MATHEMATICAL PHYSICS

EUGENE BUTKOV

SI. John's Uni\'ersity" Nr:w York

ADDISON-WESIJEY punLISllING C()MPANY

Reml+ng. Ma~chu:sct is . Menlo IlIiI r~ .. C·d if orn iill • I..onoo.. . :Sydney . M .. nula

PREFACE

eq,Yf1th, © 1968 by Addjson- WesJey Pu blishifll Company t Inc~ All rights reserved. No part or this publ icalion may be reproduced, stored in a retrieval system, or transmitted ~ in any form or by any means. electronic~ mechanical. photocopying, rec.ordingt or otherwise, withoa t the prior wriUen pennission of the puNisher. Original edition pll bllshed "in the U nitedj States of America. Published simurtaneously in Canada. Philippines copyright 1968

Library of Congress Catalog Card Num her! 68 - 11391 .

During the past decade we have witnessed a remarkable increase itt the number of students seeking higher education as well as the development of many new colleges and universities. The inevitable nonuniformity of conditions present in different institutions necessitates considerable variety in purpose, general approach, and the level or instruction in any given discipline. This has naturally contributed to the proliferation or texts on almost any topic, and the subject of mathematical pliysics is no exception. There is a number of texts in this field, and some of them are undoubtedly of outstanding quality.

Nevertheless, many teachers often feel that none of the existing texts is properly suited, for one reason or another, for their particular courses. More important; students sometimes complain that they have difficulties studying the subject rrom texts of unquestionable merit. This is not as surprising asit sounds: Some texts have an encyclopedic character, with the material arranged in a different order from the way it is usually taught; others become too much involved in complex mathematical analysis, preempting the available space from practical exam pies; still others cover a very wide variety of topics with utmost brevity, leaving the student to struggle with a number of difficult questions of theoretical nature. True enough, a wen-prepared and bright student should be able to find his way through most of such dimcultiesr A less-gifted student may, however, find it very difficult to grasp and absorb the multitude of new concepts strewn across an advanced text "

Under these circumstances, it seems desirable to give more st ress to the pedagogical side of a text to make it more readable to the student and more suitable for independent study, Hopefully, the present work represents a step in this direction. J t has several features designed to con form to the pa th an average student may conceivably follow in acquiring the knowledge or the subject.

First, the inductive approach is used in each chapter throughout the book. Following the fundamentals of modern physics, the text is almost entirely devoted to li near problems, but the un if yin g concepts of linea r space are fully developed rather late in the book after the student is exposed to a number or practical mathematical techniques. Also, almost every chapter starts with an example or discussion of elementary nature, with subject matter that is probably familiar to the reader. The introduction of new concepts is made against a familiar background and is later extended to more sophisticated situations. A typical example is Chapter ;, where the basic aspects or partial differential equations are illustrated using the "elementary functions" exclusively, Another facet of (his trend is the repeated use of the harmonic oscillator and the stretched string as physical models: no

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FIRST PRINTING 1973

A complete and unabridged reprint of the origi nal American textbook, this World Student Series edition may be sold only in those countries to which it is consigned by Addison-Wesley or its authorized trade distributors. lt may not be re-exported from the country to which it has been consigned, and it rna y not be sold in the United States'of America or its possess ions.

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VI PREr-ACE

attempt is made to solve as many problems for the student as possible! but rather to show how various methods can be used to the same end within a familiar physical context..

In the process of learning. students inevitably pose a number of questions necessary to clarify the material under scrutiny. While most of these questions naturally belong to classroom discussion, it is certainly beneficial to attempt to anticipate some or them in a text The Remarks and many footnotes are designed to contribute to this goal. The author hopes they answer some questions in the mind or the student as well as suggest some new ones, stimulating an interest in further inquiry. A number or cross-references serves a similar purpose. inviting the reader to make multiple use or various, sections or the book. The absence of numbered formulas is intentional: if the student bothers to look into the indicated section or page, he should not simply check that the quoted formula "is indeed there," but, rather, glance through the text and recall its origin and meaning.

The question of mathematical rigor is quite i mporta nt in the subject treated here, although it is sometimes controversial. It is the author's opinion that a theo ...

4

retical physicist should know where -be stands, whether he is proving his own deduc ..

tions, quoting somebody else's proof, or just offering a reasonable conjecture. Consequent ly, he should be tra i ned 'in thi s direction; and the texts sho u1d be written in this spirit, On the other hand, it would be unwise to overload every student with mathematics for two main reasons: first, because or the limitations or time in the class room a nd the space in a te xt, and secon d J beca use physicists a re apt to change their mathematical postulates as Soon as experimental physics lends support to such 5 uggestions, The reader can fi nd exam pies of the latte r ph i losoph yin Chapters 4 and 6 or the text Whether the author was able to follow these principles is left to the j ud gment of users or th is book.

Each chapter is sup plied with its sha re of problems propo rtional to the time presumed to be allotted to its study. The student may find some of the problems .' rather difficult since they req ui re more com prehension of the material rather than sheer technique. To balance this, a variety of hints and explanations are often supplied, Answers are not given because many problems contain the answer in their formulation; (he remaining ones may be used to test (he ability of the student for independent work. The exercises within the text can be used as problems to

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tes t the studen Is' rna n i pula ti ve sk ills.

For many of the methods or instruction of mathematical physics presented in this book, the author is indebted to his own teachers at the University of British Columbia and McGill University. The encouragement or his colleagues and students at St. John's University and Hunter College or the City University of New York is greatly appreciated. Also, the author wishes to thank Mrs. Ludmilla Verenicin and Miss Anne Marie Nowom for their help in the preparation 9r the manuscript

CONTENTS

Chapter I Vecton, Matrices, and Coordina. tes
1.1 Introduction . • ~ + I
~ • • • • • • ~
•
1.2 Vectors in Cartesian Coordinate Systems 1
• • • • ~
I.] Changes or Axes. Rotation Matrices 4
• ~ • • • ~
1.4 R epea ted Rota. t ions+ M a IT i X M u It ipl ica tion . 8
• .. • ~
LS Skew Cartesian Systems. M a trices in Gene ral I 1
~ ~ + • • ~
L6 Sea fa r an d V eet 0 r Fields 14
~ • • • • •
1.1 Vector Fields in Plane • ~ • 20
• ~ • • • •
1 ~8 Vector Fi elds in Space • 26
• • • ~ ~ •
• ~ + •
1 ~9 Curvilinear Coordinates ~ 34
• ~ ~ • • • OIspter 2 Fwactions of a Complex VarialJ~
2J Complex Numbers . .. • • 44
.. • • · ~ ~ • • ~
2.2 Basic Algebra and Geometry or Complex Numbers 4.5
• • •
2.3 De Moivre Formula and the Calculation or Roots 48
• • • •
2~4 Com plex Functions. Euler·s Formula 49
• + • • • ~ ...
2.S Applications or Euler's Formula 51
+ • • - • • • .., ~ •
2.6 Mull ivalued Functions and Riemann Su rfaces 54
~ • • • • •
2~7 Ana lytic F u ncti ons, Cauchy Theorem 58
· • ~ • • • • •
2.8 Other Integral Theorems. Cauchy Integral Formula 62
~ • •
2+9 Complex Sequences and Series 66
~ • • • • •
2JO Taylor and Laurent Series _ 71
• • • ~ • • • .. ~ •
2.11 . Ze ros and S ingu lari ties . 78
+ • • . • • • • • + • • •
2.12 The Residue Theorem and its Applicatkms . 83
• • • ... •
2~lJ Conformal Mapping by Analytie Functions ~ 97
+ • + + ...
2~ 14 Complex Sphe re and Poin tat I nfini t)' 102
• + • • • • ~
2 .. 1S J n tegra I Represen I a t ion s • 104
... • • • ~ • ~ ~ • Palo A ItQ, Calif.. Augusl1966

En B.

Otapter J Uncar Differentia] Reina lions or Second Order
3.1 Ge neral Introduction. The Wronsk i an 123
• · • • • • .. ~
3.2 General Solution or The Homogeneous Equation 125
• • ~ • •
3.3 The Nonhomogeneous Equation. Variation of Constants. 126
• •
3 .. 4 Powe r Series Sol u t ions + • • 128
• ~ • .. • •
3~.5 The Frobenius Method. 130
• • • • • ~ • • • ~ •
3.6 Some other Methods of Solution 147
• ~ ~ ~
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VII .. ~

VIII CONTENTS

Trigo nome t ric Se r ies .. ~ +

Defini tio n .of F ou r ier Se r ies .. .

Exa mples or Fourier Ser ies · · ..

Pa ri ty Propert les. Si ne and Cosi ne Series Complex Form or Fourier Series . · Pointwise Convergence of Fourie r Series Convergence in the Mea n . . Applications or Fourier Series. .. .

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Cbapter 5 Tile Laplace T ransfonuation

s. I .s.2 5+3 5.4 5.S 5~6 5.7 S~8 5.9

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Ope rat i ona I Ca lcul us . . · ..

The Laplace In tegra I ~ ... Bas ic Properties or laplace Transform · The I nversio n Problem.. .. The Rat ional F ract ion Decomposition .. The Convolu tion Theorem ~ . . Additional Properties or Laplace T ransfo rm Periodic Functions. Rectification. · · The Mell i n 1 n version Integra' . . ..

A ppl ieations or Laplace T ransf orms

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Cha pier 6 Concepts or the 11teory or Distributions

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Chapter 7 Fourier Transrorms

7.1 Representations of a Function · ~ .. + • + ~. ..

7.2 Examples or Fourier Transformations · · .. · ~ ·

1.3 Propert les of F ou r ier Transforms • it +

1.4 Fourier Integral Theorem. ·

7+5 Fourier Transforms or Distributions. 41 • + +....

7.6 Fourier Sine and Cosine Transforms · · .. ~ · · · ..

7.7 Applications or Fourier Transforms. The Principle or Causality ·

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CON-tENTS

Cho pier 8 Part ia 1 Differentia I Equa lions

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154 155- 157 161 165 161 168 172

8.1 8.2 8~J 874 875 8~6 8.7 8~8 8.9

Chapter 4 Fourier Series 4.1 4~2 4~3 4.4 4~S 4~6 4.7 4~8

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The Stretched String. Wave Equation ~ .. ..

The Method of Separation of Variables ~

La place and Poisson Eq un lions .. ..

The Diffusion Equation .. .... ~ ~ ~ ~

Use of Fourier and Laplace Transforms ~ ~ . ~

The Method or Elgenfuncrion Expansions and Finite Transforms

Continuous Eigenvalue Spectrum . ....

Vibrations or a Membrane. Degeneracy. . ~ + .. ~

Propagation or Sound, Helmholtz Equation.. .

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Chapter 9 Specia I Functions

9.] Cylindrical and Spherical Coordinates

9.2 The Common Boundary-Value Problems .. ~

9.3 The Sturm-Liouville Problem

9.4 Self~Adjoint Operators ~ .

9 . .5 Legendre Polynomia 15 + ~

9.6 F ou rier - Legend re Se des

9+7 Bessel Functions

• • ~ • 4 ~

9.8 A ssoc ia ted Legend re F u net ions and Sp hcrica 1 H a r mon ics .

9.9 Spherical Bessel Functions + • .. + • • •

9~ 10 Neumann Functions + ~ ~. •

9~ 11 Modified Bessel Functions r

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179 180 184 187 189 194

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· 200 204

206 210

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Chapter ) 0 Finite- Dimensional Linea r Spaces

efta pter II I nfin i te- Dimensiona I Vector Spaces

] L 1 Spaces of Functions .

1 ~.2 The Postulates of Quantum Mechanics ~ 1 L3 The Harmonic Oscilla tor +

11.4 ] L5 11,6 lL7 11.8

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221 223 226 229 232 236 240 245 250 257

lOJ 1072 10.3 10.4 10.5 10.6 10.7 10.8 10.9

6.1 Strongly Peaked Functions and The Dirac Delta Function

6.2 De] ta Sequences . ..

6.3 The ll-Calcu Ius .. ..

6~4 Representations or Delta Functions .. ..

6.S Applications of The 6-Calculus ~ .. . ..

6.6 Weak Convergence ~ .. . .. ..

6.7 Correspondence of Functions and Distr ibu tions

6~8 Properties. of Distributions. ~ ..... + + •

6r 9 Seq uenccs and Series. or Distr i bu t ions · ~ ... · ·

6.10 {. Distributions in N dimensions. · ~ · · · · ·

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Oscill atio ns or Systems wi' h Two Degrees of Freedom Normal Coordinates and Linear Transformations . Veet 0 r Spaces, Bases ~ C oor d rna tcs . • • . •

Linear Operators .. f'...f atrices .. Inverses + - •

Changes of Basis ~ ~

Inner Product. Orthogonuthy. Unitary Operators.

The Metric. Generalized Orthogonahty . ~

Eigenvalue Problems. Diagonnlization ~ ..

Simultaneous Diagonalization . +....

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Matrix Rcprcscutu t ions of Linear Operators

A lgehra ic Methods of Solu t ion . + + • + +

Oases wi th Generalized Orthogonality •

Stretched String with ~, Discrete M ~L~S in the M iddle

Applications or Eigenfunctions ... ..

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287 291 295 297 299 304 308 313 319

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Oaapter J2 Green's Functkms

12~ 1 J n troducti on . •...•.

t 2.2 Green '5 Function for the Sturm- Liouville Operator 12 .. 3 Series Ex pansions for G (x It) . .. . .

12.4 Green 's Functions in Two Dimensions .. 12 ~S Green IS Functions r or I nitia I Cond i lions. . . 12L6 Green's Functions with ReHection Properties 12.7 Green "5 Functions for Boundary Cond itions

12.8 1be a reen's Function Method 12.9 A Case or Continuous Spectrum . . .. ..

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O&apter 13 Variational Metbod,fi

t 3.1 The Brach istochrone Problem.. . ~ . .. . .

13.2 The Euler - Lagra nge Equa ti on ~ . ~ . . .. . • . 13.3 Hamilton's Principle . .. .. .... ~ . 13.4 Problems involvi ng Stu rm- L i ouv ille Opera to rs . • . ~ .

13 +.5 The Ray leigh- R itz Method . .. · · •

13 L 6 Variati anal Problems with Con stra in ts. ......

13.7 Varia tional For mu la ti on of Eigenva lue Problem s . . .

] 3+8 Variational Problems in Many Dimensions. . .. . . . 13.9 Formulation of Eigenvalue Problems by The Ratio Method ~

ampler 14 Tnayeling W.'¥es, Radlalion, Scattering

14.1 14.2 14~3 14.4 14.S 14~6 14.7 J4~8 14.9

14.10

Motion or I nfini te Stretched Stri ng. ~.. ..

Propagation or Initial Conditions. . + •

Semi- infinite String. Use of Symmetry Properties . .. . Energy and Power Flow in a Stretched St ri ng . . Genera I ion of Waves in a Stretched String . .

Radiation or Sound r rom a Pulsating Sphere . . .

The Retarded Poten tia 1 ~ ... .•.

Traveling Waves in Nonhomogeneous Media .. .

Sea tteri ng Amp] i tudes and Phase Sh i rts. ....

Scattering in Three Dimensions. Partial Wave Ana lysi s ..

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Oapter 15 Perturbation Metbods

Chapter 16 T ensors

] 6.1 Introduction. ...

16+ 2 Two- Di men sional S tresses

1.5.1 15.2 15.3 15.4 15.5 15.6

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The Born Approximation ~. ~ ~

Pertu r ba t i on of E igen va lue Problems A •

Firs t -Order Rayleigh-Sch rodinger Theory The Second-Order Nondegenerate Theory The Case or Dege nerate Eigenvalues ~

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16.4 Algebra of Cartesian Te.nsors. . ~ . . . .. . 16.5 Kronecker and Levl-Civita Tensors. Pseudolensors . 16.6 Derivatives of Tensors. Strain Tensor and Hooke's Law • 16+7 Tensors in Skew Cartesian Frames .. Covariant and

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16~8 16.9 16.10 J 6~ II

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Contravariant Representations. . ~ ~ Genera I Tensors. . .. • . . . .. • Algebra of General Tensors. Relative Tensors . The C ovaria n t De ri va t ive .. .. . . . .. Calculus of General Tensors . . . .. .

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ClfAP'fER I

VECTORS, MATRICES, AND COORDINATES

1.1 INTRODUCTION

To be able to follow this text without undue difficulties, the reader is expected to have adequate preparation in mathematics and physics. This involves a good working knowledge of advanced calculus, a basic course in differential equations, and a basic course in undergraduate algebra, Rudimentary knowledge of complex numbers, matrices, and Fourier series is very desirable but not indispensable. As for the subjects in physics, the reader should have completed the standard undergraduate. training in mechanics, thermodynamics, electromagnetism, and atomic physics.

Des pile these p rereq uisites, a need is often recogn i zed r or revi ewi ng some or the preparatory material at the beginning or a text. Let us follow this custom and devote some time to the subject of vector analysis which has a bearing, in more than one way, on the material developed in this text. Of course, such a review must be brief and we must omit all the details, in particular those involving mathematical proofs. The reader is referred to standard textbooks in advanced calculus and vector analysis" for a full discussion. On the other hand, we hope to draw attention to some interesting points not always emphasized in commonly used texts.

1.2 VECTORS IN CARTESIAN COORDINATE SVSTEMS

I n many elementary textbooks a vector is defined as a quantity characterized by magnitude and direction, We shall see in Chapter 10 that vectors arc much more general than this, but it is [air to say that the concept or vectors was first introduced into mathematics (by physicists) to represent "quantities with direction," e.g., displacement, velocity, force, etc. Doubtless, they are the simplest and most familiar kinds or vectors,

As we well know, quantities with direction can be graphically represented by arrows and are subject to two basic operations:

a) multiplication by a scalar.] b) addition.

These operations are illustrated in Fig. 1.1 ..

j

I

* For exa mple t A~ E. Taylor, Advanced Cat Cit I us; T. M. Apostol, Mot hema I lea! Analysis ~~ W ~ Ka plan, Adoanced Calculus.

t Until we a re ready to discuss complex. vectors (Chapter 10) we shall assume that sea I" rs are real numbe rs ..

1

2

VECTORS, MA.TRICESt AND COORDrNATFS

1.2

1.2

VECTORS IN CARTESIAN (t)()RDINATE SYSTEMS

3

c) projection of a vector 011 an arbitrary direction defined by vector s (Fig. I .J):

b

OP = u, == II Cos.,p

~ u~ cos (s, i) + u .. cos (8; j) + u, cos {s, k),

F&pre 1.1

I n man y cases we can plot vari OUS vectors f tom a 'single poin t, the 0 rigin.

Then each vector can be characterized by the coordinates of its "tip." Various coordinate systems are possible but the cartesian coordinate systems are the most convenient. The reason is very simple and very deep: The cartesian ~~rdinates

1 of a point can serve as the ~mponenls or the corresponding vector at the same time.

This is illustrated in Fig. 1.2, where orthogonal cartesian systems, in plane and in space, are selected. Note that the three-dimensional system is "right-handed'";" in general, we shall use right -handed systems in this book.

d) scalar p roduct (dot product) of two vectors:

(u . v) = ltV cos (a, v) = U.rVz + IIJiJu + U,2V,U

e) vector product (cross product):

.\'

Figure 1.3

The important distinctive feature or the cross product is that [u X ¥] ~ [v X u], namely, it is "€?t commutative ~ rather ~ it is anticomrnutative:

u ... l

[u X -v] = -[v X uj.

y

- -- _.. -.------ 1

U I ,

1 I

~~~ -.'~~~.x

y

Remark, Apart from its important physical applications, the cross product of two vectors lead s us to the concept or H oriented a rea ~ ,~ The magn i tude or [u X "J 1 na me I y uo [sin (ut l')I~ is equal to the area or the parallelogram formed by u and 'f. The direction or [u X y] can serve to disti n gu ish the ., posi t ive side" of the pa ra I lelogra m f rom its "negative side." Figure 1.4 shows two views of the same parallelogram illustrating this idea. .'

Figure t.2

o

We can now associate wi th a vector u (in space) a set of three scalars (ux, Ulf~ U ,,)1 such that ).u will correspond to (AUXt ).ulP" ~u.) and u + , will correspond to (u:.: + 02;, Uv + v.' Uz- + V: .). N ate that no sue h re la t ions hold tin ge nera 1. ira vector is characterized by other types of coordinates, e.g., spherical or cyii ndrical.

In addition, orthogonal cartesian coordinates result in very simple formulas for other common quantities associated with vectors, such as

a) length (magnitude) of a vector:

Figure 1.4

,

Closely related to this property is the concept of a right-handed triple of vectors. .Any three vectors u~ 1', and w~ taken ill this order, are said to form a righthand ed (0 r posi ti ve) t ri pie if the so-called t riple product

'ul = u ~ (u! + u: + U~)1/2t b) projections or a vector on coo rd i nate axes.]

({a X v]· w)

u« ~ u cos (u~ I),

UlP' ~ u cos (u, j),

u, == U cos (u, k),

is positive." This happens if w is on the same side or the plane defined by the vectors u and v, as illustrated in Fig. 1.5r It is not hard to veriry that «(u X 'fJ + w) represents, in this case" the volume V of the parallelepiped formed by the vectors

U., 't and w~

-II

• Rotation of the x-axis by 9ft to coincide with the j-axis 8 ppea rs couniercloek wise for a 11 observers with z > o.

t S tanda rd nota lion is used: The sym bo 1 s i, ito k R re unit vectors in x- ~ Y"', and z-d i rections, respectively. The symbol (u, ,) stands for the angle between the directions given by

u and 'f.

--~----

• These vectors form 3 left-ha ndcd (ncga live) triple if (lu X "I + w) < 07

4

VECTORS, MATRICES, AND COORDINATES

1.3

1.3

CHANGES OF AXES. ROTATION MATRICES

5

Ex ere; SI!. Show tha t

v ~ I ((a X vl . w)1

tu )( rJ

----f\

------ I \

,,_.- \

1\ J,

J \ I"

I " f __ ~-j

I \ -- --, I

' ...... --

1 f

I I

J !

/ I

_ ....... ~\. f

_-- \ J

\ I '\r

([u XV]· w) ~ ([w X u1 . 1') = <lv X "I + u).

u = uxi + U.,j + f'.2k~

collect contributions to ll~ r rom the three vectors uri, uJJj, and lI~k, and obtai n

l4 ::::!!!!: u% cos (I', i) + 1I'J cos (I' ~ j) ~1- U iI cos (it:l k),

:-",here i~ is} or course, the unit vector in the x'-directionr Note that the cosines Involved are the directional cosines or the x'-ditection with respect to the unprirned system or, for that matter, the dot products of i' with I~ J, and k.

under any circumstances. Show also that the sign or the tr i p 1 e product is u nc ha nged under cycl ic permu ta lion Or U, Y" and "'t that is,

Figure 15

1.3 CHANGFS OF AXFS. ROTATION MATRICFS

We have seen that a given vector .. is associated with a set of three numbers, namely its components,· with respect to some orthogonal cartesian system. However, it is clear that if the system of axes is changed, the components change as wen. let us study these changes.

Consider, for vectors in a plane, a change in the system or axes which is produced by a rotation by the angle 6, as illustrated in Fig. 1.6r The old system is (x, y) and the new system is (x', p'). Since u = llzi + ullj~ the x-component or u is the sum of projections of vectors uri and uMj on the x'-axis~ and similarly for the y'-component. {From the diagram we see that this yields

y'

-

..

J

1 , •

i u~ = u~ COS (I + Uw SIn 0,

It is instructive to note that the angle between the x' .. and j-axes is (-tr /2 - 8) while the angle between the y.r_ and x-axes is (./2 + 6) .. In view or

sin , = cos (; - ,,)

Figure 1.6

X'

Figure 1.7

t

It is clear that similar formulas can be written for ,,' and u'. At this stage

h... u ~ ,

owever, It rs very C?nVenlent to switch to a different notation: Instead of writing

(u~, Uti' uz), let us wrrtc (u h U2, ua) and similarly (u;~ u~~ u;) for (u~,. u~" II~). Moreov~r, denote by amn the angle between the ,nth primed axis and the nth unprirncd aXI~ (three su .. ch angles are "larked on Fig. 1.6) and by U111n the corresponding cosme (that IS, flmn = cos amn)~ This new notation permits us to write the transformation formulas in an easily memorized pattern:

and

=-sin , = cos (; + 0) ,

we see that an [our coefficients in the above equations represent cosines of the angles between the respective axes.

Let us how turn to the three .. dimensional case. Figure 1.7 represents two orthogonal cartesian systems, both right-handed, centered at O~ It is intuitively clear that the primed system can be obtained from the unprimed one by the rno ... tion of a "rigid body about a fixed point.' In fact, it is shown in almost any textbook on mechanics] that such a motion can be reduced to a rotation about some

axis (Euler's theorem). "

,

r

U. = 0111/] + 012112 + a13u3~

U2 = Q21 U 1 + a22"2 + a23u~h u~ ~ D31Ut + a32u2 + 033U3,.

or, if desired, in the compact form

3

II:'" = L am nUn rl-=l

(", == ',2, 3).

• Instead of t I com pone n Is,' t t he: term "coord inn tes or a vee tor" is 0 ften used (see al so Sect jon 10.3).

t For example" Goldstein, Classicat Mt!c/lan;cst Section 4.6~

From this analysis we conclude that the new cornnonents (lI' uJ Il) can be

b · d I ~ 111 :2, .~

o tame from the old components (u [, 112J 1/.::1) with the help of nine coefficients.

•

•

j

6

VEctORS, MATRICES, AND COORDINATES

1.3

These nine coefficients, arranged in the self-explanatory pattern below are said to form a matrix." We shall denote matrices by capital letters ..

Columns

1st 2nd 3rd

A==

all al! a13
021 Q22 a23
031 032 033 3rd

lst

2nd Rows

Matrix A has three rows and three columns; the individual coefficients a .... ~re referred to as matrix elements, or entries. It is customary to use the first subscript (m in our case) to label the row and the second one to label the column; t~us the matrix element aJ;~ should be located at the in tersection or the kt h row with the /th column.

The set or elements in a given row is very often caned a row vector and the set of elements in a column, a column uector. This nomenclature is justin~d by the fact that any three numbers can be treated as compo~ents .or some vecto~ In space. However, at this stage it is worthwhile to make 8 digression and establish a geometric interpretation for the column vectors or A~ The reader should pay par-

ticular attention to the argume nt because or its general sign i ficance. .

Let us imagine a unit vector u~ Suppose the unprimed system was oriented in such a way that u was along the x-axis, Then the c?mponents o~ u are (1, 0, 0) and u actually coincides with the vector i. If the coordinate system IS now rotated" the new components of u are given by

u'i ~ al11 + al20 + a130 ~ alb u~ ;;:; Q21t + Q220 + U2.30 = U2 It U3 = Q311 + 0320 + a330 ~ a31"

We see that the first column vector of matrix A is composed of the new compo~ents or vector u. (-"In other words, we can say that the new components or I are (at h Q21, a3~) and we can write

i ~ a I 1 I' + a 2 Iii + a 3 I k' ·

Similar statements relate j and k to the second and third colum~ vectors of A. Note that in this discussion the unit vectors l, j~ k assume a. role lnder:cndent of their respective coordinate axes. The axes are rotated but the vectors I, j.,.k slay

in place and are then referred to the rotated system of axes, I

• M ore precisely ~ a 3 X 3 rna trix is .. form~~ The ~der can easily construct-an analogou s 2 X 2 matrix to account for two-dimensional rotauons.

1.3

CI-IANGFS OF AXESr ROTATION MATRICES

7

Exercise. Establish the geometrical meaning or the row vectors or matrix A representing a rotation.

The definitions introduced above allow the computation of (u~, u;, u;) from (UI ~ U2~ ua) by the following rule: To obtain Uk, take the dot product of the kth row of matrix A with the vector u, as given by the triple (u it U2, U3). Since in this process each row or the matrix. is "dotted" with (u., U2, ua). we may regard it as some kind of multiplieation of a vector by a matrix, In fact} this operation is commonly known as vector-matrix multiplication and is visually exhibited as shown:

Ul

•

•

Matrix A

Column vector u

CoJumn vector u'

As we seet the old components are arranged in a column which we shall denote by u. This column vector is multiplied by the matrix A and this results in another column vector, denoted by fl. The mUltiplication means, or course: Form the dot product 0/ the first row of A with u for the first component of U'I'· then form the dot product 0/ the second row of A with U 10 get U2' and slmitar/y lor u~ r The entire procedure is symbolically written as

Au = u',

Remark. Note that the set (u I" U2, uJ), arranged in a column, has not been denoted simply by u but rather by a new sym hoi u~· The poin t is that in the context of our problem, both u and u' represent the same vector u, but with respect to different systems or axes. We must think or u and II' as two different representations of U1l and the matrix A shows us how to SW itch from one representation to another.

Before we discuss further topics involving matrices, let us record the [act that our matrix A is not just a collection of nine arbitrary scalars. Its matrix elements are .interdependent and possess the rollowing properties ..

a) The .columns of A are orthogonal to each other, namely,

all a '2 + a 2 1022 + 03 l a 32 == 0, 012013 + a22a23 + 032Q33 = Ot a 1 3a 11 + 02302 I + a 3 303 I = O~

--

This property follows from the fact that the columns of A are representations (in" the new system) or the vectors i, 11 and k and these vectors are mutually orthogonal,

• The symbol u should not be confused with ful .. the magnitude of vector Ut which is also den oted by " (p.. 2).

8

VECTORSt MATRtCES. A.ND COORDINATES

1.4

1.4

REPEATED ROTATIONS. MATRIX _Ml)LTlPLICATION

9

b) The columns of _A have unit magnitude, namely, a1 t + a~ 1 + (1~ 1 = 1 to a~2 + a~2 + 0:2 = I ~ 2 + 02 + 02 _. I

a 13 23 33 - ~ "

from which it follows that

rt't' == (b IIUI I + bl2a'l + b13031)ul + (bltal2 +. b 12a22 + h] 3U32')U2 + (hllGll + b 12D23 + h13a33)U3,

1''i1 -

because I j, and k are unit vectors.

c) The row; of A are also mutually ort~ogonal a~d have unit magnitude. T~iS

is verified by establishing the geometrical meaning of the row vectors of A+

Matrices satisfying these three properties are caned orthogonal. W: may then conclude that the matrices representing rotations of orthogonal cartesian systems

in space are orthogonal matrices ..

Remark. There are or thogonal matrices which do not represent rotat'on~.. Rotation 1118 trices have a n add i tional property: thei r de term inan I (i. e. I the determina nt 0 r the equations on p, 5) is equal to +1. Otherwise, orthogonal matr~ces can have ~he d~te~~ minant equal to -1. The point is thot a rotation must yield a right-handed triple (i t J ,

k') or unit vectors since (i, it k) is a right-handed triple.t

(b2lall + h22U21 + baa031)UI + (b21Ul.2 + b22022 + b:l3U32)r/2 --f~ (b'IOI3 + h22D23 + b23Q33)U3t

(b310II +. b32021 + b3303J )Ul + (b31012 + b32022 + b33a32)~'2 + (b31D13 + b:J2Q23 + b33a33)uJ~

The maze or matrix elements above becomes quite manageable if we observe that every coefficient associated with Un is a dot product of some row or matrix B and some column of matrix A.. A closer look at these relationships leads us to the following statement: The element emn af matrix C is obtained by taking the dot product of the mth TOM) of matrix B with the nth column of matrix A ..

Now., if we record our relationship. in the vector-matrix symbolic notation

Un - 3 -

u' = AU,.

til = Bu',

u" = Cu,

1 .. 4 REPEATED ROTATIONS. MATRIX MULTIPLICATION

The matrix notation introduced in the preceding sections is particu!a.rly useful when we are faced with repeated changes of coordinate axes. In addl.tlon to the primed and unprimed systems related by a matrix A, let there be a t~lrd doubleprimed system of axes (x", y", 211) and let it be related to the primed system

by a matrix B:

then we are naturally led to the relation

u" = Cu = B(Au) ..

I t seem s reasona hie now to define the prod uct or two matrices, like B and A, to be equal to a third matrix, say C., so that the above relationship may also be written as·

u" ~ Cu = (BA)u~

In this sense we write

Evidently, the system (x", v", z") can be related directly to t~e system (x, y, ~J through some matrix C and out task is to evaluate the matrix elements C,nn 1£1

terms or matrix elements Qmn and bmn• We have

bit bl2 b13 ell Cl2 C13 bit bl2 bl3 all a12 a13
B= b21 b22 b23 .. b2t b22 h23
C21 C22 C23 - 021 Q22 °23
b31 b32 b33 C31 Ca2 C33 bal b32 h33 a,11 a3' 033 c= BA

and

ui ::::;: 0llU• + 012U2 + °13U.3t U2 = Q2t"' + 022"2 + 023U3~ u3 = 031 rll ;y. 032ti2 + (133"3,

given that the matrix elements or C are defined by the rule quoted above,

Having introduced the notion or matrix multiplication, we are naturally interested in determining whether it has the same properties as the multiplication of ordinary numbers (scalars). A simple check shows that the associative Jaw holds: If we multiply three matrices A1 B, and C in that order, then this can be done in two ways:

ABC ;= (AB)C = A(BC)

.

i

lli = b1lUI + b J 2U2 + blsUa, u~ = b21U'l + b22U2 + b23U;, U3 = b31UJ + b32,_'; + b33lla~

J

(where it is understood that the operation in parentheses is performed first).

~ ~

.. It will be shown in Chapter 10 that any N X N matrix which satisfies (0) and ·(b) must

also satisfy (c).

t See Problem 4 a t the end or this chapter +

• The difference is!' of course, that in B(A,,) the column vector u is first multiplied by A, producing another column vector which is, in turn. multiplied by B. In (BA)" the matrices are being mu~·tiplied first" resulting in a new matrix which acts on u.

10

1.5

SKEW CARTESIAN SYSTBMS .. MATRICES IN GENERAL

1 I

VECTORS, MATRICES,. AND COORDINATES

1.4

Exercise. Verify this statement.. [Hinr.+ Ir AB :::;;;; D, then the elements of D are given by 3

d ... ~ La .. ,b, ... 1-1

It may n~w be of interest to relate the elements or matrix B to those of matrix.

A. to obtain bmft w~ should, in principle, solve the equations on p. 5 for u I~ 112t ".3" However, In the case of rotations, we have a much simpler method at our disposal. Let us write the matrix equation BA ~ I in detail:

T? gel the first row of I we must take the dot products or the first row vector of B with each of the column vectors or A. However, we know that the latter are just the vectors I, J.t k in new representation. We see that the first row vector of B is orthog~nal to] and k and its dot product with I is unity. Consequently, jt could be nothing else but the vector i (in new.representation, of COUTse), and we conclude t hat b 1 1 = a I 1, b 1 2 = a 2 ],. and b 1 3 = a.s I •

Repeat this argument for the other rows or B and deduce that the rows of B are the columns of A and vice versa. This is also expressed by the formula

Develop the matrix elements of (AB)e and A(BC) in this fashion and veriry that they are the same.]

On the other hand) matrix multiplication is not commutative:

AB ~ BAt

and. furthermore, there is no simple relation". in general. between AB and BA. This noncommutativity feature precludes the possibility of defining "matrix division.H• However. it is possible to talk about the inverse of a matrix and this concept arises naturally in our discussion of rotations. Indeed, ir we rotate our orthogonal cartesian system of axes, the new coordinates or vector u are obtained from the vector-matrix equation

u' = Au.

Suppose now that we rotate the axes back to their original position. The new components of vector u are given by (u I, U2, U3) and the old ones are given by (u~t ui, U3); these components must be related by some matrix B:

u ~ Bu'.

100 010 001

bmn ~ Un 1ft.

Any two matrices A and B satisfying these conditions are called transposes of each other an? are denoted by B == AT and A = nT4 While it is "0(. in general, (rue !ha t the ~n\lerse an d transpose or a matri x are jd entjcal, this rule holds r or rotation rnatrices and is very useful,

1.5 SKEW CARTESIAN SYSTEMS. MATRICES IN GENERAL

If the coordinate axes in a cartesian system form angles other than 900 we have a ske.w cartesian system: Figure 1.8 shows two such systems, one in ~lane and one 1" space, along WIth the decomposition of a vector into its respective com ponents.

Combining these relations we obtain

u = B(Au) ~ (BA)u.

Therefore, the matrix BA must transform the components (UI~ U2t U3) into themselves. It is easy to see that this task is accomplished by the so-called unit matrix (Uidentity matrix")

I~

y

/_----~-----

100 010 001

•

Exercise .. Show that if u = (BA)" is to hold for an arbitrary vector u, then BA must necessarily be or the above form. In other words, the identity matrix is uniqlU?

It is now customary to call B the inverse of matrix A and to denote it by symbol A~l so that we have A~lA = I .. Since we could have performed our rotations in reverse order, it is not hard to see that AB == 1 as well, that 1St A~· A =/ AA-1 and A = 0;--1. While two rotation matrices may not commute, a rotation matrix always commutes with its inverse.j

I I ,

I

I

I

.. ~~~

r

~~~ ~~~'~~X

• If we write AlB -= X the question would arise whether we imply A ~ BX or A ~ XB4 t See Section 10 .. 4 for a genera' statement to that effect.

-"I'

»>:" \

_. I \

I \ , / \

\ I \ ___.,.y

\ I \~

\ ud j \

\~ - ___.!. ._

"\ ~ ...- t1

~.,.:;. __ -\--- \ -- -- -- ..- I

'lr----'\ ,

, \ I

I .... I

I \

f \ I

f \ }

I \ I

, Y

I _ ....

...... --

Figure 1.8

x

12

VECTORS" MATRICES, AND COORDINATES

I.S

I ~5

SKEW CARTESIAN SYSTEMS. MATRICES IN GENERAL

13

Skew systems are specified by the angles between the axes (one in pl ane, three in space) which may vary between 00 and 180". As before, I, j, and k will be used to denote unit vectors in the direction of axes. Note that we can still talk about right-handed systems in space. where the vectors I~ jt k (in that orderl) form a right-handed triple ..

The vectors are added and multiplied by scalars according to the same rules that were stated before, However, the length ofa vector is now given by a different formula. For instance, for a plane vector we have from Fig, 1.8(a), by the cosine theorem.

tul2 :::: u= + u~ ~ 2uzuu cos ( • .__ t/J) = u! + u~ + 2uzu" cos.

Ther~ is no ,difficulty now in establishing other formulas for skew systems, in plane or In space. We shall not go into these details but rather consider another

• •

important question: the transformation of coordinates from an orthogonal to a

s~ew system of axes, Consider, for instance, Fig. 1.10; here a skew x'y'-systenl with unit vectors it and jt is superimposed on an orthogonal xy-systenl with unit vectors i and J. ,A given vector u can be represented either as U == u.zi + II 1 or as

u = u~i' + lI~j'~ y

Y y'

In general, the dot product is no longer given by the sum or the products of components, but by a more complicated formula. As a matter of fact we shall even introduce a new name for it and call it the inner product of two vectors which is then defined by

(u ~ v) = lut · '''I . cos [u, ,)~

Figure 1.9

so that

p

P'

----------- M

~ I I I I ,

,\--t

I 1 I I , I

Figure 1.10

The reason is that we would like to retain the name dot product to mean the sum of the products of components of two vectors, regardless of whether the axes are orthogonal or skew."

The derivation of a formula for inner product in a skew system is greatly facilitated by its distributive properly, namely,

(u 4 (', + w» ~ (u· v) + (u ~ w) ..

Although it =::: J, the components fl~ and 1I~ are not equal; rather, we have

Also,

u~ ~ OQI = OQ - QIQ = u~ - "utany.

" .......

We see that the new components (u~, u~) are linearly related to the old components (fix, flu) and this relationship can be represented by means of vector-matrix mult iplication:

Indeed, from Fig. 1.9, no matter which coordinate system is used, we see that

However, MN ~ MP + PN; since MP is the projection of v on u, we have lu) · (MP) ::= tu,· I't · cos (u, y), and similarly for PNj establishing the result. Note that this argument is also valid for vectors in space.

Now we .can writef for two vectors in a plane u = u%i + urj and " ~ vxi + oJ: ;

(u . v) == (uzi· v,;!:i) + (uzi· Vyj) + (uJlj· vzi) + (uri· oJ) = U%V:r + ".tV, cos fJ + IItPs cos e + utPv"

Note that this formula reduces to the usual dot product when ~ = 900.

ll~ 1 - tan "Y

rl~ 0 sec y

..

This can be written symbolically as

II' = AlI~

where If' stands for the column vector (II~, It~)t and II stands for the column vector (uX" till)· The obvious difference from the previous cases is that the matrix A ~s no longer orthogonal, Its inverse A-1 is readily calculated by solving for fix, "» 11l terms or lf~., It~ and it reads

I

i! $: With this distinction" the dot product becomes an algebraic concept (rererrin,k to the

i~ components) while inner product is a geometrical concept, independent of the coordinate ,.', system ~ The two are identical provided the system is orth ogonal.

t Since (u : Y) -= (Y <I u)~ the second distributive law «(0 +' 'Y) 4 w) ~ (u-~ w) + (, · w) is trivial.

I

•

SIn 'Y

o cos l'

Note that it is no longer the transpose of A.

14

VECTORS; MATRICES" AND COORDINATes

1..6

L6

SCALAR AND VECIOR. HELDS

15

I t is still tr lie th at the columns of A are the old un i t vectors in new rep resen ta .. lion (Fig .. L II)" that is,

and we write

i = i' ~ 1.. i' + o· j'i

j = - tan ~ . i' + ·sec l' · j' ..

Such vectors can be differentiated with respect to the variable t according to the definition

The rows or matrix A do not have a si mple geometrical i nte rpretatio n, but the columns or matrix A-1 do have one .. •

From the above analysis we may conjecture that, in general, a change from one set or unit vectors to another in a plane or in space involves a linear relationship between the old and new components of a vector, expressible by a vector-matrix multiplication II =t Au (A. is a 2 X 2 or a 3 X 3 matrix). We shall consider this prob1em in detail in Chapter 10. For the time being we shall mention the fact that not every matrix A can represent such a relationship. Consider, for instance, the following hypothetical relation betwee n the new a nd old coordi nates or some vector u:

d u(t) ~ lim u(t + dt) ~ u(,) ..

dt 4 '--+0 Ilt

With u(t) and u(t + Ill) expressed in terms of their components, it is trivial to deduce that

d () _ duz• + dUJJ j + du, k

-u t - -I - -

dt dt dt dt

A-

4 ~2 2 -I

y

so that the operation of differentiation or a vector is reduced to differentiation of its components.

While vectors depending on time are widely used in mechanics of particles, we shall be more interested in another type of variable vectors: those depending r on space coordinates (x, y, z).* Such vectors are said to form vector fields and

can be denoted as follows: .~ - -

u~ ~ 4uz - 2u",

If we attempt to solve these two equations for Uz and u .. we find that they have no solution if u~ and u~ are arbitrary. We say that the matrix

u = u(x, Yf z) :::::: Ui:(x, y~ z}i + UII(X~ y, z)j + u.t(x~ y, z)k.

Common examples are electric and magnetic fields in space, velocity field of a fluid in motion, and others.

The simplest kind of such a field j s pro bably the so-called gradien t fit Idt which can be derived from a single scalar function 'P(x~ y, z), usually referred to as a scalar field+ Familiar cases or scalar fields include the temperature distribution in a solid body, density or a nonhomogeneous medium, electrostatic potential, etc.

A scalar field gives rise to numerous other quantities through its various partial derivatives. J n particular, let us concentrate our a Itention on

a) the total differential

does not possess an inverse; such matrices are

called Singular matrices. It is not difficult to see that Figure 1.11

in this example the pair U~t u~cannot possibly repre-

sent an arbitrary vector in plane: Our equations imply u~ == 2u~ so that there is only one independent component instead of the two required for a plane.

Remark; I t is of interest to note tha t i r u~ = 2u ~ is ac tua II y satisfied, ou r system of equations has an infinity or solutions for u ; and u. (since two equations reduce to a single one). Furthermore, if an additional requirement U:r; = 2u" is imposed, the system has a unique solution (u;:r = iu~; uJi = !u~). All these features. should be remembered since they are important in physical applications.

a f{) iJ V' 04(J d.

dqJ = ~~ dx + ~ dy + - z

ax iJy iJz· ~

1.6 SCALAR AND VECTOR FIELDS

1 So far we have been discussing constant vectors, but we can also contemplate ~ vectors which depend on one or more variable parameters. The: simplest example is, perhaps, a position vector which depends on time t. In a fixed coordinate J system, this is equivalent to saying that its components are functions of time

and

b) the directional derivative]

~ ~ ~ce ~ + o.p dy + DC(' dz .

ds iJX ds ay ds iJz ds

• If A were orthogonal, the rows of A would be identical with columns or A-I (see PP+ II and 440).

\

t

I

• These vectors rna y a] so de pend on time, bu t we sha 11 be mostly interested in ins ta n taneous relationships, where t ha s some fixed value ..

t This is also called COrl .. sercatice flettl or potemial field, , -~ .. r.,

t Rate 0 r c ha n ge of ." pet un i t length in some PH rtlcu 18 r d i rec t ion cha rae ted zed" sa Y t ._~~ ~ ~ f""b.."t ~ the clement or arc ds or some curve. See, e.g., Apostol, p. 104~ <~' -. ·

j

.....

,

, .

" • II ..

