We define $\psi(x) = \sum_{n=1}^{\infty} e^{-\pi n^2x}$.
Why is it that $\psi(x) = O(e^{-\pi x})$
EDIT: As $ x \to \infty$
(big-oh-notation)
I think we can assume that x is positive.
I get that each term in the sum is smaller than $e^{-\pi x}$, but there are infinitely many terms, so how is this justified?
You're right; adding up infinitely many $O(f)$ terms needn't yield an $O(f)$ function.
However in this case the result does hold, and can be proven in a low-tech way. Hint:
$$\sum_{n=1}^\infty e^{-\pi n^2x}\le e^{-\pi x}\sum_{n=0}^\infty e^{-\pi nx} $$