ∩ Kn , by the above. The complete additivity of
the integral and the fact that A is bounded then permit us to conclude. 


Example Consider the set

E = {(x, y) ∈ R2 : x < y < 2x, 3x 2 < y < 4x 2 } .

One sees that E is measurable, being an open set. Taking

 
u u2
ϕ(u, v) = , ,
v v

we have a diffeomorphism between the set D = ]1, 2[ × ]3, 4[ and E = ϕ(D). Moreover,
 
1/v −u/v 2 u2
det ϕ (u, v) = det = .
2u/v −u2 /v 2 v3

Applying the formula on the change of measure and the Reduction Theorem, we have:
2  4 u2
 2 7 2 49
μ(E) = dv du = u du = .
1 3 v3 1 288 864

2.12 The General Theorem on the Change of Variables

We are now interested in generalizing the Theorem on the Change of Variables assuming
f not necessarily continuous, but only L-integrable on a measurable set. In order to do
this, it will be useful to prove the following important relation between the integral of a
function having non-negative values and the measure of its epigraph.

Proposition 2.39
Let E be a bounded and measurable set and f : E → R be a bounded function with
non-negative values. Let Gf be the set thus defined:

Gf = {(x, t) ∈ E × R : 0 ≤ t ≤ f (x)} .

(Continued )
2.12 · The General Theorem on the Change of Variables
105 2

Proposition 2.39 (continued)

Then, f is integrable on E if and only if Gf is measurable, in which case

μ(Gf ) = f.
E

Proof
Assume first Gf to be measurable. By the Reduction Theorem, since P1 Gf = E, the
 f (x)
sections being (Gf )x = [0, f (x)], we have that the function x → 0 1 = f (x) is
integrable on E, and

 f (x)

μ(Gf ) = 1= 1 dt dx = f (x) dx .
Gf E 0 E

Assume now f to be integrable on E. Let C > 0 be a constant such that 0 ≤ f (x) < C, for
every x ∈ E. Taken a positive integer n, we divide the interval [0, C] in n equal parts and
consider, for j = 1, . . . , n, the sets
 
j j −1 j
En = x ∈ E : C ≤ f (x) < C ;
n n

by Corollary 2.13 they are measurable, non-overlapping and their union is E. We can then
define on E the function ψn in the following way:


n
j
ψn = Cχ j ,
n En
j =1

and so
n 
$  
j j
Gψn = En × 0, C .
n
j =1

j
By Proposition
  2.21, it is easy to see that, being the sets En measurable, such are the sets
j
En × 0, jn C , too. Consequently, the sets Gψn are measurable. Moreover, since

%
Gf = Gψn ,
n≥1

even Gf is measurable, and the proof is thus completed. 



We are now in the position to prove the second version of the Theorem on the
Change of Variables in the integral.
 106 Chapter 2 • Functions of Several Real Variables

2 Theorem 2.40
Let ϕ be a diffeomorphism between two bounded and open sets A and B = ϕ(A)
of RN , D a measurable subset of A and f : ϕ(D) → R a function. Then, f is L-
integrable on ϕ(D) if and only if (f ◦ ϕ) | det ϕ | is L-integrable on D, in which case
we have:

f (x) dx = f (ϕ(u)) | det ϕ (u)| du .
ϕ(D) D

Proof
Assume that f be L-integrable on E = ϕ(D). We first consider the case when f is bounded
with non-negative values.
Let C > 0 be such that 0 ≤ f (x) < C, for every x ∈ E. We define the open sets

à = A× ] − C, C[ , B̃ = B× ] − C, C[ ,

and the function ϕ̃ : Ã → B̃ in the following way:

ϕ̃(u1 , . . . , un , t) = (ϕ1 (u1 , . . . , un ), . . . , ϕn (u1 , . . . , un ), t) .

This function is a diffeomorphism and det ϕ̃ (u, t) = det ϕ (u), for every (u, t) ∈ Ã. Let Gf
be the epigraph of f :

Gf = {(x, t) ∈ E × R : 0 ≤ t ≤ f (x)} .

Being f L-integrable and E measurable, by the preceding proposition we have that Gf is a

measurable set. Moreover,

ϕ̃ −1 (Gf ) = {(u, t) ∈ D × R : 0 ≤ t ≤ f (ϕ(u))} .

Using the formula on the change of measure and the Reduction Theorem, we have

μ(Gf ) = | det ϕ̃ (u, t)| du dt
ϕ̃ −1 (Gf )

= | det ϕ (u)| du dt
ϕ̃ −1 (Gf )
 f (ϕ(u))


= | det ϕ (u)| dt du
D 0

= f (ϕ(u)) | det ϕ (u)| du .
D
2.13 · Some Useful Transformations in R2
107 2

On the other hand, by Proposition 2.39, we have that μ(Gf ) = ϕ(D) f, and this proves that
the formula holds in case f is bounded with non-negative values.
In the case when f is not bounded but still has non-negative values, we consider the
functions

fk (x) = min{f (x), k} .

For each of them, the formula holds true, and using the Monotone Convergence Theorem one
proves that the formula holds for f even in this case.
When f does not have non-negative values, it is sufficient to consider its positive and
negative parts, apply for them the formula and then subtract.
In order to obtain the opposite implication, it is sufficient to consider (f ◦ ϕ) | det ϕ |
instead of f and ϕ −1 instead of ϕ, and to apply what has been just proved. 


We recall here the equivalent formula

f (x) dx = f (ϕ(u)) | det ϕ (u)| du .
E ϕ −1 (E)

2.13 Some Useful Transformations in R2

There are some transformations which do not change the measure of any measurable
set. We consider here some of those which are most frequently used in applications.
Translations We call translation by a given vector a = (a1 , a2 ) ∈ R2 , the transforma-
tion defined by

ϕ(u, v) = (u + a1 , v + a2 ) .

It is readily seen that ϕ is a diffeomorphism with det ϕ = 1, so that, given a bounded

measurable set D and a L-integrable function f on ϕ(D), we have:

f (x, y) dx dy = f (u + a1 , v + a2 ) du dv .
ϕ(D) D
 108 Chapter 2 • Functions of Several Real Variables

Reflections A reflection with respect to one of the cartesian axes is defined by

2
ϕ(u, v) = (−u, v) , or ϕ(u, v) = (u, −v) .

Here det ϕ = −1, so that, taking for example the first case, we have:

f (x, y) dx dy = f (−u, v) du dv .
ϕ(D) D

Rotations A rotation around the origin by a fixed angle α is given by

ϕ(u, v) = (u cos α − v sin α , u sin α + v cos α) .

It is a diffeomorphism, with
 
cos α − sin α
det ϕ (u, v) = det = (cos α)2 + (sin α)2 = 1 .
sin α cos α

Hence, given a measurable set D and a L-integrable function3 f on ϕ(D), we have:

f (x, y) dx dy = f (u cos α − v sin α , u sin α + v cos α) du dv .
ϕ(D) D

3 Let us mention here that reference [2] contains an ingenious example of a integrable function in R2 whose
rotation by α = π/4 is not integrable. This is why we have restricted our attention only to L-integrable
functions.
2.13 · Some Useful Transformations in R2
109 2
Another useful transformation is the function ψ : [0, +∞[ ×[0, 2π[ → R2 given by

ψ(ρ, θ ) = (ρ cos θ, ρ sin θ ) ,

y
ρ

θ
x

which defines the so-called polar coordinates in R2 . Taken a bounded measurable

subset of R2 , let BR be an open ball centered at the origin with radius R which contains
it. Consider the open sets

A = ]0, R[ × ]0, 2π[ , B = BR \ ([0, +∞[ ×{0}) .

The function ϕ : A → B defined by ϕ(ρ, θ ) = ψ(ρ, θ ) happens to be a diffeomorphism

and it is easily seen that det ϕ (ρ, θ ) = ρ. We can apply the Theorem on the Change of
Variables to the set Ẽ = E ∩ B. Since Ẽ and ϕ −1 (Ẽ) differ from E and ψ −1 (E),
respectively, by negligible sets, we obtain the following formula on the change of
variables in polar coordinates:

f (x, y) dx dy = f (ψ(ρ, θ ))ρ dρ dθ .
E ψ −1 (E)

Example Let f (x, y) = xy be defined on

E = {(x, y) ∈ R2 : x ≥ 0, y ≥ 0, x 2 + y 2 < 9} .

By the formula on the change of variables in polar coordinates, it is ψ −1 (E) =

[0, 3[×[0, π2 ]; by the Reduction Theorem, we can then compute

π/2  3 
81
π/2 81
f = ρ 3 cos θ sin θ dρ dθ = cos θ sin θ dθ = .
E 0 0 4 0 8
 110 Chapter 2 • Functions of Several Real Variables

2 2.14 Cylindrical and Spherical Coordinates in R3

We consider the function ξ : [0, +∞[ ×[0, 2π[ ×R → R3 defined by

ξ(ρ, θ, z) = (ρ cos θ, ρ sin θ, z) ,

y
θ ρ
x

which gives us the so-called cylindrical coordinates in R3 . Taken a bounded and

measurable set E of R3, let CR × ] − H, H [ be a cylinder containing it, having as basis
the open disk CR centered at the origin with radius R. Consider the open sets

A = ]0, R[ × ]0, 2π[ × ] − H, H [ ,

B = (CR \ ([0, +∞[ ×{0})× ] − H, H [ .

The function ϕ : A → B defined by ϕ(ρ, θ, z) = ξ(ρ, θ, z) happens to be a

diffeomorphism and it is easily seen that det ϕ (ρ, θ, z) = ρ. We can then apply the
Theorem on the Change of Variables to the set Ẽ = E ∩ B. Since Ẽ and ϕ −1 (Ẽ) differ
from E and ξ −1 (E), respectively, by negligible sets, we obtain the following formula
on the change of variables in cylindrical coordinates:

f (x, y, z) dx dy dz = f (ξ(ρ, θ, z))ρ dρ dθ dz .
E ξ −1 (E)


Example Let us compute the integral E f, where f (x, y, z) = x 2 + y 2 and
√
E = {(x, y, z) ∈ R3 : x 2 + y 2 ≤ 1, 0 ≤ z ≤ x + y + 2} .

Passing to cylindrical coordinates, we notice that

√
ρ cos θ + ρ sin θ + 2 ≥ 0,
2.14 · Cylindrical and Spherical Coordinates in R3
111 2
for every θ ∈ [0, 2π[ and every ρ ∈ [0, 1]. By the Theorem on the Change of Variables,
using the Reduction Theorem, we compute

(x 2 + y 2 ) dx dy dz = ρ 3 dρ dθ dz
E ξ −1 (E)
  √  
1 2π ρ cos θ +ρ sin θ + 2
= 3
ρ dz dθ dρ
0 0 0
1  2π √

= ρ 3 (ρ cos θ + ρ sin θ + 2) dθ dρ
0 0
1 √
= 2π ρ 3 2 dρ
0
√
π 2
= .
2

Consider now the function σ : [0, +∞[ ×[0, 2π[ ×[0, π] → R3 defined by

σ (ρ, θ, φ) = (ρ sin φ cos θ, ρ sin φ sin θ, ρ cos φ) ,

φ
ρ y
θ
x

which defines the so-called spherical coordinates in R3 . Taken a bounded and

measurable subset E of R3, let BR be an open three-dimensional ball containing it,
centered at the origin with radius R. Consider the open sets

A = ]0, R[ × ]0, 2π[ × ]0, π[ , B = BR \ ([0, +∞[ ×{0} × R) .

The function ϕ : A → B defined by ϕ(ρ, θ, φ) = σ (ρ, θ, φ) happens to be a

diffeomorphism and it can be easily checked that det ϕ (ρ, θ, φ) = ρ 2 sin φ. We can
then apply the Theorem on the Change of Variables to Ẽ = E ∩ B. Since Ẽ and ϕ −1 (Ẽ)
differ from E and σ −1 (E), respectively, by negligible sets, we obtain the following
formula on the change of variables in spherical coordinates:

f (x, y, z) dx dy dz = f (σ (ρ, θ, φ))ρ 2 sin φ dρ dθ dφ .
E σ −1 (E)
 112 Chapter 2 • Functions of Several Real Variables

Example Let us compute the volume of the set

2
 . 
E = (x, y, z) ∈ R3 : x 2 + y 2 + z2 ≤ 1, z ≥ x 2 + y 2 .

We have:

μ(E) = 1 dx dy dz
E

= ρ 2 sin φ dρ dθ dφ
σ −1 (E)
1  π/4  2π  
= 2
ρ sin φ dθ dφ dρ
0 0 0
1  π/4 
= 2π ρ 2 sin φ dφ dρ
0 0

√  1
2
= 2π 1 − ρ 2 dρ
2 0
 √ 
2 2π
= 1− .
2 3

Exercises
1. Let E be a planar set contained in [0, +∞[ ×R, and define the set
 . 
E rot = (x, y, z) ∈ R3 : (x, y 2 + z2 ) ∈ E

(i.e., the set obtained rotating E around the x-axis). Prove that

μ(E rot ) = 2π x dx dy .
E

2. Use the above formula to compute the volume of a sphere: V = 43 πR 3 . Moreover, prove
that the volume of the torus with minor radius r and major radius R is equal to 2π 2 Rr 2 .
3. By some modified cylindrical coordinates, prove that the volume of the cone
 #  /
x 2  y 2 z
(x, y, z) ∈ R : 3
+ ≤ ≤1 ,
a b h

where a, b and h are positive constants, is equal to 13 (πab)h.

4. By some modified spherical coordinates, compute again the volume of the ellipsoid

 
x2 y2 z2
(x, y, z) ∈ R3 : + + ≤ 1 .
a2 b2 c2
2.15 · The Integral on Unbounded Sets
113 2
5. Compute the integral
.
x 2 + y 2 + z2 dx dy dz ,
B1

where B1 is the three-dimensional open ball centered at the origin, with radius 1.

2.15 The Integral on Unbounded Sets

While for L-integrable functions the extension of the theory to unbounded sets does
not encounter great difficulties, it seems not to exist a satisfactory general definition of
integrability for functions of several variables. This is the reason why, in the following,
we will concentrate only on the theory for L-integrable functions. We will use the
notation
 
B[0, r] = (x1 , . . . , xN ) ∈ RN : max{|x1 |, . . . , |xN |} ≤ r .

Definition 2.41
Given a set E ⊆ RN, not necessarily bounded, a function f : E → R is said to be
L-integrable (on E) if it is L-integrable on each of the bounded sets E ∩ B[0, r],
with r > 0, and the two following limits exist and are finite:

lim f, lim |f | .
r→+∞ E∩B[0,r] r→+∞ E∩B[0,r]

In this case, the first of these limits is said to be the integral of f on E and is

denoted by the symbol E f.

Equivalently, f is L-integrable on E if the two following limits exist and are finite:

f + = lim f+, f − = lim f−;
E r→+∞ E∩B[0,r] E r→+∞ E∩B[0,r]

  
in that case, we have E f = E f + − E f − .
It is not difficult to prove that the set of L-integrable functions is a vector space, and
the integral is a linear function on it which preserves the order. Moreover, one easily
verifies that a function f is L-integrable on a set E if and only if the function fE is
L-integrable on RN .
 114 Chapter 2 • Functions of Several Real Variables

Definition 2.42
2 A set E ⊆ RN is said to be measurable if E ∩ B[0, r] is measurable, for every
r > 0. In that case, we set

μ(E) = lim μ(E ∩ B[0, r]) .

r→+∞

Notice that μ(E), in some cases, can be +∞. It is finite if and only if the constant
function 1 is L-integrable on E, i.e., the characteristic function of E is L-integrable
on RN . The properties of bounded measurable sets extend easily to unbounded sets. In
particular, all open sets and all closed sets are measurable.
The Monotone Convergence Theorem of B. Levi attains the following general
form.

Theorem 2.43
We are given a function f and a sequence of functions fk , with k ∈ N, defined almost
everywhere on a subset E of RN, with real values, verifying the following conditions:
1. the sequence (fk )k converges pointwise to f , almost everywhere on E;
2. the sequence (fk )k is monotone;
3. each function fk is L-integrable on E;

4. the real sequence ( E fk )k has a finite limit.

Then, f is L-integrable on E, and

f = lim fk .
E k→∞ E

Proof
Assume, for definiteness, that the sequence (fk )k is increasing. By considering the sequence
(fk − f0 )k instead of (fk )k , we can assume without loss of generality that all the functions

have almost everywhere non-negative values. Let A = limk ( E fk ); for every r > 0, we
can apply the Monotone Convergence Theorem on the bounded set E ∩ B[0, r], so that f is
integrable on E ∩ B[0, r] and

f = lim fk ≤ lim fk = A .
E∩B[0,r] k→∞ E∩B[0,r] k→∞ E


Let us prove that the limit of E∩B[0,r] f exists, as r → +∞, and that it is equal to A. Fix
ε > 0; there is a k̄ ∈ N such that, for k ≥ k̄,

ε
A− ≤ fk ≤ A ;
2 E
2.15 · The Integral on Unbounded Sets
115 2
being moreover

fk̄ = lim f ,
E r→∞ E∩B[0,r] k̄

there is a r̄ > 0 such that, for r ≥ r̄,

A−ε ≤ fk̄ ≤ A .
E∩B[0,r]

Then, since the sequence (fk )k is increasing, we have that, for every k ≥ k̄ and every r ≥ r̄,
it is

A−ε ≤ fk ≤ A .
E∩B[0,r]

Passing to the limit as k → +∞, we obtain, for every r ≥ r̄,

A−ε ≤ f ≤ A.
E∩B[0,r]

The proof is thus completed. 



As an immediate consequence there is the analogous statement for the series of

functions.

Corollary 2.44
We are given a function f and a sequence of functions fk , with k ∈ N, defined almost
everywhere on a subset E of RN, with real values, verifying the following conditions:

1. the series k fk converges pointwise to f , almost everywhere on E;
2. for every k ∈ N and almost every x ∈ E, it is fk (x) ≥ 0;
3. each function fk is L-integrable on E;
 
4. the series k ( E fk ) converges.

Then, f is L-integrable on E and

∞

f = fk .
E k=0 E

From the Monotone Convergence Theorem we deduce, in complete analogy to that

seen for bounded sets, the Dominated Convergence Theorem of H. Lebesgue.
 116 Chapter 2 • Functions of Several Real Variables

2 Theorem 2.45
We are given a function f and a sequence of functions fk , with k ∈ N, defined almost
everywhere on a subset E of RN, with real values, verifying the following conditions:
1. the sequence (fk )k converges pointwise to f , almost everywhere on E;
2. each function fk is L-integrable on E;
3. there are two functions g, h, defined almost everywhere and L-integrable on E,
such that

g(x) ≤ fk (x) ≤ h(x) ,

for every k ∈ N and almost every x ∈ E.


Then, the sequence ( E fk )k has a finite limit, f is L-integrable on E, and

f = lim fk .
E k→∞ E

As a direct consequence we have the property of complete additivity of the integral

for L-integrable functions:

Theorem 2.46
Let (Ek ) be a finite or countable family of pairwise non-overlapping measurable
subsets of RN, whose union is a set E. Then, f is L-integrable on E if and only if
the two following conditions hold:
(a) f is L-integrable on each set Ek ;
 
(b) k Ek |f (x)| dx < +∞.

In that case, we have


f = f.
E k Ek

As another consequence, we have the Leibniz rule for not necessarily bounded
subsets Y of RN , which is stated as follows.

Theorem 2.47
Let f : X × Y → R be a function, where X is an interval of R containing x0 , and Y
is a subset of RN , such that:

(Continued )
2.15 · The Integral on Unbounded Sets
117 2

Theorem 2.47 (continued)

(i) for every x ∈ X, the function f (x, ·) is L-integrable on Y, so that we can define
the function

F (x) = f (x, y) dy ;
Y

∂f
(ii) for every x ∈ X and almost every y ∈ Y, the partial derivative ∂x (x, y) exists;
(iii) there are two L-integrable functions g, h : Y → R such that

∂f
g(y) ≤ (x, y) ≤ h(y) ,
∂x

for every x ∈ X and almost every y ∈ Y.

Then, the function ∂f

∂x (x, ·), defined almost everywhere on Y, is L-integrable there, the
derivative of F at x0 exists, and we have:
 
∂f
F (x0 ) = (x0 , y) dy .
Y ∂x

Also the Reduction Theorem of G. Fubini extends to functions defined on a not

necessarily bounded subset E of RN . Let N = N1 + N2 and write RN = RN1 × RN2 .
For every (x, y) ∈ RN1 × RN2 , consider the sections of E :

Ex = {y ∈ RN2 : (x, y) ∈ E} , Ey = {x ∈ RN1 : (x, y) ∈ E} ,

and the projections of E :

P1 E = {x ∈ RN1 : Ex
= Ø} , P2 E = {y ∈ RN2 : Ey
= Ø} .

We can then reformulate the theorem in the following form.

Theorem 2.48
Let f : E → R be a L-integrable function. Then:
(i) for almost every x ∈ P1 E, the function f (x, ·) is L-integrable on the set Ex ;

(ii) the function x → Ex f (x, y) dy, defined almost everywhere on P1 E, is L-
integrable there;
(iii) we have:
 
f = f (x, y) dy dx .
E P1 E Ex

(Continued )
 118 Chapter 2 • Functions of Several Real Variables

2 Theorem 2.48 (continued)


Analogously, the function y → Ey f (x, y) dx, defined almost everywhere on P2 E,
is L-integrable there, and we have:

 
f = f (x, y) dx dy .
E P2 E Ey

Proof
Consider for simplicity the case N1 = N2 = 1, the general case being perfectly analogous.
Assume first that f has non-negative values. By the Reduction Theorem for bounded sets,
once fixed r > 0, we have that, for almost every x ∈ P1 E ∩ [−r, r], the function f (x, ·)

is L-integrable on Ex ∩ [−r, r]; the function gr (x) = Ex ∩[−r,r] f (x, y) dy, defined almost
everywhere on P1 E ∩ [−r, r], is L-integrable there, and

f = gr (x) dx .
E∩B[0,r] P1 E∩[−r,r]

In particular,

gr (x) dx ≤ f,
P1 E∩[−r,r] E

so that, if 0 < s ≤ r, one has that gr is L-integrable on P1 E ∩ [−s, s], and

gr (x) dx ≤ f.
P1 E∩[−s,s] E

Keeping s fixed, we let r tend to +∞. Since f has non-negative values, gr (x) will be
increasing with respect to r. Consequently, for almost every x ∈ P1 E ∩ [−s, s], the limit
limr→+∞ gr (x) exists (possibly infinite), and we set

g(x) = lim gr (x) = lim f (x, y) dy .
r→+∞ r→+∞ E ∩[−r,r]
x

Let T = {x ∈ P1 E ∩ [−s, s] : g(x) = +∞}; let us prove that T is negligible. We define

the sets

Enr = {x ∈ P1 E ∩ [−s, s] : gr (x) > n}.

By Theorem 2.12 these are measurable sets and the Chebyshev inequality yields

1 1
μ(Enr ) ≤ gr (x) dx ≤ f.
n P1 E∩[−s,s] n E
2.15 · The Integral on Unbounded Sets
119 2
Hence, since the sets Enr increase with r, also the sets Fn = ∪r Enr are measurable, and

we have that μ(Fn ) ≤ n1 E f . Being T ⊆ ∩n Fn , we deduce that T is measurable, with
μ(T ) = 0.
Hence, for almost every x ∈ P1 E ∩ [−s, s], the function f (x, ·) is L-integrable on the
set Ex and, by definition,

f (x, y) dy = g(x) .
Ex

Moreover, if we take r in the set of natural numbers and apply the Monotone Convergence
Theorem to the functions gr , it follows that g is L-integrable on P1 E ∩ [−s, s], and

g = lim gr ,
P1 E∩[−s,s] r→∞ P E∩[−s,s]
1

so that
 
f (x, y) dy dx ≤ f.
P1 E∩[−s,s] Ex E

Letting now s tend to +∞, we see that the limit

 
lim f (x, y) dy dx
s→+∞ P E∩[−s,s] Ex
1


exists and in finite; therefore, the function x → Ex f (x, y) dy, defined almost everywhere
on P1 E, is L-integrable there, and its integral is the preceding limit. Moreover, from the
above proved inequality, passing to the limit, we have that
 
f (x, y) dy dx ≤ f.
P1 E Ex E

On the other hand,

 
f = f (x, y) dy dx
E∩B[0,r] P1 E∩[−r,r] Ex ∩[−r,r]
 
≤ f (x, y) dy dx
P1 E∩[−r,r] Ex
 
≤ f (x, y) dy dx ,
P1 E Ex

so that, passing to the limit as r → +∞,

 
f ≤ f (x, y) dy dx .
E P1 E Ex
 120 Chapter 2 • Functions of Several Real Variables

In conclusion, equality must hold, and the proof is thus completed in the case when f
2 has non-negative values. In the general case, just consider f + and f − , and subtract the
corresponding formulas. 


The analogous corollary for the computation of the measure holds.

Corollary 2.49
Let E be a measurable set, with a finite measure. Then,
(i) for almost every x ∈ P1 E, the set Ex is measurable and has a finite measure;
(ii) the function x → μ(Ex ), defined almost everywhere on P1 E, is L-integrable
there;
(iii) we have:

μ(E) = μ(Ex ) dx .
P1 E

With a symmetric statement, if E has a finite measure, we also have

μ(E) = μ(Ey ) dy .
P2 E

The Theorem on the Change of Variables also extends to unbounded sets, with the
same statement.