16

VECTORS~ MATRICES~ AND COORDINATES

1.6

1.6

SCALAR ANn VECTOR AELDS

17

The expressions on the right-hand side or the equations in (a) and (b) have the appearance of a dot product, It is convenient to define the gradient or a scalar field ~(Xt Yt z) by the vector

dOl(! • + 8q; • + iJ'I' k

gra '{J = ~ I ~ J -.

iJx iJy (Jz

d", = (grad tp . tis)

and

d", ds

(grad f{J • so),

is such that it contains some neighborhood of everyone of its points, then it is called an open set. For instance, the interior of a cube is an open set; we can always draw a small sphere about each interior point which will lie entirely within the cube. However, the cube with boundary points included is no longer an open set.

The reason these con cepts ate needed is that partia I derivatives of a function in space are defined by a limiting process that is tied to a neighborhood. We must make sure a region is an open set before we can say thatf(xt Yt z) is: differentiable in this region.

In addition, we shall be mostly interested in connected open sets, or domains, These are open sets any two points of which can be connected by a polygon~ i.e., a curve which is formed by a finite number of connected straight .. line segments. From now on we shan assume that all our piecewise smooth curves lie in domains where the functions under consideration (scalar fields and components or vector fie ld s) possess con I in uous firs t-order part ial derioa I ioes.

let us now return to the properties of gradient fields. Suppose that

Then we can write

where ds ::::::: dx i + dy J + dz k represents infinitesimal displacement in some direction and

dx • + dy • + dz k

So ==== ~ I - J ~~

ds as ds

is the u nit vector in the speci lied di recti on. *"

Since every differentiable scalar field generates a gradient field, it is natural to ask whether any given vector field u = u(x~ y, z) may not be the gradient of some scalar v- The answer is negative and this becomes clear as we examine the basic properties or gradient fields, In this survey we shan need certain assumptions regarding the differentiability of various functions and analytic properties of curves and surfaces involved in vector analysis. We shall mention these assumptions as we need them. In many cases they can be relaxed and the results can be generalized, but we shall confine ourselves to the common situations encountered in physics ..

A curve in space is called smooth if it can be represented by

u = grad fP(x~ y, z) and consider the following integral between points

and

N(x J,. Y l~ Z i)~

taken along some curve C:

x = x(t)~

I I ,

,

jN iN (Of{' a" o'P)

(u · ds) = ~ dx + -- dy + -~ dz ·

M hI ax ay iJz

Along C Alon~ C

y = y(/).

Using the parameter t 3S the variable of integration, we have

where x(t), yet), and z(t) have continuous derivatives with respect to the parameter t (for a curve in a plane, simply set z = O)~ Smooth curves possess tangents at all points and a (vector) line element ds can be defined at any point The smoothness also guarantees the existence of line integrals.j This 1ast property is trivially extended to piecewise smooth curves; i .. e., those consisting of a finite number of smooth p3~tS. We shall assume that all curves considered by us are piecewise

smooth, .J _

Regarding the differentiability or various functions, we must remember the following definitions and statements: the interior of a sphere of arbitrary radius if (usually thought to be small) centered at some point M(x, y, z) is called a neighborhoodt. or this point (in a plane, replace "sphere" by "circle"), If a set or points

(

• • f

.. Observe that dxfds = cos (so, i), etc." are the directional cosines of the «iirectlon

defined by tis or by so~ ..

t We shall assume that all integrals are Riemann integrals Which are adequate for our purposes. For example. see Apostol p. 216.

t A more precise term is an f~ neighborhood.

where (0 and t I are the values or the parameter t corresponding to points M and N. We see that the integral is simply the difference or values or fP(x, y~ z) at points Nand M and, therefore, is independent or the choice of curve C.

Conversely, if the integral

f: (u - ds)

is independent of path,* then keeping M fixed and treating N as a variable point, f we can define a function I

h(;I:+Vl z) 1 (:t.II.·U

",(x, y~ z) = (u · ds) = (Uz dx + fly dy + u, dz).

At ~f

• From n ow on t we sha I J occa siena 11 y u se the term 4' pa th" to ind iea te a piecewi se smooth curve ..

18

VECTORS, MATRICESt AND COORDINATES

I ~6

1.6

SCAt.AM. AND VECTOR FIELDS

19

N

and the statement u; = ar.p/C2 follows from the fundamental theorem of inte~ral calculus,

We have then established the following theorem: The necessary and sufficient condition that u = grad q; is the independence of path of the integral f (u · tis).

An alte rn ative way or statio g th is result r allows from consideration of the integral

closed paths. In the rather exceptional case when C I and C 2 cross each other an infinite number or times, a limiting process can be invoked reducing this case to the preceding one."

Remark; Within the context of the above discussion, it is emphasized that by "P(x~)" z) we mean a well-defined jingle~valued functiont over the entire domain and nothing short of th is requ iremen t will suffice. J n rna ny treatments l of the magnetosta tic field HI one introduces the so-ca lied sea lar magnetic potentia I X so that H = grad X and yet the c i rcu la tion or H does not van ish over some contours. However ~ ina 11 such cases it is im possi ble to define X un iq uely over the en t ire con tour (f or those contours r or which it is possi ble, the ci reu la ti on or H does indeed va n ish).

It should now be clear that many vector fields do not rail into the category of gradient fields since it is easy to construct a vector u for which the integral f (u .. rIs) will actually depend on path. It is perhaps even easier to sketch some sue h fiel ds, a task rae il ita ted by the in trod DC ti 0 n of the co nee pt of ./if! Id lines. These field Jines are cu ryes wit h tan gents directed along the vector field u at every poi nt. For instance, Fi g.. 1.13 shows the velocity field (in the plane) of a fluid rotating around a circular obstacle, In this case the field lines are the trajcctories along which the particles of fluid actually move.

M

(a)

(b)

Figure 1.12

It is now simple to show that grad .p = n. For instance,

.', $

(J

c

over a simple closed path C, caned the circulation of vector D around C. By simple closed. path we mean a closed path which does not in tersect itself. *

The following theorem holds: Tire circulation of U vanishes for an arbitrary simple closed path C (in a domain D) if and only if the integral f~ (u . cis) is independent of path (ill D)~

Indeed, let C (Fig. 1 ~12a) be a simple closed path. Choose two arbitrary points M and N on C and write

i" .-4 ~~ ! t.;. :: ; l • ~~H ..

. . .

.. ". ( ~ ... "

·l·~ . ·'t •. ;

• . I

N fM IN (N

fo (u · cis) = 1M (u + tis) + }N (u + ds) = N (u + ds) - JM (U' tis).

: AlonlJ' C I Aloo:IJ C 2 A 'onl C 1 AloBI C:!

FlKW"e t."4

l

i

It is evident that the circulation or the velocity vector u around anyone of the circles in Fig. l.13 cannot be zero (the product u · tis has the same sign at each point of the circle). Consequently, the above field cannot be a gradient field.

The velocity field of a fluid is, perhaps, the best starting point for investigation or 0 t her types of vector fields because it na tu rally leads us to another r undamental concept: the flux of a vector field.

Consider the element dS of a surface S (Fig .. 1 .. 14). Just as in the case of curves, we shan deal only with piecewise smooth surfaces, i.e., those consisting of

t

If the integral It: (u ~ ds) is independent of path. the right .. hand side vanishes and the circulation is zero ..

Conversely, if two paths eland c 2 connecting two points (Fig. 1.12b) do not intersect (in space), a simple closed path can be formed from them and the above equation holds, If the left-band side is zero, so is the right-hand side,

. ... .

yielding the j nde pendence of path. If eland c 2 intersect a finite number of times,

the proof is obtained by splitting the closed path into a finite number of simple

.. -.

• This property permits us to assign the direction of integration around the curve, char-

acterized by the vector tis, in a un iq ue rash ion + .

.. The deta ils may be found in o. D.. Kellogg,. Foundations 0/ Paten ,ial Theory.

t A rnu 1 t iva lued function is not One function, bu t a collection or several dilTeren t fune tions, t For exam ple, Reitz and Milfo rd. Foundations of Electromagnetic Theory; Section 8.8~

20

VECTORS~ MATRICES" AND COORDINATES

1.7

1 a finite number of smooth portions. By a smooth surface we mean a , represen table by

) x = x(P. q). Y = y{p, q), z = z(p, q),

where p and q are independent parameters and the functions x, y, and z have continuous fi rst partials with respect to p and q in the domai n u nde r consideration ~ Smoot h su rf aces possess ~angen tial pla nes at all points and ca n be oriented; that is t we can distingu ish betwee n the positive side a nd the negative side or the surface ~ We shall also assume that our piecewise smooth surfaces are constructed in such a way that they are orien ted ~. I t is customary to represent surface elements dS by vectors tIS or magnitudes that are directed along the positive normal to the surface. as illustrated in Fig .. 1.14.. Suppose that the vector field u represents the velocity of a moving fluid. It can be seen that the inner product (0 .. dS) represents the amount or fluid passing through dS per unit time. Indeed, the particles offtuid crossing dSat time t win occupy the face ABeD of the shown parallelepiped at time t + dt and all particles of fluid which have crossed dS between I and t + dt will be located at t + dt inside the parallelepiped. Consequently, the amount of fluid passin g through dS in the inte rval dl is given by the volume or the parallelepiped. equal to

surface

dS· lui . dt cos 9 = (u .. dS) dt.

Divide by dt and obtain the desired statement ..

By analogy with these observations, we define" in general, the flux or a vector field u through a surface S by the surface integral

4> = IJ(u. tIS).

8

In this formula, S can be either an open or a closed surface, A very familiar case of the latter is fou nd in Gauss 'I theorem in elec trosta tics ..

1.7 VECTOR FIELDS IN PLANE

According to the material of the preceding section, integrals representing circulation and flux are important in the study of vector fields. For vectors in a plane, the circulation integral has the form]

1c (u· ds) = fc (uo: dx + ulIdv)·

Integrals of this type can be analyzed by means of Green's theorem; If CIs a (piecewise smooth) simple closed curve in a simply connected domain D and if P(x? y)

~ ....

* For details, consult, e.g., Kaplan, p~ 260 et seq. .

t U nless stated otherwise, it is con Yen tiona I to ta ke the d lrec lion or in tegm tion in sue h in tegrals, i.e., the orientation 0 r ds, as coun terc lor It wise.

~

i

VECTOR FlELDS IN PLANE

21

}'

y

I

I

1

,

Si m ply con nected d om a in

Doe bly connected domai n

Figure 1.15

and Q(x~ y) have continuous first partials in D, then

t (Pdx + Qdy) = If (~~ - ~~) dS

s

where S is the area bounded by C.

The importance of the requirement that C is a simple closed curve (see p. 18) r· ~ lies in the fact that we can distinguish the interior or the curve from its exterior

by the following rule: As we proceed along the curve in the direction of ds we designate the region appearing on our right as the exterior and that on our left

as the interior ~ If the curve crosses itself such a formulation leads to contradiction

as should be obvious by considering a curve in the shape of a "figure eight. H

A domain in a plane is said to be simply connected if every simple closed curve in it has its interior inside the domain as wen. Figuratively speaking, a domain is simply connected if it has no "holes" (Fig. 1.15)~

Without going into mathematical details we shan sketch a possible method or proving Green's theorem which greatly facilitates its physical interpretations. First of all, note that P(x, y) and Q(x~ y) can always be treated as the components uz(x~ y) and ulI(x:. y) or some vector field, and we shall adopt, for convenience, this identification. Let us now divide the area S into a network of meshes, as illustrated "in Fig. 1.16(a). Taking the integrals f (u ~ ds) around each mesh in

y

-..---___,.. x

Ca)

(b)

Figure 1.16

22

1.7

VECTORS, MATRICES,. AND COORDlNATES

counterclockwise direction we can easily deduce that

t a (U . tis) = L. f (u· tis).

An Inf:!:PI..lIIeI

(The contribution from a common boundary between two meshes cancels out beca use or opposite orienta ti ons of vectors ds for each mesh; this leaves only the contributions from the pieces or c.) Furthermore, multiplying and dividing each term in the sum by the area 4S or each mesh, we obtain

£ (u · ds) = L .1('£.;5) lJ.S.

AU lTIc:.hel!t

Suppose now that the number or meshes is increased to infinity and that each mesh" "shrinks to a point" so (hat AS -4 O. If the limit

I· flu · ds) ~ £.( )

un AS - J'X,y

48-0 LJ.

exists and is independent or the shape or liSt· then the sum reduces to an integral and we have

f c (u · ds) = If f{x, y) dS.

s

Therefore, it remains for us to evaluate the function f(x, y). A typical mesh is shown in Fig. I <P 16(b); it need not be rectangular since the arguments presented below are valid for an arbitrary shape. If u« and u" have continuous partials,

then we can write ",.

(Ur)M r..J (u,,)p + (~;) p (x - ~) + (~;) p (y - 'l)

and

" (au~) (8Uu)

.. (U,I)M ~ (u,)p + -iJ~ (x - t) + -~ (y - '1)

" x r ~ p

with the approximations being within the first order in [x - EI and Iy - '1i·t Here P(~t '1) is the fixed point to which AS ultimately shrinks and M(x, y) is an arbitrary point on the boundary or the mesh. Writing now

,

• Except that the largest diameter or AS must approach zero; t he mesh should not become

infinitesimally th i n wh ile reta i n in g finite length. ~ "

t By the theorem on existence of to tal d i IT eren tia 1, gu a ran teed by th e con tinu i ty of pania I d eri va ti yes.

,

1.7

VECTOR fIELDS IN PLANIl

23

we see that the following six integrals win be needed:

f x dy,

f y dx,

f x dx,

tydy.

,

t

i i

, '

The first two are zero, the second two are +AS and -AS, respectively, and the i!: last two are zero. As a result, we have II j

f ( (aull au%)

u · cIs}~ - - - AS.

ax ay p

Con sequently I

f(x, y) = lim .I(u· ds) = <lull _ au~ t

A 8 0 JlS ax ay

~he re t~e stipulation that the pa rtials are to be calculated at P( E t 1J) can be omitted smce P IS now an arbitrary point within C. \\'e havethen the result

which is simply Green's theorem in our notation.

With regard to a vector field u = uzl + Ul'jt the function f(xl' y) is known as the curl of u so that, by definition,

curl u = lim ;-(u· tis) .

48---.0 AS

We have then evaluated the expression for curl u in (orthogonal) cartesian coordinates in plane:

auy (Ju%

curl u == ~ - ~ .

ax By

Remark <P Attention is d ra wn to the r act tha t, for a vee tor fie Id in a plane curl u is essentiall y a scala r $ and not a vee lor. The point is tha t by vectors we must mea n quan t i ties ex pressible as ai + hj a nd curl u is defi n i te Iy not th is type. whether or not we in trod uce the third axis ..

A vector field u which has zero curl at some point is called an irrotational field (at that point). Ir u is irrotational in a simply connected domain, then by Green's theorem, it is a conservative field (gradient field) in this domain, i.e., it has zero circulation. The converse has to be worded rather carefully: If u is a gradient field (uarnely, u = grad ~), then it is irrotational provided q7 has continuous secondorder partial derivatives.

• In 8 more ela~rate. no~enclature, curl u is c~l1ed pseudoscalar due to its peculiar prope rty 0 r c ha n gl ng sign J r l he x .. and j-a xes a re I nterchan ged. See Sect ion 16 .. 5.

24

VEcrOItS~ MA.TRICES~ AND COORDINATES

1.7

z

y

Figdre 1.11

FIRW'e 1.18

Example. The magnetic induction field (B-field) due to an infinite currentca rryi ng wire is known to be (0 utside the wire)"

B = 2",01 50 (M KSA units).

1fT

In the xy-plane (as shown in Fig .. 1..17):1

B == - B sin 8 ~ _ IJol Y =

% 211r r

p.ol x

B'II = Bcos 0 = ~2 2 + 2

r X Y

This field hap pens to be j rrotationa 1 everywhere except at the origin, Theref ?re ~ (8. tis) -== 0 if C does not encircle the origin, but not otherwise. A function X{~, y) may be found such that B = grad x in a simply connected domain D, out this can be done only if the domain does not contain the origin.

The B .. field inside the wire is known to be

1-'01 Y .

-- ,.

2,.. x2 + y2

1-'01

B = 21rR2 r50,

J

where R is the radius of the wire. Here B; = - (p.ol/2?iR2)y and BJI ;= (l-'ol/2 .. R2)x~ The field is not ir rotational and cannot be re p resen ted as grad 'I' an yw here.

Let us now t ur n our attentio n to the concept or flux r or vectors in plane. obvi ous analog to the tbree-d imensional case is the integral

• <) = Ie (u · no) as = Ie (u · an)

The

t •

I

taken over a curve C (not necessarily closed) with no being the unit normal to the curve and dn == no ds .. This Is illustrated in Fig. L 18.

• So is the unit vector tha t is ta ngen tia I to the circle d ra wn a round the ax i~ of the wire.

VECTOR RELDS IN PLANE

25

Exercise, For a flow of fluid in a plane, relate the integral ~ above to the amount of fluid crossing the curve C per unit time. Specify physical units or all the quantities used.

In many applications .. the nux through a. closed curve is involved. Evidently if ds :::::: dx i + dy jt then*

!

I

dn ~ dy i - dx ]

and

1. (u- dn) ~ ,[ (u:r dy - lIy dx).

fc fc

Setting P ;;; - lIJit Q ::::::; UZt this integral can be transformed by means of Green's theorem so that

provided, of course, that the partials are continuous everywhere inside C ..

This relationship is usually referred to as the divergence theorem (in a plane) and is written as

1e (u . dn) = II div u · dS,

s

where

d. oU:c aUIJ JVU = ~ + ~ ax ay

is another function derivable from a vector field and is known as the divergence of u,

While the above derivation is straightforward, it does not reveal the geometric (or physical) meaning or div u~ It is instructive to invoke the technique used in Green's theorem: Dividing the area S into a network of meshes, we find that it is not hard to establish that

f (u- dn) = L F(~~dn) AS,

All hlefllhei=

because the vectors dn at the common boundary or two adjacent meshes are oppositely directed, This observation permits us to define the divergence of u as flux out of an infinitesimal area (per unit area), namely,

d. ]. §(u .. dn)

IV U = 1m -~ •

68~O AS

Exercise. Derive the formula div u = fJu~/ax + du"joy starting from the above definition and using the arguments analogous. to those for curl u. Spell out the conditions required in the derivation.

• I t is a 5 ta nda rd conven tion t ha t for c lased curves ina pla ne (8 nd c lased surfaces in spa ce) the posi tive norma I is the ou twa rd - poin tin g norma 1 ~

26

VECTO~ MATRICB, AND COORDINAT~

1.8

Remark. From our definitions or curl. and div u it is seen that both represent a new kind . or deriva live, no mely, a deri va live with respect to infi ni tesi mal 8 rea ra ther than inf n i tesimal displacement:

. ';(u . ds)

curl u = hm as t

43-+0

It maybe of interest to mention that the grad ien t of a sea 18 r fie Id fJ ca n be represented in a similar fashion; i.e., the rollowing statement holds:

'-qJ"dn

grad VJ = lim IlS ·

&8·-- .. 0

Another in terestin g observa lion is that curl u can be re la ted to an integral i nvolvi ng do and di v u to an in tegral involving ds ~ Indeed, the identities

(u · tin) = [u X dsJ.

(0 ~ ds) = [dn Xu),

are not hard to verify provided we treat the cross product or two vectors in plane as a scalar, which is the logical thing to do.· Consequently, the following statements also hold:

+ Jf[dn X uJ

curl u:;:;:; lim IlS '

AS ...... 0

d· I· ,[u X tis]

IV U o:w;;; 1m •

.68 ..... 0 liS

Vector fields which have zero dive rgence are ca lied so len 0 ida I fields. They are very common i n physics. For instance, the electrostatic field is solenoidal in the absence of charged matter; the magnetic induction field is so Jen oidal everywhere.

)JI VECTOR FIELDS IN SPACE

We would now like to extend the analysis of the last section to vectors in space. We shall start with the flux or a vector field u through a closed surface S, because th i s j nte gral is, pe rha ps, easiest to hand Je. I treads

4> = # (u · dS) = # (u~ as, + ull dSII + u, dS.).

S 8

where dSzt dSFJ~ and dS~ are projections or vector dS on the coordinate axes.

Integrals of this type can be handled by Gauss' theorem: 1{ S is a (piecewise smooth) closed orientable surface contained, along with its interior, ill a domain D and if L(x't Yt z)t M(xt Y, z), and N(x, y, z) have continuous first partials in D, then

# (LdS" + M dSII + N dS*) = Iff (:; + ~~ + ~~) ev,

8· V ' ;

~

where V is the volume bounded by S.

• A typica I cross produc t or two vectors in physics is the tor-que r ~ (r >< FJ which, for vectors in a plane, is completely described by magnitude and sign (clockwise or counterclockwise). See (he remark on p, 23 which rna y lea d to a conjecture that the cross product ina plane is a pseudosca la r (a nd, indeed, i 1 is).

1.8

VECTOR AELOS IN SPACI!

27

y

- --~r

____..--- _ .

Ax ----

l~

x

Figure 1 .. 19

Gauss' theorem can be restated in vector notation, by identifying L, M't and N with the components of a vector field u = u%i + "IIi + u~k. The concept of divergence of u,

d. iJu~ + dUll + au~

IVU = - ~ -,.

ax ay iJz

is readily introduced so that Gauss" theorem can be rewritten as

# (u · cIS) = Iff div u · dV

8 v

and is often referred to as the divergence theorem ..

The deduction of this theorem can be done again by a method analogous to that in the preceding section. In this case we cut the volume V into small pieces, say, rectangular .blocks, one of which is shown in Fig. 1.19. If we calculate the flux or u through each block and add aU the results, we must obtain the flux through the outer boundary S; just as before, the nux or u through an interrace between two blocks must appear in the sum twice, but with the opposite sign because or the changed direction of the "outward normal" (see the footnote on p. 25)~ Consequently,

# (u- dS) = L #(u · dS) t.V AV

S AI!

bJock!l

introducing, for an obvious purpose, the volume AV of each block. We now define the di vergen ce of u by means or

div tI = lim #(u' dS) .

dV--+O t..V

Gauss' theorem can now be deduced by ironing out the mathematical details and developing the formula for div u in cartesian coordinates, We shall

28

1.8

VECTORSt' MATRICES, AND CooRDINA.TES

give a simplified version or this from the consideration or a rectangular block d V (Fig. t .19).

It is not hard to show that the nux of u through a rectangle such as ABeD, is given- within the first order in Ay and az by

WABeD ~ (u%)p &y dZ,

where (u~)Pt is calculated at the center P of the rectangle. Indeed, for any point within ABeD we have

u; ~ (uJ:)p + (~;)p (y - If) + ea';) r (z - n

and the last two terms yield zero when integrated over the area ABCD.

Consequently, the flux of u through the face A' B'C' D' is to be determined by the value or u~ at the center of this face and is given by

[(Us)p + (~)p ~]LlYt\z.

Similarly, the flux through the opposite face is

There is a minus sign in front because we now want the positive normal in the negati ve x-direction, Addin g these two fluxes we obtain

(~~) p Ax Lly Llz.

!he fluxes through the other four faces are obtained in a similar way leading to the statement about the fl ux through a small pa rallelep iped I:J. V:

4J ~ (8U;:c + au,I + au~) ~v

4V~ ax ely iJz •

, I

The expression for divergence now readily follows and concludes our analysis,

Let us now co nsider the question or circulation of a vector in space. Such an integral has the form

t c (u · ds) = f c (u", dx + u'" dy + u, dz).

•

and we shall assume that C is a (piecewise smooth) simple closed curve in space.

It need not be a plane curve but we shall assume that it can be spanned by a (piecewise smooth) orientable surface S; that is, C can serve as the boundary, for such a

• Assuming a positive normal in I he positive x-d irection,

L8

VECTOR flELDS IN SPACE

29

(a)

(b)

Figure 1.20

surface. This situation is illustrated in Fig I 20{a) It ~ t d d ~

d ' · ~ . . ~ ~ I S a san a r con Yen tl 0 n

to e.fine the POSitive direction of circulation around a surface element tiS

that It forms the "right-hand screw system" with th iti 1 so

r. . . · 4 e POSI lve norn18 to the

sur ace. The posl~Jve ,dlr.echon. of circulation around the boundary curve C is

no~ chosen so that It coincides With such direction for the adjacent surface element

(Fig, 1.20a)~ When all this is done, we can quote Stokes' theorem: If S ~ ( .

. ~ h)' ~. IS a plece-

n 1St.' smoot o~rlentable sur/ace spanning a (piecewise smoo,") simple closed curve

C, mutually oriented as described, then

£ {L(x. Y. z) d~ + M(x, y, z) dy + N(x, y. z) dz]

= [f [(~ - a::) dy dz + (~-~) dz dx + (~~ -~) dXdY]

provided L, Mt and N hove continuous partials ill a domain containing Sand C

As before! ;;e can tr~at L, M, a~~ N as the components or a vector field u: By th: now familiar technique, we divide S into a network or (curved) meshes (Fig, 1.2Gb) and claim

I (U' ds) = "L(u' d~) 6S

Jc ~ ~s ~

All ro~"~9

where AS is the a rea or a given mesh. As before, we calculate Jim §(u· ds) = lim !f (u% dx + UfJ dy + liz dz)

.6. s__,o !:J S ,j\ S ---t 0 AS ~

COI.lsidering a small mesh about a point P(~, "" t) we have; for each point M(x y .z)

on Its boundary r (Fig. 1.2Ia), 1 ,

(11..-),\/ '" (Ur)p + (~)I' (x - 0 + (~~)p (y - If) + (~~)p (z - t),

etc.

• A rule well known [rom the study or magnetic fields.

30

VECTORS, MATRICES,. AND COORDINATES

1.8

1.8

VECTOR. FIELDS I N SPACE

31

z

z

AS' ~ AS cos (no, k)

in Case I,

,~ ..; ... ,

~~:.~

on the xy-plane.. Since the mesh is sma II" we have (Fig. 1.21)

(where no is the unit normal to AS). In either case, frY dx = -AS cos (no. k).

x

x

Similarly, we can deduce

[a] Case I

(b) Case 11

(t his integral is also needed), Other integral s are evalu ated in an analogous f ashi on. In particular, ';r z dx and 'r x dz require projection on the xz-plane, and so on. The net resul t of this calc ulatio n reads

We shall need integrals like

/r dx, tr x dx, fr y dx, fr z dx,

and si rnilar ones. These in tegrals ca n be evaluated by projec ting our mesh 0 n the coordina te pI anes.

Suppose that we want to obtain the integrals of the type ;r f(x~ y) dx and ;r f<xt Y) dy, Since the points M and M' (see Fig. 1.21) have the same x and y, these integrals reduce to ;rll f(x, y) dx and ;rl f(x. y) dy except for the sign" which depends on the orientation or the mesh:

1 ( J. ) [(au:J; aUJI) It (dux auz) •

Jr u- uS ~ AS oy - iJz p cos (no, I) + iJz - ax p cos (no, J)

(aur auz) ]

+ ax - oy p cos (no, k) .

Introducing the curl of a vector in space (which is now a vector, in distinction to the plane case) by mea ns of the relati 0 n

~ ,(u . ds)

11m IlS = (curl u · nO)t

.o.S-J(J

we have the result

J,_ f(x, y) dx = ± J,_ f(x, y) dx, etc.

rr Tr"

,

curl u :::::: (a~ _ au'll) i (dUro ~ au,) , (aull _ au%) k

iJy iJz + az ax J + iJx fly ,

The plus sign is for Case I (Fig. 1.21a), where the point M' describes I" in counterclockwise direction, the minus sign is for Case 11 (Fig. 1.21 b), with MI going clockwise. t

In partieu la r to note that

which also gives rise to the statement that circulation or u around an infinitesimal oriented area described by tIS is equal to (curl u · dS)~ Thus Stokes' theorem can now be-written in the compact form."

J. dx=J:. xdx=O

r- r-

Ie (u· ds) = ff(curl u : dS). s

while

1. J1 dx = ± J. y dx ~ =FAS't

Jrr Jrr~

As in the case of vectors in a plane, the vector fields satisfying div u = 0 are caned solenoidal and those satisfying curl u = 0 are called irrotational. The concept of irrotational field is closely related to the concept or conservative field ,t (u ~ grad fP) hut these two fields should not be i den ti tied because of topol ogica 1 , complications. In particular, if a field is irrotational in a domain D~ it does not I

where AS' is the area bounded by I", i.e., the area of the projection of the mesh

•

• The symbol ;r~ by itself is meant to ind icate counterclockwise integra lion I (see the

footnote on p, 20). '

t The motion of M' cannot be ch osen at w ill because it is determined by the motion of M

in the positioe direction of circula tion around the mesh, '

... The shape of the area element is irrelevant; because of this we can idcnl~ry dS~ in tIS ~ dSrl + dSLli + dS,fk with dy dz, etc,

•

32

VECTORSt MATRICFS, AND C<XJRDINATES

1.8

t follow that its circulation about an arbitrary simple closed curve in D is zero, The point is that we may not be able to invoke Stokes' theorem because we may not be a ble to construct a suitable spann i ng surface S which would lie inside D.

Example. Consider a tightly wound coil of current-carrying wire in the shape of a torus, The 8- field inside the toru s is irrota ti on al: indeed, cu rIB sa ti sfies the equation-

aE A. )

curl B = pol + to.uo at (MKS units

and there is no en rrent dens i l Y J and no displacement current in the interior of the torus; we assume a dc .. situation. H owever, the 8-fie Jd at the center or each turn of the coil is known to be B = lJo'Il yielding a circulation along the central circle C or the torus:

fe (8· tis) = JJIII/· 21rR ~ O.

z

Flpre 1411

] t is easy to see that any surf ace span ning C must necessarily extend outside the torus and cut through the windings where curl B ~ o.

Since the quantities div u and curl u in a plane have been defined as area derioatioes (p, 26) and since div u in space has been defined as a »olume derivative (p.. 27)t it rna y be conjectu red that curl u in space is also reducible to a volume

derivative, This is in fact true and the formula reads '

curl u = lim #[~VX uJ,

4 V ..... 0

where the surface integral is over the boundary enclosing the volume .0. V. We shall sketch the proof of this relation by considering l!Vin the form of a rectangular parallelepiped as shown in Fig. 1.22. The contributions to #(dS X u] from the top face involve only u%i and u.,j and yield? in the usual notation,

jJ[dS X U]~lU~y {(u~ + ~ ¥)pJ - (u. + ~ ~)p i)'

Top face

where P is the center or the parallelepiped, The bottom face will have dS with the direction reversed and

'1'.

ff(dS X ul~ ~~X~y{(u% - ~ ¥)pJ - (u¥ + ~ ¥))}.

Battam I BellI

• One of Maxwell's equations; see, e.g., Reitz and Milford, pp. 296-297~

L8

VECTOR FrELDS IN SPACE

33

Adding these, we obtain

((au~) j _ (UlIy)) ,

a:z r a; p 4 i Ax l1y .6z.

Contributions from the other four races arc treated similarly, establishing the result,

Remark, The gradient of a scala r lield " can also be represented 8S a volume deriva tive, namely

grad rp = lim #vxlS. .6 V~-.O tJ. V

We shall conclude this section by mentioning some quantities obtained from the repeated operations involving gradient, divergence, and curl, First of all observe the identity

curl grad <p = 0

representing the statement that a conservative field is always irrotational (pro4 vided, or course, that the second-order partials or VJ are continuous, as mentioned on p, 23). The Second operation or similar type yields the definition or the Laplace differential operator V2 or simply the Laplacian,"

V 2cp == di v grad rp~

with the well-known expression in cartesian coordinates

a2 iJ2 2

TJ 2 V' =: ___!!_ + _ _!!_ + a '{J •

ax2 iJy2 (JZ2

Both or these operations have their counterparts for plane vectors. There are also two operations which are only possible for vectors in space: div curl u and curl curl u. Straightforward calculation in cartesian coordinates yields div curl u = 0.. A more sophisticated argument of some interest is to take a closed surface S in a domain D where curl u is defined (and its components have continuous partials). Split S into two parts, S 1 and S2~ by a curve C, as illustrated in Fig. 1.23. By Stokes ~ theorem"

Ie (u . ds) = if (curl u · dSr) = - If (curl Q . dS2);

81 s~

* The symbol V2 is related to the so-called "nabla" or "del' operator

iJ a a

V::::i~+I-+k-

ax ay dz

capable of representing gradient, divergence, and curl by means of the notations grad It{) == V~1 div u ~ (V .. 1.)1 and curl 11 = (V X UJ1 which are sometimes quite handy,

34

1.9

VHCTORS, MATRICFS, AND COORDINATES

the minus sign arises from the "wrong" orientation or S, with respect to c. Consequently;

ff (curt u . dSl) + 1/ (curl u : dS:l) = # (curl Q' dS) = 0

81 82 8

for any closed surface in D. Applying the divergence theorem, we obtain" ffl div cur] u · dV = O.

v

Then, since this is true for an arbitrary volume Vin D, it follows that div curl u = 04 Regarding the operation curl curl u, we can derive the following expression

r or the cartesian coordinates ~

curl curl D ~ grad div u ~ v2u,

where the symbol V2u stands for the operation V2uxl + V2ugj + v2u%k. This form ula, however, is no t valid r or other coordinate systems."

Exercise . Verify the above rormula using the expressions [or dive rgence, gradien t, and curl in cartesia n coordina tes,

JSl

:r

Figure 1.24

Figurf. 1..13

. _'

1.9 CURVILINEAR COORDINATES

Sometimes it is more convenient to use coordinate systems other than cartesian. J n general, a poi nt in space can be descri bed by three parameters which we will denote by I, m, n.. A well-known example is given by spherical coordinates r, 6, f/J, as shown in Fig. t .24, along with the usual cartesian coordinates x, y, z

• 0 f cou rse j t is possible to define the opera l ion V 2u by (grad d iv u ~ curl cu rl u) in any coordinate system, but this is not done since V2u dots not reduceto the operation

"div grad" applied to components or u. _

1.9

CURvrLINEAR COORDtNATfS

35

whic h are Tela ted to r, 6, f/J by

x = r si n 8 cos .;,

y = r si n 8 51 n t/J,

z = r cos tJ~

In general, x, y~ z can be thought as being functions of 11 m, n:

x = xt], m, n)~

y = y(/, m, n),

Z = 2(/, m, u).

We shall assume that at least within some domain D in space, these functions have continuous derivatives and can also be solved for I, m, n:

m = ,,,(x, y, z),

n ;:::: II(X~ y~ z).

Observe that this implies that the Jacobian

J'

()(x, Y1 z) J ~

a(l, m, n)

~x o

F1gure 1.25

docs not vanish." Let us now choose a particular point M with cartesian coordi- - t nates (~, '1, f), it can also be denoted 3S M{A., ~, v), in terms of the coordinates I, tnt n, If we keep m = IJ = const and n = " = const and change I, then we obtain a (smooth) curve passing through M which may be caned the l-curoe. Similarly, we can define m-curoe and n-curoe, This is shown in Fig. 1.25. Furthermore. we can introduce unit vectors 10" mo~ and no along the tangents to these curves (pointed in the direction of increasing l, m, ,,)~ This establishes a local system of axes. For convenience, the labels I, In, I' are chosen so that (10, mo, Do) : form a right-handed triple.

Our local systems possess, in general, the following features which distinguish them from the system formed by cartesian unit vectors it j, and 'k.

I ~ The it xes rn ay not be orthogonal; moreover t the an gles between the a xes rna y change from one point to another,

2. The orientation of 10,. mo, no (with respect to i, j, k) may change from one point to another, even if the angles between the axes remain the same.

3. The physical meaning or parameters l m, n may not be the length, and dl, dm, dn need not be identical with the elements ds or arc in the respective directions ..

Let us investigate properties (1), (2)t and (3). We can always think of point M as being defined by a position oector r = xi + yj + zk. Treating x, y~ z as

36

1.9

VECTORS. MATRICfS, AND COORDINATES

functions of I. m, n we can write

r = x(/, m, n)i + y(/, m, n)j + z(l, m, n)k.

Changing r by dt amounts to changing x, y, z by dx, dJ.t dz which is, i~ turn, caused by changing I, m, n by dl, dm, dn. We have the following general relations:

ax ax ax

dx = ~ dl + - dm + ~ dn,

al am e«

fly ay d oy dn

dy = iJI dl + am m + iJn ~

Bz az iJz

dz = - dl + ~ dm + - dn.

ill am iJn

If we move along the l--curvet then dm = dn = 0, and dr becomes"

(ax. dy iJZ) dl

(drlm.tI=(dx·i+dy·j+dz·k),..,n~ arl+a;J+atk .

This defines the derivative of r with respect to the parameter 1:

J~.

~ -r ... r

By its very meaning, ar/al is a vector along the direction of 10• Therefore, 10 can be expressed as

orjal

10 = tar lall -

The quantity

(ax/a1)i + {ify/al)j + (az/af)k .. v(fJx/al)2 + (ayja/)2 + (oz/fll)2

...

~(iJX)2 (01)2 (az) 2

hi ;= aJ + at + aJ

has a simple geometric interpretation: The length of elementary arc ds produced when only I changes is given by ds = I(dr)m.n' = hE df.

I n a similar fashion we deduce

(ax/am)i + (dy/ilm)j + (iJ2/am~ ~

mo = hm

hm = ~(¥mr + (~r + (~r ' h. = ~(::r + (:~r + {::r -

(ax/an)i + (ay/cln)j + (az/8n)k "

no == h«

• We use the notation familiar from thermodynamics: (dr)'IIII~'I:I means such dr where m and n are kept constant.

•

,

1.9

CURVILINEAR COORDINATF.s

37

Suppose now that the triple I'h mo. no is an orthogona] triple. Then we must have the relations

These relations are satisfied for most coordinate systems employed in physics. 1n pa rticular, this is true for spherical and cylindrical coordinate systems, as can be easily verified.

This analysis clarifies feature (J) or local systems or axes. Regarding the orientation of local axes, note that it docs indeed vary from point to (Joint for spherical and cylind tical coordi nate systems. In fact, th is is the characteristic properly or curvilinear coordinate systems, as opposed to cartesian ones. Feature (J) is also illustrated by spherical and cylindrical coordinates where some of the parameters /, m, 11 represent angles rather than lengths. As a general rule, the elementary displacement dt decomposed along the local system of axes will read

br 8r dr

dr =: ~ dl + -- dm + .- dn ~ hi dl· 10 + h dm- mo + h In <I no~

81 a,,,. all m n

Let us assume that the local system is orthogonal ;" then the element of arc is given by a simple formula,

For instance, for spherical coordinates"! II,. = I, h(J 9= r, h. = r sin 9, and

We shall conclude our surveyor curvilinear coordinates by the derivation or formulas for common differential operations in vector calculus. In order to express grad e in terms of new axes and new variables, we could start with

d rJV' • d", • + a~ k

gra f{l == - - I + - J ~

iJx ay iJz t

then use

and also express I, J, k in terms of lo~ mo, no~ A quicker way is to utilize the statement

a~ a~ a~

(grad tp. dr)~ dr.p - - dl + - dm + ~ an

v/ Bm on

• The associated coordinates are then caned orthogonal coordinates,

38

t .9

VECTORS, MATRICE5t AND COORDINATFS

a-curve

l-curve (8)

(b) FJpe 1.16

and rewfite it in the form .

(grad tp. dF) = Gt ~i) hr dl + (i: t",) »; dm + (L :~)h" dn

from which it follows immediately" that

The calculation of divergence can be also carried out starting from the general definition

d. i· #(u · ds)

IV U = 11m •

4 V ---100 .l1V

Without loss of generality, tJ. V can be taken as a volume element with the sides along the f .. , m-, and n-curves (Fig .. 1.26a). In general, the nux through an elementary area oriented in the lo .. direction is given by

u, · hm dm ~ hR dn.

As we subtract the fluxes through the areas M' N'P'Q' and MNPQ we must hot forget that not only Ul, but also htl& and h", are functions of l, m, and n~t By an argument similar to that on pp. 27-28 (we give here a simplified version), we deduce that the net outward flux through these two races is

Adding the analogous contributions from the other four faces and dividing by the volume of our volume element (which is hi dl hJn dm h; dn), we obtain

immediately .. '

. I {a a a }

div U = h,h ... hlt ill (ulh ... hn) + om (u",h,.hl) + 011 (Unhlh .. ) ·

~--~---- '

• R eca 11 that dr is a rbi tra ry; theref ore, by set it ng dm ~ dn = 0 we obta in (gra d fF) I = (l/hi)(aV'/rJ/), etc. We. tacitly assume that the coordinates are orthogonal.

t In-cartesian coordinates h, == h~ = hlt = I ..

L9

CURVILINEAR COORDINATfS

39

Example, In spherical coordinates we identify I~ m, n with r, 9~ I/J, in that order. Then hi = h; ==: I t h m; = h, = r, h tt = h. = r si n 8, 3 n d

di - I {a 2 ~ a. a}

IV u - r2 sin 8 iJr (r sin 6 u~) + ao (r sin 0 fie) + a4J {ru~} ·

This may be simplified and, if desirable, ultimately reduced to

di ~ au,. + 2 + ! au, cot 8 I au.

v u.:r. U,. -- + u, + ~-~ ~ ..

or r r a 6 r r si n 0 a.

The curl or u can be deduced from the circulation of u around the races of the very same volume element, For instance, the face M NPQ yields (Fig .. 1.26b)

1) ~(

{ (u· ds) + r (u· tis) = {u .. hn dn)N I' - (unhn dn)AfQ = _!_ (u h ) dn din

IN 10 Bm n n ,

(Q (u · ds) + iN (u · ds) = (u h dm] + ( J d )

J P sr ~ m: nJ I'fJ U In 'm I n AI N

iJ

~ ~ an (umhnl) dm dn,

which is combined to form

(curl U)l Irm. dm 11_ dn = 1 a (II h ) a ( I J} d. d

,. 1 a m 'I n - iJ n II M f m: m n &

This determines the l-component of curl u. The complete formula reads

Finally, the expression for the Laplacian. V2 is obtained by combining the [ormulas for gradient and divergence:

t"2"" = div grad u ~ _._ I {! (hmhn !!.!) + .~ (""hl iJqJ) + i_ (hlhm iJqJ)) .

h ,h,u"n at h l al am hm am an hn on

For instance ~ in the sphcrica t system this reads (after trivial simplification)

V2.p == ! s. (,2 a~) + I 0_ ·(Sin (J alP) I a2(()

,1. ii, iJr r2 sin (J ao iJf} + r2 sin 2 fJ ot/J'l .

40

VECTORS, MATRlCES., AND COORDINATES

BIBLIOGRAPHY

APOSTOLt T. M.J Mathematical Analysis, Reading. Mass.: Addison-wesley Publishing ce., 1957.

GOLDSTEIN, H." Classical Mechanics, Reading, Mass .. : Addi.son-Wes'ey Publishing Co.,

1959.

KAPL.AN,. W .. t Advanced Calculus, Reading, Mass+: Addison-Wesley Publishing Co., 1957.

KELLOGGJ O. D~, Foundation. 0/ Potential Theory, Berlin: Springer Verlag Ohs., 1929. TAVLORt A. E.~ AdvanCM Calculus, Boston: Ginn :& Company, 1955.

R £lTZ, J .. R ~ and F .. J .. M fI..FORD,. Foundations of Elect rom agn e tic Theory, Reading, Mass.:

Add ison .. Wesley Publ ishing Co. t 1960~

PROBLEMS

1. Let two vectors in apia ne, U I and u 2, be de Ii ned by the po la r coord ina tes of the ir tips: (8 h '1) and (62" r2)~ If U3 = U I + U 2 is defined by (6:1, '3), show how 63 and r3 are related to (J 1, 8:2, "11 and r2·

2. A triple vector product or three vectors is defined by the expression [u X [v X wll Show tha t r or any t h Tee vectors the r ollow i ng iden ti ty ho lds :

[u X (v X w 1) + [y X (w X ul] + [" X [u X vll = Or

Hint: Use the vector identity

[a X [b X el] = b(a . c) ~ c(a . b).

The above formuta, known 8S the Jacobi identit», appears in a variety or contexts in physics and ma thema tics.

3. Consider the r ollowing th ree vee tors in space given by the i r coord i na tes

w( - t 1 -~, ~)~

8) Veriry that these vectors are unit vectors, orthogonal to each other, and form a Tight-handed trlple, ir ordered as above.

b) Construct the rotation rna trix transforming the old components of a vector

(08 mely those wi th respect to I,. it k) to the new ones (with respec l to u, ,~ w) ~

c) Eva1uatet by vector-matrix multiplication, the new coordinates or the vectors -(Of 1, 2), b( -I. 4, - 3), and c(2t - 2 .. - 2) . Can you give a geometr ica 1 interpre-

tation of the peculiar behavior of vector c?

4. a) Show that the triple product (p. 3) of vectors u(u h U 2t U:,)" v(v h v 2, V:~) t and w( w 1 f "'2 t w:d can be expressed by the determ lnant

= ([u X,]" w).

I

't

PROBLEMS

41

b) Using this, prove that ir a 3 X 3 matrix is orthogonal, then its determinant can have only two values, either +] or -1 +

c) Cons ider the rna trices

\1'3/2

1 "2"

-0/2

o

I o o

o o

o I

o o ~l

o -1

I ,

o

A=

B=

,

:II .

-I 0 0 2VJ/S - 3vfjjlO I
'2'
c= 0 -t 0 D= 2 3; v'3/2
t 1) ~Tif
11
0 0 1 3 4 0
3' '5' and indicate which ones represent rotations. AI so,. describe the geometrical meaning of others.

