Chapter 1 Lecture Notes
Chapter 1 Lecture Notes
Chapter 1 Lecture Notes
j.zika@unsw.edu.au
Chapter 1: Reals, exponential, and hyperbolic
functions
Key ideas:
• Fundamental properties of the real numbers
• Supremum and infimum of sets
• Fixing standard notation
• Some standard functions you already know
• Some new functions like cosh and sinh.
References:
• Purple MATH 1131/1141 notes: Chapter 1 (mainly
revision), §6.1–6.5, §9.2-3, Chapter 10
• Salas, Hille & Etgen: §11.1, Chapter 7.
A fundamental question
Potential answers:
1. points on the number line
2. all possible decimal expansions
0.333 · · · + 0.666 · · · = 0.999 . . . ?
A fundamental question
Why? We want to be able to say
1. If I walk across the lecture theatre, at some moment I am
half way across.
2. If Tesla shares were at USD705.67 at the end of 2020 and
were USD839.81 at the beginning of February 2021, then
at some point in January 2021, they hit USD800.00???
3. If I drive 180 km in 2 hours then at some moment I was
doing exactly 90 km per hour.
The truth of these statements depends on knowing that
• there are no ‘holes’ in the real numbers
• the ‘function values’ vary continuously with the input.
To make these precise (and to understand where they may be
problems in applying these ideas in Finance), we need some
careful definitions!
An example
Consider the sequence
of rational numbers
1 n
xn = 1 + , n = 1, 2, 3, . . . .
n
The first 6 terms of the sequence are
9 64 625 7776 117649
2, , , , , , ...
4 27 256 3125 46656
or
2, 2.25, 2.3703703, 2.4414062, 2.48832, 2.5216263, . . .
(xn is the value after 1 year of $1 invested at 100% p.a., with
interest compounded n times a year.)
Question: (Bernoulli, circa 1680)
What happens to xn as n → ∞?
Does it grow without bound?
Does it converge to some limit?
Is the limit another rational?
The reals
The reason that I know that the sequence xn converges to
something is that the sequence is
• increasing (ie x1 < x2 < x3 . . . ), and
• bounded above (eg xn < 3 for every n).
Challenge: Prove these facts.
Theorem
Every increasing sequence of real numbers which is bounded
above converges to a real limit.
Example
• 123982739821859 is an element of the set of all prime
numbers
• The colour blue is not an element of the set of academic
staff at UNSW
• Paradox: A hairdresser cuts the hair of every person in
Broken Hill who doesn’t cut their own hair. Is the
hairdresser an element of the set of people who has their
hair cut by the hairdresser?
Set notation
For small sets, you can list the elements inside curly brackets
(or braces), eg
Definition
Suppose that A and B are two sets. If every element of A is also
an element of B then A is called a subset of B. We write A ⊆ B.
• [a, b] = {x ∈ R : a ≤ x ≤ b}
• [a, b) = {x ∈ R : a ≤ x < b}
• (a, b] = {x ∈ R : a < x ≤ b}
• (a, ∞) = {x ∈ R : a < x}
• (−∞, b] = {x ∈ R : x ≤ b}
The real numbers
x ≤M for all x ∈ S.
S M
M is called an upper bound of S.
Definition
A set S in an ordered set (F , 4) is said to be bounded above if
there exists M ∈ F such that
x 4M for all x ∈ S.
The real numbers
Example
Let F = Q. Let S = {3, 3.1, 3.14, 3.141, 3.1415, . . . } ⊆ Q.
There are lots of upper bounds for S, eg 4, 3.2, 3.15,. . . , but
there is not a smallest one in Q. (In R, sup S = π)
The real numbers
Theorem
There is an ordered field with the least upper bound property —
and it is unique. We call this field the real numbers, R.
{1, 2, 3, 4, 5, 6, . . . }
m
{I, II, III, IV , V , VI, . . . }
Modulo this translation, all the properties in the two fields would
match up.
Bottom line: When we prove things our starting point is the
fact that R is an ordered field with the LUBP.
Examples
The concepts supremum and infimum are very important!
Sometimes explicitly finding sup S is easy. Sometimes it is hard!
Note: If S has a largest element, then sup S is that element.
Example
Find sup S for the following sets (in R).
1. S1 = [0, 1].
2. S2 = (2, 3).
3. S3 = set of primes less than 10100 .
4. S4 = {sin k : k ∈ Z}.
n o
5. S5 = 1, 1 + 12 , 1 + 12 + 14 , 1 + 21 + 14 + 18 , . . . .
n o
6. S6 = 1, 1 + 213 , 1 + 213 + 313 , 1 + 213 + 313 + 413 , . . . .
Functions
A typical finance problem would be to calculate the expected
value of some portfolio of shares at some future time.
