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EQUATIONS
An Introduction
1-:utiquio C. Young
The Florida Seate
Unhersi~r
Boston
PA
R EN T S
A N D
A ~I I L Y
Contents
Preface
Chapter
1x
Introduction
1. Some Properties of Functions of One Variable 2. Partial
Derivatives 3. Differentiation of Composite Functions; the
Chain Rule 4. Differentiation of Integrals Depending on a
Parameter 5. Uniform Convergence of Series 6. Improper Integrals Depending on a Parameter 7. Directional
Derivatives 8. Green's Theorem and Related Formulas
Chapter
36
Chapter
71
\iii
Chapter
Contents
121
Chapter
163
Chapter
212
Chapter
Laplace's Equation
250
1. Boundary
References
311
313
Index
343
Preface
Preface
sented, but also to introduce other general ideas and procedures. Answers to
almost all exercises are given at the back of the book. A list of selected references
for further reading on the subject is also given.
As a prerequisite for a course based on this book, the student must have a
working knowledge of the topics usually covered in a standard calculus course
and must be familiar with the contents of a basic course in ordinary differential
equations. Many of the topics in the calculus which are extensively used in
later discussion are discussed briefly in the beginning chapter. For those
students who have an adequate background, this material can serve as a review.
Although the book is intended for use in a two-quarter course, it can be
adopted for a one-quarter or a one-semester course, depending on the background of students and the interest of the instructor. For example, topics
selected from Chapters 2, 3, 6, and 7 can be the bases of a one-quarter course
for students who are already familiar with the contents of Chapters 4 and 5.
A word about the numbering of equations and theorems: Unless a different
chapter is explicitly stated, the first number indicating an equation or a theorem
always refers to the section of the particular chapter under study. The exercises
are, however, numbered according to the chapters. Thus, the heading Exercises
5.1 refers to the first set of exercises in Chapter 5.
The author wishes to thank Professors Thomas G. Hallam and Howard E.
Taylor for testing some of the material in its early version and for making
helpful comments, and to Professor C. Y. Chan for reading the manuscript
and for making many invaluable suggestions. The author also acknowledges
with gratitude the secretarial help extended by the Department of Mathematics.
Last but not least, it is a pleasure to thank Mrs. Margaret Parramore for her
skillful typing of the manuscript.
Tallahassee, Florida
EUTIQUIO
c.
YOUNG
Chapter
Introduction
In this chapter we shall review and discuss some topics from the calculus
concerning functions of a single variable and of several variables. These topics
will be needed in our later work. The consideration of functions of several
yariables will be limited mostly to functions of two independent variables, as
this will be adequate for our purpose.
1.
x<xo
x>xo
If bothf(x 0 ) and /(xri) exist and are equal to the value off at x 0 , then obviously
we have
Jim /(x) = /(x 0 ) = /(xri) = f(x 0 )
x-+xo
lntrod11ctio11
C!tap. 1
The function
f(x) =
Ix -
\x +
i
I
(x > 0)
(x
< 0)
A function f is said to be continuous on the interval a ::::; x :::::; b ifj is continuous at all points of the interval. We remark that at the end points x = a
and x = b, we require only that f(a+) = f(a) and f(b-) = f(b). It is well
known that if a function is continuous on a closed interval, then it is bounded on
that interval. This means that there is a number M such that
lf(x)I :::: M
for all x, a :::::; x ::::; b. The converse of this statement is, of course, not true. For
example, the function considered in Example 1.1 is bounded on the interval
[ - I, I J with M = 1, but it is not continuous there because it has a jump
discontinuity at x = 0.
A functionfis said to be piecewise continuous on the interval a ::::; x :::::; b ifit
is continuous on that interval, except possibly at a finite number of points
where it has jump discontinuities. Thus the function in Example I. I is piecewise
continuous. It is clear that every piecewise continuous function on a closed
interval is also bounded.
Letfbe a continuous function on the interval a ::::; x ::::; b. We say that.f has
a left-hand derivative at the point x 0 of the interval if the limit
(1.1)
h-O
li<O
exists. We denote this one-sided derivative by f'- (x 0 ). In the same way, we say
that f has a right-hand derivative at x 0 , denoted by f~ (x 0 ), if
(1.2)
. f(xo
I1111 h~O
h) - f(xo)
Ji
h> 0
exists. If both f'_(x 0 ) and f~(x 0 ) exist and are equal, then obviously f has a
derivative at x 0 , and we have
It should be noted that f'- (x 0 ) and f~ (x 0 ) are not the same as f'(x 0 ) and
f'(xci), which are the left-hand limit and the right-hand limit off' at x 0 , respectively. The existence of the one-sided derivatives off at x 0 does not imply the
Sec. 1
f'
l{.Ox2
(x # 0)
sin xi
(x
0)
= lim h sin(l/h) = 0
h~o
find/~
(0)
0, and so f'(O)
f'(x) = 2x sin
- cos
0. But when x cl 0,
1
x
for which neither /'(0-) nor f'(O+) exist. In other words, f' is continuous at all
points x c;t 0, but is discontinuous at x = 0, although f'(O) = 0.
We say that a function f is smooth on the interval a s x s b if it has a
continuous derivative at every point of the interval. At the points x = a and
x = b, we require only that f'(a+) and f'(b-) exist. Thus, the function considered in Example 1.2 is smooth on any interval [a, bJ that does not include the
origin. Geometrically, the graph of a smooth function consists of a continuous
curve that has a tangent which turns continuously as the tangent moves along
the curve; that is, the curve does not have any "corners."
In the case where the function f is piecewise continuous on a s x s b, and
x 0 is a point of discontinuity, the definition of left-hand derivative and righthand derivative given by equations (I. I) and ( 1.2) remains valid, provided the
quantity f(x 0 ) in those equations is replaced respectively by the left-hand limit
and the right-hand limit off at x 0 ; that is, by f(x 0 ) and f(xri). rn this case,
equality between/~ (x 0 ) andf~ (x 0 ) does not mean existence off' at x 0 , since f is
not continuous at x 0 . We say that f is piecewise smooth on the interval
a s x s b ifit is piecewise continuous and has a piecewise continuous derivative
on that interval. It follows that the graph of a piecewise smooth function is
either a continuous curve or a discontinuous curve that has a continuously
turning tangent between any two consecutive points where f or f' has jump
discontinuity.
4
Example 1.3.
lntrod11ctio11
Chap. I
e-'
The function
j(x) ~
l
(
cos nx
\\hose graph appears in Fig. I I, is piecewise smooth, since the function and its
derivative are piecewise continuous. The function has a jump discontinuity at
x = 1, \\hi le the derivati\ e /' has jump discontinuities at x = 0 and x = I.
FIG. 1-1
A function that is defined on the whole x-axis is said to be piecewise continuous or piecewise smooth if it is piecewise continuous or piecewise smooth on
every finite interval. This definition applies in particular to a periodic function:
that is, to a function/ ha\ ing the property
( 1.3)
/(x
T) = /(x)
/1 T)
= f(x)
(a ::; x ::; b)
for all integers 11. Clearly, </> is defined for all x and is periodic with period T.
Moreover, it coincides withf on the interval a ::; x ::; b. We call the function <fJ
the periodic extension off with period T.
One important theorem of differential calculus, which we ~hall have occasion
to use later. is stated below.
Sec. 1
THEORE\1
(1.4)
b - a
h) = f(a)
hf'(a
Oh)
where h = b - a and 0 < 0 < 1. If h is very small, then \Ve can approximate
f(a + h) by writing /(a + h) = f(a) + hf'(a).
We next recall some facts from integral calculus. Let f be a piecewise continuous function on the interval a s x s b. Then the integral of/ over [a, b
exists and is the sum of the integrals over the subintervals whose end points are
the points of discontinuities off Moreover, from the geometrical interpretation
or definite integrals it is clear that the integral
( 1.5)
l/(x)I
dx
exists. Jn this case we say that/ is absolutely integrable on the interval [a, b].
More generally, we say that a function/ is absolutely integrable on the interval
[a. b] (where a may be - oo or h may be oo) if/ is continuous on the interval,
except possibly at a finite number of points, and the integral (J .5) existspossibly as an improper integral. Over a finite interval we see that every piecewise continuous function is absolutely integrable. The converse of this statement
i~. however, not true. For instance, the function /(x) = !//-.; is absolutely
integrable on the interval 0 s x s 1, but it is not piecewise continuous there
because the right-hand limit/(0+) does not exist.
It is true, however, that every absolutely integrable function is integrable in
the ordinary sense. That 1s, the existence of the integral ( 1.5) implies the
existence of the integral
/(x) dx
a 5 x
THEOREl\1
F(x) =
( 1.6)
for each x, a
(1.7)
f(t) dt
b. Then
F'(x) = d
dx
fx f(t) dt
c
= .f(x)
band let
Chap. I
Introduction
(1.8)
where Fis any function such that F'(x) = f(x). It is easy to see that (1.6) and
(1.7) together imply (1.8), and vice versa.
Finally, we state a theorem that is the counterpart of Theorem 1.1.
THEOREl\1 1.3. (Mean Value Theorem for Integrals) If f is continuous
interi:al a ::::; x ::::; b, then there is a point x 0 betireen a and b such that
(1.9)
f(x) dx
011
the
= f(x 0 )(b - a)
Geometrically, this formula says that there is a rectangle of height f(x 0 ) and
width (b - a), whose area f(x 0 )(b - a) is equal to the area determined by the
integral (1.9).
Exercises 1.1
1.
Sketch the graph of each of the following functions and determine whether the
function is piecewise continuous, continuous, piecewise smooth, and smooth:
(a)
(b)
f(x) =
{- ,1_:-x:
\x3
r-,,
(x < I)
(x = I)
(x > I)
0 ,-
f(x) =
vx
2.
3.
f(x) =
I
x
X Sll1 -
(x
0)
(x
0)
0.
4.
Consider the function f(x) = x - [x ], where [x] denotes the greatest integer
thatdoesnotexceedx. Showforeachintegernthatf'(n-) = f'(n+) = f~(n) =I,
but that f ~ (11) does not exist.
5.
Let
(x S 0)
(x ;::::: 0)
f~ (0) =
f'(O+) and
!~ (0) =
/'(0-).
Does
P11rti11f Derfratives
Sec. l
6.
Let
/ (x)
f'(O-)
ex
= I\ -e - x
= /~(0) =
(x
(x
/'(O-).
< 0)
> 0)
Graph the
/(x)
(x
1' 0)
(x
.o
0)
Give an example to show that the product of two absolutely integrable functions
is not necessarily absolutely integrable. Hinr: Take /(_r) = 1/, /:\.
9.
IO.
o l
exists.
cos
dx
+ x2
1].
12.
13.
x" =
unless a
(11 > 0)
/(1) dt
0.
14.
By using the mean value theorem for integrals, prove that the function defined by
Hint: Consider F(x + /z) - F(x) =
( 1.6) is continuous on a ~ x ~ h.
J~+ h /(!) dt and show that this tends to zero ash _, 0.
15.
Show that equations (l.6) and (1.7) imply (1.8), and vice versa.
2.
Partial DerirntiYes
6.,~o
~x,
y0)
u(x 0
.
y0 )
~x
whenever the limit exists. This derivative is called the first-order partial derivative of u with respect to x at the point (x 0 , y 0 ), and is denoted by (i3u/i3x)(x 0 , y 0 )
Introduction
Chap. 1
or u)x 0 , y 0 ). Frequently, we shall also use the simpler notation ux whenever the
point at which the derivative is being evaluated is clear from the context. In the
same way, we define the first-order partial derivative of u with respect to y at
(x 0 , Yo) as the limit
ou (
)
. u(x 0
-- Xo,Yo = 11m
Yo
+ ~y)
~y-o
oy
- t1(xo , Yo)
~y
prO\ ided the limit exists. It follows from the foregoing definitions that, given a
function u of two variables x, y, the partial derivative of t1 with respect to either
one of the variables, whenever it exists, can be calculated by simply differentiating the function with respect to the variable concerned while treating the other
variable as a constant.
Example 2.1.
u(x, y)
x cos xy
Sol11tio11: The first-order partial derivatives of the given function exist. To find 11x,
we differentiate with respect to x, treating y as a constant, and obtain
= cos
11_y(x, y)
y)
= -
xy -
x 1 sin xy
xy
sin xy
1.
u,(x 0 , y 0 )(y - y 0 )
ou
2
llxx
II xy
- 2
ox
a
oy
Uyx
'
(:~)
ou
2
oy
ox
II !"J'
:x e~)
o2--u
-
0)'2
o2 u
OX OJ
Partial Deriwttives
,<frc. 2
11 =
"-rx
-x 3 cos xy
II.IT
We notice in Example 2.2 that the mixed derivatives uxr and u,.x are equal.
This means that the order in which the differentiations are performed is immaterial. This is by no means true of all functions (see Problem 20, Exercise
1.2); however, whenever the mixed derivatives in question are continuous, it can
be shown that the order of differentiation does not matter. Thus, for the
function considered above, there also follow uxxy = u,.vx = llyx.n uxyy =
uyxy = urr.n etc .. as one easily verifies, since the function has continuous derivatives of all order. Unless otherwise stated, we shall always assume in this work
that mixed derivatives are continuous whenever they exist.
Exercises 1.2
In Problems 1 through 5, find the first-order partial derivatives of the given function.
I.
11
= x 2 y + xy 2 .
= e" cosy + xy.
2.
11
3.
11 =
4.
11 =
5.
11 =
tan
6.
If
11
= x 3 + 2x 2 y +
7.
If
11
8.
If
/1
(ax
by)",
9.
If u
= x y
y 2z
10.
ln(x 2
x - y
- ,
.\' + )'
y 2 ). (x. y) o;!c
(0. 0).
x
, y > 0.
y
arcsin
3xy
J'llr
311.
yu,. =
lly
llz =
(x
0.
0.
+ z) 2 .
/11troductio11
10
Chap. 1
In Problems 11 through 14, find the second-order partial derivatives of the given
function.
]],
II=
(xl
12.
I{
ellX
13.
11
= e" sin y.
14.
11 =
arctan x/y.
15.
If
11
16.
If
11
17.
18.
If
19.
If u
20.
11
y1)1i2.
+ b)-.
ln(x 2
u<J' =
y)
x- - -
( x+y
(x, y)
llxx
0.
Lin
+ uY,. = 0.
u,.x.
a 2 uxx = 0.
11" -
u,.x .
llxy =
x2 _ y1
xy
u(x, y) =
0 x2
[(x, y)
11/x,
(0, 0)]
0) = x; hence, deduce
21.
u(x, y) = x 2 arctan y -
y 2 arctan -~
y
11(0, y) = u(x, 0) = 0
Show that for (x, y) I= (0, 0), llxy = llyx, but llx/O, 0) I= uyx<O, 0).
3.
(3.1)
(x, y) in D
u = U(x, y),
x = f(f),
(3.2)
= g(t)
(a
b)
such that for each t in [a, b], (f(t ), g(f )) is in D. Then, in effect, u is a functi.on
of the single variable t:
(3.3)
U(x, y)
U[f(t), g(t)]
(a
b)
Sec. 3
11
x and y. One important and useful tool in this connection is called the '"chain
rule."
3.1. (The Chain Rule) If rhefi111ction 11 in (3.1) and irsfirsr-order
partial deriwtires are continuous in D, and if rhe functions f and q in (3.2) are
differentiable in a < r < b, then u is a diff"erenriablefi111crio11 of r 11 hose deriwtire
is gii"en b_1' the formula
THEORE\I
du
dt
(3.4)
i'u dx
ax dr
iu dy
iy dr
cU df
=-
ax dt
iU dg
cy dt
11,
we obtain
tsin(l - t 2 ),
(I > 0)
du= sin(l - t 2 )
dt
21 2 cos(l - 12 )
Sill
dx
y,
and
di
dy
-2t
dt
du
, .
(e sin y)
dt
dxdt
t[sin(l - 12 ))
(e, cosy ) dy
dt
1[cos(I -
))(-21)
sin(! - 1 2 )
21 2 cos(! - 1 2 )
Formula (3.4) extends easily to the case where u is a function of three or more
independent variables. For example, if u is a function of the variables x, J', and z,
u = U(x, _r, z)
where
x = x(t),
y(l),
and
then
(3.5)
du
dt
au
dx
ox dt
+.au- dy
- + au
- - dz
ay dt
cz dt
z(t)
lntroduct ion
12
Chap. I
pnnided U and its lirst-order partial deri\atives are continuous and x, y. z are
differentiable. In the special case where x = t. so thaty and z become functions
of the\ ariable x. formula (3 . .5) reduces to the form
i' c_; dy
(;u
i'U d:
+
+ (".\"
CZ dx
i7x
dx
(3.6)
We shall h~l\e special need for this formula in the next section.
Next. suppose that 11 is a function of the\ ariablcs x. y where
and
x = x(s. t)
y = y(s, t)
that is. x and r are in turn functions of two independent variables s and t.
Then 11 may also be considered as a function of the variables s, t:
(3.7)
11
U(x, y)
= U[x(.1, t),
)(S,
t)]
and we may investigate the partial derivative of u with respect to sort when the
other variable is held constant. Under the condition that U and its first-order
partial derivatives are continuous and that the first-order partial derivatives of
x and .r exist, it can be shown that
(3.8)
cu
au ux
cs
ex cs
(""}II
cU ax
(~(
OX 1:1
au
rJ\"
(r
cs
and
(3.9)
au er
oy cit
~V(x,
J,
11,
r)
(3.10)
ax
aw aw Du
ex +
ex
c11
aw Du
Or ox
ow
cw
ay
cy
cw 011 aw av
c11 ay + ar: ay
These formulas can, of course, be established under the assumption that all
first-order partial derivatives of Ware continuous and that all first-order partial
derivatives of u and 1 exist. The student should carefully note the distinction
betv>een the terms cH/i'-x, 21r/i'y. and the terms iJ W/Dx, DW/ay.
Sec. 3
13
c2 u
ct as
a (cu
ex)
21
1cs
2:,
o U ex
(cx c'I
a (c:u er)
ct cy ;;~.
i'/U c1) ox+ iJU o x
oy ex ct. cs
ex ct OS
+
+ (. u2 u ex + u2 u
ex CJ ct oy 2
a_r)
cy + au a2 y
ct cs OJ ct OS
0 LI (ax cy
i/U
ex
lX C_I")
+ C_\' OX .cs cc t +
<'x2 cs Dt
ct cs.
1
a u a_r ay cu c:x au a2y
+ a_r2
cs ct + ex at e's + ay at as
2
(;X
~1
Urx.
Example 3.2. Let 11(x, y) = x 2 + y 2 , where x = r cos 8 and y = r sin 8. Find the
partial derivatives of 11 with respect tor and 8 up to the second order.
Sof111io11:
11, =
2x cos {) + 2y sin {)
2r(cos 2 8 + sin 2 8)
11 0
2x( - r sin 8)
rand I
8, we find
2r
+ 2y(r cos 8)
-2r 2 (sin ()cos 8 - sin 8 cos 8)
0
2y)
g(x
3y),where/andgare
3y.
g(r)
= W(u,
i)
Using formulas (3.10) and (3. l I) and noting that W depends only on u and
find
\V x
W. 11x +
1
11~1, = f'(u)
+ g'(io)
w;i-,. = ('(11)( - 2)
- 2/'(u) + 3g'(i)
w;,u,.
g'(v)(3)
i-, we
14
Chap. I
/11troduction
+ g"(r)
/"(11)
)\'X)
(-
ll'J')' =
2)/"(11)
2
2) /"(11)
(-
(3)g"(c')
(3) 2g"(!')
Thus,
6wxx
Wxy -
w,,
= 6(/" +
+ ( - 2/" +
g")
3g") -
(4J"
9g")
Exercises 1.3
In Problems I through 4, find d11/dt by use of the chain rule and check your result by
substitution and direct differentiation.
1.
11=xlny,wherex=1 2 ,y = (l - t) 11 2 .
2.
11 = x cosy
3.
4.
5.
6.
As in Problem 5, if 11 = x 2
d11/dx.
+ ye",
where x = In 1, y = sin I.
y2
In Problems 7 through 10, find the first-order partial derivatives of the given function
with respect to r and s.
7.
u = x2
8.
u =
9.
11 = x 2
excos}',
-
y 2 , where x = r + s, y = r - s.
where x = (r 2 + s 2 ) 112 , y = arctan r/s.
3xy
r2
s 2 , y = 2rs.
10.
11.
12.
+
r
t and y
and
e,
y 2 ) and
13.
Let u = f(x + ct) + g(x - ct), where/ and g are twice differentiable functions.
Show that 11,, - c 2 llxx = 0.
14.
Let
II
15.
(uy)2
e and y
= r sin
e.
Show that
,.-
cu
or
cu
ae,
I (;II
OU
ce
er
and
u,, +
- u,
r
-;;- l/99 =
vx,
Sec. 4
4.
15
In our later work we shall have occasion to deal with finding the deriYative of
a function cf> defined by a definite integral of the form
j'itxl f(x,
cf>(x) =
(4.1)
t) dt
ll(X)
where the integrand! and the limits of integration u, v depend on the parameter
x. If the integration in (4.1) can be effected analytically, then the function cf> is
defined explicitly, and hence its derivative, if it exists, can be obtained by
straightforward differentiation. However, it is not always practical, nor possible,
to express the integral (4.1) in explicit form. Therefore, in such cases, it is
desirable to have an expression for the derivative cf>' of the function (4.1).
We first state the result in the special case where the limits of integration are
constants.
THEOREl\l 4.1.
(4.2)
/(x, I) dt
here a and b are constants. /ff and f, are co11ti1111011s in the rectangular region
s x s /3, a s t s b, then the fun ct ion (4.2) is continuous and possesses a
derirntice gicen by
11
R: a
(4.3)
c/>'(x)
that is.
~~~o
JJx, t) dt
0) = Jb f(x 0, t) dt
a
f(x, 1) dt
f ;~~a
f(x, t) dt
We notice that this involves interchanging the order of the limit operation
x ....., x 0 and integration. Also, formula (4.3) indicates that the derivative of cf>
can be obtained by taking the derivative under the integral sign: that is,
(4.4)
ddx
Jb f .(x,
a
t) dt =
Jb fJx,
t) dt
.....
/11trod11ction
16
THEORE\f 4.2.
Chap. I
Let
'l(x)
</J(x) =
(4.5)
f(x. 1) dt
._,f/(XJ
1rhcrc 11 and r arc functions of' x. If" u and 1. are differentiable in the interrnl
a .:c:; x .:c:; b, and I and f~ are cont in11011s in the rectangle R: a .:c:; x .:c:; b,
11(x) .:c:; t .:c:; 1(x). then
I
def>
('rxl
I.
dx
dx
f(x. 1) d1
u(x)
t(x)
(4.6)
. f~(x, I) dt
1(x)
.
+ .f(x,
dv
du
i) - - .f(x, 11)
dx
dx
cf>(x. u, t")
(4.7)
f(x, t) dt
l(X)
Since 11 and rare differentiable functions of x, and/ and/, are continuous, cf> is a
continuous and differentiable function of x alone. Then its derivative with
respect to x exists, and by formula (3.6) we obtain
de/>
dx
(4.8)
8
ex
ccf> du
cu dx
ccf> du
.
CV dx
Now the term i'rjJ/i'x in (4.8) is to be calculated with u and c treated as constants;
therefore, according to Theorem 4.1,
<'r/J
(4.9)
r(x)
, . =
(..\
!,
fx(x, t) dt
u(x)
By the fundamental theorem of calculus (Theorem 1.2) applied to (4. 7), we have
cr/J
, = -f(x,
(4.10)
11)
cr/J
" = f(x, i:)
and
ci
Cli
Thus, substituting the results (4.9) and (4.10) in (4.8). we obtain formula (4.6).
Example 4.1.
Let
cjJ(x) =
{"'sin xi dt
Jo
- cos x-'
x
Sec. 4
011
a Parameter
and therefore
17
cos :c
2 sin x 2
q/(x)
('I
(p'(x)
Jo
=
cos xi di
sin x 2
r + sin x2
Jo
Example 4.2.
Let
u(x) =
I
2
r'
.lo
(x -
t) 2j(r)
d1
So/111io11:
By (4.6) we find
u'(x)
(x - l)f{t) dr
+ ~(x
1) f(l)],=x
r(x -
l)f(t)dt
L'
f(I) di
u~(x) =
f(x).
More generally, when the integrand fin (4. l) involves the parameters x, y,
and the limits 11, rare functions of x. y. then the integral (4.1) defines </J as a
function of x, y; that is,
<f>(x, _\')
(4.11)
J'(x.ri ('(x, r, t) dt
<(x.y)
If 11 and r have first-order partial deri\atives andf.fx, andfy are continuous, then
(pis a function of x and J' whose partial derivatives x and ),exist. Regarding
as a composite function c/J = c/J(X, y, 11, r). we obtain by means of formulas
(3.10), (3.11), and Theorem 1.2
t-(X,)')
(4.12)
ex
j~(x,
y, l) dt
l(X,)')
+f(x,y,v)
ov
ox
) cu
-f(x,y,u _
ex
/11trod11ction
18
Cltap /.
and
1(x,y)
c</J
(4.13)
fy(x, y, t) dt
Dy
u(x,y)
av
+ f(x,
y, v) ~
oy
'(
- ./ x, y, u)
au
oy
Let
r+r
11(x, )') =
Jx-}
f(t) dt
Solwion:
11
y) -
f(x - y)
and
11,.(x, y) =
f (x +
y)
+ f (x
- y)
y) -
f'(x - y)
= f'(x +
y) -
f'(x - y)
llu =
11r,.
Thus
Un -
f'(x
"-n = 0.
Exercises 1.4
I.
Let <jJ(.Y) = .1 0 2 cos xi dt. Find dqJ/dx by formula (4.6) and check your result by
direct calculation.
2.
3.
Let </J(xJ =
4.
Given that
5.
,1,
Let ,,,(x)
6.
'
t
Let </J(xl = l/k f~ f(I l sin k(x -
r.~" x
J:
(x _
dt
t
d~os 1J
J, x
1
> I. Evaluate
dt
- .
o (x - cos t) 2
.
d,1,/
F111d
'V dx.
constant. Show.that
(x 2
<V +
"
k 2 </J =
7.
Let J 0 (x) = l ;r _( 0 cos<x cos 0) dO. Show that 10 satisfies the Bessel's equation of
zero order: y" + ( l /x)y' + y = 0. Hint: Find 16 and integrate by parts.
8.
Evaluate qJ(x) =
r' - I
--
dt. x > 0 .
In t
-+
0 as x -+ 0.
Sec. 5
Let 11(x. I)
1/2c J~~:; f(s) ds, where/is differentiable.
(a) Find 11 1 and show that 11,(x, 0) = f(x).
(bl Show that 11 satisfies the differential equation 11,, - c 2 u"'
9.
5.
19
0.
b.
"'
L
ull(x)
S111 (x)
11=
(5.1)
'
11=
u,,(x)
If the limit
lim S,,,(x) = Jim
(5.2)
m-oc
m--+Cf~
"'
L
ri= I
(5.3)
S,,,(x)[
"'
. L
,n=m+ 1
whenever 111 > N. In general, the integer N depends on the point x under
imestigation as well as on the given number i:. However, if corresponding to a
gi\en r,, there exists an integer N that is independent of x such that the inequality
( 'i.3) holds for all x in the interval a ~ x ~ b, then we say that the series ( 5.1)
converges uniformly to S(x) on that interval. It is clear that a uniformly
convergent series is convergent in the ordinary sense.
A convenient and practical method for determining uniform convergence of a
series is given by the following theorem.
5.1. (Weierstrass !vi-Test) Let L,,';"= 1 u,,(x) be a series o/fu11ctio11s
defined on the interrnl a ~ x ~ b. fl L.;~= 1 M is a concergent series ol posit ice
consrants such that [11,,(x)[ ~ M,, for each 11 ~I and for all x in the interrnl
a ~ x ~ b, then the series L.';"= 1 u,,(x) conrerges 11niforml_1' 011 that interrnl.
TllLOREl\I
11
Show that the series I.,~ 0 x" converges uniformly to the function
1,1(1 - x) on the interval - a :o::; x :o::; a, where 0 < a < I.
Example 5.1.
So/111io11:
20
/11trod11ctin11
Chap. I
Since the ,;cries 2,:,;. 0 a" is convergent \I hen .a < I. it follm1s by the \Veierotrass
\1-tcst that the -,eries2=,:~o x" converges uniformly for Ix! s a < I. To shm1 that
the series co/l\.crgcs to the function S(x)
1/(1 - x). we note that for 111 :> I.
\IC
have
IJ/-
S,,,(x)
.\
,,
x111
n::;:O
0. it follm1s that
Jim,,,~, S,,,(x) =
l/(l -- x).
(11 2': I) he cont/1111011.1 011 the interrnl a :::::; x :::::; h and let the series
2=;;'= 1 11,,(x)
com !'rgl' 11111/orm/y 10 S(x) 011 that in term/. T/1!'11 Sis a co11ti1111011sfi111ctio11 011 the
same inteffal.
::;;
h,
S(x 0 )
x- x 0
lim S,,,(x)
Thus. under the conditions stated in the theorem. the order of taking the limits
with respect to x and 111 can be interchanged.
Example 5.2.
Ii 111
X-+ A
-- x
.., (I)"
~
,2
11~0
or
2 =I+ 1 + l +
5.3. (Integration of Series) /,rt t!w fi111c1io11s 11,,(x) (11 2': I) he co11ti1111011s 011 the intenal a ::;; x :::::; band let the .1cries L:= 1 11,,(x) conrerge 11111form/y
to S(x) on that interrnl. fl x 1 and x 2 are anr fll'O poi11ts such that a :::::; x 1 <
x 2 ::;; h. then
THEOIU:\I
I'
S(x) dx =
,t .C'
11,,(x) dx
This theorem gi\es suftlcienl conditions under which a convergent series may
be integrated term by term to obtain the integral of the limit function. It
essentially invohes interchanging the order of the integration and summation.
21
Sec. 5
Example 5.3.
- In( I -- x)
(xi < I J
n =~ 0 II
1 di
(' t" dr
11=0
.J 0
xn+l
er_
n=O II
(ixl
< I)
x).
co11n'rge11t series
L u (x)
S(x) =
11
11::::
hare continuous dcrirntires 11,; 011 the interrnl a :S x :S b, and if the seril'.\
I,,;,
d (
cfx
'f.
~,
11=
I u;,cx>
!/" ( x )')'
"--'
I
11=
j(Jr a :::;; x :S b.
The theorem gi\es suft1cient conditions under which a comergent series may
he differentiated term by term to yield the derivative of the limit function. The
proce:-.s im olves interchanging the order of differentiation and summation.
l:xample 5.4.
(I
X)2
= I + 2x + 3x 1 +
nx 11 -
n- I
So/111/011:
L'iing the ratio test, \\e sec that the series "'[_,~= 1 110 11 - 1 is convergent \\hen
a' < I. Thus, by Weierstrass M-test, series"'[_,~ 1 nx"- 1 converges uniformly for
.1, :: a < I. By Theorem 5.4, 1t follows that
(! -
x)
(ix; < 1)
22
/11troduction
Chap. I
Exercises 1.5
In Pro blerns I through 6, show that the series converge uniformly on the given
interval.
Y:
1.
I:1
(aJ
sin
oc
I:
11=1
3.
I:
n=
x'1
'xi
11!'
:c
T'
5.
I; e- "",
11=
6.
?
11-
for all x.
a < oc
for all x.
'
0.
for 0 < a ~ x.
( x" ) I
\1 + X 11 11 2
for - I < a
x < :x.
8.
/IX
112
~
11=
7.
for all x
4.
cos
II=}
(-1)1'
I
I:
(b)
forallx;
112
II=
2.
/lX
Let
I; ( - 1)"x 2 "
+ .r = 2 ( x + x3 + xs
+ .. )
x
( x' <
I)
(x <
I)
,x < 1.
+ x2 '
n=O
Show th;it the series converges uniformly and obtain the result
arctan x = x 9.
~
sin ?nx
~
If S(x)
ri=
S lOW
+ ...
that
,,-
Irr
Jo S(x) dx
10.
oc
I;
If S(x)
COS /IX
2
I
11
11=
l"
S(x) dx.
oc:
11.
If
~ (-l)"x"for:x
l+x
11=0
(I
x)2
( - I J'' - 1 nx" -
11= 1
12.
If S(x)
~
11::::
i:
cos nx
n=l
113/2
Sec. 6
1.3.
If S(.\)
a Parameter
011
11=0 11
Jo
l.
'l
14.
Let 11(x,
~ e -""' ----,
sm nx , f or 0
t..
t) =
11=
tr
n.
0 <
10
I.
(a) Show that 11 1 , u,.. 11xx can be calculated by differentiating the series term by
term.
(b) Thus verify that u satisfies the equation 11 1 - un = 0 and the boundary
conditions u(O, I) = u(n, I J = 0, I 2" 10 > 0.
6.
f"' f (x. t) dt
(6.1)
11hcre the integrandfinvol\es the parameter x. We assume that/(x, r) i:-: cont111uous in lhe region D: a ~ x ~ b, c ~ I < oo. Then, for each x in the
i1itcnal a ~ x ~ hand for each d, c ~ d < x. the integral
rf(x,
(6.2)
1) dt
(6.3)
d-+y:,
(d f(x,
Jc
I)
f,f
di
f(x, I) dt = F(x)
c\i'.h for each x in the intcnal a ~ x ~ b. then we say that the improper
integral (6.1) coll\crges to F(x) on thal interval. This means that. for any g11en
r,
(6...t)
, F(x) -
'
..,. c
f(x,
t)
dt
/11trod11ction
24
Chap. I
.C g(t) dt
exists. lf lf(x.
Ill
:S: g(t)fiJr all x in the interrn/ a :S: .\: :S: h, rhen the integral
f"' f(x,
t) dt
011
sin xi dr
o I
12
sin xr
Since J~ [I/( I ~ r ='I J dr converges (to r:/21. iL follm1 s from Theorem 6.1 that the
gi1en imrroper integral con\erges uniformly for all values of x.
The following three theorems correspond 1n order to Theorem:-, 5.2. 5.J. and
5.4 of the preceding o,ection.
THLORL\I 6.2. Ler
c :S: t < oc. a11d !er
I;
:<::;
x :S: b.
f(x. I) dt
co111crge 1111i/rm11h to F 011 t/1c i11tcrrn/ a :S: x :S: h. Then Fis co111i1111011s 011 the
i11tcrrn/ [a. b].
(6.5)
j'"'
li'.11
.\ -
.\Q
f(x. t) dt
f" 1~11
., (
.\
j(x. I) dt
.\Q
This conclusion generalizes the first part of the result of Theorem 4.1 11hich
concerns a definite integral i111olving a parameter.
TI-IEORE\1 6.3. Lei the sw11c co11ditions as in Thcorrn1 6.2 hold.
are a11y rirn points such rhat a :S: x 1 :S: x 2 :S: b, then
(6.6)
.C,' F(x) dx
f" f'
f(x, I) dx dt
Jf _\ 1 and x 2
Sec. 6
011
25
a Parameter
That is. we may interchange the order of the two integrations. one with respect
to x and the other with respect lot. Let us illustrate the use of this properly in
naluating certain integrals that otherwise cannot be effected by the usual
elementary method of integration.
Example 6.2.
., ('_,,, fo
e-1>1 dr
In
(0
< (/ < b)
(/
e-xt d1.
gc
1 ,., e-xt dr
.\"
(' :. d.1
Ja -
('l
Jo
.1
(x
>
0)
Ce-" dx dr
J.,_ e-at
o
._a
r:
f(x, t) cit
f" j~(x, I) dt
c
co111erqcs 11111/ormly
(6.7)
011
f"' .
F'(x) = d
f(x, t) dt =
dx c
f"'"c
j~(x,
l) dt
26
lntrod11ctio11
Chap. I
Example 6.3.
J
oc
(6.8)
-xr sin t d
--- t = - arctan x
t
+ 7I2
So/11tio11: \Ve denote the given integral by F(x) and shO\\ that the integral converges
uniformly to F(x) for x :::: 0. Theorem 6.1 cannot be applied here, so 1ve shall
resort to the definition. Let c > 0 be given. We \\ant to show that there is a
number T independent of x such that
I Jz e -xr sin
- - -t dt
(6.9)
< c
.i
for x :::::: 0 \\ henever d > T. When x > 0, we have, by integration by parts with
= e-"/t and du = sin t dt.
11
"'
J
d
Since !O
sin t
C-Xl .. -{ -
df =
e-xd cos d
"'(l
+ xt)e-"''
[f"' e
I
-xr
If
1.
l, it follows that
:s;
sin
--t d t I :S: I
t
I
d
cos t dt
I2
l"' d
1 dt = 2
t2
d
But the foregoing discussion also holds when x = 0. Thus, taking T = 2/c, it
follows that (6.9) holds for x :::::: 0 whenever d > 2/c. Therefore, the given improper integral converges uniformly to F(x) for x :::: 0. Now, by Theorem 6.1,
the integral
Lx e-xr sin
t dt
converges uniformly in the interval 0 < c :S: x for arbitrary number c, taking
g(I) = e-cr_ Thus, when x > 0, we have by Theorem 6.4
F'(x) =
L"
e-xr sin t dt
x2
and hence
F(x) =
arctan x
J"
e-xt dt
= _l
(x > 0)
since [sin t/tl :S: l for all t. This implies limx-oo+ F(x) = O; therefore, C = n/2.
This establishes (6.8). By Theorem 6.2, F(x) is continuous for x :::: 0 and so,
letting x - 0, we obtain the important result
(6.10)
oc
sin_t dt = 7I
t
2
Sec. 6
011
u Parameter
27
Exercises 1.6
In Problems 1 through 6. shmv that the improper integrals converge uniformly on
tr.e given interval.
l.
2.
,,
.o x2 +
3.
4.
dt
rJ
.C
()
sin t
dt,
,
x- + 12
cos xt
er
1-
dt.
<
{/
s; x.
for 0 <
::; x.
{/
for all x.
5.
6.
rI"
e-'t"- J dt.
for 0 <
{/
x ::; h.
::,-:;
7.