5. Com pa re, in general, the ijth rna trix elemen t of AB with that or BAJ r or 1 X 3 matrices A and B. Constr uct two noncom muting 3 X 3 matrices or your ch oice i.e. such

tha t AB ~ BA ~ ~ t

6 + According to the discu ssio n on p. 4, the rna tr ix

cos 6 sin 8

A=

-sin B cos (J

represents a rotation or axes in plane. Show that

cos 36 sin 38 - sin 36 cos 39

C05 28 si n 29

and

-sin 29 cos 28

and give the geometr ira I in terpreta t ion of this resu It ..

7. Sh ow tha t the 1Tt,;~ trix

B~

COS"

sin q,

sin~ = cos q,

doe s not represent a rota lion 0 f axes, G ive a geomet r ita lin te r preta t ion of rna tr ix B. [lli1t/~+ Draw the old and the new coordinate axes, as well as the straight line y = x tan (t/J/2).]

42

VECTORS, MATRICES, AND COORDINATES

8. Find the inverses of the r allow iog matrices by solving the equations Bk A ~ = 1 or otherwise:

2 -1 0

I -3

1 I o 4

A2 ~ 0 ~ 1/V2 1/V2

2v'2j3 -.."f2j6 -0/6

Aa =

-s -I I

-I I!

i 1 f

:l ~l

o

1 1 2

2 o I

,

'II

Comment on the cases A2, Aa" and Af ..

94 Let (Xl, y") be the coordinates of 8 point in a skew cartesian system in plane ~ Let the x'» and y' -axes make angles a and (J t respective If ~ with t he x-axis (Fi8~ 1.27). Show that the eq uat ion of a ci rele wi t h radius R and the center at the origi n reads

y

y'

x'

x'2 + y'2 + 2x'y' cos (fJ - a) ~ R2~

10. Show t ha t the vector l' ::::: 2i + j - 6k ca n not be expressed as 8 linear cornbinati on of the vectors

D 1 = i + j + 2k, u 2 -= 3i ~ i'll U3 = 2i + k.

Flgore 1.21

Show that the vector " ~ - 2j - Jk can be expressed in this f ashion, in more than one way. Give the algebraic explanation of these r acts.. Also give a geometrical interpretation.

II. Evaluate the foUowjng integrals around the circle x2 + y2 = I: use Green's theorem if it is convenient:

a) ;(u· ds)~ where u = (2y2 - 3x2y)i + (4xy - X3)j~

b) ;(2x2 - y3)dx + (x3 + y3)dYt

c) ;('., dn)~ where, = (x2 + y2)i - 2xy] (dn is defined on p~ 24).

12. Let Fix, y) ~ x2 - y2~ Evaluate

a) !(C:.J./ (grad F · tis) a tong the curve y = x 3 t

b) f aF is around the circle x 2 + Y 2 ~ 1. Here iJF Ian is the directiona 1 derivaiJn

~ve or F along the outer !10rmal and ds ~ Idslr

134 Show that the vector field u -= y zi + zxJ + xyk is both i rrotational and SOlenoidal ..

Find" such that grad f/J = u. Can you find a vector field A such that curl A = u1

14. Prove the rollowing identities ror scalar fields h rp and vector fields UI , in space: a) grad (j((J) ...: f grad V' + '" grad h

Jb) curl (fu) =: /curl u + [grad! Xu],

c) div {u X T] ::;;;;: (v· curl u) - (u· curl v)~

r

PROBLEMS

43

15 ~ ~ si ng divergence and S to kes ~ theorems, i r j t is conven ien t, ca leu la te the r 0 Ilow i ng integrals.

a) #8 (0 . dS)~ where u = x3i + y3j + z3k and S is the sphere or radius R about

the origin~

b) #!1 (v . dS)t where v ~ xlii + yilj + z5k and S is the sphere as in (a),

c) #8 (x dy dz + y dz dx + z dx dy)'II where S is the sphere as in (8),

d) fr (0 . ds), where u =- - 3yl + 3xj + k and r is the circle x2 + y2 ~ 1 lying In the plane z = 2.

J 6. A fta t disk rota tes a bon t the axi s norma I to i is plane a nd passing through its cen ter ~ Sh ow tha t the veloci ty vector v of any poin t on the disk sa tisfies the eq ua tion

curl v = ~, where w is the 8 ngula r veloci ty vector.

17. Consider a ~onducting medium with varia ble charge density p(x~ YI 2) and varia ble current density J(x. y, z]. Let V be an arbitrary volume within the medium bounded ~Y.4 (piecewise smooth) closed surface S4 Considering the total amount of charge Inside V and the amount entering it per unit time through the surface S ~ deduce tha t

:, ffJp(r.y, z)dV = - # (J(x,y.z)· tIS)

v ~

With the help of the divergence theorem, deduce the so-called equation of continuity divJ + t ~ o.

18. Using the techniques employed in Sections 1.7 and 1.8, outline the possible proofs of the following statements:

grad I(J = lim .F.pdn (in a plane), ~.~_o IlS

d I· #fP(IS ·

gra f{J = 1m A (In space] ..

4V--+O uV

19. Eva I ua te the q uan ti ties h-, 1r'1 It~ (see P4 36) r or the cy l indrical coord ina te system, Using appropriate formulas from Section 1.9, write the expressions (or gradient

d ivergence, cu rl, a nd the La plac ian in cy lind rical coordina tes, t

CHAPTER 2

FUNCTIONS OF A COMPLEX VARIABLE

2. t COMPLEX NUMBERS

In the course or study of roots of algebraic equations and in particular the cubic equation, it has been found convenient to introduce the concept of a number whose square is equal to -I.. By a well-established tradition, this number is denoted by it and we write;2 = -I and; = v'=T. Ifwe allow i to be multiplied by real numbers, we obtain the so-called imaginary numbers" of the form bi (where b is real) .. If the usual rules of multiplication are extended to imaginary numbers, then we must conclude that the products of imaginary numbers are real numbers; moreover, their squa res are negative real num bers. For instance,

(3i)(- 4l) = (3)( - 4);2 ~ (- 12)( - I) :;:= 12,

(~51)2 ;;; (- 5)2;2 = - 25.

If imaginary numbers are adjoined to real numbers, we have a system within which we can perform multiplication and division (except by zero, or course). We say that such a system is closed under multiplication and division. However, our system is not closed under addition and subtraction .. t To eliminate this deficiency, so-called complex numbers are introduced, These are numbers which are most often written in the form

a + bi

(a~ b ~ real numbers)

and are assumed to obey appropriate algebraic rules. As will be shown below, t he system or complex numbers is closed u nde r additi on, subtraction, multi plication' and division plus the "extraction of roots" operation. In short, it has all the desirab1e algebraic charac teristics and represen ts an ex tension of the real nurn ber system .. The study or complex numbers is invaluable forevery physicist because

-the description of ph ysica 1 laws is much mo re cornplica ted withou t them.

• Imaginary numbers are also called pure imaginary numbers to stress the distinction from the more general case of complex. numbers .. The name originated from the belief that imaginary numbers, as well as complex numbers, do not represent directly ,obser.Y~ble quantities in nature. While this point of view is now mostly abandoned, the original nomencla lure still exists.

t The system is not closed under the opera lion 0 r ext rae t ion or the sq ua re root ei t her; for example, Vi is neither real nor (pure) imaginary ..

44

,

I'

BASIC ALGEBRA AND GEOMETRY OF COMPLEX NUMBERS

45

2.2 BASIC ALGEBRA AND GEOMETRY OF COMPLEX NUMBERS

If complex numbers are written in the usual form a + ib (or a + hi) then the usual algebraic operations with them are defined as follows ..

I. Add ltion:

(al + ib1) + (a2 + ib2) ~ (al + az) + ;(b1 + b2). 2. Multiplication:

The second rule is easy to [oflow if we recognize that the expressions a + ib arc multiplied in the same manner as binomials, using the distributive and associative laws, and ;2 is replaced by -I ..

Complex numbers or the form a + iO are tacitly identified with real numbers since they obey the same algebraic rules and are generally indistinguishable front each other." Complex numbers of the form 0 + ib arc then (pure) imaginary numbers, It is customary to write simply a + iO = a and 0 + ib = ib. Subtraction or complex numbers can be defined as inverse addition so that if

then

a I + ib I ~ (x + iy) + (02 + ib2) from which it follows thatt

and

An altcrna I ivc is to f orm the negative or a complex nu mber,

-(a + ib) == (-l)(a + ib) = (-I + lO)(a + ib) = -0 - ib,

and reduce the subtraction to addition ..

The ru~e for division can be similarly deduced by inverting the multiplication ..

A shortcut method is given by the roUowing technique:

a .+ ib a + ih c - id ~-T bel) + i(bc - nd)

c.+ id c + id c - id - c2 + d'l

ac+bd .. be-ad

+ (C2 + d2 ..J. O)~

= -c2-+~d-2 t c2· + d2 r- ~

It is readily seen that the divisor can be any complex number except zero (namely the number 0 + iO~ which is unique and is written simply 0).

• In :1 more rigorous. lnngunge, "the subset of complex numbers or the form {I + iO is ;sanu1rpIJic to the' set or rea t numbers under the correspondence a + iO +--+ rr."

t It is 1,1ciUy postulated that x] + iy [ ~ -\:2 + iY2 if and only if x J ~ X2 and Y 1 "= }'2+

46

2.2

FUNCTlONS OF A. COMPLEX VARIAbLE

Remarks

~

I 1. The addition of complex numbers obeys the same rule as the addition of vectors in

plane, provided a and b are identified. with components of a vector. N ole, however ~ tha t the multi plication or complex numbers differs r rom the (ormation of dot and cross products of vectors.

2. The use or the symbol ; a nd the related binomial a + ib is conven tional, but not indispensable, It is possible to define a complex nu rnber as a pair of real numbers, (0."), obeying certain peculia r ru lest e .8 ... the multipliea tion .can be defi ned by

(ail bt)(a2~ 62) = (a1Q2 ~ b lb2~ Qlhz + a~l),

and so on ~ .. j I t should be clear that the form a + lb is just 8' representation or a complex number.

-

.It is customary to represent complex numbers by points in the so-called com-

plex pkme, or Argand diagram (Fig .. 2.1). If we denote the complex number x + iy ~,. 'U single symbol z and write z = x + iy, then to each z there cor. responds a. ·point in the complex plane with the abscissa x and the ordinate y.

This idea also leads us to the trigonometric representation or a complex number:

z: = T (cos B + i si n (I),

where n. = -v x2 + y2 and tan 8 = yf x. In this repeesen tation r is un ique (posit ive square root) but (J is not, A common convention is to demand that]

1m
.~
;II(
~
>.
...
~
= y
--
OIQ
~
e
...... Re
0 x
Real axis along with the standard ru le of quad rants, Flgare 1.1

namely, 9 < 0 if y < o.

The following nomenclature and notation will be widely used ~ If

z ;= x + i Y = r (cos (J + i si n 8)

then

•

x ~ Re z is the real part or ZJ

/y = 1m z is the imaginary part or z,

r = [z] is the modulus of z, also known as the magnitude or absolute value of z,

(J is the argument of Z t also c alled the polar angle or phase .. t

The number x - ;y is called the complex conjugate of the. number z :--- X + iy and vice versa .. We shall denote it by z· .. We can say that z and z* represent (on the com plex plane) the reflections of eac h other wi th res peel to the real ax is.

,

..

t Another commonly used convention is 0 < fJ < 2,.-. .

t A more precise name for 6 would be I he "principal val ue or the argu ment of ZU (see p. 57).

_. "

.·1' -~

2.2

BASIC ALGEBRA. AND GOOME11t.Y OF COMPLEX NUMBERS

47

Remarks

t. The quantity zz" is always a nonnegative real number equal to rzl2 Of to fz*12 (which are the same).

2. The quantity z + z· is always a real number, equal to 2 Re z or to 2 Re z+ (which nre the same).

3L The rules (z 1 + %2)· = zt + z~ and (%1%2)· ~ %1%; are evident and should be remembered.

'Im

1m

__ ~ __ ---- ~zl +Z2

--- .

I f I

J

I

-- --

\

"

\

\

\

(a)

(b)

Figure 2.2

Because complex numbers obey the same addition rule that applies to vectors ina plan e, they ca n be added graph ical1y by the parallelogram rule (Fig~ 2.2a). Conversely, vectors in a plane can be represented by complex numbers. The f scalar pr educt of two such vectors ca n be obtai ned by the rule

(Zl · Z2) ~ Re (Z~Z2) = Re (ZIZ;),

where it is understood that Z I and Z2 are vectors corresponding to complex numbers z 1 and z 2 respectively ~ The vector product can be obtai ned ina similar fashion:

Exert: ise ~ Veri r y the va I id i t Y 0 r the above rules for sea lar a nd vee lor products.

In the theory of complex variables, the expression Iz 1 - z2l is often used.

According "to Fig. 2~2(b) this quantity (modulus or the complex number Zl - Z2) is equal to the distance between the points 21 and Z2 in the complex plane. It follows that the statement fz .; zol < R (which often occurs in proofs of various theorems) means geometrically that point z is within the circle of radius R drawn around the point 20 as a center (i.e., z is in the R-neighborhood or Zo; see PL 16) .. The following two inequalities are easily proved from geometrical considerations:

(A side of a triangle is less than or equal to the sum or the other two sides.)

(The difference of two sides of a triangle is less than or equal to the third side.)

48

FUNCTIONS OF A COMPLEX VARIABLB

2.3

I Remark. 11 should be emphasized that inequalities: can exist only among the moduli of , complex numbers, not among the complex numbers themselves. A complex number cannot 'be gr~a'er or smaller than another complex number. Also, there are no posittce

or nega,ive complex nurn bers.

23 DE MO"IVRE"FORMULA AND THE CALCULATiON OF ROOTS

While addition and subtraction of complex numbers are most easily performed in their cartesian form z = x + iy, multiplication and division are easier in trigonometric form. If ZI = rl(cos 91 + i sin 81) and Z2 = r2(COS 92 + i sin (2).

then eleme ntary calculat ion shows tha t

with the provision that if 81 + 62 happens to be greater than 11'", or Jess than or equal to - rt then the amount 2.".. should be added or subtracted to fulfill the

condition -11- < (81 + 92) ~ 1..-.

Remark. It should be emphasized that even though cos (8 ± 2'1-) ~ cos 8 and sin «(J ± 2 ... ) 3J;: sin 8 t the value of tJ is su pposed to be un iq uely specified. This will ~come evident when 9 is subjected to certain operations, e.g., in the course of evaluation of roots, The convention -1r < 6 < T is not the only one possible, but lome convention

must be adopted a nd ours is just BS good as any other.

Using the same trigonometric identities as in the above multiplication rule, we can also obtain the so-called De MoiDreformula:

(cos IJ + i sin 9)" = cos nO + i sin nO

(n = integer),

Thus we now have the general rule for calculating the nth. power of a complex numher z. If z = t(cos 6 + i sin 8), then z" = R{cos. + i sin -tb), where R ~ r" and ." = n8 ± 2 .. k with the integer k chosen in such a way that -~ < tI> < 71'"4

The rule for calculating the nth root or a complex number can now be derived

without much difficulty ~ If z -= r(cos fJ + i sin 6)t then the complex number

- j _nt": ( 9 .. 9)

. Wo ,= v r cos n + I sin n

1m

is definitely the "th root or z because 1Vo = z, However ~ this is not the only nth

root or 2; the numbers

Pri ncipa I root ----4~.......-......--_......~=------t+-t~; ...... Re

J

w: ( 8 + 2rk + . · e + 2-wk)

W k = V r cos t 51 n '

n n

Figure z.a

w her e k = 19 2~ 3, 4 ~ • , (n - l), a re a lso nth roots of 2 because wl = z~ It is

•

2.4

COMPLIDC. RJNcnONS+ EULERtS FORMULA.

49

customary to call the number Wo the principal TOOl of z, The nth roots of a complex number z are always located at (he vertices of a regular poJygon of n sides inscribed in a circle or radius R = y;. about the origin (Fig. 2~3).

Exercise. Verify that all possible roots or a complex. number z are given by the above formulas. Show that all complex numbers except one have exactly n (different) nth~order roots ~ Which complex numbe r is t he exception?

2.4 COMPLEX FUNCTIONS. EULER·S FORMULA

Complex numbers z = x + iy may be considered 8S variables if x or y (or both) vary, If this is so, then complex functions may be formed. For instance, consider the equation w = Z2~ If we write z = x + iyand w == u + io, i( follows that

v = 2xy.

From this we conclude that if w is a function of z, then u and v are, in general, functions or both x and y. Thus we are dealing with two (independent) teal functions of two (independent) real variables.

1m

1m

1m

...

" ,

z=l

z-plane

1=21

I nvaria nt poi nt

----tII~-.......-.+~~~-~__. Re z= ~ I

"Flpre 1.4

FJpre 2.5

Graphical representation of complex functions poses a problem since we must deal wjth~fout real variables simultaneously. The idea or mapping is most com ... monly used, Two separate complex planes, the z-plane and the w-plane,. are considered side by side, and a point Zo is said to be mapped onto the point WQ = /(%0). For instance, formula w ':: z2 maps Zt = i onto WI == ;2 = -1·

4 " '

It also maps Z2 ~ 1 + i onto W2 ~ 2i, Z3 :;:::::; 1 onto W3 = I., and so on. This is

illustrated in Fig. 244t where it is also indicated that the horizontal line y ~ 1 in the z-plane is mapped onto the parabola v = 2y'ii + I in the w-plane. Sometimes it is convenient to superimpose the two planes. Then the images of various points are located on the same plane and the function w = 1(2) is said to transform the complex plane into ltself (or a part or itself), as in Fig. 2.5, for the same function w = Z2.

50

2.4

FUNCTIONS OF A COMPLEX VARIABLE

Exercise. Show that the function tv ~ iz represents coun terclockw ise rota lion or the complex plane by 900. How would you describe a rotation by 1.B<'r? How would you describe a clockwise rotation by 9ft 1

AI gebraic r uncti ons of a complex variable are defined by algebraic ope rations which are directly applicable to complex numbers. Transcendental functions, however, may require special definition s, Consider, for i nstance, the expo nen t i al function e" (real x), I ts basic properties are

It is desired to define a complex exponential function e1: with the same properties. Write z = X + iy; then

The quantity e" is a well-defined real number, but how shall we define eiJ/?

One possible method is as follows: Assume that e"l! can be represented by the usual power series

i" _ 1 + (iy) + (;y)2 + (iy)3 + ...

~ 2! 31

Then, rearranging the terms, wehave

~ ( 2 • ) ( y3 y5 )

e:L1I - I ~ l.._ + L _ . .. +; y ~ - + ~ ~ .. 4

~ 21 41 31 51

= cos Y + i sin y.

The validity or this procedure can be established after the development or the theory of convergence for complex series. However, at this stage we may simply

~. define the function eir by means of r

f!'''rl == cos Y + i sin y.

This is Euler's formula. The desired properties,

(n ~ integer),

.

follow from the identities

(cos Yl + i sin Y l)(COS Y2 + i sin Y2) = cos (Yt + Y2) + i sin (Pt + Y2)

and

(cos y + l sin y)n = cos ny + i sin ,rJ4

The definition of a complex ex ponential f uncti on is then given by the/formula ~ ==: c{cos y + ; sin y)

, ~

which has the desired properties a nd reduces to the real e xponen t i at f unction if

. Im z ~ o.

I •

jr'

. .\.

...

2.5

APP LIe A TIONS OF EULER"S FOR MtJ L A

51

2.5 APPLICATioNS OF EULKR'S FORMULA

Euler's formula leads to the compact polar representation or complex numbers,

z = x + iy = ,(cos 9 + i sin 8) ;; re",

Suppose that a complex number z is multiplied by f!ia,. where a is a real conslant. Then

The new number can be obtained by rotating the point z about the origin by an nngle a~ This fact has many important applications.

Euler's formula also permits the description of sinusoidally varying real quantities by means or complex exponentials. A general form or such quantity is

/(1) :::; a cos (wI - B);

where a (amplitude), w (angular frequency), and IJ (phase) are constants, and t is a real variable (usually time). Consider the complex function of the real variable

g{t} = Be-:iwl

where B is a complex constant. Set B = aeil; then

g(t) = aei~e~iwt == a cos (9 - wt) + ia sin (9 - wi) = a cos (wt - 8) - ia sin (wt - 6)~

In other words, 1(') = Re {g(/)}.

Com plex function S 0 r a real variable ca n be trea ted by the methods or calculus or real va ria hies . For i nsta nee, i r

g(l) ~ U(/) + ;o(t)

(u~ v :: real functions)"

then

dg du + .00

·dt = dt ' dt '

and so on. Differentiation of Be~iwt is very simple:

d (B -iw~) - B -i~e

dt e = -IW e ·

The use or com plex exponen tials is illustra ted in the f ollowing e xa mple.

Consider a (damped) ha rm onic oscillator subject to a harmon ically varyin g e xternal force, The differen ti at equa ti on to be solved reads

x + 2o:.i + w~ = Fcos (wi ~ ~)

(x = (dx/dt) etc.],

where the constants tx; (.r)o, F, w, and. are real, and both variables x and I are real.

52

FUNCflONS OF' A COMPLEX VARIABLE

2.5

Now, introduce a complex function

/(/) = Fe-tW',

where w is real but f may be complex. Let F = Fei~; then

Re f{l) == Re {Fe-'(tJI~~)} = F cos (wi - ~).

Consider the differential equation

x + 2ax + w~ = 1(1),

where x = X(/) is evidently complex .. The point now is that the Teal part of this complex function X(/) is just the solution of the original (real) differential equation. This can be verified directly by substitution:

X(I) = Re x{t) + i 1m X(/)<o

Exercise. Prove the general theorem= If a complex function x(t) satisfies a linear differentia I equa ti on t say of second order,

x + p(,)x + q(t)x ~ 1(/),

where p and q are real but f( I) may be complex, then the real part or x satisfies the sa me equation with [(I) replaced by Re /(/) and the imaginary part of x satisfies the same equation with /(/) replaced by. 1m /(/). [Htnt: Quote the footnote on p. 45 in your proof.]

Suppose th at a steady-sta te solut ion is sought for our harmon ic oscillator problem. Our physical intuition suggests" that it should be a harmonic function of frequency w, namely, of the form A cos (wi - ,,)~ This, in turn, suggests that

we seek the solution of our complex equation in the lorm ..

x(t) = Ae-iu"

where A ~ Aei~ is a complex. constant Substitute this into the equation and

obtain

so that r

F

A = --------~----

2 2· + 2

-00 - alW Wo

This essentially solves the problem, The explicit solution of the physical (real)

problem is /

{ ~ -i{(IiII£-+) )

Re {x(t)} ~ Re {Ae-iwt} = Re 2 e 2 +

(wo -. w ) - i2atJJ__

• This is. rigorously proved in many textbooks on differential equations+ However, no harm is done if we just conjecture such a solu tion .

..

~ .

2.5

APPLICATIONS OF EUL~R~S FORMULA

53

The final evaluation of this expression is: straightforward; for instance, we may write (see p, 45)

Fe-i(e"t-'/J) _ Fe-"'(W'~~t{w~ - (2) + i2aw]

(w~ - (2) - i2aw - (w~ ..._ (,)2)2 + 4a2(d' ~

Now the rule

yields

Re (Fe~i{Wf-.l[(W~ - ",2) + i2aw]} _ F(w~ - (12)

(w~ - (o)2i' + 4a2(0)2 - (w: _ til)' + 4a?w2 cos (w' - (0)

+ F2ru..J ~ (

2 2 2: 2 2 sin wI - fJ) ..

(wo - w) + 4a w

Of course, this result can-be obtained without any recourse to complex numbers:

The solution of the original (real) differential equation can be sought in the form

x = a cos wI + b sin -cd/.

Differentiate and substitute into the equation+ On separation of the terms with cos wi and sin tat, obtain the simultaneous algebraic equations

a(w~ - w2) + h2aw == Fcos 4-1,

b(w~ - w2) - a2aw = -Fsin "'t~

The releva nt determin ants are

d = det

2 2 2

Wo~W aw

( 2 2)2: 4 2: 2

Wo~W + ow!!!

~2aw

2 2

Wo - w

Fcos rbt ~Fsin ~t

2aw

L\,.. = del

-2aw

2 2

Wo - w

Feos ~t - F sin tJ;t

The solution (a = An/a, b = I1b/ll) is easily reducible to that given before.

The advantage or the complex method may be appreciated from the fact that the actual process of solving the equation is in this case very brier; the remainder of the calculation (separation of the real part) is a procedure common to all such problems and ~ therefore, can be reduced to tri viality.

54

2.6

f1JNCflONS OF A COMPLEX. VARIABLE

2.6 MULTIVALUED FUNCTIONS AND RIEMANN SURFA!.."V.S

Certain complex functions are multi valued an d they are usually consi dered as consisting of branches, each branch' being a single-valued function of z. For instance, f{z) = Vz can be split into two branches according to the usual formula for the roots (z = reil):

I. Principal branch, II (z) == .""fi eH.f,2l,.

2. Second branch, f2(Z) = .""fi e;U6+2.-112J.

Strictly speaking,.fl(z) andf2{z) are two separate functions but they are intimately connected an d for th is reason they are treated together 3$ two bra nches of a

(double-valued) functionJ(z) ~ Vi.. ,

Note that the principal branch does not map the z-plane onto the entire w .. plane, but rather onto the right half-plane (Re w > 0) to which the positive imaginary serniaxis is added, The negative imaginary serniaxis is not included. The second branch, which has no special name, maps the z-plane onto the left half .. plane (Re w < 0) plus the negative imaginary semiaxis, Except for z ;= Ot no other point on the w-plane (image plane) is duplicated by both mappings.

Also observe another important feature of the two branches. Each branch taken separately is discontinuous on the negative real semiaxis, The meaning of this is as follows: The points

and

where a is a small positive number, are very close to each other. However, their images under the principal branch mapping, namely

are very far from each other. On the other hand, note that the image of Z2 under the mapping/2(z), namely,

is very close to the point/l(z I). It appears that the continuity of mapping can be preserved if we switch branches as we cross the negative real semiaxis,

To give this idea a more precise mean ing we must define the concept of COIItinuous function of a complex. variable. Let w ~ J(z) be defined in some neighborhood (see pp. 41 and 16) of point 20 and let /(20) == wo. We say that I(z) is continuous at ZQ ir* f{z) _. Wo whenever z --+ Zo in the sense that given 8 > 0

'(arbitrarily small), the inequality 1/(z) - wol' < a holds whenever Iz - ~ol < E holds, for sufficiently small f. It is readily shown]' that if w :=:= u(x, y) + io(x, y)~ then the continuity of w implies the continuity or U(XI y) and v(x, y) and vice versa.

• Also written as lim.t___,.:a'o /(z) ;; !(ZO)r t For example. see Kaplan, p. 49.5.

r

NUL llVALUED FUNCTIONS AND RIEMANN SURFACES

55

Ri~mann pr~posed an ing~nious device to represent both branches by means of a single continuous mapping: Imagine two separate z-planes cut along the negat~ve real semiaxis [rom "minus infinity" to zero. Imagine that the planes are superimposed on each other but retain their separate identity in the manner or two sheets of paper laid on top or each other. Now suppose that the second quadrant of the upper sheet is joined along the cut to the fourth quadrant of the lower sheet to forrn a continuous surface (Fig. 2~6)r It is now possible to start a curve C in the third quadrant of the upper sheet, go around the origin, and cross the negative real serniaxis into the third quadrant of the lower sheet in a continuous motion (remaining on the surface), The curve can be continued on the lower sheet around the origin into the second' quadrant of the lower sheet

Two edges joi ned here

Re

Figure 2.6

Figure 2.7

Now imagine the second quadrant of the lower sheet joined to the third quadrant of the upper sheet along the same cut (independently of the first joint and actually disregarding its existence). The curve C can then be continued onto the ~[~~r sheet and may return to the sfarting point, This process or cutting and cross-

JOlnln~ two pla~es leads to the formation or a Riemann surface which is thought of as a single continuous surface formed of two Riemann. sheets (Fig. 2~7)~

An important remark is now in order: The line between the second quadrant of the upper sheet and the third quadrant of the lower sheet is to be considered as distinct rtOJn the line between the second quadrant of the lower sheet and the third q~adrant of the upper one. This is where the paper model rails us. According to this model the negative real semiaxis appears as the line where all four edges of our cuts meet. However, the Riemann surface has no such property; there are two real negative semiaxes On the Riemann surface just as there are two real positive semiaxes. The mapping f(z) = Vz may help to visualize this: The prin-cipal branch maps the upper Riemann sheet (negative real semiaxis excluded) onto the region Re w > 0 of the w-plane. The line joining the second upper with the third lower quadrants is aJ50 mapped by the principal branch onto the positive ~nu,ginary semiaxis, The lower Riemann sheet (negative real semiaxis excluded) IS mapped by the second branch onto the region Re w < O. The line joining the second lower with the third upper quadrants is mapped (by the second branch) onto the negative imaginary semiaxis, In this fashion the entire Riemann surface

56

RJNCTIOHS OF A COMPLEX VARIABLB

2.6

is mapped one-to-one onto the w-plane (z ~ 0 is mapped onto w ~ 0; this particular correspondence, strictly speak i ng, belo ngs to neither- branch since the polar angle. is not defined for z = OJ.

The sp lilting or a multivalued r unction into branches is arbitrary to a great exten t, For instance. define the f 011 owi ng two r unctions which also rna y be treated as branches or fez) == Vi:

Branch A:

{ ...;; ea1l12] for 0<8 < r~
h. (z) = vir eillt+ 2r)f 21
for -11'" < 8 <0 ..
_ {v';: eil!l+ h)f 21 lor o < (J < '11'",
/n(z) - v'i ilI/ll) for -1r < 8 -5 0 ..
re Branch B:

Note that branch A is continuous on the negative real semiaxis but is discontinuous on the positive real sem iaxis (so is branch B)~ These two branches constitute .. together. the double .. valued function fez) = Vz, and this representation is no better and no worse than the previous one. Also observe that the Riemann surface built up by these two branches is the same as the one described before ..

It is not difficult to see that the function fez) = Vi can be split in two branches in many other ways. In all of them, however, there will be a branch line (or branch cut) extending from z = 0 to infinity. This line may be a curve" The Riemann surface can be obtained by joining two Riemann sheets across the cut, and this surface is unique" The point z = 0 where any branch line must start (or end) is called a branch point. The position of the branch point is determined by the nature of the multlvalued function and is independent of the choice or branches.

This technique can be extended to other rnultivalued functions. Some require more than two Riemann sheets (ror instance fez) =- ~ requires three)" Some require two Riemann sheets but two branch points" (/(z) = V(z - I)(z + J»J etc. There are functions requiring an infin ite nu mbe r of Rieman n sheets such as f{z) = z" with irrational a and some of transcendental functions which we shan briell y consider below.

Using the definition of exponential function,

el. = e:t(cos y + i sin y),

t

we may define trigonometric and hyperbolic [unctions:

1( i:z + -if)

cos % = ""2 e e t

i 1 ( i% -i.)

sin z = 2; e - e ,

•

sin z

tan z = ,

cos z

cosh z ~ i(e2 + e-Z),

t h sinh z

an z = :t

coshz

1 "

cot z = t

tan z

sinh z = l(e"' " - e-Z), 1

coth z:; I •

tanh z

...

i ,

I

• I r the so-called po;n tat ;nfini ty (Sec lion 2 .. 14) is ta ken in to account, the"., the rna pping fez) = '\Ii also has two bra nch points.

r ..

2.6

MULTIVAlUED flJNCTIONS ANn RIEMANN SURFACES

57

All these runct~io~~ are pe.riodic: sin z and cos z have a (primitive) period 2"11"", ta~:t has a (pnmltl~~) period 1f"t e", sinh z, and cosh z have a (primitive) period 21r1~ A score of familiar formulas can be established, for instance,

sin (tl + Z2) = sin Zl cos Z, + cos z. sin Z2, sin z 1 - si n z:l = 2 cos z 1 + 22 sin z 1 + z, t

2 2' e c,

Also note Lhat

cosh z = cos (iz)

sinh z = ~ i sin (iz)~

II is worthwhile to mention that [sin zJ and [cos z] are by no means bounded by unity, for instance,

[sin 2if ~ 3~24 ..

-

"!"he ~garilhn1ic ~unction is defined as the inverse of exponential function."

Solving e = z = re' for w" we obtain the general solution

w == log r + ;9 + t2lt11'

(n = integer).

This function is multivalued: Its principal branch is usually denoted by w = log z and is defined as

log z = log r + ;() ( - r < 8 < ,.-}~

The en ti re mul tival ued f unct ion is ref erred to as

w == Log z = log z + i2n.,,~

!hese formulas are often written with the help of the argument of z function which IS also multivalued, the principal branch being

arg z = 8

and the entire function reading Arg z == arg z + 2n1f" Thus we may write

log z ~ log [z] + i arg 2.

Log 2 ~ log ~zJ + i Arg z ..

The run~ti?ns Arg 2 and Log z require a Riemann surface consisting of infinitely many RIemann sheets,

The definition or inverse trigonometric and hyperbolic functions now easily follows .. All are multivalued:

Arc cos z = i Log (z + V z2 - I),

A. 11'"

rc sm z = 2 ~ Arc cos z,

A I; - z

rc tan z .== 2-: Log ~ ,

t ,+ Z

Arsinh z = Log (z + -VZ2 + I)" Arcoshz = Log(z + -v'z2 - I),

Artanh z ~ i Log I + % •

I-z

58

FUNCTIONS OF A COMPLEX VAR1ABLE

Their principal branches are denoted by arc cos 2, etc," The general power ji me tion ZfX is deli ned by

Zfl = ~ Lor ;I •

For rational a(a. = p!q, where p, q are integers and q ;o! 0) this function coincides with ~ (q > 0) or with C~zP,-! (q < 0) and has q branches. For irrational

a the power function is infinitely multivatued.

2ti ANALYTIC FUNCTIONS .. CAUCHY THEOREM

In this section we shall discuss the subject of calculus of functions of a complex variable. The basic concept of the continuity of a complex function has already been presented, and it is not difficult to verify that the sum, product, and quotient (except for division by zero) of two continuous functions is continuous. A continuous runction or a continuous function is also continuous~t

Let C be a piecewise smooth curve in a complex plane. If f(z) is continuous

on C, then the complex integral

fe f(z) dz

can be defined and expressed in terms of real i ntegrals by putting

f(z) = u(x, y) + io(x, y)

and

dz = dx + i dy;

this yields

lef(z)dZ = Ie tu dx - udy) + i/e (vdx + udy),

where the real integrals Ie (u dx - v dy) and Ie (v dx + u dy) are known to exist.t Curve C may be open or dosed but the direction of integration must be specified in either case. The reversal of this direction results in the change or sign of the integral. Complex integrals are, therefore, reducible to curvilinear real integrals

and possess the following properties:

r

fe (f(z) + g(z) dz "'" Ie f(z) dz + Ie g(z) dz,

Ie kf(Z) dz = k Ie f(z) dz (k = complex constant),

J. f(1.) dz = r I(z) dz + J. fez) dz;

c le] C2

(1) (2) (3)

where C is decomposed into two curves, C1 and C2· The absolute value of an integr al can be estimated by t he farm ula

lIe J(z) dzl < ML.

I

where M = max 'f(z)~ on C, and L is the length of c.

.. Another widespread notation is arc sin z = sin-1 z, arsinh z = sinh- t z, and so on. t For example ~ Kaplan, p" 496.

t In the sense of Riemann; see, e.g., Courant, Vol. I, 1'. 133, and Kaplan. p, 299 .

•

I ...

..

~ ..

!_ (WI + HI ) = dWI + dW2

dz 2 dz dz to

d ( ) dW2 dWI

~d WlW2 ~ WI - + w

z dz dz 2t

dw dw dr

dz == df dr' where w = w<r) and r = fez),

1z (z .. ) = nz,,-I

(4)

59

- ANALY11C FUNCT10NSr CAUCHY THEOREM

As our next concept we shall define the der + ti ..

Changing z into z + Az (with complex Az) we Obt;:,'v(: +or: )comdP]ex funCh?n ~

, ca an we can write"

I'(z) = 5z f(z) = lim fez + azL=- J(z) .

Az--+O dz

~s I'dn the c~se or real functions, this limit mayor may not exist It may be h·'

size that In the above formula A • . . emp a·

that is z + l!. z may approach zero In an arbitrary fashion

.' z may approach z along any curve or by any se uenc Thi '

~trmgent requirement implies that J(z) must indeed be "well:eh ~.. :s r~ther in order to be di fTerentiable. av a point z

Function i..<z) .is said to be analytic (rt!gular~ or holomorphlc] at point z jf it po;;sesses: ~ den~a.ltve at z and at 811 points of some neighborhood of z (small b~t ~~It~~. ThiS a~dltlOlnal r~quirement results in many desirable properties or analytic

nc Ions, sue as t ie existence of derivatives of all orders The th ~

or a complex variable deals essentially with analytic funct ~ eory or functions

M . IOns.

. ere existence of a derivative at al1 points of a neighborhood be h

imply that the derivative is continuous t Also It I"S a si I may s ?wn to th h . . ~ simp e matter to verify (by

e same tee tuque as for real variables) that th d .. ti f ~

obey th I I 'J e errva IVCS 0 complex functions

e usua ru es:

(I)

(2)

(3)

(II = integer),

and so on. 1?e differentials of complex functions are defined in the sa

for real functions: If w = f(z). then dw = I'(z) dz, me way as

If we set fez) = w ~ u(x y:-' + · ( ) h he definiti

be. - t J IV X, Y s t en t e definition of the derivative

can rewritten as

r(z) = lim [u(x + Ax. Y + Ay) - u(x, y)) + ~lV(x + Ax, Y + Ay) - v(x. y)]

!;::g .6x + I Ay ·

The 1 irn i ling value on the ri ght-hand side must be the same for the bit .

preach ru-+ 0 I · I ar 1 rary ap-

. n parttcu ar, set Az ~ dx (approach along t he real axi s): then

{I{Z) = ~ + i ~ ·

ax ax

• See p~ 54 (i ncI ud ing the footnote) for the deli n i tion of a limit. t See, e" g., K nopp, TI,enry of F UIIC lions, Vol ~ I., p, 65 +

60

FUNCTIONS OF A COMPLEX VARIABLE

2.7

Alternatively; set Il2 = ; &y (approach along the imaginary axis); then !'(z) = ~ _ iiJu.

0' ay

It follows that for a differentiable function w =< u + io we must have

au iJv

.......-.-=.--.

iJy ax

These are the Cauchy-Riemann conditions; they follow directly from the definition of the derivative. Jf, further, I(z) is analytic" then/'(z) must be continuous which, in turn,· implies that the partial derivatives of u and v are continuous.

The inverse theorem also holds: If u(xt y) and vex, y) have continuous first I partial derivatives satisfying Cauchy-Riemann conditions in some neighborhood i of z, then f(z) ~ u + iv is analytic at z:

Integrals of analytic functions possess some very important properties. Per .. haps the most fundamental one is expressed by the Cauchy theorem: If fez) is analytic in a simply connected domain D, and C is a (piecewise smooth) simple closed curve in D, then

Proof. Write the integral as

fcf(z) dz = Ic (udx ~ vJy) + ifc (0 dx + udy).

Analyticity of f(t} implies continuity of partial derivatives of u and v and Green's theorem (p .. 20) is applicable. However, then the Cauchy-Riemann conditions imply

t (udx - vdy) = If (- ~ + ~)dXdY = 0,

8

fc (u dx + u dy) = Jf (~ - ~) dx dy = 0,

8

c

and the theorem follows. "

There is a converse of the Cauchy theorem, known as the

~ I

Morera theorem:f Ir fez) is continuous in a domain D and if ,. fez) dz = 0

for every simple closed path in D with its interior also in D, then f(z) is analytic in D"

~ i

r"

It is not difficult to see that the Cauchy theorem is true (or multiply/connected

domains provided the interior of the simple closed path C is also inside the domain

• See, e.g., Kaplan, p. S10.

t Knopp, Theory 01 Functions, Vol, J, p, 66.

i

2.7

ANALYTIc FUNcnONS. CAUCHY THEOREM

(i.e., the path does not encircle a hole" see F.·g f 15) S~ 'I .

I ed i , · r .. I nn ar extenSIons hold f

re at Integral theorems that will be quoted lat or

Th .. er.

. I ~ va~lshmg of a contour integral (an integral around a simple closed path)

IS c ose y re ated to the independence of path. of an integral In Iact th id

lions of S f I 6· ", e coust era-

e:c IOn . can be appllcd easily to complelt integrals leading to th

statement: If ,. J(z) dz = 0 for every simple closed path, then the integral e

61

l: f(r)dr

is independent of path (between Zo and 2).,

Suppose now that the point Zo is fixed, If the integral r f(t) df· · d

pendent of path, then it must represent a function of z This ~ou t' . lSth1n e ..

· ... fi · · I I nc Ion ] s en a

prtrnitjve unction of fez) (or an indefinite integral of /(70» as follows from th

fundamental theorem of integral calculus: II' rr ) ., I.. ~ e

J • D h II fi . . v J \Z IS ana 'yttc III a sImply connected

aomam ,t en t e unction

F(z) = I.: f(t) tit

is also analytic in D and fez) ~ (d/dz)F(2).

Proof. .Since fez) is analytic, t.he integra] is independent of path and is therefor

a function of z, In the exnression e

F( ) u + +v 1 (%,10 1($ If}

Z = I = (udx - vdy) + i ' (vdx+ udy)

(%o,Uo) (~6rVO) ,

b~th integrals .3.re independent of path (by Green's theorem and

Riemann conditions). It also follows that. the Cauchy-

au au

ax ~ II, oy - ~V:ll

c3V av

-:!!!!!!!!v

..--..--.,- ~= u

ax ~ iJy ,

~o that ~ and v satisfy the Callchy-Riemann conditions as well. Therefore F(z) IS analytic, Moreover,

dF au ~ 8V

d; = ox + I ax = II + iu = fiz};

and the theorem follows.

Any two primitive functions must differ by a (complex) constant: this follows from the fact thatf'(z) = 0 implies /(z) = const (integrate ou/ax = ,; ortjov _ 0

etc.), " , J - ,

• For exa mple, Ka plan, p. 244~

62

2.8

FUNCflONS OF A COMPLEX VARIABLE

1.8 011-lER INIEGRAL THEOREMS .. CAUCHY IN1EGRAL FORMULA

It should be emphasized that all conditions stated in the Cauchy theorem must be checked bef ore applications. Consider, for instance, the integral

/:=1 I dz Jcz - a

(a ~ const).

Is this integral zero or not? Generally speaking, fez) = IJ(z - a) is an analytic function but it (ails to be analytic at one (and only one) point, namely, z ;:::: a. The function is not even defined at this point and thus cannot possess a

deri va ti ve.

. Let the curve C involved in the definition of I be a simple closed curve, Then;

ir the point z = a is outside the curve, the Cauchy theorem hoLds and I = o. If it is inside, the Ca uch y theorem ca nnot be applied. In fact, the integral is not equal to zero, as demonstrated by the followi ng considerations: If C is a circle of radius R centered at z = a, then the integral is easily evaluated by setti ng z = a + Rei". In this case dz = iRe" dO and

1 = J+"- i de = 211i.

- ....

It is not difficult to show that the same result is true for any simple closed path C 1, which encircles point 2 ~ a. Suppose that C t is entirely inside the circle C (Fig. 2.8)4 Then a thin channel made up of curves B I and B2 can be constructed to connect the interior of C1 with the exterior of C and the Cauchy theorem can be applied to the shaded region; a domain D can be constructed so that the shaded region is with in it. The integral over C 1 is clock wise. As the sides B I and B2 of the channel are allowed to approach each other, the integrals of J(z) = J/(z - 0) along BI and B2 will (in the limit) cancel out, leaving us with

the statement lm c .

I /(2) dz +,! f(z) dz = o.

r; r.,

Countereleekwiee C1OC!"w~Be

Reversing t~e direction of the seco nd integration to conn terclock wi se, we obtain

J:. /(2) dz = 1 fez) dz

r, Tel

Figure 2.8

(wi th both directions countercloc kwise) ~

If C is entirely within C 1, the proof is similar. is even simpler.

Exerc ise. Produce a proof of th e discussed statement given that C and C 1 intersect at two points.

J

If C and C ~ in tersec t, the proof

-

I

•

OTIII?;R TIlEORE\tS. CAUCH'i FORMULA,

63

If. the integral I. is evaluated around a closed path which is not simple, its value IS ~ot necessarily 2~r. In cases of practical interest it will be equal to n2.-;, where n IS (he number of times the path encircles the point z ~ a counterclockwise less the number of times it encircles the point z = a clockwise,

or course, it should be understood that (he integral , f(z) dz may happen to ~ zero even if the Cauchy theorem does not apply. For instance, calculate the In tegra I

f I

J ~ dz

(z ~ a)ft '

where 11 is a positive integer not equal to unity and the contour is a circle of radius R around z ~ Q. Using z = a + Rei', obtain

This result e videntl y hol ds for any closed path encircling z == a.

