5.2 Convergence of series

Properties of series. Assuming an,bn is convergent, then

Theorem 5.2.1 (Cauchy Criterion) Assuming (V,) is complete (any Cauchy sequence in V is convergent), then n=1+an is convergent if and only if {SN} is a Cauchy sequence, i.e. ϵ>0, Nϵ s.t. NNϵ, p1, SN+pSN<ϵ, i.e. aN+1++aN+p<ϵ.

Corollary 5.2.2 (R,||) and (C,||) are both complete, so n=1+an is convergent it satisfies Cauchy condition.

Corollary 5.2.3 If n=1+an is convergent, then limn+an=0.

Example 5.2.1 n=0+xn,xC is divergent when |x|1, since |xn|=|x|n1. So xn is convergent if and only if |x|<1.

Definition 5.2.4 Series n=1+an is absolutely convergent if n=1+an is convergent.

Definition 5.2.5 Series n=1+an is conditionally convergent if it’s convergent yet not absolutely convergent.

Theorem 5.2.6 Absolutely convergent series is convergent.

Proof Proved by Cauchy. Assuming n=1+an is absolutely convergent, ϵ>0, Nϵ such that NNϵ, p1, we have aN+1++aN+p<ϵ. So

∥a     + ⋅⋅⋅ + a   ∥ ≤ ∥a    ∥ + ⋅⋅⋅ + ∥a    ∥ < 𝜖
   N+1          N+p       N+1            N+p

meaning n=1+an is convergent.

Theorem 5.2.7 (Comparison test) If N0 s.t. nN0, anbn, then

  • If n=1+bn is convergent, then n=1+an is convergent.
  • If n=1+an is divergent, then n=1+bn is divergent.

Proof Proved by Cauchy. Assuming n=1+bn is absolutely convergent, ϵ>0, Nϵ such that NNϵ, p1, we have bN+1++bN+p<ϵ. So

∥aN+1 ∥ + ⋅⋅⋅ + ∥aN+p ∥ ≤ ∥bN+1∥ + ⋅⋅⋅ + ∥bN+p∥ <  𝜖

meaning n=1+an is absolutely convergent.

Corollary 5.2.8 If aN=O(bN),N+, if bn is convergent, then an is convergent.

Proof M0,N0 such that nN0, anM0bn. Then it’s left as exercise. :)

Note

Theorem 5.2.9 (D’Alembert) Assuming

  lim  ∥an+1-∥ = ρ
n→+ ∞   ∥an∥

then

  • If ρ<1, an is absolutely convergent.
  • If ρ>1, an is divergent.

Proof

  • When ρ<1, take r(ρ,1), we have

           ∥an+1∥
  lim   -------< r
n→+ ∞   ∥an∥

    then N0 such that nN0, an+1an<r. Hence,

    ∥a ∥ = -∥an-∥- ⋅ ⋅⋅⋅ ⋅ ∥aN0+1-∥∥a ∥ ≤ ∥a  ∥rn−N0
  n    ∥an −1∥        ∥aN0∥    N0      N0

    meaning an=O(rn),n+. n=1+rn is convergent, so n=1+an is convergent.

  • When ρ>1, N0 such that nN0, an+1an>1, then anaN0>0, meaning an is divergent.

Theorem 5.2.10 (Cauchy root) Assuming

      ∘  -----
  lim   n ∥an∥ = ρ
n→+ ∞

then

  • If ρ<1, an is absolutely convergent.
  • If ρ>1, an is divergent.

Proof

  • When ρ<1, take r(ρ,1), we have

           ∘ -----
  lim   n ∥an∥ < r
n→+ ∞

    then N0 such that nN0, ann<r, i.e. an<rn. So n=1+an is convergent.

  • Left as exercise. :)

Example 5.2.2 Assuming an=xnn! where xC or x is a square matrix. Notice that

              xn            ∥x∥n
∥an ∥ = ∖left∥---∖right∥ ≤  -----= bn
               n!            n!

Since

bn+1    ∥x ∥  n→+ ∞
-----= ------ −−−−→  0 < 1
 bn    n +  1

According to D’Alembert, bn is convergent, so an is absolutely convergent.

Superior limit and inferior limit. Assuming {an} is bounded, {an} has convergent subsequences. The supremum of the limit of all convergent subsequences is called the superior limit, correspondingly the infimum of the limit of all convergent subsequences is called the inferior limit, marked as lim supn+an and lim infn+an.