(a) Show that the integral 1~ e-r cos xt dt converges uniformly for all x to
F(x) = 1/(1 + x 2 ) and l.hus prove that
"
0
_, sin xi {
ct
t
arctan x
(x 2'. OJ
arctan
(x > 0)
(cl Lelling x--> +er.;. deduce from the result of (b) that
"
"
o
8.
.Assuming that
Sill I
Ti
<I =
"
cos bt) I
c.t
1
I + b1
- In
2
I + a1
(a < b)
'l
e- 1
1 - cos bt d
--
9.
I
- In(!
2
b1 )
>
0)
28
l11trod11ctio11
Chap. I
\'crify that differentiation \\ ithin Lhe integral is permissible an) number of times.
and thus sho11 that
10.
11.
u(x, y)
,2)
= 1 ('T'r ) ; 2 exp ( -
2
4y,
7.
Directional DeriYatiws
Xo
S COS
0.
ro +
s sin 0
wheres denotes the distance of the point (x, y) from (x 0 , r 0 ), then clearly on the
line L the function 11 becomes a function of s. By the chain rule and from (7. l)
we have
(7.2)
du
ds
cu dx
Dx ds
=
cu
- ..
ox
ou dy
+ Dy
cos 0
ds
cu .
sm 0
c!y
When the derivatives ?u/<?x and tu/<":y are evaluated at the point (x 0 , y 0 ), then
equation (7.2) is called the directional derivative of u at (x 0 , y 0 ) in the direction
29
Directioual Derivatives
Sec. 7
(7.3)
y = _1(.1)
x(s),
_\ =
11 here .1 denotes arc length of C. 0 ::::; s ::::; L, L being the length of the curve.
\\'e assume that x(s) and _r(s) ha\e continuous derivatiws on the interval
() ::::; s ::::; L. which do not vanish simultaneously. The cune C is said to be
smooth. Let 11 be a continuous function with continuous first-order partial
deri\ atives on the curve C. The derivative
cu dx
ax ds
du
(7.4)
ds
(;u dr
i1_1 ds
2
y .
Example 7.1.
So/111io11.
Let 11(x. y)
ha1e
du
ds
11
2y:c1.l>
sin 45
COS ()
+ 4
Sill ()
ds
\lhich is a function of()_ To find the value of 0 for which d11/dl' is maximum (or
minimum), we differentiate d11/ds with respect to 0 and set the result to zero. We
ha1e
2( - sin {)) + 4 cos 0 = 0
or
tan 0 = 2
If a0 is such that 0 s 00 <:- :rr/2 and tan 00 = 2, then() = 00 and 0 = 00 + :rr are
the two values of() less than 2n, which satisfy the above equation. Clearly, the
30
lntrotl11ctio11
Ch"P I
T::
4(2/ \ 5)
--2\ 5.
d1'/
\':::: y
l ')
\':::: l
( 1)
01
I
FIG. l-2
Sorma/ derirntire.
We note that
dx
ds
0 - /[
,in 0,
cos 0,
so that
cos = sin 0
dr
-cos 0
sin </>
ds
dx
ds
J 5)
cu
en
cu
.
- . cos q)
au . ,/,'I'
oy
OX
C!I
dy
ax ds
au
')J11
dx
C.1 ds
111 the case where C is a closed curve (not crossing itself), the derivative (7.5)
is called tl1e outward normal derivative, since the normal direction in such a case
Directional Derivatives
Sec. 7
31
is then pointing away from the domain enclosed by the curve. Of course. here
we observe the convention that as the parameters increases, the curve is traced
in the counterclockwise manner.
Example 7.2.
x2
y2 =
Solution:
y)
xy on the circle
0 2_
cos
sin
and
cu
CII
(x) + (v)
a
2xy
where x and y satisfy the equation x 2 + y 2 = a 2 . If we introduce polar coordinates x = r cos , y = r sin cjJ, then cu/en = 2a sin <p cos <f> = a sin 2</J.
In fact, in polar coordinates we have 11 = r 2 sin cos. Since the outward
normal direction coincides with the radial direction, it follows that
(; /l
(;/I
c11
er
, = , = 2r sm
= r sin 2</J
Exercises I. 7
I.
..
(b) x 2
+
+
x 1 y + y sin x at (2,
2.
3.
Find the directional derivative of /1 = x 3 + xy 2 - y 3 at ( - I, - 3) in the direction of the tangent to the curve x = I + t, y = 1 - t 2
4.
11
4)
Determine the direction and the maximum value of the directional derivative of
xy 2 + x 2 y at (I, I).
11 =
9x 1
+ 4y 2
5.
6.
7.
/1 =
/1 =
x2
y2
a2 .
32
8.
Chap. 1
lntrod11ctio11
We conclude this re\ iew chapter \\ith a discussion of one of the important
and useful formulas for performing double integration in the plane. knmrn as
Green~ theorem.
This theorem and its related formulas will be needed in
Chapters 3. 6. and 7.
(8.1)
fc
(P
dx
+ Q dr) =
J' r ((~o
D.;
D.
ap) dx dy
- (r
irhac !he i111egratio11 011 the lcfi is taken along the curcC' C i11 the co1111terc/ock1rise
dirC'ctio11.
- - - , - 0 + - - - - - - - - - - - - - - - - - - - - - - - .\
FIG. 1-3
Gr!.'c11's lhC'orem.
Let us e\plain the meaning ol' the integral on the left of equation (8.1 ).
Suppose that the cune C is gi\en parametrically by the equations
(8.2)
.\(/ ).
_)' =
y(I)
(8.3)
Sc (P dx
+ Q dy)
33
Sec. 8
1
1
I P[x(t), y(t)] dx dt
Q[x(I), y(t)]
dyl
. dt
dt ,1
of the single variable 1 obtained when the functions (8.2) are substituted for x
and yin (8.3). The integral (8.3) is called a line integral on the curve C
Example 8.1. Compute the line integral Jc [x 2 y dx
(l. 2) along the curve C: y = 2x 2 .
(x 2
y 2 ) dy]
from (0, 0) to
Solution: We convert the line integral into an ordinary integral with x as the variable
of integration. We note that on C y = 2x 2 so that dy = 4x dx. Substituting
these for y and dy in the integral, we find
(x
4x
[x y dx
(x
y l dy J =
[2x
4x )4x J dx
l 6x 5 ) dx
(2x
19
15
2r 3 cos r sin 2 r,
2x 2 y
2r 3 cos 2 t sin t
Qx
JJ<Qx -
:<; 2,
+ y 2 = 4.
P,.) dx dy = 0
1J
L (2xy
dx
2x 2 y dy) =
2, we find
t)(-2 sin t)
= 0
Now suppose that 11 and v are functions of x and y with continuous partial
derivatives up to the second order in the domain D. If we replace the functions
P and Q in equation (8.1) by the functions - uuY and uvx, respectively, we then
obtain
(8.4)
Sc u(1'x dy
VY dx) =
34
Introduction
Chap. 1
Let the equations (8.2) describing the curve C be given with the arc length s as
the parameter; that is, x = x(s), y = y(s), 0 ::;; s ::;; L, L being the length of
the curve. Then the line integral in equation (8.4) can be expressed as
r u(vx dy -
(8.5)
Jc
Vy dx) =
r ll ('vx ~~
ds
Vy dx) ds
ds
Jc .
J
c
CV
u -ds
on
ds
Jcr ~
on
(8.6)
JJ (u
LlV
llxVx
!lyl\.) dx dy
Here we have introduced the symbol i1 which stands for the Laplace operator
(8/ex) 2 + (o/8y) 2 . The formula (8.6) is often called Green's first identity.
If we interchange the role of u and v in equation (8.6) and subtract the result
from (8 6), we further obtain the formula
Jc ( u
(8.7)
~~
- v
~~)
ds = J J (u
Llv -
v i'.lu) dx dy
Exercises 1.8
Using Green's theorem, evaluate the following integrals and check your answers by
evaluating the line integrals directly.
1.
2.
Jc (x 2 dx
y 2 dy) along the square with vertices (0, 0), (l, 0), (I, 1), (0, I).
Jc [-x y dx + (y 2
1) dy] along the triangle with vertices (0, 0), (I, 0), (I, I).
3. Jc [(x
y = x2
5.
x dy)/(x 2
y 2 ) along:
6.
Lun
ds =
JJ6v dx dy
D
Sec. 8
7.
35
Li U~)
ds =
JJ
[(vx)
+ (i:y}2]
dx dy
from (8.6).
(b) Suppose further that v = 0 on C; show that v = 0 identically in D.
(c) If 21'/211 = 0 on C, instead of v = 0, show that v = constant in D.
Chapter
Linear Partial
Differential Equations
1.
.,ux",ux1x1,ux1x2')
= 0,
(a)
(b)
(1.1)
(c)
(d)
(e)
xux + yuy - 2u = 0
yux - Xlly = x
uxx - lly - u = 0
+ )!Uy - U = xy 2
llxx + xu; + yu = y
llllx
36
Sec. 1
37
y2
is a solution of equation
So/11tio11:
llx =
2x,
//}' = 2y
and so
xu,
y11,. -
211 = 2x 2
2y 2
2(x 2
y 2)
u(x. y)
in (I. I).
Here we have
Solution:
u,
- e-ly COS X,
11,.
Thus,
for all x and y.
A partial differential equation in the function u is said to be linear if it is at
most of first degree in u and the derivatives of u. This means that the equation
should not contain any term that involves powers or products of u and derivatives of 11. Thus, in (I.I) equations (a). (b), and (c) are all linear differential
equations. On the other hand, both equations (d) and (e) are not linear because
the former involves product of u and u" whereas the latter involves second
power of uY. Another way of defining linearity is given in Section 3 of the
pcesent chapter. A partial differential equation that is not linear is called a
nonlinear differential equation.
Throughout this book we shall be concerned only with linear partial
differential equations of the first and second order involving two independent
'
38
Chap. 2
o-u
c1 2
ox 2
OU
o-u
eel
cx 2
(ii)
(1.2)
_,
o2 u
_,
_,
c-u
(iii)
cx
= f(x, t)
ou
g(x, 1)
ay2
= h(x, y)
and their related forms. These equations are the basic partial differential
equations of wave propagation, heat conduction, and potential theory. Not
only are these equations of fundamental importance in many branches of
physics, but they also serve as prototypes for the three principal types of secondordcr partial differential equations. The kinds of problems that can be solved
for each of these equations and the properties of the corresponding solutions are
generally typical of what can be expected in the general case where more than
two independent variables are involved.
Exercises 2.1
1.
Determine the order of each of the follov.ing equations and find which are linear.
(a)
Uu
(c) 11.u -
(e)
2.
xu"'
Xl/J'
llyy
= 0.
yun'
+ llxx - llx = 0.
+ .my + II = 0.
u"' + x11,.Y - /1 = xy.
(ux) 2 = x 2 .
(b) lllly
(d) yu,
(f)
211
= I.
x2
; Yllx -
11,.x
0.
3.
Show that the given function satisfies the accompanying partial differential
equation:
(a) 11(x, y)
ex + sin y + xy; llxi = I.
(b) u(x. y)
0.
cos(3x + 2y); 6u,-x - 13uxr + 611,.r
(c) 11(x, y) = x 2 + exy sinh x; 11,._,. - xu,. = 0.
(d) 11(x. y) = (cosh y) In x; 1111_". = (11J(u.. ).
4.
Verify that the follov.ing functions are solutions of the \\ave equation 11 11
= 0 for some value of c.
(b) u(x, t) = cos x sin 2t.
(a) 11(x, f) = x 2 + t 2 .
(d) u(x. t) = sin 2 (x + bt) + ex-bt.
(c) 11(x, t) = ln(x + t) + (x - t) 2
Verify that the following functions are solutions of the Laplace equation""'
c2 u0
5.
//}')' = 0.
(a) u(x, y) = ex cosy.
(cJ 11(x, y) = sin x cosh y.
(b) u(x, y)
3x 2y -
y 3.
(d) 11(x, y)
ln(x 2
y 2).
Sec. 2
6.
2.
Verify that the following functions are solutions of the heat equation 11,
0 for some value of c.
(a) 11(x, t) = e- 41 cos x.
(b) 11(x, t) = e-a 21 sin bx.
11
(c) u(x, t) = e4 s cosh sx.
(d) u(x, t) = e' 21 sinhsx.
39
-
c2 uxx
- +
(2.1)
dx
u = f(x)
u(x)
J:
e-<x-t)f(t) dt
ce-x
u(O)
cu
~ +
(2.3)
ox
= f(x)
u(x, y)
J:
e-(x-'lj(t) dt
g(y)e-x
where g is an arbitrary function of y. It is easy to see that for any choice of the
function g, u satisfies equation (2.3).
Example 2.1.
sin x
40
Chap. 2
Sol111io11: The general solution can be obtained by partial integration. That is, we
integrate both sides of the equation \\ ith respect toy, treating x as a constant, to
obtain
yl
u,Jx, y) = y sin x + + h(x)
2
h being an arbitrary function of x. Next, integrating with respect to x, treating y
as a constant, we obtain
u(x. y) =
- y
cos x
f(x)
If \\e write
+ .
xy
h(x) dx
g(y)
h(x) dx
- y
cos x
X)'2
f(x)
g(y)
Solution: We first verify that the !!iven function satisfies the differential equation.
Differentiating by the chain rule, \\ e find
llx
q',
lly ~~
2f'
g',
Urr =
ll.u =
4_("
("
g"
g"
and so
To show that
/1
s = .r - 2.r,
and write 11(s, r I
iiLY. y).
l=x+y
Then
11,.,. =
411".,_,
9ws 1 = 0
Sec. 2
g(I).
2u'-' - u,._,. -
11,T
.ti
is
+ g(x +
y)
Sof111io11:
i-.,
..
x2 -v
where h(y) =
Example 2.4.
y 2 In
2x
ur =
/z( y)
1-,
11
by
f(x)
arbitrary functions.
Sol111io11:
is
u(x, y)
f(x)e-xr
+ g(x)exr
42
assume //P(x, y)
we have
A(x) sin y
-(1
B(x) cosy.
x 2 )A sin y -
B(l
Chap. 2
x 2 ) cosy
x sin y
so that
A(x) =
x
0
+ x-
B(x) = 0
= f(x)e-xr + g(x)exr -
x sin y
I
x2
Sec. 2
43
Exercises 2.2
].
2.
Find the
(a) u,. =
(c) llx =
(e) 11,. =
{f) ux =
Find the general solution of each of the fol Im\ ing equations:
(a)
llx}'
(c)
(e)
Uu
= yex.
u,"
(b)
ex-}.
llxr =
2y.
3.
4.
Obtain the general solution of each of the following by regarding the equation as
an ordinary differential equation.
(a) u,. + yu = 2xy.
(b) 11
(2/y)11 = (3 cos x)'y 2 .
2
2
(c) uu - 4y 11 = 3x.
(d) u'-' + 2y11x - 3y 11 = 0.
2
(e) urr - 2.rn,. + x u = 0.
1.
5.
ur =
2xe'
6.
7.
8.
9.
y) = y
= sm
x.
e" -
I.
11(x,
0)
44
3.
Chap. 2
transforms each function 11 that has second-order partial derivatives with respect
to x and t into the new function
Lu
= u,, -
c"uu
(3.3)
(3.4)
(L
Mas the
M)11 =Lu+ Mu
for all functions 11 for which both Lu and Mu are defined. Thus, if L 1s the
operator (3.1) and A! is the linear operator
M =
(i'xc'')
+ Mis defined by
(D)
c'y,
xy
Sec. 3
If we replace u in (3.4) by c 1 11 1
45
c2 u2
L(c1ll1
(c 1 L11 1
+ c 2 Lu 2 ) + (c 1 lvfu 1 + c2 JfoJ
c 1(L11 1
C1(L
C2!12)
+ c2 (Lu 2 +
Mu 1)
M)111
Af(t1ll1
C1(L
C2ll2)
lvfu 2 )
M)112
which shows that the operator L + Mis also linear. Thus, we conclude that the
sum of any finite number of linear operators is a linear operator.
In similar manner we define the product LM of the linear operators Land M
by the equation
(3.5)
(LH)u = L(Mu)
for all functions u for which both Mu and L(M11) are defined.
follows that
L(c 1 M11 1
(3.6)
C1(LM)111
+
+
From (3.2) it
c 2 Mu 2 )
C2(LM)112
v.hich establishes the fact that the product of linear operators is also linear.
Now let L denote a linear partial differential operator. An equation of the
form
(3.7)
Lu =f
(3.8)
Lu
= 0
Then. by (3.2), it follows that any linear combination of these functions also
satisfies equation (3.8). This important fact is known as the principle of superpo~ition. This principle is used extensi\'ely in the solution of linear differential
equations. Correspondingly, if the functions i: 1 , . . . , i,, are such that Lii = /i
(i = I ..... 11), then the function r = c 1 + + t,, satisfies the equation
fr=/1 ++f,,
In particular, if 11 is a solution of the homogeneous equation (3.8) and v is a
particular solution of the nonhomogeneous equation (3.7), then the function
w = 11 + 1' satisfies equation (3.7).
Under certain conditions on convergence, the principle of superposition can
also be applied in the case where there are infinitely many solutions of a linear
homogeneous equation. Suppose that 11 1 , . . . , u", . .. is a sequence of functions
46
11;
Chap. 2
(3.9)
C,11;
i= 1
This is actually an infinite series. If the cor.stants c; and the functions 11; are
such that the series (3.9) comerges to a function 11. and such that the series can
be differentiated term by term so that the resulting series comerges to the
corresponding deri\ati\e of 11. for all derivati\es appearing in the operator L,
then it is true that
Hence, Lu
Example 3.1.
Consider the
\I
ave equation
It is easily seen that the functions u,,(x, y) = (x - y)", 11 = I, 2, ... satisfy the
equation for each 11. Hence, by the principle of superposition,
.\
u\(x, y) =
L
11=
c,,(x - y)"
is a solution of the 11ave equation for any integer N 2: I and for arbitrary constants c,,, 1 .::; 11 .::; N. In particular, if the constants en are chosen such that
en = 0 and c 2 k- 1 = ( - l )k- l /(2k
I)!, for k = I, 2, ... , then by the Weierstrass M-test the series
L
Cf_
<- i ik- 1 .\ -
.i
(2k -
k=1
)2k- l
I)!
and its derivatives of any order converge uniformly in any bounded domain of the
.\-;-plane containing the origin. Hence. by the extended principle of superposition,
the preceding series is also a solution of the wave equation. As a matter of fact,
we notice that the series converges to the function u(x, y) = sin(x - y), which is
easily seen to satisfy the wave equation.
There is a variation of the principle of superposition concerning solution of a
homogeneous differential equation that depends on a parameter. Superposition
in such a case is achieved by integration with respect to the parameter rather
than by summation. Suppose that i is a solution of the linear homogeneous
equation (3.8), which depends on the parameter t. Let Ii be an arbitrary function
of t and consider the function u defined by the definite integral
(3.11)
u(x, y) =
li(t)r(x, y; t) dt
Sec. 3
47
r'I:
(3.12)
l)
/i(t)1(x,
y: 1) dt
'l,
It is clear that for any value oft, the function r(x, y; t) = e-r' sin xt satisfles the
heat equation. Let lz be an ab!>olutely integrable function on the interval 0 <
t < rx. \Ve shall show that the function 11 defined by the integral
u(x,
(i)
L"
y) =
hU)e-"' sin xt dt
is a solution of the heat equation in the upper half-plane - er., < x < co, y > O.
First, \\e note that by Weierstrass M-test the integral (i) converges absolutely
and uniformly \\ith respect to x and y. since
(y ;:>: 0)
and his absolutely integrable on the interval 0 < t < x. Thus, 11 is a continuous
functionofx,yintheupperhalf-plane. Next, let h(r), <Mandy::>: y 0 > Oand
consider the integral
(ii)
/i(t)err' sin xi
and the function on the right is integrable from zero to infinity \\ith respect tot,
it i'ollm's by the M-test that the integral (ii) is uniformly convergent. Thus,
imcgral (i) is differentiable \\ith respect toy and
. . f' -
Cll
CT
C\'
/z(l)e
_ .,2
.i
sin xi dt =
loo t h(t)e
2
_. 2
'' s111 xt dt
Jn the same 11ay, integral (i) can be differentiated twice with respect to x under the
integrJ! sign. Therefore, for - x < x < x, y > 0,
48
Chap. 2
Exercises 2.3
1.
Let L = a(c,cxl
b(c,cy) + c and .\f = c:tCC/cx)
and <. [J. ;are constants. Sho\\ that LV/ = .'If L
2.
Give examples of linear operators Land .\f to sho11 that LM and .\IL are not
ahvays equal.
3.
Verify that each of the functions 11,,(x,t) = exp[-(11- ~) 2 1] sin (11 - }Jx,
11 = I. 2, ... satisfies the heat equation // 1 llxx = 0 and the auxiliary conditions 11(0, 1) = 0, un. 1) = 0. Then find a linear combination of these functions that satisfies as 11ell the condition u(.Y, 0) = 2 sin ~x - 4 sin ix.
4.
11
/J((/cy)
i', \\here a, b, c
(n
l, 2, . . )
ll_'(X
ktt =
(k
= const)
11
(x, I J = cos
11 cl
-112
t sin nx
(11
I, 2,
const)
(y -
1)
(11
= l. 2,
satisfies Laplace equation 11xx + 11rr = 0 and the auxiliary conditions 11(0, y) = O,
11(2, y) = 0, u(x, 1) = 0. Find a linear combination of these functions that
satisfies the condition u(x, 0) = sin nx -- 3 sin 2nx.
7.
Let y 0 > 0. Show that the series ~~-~ 1 c 11 e-nr sin 11x, 11 here the coefficients c"
are all bounded, is twice differentiable \1ith respect to x and y and satisfies
Laplace's equation un + 11n. = 0 in the domain y > Yo
8.
is twice differentiable with respect to x and 1, and satisfies the differential equation
11 11 - lixx + 2u, = 0 for all values of x and t.
Sec. 4
9.
sin Ol ].
.1
sin 0)]
e,
also satisfies the Helmholtz equation if his a function for which differentiation
under the integral is valid.
Obtain exponential solutions 11 = ,,,x~-111 of the wave equation 11 11 - 11,, = 0 and
show that the integral
10.
4.
a(x, y)u,
b(x,
_1')11
c(x.
_1')11 =
d(x, r)
l\"~
,I(~. 1/)\1' =
I(~. 1/)
where ~ and 17 are new independent variables. Equation (4.2) can now be
regarded as an ordinary differential equation with as the independent variable
anJ 11 as a parameter. Hence. its general solution can be found by the use of the
standard formula pertaining to such an equation. The integration constant in
the solution must, however, be replaced by an arbitrary function of 17. The
general solution of the original equation is then obtained by returning to the
variables x, r.
Indeed. if either one of the coefficients a, bis identically zero, then equation
(4.1) is readily reducible to the form (4.2). Let us assume that a =I= 0 and b =/=" 0.
50
Chap. 2
In order to transform equation (4.1) into the form (4.2) we introduce ne\\
\ariables sand 17 by the equations
~ =
(4.3)
17 = 1/;(x. _1)
</!(.\. _r).
The functions</; and 1/;. \vhich will be subsequently delermined. are assumed to
be continuous and ha\e continuous first-order parlial deri\ati\es in D such that
the Jacobian
(4.4)
111 the neighborhood of some point in D.
Writing
11(x. _1)
11k.
11 ), we then
u,.
+
H/P_, +
ir::,r/; x
h',,1/1_\,..
ll',11/1)
(4.5)
The coefficients a, b. c, and dare now to be considered as functions of sand 17.
If \le choose the function 1/1(x. r) in (4 3) such that
( 4.6)
mflx
lJiflv
= 0
b
a
or
then the term imolving 1r,1 in (4.5) drops out, and for any choice of r/; satisfying
the condition (4.4). equation (4.5) reduces to the form (4.2). Thus, it remains
for us to determine a function 1/1 that satisfies (4.6).
Suppose for the moment that such a function ijJ e\ists with 1/;r i= 0: set
ij;(x. r) = c. \\here c is any constant. Then. on taking the total differential of
i/J = c. \IC find
which implies that
cir
dx
lf1x
v1_..
dy
dx
Sec. 4
51
11~ +
(4.8)
C)
C)
11
exp(J ~di;)
r((, 17)
rlJ{ ad
1'(, 17)
+ /(17)1
.
(4.9)
11(x, r)
1
v[x, 1/;(x,
y)]
+ f[i/;(x, y)]}
W((, 17)
J:
i:((, 11) d
We note that the first term, W(x, ij;)/r(x, if;), in formula (4.9) is actually a
particular solution of equation (4.1), and the second term,f(x, ij;)/c(x, if;), is the
grneral solution of the corresponding homogeneous equation
(4.10)
a(x, y)ux
b(x, y)uy
c(x, y)u
= 0
52
Example 4.1.
Chap. 2
Gllx
/){{J'
Cl/ =
So/11tio11:
dy
dx
bx - ay = const
which arc straight Jines. Introducing the new variables
the given equation becomes
c
}1.:.:
X,
I/
bx -
G)',
)V
11'(-;, 17)
Example 4.2.
+ (c/b)11
0, whose
Su/111io11:
11,.
Jlly
II =
dx
By separation of variables \\e find that the characteristic curves are given by
xy =c c. We therefore introduce c; = x and 11 = xy. The transformed equation is
ll'~
-;
ll' =
"
ll'(s, I/)
= c + l f(lJ)
~
x:
_1) =
.\'
f(xy)
53
Sec. 4
In the study of the first-order ordinary differential equation di 1dx = /(x. r).
it is usually required to find a solution of the equation that assumes prescribed
\alue at a specified point on the .\"-a\is. Geornetricall:-. this means finding an
integral cune that passes through a specified point in the .\T-plane Under rather
general conditions on I such a problem possesses one and only one solution.
A similar problem for the lirst-order partial differential equation (4.1) consists
in determining a solution of the equation that takes on prescribed \alues at
points on a specified cur\"c in the xy-plane. This corresponds to finding an
integral surface that contains a specified cunc in .\T11-space. If the parametric
equations of the cune in the .\T-plane are
C:
(4.11)
r = r(s)
x = x(s).
and if 11
<f;(s) on this cun e. then the problem of finding a solution 11 = 11(x. y)
of the equation (4.1). such that 11 = c/>(.1) on the cune C. amounts to the determination of the function/in the general solution (4.9). In general. the function
I can be uniquely determined in terms of the initial \aluc c/! and the other
specilic functions in (4 9) when the equations (411) of the cune Care substituted
for x. _1 in (4.9) and 11 is set equal to <f;.
Find the solution of the equation
Example 4.3.
2u, - ?.11,.
\I
Sof11rion:
B~
11 =
2x
211
on the liner
'"..,
u(x. y) = (x -
e-~((3x
11
2y)
= x 2
11e have
= x - 1 + e-'/(2x)
or
f(2
Let r
2.1 so that x
(\ 2 -
I) =
.\
+ ] )e-'
r 2. Then
I 2
./(11
1 ) e'
x -
x -
I ,-
__ ,
e
~(3x +
4
(3x :
2_1)
2y)2 -
+ ]]
..,
(3x :
2y)
e(3x+ 2.n 2
ecx+hl 2
It should be pointed out that the cune Con which the values of 11 are prescribed cannot be taken arbitrarily. Specifically. it cannot be a characteristic
cune of the differential equation. The reason for this restriction is apparent
54
Chap. 2
when we look at the form of the general solution (4.9) of equation (4.1 ). On a
characteristic curve, say, ij;(x, y) = c 1 , the solution (4.9) assumes the form
ll
(4.12)
where k is a constant, the problem has no solution. On the other hand, if has
the form (4.12), then there exists infinitely many solutions given by (4. 9), where
f is any differentiable function such that f(c 1 ) = k.
Example 4.4.
311,.
211
= 2x,
11
= c/J(x), on y
- 3x/2
x - 1
ke-x
where k is a constant. lf has the indicated form, give a solution of the problem.
Solution:
1)
e-xf(3x
2y)
+ e-xf(O)
But for any function f /(0) is a constant. Hence, the problem has a solution only
if is of the form so indicated. In such a case,
ll(X, y) = X -
+ e-xf(3x +
2y)
Exercises 2.4
In Problems 1 through 5, find the general solution of each of the equations.
3.
= 0.
llx - 2uy + II = Sin
5.
llx -
6.
1.
llx
UY -
u,. -
II
211 =
e 2x
COS
y.
2.
2ux -
311,.
X.
4.
311x - 411,-
2u = x 2 y
+ 2ex +
J.
3y.
II~
CU
= 0
55
Sec. 4
\\hen the coefficients
/3,
C\,
0)
+ b/3 = 1,
+ bc5 = 0
Gi'
7.
9.
+
+
Xllx
Jllx
Xllx -
xy11,. - 2x11
)'lly -
xu
= 2e" +
x u, - xyu,. + 2y11
2
10.
y.
xu,. =
8.
l.
Jllr =
2
x y.
0.
11.
y ux -
12.
(x
13.
xyux -
14.
y)(u, -
11r)
11 =
e-x.(.YJ.
x 2 uy - yu = xy.
= a 1x + h1Y +
I/ = a1 x + h2Y +
( = G3X + h3y +
CI;:
C2Z
C3Z
where the deterlllinant of the coefficients a;. h;. c;. i = l, 2, 3 is not zero.
(a) Show that the coefficients a;. h;. c;. l :S i :S 3, can be chosen such that the
equation is reduced to the form
11~
+ Du
11(x, y . .::)
Ay, Cy
B::)
(c)
15.
c-Dx'Aj(Bx -
Apply the result of Problem 14 to find the general solution of the following
equations:
(i) u, + '211.r
3u: + II = 0.
(ii) '2u, - 11,. + '211= + 311 = x + y + ::.
111 Problems 16 through 22. find the solution of the differential equation satisfying the
rrcsnibed condition.
16.
llx
17.
11, ,
18.
2u, -
19.
11"
u,.
1.
/1
= e" ''hen y
11,.
0.
511,.
411 =
(cos x)11r
11 =
11
sin x. 11
0.
cos x. when .1
= sin
y -
2x.
+ e-" + ~-\\hen x =
1 + cosy. when x =
0.
0.
+ 11 = x. 11 = x when y = x.
+ xu = 0. 11 = y. when x 2 + 2y 2 = 4.
+ 2xy11 = 0, 11 = c" sin(x + I), when y 2 = 2x +
2
20.
xu,
.r11r
21.
) 11,
xu,.
22.
_rn,
.rn,.
23.
Show that no solution exists for the differential equation of Problelll 22, which
assullles the prescribed value ef>(_y) on the circle x 2 + y 2 = a 2 , unless cf> is of the
2
form qJ(x) = kc-x where k is a constant. If cf> has the indicated form. show that
the problem has infinitely many solutions.
I.
56
Obtain the general solution of the equation y11, + x11,, - y11 = xex in the form
u(x, y) = e'y + e'f( y 2 - x 2 ). l f /1 is prescribed as q; on the upper portion of the
hyperbola y 2 - x 2 = 1 ( y ::::: I). shm\ that no solution exists unless qi is of
special form. Find this form and show that in such a case there are infinitely
many solutions.
24.
5.
Chap. 2
The general linear second-order partial differential equation in two independent variables x. r has the form
(5.1)
where the coefficients A. B, C D, E. F, and Gare functions of x and yin some
domain of the xr-plane Unlike the first-order equation (4.1), it is impossible to
obtain the general solution of (5.1) except in some special cases. We shall
consider here the special case
(5.2)
where a, h, c. d. e. and /"are constants such that a, b, and care not zero simultaneously. It is col1\enient to \Hite equation (5.2) in the form
(5.3)
Lu= 0
L = aD~
bDxDy
cD;.
dDx
eDY
+f
(5.5)
When this is the case, we say that Lis factorable or reducible.
In case the operator Lis factorable, a solution of equation (5.3) that involves
two arbitrary functions can be obtained by means of the result of the preceding
Sec. 5
57
(5.6)
+ 11 2 )
Lu 1 + L11i
L 2 (L 1 u 1 ) +
Lu
~hO\\ing
that
11
11 1
L(u 1
L 1(L 2 ui) = 0
a I y)
and
u 2 (x, y)
cixa'j~(bix
a 2 y)
(5.7)
u(x, y)
= e-c,xfa'f1(b 1 x - a 1 y) + e-cix" 1{ 2 (b 2 x - a 2 y)
5.1.
So/111ion:
L
L 1 11 1
u,r -
llx
u, = 2 cos(3x
2y)
y) = g(x
y)
= exf(x -
y)
g(x
y)
i(x, y) = A cos(3x
2y)
B sin(3x
2y)
58
Chap. 2
Substituting this in the equation and collecting similar terms. \\e ha\e
-(SA
B) cosl3x
2y)
SB! sin(3x
(A -
Hence.
-(SA
Bi
A - 58 = 0
which gi\eS A
equation is
u(x, y)
--/rand B =
e''j(x - y)
- -1\-
+ g(x +
y) -
-is cos(3x
2y) -
1 's
sin(3x
2y)
Next \Ve consider the case when L 1 = L 1 ; that is, when L has repeated
factors. We wish to determine the general solution of the equation
(5.8)
If we set L 1u
t\ then in order that u be a solution of equation (5.8).
satisfy the equation
(5.9)
must
11,
al y)
(5.10)
By the method of Section 4, we introduce new variables ( = x, 17
Then equation (5.10) is transformed into the equation
a 1 w~
c1w =
e-c,~/ 1 g 1 (17)
e-c,~., l~l
I
= -ai
..
g1(1J) d(
e-c,, a'(g1(11)
+ f2(1J)J
,
e-c";a'f2(17)
Lu
(L 1 L 2 )u
= L 1 (L 2 u) = L 1 v
Sec. 5
59
Here L 1 and
y)
g(x
y)
v,. = xy
Vx -
Wx -
Wy =
L'
= (17 - )
(iii)
3
- 3
+ 211
--2
Introducing the same new variables in (ii) and using (iii), we obtain
w~
3
3
+ 311
--
211
12
x4
-
12
+ x3(x
- +- y)
6
11,
Exercises 2.5
In Problems 1 through 8, find the general solution of the differential equations.
I.
U".
2.
Uu -
3.
llxx
llx
u,.,. llyy
+ ll = 0.
llx + lly = 0.
11,.
0.
60
4.
u,-x
5.
llxy
6.
+ 2u,r + 211,.,, = 0.
211)';' + 3u,. = o_
c2 11
I (;2
ct
,.2(;r2
--
Chap. 2
'
( r - II)
0. (Let r
C II
7.
8.
9.
= 0.
i:y4
cx
04 U
ox oy
04 11
cy 4
= 0.
In Problems I 0 through 13, find a particular solution of each of the given nonhornogeneous equations.
10.
Uu
11.
Uu
12.
llx_,
13.
11_'-' -
411)'}'
= x + y.
61/X}'
llx
2u"'
11,.
91/}"
II =
11,.Y
A \'l
e-'->'.
11,. = sin(2x
llx -
y).
14.
ShO\\ that the equation with variable coefficients ax 2 11xx + hxy11x,, + cy 2 11,.,. +
dx11x + ey11,. + fi1 = 0, where a,_ .. , fare constants, is reduced to an equation
\\ ith constant coefficients by the change of variables = ln x, 17 = ln y.
15.
Use the method of Problem 14 to obtain the general solution of each of the
following equations:
(a) x 2 uxx - y 1 un. + Xllx - y11,. = In X.
(b) xyun. + xu, + yu,. + 11 = xy.
2
const ct 0.
(c) x 2 u,x + 2xy11x,. + y u,.y - llXllx - llYllv + nu = x + y, 11
16.
(a) (Dx
(b) (D_,
=
=
ll_u
(c) (D_,
6.
+ D, + D,) 2 11
Uu
lixy -
11,.,
211,.Y
llzz
llxz
211xy
IL
0.
Sec. 6
61
where all the coefficients, A, ... , Fare constants, with A, B, C not all zero. In
an attempt to simplify the form of the second-order terms of this equation, we
introduce new variables ~ and 11 by means of the linear transformation
~ =
(6.2)
O'X
{Jy,
Y/ = yx
by
The coefficients c;, {3, y, and <5 are constants, which will be determined subject
to the condition ab - /31 f= 0. This last condition, which is the Jacobian
C:((, ry)/i}(x, y) enables us to solve for x and y in terms of ( and 17. Writing
u(x, y) = w(~, 17), we have by the chain rule
ux
O'\\'~
uY
(fil'.:,
+ ya,,
+ bw,1
Cz'. li'~~
Uxx
+ (c;b + {Jy)ir,,1 +
2
(l2w.:,:, + 2f3<5ll'.:,ry + i5 w,,ry
c;{Jir.:,.:,
llxy
urr
y15wry,1
(6.3)
\\here
(6.4)
+ 2Bc;f3 + Cf3 2
Ar; + B(c;J + {J}) +
Ay2 + 2B115 + C3 2
Ac; 2
a
h
c =
C(N1
The dots in (6.3) represent terms involving wand its first derivatives
It is easy to verify that
(6.5)
b2
ac
(B 2
11,
and
iv~.
AC)(cxb - (fy) 2
'
'
62
Chap. 2
+ ...
(ii)
}t' ~,!'
...
(iii)
u~~
(i)
(6.6)
"
= 0
= 0
+
+ w,,,, + ... =
if B 2 - AC > 0
parabolic t;pe, if B 2 - AC = 0
elliptic type, if B 2 - AC < 0
(i)
(6.7)
hyperbolic type,
(ii)
(iii)
We see in the above classification that only the coefficients of the second-order
terms matter. The quantity B 2 - AC is called the discriminant of the equation.
In view of formula (6.5), we see that the sign of the discriminant remains unaltered under the change of variables (6.2). Thus, the type of equation (6.1) is
invariant with respect to the linear transformation (6.2). This invariance
property is, of course, to be desired if the definitions (6.7) of hyperbolicity,
parabolicity, and ellipticity of partial differential equations are to have any
significance.
Example 6.1.
AC= I > 0.
This
AC = 0. This equation is
is elliptic, since B 2
Sec. 7
63
The determination of the functions ( and YJ, ~owever, involves solving firstorder differential equations, which we shall not pursii'e in this book.
It should be noticed that if equation (6.1) involves variable coefficients, it can
very well happen that the equation is of one type in one part of the domain and
of a different type in another part. For example, consider the equation
11.u
+ u,,. -
2.
2uu - 4uxr
3.