In both ?f these. examples, the possibility of the point z == a being exactly on the path or integration has been avoided" and for a good reason; such integrals cannot actually be defined. Whenever this situation occurs in practical problems the path must be deformed to avoid the troublesome point. How this is to be done depends on the nature or the problem .•

Fu ncti on !( z) in the Cauchy theorem must, of co UtSC~ be single valued. It may be a particular branch of a multiple-valued function, but then care should be taken that this particular branch is analytic, Consider, for instance, the integral

31on~ the unit circle about ~he origin. First of all, the branch of the (double-valued) function Vz must be speciflcd. Suppose it is the principal branch. Then

The Cauchy theorem js not applicable because J(z) is not analytic within the circle Izl = 1. TIle points where it fails to be analytic are along the real axis from x ;;!! ,-I to, x = 0 where 1(:) ,is not even continuous, Note also that although [(z) is continuous at z = 0, It IS not analytic at that point either ..

Consider now the same integral

1.. Vzdt

rl:-I-21=1

• One such example is given in Section 12.9~

64

FUNCTIONS OF A COMPLEX VARIABLE:

taken around the point z = -2 (Fig .. 2.9). If the principal branch is involved in the integration, the Cauchy theorem is not applicable, However, split 0 into the following two branches (as on p. 56):

Branch A:

1-v'Z = Y; eH'/2)

lvlZ = .,.fi eil(e+2.)/21

{v'Z = Vr ei(('+'2..-)/21 VI = Vr etJ6f 2)

if 0 < 8 S lr,

if ~ 'Jr < (J < o.

if 0 < (J ~ 11",

if ~1r < 6 ~ 0 ..

Branch B:

Now the branch cut is along the positive real semiaxis, and each branch is analytic within (and on) the circle Iz + 21 = I and the Cauchy theorem may be applied.

1m

1m

Figure 2..9

Figure 2.10

The Cauchy theorem can be generalized in more than one way. Observe that the interior of a simple closed path is evidently a simply connected domain with the path serving as its boundary. A (finite) collection of nonintersecting simple closed paths may form a multiply connected domain, as illustrated in Fig, 2.10:

The paths C1t C29 and C3 form the boundary of the (triply connected) domain S. With respect to this domain S, the contours C h C 2t and C3 are oriented in the following sense (see P+ 21): The positive direction of circulation around Cit C 2, and C3 is such that the domain S appears 10 the left, This implies, in our example, a counterclockwise direction for C 1 but a clockwise direction for C 2 and 9 3~

These concepts lead to the so-called Cauchy theorem fOT multiply connected domains: If S is a multiply-connected domain whose boundary B consists 0/ a finite number of simple closed paths, then

1B I(z) dz = 0,

provided J(z) is analytic in S and on B and the integration is carr;t!~ out in,a pos;~irJe direction over all parts 0/ B. The proof is constructed without difficulty by using the technique of channels (p. 62).

In this (and other) integral theorems the analyticity of f(z) on a contour ~(as well as in its interior) is demanded. This is because the Cauchy theorem requires

• I

OTHER THEOR.EMS. CAUCHY FORMULA

65

Ih~ cont~~r to be located within some simply connected domain D. ActuaJly, this co~dlhon ~a~ be r~lax~ and the following boundary integral theorem holds:

If I(r! IS analytic In the Intenor S of a si~pte closed path C and fez) is continuous o~ C, . the.n !,c /(z) dz = O. The proof IS based On the construction of a contour C whlc~ lS.1n S and ~rbitrarity close to C; the Cauchy theorem is valid for C'. The.contmu,ty of fez) 1S then used to show that the integral over C' must approach the Integral over C as C' approaches C.

Th~ Cauchy ,theorem can be used to deduce many other properties of integrals. the ba~lc one ~mg the Cauchy integral formula: If I(z) is analytic inside and 011 C and if the potnt z = a i ... in the interior of C" then

f j(z) dz = 21(;/(a).

z-a

Proof. Constr~ct a. circ!e C' about z = a with an arbitrarily small radius R such that th~ Circle IS Within C (Fj8. 2.11). The integral Over C is evidently the same as the Integral over C' (use the channel technique). Rewrite this integral:

i f(z)dz - 1 f(z) - f(a) i I

c: z - a - Lc~ - z --- a·~ dz + f(a) dz

. Ci'Z - a

= 1 f(z) - f(a) dz + f(a)2".i lc' z - a

by a previous resur.t. The remalning integral on the right-hand side must be independent of the radius R (because other terms are independent of R).

It can also be estimated that

Ii f(z) - /(a) dz ~ I jj(z) - fla)1 ds < ~ 2 R = 2 M

fe· z - a Ie. [z - al - R 1( 11".

where M = max If(z) - ,f(a?, on the circle ct. n R is chosen sufficiently small, then M can be made arbitrarily small [by continuity of /(z) at the point z = aJ

Therefore the q uan tity ~

j 1 /(z) - f(a) dzl

Jef z-a

1m

can be shown to be less than any positive number, no matter how small. This is possible only if

i /(z) - f(a) dz = 0

Jc~ Z - a :t

and the theorem foUows~

Figure 2.11

• To be precise, provided a point on C is approached from the inleriOt~

66

fUNCTIONS OF A COMPLEX VARIABLE

The Cauchy integral formula reveals a remarkable property of analytic functions: I r the values of a functi 0 n are specified alon g a closed contour t then its value at an arbitrary point inside the contour is already predetermined. To emphasize this, replace a in the formula by z (variable) and denote the dummy variable by t:

f(z) = ~ fl(f) dt ..

2 ... , t - z

J n this for mula; the integral is a function of the (variable) parameter z and ca n be differentiated with respect to z, The following theorem (Leibn itz rule) follows from the corresponding properties of real lntegralsr"

!! 1 Ar z) dr = L af(f. z) dt

dz lc' Jo az

(contour C. must be a simple closed curve in the usual sense; namely, it should not extend to infin ity, otherwise the conver genre questions must be con side red) · Application of the Leibnitz rule to the Cauchy integral theorem yields an integral expression r or the derivative:

df(z~ = _!_ f f(t) dr -

dz 211'[ <r - Z)2

Repetition of this process gives us the nth derivative

d"f(z} nl f At) dr

dzn = hi (t - z)n+l +

2.9 COMPLEX SEQUENCFS AND SERIES

No serious study of analytic functions is possible without their representation in the form of series, and we now turn our attention to consideration or this aspect of the theory .. Our first task would be to consider complex sequ~nces:

An infinite sequence or complex numbers {Zn} == {Zh Z2., + •• } IS said to converge to the (complex) lim it z-, provided

lzn. - z] < E

for sufficiently large n; E is, or course, an a rbitrari Iy small positive number + Convergence or complex sequences is reducible to that of real sequences by. th~ following fundamental theorem; The sequence {Zn} converges to z ~ x + ty if and only if Re z; converges to x and 1m z" converges to y.

Proof. If Re z~ = Xn. -+ x and 1m Zra = y".....--+ y~ then

I •

I

IZn - z] = I(x • .-L x) + i(y" - ,)1 5 'xn - xl + IYn - yl < (E/2) + (E/2) = E

• See Kaplan, p .. 219 ..

•

2.9

CQMPLF.X SEQUENCES ANlJ SERIES

67

for sufficiently large n. Conversely, i r IZn - z] < E~ then ZJ1 is within the circle of radius e about the point z. This implies

Ix,. ~ xl < E

and

IYn - yl < E,

and the theurem follows.

It should now be clear that many or the theorems on real sequences hold for complex sequences as well, for instance the Cauchy convergence principle: The sequence {zn} converges if and only if JZm ~ znl < if for all m and 11 larger than some integer N ..

Proof.. If Iz~ ~ znl < E, then IXm - xnl < E and the sequence Ix,,} must be bounded. By the Bolzano- Weierstrass principle" an infinite bounded (real) sequence must possess points of accumulation. Let us take any two or them, ~ 1 and ~2 (not necessarily.distinct) .. Then

I~I ~ E2r = I(t l - Xm) -I-- (x," ~ X?i) + (Xn ~ E2)1 < lEI - Xml + Ix", - Xnl + Ix" - ~2'.

From the Bolzano-Weierstrass principle it follows that

I~l - xmf < f/3,

while from the Cauchy condition it follows that tXm - xnl < E/3. Therefore f~ 1 ~ ~~d < ~) which implies (since E is arbitrary) that ~I = l2- A similar argument holds for y" = 1m Zn so that the point of accumulation is unique and therer ore the seq uence converges.

Conversely, ir IZn - z~ < if,. then

and the second part of the theorem follows as well ..

Con ve rgen t sequences can be added, subtracted, multiplied, and di vided (term by term), and the usual theorems on limits hold:

lim (z, ± r II) = lim z" ± lim t ", lim (z, r n) ~ 1; m z, lim r n, etc.

Let us now turn to the consideration of complex series. An infinite series of complex numbers E:~ 1 2n is said to be convergent if the sequence {S,.} or its partial sums,

III See, e.g., Knopp" Theory and Appiicali'Jn o.f 1"finite Series, Section 10.

68

FUNCTIONS OF A COMPLEX VARIABLE

is a convergent sequence. Denoting S = lim Sn? we customarily write

I f the sequence of partial sums does not converge, then the series is said to be divergent. It is to be emphasized that, under certain circumstances, divergent series can be given definite meanings and such series are widely used in applications." However, the theorems derived for convergent sequences should not be indiscrimi nately applied to d i vergen t sequences.

A series is said to be absolutely convergent if the (real) series or moduli

is a convergent series, An absolutely convergent series is convergent (the proof is trivial) .. In most cases one proves convergence of a complex series by establishing that it is absolutely convergent. The following tests are most common.

Comparison test. lr Itnl < Q" and Lan conver.@:es. then LZ" converges a bso 1 utely .

Ratio test. tr IZn+ liz", < k for all n sufficiently large and k < I, then Ez~ converges absolutely. If Iz,,+ 1/ zl > k for all n sufficien Uy large, and k > I ~ then L.Zn diverges.

Root test. ]f {YJZJ < k < I for all n sufficiently large, then EZn converges absolutely, and ir -\rltal"> k > I for all n suffICiently large, then I:z" diverges.

" I

Proofs or these theorems are similar to those for real series; they are based

on the inequalities for absolute values which are also true for complex nurn bers.

Divergence of a series can of len be quickly established by the nth term test:

Il' z; rails to con verge to zero then the series 'E,zn; di verges.

If necessary, the question of convergence of a complex series can always be re· duced to that" of two real series by the basic theorem: The series LZn = E(x" + iYn) converges tti s = P + iQ if and only if LXn converges to P and Ly,. converges to Q. For instance, series which are convergent but not absolutely convergent can be treated in this r ashion ~

Complex series can be added and subtracted provided they are convergent.

They can be multipl ied 0 nly if they a re absolutely con vergent, the prod uct being also an absolutely convergent series; if the series a re not absolutely con vergen t, the n we are raced with the problem or arranging the prod uct series. t '

• For exa mple, see Sec lion 6.4.

t See Knopp, Theory and Application 0/ Infinite Series, Section 45.

2.9

COMPLEX Sr;oUENCfS AND SERIES

69

. Terms of a com~lex series may depend on a complex variable ZL Most common series are power series, for instance,

(II) ,

L z" = I + z + Z2 + 23 + ~ ~ 4

"h.-O

In many case~ such series will converge only ir z is confined to a certain region. T.he above senes converges absolutely ~ by ratio test, provided rzr < I. This series diverges, by ratio test) ir [z] > I .. The ratio test is Inconclusive if Izi = 1, but then the. nth .. term test shows that the series diverges. It is seen that the above power series converges absolutely for all points inside a circle or radius R = I called the radius of convergence+

L The concep~ of the r3di~s ~r convergence can be applied to every power serres, Indeed.jf a power series IS convergent on a circle of some radius r then it is absolulel~ convergent everywhere inside this circle" (by comparison' test). The problem JS then to find the upper bound of r which is the sought radius or con ve rgence.

Exerc ise, Show t ha t the series

I - 3z + 9z2 - 27z3 + 81z'" ~ . L •

has a fa d ius of con 'Vergence eq ua I to !" w h j le the series

I + 2 + 2!Z2 + 3 !z:J + 4!z4 + ...

ha~ a radius of convergence equal to zero; the point z = 0 is the only value for which the series converges ~

lf the upper bound described above does not exist, then the series converges absolutely for an values of .z and is said to have an infinite radius of conoergence .. For example,

Z2 3 4-

1+ + Z z

z 2f + 3! + 4f + . L •

Partial sums of a power series represent a sequence of polynomials in z ..

Sequ~nces of olh~r functions can also be considered. The sequence {In(z)} of functions defined In a region R (z belongs to R) is said to converge to a limit [unc- 110n J(z} in R, provided

lim j;~(z) == I(z)

n-tIO

for each z in R+ For instance, (he partial sums of the series

aI:I

L z" = I + z + Z2 + Zl + .....

'l'_O

• This statement is known as Abel's theorem. Sec Kaplan" p. 350+

70

FUNcnONS OF A COMPLEX VARIABLE

, form a sequence of functions (polynomials)

and this sequence converges to the [unction fez) = 1/(1 ~ z) in the (open) region [z] < 1 because

t - zn+J 1

/n(z) = 1 + z + Z2 + · · · + z"" = - ~-

l-z l-z

Z"'+l 1 ~ z

and

zn+t

lim 1 = 0

n----tGO ~ Z

for [z] < I~

For this reason the function f(z) = 1/(1 ~ z) is said to be the sum or the above series (for 1:1 < 1 onlyl):

..

2: zn ~ 1/(1 ~ 2)

n-O

(lzl < 1)~

W hen representing a function by a seq uence or other functions, it is necessary to know how well a certain function f(z) is approximated by the nth term of a sequence {/n(z)}. This question leads to the definition of a uniform conoergence:

The sequence {/1t(z)} is said to converge uniformly to f(z) in a region R provided

that the inequality

which is satisfied if n > N, holds simultaneously for all 2 in R.

In plain terms: Let us suppose we desire a certain accuracy E for our approximation. For some particular z, the tenth function in the sequence may suffice (ten terms of a series, ir we are talking about partial sums). But for another Z, the tenth function may be inadequate because the speed of convergence is slower, In general, we may need to go farther and farther along the sequence as we proceed to points where the convergence gets increasingly worse. Uniform convergence sets the end to this process. The convergence can be no worse than a certain specified degree and the Nth te r m will guar antee a ce rtain accuracy

for the entire region.

Example" The sequence of partial sums of the series

j

I

is convergent for [z] < I but it is not uniformly convergent; the convergence becomes increasingly worse as 1zt ----+ 14 However, in the region -[zl < k where k < I J the convergence is uniform. It may be "bad" at z ~ k, but once N is

•

2.10

TAYl.OR AND LAURENT SERIES

71

round such that

I i: %'" - I < E

--0 1 - z

for all n > Nand z = k; then the same value or N win hold for all other z with fzl ~ k~

The seri~s of rU.nclions i~ call~d uniformly conoergent (in a region R) jf the sequence of Its par.tJal4 sums IS uniformly convergent (in that region). Uniform conveT~ence of serres IS most commonly established by the Weierstrass M-test:

The ~nes E/":.(~) of functions is uniformly convergent in a region R ir there exists a senes or positive constants Mn such that

for all z in R

an d the se ries L M n is convergent. The p roof r ollows r ro m the com parison test and the fact that the Mn are independent of z:

. Several important theorems can be established for a uniformly convergent

scnes as follows.

Continuity theorem. The sum of a uniformly convergent series of continuous functions is a continuous function.

Integrabili ty theorem.. A un iforrnly con ve rgent series or contin uous function s can be integrated term by term.

Differenliability theorem. A uniformly convergent series can be differentiated term by term, provided all terms have continuous derivatives and the re .. suiting series is uniformly convergent.

, . All th.ese theorems. can be proved by the same methods 11.5 those used for real \ ariables ... O'1e ca~ also show that the sums and products or uniformly convergent series a~e uniformly convergent (within the same region, or course).

From the above results one can deduce the

Weierstrass . theorem, Ir the terms or the series Efn(z) are analytic inside and ~I:t a sl~ple closed curve C and the series converges uniformly on C, t~en Its ~Uf!l IS a~ analytic function (inside and on C) and the series may be differentiated or integrated any number or times.

2 .. 10 TAYLOR AND LAURENT SERIES

Consider a power series or powers (z - a)~ where a is a fixed complex. number:

Co + Cl(Z - a) + C2(Z ~ a)2 + C3(Z ~ a)~ + ~ . ·

If this series co~v~rgcs for some value Zo ;z! a (for 20 = a the series always converges). then tt 1!\ absolutely convergent everywhere in the interior or the circle

• For these methods see Kaplan, pp, 345-348 .

72

FUNCTIONS OF A COMPLEX VARJAflLB

2.10

of radius lzo - 01 = Ro about the point a (by comparison test), Moreover, it will be uniformly convergent within a circle or radius R less than Ro (by the We ierst rass M- test)" It follows that the above powe r series re presents, withi n a circle R (at least), a complex function

GQ

/(z) = E c~(z - a)"'.

n-=O

By the Weierstrass theorem, this function must be analytic within the circle, Summarizing these results, we can state that every power series with a nonzero radius of convergence represents a regular function in some neighborhood of the point z = a. Such series may be added and multiplied (where the neighborhoods overlap) and differentiated and integrated any number of times ..

The converse statement is also true: Every function f(z) analytic at z = a can be expanded in a power series

. r

.,

f(z} ~ 1: cn(z ~ a)ft

n::z:::-O

c

l'

valid in some neighborhood o/point D. This series, known as the Taylor series, is un ique, and the coefficients e_ ca n be obtained from the formula

1 cr f(Z)1

C :!::::. - "

11 1 ft

n" dz Z'=G

Figure 1.11

Proof. Let J(z) be analytic within a circle C about the point a and let z be inside C (Fig, 2.12). It is then always possible to construct a circle r such that r is inside C and the point z is inside I', This is necessary to ensure that J(z) is analytic

on r and the Cauchy formula can be applied = ,.

The quantity I/(r ~ z) may now be expanded by means of a geometric series:

j ,

III

~- - - ---.._.......-~~--

r - z t - a I ~ (z - a)/(r ~ a)

I '" ( )n

- E z-a .

- r - a "--=0 t ~ a

This is allowable because the series converges (by ratio test). Then

,

TAYLOR AND LAUkENT SERIES 73

The series ap~aring in the integrand, viewed as a function of l' IS unifo I convergent on r and, by the Weierstrass theorem, can be integrated 'term by t;:l~

I t;O t

f(z) = ~ L (z - a)" f(t) -df

1('1 "-0 r (r - a)n+1 4

1n view of the rornluJa {p, 66)

f(ni(a) = d~f(z )1 = _!!!_ f fit)

dz» .1':::.,.6 2,.-; (r - 0)"+ 'i dt ,

we obtain

. It r~mains for us to show that this power series is unique. Indeed, if there is a series with undetermined coefficients c~:'

CI)

fez) = L CtJ(2 - a)n,

n==O

w~ich represents an an~Iyt.ic function in some neighborhood of point a, then it is ~~nl~ormly convergent within and on a circle r inside the neighborhood Diff

ttat th · - ~ - I eren-

ing e serres n times and setting z ~ a~ we obtain

which completes the proof, Power series can be generalized to contain negative powers of (z .; a) to read

n1ac::-~

Such series may be split into two parts ~

~ .

L c,,(z - a)n and L C-m t

n-B tn!l::::l (z ~ a)rn

and the ori~inal series. ~iIl converge provided both paris converge.

The sene~ of positive powers converges inside a circle of some radius R

about the point z = a The set- r 4 .. " 1

... · ies 0 nega ti ve powers Will j J n general, con ve rge

outside a circle of some radius R2 about Z = Q. To see this, denote

1

z~a::::::;:-t

so that the series or negative powers of (z - a) becomes

74

FUNCfiONS OF A COMPLEX VARIABLE

2.10

Unless this series happens to have zero radius of convergence it will, in general. converge within a circle or radius R' about the origin. But Ifl < R' implies

TAYLOR ANI) LAURENT SERIES 75

The second integral is treated by expanding l/(J- - ). hat di

geometric series: l Z In a somew at different

1 _ _ l. I == _ aQ (f - aY"

f - z z - 0 I - (I' - a)/(z - a) ];0 (z - n)"'+1

and the statement follows" Therefore we conclude that if R2 > R 1, then the series

which is convergent by ratio test.. Then

~ A. f(t) dt = _ _l__,{ f(t) dr

2 ... , 'Yrt r - z 21('; 'YrJ r - z

9) I I rk

- "'~o (z - 0)111+1 2".; ':fr, 1(r)(r - a)tn dr.

Replace m by - (n + 1) (n must be negative) and rewrite the above as

will converge within the annulus

It can, of course, happen that R2 < R h in which case our series willdiverge everywhere.

The. following theorem can now be derived: Every function f(z) analytic in an

annulus

where r is a circle of radius R such that Rl < R < R2 ..

Ficure 1.13 I

__!_ A:w f(r) dr 2 ... 1 'Yrt f - Z

Finally, note that the integrals

con be expanded in a series of positioe and negative powers of (z ~ a), namely ..f.<IO

f(z) = E cn(z - a)ft.

(n = 0,. I ~ 2, " ... )

and

This series, known as the Laurent series, is unique for a 'given annulus, and the coefficients en can be obtained

from

(n == ~ 1, ~ 2, - 3, " " .)

t i f(z)dz

c - ~ ,.

" ~ 21(i r (z - a)n+l

may ~ just.as.well evaluated over a common circle 1\ concentric with rand r

and lying Within the annulus R < R < R 1 2,

1 2"

To prove the uniqueness! assume that an expansion

Proof, Contract the radius R2 slightly and expand the radius R I slightly to-obtain an annular region, with point 2 mside, to which the generalized Cauchy formula

is ap plic a hie (Fi g. 2.13): *

f(z) = ~ rf. f(t) Jr + ~,i. f(t) dr .

2r' 1'r~ r - z 21rl 'frl r - z

The first integral can be treated as in the derivation of the Taylo r ser ies ~

+~

J(z) = L ctt(z - o)tt

exists and is valid in the annulus Rl < 'z ~ al < R Ch bitrarv i

k~ multiply both sides or this expression by (z _ a)2~k-l oosde ~n ar rtrary Integer

. I bo" jII an Integrate around a

eire era ut z = a .. lying within the annulus. Then

1 fez) dz = +'"' c 1 dz

1'r (z - 0)1+1 R~ __ R!r (z - a)k+H. ·

All integrals .. on t~e right-hand side will vanish except one, for which n = k and

whose value IS 2 .. t, Therefore t

Term-by-term in tegration is permissible by u nif orm convergence.

I f(z)dz

Jr (2 ~ a)'=+ 1 = Ck21f';~

• We shall occasionally use the convenien t symbols ; and .; to ind icate clockwise or coon terclockw ise direction or in tegra tion "

which completes the proof.

r

76

fUNCTIONS OF A COMPLEX VARtABLE

The part or the Laurent series consisting of positive powers or (z - a) is caned the regular pari .. It resembles the Taylor series but it should be emphasized that the 11th coefficient cannot be associated, in general. with fhd(a) because the latter may not exist. 1n most applications, f(z) is not analytic at z ~ a. The other part, consisting of negative powers, is called the principal part. Either part (or both) may terminate or be identically zero. or course, ir the principal part is identically zero, then fez) is analytic at z = a, and the Laurent series is identical with the Taylor series.

Remark. The Laurent series is unique only for a specified annulus. In general, a funct ion f( z] may possess two or more en tire 1 y d i fT eren t La u re n t series a bou lag iven po in t, va Hd r or d itT eren t (nonover la pp ing) region s, For i nsta nee"

t I 2:i

~~-=-+l+z+z +z + .. ~~

z(t - z) z . '

I

---_ ----------_ ..... ,

z(l -- z) z2 Z3 z4

1

1

1

1 < Izi < 00

(the notation 0 < I z' < I is. to be understood as E < 'zt < I with fl arbitrarily small; similarly" I < Izi < ee means t < Izi < M with M arbitrarily large).

In the following examples, several very common techniques for the construction of Taylor and Laurent series are illustrated.

Example L Use of Geometric series. f(z) = 1/(z - a) (a = nonzero complex constant).

It is known that

<10 1

1 + z + Z2 + z3 + · ~ · = L z" = ~--~

n=O I ~ z

Therefore

. I I 1 1 CIO (z)ft.

f{z)= z-a= - a I-z/a= -lifo a

This is the Taylor series or fez) about the point z ~ Or Its radius of convergence is R = lal because at the distance R from the origin there is a point z = a where I(z) rails to be analytic. This is the only point where J(z) is not analytic. Therefore fez) should possess a Laurent series about z := 0 which would be valid for Iii > luI. Write

(Izf < 1)~

I I 1

f(z) = = ~ ~-.

z ~ a z 1 ~ afz

If fzl > 101, then lo/zl < I t and we can expand

(Jz) > lol)·

I t

2.10

'thYLOR AND LAURENT SERIES 17

Therefore

I 1 ~ ()N: ~ n

J(z) ~ -~ = - L a == L a

z, ~ a Z n=O Z Q=O zi+ J

<Izi > lal).

This is the desired Laurent series.

The ru~ction /(z) Can be expanded by this method about any noint - b.

Indeed, write ." z - ..

f(z) == 1 _ ~._ __ ] I

Z - a (z - b) - (a ~ bj == t - (a---b-)

(b ~ a).

Then, either

I IZ n

fez) = - L -or -

(0 ~ b)~_n (a - b)ft -

- __ I i: ~ - b)1l (~ - b) "-0 (a ~ b)n

Oz - b r < fa ~ b I)t

or

f(z) = i: _Ja - b)_:_

Jt=O (z - b)n+ I

Example 2. Rational fraction decomposition.

I

f(z) = .) ~ •

z= - (2 + ;)z + 2;

The r<J~ts of the denominator are a = i, b = 2 (simple and distinct) Therefor~ fez) falls to be an.alytic only at z = i and z = 2 and should assess ~ Ta I

:se~~~stb~ut z = 0 valid for Izl < 1 (/i/ = I) and two Laurent se~es about z ~ o~ va I or < [z] < 2 and Izi > 2. To obtain these three series, We use the identities

Z2 - (2 + j)z + 2; = (z - i)(z ~ 2)

und

f(z) ~ -~-_!~_. = I (I I )

(z - ;)(z - 2) 2 - i z --"2 - z _; 4

Suppose that the Laurent series valid for I < [z] < 2 I·S d . ed Th f .

l/(z ~ 2) . esrreo, e unction

. . ~h~uld th~n be expanded In Taylor series about z = 0 (Exam Ie I)

ThiS senes IS, .10 particular, valid for 1 < JzJ < 2~ The runction I/(z - ~ Ph Id~

be expanded In th L . bo I} S ou

. . ~ e. aurent senes a ut z = 0 valid lor Izi > I (Exam 1 I)

Thl.s.senes IS ~Is~ valid Ior I < jzl < 2. lr these two series are SUbtracted, ! ~a;

?bllUn (J~ultJplyrng by 1/(2 - i») a series for fez) valid for I < 'zf < 2 which .s the desired Laurent series ..

Example 3. Diff~l'elll;atio".. fez) = 1/(z ~ 1)2.

Th: method applied in Example 2 rails here because or the double root or tile

denominator, Among the alternative methods the simplest one is h t

observe. hal r~ j per aps, 0

78

2.1 I

FUNCTIONS OF A COMPLEX VARIABLE

The series

1 2

-~~ ~ I + t + z + ...

I-z

can be differentiated term by term within the circle of convergence. Therefore

, = 1 + 2z + 3z2 + · · . = f (II + I )z"

(2 - 1)2 n-O

(izi < 1)~

Example 4. Integration, f(z) = tog (I + z) ~ log 11 + z] + i a r g (I + z].

This is the principal branch or the (Ill ultivalucd) loga rithm ic r unct ion. The branch li ne extends front "min us in tin it yH to Ell in LIS one a nd log (1 + z) is una tyt ic within the ci rcle [z] = 1.

We know that

Therefore we may expand

i'.I:t

l/(1 + z) = I - z + Z2 - z3 + z" - ..... = L: (-I r'zt~

(izi < I)

and integrate term by term:

j' T~t = z- ~; + Z~1 _ z; + · · · + C

(lz] < 1),

where C is the constant of integration. Since log I

0, it r allows that C = 0 and

2 3 <.(I n

Z Z ~ "+1 Z

log (I + 2) ~ z - - + ~ - ... · = £., (~I) --

2 3 n~l n

(izi < I).

Other branches or Log (1 + 2) win have the same series except for different values or the constant C.

2 .. 11 ZEIIOS AND SINGlJI .. AltrrIES

Point z = a is called a zero (or a root'; or the function !(z) if f{1I) = o. I r f(z) is analytic at 2 ~ a, then its Taylor series

,

1

P..IJ

/(z) = L c~(z - ar~

t!=O

must have Co == O. lf c 1 ~ 0, the point z ~ (I is called H s;Jnpfe Z()I"O (or a zero of order one). It may happen that eland, perhaps, several other next coefficients vanish. Let em be the first nonvanishing coefficient (unless f(z) = 0 such coefficient must exist). Then the zero is said to be of order m. The order Gir a zero may be evaluated (without the knowledge or Taylor series) by calculating

. fez)

lim ~----

:t -Hf: (z - 0)'1

2JI

ZEROS AND SINGULARll1FS

79

for n = I, 2~ 3, ~ .. ~ ; the lowest value of II for which this limit win not vanish is equ al to the order of the zero.

If a function f(z-) is analytic in the neighborhood or some point z = a with the exception of the point z = a itself, then it is said to have an isolated singularity (or an isolated singular point) at z = a.

It is customary to distinguish isolated singularities by the following types of behavior or 1(;:) as z _. a in an arbitrary fashion:

t. [(2) remains bounded, that is, 1f(z)1 < B for a fixed B.

2. fez) is not bounded and tf(z) I approaches infinity, namely, 1/(z)1 > M (any M) for Iz - al < E (some f).

3~ Neither or the two cases above; in plain terms, f(z) oscillates in a "wild" manner.

Examples of these three types of singularities (at z := 0) are

Case I, Case 2, Case 3,

f(z) = sin z/ z, f(z) := I Isin z, [(z) = e'!" ..

The first case turns out to be trivial because then the limit limz:-t-a /(2.) must exist, and if the function fez) is defined at z = a by J(a) = linlz.-..a f(z)~ then it must be regular at z = a as well,

Remark. The formula J(z) !!!!!!: sin z/z does no. define, in a rigorous sense, the value of the r unction at z :::;;;;; O. The ex tended formula

{sin z/z. z ¢ 0, j-(z) =

I,. z = O~

does define the function j(z) at z ;;;; 0 (and elsewhere).

To prove the above statement concerning Case 1, observe that f(z) is analytic in an annulus p < Iz - al < R within a neighborhood or z = a. By the Cauchy theorem, for any point z within this annulus (Fig. 2.14)t we have

f(~) = _I . rf.. f(r)dr + ~ rk f(t}dr.

2rl 'fl' f - Z 2rl 1'.., r ~ z

\Ve shan show that the second integral must he zero for all o. If this is so, thcnf(z) must approach the limit

lim J(z) ~ -' • rf.. f(t) dr I

Z~G. 2,.., 'f t ~ a

which will prove two things, at once: (a) limil-H1 J(z) exists" (b) if /(0) is defined by this limit then the redefined function I(z) is analytic at z = a as well.

Figure 1.14

80

2.1l

FUNcnONS OF A COMPLEX. VARIABLE

To achieve this result, write r - z = (t - a) - (z - a) and observe that

1((" - a) - (z - a)1 > Iz - al - It - al = [z - al ~ p~

Then, for a fixed z,

_!_ 1 f(f) tltl < _l_ B 21rp :.: Bp .

2ri J-y r ~ 2 - 2'11" 12 ~ at - p It ~ 01 ~ p

The integral must be independent of p because of the analyticity of the integrand. Since it is less than an arbitrary positive number (for sufficiently small p) it must be equal to zero. The proof is now complete.

Because of the described property, isolated singularities of the first type are called removable singularities. In practice, ir a function is defined by a formula which fails for some isolated point z = a, then the formula is tacitly replaced by the corresponding limit In this sense, the functions

J(z) = sin z] z,

g(z) = ~in zlz~

h(z) = liz - cot z

are analytic at z = o.

The seco nd type of i sol a ted si n g ula rity, when f f (z)1 ---+ CIJ as z ____, at is ca ned a pole. Since the singularity is isolated> there must exist a Laurent series

+tIO

/(z) = L. C n(z - (l)ft

n=-~

valid for 0 < Iz - al < R (for some R). If the principal part terminates, i.e., if the Laurent series is of the form

+-

/(z);: E c1t(z - a}'\

n=-m

thenf(z) has a pole of order m at z = Q. Conversely, if f{z) has a pole at z ~ at it must have the Laurent series (for 0 < [z ~ 01 < R) or the above form as seen from the following argument: Consider the [unction

.

s

g(z) = 1/ f(z)~

Unless /(z) =- 0 there must exist a neighborhood of z = a where f(z) has no zeros+ In this neighborhood, g(z) isanalytic and

as

z~a

,

. ...

(because 1/(2)1 --+ cc ), Therefore g(z) has a zero at z = a. This zero must be or

some definite order m, namely,

.:)0

g(z) ~ L hn(z - a)1L

~-m

(0 < Iz - al < R) ...

• •

2.1 J

zatos AND SINGUL ItRI TIES

81

Rewrite this as

Cif)

g(z) = (z - a)ttt r: b~(z - all ~ (z ~ a)m+(z)t

k_D

where bk = bm+1: and b~ ~ O. Now

I I I /(2) = g(z) - (z - a)m ;,(z)

Since y,(z) is analytic at z = a and does not vanish there, it follows that 1/"'(2:) must be analytic as well and possess a Taylor series at z == Q~ Then

[(x) = I ) i: d(z - at·,

(z - a m l!::!:::::O

However, this is evidently a Laurent series with a terminating principal part 50 that the argument is complete.

Example .. The function 1(2.) = esc z = J/si" z has the Laurent series valid for o < [z] < 11':

I - I 7 31 .~r

cse z w z+6z+360z3+ 15120z + ... ,

from which it r ollows that it has a simple pole at the origin.

The order or a pole may be obtained without knowledge of the Laurent series.

This is done by evaluating

lim (z - ot~f(z)

Z-tCl

ror IJ ==== 1, 2,. 3, .. ~ ~ ; the lowest value of n for which this limit exists will yield the order of the pole. Note that this particular limit cannot be zero,

The third type of isolated si ngularity is known as essential singukmt 'y, The laurent series valid for 0 < ~z - af < R (for some R) must have an infinite p r i nci pal pa rt,

Example. The function 1(2) = e 'f:e possesses the following Laurent series valid for 0 < [z] < R (R can be arbitrary):

11.1 I I I I J

e = I + z + 2! .. Z2 + 31 . i3 + " · ·

Since the principal part is infinite, the function has essential singularity at z = o. Note thatlf{z)' neither remains bounded as z ........ 0 nor approaches infinity, for an arbitrary manner of approach: For instance, if z approaches zero along the negative real serniaxis, then If(z)1 ~ 0; if it approaches zero along the positive real semiaxis, then If(z)1 -+ 00; if it approaches zero along the imaginary axis" Ihcn If(z)1 remains constant but arg /(2) oscillates, and so on,

82

FUNCTIONS OF A CO~'IPLEX VARIA.BLE

2.11

In fact it is not difficult to show that even in an arbitrarily small neighborhood of an essential singularity, a function f(z) assumes values arbitrarily close to any desired complex number (Weierstrass-Casorati theorem). Also, an even 1I10re explicit statement can be proved. known as

Picard's theorem. In an arbitrarily small neighborhood or an essential singularity, a function f(z) assumes infinitely many times every complex value except, perhaps, one particular value.

Remark, It should be emphasized that an infinite principal part in the Laurent series i rnpl ies essen tial singu to ri ty on Iy if t he series is va tid U u p to the s i ngu la r poi net ~.

I 1 1

/(z) = (r _ 1 )2 + (z - I }' + (t - I ).. + + • •

does not mean that fez) has essential singularity at z = l , The point is that the above series converges only if 12 ~ ! 1 > t. J t 8 ctua II v represen ts the rune lion

I

f(z) = z2 - 3z + 2

in the annulus 1 < Iz - l] < R (Ior any R)r This function evidently has a simple pole at z = I ~

Apart front isolated singularities, complex functions can have other types of breakdown of analyticity, The most common case is that or a branch point, Consider, for instance, the function J(z) = 0. For every point except the origin it is possible to construct a neighborhood and find a branch of Vi that will be analytic in this neighborhood, This branch may not be the principal one or its complementary, called the second branch in Section 2~6; rather, it may be something like branch A in the terminology on p. 56. For the origin, this is not possible because any neighborhood or z ~ 0 will contain a portion of the branch line (whatever it may be) where the selected branch is discontinuous. Similar statements can be made about other mu1tivalued functions and their branches.

It is evident that there can be no Taylor or Laurent series valid for the . region o < tz - 01·: < R (for some R) about a branch point z ~ a. However, Laurent series valid for Rl < [z ~ 01 < R2 are sometimes possible.

Example

11 II ItS I

-v'Z2 - 1 = z - 2 z - 8 Z3 - 16 z5 - 128 Z7 ~ • · •

This series is valid for 1z1 > I and represents a branch of the function ";Z2 - I which is analytic in this regi on r The bra nch li ne joi ns, in this case, two branch points z ~ + I and z = -1 and does not extend to infinity (Fig. 2 .. 15). Replacing

• Namely, for all points in a neighborhood Iz ~ 01 < E except z ~ a~

TilE R.ESIDUE TlIF.ORF,M AND lTS APPLICATIONS

83

z by (z - I)~ we obtain :1 Laurent series centered about the branch point z = L The latter will converge for 'Z - II > 2.

Another type or singular behavior of an analytic function occurs when it possesses an infinite number of isolated singularities converging to some limit point. Consider, for instance,

1m

1 I

f( z) = esc - = . ( I / ) ·

Z sin z

The denominator has simple zeros whenever

-]

+1

---------f~ ......... _._...------~ Re

Branch t'ne

1

(n == ± I, ± 2, ~ ~ .) ..

Figure 2.15

z:;::::::

The function I(z) has simple poles at these points and the sequence of these poles converges toward the origin, The origin cannot be called an isolated singularity because every neighborhood of it contains at least one pole (actually an infinite number of them),

2 .. 12 TIlE RFSIDUE THEOREM AND ITS APPLICATIONS

Let fez) he analytic in some neighborhood of z -== a except, perhaps, at z = a itself [in other words f(z) is either analytic at z = a or has an isolated singularity there). Let C be a simple closed path lying in this neighborhood and surrounding Z = a .. Then the integral

Res f(a) = ~21 . 1 fez) dz 1f' Je

is independent of the choice or C and is called the residue of function at the point Z = Q. Evidently, if /(z) is analytic at z = a (the point z = a is then called a regular point}; the resid ue is zero. ) f z = a is an isolated singu larity, then the residue mayor may not be zero.

Examples

1. /(z) =1 liz; the residue at z = 0 is equal to unity.

2. J(z) = I/Z2; the residue at z = 0 is equal to zero.

According to the formula on p. 74, the residue is seen to be identical with the coefficien t c _ 1 j n the La U fen t se ries

+-

J(z) = L cn(z - a)n,

n---

which is valid for 0 < Jz - or < R (for some R).

The residues or a [unction at its isolated singularities find their application in the evaluation of integrals, complex or real. The basis for these applications is

84

FUNCTIONS OF A COMPLEX VARIABLE

2.l2

the residue theorem: If fez) is analytic 011 and inside a closed contour C except for a finite number of isolated singularities at z = a It O!h ..... t a~H which are all located inside C1 I hen .

N

1 /(z) dz = 21f; I: Res [(all·

Tc k~l

This theorem is proved by the technique of cutting the channels between the contour C and small circles C I~ C 2, •. ~ around each singularity (Fig. 2.16).

1m

1m

FJprt. 1..1'

Figure 2.11

There is a variety or practical methods [or quick evaluation of resi~ues:

FIRST METHOD. From the definition,

Res f(a) = ~21 " I f(z) dz 1I"Ilc

(using a suitably chosen contour C). This method is rarely used, but may be valuable ir the primitive function or f(z) is known and has a branch point at z = a.

Exampl~ .. J(z) ~ I/zt F(z) = Log z. Any branch or Log z may be chosen, but in order to preserve the rela tionsh i p

/

dF(z) f(z) = F'(z) = dz .'

the closed contour must be disconnected and the app roprjate Ii miling process must be 8 P pI ied . For instance (Fjg. 2.17),

1 !dz = lim (A dz = lim {log (A) - log (B)} = 21(;"

Jc Z R--+A, } R Z B-+A

•

t

Here the principal branch was used, which possesses a discontinuity ~ .. i on the negative real semiaxis,

2.12

TlfE RESIDUE TI-lOOREM A NO ITS AP PL I CATIONS

85

SECOND METHOD. For a simple pole at z = a the following formula holds:

Res j(a) == lim (z - a)f(z).

The limit involved is often obtained by simple substitution or the use of wellknown J imiting val ues,

£'(tlhlpIe . J f( 2) = ta n 2/ t :! . Then

•

R f(O) I" tan 1: I· $.In 2 1

es = sm % 2 = srn = 1 L

.~O.2: ;1"--+0 Z cos Z

THIRD METHOD. For a pole of order In at z = a the following rormula holds:

! {dm-I }

Res f(a) = (m -"Tj!!~ dZ ... -1 [(z - o)'''l(z)} "

Example, fez) ~ ~/z4. Then

Res 1(0) = !_ lim 1 tIl (z '" I!~)} = ! lim e~ = !.

3! i:---toO ldz3 z4 6 ~-+O 6

FOURTH MErHOD. A common case of a simple poleJs when /(2) has the form J(z) = ip(z) ~

t(z)

where fP(a) ~ 0 and ,,(z) has a simple zero at z = a. In this case

t;'(a) Res f(a) = f'(a) ·

Note that ir z ;::;: a is a simple zero of ~(z), then ""(0) cannot vanish. E't;(IIH/,'e~ f(z) = r/sin z. Then

Res/(O) = e~ I = 1.

cos Z 2-==0

FIFl-H METHOD~ Expand fez) in the Laurent series and pick out the residue .. This method is valuable ir J(z) is a product of functions with known Laurent series. The series for J(z) is then obtained by multiplication. In practice, the coe fficien t c _ 1 can be picked ou t by inspect ion.

Exampi«, f(z) = e/~/(2 + 2)(z - 1)1.

The residue at z = J is desired. In the first slept transfer the pole to the origin:

z - I = w,.

z = w + I.

Then

fw

'( ) , e

J z -:;;:; e (w~-!-~])w- r

86

rUNCTIONS OF It COMPLEX VARIABLE

2J2

In the second step, expand er~ and 1/(3 + w):

2 :~

lUll 1 2 I :i

e ~ 1 -1- 'w + - w + -~ w + + + • (a'i w).,

2! 3!

3 ! w - ! I +1 w/3 = HI - i + ~ - ~ + - - -} (Iwl < 3)-

In the third step, evaluate (by inspection) the coefficient with ",.1 from the product or the a hove two series:

In the rourth step, evaluate the residue:

1 (t~' 12 t 1 )

Res /(1) ~ e j 8 - 18 - 27 1- 81 +

Exerc i .. '11: ~ Prove the valid i ty of the th i rd met hod given above. I H in I: R epresen t f( z) as

/(z) = ¥'(z)/ (z - 0) Jt1

and use the formula from p. 66.1

The residue theorem can be applied to the evaluation of a wide variety of definite integrals, real or complex. Some of the most frequently used procedures are shown in the several examples which follow.

Example 1. Consider the real integral

, = 12T l "':-2pC~S'9+- p~

(Ipl :¢ l).

This integral can be converted into a contour integral in complex plane by setting z ::= ei'. Then

and

cos 9 = ~ (2 ~ ~)

1= 1 dz ,

Je i(z - p){l ~ pz)

dO = dz IZ

r

where C is the unit circle in the z-plane, The integrand has lWO poles: at z =- p and z ~ l/pr If Jpl < I" the pole z ~ P is inside the contour, while the pole z == ·l/p is outside. Only the residue at z == p is needed; it is equal to

1

o

I

I

- ~

i 1 ~ pOl, ,

therefore

(Ipl < I)~

.". .. ~

Figure 2 .. 19

2.12

TilE RESIDUE TIlEOREM AND ITS APPLICATIONS

87

lf I pi > 1 ~ the needed residue is at z = lip and it is equal to

1 I

~ -_._---,.

i p2 - 1

yielding

~ 1 I 2..-

J = 2xf ~ ~~ .. --~ = -~--

; p2 _ 1 p'l - 1

(ipi > I).

Note that both results can be combined into

<fpl # I),

while the integral is not defined for Ipl ~ L

This method can be used for integrals or the type J:1f R(cos 6, sin 6) dO, where R(cos 9, sin 8) is a rational function of cos 9 and sin (J ..

Ex.ample 2. Consider the real integral

J+~ dx f+R dx

J = 2 + 2 = lim -2 + 2

----<JO X a n -+CI'J _ n x a

(a > 0).

The integral f+: dx/(x2 + 02) can be treated as a portion or the complex integral .Fe dZ/(Z2 + 02) evaluated over the contour C shown in Fig, 2~ 18~ Indeed (SCI z = x on the real axis):

i l+n 1

dz _ dx + dz.

c z~ + a2 - ~R X2 + 112 CR 22 + a2

Let us estimate the integral over the semicircle CR when R is very large: Write

I

I

I

---- -~~~-

22 + a2 Z2 I + a'2/t2

Jf [z] ::= R Is very large, then '02/z21 = a2 / R 2 is small and t I + 02/z21 is almost equal to.' unity (Fig. 2.19)~ To be precise, observe that II + a'/z21 > ! for

1m

1m

- - . _. _. - _ .. -- - 1 .

