Past exam of the integration course of the University of Oxford / 2015 / 2 / b

DefineThis is a Lebesgue integrable function: on $(0,1]$ it is bounded by $x^{-1/2}$, whose integral is two, while on $[1,\infty )$ it is bounded by $e^{-x}$, whose integral is $e^{-1}$. Since $|\sin (xy)|\le x|y|$,Thus $h_y$ is Lebesgue integrable for every $y\ge 0$, including $h_0=0$; the same argument actually works for all real $y$.

The mean value theorem for the sine gives $|\sin u-\sin v|\le |u-v|$. Henceand the triangle inequality for an integral givesThus $F$ is a globally Lipschitz function, in particular continuous on $[0,\infty )$, including the endpoint zero.

For the derivative, fix $y>0$ and take nonzero $t$ sufficiently small that $y+t>0$. The difference quotient has the integrandFor every $x>0$, $D_t(x)\to H(x)\cos (xy)$ as $t\to 0$. The same mean value theorem gives the uniform-in-$t$ bound $|D_t(x)|\le H(x)$.

The dominated convergence theorem states that if measurable functions $u_n$ converge almost everywhere to $u$ and $|u_n|\le G$ for a single Lebesgue integrable function $G$, then $u$ is Lebesgue integrable and $\int |u_n-u|\to 0$, hence $\int u_n\to \int u$. Apply it to the difference quotients along every sequence $t_n\to 0$, using the common dominator $H$. The resulting limit is independent of the sequence, soThe right-hand integral is absolutely convergent because its integrand has absolute value at most $H$. This is dominated differentiation under the integral sign, justified by an explicit integrable bound rather than a formal interchange.