We have that $\lim_{n \to \infty} a_n = a$ and $\lim_{n \to \infty} b_n = b$
So $\forall \epsilon > 0 $ $\exists N_{1} \in \mathbb{N}$ such that $|a_{n} - a| < \epsilon/2$ $\forall n>N_{1}$
And also $\exists N_{2} \in \mathbb{N}$ such that $|b_{n} - b| < \epsilon/2$ $\forall n>N_{2}$
Now, let $N = max(N_{1}, N_{2})$ then $\forall n>N$ we have $|(a_{n} + b_{n}) - (a + b)| \leq |a_{n} -a| + |b_{n} - b|$ by the triangle law and then we immediately have $|(a_{n} + b_{n}) - (a + b)| \leq \epsilon /2 + \epsilon /2 = \epsilon$.
So $\lim_{n \to \infty} a_n + b_n = a + b$.
Now, for the product we have to be a little bit sneakier. As $a_n$ tends to a limit $a$, we can show that the sequence is itself bounded: let $\epsilon > 0$ then $\exists N \in \mathbb{N}$ such that $|a_n - a| < \epsilon $ $\forall n > N$. Then we have $|a_n| < |a| + \epsilon$ $ $ $\forall n>N$. Now let $h =$ max $(|a_1|,|a_2|,...,|a_N|, |a| + \epsilon) $ then $|a_n| \leq h$ $\forall n$.
Now $\exists N_1 \in \mathbb{N}$ such that $|a_n - a| < \frac {\epsilon} {2(1 + |b|)}$ and $\exists N_2 \in \mathbb{N}$ such that $|b_n - b| < \frac {\epsilon} {2(1 + h)}$ where h is the maximum of $a_n$ defined in the last paragraph. W use the "$1 + ..$" in the denominator to avoid the awkward cases where either $b$ or $h$ is $0$
This is a really standard trick: we let $N = $max$(N_1, N_2)$, then we have $|a_n b_n - ab| = |a_n b_n - b a_n + b a_n - ab|$ (this is also a really standard trick, adding and subtracting the same thing from a modulus so that we can use the triangle law, which is what we do now). So we get:
$$
|a_n b_n - ab| = |a_n b_n - b a_n + b a_n - ab| \leq |a_n b_n - b a_n| + |b a_n -ab| = |a_n| |b_n - b| + |b||a_n - a| \leq \frac {\epsilon |a_n| } {2(1 + h)} + \frac {\epsilon b } {2(1 + b)} \leq \epsilon /2 + \epsilon /2 = \epsilon
$$
And so we get $\lim_{n \to \infty} a_n b_n = ab$.
As an exercise for yourself you might like to try proving the quotient rule, that is if $b \neq 0$ then $lim_{n \to \infty} \frac {a_n} {b_n} = \frac {a} {b}$ .
$\lim_{n\to \infty}a_n=a$– orion Mar 23 '14 at 21:55