Theorem 2.50
Let ϕ be a diffeomorphism between two open sets A and B = ϕ(A) of RN, D be a
measurable subset of A, and f : ϕ(D) → R be a function. Then, f is L-integrable on
ϕ(D) if and only if (f ◦ ϕ) | det ϕ | is L-integrable on D, in which case we have:

f (x) dx = f (ϕ(u)) | det ϕ (u)| du .
ϕ(D) D

Proof
Assume first that f be L-integrable on E = ϕ(D) with non-negative values. Then, for every
r > 0,

f (ϕ(u)) | det ϕ (u)| du = f (x) dx
D∩B[0,r] ϕ(D∩B[0,r])

≤ f (x) dx ,
ϕ(D)
2.15 · The Integral on Unbounded Sets
121 2
so that the limit

lim f (ϕ(u)) | det ϕ (u)| du
r→+∞ D∩B[0,r]

exists and is finite. Then, (f ◦ ϕ) | det ϕ | is L-integrable on D and we have

f (ϕ(u)) | det ϕ (u)| du ≤ f (x) dx .
D ϕ(D)

On the other hand, for every r > 0,

f = (f ◦ ϕ) | det ϕ | ≤ (f ◦ ϕ) | det ϕ | ,
E∩B[0,r] ϕ −1 (E∩B[0,r]) ϕ −1 (E)

so that, passing to the limit,

f (x) dx = lim f (x) dx
E r→+∞ E∩B[0,r]

≤ f (ϕ(u)) | det ϕ (u)| du .
ϕ −1 (E)

The formula is thus proved when f has non-negative values. In general, just proceed as usual,
considering f + and f − .
To obtain the opposite implication, it is sufficient to consider (f ◦ ϕ) | det ϕ | instead of
f and ϕ −1 instead of ϕ, and to apply the above. 


Concerning the change of variables in polar coordinates in R2 or in cylindrical or

spherical coordinates in R3, the same type of considerations we have made for bounded
sets extend to the general case, as well.

Example Let E = {(x, y) ∈ R2 : x 2 + y 2 ≥ 1} and f (x, y) = (x 2 + y 2 )−α , with α > 0.

We have
2π  +∞ 
1 1
dx dy = ρ dρ dθ
E (x + y 2 )α
2
0 1 ρ 2α
+∞
= 2π ρ 1−2α dρ .
1

It is thus seen that f is integrable on E if and only if α > 1, in which case the integral is
π
α−1 .

Example Let us compute the three-dimensional measure of the set

 . 
1
E = (x, y, z) ∈ R3 : x ≥ 1, y 2 + z2 ≤ .
x
 122 Chapter 2 • Functions of Several Real Variables

Using Fubini Theorem, grouping together the variables (y, z) we have

2
+∞ 1
μ(E) = π dx = π .
1 x2

Example Consider the function f (x, y) = e−(x

2 +y 2 )
, and let us make a change of variables
in polar coordinates:
2π  +∞   +∞
1
e−(x
2 +y 2 )
e−ρ ρ dρ dθ = 2π − e−ρ
2 2
dx dy = =π.
R2 0 0 2 0

Notice that, using the Reduction Theorem, we have:

+∞  +∞ 
e−(x
2 +y 2 )
e−x e−y dx dy
2 2
dx dy =
R2 −∞ −∞
 +∞   +∞ 
e−x dx e−y dy
2 2
=
−∞ −∞
 +∞ 2
e−x dx
2
= ,
−∞

and we thus find again that

+∞ √
e−x dx =
2
π.
−∞

Exercises
1. Prove that the sets Q2 , Q × R and R × Q are negligible in R2 .
2. Compute the integral

1
 dx dy .
R2 (1 + x2 + y2 ) x2 + y2

3. For what values of α > 0 is the integral

1
dx dy dz
R3 (1 + x 2 + y 2 + z2 )α

well defined as a real number? What is its value?

4. Let

Eγ = {(x, y) ∈ R2 : x ≥ 1, 0 ≤ y ≤ x γ } ,
2.15 · The Integral on Unbounded Sets
123 2
for some γ ∈ R. When is the function f (x, y) = xy integrable on Eγ ? For those values
of γ , compute

xy dx dy .
Eγ

5. Compute the measure of the four-dimensional ball

BR = {(x1 , x2 , x3 , x4 ) ∈ R4 : x12 + x22 + x32 + x42 ≤ R 2 } .

 125 3

Differential Forms

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2_3

In this chapter we develop a theory leading to important extensions to functions of

several variables of the formula given by the Fundamental Theorem. Nevertheless, we
will not be able to completely generalize that theorem, because we need to assume, for
those functions, a somewhat greater regularity.

3.1 The Vector Spaces M (RN )

Consider, for every positive integer M, the sets M (RN ) made by the M-linear
antisymmetric functions on RN, with real values. It is well known that these are vector
spaces on R. We also adopt the convention that 0 (RN ) = R.
If we choose the indices i1 , . . . , iM in the set {1, . . . , N}, we can define the M-linear
antisymmetric function dxi1 ,...,iM : it is the function which associates to the vectors
⎛ ⎞ ⎛ ⎞
v1(1) v1(M)
⎜ . ⎟ ⎜ . ⎟
v (1) =⎜ ⎟
⎝ .. ⎠ , . . . , v
(M)
=⎜
⎝ .. ⎠ ,
⎟
vN(1) vN(M)

the real number

⎛ (1) ⎞
vi1 . . . vi(M)
⎜ . . ⎟
1

det ⎜
⎝ .. · · · .. ⎠ .
⎟
(1) (M)
viM . . . viM

Notice that, whenever two indices coincide, we have the zero function. If two indices are
exchanged, the function changes sign. Let us recall the following result from elementary
algebra.
 126 Chapter 3 • Differential Forms

Proposition 3.1
2N 3
If 1 ≤ M ≤ N, the space M (RN ) has dimension M . A basis is given by
3 (dxi1 ,...,iM )1≤i1 <···<iM ≤N . If M > N, then M (RN ) = {0}.

We are mostly interested in the case N = 3. Let us give a closer look to the spaces
1 (R3 ), 2 (R3 ) and 3 (R3 ).
Consider 1 (R3 ), the space of linear functions defined on R3, with values in R. We
denote by dx1 , dx2 , dx3 the following linear functions:
⎛ ⎞ ⎛ ⎞ ⎛ ⎞
v1 v1 v1
⎜ ⎟ ⎜ ⎟ ⎜ ⎟
dx1 : ⎝ v2 ⎠ → v1 , dx2 : ⎝ v2 ⎠ →
 v2 , dx3 : ⎝ v2 ⎠ →
 v3 .
v3 v3 v3

the space 1 (R3 ) has dimension 3 and (dx1, dx2 , dx3 ) is one of its bases.
Consider 2 (R3 ), the space of bilinear antisymmetric functions defined on R3 × R3,
with values in R. It has dimension 3, and a basis is given by (dx1,2 , dx1,3 , dx2,3 ), where
⎛⎛ ⎞ ⎛ ⎞⎞
v1 v  
⎜⎜ ⎟ ⎜ 1 ⎟⎟ v1 v1
dx1,2 : ⎝⎝ v2 ⎠ , ⎝ v2 ⎠⎠ → det = v1 v2 − v2 v1 ,
v2 v2
v3 v3
⎛⎛ ⎞ ⎛ ⎞⎞
v1 v  
⎜⎜ ⎟ ⎜ 1 ⎟⎟ v1 v1
dx1,3 : ⎝⎝ v2 ⎠ , ⎝ v2 ⎠⎠ → det = v1 v3 − v3 v1 ,
v3 v3
v3 v3
⎛⎛ ⎞ ⎛ ⎞⎞
v1 v  
⎜⎜ ⎟ ⎜ 1 ⎟⎟ v2 v2
dx2,3 : ⎝⎝ v2 ⎠ , ⎝ v2 ⎠⎠ → det = v2 v3 − v3 v2 .
v3 v3
v3 v3

It is useful to recall that

dx1,1 = dx2,2 = dx3,3 = 0 ,

dx2,1 = −dx1,2 , dx3,1 = −dx1,3 , dx3,2 = −dx2,3 .

Consider 3 (R3 ), the space of trilinear antisymmetric functions defined on R3 ×

R × R3, with values in R. We denote by dx1,2,3 the following trilinear function:
3

⎛⎛ ⎞ ⎛ ⎞ ⎛ ⎞⎞ ⎛ ⎞
v1 v1 v1 v1 v1 v1
⎜⎜ ⎟ ⎜ ⎟ ⎜ ⎟⎟ ⎜ ⎟
dx1,2,3 : ⎝⎝ v2 ⎠ , ⎝ v2 ⎠ , ⎝ v2 ⎠⎠ → det ⎝ v2 v2 v2 ⎠ .
v3 v3 v3 v3 v3 v3
3.2 · Differential Forms in RN
127 3
Every element of the vector space 3 (R3 ) is a scalar multiple of dx1,2,3 : the space
3 (R3 ) has dimension 1. Recall that

dx1,2,3 = dx2,3,1 = dx3,1,2 = −dx3,2,1 = −dx2,1,3 = −dx1,3,2

and, when two indices coincide, we have the zero function.

3.2 Differential Forms in RN

Definition 3.2
Given an open subset U of RN, we call differential form of degree M (or
M-differential form) a function

ω : U → M (RN ) .

If M ≥ 1, once we consider the basis (dxi1 ,...,iM )1≤i1 <···<iM ≤N , the components of
the M-differential form ω will be denoted by fi1 ,...,iM : U → R. We will then write

ω(x) = fi1 ,...,iM (x) dxi1 ,...,iM .
1≤i1 <···<iM ≤N

2N 3
Hence, the M-linear antisymmetric function ω(x) is determined by the M
-dimensional
vector
2 3
F (x) = fi1 ,...,iM (x) 1≤i1 <···<iM ≤N .

A 0-differential form is nothing else than a function defined on U with values in R. We

will say that a M-differential form is of class C k if all its components are such.
It is possible to define the sum of two M-differential forms: if ω is as above and 
ω
is also defined on U and


ω(x) = gi1 ,...,iM (x) dxi1 ,...,iM ,
1≤i1 <···<iM ≤N

we define in a natural way ω + 

ω as follows:

(ω + 
ω)(x) = (fi1 ,...,iM (x) + gi1 ,...,iM (x)) dxi1 ,...,iM .
1≤i1 <···<iM ≤N

Moreover, if c ∈ R, we define c ω, the product of the scalar c by the M-differential

form ω, in the following way:

(c ω)(x) = cfi1 ,...,iM (x) dxi1 ,...,iM .
1≤i1 <···<iM ≤N
 128 Chapter 3 • Differential Forms

With these definitions, it can be checked that the set of differential forms of degree M
becomes a vector space.
Let us give a closer look to the case N = 3. Denoting by ωM a M-differential form,
3 with M = 1, 2, 3, we can write

ω1 (x) = f1 (x) dx1 + f2 (x) dx2 + f3 (x) dx3 ,

ω2 (x) = f1,2 (x) dx1,2 + f1,3 (x) dx1,3 + f2,3 (x)dx2,3 ,
ω3 (x) = f1,2,3 (x) dx1,2,3 .

Notice that ω1 (x) and ω2 (x) are determined by the three-dimensional vectors

F (x) = (f1 (x), f2 (x), f3 (x)) , and G(x) = (f12 (x), f13 (x), f23 (x)) ,

respectively.

3.3 External Product

Given two differential forms ω : U → M (RN ),  ω : U → M̃ (RN ), of degrees M

and M̃, respectively, we want to define the differential form ω ∧  ω, of degree M + M̃,
which is called external product of ω and  ω. If

ω(x) = fi1 ,...,iM (x) dxi1 ,...,iM ,
1≤i1 <···<iM ≤N

and


ω(x) = gj1 ,...,jM̃ (x) dxj1 ,...,jM̃ ,
1≤j1 <···<jM̃ ≤N

we set

(ω ∧ 
ω)(x) = fi1 ,...,iM (x)gj1 ,...,jM̃ (x) dxi1 ,...,iM ,j1 ,...,jM̃ .
1≤i1 <···<iM ≤N
1≤j1 <···<jM̃ ≤N

Usually the symbol ∧ is omitted when one of the two is a 0-differential form, since
the external product is, in this case, similar to the product with a scalar. Notice that, in
the above sum, all elements with a repeating index will be zero. Let us see now some
properties of the external product.
3.3 · External Product
129 3

Proposition 3.3
ω, 
If ω,  ˜ respectively, then
ω are three differential forms of degrees M, M̃, M̃,


ω ∧ ω = (−1)M M̃ ω ∧ 
ω,

ω) ∧ 
(ω ∧  ω∧
ω = ω ∧ ( ω) ;

if c ∈ R, then

(c ω) ∧ 
ω = ω ∧ (c 
ω) = c(ω ∧ 
ω) ;

moreover, when M = M̃,

ω) ∧ 
(ω +  ω = (ω ∧  ω ∧
ω) + ( ω) ,

 ω) = (
ω ∧ (ω +  ω ∧ ω) + (
ω∧
ω) .

Proof
Assume that ω and 
ω are written as above, and let


ω(x) =
 hk1 ,...,k ˜ (x) dxk1 ,...,k ˜ .
M̃ M̃
1≤k1 <···<k ˜ ≤N
M̃

The first identity is obtained observing that, in order to arrive from the sequence of indices
i1 , . . . , iM , j1 , . . . , jM̃ to the one j1 , . . . , jM̃ , i1 , . . . , iM , one has first to move j1 towards
the left making M exchanges, then the same has to be done for j2 , if there is one, and so
on, till jM̃ is reached. In the total, it is then necessary to operate M M̃ exchanges of indices.
Taking into account the fact that the differential form changes sign each time there is an
exchange, we have the formula we wanted to prove.
The proof of the second identity (associative property) shows no great difficulties, as well
as for the identities where the constant c appears.
Concerning the distributive property, when M = M̃ we have

ω) ∧ 
((ω +  
ω)(x) =

= (fi1 ,...,iM (x) + gi1 ,...,iM (x))hk1 ,...,k ˜ (x) dxi1 ,...,iM ,k1 ,...,k ˜
1≤i1 <···<iM ≤N M̃ M̃
1≤k1 <···<k ˜ ≤N
M̃

= (fi1 ,...,iM (x)hk1 ,...,k ˜ (x)+
1≤i1 <···<iM ≤N M̃
1≤k1 <···<k ˜ ≤N
M̃

+ gi1 ,...,iM (x)hk1 ,...,k ˜ (x)) dxi1 ,...,iM ,k1 ,...,k ˜

M̃ M̃

= ((ω ∧ 
 ω∧
ω) + ( 
ω))(x) .
 130 Chapter 3 • Differential Forms

The last identity in the statement is proved either in an analogous way, or using the first and
the fourth identities. 


3 If we consider the particular case of the two constant differential forms

ω(x) = dx1 , 
ω(x) = dx2 , for every x ∈ U,

we will have that (ω ∧ 

ω)(x) = dx1,2 , for every x ∈ U. We can then write

dx1 ∧ dx2 = dx1,2 .

More generally, in view of the associative property of the external product, we can write

dxi1 ∧ · · · ∧ dxiM = dxi1 ,...,iM .

In the following, we will use indifferently the one or the other notation.

3.4 External Differential

Given a M-differential form ω if class C 1 , we want to define the differential form dex ω,
of degree M + 1, which is said to be the external differential of ω.
If ω is a 0-differential form, ω = f : U → R, its external differential dex ω(x) is
just the differential df (x), which is a linear function defined on RN, with values in R.
Being, for every v = (v1, . . . , vN ),

∂f ∂f
df (x)v = (x) v1 + · · · + (x) vN ,
∂x1 ∂xN

we have

∂f ∂f  ∂f N
df (x) = (x) dx1 + · · · + (x) dxN = (x) dxm .
∂x1 ∂xN m=1
∂xm

In the general case, if


ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM ,
1≤i1 <···<iM ≤N

we set

dex ω(x) = dfi1 ,...,iM (x) ∧ dxi1 ∧ · · · ∧ dxiM ,
1≤i1 <···<iM ≤N
3.4 · External Differential
131 3
or, equivalently,

 N
∂fi1 ,...,iM
dex ω(x) = (x) dxm ∧ dxi1 ∧ · · · ∧ dxiM .
1≤i1 <···<iM ≤N m=1
∂xm

In the following, in order to simplify the notations, we will always write dω instead of
dex ω. Let us see some properties of the external differential.

Proposition 3.4
If ω and 
ω are two differential forms of class C 1 , of degrees M and M̃, respectively,
then

d(ω ∧ 
ω) = dω ∧ 
ω + (−1)M ω ∧ d
ω;

if M = M̃ and c ∈ R, it is

d(ω + 
ω) = dω + d
ω,

d(c ω) = c dω ;

if ω is of class C 2 , then

d(dω) = 0 .

Proof
Concerning the first identity, if ω and 
ω are as above, we have:

 
N
∂
d(ω ∧ 
ω)(x) = (fi ,...,i gj ,...,jM̃ )(x) dxm,i1 ,...,iM ,j1 ,...,jM̃
1≤i1 <···<iM ≤N ∂xm 1 M 1
1≤j1 <···<jM̃ ≤N m=1

N 

 ∂fi 1 ,...,iM
= gj1 ,...,jM̃ +
1≤i1 <···<iM ≤N ∂xm
1≤j1 <···<jM̃ ≤N m=1

∂gj1 ,...,jM̃
+fi1 ,...,iM (x) dxm,i1 ,...,iM ,j1 ,...,jM̃
∂xm
N 
 
 ∂fi 1 ,...,iM
= gj1 ,...,jM̃ (x) dxm,i1 ,...,iM ,j1 ,...,jM̃ +
1≤i1 <···<iM ≤N ∂xm
1≤j1 <···<jM̃ ≤N m=1

N 
 
 ∂gj1 ,...,jM̃
+ (−1)M fi1 ,...,iM (x) dxi1 ,...,iM ,m,j1 ,...,jM̃
1≤i1 <···<iM ≤N ∂xm
1≤j1 <···<jM̃ ≤N m=1

= (dω ∧ 
ω)(x) + (−1)M (ω ∧ d
ω)(x) .
 132 Chapter 3 • Differential Forms

The second and third identities follow easily from the linearity of the derivative.
Concerning the last identity, we can see that

3 d(dω)(x) =
 
N 
N
∂ ∂fi1 ,...,iM
(x) dxk,m,i1 ,...,iM .
∂xk ∂xm
1≤i1 <···<iM ≤N k=1 m=1

Since
∂ ∂fi1 ,...,iM ∂ ∂fi1 ,...,iM
= ,
∂xk ∂xm ∂xm ∂xk

taking into account the fact that dxk ∧ dxm = −dxm ∧ dxk , it is seen that all the terms in the
sums pairwise eliminate one another, so that d(dω)(x) = 0. 


3.5 Differential Forms in R3

When N = 3, if ω1 and 
ω1 are two 1-differential forms, e.g.,

ω1 (x) = f1 (x) dx1 + f2 (x) dx2 + f3 (x) dx3 ,


ω1 (x) = g1 (x) dx1 + g2 (x) dx2 + g3 (x) dx3 ,

using the associative and the distributive properties, we have that

ω1 ∧ 
ω1 = (f1 g2 − f2 g1 ) dx1,2 + (f1 g3 − f3 g1 ) dx1,3 + (f2 g3 − f3 g2 ) dx2,3 .

On the other hand, if ω1 is a 1-differential form and ω2 is a 2-differential form, e.g.,

ω1 (x) = f1 (x)dx1 + f2 (x)dx2 + f3 (x)dx3 ,

ω2 (x) = g1,2 (x) dx1,2 + g1,3 (x) dx1,3 + g2,3 (x) dx2,3 ,

it is

ω1 ∧ ω2 = (f1 g2,3 − f2 g1,3 + f3 g1,2 ) dx1,2,3 .

If we have a 0-differential form ω0 = f : U → R, then

∂f ∂f ∂f
dω0 (x) = (x) dx1 + (x) dx2 + (x) dx3 .
∂x1 ∂x2 ∂x3

Taking a 1-differential form

ω1 (x) = f1 (x) dx1 + f2 (x) dx2 + f3 (x) dx3 ,

3.5 · Differential Forms in R3
133 3
we have
 
∂f2 ∂f1
dω1 (x) = (x) − (x) dx1,2 +
∂x1 ∂x2
 
∂f3 ∂f1
+ (x) − (x) dx1,3 +
∂x1 ∂x3
 
∂f3 ∂f2
+ (x) − (x) dx2,3 .
∂x2 ∂x3

If we consider a 2-differential form

ω2 (x) = g1,2 (x) dx1,2 + g1,3 (x) dx1,3 + g2,3 (x) dx2,3 ,

then
 
∂g2,3 ∂g1,3 ∂g1,2
dω2 (x) = (x) − (x) + (x) dx1,2,3 .
∂x1 ∂x2 ∂x3

At this point, it is time to observe that, in view of future applications, a wiser choice
for the basis of the vector space 2 (R3 ) could be the following:
2 3
dx2,3 , dx3,1 , dx1,2 .

Indeed, in this way, associating,

▬ to each scalar function f : U → R,
either a 0-differential form ω0 = f ,
or a 3-differential form ω3 = f dx1,2,3 ;
▬ to each vector field F = (F1 , F2 , F3 ) : U → R3 ,
either a 1-differential form ω1 = F1 dx1 + F2 dx2 + F3 dx3 ,
or a 2-differential form ω2 = F1 dx2,3 + F2 dx3,1 + F3 dx1,2 ,

we have the following:

dω0 corresponds to the gradient of f :
 
∂f ∂f ∂f
grad f = , , ;
∂x1 ∂x2 ∂x3

dω1 corresponds to the curl of F :

 
∂F3 ∂F2 ∂F1 ∂F3 ∂F2 ∂F1
curl F = − , − , − ;
∂x2 ∂x3 ∂x3 ∂x1 ∂x1 ∂x2

dω2 corresponds to the divergence of F :

∂F1 ∂F2 ∂F3

div F = + + .
∂x1 ∂x2 ∂x3
 134 Chapter 3 • Differential Forms

, once we consider the associated 1-diff-

Then, given two vector fields F and F
erential forms

3 ω1 = F1 dx1 + F2 dx2 + F3 dx3 ,  1 dx1 + F

ω1 = F 2 dx2 + F
3 dx3 ,

we have that ω1 ∧  :
ω1 corresponds to the vector product of F and F

F ×F 3 − F3 F
 = (F2 F 2 , F3 F
1 − F1 F
3 , F1 F
2 − F2 F
1 ) ;

if instead of 
ω1 we take the associated 2-differential form

1 dx2,3 + F
ω2 = F
 2 dx3,1 + F
3 dx1,2 ,

we have that ω1 ∧  :
ω2 corresponds to the scalar product of F and F

F , F 1 + F2 F
 = F1 F 2 + F3 F
3 .

The properties of the external product and those of the external differential lead
to formulas involving the gradient, the curl and the divergence. Taking f : U → R,
f˜ : U → R, F : U → R3 and F  : U → R3, we have, for example, the following:

curl(grad f ) = 0 ,
div(curl F ) = 0 ,
grad(f f˜) = f˜(grad f ) + f (grad f˜) ,
curl(f F ) = (grad f ) × F + f (curl F ) ,
) = grad f , F̃  + f (div F
div(f F ) ,
) = curl F , F
div(F × F  − F , curl F
 .

The proofs are left to the reader, who might also enjoy the following exercises.

Exercises
1. Let ω, 
ω : R2 → 1 (R2 ) be defined as

ω(x, y) = y 2 dx − x 2 dy , 
ω(x, y) = xy dx + (x 2 + y 2 ) dy .

Compute ω ∧ 
ω, dω, d ω, d(ω ∧ ω) and dω ∧ d
ω.
2. Let ω : R3 → 2 (R3 ) be defined as

ω(x, y, z) = x 2 yz dy ∧ dz + xy 2 z dz ∧ dx + xyz2 dx ∧ dy .

Compute dω : R3 → 3 (R3 ).
3. Let f : R3 → R be the function defined as f (x, y, z) = xy 2 z3 . Compute

f := div(gradf ) .
3.6 · M-Surfaces
135 3

4. Let F : R3 → R3 be the vector field defined by

F (x, y, z) = (x − y + z2 , x 2 + yz , x + y 2 − 2z) .

Compute

divF , curlF , grad(divF ) , curl(curlF ) .

5. Compute the exterior differential of ω : R4 → 1 (R4 ), defined as

ω(x1 , x2 , x3 , x4 ) = x2 x3 x4 dx1 + x1 x3 x4 dx2 + x1 x2 x4 dx3 + x1 x2 x3 dx4 .

3.6 M-Surfaces

We denote by I a rectangle in RM, where 1 ≤ M ≤ N.

Definition 3.5
We call M-surface in RN a function1 σ : I → RN of class C 1 . If M = 1, σ is also
said to be a curve; if M = 2, we will simply say surface. The set σ (I ) is called the
support of the M-surface σ. We will say that the M-surface σ is regular if, for
every u ∈ ˚I , the Jacobian matrix σ (u) has rank M.