3u.n -
+
+
2uxy
/In,
+
+
llx
lln -
= 0.
u,. = 11.
u,.,. = xy.
+ lly + 3u = 0.
+ //}l' - XII = ex>
2
2
6. 4uxx - 4ux,. + llyy + 3u, = x + y .
7. 4uxx + 12uxy + 9uH - 2ux + II = 0.
8. uxx - u,,. + Sun, + .Hix + yu,. = 0.
711}.,. - 211x
4.
4u,r
5.
2uu
9.
/lXJ,
(x 2
I )uu + 2yu,,. -
llyy
llx
lly
= 0
10.
Un
2xuu
)'llyy -
11
= 0
7.
We now consider the problem of choosing the constants ix, {3, }', and c5 in (6.2)
so that equation (6.3) will reduce to one of the canonical forms (6.6).
(i) H1perbolic Trpe, B 2 - AC > 0. In this case we shall show that (6.2)
can be chosen such that the coefficients a and c in (6.3) vanish, while b i= 0. We
therefore consider the equations
a
(7.1)
c
= Aa
+ 2Baf3 + C/3 2 = 0
Ay 2 + 2Byb + Cc5 2 = 0
64
Chap. 2
If A
C = 0, then of necessity B -:/- 0 and thus equation (6.1) is readily put
in the canonical form (6.6i) by dividing out by 2B. Jn this case, the transformation (6.2) may be chosen as the identity transformation
(
x,
1/ = y
+C=O
(7.2)
Thus, in order that the coefficients a and c will vanish, we shall choose
and c5 such that ry_//J and 1/b are roots of the quadratic equation
Am 2
(7.3)
Since B
1111
+ 2Bm + C
rJ.,
fJ, y,
-B
(B 1
AC) 12
1112
-B - (B 2
AC) 112
Ar/
+ B('Y-6 +
= -2A(B
{3y)
+ C/Jr5
AC)-:/- 0
(B 2
AC) 112 ]x
Ay
[ -B - (B 2
Ay
[ -B
(7.4)
1/
+ ... =
(7.5)
~'
~ +
2
11
65
Sec. 7
(7.6)
This is the alternative canonical form for equation (6.1) of the hyperbolic type.
This alternative form can. of course. be achie\ed directly from equation (6.1)
by means of the transformations
~I
-Bx
(7.7)
17'
(B 2
Ay
AC) 112 x
J611J"J" =
611.n -
is hyperbolic and find its canonical form and its general solution.
= 2x + J.
8x
I/
Then
llx =
211 0
11,.
11, + 11,,
Uu
llxy
llyy
811,1
611,,1
211::,c, -
= II~~
'J..t1S11
811,1,1
11,,,,
or
= /() +
g(I/)
= /(' +
11')
g(' -
1()
y)
g( - 8x
y)
66
Chap. 2
This agrees with the result obtained when the method of Section 5 is used. In
fact, v,e notice that the differential operator corresponding to the given differential
equation has the factorization
(D~
+ 6DxD,. -
+ SD,)
y)
= constant,
ry(x, y)
= constant
where the functions ~ and 17 are defined in (7.4), are integral curves of the
ordinary differential equations
dy
dy
(7.8)
-1111,
= -m2
dx
dx
(dy)
dx
- 2B
(dy)
.dx
= 0
or
(7.9)
A dy 2
2B dx dy
C dx 2
This equation is called the characteristic equation of (6.1 ). Thus, when equation
(6. l) is of the hyperbolic type, its characteristic equation (7.9) has two families of
characteristic lines. These characteristics play a fundamental role in the consideration of initial value or boundary value problems for partial differential
equations of the hyperbolic type.
(ii) Parabolic Type, B 2 - AC = 0. In this case, it is clear that the coefficients
A and C cannot be both zero. Suppose that A i= O; the case C = 0 can be
treated in similar manner. Then the quadratic equation (7.3) has only one
distinct root, m = - Bf A. If we choose y = B, <5 = - A, and let 'Y. and f3 be
any numbers such that rJ.b - [Jy i= 0-say, 'Y. = 1 and f3 = 0-then from (6.4)
it follows that a = A, b = 0, and c = 0. Here we have used the fact that
B 2 - AC = 0. Thus, in the parabolic case, the transformation
(7.10)
~ =
11 =Bx - Ay
x,
a1 w
A --
a~2
+ =
which results in the canonical form (6.6ii) when divided out by the coefficient
A i= 0.
[n terms of the characteristic equation (7.9), we conclude that in the parabolic
case, there is only one family of characteristics given by Bx - Ay = constant.
Sec. 7
67
Example 7.2.
U<X
21/X)'
ll>'Y
Sol111io11:
llx
II;;+ 11,1
lly =
-11,,
u'" = us~
llxy =
211,,1
11,1'1
- u,,,.,
u~,,
,,
II" =
xf(x - y)
g(x - y)
-B
-B - i(AC
i(AC
A
1112
A
2
112
The choice ry_ = - 8 + i(AC - 8 ) , fj = <5 = A, and /'
ii. would then
make the coefficients a and c of equation (6.3) \'anish, with b
2A(AC - B 2 ) >
0. Thus, under the change of variables
(7.Jl)
Y/
[-B + i(AC
82)1;2Jx
[ -8
B2)1 2Jx
i(AC
+
+
Ay
Ay
iJ 2 H
2b - - + ... = 0
8 OYf
1
(7.12)
However, from (7.11) we see that~ and 1J are now complex variables such that
~ = 11. In order that we may have a canonical form in real \'ariables, we further
make the change of variables
(7.13)
~'
~ +
2
Y/
68
Chap. 2
-Bx
(7.15)
1( =
Ay
B 2 ) 112 x
(AC -
Writing ~ and 11 again in place of ~' and 1( the transformations (7.15) correspond to the choice CJ. = -B. f3 = A,/' = (AC - B 2 ) 112 , and <5 = 0 in (6.2).
With this choice, it is easily verified from (6.4) that a = c = A(CA - B 2 ) and
b = 0. Therefore. under the change of variables
-Bx
c;
(7.16)
Ay
I/
equation (61) can be reduced to the desired canonical form (6.6iii) in the
elliptic case.
We notice that since B 2 - AC < 0. equation (7.9) has no real integral
cunes. This means that an equation (6.1) of the elliptic type has no real
characteristic.
Example 7.3.
= x + y,
I/=
AC= -4 < 0.
2x
\\eseethat
u,
//,
11,.
//,
llxy
+
I I,,
" +
Uyy
11~~
llxx
II~~
2u, 1
4u~, 1
+ 411,,,,
211~,,
Substituting these in the differential equation, \\e have the desired canonical form
69
Sec. 7
JW +
g((}
/[(x
y)
+ 2ix] +
g [(x
2ix]
y) -
Exercises 2. 7
Reduce the following hyperbolic partial differential equations to the canonical
forms (6.1 i) and (7.6).
3u""
2.
11 rr
UX}'
I.
Reduce the follm1 ing parabolic partial differential equations to canonical forms.
6.
7.
8.
9.
+ l/J'J llx. = 0.
61/X)' + 911)')' + II; = xy.
llxx II
0.
9uu + 6u,.,. + ii~._\'
0.
llxx + 2u,,. + lln: - 411
-
4uxx
4u".v
Reduce the follov,ing elliptic partial differential equations to the canonical form
(7.14).
13.
+ II = 0.
211" - 2u, . . + 511rr lln + 2u,,. + 211yy 3uu
Su<>. + 611n,
14.
411_""
10.
1J.
12.
Uu
411n
Xllr
= 0.
yu, = 0.
II
= 0.
0.
sin y.
In Problems 16 through 19, find the general solution of the differential equation by
first reducing the equation to its canonical form.
16.
3uu
Uxy -
2uH
+ 2uxy + 2uJ'Y
+ 4uxy + 411}'}'
4u,Y + 511)')'
0.
= 0.
17.
5u'-'
18.
Uxx
19.
ll:cr:
20.
0.
0.
llxx -
11,.J'
Gllx
+ bu,. +
Cit
70
Chap. 2
\\here a, b. and c are constants. Shm\ that by introducing the new variable
defined by r(x. y) = ex-. P)u(x, y), the equation can be put in the form
l"xx
where i-' = (b 2
21.
a2
Z\y
'll
1.
= 0
4c)/4.
Gllxx -
bu, -
Cll =
where a. b. and c are constants. Show that by introducing the new variable 1,
defined by r(x, t) = e'x'P 111(x, t), the equation can be put in the canonical form
1' 1 ktxx = 0.
Chapter
Jn this chapter v.e shall study certain types of problems that are generally
associated with linear hyperbolic partial differential equations.
We shall
consider these problems in connection with the equation
-2
,z
c u - c2 o u = F( x t)
ot
ox 2
where x and t are the two independent variables and c is a constant. This
equation, called the wave equation. serves as the prototype for a class of hyperbolic differential equations involving two independent variables. It arises in the
<otudy of many important physical problems involving wave propagation
phenomena, such as the transverse vibrations of an elastic string, and the
longitudinal vibrations or the torsional oscillations of a rod. The wave equation
i' certainly one of the most important classical equations of mathematical
physics.
J.
72
Chap. 3
(vertical motion) takes place in the xu-plane. The problem, then, is to determine
u(x, t) for 0 < x < L and I > 0.
We flrst show that under certain simplifying assumptions the displacement 11
satisfies the \\a\e equation. \Ve shall assume that the tensile force in the string is
very large so that the weight of the string can be ignored. Further, we shall
assume that the string is perfectly elastic and offers no resistance to bending;
this implies that the tensile force at any point of the string acts in a direction
tangential lo the profile of the string. Finally, \Ve shall assume that the string
has only small trans\erse \ibrations so that the slope 11" at any point of the
displaced string is small; in particular, we shall take
to be negligible compared
with unity.
Now Jet us consider an arbitrary segment AB of the string with length ~s
(see Fig. 3.1 ). Let x and x + ~x be the coordinates of the points A and B. and
let T 1 and 7~ be the tensile forces acting at these points, respectively. These
forces are tangential to the shape of the string at the points A and B, as we have
assumed abo\e. Since we ha\e only vertical motion, the algebraic sum of the
horizontal components of the tensile force must be equal to zero. Thus, we ha\e
u;
where et. 1 and et. 2 are the acute angles between the tangents at A and B and the
x-axis. By the assumption on
we have
11;.
cos
cos
Cl.1
Cl.2
(I
tan 2
et.i)
172
(I
2 1/2
+ uJ
. "
(I
lan2
et.2) i ;2
(I
2 1;2
ux)
x+.6.x
B
I
I
I
I
I
I
I
: ll(X
+ 6.c.
I)
I
I
---=o:-1'----------~x-----_,~.-+_,6-_,-.-------~L'-----'
FIG. 3-1
Vibrating string.
Sec. I
73
and therefore
T 1 = T2 = T = const
tan
'Y. 2 -
'Y. 1 )
= T
f-~ 11
lex
(x
Lix, t) -
~ 11 (x,1)1
ex
11~) 1
Lix ~ Lix
~ t (,
11
(1.1)
p(Lix)
1) = T
01-
f~u (x +
lex
~ 11
Lix, t) -
cx
(x,
1)1
.J
\\here x < < x + Lix. Oi\iding both sides of equation (1.1) by Lix and
taking the limit as Lix tends to zero, we obtain
0
( 1.2)
\\here c = (T/p) 1 2 is a pos1t1\e constant. Equation (1.2) is called the onedirnensional wa\e equation. It is a hyperbolic partial differential equation with
constant coefficients. The constant c has the dimension of a \elocity, as the
reader can easily \erify by substituting appropriate units to T and p. This
constant represents the maximum \elocity of propagation of a disturbance in the
string, as we shall see later.
If there is an external \ertical force~sayJ(x. 1) per unit length~acting on the
'tring, then the terrnf(x. I) Lix must be added to the right-hand side of equation
(1. l ). In passing to the limit, we obtain the equation
( 1.3)
o~z u (
)
, x,t
a1-
'' (
, 0-11
-c-~
x,t)=
ox 1
f (x. I )
F(x. I)
74
Chap. 3
11(x. 0)
= f(x),
u,(x, 0) =
11(x. t)
and
g(x)
where/ and g are some given functions defined for 0::;, x :S L. Further. since
the ends of the string are fixed at x = 0 and x = L, the displacement function
at these points must ah\ ays be equal to zero: hence,
11(0. t)
(1.5)
0,
u(
L. t) = 0
(I ~ 0)
It should be noted that physical considerations dictate that f(O) = g(O) and
f(L) = g(L) = 0.
\\'e call the conditions ( 1.4) the initial conditions, and the conditions ( 1.5),
the boundary conditions. In particular, the functions/and gin (1.4) are called
the initial data.
Therefore, to obtain the displacement of a vibrating string with fixed ends. we
must find a solution of the wave equation (1.2). or (1.3) if there is a forcing term
F. that satisfies the initial conditions ( 1.4) and the boundary conditions (I .5).
This type of problem is called an initial-boundary \'alue problem.
Of course, if the ends of the string are not fixed but are allowed to move
subject to some constraints. other boundary conditions arise. For example, if
the ends of the string are allowed to mo\'e vertically without a restraining force,
then the displacement function must always satisfy the conditions
u,JO. 1)
(1.6)
0.
uJL, t) = 0
which are called free boundary conditions. On the other hand, if the ends are
attached to a spring, the boundary conditions assume the forms
(1.7)
11)0. I)
/111(0. 1) = 0,
u,(L. 1)
hu(L. 1)
Sec. I
75
Exercises 3.1
1.
Let "and
(ix
= f(x),
= O;
u,(x, 0)
r(x. 0)
= 0,
v,(x, 0)
g(x)
= f(x).
w(x, 0)
2.
0 together
w,(x, 0) = g(x)
f(x),
ll 1 (x, 0)
!1(0, t) = a(t),
Let
11(L, I)
= g(x)
= b(f)
s x s
(0
L)
(1 ~ 0)
a(t),
1(L, t) = b(t)
Deterllline the differential equation and the initial and boundary conditions
satisfied by w. where w = 11 - u.
3.
Lu=
llrr
11(x. 0)
11,(x, 0)
= 0
llxx
2
C 11
= 0
Lu= F,
ll(X, 0) =
= 0.
f(x),
0)
C.<
g(x)
< 00)
4.
Verify that the function 11(x, I) = sin 2x cos 21 satisfies the equation 11 11
0 and the initial conditions 11(x. 0) = 2 sin x cos x. and 11,(x, 0) = 0.
5.
Verify that the function 11(x, I) = sin 2x sin 21 satisfies the wave equation of
Problem 4 and the initial conditions 11(x, 0) = 0, 11/x, 0) = 2 sin 2x.
6.
uu
7.
llxx
11
sin nx
11(x, 0) = 0,
11,(x, 0) = sin nx
11(0, t) = 0,
11(1, I)= 0
xt 2
sin(x
llrr -
s x s
1)
(t ~ 0)
11(x, 0)
11,(x, 0)
= 2x
= sin x
= cos x
'
8.
Chap. 3
76
Show that 11(x. r)
problem
(ex-i
u(x, 0)
(x 2 0)
ex
11,(x, 0) = 0
(x 2 0)
u(O, r) = cash t
(r 2 0)
9.
= 0
(x
> 0)
11(x. 0) = 0
(x
> 0)
ll11 -
llxx
(x >
u,(x, 0) = cos x
uJO, r) = 0
(r 2
OJ
0)
Let
10.
/z
(r _') +
u(x, I)
{ j (x -
f(x
~) + f
(x
ct) -
cf)
(ct -
x)
(ct < x)
Show that 11
(x > 0. t > 0)
u(x, 0)
11 1 (x, 0)
f(x).
= 0
(x > 0)
(t >
1I.
OJ
Let
r-xic
( - c
u(x. t) =
Sho\\ that
11
h(s) ds
(0 ::::
x < cf)
(ct < x)
satisfies
(x > 0, I > 0)
2.
11(x. 0)
0,
u,(0. t)
h(f)
11,(x, 0)
(x > 0)
(t > 0)
(2.1)
21 2
c2
iJ2u
<;x2
(-
00
< x <
CIJ,
t > 0)
Sec. 2
77
(2.2)
ll(X,
0)
11J:c 0)
f(x).
= g(x)
(-x<x<a::;)
This problem is one special case where the general solution of the differential
equation actually leads to a solution of the problem.
Since the equation is hyperbolic we introduce the new \'ariables ::. IJ defined by
(2.3)
and set u(x. r)
~ =
1r(,
I/ = X -
cl.
cl
c-11
(2.4)
= 0
U, c17
which has the general solution
irk,
11)
= F() + C(11)
(2.5)
u(x, 1) = F(x
cl)
G(x -
ct)
where Fand Gare arbitrary functions of one variable and are twice differentiable.
Now we determine the functions F and G so that (2.5) may satisfy (2.2).
Setting t = 0 in (2.5) and using the \'alue of u(x, 0) from (2.2). we have
f(x) = F(x)
(2.6)
G(x)
11,(x, r) = cF'(.Y
er) -
ct)
cG'(x -
Here the primes indicate differentiation with respect to the argument of the
frnction. If we set t = 0 and use the value of u,(x, 0) from (2.2), we find
(2.7)
g(x)
cF'(x) -
cG'(x)
lx g(s) ds
F(x)
f(x)
1
(' g(s) ds
2c
Jo
C
2
G(x)
= -1 f(x) 2
1-
2c
J"o g(s) ds
c
2
78
Chap. 3
(2.8)
/(x - ct)
u(x, t) =
+ f(x
+- ct)
- +
2
2c
J,x+cr g(s) ds
x-cr
This is known as d'Alemberfs formula for the solution of the initial value
problem (2. I), (2.2).
It can be easily verined by direct differentiation (Exercises I .4, Problem 9)
that when f has a continuous second-order derivative and g has a continuous
first-order derivative, the function (2.8) is twice continuously differentiable and
satisfies (2.1) and (2.2). As a matter of fact, our derivation of d' Alem berfs
formula shows that any solution of (2.1 ), (2.2) that is twice continuously
differentiable must have the representation (2.8); hence, the solution is uniquely
determined by the initial data/andg. Thus, d'Alembert's formula represents the
unique solution of (2.1 ), (2.2). Formula (2.8) also shows that if small perturbations are made in the initial data in an arbitrary fixed time interval 0 :S t :S
T < oo, then the resulting perturbation in the solution is also small; that is, 11
depends continuously on the initial data f and g. More precisely, suppose 11 1
is the solution of the problem (2.1 ), (2.2) corresponding to initial data / 1 , g 1 ,
and 11 2 is the solution corresponding to initial data f~, g 2 Then, for a given
c > 0, we can find a number b > 0 such that
whenever
lu 1(x, t) - u,(x,
t)I :S 2 l/Jx
- ct) .
l
+ - l/1 (x +
2
+
1
] J,x+cr
c x-cr
2
:S - (b
b)
f~(x
- ct)I
ct) - f,(x
ct)!
IB1(s) - 92(s)I ds
l
2c
2ctb < (1
T)b
Sec. 2
79
cI
( )
= g,, x
Jim f,, = f;
Jim g,, = g
11--+X
uniformly for - oo < x < oo. This concept will be further illuminated in
Section 9 of the present chapter.
Example 2.1. Find the solution of the wave equation (2.1) satisfying the initial
conditions u(x, 0) = sin x, 11,(x, 0) = 0, - x;; < x < x.
So/111io11:
u(x,
t) =
(2.8)
we have
ct)
sin x cos ct
It is easily seen that this function indeed satisfies the wave equation and the
given initial conditions.
Example 2.2.
and
11,(x, 0) = sin 2x
80
So/111io11:
Chap. 3
u(x.
t) =
~
-C
lx+cr sm. 2s ds
x-ct
Example 2.3.
llu
4un
(0
(:,
u(x, 0)
(l
x)
0
11,(x. 0)
x <:
l:l
:s
I)
(othemise)
r.ic)
11(j. ~ ).
((.\ -
21)
f(X
2f)
2
where/(.\) = ~x for 0 s x s l./(x)
)(l - .\) for } s x :S l. and /(.1) = 0
for x s 0 and x 2: l. It is clear that except for x and t, such that x - 2t or
x + 21 is equal to 0 or l or I. 11 satisfies the \\ave equation and the initial conditions. In particular. at (I, I) we find
o.u = / ( - ! ) = O.
f(x -- 21)
and thus
At(!,,
21)
j tl,IJ
/(3) = 0
I l = 0.
\\e have
11(!,
~)
21) I(~.;)=
f(x -
and therefore
Example 2.4.
f(x
11(
l. D =
f(li
f(x
2n I <+.:J
IW
~.
0
u(x, 0)
( -
> 0)
(-XJ<x<'D)
u,(x, 0) = g(x)
where
g(x)
and evaluate u(t
t)
and u(i,
l ).
Isin rcx
10
(0 $ x $ l)
(otherwise)
Sec. 2
Sol11tio11:
81
u(x, t) =
lx+1 q(z) dz
,
x-t
and this satisfies the differential equation at all points except at those for \vhich
x - t or x + r equals 0 or 1, where the second derivatives of 11 fail to exist. At
(-}. tl we have
I
..,
-
1- q(z) dz =
2
At(~,
J--}
Ji sin nz dz =
0
7[
}J \\e have
1
2
JJ
J
g(z) dz = I
'
sin nz dz
'
4n
Exercises 3.2
1.
= sin(.y - cl)
Find the initial displacement and velocity. By substituting your initial conditions
in the d'Alembert's formula, verify that u(x, f) = sin(x - ct).
2.
3.
cf) 2
4.
< oc.
> 0)
2 sin x cos x
cos x
9uu = 0
u(x, 0)
11,(x. 0)
= x sin x
= cos 2x
Cx!
<
oc)
In Problems 5 to 8, find the solution of the initial value problem (2.1 ), (2.2) with the
giYcn initial conditions. Take c = 1.
5.
f(x) = I /(I
6.
f(x) =
7.
8.
82
Chap. 3
Jn Problems 9 to 12 find the generalized solution of the initial value problem (2.1),
(2.2), (c = 1) \\ ith the given initial conditions, and evaluate the solution at the given
points.
At(~. Ji)
9.
and({. 1) with
f(x)
11
= l0
q(x)
= 0
( x' -o; 1)
,
(Xi
> 1)
10.
/(x)
q(x)
(sin x
(1x
-o; n)
10
(x
> n)
(xi<oo)
11.
f (x)
g(x) =
( x(1 -
(0 $ x $
x)
10
1)
(othernise)
f1
x2
-<:; 1)
\0
(x
>
1)
12.
f(x)
g(x)
13.
Let 11(x.
problem
t)
f cos x
( x!
10
-<:; n/2)
11,(x, 0)
q(x)
x., t >
0)
( x < Y.)
Suppose that
14.
11(x, t)
< X.)
3.
Let us examine the solution (2.8) in more detail to get a clearer idea of the
behavior of the solution of the wave equation. Suppose that the string is
released with zero velocity after being given an initial displacement defined by
f(x). According to (2.8), the displacement of a point x at any time t is
(3.1)
f(x
u(x,t)='
ct)
+ f(x +
2
ct)
83
Sec. 3
FIG. 3-2
Trareli11g
11aL"e
form.
To illustrate this, suppose that the string has an initial displacement defined by
[Fig. 3.3(a)]
f(x) =
x +a
-~ + a
( - a ::;; x ::;; 0)
(0 ::;; x ::;; a)
(otherwise)
The forward and backward waves indicated by the dotted curve in Figure 3.3(a)
coincide at t = 0. At t = a/2c, both waves have moved in opposite direction
through a distance a/2, resulting in the shape of the string shown in Figure 3.3(b).
At t = a/c, the forward and backward waves are on the verge of separating
from each other. For t > a/c, the motion of the string consists of the forward
and backward waves traveling toward the ends of the string at the same velocity,
......
JI
The
84
~ave
Equation
Chap. 3
II
( t')
{ -:::: ~{/
~I
ii\
a1
\
\
I
I
\
\
I
I
\
r=3a~(
I
I
tdJ
I~
I
I
I
I
I
I
\
I
fhl
a _(
la I
I~
II
FIG. 3-3
(J
Figure 3.3(d) and (e). It is seen from the figure that each point of the string
returns to its original position of rest after the passage of each wave.
Jn the case when u(x, 0) = 0 and u,(x, 0) = g(x), the displacement is given by
(3.2)
u(x, t) =
rx+cl g(s) ds
2L x-cr
Let us define
(3.3)
<fl(x)
g(s) ds
(3.4)
u(x, t)
-<fl(x - ct)
<fl(x
ct)
Sec. 3
85
pc
g(x)
(lxl <
(lxl >
10
l)
I)
Then
-cp(x - ct)
fx-ct g(z) dz
2c
< l)
(x - ct > l)
(x - ct < -1)
-(x-ct)
(Ix -
J-1
2c
r-+c1 g(z) d:
Jo
ctl
and
rjJ(x-1-cl)
J~ +
< l)
> [)
(x + ct < - I)
(Ix
ct
ctl
(x -1- Cl
l-1
fhe graphs of -qJ(X - ct) and q;(x + ct) together with the resulting shape of
the string for various values ol tare sho\\11 in Figure 3.4.
At t = 0, the forward wa\e -</J(x) and the backward \Va\e qJ(x) nullify each
other so that the string has zero displacement: that is, it is at rest. At t = -}c_
the forward and the backward \\a\es have mO\ed in opposite direction through a
di~tance} unit. The shape of the string at this instant is obtained hy adding
graphically the two wa\e forms. Alt = l/c. the point x = 0 allains its maximum displacement 11 = 2, and from this instant on, more and more points of the
string assume this maximum displacement and remain al rest in that position.
Thi.;; is evident from (3.2). since for a gi\en point x of the string.
2c f as soon as t reaches
a value
for \vhich x -
2c dz
ct
< - I and
ct
> I.
86
lul
~ /
I=
___________
Chap. 3
'"\
/
/
/ /
',
]/:
II
( 1..:
f:..::::
1
,/C
//
I',
-- - - - - - - -
__
/
/
',
(1)\ .Y)
/
11
--------------------<Pl,.,
(a I
I=
///0
------------;;~~----------'
FIG.
4.
',,
3-4
',
'---------------------Isl
We saw in the preceding section that the solution of the wave equation
consists of forward and backward waves. The forms of these waves can be
illustrated graphically for simple functions/ and gin the xu-plane. In order to
see how these wa\es are propagated, we shall now consider the xi-plane in which
each point can be taken to correspond to a definite position on the string at a
particular time.
Sec. 4
87
Let (x, t) be a point in the xi-plane. From formula (2.8) we see that the
solution at (x, t) depends only on the value off at the two points x - ct and
x + ct, and on the initial velocity g over the interval [x - ct, x + ct]. This
means that a change in the initial position and \e]ocity of the string at points
outside the interval [x - ct, x + ct] will have no effect on the displacement
at (x, t). Consequently, if/and g are known to vanish identically on an interval
a ::s; x ::s; b, then u(x, t) = 0 for all points (x, t) such that b < x - ct or
x + ct < a.
The interval [x - ct, x + ct] on which the value of u(x, t) depends is called
the domain of dependence of the point (x, t).
It is easy to see that the domain of dependence of a given point (, r) is
precisely the interval cut out of the x-axis by the two straight lines passing
through the point with slopes I/c (Fig. 3.5). These lines, with the equations
(4.1)
= ( -
Cf
CT,
ct
= ( + er
are the characteristics (lines) of the wave equation (I .2). The triangle formed
by the characteristics and the interval of dependence of a given point (x, t)
will be called the characteristic triangle determined by (x, t).
( ~. r I
Cl
,+c!=~+cr
CT
---+----~-------------~----{
((-cr.0)
((+n.OJ
FIG. 3-5
Characteristic triangle.
Now let us see the significance of the characteristics. We note that d'Alembert's formula, which gives the displacement of a point((, r), can be written in
the form
(4.2)
u(~,
(~
r)
- er)
If;((
er)
where
(4.3)
( - er)
2c
88
Chap. 3
and
1 /((
(4.4)
er)
r~+cr g(z) dz
2c .lo
Thus, along the line x - ct = ( - er, cp(x - ct) has constant value, namely,
cf>(( - er). This means that points on the characteristic x - ct = ~ - er have
the same displacement caused by the forward wave cf>(x - ct). Likewise,
t/!(x + cl) is constant along the line x + ct = ( + cr so that points on this
line have the same displacement due to the backward wave 1f!(x + ct). It is in
this sense and for this reason that we say the disturbance on the string is
propagated with velocity c along the characteristics.
In Figure 3.6 we illustrate graphically the concept of propagation of waves
along the characteristics. We consider a string that is initially at rest, with
isolated initial disturbance at the points ~ - cr and ~ + cr. According to our
discussion in Section 3, the disturbances at these points will each split into two
identical waves, the forward wave and the backward wave, both having the
same form as the original disturbance but with half the amplitude. Each of the
forward waves will tra,el along the characteristic
x - ct
const
that passes through the point from which the wave originated. Thus, referring
to the figure, points on the characteristics
X
Ct
( -
CT,
x - ct
CT
Y+cr=~ -(r\
rl
Y-
FIG. 3-6
u=~+cr
Sec. 4
89
experience the same displacement due to the fon\ard \\a\es originating from
the points - er and + cr, respectively. The same discussion can be made
for the back\rnrd \\a\es and the points on the characteristics
X
Cl =
CT.
Cl =
Ct
2c
FIG. 3-7
+(f =
Y2
I2
g(s) ds
(I= Xi
Chap. 3
90
5.
(5.1)
(5.2)
u(x, 0) = f(x),
a2u
--2 = F(x, t)
(t > 0)
ox
cu
~- (x, 0)
ot
g(x)
(-oo<x<oo)
- ff F(x, t) dx dt = ff (c 2 uxx ~
11 11 )
dx dt
By Green's theorem (Section 8, Chapter I), lhe right-hand side of (5.3) can be
written as an integral around the boundary C of the domain i\ so that we have
(5.4)
- ff F(x, t) dx dt = fc
(u,
dx
+ c2 ux dt)
Sec. 5
(11, dx
c1 uxdt)
c-cr 11/x, 0) dx
(11, dx
2
C llx
,,,~+(
dt)
91
(11, dt
du
u, dx)
.., L1
L1
L1
(5.5)
c[u(( -
Li
(u, dx
c 2 u,. dt)
0) - ll(s, T)]
CT,
(11 1 dt
-c
llx
dx)
-c
J,,
du
-c[u((, T) -
11(
CT,
O)]
Substituting the initial data (5.2) into the results on the right side of (5.5), we
ha\e
[ (11 1 dx
+ c 2 u,
-2rn(, T)
dt)
+ r.~+cr g(x)
cf( - er)
cf(
n)
dx
._,..;-er
+ ,
ct)
2c
11,
we find
rr F(. T) d dT
2c
~
in \\ hich we have interchanged the role of 1. T) and (x, t). This represents the
unique solution of our problem (5.1 ), (5.2).
In fact, we obsene that the sum of the first two terms on the right of (5.6) is
precisely d'Alembert's solution of the homogeneous wave equation with the
initial conditions (5.2). Further, by writing the integral
(5.7)
t{x, t) =
1
c
2
JJF(, T) d dT
~
i:(x, 0) = 0,
('l'
a1
(x, 0)
92
Chap. 3
(Exercises 3.3. Problem 10.) In' ie\1- of the linear nature of our problem. it
follo\\S from the principle of superposition that (5.6) satisfies (5.1) and (5.2).
Jn this connection we assume that f is twice continuously differentiable. g is
continuously differentiable. and F and F, are continuous for - x < x < L.
t ::0: 0.
Example 5.1.
Solution:
0.
11,(x, 0)
{'
Jo
1x+(t-r)
d dr
.x-(z-r)
I.,
[<x
I -
T)
(x -- I+ rJ 2 ] dr
4 .o
1 ,., 4x(I -
4 .
r) (h
It is easily seen that this function satislies the equation and the homogeneous
initial conditions.
Example 5.2.
//,(\'. 0)
x.
u(x. 0)
Sol11tio11:
The solution can be obtained by the use of(5.6). However. since flx. t) = t
is independent of x. 11e readily find a particular solution of the differential equation (by integrating 11" = t Jin the func1ion
u(x. I)=
1.3
6
11 1
0 at
0.
(x-11+(x+1)
2
.
'
''
Jo
As illustrated by the preceding example. the problem (5.1), (5.2) can sometimes be reduced to one inrnlving a homogeneous differential equation if we can
Sec. 5
93
u(x, 0) -
t(x, 0) = f(x) -
ir,(x, 0)
u,(x. 0) -
t",(x, 0)
ll(X.
(5.9)
t:(x, 0)
r,(x, 0)
g(x) -
u(x, t) = c(x, t)
11(x, t)
ll(X.
x3
6
Then
o.
11(x, 0)
H',(x, 0)
Hence. by (2.8).
(x - 1)3
1r(x. t)
(x
t)3
12
x3
xt
and therefore
ll(X, I)= t(X, I)+ \\'(X, t)
2
11
Exercises 3.3
lil Problem-, I through 6, find the solution of each of the initial value problems on
.1 < Cf::. t > 0. by using (5.6).
11 11
--
llu
= 2Y.
2.
11 11
u0
3.
11 11
u,x =
1.
11(.1', 0) =
2x -
t, u(x,
.YI. u(x.
. 11,(x.
0)
= 0.
0) = sin x, u,(x, 0) = x.
0) = 0.
11 1 ( 1.
0) = e-'.
94
Chap. 3
4.
1111
411u
5.
llrr
4uu
ex
6.
1111
911.u =
1/(1
x 2 ).
0.
ln Problems 7 through 9 find the solution of each of the problems on - XJ < x < ctJ,
> 0 by finding a particular solution of the homogeneous differential equation and
reducing the problem to one involving a homogeneous equation.
7.
l/ 11 -
llxx
8.
11 11 -
llxx
= sin x. u(x, 0) =
= x sin x - 2 cos
x, u,(x, 0) = 0.
x,
11(x, 0)
u,(x, 0) = 0.
Hint: x sin x
is a
particular solution.
9.
11 11 -
i.:(x, t)
llxx
2
x /(1
-x 2 In(!
+ t )2 +
+ t) as
Hint: Take
10.
Verify that formula (5.7) satisfies the nonhomogeneous wave equation (5.1) and
the homogeneous initial conditions (5.8).
1 l.
(Duhamel's Principle)
u(x,
0,
r)
0,
Set
11,(x, 0, r)
I:
r(x, t)
11(x, I -
F(x, r)
r, r) dr
0) = 0,
c 2 1xx
= 0.
r,(x, 0)
(b) Express u(x, t, r) by using d'Alembert"s formula and verify that 1(x,
agrees with (5.7).
Find the solution of the initial value problem
12.
( X
u(x, 0) = j(x),
11,(x,
OJ =
<
X,
t > 0)
g(x)
6.
t)
Uniqueness of Solution
(6.1)
(6.2)
( -
u(x, 0)
= f(x),
u,(x, 0)
g(x)
J.)
< x <
J.),
t > 0)
(-ctJ<X<W)
Uniqueness of Solution
Sec. 6
95
from the fact that the solution of the corresponding problem involving the
homogeneous \vave equation is uniquely represented by d'Alembert's formula.
It is important to note, however, that uniqueness can actually be established,
even without knowing that a solution of the problem exists. Jn this section we
shall present a method for proving uniqueness of the solution of an initial \alue
problem for the more general hyperbolic partial differential equation
(6.3)
11 11
c u'"'
h11 = F(x, t)
where c > 0 and h ~ 0 are constants. This equation is known as the damped
wave equation, which physically describes the motion of a vibrating string
under the action ofa restoring force -hu and an external force F. We shall show
that the initial value problem consisting of the differential equation (6.3) and
initial conditions (6.2) has at most one solution.
Suppose that u and u are two solutions of (6.3), (6.2), which are both twice
continuously differentiable. Set w = 11 - v; then, clearly, w is a solution of the
homogeneous problem
(-
(6.4)
w(x, 0) = 0,
w,(x, 0)
00
= 0
< x <
00, 1
> 0)
(-oo<x<oo)
let(, r) be any point in the xt-plane, T > 0, and denote by~ the characteristic
triangle determined by(, r), Figure 3.8. We shall prove that w vanishes identically throughout the region ~. and in particular at the vertex ((, r). Since the
point((, r) is chosen arbitrarily, this will mean that u = i at all points; that is,
the two solutions u and v are identical.
(~
T)
Ii
+----'------------------"-----x
I=()
(~
(~+CT.())
CT.0)
FIG. 3-8
Proof of uniqueness.
96
Chap. 3
I
?
(w-)
2 Cf
I
W 1 \\'"
\\'x \V XI
a(
1
') ~
- ct
\\'
2.)
x
Then
(6.5)
Let us draw the line t = t '. 0 :s; t' < T, intersecting the characteristics at the
points C and D (see Fig. 3.8). If we integrate equation (6.5) over the domain R
bounded by the line segments AB. BC. CD, and DA, and recall Green's theorem,
we obtain
(6.6)
Lc+DA l~ (w;
J
~
\\':
+ lnv ) dx + c
l (w I2
BC
2
ll'x\\' 1
dtJ
Le
[(w, - c11\)
+ hw 2] dx +
~ fvA
Uniqueness of Solutio11
Sec. 6
97
which is also nonnegative. Now, according to (6.6). the sum of these integrals
is zero. Since the sum of nonnegative terms can never be zero unless each of the
terms is zero, we conclude in particular that
(6.7)
Since \\'and its first- and second-order partial derivatives are continuous, the
integrand in (6.7) is continuous. It follows that
(6.8)
identically on CD. Indeed, if (6.8) were positive at a point on CD, it would be
positive in some intenal containing that point, and thus the integral over the
intenal would be positive. contradicting (6.7). Now equation (6.8) is true if and
only if 11 vanishes identically on CD, since each of the terms in (6.8) is nonnegative. Therefore, 11(x, t ') = 0 for
c( r - r ') ::o; x ::o; + c( r - r ').
O ::o; t' < r. Thecontinuityof11 impliesthat11(, r) = Oalso. Hence,u((, r) =
11 . r), and consequently 11 and i are identical. Th us, we have established the
following uniqueness theorem.
s-
6.1. The solution u(x, t) of the initial rnlue problem (6.3), (6.2) is
uniquely determined by the rnlues off and g on the interrnl [x - ct, x + ct] and
hr the rnlues of Fin the characteristic triangle determined by (x, t ).