This involves a more complicated type of function than the ones
you usually met in high school. The inputs to this function are
1. A set H of shares and holdings (100 BHP shares, 200 ANZ
shares, . . . )
2. A time t
3. (possibly) economic data such as interest rates etc
and the function outputs a number.
For us, a function won’t be a formula (like x 2 − 2), but
• A set of allowable inputs
• A set of possible outputs
• Some rule for specifying what the output is for any given
input.
Domains and codomains
Where it is important to avoid misunderstanding, you should
specify a function f by giving
• A domain, or set of allowable inputs,
• A codomain, or set of allowable outputs,
• A rule for saying which output comes from each input.
Domains and codomains
Notation: If we write f : A → B, we mean that f is a function
with domain A and codomain B.
Example: Visualize f : A → B where:
Domain A = {1, 2, 3, 4},
Codomain B = {1, 2, . . . , 10},
Rule f (x) = 2x + 1.
Ran(f ) 3
2 f : R → [0, ∞)
codomain
domain
Definition
Suppose that f : A → B. If Ran(f ) = B then we shall say that f
in onto (or surjective).
Definition
Suppose that f : A → B.
• If Ran(f ) = B then we shall say that f in onto (or surjective).
• If f (x) = y has at most one solution for every y ∈ B, then
we shall say that f is one-to-one (or injective).
Note that
f : A → B is one-to-one
⇐⇒ f (x) = f (y ) implies x = y (∗)
⇐⇒ x 6= y implies f (x) 6= f (y )
Usually in proofs you use (∗).
Example
Prove that f : R → R, f (x) = x 3 + x is one-to-one.
Solution. Suppose that f (x) = f (y ).
Invertibility
Definition
If f : A → B is both one-to-one and onto then we say that it is a
bijection.
Theorem
Suppose that f : (a, b) → (c, d) is a continuous invertible
function, and suppose that f is differentiable at
x0 = f −1 (y0 ) ∈ (a, b) with f 0 (x0 ) 6= 0.
Then f −1 is differentiable at y0 and
0 1 1
f −1 (y0 ) = 0 −1 = 0 .
f (f (y0 )) f (x0 )
Properties:
• exp is continuous and
differentiable on R.
d x
• e = ex > 0
dx
for all x ∈ R.
• Hence exp is increasing.
• exp : R → (0, ∞) is
one-to-one and onto, and
hence is invertible.
The Exponential Function
To justify these statements you need to define precisely what
ex means!
Possible definitions:
• Function s.t. f 0 (x) = f (x) and f (0) = 1? Does this exist??
• Use the Least Upper Bound Property to show that if x ≥ 0,
n
then 1 + xn is an increasing bounded sequence, and
hence has a limit, which we’ll call exp(x).
• Show that
2 3
1 + x + x2! + x3! + . . .
converges for every x ∈ R and call this exp(x).
• Use some sort of rational approximation definition???
The problem is that proving the properties from these
definitions is not very pleasant.
A much better way is to define the logarithm function first, and
then define exp as its inverse function!
The Logarithm function
Definition
The (natural) logarithm
Z x is the function `n : (0, ∞) → R
1
`n x = dt, x ∈ (0, ∞).
1 t
Definition
The exponential function exp : R → (0, ∞) is the inverse
function to `n.
Example
Use this definition, the properties of `n, and the Inverse
Function Theorem to show that exp is differentiable and that
d
exp(x) = exp(x), x ∈ R.
dx
The Exponential Function II
Example
Let e = exp(1). Prove that 2 < e < 4. (Can you do better?)
Area = π
1
y= t
1 T = eπ t
Z T
1
eπ is the number T on the t axis so that `n T = dt = π.
1 t
Hyperbolic functions
Please watch the youtube video on hyperbolic functions.
This video explains basic definitions and properties, which will
be skipped over in lectures to allow more time for new
concepts.
Z
dx
Question: What is √ ?
x2 + 25
The answers to both these questions involve a family of
functions known as the hyperbolic functions.
Hyperbolic functions
Properties
1) Obviously cosh and sinh are differentiable.
d
cosh x = .
dx
d
sinh x = .
dx
2) Symmetry
cosh(−x) = cosh x, sinh(−x) = − sinh x.
Hyperbolic functions
One of the most important differential equations in physics is
that for simple harmonic motion:
d 2y
+ y = 0.
dx 2
The general solution to this is
y = α1 cos x + α2 sin x.
y = sinh x
y = 12 ex
−2
y = − 12 e−x
2 x
−3
ex + e−x
cosh x =
2
As x → ∞, cosh x ∼ 12 ex → ∞.
As x → −∞, cosh x ∼ 12 e−x → ∞.
d
cosh 0 = 1 and sinh x = dx cosh x > 0 for x > 0, so cosh x > 1 for
x > 0.
Remember cosh(−x) = cosh x. Thus the graph of cosh looks
like:
y
3 y = cosh x
y = 12 ex y = 12 e−x
−2 2 x
The Catenary Curve
The graph of the cosh function is a curve known as a catenary.