.

Figure 1.18

88

FUNCTIONS OF A COMPLHX VARIABLE

2.12

R > aV'2t and conseq.uently

__ 1 __ <2 II + a2jz21

(for R > aV2).

This implies

I 2 102 + z~1 < R2

Now tp employ the estimate (p. 58)

1 d I 2 2r

~_z~ < 7(R max 122 + all <.R R2 = R ~ en Z2 + a2

(for R > aV2).

Then

J" 1 dz 0

1m 2"""2" = ..

R-nD CR Z + a

Observe now that the integral" c dz/(Z2 + a2) is independent ~f the radiu~ R~ (so long as R is greater than a) because the only sin gulari t y of the Integrand WIt hin C

is at z = ai and. by the residue theorem"

i dz ... 1_"1" --~ == 211'"1 Res /(0') ~ 2"1"1 r - a

c Z2 + a2 Ql

(for all C such that R > o). Consequently, ir we let R .._., 00 ~ we have

I Jz _ lim r: dx. + lim 1 2 dz II'

Jc z2 + a2 - R-t1Jl'J -R X2 + a2 R-+~ CR Z + a

which reduces to

(0 > 0).

Exercise. Show that ir a < 0" then

1+'" dx - ----IX:! x2 + 02

,

,

a

[Hint: No new calculations need be done, just some logical deductions.] The above procedure can be applied to integrals of the type

1+~ P(x)

_~ Q(i) dx,

I •

I

where P(x) and Q(x) are polynomials in x and (a) Q(x) should have ~o real zeros"

· ,. t d r:: d ( p 63) unless particular

• If Q(x) has real zeros, then the integral IS no eune see ~ ~ "

modifications are made (e.g. t p, I t 1).

2.12

TH~ RESIDUE THEOREM AND ITS APPl.ICATIONS

89

and (b) the degree of Q(x) must exceed the degree of P(x) by at least 2 (otherwise the integral over the semicircle CJ~ may not tend to zero). For such integrals it is true that

f-l-:JI!I

P(x) .

"~"-"- dx = 211'"1 L Res,

~~ Q(x) +

where L+ Res is the sum of the residues of the integrand in the Upper half-plane. This statement is a special case or the following theorem: If J(z) is continuous for Izl > R 0 (some R 0) and rZf(z)1 ~ 0 uni/orlniy as [z] ---+ co , then

Jim'! fez) dz ~ o~

It - .. ~ rh:I=R

Proof

Ii" I f ~ 2rR

f(z) dz == zf(z) - ~ max I zf(z) I R ·

r;rI-1l I ",I:::,.oR z Izl==R

Uniform convergence of Izf(z)~ means that I zf(.z) I < t: (for arbitrarily small of) whenever Izl ~ R (that is, indcpendent1y of the manner in which z approaches infinity) .. Then

and the theorem follows, The conditions or the theorem are satisfied by the function

tr ) = P(zl J \Z Q(z)

(with deg Q > deg P + 2)

because (a) all zeros of Q must be within some fixed circle about the origin and (b) the condition Izf(z)I < f: for [z] > k (for some k) can be satisfied.

Remark , The method described above can be extended to certain integrals of the type

In'" I(x) dx,

where j"(x) Is an even function of x,

Example 3. Consider the real integral

I = roo cos x dx Jo x2 + a2

Note, first or all, that

(a > 0).

I = ! f+~ cos x dx.

2 -M X2 + a2

The replacement of x by 2' will not help in this case because cos z is not "well behaved" in the upper hair-plane; it is not bounded. However, the function ei:c is bounded in the upper half-plane because e'" :;: e~Yi!ix and Il"i~' == I {an real x]

2 .. 12

90 FUNCTIONS OF " COMPLEX VARIABLE while le-'t ~ 1 (all nonnegative y). For this reason, consider the complex integral

1 eizdz l+n ei"dx +1 ei~dz.

J :=!!! Tc 72 + 02 ~ ~n x2 + a2 CR Z2 + a2

evaluated over the contour shown in Fig+ 2.20~ Observe that

· 1 eiJ! dz - 0

lim -2 + a2 -

li--~ en Z

(as in Example 2). Also,

so that

1+~ ell: dx =1+"' cos x dx + ;J+" si~ x d~ = .- «:

~(Ja X2 + a2 ~ ---«t x2 + 02 -~ X + a a

Since the right-hand side is real, it follows that

(a > 0).

_ {+ ... cos x d.x. = ! ! e-"

I ~ J 0 x2 + a2 2 a

(0 > 0),

Remark. The statemen t

f+eo

sinxdx ~ 0

.....-(10 x2 + a2

. r ·t re

immediately on the grounds or symmetry. Howevert.1 I .we

could have been made J b .. d th 1 or this integral as well from the unagmary

not true, we would have 0 taine e va ue

part of 2 ... i L+ Res, ,

Example 440 Consider the real integral

10) •

51n x

I = ~~Jx.

o x

As before, observe that

}

1+~ ·

J = ! sIn x dx. 2 _., x

· · · t oJliW 11 behaved" on the upper half-plane, we shall try to evaluate

Since sin Z IS no e

the complex integral

f e;z dz, ,.

· · he i and has a pole on the real axis. Note that

A new problem now arises. t e integr hi h h been added to form

this pole is not caused by sin x but rather by cos x, W ic as ..

the complex integral.

r

2,12

TUE RF.SII)UF. THEOREM ANn ITS APPLI("ATIONS

91

1m

Figure 2~20

Figul""e 2 .. 21

To he able to apply the residue theorem we must avoid the pole at the origin in some fashion. Let us suppose we do this by means of a semicircle or ~l small radius r in the Upper half-plane. as shown in Fig. 2.21. Then we can write

t ~'z f-'" (r. 1 i~ 1+17 ~'r f 1',t.

l'z dz = '!x-dx + l'-;;-dz + ~. dx + f!--dz.

C -R a, .r£. +r x ru

The reason the chosen contour C is helpful in the evaluation of our (cHI integral is as foHows. Note that (by continuity or sin xl x)

J+~ f-r 1+7" 1+<e

sin x d - I· si n x d. + I· si n x d. + J" sin x d.

~~ x - im -- x 1m ".x 1m -~- x.

-~ X :r'---tO -~ X :r ...... 0 -J'" X r.--+O +T X

Now, since evidently

lim j+r (sin xix) dx == 0,

:r--+O ~T

it follows that

l+~sinxd - J' j-rsinxd + 1· i.v-

--.. x - 1m ~-- x Inl -- x.

-1)1] X T-~n -0» X r----J.O +r x

We can now see that the imaginary parts of the first and the third integrals on the right-hand side of the relation

t it J~r iy, 1 iz l+n 1·X f iJ!

!._ = e_ dx + '!_ dz + ~ dx + ~ dz

c Z -R X c; Z +T X CR Z

will give us the desi red result in the limit where r _____, 0 and R ___,. CY) ~ provided we manage to calculate the other three integrals in the formula.

Let us estimate the integral over Cn. The method of Example 2 fails here; however, we can perform integration by parts:"

• F rom the results of Section 2.7 it is trivial to verify that jlltegration hy parts ap"l ies to comple x in tegru Is II s we 1 r as to rea] ones.

...

2.12

THE RESIDUE THEOREM AND ITS APPLICATIONS

93

92

FUNCTIONS OF A COMPLEX VARIABLE

2.12

If R ___,. 'J), both terms on the right-hand side approach zero (cos R is bounded because R is real),

Next, we evaluate the integral over CT:

E+xamplc 5. We shalt now evaluate the integral or Example 4 by a somewhat

different method. We write ~

( ~i. dz = 11 + eiz - I dz = { t!!.. + { ei• - 1 dz.

JCr z c; Z JCr Z }C,. z

J = r sin x d _ I j+C(l sin x I j.+~ sin z

io x x - 2 ~~dx = 2 --dz.

----'l1l',:I -':If} Z

Here we treat o~r jnte~fal as .. a complex integral over a path (real axis) which is open (so ~ar). 4 Since sin z/z is continuous at z = 0, we may deform the con/our as shown In Fig. 2+22 and claim that

~

Since e~~ is continuous at z = 0 and is equal to unity there, it follows that

,= lim ( sin Z dz,

"-+0 J C' Z

1m

1

for r = [z] sufficiently small, say r < ~ (for some lj). Therefore

Now set

C' it-

I l'

dz = (e~Z ~ l)i d8 <-rif

Cr

(r < 3)

. I·

sin z ~ -~ (e " -i~)

2i - e .

The problem is to evaluate

Figure 2422

and

Also,

and

lim { e:t2 dz = -7(";.

T....-tO l«. z

For I h close the contour as usual (Fig. 2.23a). Show that the integral over C R approaches zero; and deduce that

so that

Returning now to our equation, setting e~% = cos x + i sin x and using ,the fact that

t: l+R

cos x dx + ~os x dx = 0

-R X +r x

For f2'_~!0S: the contour through the lower half-plUlre as shown in Fig. 2.23(b). Now [e J ts bounded in the lower half-plane and the integral over eN approaches zero. ~O.n the other hand, note that (a) there is a contribution from the pole at the ong,~ .and (b). the clockwise integration introduces a change in the sign+ When this IS taken into account, we obtain

1 !:.:.: dz = - i« Res riO) -= -2 . C' z J\ WE.

f-or any rand R, we deduce that

i· .: J+R i: 1-

"z • • .. ~ ~;t

~dz=i sInxdx+i s]nxdx+ ~dz+ ~dz.

c z ~n x +,. x c; z en Z

-

The left-hand side is zero (no poles of eiz Iz within the contour), Taking the limits

r ~ Ot R ~ a) (in either order), we obtain

1m

1m

f+~ ,

O • sin x d ~

= , x - 1f'1~

-110 X

,

, = r' sin x dx = .-.

In x 2

_ ______... R e

Contour for I"J

Therefore"

(b)

• or cou rse, th is integral ca n be evaluated by much more elernenta ry meth ods. The pu r ~ pose of the above analysis is to illustrate the techniques of the residue calculus on a simple exa m ple ra the r than to obta in th is pa r lieu I a r resu I t +

94

2J2

FUNCTIONS OF A COMPLEX VARIABLH

Combining these results, we deduce that

f+11> sin x I I

~~ dx = --: (11 - 12) = ~-: (0 + 21(1) = 'JI"

_~ X 21 21

in conformity with the previous result

Remark I r The integral over the semicircle C, in Example 4 has been shown to ~ ield the va I ue ~ 11'" i in the li rni t r ____, 0.. Th is is just one- ha I f the val ue obtained by in teg ra tion ove r the full circle. One may prove a general theorem to this effect: Let f(z) be analytic at Z = Q ~ Consider the integra I

fE)

1f6 = fez) dz

I Z - a

taken from z 1 ~ a + re;~' to Z2 ~ a + rei~"l along the circle 'z ~ a! = r (Fig .. 2.24). Then

lim 10 ~ ai/Co)

............ 0

Figu.r-e 2.24

where a: = e 2 - (J I + 2n1l' (choose n so that lal ::; 211-).

Exerciser Prove this theorem using a technique similar to that in Example 4.

R emark 2 ~ The sta temen t tha t the integra I of e j r: / z over C R in Exa mple 4 va n ishes in the limit R --+ oo is also a special case or a more general result, known as

Jordan"5 lemma : If JT( z) concerge s uniformly /0 zero whenecer .2 appro a<:h e s ;nJin i I y, I hen

where A ;5 any positive number and C R is tire IIpper lmlf 0/ 'he circle I zl = R.

The term "uniform convergence" as z _.." 00 means that lJ,(z)l < E whenever [z] > M (for some M) no matter what the phase of z is.

Example 6. The in tegral reads

f+~ =«

J _ e ~

- ~:M:l cosh 1r x

(- 1r < a < 1f).

Observe that for large positive x ~ cosh T x behaves like Ie" z ~ Conseq ucnt1y, the integrand behaves like 2e(~"'+fi)rt and the integral converges. For large Ix~ but negative x, cosh ,..-x behaves like le-'I"x = le"IT.~ and the integral converges again.

Closing the contour by a semicircle will not help in this case since the ~ntegrand is not diminishing (in modulus) as we go up or down along the imaginary axis. However, let us try the rectangular contour shown in Figure 2~25. The poles of

2.12

TIlE It BSIDUE TIIEOREM ANI> ITS A PP LICA TIONS

95

the integrand arc at

"u

..

2k + I .

z ~ -r--1t

where k is an integer, Within our contour there is only one pole, namely, at z = i/2. The residue is

-R+i

R+i

~ Pore

..._

- ....... R=---____; ...... ,.~+-- ............... -+...J-R--· --to Re

en~ e~il2

-~-- ~ ..

(cosh 1rz)t z=:I'/2 - 1fi

Figure 2.15

Write

and consider the integral

.: l-R

J _ eQZ dz e6{r+i) dx

J R - R+; cosh 11"2 = +1t cosh ,..(x +-;) ·

Observe that

cosh 1r(x + i) == l(er:r.eld + e-.--"t"e-"i) = i(- e:rr. - e" ".J') -== ~ cosh If' x.

Therefore

It remains for us to consider

11 ~(I(R+ifl}·d

J _ ~ I Y

1 - 0 cosh ~(R + iy)

and

111 t he limit R ____,. 00 ~ which is what i nterests US~

[cosh 'Jf( R + iy)~ ,,_ e"" ~

The details are easily worked out: Show that [cosh 1f(R + ;y)J is greater than sa y ie'" n , for R ---+ 00. It foil ows t hat J 1 is boll nded by) sa y 2 e ( - • +n) R, and t h i s approaches zero since lui < 11". A similar argument holds for J 2. Collecting our results, we obtain

{Ii 12

2 .e I I '

7/-----:- = R + In + )1 + J2 ~ (1 + ea1)/ 11'1

so that

I u

I = ---~ = sec ~ +

cos (0/2) 2

96

FUNCTIONS OF A COMPLEX VARIABLB

2J2

CONFORMAL MAPPING BY ANA.LYTIC FUNCTIONS

97

Remar~ . I t is also possi hie to operate with the standard principal bra nc h - r < Arg z <

by settIng x = -:x.' in I to get 'K

lt1) (_x')CII-l 1° rx"a~l

I = - dx' = dx'

I-x ~l-x'

using -~.- . J x'1 r or x' < o. The con tour is then chosen as in Fig. 2. 27 ~ The integra I of the pnn CI pal bra nch a long the upper edge or the cut is now

Jo I I·~ 1 (<<-1)r.

Zl e d. (*-llr;/

1 z =- e .

----aC:I - 2

The integml over the lower edge is

r-I:zj'"-le -I .. -llr; =

Jo I - z

a n~ the res id ue a t the pole % = I is simply uni ty . The final resu I t is the same as bef

Th IS met hod is 8 ppl icable to in tegra Is or I he type ore.

10"" x,.-I n» ax,

where Q is not an integer and f(x) is a ra tiona) r unction r

2.13 CONFORMAL MAPPING BY ANALYTIC FUNCTIONS

If the function f(z) ~ u~x,. y) + iV(Xt y) is analytic in a certain region s, then u and v are known to satisfy the Cauchy-Riemann conditions

(i:'m!!~ Thi~ ex.ampled~als with th~ extension o~ previous t~hniques to contours involving branch lines or rnultivalued functions. Consider the real

integral

1m

(0 < a < 1)4

Note again that the integral is well defined (convergent) at both limits x ~ 0 and x~ 004

Fipre 2.1.6

In the field of complex numbers the general power function Z4-1 implies (P4 58)

The branch which reduces to the real function r--1 (for x > 0) is the principal branch with k = O. It is convenient to work with the branch for which

~

iJu av

- ~--!I

iJx a,

o < Argz < 2Jr.

This branch coincides with the principal branch for Irn z > 0 and with the branch k = I for 1m z < O. Then our real integral J coincldes" with the integral of this branch along the upper edge of the branch cut (see Fig. 2.26)4 Close the contour as shown in the figure. The integral over the lower edge or the branch cut is then

10 I la-l ~-(a-l)2w ~1111:1 xCl-1 d ......

z e. d. 2r(a-l)t A

Z = -e ·

l+z 0 l+x

Thererore,

i ~-1 d. 1 a~l d

1'.( 1) _ e2r(o:-1)iJl + 2 Z + Z Z •

21f'i Res J I ~ = [1 C r I + z ell I + z

Now, for [z] = R~

(as R ~ (0)

and for [z] ~ r.

1 za-l dz 2 a-l 2 a 0

~ 1('r · r :::::::: 1f' ......

c, I + z

(as r _. 0).

The residue at z := ........ 1 is ei(a-l}~; therefore

j ~

J

1m

Figure 1~27

au 8.v =

av

-~.

ax

Differen ti ate the first eq uation with respect to x and the second one wi th respect 10 y. Observe that the second-order partials must be continuous (u and v are

• In the limit II!! ......... 0,. r --+ Ot And R ......-t 00 t of courser

9g

FUNCTIONS OF A COMPLEX VARIABLE

2J3

CONFORMAL MAPPING BY ANALYTIC FUNCTIONS

99

•

satisfies tile Laplace equation. It happens to be constant along the circles x2 + y' = const (cylinders in three-dimensional space). It follows that it represents .. the unique solution or the electrostatic problem in the space between two coaxial conducting cylinders (Fig. 2~28).

. This remarkable pro~erty of analytic functions serves as a basis for many important methods used In electrostatics, fluid dynamics, and other branches of physics. We shall not enter into the study or these methods, usually known as conformal mapping methods, and the interested reader is referred to a variety of other texts .. $: Despite their power a nd elegance, con formal Ina pping methods are limited in scope since they arc applicable only 10 a particular partial differential equation (the Laplace equation) and even then only to problems reducible to plane pro~/enrs. However, we shall mention a closely related geometric property of analytic functions or profound significance.

If the curves u(xt Y) = const and v(x" y) ~ const are plotted in the complex plane, it is seen that they make a system or orthogonal trajectories, i.e., at each point z the two curves II = canst and v = const passing through it are normal to each other [excluding the trivial case fez) == const], This follows front the Cauchy-Riemann equations: The vector

differentiable any number or times) and therefore

It follows that

2' !'l2

(Ju+uu~O

ax2 oy2 -

which is the Laplace equation for u. In a similar fashion, show that v also satisfies the Laplace equation

Remark. Functions satisfying the Laplace equation a~e calle~ harmonic fun~t;ons. We have shown that real and imaginary parts or an analytic function are harmonic,

If a given function u(x~ y) is harmonic in a simply connected region R~. then it is possible to construct another harmonic function v(xt y), caned the cQnJlIga~e function to u such that u and v form real and imaginary parts or a complex analytic

function J(z). This can be done by the integral

j(z: •• n [( au) (au)]

v(x, y) = - ~ dx +. - dy + const,

(1':0.»0) iJ Y iJx

where the path (so long as it is within R) is arbitrary. Since u is harmonic, we have

:y(- :;) = fx(~),

an d the integral is independent or path. The harmonic properties of compte x ana lytic r unctions are widely used in physics.

Example. The electrostatic potential V' is known to satisfy the three-dimensional

Laplace equation a2f/' a' q> a2rp

ox2 + B.:Y2 + iJz'l = 0,

d au jI + au.

gra u = -I -J

ax oy

is known to be normal to the curve u(x~ y) = const. Similarly,

y

8v • (11) au!lu

grad v == -- I + ~ j = - - i + ~ j

ax dy oy ax

where z is a :third Teal variable. In many cases, however, the potential is independent of z. Then

is normal to the curve v(x"t y) = const. Now the dot product v= log b

(grad u- grad 0) == iJu (_ a~) + au (all) = 0 Figure 2.28

iJx oy ay ax

shows that grad u is normal to grad v and the statement follows.

In the electrostatic interpretation, in which u(xt y) = canst represents an equipotential surface, the curve v(x, y) = const (in the z-plane) represents a line of force~

The geometrical meaning of this property is that the [unction w = fez) maps the orthogonal network of curves u(x, y) = const and v(xt y) = const in the a-plane onto the orthogonal network of straight Jines II = const and v = const in the w-pJane~ An example, with w = Z2 and u(xt Y) = x2 - p2J v(x, y) = 2xy, is shown in Fig. 2.29.

The real part of any analytic function can serve as a solution for the potential in

some region R . For instance, consider ,..

f(z) = log z = log lzJ + i arg z,

The function

Re (log z) = log V x2 + y2 ;; II(X, y)

• For example, Nehari, Conformal Mapp;ng,.~ Kober, Dictionary of Conforma! Repre.. senta I ions: B ie bet ba ch, Conformal Mopping .

100

RJNCTlONS OF A COMPLEX VARIABLE

2.13

1m

v =const

1m

r-plane

u=oonst t:-const
,/ , I
- -

- ...

w-p ane
I
, Re

--~~~~--~----~~------~Re

F1pteU9

Note that the function fez) ~ 22 maps half the z-plane onto the entire w .. plane.

If the points on the real a-axis are included then the real positive semiaxis in the w-plane serves as a double image (for a single image it is necessary to exclude either the real negative or the real positive serniaxis in the z-plane),

It is, perhaps, most convenient to say that w =: Z2 maps the open upper halfplane (the region 1m z > 0) onto the open region consisting of the w-plane with the real positive semiaxis removed. This is usually referred to as the ~'w·plane with a cut along the positive real semiaxis."

Now consider a point z ~ Zo in the z-plane and a smooth curve C passing through it. Let f(z) be analytic at z ::::: Zo and let 1(:) map point Zo onto Wn and the curve C onto curve r passing through it (Fig .. 2.30).

Also consider 8 point %1 on C, close to zo, and its image WI on r.. Denote z - Zo = Az, w, ........ Wo := Aw~ By definition of the derivative,

Therefore

Geometrically) the left-hand side can be interpreted as the magnificatioll of an (infinitesimal) arc of curve C as the curve C is transformed into the curve f. This magnification is the same for aU curves passing through Zo.

~

Now consider the angles 00 and t/l1l which the curves C and r make with

the real axis. We have

~o - 90 -= Jim [arg 4w - arg liz] = lim (arg t) ~ arg ['(zo) = a.

% L --t,l:o %t ......... ,1:0

Geometrically, this means that the curve C is rotated through an angle; a when it is transformed into I'. This angle of rotation is the same for all curves passing through z«: Observe, however, that these two geometrical statements lose their

meaning at the points Zo where/'(zo) = 0.. :

The properties described above are usually referred to as the conformal mapping properties. Customarily the term "conformal mapping" is defined by:

r

I ,

2.13

CONFORMAL P.fAPPJNG BY ANALYTIC FUNCTIONS

101

1m

1m

a-plane

w-pJane

.-........___------------... Re

Figme 2.30

a) 1?VtJ.riance of angles: An angle at z 0 formed b .

(In magnitude and orientation). y two curves remains unchanged

b) Inoarianee of infinitesimal circles: An inlinitesimal eircl d ..

shape; it diffets from a circle by higher order inlinitesi~a~:~~:n :t~ ~:~~I:S its

Ou r analysjs leads then to the foliowin h 4 • s.

at Zo and the derivative f'(zo) does 110t van~s~ eo;::m'"lf afun~tlon f(z) is olfoiytic

format at zo.. ,t n t e mapPIng z ~ fez) is con-

Remark,

I. The ~tatemen t 1'( l 0) ¢ 0 guara ntees the ex istence r he. .

tv = f(z) and z == g(w) then g'(w ) ~ I/£,() +do t inverse mapping because if

~ t 0 ~ IJ to provi ed/'(zo) ~ o. .

2+ The mapping /(z) = z·., which reflects the a-plane in th ~

R.ngles and maps circles into circles but it is not considered ~ e teal aXIS, preser~ the [Ion or the angles is reversed (Fig. 2.31).. con onnal because the onenta-

1m

1m

-r~----------~--~Re

-r~~--~--~~~Re

Conformal mapping

1m

fm

-r--~----~~----~Rc

FIRure 2...31

Mapping }{z) =:*

102

FUNCTlONS OF A COMPLEX VARIABLE

2.14

2.14 COMPLEX SPHERE AND POINT AT INFINITY

Many concepts of the theory of complex variables arc greatly sim?lified through the introduction of the so-called point at ;'rfinity~ This is done with the help or the stereographic projection between the complex plane and the complex sphere which is defined as follows: Construct a sphere of radius R (Ior convenience, R may be taken as I) such that the complex plane is tangential to it at. t~e origin, as shown in Fig. 2.32. The point P on the sphere opposite to the ?rlgln . (called the north pole for convenience) is used as the "eye" of stereographic projection.

Lines through P are drawn which intersect both the sphere and the plane permitting a mapping or point z on the plane onto the point r on the sphere (Fig. 2~32). In this fashion the entire complex plane is mapped onto the complex sphere (or Riemann sphere). Curves and regions in the z-plane are mapped onto curves and regions on the r-sphere~

Note that the point P itself has no counterpart on the z-plane.. Neve rth eless, it has been found convenient to adjoin to the z-plane an extra point, known as the point at infinity, in such a way that a curve passing through P on the r-sphere

is defi ned as approaching the point at in- Figure 2.32 .

finity in the z-plane. ...

The concept of the point at lnfinity is very useful, particularly 111 the analysis

of mappings. The following statements or properties can be verified without much

difficulty.

L Circles in plane are mapped onto circles on the sphere which do not pass through P.

.

2 .. Straight lines in plane are mapped onto circles on the sphere which do pass

through' Pol .

3. Maps ,'~r intersecting straight lines have two common points on the t-sphere, one of which is P.

4. Maps or parallel straight lines have only the point P in common ~nd they have a common tangent at Pol

5. The exterior or a circle Izl ~ R with R » I is mapped onto the inlc,rior of a small spherical cap around point P. As R ---;. rfJ the cap "shrinks to;P.u

These and similar properties give rise to a series or definitions applied to the so-called extended complex plane, i.e., a complex plane to which the point at

infin ity is adjoined.

Image or

•• +

tmagm ary axss

I mage of real ax is

North pole P

•

2.14

COMl'L~X SPHERE ANO POINT AT INANITY

103

Examples

a) The 'mapping w = liz maps Zo = 0 onto Wo = rLJ (point at infinity adjoined to w ... plane) and vice versa. The rigorous meaning or this is, or course, that if a sequence or points in the z-plane converges to Zo = 0, then a corresponding sequence or points on the w-sphere converges to its north pole.

b) The region ·Izi > R is a neighborhood of the point at infinity ..

The importance or the complex sphere is greatly enhanced by the fact that if two curves intersect in the a-plane at an angle l't then their images on the sphere will intersect at the same angle. In fact, the stereographic projection is conformal. (The proof is not difficult, but will be omitted here.) This permits the definition of the angle 01 infinity which two curves make if they recede to infinity in the z-plane, This angle is defined (0 he the angle that their images on the sphere make at the point P.

Now the following theorem can he stated.

Theorem. The mapping w = 1/ z is conformal at the origin z = o.

Observe that the function f(z) = lIz is not defined at z = 0 but the mapping IV = liz is defined (by the subterfuge or the sphere). The conformality does not follow from the analyticity, but rather from the relationships on the complex sphere ..

Corollary .. The mapping w = lIz is conformal at infinity (despite the fact thatj'(z) approaches zero as z recedes to infinity).

The concept of the point at infinity is closely interwoven with the study of singularities or analytic functions. The very notion of analyticity can be extended to the point at infinity by the following device: A function f(z) is defined to be analytic ut infinity j r the function

g(z) = f( I /z)

is analytic at z = o~ Moreover, il is possible to introduce the concept of a pole at infinity, branch point at ;nfi"ity~ etc., through the corresponding behavior of g(z) at the origin, In this connection, the function f(z) == e", which has no zeros and no singularities in the entire complex plane, turns out to possess an essential singularity at infinity. Other [unctions which have no singularities (e.g., all polynomials in z) are also round to have a breakdown of analyticity at infinity.

Exerci Sf ~ Show tha t a poly nomia 1 P( z) or degree n has a pole or nih order at in fin i ty ~

In [act, a survey of familiar functions reveals the fact that functions which are analytic at in finity possess nt least one si ngulari ly elsewhere, i.e., for some fin ite value of 2 ~ The na tural conjecture is that there may not be a "perfectly analytic" function, This problem has actually been resolved and is embodied in the

Llouvllle theorem. The only function J(z) which is analytic in the entire cornplcx plane and the point at infinity is the constant function f(z) ::::: const.

104

2.15

FUNCTIONS OF A COMPLEX VARlABLE

In conclusion, it may be mentioned that in some texts the term complex plane is tacitly assumed to mean the extended complex plane, with the point at infinity included. Certain theorems may then be more conveniently stated .• Iowever, one should never forget that while there is a point at infinity, there is still no such thing as a complex number "infinity," in the sense that it should possess the algebraic properties shared by other complex numbers.

1.IS INTEGRAL REPRESENTATIONS

It is a very common occurrence that certain functions are represented and even defined by integrals, with constant or variable limits. For instance, consider the real function, the derivative or which is equal to sin xlx. 1t is known that the indefinite integral of sin xl x is not expressible in terms of elementary functions" in finite form. Therefore, there is no other alternative but to define such functions by means of an integral and it is customary to write

Si (x) = 1'" sin t: d~, n E

where Si (x) is a new function, called the sine-integral. It is" of course, but one or many primitive functions of sin x/x (i.e .. ~ the one which vanishes at the origin) the others being obtainable by adding an arbitrary constant to Si (x).

If we want to extend the definition of Si (x) to complex variables, it can be done in a trivial way.. We write

Si (z) = i' si; r dr,

where f is a complex variable and the integral is now a curvilinear integral in the complex r·plane over some path connecting the points r ~ 0 and r ===: z. It does not matter which particular path is chosen since the function f(t) = sin r I r is analytic for all (finite) values]' or t and the integral is independent of path.

A different situation is encountered in the so-called cosine integral, defined by

I

This function is easily seen to be a primitive function of cos xf x, The choice of limits is conventional but the main feature is that the integral diverges at x =:: o. While it is still possible to extend the definition to complex variables by writing

f+~

Ci (z) = - cos f dr,

% r

I t

I

• Tha t is, a tgebra ic, ex pone" tia 1, t r igonomet r ic ~ and the ir in ve rse rune tio ns, t See t he disc ussion on pp, 79-80.

J ...

2.15

INTEGRAL REPRESENTATIONS

105

the question arises as to the specification of the path of integration. Presumably, the upper limit implies an asymptotic approach to the real axis." Three such paths are illustrated in Fig. 2~33. The integrals taken along C I and C 2: are easily shown to be identical, but the integral along C3 will differ by 2ri times the residue of the integrand at t = O. This means essentially that Ci (z) is a multioalued function, the integrals along different paths yielding different branches.. Two of these branches are characterized by the paths eland C3 (or other paths equivalent to them). Other branches can be obtained by circling the origin n times before proceeding to I~ pl us infinity.'"

1m

Figure 2.33

Remark. The above analysis reveals that Ci (x) for real negative x should be defined by one of the branches of complex [unction Ci (z) beca use the real integral

1+~

cos e d~

;t E

is divergent for x < 0 due to the behavior or the integrand at ~ = o. It has been found, however t t ha t th is d ivergen t in tegra I (I ike many similar others) can be given a defln i te mean i ng by the presc rl pt ion

lim J1-- cos ~ d~ + t" cos f d~)

~ .~O 1 ~ E J +e E

known as the Cauchy principal value (or 51 mp ly the principal calue} and is often d enoted by

Because-of this result, it is customary to define Ci (x) for x < 0 by

(x < O)~

Principal values or integra Is occur very often in physical applications; the complex version or th i s dell nit ion] wi II be given sh or tly,

• As usual, we require Ci (z) to reduce to Ci (x) as z becomes real and positive. The met h od 0 r approaching' infin i I Y en n not be modified hera use cos z ha s essen tial singu la fit Y at infinity (see p. 109).

t The integral ~ C~ (cos ~/~) d( is sHU a branch of Ci (z), although not one of those descri bed previ ousl y.

106

FUNCTIONS OF A COMPLEX VARIABLE

2.15

A second type or representation or [unctions by integrals occurs when the limits or integration are fixed but the integrand depends on a parameter. A wetlknown example or this kind is the integral

r'" e-).z~ dx = Vr x -1/2

..10 2

occurring in the kinetic theory of gases and many other branches of physics." It may be viewed as an integral representation or the function I().) = (~/2)A -1/2. This point of view is, as a matter of fact, utilized in practice when the function I().) is differentiatedf to yield other important in tegrals, like

d/(X) = _ vr; h -J/2 = _ r x2e-~r2 dx

dx 4 Jo ~

cP/("A) _ 3";; 'l -5'2 -1m 4- ~),%2 d t

d1\2 ~ 8 f\ - o X e x, e c.

In this particular example the function /(X) represented by the integral is a familiar one, but the same idea can be used to generate a variety of new functions. Con .. sider , for instance, the j ntegra 1

f(n) = 10'"' r«:' dt

( n ;;:;: I,. 2~ 3, . " .) t

which is equal to n! as is not difficult to prove.

The above integral representation or n! suggests the extension or the notion of factorial. We may define the factorial function II(x) by the integral

lI(x) = 10"" r«:' dt,

where x is not necessarily a positive intege r ~ The in tegra 1 con ve rges a\ infin i ty for all values of X, but we must demand that x > ~ 1 for the integral to converge at t ~ O. Consequently, the function Ilfx) is defined for all (real) x > -I by

the above integral representation. :'

Since n(~) = n~ ~ we have

! .

n(n + I) = (n + I)n(n)

This formula holds for all values or x (x > -1)~ Indeed, integrating by parts, we obtain

( ~

,

• For the evalua lion or this in tegra 1, see K a plan, (14 218.

t Differentia lion of improper i ntegra Is should be justified by a ppropriate theorems + See e.g., Kaplan t p. 379.

..

2.15

INTEGRAL REPRESENTA110NS

107

Since

liin t.T'+le-' = 0

(aU x),

(x > ~1)~

it follows that

lim t:r+le-f = 0 ,-~O

. or

II(x + I) ~ (x + J)II(x)

(x > - I).

In particular, "(0) -= J. This is the actual reason for the commonly used convention

or = I.

The recursion formula JI(x + I) = (x + I )II(x) permits calculation of II(x) for any x (x > -I) provided a table of II(x) is compiled for the interval 0 < x < J. M oreover, it permits an extension of the definition or Il(x) into the region x < _ I.

Example. Calculate rI( ~)t tl( ~ t)t II(-j).

The first value can be obtained directly from the definition

n(!) = 10'" t 1/2e-" dt by the substitution f = x2 .. Then

by a previous result. The value or II(-!) can also be obtained directly in the same manner. But it can be, alternatively, obtained from the recursion formula. If we set x = -!, then

therefore

11(!) = !11( ~ 1); fie-i) = 0r.

The value of n( - -I) cannot be obtained directly (the integral diverges) but it may be defined via the recursion formula. If we set x = -I~ then

yielding

Il( ~i) == -2V;4

An important feature of n(x) is that it approaches j nfinity as x approaches - I from the right. The conclusion that II(x) has inflnite discontinuities at x equal to a negative integer follows [rom this fact and the recursion formula. The graph of lI(x) is sketched in Fig+ 2.34.

108

2.15

let us select the branch of Log , for wh ich 0 :::; A rg I < 2. t with a branch line along the real positive serniaxis and construct a contour like the one shown in

R)NCTIONS OF A COMPLEX VARIABLE

INTEGRAL ltEiJRESENTA1l0NS

109

While the extension of the concept or the factorial is widely used in applied mathematics, it is not usually accomplished by means of the factorial function n{x) but rather by means of the related gamma function defined by

2.15

I'(x) = n(x - I).

Evidently rex) satisfies the relations

(a)

(b)

Figure 1.35

I'(x + I) = xf(x) I'(x) = (X - I)!

(real x),

(x = positive integer),

Example 1. Function [i», t) is analytic in the r-plane except for isolated singulad ties at s = 0, s ;::::: 1 ~ and s = -]. Define

and has the integral representation

r(x) = 10'" tr-1e-1 dt The behavior or I'(x) a~ a function of x is easily obtained from Fig. 2~34 just by shifting the origin to the point x = -1 ~ y = O.

Integral representations or the type given for factorial and gamma functions can be extended to complex integrals as well. A complex function g(z) may be defi ned by a de Ii n i te integral

where the endpoints s 1 and 52 as well as the pa I II C between them is prescribed. ] n many cases the points S'l and s 2. coincide and the path is a closed contdur ..

From the theory or analytic functions, it follows that the path of integration can be deformed within certain limits (as much as the Cauchy theorem .and its consequences permit thi s),

-3 - 2 - I

(x > 0).

g(x) = [~f(x, r) dt,

n(.r)

where C is the 'contour shown on Fig. 2.35(a) and both limits arc nt infinity. I s it correct to deform the contour into another contour r shown on Fig. 2.35(b)1 Although the new contour does not enclose any new singularities, it is to be remembered that the Cauchy theorem has been derived for finite contours only. This case calls for caution.

1m

(b)

I lrrX +3

•

Figure 2.36

Consider the contour ("" (Fig. 2.36a) with the finite endpoints. It can be deformed as shown on Fig. 2 .. 36(b). If the contribution from the arc .f'l,~3 of the circle of radius R approaches zero as R ---+ ~, then the equivalence between C and r holds. Otherwise, it does not,

Example 'z, Suppose we desire to extend the integral representation or the gamma function to complex variables. The integrand

fez, I) :;= I~~' c-I

is a multivalucd function, where both z and 1 are treated as complex, with a branch point at t = Or The branches are given explicitly by

[Lz; t) = e~.!- u L(l~' «:' ~

Figure 2.34

1"

g(z) = f(z, s) ds,

"1 Alan.: C

..

I ,

"

•

2.15

I Nn:'G R AL R F.P R ESE NT A nONS

It1

110

RJNCTIONS OF' A COMPLEX VARrARLI!