THEORE.\I
The integral
(6.9)
E(t)
.'.+c(r-1)
~-c(r-r)
(u;
,
+ cu, +
hu-) dx
from (6.7) is often called the energy integral of the function u at time t over the
interval[ - c(r - t), ( + c(r - t)] for the damped wa\e equation (6.3). It
can be interpreted physically as representing the total kinetic and potential
energy of the portion [ ( - c( r - t ), ( + c( r - t )] of the string and the work
done by the restoring force on that portion. If h = 0, then (6.9) represents the
energy integral of u for the wave equation.
As a consequence of the uniqueness of the solution of the problem (6. I), we
can deduce the solution of the initial-boundary value problem
Ult
(6.10)
C2ll xx
(x > 0, t > 0)
u(x, 0)
f(x)
(x 2 0)
u,(x, 0)
g(x)
(x 2 0)
(t 2 0)
u(O, I)
"i!t,,
98
Chap. 3
(6.11)
c u xx =0
(-
00
< x <
11(x, 0) = (x)
u,(x, 0) = l/J(x)
(-
00
( - 00
Indeed,
00,
t > 0)
<x <
00)
where the initial data and l/J are the odd extensions off and g, respectively:
that is, cp(x) = f(x), l/J(x) = g(x) for x ;:::: 0, and (x) = -f(-x), l/J(x) =
- g( - x) for x < 0. Clearly, the solution u of the problem ( 6. I I) satisfies the
differential equation and the initial conditions of (6.10). It remains only to show
that 11 also satisfies the boundary condition 11(0, t) = 0. To this end, let v be
defined by r(x, t) = -u(-x, t). By direct differentiation, using the chain rule,
it is easily seen that i satisfies the wave equation. Moreover, from the definition
of and l/J it is seen that
i-(x, 0) = - 11( - x, 0) = - ( - x) = (x)
r,(x, 0) = -11,( - x, 0) =
-1/1( - x) = l/J(x)
Hence, i is also a solution of the problem (6.11). Since the solution of (6.11) is
unique, we conclude that r(x, t) = u(x, t): that is,
-11(-x, t) = 11(x, t)
u/x, t)
99
Uniqueness of So/11tio11
Sec. 6
from which we deduce u_,JO, t) = 0 for t ::=:: 0. This result provides a method
for solving the initial-boundary value problem
(x
u(x, 0) = f(x),
(6.12)
u,(x, 0)
g(x)
> 0, t > 0)
(x ::=:: 0)
u)O, t) = 0
(t :::::: 0)
Uu =
(x > 0, t > 0)
= sin 2 x,
u(x, 0-)
u(O, t) =
(x ~ 0)
11,(x, 0) = 0
(t
0)
Solution:
u(x, t)
+ /(x +
/(x - t)
t)
sin 2 (x - t J
+ sin 2 (x +
r)
- sin 2 (f - x)
+ sin 2 (x +
t)
2
2 cos x sin x cos r sin t
1 .
sm 2x sm 2t
(fi, :)
~ ( - : + ~)
Chap. 3
100
Example 6.2. Sahe the problem in Example 6.1 when the boundary condition is
replaced b) the free boundary condition 11)0, t) = 0, and evaluate u(n/6, n/6).
Solution: Here \\e need to extend the initial data as even functions. Since /(x) =
sin 2 x is alread; an even function. \le immediately have for the solution of the
pro bl em
sin 2 (x -
ll(X. I)
t)
sin 2 (x
2
(x ?. 0, t ?. 0)
's.
Exercises 3.4
1.
Let
11
be a solution of the
\I
ave equation
is constant for 0
:$ 1 <::;,
t1
2.
'Lsing the result of Problem I. prove that the initial value problem (6.1 ). (6.2)
has at most one solution. assuming that its solution vanishes together with the
fast-order derivative as x - Cf2.
3.
Let
11
"hich is sufficiently smooth and vanishes together with its first derivatives as
-> ex;. Show. as in Problem I. that the energy integral
is constant for 0
11
4.
From the result of Problem 3 deduce that the initial value problem (6.3). (6.2)
has at most one solution. assuming the same condition as in Problem 2.
5.
Obtain the explicit solution of the problem (6.10) and verify that it satisfies the
differential equation and the initial and boundary conditions.
6.
Prove the statement in the text that if f and g are two even functions, then the
solution 11 of the initial value problem (2.1 ), (2.2) is also even.
Sec. 7
7.
IOI
ll11
(x > 0, I > 0)
= 0
('2 {IX.\
11(1. 0)
11 1 (x, 0)
j(I).
g(x)
( .\
11,(0. I) = 0
8.
2:: 0)
(/ 2
0)
"11
11(.\.
(X > 0. I > 0)
= 0
llxx
'
0) = :c.
u(O.
11/x. 0)
1(1
(x 2 OJ
X)
= 0
I)
(I 2
OJ
and evaluate the solution at the po111ts !}. 1) and(~.~). (U-,c the solution formula
of Problem 5.)
9.
IO.
(x > 0.
-- llxx
//(X.
0)
sin(rr.Y/2).
11(0.
I)
11J:c 0)
> 0)
(x :->- 0)
.Y
(r
2 0)
flu
11.Y.\"
{x > 0.
'
0)
11.
Show that if the function flx. I) is odd (or even l in x. then the same is true of the
solution 11 of the initial value problem
F(x, I)
0,
u(x, 0)
11
(or u) vanishes at x
li(X,
= 0.
0)
sin x.
(x > 0,
11,(x,
OJ
> ())
(x 2 0)
11(0, I)
(t 2 0)
llxx
u(x, 0)
= 0,
uJO, I) = 0
7.
0)
13.
11,(x. 0)
()
(x
uJx, 0)
cos x
> 0,
> 0)
(x
2 0)
(I 2 0)
We have seen in the preceding section that the solution of an initial value
problem for the wave equation with odd (or even) initial data, when restricted to
x ~ 0, t ~ 0, provides a solution of the initial-boundary value problem on the
102
Chap. 3
(7.1)
u(x, 0)
(7.2)
= j(x),
= 0,
u(O, t)
(7.3)
u,(x, 0)
g(x)
(0
u(L, t) = 0
L)
(t
;?:
0)
u(2L - x, t)
and
-u(x, t)
-u(x, t)
11(0, t)
and
u(L, t)
= 0
(t ;?: 0)
Thus, the solution of the initial value problem with initial data that are odd
about x = 0 and x = L, and which coincides with (7.2) on [O, L], gives a
solution of the initial-boundary value problem (7.1 ), (7.2), (7.3). Therefore, to
find a solution of the problem (7. I), (7.2), (7.3), we extend the initial data/ and g
given for 0 s x s L as odd functions about x = 0 and x = L, and then
substitute the extended functions in d' Alembert's formula (2.8). The restriction
of this d'Alembert's solution to the region 0 s x s L, r ;?: 0 is a solution of
our problem. In this connection, the solution obtained will be twice continuously
differentiable if we require that the following compatibility conditions
j(O) = f(L)
= 0,
j"(O)
f"(L) = 0,
g(O) = g(L) = 0
llxx =
11,(x,
= sin
0) = 0
u(x, 0)
u(O, t) = 0
11x
(0
(0
(u(l, t)
s
s
:S I)
0, t
I)
0)
Sec. 7
103
Since sin n( -x) = - sin nx and sin IT(2 - x) = -sin nx, the function
f(.1) = sin ITX is already odd about x = 0 and x = IT, and hence we immediately
have
Solution:
u(x, t) = sin
I)__ +
IT(x -
sin n(x
t)
2
sin
ITX
cos
IT{
Example 7.2.
(0 ::::; x ::::; I)
I)
t)(x
t < x
by
(x -
11(x, t)
t)(x -
= x2 -
t -
(x
t -
I)
,2
I)
f(x -
+
t)
f(x
t)
2
where I is the odd extension of 11(x, 0) = x(x Thus, at (3/4, 1/2) we h<l\e
/(3/4 -
1) about x = 0 and x = I.
I)= -3/16
and
/(3/4
= - (3/4)(3/4 - 1) = 3/16
so that 11(3/4, 1/2) = 0.
Example 7.3.
Uu =
u(x, 0)
= x 2 (1
11,(x, 0) =
x(x -
11(0, I)= 0,
x)
(0 ::::; x ::::; I)
I)
11(1, t)
(0 ::::; x ::::; I)
=
( ( 2: 0)
Solution:
/(7/4) = /(2 =
3/64
1/4)
104
Further.
"
J
7 4
. .
q(.\)
dx =
314
J_
- 3 4
g(x) dx
Chap. 3
14
3;4
7 4
g(x) dx
3/4
g(x) dx
5/4
-;4
J
."
.q(x) dx
5/4
7;4
g(x) dx
f3;4
= -
5/4
s(s -
1) ds
I /4
s"!
3
s 2 ! 314
11
96
I /4
Thus.
-9 - 3
2(64)
11
96
-7
192
In the same way, we can show that the problem (7.1 ), (7.2) with free boLrndary
conditions
uxCL, t) = 0
ux(O, t) = 0,
(7.4)
(t > 0)
at both ends can also be solved by using d'Alembert's formula (2.8), provided
the initial data/ and g are extended as e\en functions about x = 0 and x = L;
that is,f( - x) = f(x), g( -x) = g(x),f(2L - x) = /(x), and g(2L - x) = g(x).
Then d'Alembert's solution 11 is itself an even function about x = 0 and x = L,
and hence satisfies the relations
11(-x, t)
u(x, 1),
u(2L - x, 1)
u(x. I)
-uAx,
I),
uA2L - x, t)
- uxCx, t)
uxCO, t) = 0
and
u,(L, t)
= 0
(7.5)
F(x, t)
Sec. 7
105
with fixed or free boundary conditions at either end point. In such a case. we
extend the function F together with the initial data as odd or even function
about an end point, according as the boundary condition prescribed at that
point is fixed or free. Then the same will be true of the solution given by ( 5.6)
and hence will satisfy the prescribed boundary conditions.
Example 7.4.
lln =
..
11(x,
OJ
u(O, I)
So/111io11:
' =
7r
Slll
> OJ
(0 5 x 5
11,(x, 0) = 0
0,
(0 < x <
= 0,
1)
(t 2: OJ
Here we observe that the function F<x, I) = sin(n/2)x is already odd about
0 and is even about x = I. Hence, by ( 5. 7), our solution is
u(x,
j''
I) =
71
sin ;
2:
71
sin
sin
71
.;
d(, dr
x-(r-r)
Llcos;(x l
7!2
for 0 5 x s I, t
J,x+(r-T)
(x -
I+
r)
r) - cos;(x +
+
sin ; (x
1-
I -
r)
r)J
dr
J'
0
71
x ( 1 - cos '.1
-
I)
0.
ll Cl
(7.6)
u(x, 0)
j(x),
u,(x, 0) = g(x)
u(O, t)
h(t).
u(L. t)
k(t)
(t ?. 0)
where we assume that the functions F.f, g, h, and k are sufficiently differentiable
and compatible at the end points. An explicit solution of this problem when
hand k are not both zero will be given in the next section.
Suppose u 1 and u 2 are two solutions of the problem (7.6) which are both
Chap. 3
106
u1
u 2 . Then w is a solution of
(7.7)
w(x, 0)
= 0,
w,(x, 0)
= 0
1r(O, t)
= 0,
tt:(L, t)
= 0
(0
L)
(t 2 0)
(7.8)
SL (w,
E(t) = 1-
c 2 w;) dx
(t 2 0)
for the function w on the interval [O, L]. Differentiating this with respect to t
and integrating the second term by parts, we have
(7.9)
E'(t) =
L
0
(w 1w11
c 2 wxwx 1) dx
Since w is a solution of the problem (7. 7), we see that the integrand in the last
integral above vanishes, w,(O, t) = 0, and w,(L, t) = 0, so that (7.9) reduces
to E'(t) = 0 for t 2 0. This means that the energy integral (7.8) is a constant
fort 2 0. But at t = 0, we see from (7.7) that w_,,(x, 0) = 0 and w,(x, 0) = 0,
which imply that (0) = 0. Hence, the integral (7.8) is identically zero, and
since its integrand is nonnegative, it follows that
Exercises 3.5
1.
Show that if f is odd (or even) about the points x = 0 and x = L, then f is
periodic with period 2L; that is,f(x + 2L) = f(x).
Show that if f is odd (or even) about x = 0 and even (or odd) about x = L, then
f is periodic with period 4L.
3. Show that if f is periodic with period 2L, then
2.
a+ZL
i
a
f(x) dx
JL
=
-L
f(x) dx
(This means that the integral off is the same over any interval of length 2L.)
Sec. 7
4.
107
Let f and g be two odd functions about x = 0 and x = L. Verify that the
solution of (2.1 ), (2.2) is also odd about .1 = 0 and x ~ L; thus, deduce that
11(0, 1) = 11(L, tJ
5.
Let /and g be t\\O e\en functions about x = 0 and x = L. Pro\e that the
solution of (2.1 ), (2.2) is even about the same points and deduce 11x(O, t) =
llx(L, I)= 0.
6.
Let f and g be two functions that arc odd about x = 0 and even about x = L.
Prove that the solution of (2.1 ), (2.2) is odd about x = 0 and even about x = L,
and deduce that 11(0, I) = 0, 11_L. t) = 0.
In Problems 7 through 12, find the solution of (7.1) with the given initial and
boundary conditions. Take c = I and L = I.
7.
x(l - x 2 );
11,(x, OJ =
11(0, 1) = u(l, t)
= 0.
Evaluate
u(5/8, 9/8J.
8.
u(x, 0) =
x(I -
11(1, I)= 0.
Evaluate
11(3/4, 2).
9.
10.
11(x, 0)
= x 2(1 - x 2 ),
11,(x, OJ
= cos nx/2;
= 0, 11(1, t) = 0.
ux(O, t)
11.
u(x, 0)
= .I
(0
\( - x
I )/3
s x s 1/4)
s x s 1)
(1/4
11,(x, 0) = 0
(0
I)
11(0, I) = 11(1, t) = 0
12.
13.
11(x, 0)
= 0,
u(O, t)
= uI,
I) =
(0
u,(x, 0) =
-x
(1/2
s x s
u(x, 0) = 11,(x, 0) = 0
x < I, t > 0)
(0
s x s
llx(O, t) = uJI, 1) = 0
I)
( t 2: 0)
uu
= 1-
u(x, 0) = x (1 -
x),
u,(x, 0) = 0
(0
// x(O, t J = u( 1, t) = 0
15.
I)
O.
(0 <
14.
1/2)
I)
(t 2: 0)
By using the energy integral (6.9) over [O, L], prove that the initial-boundary
value problem
l/ 11 -
c 2uxx
h11 = F(x, t)
u(x, 0) = f(x),
11.(x, 0) = g(x)
u(O, t) = a(t),
u(L, t)
b(t)
L)
(t 2: 0)
108
8.
Chap. 3
Jn the preceding two sections \\e showed how the solution of the initial\ aluc
problem for the \\ave equation can be employed to obtain the solution of the
initial-boundary\ alue problem on a semi-infinite interval or on a finite in ten al
when the boundary conditions are either llxed or free. When the boundary
conditions are not homogeneous. the method does not apply, and we have to
use a different approach. In this section we shall present a method for solving
problems involving the \\"a\e equation with nonhomogencous boundary
conditions of the first kind.
First, let us consider the initial-boundary value problem
(x
u(x. 0) = f(x).
(8.1)
11,(x, 0) = g(x)
~;
(x
> 0)
~
0)
(I ~ 0)
11(0, t) = lz(f)
(8.2)
> 0,
end point x = 0
point (x, I) such
cl. x + cl] lies
of problem (8.1)
are defined by
cf;(x)
1/1(x)
(8.3)
1 /(x)
2c
2
I /(x)
2
2c
q(s) ds
g(s) ds
OJ
(8.4)
which, on setting s
cl. gives
(8.5)
q;( - s)
Ii (;) - ij;(s)
Sec. 8
109
This furnishes the value of r/; for negative values of ils argument. and so for
x < ct we have
(8.6)
<j;(x -
ct)= Ii
(r ~) -
t/l(ct - x)
(8.7)
u(x, 1)
(i
~)
h (t
:)
= lz
1/f(ct - x)
+ f(x__+_
t/f(x
ct)
C2_~ f(ct - x)
2
I
2c
Jx-ct g(s) ds
ct-x
for x < ct. Thus, our complete solution of the problem (8. I) is given by (8.2),
(8.3) for x > ct and by (8.7) for x < ct. In either case, we notice that the solution
is the superposition of a forward wave cp(x - ct) and a backward wave
l/f(X
Ct).
FIG. 3-9
110
Chap 3
x 0 /c) represents the reflection of the backward wave that originated from
the point (ct 0 - x 0 0) on the initial line. This backward wave first traveled
along the characteristic x + ct = ct 0 - x 0 until it reached the end point and
was reflected. The min us sign in front of if1 indicates that there is a 180-degree
phase shift upon reflection. As a result of this phase shift, the contribution of
the initial velocity from the interval [O, ct 0 - x 0 ] canceled out. Thus, the
interval of dependence of a point (x 0 , t 0 ) in the domain x < ct is
h(f 0
[ct 0
x0 , x0
ct 0 J
which is the interval cut off from the positive x-axis by the characteristic
x + cf = x 0 + ct 0 and the reflection of the characteristic x - ct = x 0 - ct 0
at the end point x = 0.
The same method can be used to sohe the initial-boundary value problem
(0 < x < L, t > 0)
(8.8)
u(x. 0)
f(x).
11(0. r) = h(t).
11,(x. 0) = g(x)
u(L, t)
(0 :.:;; x :.:;; L)
(t ~ 0)
k(t)
(-s)
= h
C) -
1/>(s)
(0
< s < L)
To find the \alue of if1(s) for L < s < 2L. we note by the second boundary
condition 111 (8.8) that
11(L, t) = k(r)
c/>(L - er)
1/1(L
ct)
so that
(8.10)
if1(s
L) = k (;) - q>(L - s)
(0
< s < L)
This gives the \ alue of i/J(x) for L < x < 2L. 1n this way the functions cf> and if>
are then completely determined on the intervals ( - L, L) and (0, 2L), respecti\ely. Thus, it is possible to write down the solution of problem (8.8) at any
point (x, t) such that - L < x - ct < x + ct < 2L (see Example 8. l ).
lfwereplacesbys + Lin(8.9)anduse(8.l0),wefind
(8.11)
(-s - L)
(s : L) - ijl(s + L)
/1 (s : L) - k {;) + (L -
Ii
s)
(0 < s < L)
Sec. 8
ll I
and this further extends (x) onto the interval - 2L < x < - L. Similarly. by
replacing s bys + Lin (8.10) and using (8.9), we have
(8.12)
1p(s
k (5 : L) - hC)
2L) =
(0
lf;(s)
< s < L)
which defines 1p(x) on the interval 2L < x < 3L. Formulas (8. I I) and (8. 12)
are recurrence relations that together with (8.9) and (8. I 0), determine the value
of for any negative argument and the value of 1p for any positive argument.
If we know the values of and lf;, it is possible to write down the solution of
problem (8.8) at any point (x, t), for 0 < x < L, t > 0.
(()_I
/
/
,/
/
/
/
/
/
/
/
/
/
10.t +~-c
//
/
/
/
/
//
//
//
~ ------~-----~~--~-~------~-----~---.,;
~I
L
I 2L + \
u. 0 I I\ + 11 2 L 0 I
2L
3L
FIG. 3-10
For example. if (x, t) is a point such that -2L < x - ct < -L and
2L < x +ct< 3L(seeFig.3.10),thenaccordingto(8.Il),
(x - ct)
where 0 < 2L
lf;(x
ct) =
(t x)c
(t -
x +
c
L)
(2L
x - ct)
k (1
x c
L) - h(r
x -c
L) +
lf;(x
ct - 2L)
112
with 0 < x
(8.13)
rt - 2L < L
Chap. 3
2L) + h. ( 1 + x - L)
x -
('
x + L)
f(x + ct - 2L) + f(2L + x - ct)
.(
I' t +
JXTct-2L
2c
2L+x-ct
g(s) ds
where we ha\e used (8.3) for c/>(x) and t/J(x) for 0 < x < L.
It is interesting to note that the solution (8.13) can also be obtained geometrically by using the idea of reflection of characteristics, which is analogous
to the reflection of \\a\es. We draw the characteristics through the point (x, t)
and their reflections at x = 0 and x = L, 1110\ing backward in time, until they
intersect the initial line on the interval 0 < x < L (Fig. 3.10). Then the
contribution of the boundary conditions to the displacement at (x, I) consists
of the \alues of hat the !-intercepts and the values of k at the intercepts with
x = L of the characteristics. counting a change of sign following each reflection.
Thus, from the end x = 0, we have h(f - x/c) and -h(t + (x - 2L)/c), in
which the second term has a negative sign because the wave it represents is
reflected once at x = L. Similarly, from the end x = L, we have
k(t
(x -
L)!c)
and
-k(t -
(x
+ L)/c)
where the \\ave represented by the second term is reflected once at x = L. The
contribution from the initial displacement consists of the terms f(2L + x - ct)
and f(x + cf - 2L), which represent waves that originated from the points
(2L + x - ct, 0) and (x + ct - 2L. 0). respecti\ely: these waves were reflected twice, once at each end before arriving at the point (x, t ). The net
contribution from the initial velocity comes from the interval
[2L +
x -
ct. x
cf -
2L].
Needless to say. the method described above applies in particular to the case
where the boundary conditions are homogeneous. In fact, in such case, formulas
(8.11) and (8.12) imply that and VJ must be extended as periodic functions of
period 2L. Using this fact and the formulas given in (8.3), it can be established
that the initial data f and g must then be extended as odd periodic functions of
period 2L. This is equivalent to extending/and gas odd functions about x = 0
and x = L (see Problem I, Exercises 3.5), which was the method we adopted in
Section 7.
Sec. 8
18.~J
So!u1io11:
Since - L < .1 -
ct
J,( \ -
113
Cl) -
/1 ( f
:. )
I//((/ -
>:)
lj!(X-t-C/)=k
(I + ' - L)
dJ(2L - x -
Cl)
(i ;.) + k (r + x ~ L) _
J
2c
f(U -
x)
+ 1;21_ - x -
ct)
11121_-_\ -er
g(s) ds
er - x
Exercises 3.6
I.
Evaluate 11(5/8, 19/8) for Problem 8 of Exercises 3.5, using the method of wave
reflect ion.
2.
Evaluate 11(1 /4, 3/2) for Problem 7 of Exercises 3.5, using the method of wave
reflection.
3.
Find the solution of the wave equation 11 11 - "-u = 0, x > 0, t > 0, satisfying
the given conditions:
(a) u(x, 0) = e-x - I, 11/t, 0) = 0, .1 ~ O; 11(0. t) = re-'. I ~ 0.
(b) u(x, 0) = sin x, 11,(x, OJ = x, x ~ O; 11(0, t) = sin 2t, t ~ 0.
4.
(0 <
.1
< I, t > 0)
Show that the solution of the initial-boundary value problem (8.8) 1vhen
f = g = k = 0 is given by
u(x, 1) =
2:
11:<:=0
\\here h(t)
6.
h (_' _ x + 2nl) _
c
2:
11:2=
h
l
(r + x - c211L)
114
7.
Chap. 3
u(x, 0) = f(x),
u)O, t)
8.
0, t > 0)
(x 2: 0)
(t 2: 0)
h(t)
11,(x, 0)
ku(O, t) = 0
= 0
(x 2: 0)
(k a constant, t ;:::: 0)
Hint: Set r(x, t) = u)x, t) - ku(x, t) and consider the initial-boundary problem
for i.
9.
So far, we have been concerned with initial value and initial-boundary value
problems for the wave equation. We have seen that by an appropriate extension
of the initial data, it is possible to reduce an initial-boundary value problem to
an initial value problem for which d'Alembert's formula can be employed. For
a more general equation, however, we must use a different approach. Jn this
section we shall describe a rather convenient and powerful method for solving
initial value, initial-boundary value, or boundary value problems for a large class
of partial differential equations of hyperbolic, parabolic, or elliptic types.
Jn order to establish the basic steps involved in the method, we shall solve the
initial-boundary value problem
(0 < x < L, t > 0)
(9.1)
where h
const > 0.
(9.2)
u(x, 0) = f(x),
(9.3)
11(0, t)
= 0,
11,(x, 0) = 0
u(L. t)
(0 ::::;
= 0
x ::::; L)
(t > 0)
(9.4)
u(x, t) = X(x)T(t)
where Xis a function of x alone and Tis a function oft alone. Moreover, the
function (9.4) will be required to satisfy all homogeneous conditions of the
problem, namely, the initial condition u,(x, 0) = 0 and the boundary conditions
(9.3). Now, substituting (9.4) in the differential equation (9.l), we have
X(x)T"(t) - c 2 X"(x)T(f)
hX(x)T(f)
Sec. 9
llS
where the primes denote ordinary differentiation with respect to the argument
of the function being differentiated. Dividing the last equation by c 2 X(x)T(t)
and "separating" variables, we find
T"(t)
-2
(9.5)
c T(t)
X"(x)
= -
X(x)
Since the term on the left of equation (9.5) depends only on the variable t and
the term on the right depends only on the\ ariable x, it follows that the derivative
with respect to t of the term on the left is zero; likewise, the derivative with
respect to x of the term on the right is zero. Hence, both terms must be equal
to a constant, which we denote by -i.. Thus,
X"(x)
T"(t)
-),
-?
X(x)
c-T(t)
?=-).
(9.6)
+ (}.c +
2
T"(t)
i.X(x)
= 0
h)T(r) = 0
(9.7)
X(O)T(t) = 0,
X(L)T(f)
= 0
(9.8)
X"
l.X
T'
(i.c
0,
.X(O) = 0,
X(L) = 0
and
(9.9)
h)T
= 0,
T'(O) = 0
respectively.
The problem (9.8) is a special case of a more general boundary value problem
in ordinary differential equations, known as the Sturm-Liouville problem, which
116
Chap. 3
0.
XU.)
X(O) =
\le h~l\C
11
Si nee
2 sinh kL
0.
\IC
<1
.'>Ill,
()
Since
112 TC 2
(9.10)
L"
(I!
I, 2, ... )
Sec. 9
117
n 2n 2
L2, n
sin , i. 11 c2 +- fz t + c2 cos , i. 11 c2
Ci
T,.(t)
fn2rr2c2
~2
cos[
Ci
hr
J i:2
+ Ii_
(11
1, 2, ... )
(9.13)
u,,(x, t)
= sm
11llX
rl12T:2C2
cos.
L2
J i:2
(11 = 1,2,. .. )
1/(X,
t) =
bll
llllX
'Ill
n=1
cos
l/1271:2C2
.
Ji
h
.
Ckarly, if the constants b11 are such that the series (9.14) and its derivatives
comerge respecti\ely to the function u(x, t) and its derivatives for 0 < x < L,
I > 0, then by the extended principle of superposition the function u represented
by the series (9.14) is a solution of equation (9.1) safofying the homogeneous
conditions in (9.2) and (9.3). There remains the problem of determining the
constants b" so that (9.14) also satisfies the nonhomogeneous initial condition
in (9.2). Setting t = 0 in (9.14), we have
(9.15)
. O) =. (( x )
u(x,
f; b,, sin
. 11 rrx= L..
n= I
Thus, the constants b,, appear as the coefficients in the series expansion of/ in
terms of the eigenfunctions (9. I I). To determine these coefficients, we make use
118
Chap. 3
(9.16)
mnx .
Sl11 -
5111
mrx d
- .
11
(when
/11
=/=
n)
(when
111
n)
Jn the first case (m =/= 11) we say that the functions Xm(x) = sin(nrnx/L) and
X,.(x) = sin(nnx/ L) are orthogonal on the interval 0 s x s L. This orthogonality properly actually holds for every pair of eigenfunctions corresponding
to distinct eigenvalues of any Sturm-Liouville problem and is established in
Section 5 of the next chapter. In the present case, however. the validity of
(9.16) follows immediately from the trigonometric identity
2
Sl11
nrnx .
.
nnx
5111 - .
= cos
11 )nx
(111 -
- cos
( 111
11 )nx
(9.17)
L1c )
J x
Sll1
nm.: d x -L
~ b
J....,
n= I
II
JL .
Sll1
nrn.: SJl1
. nnx d x.
L
According to (9.16), each term on the right-hand side of (9.17), except the term
corresponding ton = m, vanishes. Hence, equation (9.17) reduces to
L
f( X) Sl11
.
111iIX -
L bm
(9.18)
b,. =
2
L
JL f .(x) s111.
o.
lliIX
dx
(11
L 2, ... )
Sec. 9
119
more stringent conditions on/ because otherwise the partial derivatives of u may
fail to exist. In such a case, it is comenient to regard 11 as represented by (9.14)
as a generalized solution of the problem in the sense described in Section 2. We
illustrate these remarks by the following example.
Find the solution of the problem
Example 9.1.
11,, -
Uu
II =
u(x, 0) = f(x),
11(0, t) = 0,
u,(x, 0) = 0
(0 :S
11(n, /) = 0
:S
n)
(t ~ 0)
where
/(x)
So!11tio11:
(0 :S x :S n/2)
= jx
\n - x
(n/2
:S
:S
11,
n)
we
have
Jrr j(x)
. sin.
b,, = 2
71
frri2
nx dx
x sin nx dx + 2
[-=X"_COS
/IX
+ -2 [ - (n
II-
x)
71
cos
4 .
... - sm
x)
sin nx dx
nx _ sin :zx]"
,
11
1111 2
(n -
rr/2
+ ~~IX]rr/
II
71
Jrr
71
11-
rr/2
/lT[
/1
2k
(9.19)
u(x, t) = -
11
oc
(_I l'+ 1
k= 1
(2k - I)-
I)
+ 1]
12
The series solution (9.19) of the preceding example can be shown to converge
uniformly for 0 :o:; x ~ 11, t ;::: 0 by the Weierstrass M-test, using the convergent
~eries L.:'= 1 I /(2k - I ) 2 .
Hence, the limit function u is continuous for
0 ~ x ~ rr, t ;::: 0, and satisfies the initial and boundary conditions of the
problem. However, the second partial derivatives of u do not exist because the
second derivatives of the series fail to converge. For this reason, 11 cannot be a
solution of the differential equation. In this case, it is appropriate to regard
(9.19) as a generalized solution of the problem in the sense of Section 2.
Indeed, for each integer n ;::: I, let us define
u11 (x, t)
= -
rr
(-J)'+l
L (2k
- 1)
n
k= 1
sin(2k -
l)x cos[(2k - 1) 2
+ 1] 1 12 t
...
120
Chap. 3
11 is the limit of the uniformly convergent sequence u,,. Further, for each
is twice continuously differentiable for 0 ::::; x ::::; L, t ~ 0, and satisfies
the differential equation together with the initial conditions
Then
n,
11 11
u,lx, 0) = JnCx) =
7'[
L
k~1
( _
I )k + 1
0
(2k -
1)-
1)x
s111(2k
ct
and the boundary conditions 1111 (0, t) = u,,(TC, t) = 0. Since the sequences f,,
and g,, com erge uniformly to the respective initial data f and g, it follows by
definition that (9. I 9) is a gen~ralized solution of our problem.
Exercises 3. 7
In Problems I through 5, find the solution of the given problem by the method of
separation of variables.
1.
11,, -
ilxx
11(0, 1) = 0,
2.
3.
11 11 -
ilxx
ll(iT,
11
ir; 11(0, I)
= 0,
ilrr -
llxx
:S X
= 0, 0 < x <
S ir;
t)
= 0, 0 <
t)
il(iT.
iT,
o.
t 2: 0.
u(x, 0)
= 0,
11,(x, 0) =
sin 3
x, 0
x :S
ir;
+ cos 3 x,
llx(O, t)
4.
llrr u'-' - 2u, = 0, 0 < x < I, I > O; 11(x, 0) = e-x(2 sin 2rrx - 3 sin 5nx),
0 :S x :S 1 ; 11,(x, 0) = 0, 0 :S x s l ; u(O, t) = 0, 11(1, t) = 0, t 2: 0.
5.
ilrr
11, -
s x s
0,
11,(x,
0)
sin 3 (x/2),
In Problems 6 through 9, find all particular solutions of each of the following partial
differential equations satisfying the given initial and boundary conditions.
6.
11 11
7.
llrr -
x 2u'-' 11.u
9.
Xllx
211 1
= 0, I <
211x
II
= 0, 0 <
11,(x,
0) = 0, u(O, t) = 0,
0.
U(iT, 1) =
8.
x 2 ilxx = 0, I <
2
[x /(I
t) = 0.
I)
< 2,
](ux.J
0,
> 0; u(x, 0)
I < x < 2,
0, fl( 1,
> O;
I) =
0, 11(2,
u(x. 0)
= 0,
I) =
0.
11(!, t)
= 0,
Chapter
I.
(1.1)
A(x)u"
B(x)u'
C(x)11 = g(x)
on the interval a < x :-:::; b, where we assume the functions A, A', B, C, and g
are continuous and A(x) > 0 for all x in the interval. If A' = B, then we can
write the equation in the form
du]
d- lA(x)
dx _
dx
+
121
C(x)u
g(x)
122
Chap. 4
called the self-adjoint form. With our assumptions on the functions A, B, and C,
it is always possible to transform equation (I. I) into an equivalent differential
equation that is in self-adjoint form. Indeed, if we multiply both sides of
equation ( 1.1) by the function
1
the equation becomes
(1.2)
Lu
dx
exp(J B
A
dx
p(x)
ilx).
d111 +
q(x)u
= f(x)
where
p(x)
exp(J
~ dx) ,
( ,
q XJ
= C(x) p ( X,)
A(x)
f(x)
g(x)
- p(x)
A(x)
(1.3)
Lu
= dxd
p(x) duJ
dx
q(x)11 = 0
(a :::; x :::; b)
B 1 (u)
B 2 (u)
=
=
xu(a)
f3u'(a)
= 0
)'U(b)
<5u'(b)
= 0
The coefficients x, /3, /', and <i are real constants such that Y. 2 + /3 2 i= 0 and
/ + <5 2 i= 0. Clearly. the problem ( 1.3), ( 1.4) has at least one solution, namely,
the trivial solution u = 0. However, this solution has little practical importance.
The significant question is whether the problem (1.3), (1.4) has any nontrivial
solution and. if so, to find all such solutions.
Thus, let 11 1 and u2 be any two linearly independent solutions of equation (1.3)
on the interval a :::; x :::; b. That such solutions exist follows from the theory of
ordinary differential equations, with our assumptions on the functions p and q.
Suppose that u is a nontrivial solution of the problem (I .3), (1.4). Then there
exist constants c 1 and c2 , not both zero, such that
(a :::; x :::; b)
(1.5)
Since 11 satisfies the boundary conditions (1.4) and because of the linearity of
these conditions, we see that
B1(11)
( 1.6)
C1B1(ll1)
C2B1(ll2) = 0
Sec. I
123
(1.7)
)I
'B1(U1)
B 2 (u 1 )
B1(U2 '
Bi(u 2 )
Hence, if this condition does not hold, then problem (1.3), (1.4) has only the
trivial solution.
On the other hand, if condition (I. 7) is satisfied, then the two equations in (1.6)
differ only by constant factor. Hence, we can use either one of the equations to
derive a relationship between the constants c 1 and c 2 , and in this way obtain a
nontrivial solution of the problem. For instance, from the first equation we may
take c 1
B 1 (u 2 ) and c 2 = -B 1 (u 1 ). Then
(l.8)
is a nontrivial solution of the problem (1.3), (1.4). From the linear homogeneous
nature of the problem it follows that r(x) = Cu(x) is also a solution for any
value of the constant C. Thus, we obtain an infinite family of nontrivial solutions. Jn fact, it is true that ifthe problem (1.3), (1.4) has a nontrivial solution u,
then all other solutions of the problem are of the form v(x) = Cu(x), where C
is a constant.
To verify the last statement, suppose that v is any other solution of the
problem. Since both u and t' satisfy the first of boundary conditions (1.4), we
have
r111(a) + /Ju'(a) = 0
C1.u(a)
f3v'(a)
which is a system of homogeneous equations for the constants Cf. and /3. By
assumption, Cf. and f3 are not both zero. Hence, the determinant of the system
must vanish; that is,
!u(a) u'(a)!
(1.9)
w (u, v; a) = Ii (a) v'( a) ' = o
1
THEOREM 1.1.
124
Example I. I.
Chap. 4
0.
o.
11(0) =
11( ;y)
sin x
C2 COS X
cos 0
sin
co~
Ti
7i.
the problem has nomri\ ial solutions. In fact, applying the boundary conditions
to the general solution. we find that c 2 = 0 and c 1 is arbitrary. Hence, the
solutions are gi\en by
11(x) =
C sin x
~II= 0,
11(0) =
o.
11( ;y)
11(x) =
c 2 cos lx
cos 0
-I
cos
2
the problem has only the trivial solution 11 = 0. In fact, if we apply the boundary
conditions to the general solution, we find i;rnnediately that c 1 = c 2 = 0.
Exercises 4.1
Jn Problems I through 5, reduce the given differential equation to the self-adjoint
form (1.2).
+ bu'+ rn = 0, 0 S x S 1, band
2. xu" + 2u' + x11 = 0, 0 < a S x S b.
3. xu" + x11' + u = 0, 0 < a S x S b.
4. x 2 u" + x1/ + u = 0, 0 < a S x S b.
5. xu" + (1 - x)1/ + 11 = 0, 0 < a S x
1.
11"
S b.
In Problems 6 through 14, determine if the problem has a nontrivial solution and,
if so, find the solution.
6.
7.
11" =
0, 0
u'(I)
= 0.
1/'
+ u
I; (a) 11(0)
0, 0 S x S rr/2; 11(0)
+
=
u'(O) = 0, 11(1) = O;
0. 1/(11/2)
0.
(b) u(O)
u'(O)
0,
8.
11"
II= 0.0 s
9.
1/'
411 = 0. 0
x s
:o:
+ 11'(0) = 0;1111) =
11(0) + 1/(0). 11( 1) = 0.
1;11(0)
x s 1;
0.
10.
1/'
0.
11.
xu"
(111 4)11'(2) = 0.
12.
13.
125
Sec. 2
1/(I)
0, 11(:?.)