Generally, we have

                          -----             -----
lim inf∥an+1-∥ ≤ lim  inf n∘ ∥a  ∥ ≤ lim sup ∘n ∥a ∥ ≤ lim  sup ∥an+1∥-
 n→+ ∞  ∥an ∥    n→+ ∞       n    n→+ ∞       n     n→+ ∞   ∥an∥

so Cauchy root criterion is stronger than D’Alembert criterion, yet D’Alembert criterion is easier to compute.

Theorem 5.2.11 (Integral criterion) Assuming f:[1,+)R is monotonously decreasing, f(x)>0, then n=1+f(n) is convergent 1+f(x)dx is convergent.

Example 5.2.3 1np where p>0. At this time both Cauchy root and D’Alembert criterion are both disabled. Yet 1xp monotonously decreases when p>0, and

∫ +∞  1
     ---dx
 1   xp

So

+∑∞  1
    -p-
n=1 n

Similarly, we could seek the convergence and divergence of

∑      1    ∑          1
    ------p,    -------------p,⋅⋅⋅
    n(ln n)      n lnn (ln ln n)

Example 5.2.4 Seek the convergence and divergence of n=1+[nln(2n+12n1)1] Notice that an=nln(2n+12n1)1=nln(1+12n)nln(112n)1=n[12n18n2+124n3+12n+18n2+124n3+o(1n3)]1=112n2+o(1n2)

Therefore an=O(1n2). Since n=1+1n2 is convergent, meaning n=1+an is convergent.

Notice that for n=1+1np is convergent when p>1, divergent when p1. Assuming an=1np, then anan+1=(n+1)pnp=(1+1n)p=1+pn+o(1n) indicating that p=n(anan+11)+o(1) This introduces Raabe criterion.

Theorem 5.2.12 (Raabe) Assuming limn+n(anan+11)=p then

1.

When p>1, n=1+an is absolutely convergent.

2.

When p<1, n=1+an is divergent.

Proof

1.

Take r,q such that 1<r<q<p, since limn+n(anan+11)=p>q meaning N1 such that nN1, n(anan+11)>q Since anan+1>1+qn>1+rn+o(1n)=(1+1n)r meaning N2>N1 such that nN2, anan+1>(1+1n)rnran>(n+1)ran+1an<N2raN2nr So an=O(1nr). Since n=1+1nr is convergent. n=1+an is convergent.

2.

Left as exercise. :)

Conditional convergence: n=1+an is convergent, yet n=1+an is divergent. For alternating series n=1+(1)nbn where bn0, we have Leibniz criterion.

Theorem 5.2.13 (Leibniz) Assuming bn0 and is monotonously non-increasing, then we have n=1+(1)nbn is convergent bn0.

Proof

PIC
Figure 5.1: Proof of Leibniz criterion

Example 5.2.5 n=1+(1)n1nα is convergence α>0. Seek the convergence and divergence of n=1+(1)n1nα+(1)n1 Notice that an=(1)n1nα+(1)n1=(1)n1nα[11+(1)n1nα]=(1)nnα[1(1)n1nα+o(1nα)]=(1)n1nα1n2α+o(1n2α)bn

Since limn+n2αbn=1, meaning n=1+1n2α and n=1+bn have the same convergence and divergence. So (1)n1nαbnα(0,0.5]C.C.D.V.α(0.5,1]C.C.A.C.α(1,+)A.C.A.C. Terminally, α(0,0.5], n=1an is divergent; α(0,5,1], n=1an is conditionally convergent; α(1,+), n=1an is absolutely convergent.

Dirichlet and Abel criterion.

Theorem 5.2.14 (Dirichlet/Abel) If {an}V,{bn}R satisfy one of the following condition,

  • (Dirichlet) AN=n=1Nan is bounded, bn monotonously goes to 0.
  • (Abel) n=1+an is convergent, bn is monotonous and bounded.

then n=1+anbn is convergent.

Proof

  • (Dirichlet) Assuming bn>0, otherwise consider bn. Notice that k=n+1n+pakbk=k=n+1n+p(AkAk1)bk=An+pbn+pAnbnk=n+1n+pAk1(bkbk1)k=n+1n+pakbkAn+p|bn+p|+An|bn|+k=n+1n+pAk1|bkbk1|Mbn+p+Mbn+k=n+1n+pM(bk1bk)=2Mbn0

    meaning {AN} is a Cauchy sequence, so n=1+anbn is convergent.

