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Simple question. When are we allowed to exchange limits and integrals? I'm talking about situations like
$$lim_varepsilonto0^+ int_-infty^infty dk f(k,varepsilon) overset?= int_-infty^infty dklim_varepsilonto0^+ f(k,varepsilon).$$
Everyone refers to either dominated convergence theorem or monotone convergence theorem but I'm not sure if I understand how exactly one should go about applying it. Both theorems are about sequences and I don't see how that relates to integration in practice. Help a physicist out :)

P.S. Before someone marks it as a duplicate, please take a minute to understand (not saying that you won't) what it is that I'm asking here. Thank you!

The statement of the dominated convergence theorem (DCT) is as follows:

"Discrete" DCT. Suppose $f_n_n=1^infty$ is a sequence of (measurable) functions such that $|f_n| le g$ for some integrable function $g$ and all $n$, and $lim_ntoinftyf_n = f$ pointwise almost everywhere. Then, $f$ is an integrable function and $int |f-f_n| to 0$. In particular, $lim_ntoinftyint f_n = int f$ (by the triangle inequality). This can be written as
$$ lim_ntoinftyint f_n = int lim_ntoinfty f_n.$$

(The statement and conclusion of the monotone convergence theorem are similar, but it has a somewhat different set of hypotheses.)

As you note, the statements of these theorems involve sequences of functions, i.e., a $1$-discrete-parameter family of functions $f_n_n=1^infty$. To apply these theorems to a $1$-continuous-parameter family of functions, say $f_epsilon_0<epsilon<epsilon_0$, one typically uses a characterization of limits involving a continuous parameter in terms of sequences:

Proposition. If $f$ is a function, then
$$lim_epsilonto0^+f(epsilon) = L iff lim_ntoinftyf(a_n) = Lquad textfor $mathbfall$ sequences $a_nto 0^+$.$$

With this characterization, we can formulate a version of the dominated convergence theorem involving continuous-parameter families of functions (note that I use quotations to title these versions of the DCT because these names are not standard as far as I know):

"Continuous" DCT. Suppose $f_epsilon_0<epsilon<epsilon_0$ is a $1$-continuous-parameter family of (measurable) functions such that $|f_epsilon| le g$ for some integrable function $g$ and all $0<epsilon<epsilon_0$, and $lim_epsilonto0^+f_epsilon=f$ pointwise almost everywhere. Then, $f$ is an integrable function and $lim_epsilonto 0^+int f_epsilon = int f$. This can be written as
$$ lim_epsilonto0^+int f_epsilon = int lim_epsilonto0^+ f_epsilon.$$

The way we use the continuous DCT in practice is by picking an arbitrary sequence $pmba_nto 0^+$ and showing that the hypotheses of the "discrete" DCT are satisfied for this arbitrary sequence $a_n$, using only the assumption that $a_nto 0^+$ and properties of the family $f_epsilon$ that are known to us.

Let's look at it in a silly case. We want to prove by DCT that $$lim_varepsilonto0^+ int_0^infty e^-y/varepsilon,dy=0$$

This is the case if and only if for all sequence $varepsilon_nto 0^+$ it holds $$lim_ntoinftyint_0^infty e^-y/varepsilon_n,dy=0$$

And now you can use DCT on each of these sequences. Of course, the limiting function will always be the zero function and you may consider the dominating function $e^-x$.