Consider for example the case N = 3. A curve in R3 is a function σ : [a, b] → R3,

with σ (t) = (σ1 (t), σ2 (t), σ3 (t)). The curve is regular if, for every t ∈ ]a, b[ , the vector
σ (t) = (σ1 (t), σ2 (t), σ3 (t)) is not zero. In that case, it is possible to define the following
tangent versor at the point σ (t) :

σ (t)
τσ (t) = .
σ (t)

σ(b )

τσ(t )

σ(t ) + τσ(t )
σ(a )

σ(t )

1 The partial derivatives of σ must be continuous on the whole I , and in the points of the boundary they are
interpreted, if necessary, as right or left derivatives. Equivalently, σ could be extended to a C 1 -function defined
on an open set containing I . In this perspective, the domain of σ could be a more general set than a rectangle,
as e.g. the closure of any bounded and open set, so that the differential be well defined at the boundary points,
as well. Analogous considerations can be made on the domains of the considered differential forms.
 136 Chapter 3 • Differential Forms

Example The curve σ : [0, 2π] → R3 , defined by

σ (t) = (R cos(2t), R sin(2t), 0) ,

3
has as support the circle

{(x, y, z) : x 2 + y 2 = R 2 , z = 0}

(which is covered twice). Being σ (t) = (−2R sin(2t), 2R cos(2t), 0), it is a regular curve,
and

τσ (t) = (− sin(2t), cos(2t), 0) .

A surface in R3 is a function σ : [a1 , b1 ] × [a2 , b2 ] → R3 . The surface is regular

if, for every (u, v) ∈ ]a1 , b1 [ × ]a2 , b2 [ , the vectors ∂σ
∂u
(u, v), ∂σ
∂v
(u, v) are linearly
independent. In that case, they determine a plane, called the tangent plane to the surface
at the point σ (u, v), and it is possible to define the following normal versor:

σ(u ,v ) + νσ(u ,v )

νσ(u ,v )

σ(u ,v)

∂σ
(u, v) × ∂σ
(u, v)
νσ (u, v) = ∂u ∂v
.
 ∂u (u, v) ×
∂σ ∂σ
∂v
(u, v)

Examples

1. The surface σ : [0, π] × [0, π] → R3 , defined by

σ (φ, θ) = (R sin φ cos θ, R sin φ sin θ, R cos φ) ,

has as support the semi-sphere

{(x, y, z) : x 2 + y 2 + z2 = R 2 , y ≥ 0} .
3.6 · M-Surfaces
137 3

Being

∂σ
(φ, θ) = (R cos φ cos θ, R cos φ sin θ, −R sin φ) ,
∂φ
∂σ
(φ, θ) = (−R sin φ sin θ, R sin φ cos θ, 0) ,
∂θ
we compute

∂σ ∂σ
(φ, θ) × (φ, θ) = (R 2 sin2 φ cos θ, R 2 sin2 φ sin θ, R 2 sin φ cos φ) .
∂φ ∂θ

We thus see that it is a regular surface, and

νσ (φ, θ) = (sin φ cos θ, sin φ sin θ, cos φ) .

2. The surface σ : [0, 2π] × [0, 2π] → R3 , defined by

σ (u, v) = ((R + r cos u) cos v, (R + r cos u) sin v, r sin u) ,

where 0 < r < R, has as support a torus

.
{(x, y, z) : ( x 2 + y 2 − R)2 + z2 = r 2 } .
 138 Chapter 3 • Differential Forms

Even in this case, one can verify that it is a regular surface.

A 3-surface in R3 is also called a volume.

3
Example The function σ : [0, R] × [0, π] × [0, 2π] → R3 , defined by

σ (ρ, φ, θ) = (ρ sin φ cos θ, ρ sin φ sin θ, ρ cos φ) ,

has as support the closed ball

{(x, y, z) : x 2 + y 2 + z2 ≤ R 2 } .

In this case, det σ (ρ, φ, θ) = ρ 2 sin φ, so that it is a regular volume.

Definition 3.6
Two M-surfaces σ : I → RN and σ̃ : J → RN are said to be equivalent if they
have the same support and there are two open sets A ⊆ I, B ⊆ J, and a
diffeomorphism ϕ : A → B with the following properties: the sets I \ A and J \ B
are negligible and σ (u) = σ̃ (ϕ(u)), for every u ∈ A. We say that σ and σ̃ have the
same orientation if det ϕ (u) > 0, for every u ∈ A; they have opposite
orientation if det ϕ (u) < 0, for every u ∈ A.

Examples Given a curve σ : [a, b] → RN, an equivalent curve with opposite orientation is,
for example, σ̃ : [a, b] → RN defined by

σ̃ (t) = σ (a + b − t) .
3.6 · M-Surfaces
139 3
If σ is regular, an interesting example of an equivalent curve with the same orientation is
obtained by considering the function
t
ϕ(t) = σ (τ ) dτ .
a

Since ϕ (t) = σ (t) > 0, for every t ∈ ]a, b[ , setting ι1 = ϕ(b), we have that ϕ :
[a, b] → [0, ι1 ] is bijective and the curve σ1 : [0, ι1 ] → RN , defined as σ1 (s) = σ (ϕ −1 (s))
is equivalent to σ. Notice that, for every s ∈ ]0, ι1 [ , it is

σ1 (s) = σ (ϕ −1 (s))(ϕ −1 ) (s)

4 4
4 −1 1 4
=44 σ (ϕ (s)) 4
ϕ (ϕ (s)) 4
−1
4 4
4 −1 1 4
4
= 4σ (ϕ (s)) −1 4 = 1.
σ (ϕ (s)) 4

Given a surface σ : [a1 , b1 ] × [a2 , b2 ] → R3, an equivalent surface with opposite

orientation is, for example, σ̃ : [a1 , b1 ] × [a2 , b2 ] → R3 defined by

σ̃ (u, v) = σ (u, a2 + b2 − v) ,

or by

σ̃ (u, v) = σ (a1 + b1 − u, v) .

As will be seen in the sequel, two M-surfaces with the same support are not
necessarily equivalent. Let us introduce a particular class of M-surfaces for which this
inconvenience does not happen.

Definition 3.7
A M-surface σ : I → RN is a M-parametrization of a set M if it is regular,
injective on ˚
I , and σ (I ) = M. We say that a subset of RN is M-parametrizable if
there is a M-parametrization of it.

Examples The circle M = {(x, y) ∈ R2 : x 2 + y 2 = 1} is 1-parametrizable and σ :

[0, 2π] → R2 , given by σ (t) = (cos t, sin t), is a 1-parametrization of it.
A 2-parametrization of the sphere M = {(x, y, z) ∈ R3 : x 2 + y 2 + z2 = 1} is, for
example, σ : [0, π] × [0, 2π] → R3, defined by

σ (φ, θ) = (sin φ cos θ, sin φ sin θ, cos φ) .

The following theorem is crucial for the treatment of the measure of M-parametrizable
M-surfaces.
 140 Chapter 3 • Differential Forms

Theorem 3.8
Two M-parametrizations of the same set are always equivalent.
3

Proof
Let M be the subset of RN taken in consideration, and let σ : I → RN and σ̃ : J → RN be
two of its M-parametrizations. We define the sets
◦
A=˚
I ∩ σ −1 (M \ (σ (∂I ) ∪ σ̃ (∂J ))) , B = J ∩ σ̃ −1 (M \ (σ (∂I ) ∪ σ̃ (∂J ))) .

Then, for
◦
every u ∈ A, since σ (u) ∈ M \ (σ (∂I ) ∪ σ̃ (∂J )) and σ̃ (J ) = M, there exists
a v ∈ J such that σ̃ (v) = σ (u). Clearly,
◦
σ̃ (v) ∈ M \ (σ (∂I
◦
) ∪ σ̃ (∂J )), so that v ∈ B.
Moreover, since σ̃ is injective on J , there is a unique v in J with such a property. We can
thus define ϕ : A → B by setting ϕ(u) = v. Hence, for u ∈ A and v ∈ B,

ϕ(u) = v ⇔ σ (u) = σ̃ (v) .

This function ϕ : A → B is invertible: a symmetrical argument may be used to define its

inverse ϕ −1 : B → A.
Let us verify that the set A is open. Since σ , σ̃ are continuous functions and ∂I , ∂J are
compact sets, we have that σ (∂I ) ∪ σ̃ (∂J ) is compact, hence closed. Then M \ (σ (∂I ) ∪
σ̃ (∂J )) is relatively open in M, and σ −1 (M \ (σ (∂I ) ∪ σ̃ (∂J )) is relatively open in I , so
that its intersection with ˚I is an open set. In an analogous way it can be seen that B is an
open set, as well. ◦
Let us take a v 0 ∈ J , and set x 0 = σ̃ (v 0 ). The Jacobian matrix σ̃ (v 0 ) has rank M,
and we may assume without loss of generality that the first M lines be linearly independent.
Being RN  RM × RN −M , we will write every point x ∈ RN in the form x = (x 1 , x 2 ),
with x 1 ∈ RM and x 2 ∈ RN −M . However, not to have double indices below, we will write
x 0 = (x 01 , x 02 ).
Let  : J × RN −M → RN be defined as

(v, z) = σ̃ (v) + (0, z) .

Then  (v 0 , 0) is invertible, so that  is a local diffeomorphism: there are an open

neighborhood V0 of v 0 , an open neighborhood 0 of 0 in RN −M , and open neighborhood
W0 of x◦0 such that  : V0 × 0 → W0 is a diffeomorphism. Moreover, we can assume that
V0 ⊆ J . Let  = −1 : W0 → V0 × 0 . We will write (x) = (1 (x), 2 (x)), with
1 (x) ∈ V0 and 2 (x) ∈ 0 .
We now prove that ϕ is of class C 1 . Take u0 ∈ A, and set x 0 = σ (u0 ) and v 0 = ϕ(u0 ).
Assume v 0 as above, with σ̃ (v 0 ) having the first M lines linearly independent, so that the
local diffeomorphism  : W0 → V0 × 0 can be defined. Take an open neighborhood U0 of
u0 , contained in A, such that σ (U0 ) ⊆ W0 . Then, for u ∈ U0 and v ∈ B,

ϕ(u) = v ⇔ σ (u) = (v, 0) ⇔ (v, 0) = (σ (u)) .

3.7 · The Integral of a Differential Form
141 3
Hence, ϕ coincides with 1 ◦ σ on the open set U0 , yielding that ϕ is continuously
differentiable.
In a symmetric way it is proved that ϕ −1 : B → A is of class C 1 , so that ϕ happens to be
a diffeomorphism.
We now prove that the sets I \A and J \B are negligible. Let us consider, e.g., the second
one:
◦ ◦ ◦
J \ B = ∂J ∪ (J \ B) = ∂J ∪ {v ∈ J : σ̃ (v) ∈ σ (∂I )} ∪ {v ∈ J : σ̃ (v) ∈ σ̃ (∂J )} .
◦
We know that ∂J is negligible. Let us prove that {v ∈ J : σ̃ (v) ∈ σ (∂I )} is negligible, as
well. ◦
Let v 0 ∈ J be such that σ̃ (v 0 ) ∈ σ (∂I ). Then, there is a u0 ∈ ∂I such that σ (u0 ) =
σ̃ (v 0 ). We argue as above, and define  : W0 → V0 × 0 . Let U0 be an open neighborhood
of u0 such that σ (U0 ∩ I ) ⊆ W0 . Let us see that
◦
J ∩ σ̃ −1 (σ (U0 ∩ ∂I )) ⊆ (1 ◦ σ )(U0 ∩ ∂I ) .
◦
Indeed, taking v ∈ J ∩ σ̃ −1 (σ (U0 ∩ ∂I )), we have that σ̃ (v) ∈ σ (U0 ∩ ∂I ). Then, being
(v, 0) = σ̃ (v), we have that (σ̃ (v)) = (v, 0) ∈ V0 × 0 , hence v ∈ 1 (σ (U0 ∩ ∂I )),
and the inclusion is thus proved. Now, since 1 ◦ σ is of class C 1 , by Lemma ◦
2.36 we have
that (1 ◦ σ )(U0 ∩ ∂I ) is negligible. Finally, the conclusion that {v ∈ J : σ̃ (v) ∈ σ (∂I )}
is negligible follows from the fact that ∂I is compact, so that it can be covered by a finite
number of such open sets as U0 . ◦ ◦
It remains to be proved that {v ∈ J : σ̃ (v) ∈ σ̃ (∂J )} is negligible. Let v 0 ∈ J be such
that σ̃ (v 0 ) ∈ σ̃ (∂J ). Then, there is a ṽ 0 ∈ ∂J such that σ̃ (ṽ 0 ) = σ̃ (v 0 ). Let 0 be an open
V
◦

neighborhood of ṽ 0 such that σ̃ (V0 ∩ J ) ◦⊆ W0 . As above, one sees that J ∩ σ̃ −1 (σ̃ (V 0 ∩
 −1 
∂J )) ⊆ (1 ◦ σ̃ )(V0 ∩ ∂J ), showing that J ∩ σ̃ (σ̃ (V0 ∩ ∂J )) is negligible. The conclusion
is obtained as above, covering ∂J by a finite number of such open sets V 0 . 


3.7 The Integral of a Differential Form

We want to define the notion of integral of a M-differential form on a M-surface. Let


ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM ,
1≤i1 <···<iM ≤N

a M-differential form defined on a subset U of RN containing the support of a M-surface

σ : I → RN, with 1 ≤ M ≤ N. We consider, when the indices i1 , . . . , iM vary in the
set {1, . . . , N}, the functions σ(i1 ,...,iM ) : I → RM defined by
⎛ ⎞ ⎛ ⎞
u1 σi1 (u1 , . . . , uM )
⎜ . ⎟ ⎜ ⎟
σ(i1 ,...,iM ) :⎜ ⎟ ⎜
⎝ .. ⎠ → ⎝
..
.
⎟.
⎠
uM σiM (u1 , . . . , uM )
 142 Chapter 3 • Differential Forms

Definition 3.9
We say that the M-differential form ω : U → M (RN ) is integrable on the
M-surface σ : I → U if, for every choice of the indices i1 , . . . , iM in the set
3 {1, . . . , N}, the function (fi1 ,...,iM ◦ σ ) det σ(i 1 ,...,iM ) is integrable on I. In that case,
we set

ω= fi1 ,...,iM (σ (u)) det σ(i 1 ,...,iM ) (u) du .
σ 1≤i1 <···<iM ≤N I

For example, ω is surely integrable on σ when all its components are continuous
functions. Notice that
⎛ ∂σi1 ∂σi1 ⎞
∂u1
(u) . . . ∂uM
(u)
∂(σi1 , . . . , σiM ) ⎜ ⎟

σ(i1 ,...,iM ) (u) = ⎜
(u) = ⎝ .
.. .. ⎟.
∂(u1 , . . . , uM ) ··· . ⎠
∂σiM ∂σiM
∂u1
(u) ... ∂uM
(u)
2N 3
If we define, for every x ∈ U and every u ∈ I , the M
-dimensional vectors
2 3
F (x) = fi1 ,...,iM (x) 1≤i1 <···<iM ≤N ,
2 3
(u) = det σ(i 1 ,...,iM ) (u) 1≤i <···<i ≤N ,
1 M

we have that

ω = F (σ (u)) , (u) du ,
σ I

N
where · , · denotes here the Euclidean scalar product in R(M ) .
It is important to analyze how the integral of a differential form ω changes on two
equivalent M-surfaces having the same orientations, or opposite orientations.

Theorem 3.10
Let σ : I → RN and σ̃ : J → RN be two equivalent M-surfaces. If they have the
same orientations, then

ω= ω;
σ σ̃

if they have opposite orientations, then

ω=− ω.
σ σ̃
3.7 · The Integral of a Differential Form
143 3
Proof
We have a M-differential form of the type

ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM .
1≤i1 <···<iM ≤N

Let ϕ : A → B, be as in the definition of equivalent M-surfaces, such that σ = σ̃ ◦ ϕ. By

the Theorem on the Change of Variables in the integral, it is

ω= fi1 ,...,iM (σ̃ (ϕ(u))) det(σ̃ ◦ ϕ) (i1 ,...,iM ) (u) du
σ 1≤i1 <···<iM ≤N A


= fi1 ,...,iM (σ̃ (ϕ(u))) det σ̃(i 1 ,...,iM ) (ϕ(u)) det ϕ (u) du
1≤i1 <···<iM ≤N A


=± fi1 ,...,iM (σ̃ (v)) det σ̃(i 1 ,...,iM ) (v) dv
1≤i1 <···<iM ≤N B

=± ω,
σ̃

with positive sign if det ϕ > 0, negative if det ϕ < 0. 



Remark In general, if σ and σ̃ are equivalent, we do not necessarily have the equality
 
| σ ω| = | σ̃ ω|. It is not guaranteed, indeed that they have the same or opposite orientations.
For example, if we consider the two surfaces σ, σ̃ : [1, 2] × [0, 2π] → R3 , defined by
          
3 3 v 3 3 v 3 v
σ (u, v) = + u− cos cos v, + u− cos sin v, u − sin ,
2 2 2 2 2 2 2 2
 π
σ̃ (u, v) = σ u, v + ,
2

it is possible to see that they are both parametrizations of the same set (a Möbius strip), and
therefore they are equivalent (the reader is invited to explicitly find a diffeomorphism ϕ :
A → B with the properties required by the definition). On the other hand, if we consider the
2-differential form ω(x1 , x2 , x3 ) = dx12 , determined by the constant vector field (0, 0, 1),
computation yields
√
ω=0, ω = −3 2 .
σ σ̃
 144 Chapter 3 • Differential Forms

We now consider the important case when M = N.

3 Theorem 3.11
Let M = N; if σ is regular and injective on ˚
I with det σ > 0, and ω is of the type

ω(x) = f (x) dx1 ∧ · · · ∧ dxN ,

then

ω= f.
σ σ (I )

Proof
Using the theorem of local inversion it is seen that σ induces a diffeomorphism between ˚
I and
σ (˚
I ). Being both the boundary of I and its image through σ negligible (see Lemma 2.36),
by the Theorem on the Change of Variables in the integral, we have

ω= f (σ (u)) det(σ (u)) du
σ I

= f (σ (u)) det(σ (u)) du
˚
I

= f = f.
σ (˚
I) σ (I )

This completes the proof. 



 If σ is the identity function, then σ (I ) = I , and instead of σ ω one usually writes
I ω. Hence, we have that

f (x) dx1 ∧ · · · ∧ dxN = f.
I I

Let us see the meaning of the given definition in the case N = 3. If M = 1,

σ : [a, b] → R3 is a curve and ω is a 1-differential form:

ω(x) = F1 (x) dx1 + F2 (x) dx2 + F3 (x) dx3 .

Hence,
b
ω= [F1 (σ (t))σ1 (t) + F2 (σ (t))σ2 (t) + F3 (σ (t))σ3 (t)] dt
σ a
b
= F (σ (t)) , σ (t) dt .
a
3.7 · The Integral of a Differential Form
145 3

This quantity will be called line integral2 of the vector field F = (F1 , F2 , F3 ) along the
curve σ, and will be denoted by

F, d .
σ

Example Let us compute the line integral of the vector field F (x, y, z) = (−y, x, z2 ) along
the curve σ : [0, 2π] → R3, defined by σ (t) = (cos t, sin t, t) :
2π 8π 3
F, d = [(sin t)2 + (cos t)2 + t 2 ] dt = 2π + .
σ 0 3

If M = 2, σ : [a1 , b1 ] × [a2 , b2 ] → R3 is a surface and ω is a 2-differential form:

ω(x) = F1 (x) dx2 ∧ dx3 + F2 (x) dx3 ∧ dx1 + F3 (x) dx1 ∧ dx2 .

Hence,
⎡ ⎛ ⎞
b2 b1
∂σ2
(u, v) ∂σ 2
(u, v)
⎢ ⎜ ∂u ∂v
⎟
ω= ⎣F1 (σ (u, v)) det ⎝ ⎠+
σ a2 a1 ∂σ3
∂u
(u, v) ∂σ
∂v
3
(u, v)
⎛ ⎞
∂σ3
(u, v) ∂σ 3
(u, v)
⎜ ∂u ∂v
⎟
+F2 (σ (u, v)) det ⎝ ⎠+
∂σ1
∂u
(u, v) ∂σ
∂v
1
(u, v)
⎛ ⎞⎤
∂σ1
(u, v) ∂σ 1
(u, v)
⎜ ∂u ∂v
⎟⎥
+F3 (σ (u, v)) det ⎝ ⎠⎦ du dv
∂σ2
∂u
(u, v) ∂σ
∂v
2
(u, v)
b2 b1 7 8
∂σ ∂σ
= F (σ (u, v)) , (u, v) × (u, v) du dv .
a2 a1 ∂u ∂v

This quantity is called the surface integral or flux3 of the vector field F = (F1 , F2 , F3 )
through the surface σ, and will be denoted by

F, d S  .
σ

2 In mechanics this concept is used, for example, to define the work done by a field of forces on a particle
moving along a curve.
3 In fluidodynamics this concept is used, for instance, to define the amount of fluid crossing a given surface in

the unit time.

 146 Chapter 3 • Differential Forms

Example Let us compute the flux of the vector field F (x, y, z) = (−y, x, z2 ) through the
surface σ : [0, 1] × [0, 1] → R3 , defined by σ (u, v) = (u2 , v, u + v) :
1 1
3 F, d S  = [(−v)(−1) + u2 (−2u) + (u + v)2 (2u)] du dv =
3
.
σ 0 0 2

3.8 Scalar Functions and M-Superficial Measure

We recall that, if ω is a M-differential form defined on a subset U of RN, with

1 ≤ M ≤ N,

ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM ,
1≤i1 <···<iM ≤N

and σ : I → RN is a M-surface whose support is contained in U , then

ω = F (σ (u)) , (u) du ,
σ I

where
2 3
F (x) = fi1 ,...,iM (x) 1≤i1 <···<iM ≤N ,
2 3
(u) = det σ(i 1 ,...,iM ) (u) 1≤i <···<i ≤N .
1 M

In view of the applications, besides the integral of a M-differential form, it is useful to

define also the integral of a scalar function f : U → R on a M-surface.

Definition 3.12
The function f : U → R is integrable on the M-surface σ : I → RN if
(f ◦ σ ) is integrable on I. In that case, we set

f = f (σ (u)) (u) du
σ I
   2  12
= f (σ (u)) det σ(i 1 ,...,iM ) (u) du .
I 1≤i1 <···<iM ≤N

In this context, the integral does not differ for equivalent M-surfaces.

Theorem 3.13
If σ and σ̃ are two equivalent M-surfaces, then

f = f.
σ σ̃
3.8 · Scalar Functions and M-Superficial Measure
147 3
Proof
With the notations introduced previously, since σ = σ̃ ◦ ϕ, with ϕ : A → B, we have
 
(u) = det σ(i 1 ,...,iM ) (u)
1≤i1 <···<iM ≤N
  
= det σ̃(i 1 ,...,iM ) (ϕ(u))ϕ (u)
1≤i1 <···<iM ≤N
 
= det σ̃(i 1 ,...,iM ) (ϕ(u)) det ϕ (u)
1≤i1 <···<iM ≤N


= (ϕ(u)) det ϕ (u) .

Therefore, by the Theorem on the Change of Variables in the integral, being I \ A and J \ B
negligible, we have that

f = f (σ (u)) (u) du
σ A

= 
f (σ̃ (ϕ(u))) (ϕ(u)) | det ϕ (u)| du
A

=  (v) dv
f (σ̃ (v)) 
B

= f,
σ̃

thus proving the claim. 



In the case M = 1, we have a curve σ : [a, b] → RN and, given a scalar function f

defined on the support of σ,
b
f = f (σ (t)) σ (t) dt .
σ a

Consider the interesting case when f is constantly equal to 1 : having in mind the
physical situation of a particle in motion along the curve described by σ , in this case the
line integral is called the length4 (or curvilinear measure) of the curve σ, and we write
b
ι1 (σ ) = σ (t) dt .
a

4 Thisdefinition could also be justified by geometrical considerations, which we omit here for the sake of
briefness.
 148 Chapter 3 • Differential Forms

Example Let σ : [0, b] → R3 be defined by σ (t) = (t, t 2 , 0). Its support is an arc of
parabola, and its length is given by

3 ι1 (σ ) =
b
1 + (2t)2 dt
0
sinh−1 (2b) 1
= (cosh u)2 du
sinh−1 (0) 2
  −1
1 u + sinh u cosh u sinh (2b)
=
2 2 0
1   
= sinh−1 (2b) + 2b 1 + 4b2
4
1    b
= ln 2b + 1 + 4b2 + 1 + 4b2 .
4 2

If M = 2 and N = 3, we have the surface σ : [a1 , b1 ] × [a2 , b2 ] → R3 and, given a

scalar function f , defined on the support of σ,
b2 b1 4 4
4 ∂σ ∂σ 4
f = 4
f (σ (u, v)) 4 (u, v) × (u, v)4
∂u ∂v 4 du dv .
σ a2 a1

Again it is interesting to consider the case when f is constantly equal to 1 : in this case
we call area (or surface measure) of the surface σ the following integral:
b2 b1 4 4
4 ∂σ 4
ι2 (σ ) = 4 (u, v) × ∂σ (u, v)4 du dv .
4 ∂u ∂v 4
a2 a1

In the case when, for example, the surface happens to be a 2-parametrization of a set
in R3 , this integral is the flux of a vector field which at every point coincides with the
normal versor to the surface itself.5

Example Let σ : [0, π] × [0, 2π] → R3 be defined by

σ (φ, θ) = (R sin φ cos θ, R sin φ sin θ, R cos φ) .