1/(l)
0, 11(2)
1/(2) = 0.
21/(2) = 0.
14.
(d/dxJ[(l -
15.
.\ )1/]
D = !B1<111J
B1C112J
B2<111 J
B2(112)
le O
(b) If D = 0. sho\\ that the problem has a solution only if the constants c 1 and
C2B1(ll2)
B2(ll1)
C2B1ill1)
Ci
In Problems 16 through 2:1. use the result of Problem 15 to determine if the problem
ha-; solution and, if so. find the solution.
16.
17.
18.
11" -
11lrr) =
-1;
(b)
11(0)
1/(0)
I,
1/(0)
1/(0)
0,
")
~,
11'(1) = 0.
411 = 0. 0 :S .\
1,211(1)
1/il)
2c 2 .
1/'
19.
411
le') 11(0)
20.
21.
.\' 2 1/'
11IC')
2.
.rn'
~cos
l;(b)1110) =
J:(b)1111) =
~onhomogeneous
Lu
du-
p(x)
dx 1_
dx
+
1
1.1112) -
O; (b) 11( I) -
-l,11irr) =
q(x)u = f(x)
1;
1/12)
;/(I)
1.
126
Chap. 4
(2.2)
u(b)
u(a) = 0,
= 0
We have taken here the simpler boundary conditions (2.2) mainly for con' enience. The results that will be obtained remain valid for the general boundary
conditions (1.4), as we shall indicate at the latter part of this section_
We first consider the problem (2.1 ), (2.2), assuming that the corresponding
homogeneous problem
Lu = 0,
(2.3)
u(a)
= 0,
u(b)
has only trivial solution. As we shall see in the next section, when the problem
(2.3) has a nontrivial solution, (2.1), (2.2) either has no solution or has infinitely
many solutions_ Our procedure here is to find a particular solution of equation
(2.1) by the method of variation of parameters and then to determine the
constants of integration in such a way that the boundary conditions (2.2) are
also satisfied. With this purpose in mind, we shall choose two linearly independent solutions of the homogeneous equation Lu = 0 in such a way that each
satisfies one of the boundary conditions (2.2)_ Thus, let 11 1 be a nontrivial
solution of Lu= 0 that satisfies the condition u 1 (a) = 0, and let 11 2 be a nontrivial solution of the equation that satisfies the condition 11 2 (b) = 0. It is clear
that such solutions exist. In fact, if y 1 and y 2 are any two linearly independent
solutions of the equation Lu = 0. then we may take, for example, 11 1 (x) =
y 2 (a)y 1 (x) - yJa)Yl(x) and uh:-) = y 2 (b)y 1 (x) - y 1 (b)y 2 (x).
Since the
corresponding homogeneous problem (2.3) has only trivial solution, we have
u 1 (b) # 0, u 2 (a) # 0 and the functions 11 1 and 11 2 are linearly independent.
Hence, the Wronskian W(u 1 , u 2 ; x) of u 1 and 11 2 does not vanish; that is,
(2.4)
for a
b. Now let
(2.5)
where r 1 and
setting
i- 2
(2.6)
we have
(2.7)
Differentiating (2.7) and substituting the result together with (2.7) and (2.5) in
the differential equation (2.1 ), we obtain
(2.8)
v;(x)11;(x)
v;(x)u;(x)
f(x)
p(x)
Sec. 2
.127
for which we have used the fact that Lu 1 = 0 and Lu 2 = 0. In view of (2.4),
we can solve for i; and
from equations (2.6) and (2.8). We find
z:;
-u 2(x)f(x)
i:',(x) =
p(x)W(u 1 , u 2 ; x)
r;(x) =
u 1(x)f(x)
U 2 ; X)
p( X) W ( U I ,
and therefore
V1(x) =
-Ix
Uz(Of(() d( p(')W(11 1 , 11 2 ; ()
c,
(2.9)
v2(x) =
'x
11,(()/(() d(
~ c p( () W ( 11 I , 11 2 ; ()
2
(2.10)
11(x)
U1(x)
fx ~U2(0f(() d_ +
c p( S) w(U I , !/ 2 ; S)
fx - ~1(~)[(0
11z(X)
c2
p( S) J1 (U J ,
d(
U2 ;
S)
We now determine the constants c 1 and c2 in (2.10) so that u satisfies also the
boundary conditions (2.2). Setting 11 = 0 for x = a and noting that 11 1(a) = O,
we find c 2 = a. In the same way, setting 11 = 0 for x = b and noting that
u2 (b) = 0, we ha\e c 1 = b. Substituting these values for c 1 and c2 in (2.10), we
finally have
(2.11)
u,()u2(x)f(O cc+
/"
J" 111(x)112()/(() d"
( ) - rx" p(--() W (LI I , 11 z; () p(O W ( 111 , U2; ') -
ux-
. pk)W(u
G(x: ) =
(a :s; x :s; ()
1 , 11 2 : ()
111(()11z(X)
p(()W(11 1 , u 1
; ()
(2.13)
11(x) =
G(x; ()/(() d(
(J
The function G defined in (2.12) is called the Green's function for the differential
operator L, corresponding to the boundary conditions (2.2).
It is left as an exercise to verify that (2.13) with (2.12) indeed satisfies equation
(2.1) and the boundary conditions (2.2). The uniqueness of this solution follows
from the assumption that the corresponding homogeneous problem (2.3) has
only trivial solution.
128
Chap. 4
The definition of the Green's function given above holds for the general
second-order differential equation (I. I). However, the fact that the operator L
is self-adjoint leads to the important result that the quantity p(x)W(u 1 , u 2 ; x)
is a constant. To see this, we note that
u 1(x) { d [p(x)u;(x)]
dx
- u 2 (x)
{~
dx
q(x)ui(x)lS
[p(x)u;(x)]
q(x)u 1(x)}
= 0
since both u 1 and u 2 satisfy the equation Lu = 0. Hence, for the self-adjoint
operator L, the Green's function (2. I 2) becomes
(2.14)
G(x;
~ 1u,(x~,m
u 2 (x)u 1 (c;)
K
(a
x ~ ~)
(~
b)
d p dG)-
dx (.
dx
+ qC
(a < x < b, x of ~)
cc.; +
(2.15)
O; ) = G( - O; )
:t(J
dx
+ O; ~)
_ dG ( _ O; ~)
dx
_1 _
p(~)
Sec. 2
129
Actually. properties (i) through (iv) determine the Green's function uniquely.
This means that if \\e construct a function that satisfies all the properties
(i)-(iv), the function will be of the form (2.12) or of the form (2.14) if the
differential equation is self-adjoint.
Let us summarize in the following theorem the result we have obtained above.
Example 2.1.
f (x)
dx 2
11(0) =
(0
11(1)
0,
s ])
= 0
Solution: It is easily verified that the corresponding homogeneous problem has only
the trivial solution, and so the Green's function exists. The differential equation
1/' = 0 has the general solution
Ax+ B
11(x) =
A solution that satisfies the condition 11(0) = 0 is easily found to be 11 1 (x) - '
and a solution that satisfies the condition 11( I) = 0 is given by u 2 (x) = x - 1.
These two functions are linearly independent, with the Wronksian being equal to
s
s
x
x
s
s
)
1)
dx 2
11 =
11(0)
Solution:
(0
I)
Example 2.2.
1)
\(x -
11(\') =
In particular, if/(.\)
the solution.
fx<.; -
f(x)
0,
(0 S x S I)
u(I)
B sin x
O;
To
130
Chap. 4
11 1 (x)
11 1(x)11;(x) -
u;(x)u;(x)
sin x cos(x -
I l - cos x sin(x -
sin [x - (x -
1)]
I)
sin I
C(x; ,)
::~(; -
1)
sin sin(x -
1)
= {sin x
(0 :<'.
x :<'. c;)
(, :<'. x :<'. I)
sin l
and the solution is
u(x)
sin(x -
I) - sin x
-
sin l
The solution of the boundary value problem consisting of equation (2.1) and
the more general boundary conditions (1.4) can also be given in the form (2.13),
where G is the corresponding Green's function for the problem, provided the
related homogeneous problem has only trivial solution. In such a case, the
Green's function can likewise be constructed from properties (i), (ii), and (iv)
of (2.15) with property (iii) replaced by the conditions
cxG(a; 0 + {3G'(a: ()
yG(b; ()
15G'(b; ()
Here we use prime to denote differentiation with respect to the variable x. Thus,
the Green's function in this case is also defined by (2.12), provided u 1 and u2
are linearly independent solutions of Lu = 0 such that 11 1 satisfies the boundary
condition at x = a and u 2 satisfies the boundary condition at x = b.
Example 2.3.
q_~u2
= f(x)
(0 :<'. x :<'. I)
dx
11(0) = 0,
u(l)
11'(!) = 0
Solution: It is easy to verify that the related homogeneous problem has only the
trivial solution u = 0. Now, from the general solution u(x) = Ax + B of the
homogeneous equation 11" = 0, we determine two linearly independent solutions
Sec. 2
and
11 1
11 2
131
0 and
= I, respectively. We find
It is easily seen that this function satisfies properties(!), (ii), and (iv) in (2.15) and
the boundary conditions of the problem. Moreover, G(x; c;) = G(; x), since
(d/dx) 2 is self-adjoint.
Lu
(2.16)
f(x),
u(a)
u(b)
A,
which involves nonhomogeneous differential equations and boundary conditions. can be found by combining the solution of problem (2.1), (2.2) and the
solution of the problem
Lu= 0.
(2.17)
u(a)
= A,
u(b) = B
Thus, we need only to find the solution of problem (2.17). With the functions 11 1
and 11 2 used to construct the Green's function (2.12), let us assume a solution in
the form
u(x) = C1U1(X)
C2ll2(X)
A.
ll(b) = C11l1(b) = B
Since
ll1(b) -:/-
and
11 2 (a)
# 0
we find
cI -
--
C2
u 1(b)
u 2(a)
(2.18)
u(x)
Jb G(x; cJf(O d~ + B
Example 2.4.
11
i(x)
+ - _A
u 2(x)
ll2(a)
11 1(b)
dx 2
+II=
uiO) =A,
11(1) =
132
Chap. 4
=o
.t
J0
C;(x; <;).
" 1 (<:;)
" c<;
/
+ .B
sm 1
. x sm
A
.
. sm(x sin 1
sin(x -
I).
I)
Exercises 4.2
1.
find the Green's function for the operator L = d 2 /dx 2 , 0 ::; x :S I, subject to
the given boundary conditions: (a) 11(0) = 0, u'(OJ = 0; (b) 11'(0) = 0, 11( I)
u'(l) = O; (c) u(O) + 1/(0) = 0, 1/(I) = 0.
'
2.
Jn Problems 3 through 6, find the Green's function for the problem and give the
solution.
11" -
2u'
4.
x 2 1/'
211 = f(x), 0
2.11/
0.
7.
Verify that the function u defined by formula (2.13) satisfies the differential
equation (2. J) and the boundary conditions (2.2).
8.
Determine the Green's function (2.12) from the properties (i)-(iv) in (2.15).
Hint: Let u 1 and u 2 be two linearly independent solutions of L11 = 0 such that
u 1 (a) = 0 and u 2 (b) = 0, and set
(as x < ,;)
(,; s
9.
-I
- (a, a) = -
c,;
p(a),
cG
- (b, a) = 0
c,;
cG (b,
a,;
10.
b) = +I ,
p(b)
oG
- - (a,
b) = 0
~~ (x,
a)
a,;
Ap(a)
Bp(b)
~~ (x,
b)
x :S b)
Sec. 3
11.
12.
II
LB
agrees 11i1h
10
(2.18).
IO::::xs I)
/(1)
11(1)
A,
u(O)
13.
+ /.: 2 11 =
11"
11(0) -
f(x)
(0 .S
1/(0) == A,
I)
u(!)
11here A and Bare not both zero. and determine the 1alucs of k for 11hich the
problem has no solution.
to
In Problem 14 through 16, find the Green's function for the gi1en operator subject
the gi\en boundary conditions.
14.
15.
x(d 2 /d1
x (d ,'d.r 2 )
2
x )(d 1d1
(d d1l. 0 <
, . .r(d,d.1)
.1
2
11 , 11
16.
(I
17.
) -
d2
3.
11
s2
== 0.
(-
~;:
0. 11(1)
<
.1
0.
is finite.
0))
0 as x _, x is gi1en by
In the preceding section 11e were able to obtain a unique solution of the
problem (2.1 ). (2.2) under the assumption that the related homogeneous
problem (2.3) has only trivial solution. Linder that assumption. the Green's
runction (2.12) for the problem is uniquely determined. We now consider the
case 11 hen the homogeneous problem (2.3) has a nontrivial solution. In such a
case. the Green's function (2.12) docs not exist. since the functions 11 1 and u 2
can no longer be linearly independent. In fact, we shall show that the problem
(2. l ). (2.2) in this case either has no solution or has infinitely many solutions.
We first establish the following lemma.
LE\ll\JA 3.1. (Green's Formula) !f 11 and
on the intl'rrnl a ::; x ::; b, then
(3.1)
[uLr: - iLu] dx
l ( cfr
p
11
dx
z:
du)Jb
dx
134
Proof:
We ha\e
(3.2)
dr) + qr J dx
u -d _ (. p
dx .
b 11 - d-
dx
cit:)
(p
dx ,
-a
Chap. 4
+ rb
dx
dx.
q11r dx
Integrating by parts twice the first integral term on the right of (3.2). we find
b
(P di:) dx
u d_
dx .
dx
p fu d11b -
dx
d11 ch dx
dx dx
dx
dx
dx
dx
/ 11Lr dx
a
rb
.I
rLu dx
I (Ip
dr
1/
dx -
t111)Jb
[' dx
11 0
L11 dx =
11L11 0 dx
(u ~~
0
11
~~o)
llof dx = 0
This shows that when (2.3) has a nontrivial solution 11 0 equation (3.5) must hold
in order that the problem (2.1 ). ( 2.2) may have a solution. Therefore. if condition
(3.5) is not satisfied. then the problem (2.1 ). (2.2) has no solution whatsoever.
In other words, (3.5) is a necessary condition for the existence of a solution of
the problem (2.1 ), (2.2) in the event that the related homogeneous problem (2.3)
has a nontrivial solution 11 0 .
The condition (3.5) turns out to be also sufficient to ensure the existence of a
solution of the problem (2.1), (2.2). As a matter of fact, if (3.5) holds, we can
Sec. 3
135
(3.6)
11(0)
Solution:
11(1) = 0
0,
up(x) =
11(x) =
n2
+ c 1 sm
nx
+ c 2 cos
nx
Cz
= 0,
Cz
\\ hich yield contradictory results for c2 . This shows that the problem (3.6) has
no solution. As a matter of fact, we observe that the corresponding homogeneous
problem 11" + n 2 u = 0, 11(0) = 0, 11(!) = 0 has a nontrivial solution u 0 (x) =
sin nx for which J6 I sin nx dx # 0, violating condition (3.5).
On the other hand, if we take the non homogeneous term in (3.6) to be f(x) =
2x - I so that
L
1
(2x -
I)
sin nx dx
I
112
cos nx +
2x n2
- + C sm nx
'
136
Chap. 4
conditions (2.2). Then u0 and u 2 are linearly independent (see Problem 7).
Hence, by (2.10),
(3.7)
is a solurion of equation (2.1) for arbitrary constants c 1 and c2 . Here K =
p(x)W(11 0 , 11 2 : x); this is a constant, since L is self-adjoint. Applying the
boundary conditions (2.2) and noting that 11 0 satisfies those conditions, we find
(3.8)
11o(a)
-
'a
Uo(J/() d
c2
= 0,
Since u 2 (a) of. 0 and u 2 (b) /' 0. equations (3.8) will hold if and only if the integral
terms \'anish for some value of c2 . In \iew of condition (3.5), it suffices to take
c 2 = a or c 2 = b. leaving the other constant c 1 arbitrary. Let us choose
c 1 = c2 = a. Then the solution (3.7) becomes
(3.9)
u(x)
Ix
11 0
It is easy to verify that (3.9) is a solution of the problem (2.1). (2.2), subject to
the condition (3.5). This solution is not unique because \\e can add to (3.9) any
constant multiple of u 0 . In fact, if we add the term
-- ( ) J'b 112((}((;)
u0 x
f" =- u (' x)
0
l '=
rx Li2(~)f(() d"c;
K
a
~b
u 0 (x)
... /'(.
j -=-U-~l d~
x
ti, (
1x
a
(3.10)
11o(()112(X)
- ~-K
1("') d"c,
J G*(x;cJ/(()d(
a
where
(3.11)
(x :::;
:::; b)
Sec. 3
137
0,
/(x) sin nx dx = 0
0
The function 11 0 (x) = sin nx is clearly a nontrivial solution of the corresponding homogeneous problem 11" + n 2 u = 0, 11(0) = u(I) = 0. Let us seek a
solution of the homogeneous differential equation that does not vanish at x = 0
and x = 1. We find 11 2 (x) = cos nx, for which we have K = uau; - 11 011 2 = - n.
Hence, according to (3.1 J),
Sol111io11:
1 .
G*(x; )
1 .
m:;
..
( s: x s: I)
l[
Lr
G*(x; )/()
d~ +
C sin nx
Exercises 4.3
In Problems 1 through 5, find a modified Green s function for the given operator L
subject to the gi\en boundary conditions.
1.
d 2 /d.\ 2 , 0 s: x s: I; 11'(0)
2
2.
d /dx
3.
d 2 /dx 2
4.
5.
x(d /dx
0 s: x s: I; 11(0)
0, 11'(1}
1/(0)
J, 0 S: x S: rr/2; 11(0)
0.
0, 11(1)
0.
0, u'(n/2)
0.
= (I - x 2 )(d 2 /dx 2 )
2x(d/dx),
- I < x < I;
/1
0.
is finite at x = 1 and
x = -1.
6.
7.
Let Ila be a nontrivial solution of the problem L(u) = 0, u(a) = 0, 11(b) = 0, and
let u be any solution of the equation U11) = 0. Prove that 11 and 11a are linearly
dependent if and only if u satisfies one of the conditions 11(a) = 0, 11(h) = 0.
8.
Verify that for the modified Green's function given in (3.1 I), G* satisfies properties (i), (ii), and (iv) of (2.15) but not property (iii).
138
Chap. 4
9.
10.
11.
B(x)z/
211'
u(a) = 0,
11
C(x)u
u(b)
f(x)
(a
0,
b)
= 0
4.
Sturm-Liomille Problems
X"(x)
X(O)
l.X(x) = 0,
= 0,
X(L) = 0
(4.2)
d
dx
rl p(x) ~dx ]
11
[q(x)
l.r(x)]u
= Lu
l.r(x)u
'Y.u(a)
{Ju'(a) = 0,
'/U(b)
6u'(b)
= 0
u(a) -
u(b)
= 0,
u'(a) -
u'(b)
= 0
These are called periodic boundary conditions, since both the solution u and its
derivative are required to have the same value at the end points of the interval
[a, b].
Sturm-Liouvil/e Problems
Sec. 4
139
(4.5)
+
+
f3u'1(a, ).)
bu'1(b, ),)
/3u~(a, ).)! =
bu~(b,
i)
Hence, the problem (4.2), (4.3) has nontrivial solutions if and only if;, satisfies
the determinantal equation (4.5). The values of). satisfying equation (4.5) are
called eigenvalues of the problem (4.2), (4.3) and the corresponding nontrivial
solutions are called eigenfunctions. It follows from Theorem 1.1 that an
eigenfunction corresponding to an eigenvalue is uniquely determined up to a
constant factor. This means that to each eigenvalue there corresponds only one
linearly independent eigenfunction. An eigenvalue having this property is said
to be simple.
It is possible to show that a regular Sturm-Liouville problem has infinitely
many real and simple eigenvalues/.,., n = l, 2,
, which can be arranged in a
monotonic increasing sequence ). 1 < 1. 2 < < ).,, such that lim i.,, = co as
n tends to co. These properties are clearly exemplified in the particular problem
(4.1) for which we found infinitely many real and increasing eigenvalues
11(0) = 0,
).11(x) = 0
11'(11) = 0
So/11tio11: As in problem (4.1 ), it is readily shown that the present problem has only
trivial solution when Jc :S 0. When )_ > 0, the differential equation has the
general solution
u(x) = c 1 sin v ). x + c 2 cos\ ). x
Applying the first boundary condition, we obtain c 2 = 0. Thus, any eigenfunction of the problem must be of the form 11(x) = c 1 sin v'). x.
140
Chap. 4
0.
Since we do not v,ant c 1 = 0 and since i. > 0, we must then have cos "\ 1 J. n
This implies that
0.
I, 2, ... l
(11
which are real and increasing, and the corresponding eigenfunctions are
un(x)
. (211 -
Sll1 .
I)
(11
= 1, 2, .. )
Solution:
The reader can easily verify that the problem has only trivial solution when
2
= k , where k is a real nonzero number. Then the
general solution of the differential equation is
u(x) = c 1 sin kx
c 2 cos kx
sin kx
(k =f. 0)
141
Sturm-Liouville Problems
Sec. 4
FIG. 4-1
Exercises 4.4
111 Problems 1 through 'i. find the eigenvalues and eigenfunctions of each of the
gi\en Sturm-Liou\ ille problems.
1.
2.
3.
4.
5~
I/ "
+
// " +
11 " +
II
+
1/i\)
I.I/
0. 0
I.Ii
o. 0
<
.\
I.I/
0. 0
s:
/.//
o.
I.I/ -
s:
s:
s:
L; 1/(0J = 0. u(L)
n; 1/(Q)
j( ;
11(0)
x 5- ;:-; u(O)
0. ()
:S
\'
0. 1/(;:)
0.
0.
o.
1/(Q)
1/(0)
:S L; 11(0)
u"(OJ
11( Ti)
0. //(Ti)
0, u(L)
1/(n)
0.
1/(7r)
0.
1/'(L)
0.
For each of Problems 6 through 10. find the equation (4.5) and estimate graphically
the eiger1\alues for sufficiently large /1 and give the form of the eigenfunctions.
,.
6. Ii + /.// -- 0,0 s: x s: 1; u(O) + u'(O) = 0, u(l) = 0.
7.
[/
"
s: IT;
11(0)
/.Ii
0, 0
}u
/Ji
0, 0
)_//
0. 0
0,
ll(li)
0, 11( I)
11'(n)
0.
8.
II "
9.
ll "
10.
// "
11.
+
+
s:
s
x
x
dr
(xu')
1/(I)
0.
0, u'(n)
0.
0, u(n)
u'(n) = 0.
).
11
= 0
( l S: x
s: e)
142
Chap. 4
ror each of the boundary conditions (a) 11(!) = 0, 11(e) = O; (b) 11(!)
0,
12.
x 2 11" + 2x11'
II(
13.
I)
d (x 3 11')
11(!) =
:s: x :s:
e)
).XII
= 0
u(e") = 0
0,
(1 ') +
11(!)
15.
(I
dx
14.
).11 =
u(e) = 0
0,
- II
= 0,
t. II
= 0
(I
_\3
:s: x :s:
e)
11(e) = 0
11(-L) -
u(L)
= 0,
;_// =
(-L
1/(-L) -
1/(L)
:s: x :s:
L)
= 0
\\ ith periodic boundary conditions. Find the eigenvalues of the problem and
shO\\ that to each eigell\alue). F 0, there corresponds two linearly independent
eigenfunctions.
16.
u(L)
+
0.
i.11 =
(0 < _\
1/(0) -
11'(L)
:s:
L)
The function
( - I )k(tl2)2-cp
k!l(k+p+1)
is known as Bessel's function of the fast kind, of order p, and satislies the
differential equation
( p a real number)
l =
P ) 11 = O
x
1.
Sec. 5
(b) Thus. show that
problem
Orthogo11ality of Eige11fimctio11.1
11 11 (x) =
Afu
Jr(\
0.
i.,,
11(0) =
143
o.
=
11(/) = 0
0.
\\hat are the eigell\ alues and eigenfunctions of the singular Sturm-Liom ille
problem
xr/' + 1/ -,- i.xu = 0
(0 < x < I)
1/(0) = 0,
11(!) = 0
-i
19.
Lu
= dxd ( x1 1/)
J.
11
(x > 0)
and thus determine the eigell\alues and eigenfunctions of the singular SturmLiouville problem Lu = 0, 11(0) = O. 11( I) = 0.
5.
Orthogonality of Eigenfunctions
rb
a(x)11(x)1(x) dx = 0
Thus, the functions u(x) = sin x and c(x) = cos x arc orthogonal on the
interval [-IT, rr] with respect to the weight function O"(x) = I, since the integral
of their product O\er this integral vanishes. Whene\er (5.1) holds for the
runctions u and r with O"(x) = I. we shall simply say that 11 and care orthogonal
on [a, b].
When u
c, the quantity
(5.2)
I rill
is called the norm of the function u. Notice that Ii ul! = 0 if and only if u(x) = O
for a ::;: x::;: b. If 111111 = I, then the function u is said to be normalized. It is
easy to see that a given function that is not identically zero can always be
C!tap. 4
144
llull
rb o-(x)v 2(x) dx
Ja
{b o-(x)u 2(x) dx
lluli 2 Ja
1; 11
!12
If 11 i
=I
We now establish the orthogonal property of eigenfunctions of the SturmLioll\ ille problem (4.2), (4.3).
THEORP'I
i:
r(x)u(x)v(x) dx = 0
Lu = -1-;ru,
Ll'
p and
-1'1'L'
If we multiply the first equation by 1 and the second equation by u, and then
subtract one result from the other, we obtain
(J1 -
1)rul'
= uLz. - rlu
(5.3)
(1-1 -
v)
r(x)u(x)i:(x) dx
[.
p ( !I -dv
. dx
= a to x = b and use
v du)]b
dx .
p( b) iv (u, r : b) -
p( a) W ( u, r: a)
(5.4)
(11 - v)
J r(x)u(x)v(x) dx
a
= 0
r(x)u(x)v(x) dx = 0
Ortho_qonality of Ei{fe11ji111ctio11s
Sec. 5
(5.5)
1-45
!~
(iI
(if
/11
11)
/11
=I= n)
In such a case the set of functions c/> 11 n :2: J. is called an orthonormal system
over [a. bJ with respect to the weight function r. Equation (5.5) is oftentimes
written as
L'"
(5.6)
= c5
r(x)</>,,,(x)</>,,(x) dx
11111
where the symbol 611111 , known as the Kronecker delta, is defined by the equation
(i c /11
(ifm
(5.7)
Example 5.1.
11)
=I= 11)
So/11tio11:
'("nnx)
.
s11r
-
2: I.
for
1x
11. _!___=-._~)_'~2nn:\}_L
0
Thus, l!X,,11
/1
dx =
~
-
u 11 (.\) =
(2)
L
I 2
Sill
17 Tl.\"
(11 2
])
\Ve stated in the preceding section that the Sturm-Lioll\ille problem (4.2),
t4.3) has only real eigenvalues. This fact can be established by using the proof
of Theorem 5.1.
TIIEORE.\I 5.2. The eige11rn/11es of the St11r111-Lio11rille proble111 (4.2). (4.3) are
all real and the corresponding eiqenfunct ions are real except f(Jr a constant
( po1.1ibh complex) factor.
146
Chap. 4
Lt/I + i.rt/J = 0
(5.8)
Since the function rand the coefficients of the differential operator Lare realvalued, it follows by taking the complex conjugate of each term in (5.8) that
(5.9)
Similarly, by taking the complex conjugate of each of the boundary conditions
(5.10)
ry_t/J(a)
/N'(a)
0,
:J.lji(a)
(Jlji'(a)
0,
we obtain
(5.11)
since :J., fi, /',and c) are real constants. Now equation (5.9) and (5.1 I) imply that
17f is also an eigenfunction of (4.2). (4.3) and I. is the corresponding eigenvalue.
Hence, Jetting 11
tjJ and r = lji in the proof of Theorem 5.1, from (5.4) we have
(5.12)
(). - I.)
r(x)t/J(x)17f(x) dx
Since 1/1(x)17f(x)
U 2 (x) + V 2 (x) > 0 and r(x) > 0 for a ::;; x ::;; b, the
integralin(5.12)isalwayspositive. Therefore.wemustha\e i. - I.= 2it = O;
in other words, r = 0. Thus, i. = s, a real number.
If we consider the real and imaginary parts of equations (5.8) and (5. I 0), we
see that both U and V are eigenfunctions corresponding to the eigenvalue
i. = s. Hence, C = c V for some constant c so that
i/1= U+iV=(c+i)V
Thus. 1/; is a real-valued function except for a multiplicative (possibly complex)
factor. This completes the proof of the theorem.
Theorems 5. I and 5.2 can also be shown to hold in the case when the boundary
conditions (4.3) are replaced by the periodic boundary conditions (4.4), provided
p(a) = p(b) (Problems IO and 13.)
Exercises 4.5
I.
2.
3.
(See
Sec. 5
4.
Orthogonality of Eigenjimctions
147
11"
).11 =
O,
0 ::::; x :S n; u(O)
= }..
).n
1 . (
.
- sm mn In x) sm(mn In x) dx = 0
Jx
l
when m and
6.
11
Verify that Theorem 5.1 holds for the singular Sturm-Liouville problem
d (x1/)
--
dx
p2)
( }.x -
x
= 0
11(1) = 0
u(O) = 0,
d
dx
- -
11(0)
ll =
(0 < x < 1)
11(1) = 0
0,
when and v are distinct roots of Jl/2(J.. 112 /2) = 0. (See Problem 19, Exercises
4.4.)
.
8.
11(11
2x11'
finite at x =
}.u
(-l<x<I)
d"
-- (x 2 2"11! dx"
I)"
(11 = 0, I, 2, ... )
Chap. 4
148
j_
'j
P,,,(xJP,,(xJ dx
\\hen m fc
11.
9.
10.
Show that Theorem 5. 1 remains \a lid when the bouml<uy conditions (4.3) are
rerlaccd by the periodic boundary conditions (4.4) \\ith p(a) ~ p(b).
11.
Verify the result of Problem 9 for the eigenfunctions of Problem 15, E\en:ises 4.4,
and then obtain the orthogonal system of eigenfunctions
I 1. Sill
'
lliTX
cos
lliTX
111
L I
IJ
12.
13.
Show that Theorem 5.2 remains \alid \\hen the boundary conditions (4.3) are
replaced by (4.4), pro\ided p(a) = p(h)
14.
Show that if q is nonpositi\e on the intcnai u <; x < h, then the eigemaiucs of
equation (4.2) are nonnegati\ c under each of the folio\\ ing bound;.iry conditions:
(i) Ilia) = 0, 11(/JJ = 0.
(ii) 1d11) = 0, 1dh) ~ 0.
(iii) 1/(a) - Ci 11(a) == 0, 11'(/JJ
0.
C211(h) =
15.
Show that if
II
and
I'
1/"J -
i.11 =
0.
11(
11
Cz
(111''" -
0.
or the boundary
arc eigenfunction-;
/ff{i\') --
0,
Ci
(0
~
II" (
11
and
ii
[' -
to
\alue problem
()
L)
11
\. <
LJ
L) = 0
1/1'"
-i- 1/'1')
dx
6.
/(x) =
I
n:::: 1
'
'
/J,, S111
lli1.\
Sec. 6
149
where the functions X (x) = sin(nnx/L). (11 2: 1). are eigenfunctions of the
particular Sturm-Liouville problem (4.1 ). We found that in order for the
expansion (6.1) to hold, the coefficients b must be given by the formula
11
11
2
h,, = L.
(6.2)
rl. j(x)
. sm. _
11nx
dx
(11
= 1, 2, ... )
This formula was deri\ed by making use of the orthogonal property of the
eigenfunctions X (x) = sin(11nx/ L), 11 2: I.
The series (6.1) is actually just a special case of the problem of expanding a
function fin an infinite series of eigenfunctions of the more general SturmLiouville problem (4.2), (4.3). For if f satisfies appropriate conditions. it is
possible to expand the function in a series of the form
11
Cf.
(6.3)
f(x) =
L
11=
cn<fJ,/x)
(a :<::: x :<::: b)
where c/J," 11 2: l. are the eigenfunctions of the problem (4.2). (4.3). Here we
assume that the eigenfunctions <P have already been normalized. If the expansion (6.3) is possible, the coefficients c,, can then be determined in the same way
we determined h,, for the series (6.1 ). We multiply both sides of equation (6 3)
by r(x)c/J'"(x) and integrate the result over the interval [a. h]. Assuming that the
series can be integrated term by term. we obtain
11
(6.4)
r(x)f(x)</J,,,(x) dx =
~ c,,.
1 1
1b
Cf:
==
,1=1
c11<3"'"
c,,
0 when m =I=
11
and ri,,,
11
r(x)f(x)</J 11 (x) dx
The series in (6.3) with the coefficients c,, given by (6.5) is called the generalized
Fourier series of the function f with respect to the orthonormal system {c/J,,J.
The coefficients c,, are called the Fourier coefficients. We observe that the series
in (6.3) can always be formed for a given function f whenever the coefficients
(6.5) can be determined. However, there is no guarantee that the series obtained
\\ill converge at any point in the interval a :<::: x :S: b. In fact, e\en when the
series does converge, there is no assurance that it will converge to the function f
on that interval. Until the question of convergence has been established, we
shall simply regard the series in (6.3) as the formal eigenfunction expansion of
/with respect to the orthonormal system {</.i and write
11 }
00
f(x) ~
L
11=
c,,,,(x)
150
Chap. 4
For reference, we present a basic theorem that gives sufficient conditions for
the pointwise convergence of the series in (6.3) to.f The theorem will be proved
in the next chapter in the special case where L = (d/dx) 2 for which the orthonormal system {,,} consists of trigonometric functions.
f(x
+ f(x
0)
0)
2
at each point x for a < x < b. If, in addition, f is continuous on a :S: x :S: band
satisfies the boundary conditions (4.3), then the series (6.3) concerges uniformly and
absolutely tofjor all x, a :S: x :S: b.
Example 6.1. Determine the series (6.3) for the function f(x)
respect to the orthonormal system {(2/71) 112 sin nx].
Solution:
By (6.5) we find
(2/71) 112
"
J x sin nx dx
(2/71) 112
l-x
,--- cos
cos nx
11
- v' 271
x, 0 S x <
sin
+ __
71
II.\']"
112
1171
(II
II
with
:2'.: ] )
II
Thus, we have
x ~ 2
(-1)"+
sin nx
X
n= I
According to Theorem 6.1, the series converges to the function /(x) = x for
0 < x < 71. At x = 71, we notice that the series converges to zero while/(71) of- O.
At x = 0 both the series and the function converge to zero. Hence, the series
expansion above is valid for 0 S x < 71.
In the study of convergence of the series in (6.3) or, for that matter. of any
series involving orthogonal functions, there is a different kind of convergence
that is often more convenient and appropriate to use. especially when pointwise
convergence can nowhere be attained. We refer to the notion of convergence in
the mean square sense or, briefly, convergence in the mean. We say that the
sen es
00
f(x) ~
(6.6)
c,,/x)
n=l
with coefficients given by (6.5) converges to fin the mean if and only if
(6.7)
Jim
m-oo
f l
b
r(x)
f(x) -
"'
L
n=l
c'n 11 (x)
dx = 0
Sec. 6
151
Here, we shall continue to regard the system {"} as the set of normalized
eigenfunctions of the Sturm-Liouville problem (4.2), (4.3). although it can be
any given set of orthonormal continuous functions on a :s; x :s; b relative to a
weight function r, r(x) > 0.
The integral
E,,, =
(6.8)
rf
r(x)
"'
1 ~1 c .,(x)
(x)
11
]2 dx
is a measure of the average error in approximating/ over the interval a :s; x ::::; b
by the mth partial sum
m
S,,,(x) =
(6.9)
L cn<f> (x)
11
11=
and is called the mean square deviation of S"' fromf The vanishing of (6.8) as
m tends to infinity implies that S,,, is close to f for all points in [a, bJ except
possibly for points in a set of intervals whose total length is small. Thus, it is
possible for the series (6.6) to converge in the mean to f without actually converging at every point in the interval [a, b]. This indicates that convergence in
the mean does not imply pointwise convergence. It is also true that pointwise
convergence does not imply mean convergence.
It is significant that if we are to approximate the function f by any linear
combination I:~'= 1 a" 11 (x) of the normalized eigenfunctions 1 , . . . , ,,, in the
sense that the mean square deviation (6.8) is minimum, the coefficients a 11 must
be chosen precisely as the Fourier coefficients (6.5) off with respect to the
system { 11 } relative to the weight function r. Indeed, since the integral
(6.10)
E(a 1 ,
.. ,
a 111 )
J
a
r(x)
rf(x)
,,
- "~ a 11 ,.(x) J2 dx
is a function of the coefficients a 1 , , a,,,, we see that in order for E(a,, ... , a,,,)
to be minimum, it must satisfy the equation
~' =
cai
rb r(x)
2 '
rf(x)
~a
m
~
anc/Jn(x) J c/J;(x) dx
n-1
:s; i ::::; m. Now. in view of the orthonorrnality of the system {<fJ 11 }, this gives
a;
C;
r(x)f(x)c/J;(x) dx
(i=l, ... ,111)
which are the Fourier coefficients of/ relative to the system {</J 11 } with weight
function r.
152
Chap. 4
To see that these coefficients render the integral (6.10) minimum, let us
expand the integrand in (6.10) and integrate the terms. We obtain
E(a I '
...
r(x)/2(x) dx
a,,,) =
'"
j'" r(x)f(x)qi,.(x) dx
2 n:s=I a,,
(6.11)
r(x)cp,,(x)cf>,(x) dx
11=1
'a
J,,
r(x)f 2 (x) dx
L"'
"'
+ L
a,,c,,
n::: !
rb
r(x)/2(x) dx
11-
c,,)2 ~
~ (a,,
.. a
11=
a~
L"'
c~
n::::: 1
where we ha\e again used the orthonormality of the system {</>,,]. It is now
apparent from the last expression abo\c that (a 1 ,
, a,,,) has minimum value
when a; = c; for i = I.
, 117. Thus. the mthpartial sum (6.9) really provides
the best approximation to f with the eigenfunctions qJ 1
, cf>"' in the mean
sq uarc sense.
