[Math] Limiting value of Beta function

beta functiongamma functionreal-analysis

I would like to know the limiting value of the Beta function:
$$ B(a,b) = \int_0^1 x^{a -1}(1-x)^{b-1}\,d x~ \tag 1. $$

For instance, what does (1) reduce to as

  • $ a \to \infty$

  • $ b\to \infty$

  • $ a\to \infty, b\to \infty$?

Knowing the above would allow me to ( I hope) among others that

$$ \lim_{b\to\infty} \frac{\left(\frac{a}{b}\right)^{a} e^{wa}\left( 1 + \frac{a}{b} e^w \right)^{-(a+b)}}{B(a , b)} = \frac{a^a \exp(aw-ae^w)}{\Gamma(a)} \,,\,a,b \gt 0~,$$
where $$ \Gamma(a) = \int_0^\infty x^{a-1} e^{-x}~ dx~. $$

Best Answer

For $a$ or $b$ going to infinity, take the limit inside the integral and see that the integrand vanishes, so the integral term goes to zero. Same with when both go to infinity.

In more details:

Consider $$ B(a,b) = \int_0^1 x^{a -1}(1-x)^{b-1}\,d x~ \tag 1. $$

What happens when $a$ goes to infinity? This is equivalent to asking what happens in $\lim_{n\to\infty} \int_0^1 f_n(x)d x $ where, $f_n(x)=x^{a_n -1}(1-x)^{b-1}\,$ and $a_n\to\infty$.

Now, it would be really convenient if we could take the limit inside the integral, and it so happens that we can totally do that. We need to use a version of what is called the Monotone Convergence Theorem.

Once we take the limit inside, for any $x\in (0,1)$, for any $b$, $f_n(x)$ decreases monotonically to zero as $n\to\infty$. So, basically $f_n$ converges pointwise to the zero function. Now integration of the zero function of the interval is definitely zero.

Check this out if you want to know the technical details of the theorem we used to interchange limit and integration.

Monotone Convergence Theorem for non-negative decreasing sequence of measurable functions

Same happens for the other limits you want to know.