Improper Integrals

Basis
Last updated: Tags: Calculus, Integration, Improper Integrals

The Riemann integral as you defined it requires both the domain and the function to be bounded. Yet the most important integrals in analysis — total probability, Fourier transforms, the Laplace transform, potential wells in physics — almost always involve either an infinite interval or a function that blows up somewhere. Improper integrals give you a rigorous way to handle both situations by reducing them to a limit of proper Riemann integrals. When that limit exists and is finite the integral converges; otherwise it diverges.

Why extend the integral?

A few canonical problems make the need clear.

Total probability. The standard normal density 12πex2/2\frac{1}{\sqrt{2\pi}} e^{-x^2/2} is defined on all of R\mathbb{R}. Saying that the total probability equals 11 means

12πex2/2dx=1,\frac{1}{\sqrt{2\pi}} \int_{-\infty}^{\infty} e^{-x^2/2}\,dx = 1,

which requires integrating over an unbounded domain.

Fourier transforms. The Fourier transform f^(ξ)=f(x)e2πiξxdx\hat{f}(\xi) = \int_{-\infty}^{\infty} f(x) e^{-2\pi i \xi x}\,dx is the backbone of signal processing and PDE theory. It lives on R\mathbb{R}.

Power singularities. The function x1/2x^{-1/2} is not bounded on (0,1](0, 1] yet its integral from 00 to 11 ought to equal 22 by any reasonable reckoning. Making “any reasonable reckoning” precise is exactly what a Type 2 improper integral does.

Type 1: unbounded interval

Definition. Let ff be Riemann integrable on [a,b][a, b] for every b>ab > a. The improper integral over [a,)[a, \infty) is

af(x)dx    limbabf(x)dx.\int_a^{\infty} f(x)\,dx \;\coloneqq\; \lim_{b \to \infty} \int_a^b f(x)\,dx.

If this limit exists and is finite, the integral converges to that value. Otherwise it diverges.

Similarly, for an integral extending to -\infty:

bf(x)dx    limaabf(x)dx.\int_{-\infty}^{b} f(x)\,dx \;\coloneqq\; \lim_{a \to -\infty} \int_a^b f(x)\,dx.

For a doubly infinite integral, pick any convenient intermediate point cc and define

f(x)dx    cf(x)dx  +  cf(x)dx,\int_{-\infty}^{\infty} f(x)\,dx \;\coloneqq\; \int_{-\infty}^c f(x)\,dx \;+\; \int_c^{\infty} f(x)\,dx,

requiring both halves to converge independently. (If you allow the two limits to be taken simultaneously you get the Cauchy principal value, a weaker notion that we do not use here.)

Worked example: the pp-integral on [1,)[1, \infty)

Consider 1xpdx\int_1^{\infty} x^{-p}\,dx for a real parameter pp.

Case p1p \neq 1. For b>1b > 1,

1bxpdx=[x1p1p]1b=b1p11p.\int_1^b x^{-p}\,dx = \left[\frac{x^{1-p}}{1-p}\right]_1^b = \frac{b^{1-p} - 1}{1-p}.

As bb \to \infty:

  • If p>1p > 1 then 1p<01 - p < 0, so b1p0b^{1-p} \to 0, and the limit is 011p=1p1\dfrac{0 - 1}{1-p} = \dfrac{1}{p-1}.
  • If p<1p < 1 then 1p>01 - p > 0, so b1pb^{1-p} \to \infty: the integral diverges.

Case p=1p = 1. 1bx1dx=lnb\int_1^b x^{-1}\,dx = \ln b \to \infty: diverges.

Conclusion.

1xpdx  =  1p1(p>1),diverges(p1).\int_1^{\infty} x^{-p}\,dx \;=\; \frac{1}{p-1} \quad (p > 1), \qquad \text{diverges} \quad (p \le 1).

This single family already explains why the harmonic series diverges while n2\sum n^{-2} converges — the integral test connects series to this exact threshold.

Type 2: unbounded function

Definition. Suppose ff is Riemann integrable on [a,bε][a, b - \varepsilon] for every ε(0,ba)\varepsilon \in (0, b - a), but is unbounded (or undefined) near bb. Define

abf(x)dx    limε0+abεf(x)dx.\int_a^b f(x)\,dx \;\coloneqq\; \lim_{\varepsilon \to 0^+} \int_a^{b-\varepsilon} f(x)\,dx.

If the limit exists and is finite the integral converges; otherwise it diverges.

If instead ff blows up at the left endpoint aa, define

abf(x)dx    limε0+a+εbf(x)dx.\int_a^b f(x)\,dx \;\coloneqq\; \lim_{\varepsilon \to 0^+} \int_{a+\varepsilon}^b f(x)\,dx.

If the singularity is at an interior point c(a,b)c \in (a, b), split:

abf(x)dx    acf(x)dx+cbf(x)dx,\int_a^b f(x)\,dx \;\coloneqq\; \int_a^c f(x)\,dx + \int_c^b f(x)\,dx,

requiring both pieces to converge.

Worked example: the pp-integral on [0,1][0, 1]

Consider 01xpdx\int_0^1 x^{-p}\,dx for p>0p > 0. (The singularity is at x=0x = 0.)

Case p1p \neq 1. For ε>0\varepsilon > 0,

ε1xpdx=[x1p1p]ε1=1ε1p1p.\int_\varepsilon^1 x^{-p}\,dx = \left[\frac{x^{1-p}}{1-p}\right]_\varepsilon^1 = \frac{1 - \varepsilon^{1-p}}{1-p}.