\Vhen a,,
c,,. \\e see from (6.8) and (6.11) that
(6.12)
111
E(c 1 ,
c,,,)
... ,
C
a
( 6.13)
,,:s= c;,::::;
1
L'"
r(x)( (x) dx
11::;:;
c~
0, it follo\\S that
"'
rb r(x)/ 2(x)dx
for any 111. This important result is knO\\n as Bessel's inequality. \Ve notice
that as m increases. the sum on the lef't is always bounded abO\e by the integral
of r/2 O\er [a. b]. Hence. if we assume that/is a function such that the integral
on the right of ( 6.12) exists (e.g .. I is piece\\ ise continuous). then on letting m
tend to infinity. Bessel's inequality becomes
"'
(6.14)
{/>
c;, : : ;
II-]
.,
r(x)(1(x) dx
( 6.15)
n_.
'l~
..
r(x)f(x)cp,,(x) dx = 0
No\\, suppose that for a given function/the series (6.6) comerges in the mean.
Sec. 6
153
rh r(x)j 2(x) dx
L c~
n= l
II
or
r(x)f 2 (x) dx
(6.16)
This is a partieular case of the inequality (6.14) and is called Parseval's equation.
It is readily seen that if Parseval's equation holds. then the series (6.6) converges
in the mean. Therefore, Parseval's equation is a necessary and sufficient condition for the mean convergence of the series (6.6).
We say that the system of orthonormal functions {c/> 11 ] with weight function r
is complete with respect to a class of functions (e.g., the class of piecewise
continuous functions) if for every function fin this class, the series (6.6) converges in the mean, or equivalently. Parseval's equation (6.16) holds. In terms
of this notion of completeness, it is known that the set of eigenfunctions of the
Sturm-Liouville problem (4.2), (4.3) is complete with respect to the class of
functions that is square integrable on a ~ x ~ b. (A function f is said to be
square integrable on a ~ x ~ b if both f and / 2 are integrable on [a, b].)
Thus. if/is a square integrable function on [a. b (e.g . .fis piecewise continuous).
then its expansion in series of eigenfunctions of the problem (4.2), (4.3) with
coefficients given by (6.5) converges in the mean. In this connection, it is interesting to note that a function satisfies significantly much weaker condition for
mean convergence than it ordinarily does for pointwise convergence.
Exercises 4.6
I.
If a11 (11 2: I) are constants such that the series of eigenfunctions L,,~= 1 a 11 c/J 11 (x)
converges to/(x), where/(x) = 0 for each x on the interval a S x S b, show that
a 11 = 0,
2.
11
2: 1.
~ a 11 11 11 (x)
(a S x S b)
11:...-:J
11
2: I.
3.
4.
s x s
L, with respect
5.
n, with respect
6.
e, with respect
x < n,
I54
7.
8.
Chap. 4
~ cf,,,(.1)
n=1
vn
Show that Parseval's equation can be obtained formally from equation (6.3)
by squaring both sides, multiplying by r(x), and then integrating term by term.
IO.
I I.
I2.
c/J,1 + 11</Jn+l'
7.
(7.1)
Lu
i.r(x)u
/(x)
where / is a given function on the interval a ::;: x ::;: b, together with the
boundary conditions
'Y.u(a)
(7.2)
}'li(b)
+ f3u'(a)
+ bu'(b)
0
0
We suppose that the normalized eigenfunctions qJ,, corresponding to the eigenvalues i. 11 (11 ~ l) of the related homogeneous Sturm-Liouville problem (4.2).
(4.3) are known. Then, for ~ach 11 ~ I, we have
(7.3)
We assume that a solution u of the problem (7.1), (7.2) exists and can be
expressed as a series of the form
y;
(7.4)
u(x)
L CncPn(x)
n=l
(a ::;: x ::;: b)
Sec. 7
155
If the series in (7.4) con\erges suitably for appropriate values of the coefficients
c,,, then the function u represented by the series automatically satisfies the
boundary conditions (7.2), since each of the eigenfunctions,, does. It remains.
then, for us to determine the constants c,, such that the series in (7.4) satisfies the
differential equation (7.1 ). Proceeding rather formally, we substitute (7.4) in the
differential equation (7.1) and use (7.3) to obtain
if.
Lu
h(x)u =
y_,
c11 Lcf;,.(x)
l.r(x)
n= 1
c,/p 11 (x)
n= I
CfO
c11 [
r(x)</J,,(x)]
- ) . 11
n= l
if;
lr(x)
c,, 11(x)
n= 1
I"''
r(x)
..
c,,(l - ), 11),,(x)
n=l
=f(x)
This can be written as
00
(7.5)
c,,(), - ),,,)<fJ.(x)
F(x)
n=l
where we have set F(x) = f(x)/r(x). Let us further assume that the function F
can also be expressed in a series of the eigenfunctions 11 Then
00
(7.6)
F(x)
b,,,,(x)
n:::; 1
where, by (6.5),
(7.7)
b,, =
r(x)F(x)<fJ,,(x) dx =
f(x) 0 (x) dx
(7.8)
[c.(), - A0 )
b,,],,(x)
= 0
n=I
Since this holds for all x in the interval [a, b], each coefficient of the series must
rnnish; hence, we have
(7.9)
(11=I,2, ... )
(n=l,2, ... )
Chap. 4
156
b11
cc
u(x) =
(7.10)
..
L
.
~ (!. 1
/.II)
,,(x)
where the constants h,, are given by (7.7). This is our formal solution of the
boundary value problem (7.1), (7.2). The series in (7.10) is called the eigenfunction expansion of the solution of u. If the function f(x)/r(x) is continuous
and piecewise smooth on [a, b], it is possible to show that (7. l 0) is the one and
only solution of the problem (7.1), (7.2).
Now, if /. is equal to an eigenvalue of the corresponding homogeneous
problem (4.2), (4.3)-say, /. = !.k for some fixed integer k-then when n = k.
equation (7.9) becomes ck 0 = bk. If bk =/= 0, then the coefficient ck cannot be
determined. This means that the problem (7.1). (7.2) has no solution in this case.
On the other hand, if bk = 0, that is, if
rb f(x)cpk(x)
b, =
(7.11)
dx
~a
then ck becomes arbitrary and a formal solution of the problem (7. l ), (7.2) is
given by
Cf
(7.12)
u(x)
b11
,i.,,(x)
11~1 (A - A,J ~
"
cr1'k(x)
'
nk
J,.11 =
x,
Solution:
Sec. 7
157
to the eigenvalues i.,, = 11 2 , 11 2: I. From L\amrle 6.1. the Fourier coetlicients of'
the function/(.1)
x \\ith respect to the orthonormal system : rp,,: arc given by
b,,
!;r
_,
I)'''
(-
(11
= I, 2.
.l
II
(- 1 l"~1
2 !;
n(i. -
IJ- l
11
sin nx
)
d)
.
d (p
L"' =L+1.r=
dx
dx
+q *
where q* = q + i.r. and note that [}' is also self-adjoint, thus possessing
properties similar to those oft he operator L Suppose that i. is not an eigemalue
oft he homogeneous problem (4.2 ). ( 4.3 ). Then. according to Theorem 2. I. the
Green's function corresponding to the operator L'' and boundary conditions
(7 2) exists. This function can be determined by using the formula (2.14) with
11 1 and u 2 now depending on both x and i .. being two linearly independent
solutions or the equation [}'11 = 0 such that they satisfy the boundary conditions
al x = a and x = b. respecti\ely. If C(x: .;: i.) denotes the Green's function so
determined. then by Theorem 2.1 the solution of the nonhomogeneous problem
(7.1), (7.2) is given by
h
(7.13)
t1(x) =
Thus. in the case\\ here i. 1s not an eigcmaluc. the solution of the problem (7.1 )_
has the representations (7.10) and (7.13). If we substitute the formul:.i
(7.7) for h,, in (7.10) and formally interchange the order of summation and
integration. (7.10) becomes
(7.2)
( 7. 14)
) _
u ( .\ -
... u
1! ~-
.. :---- - --.
/.
"
( "
).11
Jn\ iew of the Uniqueness Ol the solution II in the present Case. We conclude that
the representations (7.13) and (7.14) arc identical_ Hence_ we formally deduce
that
(7.15)
I
11=
rf;"(x)q>"(,;)
J
/.
(a .::;; x .::;; b)
J. 11
The series on the right-hand side of (7.15) gives the eigenfunction expansion of
the Green's function G and is called the bilinear expansion of C. In this form.
158
Chap. 4
we have a composite expression for the Greens function on the whole interval
a :::;; x :::;; b. and its symmetric property with respect to the variables x and ~
becomes apparent.
It is natural to expect that the bilinear expansion in (7.15) can be established
from Theorem 6.1, it being the generalized Fourier series of G with respect to the
orthonormal system {cp,,]. with coefficients depending on ( and i.. In fact, from
the properties of a Green's function, we know that G is continuous, has piecewise
continuous derivative. and satisfies the boundary conditions (7.2). Hence,
according to Theorem 6.1, G can be expressed in generalized Fourier series of
the form
oc
G(x;(;/.)
(7 .16)
c,,cp,,(x)
n=J
where
( 7 .17)
c11 =
r(x)G(x; (; l.)c/J,,(x) dx
( /1
:::'.'.
1)
Thus, the bilinear expansion (7.15) will be established if we can show that
(7.18)
"
). -
(11 :::'.'. 1)
).II
= -
i,,r(x)c/J,,(x)
(11 :::'.'. 1)
and
LG= -i.r(x)G(x;
~: i)
(x -:f. ()
If we multiply the first equation above by G and the second equation by </>,,,
and then subtract one result from the other, we obtain
(7.19)
(i. -
i. 11 )r(x)G(x: (; i)</>,,(x)
C.iL</> 11
,,LG
Let us integrate both sides of equation (7.19) over the interval a :::;; x :::;; b.
making an intermediate stop at the point x = (because of the discontinuity of
dG/dx at that point. to obtain
(7.20)
(/. - I.,,)
r(x)G(x; (; l.)c/J,,(x) dx
r-o
+
f"
~+
(GLc/J,, - ,,LG)dx
0
Sec. 7
159
Applying Lemma 3.1 to each of the integrals on the right side of (7.20), we find
(}. - l 11 )
r(x)G(x; (; 1.),,(x) dx
rp
(7.21)
'
(c d</J,,
dx
- cPn
dG)l~-o + f p
dx
('c cij>,, -
l .
11
dx
~G)Jb
dx
~+o
p(b)W(G, 11 ; b) - p(a)W(G, 11 ; a)
p(() 11 ( ( )
r~~ (~ + O; ~;
~~ (~
).) -
- O;
~;Jc)]
where we have noted that the functions p, d</J,Jdx, and G are all continuous at
x = (. Since both G and 11 satisfy the boundary conditions (7 .2), it follows
(as in the proof of Theorem 5.1) that the Wronskian W(G, 11 ; x) vanishes at
x = a and x = b. Moreover, by property (iv) of (2.15),
dx
p(O
which yields (7 .18) in view of (7 .17). This completes the derivation of the
expansion (7.15) from Theorem 6.1.
It follows from (7.15) that if/. = 0 is not an eigenvalue of the homogeneous
problem (4.2), (4.3), then the Green's function G(x; () for the operator L
corresponding to the boundary conditions (4.3) has the bilinear expansion
(7.22)
In the case where i. is equal to an eigenvalue (say, i. = i.k for some integer
k > 0) for which condition (7.11) holds, it is possible to construct a modified
Green's function G ''(x; (; /) along the procedure described in Section 3 so that
a solution of the problem (7.1), (7.2) may also be given in the form (7.13).
However, we shall not discuss this possibility.
Example 7.2.
Find the Green's function and its bilinear expansion for the operator
11(11) = 0, where ..1. is not
an eigenvalue.
L*
So/111io11:
11(11) =
160
Chap. 4
,/x) = \ 2/rr sin nx, 11 2: I. Hence, if ). -,t 11 2 and G is the Green's function
sought, then by (7.15) we ha\e the bilinear expansion
G(x;
.. ,
i;: l)
'-'
1[
11=
I~
II-
(0 Sc x Sc ")
G(x; ~;}.)
i. s 111
7I)
(~ Sc
x Sc
7I)
/. 7I
For i. = 0, which is not an eigenvalue, the Green's function for the operator
L = (d 1dx) 2 can be obtained from C(x: (: i.) by letting i. tend to zero. In fact.
for 0 _::;; x _::;; (, we see that
7[)
,,
;.----1 0
x(( -
Similarly, for
.
I..
) , I ..
( 5111 \,' I. 7r / \ I.
).
n)
7[
r1111
i. - O
r-
((x -
7[)
,;,sin, i. rr
0 is
G(x: c) =
n)
7[
x((_~)
(0 _::;; x _::;;
~)
7[
((x -
n)
-~-~--
7[
sin_1_i( sin nx
Exercises 4. 7
In Problems I through 7, find a formal eigenfunction expansion of the solution of
each of the follO\\ing problems and state the values of)_ for which the solution exists.
1.
11"
).u
= 2 sin
11(0) = 0.
x -
4 sin 3x
u(rr) = 0
(0 Sc
7<)
Sec. 7
2.
0.
1/(0) II "
3.
II "
o.
"
+ i.u
1/'
L1(0)
10
777x
(0 <
11
:S
x :S
77)
(1 :S
x -c
eJ
0
-
sin (2k
2
II' ( 77)
1) x
0
iO
0,
.\ ::; ;:)
/(x)
1/(0)
()
2 cos
i-
LliOI = 0.
5.
/TX
11(1) -
!:
k=I
/.//
1/( 77)
3 cos
di -
11'(0)
4.
_, cos Sx
= 2 cos 2x -
/.LI
161
L1(77)
1/(77)
6.
(.rn') -t- I. 11 =
dx
f(.r)
x
0.
11(1) =
u(e)
7.
(I ')
II
i-
1.
11(
[3 sin(77 In x) - 4 sin(377 In
II=
x3
Il
0,
x) ]/x
(I :Sx:Sel
u(e) =
8.
Obtain the bilinear expansion of the Green's function for the problem
11"
/(x)
).11
0.
LICO)
(0
11(L) =
s x s
L)
Find the Green's function for the operator L = (d 2 /dx 2 ) + i. subject to the
boundary conditions L1(0) = 0, 11'( I) = O. and obtain its bilinear expansion. In
particular, show that
~ ~ sin(11
n-
10.
11=
i}77.; sin( /1
(11 -
})2
-})77x
fx
(x :S ')
('
x)
By using formula (7. I 5), show that the Green's function for the operator
(0 < x < 1)
subject to the conditions u(O) is finite and 11(1) = 0 has the bilinear expansion
E <h().nx) cf,(}.,/,)
n=l
).
}.~
where
cf,().,,x) =
1 0 (}.,,x)
10 ().,.x)
and
162
11.
Chap. 4
d) + ).x
dx
(-i dx
1/(e)
G(x; ; }.)
where
J,,(x) =
provided). #- (11 -
sin [( 11
-sin(n
1J;rlnx,;
fln
~ <b,,()m,,(x) =
;r 2
12.
11=1
!,-l 2
(11 -
<t s x s
( s x s
\In i;
sl
e)
Find the bilinear expansion of the Green's function for the operator
d) - n2x + ;_2x
L =
d ("
dx
dx.
( 11
positive integer)
211
~ m(i.,i;Jmhxl
).I
k= 1
211
where
, .
1v(1.,x
J,,( ;_,x)
=
I
13.
[(x/)" - (x)"]
(0
s x s i;J
[(~/x)"
s x s
- (.r)"]
I)
and
J,,(i.kx)
Find the bilinear expansion of the Green s function for the operator
L=
1d) ;_
d
dxCdx
,iCxl<h,,()
...
k= J
1.;.
-~
0, 11( I)
f +xi(l
I ~s
(1
s2J
(0 s x s i;)
x2)
(i;
where
_,
1v,,(x) =
xl 112 U,,/2)(x 2 )
and
11
C;')
s x s
1)
Chapter
u"
+ ;_11
= 0,
11(0) = 0,
u(L) = 0
u,,(x)
. nnx
= sm -
L2
= I, 2, ... )
lln(x) =
1111X
COS --
163
0, then
Chap. 5
164
/.II
o.
1. 2, ... )
A.ccording to Theorem 5.1 of the preceding chapter, each of the sets of eigenfunctions giwn b\ ( 1.2) and by ( 1.3) forms an orthogonal system on the interval
0 :::;; x :::;; L. That is.
( /)) =/=
17)
( l1l
=/=
II )
and
'L _
cos
Ill T:X
11 i!.\
-- cos - -
Ill:.\
cos----.
L
( 1.4)
(11 = I, 2, ... )
which is the collection of the eigenfunctions ( l .2) and (1.3). These functions are
all periodic and have the common period 2L: that is.
cos l1Ti (x
2L)
sin l17I (x
2L)
cos
lliIX
s111 l1r:x
Cor all 17. We shall show that these functions also form an orthogonal system on
the larger interval - L :::;; x :::;; L. Indeed. for each integer 17 :2: I, it is clear that
/.
I
( 1.5)
1117.\
l cos - - dx
'-L
ri-
Sill
11TtX
- --
dx
-L
which shows that the function I is orthogonal to the functions cos(mrx 1L) and
sin(mrxl L) for /1 :2: I on the interval [ - L. L].
Next. let m and /1 be two distinct integers. From the trigonometric identities
cos
))) JI x
11 Tix
-- cos
111 TLX
Sill
--~
11;:x
cos (Ill
l (
cos
Sill
/Jl
II )n:x
11 )n:x
cos
cos
we immediately obtain
(1.6)
-L
(1.7)
-L
cos
mnx
-~cos
nn:x
-L
. 1111IX . 11TCX
Sill -- - Sll1 - -
dX
( /)J
+L11)n:xJ
(m +L11)rrx
Fourier Series
Sec. 2
165
Formulas (l.6) and ( 1.7) show respectively that orthogonality of the eigenfunctions (1.3) and (I .2) remain valid on the extended interval - L s x s L.
Finally, from the identities
. 17li1X
lli1X
cos
L
L
Sll1 -
1
.
2
l
Sll1
(1.8)
-L
(111 +Ln)i1x]
Sll1
/1
mnx
(111 - n)n
L
s111-L
cos
nnx
dx=O
This shows that each of the functions in (l.2) is orthogonal to each of the
fun ct ions in ( l.3) on the interval - L s x s L, and vice versa. Therefore, by
definition, it follows that the functions in (1.4) form an orthogonal system on the
interval - L s x s L.
Note that because of the periodicity of the functions ( 1.4), formulas ( 1. 5)-( 1.8)
also hold over any other interval of integration that is of length 2L. Thus, the
set (I .4) is also orthogonal on the interval a s x s a + 2L for arbitrary
constant a.
It is worthwhile to note that the functions in ( 1.4) actually constitute a set of
eigenfunctions for the eigenvalue problem
(1.9)
11"
lu = O;
11(-L) -
u(L) = 0:
u'( - L) -
u'(L) = 0
(l.10)
2.
IJITX
- cos
'L
L
~
.
llITX
. - SIJ1
~L
( 11 :::::
I)
Fourier Series
166
Chap. 5
f( .\)
(2.1)
c0___ _
'\ 2L
~
/...
"= I
-,-,
-c" -_COS
'\
mrx
L
.
+ c,;; _Sill
mrx)
-
'\. L
J'L
= - j- --
-,,2L
f(x) dx
-L
(2.2)
J-L
c'
II
for
/1
=
-,,! L
.f (x)
cos
f (x)
sin
mrx
- dx
llTCX
dx
-L
1/-,, L appearing in the series (2.1). then we can write the series in the convenient
form
(2.3)
f(x) ~ a
-0
"'
L
11=!
11-x)
IL
I- IL
an ==
(2.4)
-L -
-L
b,, =
f (x)
sin
/l7[X
- dx
(ll
0, I, 2, ... )
(11 = I, 2, ... )
The series in (2.3), with its coefficients given by (2.4). is called the Fourier series
off on the interval - L ~ x ~ L. We notice that this series is precisely the
eigenfunction expansion off with respect to the set ( 1.4) of eigenfunctions, with
the constant I replaced by -}: hence, the coefficients (2.4) are the Fourier
coefficients off with respect to that set.
If f is periodic, of period 2L. then the integraritl-s-in the integrals ( 2.4) are also
periodic, of period 2L. Hence. the interval of integration [ - L. L J can be
replaced by any other interval of length 2L: that is. (2.4) can also be written as
a,, =
(2.5)
bII = I
fa+ 2L
0
f (x)
r~2L.1c).
x Sill
L 0
llTCX
cos
dx
ll7IX,( x
(n = 0, I. 2, ... )
(II
1, 2, ... )
Fourier Series
Sec. 2
167
In such case, the function can then be represented by its Fourier series, and thus
the symbol ~ in (2.3) can be replaced by the equality sign.
We observe that whenever the series in (2.3) converges on the interval
- L :::; x :::; L, it converges for all x to a periodic function of period 2L. This is
so because each term of the series is periodic, of period 2L. Therefore, if the
series converges tofon -L:::; x:::; L, it will converge to the periodic extension
off for all x with period 2L. Consequently, iff is defined for all x and is not
periodic, it cannot have a Fourier series representation that is valid for all x.
Example 2.1.
fO
( -
\x
7[
s x s
0)
n)
(0 < x
L'
an = ;
COS
1_
(~in
7r
II
nx dx
/IX
COS /IX)
112
'
In
0
(- 1)"
J COS Im 7[
II
for 11
II
~ ~ +
4
7[
"- l( - J" I
~
11=
oc
~
11=
1
--
mi-
n(211 -
1) 2
cos nx +
( - 1J" +
cos(211 - l)x
sin nx
( - -I)" sin
11x
In Section 5 it will be shown that this Fourier series does converge to the
function on the interval - n < x < n. Hence, outside this interval, the series
converges to the periodic extension off with period 2n. The graph of that
extension is shown in Figure 5.1, where it is seen that the extension is discontinuous at the points x = (211 - I )n, 11 = I, 2, .... At these points, the series
will be seen to converge to the value n/2, which is the average of the left-hand
and right-hand limits of the extended function at the points of discontinuity.
168
i(
FIG. 5-1
Example 2.2.
Sol11tio11:
Chap. 5
\]
Periodic f1111ctio11.
7[
x ::;;
7r.
I ,-
a,,
- x dx
IT
__ .. --rr
rso
+ ,-,. x dx
-x cos//_\" dx
n
2
+ rrr x
n __ "
/IX
""'o
n
2
cos nx dxj
sin
+ cos
/IX
llX '
COS /IX
Irr
0
J \_
iI
(( - I)" -- I)
lO
- x sin 11x dx
.. - rr
11x cos
rr
x sin 11x dx
sin 11x
nY -
/IX
cos
/IX -
sin
/IX
1127l
= 0
for n
1, 2, , . . . Hence,
:x:
2
n
'le
l:
1I n '.:'.: 1
l:"'
TC n= I
4
(-I)" -
cos
n-?
cos(211
(211 -
J)x
I )2
llX
(-n
n)
lt will follow from Section 5 that this series converges to the function lxl on the
interval indicated and hence to the periodic extension of that function with
period 2n for all x outside that interval (Fig. 5.2). Notice that here the periodic
extension is continuous at all points.
Fourier Series
Sec. 2
169
;'( y l
-3rr
FIG.
5-2
The Fourier series in (2.3), with coefficients given by (2.4), can be written in
the equivalent form
'fJ
f(x)
(2.6)
c,,einrrx'L
n= - x
'L
(2.7)
f(x)e-i11r.x
J-L
2L
dx
(n
0, l, 2, ... )
~ Co
f(x)
(2.8)
(2.9)
.(
x) ~ Co
c,,
(.
cos
( COS_11/LX
C -n
~ c0
":,
+ L
11=1
,-
c_n
c _ 11 )
I Sill
11
I
2L
1
L
=a"
L.
L.
COS
IJ IIX
+ Ic c,,
C -n
) 5111.
::2:: 1,
ft_
L
IJTIX)
. .
lllIX)
I 5111
c,, +
(c,,
+
-
11=1
111LX
11=1
~:,
c _,,e-inu.'L
n::::
cos t
00
n=
c,,ei11rrxJ
_f(x)
einrrx/L
J
IL f(x). cos
+'1
-L
-t
f(x)(e-inrrx!L
einrrx/L) dx
_
1
e-inrrx/L
"-
117IX
dx
dx
IJITXJ
170
Chap. 5
and
I
I
L j(x)(e-inrrx/L _ einrrx,'L) dx
2L
-L
ein"x/L _
f(x)
--
dx
2i
-L
[ JL
L
e-inrrx/L
-L
and
c0 =
J
2L
JL
f(x) dx
-L
= a0
2
So the series in (2.6), with its coefficients given by (2. 7), is precisely the Fourier
series off. This series is known as the complex form of Fourier series.
Exercises 5.1
In Problems I through 7, find the Fourier series of the given function on the interval
indicated and describe graphically the periodic function to which the series can
CO!l\'erge.
(-rr<x<O)
(0 ,::; x < n)
1.
f(x)
2.
/(x) =
(~
f(x)=
7[
,::;
x ,::; 0)
I \' + l
11-x
7[
3.
( -
4. /(x) = e""
fO
\sin x
5.
f(x)
6.
f(x)
7.
f(x) = x
8.
Using the result of Problem 4, find the Fourier series of the function cosh ax =
(eax + e-ax)/2 on the interval [ - n. n ].
9.
As in Problem 8, find the Fourier series of the function sinh ax = (ea" - e-x)/2
on the interval ( - n, n).
x cos
nx
(-L,::; x,::; L)
x2
(-L<x<L)
Sec. 3
171
Let f be a periodic function with period 2L and set g(x) = f(x - L) for all x.
Show that
10.
g(x) ~
a 0 + ....
~
2
11=1
( - I) n (' a,,
. -nnx)
cos -nnx + lJn SID
L
L
Using the result of Problem 10, obtain from Problem 5 the Fourier series of the
function
( - 7r :::; x :::; 0)
. _ 1-sin x
/( x) (0 :::; x s rr)
\0
I
12.
(x)
= f
2rr)
As in Problem 11, obtain from the result in Example 2.2 the Fourier series of the
function
{x-x+ +n: n:
f(x) =
f
If f(x - L)
13.
1 =
(x
b 211 _
(-n: s x :::; 0)
(0 :::; x s rr)
2n:)
1
0 for n
l and that
JL f(x)cos
.
2nn:x
- - dx
2L
(n = 0, I, ... )
2
L
b 211 =
14.
(x) =
a 211
(11 =
I, 2, ... )
Apply the result of Problem 13 to obtain the Fourier series of the function
f(x) = x,
15.
Using the complex form of Fourier series (2.6), show that the function in Problem
4 has the expansion
00
sinh aL
11=
3.
(x
-oo
(-I)" _!1_L____!/1n:
0 2
L2 +
einnx!L
11 27!2
f(-x)
= f(x)
and odd if
(3.2)
f(-x) = -f(x)
for all x in the interval. Iff is an odd function, then it follows from the definition
that f(O) = 0. Geometrically, the graph of an even function is symmetric with
respect to the y-axis, and that of an odd function is symmetric with respect to
the origin (Fig. 5.3).
Chap. 5
I
I
I
I
I
I
I
I
I
IJ
/1
I
~------
.._____LI _ _
I
I _____ '
172
I
I
I
I
I
IhI
(d I
FIG. 5--3
L
(3.3)
(L
f(x) dx = 2
f(x) dx
-L
This follows readily from the geometrical interpretation of the integral as the
area under the curve y = f(x) bounded by the lines x = L. Analytically. it is
easily proved by writing
-I.
and setting x =
we thus obtain
f(x) dx
Jro
_L
f(x) dx
IL f(x) dx
0
(L
j(x) dx =
-L
f(-t)(-dt)+
Ir ((x)dx
0
f(I) dt
()
f(x) dx
2 1 f(x) dx
0
rL
(3.4)
f(x) dx =
It is easily shown from the definition that the product of two even or two odd
functions is an even function and that the product of an even and an odd function is an odd function. For example, if both f and g arc even and if we set
h(x) = f (x)g(x), then
h(-x)
Sec. 3
173
which shows that h is even. On the other hand. if.f is even and g is odd. then
-f(x)g(x) = -h(x)
so that his odd. Similarly, the ratio of two functions that are both even or both
odd is an even function, and the ratio of two functions of which one is even and
the other odd is an odd function. Here it is assumed. of course, that the function
in the denominator never vanishes.
Now suppose that f is an even function on the interval - L s x s L. Let us
consider its Fourier series
_ (lo
f(x) -
+ ~
L.
Fl
an COS
mrx
L
. 11r:x)
L
n Sll1
where
a,,
b,,
(11
= 0, I, 2, ... )
(11
1, 2, ... )
For each integer 11, we note that cos(nnx/L) is even and sin(nrrx/L) is odd; hence,
f(x) cos(nrrx/L) is even and f(x) sin(mrx/L) is odd. Therefore, according to
(3.3) and (3.4), we have
L
nnx
f(x) cos dx
an ==
L -L
L
2
L
JL
f(x) cos
nnx dx
L
(n=0,1,2, ... )
and
b,, = 1
IL
-L
/l1[X
= 0
f(x) sm ~ dx
L
(11 = 1, 2, ... )
j (x)
where
(3.6)
a" =
ao
2
oc
n= 1
'lirX
a,, cos , .
nnx
"L JL f(x) cos -r;
dx
(n = 0, 1, 2, ... )
This series is called the Fourier cosine series off on the interval 0 s x s L.
We note that formula (3.6) for the coefficients a. involves only the values off in
the interval 0 s x s L. Hence, even when f is defined only on the interval
[O, L ], one can formally form the Fourier cosine series off. If the series converges to the function on [O, L ], then the series automatically extends the function into the interval '--- L s x s 0 as an even function, and extends it outside
the interval [ - L, L J as an even periodic function with period 2L.
~-.
174
Cliap. 5
z(
+ i.u
u'(O) = 0,
= 0,
u'(L) = 0
= -J
L
2L
(11
= 0, 1, 2, ... )
-L
(11
= I, 2, ... )
(3.7)
J(x) ~
n=I
b sin
II
'!_TrX
where
(3.8)
b,. =
2 JL
. --Lnnx
L
J(x) sm
dx
(11 = I, 2, ... )
Sec. 3
Example 3.1.
0 :::: x s
Sof111io11:
175
/<x)
x.
Tl.
an
I'"
x cos 11x dx
7I
... 0
('11x sin
nx
cos 11x)
!"
112
Tl
2 (-1)"
11
Tl
Tl
-1-
"' ( - 1J" -
Tln=I
11
COS /IX
(0 ::::
x ::::
Tl)
This series is the same as the series we obtained in Example 2.2, as should be
expected. (Why?) The series cornerges to the function x on (0, n] and represents
the even periodic extension of the function for all x \Vi th periodic 2n. The periodic
extension coincides with the extension of the function considered in Example 2.2.
The Fourier coeftlcients for the sine series are
")
b11
Tl
,_
(-1)"+1
/[
so that we have
'f
(-11"+1
n=l
II
x ~ 2 ~
sin nx
It will be seen that this series converges to the function x for 0 :::: x < n. For
all x outside the interval [O, n ], the series extends the function as an odd periodic
function with period 2n (Fig. 5.4). The periodic function is discontinuous at the
points x = nn, 11 = 1. 3, 5, ... , at which the series has the value zero. We note
in passing that on the interval 0 S x :::: n, the function /(x) = x can also be
represented by the Fourier series obtained in Example 2.1.
Example 3.2.
(.\
f cos x
\0
176
Chap. 5
i( ' l
---1-,1
10
.'ii
I
I
FIG. 5-4
So/111io11:
cl
/[
2
7i
7[
'0
(cos 2x + 1 I dx
cos \"cos
cl
/[
Sll1
cos x dx
C'
a,,
Irr.
--
il 0
= I arc
11
r"
ll1
11
cos x dx
For
= 0 and
11
rfx
/IX
l)x] dx
--
j sin( n + lh
;r
I/
sin( 11 II
I Ix\
.-r .' 2
Since
7i
1)
s111
2
:!:
11
(-I )k
11e
cos
l/li
n
Thus,
2k
2k
(- I/
l
I
1.
hen
2(-]Jk+I
n( 4k 2 -
1)
have
f(x)
cos x
"'
"k=1
(-I )k+
(4k 2
!)
cos 2/...x
11
2k, A
Sec. 3
177
/(.\)
t
I
&
oi
...
I
FIG. 5-5
Exercises 5.2
In Problems I through 5, find the Fourier cosine and sine series of the given function.
and graph the periodic function to which the series can converge outside the given
interval.
1.
fx,
f (x)
\I
f (x)
3. f (x)
2.
7[2
x,
x2,
4.
f(x) = (x.
5.
f(x) =
0 s
-i s
0 s
x,
-}
l
x <
7[.
0 < x < 2.
0
t I.
eX,
s
s
x
x
x s
x < 2'
s
s
0 < x <
7[.
In Problems 6 through I 0, find the Fourier cosine series of the function on the given
interval.
6.
7.
/(.\) =
8.
f(x)
9.
/(x) = f x,
10.
f sin
nx,
\I
-1-
= sinh x,
\0,
f(x) = sin x,
s
s
x
x
7[.
s 1
s I
7[.
s .\' <
< x < 2
0
s x s
7[.
In Problems 11 through 15, find the Fourier sine series of the function on the given
interval.
II.
/(x)
f sin x,
\0,
0 s x < n/2
n/2 < 0 S n
178
12.
f(x) = x( 1 - x),
13.
(x) =
14.
(x) = co sh x,
0 s x < n.
15.
Osxsl.
4.
{'1,2,
Chap. 5
0 S x S 1.
0 s x .:; I
I s x s 2.
f1
nnx
nnx \
(4.1)
c0
c7,
,2
1, 2,. .
f(x) dx]2 = L a6
IL
-L
f1
IL
La;,
-L
c,. =
for n
fl IL
LL .
Lb'
;,
c6 + L
11=
+ c;, 2 )
(c7,
fa6
L2
11=
(a;,
b~)l
or
(4.2)
a20
L"'
11=
(a;,
+ b7,)
:$
IL
f 2 (x)
dx
-L
for any m. This is the form of the Bessel's inequality we seek for the coefficients
an and bn.
Sec. 4
179
q6 +
(4.3)
I
11=
(a;,
b;,)
Jt
b7,)
/2(x) dx
-t
(4.4)
oc
.L ca;,
11=
(4.5)
rr-+oc
11-+oo
the interrnl a
J~n;
(4.6)
Proof: We first prove the theorem in the case where g is continuous on the
interval a s t s b. Set
(4.7)
I=
+
+
(4.8)
b-rr/).
a- rr/).
g r
rr)
-~-
sin /.r dr
I.
....
.180
Chap. 5
Using again t as the variable of integration in (4.8), and adding the equation to
(4.7), we obtain
(4.9)
~
2
Ir
f~:,;
Jbb-rr/i
.c_rr/i
Let M denote the maximum value of lg(l)I on the interval a :::; t :::; b. Then the
last two integrals on the right in (4.9) yield
(4.10)
{b
i
Afr.
g(t) sin i.t dt! :::; -
I.
2 b-rr/A
2).
and
(4.11)
respectively.
Now let i: > 0 be any given small number. Since g is continuous on the
closed interval a :::; t :::; b, it is uniformly continuous there; that is. corresponding to the given c;, there exists a number() such that
''g(t)
- g
(I t + "')- .: <
.
J.
f,
(whenever
b - a
<
!.
c5)
.
where I is any point in the interval [a, b]. Then the first term on the right of
(4.9) gives
:~
.c-rr/;. rg(t) -
(1 + ;)
sin i.t dt
: :;
( 4.12)
r-rrli
2
<
,g(t) - g
(1
+ ~): dt
'
r:
2 b - a
(b -
a -
!.
Ti") <
.
')
'
1:
Therefore, if we choose i. sufficiently large so that Tt/i. < <> and M-:c/i. < 1:/2,
then on taking absolute values in (4.9) and using the bounds in (4.10), (4.11).
and ( 4.12), we get I/I < r,, which precisely implies (4.6).
Jn the general case, let a = t 0 < t 1 < < t" < tn+ 1 = b be the points
where g is discontinuous. Then
(4.13)
{b
I
IL>
"
ri+I
._ fj
Sec. 4
181
~fg
t < oo
(4.14)
00
Ig(I JI
dt
x <
CIJ ),
= 0
(4.15)
lirn
.I.---->
oc
f'"
then
.. a
Exercises 5.3
l.
From the Fourier series of the function f!x) = x/2. - rr < x < n, show by
Bessel"s inequality that
II=
""
:5:
x'
7Y ~
show that
90
114
-
x s;
iI4
s;
n=l
3.
iI
s; x s;
7r'
show that
if
1)4
n= I (211
96
From the Fourier series of the function f(x) = e"', - ;-; < x < rr, show that
I
2 ~
ri=l
112
s; n coth rr
182
Chap. 5
5.
00
2
"
+ I:
a,7
11~ I
s: ;7r
6.
I:'"
b~ S 2
7t
11=
J" f
(11
0, 1.... ) be the
(x) dx
J" f
(x) dx
7.
8.
. Jb g(t) sm. (m +
l1m
m--+:r
9.
I). r
dt = 0
Show that
Jim
111--+
g(t) cos
rb
oc
Ill(
dr = 0
Prove Theorem 4.3. Hint: Absolute integrability of g on a -s t < ex: implies that
there is a constant B such that
_q( f) dt I < c/2, whenever b > B, corresponding
to a given r > 0. I.et h > B and write
IO.
J;
.C
9(1)
sin
).t
ib
dt =
L""
Take absolute values on both sides of the equation and use Theorem 4.2 in the
first integral.
5.
We ~hall now present conditions under which the Fourier series of a given
function can converge to the function. Without loss or generality, we shall
assume in our discussion that L = rr. We do this mainly for the sake of convenience as the theorems that we shall prove hold for arbitrary value of L.
Thus, let f be a function defined on the interval - ;r :<.::;; x :<.::;; rr and let the
function be extended outside [ - rr. rr as periodic function with period 2rr. Then
the Fourier series off is given by
f.
(5.1)
f (x)
00
L
11=
(a" cos nx
Sec. 5
183
where
a,,
Jr
b,,
(n
0, I, 2, ... )
(5.2)
(11 = 1, 2, ... )
Our goal is to establish conditions on.funder which the symbol~ in (5.1) can be
replaced by equality.