This is a 2-parametrization of a sphere of radius R, and its area is given by

2π π .
ι2 (σ ) = (R 2 sin2 φ cos θ)2 + (R 2 sin2 φ sin θ)2 + (R 2 sin φ cos θ)2 dφ dθ
0 0
2π π
= R 2 sin φ dφ dθ
0 0

= 4πR 2 .

5 Alsothe definition of the area of a surface can be justified by geometrical considerations, even if the procedure
is much more delicate than in the case of a curve.
3.8 · Scalar Functions and M-Superficial Measure
149 3
In general, the case when f is constantly equal to 1 gives

1 = (u) du ,
σ I

and leads to the following.

Definition 3.14
We call M-superficial measure of a M-surface σ : I → RN the following integral:
   2  12
ιM (σ ) = det σ(i 1 ,...,iM ) (u) du .
I 1≤i1 <···<iM ≤N

As reasonably one expects, as a direct consequence of Theorem 3.13 and Theo-

rem 3.8 one has the following.

Corollary 3.15
Two equivalent M-surfaces always have the same M-superficial measure. In particu-
lar, this is true for any two M-parametrizations of a given set.

Example Consider the two curves σ, σ̃ : [0, 2π] → R2, defined by

σ (t) = (cos(t), sin(t)) , σ̃ (t) = (cos(2t), sin(2t)) .

Notice that, even if they have the same support, these curves are not equivalent. Indeed, as is
easily seen, ι1 (σ ) = 2π while ι1 (σ̃ ) = 4π.

The above considerations naturally lead to the following.

Definition 3.16
We call M-dimensional measure of a M-parametrizable set M ⊆ RN the
M-superficial measure of any of its M-parametrizations.

In the cases when M = 1, 2, the M-dimensional measure of M is often called

length or area of M, respectively. We may thus consider, for example, the length of a
circle or the area of a sphere.6
If M = N, it can be verified that the N-dimensional measure of the set M is the
same as the usual measure which has been treated in  Chap. 2.

6 We emphasize here the fact that the area of a sphere of radius R, which we found to be equal to 4πR 2 by
taking a particular parametrization, will always be the same when computed with any parametrization. This
fact is not always proved in other textbooks.
 150 Chapter 3 • Differential Forms

Exercises
1. Find the length of the helicoidal curve γ : [0, 2π] → R3 defined as

3 γ (t) = (cos t, sin t, t) .

2. Compute the integral

xyz d ,
γ

where γ : [0, 1] → R3 is defined as γ (t) = (t, t 2 , t 3 ).

3. Find the area of the ellipsoid
 
x2 y2 z2
(x, y, z) ∈ R : 2 + 2 + 2 = 1 .
3
a b c

4. Compute the integral

(x + y + z) d S ,
σ

where σ : [1, 2] × [0, 1] → R3 is the surface defined as

σ (u, v) = (u sin v, v sin u, cos(uv)) .

5. Find a parametrization σ : I → R3 of the set

M = {(x, y, z) ∈ R3 : x 2 + 4y 2 + 9z2 = 1} ,

where I ⊆ R2 is some rectangle. Then, compute the integral σ f , where f : R3 → R
is the function defined by the formula

f (x, y, z) = xyz .

6. Find a parametrization σ : I → R3 of the set

M = {(x, y, z) ∈ R3 : |z| ≤ 4x 2 + 9y 2 ≤ 1} ,

taking as I ⊆ R3 a rectangle (parallelepiped). Then, compute the volume of such a solid.

3.9 The Oriented Boundary of a Rectangle

Assume that σ1 : I1 → RN, . . . , σn : In → RN are some M-surfaces. We can easily

find some equivalent M-surfaces σ̃1 : J1 → RN,. . . , σ̃n : Jn → RN, with the same
3.9 · The Oriented Boundary of a Rectangle
151 3
orientation, such that the rectangles J1 , . . . , Jn be non-overlapping and whose union be
a rectangle I.

Definition 3.17
We call glueing◦ of the M-surfaces
◦
σ1 , . . . , σn any function σ : I → RN whose
restrictions to J1, . . . , Jn coincide with σ̃1 , . . . , σ̃n , respectively; it is almost

everywhere differentiable, and we can define σ ω by the same formula we have
used for the M-surfaces of class C 1 . Hence,

ω= ω + ··· + ω.
σ σ1 σn

We have thus “glued” together the M-surfaces σ1 , . . . , σn and defined an integral

of this glueing which does not depend on the particular choice of the equivalent M-
surfaces, since anyway they conserve the orientation. In practice, however, we will never
need to construct explicitly the glueing; what will actually be important is the formula
for the integral.
Assume now that I be a rectangle7 of RM+1, with M ≥ 1:

I = [a1 , b1 ] × · · · × [aM+1 , bM+1 ] .

We denote by Ik the rectangle of RM obtained from I by suppression of the k-th

component:

Ik = [a1 , b1 ] × · · · × [ak−1 , bk−1 ] × [ak+1 , bk+1 ] × · · · × [aM+1 , bM+1 ] .

Consider, for every k, the M-surfaces αk+ , βk+ : Ik → RM+1 defined by

αk+ (u1 , . . . , u9k , .., uM+1 ) = (u1 , . . . , uk−1 , ak , uk+1 , . . . , uM+1 ) ,

βk+ (u1 , . . . , u9k , .., uM+1 ) = (u1 , . . . , uk−1 , bk , uk+1 , . . . , uM+1 ) ,

where the meaning of the symbol 9 is to suppress the underlying variable. Consider
moreover some M-surfaces αk− , βk− : Ik → RM+1 , equivalent to αk+ , βk+ , respectively,
with opposite orientation.

7 We are thus considering here the situation when N = M + 1. This setting will be maintained also in the next
section.
 152 Chapter 3 • Differential Forms

Definition 3.18
We call oriented boundary of the rectangle I a function ∂I which is a glueing of
the following M-surfaces:
3 (a) αk− and βk+ if k is odd;
(b) αk+ and βk− if k is even.

If ω is a M-differential form defined on a subset U of RM+1 containing the image of

∂I, we will then have

M+1 
M+1
ω = (−1)k ω+ (−1)k−1 ω
∂I k=1 αk+ k=1 βk+
 

M+1
= (−1)k−1 ω− ω .
k=1 βk+ αk+

Let M = 1, and consider the rectangle [a1 , b1 ] × [a2 , b2 ]. Then, for example,

α1− : [a2 , b2 ] → R2 , v → (a1 , a2 + b2 − v) ,

β1+ : [a2 , b2 ] → R2 , v → (b1 , v) ,
α2+ : [a1 , b1 ] → R2 , u → (u, a2 ) ,
β2− : [a1 , b1 ] → R2 , u → (a1 + b1 − u, b2 ) .

We can visualize geometrically ∂I as the glueing of the sides of the rectangle I oriented
in such a way that the perimeter be described in counter-clockwise direction.

β2 −
b2

β1 +
α1 −

a2
α2 +

a1 b1

If M = 2, we have, for example,

α1− : [a2 , b2 ] × [a3 , b3 ] → R3 , (v, w) → (a1 , a2 + b2 − v, w) ,

β1+ : [a2 , b2 ] × [a3 , b3 ] → R3 , (v, w) → (b1 , v, w) ,
α2+ : [a1 , b1 ] × [a3 , b3 ] → R , (u, w) → (u, a2 , w) ,
3
3.10 · The Gauss Formula
153 3

β2− : [a1 , b1 ] × [a3 , b3 ] → R3 , (u, w) → (u, b2 , a3 + b3 − w) ,

α3− : [a1 , b1 ] × [a2 , b2 ] → R3 , (u, v) → (a1 + b1 − u, v, a3 ) ,
β3+ : [a1 , b1 ] × [a2 , b2 ] → R3 , (u, v) → (u, v, b3 ) .

In this case, we can visualize ∂I as the glueing of the six faces of the parallelepiped
I, each oriented in such a way that the normal versor be always directed towards the
exterior.

α1 −

β3 +

α2 + β2 −
β1 +

α3 −

3.10 The Gauss Formula

In this section, I will be a rectangle in RN, with N ≥ 2. In the following theorem, the
elegant Gauss formula is obtained.8

Theorem 3.19
If ω is a (N − 1)-differential form of class C 1 defined on an open set containing the
rectangle I in RN, then

dω = ω.
I ∂I

Proof
We can write ω as


N
ω(x) = :j ∧ · · · ∧ dxN .
Fj (x) dx1 ∧ · · · ∧ dx
j =1

8 As mentioned in the footnote in the previous section, we have N = M + 1.

 154 Chapter 3 • Differential Forms

Then,


N 
N
∂Fj
dω(x) = :j ∧ · · · ∧ dxN
(x) dxm ∧ dx1 ∧ · · · ∧ dx
3 ∂xm
j =1 m=1


N
∂Fj
= (−1)j −1 (x) dx1 ∧ · · · ∧ dxN .
∂xj
j =1

Being the partial derivatives of each Fj continuous, they are integrable on the rectangle I,
and we can use the Reduction Theorem:

N
∂Fj
dω = (−1)j −1 (x) dx1 . . . dxN
I j =1 I ∂xj

 

N bj ∂Fj
= (−1)j −1 (x1 , . . . , xN ) dxj dx1 . . . d:
xj . . . dxN
Ij aj ∂xj
j =1


N
= (−1)j −1 [Fj (x1 , . . . , xj −1 , bj , xj +1 , . . . , xN ) −
j =1 Ij

:j . . . dxN ,
−Fj (x1 , . . . , xj −1 , aj , xj +1 , . . . , xN )] dx1 . . . dx

by the Fundamental Theorem. On the other hand, we have

N

ω= :j ∧ · · · ∧ dxN
Fj dx1 ∧ · · · ∧ dx
αk+ +
j =1 αk

N

= (Fj ◦ αk+ ) det(αk+ ) (1,...,j,...,N :j . . . dxN
dx1 . . . dx
ˆ )
j =1 Ik

= :k . . . dxN ,
Fk (x1 , . . . , xk−1 , ak , xk+1 , . . . , xN ) dx1 . . . dx
Ik

being

0 if j =

k,
det(αk+ ) ˆ =
(1,...,j,...,N ) 1 if j = k .

Similarly,

ω= :k . . . dxN ,
Fk (x1 , . . . , xk−1 , bk , xk+1 , . . . , xN ) dx1 . . . dx
β+ Ik
3.11 · Oriented Boundary of a M-Surface
155 3
so that
 

N
ω= (−1)k−1 ω− ω
∂I k=1 βk+ αk+


N
= (−1)k−1 [Fk (x1 , . . . , xk−1 , bk , xk+1 , . . . , xN ) −
k=1 Ik

:k . . . dxN ,
−Fk (x1 , . . . , xk−1 , ak , xk+1 , . . . , xN )] dx1 . . . dx

and the proof is completed. 



Remark The regularity assumption on the differential form ω could be considerably

weakened. However, for briefness, we will not enter into this discussion. The interested
reader is referred to [19].

3.11 Oriented Boundary of a M-Surface

In this section, I will be a rectangle in RM+1 and σ : I → RN a (M + 1)-surface.

Definition 3.20
For 1 ≤ M ≤ N − 1, we call oriented boundary of σ a function ∂σ = σ ◦ ∂I,
which is a glueing of the following M-surfaces:
(a) σ ◦ αk− and σ ◦ βk+ if k is odd;
(b) σ ◦ αk+ and σ ◦ βk− if k is even.

Given a M-differential form ω whose domain contains the support of ∂σ, we will
then have

M+1 
M+1
ω = (−1)k ω+ (−1)k−1 ω
∂σ k=1 σ ◦αk+ k=1 σ ◦βk+
 

M+1
= (−1) k−1
ω− ω .
k=1 σ ◦βk+ σ ◦αk+


Remark It is useful to extend the meaning of ∂σ ω to the case when σ : [a, b] → RN is a
curve, with N ≥ 1, and ω = f : U → R is a 0-differential form; in this case, we set

ω = f (σ (b)) − f (σ (a)) .
∂σ
 156 Chapter 3 • Differential Forms

Examples As an illustration, consider as usual the case N = 3. We begin with three

examples of oriented boundaries of surfaces.

3 1. Let σ : [r, R] × [0, 2π] → R3, with 0 ≤ r < R, be given by

σ (u, v) = (u cos v, u sin v, 0) .

Its support is a disk if r = 0, an annulus if r > 0. The oriented boundary ∂σ is given by a

glueing of the following four curves:

σ ◦ α1− (v) = (r cos v, −r sin v, 0) ,

σ ◦ β1+ (v) = (R cos v, R sin v, 0) ,

σ ◦ α2+ (u) = (u, 0, 0) ,
σ ◦ β2− (u) = (r + R − u, 0, 0) .

The first curve has as support a circle with radius r, which degenerates into the origin in the
case when r = 0. The second has as support a circle with radius R. Notice however that
these two circles are described by the two curves in opposite directions. The last two curves
are equivalent with opposite orientations.

Consider, for example, the vector field F (x, y, z) = (−y, x, xyez ). Then,

F, d = F, d + F, d
∂σ σ ◦α1− σ ◦β1+
2π 2π
= [−r 2 sin2 v − r 2 cos2 v] dv + [R 2 sin2 v + R 2 cos2 v] dv
0 0

= 2π(R 2 − r 2 ) .
3.11 · Oriented Boundary of a M-Surface
157 3

2. Consider the surface σ : [r, R] × [0, 2π] → R3, with 0 < r < R, defined by
    v 
r+R r +R
σ (u, v) = + u− cos cos v,
2 2 2
    v 
r +R r +R
+ u− cos sin v,
2 2 2
   
r +R v
u− sin ,
2 2

whose support is a Möbius strip. In this case, the oriented boundary is given by a glueing of
  v 
r +R R−r
σ ◦ α1− (v) = + cos cos v,
2 2 2
  v 
r +R R−r
− + cos sin v,
2 2 2
R−r  v 
− sin ,
2 2
  v 
r +R R−r
σ ◦ β1+ (v) = + cos cos v,
2 2 2
  v 
r +R R−r
+ cos sin v,
2 2 2
R−r  v 
sin ,
2 2
σ ◦ α2+ (u) = (u, 0, 0) ,
σ ◦ β2− (u) = (u, 0, 0) .

Notice that in this case the two last curves are the same.
 158 Chapter 3 • Differential Forms

3. Consider the surface σ : [0, π] × [0, 2π] → R3 defined by

σ (φ, θ) = (R sin φ cos θ, R sin φ sin θ, R cos φ) ,

3
whose support is the sphere with radius R > 0, centered at the origin. In this case, the
oriented boundary is a glueing of

σ ◦ α1− (θ) = (0, 0, R) ,

σ ◦ β1+ (θ) = (0, 0, −R) ,

σ ◦ α2+ (φ) = (R sin φ, 0, R cos φ) ,
σ ◦ β2− (φ) = (R sin φ, 0, −R cos φ) .

Notice that the first two curves are degenerated in one point, while the two others are
equivalent with opposite orientations. Hence, for any choice of a vector field F, it will be

∂σ F, d = 0.

Let us see now an example of oriented boundary of a volume in R3 . Let σ : [0, R] ×

[0, π] × [0, 2π] → R3 be the volume defined by

σ (ρ, φ, θ) = (ρ sin φ cos θ, ρ sin φ sin θ, ρ cos φ) ,

whose support is the closed ball, centered at the origin, with radius R > 0. The oriented
boundary ∂σ is a glueing of the following six surfaces:

σ ◦ α1− (φ, θ) = (0, 0, 0) ,

σ ◦ β1+ (φ, θ) = (R sin φ cos θ, R sin φ sin θ, R cos φ) ,

σ ◦ α2+ (ρ, θ) = (0, 0, ρ) ,
σ ◦ β2− (ρ, θ) = (0, 0, −ρ) ,

σ ◦ α3− (ρ, φ) = ((R − ρ) sin φ, 0, (R − ρ) cos φ) ,

σ ◦ β3+ (ρ, φ) = (ρ sin φ, 0, ρ cos φ) .

Notice that the first surface is degenerated in a point (the origin), the second has as support
the entire sphere, the third and the fourth are degenerated in two lines, while the remaining
two are equivalent with opposite orientations. Hence, given a vector field F, we will have

F, d S  = F, d S  .
∂σ σ ◦β1+

3.12 The Stokes–Cartan Formula

Let us state the following generalization of the Gauss theorem, where the important
Stokes–Cartan formula is obtained.
3.12 · The Stokes–Cartan Formula
159 3

Theorem 3.21
Let 0 ≤ M ≤ N − 1. If ω : U → M (RN ) is a M-differential form of class C 1 and
σ : I → RN is a (M + 1)-surface whose support is contained in U, then

dω = ω.
σ ∂σ

Notice that the case M = 0, N = 1 and σ (u) = u is a version of the Fundamental

Theorem, with the further assumption on the derivative of ω to be continuous.
The general proof of the above theorem is given in Appendix B. We will concentrate
here on some corollaries obtained, in the case N = 3, when M takes the values 0, 1
and 2. It is interesting to prove directly these corollaries, showing how the general proof
adapts to them.
The Case M = 0 We consider a 0-differential form ω = f : U → R, and we obtain
the following.

Theorem 3.22
Let f : U → R be a scalar function of class C 1 and σ : [a, b] → R3 a curve whose
support is contained in U. Then,

grad f, d = f (σ (b)) − f (σ (a)) .
σ

Proof
Consider the function G : [a, b] → R defined by G(t) = f (σ (t)). It is of class C 1 , and by
the Fundamental Theorem we have
b
G (t) dt = G(b) − G(a) .
a

Since G (t) = grad f (σ (t)), σ (t), the conclusion follows. 



Remark The line integral of the gradient of a function f does not depend on the chosen
curve itself, but only on the values of the function at the two extrema σ (b) and σ (a).

Example Given
 
x y z
F (x, y, z) = − , ,
[x 2 + y 2 + z2 ]3/2 [x 2 + y 2 + z2 ]3/2 [x 2 + y 2 + z2 ]3/2
 160 Chapter 3 • Differential Forms

and the curve σ : [0, 4π] → R3 defined by σ (t) = (cos t, sin t, t), we want to compute the

line integral σ F, d. Observe that F = grad f, with

3 f (x, y, z) = 
1
.
x 2 + y 2 + z2

Hence,

1
F, d = f (σ (4π)) − f (σ (0)) = √ − 1.
σ 1 + 16π 2

The Case M = 1 We consider a 1-differential form

ω(x) = F1 (x) dx1 + F2 (x) dx2 + F3 (x) dx3 ,

and we obtain the Stokes–Ampère formula.

Theorem 3.23
Let F : U → R3 be a C 1 -vector field and σ : [a1 , b1 ] × [a2 , b2 ] → R3 be a surface
whose support is contained in U. Then,

curl F, d S  = F, d .
σ ∂σ

Verbally The flux of the curl of the vector field F through the surface σ is equal to the
line integral of F along the oriented boundary of σ.

Proof
Let I = [a1 , b1 ] × [a2 , b2 ], and define the following 1-differential form 
ω : I → 1 (R2 ) :
7 8 7 8
∂σ ∂σ

ω(u, v) = F (σ (u, v)) , (u, v) du + F (σ (u, v)) , (u, v) dv .
∂u ∂v

We first consider its integral on α1− :

b2 7 8
∂σ
ω=
 F (σ (a1 , a2 + b2 − v)) , − (a1 , a2 + b2 − v) dv
α1− a2 ∂v

= F, d .
σ ◦α1−

The integrals on β1+ , α2+ and β2− are then treated analogously, so that

ω=
 F, d .
∂I ∂σ
3.12 · The Stokes–Cartan Formula
161 3

Assume now that σ is of class C 2 . Then, 

ω is of class C 1 and, with some computations, we get
7 8 7 8
∂ ∂σ ∂ ∂σ
ω(u, v) =
d F (σ (u, v)) , (u, v) − F (σ (u, v)) , (u, v) du ∧ dv
∂u ∂v ∂v ∂u
7 8
∂σ ∂σ
= curl F (σ (u, v)) , (u, v) × (u, v) du ∧ dv ,
∂u ∂v

so that

ω=
d curl F, d S  .
I σ

The Gauss formula applied to  ω thus yields the conclusion in this case.
The assumption that σ be of class C 2 can eventually be eliminated by an approximation
procedure: it is possible to construct a sequence (σn )n of surfaces of class C 2 which converge
to σ together with all their partial derivatives of the first order. The Stokes–Ampère formula
holds then for those surfaces, and passing to the limit, by the Dominated Convergence
Theorem, we have the conclusion. 


Example Let F (x, y, z) = (−y, x, 0) and γ : [0, 2π] → R3 be the curve defined by γ (t) =

(R cos t, R sin t, 0); we want to compute the line integral γ F, d. We have already seen
how to compute this integral by the direct use of the definition. We now proceed in a different
way: consider the surface σ : [0, R]×[0, 2π] → R3 given by σ (ρ, θ) = (ρ cos θ, ρ sin θ, 0).
Observe that γ = σ ◦ β1+ , so

F, d = F, d = F, d = curl F, d S  .
γ σ ◦β1+ ∂σ σ

Being curl F (x, y, z) = (0, 0, 2) and

∂σ ∂σ
(ρ, θ) × (ρ, θ) = (0, 0, ρ) ,
∂ρ ∂θ

we then have
R 2π
F, d = (0, 0, 2) , (0, 0, ρ) dθ dρ = 2πR 2 .
γ 0 0

The Case M = 2 We consider a 2-differential form

ω(x) = F1 (x) dx2 ∧ dx3 + F2 (x) dx3 ∧ dx1 + F3 (x) dx1 ∧ dx2 ,

and we obtain the Gauss–Ostrogradski formula.

 162 Chapter 3 • Differential Forms

Theorem 3.24
Let F : U → R3 be a C 1 -vector field and σ : I = [a1 , b1 ] × [a2 , b2 ] × [a3 , b3 ] → R3
3 be a volume whose support is contained in U . Then,

div F dx1 ∧ dx2 ∧ dx3 = F, d S  .
σ ∂σ

Hence, if σ is regular and injective on ˚

I , with det σ > 0, then

div F = F, d S  .
σ (I ) ∂σ

In Intuitive Terms The integral of the divergence of the vector field F on the set
V = σ (I ) is equal to the flux of F which exits from V .

Proof
Let 
ω : I → 2 (R3 ) be the 2-differential form defined by
7 8
∂σ ∂σ

ω(u) = F (σ (u)) , (u) × (u) du2 ∧ du3 +
∂u2 ∂u3
7 8
∂σ ∂σ
+ F (σ (u)) , (u) × (u) du3 ∧ du1 +
∂u3 ∂u1
7 8
∂σ ∂σ
+ F (σ (u)) , (u) × (u) du1 ∧ du2 .
∂u1 ∂u2

Considering β1+ , we have:

b2 b3 7 8
∂σ ∂σ

ω = F (b1 , u2 , u3 ) , (b1 , u2 , u3 ) × (b1 , u2 , u3 ) du2 du3
β1+ a2 a3 ∂u2 ∂u3

= F, d S  .
β1+

With the analogous computations on the remaining five surfaces which determine ∂I we can
say that

ω=
 F, d S  .
∂I ∂σ
3.12 · The Stokes–Cartan Formula
163 3

Assume now that σ be of class C 2 . Then 

ω is of class C 1 and, carrying over the computations,
with some tenacity, we have
 7 8
∂ ∂σ ∂σ
ω(u) =
d F (σ (u)) , (u) × (u) +
∂u1 ∂u2 ∂u3
7 8
∂ ∂σ ∂σ
+ F (σ (u)) , (u) × (u) +
∂u2 ∂u3 ∂u1
7 8
∂ ∂σ ∂σ
+ F (σ (u)) , (u) × (u) du1 ∧ du2 ∧ du3
∂u3 ∂u1 ∂u2

= div F (σ (u)) det σ (u) du1 ∧ du2 ∧ du3 .

Hence,

ω=
d div F (σ (u)) det σ (u) du1 ∧ du2 ∧ du3 = div F dx1 ∧ dx2 ∧ dx3 .
I I σ

The Gauss formula applied to  ω thus yields the first conclusion. On the other hand, if σ is
regular and injective on ˚
I , with det σ > 0, Theorem 3.11 yields the second formula, and the
proof is completed. The assumption that σ be of class C 2 can eventually be eliminated, as in
the previous theorem. 


Example We want to compute the flux of the vector field

F (x, y, z) = ([x 2 + y 2 + z2 ]x, [x 2 + y 2 + z2 ]y, [x 2 + y 2 + z2 ]z)

through a spherical surface parametrized by η : [0, π] × [0, 2π] → R3, defined as

η(φ, θ) = (R sin φ cos θ, R sin φ sin θ, R cos φ) .

Recall that η = σ ◦ β1+ , where σ : I = [0, R] × [0, π] × [0, 2π] → R3 is the volume
given by

σ (ρ, φ, θ) = (ρ sin φ cos θ, ρ sin φ sin θ, ρ cos φ) .

Hence,

F, d S  = F, d S  = div F .
η ∂σ σ (I )

Being div F (x, y, z) = 5(x 2 + y 2 + z2 ), passing to spherical coordinates we have

2π π R
div F = (5ρ 2 )(ρ 2 sin φ) dρ dφ dθ = 4πR 5 .
σ (I ) 0 0 0
 164 Chapter 3 • Differential Forms

3.13 Analogous Results in R2

Assuming that U be a subset of R2 we find two interesting corollaries of the Stokes–

3 Cartan theorem. Like in the case N = 3, the line integral of a vector field F = (F1 , F2 )
along a curve σ : [a, b] → R2 is defined as
b
F, d = [F1 (σ (t))σ1 (t) + F2 (σ (t))σ2 (t)] dt .
σ a

We have the following result, analogous to the one obtained in the previous section for
the case N = 3.

