ADVANCED CALCULUS New Edition A COURSE ARRANGED WITH SPECIAL REFER- ENCE TO THE NEEDS OF STUDENTS OF APPLIED MATHEMATICS BY FREDERICK S. WOODS PROFESSOR OF MATHEMATICS IN THE MASSACHUSETTS INSTITUTE OF T?.cHNOLOGY APREFACE The course in advanced calculus contained in this book has for many years been given by the author to students in the Massa- chusetts Institute of Technology. The choice of the subject matter and the arrangement of the material are the result of the expe- rience thus gained. The students to whom the course has been given have been chiefly interested in the applications of the calculus and have felt the need of a more extensive knowledge than that gained in the elementary courses, but they have not been prima- rily concerned with theoretical questions. Hence there is no attempt to make this course one in analysis. However, some knowledge of theory is certainly necessary if correct use is to be made.of the science; therefore the author has endeavored to ii jtroduce the students to theoretical questions and possibly to incite in some a desire for more thorough study. As an example of the method used, a proof of the existence of the definite integral in one variable has been given; for the multiple integral the proof has been omitted and simply the result stated. The student who has mastered the simpler case is in a position to read the more difficult case in easily accessible texts. existence proofs have also been given for the simpler cases of implicit functions and of differential equations. In these proofs the author has preferred to make the assumption that the func- tions involved ‘may be expanded into Taylor series. This, of course, restricts the‘proof ; but the somewhat immature student gets a clearer idea of the meaning of the theorems when he sees an actual series as the solution. The more abstract concept of a function may well come later. Furthermore, the student is likely to apply his results only to functions which can be expanded into series. * Because of this constant use of the power scries that subject is taken up ‘irst, after certain introductory matter. Here again, fol- lowing the line of simplicity, the author has not discussed series in general. The gain in concreteness for the student justifies this, but the teacher who desires to discuss series of a more general type may do so with the aid of the exercises given for the student. iiiPREFACE The Fourier series are introduced later as tools for solving certain partial differential equations, but no attempt has been made to develop their theory. 4 The subjects treated in the book may be, most easily seen by examining the table of contents. Experience has shown that the book may be covered in a year’s course. FREDERICK S. WOODS Nore ror THE 1922 PrinttNG. In this impression of the book certain improvements have been made. In particular, Osgood’s theorem has been inserted in Chapter I, the discussion of uniform convergence in Chapter IT has been improved, and the treatment of the plane in Chapter V has been changed. PREFACE TO THE NEW EDITION In this edition additional exercises have been inserted at the end of most chapters. Also, in Chapter VI, certain proofs have been made more rigorous; namely, that for the existence of the” definite integral and that for the possibility of differentiating under the integral sign a definite integral with upper limit infinity. Al) the typégraphical errors that have been discovered have been corrected. FREDERICK 8S. WOODSCONTENTS CHAPTER I. PRELIMINARY SECTION PAGE 1, Functions a 1 @. Continuity rae ts teeter cae Outhe derivatives se 5 4: Composite tuncone Gcegr rc eres recoded a 7 bi Rolle's theorem gags ees i G: Theorems of the mean 2c: cee ecg eg ee esas 8 7. Taylor's series with aremainder 2... 1... 1 ee ee ee 10 S.Vhe form sree 16 9. TheformS 2... ee 16 10. Other indeterminate forms... 2.2... 22 ee eee 18 11. Infinitesimals. . . . 19 42. Fundamental theorems on infinitesimals | 5). ls. 22 13. Some geometric theorems involving infinitesimals .. . . 