1m

1m

hn

1m

k·plane

Branch cut

k-plane

+ki)

~~~~~~~~--~--'Rc

Branch cut

Ca)

(h)

Figure 2.37

As it stands, the function g(x) is not properly defined because the path or integration traverses (two) singularities+ However, we can give g(x) a definite meaning by deforming the path so that the poles are aooided. For a given pole, this can be done in two obvious ways:

I ~ avoid the pole counterclockwise, 2~ avoid the pole clockwise,

by "stopping the integration" a short distance in front of the pole and going around it in a semicircle or "small" radius, In this case, which is most common in physics, this implies "going below" or "going above" the pole [Fig. 2.38) ..

In either or the two interpretations the value or radius l' does not matter so long as f(x, k) is analytic for 0 < Ik + kol ~ r, It is not difficult to see that the difference between the two values for g(x) will amount to the quantity

Fig. 2.37(a)~ It is not hard to see that the contribution to the integral ( r=:«:' dt

Jet

"from the (incomplete) circle C, vanishes in the limit when r ~ 0 and the integral over the upper edge of the branch cut reduces to - I'(z) ir z is real." The integral over the lower edge reduces to f(z)e(:-D.2 .... i or t what is the same, to r(z)ez2J1'i. Consequently, the entire integral is equal to (ez2 .. i - 1)I'(z) for real z, It is now evident that we may deform the path C' to path C (Fig. 2.31b) without affecting the value of the integral in any way. Moreover, the integral is well defined not only for real but also for complex values or z .. This permits us to define the complex function I'(z) by means of the integral representation

r( ) I 1 iI-1 -~ d

z = 2" I t e t

e% "fr" - C

2.; Res f(x, ~ k. o)~

In fact, the path going below the pole win have a contribution

with the path C and the branch of the integrand prescribed above.

Remark. This formula seems to suggest that I'(z) has poles for z equal to an integer. This is actually true only if z is a nonpositive integer: If z ~ J t 21 3~ .. + ~ t then the integrand becomes a single-valued [unction analytic at t = 0 and on the real t-axis. This causes the integral to vanish; the gamma function is then defined by a limiting process which does indeed yield (n ~ 1)!

A great number of complex integral representations used" in physics have the peculiar feature that the path or integration appears to be passing through the poles of the integrand. We shall briefly discuss the associated questions ..

,

Example 3.. Let the function'[ J(x" k) be analytic in the k-plane except for the

simple poles at k = kn and k = -ko (ko is a real positive number). Consider

+'lfi Res [t x, -, ko)

from the small semicircle (in the limit r __, 0). The path going above the pole will have a contribution

-Ti Res [t x, -kn)

from its semicircle ..

Remark: In physical literature, the following notation is widely used for these two cases; Let

Then the integral avoiding the pole from below is written as

g(x) = Ie f(x, k) dk,

(k is real),

where C is the real axis (traversed from left to right),

implying that, instead of the path going below the pole, the pole itself is displaced upward by an infinitesimal amount f~ Similarly, the integral avoiding the pole Irom above is

written as

(k is real).

* The technique is very similar to that employed in Example 7 or Section 2.12+ Note, however ~ that here we do not close the contou r C' via the large" circle C R (why 1) .

t For example, It». k) = eaz/(kH - /(2) (a similar one is used in Section 12.9)~

I r the ideas beh ind this notal inn arc clearly understood .. no confusion shou 1£1 arise.

Il2

2.15

FUNCTIONS OF A COMPLEX VARIABLE

2.15

113

INTEGRAL REPRESENTATIONS

1m

1m

Jm

Remarks

1. In the example considered, there is another simple pole at Ie = +ko. It may be trea ted in the same way as the pole It !!!!!!: ~ k 0 bu t independently of it. In other words, paths which avoid one pole from below and the other one from above are widely used In practice,

2. If the poles are not simple, the above analysis does not apply and the problem becomes more com plica ted .

3. The above considerations are easily generalized for the case or a simple pole not on the real axis. provided the path has a tangen tat the pole,

In problems arising from physical considerations the choice between avoiding a pole clockwise or counterclockwise (or "from above" and "from below") is dictated by additional requirements or assumptions, not contained in the formal derivation of the integral representation (see, e.g., Section 12.9).

Sometimes the ph ysica1 con side rations demand that the residue at the pole should not contribute to the integral at all. In this case, the integral of Example 3 may be defined t~ mean (as far as the pole at k ~ - ko is concerned)

ga(x) ~ lim {f-kO-~ f(x, k) dk +J+~ f(x, k) dk} :!I

of .......... 0 ~CIe -kg + I

Btomwic h co ntou r

M M' M

(a) (b) (c)

Figure 2~39

The integrated term

win approach zero as R ---+ 00 because fe,., It~ is independent of R while

1 eil.al _ »:" < I eiAI e-ih~ I I 1 2

l' + ih y-.-~ ih - 'Y + ih + -y ~ ih = R + R = R·

where f > OJ note that f must be the same in both integrals. This definition is the complex version of the concept of the Cauchy principal value .. It is not difficult to verify that the above definition implies

In the remaining integral, estimate

1 1M e/r I let3: I

~ -ds < - rR

t N S2 - It I R2

The quantity 'etrt will he bounded if I < 0 (since x > 0 on en) and then this term will also approach zero as R -io co ~

Since the integrand eh /s is analytic within the whole closed contour, the contour integral van ishes; this implies

(x = Res).

As our last example of integral representations we shall consider an important case of a rather simple real function expressed through a complex integral.

Consider the

Example 4. The step function. Let I be real and let s be complex. integral in the s-plane

l1'+th. t~

n led

1 m ------: - .f

h---to~ 2.,.-1 l' ~ih S

(1' > O,h > 0)

(if t < O)~

taken along the vertical line x = 1" as shown in Fig. 2.39(a) .. This particular path, often called the Bromwich contour is important in the theory of Laplace transforms (see Section 5+9)~

In other words, our function f«() is zero for all negative values or t.

For t > Ot the contour or Fjg. 2~39(b) is not very useful since the contribution from CR is difficult to evaluate. However, since it is the magnitude or e~% which seems to govern the estimate or the integral, it is reasonable to close the contour "to the left" for I > 0 as in Fig. 2~39(c). As before, integrate by parts and argue that the integrated part yields no contribution (in the limit), being unaffected by the sign or t. The remaining integral,

The above integral, if convergent, defines a real function /(1) which we will now proceed to evaluate. Draw a circle about the origin with a large radius R and close the contour as shown in Fig. 2.39(b)~ First of all, integrate by parts:"

~

~

I

L?t '1' '1: ,.. + ii, 1ft"~

e leI e

~ ds -= ~ - + - '~ ds.

N sst 'Y-ih t N $ ....

A1QS"ig C R .Alonp,; ell

1 iJI el ..

~ 2ds,

t N S

A ',",:111" C R.

• Compare with P+ 91.

..

114

FUNcnONS OF 1\ COMPLEX VARIABLE

2.15

2.15

INTEGRAL REPRESENTATIONS

115

is estimated as follows: For the semicircle from N' to M' we have

The function S(f - a) which TS defined by

precisely because now ( > 0 while Re s .$ 0" The length of the semicircle is 1f'R so that the contribution vanishes, For the portions from N to N' and from M' to M we can at least say that

o (t < a)t S( I - il) = t (I = a)~ I (t > 0),

I'"

Unity

-+------t----..:!,_"'------to-I

S(I-O)

---a--

Figure 1.40

represents a step function which has been shifted by an amount Q" It is shifted to the right ir a > 0 as shown in Fig. 2.40. This function is called a step function in a general sense and is widely used in physical applications. It is evident that

and there is no contribution either.

Within the contour) however, there is now a pole at the origin with the residue unity. Therefore

11'+imO:

S(J - ) ~ __!_ ! (I-a), d

a 2. e s.

., 7-ii1O S

(if t > 0)"

Functions given by complex integral representations are often subject to differ ... entiation and integration under the integral sign. The validity of such procedures is elucidated by the following two theorems which we quote without proofs.

Theorem on integration. Let rand C be finite paths (open or closed) and let h(z) and f(z, s) be analytic, with respect to z and s, on I' and c. Then

i(J h(z) dz L" I(z, s) ds "'" i" ds J: lI(z)/(z, .s) dz,

Along r A long C A ron* C Alan,; r

I n other words, I( t) is unity for all positioe I. I t remains to evaluate I( t) for t = O. This may be done without recourse to residues:

r:

. I ds I. l' + i h 1 1

/(0) = hm ~2 . - = ~2 .. 11m log rh ~ -2 ~ log (-1) ~ 2·

A_...~ 11""1 'T-i'\ S 1rl h ...... m 'Y - l 1ft

Observe that it is essential that in order to obtain the value 1-, the points Nand M must remain symmetrical with respect to the real axis as they recede to infinity, This is somewhat analogous to the process or defining the principal value or an integral,

The function f(t} defined by

1, ..... + Raj! If

1 e

fit) = -~. - ds,

21f1 'Y-ico of

Remark ~ I r I' or C (0 r both) in vol ve t he point at infi n i ty, then t he un if orm convergence of h(z)f(z, 5) is usually required for the generalization or the theorem,

Theorem on differentialion (Weierstrass). Let

g(z) = Jb I(z, s) ds.

f1 A1on,; C

-

t

o «( < OJ, S(/) = ! (t === 0), I (t > 0)"

If C is a finite path in the s-plane and f(2t .\') is analytic with respect to z in some closed region D (in the z-plane) for all s on C, then

a) g(zJ is analytic in the interior of D,

b) dg(z)Jdz = f: (fJ[(Z, s}/az) d, (for all t in the interior of D).

Alonlt C

(a convenient notation for the limits) is called the step/unction (or the unit/unction) and is denoted by S(I):

Again? if the path C involves the point at infinity, then uniform convergence or the differentiated integral is usually required for an extension or this theorem. For instance, the.integral

{o (I < 0)-, S(/) = t {t > O)r

,

-

Except j n the notation used in proof s of certa i nth eorems, th is d is line t ion is usual 1 y

irrelevan t in applied mathematics"

should not be differentiated under the integral sign. Indeed, the "differentiated integral" 1/211'"; f;~-:': et~ ds does not converge of all, much less unilorrnly, for any value of t. Note that this is true despite the fact that the derivative dS(f)/dt exists for all t except t == O~

..

t 16

FUNCTIONS or A COMPLEX VARIAnLE

BIBLIOGIIAPHY

BIEBER8ACH, L., Conformat Mapping. New York ~ Chelsea Pu blish i ng CO+1 19.s3~ CHURCHILL" R. V., Complex Variables and Applicofion.f~ New York: McGraw~Hill Book CO,t 1960 ..

DETTMAN, J~ W .. ~ Applied Complex Va,. tab les. New York: Macmillan Co., 1965.

.

KNOP"~ K.~ Theory and Applications of Infinite Series. Glasgow: Blackie & Son Ltd., 1963.

K l'«lPP,. K ~ t Theory 0/ F unc lions ~ New Y or k: Dover Pu bl tea tion s Inc. ~ I94S ~

KOBER, H.~ Dictionary 0/ Conformal Representations. New York: Dover Pu blica t ions Inc., 1952~

NEHARJ1' Z.t Conformal Mapping. New York: McGraw-Hill Book Co., 1952.

T ITO {MARSH , E. C+, The Theory 0.( F unctions. New York: Ox r ord Uni versi ty Press, 1950.

PR08LEMS

1. Show that Re ZI Re 22 = ! Re (z 122) + l Re (z lZ~).

2r Prove that if z(; - 1) = -2*(1 + I), then arg z is either .. /4 or - h"j4.

3. If a and bare two complex numbe rs and t is a real parameter, then the ex pression z = a + t(h - a) represents a curve in complex plane. Set z = x + iy and determine the parametric equations x ;;- X(/) and y ~ y(t) or this curve. What kind of curve is it?

4. Show that the equation z = Ae" + Be:", where A and B are complex constants, and f is a real parameter, represen is an ell ipse. Descri be th is ell ipse (i ts . semiaxes, cen ter , orientation, etc.) in terms or A and B.

S ~ Show that the tra nsforrnation

(a ~ complex constant)

represents a translation in the com plex plane. Show that the equation

(z '+- I - l)(z* + 1 + i) =- 1

represen 15 a eire Ie in the complex plane + 1 H in.' _. Set z + 1 - i = f.]

6. Show that the equations

a) Jz ~ 11 - Iz + II = J,

b) Re (1 - 2) = Jzl

represent, respectively t a hyperbola and a parabola in the complex plane. Can these conclusions be drawn just by inspection of the equations without any algebraic work.? lH;nt~· Recall certain fundamental properties or hyperbola and parabola.]

- j

7. Prove the inequalities on p ~ 47 by pu rely algebraic methods (w ithout recourse to the Argand diagram). [Suggeslion.+ First prove the inequalities

and then generalize them by setting t = 22/2]. (What if z 1 ~ 01)1

•

• .

,.

t'

PROBLEMS

111

8r Use DeMolvre formula to show that

sin 48 = 4 cos" 9 sin 8 - 4 cos 8 sin3 8+ What is the correspond in g expression [or cos 46 ?

9. Ex press the r 01' owi n g com plex nu rnbe rs in trigon omet ric r or m :

a) Z = V'i=lt b) z -=: (-I ~ i)-1./5 .

10~ Show that ;i = e~( .. /2 .. 2111'") (n = integer). {Ilint: Calculate Log i.1 1l. Using the definitions of complex functions sin z and sinh z, show that

a) sin (Zl ± Z2) = sin Z I cos Z2 ± cos .2 [ sin Z:!,,,

b) sinh (21 ± Z2) = sinh z 1 cosh Z2 ::f:: cosh Z J sinh Z2.

Wha tare the correspond i ng re la ti ons for cos z a nd cosh z?

12. ~how that th~ complex function sin z can va nish only on the real axis and. in pa r~ ticular t at pomts x ~ mr (n = integer). At what points does the function sinh z vanish 1

1 J. Along which curves in the complex plane do the functions sinh z and cosh z assume real values?

14. S how that a II sol u lions of the equ a tion

sin z == ] 000 are given, approximately, by the formula

z = (n + i}JI" ± i · 7~60]"

where n is an even integer+ [Hint: Decompose sin z into real and imaginary parts and solve the resulting equations.]

15 .. If z ::;: x + tv. show that

t h sinh 2x + i sin 2y

an 2 = -'

cosh 2x + cos 2y

16. There is no difficuUy in calculating the sums

N

b) L ei~."f. (x = real)

:I1!-O

j

because both of them represent a geometric progression. A ppl y Euler 's for mu la

to deduce that

~ sin l(N + l)x Nx

~ cos nx = cos ~

11-0 sin !x 2

What is the corresponding sum involving sin nx]

17. Apply the idea of the preceding problem to calculate the infinite sums (consult Sec tion 2 L 9)

w OD

La" cos. nx, L a ~ sin nx t (a = rea I const),

:I1!iIt""O "=0

(x ~ real).

For what va lues of If will the results be valid?

V(/) = V A - Y IJ = V 0 COS sat,

T

r:(t)

1

c

PROBLEMS

119

118

FUNCTIONS OF A COMPLEX VARIABLE

18~ Figure 2.41 represents a portion of an AC-circuit with the potential difference (voltage) between points A and B given by

A

L

23~ Let z 1/2 denote the principal value or the square root Compute the integral f+ll dzf z 1/2

a) along the upper half or the unit circle (121 ~ 1)~

b) along the lower half or the unit circle (f1"1 = 1).

24. Using the Cauchy theorem, Cauchy integral formula, Or their consequences .. evaluate the following integrals, all taken around the circle 12:1 = 2:

Consult 8 textbook of your choice a nd show that the current ;(1) (as shown) mu st obey the d i ffe ren tial equation

Figure 2.41

a) f co; Z dz,

d) f 2z'l + 3z ~ I d

t - I + i Z,

g) f (z ~. 1)2 dz;

b) f Si: Z dz,

f 2z

e) z2 _ 9 dz ..

h) f sin z dz,

till;

';i(t) R di(r) + jet) _ dr;(12.

L dt'l + dt C - dt

Show how the method or complex exponentials can be used to find a complex solution ;(/) which varies harmonically in time. Perform the transition to real variables, show that

i(t) = locos (Wi + t/J).,

25. Evaluate the integral

and evaluate 10 and", in terms of L) R, C, and VOr 19~ Do the runction§

2

x(1 + x) + y

u(x~ Y) == (I + x)2 + y2 ~

i ~

e d c z2 _ I Z

y

l;(Xt y) ~ (I + x)2 + y2

a) given that C is the circle iz - II = It h) given that C is the circle Iz ~ il = I,

c) given that C is the ellipse x2j4 + y2/9 = I, x + iy = z,

d) given that C is the curve x· + y'" ~ I~ [Hint: Describe the Curve C in polar coordinates and observe that the problem hinges on the investigation or maxima and minima or the fU!lction /(8) = cos'' (} + sin'" 0).]

26. Consider the multi valued function

Ftz) = Log z + I . z - I

satisfy the Cauchy-Riemann conditions? Can u and v serve as real and ima ginary parts of some analytic function or I = X + iy or not?

2O~ Consider the function

au au av

-I~'~'!'

ax oy ax

at) and

ay

Construct a branchfl(Z) or F(z) which is continuous everywhere except for a cut along the real axis from t = -1 to z = + 1~ Specify the branch carefully, i.e., give exact formulas for calculation or the values or fJ(z) for aU values or 2~ Determine the values or

a) Are the Cauchy-Riemann conditions satisfied at each point or the real axis?

b) Are the partial derivatives

lim ~[f] (x - i~) + Il(x + if)].

f__'O

continuous at each point or the real axis?

c) Is the function /(z) analytic .8;t each point of the real axis?

21. Show that the f~nction 1(2) =- x2 + iy is not analytic for any z, Co,,?~uentty~ the integral fo2+a I(z) dz is expected to depend on the path. Illustra~ this by ~tculating the integral along three smooth paths of your choice connecting the points %1 = 0 and :2 ~ 2 + 1'+

22. Is the in team 1

27. Canst ruct another branch f'l (z) of F( z) given in the precedi ns problem which is continuous everywhere except r Of two eu ts along the real axis, from - 00 to - I t and from + 1 to + co. Again, specify !2(Z) with utmost care.

28. Show t ha t among the f ollowi ng complex series or cons fa n ts,

(10

b) L f'~"(l+t)~

h.:lCll:l:1

I = Li t ~\2

independent of path? If so, state clearly under what conditions. How would you

calculate I for any given path C in the most convenient way? -,

1:(1 .,:P:I

c) L I ~

""",,2 log n

d) i: (1 + i)" ,

n=[ II

the series (a) and (b) converge absolutely, the series (c) converges, but not absolutely, and the series (d) diverges.

z

d) f(z) = ~

cos z

e) J(z) ~ tanh z,

I 20t -(!

c) f( z) .:; - -I '

. :

la ;J e

f) f(z) = cosh .,...z '

PR08LEMS

12]

120

FUNCflONS OF A COMPLEX. VAIUA.BLE

29. Show that the following complex power series are absolutely and uniformly convergent for l.tf .:$; I ~

J 5~ Show that

a) t (t - 1);114..,.

II_I 3

b) f. !. (cos IIX + ; sin 111).

._1 n2

/(z) = sin __!~ I~z

30~ Show that the series E:-=t (z~/n') is absolutely convergent tor all z: Show that it is unilormly convergent for rzl S ·R for arbitrary R. Despite the fact that R is arbitrary, why wou Id it be incorrect to say that the series converges un i r orrnly r or all z?

31~ Show that the function f(z) ~ arctan z must possess a Taylor series about the point z ~!. Without evaluating the series" show that its: radius or convergence must be equal to 0.

32~ Expand the r ollowi ng fu net ions in a Taylor or a Laurent series val id in the j mmediate neighborhood of the specified poin Is. Determ ine the regions in which the ex pansions are va \ id.

has an essential singularity at z ~ 1.

36~ Using the residue theorem, evaluate the following integrals around contours:

the i nd ica ted

z

c) f(t) = 22 _ I (z = 2).

1

b) f(z) = z(z2 + I) (z ~ 0) ..

1

d) f(z) = " . (z = I).

z2 + 1

) i dz

a t

C' z2 + 4

b I cosh az

) Jc 2(%2 + 1) dz,

) I II.

c Jc ze ds,

I z·~ I

d) Ie 22 + jz + 2 dz ;

where C is the circle 12 ~ 2i' "!!!!!!. It

where C is the circle It' = 2J,

where C is the circle !zl. = 2,

a) J(z) = cos z (z;= 0).

where C is the curve X4 + y4 = 4.

[See Problem 25(d) above.]

•

•

e) /(z) ~ Z('Zze + 1) (z ~ 0). [Hint: Multiply the series for e" and 1/(;/ + 1).]

o J(z) = cosh z (z = ir).

37.. I [lustra te the use 0 r the resid ue theorem in eva I ua tion 0 r the f 0] tow ing rea I in tegra Is :

a) r~ d(} h

Jo t + t cos 8 ~ (I fd < I),

Vi - f2

b) r" cos 39 riB ~ s.,

Jo 5 - 4 cos 8 12

c) r d9 11"

10 I + sin2 fJ ~ V2'

33. Find all Laurent (or Taylor) expansions or the fol1owing functions about the indica ted poin Is:

1

a) f(z) ~ z(z ~ 2) (e ~ I)~

I

b) f( z) = (z + I }1 (z ~ O)~

1

d) 1(2) ~ . a=r": (t = 0), vl+z

z + 1

f) f(z) = Log z ~ I (z = 0)+

d) r J(J _ 211"lJ

10 (a + h sin 8)2 - (a2 ~ b2}'12 (0 > IhU"

e) 1"2'", II 9 Jft _ 1 · 3 . 5 . · · (n - t) n! ..

cos flU - 2... = -~~...__

o 2 ~ 4 .. 6 • . ~ n 2~-I(n/2!)2

(n = even integer) r

z

c) f(z) = z2 _ I (z = 2)~

g) fez) = c - !) sin z - _! cos tt

z3 Z z2

~

(3 I) ~. ·3.

h) f(z) ~ ~ - ~ cos z - - sin z.

z:1:z ", _. z2

38. Establish the following results on the basis or the techniques of Section 2J2:

a) 1+00 dx ~... b) lIZ x2 ,..) j+QO dx 311'"

-., xl + u" a\/i • 0 x6 + I dx "" 6' c _.. (x2 + I )'1 "" 8 '

d) j+'" cos kx dx _ r -l&

----110 (x - a)2 + b2 ~ b e COS ka (k > 0; b > O)t

e) 1'" x sin x dx = z..

o x2 + I 2e

[COS x dx 11'" (e ~& e ~oIZ)

f) _.., (x2 + a2)(x2 + b2) = a2 - b2 b - -;;-

(a ~ h)~

e) fez) ;;; log (I + z) (z = O),

Since the ·last three examples involve branch lines and (possibly) multivaluedness, of tate c!ed,.ly which branch you use in each partie u lar ex pans ion.

3 4 ~ Determi ne poi nts where the r 01 low ing functions are not analytic. I r the singularities are isolated, determine their character or a pole" state the order) and calculate the residues:

z + 1

a) {(z) ~ ,

Z2 ....- 2z

2

Z - 2z

b) fez) == (z + I )2(z2 + 4) ,

[What is the result or (0 ir a -= h1J Quote all theorems needed to justify the validity or your procedure+

"

122 FUNcnONS OF A COMPLEX VARIABLE

39. Prove the following statements:

1..f-«J cosh ax a

a} ~.........-- dx :!I:E sec -2 (la' < 11'").

~ cosh ... x

[Hin,: Reduce to Example 6 in the text.I

j+1JO. oII!.I:

b) e dx = ..... (Ia, < 1).

---«J 1 + e" sm 0..-

[Hint: Use the rectangle with sides y = O~ y = 2., x = -R, and x ~ +R for the con lour -l

lco .. ~t

X .. UK

c) dx ~ ~csc-

ol+x2 l2

[Hiltl: Use the contour shown in Fig. 2.26+]

(0 < a < 2) ..

f+~ 2:1: 3

xe 11'"

d) ~ 1 + e2~ dx ~ 8 ..

[Hint: Use the rectangle with the sides y ~ 0, y = .-, x = ~ R, and x = + R.]

40. Show that the function

sin 2x

u(x, y) ~ cosh 2y + cos Ix

can serve as a real part of some analytic function I(z). Evaluate u(x. y) = 1m fez) by a method or your choice. Express fez) explicitly in terms of z,

41. The complex transformation w = be":", where a, b = complex const, map~. the is050clestriangle Twith the vertices at %1 - b, %2 = b + 1, and Z3 = b + 1 + I into some curvilinear triangle T'in the w--plane. Illustrate the invariance of angles properly

of this mapping by explicitly calculating the interior angles or T' to be 90", 45",

and 450•

42. Show that the image of the circle (x - 1)2 + y2 = 1 under the m:'"~ping w = z2

is a cardioid p ... 2(1 - cos e), where w ~ pe'·. Sketch th.e cardiOid and~ocate the point where the invariance of angles ~ks down. Explain. [Hint: Express the

equation,of the circle in polar coordinates In the z-ptane.l

43.. Show that the integral

j+l

-1 ~

(x is real)

does not exis.t~ Show that the integral

...

J+.

dx

-1 X

does exist and is equal to zero. lHillt: Show that the primitive fu~ction of I/x is

log Ixl. which is valid for both positive and negative x.] ..

..

." "

,. "

Al~ variables are, in ~e~eral, complex but special emphasis is put on real equations. It IS customary to divide the equation by A(x) [points where A(x) vanishes must

be given special treatment]: -

CHAPTER 3

LINEAR DIFFERENTIAL

EQUA TIONS OF SECOND ORDER

3.1 GENERAL INTRODUCTION. THE WRONSKIAN

':'- grea~ variety of physical problems is reducible to Ii near differential equations, In particular, to those of second order. These also occur in the treatment of partial differential equations. The general form of such an equation is

tPy dy

A(x) dx2 + B(x) dx + C(x)y ~ D(x).

y" + P(x)y' + Q(x)y = R(x).

If R(x) -:- 0, the e~uati~n is homogeneous. Otherwise it is nonhomogeneous.

Dun ng the discussion of basic properties of the solutions, it will be tacitly assumed (hat t.he fu~ctions P, Q, and R are analytic within the region (of variable x) ll.nder con~lderabon. However, r, Q~ or R may fail to be analytic at some p~rtlcula+r points, e.gr9 when A(x) = o. Whenever this occurs, special attention WIll be grven to this fact.

Let us first consider the homogeneous equation

v" + P(x)y' + Q(x)y = o.

A r~ndament~l prAoperty of its solutions stems from the linearity of the equation:

A linear combination of two solutions is also a solution, namely,

y = C1Yl(X) + C2Y2(X)

is a ~olution ~provided Y I and Y2 are solutions. Function p(x) = 0 is always a solution and IS known as the trivial solution L

Two solutions are called linearly independent provided that neither of them is a multiple of the other, i.e., that the condition

C1y,(X) + C2Y2(X) = 0

can be satis~e? f~r all x only if C I = C 2 = O. It is obvious that neither Y l nor Y 2 can he trivial if they are linearly independent.

123

and

yi (xo) = ky~(x 0) (k = const),

3.2

GENERAL SOLUTION OF THE: HOM(X;ENEOUS £QUA nON

J25

124

LINEAR DIFFERENTIAL EQUATIONS OF SECOND ORDER

then Y I and Y2 are linearly dependent One way to see this is to note that the DE· yields

Since the exponential function never vanishes, W(x) is either identically zero (ir W(xo) = 0) or it is never zero (ir W(xo) ~ O}~ as slated.

Returning to the condition 'I(XO)/Y2(XO) ¢ y'l (x O)/Y2(XO)i we see that, in this case W(xo) ¢ 0 so that the Wronskian can never vanish, much less be identically zero. Then Y 1 and J'2 cannot be linearly dependent. It follows that they arc linearly independent

Remark: The Wron sk ia n is 0 fien re prese n ted in the fo rm 0 r a determ i nan l ;

Linear dependence or independence or solutions ca~ ~ established fr0-:n the knowledge of th eir values and the values of the ir first derivatives at some particu la r

point x = Xo. If

yl'(xo) = ky~(xo).

Now differentiate the DE and deduce that] y';t(xoJ ;=: ky;"(xo); and so on, It follows that the [unctions Y 1 and Y2 must be multiples of each other.

Con versely J ir

W[y 1 (x») yz(x)] = det

y.(x) Y2(X) y~(x) Y'2(x)

YJ(XO)/Y2(XO) F yi (xo)/y~(xo)t

t hen the functions must be lin early in dependent, To demonstrate th is, let us introduce the function

W[v.(x), Y2(X)] = YI(x)y~(x) - Y2(X)Y.(x)

which is called the Wronskian or the two solutions Y 1 and )12. If the two soluti~ns are linearly dependent, then their Wronskian vanishes identically .. The w~onsklan h as a remark able property: Either it is id enticall y zero or it is never ~ro;. 1 t cannot vanish for any particular value or x. To show this, calculate the derivative

3.2 GENERAL SOLUTION OF THE HOMOGENEOUS EQUATION

From the previous discussion it is evident that a solution or our DE is completely specified if its value and the value of its derivative are specified at a certain point x = Xo. From this, in turn, it follows that the formula

where}, t and Y2 are two li nearly independent solutions and C 1 and C 2 arc suitably chosen constants:" represents the general solution or the homogeneous equation. Indeed, let y(x) be a solution with specified values

dW , , ;, I' 'I Y pU

dx = YIY~ + YIY2 - Y2Yl - Y2Yl = '1'2 - 2 1·

Front the fact that Y 1 and)'2 are solutions of the DE, namely, Yl + P(x)Yl + Q(X)Yl = 0,

y~ + P(x)y~ + Q(X)Y2 = 0,

Y(Xo) = at

y'(xo} = b.

Substitute these values into the above formula and into the formula for y'(x) (obtained by differentiation):

a ~ C1Yl(XO) + C:2Y2(XO)t b = Ctyi(xo) + C2Y2{XO).

it follows that

This system can be solved for C I and C 2 and it definitely possesses a unique solution because the determinant

Y1Y~ - Y2Y.' + P(X)[Y]Y2 ~ Y2yl.1 = 0

if we multiply the first equation by ~ Y 2, the second one by Y I and add ..

~

!

Therefore

- W(xo)

dW

____. + P(x)W = 0

dx

det

Y 1 (xo) J'2:(xo) YI (xo) y~(xo)

W(x) = W(xo) exp {~ L: P(~) J(} •

and

I 4

cannot be zero (y 1 and Y2 are linearly independent).

If one solution y] (x) or the DE is known, then a second one, linearly independent of y 1, can be found by the following straightforward procedure: Observe that

I

where W(xo) is a constant, equal to the value of W at some particular point Xo ..

• We shall use the abbreviation DE for differential equal ion ..

t We assume that y(x) is analytic at x ;= Xlt see pp. 129 and 146~

~ fY2) == y]y~ - Y2Y~ = _ W(x) .

dx \:vI yi LY I (x)]:!

126

LINEAR DIFFEMEN11AL EQUATIONS OF SECOND OR.DER.

3.3

THE NONHOMOGENEOUS EQUATION

127

The Wronskian is. a known function:

as the complementary fiIIlC{ioll). Then u = fll + p represents the general solution of the nonhomogeneous equation ..

Indeed, u must be a solution by the preceding theorem, To show that it is a general solution, let us represen t the com pleme ntary r unction as a linear combination or two linearly independent solutions of the homogeneous equation, Then

W(x) = W(xo) up {- L: pa) dt}

except for the constant W(xo) (xo may be chosen arbitrari I y)~ Consequently t' (he ratio Y2/Y I can be evaluated up to a constant factor

Y2(X) 1% ((~ ) dE t

JlI{X) = W(xo) "1 exp - J%a P(.,,) d." [Yl(t»)2

where both Xo and XI are arbitrary. This implies that Y2(X) is determined: Since any (I inear ly independen tor Y 1) solution will suffice, the constant W(x 0) D1 ay be chosen a r bi trari I y &

The above result can also be obtained by the so-called method of oariation of constants." due to Lagrange: If y I (x) is a solution, then CYl(X) (C = canst) is also a solution, but linearly dependent of YI; now try to find a linearly independent solution by making C a variable, i .. e .• assume that

Y2(X) = C(X)Yl (x).

Substituting this formula into the DE obtain a DE for C(x)" which can be solved in a straightforward fashion. The result reads

If we set u(xo) = at and u'(xo) = b, then the following equations must hold for C1 and C2=

C.Yl(XO) + C2Y2(XO) = a - Ul(Xn}t Ctyi(xo) + C2Y2(Xn) = b .._ ui(xo).

Since W(Ylt )'2) ¢. Ot this system has a unique solution for eland C 2~ and the theorem follows,

A particular integral (or the general solution; for that matter) of a nonhomogeneous equation can be obtained in a straightforward fashion if the complementary function is known. The particular integral is sought in the form

Ij!" {it } dt·

C(x) = A "1 exp - "'0 P(l'I) d1l [vl(!W!'

where all three constants Xo, XI~ and A may be chosen arbitrarily ..

Exert ise. 0 ive all the deta i Is in the deriva I ion 0 r the a hove f 0 rmu la for C(x).

which can be obtained from the complementary function by replacing the constants eland C 2: by the functions VI and V2; hence we have the name variation of constants.

Note that the above re1ation does not define Vl(X) and V2(X) uniquely, even if u(x) is specified. For instance, it is possible to add to llt(X) an arbitrary function g(x) and at the same time subtract from V2(X) the function g(X)Yl(X)/Y2(X) because

3.3 THE NONI-IOMOGENEOUS EQUATION. VARIATION OF CONSTANTS The linearity or the nonhomogeneous equation allows us to state the following important theorem: Ir Ut is a solution or the nonhomogeneous ~qualion an~ y is a solution of the corresponding homogeneous equ ation (ob t ained by setting R(x) = O]~ then the function

We can profit from this arbitrariness by imposing certain additional requirements on v 1 and V2 to facilitate their determination+ Let us calculate Il(x):

u' = VIYt + U2Y~ + VJPI + V~Y2.

If we make the additional requirement that

u(x} = UI(X) + y(x)

is also a solution or the nonhomogeneous equation. The proof is trivial (by substitution into the DE).

This theorem is the basis for the most common method of solving nonhomogeneous equations known as the method of complementary function. Let u 1 .be an arbitrary solution or the nonhomogeneous equation (known as the particular integral) and Jet y be the general solution of the homogeneous equation (known

we simplify the determination of v I and V2, as seen below, This also has an interesting practical meaning: If the value u(xoJ and the slope u'(xo) are fixed at some point Xo and if u(x) were to be approximated near .:to by a linear combination C lYI + C 2Y2t then the constants eland c 2 would be determined from the equations

• Also widely known as the method of cariation of parameters.

,,(xo) = c 1Y,(XO) + C2Y2(XO), u'{xo) ~ C.Yi(xo) + C2.Y2(XO).

128

UNHAR DIFFERENTIAL EQUATIONS OF SECOND ORDER

These values or eland c 2 are known as osculating parameters of the solution u(x) at the point Xo. The condition imposed on V'l and V2 implies that

u(x) = Dl(X)Yl(X) + V2(X)Y2(X),

u'{x) = Vl(X)Y)_(x) + D2(X)Y;(x).

In other ,,!ords, v.(x) and V2(X) are just the (variable) osculating parameters of the solution U(X)4

Now calculate u" and substitute u", u', and :u into the DE. Utilize the fact

that 'I and Y2 are solutions of the homogeneous equation. The result reads

VtY~ + v~y~ ~ R~

This relation, along with the requirement that V{YI + V~2 = 0,

yields

where W = Wronskian of YI and Y2. Now obtain, by direct integration,

( ) - -1:£ Y2(E)R(E) dt

VI x - ;r. W(E) ~,

Here XI and X2 can be arbitrary if an arbitrary particular solution u(x) is sought. In fact, a different choice of Xl and X2 changes VI and V2' by additive constants so that the resulting solution u(x) is the general solution of the nonhomogeneous

equation + •• •

The results of the last three sections may be summarized In a conclusion: To

find a general solution of the nonhomogeneous equation

s" + P,' + Qy = R,

it is necessary to find only one solution Y I of the homogeneous equation

, v" + Py' + Qy == o.

Then the second solution Y2 (linearly independent of YI) of the homogeneous equation can be-found by direct integration and, after that, the general solution or the nonhomogeneous equation can also be round by straight integration.

3.4 POWER SERIFS SOLUTIONS

Many linear differential equations or second order have s~lutions which are n~t expressible in a simple form in terms of we1l-known functions, such as algebraIc, trigonometric, and logaritbmic functions. Some seemingly "simple" ~uations like v" + xy = 0 fall into this class. We may obtain, however, a valid repre-

sentation of many such functions in terms of power series .

...

3.4

POWER. SERIFS sOlUTrONS

129

From the ve~y nature of the second-order linear DE it follows that if P, Q, and R ar~ analytic at s?me point x = 0, then the solution y, if it exists at all, must be analytic at that point. Indeed, the DE implies that y(x) possesses first and second derivatives in some neighborhood of x == a (a neighborhood over which P9 Q~ and Rare still analytic), Therefore, the solution can be expressed by a Taylor series:

y(x} ~ Co + CI(X -- a) + C2(X - a)2 + C3(X - a):l + .. <I

Th7 m?st familiar series of this type is the Maclaurin series (or power series in x) wluc~ IS" or ~ourse~ a Taylor series for the special choice a == O. Many differential equations will have a solution analytic at the origin which is then expressible as

y(x) = Co + C IX + C2x2 + C3X:t + . ~ 4

o~ cour~et this is true only within a certain radius or convergence R. But, within this radius of convergence, the series can be differentiated any number of times, so that y' and v" are expressed by similar series.

This forms the basis for the power series method, illustrated by the following example: Consider s" --.- k2y ~ 0 (k = real const), (The general solution of this equation is C le4-:&: + C ,e~.%, so that the result can be checked.) Assume the solution in the form

y{x) ~ Co + ClX + C2X2 + cax3 + .. · .

J/(x) = CI + 2c:x + 3cax2 + 4C4X" + ~ . · ,

)'" (x) = 2c 2 + 3 • 2.-: 3X + 4 .. 3c (Xl + · <I •

The series for v" and yare now substituted into the DE and th~ coefficients with all powers are set equal to zero [on the basis of the theorem that all Taylor coefficients of the function fez) == 0 must vanish], It follows that

Then

2C:2 -- k 2 Co == O~ 3 ~ 2c 3 - k 2C 1 = 0, 4 ~ 3 c.( - k 2 C2 = 0, and so on.

This yields

In general, it is, seen that

en = ( I) (n-2

n n ~

tan n > 2)~

Such a formula is called a recursion formula (or recurrence formula) for the coefficients, If Co is known., then all even coefficients can be determined. Odd coefficients ~an be determined if c 1 is known, The entire solution splits into even and odd pa rts and ca n be written as

130

LINEAR DIfFERENTIAL EQUATIONS OF SECQND ORDER

3.5

TIlE FROBENIUS METHOD

131

Both seri-es appearing above converge absolutely ror all values or x (c.g., by ratio test) and uniformly within an arbitrary radius of convergence (by We~erstrass M-test). Consequently each one or them represents an analytic function over the entire complex x-plane, and both functions evidently satisfy the DE. Therefore, we have obtained the solution in the form

y(x) = CoY leX) + CtY2(X),

An example of (d) is the function [(x) = vx/sin x which is expressible by the series

I(x) ~ x 1/2(1/% + x/6 + ~x~ + n\nx5 + . ~ r)

= x-l/2(1 + ix2 + ~x" + . 4 .).

I r the solut i on of a DE is ex pressible by the series.

where y.(x) and Y2(X) are solutions, and Co and C I are arbitrary constants. The solutions Yt and Y2 are obviously linearly independent since one of them is even and the other is odd. We conclude that we have obtained the general solution of the DE.

In our particular example the series are recognized as hyperbolic functions:

Yt(x) = 1 + k2x2/2! + k·x4/4! + ~ ~. == cosh kx, Y2(X) = x + k2x3/3! + k:C x6 /5~ + · ~ · ~ (Ilk) sinh kx.

The general solution y(x) = Co cosh kx + (erik) sinh kx is, or course, equivalent to y(x) = C lekz + C2e-l:~.

Remark. The solution Yl(X), being an even series, implies that y't(O) ~ 0, while the solution Y2(X)" being an odd series, implies that Y2(O) = o.

IlIIII

y( x) = x· i::: c"xtl.

",-0

(e.o # 0),

then, in general, such a series can be dilTerentiated term by term. Indeed:

L If s is zero or a positive integer; the series is a Taylor series and can be dif .. ferentiated any number of times within its radius of convergence.

2. If s is a negative integer, the series is a Laurent series and can be differentiated any number of times within the annulus for which it holds.

3. If s is not an integer, then y'(x) is expressible as

3.5 THE FRODENIUS METHOD

The power series 1:,.1;0 0 cnx" is a Taylor series about the point x = O. It will represent a solution provided the solution is an a1ytic at x = o. If the solution is not analytic at x = 0, we may, of course, switch to some other point x = a where it i~- analytic. However, there is another approach: If the solution is not analytic at x = 0 because it h as a pole there, then it will possess a Laurent ser ies

of a similar form: ~

y(x) = E cnx'"

y'(X) = (x'y .:to c .. x" + Y! (~o t:nXny.

The expression ~ means, of course, some particular branch of X' (recall the definition ~ ~ e'LoR:.:J:)r It is not difficult to show that, for any branch;

d 0lil it~l

- X ==- sx

dx '

except at the branch line for this particular branch. More precisely,

1m

lEI CI-

y(x) ==== x8 L c"xft = l: cnx,+n

t1-0 R=O

(co ~ 0),

•

y(x) = L cnxs+n

Jt.-o

R =- rad ius of convergence

except that it will not begin with n = 0 but rather with n = +m, where m ;; order or the pole.

The method or Frobenius utilizes this idea: We seek a solution of the DE in the form I

with the same branch of Log x on both sides or the equation. In short, x' can be differentiated by the same ru Ie as x" (n = positive integer). This implies that the whole Frobenius series

Figure 3.1

where s is left completely undetermined. This gen erali zed power series is capa hie

of describin g /

a) analytic functions that do not van ish at the origin (s = 0), '

b) analytic functions with a zero or order In at the origin (s == m = positive

integer), '

c) functions with a pole of order m at the origin (s ~ - m = negative integer).

d) functions with certain types or branch points at the origin (s = noninteger) .

..

can be differentiated term by term. At worst, the results will be valid in a region like the one shown in Fig. 3.1. The same statement is true for yll(X) and Y(x).

'The series for y'(x) and yU(x) are now substituted into the DE and the coefficients of equal powers or x are eq uated to zero by si mila r considerations as for power series, The resulting relationship often permits the evaluation of one or two solutions or the DE. Applications or this method and the new problems raised by it are illustrated by the following examples.

132

LINEAR DIFFERENTIAL EQUATIONS OF SECOND ORDER

].5

3.5

THE FROBEN"IUS METHOD

133

Example t. Pole at the origin. The DE reads

X2yll + 2xy' + (x2 - 2)y =:::: O.

Since Co ¢. 0 (x' is assumed to be the lowest power of x appearing in the series), it follows that

s(s + 1) - 2 = O.

A solution is sought in the form

1%1'

y(x) ~ L cftx .. +n.

r:t,_,-O

Such an equation; arising from the lowest power of x on the left-hand side of the DE,. is called the indiciat equation; it determines possible values of $.. In this particular case these values are S1 = I ~ .\'2 = - 2 ..

The seeo nd condi ti on to be satisfied is

Then

CIf)

y'(x) ~ L cn(s + n)x,+n-J,

Cl[(S + 1)(s + 2) - 2] ~ o.

Whether s = I or s ~ - 2t it follows from this equation that c 1 must be zero ..

The next condition, valid [or all values of n greater than or equal to 2, reads

iIO

y"(x) ~ L: ctt.(s + n)(~f + n - 1 )x,,+n-2.

"-=0

cnl(s + n)(s + It + t) ~ 2] + Cn-2 = 0

Substitute into the DE,. and obtain

or

(n ~ 2).

To compare the coefficients with various powers of x it is convenient to standardize the notation so that the powers or x have the form ;e+" in the second sum, as well as in the first one. For this purpose, set n + 2 ~ n' in the second sum and

This recursion formula determines all other coefficients (note that the denominator cannot vanish if n > 2)4

For s = I we have

ill) QO

L. cnxi!+n+2 = L c"'''_2X~+Hlr

:11=0 n."-2

obtain

Since If' is a "dummy index," it .may be "unprirned" and this sum may just as well be written as

and, evidently, CJ = C 5 = ..... = 0.. This yields the series

~ ~

L (tal(s + ")(s + n - 1) ~ 2]x"+" + L C" ~2X'+n :::::: o~

n-d n-2

This series is absolutely convergent (by ratio lest) for all values of x in the complex x-plane and defines, therefore, a function which is analytic for all (finite) values of x. This function has a simple zero at the origin ..

Now lake s = - 2. Then

The DE then assumes the form

}

Write separately the powers of x which appear in the first but not in the second

sum, namely, the terms with n = 0 and n = I:

cols(s + 1) - 2]xs + Cl[(S + t )($ + 2) ~ 2Jx~+ t

,.

+ l: {cn[(s + n)(s + n + 1) - 2] + C,,_2}Xs+n =j= o.

ft.=-2

i I, I I C2 ~ 2 _ 0 en = 2 COt

I I I . ,

C4 = 2 _ 2 ~ 3 C2 = - 8 Co, etc.

Again, C~t = Cs =::: ••• == O. The series is

It is necessary, first or all, that

....

Y2(X} = co(l/x2 + ! ~ x2/8 + .. -].

This series is absolutely convergent (by ratio test) [or Ixl > 0.. It is a Laurent series and defines a function that is analytic for all J: except x = 0 where Y2(X)

cot~~(S + I) - 2) = O.

134

LIN~AR D1FFERENTIAL EQUATIONS OP SECOND ORDER

3.5

3.5

TI-I E FR,OOENIUS MEntOD

135

has a pole of second order. In this case the method of Frobenius has led us directly to the general solution of the DE.

Remark. ] f we set co = ! ~ then the fu net ion y 1 (x) actually becomes

jl(X) = sin x/x' - cos xf x,

Now consider the second case; s = -1. The equation for c; now reads

c'lli(-i) + 1 - iJ = 0

and is satisfied by all values of ell. Tn other words, ell remains arbitrary. The recursion formula is

nl(X) = ~oosx/X2 ~ sin x/x

I . I J

en = - n(n _ I) l:n-2

Since C'I need not be zero, it is no longer true that all od d coefficients vanish, Th e series will" in general, contain both even and odd powers of x and can be written as

(n > 2).

and ls known as the spherical Bessel function of order one, Sim ilarl y, ir c~ = -11 then Y2(X) becomes

and is known as the spherical Neumann function of order one, Both of t hem, along with other related fu net ions, are or great importance in physics.

Example 2. Branch point at (he origin, The DE reads

x2y" + xy' + (x' - !)y = 0+

y,(x) = Cb.-r-t/2[1 - x2/2 + xtj(2 · 3 · 4) - · ~ .]

+ clx~ IJ 2(X - x3/(2 · 3) + x5/(2 · 3 ~ 4 · 5) ~ + • ~ J

n tle"O