Theorem 3.25
Let f : U → R be a scalar function of class C 1 and σ : [a, b] → R2 be a curve with
support contained in U. Then,
7  8
∂f ∂f
, , d = f (σ (b)) − f (σ (a)) .
σ ∂x1 ∂x2

Taking now M = 1, we obtain the Gauss–Green formula.

Theorem 3.26
Let F = (F1 , F2 ) : U → R2 be a C 1 -vector field and σ : I = [a1 , b1 ]×[a2 , b2 ] → R2
be a surface whose support is contained in U . Then,
 
∂F2 ∂F1
− dx1 ∧ dx2 = F, d .
σ ∂x1 ∂x2 ∂σ

Hence, if σ is regular and injective on ˚

I , with det σ > 0, then
 
∂F2 ∂F1
− = F, d .
σ (I ) ∂x1 ∂x2 ∂σ

Proof
As for the Stokes–Ampère theorem, we consider the auxiliary differential form 
ω : I →
1 (R2 ), defined by
7 8 7 8
∂σ ∂σ

ω(u, v) = F (σ (u, v)) , (u, v) du + F (σ (u, v)) , (u, v) dv ,
∂u ∂v
3.13 · Analogous Results in R2
165 3
and see that

ω=
 F, d .
∂I ∂σ

If σ is of class C 2 , then 
ω is of class C 1 and computation shows that
7 8 7 8
∂ ∂σ ∂ ∂σ
ω(u, v) =
d F (σ (u, v)) , (u, v) − F (σ (u, v)) , (u, v) du ∧ dv
∂u ∂v ∂v ∂u
 
∂F2 ∂F1
= (σ (u, v)) − (σ (u, v)) det σ (u, v) du ∧ dv .
∂x1 ∂x2

Hence,
 
∂F2 ∂F1
ω=
d (σ (u, v)) − (σ (u, v)) det σ (u, v) du ∧ dv
I I ∂x1 ∂x2
 
∂F2 ∂F1
= − dx1 ∧ dx2 .
σ ∂x1 ∂x2

The Gauss formula applied to ω gives us the first conclusion. If σ is regular and injective on ˚
I,

with det σ > 0, then Theorem 3.11 yields the conclusion. As mentioned in the case N = 3,
the assumption that σ is of class C 2 can be eliminated by an approximation procedure. 


Example Consider the surface σ : I = [0, 1] × [0, 2π] → R2 defined by σ (ρ, θ) =

(Aρ cos θ, Bρ sin θ), whose support is an elliptical surface with semi-axes having lengths
A > 0 and B > 0. Take the vector field F (x, y) = (−y, x). Being

∂F2 ∂F1
(x, y) − (x, y) = 2 ,
∂x ∂y

and (as for the disk)

F, d = F, d ,
∂σ σ ◦β1+

the Gauss–Green formula gives us

2π
2 dx dy = (−B sin θ, A cos θ) , (−A sin θ, B cos θ) dθ = 2πAB.
σ (I ) 0

We then find the area of the elliptic surface: μ(σ (I )) = πAB .

 166 Chapter 3 • Differential Forms

Exercises
√
1. Let γ : [0, 4] → R2 be the curve defined as γ (t) = (t, t ). Compute the integral

3 (xy 2 , yx 2 ), d ,
γ

first directly, then by the use of a scalar potential.

2. Let σ : [0, 1] × [0, 1] → R2 be the surface defined by

σ (u, v) = (u2 , v 2 ) .

Compute ∂σ F, d with F : R2 → R2 given by

F (x, y) = (x 2 − y 2 , 2xy) .

3. Let σ : [0, 1] × [0, 1] → R3 be the surface defined by

σ (u, v) = (u2 , v 2 , uv) .


Compute σ curlF, d S , both directly and by the use of the Stokes–Ampère formula,
when

F (x, y, z) = (x − y, y − z, z − x) .

4. Let σ : [0, 1] × [0, 1] × [−1, 1] → R3 be the volume defined as

σ (u, v, w) = (u2 + v 2 , u2 + v 2 , w) ,

and consider the vector field F : R3 → R3 given by

F (x, y, z) = (x 2 , y 3 , z4 ) .

Compute σ divF dx ∧ dy ∧ dz, both directly and by the use of the Gauss–Ostrogradski
formula.
5. Let σ : [0, 1] × [0, π] × [0, 2π] → R3 be the parametrization of the unit ball in spherical
coordinates, given by

σ (ρ, φ, θ) = (ρ sin φ cos θ, ρ sin φ sin θ, ρ cos φ) .


Compute ∂σ F, d S , where F : R3 → R3 is the vector field defined as

F (x, y, z) = (x − y + z , y − z + x , z − x + y) .
3.14 · Exact Differential Forms
167 3

3.14 Exact Differential Forms

We are now interested in the following problem. Given a differential form ω, when is
it possible to write it as the external differential of another differential form 
ω, to be
determined? In the following, we assume M ≥ 1.

Definition 3.27
A M-differential form ω is said to be closed if dω = 0; it is said to be exact if there
is a (M − 1)-differential form  ω = ω.
ω such that d

Every exact differential form is closed: if ω = d

ω, then dω = d(d
ω) = 0. The
contrary is not always true.

Example The 1-differential form defined on R2 \ {(0, 0)} by

−y x
ω(x, y) = dx + 2 dy
x2 +y 2 x + y2

is closed, as easily verified: setting

−y x
F1 (x, y) = , F2 (x, y) = ,
x2 + y2 x2 + y2

for every (x, y)

= (0, 0), it is

∂F2 ∂F1
(x, y) = (x, y) .
∂x ∂y

Let us compute the line integral of its vector field F = (F1 , F2 ) on the curve σ : [0, 2π] →
R2 , defined by σ (t) = (cos t, sin t) :
2π
F, d = F (σ (t) , σ (t) dt
σ 0
2π
= (− sin t, cos t) , (− sin t, cos t) dt
0
= 2π .

Assume by contradiction that ω be exact, i.e., that there exists a C 1 -function f : R2 \

{(0, 0)} → R such that ∂f ∂f
∂x = F1 and ∂y = F2 . In that case, being σ (0) = σ (2π), we
should have
7  8
∂f ∂f
F, d = , , d = f (σ (2π)) − f (σ (0)) = 0 ,
σ σ ∂x ∂y

which contradicts the above.

 168 Chapter 3 • Differential Forms

The Poincaré theorem says that the situation of the preceding example can never
happen if, for example, the open set U on which the differential form is defined is star-
shaped.
3
Definition 3.28
A set U is star-shaped with respect to a point x̄ if, with each of its points x, the set
U contains the whole segment joining x to x̄, i.e.,

{x̄ + t (x − x̄) : t ∈ [0, 1]} ⊆ U .

For example, every convex set is star-shaped (with respect to any of its points). In
particular, a ball, or a rectangle, or even the whole space RN are star-shaped. Clearly,
the set R2 \ {(0, 0)} considered above is not star-shaped.

Theorem 3.29
Let U be an open subset of RN , star-shaped with respect to a point x̄. For 1 ≤ M ≤ N,
a M-differential form ω : U → M (RN ) of class C 1 is exact if and only if it is closed.
In that case, if ω is of the type

ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM ,
1≤i1 <···<iM ≤N

a (M − 1)-differential form  ω = ω is given by

ω such that d

 
M

ω(x) = (−1)s+1 (xis − x̄is ) ·
1≤i1 <···<iM ≤N s=1
 1 
· :is ∧ · · · ∧ dxiM .
t M−1 fi1 ,...,iM (x̄ + t (x − x̄)) dt dxi1 ∧ · · · ∧ dx
0

The proof of this theorem will be given in Appendix B. As for the Stokes–Cartan
theorem, we consider here some corollaries which hold true for the case N = 3, giving
for each of them a direct proof. In order to simplify the notations, we will assume
without loss of generality that x̄ = (0, 0, 0).
The Case M = 1 A C 1 -vector field F = (F1 , F2 , F3 ), defined on an open subset U of
R3, determines a 1-differential form

ω(x) = F1 (x) dx1 + F2 (x) dx2 + F3 (x) dx3 .

This is closed if and only if curl F = 0. In this case, the vector field is said to be
irrotational. On the other hand, the vector field is said to be F conservative if there is
3.14 · Exact Differential Forms
169 3
a function f : U → R such that F = grad f. In that case, f is a scalar potential of the
vector field F .9

Theorem 3.30
If U ⊆ R3 is star-shaped with respect to the origin, then the vector field F : U → R3
is conservative if and only if it is irrotational, and in that case a function f : U → R
such that F = grad f is given by
1
f (x) = F (tx), x dt .
0

Any other function f˜ : U → R which is such that F = grad f˜ is obtained from f by

adding a constant.

Proof
Set 
ω = f : U → R. Let us verify that d
ω = ω. Using the fact that curl F = 0 and the
Leibniz rule, we have
1
∂
ω ∂
(x) = F (tx), x dt
∂xj 0 ∂xj
1  3   
∂Fi
= (tx)txi + Fj (tx) dt
0 ∂xj
i=1
 3   
1  ∂Fj
= (tx)txi + Fj (tx) dt .
0 ∂xi
i=1

Defining φ(t) = tFj (tx), since

3 
 
∂Fj
φ (t) = (tx)txi + Fj (tx) ,
∂xi
i=1

by the Fundamental Theorem we have

∂
ω  t=1
(x) = tFj (tx) = Fj (x) .
∂xj t=0

This proves that F = grad f. The second part of the theorem follows directly from the fact
that, if grad f = grad f˜, then f − f˜ has to be constant on U. 


9 Beware that in Mechanics it is often the function −f which is called “the potential”.
 170 Chapter 3 • Differential Forms

Example Consider the vector field F (x, y, z) = (2xz + y, x, x 2 ) which, as easily verified,
is irrotational. A scalar potential is then given by

3 f (x, y, z) =
1
((2t 2 x 2 z + txy) + txy + t 2 x 2 z) dt = xy + x 2 z .
0

The Case M = 2 A C 1 -vector field F = (F1 , F2 , F3 ), defined on an open subset U of

R3, determines a 2-differential form

ω(x) = F1 (x) dx2 ∧ dx3 + F2 (x) dx3 ∧ dx1 + F3 (x) dx1 ∧ dx2 .

This is closed if and only if div F = 0. In this case, the vector field is said to be
solenoidal. One says that F has a vector potential if there is a vector field V =
(V1 , V2 , V3 ) such that F = curl V .

Theorem 3.31
If U ⊆ R3 is star-shaped with respect to the origin, then the vector field F : U → R3
has a vector potential if and only if it is solenoidal, and in that case a vector field
V : U → R3 for which F = curl V is given by
 1
V (x) = t (F2 (tx)x3 − F3 (tx)x2 ) dt ,
0
1
t (F3 (tx)x1 − F1 (tx)x3 ) dt ,
0
1 
t (F1 (tx)x2 − F2 (tx)x1 ) dt ,
0

which we will briefly write as

1
V (x) = t (F (tx) × x) dt .
0

 : U → R3 such that F = curl V

Any other vector field V  is obtained from V by
adding the gradient of an arbitrary scalar function.

Proof
Consider the 1-differential form determined by the vector field V ,
 1 

ω(x) = t (F2 (tx)x3 − F3 (tx)x2 ) dt dx1 +
0
 1 
+ t (F3 (tx)x1 − F1 (tx)x3 ) dt dx2 +
0
 1 
+ t (F1 (tx)x2 − F2 (tx)x1 ) dt dx3 .
0
3.14 · Exact Differential Forms
171 3
ω = ω. By the Leibniz rule, taking into account the fact that ω is
We have to prove that d
closed, we find
1 1
∂ ∂
t (F1 (tx)x2 − F2 (tx)x1 ) dt − t (F3 (tx)x1 − F1 (tx)x3 ) dt =
∂x2 0 ∂x3 0
1 
∂F1 ∂F1 ∂F1
 
= t2 (tx)x1 + (tx)x2 + (tx)x3 + 2tF1 (tx) dt
0 ∂x1 ∂x2 ∂x3
= F1 (x) ,

by applying the Fundamental Theorem to the function φ(t) = t 2 F1 (tx). Analogously one
obtains the remaining two identities, thus proving the formula. The second part of the
, then, by the previous theorem, V − V
theorem follows from the fact that, if curl V = curl V 
is a conservative vector field. 


Example Consider the solenoidal vector field F (x, y, z) = (y, z, x). A vector potential is
then given by
1 1 2
V (x, y, z) = t (ty, tz, tx) × (x, y, z) dt = (z − xy, x 2 − yz, y 2 − xz) .
0 3

The Case M = 3 A C 1 -scalar function f, defined on an open subset U of R3,

determines a 3-differential form

ω(x) = f (x) dx1 ∧ dx2 ∧ dx3 .

This is necessarily always closed, since dω is a 4-differential form defined on a subset

of R3 .

Theorem 3.32
If U ⊆ R3 is star-shaped with respect to the origin, the function f : U → R is always
of the type f = div W, where W : U → R3 is the vector field defined by
 1 
W (x) = t 2 f (tx) dt x .
0

Any other vector field W̃ : U → R3 such that F = div W̃ is obtained from W by

adding the curl of an arbitrary vector field.
 172 Chapter 3 • Differential Forms

Proof
Using the Leibniz rule, we have

3 ∂ 1
t 2 f (tx)x1 dt +
∂ 1
t 2 f (tx)x2 dt +
∂ 1
t 2 f (tx)x3 dt
∂x1 0 ∂x2 0 ∂x3 0
1 
∂f ∂f ∂f
 
= t 3
(tx) + (tx) + (tx) + 3t f (tx) dt
2
0 ∂x1 ∂x2 ∂x3
= f (x) ,

by applying the Fundamental Theorem to the function φ(t) = t 3 f (tx). The second part of
the theorem follows from the fact that, if div W = div W̃ , then, by the preceding theorem,
W − W̃ has a vector potential. 


Example Consider the scalar function f (x, y, z) = xyz. Then, a vector field whose
divergence is f is given by
 1 
1 2
W (x, y, z) = t 5 xyz dt (x, y, z) = (x yz, xy 2 z, xyz2 ) .
0 6

Exercises
1. Let F : R3 → R3 be the vector field defined by the formula

F (x, y, z) = (ex yz + ey z + ez y , ex z + ey xz + ez x , ex y + ey x + ez xy) ,

and let ω be the associated 1-differential form. Prove that ω is exact, and find a 0-
differential form  ω = ω. Compute then the integral
ω such that d

ω,
γ

where γ : [0, 1] → R3 is the curve defined as

γ (t) = (t, t 2 , t 3 ) .

2. Let F : R3 \ {z = 0} → R3 be the vector field defined as

 2xy 2 2x 2 y −2x 2 y 2 
F (x, y, z) = , , .
z2 z2 z3

Prove that it is conservative, and find a scalar potential.

3. Let F : R3 → R3 be defined as
 xz 
F (x, y, z) = − 2xyz , , yz2 .
2
3.14 · Exact Differential Forms
173 3

Prove that it is solenoidal, and find a vector potential. Finally, compute the flux σ F ·d S ,
where σ : [0, 2π] × [0, π] → R3 is defined by

σ (u, v) = (cos u sin v , 2 sin u sin v , 3 cos v) .

4. Let ω : R4 → 3 (R4 ) be the 3-differential form defined by

ω(x1 , x2 , x3 , x4 ) = x1 x2 dx2 ∧ dx3 ∧ dx4 + x22 dx1 ∧ dx3 ∧ dx4 +

+x2 x3 dx1 ∧ dx2 ∧ dx4 + x12 x2 dx1 ∧ dx2 ∧ dx3 .

Prove that ω is exact, and find a 2-differential form ω̃ such that d ω̃ = ω.

5. Prove that the differential form

ω : R3 \ ({x = 0} ∪ {y = 0} ∪ {z = 0}) → 1 (R3 ) ,

defined as

1 1 1
ω(x, y, z) = dx + 2 dy + dz,
x 2 yz xy z xyz2

is exact, and find a 0-differential form ω̃ such that d ω̃ = ω.

 175 A

Appendix A
Differential Calculus in RN

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2

Let  ⊂ RN be an open set, x 0 a point of , and f :  → RM be a given function. We

want to extend the notion of derivative already known in the case M = N = 1. Here is
the definition.

Definition A.1
We say that f is differentiable at x 0 if there exists a linear function  : RN → RM
for which one can write

f (x) = f (x 0 ) + (x − x 0 ) + r(x) ,

where r is a function satisfying

r(x)
lim = 0.
x→x 0 x − x 0 

If f is differentiable at x 0 , the linear function  is called differential of f at x 0 ,

and is denoted by

df (x 0 ) .

Following the tradition for linear functions, taking h ∈ RN we will often write
df (x 0 )h instead of df (x 0 )(h).
We will now review the main results needed in this book concerning the differential
calculus.
176 Appendix A • Differential Calculus in RN

A.1 The Differential of a Scalar-Valued Function

Assume first, for simplicity, that M = 1. We start by fixing a direction i.e., a vector
v ∈ RN with v = 1, also called a versor. Whenever it exists, we call directional
derivative of f at x 0 in the direction v the limit

f (x 0 + tv) − f (x 0 )
lim ,
t→0 t

which will be denoted by

∂f
(x 0 ) .
∂v

If v coincides with an element ek of the canonical basis (e1 , e2 , . . . , eN ) of RN, the

directional derivative is called k-th partial derivative of f at x 0 and is denoted by

∂f
(x 0 ) .
∂xk

If x 0 = (x10, x20 , . . . , xN0 ), then

∂f f (x 0 + tek ) − f (x 0 )
(x 0 ) = lim
∂xk t→0 t
f (x10 , x20 , . . . , xk0 + t, . . . , xN0 ) − f (x10, x20 , . . . , xk0 , . . . , xN0 )
= lim ,
t→0 t

so that it is frequent to call it “partial derivative with respect to the k-th variable”.

Theorem A.2
If f is differentiable at x 0 , then f is continuous at x 0 . Moreover, all the directional
derivatives of f at x 0 exist: for every direction v ∈ RN one has

∂f
(x 0 ) = df (x 0 )v .
∂v

Proof
We know that the function  = df (x 0 ), being linear, is continuous, and (0) = 0. Then,

lim f (x) = lim [f (x 0 ) + (x − x 0 ) + r(x)]

x→x 0 x→x 0

= f (x 0 ) + (0) + lim r(x)

x→x 0
Appendix A • Differential Calculus in RN
177 A
r(x)
= f (x 0 ) + lim lim x − x 0 
x→x 0 x − x 0  x→x 0
= f (x 0 ) ,

showing that f is continuous at x 0 . Concerning the directional derivatives, we have

f (x 0 + tv) − f (x 0 ) df (x 0 )(tv) + r(x 0 + tv)

lim = lim
t→0 t t→0 t
t df (x 0 )v + r(x 0 + tv)
= lim
t→0 t
r(x 0 + tv)
= df (x 0 )v + lim .
t→0 t

On the other hand, being v = 1, it is

 
 r(x 0 + tv) 
lim   = lim |r(x)| = 0 ,
t→0 t  x→x 0 x − x 
0

whence the conclusion. 



In particular, if v coincides with an element ek of the canonical basis (e1 , e2 ,

. . . , eN ), then

∂f
(x 0 ) = df (x 0 )ek .
∂xk

Writing the vector h ∈ RN as h = h1 e1 + h2 e2 + · · · + hN eN , by linearity we have

df (x 0 )h = h1 df (x 0 )e1 + h2 df (x 0 )e2 + · · · + hN df (x 0 )eN

∂f ∂f ∂f
= h1 (x 0 ) + h2 (x 0 ) + · · · + hN (x 0 ) ,
∂x1 ∂x2 ∂xN

i.e.,

N
∂f
df (x 0 )h = (x 0 )hk .
k=1
∂x k

Theorem A.3
If f has partial derivatives defined in a neighborhood of x 0 , and they are continuous
at x 0 , then f is differentiable at x 0 .
178 Appendix A • Differential Calculus in RN

Proof
In order to simplify the notations, we will assume that N = 2. We define the function  :
R2 → R associating to every vector h = (h1 , h2 ) the real number

∂f ∂f
(h) = (x 0 )h1 + (x 0 )h2 .
∂x1 ∂x2

We will prove that  is indeed the differential of f at x 0 . First of all, it is readily verified that
it is linear. Moreover, writing x 0 = (x10 , x20 ) and x = (x1 , x2 ), by the Lagrange Mean Value
Theorem one has

f (x) − f (x 0 ) = (f (x1 , x2 ) − f (x10 , x2 )) + (f (x10 , x2 ) − f (x10 , x20 ))

∂f ∂f 0
= (ξ1 , x2 )(x1 − x10 ) + (x , ξ2 )(x2 − x20 ) ,
∂x1 ∂x2 1

for some ξ1 ∈ ]x10 , x1 [ and ξ2 ∈ ]x20 , x2 [ . Hence,

r(x) = f (x) − f (x 0 ) − (x − x 0 )

   
∂f ∂f 0 0 ∂f 0 ∂f 0 0
= (ξ1 , x2 ) − (x1 , x2 ) (x1 − x10 ) + (x1 , ξ2 ) − (x1 , x2 ) (x2 − x20 ) .
∂x1 ∂x1 ∂x2 ∂x2

Then, being |x1 − x10 | ≤ x − x 0  and |x2 − x20 | ≤ x − x 0 ,

   
|r(x)|  ∂f ∂f 0 0   ∂f 0 ∂f 0 0 
≤  (ξ1 , x2 ) − (x1 , x2 ) +  (x1 , ξ2 ) − (x1 , x2 ) .
x − x 0  ∂x1 ∂x1 ∂x2 ∂x2

Letting x tend to x 0 , we have that (ξ1 , x2 ) → (x10 , x20 ) and (x10 , ξ2 ) → (x10 , x20 ) so that, being
∂f ∂f
∂x1 and ∂x2 continuous at x 0 = (x1 , x2 ), it has to be
0 0

|r(x)|
lim = 0,
x→x 0 x − x 0 

whence the conclusion. 



We say that f :  → R is of class C 1 , or a C 1 -function, if f has partial derivatives

which are continuous on the whole domain . From the previous theorem we have that
a function of class C 1 is differentiable, i.e., differentiable at every point of .

A.2 Twice Differentiable Scalar-Valued Functions

Let  be an open subset of RN , and f :  → R be a differentiable function. We want

to extend the notion of “second derivative”, which is well-known in the case N = 1. For
simplicity, let us deal with the case N = 2. If the partial derivatives ∂x
∂f
1
∂f
, ∂x 2
:→R
Appendix A • Differential Calculus in RN
179 A
have themselves the partial derivatives at a point x 0 , these are said to be “second order
partial derivatives” of f at x 0 and are denoted by

∂ 2f ∂ ∂f ∂2f ∂ ∂f
(x 0 ) = (x 0 ) , (x 0 ) = (x 0 ) ,
∂x12 ∂x1 ∂x1 ∂x2 ∂x1 ∂x2 ∂x1
∂ 2f ∂ ∂f ∂2f ∂ ∂f
(x 0 ) = (x 0 ) , 2
(x 0 ) = (x 0 ) .
∂x1 ∂x2 ∂x1 ∂x2 ∂x2 ∂x2 ∂x2

We now prove the Schwarz Theorem.

Theorem A.4
∂ 2f ∂2f
If the second order partial derivatives ∂x2 ∂x1 , ∂x1 ∂x2 exist in a neighborhood of x 0 and
they are continuous at x 0 , then

∂2f ∂2f
(x 0 ) = (x 0 ) .
∂x2 ∂x1 ∂x1 ∂x2

Proof
Let ρ > 0 be such that B(x 0 , ρ) ⊆ .1 We write x 0 = (x10 , x20 ) and we take an x =
(x1 , x2 ) ∈ B(x 0 , ρ) such that x1
= x10 and x2
= x20 . It is then possible to define

f (x1 , x2 ) − f (x1 , x20 ) f (x1 , x2 ) − f (x10 , x2 )

g(x1 , x2 ) = , h(x1 , x2 ) = .
x2 − x20 x1 − x10

One can verify that

g(x1 , x2 ) − g(x10 , x2 ) h(x1 , x2 ) − h(x1 , x20 )

= .
x1 − x10 x2 − x20

By the Lagrange Mean Value Theorem, there is a ξ1 ∈ ]x10 , x1 [ such that

∂f ∂f
∂x1 (ξ1 , x2 ) − ∂x1 (ξ1 , x2 )
0
g(x1 , x2 ) − g(x10 , x2 ) ∂g
= (ξ1 , x2 ) = ,
x1 − x10 ∂x1 x2 − x20

and there is a ξ2 ∈ ]x20 , x2 [ such that

∂f ∂f
∂x2 (x1 , ξ2 ) − ∂x2 (x1 , ξ2 )
0
h(x1 , x2 ) − h(x1 , x20 ) ∂h
= (x1 , ξ2 ) = .
x2 − x20 ∂x2 x1 − x10

1 Letus recall the notation B(x 0 , ρ) for the open ball centered at x 0 with radius ρ > 0, and B(x 0 , ρ) for the
closed ball.
180 Appendix A • Differential Calculus in RN

Again by the Lagrange Mean Value Theorem, there is a η2 ∈ ]x20 , x2 [ such that

∂f ∂f
∂x1 (ξ1 , x2 ) − ∂x1 (ξ1 , x2 )
0
∂2f
= (ξ1 , η2 ) ,
x2 − x20 ∂x2 ∂x1

and there is a η1 ∈ ]x10 , x1 [ such that

∂f ∂f
∂x2 (x1 , ξ2 ) − ∂x2 (x1 , ξ2 )
0
∂2f
= (η1 , ξ2 ) .
x1 − x10 ∂x1 ∂x2

Hence,

∂2f ∂2f
(ξ1 , η2 ) = (η1 , ξ2 ) .
∂x2 ∂x1 ∂x1 ∂x2

Taking the limit, as x = (x1 , x2 ) tends to x 0 = (x10 , x20 ), we have that both (ξ1 , η2 ) and
(η1 , ξ2 ) converge to x 0 , and the continuity of the second order partial derivatives leads to the
conclusion. 