2... . 23 14. The first differential - 28 15. Higher differentials 29 16. Change of variable 82 CHAPTER II. POWER SERIES Ni Denton 38 18, Comparison teat for convergence ©. 2... 1. ee 40 119: Thelratio. test for convergence (act tse cnt teas 41 20. Region of convergence 42 21, Uniform convergence 45 22. Function defined by a power series AB 23, Integral and derivative of a power series... 2... 46 24. Taylor’sseries 2. 2... : 48 26. Operations with two power series . 61 26. The exponential and trigonometric functions... . 2... . 68 27. Hyperbolic functions 55 28. Dominant functions 57 29. Conditionally convergent series 58 CHAPTER III. PARTIAL DIFFERENTIATION 80, Functions of two or more variables 2.2... 2... Le 65 OL Partial detivatives 66 a2) Order iol differentiation: re + 68 88. Differentiation of composite functions»... 2... ee 69 vvi CONTENTS SECTION 84, Euler’s theorem on homogeneous functions ..........~. 35. 36. 37. 38. 39. 40. 41. 42. 43. 44, 45. 47. 49, 51. 54. 55. 56. 57. 59. 60. . Planes . Maxima and minima . The Gamma function Directional derivative The first differential Higher differentials. 2. ee Toei ee CHAPTER IV. IMPLICIT FUNCTIONS One equation, two variables. =. ee ‘One equation, more than two variables ‘Two equations, four variables ‘Three equations, six variables 2 The generalcase 2 2 1. ee ee Jacobians CHAPTER V. APPLICATIONS TO GEOMETRY Element of are SSeaghtline OUTROS eee ees Behavior of a surface near a point Cirvesee esas teeeccea tans Secret ereteaaet eae stere tart . Curvatureand tormion 2g 2 et tt tt et . Curvilinear codrdinates CHAPTER VI. THE DEFINITE INTEGRAL Denton xitonce roots Properties of definite integrals... 0... ee ee Evaluation of a definite integral Lee Gimpeonte rules Change of variables 2 ee Differentiation of a definite integral . 2... 0... 2.400. . Integration under the integral sign... 2... 1. wee finfnite lint ee ee . Differentiation and integration of an integral with an infinite limit . Infinite integrand 2 ee . Certain definite integrals 6. 0... ee Multiple integrale ee i CHAPTER VII. THE GAMMA AND BETA FUNCTIONS The Beta tancon ers Dirichlet’s integrals Special relations»... 2...CONTENTS ix CHAPTER XVI. ELLIPTIC INTEGRALS sRCTION PAGE isi Ineoducion 365 152, The functions sn u, en u, dn u a 867, 158. Application to the pendulum 369 164, Formulas of differentiation and series expansion... . . 871 155. Addition formulas. 2... 2.2... 372 166 The periods 378 167.Limiting cases 1. 815 158. Elliptic integrals in the complex plane... 2... 1. 376 159. Elliptic integrals of the second kind and of the third kind |... 379 160: The function pa) 381 let Applications 882 ANSWERS... ... a 387 INDEX 396ADVANCED CALCULUS CHAPTER I PRELIMINARY 1. Functions. A quantity y is said to be a function of a quan- tity x if the value of y is determined when the value of x is given. Elementary examples are the familiar algebraic, trigonometric, logarithmic, and exponential functions by means of which y is explicitly given in terms of x. Such explicit formulation, how- ever, is not necessary to the idea of a function. For example, y may be the number of cents of postage on a letter and z the number of ounces in its weight, or y may be defined as the largest prime number which is smaller than any number a, or y may be defined as equal to 0 if x is a rational number and equal to 1 if x is an irrational number. ~ It should be-noticed, moreover, that even when an explicit formulation in elementary functions is possible, y need not be defined by the same formula for all values of x. For example, consider a spherical shell of inner radius a and outer radius 6 composed of matter of density p. Let x be the dis- tance of a point from the center of the shell and y the gravita- tional potential due to the shell. Then y is a function of x with the following formulation : y = 2 1p(b?—a”) when x =a, 2 v= 2 xe(s?