This series also converges for all x. The branch line for x-1/2 can be chosen to he the same as in Y 1 (x) so that both solutions are analytic in the same region.

It now appears that Y2(X) alone represents the general solution since it has two arbitrary constants multiplying two linearly independent parts, (Note that one series is even and the other is odd t so they must be linearly i ndepende nt.) Theref ore, the solu ti on Y 1 (x) must be a special case of Y 2 (x), and indeed j t is:

Set c~ = 0, C't = C-o in Y2(X) and obtain Y 1 (x).

Remark. r t is not difficult to see t ha t this p henomenon (one root of the indicial equa t ion determ in ing the genera I sol ul ion) can ha ppen only if the roots of the i ndic ial equa t ion d iff er by an integer + I t is then the smatter root wh ic h yields l he genera I so lu tion ~

The solution Y2(X) obtained above can be written in a more compact form as Y2(X) = c~x~t 12 COS X + cix-1 f2 sin x,

Wri te, as bef ore,

Of!

y' = E C1l{.'~ + n)xJt+n-l t

(ICI

v" = L c,,(s + n)(s + n - I )x3+fl-2,.

n-O

and obtain

~ .

L: C,.[{s + n)(s + n - I) + (s + n) - 1]x3+n + L cnx,,+n+2 = o.

R~O n=O

The indicial equation (coefficient with x") is s(s - 1) + s - 1 ~ OJ yielding

the toots s 1 = !~ .:5'2 ===: ~ 1·

Consider s = I; then cI(1 ~ l + i - lJ = 0, so that c. = o.

Use n + 2 -= n' in the sum L:~o cnx'+n+2t combine this with the first sumt

and ded uce the recursion relation

The [unctions

_ j- 1/2

J -lJ2(X) = v 2/ 1r x" cos X

and

~ J~ 1/2

J] 12(X) = v 2/. x " sin x

are known as the Besse' functions (or the first kind) or order - ! and l, respectively, The solution can be written as

or

I

(n > 2)~

en. = - n(n + I) CI1~2 It follows that all odd coefficients vanish and the series reads

I •

I

Remark: The DE x2y' + xy' + (x2 - .,2)y = 0 (II = nonnegative real number) is known as the Be sse I differen t ial equa t ion of order ". I ts sol ut ion s, known as cylindrical functions (or Besser functions or various kinds), occur in many physical problems,

This series converges for all x (by ratio test) and yields a solution that is analytic

in the whole plane except for the branch cut of X 1/2r '

Example 3. Convergence questions. Consider the DE

(A :::= rca 1 constant).

•

136

UNEAR DIFFEREN11AL EQUATIONS OF SECOND ORDER

3.5

TilE fROBENIUS t.tETHOD

IJ7

The Frobenius series

one of the series win terminate giving rise to a polynomial, The other series will be divergent. A similar statement holds for lxl > ] 4

In conclusion, the Frobenius method yields a general solution of the DE only for the region Ixl < L However, if A = 1(1 + I), then there is a particular solution of Frobenius type (namely, a polynomial) which is valid for all values of x.

The DE considered above is known as the Legendre DE and is one of the most i nl por ta n t ones in ph ys ics. In pa rticu la r, ph ysica 1 cond i t ions usu al Iy req u ire t hat the solution be analytic at Ixl = I. Such solutions are possible ir A = 1(1 + 1) and are obtained from the general solution

leads to

..

:E c1l{s + n)(s + n ~ l)xa+,,-2

n.=o

,.

~ L cn[(s + n)(s + n - I) - 2($ + n) + A]x~+Jt ~ O.

ft.-=o

The indicial equation stems from the lowest power x'~2 and reads s(s - I) = 0 yielding the roots ,,'tl = 0, "2 = 1.

The equation for Cl (power x--t) reads Cl(~'f + t)s ~ 0 and yields Cl = 0 if s = It and arbitrary c 1 ir s = 0: the case discussed in Example 2. The recursion formula is

~ tII:I

y(x) = Co L c~xn + Cl L c~x~

:PI =-P. v en n =-odd

(n - 2)(n - 1) ~ A

t'ft = n(n _ I) Cft~2

The root s == 0 gives rise, therefore, to the general so lution in the for m

(n > 2).

by setting c 1 = 0 (if I is even), or Co = 0 (ir I is odd), It is, furthermore, customary to standardize the solutions by the following choice of the coefficients with the lowest powers or x:

CICI IKl

y(x) ~ Co I: c~xn + C1 L ~xn.

n-even 11 =odd

(/ ~ even),

(1 = odd).

The root s == I Y ields, evide ntly, the odd part of thi s solution.

N ow consider the conve rgence of the ser ies, By ratio test,

s; = I c':'x" I = (n - 2X n - I) - A . Ixl'.

c' xn-2 n(n - I)

n~2

These standa rd ized solutions are denoted by P,( x) an d are called Legendre polynomials (or Legendre functions of the first kind). The lowest ones are

,

Po(.x) ~ 1,Pl(X} = x,

P2(x) = !(3x2 - 1), Pa(x) = 1{5x:J - 3x),

P f(X) = i{35x'" - 30x2 + 3). etc ..

The second solution of the Legendre equation, linearly independent of F,(x) and a ppropria tely standardized ~ is de noted by Ql( x) and is called the Legendre function of the second kind. Functions Q,(X) (/ ~ O, I" 2, .... ) are multivalued and have branch points at X '!!!::! ± I.

For f xl < I, we customarily select the followin g defin ition r or the lowes t function;

Both series converge for Ixl < I, whatever the value of ~ may be. For Ixl I ~ the ratio test is j nco ncl usi ve. H oweve r t the integral test yield s

1M (I - 2Xt - 1) - Xdl =JM (I - 2) dt _1M A cit

t( t - I) t t( I -- I)

and since

1M

t - 2

t dt........-+ a)

as M ....-.:. 00 f

both series, in general, diverge" for f xt = 1. There is, however, an e xcepti on: If x happens to be or the form A = 1(1 + t), where I is a nonnegative integer. then

(Ix~ < I).

, J

* This is not unexpected: Our equation .. when written in the form I' + Py' + (Jy = O~ reveals that the coefficients p(x) and Q(x) are not analytic at x =:: ± I. It is not unreasona ble to sus peel tha t t be sol ut ions may a lso r ail to be a na 1 ytic at these points, In th is case ou r series (both are Taylor series) wi 11 indeed have a radi us of convergence

equal to unity. .

or, in acompact form,

I ]+x Qo(x) = artanh x == 2 log 1- x

(Ixl < 1).

..

(all n).

THE FRODEN1US MET!IOD

139

138

LINEAR DIFFERENTIAL EQUATIONS OF SECOND ORDER

The other Legendre functions of the second kind are then expressed in terms of Q o(x) as follows:

Our conclusion is that branch points of logarithmic type may be encountered when solving some simple linear DE of second order. This may suggest that we try, in general, series or the type

Qt(X} = P1{x)Qo(x) - It Q2(X) = P2(X)QO(x) - ix,

Q3(X) == P3(X)QO{X) - ix2 +!, 'etc.

The functions Q,(x) are also used in physical applications but to a far lesser exten t than Legendre polynomials.

Example 4~ Logarithmic singularity. The DE readsxy" + y' = o. The Frobenius series y(x) = 1::-0 cnr+n yields

or perhaps, the combination

iIO Q)

y(x) = log x L cnx·+n + L Omxr+m

(co ~ Ot 00 ~ 0).

m=O

This type of expression may be called a generalized Frobenius series and may be used to extend the Frobenius method. It is l/ery common in physical applications.

Exa mple s. Double root of.t he indicia 1 equa (ion. Co ns ide r the DE

xy" + yl + xy = 0

which is known as the Bessel DE of order zero. The Frobenius series

I!I(JI

L [cn(s + n)(s + n ~ l ) + (ti(s + n)]x·+fI~ 1 = 0

"-0

and

The indicial equation is coS' == 0 and has the double root s = 04

It is seen that there is no recursion formula (in the proper sense or the word).

Rather, Co may be chosen arbitrarily, but all other coefficients vanish. This results in only one solution or Frobenius type, namely,

YI(X) = Co = const,

] t is reasonable to conclude that the second solution ca nnot be represented by a series of Frobenius type. Possible causes of such a failure may be that the second soluti 0 n Y2( x) possesses at the origin (a) an essenti al singularity, 0 r (b) a branch point of a special type, not covered by Frobenius series.

Whatever the nature of the difficulty at the origin, the second solution must be analytic somewhere and a Taylor expansion about another point may be attern pted 4 An alternative procedure is to utilize the Lagrange method (of variation of constants) mentio ned in Section 3 .. 2. In th is particular case we have P( x) == 1/ x, so that (set Yl{X) == Co and choose Xo == Xl = I, A ~ co)

(ICI

y(x) = L: cnx .. +n 11=0

(co ¢ 0)

results in the indicial equation, coS2 ~ Of the equation for C l s Cl(.t + l)2 = O~ and the recursion form ula,

I

~ (s + n)2 Cn~2

Analysis shows that there is only one solution or the Frobenius type, i.e., the series or even powers of x:

Yl(X) = Co f: (-1 ),./2 I x"

.. =0.2.4.... 2" (; ! r

(with OJ = 1).

..

Exercise. Spell ou l t he de ta lied a rgumen ts lead ing to this cone Ius ion,

The series converges for all values of x, If the standard choice Co = 1 is made, then the solution is known as the Bessel function of order zero:

= A 1'" d~ = A Log x = Logx.

Co 2:1 ~ Co

Jo(X) =

This solution is, of course, a multivalucd function; but it is sulficient to select some (ar bitrary) br anch, say the p ri nci pal branch Y2 = log X t to serve as our/second solution: All other branches of Log x can be represented as linear combinations of the two basic solutions Yr(x) = I (we have chosen Co ~ l) and yz(x) ~ log x,

An attempt will now be made to find a second solution in the generalized Frobenius form:

I(JI:I ...

y(x) === log x L cn.x .. +n + L Omxr+m

n=O m-O

(Cn ~ O. Uo ~ 0).

(ao ~ 0)

3.5

THE FRODENIUS MIITIIOD

141

140

LINEAR DIffERENTIAL EQUATIONS OF SECOND ORDER

Before y(x) is differentiated and substituted into the differential equation, observe that the series

Recall that

(n = even),

cannot possibly be anything but Jo(x) (or a multiple or it). Indeed, write

(n = odd).

y(x) = log x . u(x) + v(x),

The lowest power or x on the right is, therefore, the first power, Consequently, the choice, = 2 may be tried, Then

.

where u(x) and v(x} are Frobenius series. Then

y' = u' log x + (I/x)u + v'~

y" ~ u" log x + (2/x)u' - (l/x2)u + VII.

Also, fl. = O~ and

am(m + 2)2 + l1m-2 = ~2(m + 2)b..,,+z (In > 2)~

Substitute into the DE:

The last relation yields the recursion formula

log x(xu" + u' + xu) + (lu' + xv" + v' + xv) = o.

I 2

a", = - (m + 2)20m-2 - m + 2 b"'+2

from which an other coefficients a~ may be calculated (in particu tar j all odd coefficients vanish). This yields

(In > 2),

All term S in parentheses ate F to benius series and since log x is not expressible as a Fro be n i us series, it is not di fficu I t to co nel ude that

xu" + u' + xu = 0,

GO +2 I 2 3 0( 11 G

vex) == L Omxtn = ~ X ~ -- x + ,_ x -, ...

I'tl=o 4 27 29 . 3l

and establishes the second solution as

which proves the statement since lo(x) (or a multiple of it) is the only Frobenius ... type solution or the DE under consideration ..

This simplifies the problem: It is now necessary to find

CIt!

v(x) ==- 1: omx,.+m

",-0

y,(x) = log x- Jo(x) + o(x),

This function is denoted by many authors by Yo(x) and is called the Bessel function or the second kind of order zero.

satisfying xo" + v' + xv = ~ 2J~.. Write

Remark, In modern literatu re it is customary to select a different funct ion to represent the second solution, namely, the roUowing linear combination of In(x) and Yo(x):

GO

Jo(x) ::;: E bnxn,

11;=0

No(x) = (11'-;2) Yo(x) ..J. o - log 2)Jo(x)~

~

J&(x) = 1: bnnxn-l.

n:a:z:cO

where ~ is the so-called Euler- Mascheroni constant:

J

-

where the coefficients b" are known. Then

"Y .. lim (f. .!_ - log N) ~ lim (I + 2! + ! + ~ ~ . + ! - log N) ~ 0.5772 ......

'c.Jtl--Jr.rJ JJ= l P N~~ 3 N

Substitute this expression} along with the Frobenius series for .v, v', and v~':!J into

the above equation .. Obtain, in the usual fashion, J

The I u net ion No (x) is u sua 1] y ('8] led the Neu rna nn fun ct ion 0 f or de r zero, However. there are authors who denote this function by Yo(x) and call it the Bessel function of the second kind or order zero. In general, the nomenclature and standardization or special functions like these are fur from being settled.

~ ~

aor2xt-t + Qt(r+ 1)2Xr + I: [am{r + m)2 + am_2JxT+m~1 = 1: (_:_2nbn)x"-1~

."._ -2 tl ""'" 0

Example 6. Complex roots of 'he indicial equation .. Consider the Euler DE: x2y" + xy' + y = 0 ..

(x > 0).

3.5

THe FRQDENIUS MErIIOO

143

142

LINEAR DIFFERENTIAL EQUATIONS OF SECOND ORDER

The Frobenius series

.,

y(x) ~ L cnX:Ll"+pt

J1=O

yields the indicial equation, CO(S2 - I) = 0, the equation for C h C IS(5 + 2) ~ O~ and the recursion formula,

yields the relation ca[(s + n)2 + I] = O~ The indicial equation (set 11 = 0) CO(S2 + J) ~ 0 has the complex roots s = ±i. For either or these two values, all coefficients en (except co) must vanish. If Co is chosen to be unity, two solutions are obtained:

I

(n ~ 2)~

,"

en = ~ V+ n + "l)(s + n _ l)cn-2 The roots are s = ± I ~ In either case, Cl = O. However" an attempt to construct the Frobenius series with s = - I fails because C2 is not defined by the recursion lorrnula. Colloquially speaking, C2 "blows up" (or "becomes infinite").

The second root, s = + l, transforms the recursion [crmula into

Both functions ate multivalued .. Select the principal branches:

I

en ::= - ;;,(;-+2) Cn-2

which readily determines all coefficients. The choice Co ~ i yields the Bessel function of order one:

,

The Wronskian or these two solutions reads

W(.v 1 t Y2) ~ ei 10K :£e-i IOIl!!.:I=( - il x) - e~i tD~ r.ei ]0" %(iJ x) ~ +if x ~ i/x ~ ~2i/x.

Since the Wronskian never vanishes (for finite x) the solutions are linearly independent and the general sol ution is ob lain ed :

~ I 1 13 I 5

Jt(x) = r: (_I)'ri/~ (n)2 xn+1 == 2X - 2"X + 3 .27X ~ ~ ••

n_(',"1"n 2n 2 1 (n + 2)

The second solution can be attempted in the form (as in Example 5)

ei tog:t = ei{[o~ b:1 + i nrlt z)

..

Y2(X) = log x ~ J t(X} + v(x) and leads to the DE for v(x):

x2v" + xv + (x2 - 1)0 ~ -2xJ1 ..

Since J I (x) has a simple zero at the origin, it is convenient to write

where A and B are complex constants.

Jf a real solution is desired" write

For real and positive x, arg x = 0, and Jog Ixl = log x so that

ei JOlt z = cos (log x) + i sin (tog x).

The real functions cos (log x) and sin (log x) arc linearly independent, and each must satisfy the DE (see the Exercise on p. 52). The general real solution may be taken as

Then

y(x} = Cl cos (log x) + C2 sin (log x)

~ l

- 2xJ~(x) ~ r: {- 2bn(n + I )]x~+ ·

n-O

" ,

This solution is meaningless for x < O. However, a different branch or xi may

be selected to prod uce the gene ral sol utio n in this case as well ..

Observe that both solutions have a branch point of logarithmic type although they are formally represented by a (terminating) Frobenius series ..

Assuming v(x) to be a Frobenius series,

!

The Frobenius series

U)

y(x) = L c,.x~+'*

n ... l

(ao ~ 0),

and substituting into the DEt we obtain

T ( + 2) r+l

ao(r + l)(r - l)x + air r x

eo ] t'"+~n

+ L: [a~~(r + 111 + l)(r + m ~ 1) +-am-2 x

~It = 2:

IK:I

= L [-2b~I(1l + I»)xll+l.

:II~-=O

Example 7~ Roots differing by an integer. Consider the Bessel differential equation

of order one j'

J

144

LINEAR DIFFERRNT[AL EQUATIONS OF SECOND ORDER.

3.5

TIlE FROUENIUS METHOD

145

Recall that

Example 8. Three-term recursion formula. Consider the DE y" + (1 - x2)y ~ O, If y(x) = L: 0: cnr+n, then

(_1)"12 I (n = even),

b,. = 211(1!Y (n + 2)

o (n =- odd).

so that the series on the right-hand side has only odd powers and starts with the first power" A value for r should be chosen so that the series on the left-hand side has the same form. A little reflection indicates the likely choice: r:::::;: - 1 ~ a 1 = O. It would appear, at the first glance, that ao is arbitrary, This is not so:' however .. The equation now becomes

The indicia] equation cos(s - I) = 0 has two roots, S = 0 and s == I .. Consider the root s = O. The equation rOT C I reads Ct(.-~ + I)., = 0 and leaves c 1 arbitrary. For the next two coefficients (II = 2 and n ;: 3), the second sum is involved leading to

~ ~

L. [a",m(tH ~ 2) + a",~2Jxm-l ~ E [~2hn(n + 1»)x"+1.

n(n ~ l)cn + Cfl-2 = 0

or

C",~2

C = - .-

n n(n _ I)

Equate the coefficients with the first power of x on both sides (m = 2~ n =: 0):

ao = -2bo = ~2(!) = - I.

For n > 4 the third sum becomes involved, and we have n(n - I)cn + CI1;-2 - C~-4 = 0

Observe that U2 is not involved in this equation and remains arbitrary. To find other coefficients. set m = n + 2 and obtain the general recursion formula

or

The case n ~ 0 has already been considered .. For n > 0 this relation can be solved for Q"+2=

(n > O)~

Cn--4 - Cn-2

C = ---

n n(n - 1)

Observe that the general recursion formula involves three terms.. It is seen that if Co is chosen, then C2 = - co/(2 .. t) = ~ !eo and c.( is now calculated from Co and C2. All other even coefficients are obtained in a similar fashion and

are i ndepend e n t of the select i on 0 r od d coeffici e n ts, ...

Jt is possible then to set C I = 0 and to construct an even senes solution since from CI = 0 it follows that C3 = 0, and then C5 = C7 = Cg ~ .. • " ~ O. The series reads (with Co = J)

(n 2: 4).

It follows that all odd coefficients vanish, since a 1 == 0 and all odd hn vanish. I f a 2 is selec ted, then all othe r even coe fficien Is ca n be calcu I a ted"

It is not difficult to see that different choices or Q2 amount to adding to v(x) a multiple of J 1 (x). This is not surprising since if the function

(known as the Bessel function of the second kind of order one).

Another choice of the second solution is the Neumann function or order one:

•

I

and is easily recognized as

·e-z'J2 _ I - (x;) + ~! (x;y - :1 (x;y + · .. = YI(X),

The second sol ut ion may be obtained as the odd series, gene rated by the coefficient

eWe set c = 0 and Cl ::::::: I (this is somewhat unorthodox since Co is, as a rule,

1· 0 hi

assumed not to vanish; however, the ultimate results are not affected by t IS

departure from the u su al tech nique), Then the r ollowing series emerges:

Y2(X) === x - lx:l + rloX5 - d.,-x7 + ~ . "

Each or the series, y, (x) and Y2(X), is a solution of the DE, a~d they are linearly independent (one is odd, the other is even). The general solution

y(x) :=: elY t (x) + C2.Y 2{X)

is a second solution (linearly independent or J t)t then

,

is still a solution, linearly independent of J1(x) and having the same generalized Frobenius form. One customary choice is 02 = - -1, which leads to the function

Y() It I 53 5 3

1 X == OgX~Jl(X) - ~ ~ -x + ~-:X - ----;-x + ...

x 4 2h 21 · 32

N 1 (x) = (2/.,..)[ Y 1 (x) + (Y - log 1)1 r(x)J.

146

L1NEAR DIFFERENTIAL EQUATIONS OF SECONO ORDER

3.5

is, therefore, obtained. As for the root, s = I ~ it is easy to verify that it will generate, basically, the solution ,Y2(X).

Remark. This DE occurs in quantum mechanics where it is used to represent the ground state 0 r a harmonic osc illa tor ~ Physical pr inc i ples deman d se lection of the so lu tion which approaches zero as x --+ ± (Q ~ The solution YI(X) satisfies this condition, whereas the solution Y2(X) does not.. This may not be evident from the series for Y2(X). but by t he method or variat ion 0 r const ants it is not d ifficu It to show t ha t

(i: d~ ~~2/2 r~ (I

Y2(X) = Yl(X) Jo [y] (~)12 ~ e Jo e d~~

The in tegra I f 0 et ~ d ~ represents the a rea between the cu rve y = ~1. a nd the x-a x is. Bear ~ ing this in mind, it is almost trivial to show that. for instance,

iZ f'12 d! > ; f'''~

(x > O)~

which implies that IY2(x)[ > 1;1 rt ri. ___, ee as Ixl ___, ao.

The examples presented above show that the Frobenius method, when successful. leads to the solution or a second-order linear DE provided this solution is either (a) regular at the origin, or (b) possesses a pole or branch point of power or logarithmic type at the origin. Obviously, it is desirable to determine in advance whether a given DE will have solutions with these properties, Two basic theorems to that effect are given below" They involve the following definitions ..

Definition 1. If the functions P(x) and Q(x) in the DE

v" + P(x)y' + Q(x)y = 0

are analytic at the origin, then the origin is called ordinary point of the DE. Otherwi se, the origin is called a singular poi" t +

Definition 2 .. If P(x} and Q(x) are not both analytic, but are or the form

r I

P(x) = fP(x) ~

x

Q(x) = ~(x),

X2

where ,,(x) and ,,(x) are analytic at x = 0, then the origin is called the regular singular point. Ot herwise, it is caned an ir regular singular point ..

Theorem 1. If the origin is an ordinary point, then any solution or the DE is

analytic at x = o. "

•

, Theorem 2. Theorem of Fuchs. If the origin is a regular singular point, then

any solution of the DE is either (a) analytic at the origin, or (b) possesses a pele or branch point of power or "logarithmic" type" (In other words, it is expressible as a generalized Frobenius series.)

..

... : ..

3t6 SOME OTHER METIlODS OF SOLUTION

Power series of ascending powers or x are convenient in the vicinity or the origin" For i:~ far-away' points it is much better to use power series or descending powers of x (as in the principal part of a Laurent series) .. For instance, ir a runctionf(x) is analytic at infinity, then it must be representable by a series

3.6

SOME OTHER METHODS OF SOLUTION

147

Proofs or these theorems can be found in advanced texts on differential cqualions or complex variables+

Remarks

1 + If the origin is an irregular singular point, there is stil1 a possibility or a solution or the Frobenius type. H one such solution is. found, the other may be obtained .. for instance, by the method of variation of constants.

2. The entire theory outlined above can be applied to any other finite point by a trivia' argument.

Finally. here is a brief summary of possible situations encountered in the use of the Frobcnius method: If the initial attempt to find a solution is made in terms

of a Frobenius series,

CIO

y(x) = L cnx~+"'

n!!!!!:O

then the lowest power or x gives rise to the indicial equation which is a quadratic equation in s (with real coefficients for a real DE)~ The following cases arise, according to the nature of the roots (which may be complex, even for 3 real DE).

CASE 1. Two distinct roots not differing by an integer. There are two linearly independent solutions of power type.. Each solution contains one arbitrary parameter (Example 6)~

CASE 2~ A double root, There is one power-type solution and one logarithmictype solution (Examples 4 and 5).

CASE 3~ Two distinct roots differing by an integer (two subcases are possible):

a) Two solutions of power type, each corresponding to one root. The lower root yields a two-parameter solution. The higher root yields a one-parameter solu ti on and is a special case of the first solution (Exam ples I, 2~ 3. and 8).

b) One solution of power type, given by the higher root The lower root fails to give a solution (infinite coefficients), but a logarithmic-type solution exists (Example 7).

.gill

[(:x) == 1: um(l/xm)

m-O

valid for [xl> R, where R is some nonnegative constant. Such expansions are usually called expansions about the point at infinity .

148

LINEAR D1FFERENllAL EQUATIONS or SECOND ORDER

3.6

SOME OTII F. R M lIT E Ions OF SOl... UTION

149

Expansions or this type may be attempted directly in the process of a solution or the linear DE of second order. However, it is advisable to proceed in an indirect way by making the substitution x = I/z~ Then

~ = t!z. ~ = dy (_Z2)

dx dz dx dz 1

d2y = d2y (dZ) 2 + dy d2z =

dx? dz2 dx dz Jx2

Both series converge for Jxl > 0 and represent the expansions about the point at infinity or the functions Yl (x) == e 1I:r, Y2(X) = e-1/%.

Example 2. Consider the zero-order Legendre differential equation

(I - x2)y'" - 2xy' = O.

It is desired to obtain the expansion of Qo(x) about the point at infinity.

Divide by (J - x2) to obtain

and the DE becomes

2x

Y" - Y 0

-1-~-x-2 = ·

d2~ + l2 ~ ~ p (!)] dJ!. + ~I- Q (!) Y :::: 04

dz? Z Z2 Z dz Z1 Z

Here P(x) = 2x/(x2 - I), Q(x) ~ O~ and

The desired expansion in descending powers of x is now a Taylor expansion about z = O. I f the coe fficien ts

2 I (1) 2z

F(z) = ~ - - p - = t

Z Z2 Z Z2 ~ J

G(z) ~ O~

The new DE reads

F(z) = 2 _ l_ p (!) ,

z Z2 Z

G(z) = ~- Q (!)

Z1 z

d2y 2z

~ + -~.--~y = 0 dz2 Z2 - 1

are analytic at z = 0, then such an expansion exists and can be found by standard methods,

and has exactly the same form as the original one. It is known to possess the solutions

Example I. The DE reads x4yJJ + 2.x3y' - Y = O. On division by X4, we obtain

2 I

yll + - y' ~ ~ y = o.

X X4

The refore the ori gina I zero-orde r Legend re eq uatio n possesses the solutions

The expansion y(x) = E:~o omx-m is desired. After the transformation x = 1/z, we obtain

1 lIt

y (x) = ~r + ~~-;- + --- + - + ~ · ~

'2 X 3x·J 5x.5 7 x7

<Ixl > I).

2 I

F(z) = ~ - ~ 2z = 0

Z Z2 "

I .(

G(z) ;:;:: - ,24 % = - I.

The first solution is P o(x)" The second solution may be called Qo(x); it can be written in compact [orrn as

Both F(z) and G(z} ate analytic at z = 0, and the new DE reads d2y

dzi - Y = 04

Qo(x) === arcoth x = ! log [(x + I)/(x - I»)

(Ixl > I).

Remark, The function Qo{x) is multivalued. The choice of branches

•

I

Qo(x) =

1 log 1 + X t Ixl < 1, I-x

x+I

! tog ~ -, Ixl > I x-I

The desired series are

tIO ft.

YI(Z) = e~ = L -;-,

"h:BI:O 11.

or

is, of course, arbitrary, but it is the standard choice. If a problem warrants it, another select ion of branches can be made.

The above discussion deals with expansions in integral powers of x. J t 111ay evidently be extended to generalized Frobenius expansions about the point at infinity,

150

liNEAR DIFFERENTIAL EQUATIONS OF SECOND ORDER

3.6

3.6

SOME OTltE.R MElHOOS OF SOLUTION

151

.

Linear diff erenti al equations of secon d order are often transformed to for

various reasons, by a change or variable. The dependent variable y is usually changed by

exact solutions for 0 may be taken as Vt(x) = COS X - sin xf x,

V2(X) = sin x + cos xl x,

y(x) = Y J (x)v(x),

and for large Jxl (real x), they indeed behave like cos x and sin x .. Example 4. The ditTerential equation

where It(X) is known or determined by certain conditions; the result is a DE for v(x).. An example of this technique has been found in the method of variation of constants: here Yl(X) is one or the solutions of the DE. Other applications i ncl ude (3) the elimination or the fi rst -deri vati ve te rm, . and (b) the factorization of the behavior at infinity.

If the above substitution is made, then the DE becomes

(n == 0, I, 2, . . .)

2Yl + PYI = 0

is used in qua n tum m echan ics to describe the motion or a harmonic oscillator ~ * Jt is known (Example 8, Section 3 .. 5) that one of the solutions for the case II = 0, the ground state or the harmonic oscillator, rends y(x) = e-.r'2/24 ] t has been round advantageous to "factor our" e-z'l/2 [or the cases n ~ 0 as well. Set

y(x) = e-r~/2v(x).

Then the DE for v(x) reads VI' - 2xvl + 2nv = O~ This is the Hermite DE ..

The acceptable solutions in quantum mechanics are Hermite polynomials (because y must vanish at infinity). This leads to the solution for y(x) in the form

y(x) = HM(x)e~%"l!2,

Instead or eliminating the third term by choosing Y 1 to be a particular integral, we may require that

and eliminate the first-derivative term. This means that

YI(X) = exp {-! J'" P(U d~}

where Hn(x) is the nth Hermite polynomial.

Changes of the independent variable are also useful. 1 f; in the DE

and the DE for Dreads

v" + P(X)y' + Q(x)y == 0,

This techn ique fi nds its app1ications in estim ating the behavior of the solution s "at infinity" and various approximation methods.

Example 3. Consider the DE X2y'l + 2xy' + (x2 - 2)y = 0 (spherical Bessel equation or order two).

Divide by x2: v" + (2/x)y~ + (1 - 2/X2)y = o. Lety = YIO, where

YI = exp {- ~ 1" ~d~} = exp {-log x} = !.

the change of variable t = f(x) is made, then

, = dy = dy dt = dyf,(x)

Y dx dt dx dt t

y" = d'ly = dly If'(X)}2 + !!l P'(x)

dx? dt2 dt'

and the equation becomes

d'ly If/(X)J2 + tiY U"(x) + P(x)f'(x)] + Q(x)y = O.

dl2 dt

Jf x is expressed in terms of ( [by solving t = lex)}, then the DE will have I as the new independent variable. A judicious choice or the function I(x) may simplify the new equation.

In particular, if we require that fO(x) + P(X)fl(X) = 0, which implies that fl(x) = exp {- fX P(E) d~}, then the new DE will have no first-derivative term.

Example 5. The Euler differential equation X"lyll + xy' + y == 0 can be simplifled by the transformation x =- e', I == log x (for x > O)~

Then v satisfies

Suppose that x is real and Ixl is large. Then x2 is large and v is expected to be similar to the solution of the approximate equation u" + u = O. In other words. v is expected to behave like sin x or cos x for large values of [x], implying that the solutions or the original DE will behave like sin xl x and cos xl x as Ix~ -+ O'J 4 The condition sunde r which such statements are tru e, and the degree. of approximation must, of course, be analyzed and proved (consult books and articles on asymptotic behavior of solutions). In this case it may suffice to point out that the

• See Section 1 L].

152

LINEAR DIFFERENTIAL FJJUATIONS OF SECOND ORDER

PROBLEMS

l53

(as on p. 142),

7. Solve the DE x2yH -t- (x2 + x)y' - ... }' = 0 by the Frobenius method. Can you ex press the 0 bta ined se r j es in a closed r orm ?

8+ Solve the DE X~y" + x2y' - 2y = 0 by the Frobenius method. Show that one of the series terminates. Express the second solution in 3 closed rorm (using a method or your choice).

9 .. Show that the DE (x1 + 2x2)y~' + 3xy' ~ 6x2y _ = 0 possesses the rollowing series solutions:

Y J (x) ~ I -I- !x 2 + Tl~X-l - J ~ 3:Xf, + nkxR - ... ,

Y2(X) = (J/v'x) (I + iX2 + lisX4 ~ y-Jy;rXn -f-- HVnxR - .. ~).

The transformed equation reduces to

day + y = 0 dl2

and has solutions Yt(t) = cos I and Y2(/) = sin t. This Jeads to the general solution of the Euler DE

y(x) = C l cos (log x) + C2 sin (log x)_

1. Observe that the DE x2y" + xy' ~ y = 0 has a solution Yt(x) = x .. Use the method or variation of constants to find a second solution and then proceed to solve X2y" + xy' - y =t 1/(1 - x).

2. From ou r ex pe r ience with the preceding problem, it shoul d not be difficult to find a sol ut ion of (1 ~ x )y' ~ + xy - y = 0 by inspect ion. Using t h iSJI solve

(I - X)y" + xy - y ~ (1 ~ X)2r

What is. the radius or convergence of the series?

1 0 ~ Solve com p I ete 1 y by the (general ized) F roben i us met ho d t he follow i n g d i rr e ren l in 1 equations:

a) xy" + (1 + x)y' + 2y = 0,

b) xy" + 2y' + y :;;;: Ot

c) x2y' + 4xy' + xy ~ 0 ..

11. Show that the DE xy" + (1 - x)y~ + Xy = 0 possesses polynomial solutions ir X is a nonnegative integer, Evaluate these polynomials for h S; 4, standardizing t hem by the condi t ion y(O) !!!!!! I.

12. Consider the DE (I - x2)y" ~ xy' + Xy = O~

a) What are the singular points of this equation?

b) Solve the equation by the Frobenius method and deduce the values of X such that one of the solutions will be analytic at the singular points. Show that this solu t ion is a polynomi a I.

e) Devel op ex pI ic it] y severa I sue h pol ynomia Is stan da rd izin g them by the cond i t ion y(l) = t.

13.. Show that the DE y .... + (cosh 2x - 4)y = 0 possesses the solution

y(x) = x + ix3 - -aX5 - ~i90x7 ~ · .. ·

(Hint: Expand cosh 2x in a power series before applying the Frobenius method.)

14. Show that the equation .l'4y~t - Y = 0 has no solutions of Frobenius type. Try, however, expansions about the point at infinity and show that

BIBLIOGRAPHY

CODDINGTON, E. A. ~ An J ntroduction to Ordinary Differential Equations, Englewood Cliffs, N .. J .. ; Pren tlce-H all" Ine., 1961.

CooDINGTON~ E. A., and N~ LEVINSON, Theory of Ordinory DifferenTial Equations, New York: McGraw-Hill Book Co", 1955.

INeE ~ E. L., Ordinary Differential Equations, New York: Dove r Publ ications Inc., 1926. RA1N'VILLE~ E. D~, Intermediate Course in Differential Equations, New York: John Wiley & Sons, 1943.

PROBLEMS

J. Us in g t he method of variat 10 n of constan ts, show t ha t the gene ral sol ut ion 0 r x + (2)C = f( I) can be expressed as

x{/) = A cos wi + B sin wi +! r sin w(t - r)!(T) dr,

w Jo '

4. Consider the Bessel equation of orde r zero: xy" + y' + xy = o. Show that the Wronskian of any two solutions is W(x} ~ C/x where C is a constant, dependent on the pa rt icu la r c he ice of the sol uti ons, Wha t is the W ronskian of t we solut ions or the Legen d re eq uat ion 7 of the Bessel eq uat ion 0 f a rder ~ "1

.r

5+ Show that the Wronskian of Jo(x) and Yo(x) is .Ix" {Hint: Since W = C/x for all

values or x J one may choose an x so small that only the leading terms need to be _ considered.] What is the Wronskian of Jo(x) and No(x)? of Po{x) and Qo(x)7

'1 6~Show that the Airy DE y" - xy = 0 possesses two linearly indepe~dent 'solutions i..J t hat a re anal yt ic at the origin ~ Eva I ua te t hem by the power series met hod,

y(x) ~ Ax cosh (1/ x) + Bx sinh (1/ x),

15. In the DE yn ~r 2y' + (1 - 2/x2)y =- 0,. conjecture the behavior or y(x) for large x (see p. 148)+ Denote this function by }'~(x) and proceed to solve the DE by substitution Y(x) ::I:: YDa(x)v(x),

16 .. A number of Dfi's can be reduced to the Bessel equation. For instance, show that the DE y''' + x~y = 0 can be reduced to the Bessel equation of order v = I/(p + 2) (see p, 135) by the change or the dependent variable y(x) = Vi u(x)t followed by t he chan ge of t he in de pen den t va r ia ble

2 (1-~ ~)/2

z~2+px ·

FOURIER SERIES

4.2 .

DEF1N1TlON OF FOURIER SERIES

155

a· .

__l! + E (an. cos nx + b« sin nx) 2 ft=l

What kind or [unctions are representable in such a manner? For a representation by a power series the conditions are (for real x):

I r The function is differentiable any number of times. 2L The remainder in Taylor's formula approaches zero.

These conditions are fairly restrictive. The remarkable property of trigonometric series (discovered by Fourier) is that they can represent functions from a much wider class, including discontinuous functions.

One property or trigonometric series should never be lost from sight: By their very nature these series can represent only periodic functions" with period 2-r [this need not be the primitive period, that is, I(x) may have a smaller period T, but 2-r must be an integral multiple of TJ.

CHAPTER 4

4 .. 1 TRIGONOMETRIC SERI~

A series or sines and cosines or the type

is known as a trigonometric series. In most application s the variable x is real .

..

Then sin IIX and cos nx are bounded and the series will converge if some rather

mild conditions are imposed on On and b".

Examples

4.2 DEFINITION OF FOURIER SERIES

Let us assume that a certain function is represented by

a ...,

I(x) = ; + L (an cos nx + b .. sin /Ix),

"-1

1.

and the series converges uniformly in the interval -It" < x :5 'Jr. (If this is so, then the series converges uniformly for aU values of x as well.) We multiply the series by cos mx, where m is a positi ve integer:

The series reads

cos x + sin x + 1 cos 2x + l sin 2x + ! cos 3x + · ...

and converges absolutely and uniformly for a11 (real) values of x (e.g., by the rati 0 lest and the Weierstrass M -test),

a ~ ~

fix) cos mx = ; cos mx + L Oil cos nx cos mx + L bn sin /IX cos mx.

n-l n=l

2 ..

On. = 0 (all n),

bn = lin.

This series is still uniformly convergent and can be integrated term by term:

The series reads

/+2" 1+" 1+"1"

~" f(x) cos mx dx = ~o _ .. cos mx dx + nf:, a.; ~ .. cos nx cos mx dx

tIrI J4"-

+ .. L1. bn ~.. sin me cos mx dx.

sin x + I sin 2x + i sin 3x + ~ . ·

and converges for all x, e.g., by integral test since the integral foQO (sin lX/I) dt converges for all x. However, the convergence is not absolute; for instance; take the point x = ./2; it is not uniform either (tor the entire x .. axis);

3.

u,. = I,

(all n).

~

This procedure allows the determination of coefficients an if fix) is known and is

based oh the important property of sines and cosines known as the onhogonality property:'

The series reads

i + cos x + cos 2x + cos Jx + <I " •

and diverges (by the nth-term test) for almost all values of x (the exceptions are points like x := "Jf/2)~

1+.-

a} -'II" sin nx cos mx dx = 0

(all n, m > O)t (if II ~ m)

~ ~

!(x) = Uo + L (an cos tJX + btt sin nx)~ 2 "-1

154

f +1'" {O

b) _.- COS /IX cos mx dx "" 'II"

I + If" {O

c) ~.- sin nx sin mx dx = 1r

,

(if 11 = In)

(jf n ~ In) (if n =::;- nr)

i

If the trigonometric series converges (whether uniformly or not), then it repre-

sents some function j(x), and we can write

* So r,~1 r as the interval (- C() < x < -1- co) is concerned, or course,

(m > 0)

4.3

EX AM Pl E..~ OF FOU RIl:Jt SERres

157

156

FOURIER SERIFS

sin nx sin mx = i cos (n - In)x - I cos (n + m)x.

It follows that the coefficients ao. alU and b; can be evaluated from the following formulas:

t:

an == (I j ... ) -11' f(x) cos nx dx

r:

bn ~ (I /T) ~ .. I(x) sin nx 0_,(

(n > 0),

These formulas can be derived directly, using the well-known properties of sines and cosines+ For instance,

Therefore

t: sin /IX sin mx dx = ! t: cos (It - m)x dx - I f:r cos (n + m)x dx.

If n ~ mt then

(n > 0).

The coefficients an and b", calculated from a given function f(x) by means or these formulas are known as the Fourier coefficients of f(x). The trigonometric series co nsf ructed by means of these coefficien ts,

J~+.. 4 +.,.

SIn (n - m)x

cos (II - m)x dx = (_) = O.

~r n m -r

'='J

~ + ~I (a" cos nx + b" sin n.x),

Jf n = m, then

f +'11" /+'If

_.- cos (n - n)x dx =" -r dx = 27.

is called the Fourier series or f(X)"

It is important to note that Fourier coefficients can be constructed for a wide class or functions, including some discontinuous functions,

Also,

f_:~ cos (n + m)x dx = 0 and formula (c) is established. Formulas (a) and (b) are proved in a similar fashion.

R eturning now to our series ~ we see that all terms in the infin i te sums except

one wi 11 vanish. Moreover ~

(for all n, m > 0)

4.3 EXAMPLES OF FOURIER SERIES

Example 1. Consider the function f(x) = x2• Its Fourier coefficients are readily calculated:

1+~

_.. cos mx dx = 0

so that

J+ ..

bn = (1/.-) _ .. X2 sin IIX dx = O.

r: fix) cos mx dx = 0",7.

This relation permits us to calculate any desired coefficient am when the function I(x) is known,

The coefficients bn are treated similarly: The expansion is multiplied by sin mx

an d is integrated. Orthogon ality relations yield

The Fourier series is easily seen to be uniformly convergent for all values of x and represents a function

1;(1

g(x) = .2/3 + :E (-I )"(4/n2) cos IlX.

11=1

I

•

The graph of g(x) is shown in Fig. 4.1. It is clear that the Fourier series off(x) = x2

represents a periodic extension or the values or f(x) in the interval (-11'", +,,-).

R(x)

.

I

f+..- "

-1< f(x) Sin mx dx = b.nr.

Finally, to obtain ao~ we integrate the expansion

~

[(x) == 00/2 + I: (a" cos nx + b« sin nx)

11:1::::1

r:

_.. [(x) dx :::: Uo1r ~

.. J l'r

~- .... x Fi~re 4.1

as it stands" This results in

-:If

158

FOURIER SERIES

4.3

EXAMPLES OF mURIER SERIES

159

Example 2.. Now consider a discontinuous function

{-I

f(X) =

+1

(x < 0), (x ~ 0).

(the so-called limits from the right and from the tell). Then the Fourier series converges to

tl/(xo + 0) + f(Xo - 0)].

The Fou rier coefficients are

I ]0 1 1+'-

00 = ~ ( - I) dx + - ( + 1 ) dx = ~ 1 + I = O!

.... -.. r 0

Because or the periodicity or Fourier series, the points x = ... and x ~ -']I'" often become poi nts of discon ti nuity fo r the su m of the se ries, For th i s reaso n, for x ;:::;:- ±1rt the series converges to

I 10 I 1+'-

a" = - (-cos nx) dx + - (+cos nx) dx = 0,

r ~.. ... 0

bn ~ ! 10 (-sin ,.x) dx + ! 1+" (+sin PIx) dx

11'" -'I" ']I" 0

== 21~ sin ~ dx = {4/n... (n = odd),

roO (n = even),

ilf( ~ ~ + 0) + J( 1f ~ O)J

Remark ~ These two statements re ma in in force when the two limits f{xo + 0) and f(xo - 0), or the limits f( - .. + 0) and {(If' ~ 0), are identlcal. For instance, if f(x) is continuous at x :; xo~ then

f(xo + 0) = f(xo - 0) = f(xo)t

and the F curie r se ries reads

4 ~ 1

g(x} = - :E - sin nx,

... n~odd n

and the F ou rie r set ies s imply con verges to f(x 0), namely I the actual val ue or the r u net io n. The other j nteresting example arises when I( x) is discontinuous at x ~ Xo because so me po int is ill C removed r rom the curvet. as in

(x '#- 0), (x = O)~

The series is convergent in the interval ( -"':t + 11") and therefore g(x) is well defined .. The graph of g(x) is shown in Fig. 4.2. Explicitly, the Fourier series converges to + 1 for 0 < x < T, to ~ I for ~ r < x < 0, and to zero for x ~ -7f, X = 0, and x ~ +.... It "almost" reproduces [(x) in the interval - ... S x < +"-, the exceptions occurring (I) at the ends of the interval and (2) at the point of discontinuity of I(x}.

This tat her art i fie ia Ily const ructed r unction wi It possess t he same F ou rie r coefficients and ~ t he ref ore, t he same Fou r ier ser ies as the f unct ion

f(x) = x2

(aU .r),

This Fourier series will converge to the function g(x) of Example I. Observe that

g{x}

-

No
11(0 + 0) = Ir(O - 0) = 0

and

but that

.I

g(O) -F- II (0).

Figure 4.2

Let us- summarize the conclusions obtained so far:

I. If a trigonometric series converges uniformly to a certain function f(x) (necessa r j I Y period ic ) t then the coefficien ts an and b« are neeessa ri Iy given by the formulas

This feature is a general property of Fourier series: If the function I(x) has a jump discontinuity at some point xo, then its Fourier series converges to the "midpoint of the jump." More precisely, consider the following rather common notation for the two limits of fix) when x ---+ Xo=

t:

an = (1/.,..-) -]I'" f(x) cos nx dx,

1+..-

bn '= (l/-w-) _If [(x) sin nx dx,

f(xo + 0) = lim f(x}t

~--t2:o %>.:z::o

i •

and the given trigonometric series is a Fourier series [or f(x).

2~ If a function f(x) is given and its Fourier coefficients do exist, then the Fourier series i~ expected to reproduce the periodic extension or f(x) except, perhaps) for some minor changes (as in Example 2).

I

f(xo - O)~ lim f(x)~

2:--+%''0 %<.%0

160

FOU RIER SER1ES

4.3

4.4

PARITY PROPERTIES. SINE AND COSJNE SERIES

161

J t is needless to point out th at the second conclusion is not p rec ise an d requires elaboration. In fact, it raises the fundamental question of the theory or Fourier series: "What conditions must a function f(x) satisfy in order that its Fourier series converges to [(x) in the interval ~"W" < X < «T"

It may be pointed out that the period 211" is not mandatory in the theory or Fourier series. Replacement of x by (2'J1'"/TJx yields 3 series with period T:

ao ~ ( 2."nx . 21rnx)

!(x) = 2 + ~1 an cos T + bl~ 51n T ..

4.4 PARITY PROPERTIFS. SIN~ AND COSINE SERIFS

Suppose that a function !(x) is to be expanded into a Fourier series in the interval (- L. +L). If f(xJ is even, then all coefficients b.; must vanish while the coefficients On are obtained by integrating from 0 to L only and multiplying the result by 2:

(f(x) = even).

Here f(x) is a periodic function with period T. [The trigonometric series is tacitly assumed to converge to I(x).]

Conversely, if f(x) is given, it will give rise to the Fourier coefficients

Si milady, if J(x) is odd, then all an. are zero and

f+T'2

2 2rnx

an = ~T f(x)cos T dx,

-T{2

f+1"2

2 . 2~nx

b; = T [(x) sin T dx,

-Tf2

1M:!

f{ ~ . n .. x x) -= ~ b; sin --

n:::l:l L

11.1

2 . n .. x

bn ~ L 0 [(x) sin L dx

([(x) = odd).

and the resulting Fourier series will be expected to reproduce I(x) in the interval -T/2 5 x s T12.

This [orm of Fourier series is most often used in the treatment or phenomena that a re periodic in time: The symbol x represents th e time va ri able (usua 11y replaced by t while 211'" IT is replaced by w).

In this connection, Fourier series are often expressed in a form involving amplitudes and phases. For example, if we write

A" = Va! + b~

These two results give rise to two other types of trigonometric expansions, known as the Fourier cosine series and the Fourier sine series. Suppose that an arbitrary (not necessarily even or odd) function f(x) is given. If we calculate the "half-range integrals" and define

21L n'l"x

Un = L 0 f(x)cos L dx,

(n > 0),

and form the series

and

bn. 4>n = arctan ~ an

(n > 0),

., ,

00 ~ IllrX

~ + L.J an cos - ,

2 n==l L

then the F curler series reads