We say that f :  → R is of class C 2 , or a C 2 -function, if all its second order partial

derivatives exist and are continuous on .
It could be useful to consider the Hessian matrix of f at x 0 :
⎛ ⎞
∂2 f ∂2 f
(x 0 ) (x 0 )
⎜ ∂x12 ∂x2 ∂x1
⎟
Hf (x 0 ) = ⎜
⎝
⎟;
⎠
∂2 f ∂2 f
∂x1 ∂x2
(x 0 ) ∂x22
(x 0 )

if f is of class C 2 , this is a symmetric matrix.

What has been said above extends without difficulties for any N ≥ 2. If f is of class
C 2 , the Hessian matrix is an N × N symmetric matrix.
One can further define by induction the n−th order partial derivatives. It is said that
f :  → R is of class C n if all its n−th order partial derivatives exist and are continuous
on .

A.3 The Differential of a Vector-Valued Function

When M ≥ 2, let f1 , f2 , . . . , fM be the components of the function f :  → RM , so

that

f (x) = (f1 (x), f2 (x), . . . , fM (x)) .

Appendix A • Differential Calculus in RN
181 A

Theorem A.5
The function f is differentiable at x 0 if and only if such are all its components. In this
case, for any vector h ∈ RN it is

df (x 0 )h = (df1 (x 0 )h, df2 (x 0 )h, . . . , dfM (x 0 )h) .

Proof
Considering the components in the equation

f (x) = f (x 0 ) + (x − x 0 ) + r(x) ,

we can write

fj (x) = fj (x 0 ) + j (x − x 0 ) + rj (x) ,

with j = 1, 2, . . . , M, and we know that

r(x) rj (x)
lim =0 ⇐⇒ lim =0 for every j = 1, 2, . . . , M ,
x→x 0 x − x 0  x→x 0 x − x 0 

whence the conclusion. 



It is useful to consider the matrix associated to the linear function  = df (x 0 ), given by

⎛ ⎞
1 (e1 ) 1 (e2 ) . . . 1 (eN )
⎜ ⎟
⎜ 2 (e1 ) 2 (e2 ) . . . 2 (eN ) ⎟
⎜ . ⎟,
⎜ . .
.. .
.. ⎟
⎝ . ⎠
M (e1 ) M (e2 ) . . . M (eN )

where e1 , e2 , . . . eN are the vectors of the canonical basis of RN . This matrix is called
Jacobian matrix associated to the function f at x 0 , and is denoted by Jf (x 0 ). Recalling
that

∂fj
(x 0 ) = dfj (x 0 )ek ,
∂xk

with j = 1, 2, . . . , M and k = 1, 2, . . . , N, we obtain the matrix

⎛ ⎞
∂f1
∂x1
∂f1
(x 0 ) ∂x (x 0 ) ··· ∂f1
∂xN
(x 0 )
⎜ ⎟
2

⎜ ⎟
⎜ ⎟
Jf (x 0 ) = ⎜
∂f2 ∂f2
(x 0 ) ∂x (x 0 )··· ∂f2
(x 0 ) ⎟ .
⎜ ∂x1 2 ∂xN ⎟
⎜ .. .. .. ⎟
⎝ . . . ⎠
0) · · ·
∂fM ∂fM ∂fM
∂x1
(x 0) ∂x2
(x ∂xN
(x 0 )
182 Appendix A • Differential Calculus in RN

The function f :  → RM is said to be of class C 1 , or C 2 , if all its components are such.

This definition naturally extends to functions of class C n .

A.4 Some Computational Rules

Let us start with some easy propositions.

1. If f :  → Y is constant, then df (x0 ) = 0, for every x0 ∈ .
2. If A :  → Y is linear and continuous, then d A(x0 ) = A, for every x0 ∈ .
3. If RN = RN1 ×RN2 and B :  → Y is bilinear and continuous, writing x0 = (x10, x20 )
and h = (h1 , h2 ), with x10 , h1 ∈ RN1 and x20 , h2 ∈ RN2 , one has

d B (x0)(h) = B (x10, h2 ) + B (h1 , x20 ) .

All this can be generalized to n-linear continuous functions.

We now recall the usual laws of calculus.

Theorem A.6
If f, g :  → Y are differentiable at x0 and α, β are two real numbers, then

d(αf + βg)(x0 ) = αdf (x0 ) + βdg(x0 ) .

Proof
Writing

f (x) = f (x0 ) + df (x0 )(x − x0 ) + r1 (x) , g(x) = g(x0 ) + dg(x0 )(x − x0 ) + r2 (x) ,

we have that

(αf + βg)(x) = (αf + βg)(x0 ) + (αdf (x0 ) + βdg(x0 ))(x − x0 ) + r(x) ,

with r(x) = αr1 (x) + βr2 (x), and

r(x) r1 (x) r2 (x)

lim = α lim + β lim = 0.
x→x0 x − x0  x→x0 x − x0  x→x0 x − x0 

Hence, αf + βg is differentiable at x0 with differential αdf (x0 ) + βdg(x0 ). 



We now study the differentiability of a composite function.

Appendix A • Differential Calculus in RN
183 A

Theorem A.7
If f :  → RM is differentiable at x 0 , while  ⊆ RM is an open set containing f ()
and g :  → RL is differentiable at f (x 0 ), then g ◦ f is differentiable at x 0 , and

d(g ◦ f )(x 0 ) = dg(f (x 0 )) ◦ df (x 0 ) .

Proof
Setting y 0 = f (x 0 ), we have

f (x) = f (x 0 ) + df (x 0 )(x − x 0 ) + r1 (x) , g(y) = g(y 0 ) + dg(y 0 )(y − y 0 ) + r2 (y) ,

with

r1 (x) r2 (y)
lim = 0, lim = 0.
x→x 0 x − x 0  y→y 0 y − y 0 

Let us introduce the function R2 :  → RL , defined as

⎧
⎨ r2 (y)
if y
= y 0 ,
R2 (y) = y − y 0 
⎩
0 if y = y 0 .

Notice that R2 is continuous at y 0 . Then,

g(f (x)) = g(f (x 0 )) + dg(f (x 0 ))[f (x) − f (x 0 )] + r2 (f (x))

= g(f (x 0 )) + dg(f (x 0 ))[df (x 0 )(x − x 0 ) + r1 (x)] + r2 (f (x))

= g(f (x 0 )) + [dg(f (x 0 )) ◦ df (x 0 )](x − x 0 ) + r3 (x) ,

where

r3 (x) = dg(f (x 0 ))(r1 (x)) + r2 (f (x))

= dg(f (x 0 ))(r1 (x)) + f (x) − f (x 0 )R2 (f (x))

= dg(f (x 0 ))(r1 (x)) + df (x 0 )(x − x 0 ) + r1 (x)R2 (f (x)) .

Hence,
4  4
r3 (x) 4 r1 (x) 4
≤4
4 dg(f (x )) 4+
x − x 0  4
0
x − x 0 
4  4 
4 x − x0 4
+ 4 df (x ) 4 + r1 (x) R2 (f (x)) .
4 0
x − x 0  4 x − x 0 
184 Appendix A • Differential Calculus in RN

If x → x 0 , the first summand tends to 0, since dg(f (x 0 )) is continuous. Since f is

continuous at x 0 and R2 is continuous at y 0 = f (x 0 ), with R2 (y 0 ) = 0, we have that
R2 (f (x)) tends to 0; on the other hand df (x 0 ), being continuous, is bounded on the
compact set B(0, 1). Therefore,

r3 (x)
lim = 0.
x→x 0 x − x 0 

We conclude that g ◦ f is differentiable at x0 , with differential dg(f (x 0 )) ◦ df (x 0 ). 



It is well-known that the matrix associated to the composite of two linear functions
is the product of the two respective matrices. From the above theorem we then have the
following formula for the Jacobian matrices:

J (g ◦ f )(x 0 ) = J g(f (x 0 )) · Jf (x 0 ) ,

i.e., the matrix

⎛ ∂(g◦f ) ⎞
1
(x 0 ) · · · ∂(g◦f )1
(x 0 )
⎜ ∂x1 . ∂xN
⎟
⎜ .. .. ⎟
⎝ ··· . ⎠
0 ···
∂(g◦f )L ∂(g◦f )L
∂x1
(x ) ∂xN
(x 0 )

is equal to the product

⎛ ∂g ⎞ ⎛ ∂f ⎞
∂y1
(f (x 0 )) · · ·
1 ∂g1
∂yM
(f (x 0 )) 1
(x 0 ) · · · ∂f1
(x 0 )
⎜ ⎟ ⎜ ∂x1 . ∂xN
⎟
⎜ .. .. ⎟⎜ .. .. ⎟.
⎝ . ··· . ⎠⎝ ··· . ⎠
∂gL
∂y1
(f (x 0 )) · · · ∂gL
∂yM
(f (x 0 )) ∂fM
∂x1
(x 0 ) · · · ∂fM
∂xN
(x 0 )

We can thus derive the formula for the partial derivatives, usually called chain rule:
∂(g ◦ f )i
(x 0 ) =
∂xk
∂gi ∂f1 ∂gi ∂f2 ∂gi ∂fM
= (f (x 0 )) (x 0 ) + (f (x 0 )) (x 0 ) + · · · + (f (x 0 )) (x 0 )
∂y1 ∂xk ∂y2 ∂xk ∂yM ∂xk

M
∂gi ∂fj
= (f (x 0 )) (x 0 ) ,
∂yj ∂xk
j =1

where i = 1, 2, . . . , L and k = 1, 2, . . . , N.

A.5 The Implicit Function Theorem

Let  be an open subset of RM × RN , and g :  → RN be a C 1 -function. Hence, g has

N components

g(x, y) = (g1 (x, y), . . . , gN (x, y)) .

Appendix A • Differential Calculus in RN
185 A
Here x = (x1 , . . . , xM ) ∈ RM , and y = (y1 , . . . , yN ) ∈ RN . We will use the following
notation for the Jacobian matrices:
⎛ ∂g ⎞ ⎛ ∂g ⎞
1
∂x1
(x, y) · · · ∂x
∂g1
(x, y) 1
∂y1
(x, y) · · · ∂y
∂g1
(x, y)
∂g ⎜ M
⎟ ∂g ⎜ N
⎟
(x, y) =⎜⎝
..
. · · ·
..
.
⎟,
⎠ (x, y) =⎜
⎝
..
. · · ·
..
.
⎟.
⎠
∂x ∂y
∂gN
∂x1
(x, y) · · · ∂gN
∂xM
(x, y) ∂gN
∂y1
(x, y) · · · ∂gN
∂yN
(x, y)

Theorem A.8
Let  ⊆ RM × RN be open, g :  → RN a C 1 -function, and (x 0 , y 0 ) a point in  for
which

∂g
g(x 0 , y 0 ) = 0 , and det (x 0 , y 0 )
= 0 .
∂y

Then, there exist an open neighborhood U of x 0 , an open neighborhood V of y 0 , and

a C 1 -function η : U → V such that U × V ⊆  and, taking x ∈ U and y ∈ V , one
has that

g(x, y) = 0 ⇐⇒ y = η(x) .

Moreover, the function η is of class C 1 , and the following formula holds true:
 −1
∂g ∂g
J η(x) = − (x, η(x)) (x, η(x)) .
∂y ∂x

Proof
It will be carried out by induction. We first prove the case N = 1.2
Assume for instance that ∂g∂y (x 0 , y0 ) > 0. By the continuity of
∂g
∂y , there is a δ > 0 such
∂g
that, if x − x 0  ≤ δ and |y − y0 | ≤ δ, then ∂y (x, y) > 0. Hence, for every x ∈ B(x 0 , δ),
the function g(x, ·) is strictly increasing on [y0 − δ, y0 + δ]. Being g(x 0 , y0 ) = 0, we have
that

g(x 0 , y0 − δ) < 0 < g(x 0 , y0 + δ) .

2 The proof reported here is most probably due to Giuseppe Peano, and can be found in the Italian book “Calcolo
differenziale e principii di calcolo integrale”, published in 1884. This important work was written by Peano
himself, who at that time was only 25 years old, but the official author is Angelo Genocchi, the professor who
was in care of Peano as an assistant at the University of Torino. Genocchi got indeed very angry when he was
told that the book had been published, and publicly declared that he was not aware of what had been written in
the volume, recalling however the fact that Peano had followed his lessons in infinitesimal analysis.
186 Appendix A • Differential Calculus in RN

By continuity again, there is a δ > 0 such that, if x ∈ B(x 0 , δ ), then

g(x, y0 − δ) < 0 < g(x, y0 + δ) .

We define U = B(x 0 , δ ), and V = ]y0 − δ, y0 + δ[ . Hence, for every x ∈ U, since g(x, ·)

is strictly increasing, there is exactly one y ∈ ]y0 − δ, y0 + δ[ for which g(x, y) = 0; we
call η(x) such a y. We have thus defined a function η : U → V such that, taking x ∈ U and
y ∈ V,

g(x, y) = 0 ⇐⇒ y = η(x) .

In order to verify the continuity of η, let us fix a x̄ ∈ U and prove that η is continuous at x̄.
Taken x ∈ U and considered the function γ : [0, 1] → U × V , defined as

γ (t) = (x̄ + t (x − x̄), η(x̄) + t (η(x) − η(x̄))),

the Lagrange Mean Value Theorem applied to g ◦ γ tells us that there is a ξ ∈ ]0, 1[ for which

∂g ∂g
g(x, η(x)) − g(x̄, η(x̄)) = (γ (ξ ))(x − x̄) + (γ (ξ ))(η(x) − η(x̄)) .
∂x ∂y

Being g(x, η(x)) = g(x̄, η(x̄)) = 0, we have that

4 4
1 4 ∂g 4
|η(x) − η(x̄)| = ∂g 4 4
4 ∂x (γ (ξ ))(x − x̄)4 .
| ∂y (γ (ξ ))|

∂g
Since the partial derivatives of g are continuous and ∂y in not zero on the compact set U ×V ,
we have that there is a constant c > 0 for which
4 4
1 4 ∂g 4
4 (γ (ξ ))(x − x̄)4 ≤ cx − x̄ .
∂g 4 ∂x 4
| ∂y (γ (ξ ))|

As a consequence, η is continuous at x̄.

We now prove the differentiability. Taken x̄ = (x̄1 , x̄2 , . . . , x̄M ), let x = (x̄1 +
h, x̄2 , . . . , x̄M ); proceeding as above, for h small enough we have

∂g
η(x̄1 + h, x̄2 , . . . , x̄M ) − η(x̄1 , x̄2 , . . . , x̄M ) ∂x (γ (ξh ))
= − ∂g1 ,
h (γ (ξh ))
∂y

with γ (ξh ) belonging to the segment joining (x̄, η(x̄)) to (x, η(x)). If h tends to 0, we have
that γ (ξh ) tends to (x̄, η(x̄)), and hence

∂g
∂η η(x̄1 + h, x̄2 , . . . , x̄M ) − η(x̄1 , x̄2 , . . . , x̄M ) ∂x (x̄, η(x̄))
(x̄) = lim = − ∂g1 .
∂x1 h→0 h (x̄, η(x̄))
∂y
Appendix A • Differential Calculus in RN
187 A
The partial derivatives with respect to x2 , . . . , xM are computed similarly, thus yielding that
η is of class C 1 , and

1 ∂g
J η(x) = − ∂g (x, η(x)) .
∂x
∂y (x, η(x))

We now assume that the statement holds till N − 1, for some N ≥ 2 (and any M ≥ 1),
and prove that it then also holds for N. We will use the notation

y 1 = (y1 , . . . , yN −1 ) ,

and we will write y = (y 1 , yN ). Since

⎛ ∂g1 ∂g1 ⎞
∂y1 (x 0 , y 0 ) ··· (x 0 , y 0 )
∂yN
⎜ ⎟
det ⎜ ⎟
= 0 ,
.. ..
⎝ . ··· . ⎠
∂gN ∂gN
∂y1 (x 0 , y 0 ) · · · ∂yN (x 0 , y 0 )

at least one of the elements in the last column is different from zero. We can assume without
loss of generality, possibly changing the rows, that ∂g
∂yN (x 0 , y 0 )
= 0. Writing y 0 = (y 1 , yN ),
N 0 0

with y 01 = (y10 , . . . , yN
0
−1 ), we then have

∂gN
gN (x 0 , y 01 , yN
0
) = 0, and (x 0 , y 01 , yN
0
)
= 0 .
∂yN

Then, by the already proved one-dimensional case, there are an open neighborhood U1 of
(x 0 , y 01 ), an open neighborhood VN of yN
0 , and a C 1 -function η : U → V such that
1 1 N
U1 × VN ⊆ , with the following properties: if (x, y 1 ) ∈ U1 and yN ∈ VN ,

gN (x, y 1 , yN ) = 0 ⇐⇒ yN = η1 (x, y 1 ) ,

and

1 ∂gN
J η1 (x, y 1 ) = − ∂g (x, y 1 , η1 (x, y 1 )) .
N
∂yN (x, y 1 , η1 (x, y 1 ))) ∂(x, y 1 )

We may assume U1 to be of the type U ×V 1 , with U

 being an open neighborhood of x 0 and

V1 an open neighborhood of y 1 .
0
×V
Let us define the function φ : U 1 → RN −1 by setting

φ(x, y 1 ) = (g1 (x, y 1 , η1 (x, y 1 )), . . . , gN −1 (x, y 1 , η1 (x, y 1 ))) .

For briefness, we will write

g(1,...,N −1) (x, y) = (g1 (x, y), . . . , gN −1 (x, y)) ,

188 Appendix A • Differential Calculus in RN

so that

φ(x, y 1 ) = g(1,...,N −1) (x, y 1 , η1 (x, y 1 )) .

Notice that, being η1 (x 0 , y 01 ) = yN

0
, we have that

φ(x 0 , y 01 ) = g(1,...,N −1) (x 0 , y 0 ) = 0 ,

and
∂φ ∂g(1,...,N −1) ∂g(1,...,N −1) ∂η1
(x 0 , y 01 ) = (x 0 , y 0 ) + (x 0 , y 0 ) (x 0 , y 01 ) . (*)
∂y 1 ∂y 1 ∂yN ∂y 1

Moreover, since gN (x, y 1 , η1 (x, y 1 )) = 0, for every (x, y 1 ) ∈ U1 , differentiating with

respect to y 1 we see that

∂gN ∂gN ∂η1

0= (x 0 , y 0 ) + (x 0 , y 0 ) (x 0 , y 01 ) . (**)
∂y 1 ∂yN ∂y 1

Let us write the identity

⎛ ∂φ ∂g(1,...,N −1) ⎞
(x 0 , y 01 ) (x 0 , y 0 )
⎜ ∂y 1 ∂yN ⎟
⎜ ⎟
∂φ 1 ⎜ ⎟
det (x 0 , y 01 ) = ∂g det ⎜
⎜
⎟,
⎟
∂y 1 N
(x 0 , y 0 ) ⎜ ⎟
∂yN ⎝ ∂gN ⎠
0 (x 0 , y 0 )
∂yN

Substituting the two equalities (*), (**), we have that

⎛ ∂φ ∂g(1,...,N −1) ⎞
(x 0 , y 01 ) (x 0 , y 0 )
⎜ ∂y 1 ∂yN ⎟
⎜ ⎟
⎜ ⎟
det⎜
⎜
⎟=
⎟
⎜ ⎟
⎝ ∂gN ⎠
0 (x 0 , y 0 )
∂yN
⎛ ∂g ∂g(1,...,N −1) ∂η1 ∂g(1,...,N −1) ⎞
(1,...,N −1)
(x 0 , y 0 )+ (x 0 , y 0 ) (x 0 , y 01 ) (x 0 , y 0 )
⎜ ∂y 1 ∂yN ∂y 1 ∂yN ⎟
⎜ ⎟
⎜ ⎟
=det⎜
⎜
⎟
⎟
⎜ ⎟
⎝ ∂gN ∂gN ∂η1 ∂gN ⎠
(x 0 , y 0 ) + (x 0 , y 0 ) (x 0 , y 01 ) (x 0 , y 0 )
∂y 1 ∂yN ∂y 1 ∂yN
 
∂g ∂g ∂η1 ∂g
= det (x 0 , y 0 ) + (x 0 , y 0 ) (x 0 , y 01 ) (x 0 , y 0 )
∂y 1 ∂yN ∂y 1 ∂yN

  
∂g ∂g ∂η1
= det (x 0 , y 0 ) + (x 0 , y 0 ) (x 0 , y 01 ) 0 .
∂y ∂yN ∂y 1
Appendix A • Differential Calculus in RN
189 A
We now recall that, adding a scalar multiple of one column to another column of a matrix
does not change the value of its determinant. Hence, being
 
∂g ∂η1
(x 0 , y 0 ) (x 0 , y 01 ) 0 =
∂yN ∂y 1

⎛ ∂g ∂η1 ∂g1 ∂η1 ⎞

1
(x 0 , y 0 ) (x 0 , y 01 ) · · · (x 0 , y 0 ) (x 0 , y 01 ) 0
⎜ ∂yN ∂y1 ∂yN ∂yN −1 ⎟
⎜ ⎟
⎜ ⎟
⎜ ⎟
⎜ .. .. .. ⎟
=⎜ . ··· . . ⎟ ,
⎜ ⎟
⎜ ⎟
⎜ ⎟
⎝ ∂g ∂η1 ∂gN ∂η1 ⎠
N
(x 0 , y 0 ) (x 0 , y 01 ) · · · (x 0 , y 0 ) (x 0 , y 1 ) 0
0
∂yN ∂y1 ∂yN ∂yN −1

∂g
each of its columns is a scalar multiple of ∂yN (x 0 , y 0 ), hence

  
∂g ∂g ∂η1 ∂g
det (x 0 , y 0 ) + (x 0 , y 0 ) (x 0 , y 01 ) 0 = det (x 0 , y 0 ) .
∂y ∂yN ∂y 1 ∂y

So, finally we have

∂φ
φ(x 0 , y 01 ) = 0 , and det (x 0 , y 01 )
= 0 .
∂y 1

By the inductive assumption, there are an open neighborhood U of x 0 , an open neighborhood

V1 of y 01 and a C 1 -function η2 : U → V1 such that U × V1 ⊆ U ×V 1 , and the following
holds: for every x ∈ U and y 1 ∈ V1 ,

φ(x, y 1 ) = 0 ⇐⇒ y 1 = η2 (x) .

In conclusion, for x ∈ U and y = (y 1 , yN ) ∈ V1 × V2 , we have that


g(1,...,N −1) (x, y 1 , yN ) = 0
g(x, y) = 0 ⇐⇒
gN (x, y 1 , yN ) = 0

g(1,...,N −1) (x, y 1 , yN ) = 0
⇐⇒
yN = η1 (x, y 1 )

φ(x, y 1 ) = 0
⇐⇒
yN = η1 (x, y 1 )

y 1 = η2 (x)
⇐⇒
yN = η1 (x, y 1 )
⇐⇒ y = (η2 (x), η1 (x, η2 (x))) .
190 Appendix A • Differential Calculus in RN

Setting V = V1 × V2 , we may then define the function η : U → V as

η(x) = (η2 (x), η1 (x, η2 (x))) .

This function is of class C 1 , since both η1 and η2 are such. Since g(x, η(x)) = 0 for every
x ∈ U, one easily deduces that

∂g ∂g
(x, η(x)) + (x, η(x))J η(x) = 0 ,
∂x ∂y

whence the formula for J η(x). 



Clearly, the following analogous statement holds true, where the roles of x and y
are interchanged.

Theorem A.9
Let  ⊆ RM × RN be open, g :  → RN a C 1 -function, and (x 0 , y 0 ) a point in  for
which

∂g
g(x 0 , y 0 ) = 0 , and det (x 0 , y 0 )
= 0 .
∂x

Then, there exist an open neighborhood U of x 0 , an open neighborhood V of y 0 , and

a C 1 -function η : V → U such that U × V ⊆  and, taking x ∈ U and y ∈ V , one
has that

g(x, y) = 0 ⇐⇒ x = η(y) .

Moreover, the function η is of class C 1 , and the following formula holds true:
 −1
∂g ∂g
J η(y) = − (y, η(y)) (y, η(y)) .
∂x ∂y

A.6 Local Diffeomorphisms

Let us introduce the notion of diffeomorphism.

Definition A.10
Given A and B, two open subsets of RN , a function ϕ : A → B is said to be a
diffeomorphism if it is of class C 1 , it is a bijection, and its inverse ϕ −1 : B → A is
also of class C 1 .
Appendix A • Differential Calculus in RN
191 A
Let us state the important Local Diffeomorphism Theorem.

