SigmaField
Mathematical Foundations for Quant Finance
0 of 256 lessons

Proof Gym PG4 ε–δ limits Lesson 3 of 6

ProofLesson PG4.3 in the Proof Gym, stage PG4: ε–δ limits. About 40 minutes.

Limits of functions: ε and δ

Simulate

Check the claim with numbers

Lesson 2.1.1 found lim⁡x→3(x2+1)=10\lim_{x \to 3} (x^2 + 1) = 10 by substituting. Test it the way lesson PG4.1 tested sequences, with a tolerance ε\varepsilon for the output. Then look for a window of half-width δ\delta around 3 that keeps every output within ε\varepsilon of 10.

The cell takes δ\delta to be the smaller of 1 and ε7\frac{\varepsilon}{7}, a choice the proof will explain. It tries 1,998 inputs inside the window, all but 3 itself, and reports the worst distance from 10.

⌘/Ctrl + Enter runs the cell

Each worst distance is below its ε\varepsilon: 0.876653 for ε=1\varepsilon = 1, and 0.008565 for ε=0.01\varepsilon = 0.01. The last column is the widest window that would work. The proof's δ\delta is a little smaller, and that is fine.

A function with a jump fails the test. Near 0, ∣x∣x\frac{|x|}{x} is −1-1 on the left and 1 on the right (lesson 2.1.2).

⌘/Ctrl + Enter runs the cell

However small the window, it holds inputs with outputs −1-1 and 1. With ε=0.5\varepsilon = 0.5 no LL is within 0.5 of both, since they are 2 apart.

Conjecture

lim⁡x→3(x2+1)=10\lim_{x \to 3} (x^2 + 1) = 10

Three tolerances worked with the same rule for δ\delta. A proof must show that the rule works for every ε>0\varepsilon > 0, and for every input in the window, not just 1,998 of them.

The definition

The definition has the same shape as for sequences, with the same tolerance ε\varepsilon. The window δ\delta (the Greek letter delta) takes the place of NN, because xx must be close to aa rather than far along.

Rule: Limit of a function

lim⁡x→af(x)=L means:for every ε>0 there is a δ>0such that 0<∣x−a∣<δimplies ∣f(x)−L∣<ε\begin{gathered} \lim_{x \to a} f(x) = L \text{ means:} \\ \text{for every } \varepsilon > 0 \text{ there is a } \delta > 0 \\ \text{such that } 0 < |x - a| < \delta \\ \text{implies } |f(x) - L| < \varepsilon \end{gathered}

Only inputs in the domain of ff count. The condition 0<∣x−a∣0 < |x - a| leaves out x=ax = a itself: as in lesson 2.1.1, the value at aa plays no part.

In words: however narrow the band around LL, some window around aa sends every input in it, apart from aa, into the band. The window may depend on ε\varepsilon, but not on xx. It is chosen first, and then every xx in it must work.

Bound the extra factor

For the conjecture, ∣f(x)−10∣=∣x2−9∣=∣x−3∣ ∣x+3∣|f(x) - 10| = |x^2 - 9| = |x - 3|\,|x + 3|. The window controls ∣x−3∣|x - 3|, but the factor ∣x+3∣|x + 3| needs a bound of its own.

So agree first that δ≤1\delta \le 1. Then ∣x−3∣<1|x - 3| < 1 means 2<x<42 < x < 4 (lesson 0.3.3), so 5<x+3<75 < x + 3 < 7 and ∣x+3∣<7|x + 3| < 7.

Now ∣f(x)−10∣<7∣x−3∣<7δ|f(x) - 10| < 7|x - 3| < 7\delta, and 7δ≤ε7\delta \le \varepsilon when δ≤ε7\delta \le \frac{\varepsilon}{7}. Both demands hold for δ=min⁡(1,ε7)\delta = \min\left(1, \frac{\varepsilon}{7}\right), the smaller of the two. The cap at 1 is a free choice: another cap works too, with its own bound in place of 7.

Format 1

Reorder the steps

Here is the ε–δ proof of the conjecture, with its lines shuffled. Put them in order with the arrows, or drag a line by its handle.