— 2) —Ste8 when azz=b, () eo —a®) when z>0b. y= 3 So we may at pleasure build up an arbitrary function of x. For example, let y = f(x), where f(z) =42? when 0<2 <1, f(z)=4% when z=1, (2) f(@~)=42+1 when x>1, 12 PRELIMINARY We shall say. that values of x which lie between a and 0 deter- mine an interval (a, b). The interval may or may not include the values a and b, according to the con- y text. In general, however, the inter- vals (a, b) will mean the values of x defined by the statement a=x=b. The student is suppesed to be fa- miliar with the representation of a function by a graph. Such a repre- sentation is usually possible for the functions we shall handle in this book, Fic. 1 although it is impossible for the func- tion mentioned in the third example of this section. The in- terval (a, b) appears in the graph as the portion of the axis of x between.z = a and x = 6, and it will be y f { } }. 1 i t f , ' t ' ' b convenient to speak of a point of the interval, meaning a value of x in the interval. Then x=a and «=b are the end-points of the interval. As men- tioned above, the interval may or may not have end-points. = The graph of the potential function in (D is the curve of Fig. 1. The graph has no breaks and the function is continuous Fie. 2 (§ 2), but the character of the curve and of the function is different in the three intervals considered. The graph of the function in (2) is the curve of Fig. 2. This graph has a break at the point for which x = 1. 2. Continuity. A function f(x) is continuous when x =a for which S(@) is defined if ~X Lim [f(a +h) —f(a)]=0, qa) or, otherwise expressed, if Lim f(a +h) = fa), @) where in either formula the limit is independent of the manner in which h approaches 0. Since h is an increment added to a, and f(a +h) — f(a) is the corresponding increment of f(a), we may express this definition as follows: A function of x is continuous for a given value of x if the increment of the function approaches zero as the increment of x approaches zero.CONTINUITY 3 A more cumbersome definition, but one which brings out the full meaning of equation (1), is as follows: f(x) is continuous for “2=a when if € is any assigned positive quantity, no matter how small, it is possible to determine another positive quantity 5 so- that the difference in absolute value between f(a+h) and f(a) shall be less than ¢ for all values of h numerically less than 6; that is, \fat+h)—f(a)| M for |h!} <6. The definition “ continuity cannot then be satisfied for z = a. For example, the functions — ig. 4) and 7 1 ig. 5) are each Fie. 3 Fig. 4 discontinuous for x = 0. as is shown by the brea i in eech of the curves representing the functions.4 PRELIMINARY The following theorems are of fundamental importance in handling continuous functions: 7 1. If f(a) is continuous at all points of an interval (a, b), it is possible to find a positive number 5 such that in all subin- tervals of (a, b) less than 6 the absolute value of the difference between any two values of f(x) is less than € when € is a positive quantity given in advance. We shall not give a formal proof. It is not difficult to see that if these theo- rems were not true, definition (3) for continuity must fail for at least one point of (a,b), Because of the property o x stated in the theorem, f(x) is said to be uniformly continuous in (a, b). 1. If f(x) is continuous for all values of x between a and b inclu~ y sive, if f(a) = A and f(b) = B, and if N is any valug between A and B, then f(£) = N for at least one value of E between a and.b. Fie. 5 IIT, If f(x) is continuous for all values of x between a and b inclu- sive, then f(x) has a largest value M for at least one value of x betweena Y and b and a smallest value m for at least some other value of «x between a and b. These theorems seem to be inherent in the very nature of continuity and are graphically evident from Figs. 6, 7, and 8. As a matter of fact, how- ever, they are not self-evident and Fig. 8DERIVATIVE 5 are capable of rigorous proof. These proofs lie outside the range of this book and will not be given here. The difference between the maximum and minimum values of f(x) in the interval (q, 6) is called the oscillation of f(z). We can say from I, IV. If f(x) 78 continuous in (a, b), it 1s possible to find a positive number 6 so that in every interval in (a, b) less than 6 the oscillation of f(x) is less than «. 