Theorem A.11
Let A and B be open subsets of RN , and ϕ : A → B be a C 1 -function. If, for some
x 0 ∈ A, one has that det J ϕ(x 0 )
= 0, then there exist an open neighborhood U of x 0
contained in A, and an open neighborhood V of ϕ(x 0 ) contained in B, such that the
restricted function ϕ|U : U → V is a diffeomorfism.

Proof
We consider the function g : A × B → RN defined as

g(x, y) = y − ϕ(x) .

Setting y 0 = ϕ(x 0 ), we have that

∂g
g(x 0 , y 0 ) = 0 , and det (x 0 , y 0 ) = det J ϕ(x 0 )
= 0 .
∂x

By the Implicit Function Theorem, there exist an open neighborhood V of y0 , an open

neighborhood U of x 0 and a C 1 -function η : V → U such that, taken y ∈ V and x ∈ U,

ϕ(x) = y ⇐⇒ g(x, y) = 0 ⇐⇒ x = η(y) .

−1
Hence, η = ϕ|U , and the proof is thus completed. 

 193 B

Appendix B
Stokes–Cartan and Poincaré Theorems

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2

In this appendix we will give a complete proof of the Stokes–Cartan and Poincaré
theorems, of which only particular cases have been proved in  Chap. 3.
Let U be an open set in RN, V an open set in1 RP and φ : V → U a function of
class C 1 :

φ(y) = (φ1 (y), . . . , φN (y)) ,

with y = (y1 , . . . , yP ) ∈ V . Given a M-differential form ω : U → M (RN ),


ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM ,
1≤i1 <···<iM ≤N

we can define a M-differential form Tφ ω : V → M (RP ), which we will call the

transformation through φ of ω, in the following way2 :

Tφ ω(y) = fi1 ,...,iM (φ(y)) dφi1 (y) ∧ · · · ∧ dφiM (y) .
1≤i1 <···<iM ≤N

Notice that

dφi1 (y) ∧ · · · ∧ dφiM (y) =

⎛ ⎞ ⎛ ⎞
 P
∂φi1  P
∂φiM
=⎝ (y)dyj ⎠ ∧ · · · ∧ ⎝ (y)dyj ⎠
j =1
∂y j j =1
∂yj


P
∂φi1 ∂φiM
= (y) · · · (y) dyj1 ∧ · · · ∧ dyjM
j1 ,...,jM =1
∂yj1 ∂yjM

1 Whenever the sets would not be open, see the footnote in  Sect. 3.6.
2 This is usually called pull-back and denoted by φ ∗ ω.
194 Appendix B • Stokes–Cartan and Poincaré Theorems

(being aware that here the indices j1 , . . . , jM are not in an increasing order). It is readily
verified that, taken a c ∈ R, it is

Tφ (cω) = c Tφ ω ;

if 
ω is a M̃-differential form defined on U, then

Tφ (ω ∧ 
ω ) = Tφ ω ∧ Tφ 
ω,

and if moreover M = M̃, then

Tφ (ω + 
ω ) = Tφ ω + Tφ 
ω.

Let us prove now the following properties.

Proposition B.1
If ψ : W → V and φ : V → U, then

Tψ (Tφ ω) = Tφ◦ψ ω .

Proof
By the linearity properties seen above, it will be sufficient to consider the case of a differential
form of the type

ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM .

Then,
⎡ ⎤

P
∂φi1 ∂φiM
Tψ (Tφ ω) = ⎣(fi1 ,...,iM ◦ φ) ··· ⎦ ◦ ψ dψj1 ∧ · · · ∧ dψjM .
∂yj1 ∂yjM
j1 ,...,jM =1

On the other hand,

Tφ◦ψ ω = (fi1 ,...,iM ◦ φ ◦ ψ) d(φ ◦ ψ)i1 ∧ · · · ∧ d(φ ◦ ψ)iM ,

and being

P 
 
∂φi
d(φ ◦ ψ)ik = d(φik ◦ ψ) = k
◦ψ dψj ,
∂yj
j =1

equality then holds. 


Appendix B • Stokes–Cartan and Poincaré Theorems
195 B

Proposition B.2
Assume that φ be of class C 2 . If ω is of class C 1 , then also Tφ ω is such, and

d(Tφ ω) = Tφ (dω) .

Proof
Here, too, it is sufficient to consider the case ω = fi1 ,...,iM dxi1 ∧ · · · ∧ dxiM . We have

d(Tφ ω) = d(fi1 ,...,iM ◦ φ) ∧ dφi1 ∧ · · · ∧ dφiM + (fi1 ,...,iM ◦ φ) d(dφi1 ∧ · · · ∧ dφiM )

= d(fi1 ,...,iM ◦ φ) ∧ dφi1 ∧ · · · ∧ dφiM

 N   
 ∂fi ,...,i
= 1 M
◦ φ dφm ∧ dφi1 ∧ · · · ∧ dφiM .
∂xm
m=1

On the other hand,


N
∂fi1 ,...,iM
dω(x) = (x) dxm ∧ dxi1 ∧ · · · ∧ dxiM ,
∂xm
m=1

hence

N 
 
∂fi 1 ,...,iM
Tφ (dω) = ◦φ dφm ∧ dφi1 ∧ · · · ∧ dφiM ,
∂xm
m=1

and the formula is thus proved. 



Proposition B.3
If σ : I → RN is a M-surface whose support is contained in U, then

ω= Tσ ω .
σ I
196 Appendix B • Stokes–Cartan and Poincaré Theorems

Proof
As above, we just consider the case ω = fi1 ,...,iM dxi1 ∧ · · · ∧ dxiM . We have


M
∂σi1 ∂σiM
Tσ ω = fi1 ,...,iM (σ (u)) (u) . . . (u) duj1 ∧ · · · ∧ dujM
I I ∂uj1 ∂ujM
j1 ,...,jM =1

= fi1 ,...,iM (σ (u)) det σ(i 1 ,...,iM ) (u) du
I

= ω.
σ

This completes the proof. 



We are now ready to give the proof of the Stokes–Cartan theorem, whose
statement, we recall, is the following.

Theorem B.4
Let 0 ≤ M ≤ N − 1. If ω : U → M (RN ) is a M-differential form of class C 1 and
σ : I → RN is a (M + 1)-surface whose support is contained in U, then

dω = ω.
σ ∂σ

Proof
The case M = 0 follows from the Fundamental Theorem applied to the function ω ◦ σ :
[a, b] → R. Assume now 1 ≤ M ≤ N − 1. Being

ω= Tσ ◦α + ω = Tα + (Tσ ω) = Tσ ω ,
σ ◦αk+ Ik k
Ik k
αk+

and analogously for βk+ we have


M+1 
M+1
ω= (−1)k ω+ (−1)k−1 ω
∂σ k=1 σ ◦αk+ k=1 σ ◦βk+


M+1 
M+1
= (−1) k
Tσ ω + (−1) k−1
Tσ ω
k=1 αk+ k=1 βk+

= Tσ ω .
∂I
Appendix B • Stokes–Cartan and Poincaré Theorems
197 B

If σ is of class C 2 , then Tσ ω is of class C 1 and, applying the Gauss formula to Tσ ω, we have

Tσ ω = d(Tσ ω) .
∂I I

But

d(Tσ ω) = Tσ (dω) = dω .
I I σ

Hence, we have see that

dω = d(Tσ ω) = Tσ ω = ω,
σ I ∂I ∂σ

and the theorem is proved in this case.

The assumption that σ : I → RN be of class C 2 can be eliminated by an approximation
procedure: it is possible to construct a sequence (σn )n of M-surfaces of class C 2 which
converge to σ together with all first order partial derivatives. The Stokes–Cartan formula
then holds for such surfaces, and the Dominated Convergence Theorem permits to pass to
the limit and conclude. 


Consider now the set [0, 1] × U, whose elements will be denoted by (t, x) =
(t, x1 , . . . , xN ). Let us define the linear operator K which transforms a generic M-
differential form α : [0, 1] × U → M (R N +1 ) in a (M − 1)-differential form
K(α) : U → M−1 (R N ) in the following way:
a) if α(t, x) = f (t, x) dt ∧ dxi1 ∧ · · · ∧ dxiM−1 (notice that here the term dt appears),
then
 1 
K(α)(x) = f (t, x) dt dxi1 ∧ · · · ∧ dxiM−1 ;
0

b) if α(t, x) = f (t, x) dxi1 ∧ · · · ∧ dxiM (here the term dt does not appear), then
K(α) = 0;
c) in all the other cases, K is defined by linearity (for each component of a generic M-
differential form α, the term dt may appear or not, and the previous two definitions
apply).

We moreover define the functions ψ, ξ : U → [0, 1] × U as follows:

ψ(x1 , . . . , xN ) = (0, x1 , . . . , xN ) , ξ(x1 , . . . , xN ) = (1, x1 , . . . , xN ) .

198 Appendix B • Stokes–Cartan and Poincaré Theorems

Lemma B.5
If α : [0, 1] × U → M (R N +1 ) is a M-differential form of class C 1 , then

d(K(α)) + K(dα) = Tξ α − Tψ α .

Proof
Because of the linearity, it will be sufficient to consider the two cases when the differential
form α is of one of the two kinds considered in a) and b).
a) If α(t, x) = f (t, x) dt ∧ dxi1 ∧ · · · ∧ dxiM−1 , by the Leibniz rule we have

N 
 1 
∂f
d(K(α))(x) = (t, x) dt dxm ∧ dxi1 ∧ · · · ∧ dxiM−1 ;
0 ∂xm
m=1

on the other hand,

∂f
dα(t, x) = (t, x) dt ∧ dt ∧ dxi1 ∧ · · · ∧ dxiM−1 +
∂t

N
∂f
+ (t, x) dxm ∧ dt ∧ dxi1 ∧ · · · ∧ dxiM−1
∂xm
m=1


N
∂f
=− (t, x) dt ∧ dxm ∧ dxi1 ∧ · · · ∧ dxiM−1 ,
∂xm
m=1

and hence

N 
 1 
∂f
K(dα)(x) = − (t, x) dt dxm ∧ dxi1 ∧ · · · ∧ dxiM−1
0 ∂xm
m=1

= −d(K(α))(x) .

Moreover, since the first component of ψ and of ξ is constant, it is Tψ α = Tξ α = 0.

Hence, the identity is proved in this case.
b) If α(t, x) = f (t, x) dxi1 ∧ · · · ∧ dxiM , it is K(α) = 0 and hence d(K(α)) = 0; on the
other hand,

∂f
dα(t, x) = (t, x) dt ∧ dxi1 ∧ · · · ∧ dxiM +
∂t

N
∂f
+ (t, x) dxm ∧ dxi1 ∧ · · · ∧ dxiM ,
∂xm
m=1
Appendix B • Stokes–Cartan and Poincaré Theorems
199 B
and hence
 1 
∂f
K(dα)(x) = (t, x) dt dxi1 ∧ · · · ∧ dxiM
0 ∂t
= (f (1, x) − f (0, x)) dxi1 ∧ · · · ∧ dxiM .

Moreover,

Tξ α(x) = f (1, x) dξi1 (x) ∧ · · · ∧ dξiM (x)

= f (1, x) dxi1 ∧ · · · ∧ dxiM ,

Tψ α(x) = f (0, x) dψi1 (x) ∧ · · · ∧ dψiM (x)

= f (0, x) dxi1 ∧ · · · ∧ dxiM .

The formula is thus proved in this case, as well.




We can now give the proof of the Poincaré theorem, whose statement is recalled
below.

Theorem B.6
Let U be an open subset of RN , star-shaped with respect to a point x̄. For 1 ≤ M ≤ N,
a M-differential form ω : U → M (RN ) of class C 1 is exact if and only if it is closed.
In that case, if ω is of the type

ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM ,
1≤i1 <···<iM ≤N

a (M − 1)-differential form  ω = ω is given by

ω such that d

 
M

ω(x) = (−1)s+1 (xis − x̄is )·
1≤i1 <···<iM ≤N s=1
 1 
· :is ∧ · · · ∧ dxiM .
t M−1 fi1 ,...,iM (x̄ + t (x − x̄)) dt dxi1 ∧ · · · ∧ dx
0

Proof
To simplify the notations, we can assume without loss of generality that x̄ = (0, 0, . . . , 0);
let φ : [0, 1] × U → U be defined by

φ(t, x1 , . . . , xN ) = (tx1 , . . . , txN ) .

200 Appendix B • Stokes–Cartan and Poincaré Theorems

Moreover, by the linearity, we may assume, for simplicity, that

ω(x) = fi1 ,...,iM (x) dxi1 ∧ · · · ∧ dxiM .

Consider Tφ ω, the transformation through φ of ω. It is the differential form of degree M

defined on [0, 1] × U as follows:

Tφ ω(t, x) = fi1 ,...,iM (tx)(xi1 dt + t dxi1 ) ∧ · · · ∧ (xiM dt + t dxiM )

= fi1 ,...,iM (tx)[t M dxi1 ∧ · · · ∧ dxiM +


M
+t M−1 :is ∧ · · · ∧ dxiM ] .
(−1)s−1 xis dt ∧ dxi1 ∧ · · · ∧ dx
s=1

Observe that

K(Tφ ω)(x) =
 1 
M 
= fi1 ,...,iM (tx)t M−1 :is ∧ · · · ∧ dxiM ,
(−1)s+1 xis dt dxi1 ∧ · · · ∧ dx
0 s=1

so that 
ω = K(Tφ ω). We want to prove that d
ω = ω. Being ω closed, we have

K(d(Tφ ω)) = K(Tφ (dω)) = K(Tφ (0)) = K(0) = 0 .

By the preceding lemma,

ω = d(K(Tφ ω))
d
= Tξ (Tφ ω) − Tψ (Tφ ω) − K(d(Tφ ω))

= Tξ (Tφ ω) − Tψ (Tφ ω)

= Tφ◦ξ ω − Tφ◦ψ ω .

Being φ ◦ ξ the identity function and φ ◦ ψ the null function, we have that Tφ◦ξ ω = ω and
Tφ◦ψ ω = 0, which concludes the proof. 


We have thus concluded the proof of the two main theorems of the theory, and maybe
something should be said about the need for such a theory. Of course, its mathematical
beauty would alone justify its existence and development. Nevertheless, such a nice
theory also finds a lot of applications in the physical world. The reason of this probably
lies in the fact that it was motivated by the classical theorems in Electromagnetism and
Fluidodynamics, hence the abstract construction lies on some very concrete bases.
So we find an example here of how Physics and Mathematics interact to help and
motivate each other, leading to wonderful successful theories which may have a lot of
practical implications in our lifes.
 201 C

Appendix C
On Differentiable Manifolds

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2

We would like to show here how the theory on differential forms developed in 
Chap. 3, and in particular the Stokes–Cartan theorem, can be adapted to the context of
differentiable manifolds. However, contrary to our habit, we will not give the complete
proofs of all the results of this section; the interested reader will find useful to refer, e.g.,
to [20]. We consider a subset M of RN .

Definition C.1
The set M is a M-dimensional differentiable manifold, with 1 ≤ M ≤ N (or
briefly a M-manifold) if, taken a point x in M, there are an open neighborhood A
of x, an open neighborhood B of 0 in RN and a diffeomorphism ϕ : A → B such
that ϕ(x) = 0 and, either
(a) ϕ(A ∩ M) = {y = (y1 , . . . , yN ) ∈ B : yM+1 = · · · = yN = 0} ,
or
(b) ϕ(A ∩ M) = {y = (y1 , . . . , yN ) ∈ B : yM+1 = · · · = yN = 0 and yM ≥ 0} .

It can be seen that (a) and (b) cannot hold at the same time. The points x for which
(b) is verified make up the boundary of M, which we denote by ∂ M. If ∂ M is empty,
we are speaking of a M-manifold without boundary; otherwise, M is sometimes said
to be a M-manifold with boundary.
First of all we notice that the boundary of a differentiable manifold is itself a
differentiable manifold, with a lower dimension.
202 Appendix C • On Differentiable Manifolds

Theorem C.2
The set ∂ M is a (M − 1)-manifold without boundary:

∂(∂ M) = Ø .

Proof
Taken a point x in ∂ M, there are an open neighborhood A of x, an open neighborhood B of
0 in RN and a diffeomorphism ϕ : A → B such that ϕ(x) = 0 and

ϕ(A ∩ M) = {y = (y1 , . . . , yN ) ∈ B : yM+1 = · · · = yN = 0 and yM ≥ 0}.

Reasoning on the fact that the conditions (a) an (b) of the definition can not hold
simultaneously for any point of M, it is possible to prove that

ϕ(A ∩ ∂ M) = {y = (y1 , . . . , yN ) ∈ B : yM = yM+1 = · · · = yN = 0} .

This completes the proof. 



Let us now see that, given a M-manifold M, correspondingly to each of its point x
it is possible to find a local M-parametrization.

Theorem C.3
For every x ∈ M, there is a neighborhood A of x such that A ∩ M can be M-
parametrized with a function σ : I → RN, where I is a rectangle of RM of the type

[−α, α]M if x ∈

∂M ,
I=
[−α, α]M−1 × [0, α] if x ∈ ∂ M ,

and σ (0) = x.

Proof
Consider the diffeomorphism ϕ : A → B given by the above definition and take an α > 0
such that the rectangle B = [−α, α]N be contained in B. Setting A = ϕ −1 (B ), we have
that A is a neighborhood of x (indeed, the set B =] − α, α[N is open and hence also A =
ϕ −1 (B ) is open, and x ∈ A ⊆ A ). We can then take the rectangle I as in the statement
and define σ (u) = ϕ −1 (u, 0). It is readily seen that σ is injective and σ (I ) = A ∩ M.

Moreover, ϕ(1,...,M) (σ (u)) = u for every u ∈ I ; hence, ϕ(1,...,M) (σ (u)) · σ (u) is the identity

matrix, so that σ (u) has rank M, for every u ∈ I. 

Appendix C • On Differentiable Manifolds
203 C
Remark In the proof we have seen that M can be covered by a family of open sets of the
type A , so that for each of them there is a local M-parametrization σ , defined on an open
set containing I and injective there, such that A ∩ M ⊆ σ (I ). Restricting if necessary the
sets A , this property still holds if instead of A we take an open ball B(x, ρx ). Moreover, if
x is a point of the boundary ∂ M, the M-parametrization σ is such that the interior points of
a single face of the rectangle I are sent on ∂ M.

We want to define an orientation for M, which will automatically induce one also
for ∂ M. Given x ∈ M, let σ : I → RN be a local M-parametrization, with σ (0) = x.
Since σ (u) has rank M, for every u ∈ I, we have that the vectors
 
∂σ ∂σ
(u) , . . . , (u)
∂u1 ∂uM

form a basis for a vector space of dimension M which will be called the tangent space
to M at the point σ (u) and will be denoted by Tσ (u) M (in particular, if u = 0, we have
the tangent space Tx M).
Now, once u ∈ I is considered, the point σ (u) will belong also to the images of
other M-parametrizations. There can be a σ̃ : J → RN such that σ (u) = σ̃ (v), for
some v ∈ J. We know from  Chap. 3 how it is possible to change the orientation
to such a σ̃ with a simple change of variable. Hence, we can choose these local M-
parametrizations so that the bases of the tangent space Tσ (u) M = Tσ̃ (v) M associated to
them all be coherently oriented; this means that the matrix which permits to pass from
one basis to the other has a positive determinant. We will call coherent such a choice.
A coherent choice of the local M-parametrizations is therefore always possible,
remaining in a neighborhood of x. But we are interested in the possibility of making
a global coherent choice, i.e., for all possible local M-parametrizations of M. This is
not always possible: for example, it can be seen that this can not be done for a Möbius
strip, which is a 2-manifold.
Whenever all the local M-parametrizations of M can be chosen coherently, we say
that M is orientable. From now on we will always assume that M is orientable and
that a coherent choice of all the local M-parametrizations has been made. We then say
that M has been oriented.
Once we have oriented M, let us see how it is possible to define, from that, an
orientation on ∂ M. Given x ∈ ∂ M, let σ : I → RN be a local M-parametrization
with σ (0) = x; recall that in this case I is the rectangle [−α, α]M−1 × [0, α].
Being ∂ M a (M − 1)-manifold, the tangent vector space Tx ∂ M has dimension
M − 1 and is a subspace of Tx M, which has dimension M. Hence, there are two
versors in Tx M which are orthogonal to Tx ∂ M. We denote by ν(x) the one which
is obtained as a directional derivative ∂σ ∂v
(0) = dσ (0)v, for some v = (v1 , . . . , vM )
with vM < 0. At this point, we choose a basis [v (1) (x), . . . , v (M−1) (x)] in Tx ∂ M such
that [ν(x), v (1) (x), . . . , v (M−1) (x)] be a basis of Tx M oriented coherently with the one
already chosen in this space. Proceeding in this way for every x, it can be seen that ∂ M
is thus oriented: we have assigned to it the induced orientation from that of M.
204 Appendix C • On Differentiable Manifolds

Assume now that M, besides being oriented, be compact. Given a M-differential

form ω : U → M (RN ), with U containing M, we would like to define what we mean
by integral of ω on M.
In the case when ω|M , the restriction of ω to the set M, be zero outside the support
of a single local M-parametrization σ : I → RN, we simply set

ω= ω.
M σ

In general, we have seen that M can be covered by some open sets A of RN, which
we can assume to be open balls, for each of which there is a local M-parametrization
σ : I → RN with A ∩ M ⊆ σ (I ). Being M compact, there is a finite sub-covering:
let it be given by A 1 , . . . , A n . The open set V = A 1 ∪ · · · ∪ A n contains then M. We
now need the following result.

Theorem C.4
There exist some functions φ1 , . . . , φn : V → R, of class C ∞ , such that, for every x
and every k ∈ {1, . . . , n}, the following properties hold:
(i) 0 ≤ φk (x) ≤ 1 ,
(ii) x
∈ A k ⇒ φk (x) = 0 ,
and, for x ∈ M,
n
(iii) k=1 φk (x) = 1.

Proof
Let A k = B(xk , ρk ), with k = 1, . . . , n. Consider the function f : R → R defined by
  
exp 1
u2 −1
if |u| < 1 ,
f (u) =
0 if |u| ≥ 1 ,

and set
 
x − x k 
ψk (x) = f .
ρk

Then, for every x ∈ V , it is ψ1 (x) + · · · + ψn (x) > 0, and we can define the functions

ψk (x)
φk (x) = .
ψ1 (x) + · · · + ψn (x)

The required properties are now easily verified. 



The functions φ1 , . . . , φn are said to be a partition of unity. Since each φk · ω|M is

zero outside the support of a single local M-parametrization, we can define the integral
Appendix C • On Differentiable Manifolds
205 C
of ω on M in this way:
n

ω= φk · ω .
M k=0 M

It is possible to prove that such a definition does not depend neither on the (coherent)
choice of the local M-parametrizations, nor on the particular partition of unity defined
above.
We can now state the analogue of the Stokes–Cartan theorem.

Theorem C.5
If ω : U → M (RN ) is a M-differential form of class C 1 and M is a compact,
oriented (M + 1)-manifold contained in U, then

dω = ω
M ∂M

(provided the orientation on ∂ M is the induced one).

Proof
Let us first assume that there is a local M-parametrization σ : I → RN such that

σ (I ) ∩ ∂ M = Ø ,

and ω|M is equal to zero outside σ (I ). By the injectivity of σ and the continuity of ω, we
have that ω has to be zero on all points of the support of ∂σ, so that

dω = dω = ω = 0.
M σ ∂σ

On the other hand, since ω is zero on ∂ M,

ω = 0.
∂M

Hence, the identity is verified in this case.

Assume now that there is a local M-parametrization σ : I → RN which sends the
interior points of a single face Ij of I on the boundary of M and that ω|M is equal to zero
outside σ (I ). Then,

dω = dω = ω,
M σ ∂σ
206 Appendix C • On Differentiable Manifolds

and since ω is zero outside the support of ∂σ except for the points coming from Ij , which
belong to ∂ M, we have

ω= ω.
∂σ ∂M

Hence, even in this case the identity holds.

Consider now the general case. With the above found partition of unity, each of the φk · ω
is of one of the two kinds just considered. Being
 n 
 n 
dφk ∧ ω = d φk ∧ ω = d(1) ∧ ω = 0 ,
k=1 k=1

we then have
n

dω = φk · dω
M k=1 M
n
 n

= dφk ∧ ω + φk · dω
k=1 M k=1 M
n

= d(φk · ω)
k=1 M
n

= φk · ω
k=1 ∂ M

= ω,
∂M

and the proof is completed. 



A final remark about orientation. In  Chap. 1, when dealing with functions f

defined on an interval [a, b], the natural  b of R was implicitly used, suggesting
 a orientation
also the introduction of the notation b f = − a f .
In  Chap. 2 this issue was not emphasized, even if some care was needed in the
Change of Variables theorem, where only diffeomorphisms ϕ are allowed, and the factor
| det ϕ | appears in the main formula.
In  Chap. 3 we did not really define an orientation for a M-surface σ , but
nevertheless introduced the concept of equivalent M-surfaces which could have the
same or the opposite orientation. Moreover, each M-surface σ induces an orientation on
its boundary ∂σ , in such a way that the Stokes–Cartan theorem appears as the theory’s
most natural conclusion.
Finally, in this appendix, we have seen that the orientation of a differentiable
manifold plays a crucial role. It is a delicate question, and it could be not so easy
to verify in practice. But, again, the whole theory is motivated by the Stokes–Cartan
theorem, which can be stated in this framework in its full elegance.
 207 D

Appendix D
The Banach–Tarski Paradox

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2

Let us start with the following

Definition D.1
Two subsets A, B of R3 are said to be equi-decomposable if there are some sets
A1 , . . . , An , which are pairwise disjoint, and B1 , . . . , Bn , also pairwise disjoint,
such that

A = A1 ∪ · · · ∪ An , B = B1 ∪ · · · ∪ Bn ,

and each Bi happens to be a roto-translation of Ai . In that case, we will write

A ∼ B.

