TheoremBase

Integration by Parts for Indefinite Lebesgue Integrals on a Compact Interval

Statement

Let T>0T>0 be a real number, and let f,g:[0,T]→Rf,g:[0,T]\to\mathbb{R} be measurable with respect to the trace Borel σ\sigma-algebra on [0,T][0,T] and Lebesgue integrable over [0,T][0,T]. Let u0u_0 and v0v_0 be real numbers and define

ut=u0+∫[0,t]f(s) ds,vt=v0+∫[0,t]g(s) ds(t∈[0,T]).u_t=u_0+\int_{[0,t]}f(s)\,ds,\qquad v_t=v_0+\int_{[0,t]}g(s)\,ds\qquad(t\in[0,T]).

Then:

(i) The functions t↦utt\mapsto u_t and t↦vtt\mapsto v_t are continuous on [0,T][0,T], the interval being regarded as a subset of the real line with the absolute value metric and R\mathbb{R} carrying the same metric, and there is a real number C≥0C\ge0 with ∣ut∣≤C|u_t|\le C and ∣vt∣≤C|v_t|\le C for all t∈[0,T]t\in[0,T].

(ii) The functions t↦f(t) vtt\mapsto f(t)\,v_t and t↦ut g(t)t\mapsto u_t\,g(t) are measurable and Lebesgue integrable over [0,T][0,T], and

uT vT=u0 v0+∫[0,T](f(s) vs+us g(s)) ds.u_T\,v_T=u_0\,v_0+\int_{[0,T]}\big(f(s)\,v_s+u_s\,g(s)\big)\,ds.

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