Consider the mth partial sum of the series in (5.1); that is,
(5.3)
S 111 (x)
a0
11=
+ b
(a,, cos nx
sin nx)
11
+; ,,t l(f r
1
(5.4)
Jr
Jr
11-I
-rr
11-
cos n(f, - x)
J df,
~
+ '-'
11=
("
cos
/1 (
)
sin(m + !-)((, - x)
x =
2 sin[(f, - x)/2]
(5.5)
u and set
=- +
2
11=
cos nu
1
2
2 (sin
. 1
2
sm- u
u) (l2 + I
11=
11=
cos nu)
I
. 1
"'
sm - u cos
2
sin nx J
11!1
Chap. 5
184
Since
.
Sl11
sin(n
U COS llU
~)
u - sin(n -
~)
u.
. l]
Sll1
.
+ r.Sl11
3
2
2 111l + ...
. 1
5111
11
~)
ll]
I
2) u
or
sin(111 + l/2)t1
2 sin(u/2)
--------
Hence, we have
(5.6)
"'
+ L
cos
sin(m + l /2)11
2 sin( u /2)
nu
n= I
If we set
(5.8)
Jrr Jm
S,,,(x) = l
(5.7)
rr
~
-n
sin(m .+ _1/2)(~ - x) d~
1
2 srn(s - .x)12
t, (5.7) becomes
Sm(x)
Jn-x ./.(x
-n-x
1
7r
sin(m + l /2)1 I
I ) - - - - - .-
{f
2 sin(t/2)
S,,,(x) =
!
n
J"
-n
f(x
t) sin(112__-_1_@1 dt
2 sin(t/2)
This is called Dirichlet's formula for the partial sum of a Fourier series. This
formula will enable us to prove pointwise convergence of a Fourier series to its
corresponding function.
Sec. 5
185
In the particular case where f(x) = I. so that the Fourier series of( consists
only of the single term I. (5.9) yields the special result
(5.10)
for all
1
/11
f"
l
n . __
rr
(5.11)
ro
I
n
-rr
sin(m + 1/2)1 dt = I
2 sin(t/2)
i!
2 sin(t/2)
With the preliminary results obtained above. we are now in position to state
and prove our main theorem on convergence of Fourier series.
Let f be a fimction that is pil!Ce11ise smooth on the intcrrnl
- n ~ x ~ n and periodic with period 2n. Then f can be represented by its
Fourier series; that is .
THEOREJ\I 5.1.
..
a
...Q
2
f(x)
(5.12)
I"
ti~\
(a 11
cos nx
where the coefficients a,, and b,, arc gicen b_i ( 5.2). The Fourier series concerges to
f(x) at all points 1rhere f is continuous. and to the acerage [f(x - 0) + f(x + O)] 12
at all points ll'here f is disconti11uo11s.
Proof: At a point x where f is continuous, we know that f(x - O) =
f(x + 0) = f (x). Hence. it is enough to prove that the Fourier series converges
to [j(x - 0)
f(x
(5.13)
..
+ f(x +
0)
m-x
1 Jo f(x
n _"
I
n
I) sin(m + _1/2)1 dt
2 sm(t /2)
.
I1m
-1 Jo
n -n
m-ac
and
(5.15)
.
-1
IJill
,,,_ oo n
1.( x + t ) sin(m +
J" f( x +
0
l/2)t
. - d t -_ l f( x - O)
2 sin(t/2)
2
l /2)1 cl I
2 sin(t/2)
t ) sin(m
1
- f(x
2
0)
Chap. 5
186
In view of the identities in (5.11), equations (5.14) and (5.15) are equivalent to
J
0
Jim }_
(5.16)
m~oo
and
[f(x
+ t) - f(x - O)]
-rr
1i 2
sin(m __+
)t di = 0
2 sm(t/2)
f"
.
l
[f( X_ + t ) - j'( X_ -r. O)] sin(m
- - - + --l/2)t
- -- d t -_ 0
I Im
n 0
2 sin(t/2)
(5.17)
m~oo
respectively.
Let us consider (5.17) and set
g(t) = /(x
(5.18)
(0 < t ::.:; n)
g(O )
.
f(x + t) - f(x + 0)
11m - ----- ------
r~o
2 sin(t/2)
r> O
lim
1~ o
r>O
Jim
r~o
r>O
r~o
r>O
q) Jim - t/ 2
sin(I /2)
f~(x)
which proves (5.17). In exactly the same manner, we can show that (5.16) is also
true. Thus, (5.13) is established and so the theorem is proved.
Returning to the examples of Section 2, we see that in Example 2.1 the
function f (x) = 0 when - n s x s 0 and f (x) = x when 0 ::.:; x ::.:; n is
continuous and piecewise smooth on the interval -n ::.:; x ::.:; n. Hence, by the
theorem just proved, it follows that
n4
- L --- -200
n~1
(2n - 1) 2 n
cos(2n -
1)x
+ (-_-1)"n
. ] = (0x
sm nx
Sec. 5
187
n
4
-=l--+Similarly, setting x
+ ...
7
= rr, we find
n2
- =
8
1
32
52
1
72
+ -- + ...
In Example 2.2, the function f(x) = lxl is continuous and piecewise smooth,
including its periodic extension outside [ - n, n] for all x. Hence,
lxl = 1! _ ~
11=
~osqn - _l)x
(2n - 1) 2
(-n
n)
By the comparison test and Weierstrass M-test (Chapter 1, Section 5), we see
that this series converges absolutely and uniformly to lxl on the interval
indicated. This important result is actually true of every piecewise smooth
continuous function that is periodic, and will be proved in Section 6.
The convergence of the Fourier cosine series or the Fourier sine series
corresponding to a given function that is piecewise smooth on the interval
0 s x s n can be deduced from the main theorem. Indeed, we note that if f is
piecewise smooth on the interval 0 s x s n, its even or odd extension into the
interval - n s x s 0 is likewise piecewise smooth so that the extended function
is piecewise smooth on [ - n, n]. According to Theorem 5. I, the Fourier series
of either of these extended functions converges to f on the interval 0 s x s n
in the manner stated in the theorem. But the Fourier series of an even function
reduces to cosine series and that of an odd function to sine series. Thus, the
following theorem follows from Theorem 5. I.
I.
THEOREM 5.2.
(5.19)
n.
oo
+ L
f(x) = _()
2
an cos nx
n= I
tt11ere
(5.20)
an = -2
(5.21)
f (x) =
L
n=l
bn sin nx
(n
0, 1, 2, ... )
188
Cliap. 5
where
2
b,,
(5.22)
7[
f(x) sin nx dx
n
0
(11
= 1, 2, ... )
The cosine series and the sine series converge rm the intervals 0 ::::; x ::::; n and
0 < x < n, respecticefy, to f(x) at points where f is continuous and to
[f(x - 0) + f(x + O)J/2 at points where f is discontinuous. Moreover, outside
the interval 0 ::::; x ::::; n, the cosine series cotm:rges to the even periodic extension
off, and the s1i1e series to the odd periodic extension off.
Notice that the even periodic extension of the function f is necessarily continuous at the points x = nn, n = 0, 1, 2,. . .. Hence, the Fourier cosine
series in (5.19) converges at the points x = 0 and x = n to f(O+) and f(n-),
respectively. On the other hand, the odd periodic extension off is continuous
at x = nn, 11 = 0, 1, 2, ... if and only if f(O+) = f(n-) = 0. This is evident
from the sine series in (5.21), which converges to zero at the points x = nn.
Exercises 5.4
I.
iu eimll -
e -
- -
eiu -
e-iu1 2 ,
show that
eiu/2
s =
(c) By using the formula ei = cos u + i sin 11, take the real and imaginary
parts on both sides of the result found in (b) and obtain the results
cos 11
.
sm
11
cos 211
.
sm 211
+ +
+ +
sin(m + I /2)11
I
cos mu = - -- - --- --- - 2 sin(u/2)
2
u
cos(m + l/2)u
.
I
sm mu = - cot - - - ---- - - - 2
2
2 sin(u/2)
Obtain (5.10) by integrating the equation (5.6) with respect to u from - n ton.
3.
4.
Let /(x)
f(x) = -3
ro
I;
11=!
2n)
= f(x)
cos nx
(-1)" -
n1
Sec. 5
189
( -
l:1
ri=
5.
Let f(x
1)11- l
T[2
00
l: I
12
ll
II=
fO
f(x) =
( -
\sin x
T[
(0
s x s
s x s
0)
n)
1 .
Ti
00
2
x - -
+ - sm
(x) =
cos 211x
411 2 - I
l:
Tin=I
Deduce that
00
l:
6.
I)
Let f(x) = 0 for - I < x < 0, /(0) = 1, and f(x) = cos nx for 0 < x < I.
Prove that for -1 < x < 1,
f (x) =
7.
cos nx
/1
<:.()
l:
Ti
sin 2nnx
411 2
n=1
Let
(0
f(x) = {x
T[
(x)
s x s n/2)
s x s n)
(n/2
n _ 2
4
(b) If f(x)
that
8.
1
2
--=-
(411 2
11=1
Ti
n=I
s x s
0, and f(x
(0
(2h
s x s 2h)
s x s Ti)
be extended as an even periodic function with period 2n. Show that, for all x,
f(x) =
9.
[! +
~h
n
f (si!2_'
!!!)
nh
cos nx]
11=1
(x
{cos(nx/L)
- cos(nx/L)
f(x) = -
T[
4
T[
f (- !)"+
n=l
co~(2n7!x)jL
4n 2 - 1
(0 s x s L/2)
(L/2 s x s L)
190
Chap. 5
Let f(x - n) = f(x) for all x, where f(x) = cos x when 0 < x < n.
that, for all x, x #- 11, (11 = 0, l, 2, ... )
10.
~
..,,
8
n
f(x) = -
11
= 1
Show
n_ s_in 21_1x
4n 2 - I
11.
f(x)
{(~/L)x
sm(nx/L)
be extended as odd periodic function with period 2L. Show that, for all x,
(x) =
(4 + 2I) . nxj,"
sm
;-2
+ _ ~
n
n=l
(-!)" f~n_[gn_Jrx)/LJ
2
11(411 I)
+ ~sin[(2n_:+_nnx/~]}
n
(2n + 1) 2
Hence, deduce
I
oo
2: - -
8
12.
II=
(211 -
1) 2
s n,
sin na
~ ( !)11 2a sin na
cos ax=-----+
..,,
--cos
nx
2
2
na
n= 1
n(a
11 )
6.
a;, =
Ir
lr
1[
(6.1)
b'n
= -
1[
f'(x) cos nx dx
(n
0, 1, 2, ... )
- "'
- "'
f'(x) sin nx dx
(n
1, 2, ... )
Sec. 6
191
7[
nxJ~rr +
11
7[
-n
11
7[
11bn
b;, =
(11=1,2, ... )
- :
f"
f(x) cos nx dx
-na 11
(11=1,2, ... )
(6.2)
b'
---"
ll
(11
'
1, 2, ... )
(1a~I
~r
(1b;,1
lf
21a:.I + -I > 0
2 -
,2
a,,
11
11
21b:.I
= b;,2
11
1
11
> 0
2 -
it follows that
la~I
ll
lb;,1 .::;;
l ( a11'2
+ b'1)
+
n
.::;; I ( all,2
2
+ b;.2) +
11
112
Ian! + lb,,I
112
Hence,
(6.3)
(6.4)
L (Ian!
lbnl)
n=I
converges. Using this result, we now prove the following theorem on uniform
convergence.
192
Chap. 5
THEOREM 6.1. Let f be a continuous piece1rise smooth function 011 the interrn!
-n S: x S: n such that f( - n) = f( n). T/]('11 the Fourier series off
ao
2
(6.5)
f
11=
(a 11 cos 11x
+ b
sin 11x)
11
la,,
cos nx
+ b,,
sin nxl S:
S:
oc
11=
a,. cos nx
(a 11 = (2/IT) J~
.f (x)
cos nx dx, 11
0, I, ... )
b,, sin nx
n= 1
(b,,
= (2/TI)
J~
coni-erges absolutely and uniformly to f(x) on the interrnl 0 S: x S: IT, and to the
odd periodic extension off.for all x.
Notice that here the condition.f(O) = f(IT) = 0 ensures continuity of the odd
periodic extension off, thus making it possible for the Fourier sine series to
converge uniformly to f (x) for all x.
Sec. 6
193
Now suppose that f is a function that satisfies the conditions of Theorem 6.1.
Then we have
j .(x)
(6.6)
~
L.
Go
a 11 cos. nx
n~ I
. nx)
Sill
11
(-rr:S::x:S::1r)
where the convergence of the series tofis absolute and uniform. Let us multiply
both sides of(6.6) byfto obtain
(6.7)
./2(x)
= ao f(x) +
2
[a,J(x) cos nx
11=
The series on the right of(6.7) converges uniformly tof 2 (x) on -n :s:: x :s:: 1r.
To see this, let t: > 0 be an arbitrary small number, and let B denote the
maximum value or If I on - n :S:: x :S:: n. By the definition of uniform convergence, there is an integer M such that
JS,h) -
{;
f (x)I <
(whenever - n
:s::
:s::
n)
for all m > M. Here, S,,, denotes the mth partial sum
S,,,(x)
ao
2
(an cos nx
+ h
11
sin nx)
11=
Then, clearly,
JS,,,(x)f(x) - / 2 (x)I
(6.8)
whenever - n :s:: x :s:: n and for all 111 > M. This shows that the sequence
S 111 (x)f(x), which is the mth partial sum or the series on the right of (6.7),
converges uniformly to .f2(x) on [ - n, n]. Therefore, term-by-term integration
of (6.7) is possible (Chapter I, Section 5) and we obtain
In
.f2(x) dx
a; In f(x) dx
t rl
+
n
Jn
G 11
11
l
a2
2
f(x)
COS llX
dx
+ I~
11=
bn Jn
-n
-rr
(a;,
+ b;,) J
or
(6.9)
al0
oc:
11=1
(a~
b~)
In
-n
(x) dx
f(x) sin
IJX
dx]
194
Chap. 5
1
n
f"
[f(x) - S,,,(x)] 2 dx
_rr
(6.10)
lim j l
111-.-J_
lrr
J"
la~+
(x) dx -
l2
-n:
(a;,+
n=l
b;,)lJI
J
=0
which says that the Fourier series (6.6) converges to fin the mean. Thus, we see
that uniform convergence of a Fourier series implies convergence in the mean.
In terms of the idea of completeness that we introduced in Section 6 of Chapter 4,
we can therefore conclude that the orthogonal system (4. I) of eigenfunctions is
complete with respect to the class of functions that is continuous, piecewise
smooth, and periodic of period 2rr. Actually, the system (4.1) is complete with
respect to the class of functions which is square integrable (e.g., piecewise continuous) on the interval [ - rr, rr]. This means that the Fourier series of a function f converges in the mean whenever the integral f"..." .f2(x) dx exists. Then, for
such a function, Parseval's equation (6.9) is satisfied.
Let f and g be two square integrable functions on [ -rr, rr], with Fourier
coefficients denoted by a,1' b,, and a:, b:, respectively. From the obvious
inequality
[.f(x)
g{x)] 2
2[.f 2(x)
:S: 2[.f2(x)
it follows thatf
and b,,
a,, + a:
(6.11)
If"
rr
+
+
-rr
+
+
g 2(x)] 2
g (x)]
[f(x)
g(x)] dx
(a 0
+
2
a6) 2
L:c;
- -- +
If"
rr
-rr
[(a,,
11=1
[f(x) - g(x)] 2
00
f(x)g(x) dx
n=l
g(x) =
f1
\0
(-n<x<t)
(t < x < rr)
Sec. 6
195
(6.13)
f,,
.f(x) dx
~a 0 (t +
+
"
rr)
la,, f'
cos nx dx
+ b,,
-n
f'
sin nx dx]
-n
This is precisely what we shall get if we formally integrate the series (6.6) term
by term from - rr to t, where - rr :s:; t :s:; n. Jn view of this result, we can therefore assert that if f is square integrable (say, piecewise continuous), then whether
or not the Fourier series of J converges, the integrated series converges to the
integral of .f. (See also Problem 8.)
Exercises 5.5
1.
Let a,, and b,, be real numbers and consider the quadratic equation
m
~ (a,,
J.b,,)
= ~ a~ + 2). ~ a,,b,, + ). 2 ~ b~
n=l
2 0
n= I
11=1
ri=l
"~I
111
a,,b,,
)2 (n~I a;,
111
m
"~I
b;,
~ (a;,
1 (a~2
n
b;,)112 =
n=l
n=J
+ b~2)112
from equation (6.2). By using the Cauchy-Schwarz inequality and Theorem 4.1,
prove that the series L::= 1 (a~ + b;) 112 converges. Hence, deduce the convergence of the series (6.4).
3.
~ {- l)" ~in 1~
n= I
11
_1 x(x2 _ n2)
12
Deduce
00
n~I
(-1)"+1
(211 - 1)
7[3
3
32
n=I
7[6
945
196
4.
Chap. 5
Sho\\ that the Fourier series of lhe function given in Problem 5, Exercises 5.4,
can be integrated term by term from 0 to x when 0 < x < n, and obtain the
result
8 oc 11 sin 211x
(0 < x < n)
cos x =
~
l[
rJ:::: 1
411 2 - I
Hence, by Parseval's equation, shov. t hal
fl1
(f
(411
11=1
5.
1) 2
64
Justify the term-by-term integration of the Fourier series in Problem 7b, Exercises
5.4, and show that
~ (_
)" + 1 cos(2n 1
(2n
11= i
{ ~ ;:,
I )x
1) 2
2x)(n
-
(0 :S x ::S rr/2)
2x)
3rr)
n)(2x -
32
6.
Let /(x) = I - x, 0 ::; x ::; 2. Show that the Fourier series of/ converges
uniformly to the function for 0 :S x :S 2, and that
rr 2 n= I (211 -
1)2
I )rrx
(211 -
cos
Deduce
00
(211
II= [
7.
96
'
16
x 2
rr 2 n= I (211
I )rrx
(211 -
Sin -
I )3
(0 :S x :S 2)
and deduce
"'
~
11=
8.
960
(211
Let I be a piecewise continuous function on the interval - rr ::; x ::; rr and consider its Fourier series
if)
+ ~
00
f(x)
(a 11 cos nx
h 11 sin
11x)
11=!
Set
F(x)
f l/(t) - a;]
dt
F(-n)
= f(x) -
ao
-2
and
F(n) -
F(- rr) =
rr
-"
f(t) -
a )
}
dt
Sec. 6
197
Thus F satisfies the conditions of Theorem 6.1 and therefore can be represented by an absolutely and uniformly convergent Fourier series \\ith Fourier
coefficients given by
f:"
A11
71
B11
J:.
O. I, 2, ... )
(11
F(x) sin nx dx
( /1
I, 2, ... )
(11
1, 2, ... )
A= - b11
B,,
11
II
Hence,
Ao
F(x)
11=
b 11 cos 11x
(-
a,, sin
11
11x)
/1
and
Ao
II~)
a 11
II
sin
11a)
II
a o (x -
~
C
ll=
a)
Gii
II
11aj
/1
II
This proves that '-" hether or not the Fourier series of a piecewise continuous
function f converges to/, the series can be integrated term by term to yield a series
that converges to the integral off
9.
sin nx
(-1)"+1
( - n < x < n)
n=l
7[2
12
(a)
(b)
_x_
(x2
+ ~
ll 2
00
712)
12
10.
(-I)" cos nx
II= l
n=l
(-n:S:x:S:n)
(-n:S:x<n)
n
4
~ sin(211 11=1
(211 -
I )x
I)
(0 < x < n)
(b)
~ (n - 2x)
8
~ (nx - x2)
8
00
n=l
00
n=l
cos(2n (2n -
I )x
1)2
sin(2n - l)x
(211 - 1)3
-----~
(0 :s: x :s: n)
(0 :s: x
~>.
:s: n)
198
7.
Chap. 5
Fourier Integral
(7.1)
00
= a- 0 +
2
11=1
.
nnx)
b,, srn
--
ll77X
a,, cos --L
where
a = -1
(7.2)
JL
b
n
JL
(11
-L
f(x)
nnx dx
L
(n
Sill - - -
-L
= 0, 1, 2, ... )
= 1, 2, ... )
f(x)
= -1-
2L
IL
_ [,
f(O d~
L L1- JL_
oo
n= I
As we Jet L --> co, the first term on the right of (7.3) will vanish, provided the
integral s~ 00 f (~) d~ exists; which it certainly does if we assume that f is absolutely integrable on the interval - co < x < co. We assume that this is the case.
Then, on letting L--> co, from (7.3) we obtain
(7.4)
f(x)
= Jim
L~oo n=l
1
L
JL
Jm
-L
cos nn
L
(~
- x)
d~
nn
Sn= -- '
~s,,
S11 + 1 -
Sn
= -
(11
X)
d~ J ~S11
j(X)
!~ ~
JI
1, 2,. .. )
Sec. 7
Fourier Integral
199
The sum in equation (7.5) reminds us of the sum defining the definite integral of
the function
1
F(x, s) =
f(~) cos s(~ - x) d
JL
-L
71:
(7.6)
f(x)
nJ
-w
x) d
THEOREM 7.1.
.f( ,x
(7.7)
- 0)
f(x
0)
"'j
71:
ds
Joo f mcos s( -
x) d
-oo
Proof:
J J
00
(7.8)
oo
71:
ds
.f(O cos s( - x)
d~
-oo
= Jim
).--4-C()
1
1[
x)
d~
-!"fj
The inner integral on the right side of equation (7.8) is uniformly convergent
with respect to s for 0 s s s /., since
I
7!
00
ds
J' "'
Jm
cos s(~ - x) d
-~oo
~im
A-too
JI
= Jim I
;~oo
J""
Jm
-oo
Joo
- x) ds d~
_ 00
- x)
x)
d~
1
71:
J
00
ds
f"'
-oo
f(O
cos
s(~
- x)
d~
= Jim
,l~oo 71:
Joc
-oo
.f(x
t) sin l.t dt
t
.....
200
Chap. 5
si11 ; I
. dt =
(7.10)
J
-""
7l
From this it is
(). > 0)
rr12.
Hence, the Fourier integral formula (7.7) will be established if we can show that
(7.11)
hm 1
[/(x
1.-+oc7IL-r_
and
(7.12)
hm I
). --4
rr
'X:
oo [
.f( x
t ) - .f( x
O)] sin )t dt
= 0
j'" f
I
7l
(x
+_ t) - f (x + 0) sin It dt
where
I1
l'h
f(x
f(x
t) -
TI
I2
. I
sm 1.t
ct
0) .
I f (x +
1 ('
t)
sm
. d
1.t
TI b
13 = .f (x + 0)
7l
f (x +
0)
Joc sin z
TI
-->
Iz
oo. Thus,
Jim I = Jim (1 1
A--+XJ
--
ib
;.-oo
12
I 3) = 0
and so (7.12) is proved. By the same method we can also show that the limit in
(7.11) is zero. This completes the proof of the theorem.
Fourier /11tegral
Sec. 7
Example 7.1.
201
j(x) =
(x
JI
\0
1)
>
1)
Solution: It is clear that the function here satisfies the conditions of Theorem 7.1.
Thus, for - oo < x < oo, we have
f'(x -
0)
+ f (x + 0)
{" ds
x) d
1 cos .1( -
Jo
Jo l
.1
- .\') :
-1
r'l"~ins(-x)Jl
Jo
ds
- l
.1
sin s(I
x) ds
di
It follows that
.2
n
l"'
0
cos sx sin--s ds
s
\.-~ -
( xj < I)
(xi
1)
(xi > I)
In particular, at x = 0, we have
00
sin s
n
-ds =
S.
l""
0
cos s sins
ds= 1
s
n
J.'l) sin 2s ds
0
by (7.10).
By expanding the function cos s(( - x) in (7.6). we see that Fourier integral
formula can be written as
(7.13)
f(x)
f'
[A(s) cos sx
where
A(s)
(7.14)
B(s) =
f(() cos s( d
oo
h.
- cc
~ ~
f(O sin
s~ d
00
202
Chap. 5
to note that the functions cos sx and sin sx are linearly independent eigenfunctions, corresponding to the same eigenvalue i. = s 2 , of the singular eigenvalue
problem
u" + i.u = 0
(-oo < x < oo)
u bounded as Jxl
--->
oo
The eigenvalues }, = s 2 in this case are no longer discrete but continuous, and
consist of all real nonnegative numbers. Thus, the representation (7.13) is a
generalization of eigenfunction expansion where summation with respect to the
eigenvalues is now achieved by integration.
Now suppose thatf is an even function that satisfies the conditions of Theorem
7. I. Since f (O cos s and f () sin s( are respectively even and odd functions
of, the formulas (7.14) yield
1
A(s) = n
B(s)
J Im
00
cos s(
d~ = ~ roc
n
-co
~ J~
d~
f() sin s
co
Jo
f(() cos s(
d~
= 0
(7.15)
f(x)
00
{ cos sx
This is called the Fourier cosine integral formula. In case f is defined only on
the interval 0 s x < oo, (7.15) extends f for all x as an even function.
Similarly, if f is an odd function, then from (7 .14) we have
A(s) = 0,
B(s) =
f"'o
f<O
sin s d
(7.16)
f(x)
f"
sin sx
(f'
f() sins
d()
ds
This extends f for all x as an odd function when f is defined only for x :?: 0.
Let us state these results in the following theorem.
THEOREM 7.2.
Sec. 7
203
Fourier l11tegral
As in the case of (7.13), it is worth noting that (7.15) is a generalized eigenfunction expansion in terms of the eigenfunctions cos sx of the singular eigenvalue problem
11" + ;_,, = 0
(0 ~ x < co)
o.
11'(0) =
11
bounded as x
co
---+
u + l.u
11
(0
11(0) = 0,
with eigenvalues ). = s
Example 7.2.
bounded as x
x < co)
---+
co
> 0.
Solutions:
11
f sin
\0
(0
L'
cos sx
(L"
s:
x s: n)
(x > 0)
0. By (7.15) we have
f"
f"
f
2l
_ I cos(l + s)f.
l+s
I
2
p_ _-
~os( I
l
I + s
1 f I + cos sn +
2l l+s
s )n
s)f,l"
cos(! 1-s
+ 1 - cos(!
-__!lir]
I - s
I + cos snl
1-s
I + cos sn
I - s2
Hence, the Fourier cosine integral formula is
f(x)
-~
n
{"'
Jo
C5>S
s_ir cos
SX
dx
I - s2
(0
s:
x S: n)
(x > n)
The integral converges for all x to the even extension of the function (Fig. 5.6).
204
FIG. 5-6
Example 7.3.
7.2.
Solution:
_\
Chap. 5
Find the Fourier sine integral formula for the function given in Example
By (7.16) we have
j (x)
2
n:
oo sin sx (foo
Jo sin(, sin sf,
d(,) ds
Since
I [sin( I - s);
I - s
2
I
2
+
+
s)(,] d(,
s)(,l rr
s
j0
sin sn:
I - s
sin sn:
I - s2
f (x)
2 (
n:
00
Jo
s2
(0 s; x s;
f sin x
)0
Here, the integral converges to the function for all x ( function is odd for all x (Fig. 5.7).
n:)
(x > ;r)
CfJ
Fourier Integral
Sec. 7
205
!( \)
FIG. 5-7
Exercises 5.6
1.
Let
I .(xl
(0 < x < k)
11
\0
(othernise)
Show that the Fourier integral formula aprl ies to f and evaluate
{"' sin s(k -
,) + sin sx ds
Jo
for all x.
2.
Let
f(x)
(x
= jO
\x
0, x > 1)
(0
x < I)
"
r
s sin s(l -
x) +cos s(l -
. x) - cos 1,
ds
s-'
for all x.
3.
sin x
(0 S x S n)
\o
'
(otherwise)
when 0 S x S n.
4.
.,.
cos s(x - n)
1 -
"
cos 1x
ds
f (x)
(cos
\o
Cx < n)
(]xj > n)
206
Chap. 5
cos x =
when - n < x <
5.
Tt.
f"'-
s cos sx sin sn d
I - s2
n?
fO
\e-x
f(x) =
(x > 0)
+ cos- sx
CS
1
+ s2
s sin sx
I
for all x.
6.
Show that the Fourier cosine integral formula applies to the function
f(x) = e-x
(x 2
0)
e-x
7.
f"'
s.:
cos
ds
I + s-
(x 2 0)
-x
/(x) = f 1
(0
:$
to
x :$ I)
(x > I)
COS SX
ds
for all x 2 0.
8.
e-xcosx= 2
n
9.
s
s4
+ 2 cossxds
(x 2 0)
ShOll
xe-x
10.
I -
("
Jo
(I
+ ~ 2 )2
(x 2 0)
cos sx ds
Sho11 that the Fourier sine integral formula applies to the function
f(x) =
{~
and evaluate
- ~os ~ sin sx ds
s
for all x 2 0.
(0
< x < I)
(X > l)
Sec. 8
I I.
Fourier Tramform
207
[Cf'
e-x sin x
n .o
12.
s sin sx cs
i
+ 4
(x :0: 0)
s2
'( x)
,. cos x
(0 < x < n)
lo
(x > n)
" s(coss sn +
J
0
for all x.
13.
sm sx ds
e-x = 2 {
00
Jo
s sin sx ds
(x >OJ
s2
Express the function f(x) = xe-x, x :0: 0, by Fourier sine integral forlllula and
show that
14.
_ x
xe =
4 [~ s sin sx ds
n .o
8.
J) .
I-
2 _
(I
(x :0: 0)
s2)2
Fourier Transform
.f (x)
(8.1)
J-
= ~
J"' f"'
I
2n:
71
_n
f(s)eis(~-xl
di;, ds
_ ""
f(()e-is(~-x)
f"' f"'
o
d( ds
oo
If in the first integral on the right we make the change of variable from s to -s
and then combine the result with the second integral, we obtain
(8.2)
f(x)
J"' f
2n _
1
00
oc _
f(()e-is(~-.x) d(,
ds
'fj
208
Chap. 5
Let us set
"\; 2n
f"'~
-
F(s)eisx ds
,~
which is now analogous to the complex form (2.6) of the Fourier series. Using
these symmetric formulas, we can restate Theorem 7 .1 as follows:
THEOREM 8.1.
and let
(8.3)
Then
(8.4)
f(x) =
"\i2n
J:~
- ,_
F(s)t!isx ds
0) at points
The function F defined by (8.3) is called the Fourier transform of .f, and .f
defined by (8.4) is the inverse Fourier transform of F. Along with other integral
transforms (e.g., Laplace transform), the Fourier transform is an invaluable tool
in applied mathematics.
Example 8.1.
Solution:
(jxj :o; al
j1
\0
(I.\: >
a)
r-e-i'']"
\/27!
is
F(s) = .
v' 2rr
ei.\a -
e-istJ
is
112
= (;)
?"
_/
sins a!.
CL
][
-a
- 00
sins-e
.as isx ds
l
~
-,
(ixi < a)
(!xi = a)
(ix! > a)
Fourier Transform
Sec. 8
209
Next, we define the Fourier transform of a function that is defined only for
x :2': 0. In the Fourier cosine integral formula (7.15). let us set
(8.5)
(~)
F,.(s) =
J:
J:
112
(8.6)
f(x) =
e)
112
f(O cos
s~ d(
Fc(s) cos sx ds
The function FJs) is called the Fourier cosine transform off. In view of the
symmetry between (8.5) and (8.6), we see that I is in turn the Fourier cosine
transform of F,(s); thus, f and Fe are cosine transforms of each other.
Similarly, from the Fourier sine integral formula (7.16), we define the Fourier
sine transform off as the function
(8.7)
F,(s)
CJ
'2'
1/2
f(x) =
(8.8)
,7[
When f is a given function, the formulas (8.5) and (8. 7) can be regarded as the
solutions of the integral equations (8.6) and (8.8), respectively. Applications of
these various transforms will be illustrated in the chapters to follow.
Example 8.2.
= e-ax
G) L"
112
Fh) =
2
)
(n
(n2)
e-a::,
112
e-a::,
a2
2
s2
1/
a2
+ s2
G)
2
)
(n
(2)
11
112
112
[
a1 2
a2
s2
(s cos sC,
+ a sin sC,)]
00
210
Chap. 5
COS SX
oo
ds
n:e-ax
(x :2: 0)
2a
and
("' s sin sx
Jo a2 + s2
(x
> 0)
respectively.
Exercises 5.7
1.
f(x) =
{Q
(!xi s
Ix/
I)
(1x > I)
1
2.
Find the Fourier transform of the function f(x) = e-aJxl, where a > 0.
3.
4.
Show that the Fourier transform of the function f(x) = e-x' 12 is F(s) = e-'' 12 ;
that is, e-x'J 2 is its own Fourier transform. (Use the result of Problem 10,
Exercises 1.6.)
5.
Let F(s) be the Fourier transform off(x). Show that(a) the Fourier transform of f(x)ei> is F(s - a).
(b) the Fourier transform off(ax) is (l/a)F(s/a).
(c) the Fourier transform of g(x), where
g(x) =
(x -
(x > a > 0)
a)
(0 < x < a)
is e-''"F(s).
oo as !xi
6.
7.
(b)
f(x)
f cos
-->
(0 S x S rr/2)
\o
(x > rr/2)
f(x) = xe-x
(x :2: 0)
8.
Find the Fourier sine transform of each of the functions given in Problem 7.
9.
f:
Fourier Transform
Sec. 8
10.
211
Let f and g satisfy the conditions of Theorem 8.1 and Jet F and G denote their
respective Fourier transforms. Define
h(x) =
fxix
f(x -
f(x)
* g(x)
y)g(y) dy
L:
f(x -
y)g(y) dy
J_~'
f(x)g(x -
y) dy
(b) Show formally that H(s) = (2n) 112 F(s)G(s), where His the Fourier transform
of h. (Take the Fourier transform of h and interchange the order of integration.)
11.
(x < 0)
(x
for the function f, and then verify part (b) of the preceding problem.
0)
Chapter
In this chapter we shall be concerned with some problems dealing with the
typical linear parabolic partial differential equation
cu
F(x, t)
c:t
in two independent variables x and I. This equation, known as the one-dimensional heat equation, arises in the analysis of conduction of heat in solids as
well as in a variety of diffusion phenomena. We shall formulate and study
various types of problems for this equation by reference to the conduction of
heat in a thin rod.
1.
Sec. 1
213
\" + /',_\"
FIG. &-1
at x + Ax. According to the theory of heat flow, the amount of heat in this
segment is
x+Ax
(1.1)
Q(t)
cpAu(s, t) ds
J
x
On the other hand, the rate at which heat flows into the segment across the
cross section at xis known to be proportional to the product of the cross section
and the gradient of the temperature of the cross section; that is, it is equal to
-KA
(1.2)
OU
~
ox
(x, t)
where K denotes the thermal conductivity of the rod. The negative sign in
( 1.2) is used to indicate the fact that heat flows in the direction of decreasing
temperature. Similarly, the rate at which heat flows out of the segment through
the cross section at x + Ax is given by
au (x +
ax
-KA -
(1.3)
Ax, t)
The difference between the amount of heat that flows in through the cross
section at x and the amount of heat that flows out through the cross section at
x + Ax must be equal to the change in the heat content of the segment x :s;
s :s; x + fix. Hence, by subtracting (1.3) from (1.2) and equating the result to
the time derivative of (I. I), we obtain
00
-:::-,- =
(1.4)
ct
rx+Ax
CU
cpA - (s, t) ds
at
KA
au
~ - (x +
[ox
Ax, t) -
au
~ - (x, t) J
ox
J
x
;.;- (s, t) ds
ot
OU
= -:;- (s, t) Ax
ot
(x <
< x + Ax)
214
Chap. 6
cp cu
_ (c;:, t L'i.x
ct
v
rau_ (x
A
ox,
I) -
au
_ (x, t )J
ex
.ex
Dividing both sides of this equation by cp L'i.x and taking the limit as L'i.x
we finally obtain
Du
- (x, l)
ct
i?u
iJx2
->
0,
(x, t)
or
au (x,
ct
(1.5)
t) -
a2 u (x, I)
<ix 2
(k
K_)
cp,
by recalling the definition of partial derivative. Equation (1.5) is called the onedimensional heat equation. Jt is an important example of a partial differential
equation of the parabolic type. The constant k is usually called the diffusivity.
If heat is supplied to the rod from an external source at a rate, say, f(x, t)
per unit volume per unit time, then the term .f:~+tix f(s, t) ds must be added to
the right-hand side of (1.4). Thus, in passing to the limit as L'i.x -+ 0, we get
cu_ (x,
(1.6)
ct
a2 u (x,
t) - k ;:
cx 2
1) = F(x, t)
where F(x, t) = f(x, t)/cp is the source density. This equation is called the
nonhomogeneous heat equation.
On the other hand, if heat is being radiated from the rod into the surrounding
medium at a rate proportional to the temperature of the rod, then we shall have
the so-called radiation equation
OU
_ - (x, l) -
(1.7)
ct
c1 u
k _ 2 (x, I) - hu(x, t) = 0
cx
2.
cu (x,
2t
t)
2
u
/.,: (;x 2 (x, t)
hu(x, t)
F(x, 1)
In each of the cases of heat conduction in a thin rod discussed above, we saw
that the temperature function u satisfies a partial differential equation of parabolic type. From physical considerations, we know that the differential equation
alone cannot determine the temperature distribution in the rod at any subsequent
time. We need to have additional information regarding the initial temperature
of the rod and the conditions imposed at its two ends. This means that we must
Sec. 2
215
specify u(x, t) at some initial time (say. at time t = 0) and describe how the
two ends of the rod exchange heat energy with the surrounding medium. Thus,
with reference to the case in which there is no heat source, if the temperature
of the rod at t = 0 is described by the function f(x), 0 ::;: x ::;: L, and the two
ends are maintained at zero temperature at all time, then the temperature
distribution u in the rod at any later time t > 0 is found by solving the differential
equation
(2.1)
u1
ku.u
= 0
f(x)
(0 ::;: x ::;: L)
(2.2)
u(x, 0)
and
(2.3)
u(O, t) = 0,
u(L, t) = 0
(t ;:::: 0)
This problem is called an initial-boundary value problem for the heat equation.
The auxiliary conditions (2.2) and (2.3) are called initial condition and boundary
conditions, respectively.
