Real Analysis – Using the Same Limit for a Second Derivative

derivativesreal-analysis

I've been trying to answer the same question answered here: Second derivative "formula derivation"

And I'm stuck in a step that is not addressed both in the answer and in the comments of the question over there. In the original question he uses the fact that

$$f''(x) = \lim_{h\to0} \frac{f'(x+h) – f'(x)}{h}$$
$$f''(x) = \lim_{h\to0} \frac{ \frac{ f(x+2h) – f(x+h)}{h} – \frac{ f(x+h) – f(x)}{h} }{h}$$

Which I basically see as taking the derivatives with the same limit 3 times.
Shouldn't it be as follow?

$$f''(x) = \lim_{h\to0} \frac{ \lim_{h_1\to0}\frac{ f(x+h+h_1) – f(x+h)}{h_1} – \lim_{h_2\to0}\frac{ f(x+h_2) – f(x)}{h_2} }{h}$$

How do you justify moving to the equation given in the original answer?

Best Answer

Simple answer: You are right that by definition of derivative the expression you gave for the second derivative is the correct one. However it turns out that the other one is equal, though not obviously.

Proof by L'Hopital

One way to prove it is to use L'Hopital's rule once to get:

$\lim_{h \to 0} \dfrac{f(x+2h)-2f(x+h)+f(x)}{h^2} = \lim_{h \to 0} \dfrac{2f'(x+2h)-2f'(x+h)}{2h}$

because numerator and denominator are zero when $h = 0$ and are differentiable with respect to $h$. What we get is not quite the definition of the second derivative so we have to manipulate:

$\lim_{h \to 0} \dfrac{f'(x+2h)-f'(x+h)}{h} = \lim_{h \to 0} 2\dfrac{f'(x+2h)-f'(x)}{2h} - \lim_{h \to 0} \dfrac{f'(x+h)-f'(x)}{h}$

which is valid because both limits on the right exist. Note that:

$\lim_{h \to 0} 2\dfrac{f'(x+2h)-f'(x)}{2h} = 2 \lim_{h \to 0} \dfrac{f'(x+h)-f'(x)}{h}$

since $h \to 0$ is equivalent to $2h \to 0$ or just going by the definition of limit, and the $2$ factors out of the limit. Finally we get:

$\lim_{h \to 0} \dfrac{f(x+2h)-2f(x+h)+f(x)}{h^2} = \lim_{h \to 0} \dfrac{f'(x+h)-f'(x)}{h} = f''(x)$

by definition of second derivative.

Note

Notice that $f$ must be differentiable in an open interval around $x$ which was critical for L'Hopital's rule to work. But $f'$ need not be differentiable or even continuous in an open interval around $x$. All that is necessary, as used in the proof, is that $f'$ is differentiable at the single point $x$.

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