We recall that a roto-translation is just the composition of a rotation with a

translation. It is not difficult to prove that ∼ is an equivalence relation. Let us introduce
the following notations:

B = {x ∈ R3 : x ≤ 1} ; S = {x ∈ R3 : x = 1} .

Moreover, once we have fixed a vector v ∈ R3 such that v > 2, for every subset E of
R3 we denote by ET the translation of E by the vector v :

ET = {x ∈ R3 : x − v ∈ E} .

Let us state and prove the astonishing Banach–Tarski theorem.

208 Appendix D • The Banach–Tarski Paradox

Theorem D.2
It truly happens that B ∼ B ∪ BT .

How is this possible? Everybody knows that a roto-translation of a body preserves

its volume, while the Banach–Tarski theorem affirms that two sets may be equidecom-
posable even if they have different volumes. The point is that, among the “pieces”
A1 , . . . , An , there clearly must be some which are non-measurable, hence there is no
volume to be preserved! This is a serious task, which shows us the importance of the
concept of measurable set.
Before starting the proof, we need an important property of the rotations in R3 .
We will say that two rotations ρ1 , ρ2 of R3 are independent if, by a finite number
of compositions of the elements in {ρ1 , ρ1−1 , ρ2 , ρ2−1 } , it is not possible to obtain
the identity function, unless allowing the appearance of couples of the type ρ1 ρ1−1 ,
ρ1−1 ρ1 , ρ2 ρ2−1 , ρ2−1 ρ2 . We will call simplified the compositions where these couples
are not allowed. In the following, we will consider only simplified compositions.

Lemma D.3
There exist two independent rotations of R3 .

Proof
Let ρ be the rotation with angle arccos 13 in counter-clockwise direction around the x-axis and
φ be the analogous rotation around the z-axis. We have that ρ, ρ −1 , φ, φ −1 are represented
by the following matrices:
⎛ ⎞ ⎛ √ ⎞
1 0 0√ 1
∓232 0
⎜ ⎟ ⎜ 23√2 ⎟
ρ ±1 = ⎝ 0 1
3√ ∓232 ⎠ , φ ±1 = ⎝± 3 1
0⎠ .
3
0 ±232 1
3 0 0 1

We will show that any simplified composition f of elements in {ρ, ρ −1 , φ, φ −1 } can not be
the identity, proving by induction the following proposition, for n ≥ 1 :
(Pn ) For every f having n components, one has that f (1, 0, 0) is of the form

1 √
(a, b 2, c) ,
3n

where a, b, c are integer numbers and b is not a multiple of 3.

Without loss of generality, let us assume that the last component√ to the right of f be φ or
φ −1 . If n = 1, we have f = φ ±1 and φ ±1 (1, 0, 0) = ( 13 , ± 2 3 2 , 0); hence, (P1 ) holds with
a = 1, b = ±2 and c = 0. Assume now that (Pk ) holds for k = 1, . . . , n and consider f
having n + 1 components. Then, f = φ ±1 f or f = ρ ±1 f , where f has n components
Appendix D • The Banach–Tarski Paradox
209 D
√
and f (1, 0, 0) = (a , b 2, c )/3n , with b not being a multiple of 3. In the first case,
√
f (1, 0, 0) = φ ±1 f (1, 0, 0) = (a ∓ 4b , (b ± 2a ) 2, 3c )/3n+1 ,

while in the second case,

√
f (1, 0, 0) = ρ ±1 f (1, 0, 0) = (3a , (b ∓ 2c ) 2, c ± 4b )/3n+1 .

It still remains to prove that neither (b ± 2a ) nor (b ∓ 2c ) are multiples of 3. We will do it

considering the four possible cases when f is one of the following:

φ ±1 ρ ±1 f , ρ ±1 φ ±1 f , φ ±1 φ ±1 f , ρ ±1 ρ ±1 f ,

where f does not appear if n = 1, while, if n ≥ 2, f has n − 1 components and

√ at alln−1
f (1, 0, 0) = (a , b 2, c )/3 , with b not being a multiple of 3.

In the first case, b = b ± 2a and a = 3a , so that b is not a multiple of 3.

In the second case, b = b ∓ 2c and c = 3c , similarly as in the first case.
In the third case, b = b ± 2a = b ± 2(a ∓ 4b ) = b + (b ± 2a ) − 9b = 2b − 9b ,
hence b is not a multiple of 3.
In the fourth case, b = b ∓ 2c = b ∓ 2(c ± 4b ) = b + (b ∓ 2c ) − 9b = 2b − 9b ,
similarly as in the third case.
In any case, (Pn+1 ) holds, and the proof is thus completed. 


Proof of the Theorem

We denote by ρ, φ two independent rotations of R3, whose existence is guaranteed by
Lemma D.3. Let F be the set of all the rotations which can be obtained as the composition
of a finite number of elements in {ρ, ρ −1 , φ, φ −1 }, to which we add the identity. Let D be
the subset of S made by the fixed points of the rotations in F , except for the identity. Being
F countable, Lemma D.3 tells us that D is countable, too. The sequel of the proof is divided
into three steps.

Step 1 We want to prove that S \ D ∼ (S \ D) ∪ (S \ D)T . Given x ∈ S \ D, we define

the orbit of x through F :

σ (x) = {f (x) : f ∈ F } .

It is easily seen that σ (x) is contained in S \ D and that two orbits either coincide or are
disjoint. Hence, the set of all orbits makes up a partition of S \ D. By the axiom of choice,
we can construct a set M taking a single point from each of these orbits.
Let us prove now that, varying f ∈ F , the sets f (M) generate a partition of S \ D. First
observe that, taken x ∈ S \ D, there is a u ∈ σ (x) ∩ M; it will be u = g(x), for some g ∈ F .
Then, setting f = g −1 , we have that f ∈ F and x = f (u) ∈ f (M). This proves that the
sets f (M) cover S \ D. Secondly, if there is a x ∈ f1 (M) ∩ f2 (M), with f1 , f2 ∈ F , then
both f1−1 (x) and f2−1 (x) belong to σ (x) ∩ M, and therefore coincide, by the way M has
been defined. Then, x = f2 (f1−1 (x)), which means that x is a fixed point for f2 f1−1 . Since
x
∈ D, it has to be f1 = f2 . this proves that the sets f (M) are pairwise disjoint.
210 Appendix D • The Banach–Tarski Paradox

We now define the following sets:

$
A1 = {f (M) : f ∈ F starts on the left side with ρ} ,
$
A2 = {f (M) : f ∈ F starts on the left side with ρ −1 } ,
$
A3 = {f (M) : f ∈ F starts on the left side with φ} ,
$
A4 = {f (M) : f ∈ F starts on the left side with φ −1 } .

They form a partition of (S \ D) \ M, since the identity is excluded from those f starting on
the left side with ρ, ρ −1 , φ, φ −1 . Let us prove that

A1 ∪ ρ(A2 ) = S \ D , A1 ∩ ρ(A2 ) = Ø ,

A3 ∪ φ(A4 ) = S \ D , A3 ∩ φ(A4 ) = Ø .

If x ∈ S \ D, it has to belong to one and only one of the sets f (M), with f ∈ F . If f begins
with ρ, then x ∈ A1 ; otherwise, since we are only considering simplified compositions,
ρ −1 f begins with ρ −1 , so that ρ −1 (x) ∈ A2 , that is x ∈ ρ(A2 ). The two first equalities then
follow. Analogously one proves the two second ones.
If we define B1 = A1 , B2 = ρ(A2 ) , B3 = (A3 )T , B4 = (φ(A4 ))T , we thus have seen
that

(S \ D) \ M ∼ (S \ D) ∪ (S \ D)T .

Consider now the bijective function

β : (S \ D) \ M → (S \ D) ∪ (S \ D)T ,

which is obtained using the respective roto-translations of the sets A1 , A2 , A3 and A4 : we

will have that β coincides with the identity on A1 , with the rotation ρ on A2 , with the
translation by the vector v on A3 , with the rotation φ followed by the translation by v on A4 .
We set α = β −1 and define the set

∞
$
C= α n ((S \ D)T ) = (S \ D)T ∪ α((S \ D)T ) ∪ α 2 ((S \ D)T ) ∪ . . . ,
n=0

where α n denotes the function α iterated n times.

We now show that

(S \ D) \ α(C) = ((S \ D) ∪ (S \ D)T ) \ C .

Indeed, if x ∈ (S \ D) \ α(C), then x does not belong to

α(C) = α((S \ D)T ) ∪ α 2 ((S \ D)T ) ∪ . . . ,

Appendix D • The Banach–Tarski Paradox
211 D
and since surely it does not belong to (S \ D)T , then x is not an element of C. Consequently,
x ∈ ((S \ D) ∪ (S \ D)T ) \ C. Vice versa, if x ∈ (S \ D) ∪ (S \ D)T \ C, then, not
being an element of C, x does not belong to (S \ D)T , so that x ∈ S \ D; moreover, since
α(C) ⊆ C, x can not belong to α(C), hence x ∈ (S \ D) \ α(C).
In conclusion, being C ∼ α(C), we have

S \ D = α(C) ∪ ((S \ D) \ α(C)) ∼ C ∪ (((S \ D) ∪ (S \ D)T ) \ C) = (S \ D) ∪ (S \ D)T ,

which is what we wanted to prove.

Step 2 We will now prove that S ∼ S ∪ ST . Let  be a line, passing through the origin 0 of
R3, which does not intersect the countable set D. Let us see that there is a rotation ψ, having
 as axis, such that

∀n ≥ 1 ψ n (D) ∩ D = Ø .

Consider first the set 1 made of those angles which are rational multiples of 2π. These
angles determine all the possible rotations f around the axis  for which a point of D comes
back to itself by applying an iterate f n . Consider now two points x 1 , x 2 ∈ D which lie on
the same orthogonal plane to  : the point x 1 will be moved onto the point x 2 by a rotation
around the axis  by a certain angle θ12 ∈ [0, 2π[ . Define the set 2 made of the angles of
the type (θ12 + 2πm)/n; these angles determine all the possible rotations f around the axis
 for which the point x 1 is moved on x 2 by applying an iterate f n . Since D is countable, the
sets n can be ordered in a sequence. Moreover, each of the sets n is countable and hence
their union is countable, too. It is therefore sufficient to take an angle which does not depend
on any n to find a rotation ψ with the required property.
Consider now the set
∞
$
=
D ψ n (D) = D ∪ ψ(D) ∪ ψ 2 (D) ∪ . . . .
n=0

Then,

 ∪ (S \ D)
S=D  ∼ ψ(D)
 ∪ (S \ D)
 = S \D.

Analogously one sees that ST ∼ (S \ D)T . Recalling the equi-decomposability proved

in Step 1, using the symmetry and the transitivity of the relation ∼, we obtain the equi-
decomposability we are looking for.

Step 3 Associating to each x ∈ S the radius without its origin {λx : λ ∈ ]0, 1]}, we can
proceed exactly as above to prove that B \{0} ∼ (B \{0})∪(B \{0})T . Let now η be a rotation
by an angle which is an irrational multiple of 2π around the line {(x, 0, 1/2) : x ∈ R}.
Consider the set Õ = {ηn (0) : n ≥ 0}. Then,

B = Õ ∪ (B \ Õ) ∼ η(Õ) ∪ (B \ Õ) = B \ {0} .

212 Appendix D • The Banach–Tarski Paradox

In an analogous way one sees that BT ∼ (B \ {0})T ; by the symmetry and the transitivity of
the relation ∼, we conclude that B ∼ B ∪ BT , and the theorem is thus proved. 


As we said above, the Banach–Tarski theorem should make anyone aware of the
strange consequences one can face when dealing with non-measurable sets. Those sets
are constructed by the use of the axiom of choice. Nevertheless, this axiom is still usually
accepted for its remarkable usefulness in modern mathematics.
 213 E

Appendix E
A Brief Historical Note

Alessandro Fonda

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2

In this appendix, I will take a brief look at the historical evolution of the concept of
integral, without laying any claims to completeness. In particular, I would like to stress
the role played by the Riemann sums, in different stages.
The primary motive for the integral calculus stems from geometrical problems such
as the computation of the length of a curve, the area of a surface, planar or not, and the
volume of a solid. Some of these were already computed since Ancient Greek times,
in particular by Eudoxus (4th century B.C.) and Archimedes (3rd century B.C.). The
method used at that time was based on two steps: first, a candidate for the integral was
found by the use of approximations which could resemble the Riemann sums; then,
the rigorous proof was given by the so-called “exhaustion method”. Obviously, the
notations were completely different from ours, and the procedure followed was mainly
geometrical rather than analytical.
The main significant change in the setting of the problem was made in the seven-
teenth century, when Descartes discovered Analytic Geometry. In particular, differential
calculus started to be developed as the method of determining the tangents to a given
curve. A fundamental step was then made by Leibniz (1682) and Newton (1687). They
independently understood the link between differential and integral calculus, finding
that, if F is a function whose derivative coincides with f, then
b
f (x) dx = F (b) − F (a) .
a

This is what we have called the Fundamental Theorem.

Thanks to the contributions of Euler (1768) and others, the theory of primitivable
functions was developed in the set of those functions defined by a single analytical
formula or by a power series, which were about the only functions deemed worthy of
214 Appendix E • A Brief Historical Note

interest at that time. In this framework, the above formula was sometimes used as the
very definition of integral, and the Riemann sums approach took on a secondary role.
However, a fundamental research by Fourier (1811) put in evidence that such a
theory was too restrictive: it was time to develop a theory which could deal with some
discontinuous, not primitivable functions. Cauchy (1823) was the first to provide a
rigorous basis for the theory, but it was Riemann (1854) who introduced the definition
of integrable function, the one we have called R-integrable in this book, which we recall
here.

Definition E.1
A function f : [a, b] → R is R-integrable and its integral is some real number A if
the following property holds: for every ε > 0 there is a real number δ > 0 for which
one has
 
 
 m 
 f (x )(a − a ) − A  ≤ ε,
 j j j −1 
j =1 

for every choice of points aj and xj such that

a = a0 < a1 < · · · < am−1 < am = b ,

with

aj − aj −1 ≤ δ , and aj −1 ≤ xj ≤ aj .

Nevertheless, the Cauchy-Riemann theory was not the final solution to the problem
of integration: Volterra (1881) gave an example of a primitivable and bounded function
which is not R-integrable on [a, b]. The main problem was that this procedure did not
take into account the particular properties of the functions involved. According to Borel,
it was like “a ready-made outfit which doesn’t suit to each and everyone”. The problem
of finding a theory where both R-integrable and primitivable functions were integrable
persisted.
Lebesgue (1902) faced this problem introducing the following integration procedure.
Given f : [a, b] → R, bounded with non-negative values, and C > 0 such that
0 ≤ f (x) < C for every x ∈ [a, b], let usconsider the  subdivision of the interval [0, C[
(and not of the interval [a, b]!) in n parts j −1
n
C, j
n
C , and consider the sets

 
j −1 j
Enj = x ∈ [a, b] : C ≤ f (x) < C .
n n

The problem is how to “measure” these sets. In general, given a set E ⊆ [a, b],

Lebesgue calls “outer measure” of E the infimum of the set of all sums k (dk − ck ),
finite or countable, obtained by considering a covering of E with the intervals [ck , dk ].
Appendix E • A Brief Historical Note
215 E
Denoting by μ∗ (E) this exterior measure, the “interior measure” of E is given by
μ∗ (E) = (b − a) − μ∗ ([a, b] \ E). The set E is measurable if μ∗ (E) = μ∗ (E), in
which case this number is called the “measure of E” and is denoted by μ(E). At this
point, Lebesgue defines the integrable functions, which in this book have been called
L-integrable.

Definition E.2
A function f : [a, b] → R, such that 0 ≤ f (x) < C for every x ∈ [a, b], is
L-integrable and its integral is a real number A if the following property holds: for
j
every ε > 0 there is a natural number n̄ such that, taken n ≥ n̄, the sets En are
measurable and
 n 
 j 
 Cμ(E
j
) − A  ≤ ε.
 n
n 
j =1

The definition is then extended to functions which are not bounded and with arbitrary
real values in the following way.

Definition E.3
Assume that the function f : [a, b] → R has non-negative values but is not
bounded above. In this case, f is said to be L-integrable on [a, b] if, for every
positive integer k, the function fk (x) = min{f (x), k} is L-integrable on [a, b] and
b
the sequence of the integrals ( a fk )k has a finite limit as k tends to +∞. Such a
limit is said to be the “integral of f on [a, b]”. Whenever f not only has
non-negative values, it is said to be L-integrable if both its positive part f + and its
negative part f − are L-integrable; the integral of f is then the difference of the
respective integrals of f + and f − .

Again according to Borel, this procedure “is custom made, and perfectly adapts
to the properties of each function”. Lebesgue’s theory was completely satisfactory for
several aspects. It was shown that every R-integrable function is also L-integrable and
the two integrals have the same value, and if a function is primitivable and bounded,
then it is L-integrable.
However, the problem of the integrability of not bounded primitivable functions
remained unsolved at the time. It finally found a solution some years later by Denjoy
(1912) and Perron (1914), who extended Lebesgue’s theory with two different but
equivalent approaches. While Denjoy used a transfinite induction method starting from
Lebesgue definition, Perron’s method is more in line with the formula for the integral of
primitivable functions. Let us take a simplified and brief look at Perron’s method.
We call lower-primitive of f a function F− such that F− (a) = 0 and, for every
x ∈ [a, b], it is F− (x) ≤ f (x); similarly, we define an upper-primitive F+ of f, by
changing the inequality sign. We say that f is almost primitivable if there are a lower-
216 Appendix E • A Brief Historical Note

primitive and an upper-primitive. In the following definition, we call P-integrable the

functions which are integrable according to Perron.

Definition E.4
A function f : [a, b] → R is P-integrable if it is almost primitivable and

sup{F− (b) : F− is a lower primitive } = inf{F+ (b) : F+ is an upper primitive } .

In such a case, this value is called “integral of f on [a, b]”.

While it is clear that every primitivable function is P-integrable, to prove that every
L-integrable function is P-integrable (with the same value for the integral) is rather
complicated. It comes out that a function f is L-integrable if and only if both f and
|f | are P-integrable.
The approach to the definition of integral had been set aside for a long time
when Kurzweil (1957) and Henstock (1961) proposed the following modification to
Riemann’s definition: after observing that the two conditions aj − aj −1 ≤ δ and
aj −1 ≤ xj ≤ aj can be replaced by

xj − δ ≤ aj −1 ≤ xj ≤ aj ≤ xj + δ ,

without modifying the definition, in order to adapt the procedure to each function they
decided to allow greater freedom of choice for the δ. With a simple but far-reaching
insight, the formerly constant δ could now vary in the interval [a, b], according to the
needs of the function. This is how they reached the definition that we have adopted in
this book:

Definition E.5
A function f : [a, b] → R is integrable (according to Kurzweil and Henstock) and
its integral is a real number A if the following property holds: for every ε > 0 there
is a function δ : [a, b] → R, with positive values, for which one has
 
 
 m 
 f (x )(a − a ) − A  ≤ ε,
 j j j −1 
j =1 

for every choice of the points aj and xj in such a way that

a = a0 < a1 < · · · < am−1 < am = b ,

and

xj − δ(xj ) ≤ aj −1 ≤ xj ≤ aj ≤ xj + δ(xj ) .
Appendix E • A Brief Historical Note
217 E
Surprisingly, a function is integrable (according to Kurzweil and Henstock) if and
only if it is P-integrable, and in that case the value of the integral is the same.
Some years later Mac Shane (1969) proved that, by modifying in the above definition
the condition aj −1 ≤ xj ≤ aj with the less restrictive one xj ∈ [a, b], an alternative
definition of L-integrable functions is obtained.
In conclusion, it can be said that the Riemann sums have played and still play a
fundamental role in the theory of integration, even if with alternate fortunes. Intuitively
used by the ancient Greeks, they were placed on the back burner once the theory of
Leibniz and Newton was introduced, only to be back in the limelight thanks to Cauchy
and Riemann. Overshadowed once again by the theories of Lebesgue, Denjoy and
Perron, they proved to be important again in the work of Kurzweil and Henstock, who
re-introduced them to unify these theories in an easy and intuitive way. And they are the
subject of interesting research developments even today.
 219

Bibliography

1. R.G. Bartle, A Modern Theory of Integration, American Mathematical Society, Providence, 2001.
2. Z. Buczolich, The g-integral is not rotation invariant, Real Analysis Exchange 18 (1992/93),
437–447.
3. A. Fonda, Lezioni sulla Teoria dell’Integrale, Ed. Goliardiche, Roma, 2001.
4. R.A. Gordon, The Integrals of Lebesgue, Denjoy, Perron, and Henstock, American Mathematical
Society, Providence, 1994.
5. R. Henstock, Definitions of Riemann type of the variational integrals, Proceedings of the London
Mathematical Society 11 (1961), 402–418.
6. R. Henstock, Theory of Integration, Butterworths, London, 1963.
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Czechoslovak Mathematical Journal 7 (1957), 418–449.
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11. S. Leader, The Kurzweil–Henstock Integral and its Differentials, Marcel Dekker, New York, 2001.
12. P.Y. Lee, Lanzhou Lectures on Henstock Integration, World Scientific, Singapore, 1989.
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21. Ch. Swartz, Introduction to Gauge Integrals, World Scientific, Singapore, 2001.

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2
 221

Index

additivity of the integral, 25, 64, 81, 116 differentiable, 175

almost everywhere, 74 integrable, 6
area, 68 L-integrable, 35
of a surface, 148, 149 R-integrable, 28

boundary of a manifold, 201 gauge, 3, 62

glueing, 151
chain rule, 184 gradient, 133
Chebyshev inequality, 72
curl, 133 Hessian matrix, 180
curve, 135
cylindrical coordinates, 110
induced orientation, 203
integrable function
diffeomorphism, 190
Kurzweil–Henstock, 6, 64
differentiable, 175, 178
Lebesgue, 35, 65, 113
differentiable manifold, 201
Riemann, 28, 65
orientable, 203
integral
oriented, 203
of a differential form, 142
differential, 175
of a function, 6, 64, 113
differential form, 127
improper, 48
closed, 167
indefinite, 14
exact, 167
line integral, 145
direction, 176
surface integral, 145
directional derivative, 176
integration
divergence, 133
by parts, 19
by substitution, 21
equi-decomposable sets, 207 irrotational, 168
equivalent M-surfaces, 138
external differential, 130
external product, 128 Jacobian matrix, 181

flux, 145 Leibniz rule, 84, 116

formulas length of a curve, 147, 149
Gauss, 153 line integral, 145
Gauss–Green, 164 L-integrable, 35, 65
Gauss–Ostrogradski, 161 local diffeomorphism, 191
Stokes–Ampère, 160
Stokes–Cartan, 158 measurable, 68, 114
functions measure, 68, 114
of class C 1 , or C 1 -functions, 178, 182 M-dimensional, 149
of class C 2 , or C 2 -functions, 180, 182 M-superficial, 149
of class C n , or C n -functions, 180, 182 M-surface, 135

© Springer Nature Switzerland AG 2018

A. Fonda, The Kurzweil-Henstock Integral for Undergraduates,
Compact Textbooks in Mathematics,
https://doi.org/10.1007/978-3-319-95321-2
222 Index

negligible, 73 negligible, 73
non-overlapping, 61, 81 non-overlapping, 81
normal versor, 136 star-shaped, 168
solenoidal, 170
orientation spherical coordinates, 111
induced, 203 star-shaped set, 168
oriented boundary support of a M-surface, 135
of a M-surface, 155 surface, 135
of a rectangle, 152 surface integral, 145

parametrizable, 139 tangent

parametrization, 139 plane, 136
partial derivative, 176 space, 203
partition of unity, 204 versor, 135
polar coordinates, 109 theorems
potential Banach–Tarski, 207
scalar, 169 Beppo Levi, 41, 114
vector, 170 Change of Variables, 98, 105, 120
P-partition, 1, 61 Cousin, 3, 63
δ-fine, 3, 63 Fubini, 89, 91, 93, 118
primitivable function, 13 Fundamental Theorem, 11, 13
primitive of a function, 13 Hake, 53
projection of a set, 93, 117 Implicit Function, 185, 190
pull-back, 193 Lebesgue, 45, 115
Local Diffeomorphism, 191
rectangle, 61 Poincaré, 168, 199
reflection, 108 Saks–Henstock, 32
regular M-surface, 135 Schwarz, 179
Riemann sum, 2, 62 Stokes–Cartan, 196, 205
R-integrable, 28, 65 translation, 107
rotations, 108 trasformation of a differential form, 193
independent, 208
vector field
scalar product, 134 irrotational, 168
section of a set, 93, 117 solenoidal, 170
sets vector product, 134
equi-decomposable, 207 versor, 176
measurable, 68, 114 volume, 138
M-parametrizable, 139 of a set, 69