SigmaField
Mathematical Foundations for Quant Finance
0 of 256 lessons

Proof Gym PG4 ε–δ limits Lesson 2 of 6

ProofLesson PG4.2 in the Proof Gym, stage PG4: ε–δ limits. About 40 minutes.

Limits of sums and products

Simulate

Check the claim with numbers

Lesson PG4.1 proved that an=3n+1n+2→3a_n = \frac{3n + 1}{n + 2} \to 3. Take a second sequence, bn=1+(−1)nnb_n = 1 + \frac{(-1)^n}{n}, which tends to 1 from both sides. If limits behave like numbers, the sum should tend to 3+1=43 + 1 = 4 and the product to 3⋅1=33 \cdot 1 = 3.

⌘/Ctrl + Enter runs the cell

At n=1000n = 1000 the sum is 3.99601 and the product 2.998005, close to 4 and 3. The next cell tries the idea a proof will use. To get the sum within 0.01 of 4, ask each sequence to be within half of that, 0.005, of its own limit.

⌘/Ctrl + Enter runs the cell

ana_n is within 0.005 of 3 after n=998n = 998, and bnb_n within 0.005 of 1 after n=200n = 200. After the larger of the two, 998, the sum is within 0.01 of 4: the next 10,000 terms all pass. The sum's own last miss is at 597, so halving the tolerance is generous, and that is fine.

⌘/Ctrl + Enter runs the cell

The rules need both limits to exist. Neither (−1)n(-1)^n nor (−1)n+1(-1)^{n+1} has a limit, yet their sum is 0 for every nn. And nn grows without end while 1n→0\frac{1}{n} \to 0, yet their product is 1 every time.

Conjecture

If an→aa_n \to a and bn→bb_n \to b, then

an+bn→a+banbn→ab\begin{gathered} a_n + b_n \to a + b \\ a_n b_n \to ab \end{gathered}

The numbers fit, for these two sequences and one tolerance. The proof must work for every pair of convergent sequences and every ε>0\varepsilon > 0.

The triangle inequality

The proofs measure a sum of two distances. One inequality controls it: the size of a sum is at most the sum of the sizes.

Rule: Triangle inequality

∣x+y∣≤∣x∣+∣y∣|x + y| \le |x| + |y|

It holds for all real numbers xx and yy. Equality holds when xx and yy have the same sign, and the left side is smaller when the signs differ.

Here is why. By the definition of absolute value (lesson 0.3.3), −∣x∣≤x≤∣x∣-|x| \le x \le |x| and −∣y∣≤y≤∣y∣-|y| \le y \le |y|. Adding gives −(∣x∣+∣y∣)≤x+y≤∣x∣+∣y∣-(|x| + |y|) \le x + y \le |x| + |y|, which says exactly that ∣x+y∣≤∣x∣+∣y∣|x + y| \le |x| + |y|.

Try it

With x=3x = 3 and y=−5y = -5, ∣x+y∣=2|x + y| = 2 but ∣x∣+∣y∣=8|x| + |y| = 8. With y=5y = 5 both sides are 8.

⌘/Ctrl + Enter runs the cell

Splitting the tolerance

For the sum, the distance from a+ba + b is (an−a)+(bn−b)(a_n - a) + (b_n - b), so by the triangle inequality it is at most ∣an−a∣+∣bn−b∣|a_n - a| + |b_n - b|. Make each part less than ε2\frac{\varepsilon}{2}, and the sum is less than ε\varepsilon.

Each sequence has its own NN: N1N_1 for ana_n and N2N_2 for bnb_n. After the larger of the two, both distances are small at once, as the simulation found with 998 and 200.

Format 1

Reorder the steps

Here is the proof of the sum rule, with its lines shuffled. Put them in order with the arrows, or drag a line by its handle.

  1. By the triangle inequality, ∣(an+bn)−(a+b)∣≤∣an−a∣+∣bn−b∣<ε|(a_n + b_n) - (a + b)| \le |a_n - a| + |b_n - b| < \varepsilon.
  2. Let ε>0\varepsilon > 0. Then ε2>0\frac{\varepsilon}{2} > 0 is a tolerance too.
  3. Let NN be the larger of N1N_1 and N2N_2, and take any n>Nn > N.
  4. Since an→aa_n \to a and bn→bb_n \to b, there are N1N_1 and N2N_2 with ∣an−a∣<ε2|a_n - a| < \frac{\varepsilon}{2} for n>N1n > N_1 and ∣bn−b∣<ε2|b_n - b| < \frac{\varepsilon}{2} for n>N2n > N_2.
  5. This holds for every n>Nn > N, and ε>0\varepsilon > 0 was arbitrary, so an+bn→a+ba_n + b_n \to a + b.
  6. Then n>N1n > N_1 and n>N2n > N_2, so both distances are less than ε2\frac{\varepsilon}{2}.

