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Mathematical Foundations for Quant Finance
0 of 256 lessons
    1. PG5.1 A series is the limit of its partial sumsProof · 40 min
    2. PG5.2 The comparison and ratio tests, provedProof · 45 min
    3. PG5.3 Absolute and conditional convergenceProof · 40 min
    4. PG5.4 The series for eˣ converges for every xProof · 45 min
    5. PG5.5 Stage review: proving a series convergesProof · 40 min
Proof Gym overview →

Proof Gym PG5 Series and convergence Lesson 5 of 5

ProofLesson PG5.5 in the Proof Gym, stage PG5: Series and convergence. About 40 minutes.

Stage review: proving a series converges

Simulate

Check the first claim with numbers

This review asks for three proofs, each with a different tool from the stage. The first series is ∑k=1∞k22k\sum_{k=1}^{\infty} \frac{k^2}{2^k}: the tops grow, but the bottoms grow faster.

The cell prints the ratio ak+1ak=(k+1)22k2\frac{a_{k+1}}{a_k} = \frac{(k+1)^2}{2k^2} at a few values of kk, then partial sums.

⌘/Ctrl + Enter runs the cell

The ratios fall from 2.0 towards 0.5: 0.605 at k=10k = 10, 0.501 at k=1000k = 1000. The partial sums settle on 6.0, to eight decimal places from 40 terms on.

Conjecture

The series ∑k=1∞k22k\sum_{k=1}^{\infty} \frac{k^2}{2^k} converges.

Six ratios and four partial sums. The proof needs the limit of the ratio, worked out for every kk.

The tools of this stage

Each proof below needs one or two of these. Name the one you use, and check that its conditions hold before you apply it.

toolwhat it sayslesson
term test∑ak\sum a_k converges ⇒\Rightarrow ak→0a_k \to 0PG5.1
nonnegative termsbounded partial sums ⇒\Rightarrow convergesPG5.2
comparison0≤ak≤bk0 \le a_k \le b_k, ∑bk\sum b_k converges ⇒\Rightarrow ∑ak\sum a_k convergesPG5.2
ratioak>0a_k > 0, ak+1ak→L<1\frac{a_{k+1}}{a_k} \to L < 1 ⇒\Rightarrow convergesPG5.2
absolute convergence∑∣ak∣\sum \lvert a_k \rvert converges ⇒\Rightarrow ∑ak\sum a_k convergesPG5.3
fast factorials∣x∣nn!→0\frac{\lvert x \rvert^n}{n!} \to 0 for every xxPG5.4

Format 4

Write it

Prove that ∑k=1∞k22k\sum_{k=1}^{\infty} \frac{k^2}{2^k} converges. Work out the ratio ak+1ak\frac{a_{k+1}}{a_k}, find its limit and say why, then apply a test.

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.

Simulate

Check the second claim

The second series has signs that follow no pattern: ∑k=1∞cos⁡kk2\sum_{k=1}^{\infty} \frac{\cos k}{k^2}, with kk in radians.

⌘/Ctrl + Enter runs the cell

The partial sums settle near 0.324138. Every size ∣cos⁡k∣k2\frac{|\cos k|}{k^2} is at most 1k2\frac{1}{k^2} up to a million, and the sizes add up to 0.927641 over those terms.

Conjecture

The series ∑k=1∞cos⁡kk2\sum_{k=1}^{\infty} \frac{\cos k}{k^2} converges, and its sum lies between −2-2 and 2.

A million terms. The ratio test cannot help: the terms change sign, and the ratios of their sizes jump about. The proof needs another tool.

Format 4

Write it

Prove that ∑k=1∞cos⁡kk2\sum_{k=1}^{\infty} \frac{\cos k}{k^2} converges, and that its sum lies between −2-2 and 2.

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.

Simulate

Check the third claim

Lesson 2.7.2 gave the series sin⁡x=x−x33!+x55!−⋯\sin x = x - \frac{x^3}{3!} + \frac{x^5}{5!} - \cdots for every xx, in radians. Write pn(x)p_n(x) for its Taylor polynomial of degree nn. The cell prints ∣sin⁡x−pn(x)∣|\sin x - p_n(x)| next to ∣x∣n+1(n+1)!\frac{|x|^{n+1}}{(n+1)!}.

⌘/Ctrl + Enter runs the cell

Every error is below ∣x∣n+1(n+1)!\frac{|x|^{n+1}}{(n+1)!}. At x=10x = 10 the polynomial of degree 11 is still off by 1.056×1031.056 \times 10^{3}, but by degree 31 the error is 1.062×10−41.062 \times 10^{-4}.

Conjecture

For every real xx, the Taylor polynomials of sin⁡x\sin x about 0 tend to sin⁡x\sin x: pn(x)→sin⁡xp_n(x) \to \sin x as n→∞n \to \infty.

Two values of xx. The proof follows lesson PG5.4, with a better MM.

Format 4

Write it

Prove that pn(x)→sin⁡xp_n(x) \to \sin x for every real xx, where pnp_n is the Taylor polynomial of sin⁡x\sin x of degree nn about 0. Use the remainder bound of lesson 2.7.2, and say what MM is.

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.

The cosine series works the same way, with M=1M = 1 again. Stage PG6 turns from series to sets, maps and sizes.

Summary card

  • Before you apply a test, check its conditions: positive terms for the ratio test, terms that are never negative for the comparison test.
  • A ratio limit needs the limit rules, not a table: (k+1)22k2=12(1+1k)2→12\frac{(k+1)^2}{2k^2} = \frac{1}{2}\left(1 + \frac{1}{k}\right)^2 \to \frac{1}{2}.
  • For mixed signs, compare the sizes, then use absolute convergence.
  • A Taylor series converges to its function where the remainder bound tends to 0: for exe^x, sin⁡x\sin x and cos⁡x\cos x, at every xx.

Free further reading

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