Bounded Piecewise Continuous Function has Improper Integrals

Theorem
Let $f$ be a real function defined on a closed interval $\closedint a b$, $a < b$.

Let $f$ be piecewise continuous and bounded on $\closedint a b$.

Then $f$ is a piecewise continuous function with improper integrals.

Proof
Let $f$ be piecewise continuous and bounded on $\closedint a b$.

It is sufficient to prove that the improper integral $\displaystyle \int_{ {x_{i - 1} }^+}^{ {x_i}^-} \map f x \rd x$ exists for every $i \in \set {1, 2, \ldots, n}$.

Let $i \in \set {1, 2, \ldots, n}$.

Let $c$ be a point in $\openint {x_{i − 1} } {x_i}$.

By definition, the improper integral $\displaystyle \int_{ {x_{i - 1} }^+}^{ {x_i}^-} \map f x \rd x$ exists :
 * $\displaystyle \lim_{\gamma \mathop \to {x_{i - 1} }^+} \int_\gamma^c \map f x \rd x$

and:
 * $\displaystyle \lim_{\gamma \mathop \to {x_i}^-} \int_c^\gamma \map f x \rd x$

both exist.

By Bounded Piecewise Continuous Function is Darboux Integrable we know that $f$ is Darboux integrable on $\closedint a b$.

Therefore, $f$ is Darboux integrable on every closed subinterval of $\closedint a b$.

Accordingly, the following Darboux integrals:
 * $\displaystyle \int_{x_{i - 1} }^c \map f x \rd x$
 * $\displaystyle \int_{\gamma_1}^c \map f x \rd x$
 * $\displaystyle \int_c^{\gamma_2} \map f x \rd x$
 * $\displaystyle \int_c^{x_i} \map f x \rd x$

all exist where $\gamma_1 \in \openint {x_{i − 1} } c$ and $\gamma_2 \in \openint c {x_i}$.

Note that $f$ is bounded on $\closedint a b$ as $f$ is piecewise continuous and bounded.

Therefore, a bound $B$ exists for $f$ on $\closedint a b$.

We have:

which approaches $0$ as $\gamma_1$ approaches $x_{i − 1}$.

This shows that $\displaystyle \lim_{\gamma \mathop \to x_{i - 1}+} \int_\gamma^c \map f x \rd x$ equals $\displaystyle \int_{x_{i - 1} }^c \map f x \rd x$.

From this we gather that $\displaystyle \lim_{\gamma \mathop \to {x_{i - 1} }^+} \int_\gamma^c \map f x \rd x$ exists.

Also:

which approaches $0$ as $\gamma_2$ approaches $x_i$.

This shows that $\displaystyle \lim_{\gamma \mathop \to x_i-} \int_c^\gamma \map f x \rd x$ equals $\displaystyle \int_c^{x_i} \map f x \rd x$.

From this we gather that $\displaystyle \lim_{\gamma \mathop \to {x_i}^-} \int_c^\gamma \map f x \rd x$ exists.

Since $i$ is arbitrary, we have shown that $\displaystyle \lim_{\gamma \mathop \to {x_{i - 1} }^+} \int_\gamma^c \map f x \rd x$ and $\displaystyle \lim_{\gamma \mathop \to {x_i}^-} \int_c^\gamma \map f x \rd x$ exist for every $i \in \left\{{1, \ldots, n}\right\}$.

Therefore, $\displaystyle \int_{ {x_{i - 1} }^+}^{ {x_i}^-} \map f x \rd x$ exists for every $i \in \set {1, 2, \ldots, n}$.

That is, $f$ is a piecewise continuous function with improper integrals.

Also see

 * Piecewise Continuous Function with Improper Integrals may not be Bounded