This is the shape that a chain assumes when it it hangs under
its own weight:
1 x
y = −x
Hyperbolic identities
t t
A(t) = π · = .
2π 2
Remarkably the same thing happens for the hyperbolic
functions:
y
t
γ(t) = (cosh t, sinh t) Shaded area = A(t) =
2
1 x
Hyperbolic identities
3. sinh2 x = 1
2 (cosh(2x) − 1).
(Compare this to sin2 x = 1
2 (1 − cos(2x)).)
Hyperbolic functions
To keep with the analogy we define the other hyperbolic
functions:
sinh x ex − e−x
tanh x := = x
cosh x e + e−x
cosh x
coth x := , (x 6= 0)
sinh x
1
sech x :=
cosh x
1
cosech x := , (x 6= 0).
sinh x
Of course, from cosh2 x − sinh2 x = 1 we get
1 − tanh2 x = sech2 x,
coth2 x − 1 = cosech2 x.
Hyperbolic functions
sinh x ex − e−x
Example. Sketch y = tanh x = = x .
cosh x e + e−x
Note that as x → ∞,
As x → −∞,
d d sinh x
tanh x =
dx dx cosh x
cosh x · cosh x − sinh x · sinh x
=
cosh2 x
1
= 2
= sech2 x.
cosh x
Note that cosh x ≥ 1 so 0 < sech2 x ≤ 1.
In particular, tanh x is increasing.
Finally, tanh x = 0 ⇐⇒ x = 0.
Hyperbolic functions
y
1
y = tanh x
−3 3 x
−1
1
What about y = cosechx = ?
sinh x
Hyperbolic functions
d
We saw above that tanh x = sech2 x.
dx
Similar calculations give the derivatives of the remaining
hyperbolic functions:
d
sech x = −sech x tanh x
dx
d
cosech x = −cosech x coth x
dx
d
coth x = −cosech2 x .
dx
You don’t particularly need to remember all these are they are
easy to work out using the derivatives of cosh and sinh.
Inverse hyperbolic functions
Recall the graphs of sinh and tanh are increasing functions and
hence are one-to-one.
cosh however is not one-to-one and so we need to restrict the
domain to [0, ∞).
For inverses then we are dealing with
cosh : [0, ∞) → [1, ∞), cosh−1 : [1, ∞) → [0, ∞)
sinh : R → R, sinh−1 : R → R
tanh : R → (−1, 1), tanh−1 : (−1, 1) → R.
Of course we can get the graphs of these functions by just
reflecting the graphs of cosh, sinh and tanh.
Inverse hyperbolic sine
y
y sinh−1 x
1 sinh x 1
1 x 1 x
ex − e−x
y = sinh x ⇐⇒ y =
2
⇐⇒ ex − 2y − e−x = 0
2
⇐⇒ ex − 2yex − 1 = 0
√
x 2y ± 4y 2 +4 p
⇐⇒ e = 2 = y ± y2 + 1
p
⇐⇒ x
e =y+ p y2 + 1
⇐⇒ x = `n y + y 2 + 1 = sinh−1 y .
Inverse hyperbolic cosine
y y
cosh−1 x
1 cosh x
x 1 x
tanh−1 x
y
1
tanh x −1
x 1 x
−1
−1 1 1+x
Here we have: tanh x = `n , x ∈ (−1, 1).
2 1−x
Hyperbolic functions
d 1
sinh−1 x = √
dx 2
x +1
d 1
cosh−1 x = √
dx x2 − 1
d 1
tanh−1 x =
dx 1 − x2
Thus, the inverse hyperbolic functions provide antiderivatives
for some relatively simple functions which we otherwise can’t
integrate.
Hyperbolic functions
There are two ways to prove these:
1. use the formulae in terms of `n on the previous slide, and a
bit of algebra.
2. use the Inverse Function Theorem:
Suppose that y = sinh−1 x and so sinh y = x.
Differentiating gives
dy
cosh y =1
dx
and so
dy 1 1
= = .
dx cosh y cosh(sinh−1 x)
To complete the calculation
p you need to know that
2
cosh t = sinh t + 1
and so p
cosh(sinh−1 x) = x 2 + 1.
Hyperbolic functions
Z
dx
Example. Find I = √ .
x2 + 4
Option 1. (Using
Z standard integral tables)
dx
I= p
2 (x/2)2 + 1
Z (put u = x/2, so dx = 2du)
du
= √
u2 + 1
.
Option 2. (By more direct substitution)
Write p
x = 2 sinh u, so
p dx = 2 cosh u du.
Then x + 4 = 2 sinh2 u + 1 = 2 cosh u
2
and so
Hyperbolic functions
Z
dx
Example. Find I = .
4x − 3 − x 2
Chapter summary