The following problem came up on a qualifying exam.
Evaluate $\lim_{n \to \infty} \int_{0}^{n} \frac{\cos(x/n)}{\sqrt{x+\cos(x/n)}}dx$.
I was thinking that I'd try to bound the integrand and then to apply DCT but I cannot find a way to bound it by an $L^{1}((0,\infty))$ function. I am starting to believe it does not converge.
Use the substitution $x = ny$ to get
$$\lim_{n\to\infty}\int_0^1\frac{n\cos y}{\sqrt{ny+\cos y}}\:dy = \lim_{n\to\infty}\sqrt{n}\int_0^1\frac{\cos y}{\sqrt{y+\frac{\cos y}{n}}}\:dy$$
Taking just the integral portion into account, we have that on $(0,1)$
$$\frac{\cos y}{\sqrt{y+\frac{\cos y}{n}}} \leq \frac{1}{\sqrt{y}} \in L^1((0,1))$$
thus dominated convergence tells that
$$\lim_{n\to\infty}\int_0^1\frac{\cos y}{\sqrt{y+\frac{\cos y}{n}}}\:dy \to \int_0^1 2\cos(t^2)\:dt > 0$$
an integral of a continuous function on a compact interval (converges) which means
$$\lim_{n\to\infty}\sqrt{n}\int_0^1\frac{\cos y}{\sqrt{y+\frac{\cos y}{n}}}\:dy \to \infty$$
by properties of products of sequences.