As ε0+\varepsilon \to 0^+:

  • If p<1p < 1 then 1p>01 - p > 0, so ε1p0\varepsilon^{1-p} \to 0, and the limit is 11p\dfrac{1}{1-p}.
  • If p>1p > 1 then 1p<01 - p < 0, so ε1p\varepsilon^{1-p} \to \infty: diverges.

Case p=1p = 1. ε1x1dx=lnε\int_\varepsilon^1 x^{-1}\,dx = -\ln \varepsilon \to \infty: diverges.

Conclusion.

01xpdx  =  11p(0<p<1),diverges(p1).\int_0^1 x^{-p}\,dx \;=\; \frac{1}{1-p} \quad (0 < p < 1), \qquad \text{diverges} \quad (p \ge 1).

Notice the exact complementarity with the Type 1 result: the threshold flips from p>1p > 1 to p<1p < 1.

Mixed type: both singularities at once

Sometimes an integral has an unbounded integrand and an unbounded domain simultaneously. In that case you split at a convenient interior point and handle each piece separately. For example, to define 0xpdx\int_0^\infty x^{-p}\,dx you would write

0xpdx=01xpdx+1xpdx.\int_0^\infty x^{-p}\,dx = \int_0^1 x^{-p}\,dx + \int_1^\infty x^{-p}\,dx.

For p<1p < 1 the first piece converges and for p>1p > 1 the second piece converges, but there is no pp that makes both pieces converge simultaneously — so 0xpdx\int_0^\infty x^{-p}\,dx diverges for every pp. This is a simple but important case: even if each half separately has a good regime, the regimes may not overlap.

The Gamma function

The most important improper integral in analysis is the Gamma function:

Γ(s)    0exxs1dx,s>0.\Gamma(s) \;\coloneqq\; \int_0^{\infty} e^{-x} x^{s-1}\,dx, \quad s > 0.

This is a mixed-type integral: near x=0x = 0 the factor xs1x^{s-1} may blow up (when s<1s < 1), and the upper limit is \infty. Splitting at x=1x = 1, the two pieces are handled by the estimates above together with the rapid decay of exe^{-x}.

Convergence near 00. For small x>0x > 0, ex1e^{-x} \le 1, so exxs1xs1e^{-x} x^{s-1} \le x^{s-1}. We just showed 01xs1dx\int_0^1 x^{s-1}\,dx converges for s>0s > 0, so the left piece converges absolutely.

Convergence at \infty. For large xx, exponential decay dominates any power: exxs1Csex/2e^{-x} x^{s-1} \le C_s e^{-x/2} for a constant CsC_s depending on ss. Since 1ex/2dx\int_1^\infty e^{-x/2}\,dx converges, so does the right piece.

The functional equation

The Gamma function satisfies the functional equation

Γ(s+1)=sΓ(s),s>0.\Gamma(s+1) = s\,\Gamma(s), \quad s > 0.

Proof. Integrate 0exxsdx\int_0^\infty e^{-x} x^s\,dx by parts, taking u=xsu = x^s and dv=exdxdv = e^{-x}\,dx:

Γ(s+1)=0exxsdx=[exxs]0+s0exxs1dx.\Gamma(s+1) = \int_0^\infty e^{-x} x^s\,dx = \left[-e^{-x} x^s\right]_0^\infty + s \int_0^\infty e^{-x} x^{s-1}\,dx.

The boundary term vanishes: at x=0x = 0 we have xs=0x^s = 0, and at xx \to \infty the exponential decay forces exxs0e^{-x} x^s \to 0. The remaining integral is exactly Γ(s)\Gamma(s), giving Γ(s+1)=sΓ(s)\Gamma(s+1) = s\,\Gamma(s). \square

Base case. Γ(1)=0exdx=1\Gamma(1) = \int_0^\infty e^{-x}\,dx = 1. By the functional equation, Γ(2)=1Γ(1)=1\Gamma(2) = 1 \cdot \Gamma(1) = 1, Γ(3)=2\Gamma(3) = 2, and by induction Γ(n+1)=n!\Gamma(n+1) = n! for every non-negative integer nn. The Gamma function is the unique (suitably regular) extension of the factorial to positive real numbers.

Summary

  • Type 1 improper integral: aflimbabf\int_a^\infty f \coloneqq \lim_{b \to \infty} \int_a^b f. It converges when the limit exists and is finite.
  • Type 2 improper integral: abflimε0+abεf\int_a^b f \coloneqq \lim_{\varepsilon \to 0^+} \int_a^{b-\varepsilon} f when ff blows up at bb. Analogous definitions cover singularities at aa or at interior points.
  • The pp-integral 1xpdx\int_1^\infty x^{-p}\,dx converges if and only if p>1p > 1, with value 1p1\frac{1}{p-1}.
  • The pp-integral 01xpdx\int_0^1 x^{-p}\,dx converges if and only if p<1p < 1, with value 11p\frac{1}{1-p}.
  • For a doubly infinite integral f\int_{-\infty}^\infty f, both halves must converge independently.
  • Mixed-type integrals are split into pieces; convergence requires every piece to converge.
  • The Gamma function Γ(s)=0exxs1dx\Gamma(s) = \int_0^\infty e^{-x} x^{s-1}\,dx converges for all s>0s > 0 and satisfies Γ(s+1)=sΓ(s)\Gamma(s+1) = s\,\Gamma(s), extending the factorial.