Proof of the monotone Convergence Theorem

Suppose \(\{ a_n \}\) is a bounded increasing sequence. Let \(L\) be the least upper bound of the set \(\{a_n | n \ge 1\}\). In other words, for every \(ε \gt 0\), there is some integer \(N\) such that:

\[ a_N \gt L - ε \]

If \(\{ a_n \}\) is increasing, then \(a_n \ge a_N\) for every \(n \gt N\). Thus, if \(n \gt N\), we have:

\[ a_n \gt L - ε \]

So:

\[ 0 \le L - a_n \lt ε \]

Since \(a_n \le L\), then whenever \(n \gt N\):

\[ | L - a_n | \lt ε \]

So \(\lim_{n \to \infty} a_n = L\) (by definition of a limit of a sequence). A similar proof (using the greatest lower bound) works if \(\{a_n\}\) is decreasing.

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