  • Dirichlet Abel. Let cn=bnlimn+bn=bnb, then cn monotonously goes to 0. Since n=1Nan is bounded, according to Dirichlet, n=1+ancn is convergent. Therefore, n=1+anbn=n=1+an(b+cn)=bn=1an+n=1+ancn is convergent.

Example 5.2.6 Seek the convergence and divergence of I=n=1+znn where zC.

According to Cauchy root method, |zn|nn=|z|nnn+|z| So when |z|<1, I is absolutely convergent; when |z|>1, I is divergent; when |z|=1, we have

Associative law. a1b1+a2+a3b2+a4+a5+a6+a7b3+ Therefore the partial sum sequence {BN} of {bn} is the subsequence of the partial sum sequence {AN} of {an}. When the limit of {AN} exists (i.e. n=1+an is convergent), then the limit of {BN} exists (i.e. n=1+bn is convergent), and both limits are equivalent. Therefore,

Theorem 5.2.15 Assuming n=1+an is convergent, then the associative law of n=1+an holds.

If n=1+an is divergent, then associative law doesn’t hold, like 1+(1)+1+(1)+1+=11+(1)+1+(1)+1+=0

Commutative law. For conditional convergence, we have

Theorem 5.2.16 (Riemann rearrangement) Assuming n=1+an,{an}R is conditionally convergent, then AR{±}, a bijection σ:NN s.t. n=1+an=A.

Proof {an} has infinite non-negative terms {bn} and negative terms {cn} where bn,cnn+0 and n=1+bn,n=1+cn are both divergent. See Figure 5.2 for hint, then its left as exercise. :)

PIC
Figure 5.2: Proof of Riemann rearrangement

For absolute convergence, we have

Theorem 5.2.17 Assuming n=1+an is absolutely convergent with sum S, then for any arrangement (bijective) σ:NN, series n=1+aσ(n) is also absolutely convergent with sum S.

Proof Mark Sn=k=1nak and S~n=k=1naσ(k). Then ϵ>0, since n=1+an is absolutely convergent, so nϵ s.t. nnϵ, SnS=k=n+1+akk=n+1+ak<ϵ For any n, mark An={1,2,...,n}, Nn=maxσ1(An)=max{σ1(1),...,σ1(n)}. then {σ1(1),...,σ1(n)}{1,2,...,Nn}, i.e. σ1(An)ANn. Then mNn, we have σ1(An)ANnAm, i.e. Anσ(Am) since σ is bijective. Therefore, S~m=k=1maσ(k)=jσ(Am)aj+jσ(Am)Anaj=Sn+jσ(Am)AnajS~mSS~mS+SnSjσ(Am)Anaj+ϵk=n+1+aj+ϵ<2ϵ

Terminally, mNnϵ, S~mS<2ϵ, meaning n=1+aσ(k) is convergent with sum S.

Repeat the proof above with k=1+aσ(k), we could prove that k=1+ is absolutely convergent.

The product of series. Given 2 series n=0+an,n=0+bn, then what’s n=0+anbn? With analogy to polynomial, we have (n=0+an)(n=0+bn)=?n=0+(j=0+ajbnj) A figure to understand the formula above is R.H.S.{j=00ajb0ja0b0a0b1a0b2a0k=0+bkj=01ajb1ja1b0a1b1a2b2a1k=0+bkj=02ajb2ja2b0a2b1a2b2a2k=0+bk}L.H.S. We have

Theorem 5.2.18 Assuming n=0+an,n=0+bn are both absolutely convergent, then series n=0+(j=0+ajbnj) is also absolutely convergent, and (n=0+an)(n=0+bn)=n=0+(j=0+ajbnj)

Example 5.2.7 Assuming xR,C or matrix, define expx=n=0+xnn!, prove that when x,y is commutable, exp(x+y)=expxexpy.

Since xnn!xnn!=cn,cn+1cn=xn+10 According to D’Alembert criterion, n=0+xnn! is absolutely convergent. Therefore, (n=0+xnn!)(n=0+ynn!)=n=0+1n!j=0nn!j!(nj)!xjynj=n=0+(x+y)nn!=exp(x+y)

Assuming expx is derivable with respect to x, and (expx) could be derived by taking the derivative term-by-term, then we have {(expx)=n=0+(xnn!)=expxexp0=1 Then expx=ex