8. The derivative. A function f(x) is said to have a derivative for x =a if the expression a+ h) — f(a) A approaches a limit as h approaches zero in any manner whatever. This limit is called the derivative for «=a and is denoted by Looe pos f(a) (1) =f@. @) In order that the derivative should exist it is necessary that f(x) should be continuous when x = a, for otherwise the fraction (1) would not approach a limit. This condition is not sufficient, as may be seen by considering the function defined by the equations en Aa f(a) =x sin ] when «#40, (8) SO) a As x — 0, sin = oscillates infinitely often between + 1 and —1, but zsin = — 0. Hence the function is continuous for += 0. Using this function in the fraction (1) with a=0, we have 7 hsin a 0 aint h ah and sin 7 does not approach a limit as h-+0. Hence the func- tion has no derivative when x = 0. In 1872 Weierstrass gave the explicit statement of a siiaraiel which has for all values of z the property which sin = has for 2 =0, so that it is known now that a continuous fumetion does not necessarily possess a derivative. Hence when a new function appears in analysis it is necessary to inquire first whether it is6 PRELIMINARY continuous and, secondly, whether it has a derivative. It is only functions which possess these two properties that are of interest in this book. We have discussed the derivative of f(x) for a value a of z. If f(z) has a derivative at each point of an interval, there is thus defined a new function f'(x) by the formula $e) = Lim EDI), 4) hoo h Similarly, we define f” (w) as the derivative of f’() or the second derivative of f(x), f’’() as the derivative of f’’(x), and so on. It is assumed from this point that the student is familiar with the elemeniary process of differentiation. The proof of these ele- mentary processes involves implicitly the proof of the continuity of the function and the existence of the derivative. The student is also assumed to be familiar with the fact that if a function is represented by a graph the derivative gives the slope of the tan- gent line to the graph. ‘The graph of the function =asin™ xz is given in Fig. 9 for positive values of z. For negative values of « the curve is reflected on the line OY. Ji is of course impossible to draw the curve in the close ¥ neighborhood of the point O; but it is clear that if O be joined to any other point P of the curve, the line OP oscillates through an angle of 90°. The curve there~ fore has no tangent line at 0. Th Weierstrass function men- tioned above is represented by a curve which has no breaks, but has no tangent (that is, no definite direction) at any point. These examples illustrate the fact that a graph is at best merely a rough way to represent 2 function, and that conclusions drawn merely from the graph may be erroneous. The graphs are helpful in understanding or formulating a theorem, but an analytic proof is always neressary for rigor. Fic.9 *ROLLE’S THEOREM qT 4. Composite functions. Let y = f(x) be a function of x and let x= o(t). Then, by definition of a function y= F(t). Let tbe given an increment h and let the corresponding increment of x be k. be k= o+h) — 000. if @ is a continuous function of t, k > 0ash—0. Now FO =y=f@), FE+h) =feth, sinoe h and k are corresponding increments of t and x. Therefore FO+h) — FO =fet+h) —f@); whence Lim (Fd+h)-—FOI= Lim Che+k) — f(a). Therefore, if f(x) is a continuous function, Lim [F@+ h) — FO} =0. Hence if y is a continuous function of « and x is a continuous function of t, then y is a continuous function of ¢. Let us now form the quotients F+W = FO Seth fe) i = core — f@) eee o) , whence, by § 8, on taking the a FO =f @)- oO. a) 5. Rolle’s theorem: If f(a)=0, and f(b) =0, then there is some value & between a and b for which f’(~) = 