  1. Since ∣x−3∣<δ≤ε7|x - 3| < \delta \le \frac{\varepsilon}{7}, this is less than 7⋅ε7=ε7 \cdot \frac{\varepsilon}{7} = \varepsilon.
  2. Since δ≤1\delta \le 1, 2<x<42 < x < 4, so 5<x+3<75 < x + 3 < 7 and ∣x+3∣<7|x + 3| < 7.
  3. So every such xx has ∣f(x)−10∣<ε|f(x) - 10| < \varepsilon. As ε>0\varepsilon > 0 was arbitrary, the limit is 10.
  4. Then ∣f(x)−10∣=∣x−3∣ ∣x+3∣<7∣x−3∣|f(x) - 10| = |x - 3|\,|x + 3| < 7|x - 3|, because ∣x−3∣>0|x - 3| > 0.
  5. Take any xx with 0<∣x−3∣<δ0 < |x - 3| < \delta.
  6. Let ε>0\varepsilon > 0, and set δ=min⁡(1,ε7)\delta = \min\left(1, \frac{\varepsilon}{7}\right), which is positive.

A bound that needs no cap

Lesson 2.1.1 handled x\sqrt{x} near 4 by multiplying by x+2\sqrt{x} + 2. The same trick gives a δ\delta for lim⁡x→4x=2\lim_{x \to 4} \sqrt{x} = 2, and this time the bound holds on the whole domain, x≥0x \ge 0.

Try it

The bound is ∣x−2∣≤∣x−4∣2|\sqrt{x} - 2| \le \frac{|x - 4|}{2}. Near 4 it is about twice the true distance: 0.025158 against 0.05 at x=3.9x = 3.9.

With δ=2ε\delta = 2\varepsilon, the worst distances in the window are 0.05059 for ε=0.1\varepsilon = 0.1 and 0.005001 for ε=0.01\varepsilon = 0.01. Each is below its ε\varepsilon.

⌘/Ctrl + Enter runs the cell

Format 2

Fill the gap

The proof that lim⁡x→4x=2\lim_{x \to 4} \sqrt{x} = 2, with its key steps left out. Type each missing piece in xx, or as a number, then check.

For x≥0x \ge 0, (x−2)(x+2)=(\sqrt{x} - 2)(\sqrt{x} + 2) = , so x−2=x−4x+2\sqrt{x} - 2 = \frac{x - 4}{\sqrt{x} + 2}.

The bottom, x+2\sqrt{x} + 2, is never less than , because x≥0\sqrt{x} \ge 0. So ∣x−2∣≤∣x−4∣2|\sqrt{x} - 2| \le \frac{|x - 4|}{2} for every x≥0x \ge 0.

Let ε>0\varepsilon > 0, and set δ=2ε\delta = 2\varepsilon. For every x≥0x \ge 0 with 0<∣x−4∣<δ0 < |x - 4| < \delta, ∣x−2∣≤∣x−4∣2<δ2=ε|\sqrt{x} - 2| \le \frac{|x - 4|}{2} < \frac{\delta}{2} = \varepsilon. So lim⁡x→4x=2\lim_{x \to 4} \sqrt{x} = 2.

For example, with ε=0.01\varepsilon = 0.01 the proof takes δ=\delta = .

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

A proof that lim⁡x→−2x2=4\lim_{x \to -2} x^2 = 4. One line breaks the rules of the definition. Select it.

Summary card

  • lim⁡x→af(x)=L\lim_{x \to a} f(x) = L: for every ε>0\varepsilon > 0 there is a δ>0\delta > 0 such that 0<∣x−a∣<δ0 < |x - a| < \delta implies ∣f(x)−L∣<ε|f(x) - L| < \varepsilon, for xx in the domain of ff.
  • δ\delta may depend on ε\varepsilon, never on xx: it is chosen before xx.
  • An extra factor: cap δ≤1\delta \le 1, bound the factor, then shrink δ\delta. For x2+1x^2 + 1 at 3, δ=min⁡(1,ε7)\delta = \min\left(1, \frac{\varepsilon}{7}\right).
  • A bound that holds on the whole domain needs no cap: ∣x−2∣≤∣x−4∣2|\sqrt{x} - 2| \le \frac{|x - 4|}{2} gives δ=2ε\delta = 2\varepsilon.
  • A jump defeats every δ\delta: ∣x∣x\frac{|x|}{x} at 0, with ε=0.5\varepsilon = 0.5.

Free further reading

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