The product rule

For the product, add and subtract anba_n b to split the difference into two parts:

anbn−ab=an(bn−b)+b(an−a)\begin{gathered} a_n b_n - ab \\ = a_n(b_n - b) + b(a_n - a) \end{gathered}

The second part is ∣b∣|b| times a small distance. The first is ∣an∣|a_n| times a small distance, so it needs a bound on ∣an∣|a_n| that does not grow with nn.

Format 2

Fill the gap

The proof of the product rule, with its key steps left out. Type each missing piece as you would a quick answer, such as a(y-x) or 0.25, then check.

A bound for ∣an∣|a_n|: with the tolerance 1, there is N0N_0 with ∣an−a∣<1|a_n - a| < 1 for every n>N0n > N_0. For those nn, the triangle inequality gives ∣an∣≤∣an−a∣+∣a∣<∣a∣+1|a_n| \le |a_n - a| + |a| < |a| + 1.

Splitting the difference: for one nn, write x=anx = a_n and y=bny = b_n. Then xy−ab=x(y−b)+xy - ab = x(y - b) + . So ∣anbn−ab∣≤∣an∣ ∣bn−b∣+∣b∣ ∣an−a∣|a_n b_n - ab| \le |a_n|\,|b_n - b| + |b|\,|a_n - a|.

Choosing NN: let ε>0\varepsilon > 0. Choose N1N_1 with ∣bn−b∣<ε2(∣a∣+1)|b_n - b| < \frac{\varepsilon}{2(|a| + 1)} for n>N1n > N_1, and N2N_2 with ∣an−a∣<ε2(∣b∣+1)|a_n - a| < \frac{\varepsilon}{2(|b| + 1)} for n>N2n > N_2. Both tolerances are positive, even when aa or bb is 0.

Let NN be the largest of N0N_0, N1N_1 and N2N_2. For n>Nn > N the first part is less than (∣a∣+1)⋅ε2(∣a∣+1)=ε2(|a| + 1) \cdot \frac{\varepsilon}{2(|a| + 1)} = \frac{\varepsilon}{2}. The second is at most ∣b∣∣b∣+1⋅ε2\frac{|b|}{|b| + 1} \cdot \frac{\varepsilon}{2}, which is less than ε2\frac{\varepsilon}{2}, so ∣anbn−ab∣<ε|a_n b_n - ab| < \varepsilon.

In the simulation, a=3a = 3 and b=1b = 1. For ε=0.06\varepsilon = 0.06 the proof asks for ∣bn−1∣<|b_n - 1| < and ∣an−3∣<|a_n - 3| < .

How to type answers
  • Powers with ^, brackets round a power that is a sum: r^k, r^(k+1).
  • Fractions with / and brackets: (1-r)/(1+r). Multiply with * or side by side: 2k+1.
  • Press Enter in any box to check them all.

Format 3

Find the error

Another proof of the product rule. One line states something false about convergent sequences. Select it.

Simulate

A claim of your own to prove

Multiplying every term by a fixed number cc should multiply the limit by cc. The cell scales an=3n+1n+2a_n = \frac{3n + 1}{n + 2} by c=5c = 5, −2-2 and 0, and finds the last term more than 0.01 from 3c3c.

⌘/Ctrl + Enter runs the cell

The last miss is at n=2498n = 2498 for c=5c = 5 and at 998 for c=−2c = -2: a bigger ∣c∣|c| needs a later start. For c=0c = 0 no term misses at all, because every term is 0.

Conjecture

If an→aa_n \to a and cc is any number, then

c an→c ac\,a_n \to c\,a

Three values of cc fit. The proof must cover every cc, and the simulation hints that c=0c = 0 needs its own case.

Format 4

Write it

Prove from the definition that if an→aa_n \to a, then c an→c ac\,a_n \to c\,a for every number cc. Name your NN explicitly, and watch for c=0c = 0.

Saved in this browser as you type.

Write your own first: a proof you have tried to write teaches far more than one you only read.

With c=−1c = -1 and the sum rule, the difference rule follows: an−bn→a−ba_n - b_n \to a - b.

Summary card

  • Triangle inequality: ∣x+y∣≤∣x∣+∣y∣|x + y| \le |x| + |y| for all real xx and yy.
  • Sum rule: if an→aa_n \to a and bn→bb_n \to b, then an+bn→a+ba_n + b_n \to a + b. Give each sequence ε2\frac{\varepsilon}{2}, and take the larger NN.
  • Product rule: anbn→aba_n b_n \to ab. Split anbn−ab=an(bn−b)+b(an−a)a_n b_n - ab = a_n(b_n - b) + b(a_n - a), and bound ∣an∣|a_n| by ∣a∣+1|a| + 1 from some term on, not by ∣a∣|a|.
  • Constant multiple: c an→c ac\,a_n \to c\,a, with c=0c = 0 as its own case.
  • The rules need both limits to exist: (−1)n+(−1)n+1=0(-1)^n + (-1)^{n+1} = 0 though neither sequence converges.

Free further reading

Optional. This lesson covers what you need; these add more examples and practice. All are free to read.