Alternative version of the Final Value theorem for Laplace Transform

functional-analysisintegrationlaplace transform

Let $f:[0,\infty) \to \mathbb{C}$ be a continuous and bounded function such that the limit
$$\lim_{T\to\infty} \frac{1}{T} \int_{0}^{T}f(t)dt = d \quad\text{exists}.$$

Let $\hat{f}$ be the Laplace transform of f, i.e.,
$$\hat{f} = \int_{0}^{\infty}e^{-st}f(t)dt.$$

Prove that
$$\lim_{s\to0,\:s>0} s\hat{f} = d.$$

I have tried different ways, but for now I still did not get the whole proof.

  1. I started with the following idea (non rigorous). Define $T=\frac{1}{s}$, then
    $$\lim_{s\to0,\:s>0} s\hat{f} = \lim_{T\to\infty} \frac{1}{T}\hat{f}=\lim_{T\to\infty} \frac{1}{T} \int_{0}^{T}e^{-t/T}f(t)dt$$
    where the integrand converges to $f(t)$ and therefore the dominant convergence theorem I guess could be used. However, there are two problems: (a) $T \in \mathbb{C}$ and therefore I am not sure I can do that, (b) I don't want to use the dominant convergence theorem since it was not introduced in class.

  2. A different approach is to use the fundamental theorem of calculus since f continuous and define:
    $$F(T) = F(0) + \int_{0}^{T}f(t)dt \quad \forall \; T \in [0,\infty).$$
    Then from here use the formula for the Laplace transform of the derivative, but I did not manage to move on.

Best Answer

Let $g(t)=\int_0^{t}f(s)ds$. Integrate by parts to see that $s \hat {f} (s)=s^{2}\int_0^{\infty} (te^{-st}) (\frac {g(t)} t)dt$. Now $s^{2}\int_0^{\infty} (te^{-st}) (\frac {g(t)} t)dt=s^{2}\int_0^{\infty} (te^{-st}) (\frac {g(t)} t-d)dt+d$ because $s^{2}\int_0^{\infty} (te^{-st})dt=1$. Suppose $|\frac {g(t)} t-d| <\epsilon$ for $t \geq t_0$. Now split the integral into integrals over $(0,t_0)$ and $(t_0,\infty)$. Can you finish the proof now?

The integral form $t_0$ to $\infty$ is bounded by $\epsilon \int_{t_0} ^\infty s^{2}te^{-st}dt \leq \epsilon \int_{0} ^{\infty} s^{2}te^{-st}dt=\epsilon$. The intergal from $0$ to $t_0$ tends to $0$ as $ s \to 0$ because $g(t)-td$ is bounded on this interval and $s^{2} \int_{0} ^{t_0} e^{-st} dt \to 0$ by direct calculation of the integral.

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