0, provided f(x) is continuous in the interval a = x = bandhasaderiva- Y¥ tive for all values of x between a and b. By theorem III, §2, f(z) has a maximum M and a minimum m in the interval (a, b). If both M and m are zero, f(x) is always zero, its L x derivative is zero (by (2), §3), and ol é the theorem is proved. Suppose that M is not zero, as in Fig. 10, and let f() = Then E+ -JO© fE+h —fE) is negative. Hence ae a Fig. 108 PRELIMINARY is positive when h is negative, and is negative when h is positive. But, by hypothesis, fE +h) —1© h approaches a limit f’(£), which is independent of the sign of h. fa SO =0. Again if M=0 but m < 0, as in Fig. 11, the same argument applies. y The student should notice that the condition that f(z) should have a deriva- tive rules out such graphs as shown in Figs. 12 and 18, for in neither case is there a derivative in the strict sense of the definition when x=c. It is true that in Fig. 12 we may speak of a left-hand derivative and a right-hand derivative, but in so doing we modify the defini- Fie. 11 tion by first restricting h to negative ‘ values and afterwards réstricting h to positive values. In Fig. 13 we may write f"(c)=00, but again the limit of L¢+#) —SO does not exist in the sense of having a definite value. Y Yy oy @ tba ofa ¢ be Fie. 12 Fig. 13 6. Theorem of the mean. J. If f(x) is continuous in the interval a = x = band has a derivative between x =a and x = b, then : $0) — f(a) = (b — a)f'(€), wherea 0 as h—>0, so does | F(z +h) — F(z)|—>0, and - b Fe) =r) O10. Now F(a) =0 inn F(b) = as is seen by direct substitu- tion. Hence, by Rolle’s theorem, F’(é) = 0 for some & between a and b. Thatis, ro -2 From this it follows at once that f(b) =f) + (b—afid), @<& <>) ay which is the theorem to be proved. In (1) we may write £ = a+ 6(b— a), where @ is an unknown proper fraction, and have f(b) =f@) + (b—a)flat+ 6b—a)} (a, ¢«+a—>2a; therefore w: —a? f this fraction is y, by definition, that the value of when «=a is 2a. To obtain a general method for finding this limit we begin by applying Rolle’s theorem to the function (a) JR LO. (0) — o(0)] Ue) ~ Fh (8) — which obviously vashes when x = @ and when « LO) —fa) _ fe) 60) 6@) #®" In (1) let f(a) = 0, eee =0,and b=. We have Hence @<& a, £—» a, and therefore im Jee im £® ot aay eae)16 PRELIMINARY Now unless f’(a) = 0 and ¢/(a) == 0 we have the result f(z) _ f@, oe $e) ~ oa) If, however, f(a) =0 and ¢’(a)=0, we must apply (3) again with the result Se) _ £® _ 7"@ Lim Lim —— = zea @(n) eae GE) o"(@) unless f(a) = 0 and $’(a)= 90. In the latter case formula (8) must be applied again. We may sum up in a rule known as L’Hospital’s rule. (4) To find the value of a fraction which takes the Jorm 6 7 when x = a, replace the numerator and the denominator each by its as and substitute «=a. If the new fraction is also repeat the process. For example, e—2costt+e* .. e%+2sinr—e7* Lim ——.—— = Lim 40 © sin x z+0 sinz+2cosx @+2cosa+e™ |= Zeosz—asinz Jeno 9. The form 2. Consider the fraction S@) $2)’ and let f(a) = % and ¢(a) = % by hypothesis. The value of the fraction for x = a is then defined as the limit approached by the value of the fraction as x increases without limit. We shall prove that L’Hospital’s rule holds also for a fraction which takes the form =. We shali first take the case in which a = 0. From (1), § 8, we may write Sa) -fo _ f£@ $(z) — d(e) o'(E)” where c is a large but finite value of x. From (1) we derive, by simple algebra, (6) fa) _£@ _ o@), o@) $@ 1 _ FO f(z) ( <& <2) qa) (2)INDETERMINATE FORMS 17 We shall now assume that oe has a te Aas E> o. He may consequently take ¢ so large that TO and therefore differs from A by less than any assigned positive quantity «. This fixes c. Then f(c) and $(c) are finite, and x may be taken so large that A ©) a fo) differs from unity by less than any assigned positive quantity €2. We then Mave, from (2), Sx) =(A+m)(1+ m2), where Imf <4). [ml Then, by L’Hospital’s rule, as ne"-2— n(n —2)0"-4 a a Proceeding in this way it appears that eventually