In this post, we will prove the famous result that
\int_{0}^{\infty}\frac{\sin x}{x}dx=\frac{\pi}{2}. We first fix some
0<a<\infty and consider
e^{-xy}\sin x. We shall show that
e^{-xy}\sin x is integrable on
0<x< a and
y>0. As
\left|\sin x\right|\le1, one may instead try to prove the integrability of
e^{-xy} for this purpose. Unfortunately, the attempt would fail since
\int_{0}^{a}\int_{0}^{\infty}e^{-xy}\,dy\,dx=\int_{0}^{a}\frac{1}{x}dx=\infty
diverges. Bounding
e^{-xy}\sin x with
e^{-xy} turns out to be too rough near
x=0, because
1/x\rightarrow\infty but
\sin x/x\rightarrow1 when
x\searrow0. We therefore need to use a tighter bound near
x=0 to make the integral finite. Observe that, since
\sin x/x\rightarrow1, given
\varepsilon>0 there exists
\delta>0 such that
\left|\sin x/x-1\right|< \varepsilon for
0< x< \delta. Hence,
\begin{eqnarray*}
\int_{0}^{a}\int_{0}^{\infty}e^{-xy}\sin x\,dy\,dx & = & \int_{0}^{\delta}\int_{0}^{\infty}e^{-xy}\sin x\,dy\,dx+\int_{\delta}^{a}\int_{0}^{\infty}e^{-xy}\sin x\,dy\,dx\\ & \le & \int_{0}^{\delta}\frac{\sin x}{x}dx+\int_{\delta}^{a}\frac{1}{x}dx\\ & \le & \left(1+\varepsilon\right)\delta+\ln a-\ln\delta < \infty.
\end{eqnarray*}
Similarly,
\int_{0}^{a}\int_{0}^{\infty}e^{-xy}\sin x\,dy\,dx \ge \left(1-\varepsilon\right)\delta-\ln a+\ln\delta > -\infty.
It follows that the integral indeed exists. Now we can perform the double integral in two orders to obtain
\int_{0}^{a}\left(\int_{0}^{\infty}e^{-xy}\, dy \right)\sin x\, dx=\int_{0}^{a}\frac{\sin x}{x}dx
and
\begin{eqnarray*}
\int_{0}^{\infty}\left(\int_{0}^{a}e^{-xy}\sin x \, dx \right) dy
& = & \int_{0}^{\infty}\left(\dfrac{1}{y^{2}+1}-\dfrac{\left( \cos a + y\,\sin a \right)e^{-ay}}{y^{2}+1}\right) dy \\
& = & \frac{\pi}{2}-\cos a\int_{0}^{\infty}\frac{e^{-ay}}{1+y^{2}}dy-\sin a\int_{0}^{\infty}\frac{y\,e^{-ay}}{1+y^{2}} dy
\end{eqnarray*}
Hence,
\begin{eqnarray*}
\left|\int_{0}^{a}\frac{\sin x}{x}dx-\frac{\pi}{2}\right|
& = & \cos a\int_{0}^{\infty}\frac{e^{-ay}}{1+y^{2}}dy+\sin a\int_{0}^{\infty}\frac{y\,e^{-ay}}{1+y^{2}}dy\\
& \le & \int_{0}^{\infty}\left(1+y\right)e^{-ay}\, dy\\
& = & a^{-2}+a^{-1}.
\end{eqnarray*}
By taking
a\rightarrow\infty we obtain the desired result.
You can find different proofs of the same result
here. Besides,
this thread shows why
\sin{x}/x is Riemann integrable but not Lebesgue integrable on
(0,\infty).
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