then this series will reproduce the function

Uo ~ (21rI1X )

[(x) = "2 + LJ An cos T - t/Jil ~

'N=-=t

g(x) == {!(X) (0 < X < L)t f(~x) (-L < X < 0),

.:

a.; = I/L -L [(x) cos (ll1(xjL) dx,

brl = IlL J~,l. I(x) sin (ll7txl L) dx.

( ...

,

which ~ay'be called the symmetric extension of {(x) into the interval (-L, 0) .. We say that we have expanded I(x) into a Fourier cosine series over the interval (Ot L).

Similarly, we may define

11.1

2 .. nrX

bn = L 0 f(x) sm L dx

.

In many applications, where x represents distance, the period 2L is most

convenient. The formulas read

~ ,

f(x) ~ 110/2 + L [0" cos ('fJrX/ L) + hn sin (n7rx/L)J,

.

t

and con struct t he series

- 162 . FOURlER SER[ES

Function Jl:x)

F curler series for Jl. xl

Fourier cosi ne series for f(x)

F ou rler sine series r or ft. x]

which should represent the antisymmetric extension of I(x):

g(x) = (f(X) (0 < x < L),

- J(-x) (-L < x < 0).

We say that we have expandedj'(z) into a Fourier sine series over the interval (0. L).

The three different trigon orne tric series for a given r unction are represented in Fig. 4.3.

Example. [(x) = x/2L + I.

The F ou rier (full range) coefficien ts are

J+L( )

1 x I h.x

an = L -L 2L +:2 cos L dx = 0,

f+L ~) n+l

b« ~ ! ~ +! sin n7fX dx = (- I) ,

L -L L 2 L nr-

00 = l,

and the Four ier series read s

I • ( ~ I )n+ I ~ "..- X -

g(x) = - + L. ~ sIn - .

2 RBit n..- L

..

•

I

, j

(n ~ In).

4.4

PARITY PROPERTIES. SINE AND COSINE SERIES

163

The Fourier sine (half-range) coefficients are

b = 211 ... (~ + !) sin 'Ilr~ dx = _!_ - 2 cos n..- ,

n L 0 2L 2 L n JI'"

and the Fourier sine series reads

Fi n ally, the F ou rie r cosi ne (hal f- ra n ge) coe ffi.cie n ts are

3

00 = ~,

2

ir~ ( )

2 x I n,.. x cos nr - I

a -= ~ ~ + ~ cos ~~ dx = -- ,

n L 0 2L 2 L n2 ... 2

and the Fou rier cosi ne series reads

All three series are shown in Fig. 4.4.

g(x)

ll(X)

Figure 4.4

The formulas for the Fourier sine and cosine series for "half the range" are related to the fact that the functions sin nx are orthogonal over the interval (0, .):

J: sin nx sin mx dx = 0 and the same is true for the functions cos nx:

In" cos nx cos mx dx = 0

(n ~ m),

• ..

4.5

COMPLEX FORM OF FOURIER SERIES

]65

164

FOUR1ER SERIES

However, they are not orthogonal to each other, namely, the integral 10" sin nx cos mx dx

We make use of two facts:

I. Yn satisfies the DE y!: + n2Yn = o. 2~ Yn is period ic: Yn (x + 21r) = '"(x).

In this case, the integration is front - 'Jr to +..-, and the statement

(y ~". - y:ny n)I:".- == 0

is made on the basis of periodicity .. The result; namely

is not necessari1y zero ..

There is a remarkable proof or the orthogonality of sines based on the knowledge or two facts:

1 .. The functions sin nx satisfy the DE v" + n2y = O. 2 .. The functions sin nx vanish at x = 0 and x = 1f.

The method is as follows: Write

..

In = sin nx,

•

Ym = sIn mx

(n ~ m).

f:" y".yn dx = 0

esta b 1 i shes, a t once, the three orth 0 gonal it y relations:

Then

1+:If · · d. 0

-I stn nx sin mx x ===

1+.-

_"I" cos n.x cos mx dx ::::: 0

r:

-2" si n nx cos mx dx =- 0

(n ~ In),

Multiply the first equation by Y.tU multiply the second one by Yn, subtract, and integrate from x = 0 to X = .,.:

f: <Yb ... - y~ .. ) dx + (n2 - m2) f y"y", dx = O.

In the fi rst in tegral, use j ntegration by parts:

f: Y:{Ym dx - J: y:.:,,, dx = Y~Y ... I: - fo" y!y';' dx

- y:ny"I'- + (~ y~~ dx = &nYm - y!,.rn) ...

o 10 0

(n ¢ m)~

(n F n,).

Observe, however, that the method employed does not prove the orthogonality of sin nx and cos nx, namely,

f+ ..

-11'" sin nx cos nx dx = 0,

wh ich must be estab I is hed separately r

Since Ym and y" vanish at x = 0 and x = ?r, it follows that this expression is zero. Therefore

4.5 COMPLEX FORM OF FOURIER SERIES

The Fourier expansion

Since n ~ m, it follows that

~ ( )

00 . nx x . n ... x

f(x) ~ 2 + L aK cos L + b.; Sin L

n %::: 1

(-L < x < L)

f: y".y .. dx = O.

A similar proof can be developed for (he cosines: The function cos nx has the following properties:

I~ It satisfies the DE v" + n2y = O.

2. Its derivative vanishes at x = 0 and x=:: 11'". The proof is essen tially the same except that now the expression

can be cast into complex form, Write

sin 117 X = _!_ ( i(n'J"%/ L) _ - i(h1fZ 11 ... )

t L 2; e e

I I f"-

(y;.ym - Ym.Yn)tO

and insert these expressions into the series, It is convenient to define

va nishes because the derivati yes y~ and y~ vanish.

Finally. consider a similar proof for both sines and cosines over-the interval (-r,. +r). Let}lft, denote either sin nx or cos nx ..

lean - ibn} (n > OJ, Cn = i(on + ib"J (If < O)~

;ao (n = 0) ..

1... -in. ..

_ ~ -inz d. _ I - e

en - 2 e X - 2 ·

... 0 "Ifni

0 (n = even), l
I
- 1
(n = odd).
+
r111
/ .... POINTWISE CONVERGENCE OF FOURlER SER.1ES

167

166

.FOURIER SERIES

Then the Fourier series can be written in its complex form:

-f-«! f(x) ~ E

Therefore

The convenience of this form is obvious.

From the formulas for an; and b,. follows the formula for c",:

en = (1/2L)f+L f(X)e-il ••• 1t) dx.

-L

Exercise. Deduce this statement by a detailed argument

Alternatively, the above formula may be derived by multiplying the series by e---.1tt-r;a:1 £} and integrating. The complex: exponentials are readily shown to be

orthogonal in the sense+ that

f+L ~111""._'£) _it •• %".IL) d { 0 (n ~ m)~

e e x =

~L 2L (n = m),.

and the formula for en follows ..

Remark; Although the Fourier series now appears in comp lex form" its sum f(x) is still assumed to be real. In this case the following properties are easily verified ~

J. co is real; C_II. = c: It

2 .. If f(x) is even, all c" are real,

3. If f(x) is odd, co = 0 and a II c -" are pu re imaginary.

Now consider the complex funct ions of the real variable x. They can also be expanded into Po urier series and the complex form or the series is now a natural one. The formula for c. does not change. but the above three properties of the coefficients no longer hold.

One may show, however, that

a) ir f(x) is even. then t'-1t = c~~ and

b) ir f(x) is odd, then c~. JIZI -c" (and C-o = 0).

Example. The function

4 .. 6 POINTWISE CONVERGENCE OF FOURIER SERIFS

Before Fou rier se des are ap plied to the solution 0 r ph ysical problems, it is desirable to know whether the Fourier series of a given function f(x) will actually converge to f{x) 4 Common examples seem to indicate that, as a rule, the Fourier series converges to

lU(x + 0) + f(x ~ 0)]

at all points inside the interval (-Lt +L)t and to

t[/(-L + 0) + f(L - 0)]

at the endpoints of the interval.

The determination of exact conditions under which this result can be expected has been a su bject or intense research for more than a century. A variety of sufficient conditions has been found. The two theorems given below are probably sufficient r or most physical application s ..

Figure 4.5

~ I

I(x) = {O ( ~ r < X < 0), t (0 < x < r)

Definition I. A function defined in a closed interval a < x < b is called piecewise continuous if the interval can be split into a finite number of subintervals such that in each subinterval (see Fig. 4+5)

a) {(x) is continuous,

b) [(x) possesses (finite) limits at the lert and tight ends of each subinterval.

Condition (b) means thal/(x, - 0) andf(xi + 0) exist for all i = I ~ 29 .. 4 • t nt and also thai f(a + 0) and f( b - 0) must exist ..

The function [(x) is called piecewise smooth ir it is piecewise continuous and its derivative f' (x) is piecewise co ntinuous in each su binterva t The function fix) is called piecewise very smooth if it is piecewise smooth, and its second derivative f"{x) is piecewise continuous [in each subinterval or continuity of f'(X)].

Dcfiniti on 2.. A r uneti 0 n deft ned ina closed in te rva 1 a ::::; x ~ b j s said to sa t i sf y the D i r ich le I condit ions i r

a) I(x) is piecewise continuous, and

b} the interval (at b) can be split into a finite If umber of subintervals where f(x) is monotone.

can be represented by a complex Fourier series, We calculate Co = _!_ l' dx = _!_ ,

2 .. 0 2

t For complex functions, orthogonality is defined by f f~(:x)f: (x) dx. = 0 (m #- n) (See Section 9.4)4

168

FOURIER SERIES

4.7

4.7

CONVERGENCE IN THE MEAN

169

Theorem 1. If !(x) is piecewise very smooth in the interval (- L, +L)t then its F au rier series con verges to

llf(x - 0) + f(x + 0)] l[f(-L + 0) + I(L - 0)]

(~L < x < +L), (x = ±L)~

It is common practice to describe the precision of the measurements by the mean square deviation d2:

n

d2 ~ (lin) L [Xi - (X)]2

i=l

The convergence is uniform in any closed subinterval where f(x) is continuous.

Theorem 2t The statement or Theorem 1 holds if instead of being a piecewise very smooth function, f(x) satisfies the Dirichlet conditions for -L < x < L.

The proof of Theorem I is much easier than that or Theorem 2. Both can be

round in treatises on Fourier series and many other textbooks.

Remark. Theorems 1 and 2 do not, by any mean s, exhau st the theory of Fourier se rjes, This may be appreciated by the following exam ple .

EIample. The function

(or, equivalently, by the root mean square deviation d) ..

This idea can be applied to the problem: How well does a given set of measurements fit a given theoretical curve? For instance, the set of measurements shown in Fig. 4.6 seems to confirm the linear relationship shown by the straight line. But how good is the fi l?

A common procedure is to calculate y the deviations between the actual values Yi of the measurements, and the theoretical predictions Pi (from the equation of the straight line J't = mx; + b), and to form the mean square deviation

(~r < x < 1t)

n.

D = (lin) E (Yi - )J .. J2t

i=O

"0

y~

f(x) = log (cos ;)

;-~--~~--~--~--~--~~. X

Xu XI X2

Most of the difficulties in the theory or Fourier series can be traced to the con ... cept of pointwise convergence. There are, however, other types of convergence, like convergence in the mean which is, perhaps, better suited for physical

a pp 1 ica lions.

which then serves as t he mea sure or the Flguce 4.6

precision or the fit.

Conversely, if the theoretical relationship is not known, one may construct one on the basis of the measurements .. A common method is to choose the parameters m and b in the equation y ~ mx + b in such a manner that D is minimized. This is known as the method of least squares in the theory of measurements and the idea can be extended to the fitting of two functions, both or which are defined for al1 points within a certain interval,

If the measurements y~. were taken at equal intervals .6x~ then Ax ~ n = L, where L = Xn - Xo is the length of the interval. In this case

possesses t he Fourier series

~ (_I)it

g(x) == -log 2 ~ L. cos nx.

,..-::::a:l n

For all values of x such that -1r < x < "'1 the series unlformly converges to f(x) in any interval XI < X ~ X2 with XJ > -,...~ X2 < 1r. It diverges for x ~ ±r: It may be sa id to a pproac h I: 'rn in us infi n it y t t as x _, ± 'ft" t but so does I(x) r E viden t ly the Fo urie r series represent s f( x) ina most r a i thf u 1 manne r, a nd yet f(x) is ne i t he r piecewise very smooth nor does it satisry the Dirichlet conditions.

n

D = (IlL) L (Yi - Yi)2 Ax.

i=O

As n is now increased, the sum assumes, more and more the appearance or an integral. It seems logical, then, to measure the "extent or fit" or two functions y(x) and Y(x) by the integral D = (1/ L) f! [vex) - Y(X)]2 dx (L == Ib - aU.

lf one or the functions, say y(x)~ has a number or undetermined parameters, then one may determine these parameters by requiring that D be minimized. Note that if (he interval a < x < b is fixed, the factor IlL is irrelevant.

Definition. The integral

4.7 CONVERGENCE IN THE MEAN

When a certain fixed quantity x is being measured, then a set or n (equivalent) rneasu remen ts yields n values

~

which are, in general, different. The best estimate of x is then taken to be the

average:

n

{.x} ~ (lin) :E Xir

t:z:::e 1

Lb [j{x) - g(X)]2 dx

for two functions I(x) and g(x) defined over the interval a < x < b is called the totat square deviation or f(x} and g(x)~

170

FOURIER SERIfS

4.7

4.7

CONVERGENCE IN THE M£AN

171

This concept will be applied to trigonometric series. Let us suppose that a piecewise continuous function f(x) is given in the interval -- r < X < r; and that I(x) is to be approximated by a trigonometric polynomial

Now substitute these optimal values (denoting them as at and bi) of the coefficients into the expression r or D" to obtain I he min imum total square deviation:

,..

gn(x) = Ao/2 + L, (Ai COS kx + Bt sin kx),

i-I .

Since D" cannot be negative, the following inequality holds:

where the coefficients AI: (k = Ot It .. 4 .. ~ n) and B .. (k = It' 2, 3~ .... t' n) are undetermined.

Let us define Ai and B1 by requiring that the total square deviation

D ... = L:" [((x) - gn(x}t'dx

be mini mized. Straightforward calcul ation yields

D" = f:tr Ulx)]z dx + (A~t'/2 _ Ao L:tr f(x) dX}

+ i: {.A: ~ 2AtJ+r f(x) cos kx dX)

k-I ~~

+ i: { ... BI ~ 2Bij+r I(x) sin kx dx} .

l~t ~

n 1+~

a~/2 + t:. (6: + bh < (l/r) -tr (f(x)]2 dx.

This holds for any n. Let n ---+ 00 (tra nSI lion to the F ou rier series). The sequence on the left is bou nded (by the integral on the right) and is monotone nondecrea si ng. The re f 0 re~ it possesses ali mi t an d this Ii mit satisfies the i neq ual i ty

Exercise 4 Using the orthogonality relations, give all the deta its lead inK to this r onnu la, The whole expression is minimized ir each term in { } is minimized. For instance, the quantity

known as Besset s inequality.

In the spirit of this approach, the Fourier series of a function f(x) is considered to be a satisfactory representation of J(x) provided the total square devia ti on approaches ze ro :

lim [D"]mih = O.

"---to'»

(k = It 2t 4 •• , n)

In gene ral, a sequence or function s (f~(x)} is said to converge in the mean to a function f(x) if

31: = ..-.4: - 2AI: 1+: I(x) cos kx dx has an extremum ir

I

Note that/ex) is not unique since the "removal or one point" will not change the value of the integral

If the Fourier series of a certain function fix) converges in the mean to f(x)J t hen Bessel 's ineq uality becomes

.. 1+'-

a~/2 + k~ (a: + bh !t= (l/ ... ) -r [f{X}]2 dx,

ds 1+·

dA.1: = 2 ... .41: - 2 f(x) cos kx dx = 0,

i -~

or

; A.:!!!! f+" Jtx) cos kx dx

-r -Jf

(k ::;::: I, 2, ... 4 , n).

This extremum is a minimum since d2IJkldAl = 211" >. O. In this fashion we also

obtain .

Bit = -«: f(x) sin kx dx Ao = (I/r) t: f(x) dx.

It is seen that the total square deviation is minimized ir Ak and B. ale chosen as the Fourier coefficients of the function [(x) 4

(k = 1, 2, . . .. J n),

and is known as Parseoal's equation ..

The fundamental question or the theory of Fourier series now becomes, i 'For wh at class of functions does the Fou rier series converge in the mean (to its r u net ion)? ~"

Remark, Whenever Parseval's equation holds for a certain class of (unctions" then the set or sines and cosi nes,

{sin nx, cos nxl

172

FOUR fER SERIES

4.8

APrllCATIONS OF FOURIER SERIES

173

is called complete with respect 10 that class or functions and Parseval's equation is usually referred to as the completeness retatton. Then t he above question may be restated as "~or what class or r~nctions is the set {sin IIX, cos nx} complete?" The rollowing theorem gives at least apart 13 l answe r to this question r

Under steady-state conditions the function l(t) is also periodic, with the same period T as for E(t). Let us assume that E(t) and /(/) possess Fourier expansions

(written in their complex form):

n=-~

+-

1(1) == E cneinw!

n=-OD

(w = 2r/T).

neorem~ The system {sin nX1 cos nx} is complete with respect to all piecewise continuous [unctions in the interval ~ ... < x < 'Jr.

- -

+1<10

E(t) = L s;«:",

Observe that the conditions are weaker than those demanded by Theorems I and 2 [or pointwise convergence, The proof of this theorem can he found in a variety of textbooks."

Furthermore, let" us assume that the series can be differentiated term by term the

necessa ry n U In ber of ti rues ~ r "

Remarks -

I. I n some texts the term "complete 1 tal ready impl ies compte te with re spec t to all piece, wise continuous functions.

2. The conditions of the theorem are su ffie ient but not necessary. For instan ce, f(x) :;: log [cos (x/2)] does not fan into the above class,

3. Pointw ise convergence does not imply convergence in the mean. The former means

n=-~

dE

Jim ffl(x) ~ f(x)

.,..--+~

(a < x .$ b)~

Substitute into the DE and equate the coefficients with the same exponential ein(o,!~ on both sides (on the basis or the orthogonality property). Then

(-n2w2L + inwR + IjC)c1t == ilfWEn •

Therefore

1.&0 2

lim [f(x) - hex)] dx = o~

J:I.--+OO ..

_ ~_ ;(nw/L) E

en. ~ 2 2:"2 711

(wo - n w ) + 2aNW;

where w~ = 1/eL is the natural frequency of the circuit, and 2a === R/L is the attenuation (actor or the circuit. Thus the problem is essentially solved, since the Fourier coefficients for /(1) are obtained in terms or the Fourier coefficients for

E(/) which read

En ~ (1 IT)! + T /2 E(t)e -1"IWi dt.

-T/2

Remark, In the course of determining the solut ion, the lerm-by-lerm differentiation was ass til ned to be valid .. If the series for E' and I" converge uniformly, the validity of such a procedu re is gu a ra n teed. However, it is poss ible to relax this. require ment and to demonstrate the validity of the result under much weaker conditions. In particular, the result can be shown to be valid provided the Fourier series for E(t) exists, regardless of the

un i r 0 rm con ve rgence 0 r t he series for the derivat i ve.

Example 2. A simply supported beam is shown in Fig. 4 .. 8; note the direction or the j-axis, which was chosen to make y(x) positive. It is uniformly loaded by a load q per unit length. The deflection y(x) of the beam is sought, The function

y(x) is known to satisfy" the DE

tty 1

dx4 ~ £1 q(x),

•

and the latter mea ns

I r the processes of integration and II C ta kin g t he lim it" were interchangea ble, then !he second statement would follow from the first. Un fortun ately, they are not always Interchangeable ..

4.8 APPLICATIONS OF FOURIER SERIES

Fourier series can be applied to a n extremely wide variety of physical problems. As an introduction we shall confine ourselves to the fell owi ng examples,

Example 1. The electr ica I circuit shown in Fi g. 4.7 is L

driven by a variable elect romotive r orce E( I) wh ich is periodic (but not necessar i1y sin usoidal). The response

of the system, namely the current I(t), is to be found. C R

The function l(t) is known to satisfy the differential equation

£(1)

•

FIgure 4.7

~----

• See, e.g., Salvadori and Schwartz, Diffttent;(II Equations in Enginf!t!ring Problems, Section 2~ 1 O.

• For example, Tolstov, Fourier Series, Section 5.2; Kaplan Advanced Calculus Sec-

tion 7.12. ~ t

174

rou IUER. SERIfS

4.8

_.-

y

F1pre 4.8

where q(x) is the load per unit length at point x (in our case q = canst) and 1/ El is the rigidity of the beam ..

Since the function y(x) must vanish at the points x = 0 and x = L, it may be conveniently expanded into a Fourier si ne series

Assuruin g the validity or the fourf old term - by-term differen tiation, obtain

~y(x) ~ (n1r). b · n ... x

- ~ - nSln~+

dx" "-I L L

Also expand q(x) = q = const into the Fourier sine series

QD

~ .. nrx

q = LJ q. SIR ~ ~

"'=0<1 L

where

2 {l~ . n..-x 4q (n = odd)

qtt. = L} 0 q sin .. L dx = n'l'" •

o (n ~ even)

Substitute both series into the DE and equate the coeffic ien ts {on the basis or orth ogonality or sin (nrx/ L). This yields

4qL4 I

I L' (n == odd)

b; = £1 n ........ qn = EI .. 5 n5

o

(n.~ even)

so that

4qL 4- ~ I. nxx

.v(xl = L..J - sin ~ ·

Elrs n5 L

ft.:!!!II: 1.3.5 •...

~

J

One practical advantage of this form for y( x) is the rapid con ve rgence or the series

(due to the firth power or n in the denominator). For x = L/2 (maximum deflection) the second ter m j n the series represents only 1'/35~ 0.004] 2 !::::! 0 .. 4% of the leading term ..

•

+

PROBLEMS

PROBLEMS

17S

Remark, Sin ce t he series for q(x) {A nd ~ theref ore t r or ttt y / d. x 1] is not un if ormly con ve r ~ gent, I he va I id it y of the procedure remains in doubt. However ~ it rna y be just ified most easi I y by means of I he theory 0 r dist ribut ion s (see Cha pter 6)~

BIBLIOGRAPHY

CHURCHILL, R. V., Fourier Series and Boundary-Value Problems, New York: McGrawnm Book ce., 194L

ROOOS1N5KI,. W.. R~, Fourier Series, New York: Chelsea Publish ing Co., 1959 ~

SA LVADORJ,. M. G., and R. J. ScHWARTZ, Differential Equations in Engin~t!' ing Problems, Englewood CI iff s, New Jersey: Prent ice- Hall, Inc. t 1954.

SNElJOON, I. N~, Fourier Series, Glenco, Illinois: The Free Press, 196].

T otSTOV ~ G. P rt Fourier Series t Englewood a iffs" New Jersey: Prent ice-Hall" Inc., 1962.

1+ a) Prove that if I(x) is even and possesses the property I(x + L) = - f(x)~ then its F ou rier series in (~L,. + L) has only cosine terms of odd order and the (01- lowing formula holds:

4 fLI2 (2m + l)rx

Q21n.+l = L Jo f(x) cos L dx

b) What is the condition that has to be imposed on f{x) to ensure that its Four it r ser ies in (- L~ + L) has only even -order cosine terms ?

c) Establ is h 8 theorem simi la r to (a) r 0 r odd r unctions.

(n1 = 0. 1,2, .... ).

2. Show that if a function !(x) vanishes at x = 0 and its derivative /'(x) vanishes at x =- L, then it can be represented in the range 0 < x < L by a sine series

to

lex) = L s, sin (n1ix/2L)

;lit -1.3.5 ....

conta_.ining only odd te rrns,

•

J.. 8) Show that the sawtooth [unction (Fig. 4r9) has the Fourier series

a ~ .. 2-.nl

f( I) = ~ - a L.i b« s. n ,

2 :111-=1 T

and develop the formula for b.;

it')

·f

a

* "fIot

Figure 4.9

-3T ~2T -T T

(- 11" < X < 1r)~

PROBLEMS

177

176

FOURIER SERIES

b) Make a precise plot of the partial sums

10+ Show that the function

N

.a ~ ,,2rnt

tJ'N(t) =:=. - - a L.., b« SJn ,

2 ft-l T

{I ~ x/21t (0 < x· < 211),

.(x) = 0 (2h < x < 2.,..-)

for N = I, 2t 3 in the interval (O~ T).. Superim pose all three graphs on a pia l of f(t) to illustrate the process or convergence of the Fouder series.

4. Develop the Fourier series in the interval (0., n for the rollowing triangular waL"e~~

ca n be re presen ted on the i nterva 1 (0, 1r) by the Fourier cos ine series

2h [1 ~ (Sin nh)2 ]

/(x) ~ -;- 2 + ~l nla cos nx ·

t ~ (2aIIT (0 < t < T/2)~

f( ) - 2a(1 - tiT) (T12 < t < T)~

W ha t is the corres po nd i ng Fa urier sine ser ies r or the same in te rva I ?

11 T The Fourier series can be employed to evaluate certain important sums. For instance:

a) Esta bl ish that

-

5. An aI terna t ing cu trent i( t) = A sin c.) t has been passed th rou gh

a) a haq:wave rect iller t wh ic h t ransm its: the cu rren t when it is flow in g in t he pas it i ve . direction 0 n ly, and

b) 8 full-wave reel i tier, w hie h transmi Is the (insta nta neou s) a bso lu te vat ue 0 r the current,

Show t ha t in t he first case, the ou t put cu rren t is

-r~X ~t

flex) = = ,l...i - sin nx~

2 .-tll

b) Integrate both sides and evaluate the constant or integration to obtain the funci ion j2(X) such that

cos (n + I)w(

,

n(n + 2)

I:(J

f2(X) == L (cos nx/,,2)~

;r;Ii-l

and in the second case t it is

Can you justiry the validity of term-by .. term integration 1

c) Set x = 0, and show that E:== 1 (1/,,2) = ,..2/6 .. ,

d) Deve lop th is ~dea r u rt her to esta bl ish the result

2A _ 4A t co:; nwl

.,... -r Ill! =<2.4 .()~ ... n2 - I

at:!

"" f <I

L.J (lin ) ~ r /90.

n:c:a: 1

6. By expandi ng I(x) = cosh ax into a Fourie r series, So how that

h sinh all" + 2a sinh ar ~ (~ 1 )~

cos ax = L.J cos nx

Q1f 'JI'" ~ -1 n2 + 02

e) Verify your result in (d) by means of Pa rseval" s equa t ion a ppl ied to the r unct ion f2(X) obtained in (b)~

] 2. A dam ped harmon ic osc ilia tor under the i nHuence of an external periodic r orce f( r) obeys the d i ffe ren (ia 1 equ 8 t ion

7.. Expand J-(x) = cos k x + where k is not an integer ~ into a Fourier series ln the interval (-lr, +1r)~

8 .. Show that

"nh· nrs x 2 ~ (-1)~b2n "h mxa . n..-x

51 = - ~ sin sIn ~

. b ,..- ~-l b2nZ + a2n,2 b a

(-'I' < x < .... ,.

Assuming a steady-state solution, solve the problem by the Fourier series method. J n P1I rt tenia r, develop the ex pi ic it series r or x (1) if f(x) is. t he tria n gu 13 r wave 0 r

f

Problem 4 above.

13~ A simply supported beam like that shown in Fig. 4.8 is loaded by a variable load (per unit length) q(x) ~ (a/L)x.

a) Show that the deflection is given by

4: tel ( 1)"11.+1

() 2o.L ~ ~ • Itt X

Y X = ~- L.J Sin ~ ..

~4Elft=1 n5 L

9. Expand the function

f(r) = {~

(0 ~ I < h) } (h < I < 2,..-)

({, = const)

I I

in (0 a com p lex Fo u r ier ser ies in (0 t 211'-)~ .1 a vi ng done l h iS1 con vert the se t ies into

real form and show that

II 1 ~ Il ~ I··. ]

/(/) = -2 + - L..J - sin n(h - r) + - SIR nt "

• 'lr ft:cllE"l n n

b) Solve the problem in closed form (integrating the DE) and show that the error rOT the deflectjcn at the midpoint is only 0.387%, provided only the first Fourier

term is used .

•

,

J

CHAPTER 5

178 FOURIER SERIES

144 A periodic (but not harmonic) electromotive force

E(/) ~ (EQ(t + 4t/D (-TI2 < t < 0), Eo(1 - 41fT) (0 < t < T12)

[with E(I + T) = E(/») is applied to the LRC -circuit in Fig. 4 .. 7.

a) Develop the solution for the current l(t) in the following Fourier Series form:

THE LAPLACE TRANSFORMATION

•

1(1) = co + E eft. sin (nt.ll + q,lI)~

11-1

where w = 2 ... /T; note the use of sine r unctions.

b) Let R = 1.60, L = 6435 mh, c ~ 4 pf9 Eo = 12 V~ and T ~ .5 X 10-3 sec.

Prepare your expressions fo r elf: and tan.p" for rapid numerical calculation, and calculate CII and tan.1t up to n ;;;;;:; IJ.

c) Explain the physical reason why the amplitude C5 dominates all the others ..

Comment on the behavior of .".

5.1 OPERATIONAL CALCULUS The relationship

d

dx F(x) = fix)

ca n be descri bed by the r ollowin g state men t: A cer lain operation, called diff erentiation and denoted by djdx is to be performed on the function F(x); the result or this operation is another function, {(x). To emphasize the treatment of d/dx as an operator, it is denoted by DL

After the ru les,

D x.,., ~ nx" ~ 1 ,

(A, B = const),

are established, one can obtain a derivative of an arbitrary polynomial, In this approach no reference is made to any infinitesim als or t imits and the calculation of derivatives is done by formal manipulations ..

It has been suggested, notably by Heaviside, that the operator D can be treated in many respects like an ordinary number. Consider the following example: A particular integral or the DE r" - 3y' + 2y -= x2 is sought. The equation is rewritten in operational form as

The quadratic expression in D is factorized,

(D - 1)(D ~ 2}y = x2, and the equation is "divided" by (D - l)(D ~ 2)=

y = (D - J)(D ~ 2) .

Furthermore, the right-hand side of the equation is split into rational fractions,

x2

y= -- 11

D-2 D-I

179

]80

THE LAPLACE TRANSFORMATION

5.2

5.2

TilE LAPLACE INTEGRAL

181

and the factors lj(D - 2) and I/{D ~ I) are "expanded": t

Examples

D-2~

I

~~- - ~ 1 ~ D - D2 ~ n3 - .. · ·

I - D '

I 1

- 2 I -- D/2 =

l. /(1) ~ t,

F(s) = 10"" «:" at = I/s2 (Re s > 0).

~---

D~I I

I D n2 D3

............. _--------_ ....

2 4 8 l6 ·

_x2 - 2x - 2

:!I

Observe that if s is complex and s = a + k», then F(.f) = 10"" te-"re-i~t at

= 10'" te ...... , cos wi dl - i 10m te -"' sin wI dt.

Both integrals converge if ". > 0 and diverge if fT < 0.. For (T > 0, the actual evaluation is conveniently done in the complex form (using integration by parts).

The function x2 is operated upon by these "operational series":

2. f(t) = I,

F(s) = (' «:" dt = lIs (Re s > 0),

Using integration by parts and induction,

The remarka hie result or these liberties taken with the operation of obtaining the derivative is that the function y(x) = ix 2 + Ix + t is indeed a particular integral of r' - 3y' + 2y = x2, as can be verified by substitution. It is not djfficult to find many other examples where such an astonishing procedure will work. On the other hand, it is eviden t ly meaningless as a general theory of differential calculus.

It has been found that the operations employed above are closely related to the properties of the so-called Laplace integral,

10'" e-''''f(x) dx,

and the theory of this integral rna y provide a basis for t be understand i ng of operation a l calculus.

3 .. f(t) = tft (n ~ integer),

Using the definition of gamma function,

4. [(I) = t~ (a > - I)~

F(s) = r(~t. I) (Re s > 0).

5. f(l) = «'.

1

F(s) = -;-=-0 (Re s > a),

k

F(s) ~ 52 + k 2 (Re s > 0),

6. fit) = sin kt,

7. [(I) = cos kIt

S

F(.i) ~ S2 + k2 (Re.5' > O)~

F(s) = /0'" e-·'f(t) dt is known as the Laplace transform of f(t). Symbolically,

From these examples, it is evident that the Laplace integral converges, as a rule, for a restricted region of s (in the complex s-plane), It is a general feature of the Laplace integral that this region can be characterized by Re s > 0, where a is some real constant. In other words, the Laplace" integral converges to the right of some vertical line in the s .. plane (Fig .. 541) ..

5 .. 2 THE LAPLACE INTEGRAL

1f a function f(t) is defined in the region 0 < t < 00 t where t and /(1) are real, then the function F(s), defined by the Laplace integral

(s = complex),

Line of convergence

Figure 5.1

•

,

emphasizing the point of view that F(s) is a result of a certain operation (as defined above) performed on a function !(!)4

F(s) == £ {f(t}} t

Region of divergence

Remark. In many appl ications the variable s may be restricted to real values, However, it is convenient to work with the general case of complex s.

•

. - .... ~

]82

TBE LAPLACE TRANSFORMATION

5.2

TIlE LAPLACE INTEGRAL

183

or cour~t there are functions for which the laplace integral diverges for all vaIu~s of s; In other w?[ds, th~ runctio2S ~o not possess a Laplace transform, For Instance, /(I) = e: The Integral fo e' ~tlt dt diverges for all (complex) .t Thus the first problem In the theory or Laplace transforms is to determine the class or functions and the values of s for which the transform exists.

Definition 1. A function defined on the (infinite) interval a < t < 00 is called piecewise continuous on (a~ 00) if for every finite interval a < t < b the function has a finite number of discontinuities such that at e-;ch dis'll continuity t = to the limits f(lo + 0) and /(to ~ 0) exist.

Remark: .!his is ~n extension of the definition of piecewise continuity in the finite interval employed In Section 4.6.

Definition 1.. A r unction f( t ), defi ned on the interval a < t < 00 J is said to be of exponential order a 0 jr

since the terms in the sum cancel by pairs, The bound M /«(1" - ((0) is independent of R. Therefore, the function G R(S) is bounded as R ~ 00. Since it is monotone nondecreasing (a nonnegative integrand), it must approach a limit:

I

!i~ Gn(S) = !i_~ foR 1e-·'f(I)1 dl

= /o"le-"'f(t)1 dl = G(.f).

The existence of G(s) implies absolute convergence of the Laplace integral and, therefore, the existence of the Laplace transform

.c{f( I)} = (' e -"J( I) dt

(Re s > 0"0).

The uniform convergence for Re s > tTt (with fIt > uo) is established by the Weierstrass M-test for the integrals:

(for all R).

where M is a (real positive) constant. In plain terms, /(/) does not increase faster tha n ~o~ (for some c:r 0) as t ~ 00 ~

Existence Iheorem. If /(/) is piecewise continuous for 0 < 1 < 00 and is

of exponential order (To, then the Laplace integral ~

F(s) = £{f(I)} = 10'" e-otf(t} dt

converges for Re s > (T o- Moreover, the integral is absolutely and uniformly convergent for Re s > (T 1 (u t ~ real), where a J > U o ..

Proof Let s = U + iw and consider

G n{s) = loR e~.-tlfit)1 dl = foR 1e-·lllf(I)1 dt.

Observe that the Laplace integral is convergent in the open region Re s > (.f o~ but uniformly convergent in the closed region Re ~f ;:: U I (where at > 0'" u)+

Remark r The property of piecew ise cont in uity ensu res the ex istence of n n i te in tegra 1 s (extens ions are pass ible); the property of ex ponen tia I 0 rde r en su res the con ve rgence at infinity.

The conditions on /(1) prescribed in the existence theorem are sufficient but not necessary. There exist functions which are not of exponential order but, nevert he less, possess l he La place t ra n s r 0 r m, r or exa m ple,

2 J

/(I) = 2te~ cos ef •

This function is not of exponential order because e('2 > M~i [or sufficiently large 1~ no matter how large M and a may her However, the Laplace integral

There is a finite number of discontinuities (say, m) within 0 < t < R; denote

them by tIt '2, ... , tm,~ and, furthermore, let to = 0 .. Then __.

ORb) i'lR ('-~tl/(t)1 tit = f 1';+1 ('-'-'1/(1)1 dt + (R «: ... tlf(I)I tit

o .=0 I.: it.

s f: M['i+1 (,-C<I"-"Dli tit + M I" e-(v-croH dt

I:=:O t. Jt~

us ing Def nit io n 2. Integra ti on yie Ids

does exist for Re s > o. Indeed, integrating by parts, we have

•

I

J.-tIO "2 2" t'2 j - fa) I 2

o e-a'2Ie' cos e' = e-" sin e 0 + s 10 «:' sin e' dt

= - sin I + s fo'''' e-d sin e'~ tit.

Since [sin e"l is bounded the last integral exists for Re s > o~ Therefore J(t) possesses a Laplace tra nsf orrn.

Jt is fair to say, however, that functions like this are extremely unlikely to appear in physical problems .

•

. •

BASIC PROPERTIES OF LAPLACE TRANSFORM

185

184

THE LAPLAC6 TRANSFORMATION

5.3

5~ BASIC PROPERTIES OF Lt\PLACE TRANSFORM

The fundamental feature or the Laplace transform, implied by the very nature or the Laplace integral, is that two functions which are identical in the range o :5 t < 00 but different otherwise have the same Laplace transform ..

For instance, the step r unction

Original f(t) [or 1<0

Set) == {O o < O)~ 1 (I > 0)

Figure 5.3

has the Laplace transform

multiplied by «:". The reference to "chopping" is then avoided ir the above formula is rewritten in the form

.c{S(I)} = 10'" e-d dt ~ l/s (Res> O)J

which is identical with the Laplace transform of the function /(/) = 1 (all J).

. In general, the two functions (see Fig. 5 .. 2) fl(/) = f(t) and 12(1) = f(t)S(t) Will possess the same Laplace transform.

~ {f(1 - a)S( t ~ a)} = e~lI~ £ (/{I )S(t)}

(a > 0).

It is worthwhile to emphasize the condition a > O. The shirting property does not hold for a < Or Whether or not the function /(t) is "chopped," if it is translated to .the left, the new transform bears, in general, no relationship to

the original one.

Armed with the knowledge or shirting property and observing that

.£{I} .::: l/s~

(Re s > a),

it seems logical to inquire whether an analogous property will exist if J(I} is multiplied by an exponential function, Indeed,

.c{e-"'J(t)} = 10'" e-"e-4'j(') dt = 10'" e-~'+~Jlf(t) dt.

Remark 4 A si mila r s ituat ion occn rs in Fourier series : Two funct ions, f I (x) and f 2 (x) wh ic hare ident lea lin the inte rva I ~ 1t < X < ..- but di fferent ot herw ise wi II possess: t ~ same Fourier series (of period 2.). _

. As a matter or fact, if a certain function f(r) has Laplace transform F(s), it IS more convenient to treat F( s) as the La place tra nsf 0 rrn of f( t )S( I) rather than of /(t). The reason for this may become clear from the following example:

Suppose that the function f(/)S(r) is "shifted" by a length a 10 the right (Fig. 5.3). The Laplace transform of /(t ~ a)S(1 ~ a) is

£{f(/ - a}S(t - a)} = f' e-·I/(I - a)S(1 - a) dt (a > 0).

We make a change of variable, t = T + a, and obtain

f' e-·fJ(t - o)S(1 - a) dt = fo'" e~·c"'+O)f(r )S(r) dr = e-u /0" e-·'f(T)S(T) dr,

Setting s + a ~ r, we obtain

In'" e-Ct+a)I/(,) dt = F(r) = F{s + a)

so that

.e {e-aef(t}} = F(s + o},

where F(s) = .e{f(t)}. This result may be called the attenuation property (or the su~stitUlion property): U f(t) is "attenuated" by the exponential factor e-4', then the transform is shifted (LO the leftl) with respect to the variable s. Observe that the attenuation property is valid whether a is positive or negative. However" the transform usually has a different region of existence (as Re s > a for 1/(J - a)

versus Re s > 0 for t/sJ

Remark: The te rm II II at ten ua t ion,' borrowed r rom elect r tea i engineering, ord ina r ily mean s multiplication by e-''', where a > O. This is the calli! in most practical applicatio~s, ~nd t heref ore the name at tenua tion proper ty is more descri ptive t ha n the na me subs t ,I uti on

property, implying that s + a is substituted for s.

The most important property or the Laplace transform is, perhaps, the simple relationship between .e {J(t») and .e (j(t)}. Suppose that f(') is continuous,

or

£{/(I - o)S(t - a)} == e-(l8£ {f(t)}

(a > O)~

t

This relation js One" called .the shi/titrg property (or the .translation property): If a function J(t) is "chopped" by multiplication by S(f) and the resulting function f(t)S(t) is translated to the right by an amount Q, then the Laplace transform is

•

.' £{r} = I/(s - I),

and

.c{e~} = 1/(3 + I).

5.4

Tli £ INVER SION P R om, Et.f

JR7

186

THE LAPLACI3 TRANSFORMATION

and in tegrate the Lap1 ace integral by parts:

10'" e-·'f(t) d, "" - (l/s)e-dJ(t)l: + tIs fo'" e-dp(t) dl

This formula is valid" of course, provided /1(/) is continuous (and I. /1, and I"

have a Laplace transform), ~

The general formula for the 11th derivative, established by induction, reads

or

n

.c U<Jt)(t)} = sn .e {!(t)} ~ :E .,,1-] I' n -t)(O)~

k=l

s 10'" e-'f(t) dt = f{O) + 10" e-df'(t) dt.

Assuming that £ (f'{t)} exists, this may be written as

where/(m)(t) is the mth derivative of /(/) andf(ml(O) is its value at I = o.

£(!'(t)} ~ s.eU(t)} ~ /(0)

5.4 THE INVERSION PROBLEM

The example or the preceding section involving a DE provides a blueprint for the use of the laplace transform in solving similar problems: The relation satisfied by the unknown function {(I) is subjected to the Laplace transform, The result is a relation satisfied by F(s) = £ {f(t)} . From this relation F(s) can (in principle) be determined. The third step is to find the unknown function 1(/) from its Laplace transform F(s). This last problem involves performing the so-called inverse Laplace transformation ..

and is known as the derivative property ..

Remark. Integration by parts is not permissible un less Itt) is continuous. On the other hand~F(t) may be piecewise continuous. For an extension of this formula when f(t) is piecewise contjnuous, see Section S .1.

The derivative property forms the basis for most applications or the Laplace tran sforrn and sheds light on H ea viside 's operationa I ca leu Ius.

E:s: am pie .. A particular integral of the DE y' - Y = e-X is sought.

Multiply the equation by e-SZ and integrate from 0 to 00 .. Let

£{v(x)} = Y(s).

I
Relation satisfied by At) lIo. Relation satisfied = fl..!')
.:.~ (like .• DE) .. :, Step I: T ra nsf otnl~ .' . (hopeCul1y lim ).
i ,
• Then, employing the derivative property, deduce

(Di reet sorut ion d i IHcu It) f

Step 1: So lve for F( s).

t

[sY(s) - yeO)] - Yes) = 1/(s + I).

J
. : .. : ...
.. -
... .. - ! :
f(t) is. round Jtil... F(J') I. found
.. Step 3: Invert. Suppose that y(O) = o. Ir an arbitrary particular integral is sought, (his choice is just a matter of convenience. Then (s ~ I) Yes) = I/(s + 1), and

Figure SA

I

Y(s) ~ (s + l)(s - t)

1 lIt

- - .

2s-1 2s+1

The entire idea is very conven ien t1 y expressed in the f 0 I lowing "flow d i agra m" (Fig. 5 ~4).. The first step in th is scheme is straightforward: Laplace in tegra ls have to be evaluated. The second step, finding F(s)t should be rather simple (if it is not, then there is little point in using the Laplace transform at all). The third step is, perhaps, the most difficult one and a var iety or method s is used to perf orm it,

The inversion problem is greatly facilitated by the fact that the Laplace transformation represents a linear operation, that is, it has the following two fundamen fa I properties:

a) £{af(t)} = as: {f(t)} (a == const),

b) £{!t(t) + f2"(t)} = £{!l(t)} + £{f2(~)}.

These two properties stem from the fact that the operator £ which transforms f(t) into F(s) is an integral operator+

It is known from the preceding examples that

}

It follows that Y(s) is the Laplace transform of the function ,(x) = j-ea: - !e-%, which is, indeed t a particular integral or the given DE.

It is not difficult now to derive a formula for the Laplace transform of the second derivative and, for that matter 1: of the derivative of any order. Replace

- ~

f( t) by 1'(1) and /'(1) by 1"(1) in the deri vati ve property and obtain I

01""

£if'(t}} = s£{f'(t)} - /'(0) . £{rJ(t)} = s2E{f(t)} - s/(O) - /'(0).

• Properties (a) and (b) are general propert ies of inlegrals~

..

t

TIlE RATIONAL· FRACTION DECOMPOSITION

189

188

THE LAPLACE TRANSFORMATION

and

~

From a certain point or view, e.g., a physicist's, functions like 12(/) are "ab-

normal" and should not be taken into consideration. Then, perhaps, 11(/) can be regarded as the inverse transform of F(.r) = 1/ s,

To put this idea on a firm basis, various theorems have been proposed. For instance; it can be shown * tha t if we conf ne ourselves to (real) r unctions which are

a) piecewise contin UODS and piecew i se smooth (i .e., have a piecewise co nt inuous derivative) on (Ot co ),

b) of e xponen tial order,

c) defined by l[f(xo + 0) + f(xo - 0)] at each jump discontinuity xo,

then two such f unct ions possessi ng the sa me Laplace transform F(s) must be id en tical. In other words, the inverse transform is unique within the class or such functions. This theorem is adequate for a great majority of physical problems.

Bearing this in mind, we expect that if a transform F(s) can be split into two parts;

then it can be in verted term by term, writing

where

Symbolically t this is written as

where the inverse operator £-1 transforms the function F(s) into the corresponding function f(t). Similarly, we expect that

(a = coast),

S~ THE RATIONAL FRACTION DECOMPOSITION

In a large number of practical problems, the function F(s) to be "inverted"] is a rational function or s. In this case, a very genera] and efficient method can be developed for the solution or the problem, as illustrated below by a series of examples.

Example 1. Findf(t) if F(.'i) ~ 1/(52 - 5s + 6)~

These relations mean that cC- 1 is, presu rna bly, also a linea r 0 pera tor.

It is easily checked that this function can be decomposed into elementary fa ti onal f ractio n s ~

I I I

F(s) = - ;::;; - ~

(s - 2)(s - 3) s - 3 s - 2

Figure 5.5

In the spirit of the discussion of the preceding section, we can conclude that

Remark, The linear it y of ,C alone is not suffic ien t to prove t hat £ -I is 1 inear as well .. What it actually implies is that the two functions

J(t) = £-1 J I ) _ £,-1 { 1 ) = e3l ~ e2l•

ls - 3 $ - 2

and

The idea used above can be applied to all rational functions F(s)~ namely, functions of the type F(s) -== P(s)/Q(s)t where pes) and Q(s) are polynomials in s. Without loss of generality, we may assume that Q(s) is of higher degree than pes). Indeed, if this were not so, then we could divide P(s) by Q(s) until a remainder of the desired form is obtained, namely,

have the same Laplace transform. However, does it mean that f(l) and 7(/) are the same? Not necessarily so, even if only the values for 0 < t < 00 are taken into consideration. For instance t (he two r unctions (F ig~ 5.5)

ft(') = I

(all t > O)~

{o (t = integer), /2(1) JEZ I

(t = not an intI' ;er)

..

where R(s) and PI (s) are polynomials and Q(s) is or higher degree than P1(s).

,

are not ident leal but have the same laplace transform. The dime ulty would disappea r if the inverse t ransform were un.ique (no l wo different r unctions can have the sa me Laplace Ira ns r orm).

* See, e.g., Churchill, Operational Mathemattcs, Chapter 6. t Tha t is t su bj ected to the inverse La pl ace t ran sr orma t ion.

..

,