x will dis- appear from the numerator of the fraction, no matter what n is, and therefore Lim 2"e-2? = 0. z0 Again, the difference sec x — tan x becomes 0 — 0 when z= 1—sinz cos © , nla But sec —tan x= which becomes 2 when z=. Therefore 0 2 Lim (sec x — tan z) = Lim —. i ue ie aE cos x 2 An expression of the type Lar? may, when x = a, give rise to forms 0°, «0° 1°,INDETERMINATE FORMS 19 and the like. Such an expression may be reduced to a type 2 0 or 2 = by the use of logarithms. Thus, we write u =a. Then log u = $(a) - log f(x). if Lim (a) - log f(z) can be found by the previous methods, the limit approached by w can be found Considerasanexample (1— 2)? when «= 0. A plausible procedure would be to place « = 0 and, obtaining 1°, to say that this is 1 since any power of lis 1. But. this would ignore the fact that we are interested in the limit of 1 (1 — 2)? as x approaches 0, which we have defined as the value of -the function when x= 0. We therefore write 1 u=(1—2)*, eek log (1 — x) 1 == log (1-2) =—-——.. log u 2 log (. a) iB By L’Hospital’s rule, , log (1 Lim mC) ae 40 Therefore ~ Lim _ u=-1, 240 and Lim u =e! 240 11. Infinitesimals. An infinitesimal is defined as a variable which approaches zero as a limit, When two or more infinitesimals ap- proach zero at the same time, they may be compared by consider- ing their ratios. We say an infinitesimal @ is of the same order as an infinitesimal aif B Lim — a k, a) where k is a finite quantity different from zero. An infinitesimal 6 is.of higher order than an infinitesimal o if Lim 80, 2) 720 PRELIMINARY As an example, consider an infinitesimal angle a (represented in Fig. 15) and describe an are of a circle PQ of radius unity. Let B=PN=sina, P y=NQ=1-cosa. By a well-known theorem which is used in deriving the formula for the derivative of sin 2, Lim == a Fig. 15 Therefore PN is of the same order as a. Also Lim 2 = Lim oe Hence ¥ is of higher order than a. A measure of an order of an infinitesimal may be given as fol- lows. If @ is taken as an infinitesimal of the first order, then a’, a3, at,--- are called infinitesimals of the second, third, and fourth orders, respectively, and £ is an infinitesimal of mth order with respect to a, where 7 is positive, if Aus ae 8) where k is a finite quantity not zero. For example, consider y = N@ of Fig. 15. We have i—ecosa_ 1 ren a Therefore NQ is of the second order with respect to a. Equations (1) and (8) lead to the forms B=ka+ae, (4) B=ka"®+a"e, 6) respectively, where € is another infinitesimal. In each case the first term on the right of the equation is called the principal part of the infinitesimal. An infinitesimal and its principal part are obviously of the same order and differ by an infinitesimal of higher order than either of them. If we denote by 3; the principal part of 8, formulas (4) and (5) become € B=h + Big = Bi + Bie. (6)INFINITESIMALS 21 Theré are two convenient ways to determine the order of an infinitesimal 6 with respect to a: One is to evaluate Lim ie «40 a” by L’Hospital’s rule, so choosing that the limit is finite and not zero. A more expeditious way, when £ can be placed equal to a function of a, is to expand 8 = f(a) by Maclaurin’s series ; then, if B= ka" + katt! + R= ko" + ka"! + o"+2p, we have ‘ & =k+ha+a?P a Lim a k, «+0 a” which shows that the degree of the first term in the expansion of 8 determines the order of 8. We shall illustrate these methods by inquiring by what order of infini- tesimals an infinitesimal arc of a circle exceeds its chord. In a circle of radius a and center O (Fig. 16) let AB be an infinitesimal arc and AB its infinitesimal chord. Draw the radii OA and OB, and draw ODC perpendicular to AB. Let the angle BOC=9@. Then AB = 208, Fic. 16 AB = 2asin 6, and : AB — AB =200 —2asin 0. Take AB as the a of our general discussion, and let B= AB — AB. We have Lim 8 = Lim 2089 =2e8in 8 «9, 20% 040 200 Hence 8 is of higher order than a. Similarly, Lim £ =0, Lim 8 1 , ono Dba? and therefore 6 is of the thitd order with respect to a.