We notice in the problem (2.1 ), (2.2), (2.3) that only the value of u is prescribed
initially and not both u and u,, as in the case of the wave equation. This is,
of course, dictated by the physical problem being considered. But even from a
mathematical standpoint, 11 1 cannot be prescribed arbitrarily, since it is related
to u.u initially through the differential equation. As a matter of fact, we shall
see in the next section that the set of auxiliary conditions (2.2) and (2.3) is
appropriate for the heat equation or for any of the other related differential
equations given in the preceding section, in the sense that the problem is well
posed.
The conditions (2.3) correspond to the fixed boundary conditions for a
vibrating string, which we considered in Chapter 3 for the wave equation.
Other forms of appropriate boundary conditions corresponding to the free and
the elastic boundary conditions for a vibrating string can also arise in our heat
conducting problem. Indeed, if both ends of the rod are insulated so that there
is no heat flow across the ends, then according to (1.2) the boundary conditions
assume the form
(2.4)
OU
;;-- (0, t)
= 0,
OX
..
~u
ox
(L, t) = 0
(t ;:::: 0)
On the other hand, if there is radiation of heat at the ends of the rod into the
surrounding medium, which is kept, say, at zero temperature, then the boundary
conditions will be of the form
OU
- - (0, t)
(2.5)
ox
OU
OX
-- (L, t)
+ hu(O, t) =
+ hu(L,
t) = 0
216
Chap. 6
for t ~ 0, where h is a constant. Notice that all these boundary conditions arc
linear. As in Chapter 3, we shall refer to these conditions, (2.3), (2.4), and (2.5),
as boundary conditions of the first, second, and third kind, respectively.
It is also possible to consider the problem of finding a solution of the heat
equation or any of its related equations in the infinite domain - oo < x < oo,
t > 0, which satisfies only the initial condition (2.2) prescribed for - oo <
x < oo. Such a problem physically represents conduction of heat along an
infinite thin rod; accordingly, the problem is called an initial value problem.
It will be seen in later sections and exercises that an initial value problem for the
heat equation and its related differential equations is well posed.
Exercises 6.1
1.
Verify that each of the given functions satisfies the heat equation ( 1.5) for O <
x < re and the accompanying initial and boundary conditions.
(a) u(x, t) = e-kt sin x; u(x, 0) = sin x, u(O, f) = u(rc, t) = 0.
(b) u(x, t) = e-kc cos x; u(x, 0) = cos x, ux(O, t) = ux(rc, t) = 0.
(c) u(x, t) =
+ 1e- 4 kt cos 2x; u(x, 0) = cos 2 x, uO, t) = ux<rr, t) = 0.
2.
u(x, f) =
- e
Vt
-x2/4t
Jim u(x, I)
(provided x "#
0)
t--+O+
3.
(0 <
ku.u = F(x, f)
u(O, t) = a(t),
< L,
> 0)
(0 :S x ::; L)
u(x, Q) = f(x)
(! > 0)
u(L, f) = b(t)
(a) Determine a function of the form </J(x. f) = A(t) + xB(f) such that
</J(O, /) = a(t) and </J(L, t) = b(f ).
(b) By introducing a new function v, defined by v = u - , reduce problem
(a) to one in which the boundary conditions are homogeneous.
4.
5.
u, - kuxx = 0
u(x, 0) = sin x
u(O, t) = t 2 ,
7T, f
> 0)
(0 :S x :S rr)
u(rr, t) = e'
(t > 0)
Sec. 3
6.
217
kuu = xt
11(x, 0)
ux(O, 1)
sin 1,
(0 <
11(1, t) = ln(l
t)
x < I)
(1 > 0)
(a > 0, 0 <
ku.u = Ae-ax
< L, t > 0)
(0 ~ x ~ L)
11(x, 0) = f(x)
11(0,1)=0,
(t~O)
11(L,t)=O
kuu = 0
(x > 0, t > 0)
u(x, 0) = 0
(x > 0)
11, -
u(O, t) = h(t)
(t > 0)
+ bu
(x > 0, t > 0)
u(x, 0) = 0
(x > 0)
ux(O, t) = h(r)
(1 > 0)
kuxx
Let
11
(x > 0, t > 0)
kuxx = 0
(x
11(x, 0) = f(x)
ux(O, t)
/111(0, I) = 0
[1
~ 0)
~ O; (h = constant)]
3.
'
218
Chap. 6
I=
"= 0
.1 ~I
= Q
FIG. 6-2
Proof: We first prove that the maximum principle holds for a continuous
function 1" that satisfies the differential inequality
(3.1)
for 0 s x s L, 0 s t s T. Indeed. suppose v assumed its maximum value at
(x 0 , 10 ). where 0 < x 0 < Land 0 < 10 s T. Then, from elementary calculus,
\\e know that
and
Since k > 0, these lead to the inequality
\Vhich is contrary to the fact that 1' satisfies (3.1) at (x 0 , t 0 ). Hence, i: cannot
assume a maximum at (x 0 , 10 ). Since i: is continuous in the closed region
0 s x s L, 0 s t s T, 1 has a maximum value. It must therefore occur
either at t = 0 or x = 0 or x = L.
Now consider a continuous solution 11 of the heat equation (1.5) in the region
0 s x s L, 0 s t s T. Let u s 1V/ at t = 0 for 0 s x s L, and at x = 0
and x = L for 0 s t s T. We shall show that 11 s M at all points in the
rectangular region. Define the function i: by the equation
r(x, I)
u(x, t)
BX
Sec. 3
219
--
k1\.,
11 1
20 = -28 < 0
k11xx -
so that z; satisfies (3.1 ). Hence, by the previous result, 1' must assume its maximum
value at t = 0 or x = 0 or x = L. On all these, we see that
1:
11
ex
u = v - r:x 2
s x s
v
c:L2
L, 0
M
T, it is true that
cL2
L and 0 :::::;
We remark that the maximum principle stated in Theorem 3.1 is often referred
to as the weak maximum principle, since it permits the maximum of the solution
to occur both on the boundary and at interior points. A stronger version of
this principle, which contains Theorem 3.1 as a special case, asserts that if the
maximum occurs at an interior point, then the solution must be constant in a
certain region. The proof of this assertion is so involved that we shall not bother
ourselves with it.
By applying the maximum principle to the negative of the function 11, we
obtain a similar result for the, minimum value of 11. That is, the minimum value
of a continuous solution of the heat equation is also taken either at t = O or
x = 0 or x = L. Physically, the maximum-minimum principle says that the
temperature in the rod at any instant of time cannot get higher (or lower)
than the highest (or lowest) temperature that occurs initially or which is yet to
be observed at the ends of the rod.
As a consequence of the maximum principle, we can prove a uniqueness
theorem for the following initial-boundary value problem for the heat equation:
11, -
...
(3.2)
u(x, 0) = f(x)
u(O, t)
THEOREl\1
Proof:
x
a(t),
(0
u(L, t)
= b(t)
L)
(t :;:o: 0)
continuous for 0
11
kuu = F(x, t)
Suppose that
220
Chap. 6
Landt :::::: 0.
(3.4)
u(x, 0)
= F(x, t)
f(x)
(-oo<x<oo)
We shall require that our solution of this problem be bounded in the infinite
region - oo < x < oo, t :::::: 0. Then we haveTHEOREM 3.4
Proof:
such that
Jvl s
M,
lwl s M
2M
Sec. 3
V(x, t)
L, 0
4M
L (I x-
221
kt ')
It is easily verified that, in this region, V satisfies equation (1.5) and that, at
t = 0,
2Mx 2
V(x, 0) = - ; - 2 u(x, 0) = 0
L
and, at x
L,
V(L, t) = 2M
4Mkt
L 2 2 2M 2 u(L, t)
(- L
V(x, I) 2 u(x, I)
L, 0
s
s
L, 0
T)
s
t s
T)
u(x, t) 2 - V(x, 1)
(3.5)
lu(x, t)I
V(x, t)
4M
L2
s
L s
(- L
(12
kt
x
x
L,
s
0 s
T,
for arbitrary numbers L and T, no matter how large. Letting L -+ oo, we then
find lul = 0, which means that v(x, t) = w(x, t) for - oo < x < oo, t 2 0.
Exercises 6.2
1.
Show that if u and v are two solutions of the heat equation (1.5) for 0 < x < L
such that u(x, 0) S v(x, 0), u(O, t) S v(O, t), and u(L, t) s v(L, t), then
u(x, t) S v(x, t) for 0 S x S L, t 2. 0
2.
3.
Let 11 be a solution of the nonhomogeneous heat equation (1.6), with 0 < x < L,
t > 0, which is continuous for 0 s x s L, t 2. 0. Prove that if F(x, t) < 0,
then the maximum of u is attained at t = 0, or x = 0, or x = L.
4.
222
5.
Chap. 6
Let 11 be a solution of the heat equation for 0 < x < L, t > 0, such that 11(0, t) =
u(L, t) = 0. Consider the identity
0 =
(OL
11(11, -
kuu) dx = I_ ~2 ct
(L
11
Jo
dx - k
r,
Jo
llUu
dx
(a) By integrating by parts the second integral on the right, deduce that
, lL
ct
11
dx
s 0
(t ? 0)
6.
Let
11
u(x, 0) = f(x)
Formulate and prove the corresponding maximum principle for the twodimensional heat equation 11, - k(uxx + u,) = 0 in the cylindrical region
n = {(x, y, I) I (x, y) ED + c. 0 s I s T}, where D is a domain in the xyplane bounded by a continuous curve C.
8.
k(uxx
llyy)
[(x, y) in D, 0 <
< T]
[(x, y) in D]
u(x, y, 0) = f(x, y)
u = g(x, y, t)
[on C, 0 s
s T]
h<Js at most one solution. Here, D is a domain in the xy-plane bounded by the
continuous closed curve C.
9.
Let
/1
ff
11[111
k(uxx
llyy)] dx dy = 0
over the domain D for 0 s t s T and using Green's identity [(8.6), Chapter l ],
show that
Sec. 4
4.
223
= .f (x)
(0 ::::; x ::::; L)
u, - kuxx
(4.2)
(4.3)
u(L, t) = 0
(t
0)
u(x, t)
X(x)T(t)
X"
kT
-)
(4.5)
T'
+ J.kT =
+ IX =
0 and
(4.6)
i.X
= 0
X(O)
= 0,
(0 ::::; x ::::; L)
X(L) = 0
(4.7)
(11=1,2,. .. )
X n (X )
(4.8)
11 2 n 2 / L2, n
= Sll1
IJJTX
(n = 1, 2,. .. )
T,,(t)
e-ki,,r
Chap. 6
224
= e - u,,r
u 11 (x, t)
(4.10)
sin n nx
L
(11
I, 2, ... )
with An given by (4. 7), are all particular solutions of (4.1) satisfying the homogeneous boundary conditions (4.3).
To obtain a solution of our problem, we consider a series of the functions
( 4.10) in the form
(4.11)
u(x, t) =
n=I
f(x) =
(4.12)
bn
n= I
nnx
Sll1 - -
(0
L)
(4.13)
b = 2n
L
f (x)
.
sm
-117TX
-- dx
(n
I, 2, ... )
The function u represented by the series (4.11 ), with b" given by (4.13), is the
solution of our problem. In order to verify this, we now assume that the function fin (4.2) is continuous and piecewise smooth on [O, L] and that f(O) =
f(L) = 0. Then, according to Theorem 6.2 of Chapter 5, the Fourier sine series
(4.12) off converges absolutely and uniformly to the function on [O,
Now,
for t z 0,
00
00
I
.
. nnxl
! b11 e-ki.,,t Sll1 - - 1 S
lbnl
11= I [
L I
n= I
LJ.
where the series on the right converges. Therefore, the series (4.11) converges
absolutely and uniformly to u(x, t) for 0 s x s Land t z 0. Since each term
of the series is continuous and satisfies (4.3), it follows that u, too, is continuous
and satisfies (4.3). Moreover, on setting t = 0, we see from (4.12) that u satisfies
the initial condition (4.2) as well.
There remains to be verified only the fact that u satisfies the heat equation.
To this end, we need to show that the series (4.11) can be differentiated term by
term, once with respect to t and twice with respect to x. Let us consider the
sen es
(4.14)
Sec. 4
225
which is the formal derivative of(4.l l) with respect tot. Sincefis continuous on
[O, L ], it is bounded there and so there is a constant M such that Jbnl :::; M for
all n ~ l. Then, clearly, for any t 0 > 0,
whenever t ~ t 0 . Since the series with the general term k/."M exp(-kJ.nto)
converges, it follows by the Weierstrass M-test that the series (4.14) converges
uniformly for 0 :::; x :::; L and 0 < 10' :::; t. This shows that (4.11) has continuous derivative with respect to t for 0 :::; x :::; L, t > 0, which can be obtained by differentiating the series term by term.
In the same way we can establish that ( 4.11) has continuous second-order
derivative with respect to x for 0 :::; x :::; L, t > 0, which is obtainable by
term wise differentiation. Thus, substituting (4.11) in equation (4.1 ), we see that
u, - kuxx
L
00
b,,e
-u
nnx
L
" sm - -- [ -k1.
11=1
11
,
kJ. 11 ]
= 0
This completes the verification that (4.11) with (4.13) is a solution of the
problem ( 4.1 ), ( 4.2), ( 4.3) under the conditions thatf is continuous and piecewise
smooth on [O, L] and vanishes at the end points. That this solution is uniquely
determined follows by Theorem 3.2.
It is noteworthy that by applying repeatedly the procedure we have described
above, the series solution (4.11) can be shown to have continuous derivatives
of all orders with respect to x and t for 0 :::; x :::; L and t > 0. This result is
quite in contrast with the result we obtained in an example problem in Chapter
3, Section 9, involving the wave equation. Although there the function! satisfies
the same conditions as given above, yet the series solution cannot be differentiated
twice, term by term; we have had to resort to the concept of generalized solution.
This is a basic difference between solutions of hyperbolic and parabolic differential equations.
If we substitute (4.13) for b,, in (4.11) and interchange the order of summation
and integration, we can write ( 4.11) in the integral form
(4.15)
u(x, t)
IL
t;
G(x,
)!(~) d
where
(4.16)
G(x, t; ) = -L
00
L
n=1
-u
nn _ nnx
sm L
L
..,r sm -
(t > 0)
with )." = n 2 n 2 / L2 , n ~ 1. Notice that for t > 0, the series ( 4.16) is uniformly
convergent in so that the interchange of summation and integration in ( 4.15)
is perfectly valid. The function G defined by (4.16) is known as the Green's
function for the heat equation corresponding to the boundary conditions (4.3),
and the series is called its bilinear expansion [Chapter 4, Section 7]. Physically,
226
Chap. 6
G(x, t; i:) represents the temperature distribution in the rod for 0 :<o: x :<o: L,
> 0, due to a concentrated heat source at the point x = ( at time t = 0,
with the temperature at the end points maintained at zero degree.
Jt is easy to verify from (4.16) that: (i) G satisfies the heat equation with respect
to x and t for t > 0. provided x -=/= (; (ii) G is continuous at x = (; (iii) G
satisfies the boundary conditions (4.3) with respect to the variable x; and (iv)
G is symmetric with respect to x and (. These properties are analogous to the
properties possessed by a Green's function for an ordinary differential equation
[see (2.15), Chapter 4].
I
Example 4.1.
uu = 0
11, -
u(x, 0) = sin x
11(0, 1)
Solution:
<
IT, {
> 0)
= 11(rr, !) = 0
(t 2 0)
b,, = -?
ln sin x sin nx dx
o
(11 =
I)
(11 > 1)
I/xx=
u(x, 0) = x(rr -
(0 ::<; x ::<; n)
11(rr, t) = 0
11(0, t) = 0,
Solution:
x)
(I 2
u(x, I) =
bne-"
21
sin nx
fl=l
where, by (4. 13 ),
b,, =
I'
x(n - x) sin
11x
dx
(-1)"
J -
4 -- -
77:113
Hence, we have
8
u(x, t) =
ro
7r 11 ~ I
-(211- 021
e_ _ _ . sin(2n (211 - J) 3
l)x
0)
Sec. 4
227
In case both ends of the rod are insulated so that the initial-boundary value
problem consists of (4.1 ), ( 4.2) and the boundary conditions
11)0. 1)
(4.17)
u,(l.. I)
0,
(t
0)
(4.18)
X"
i.X
= 0,
X'(O)
0,
X'(L) = 0
for the function X together with equation (4.5) for the function T. We recall
that the eigenvalues of the problem (4.18) are )"n = n 2 n 2 / L2, n = 0, 1, 2, ... ,
with the corresponding eigenfunctions X,,(x) = cos(nnx/ L), 11 = 0, 1, 2, ... .
Thus, the functions
t)
II,, ( X,
( 4.19)
_,-,
,_,,
COS
nnx
(n
= 0, I, 2, ... )
are all particular solutions of ( 4.1) satisfying the boundary conditions ( 4.17).
Now, to obtain a solution of the problem ( 4.1 ). ( 4.2), ( 4.17), we consider a
series consisting of the functions (4.19) in the form
(4.20)
u ( x, t) =
a0
,,
a,,l'
u ,
.,,
cos
n nx
-L
The initial condition (4.2) then requires that the coefilcicnts a,, satisfy the relation
L
oc,
f (x) = ---0 +
2
a,, cos
n=1
nnx
which is the Fourier cosine series representation of the function f on the interval
0 :S x :S L. Hence, the coefficients are gi\'en by the formula
a,, = 2
L
(4.21)
JL f(x) cos
nrrx
'_
dx
(n = 0, 1,2, ... )
Thus, a solution of the problem (4.1), (4.2), (4.17) is given by (4.20), with a,,
(n ~ 0) given by ( 4.21).
The verification that (4.20) with (4.21) satisfies (4.1 ), (4.2), and (4.17) under the
conditions thatf is continuous and piecewise smooth on the interval 0 :S x :S L
is done in the same manner as in the previous case. That the solution is uniquely
determined follows from a modified maximum principle corresponding to the
boundary conditions ( 4.17) (Problem 2, Exercises 6.2).
If we substitute (4.21) for the coefficients a,, in (4.20), the solution can be
written in the integral form
(4.22)
u(x, t)
G(x, t; ()f (O d(
(4.23)
G(x, t; ()
1
-L
2
L
~
~
n=I
-u
nn(
nnx
"1 cos ----- cos L
L
228
Chap. 6
= x
u(x, 0)
(0
71)
(t 2 0)
ux(O, t) = 0,
Solution:
t > 0)
71,
2
71
a11 =
2
71
rl"
xdx=n
x cos nx dx
2 x sin nx
n
71
2 (-1) 11
Thus, a"
0 when
11
cos nx
II
1:
-(4/nn 2 ) when
(11
11
is odd; therefore
-4
(k 2
I )2
n(2k -
2 I)
I)
oo
71
:2
e-(2k-1)2r
2: -
7r k=I
(2k -
cos(2k - l)x
1) 2
Exercises 6.3
In Problems I through 6, find the solution of the initial-boundary value problem
for the heat equation (4.1 ), 0 < x < n, t > 0, satisfying the given initial and boundary
conditions.
A, A a constant; u(O, t)
= 0,
= 0, t > 0.
1.
u(x, 0)
2.
3.
u(x, 0)
4.
u(x,
5.
u(O, t) = 0, u(n, t) = 0, t 2 0,
u(n, t)
{x
u(x, 0) =
71 -
x2
n 2 ; ux(O, t)
= 0,
6.
u(x, 0)
7.
!11 -
kuxx -
u(n, t)
= 0, t
(0
x
2 0.
u(x, 0) = x(I - x)
u(O, t) = 0,
s x s rr/2)
s x s n)
(n/2
s x s
I)
(t 2 0)
Sec. 5
8.
LI =
llxx -
u(x, 0)
u(O, t)
(O .s x .s n/2)
11(n/2, t)
(I ? 0)
(Q <
= sin 3
= 0,
<
(0
77:,
.s
u(r., t) = 0
hv = 0
r(x, 0)
t)O, t)
t > Q)
x ::; n)
( 1 ? 0)
= f(x)
=
(0
i;_.( L, I)
0,
.s x .s LJ
(I ? 0)
I) = u(x, t )e-h',
with u given
Uu
LI
u(x, 0)
= Q
(0
u)O, 1) = 0,
12.
11.
10.
(0 <
cos x
= 0,
11x(O, I)
9.
229
11(1, t) = 0
1)
(t ? 0)
kuxx = 0
(0 <
u(x, 0) = f(x)
11(0, t) = 0,
< L, t > OJ
(0 S x S L)
LlxCL, t)
hu(L, t) = 0
(t ? 0; lz a positive constant)
13.
u(x, 0)
u/O, t)
kuu = 0
=
f(x)
hu(O, t) = 0,
(0
L)
u(L, t) = 0
(t ? O; lz = const > 0)
5.
.
230
Chap. 6
(5.I)
ku'"'
u, -
F(x. I)
together with the initial condition (4.2) and boundary conditions (4.3).
assume a series solution or this problem in the form
.
(5.2)
,,
11(x. I) -
We
ll71X
w 11,,(t) c,111-
"
where the coefficients 11., are functions or I. This is actually the eigenfunction
expansion of the yet unknown function 11. in terms of the eigenfunctions (4.8)
of the associated Sturm-Liouville problem (4.6). Thus, the coeftlcients 1111 must
be related to the function u by the formula
11 11 (1 )
(5.3)
JL
. 1171X
L
u(x, t) s111-~-
Jx
(n
= I, 2, ... )
(5.4)
f(x, t)
L"
F 11 (f) sin
!25..:.
L
11=1
so that
')
(5.5)
J'L
F.,(t) = :.
L
F(x,
ll71X
t) sin -
dx
(11
= 1, 2, ... )
Then, by differentiating (5.3) with respect tot and using (5.1), we obtain
(5.6)
11;,(1)
L2
JL
11, sin
lliTX
L
dx
= 2k
-L
J'L
Un
..
lliTX
Sin - - dx
F,,(t)
where F 11 (t) is given in (5.5). By using the boundary conditions (4.3), the first
term on the right of equation (5.6) can be integrated by parts twice, to give
2/.:
where }. 11
equation
(5.7)
1s
as given
r.L
Uu
111
(4.7).
11:,(t)
1171X d
( )
sm -x = - k.
1. 1., t
k).,,u,.(t)
= F,.(t)
Sec. 5
11",
(5.8)
231
11,,(0)
JL f(x)sin
. .
2
L
l/7L'(
dx
b,,
I, 2, .. )
(n =
(5.9)
for
/1 =
(5.10)
u(x, t) =
f: JJ'
l
11=!
e-U,,(1-rlF,,(T) ch ( sin
nn~ +
L
n=I
i:(x, t)
~
...
11=1
. nnx
u,,(t) sm L
with
(5.12)
v,,(t)
= ['
e-k;.,,u-rlF,,(T) ciT
(n
1)
IF,,(1)1
rL
I. \F(x,
t)i dx
L, t
2M
IFI
in the region 0
L, 0
232
Citap. 6
verify that the series (5.11) can be differentiated term by term. Then, by (5. 7)
and (5.4), it follows that
00
vt - kv.n =
nnx
[v;,(t)
knv(t)] sin
F,,(t)
SJl1.
nnx
11=1
00
L
11=1
= F(x, t)
so that v satisfies (5.1 ).
If we substitute (5.5) for F,, in (5.11) and formally interchange the order of
summation and integration, we can write (5.11) in the integral form
(5.13)
v(x, t)
LJ:
G(x, t - r;
~)F(~, r) di; dr
where G(x, t; !;) is the Green's function given in (4.16). In this form, it can be
verified that (5.13) gives a solution of the problem (5.1), (4.3) with homogeneous
initial conditions under the less restrictive conditions that F and Fx are continuous and F(O, t) = F(L, t) = 0. Indeed, from the discussion in Section 4,
we see that the inner integral in (5.13) is a solution of the problem
U1 -
kuxx
= 0
u(x, O; r) = F(x, r)
(5.14)
u(O, t; r)
< t)
(r > 0)
u(L, t; r) = 0
(0 <
:S: t)
Our assertion then follows by the Duhamel's principle (Problem 10, Exercises
6.4). The uniqueness of our solution follows by Theorem 3.2.
Example 5.1.
= (sin x
llxx
u(x, 0) = 0
u(O, r)
Solution:
(0
u(n:, t)
n:)
(! 2: 0)
By (5.5) we find
Fn(t)
= -2r
n:
in . .
Sll1
5111
nx dx
= {ot
(J:
(e-'
t - 1) sin x
(11 = 1)
(11 > I)
Sec. 5
Example 5.2.
233
llxx =
F(x, 1)
(0 < x <
= 0
u(x. 0)
Solution:
I)
= x when 0
> 0)
(0 :S _\- :S
rr)
(I 2:
OJ
where F(x,
rr,
:S x :S
_ nx dx
F,,(t) = 2 Jn/2 x sm
Tr
4
nn
sm
J"
(rr - x) sin nx dx
rr/2
/17[
(11
= J, 2, ... )
or
F2n-1 (I)
4( - 1)11 - 1
(n = I, 2, __ )
--
rr(211 - 1)2
4( - l)n-1
= -- -
J'
rr(211 - 1)2
=
exp[-(211 -
I)2(r -
T)]
dT
4(--_I)"_~_ [I _
e-<211-1)11]
I )4
n(2n -
= --
7r
oo
(-1)11-I
n=I
(211 - 1) 4
E -
~-
[I -
e-< 2 n- 011 ]
sin(211 - l)x
(5.15)
(0 < x < L)
u(x, 0) = 0
u(O, t) = a(t),
ux(L, t) = b(t)
(t > 0)
w, - kw xx = - [a'(t)
(5.16)
xb'(t)]
= -a(O) - xb(O)
w(O, t) = 0,
wx(L, t) = 0
w(x, 0)
234
Chap. 6
X" +IX= 0,
X'(L)
). = (211 - 1 rr)
"
1) nL..~
. ) = s111
. (211
- -X (x
11
(11
= 0, 1, 2, ... )
(2n - 1) rrx-
L
ro
u(x, t)
.
u 11 (t) s111
- -
n=I
with
(5.18)
u,,(t)
= 2-
1) rrx
- dx
. L
(11
1,2, ... )
u;,(t) = L
JL uxx(x, t) . (211
2k
= -
L
Sll1
1) nxL dx
-
Using the boundary conditions in (5.15), this can be integrated by parts twice
to give
(5.19)
where ). 11
u;,(t)
2
kl.,,u 11 (t)
= g,,(t)
and
2k
(11 = 1, 2, ... )
From the initial condition in (5.15) we see that u,,(O) = 0. Hence, by solving
the differential equation (5.19) with the initial condition u,,(O) = 0, we find
(5.20)
11,,(t)
= {
exp(-k).,,(t - r))g,,(r) dr
(11 = 1, 2, ... )
Sec. 5
235
(5.21)
~ ~
11= I
f'exp(-kX 11 (t - c))g,/1)
l. ()
1
) nx
L
The verification that this gives a solution of the problem (5.15) is not so straightforward as in problems we encountered before. We shall illustrate the situation
in this case by means of the following example.
Example 5.3.
11(0, 1) = 0,
I)=~ 1 ~
8 I:.,_
7f
(-1)"-
(-
I)"- 1
uJn. I)
11
(2/rrl(-1 )
(L exp(--~
I-
211
<
~) (1=
>'t1 4
l )2
(t > 0)
211
(211 -
n= I
r))dr} sin(~i
1
) x
(211~- - I) x
sm -
To verify that this gives a solution of the problem, we observe that the function
f(x) = x has the Fourier series representation
8 I:
oo
x =
1--)"-I
( -
(211 - 1) 2
7! 11=1
sm
(211 2
in terms of the eigenfunctions X 11 (x) = sin [(211 we can write our solution above in the form
u(x, I) = x -
8
-
00
I:
7T 11= I
(-1)"-
(211 -
? exp
1)-
1) x
(0
< x <
7!)
(-(211
- - 1)
4
1) sm. (211 - 1)
2
Exercises 6.4
In Problems 1 through 5, reduce the problem to one involving homogeneous boundary
conditions and then find the solution.
l.
u1
2.
11 1 -
kuxx
236
Clzap. 6
3.
11, -
4.
u, - uu
5.
+ hu
0, 11(71, t) =
0, uJL, t)
(J)
= cos UJt.
J.
6.
u, - ku'"' = e-x
u(x, 0) = f(x)
(0 ~ x ~ n)
un,
11(0, t) = 0,
t) = 0
= f(x)
(0 ~ x ~ n)
(A a constant)
u, - kuxx = g(x, 1)
(0 < x < L)
u(x, 0) = 0
u(O, I)
= 0,
u(L, t)
h(r)
(I
>
0)
9.
uO,
(Duhamel's Principle)
1 (x, I) == s~
u(x. I -
= 0
> 0)
(t > 0)
ux(L, 1) = 0
I) = h(I),
u(x, 0)
10.
(0 < x < L,
kuu = g(x, I)
11 1 -
(0 < x < L)
6.
We now consider the problem of heat flow in an infinite rod without heat
source, whose lateral surface is thermally insulated. This problem leads to the
initial value problem
(6.1)
(6.2)
u, - kuu
u(x. 0) =
f (x)
( -
Cl)
< x <
Cl),
t > 0)
(-oo<x<oo)
for the heat equation. We shall solve this problem by means of the Fourier
transform presented in Chapter 5.
We suppose that the problem (6.1), (6.2) has a solution 11, which has the
property that 11, 11,, ux, and uu are all piecewise smooth in x and t, and absolutely
Sec. 6
237
integrable in x for - oo < x < oo. Then, according to Theorem 8.1 of Chapter
5, the Fourier transforms of all these functions exist; in particular, we have
(6.3)
U(s, t)
J~n
J:
u(x, t)e-i.sx dx
00
and
J
00
u(x, t) =
(6.4)
v 2n
U(s l)ei.sx ds
-oc
. '
Thus, if we can find the transform (6.3), then the solution of the problem will
be given by the formula (6.4).
To determine the function U, let us differentiate (6.3) with respect to t and
use the differential equation (6.1) to obtain
au
(6.5)
ot
1
(s, t) = - -,=
J2n
k
,/2;
J~
00 u,(x, t)e-isx dx
J:
uxix, t)e-isx dx
00
Note that because 11, and 11.u are absolutely integrable on - oo < x < oo for
all s and t > 0, differentiation with respect to t under the integral sign is valid.
Integrating by parts twice the last integral above, we have
au
k
.
---;;- (s, t) = -r (uxe-sx
ot
--.J2n
ks2
- ---=
J2n
Joo u(x,
-oo
au
-~ - (s,
ct
. 1 oc
isue-sx):
i-oo
. dx
t)e-sx
lxl
-->
t) = -ks 2 U(s, t)
U(s, 0) =
(6.7)
~l~n
J:
u(x, O)e-isx dx
00
'\/ 2n
= F(s)
238
Chap. 6
U(s, t)
(6.8)
F(s)e-" 21
u(x, t) =
(6.9)
1.
, 2rr
I"'
"-
F(s) exp( - ks 2 t
+ isx) ds
oc
u(x, 1)
J~
G(x - (.
t)fm
d(
00
where
(6.11)
G(x, t) = 1
II"
exp(isx - ks 2 t) ds
2rr _"'
The integral on the right of (6. I I) can be evaluated as follows: By using the
Euler formula
= cos x + i sin x
eix
(6.12)
G(x. t) =
II"'
2rr
e-ks''(cos sx
i sin sx) ds
.. - oc
where the functions e-ks ' cos x and e-ks ' sin sx are both absolutely integrable
on - oo < s < oo, uniformly in x and t for t > 0. Since e-ks'r cos sx is even
ins and e-ks 21 sin sx is odd. it follows that
oc
J
-
e-ksir sin sx ds = 0
00
I
2rr
1
J[
Sec. 6
239
= s, k1, we obtain
,_;rr
2
e-x'/4kt
so that
1
G(x, I) =
rr
f"'
e-k>'r cos sx ds
(6.13)
u(x, t) = - 11'---2vrrkt
J'"'
exp ---
4kt
-x
G(x -
(, t)
(-(x -
exp - - c)
2,i rrkt
4/.:t
1
..
2
)
(t > 0)
is called the fundamental solution or the Green's function for the heat equation
in the infinite domain - oo < x < oo, t > 0. Physically, the Green's function
(6.15) represents the temperature at a point x at time I due to a concentrated
heat source at a point at time zero.
It is easily verified from (6.15) that (i) G has continuous partial derivatives
of all orders with respect to x and t for - oo < x < oo, I > 0, and satisfies the
heat equation for all x and I > 0, provided x # ( (see Problem 2, Exercises
6.1); (ii) G is continuous at x = (; (iii) G vanishes as !xi -> oo for t > 0; (iv)
G has the property
f~0
G(x -
(, t) d(
and, finally, (v) G is symmetric with respect to x and (. These properties are
analogous to those of a Green's function for an ordinary differential equation.
Now, to verify that (6.14) actually gives a solution of the problem (6.1),
(6.2), it is enough to require that f be continuous and bounded on ( - oo, oo ).
Then, for arbitrary constants L > 0 and t 0 > 0, the integral (6.14) together
with its partial derivatives of any order obtained by differentiating under the
~:
..
240
Chap. 6
u(x, t) = - l_
Jn
J"'
f(x
J4kt z)e-=
dz
-oo
Since f is bounded for all values of its argument, the preceding integral converges uniformly with respect to x and t for - oo < x < oo, t ;:::: 0. Hence,
J
00
1
Jim u(x, t) = - :
t->O"
'Ii1n
f(x)e-= dz
-oo
= f(x)
which verifies (6.2). From the boundedness off it follows that u is also bounded.
If we define u(x, 0) = f (x), then u is bounded and continuous for - oo <
x < oo, t ;:::: 0, so that by Theorem 3.4, u is uniquely determined.
Example 6.1.
Find the solution of the problem (6.1 ), (6.2) if the function f is given by
{~
/(x) =
Solution:
(x < 0)
(x > 0)
(-(x4ki-
~) )
1
{"'
u(x, t) = 2vnkt
exp --
Jo
d<;
erf(r) = }
v; Jo
u(x, t) = -1
e-zl
dz
v4kt
Then, by the Leibnitz rule, it is easily verified that this satisfies the heat equation
(6.1). Also, as t-> o+, u(x, t) _, 1 if x > 0, and u(x, t) _, 0 if x < 0. At
x = 0, we have u(O, t) = I /2, which is in accordance with the theory of Fourier
integral transform, since f has a jump discontinuity at that point.
In the case of the initial value problem
(6.16)
U1 -
kuxx = h(x, t)
u(x, 0) = 0
( - 00
< x <
00'
t > 0)
(-oo<x<oo)
Sec. 6
241
which involves the nonhomogeneous heat equation, the method described above
leads to the differential equation
U,
(6.17)
+ ks 2 U
H(s, t)
(6.18)
If z
, 2n -
11.
From (6.3) and the initial condition in (6.16). we see that U(s, 0) = 0. By
solving the differential equation (6.17) with the initial condition U(s, 0) = 0,
we thus find
U(s, t) =
(6.19)
J~ e-' 1' 11
-r
H(s, r) dr
(6.20)
Tl
u(x, t) =
v 2n
oc
(6.21)
u(x, t)
J' Jx
0
G(x - (, t -
r)h(~,
r) d( dr
- ""
where, by (6.13),
G(x - ~, t - r)
I
2n
J"'_
exp(is(x - () - ks 2 (t - r)) ds
oc
2, 1 nk(t - r)
is the Green's function for the problem.
To verify that ( 6.2 J) gives the solution of (6.16), we assume that his continuous
and bounded for all x and t ~ 0. Then, for 0 < r < t, we know from the
previous case that the function
w(x, t; r)
f"' G(x
. - "'
(,I -
r)h(, r) di;
/.;11.u
1r(x, r: r) = h(x, r)
242
('hap. 6
Exercises 6.5
I.
lixx
11(x.
2.
(-oc<x<x,l>OJ
(' ixl
OJ
X)
>
0)
{1
ix1
:s:
L)
lo
( x > /_)
0
11(.r. 0)
( - X
< x <
-')
erf x =
\
3.
f'X
7l
!'- '
ds
.. 0
kuu
11(x,
OJ
CIJ' I
> 0)
{A
(x
< 0)
\B
(x
> 0)
( - 00
< x <
4.
Show that if the function fin (6.2) is odd (or even), then the solution (6. 14) is
also odd (or even) with respect to the \ariable x. Thus, deduce that 11(0, I) = O
(or 11x(O. I) = 0).
5.
\'erify the result in Problem 4 \1 ithout resorting to the formula (6. 14) and using
only the fact that a solution of the problem (6. 1), (6.2) is uniquely determined.
6.
( - x < x < x.
11(x.
11(1. 1) ~
0)
> 0)
(-w<x<x)
t 2 '2.
~ields 11(x. r)
11(x. 0)
= 1 --
!'-'.
11(.1', I, T)
// 1
u(x. 0, r)
and set
r(x, t)
> 0)
kun
(-x<x<oc)
f~
< x < x,
>
( -
f(x. r)
(- x
(- x
11(x, I -
CIJ
0)
r, r) dr
kt'.n =
l'(x. 0)
= 0
(x, t)
Sec. 7
9.
243
OJ= /Ix)
11(.1.
1
I )e ",
11
(-:x:
> 0)
< x <
:X:)
is given by (6.14).
IO.
11.
By using the result of Problem 9 and the corresponding Duhamel's principle for
the differemial equation, obtain the solution of the initial value problem
r(x,
11 1
k11_u
'111
= /(x,
t)
( - oc
<
<
02, t
> 0)
u(x. 0) = 0
( - oc < x < oc ; h
7.
= canst > 0)
u, - ku'-' = 0
(7.1)
(x > 0, t > 0)
(7.2)
11(x, 0)
= f (x)
(x ?: 0)
(7.3)
11(0, t)
= 0
(t ?: 0)
X"
l.X = 0,
X(O)
(7.4)
U,(s, t) =
(n,2)
1/2
f"'
u(x, t) sm sx dx
exists and
(7.5)
u(x, t)
2')1,2
( 7[,
Joc
0
UJs, t) sin sx ds
244
Chap. 6
Here, Us does not mean the partial derivative of U with respect to s. Following
the procedure described in the preceding section, we proceed to find the transform Us or our solution. Once this function is found, then our solution is given
by (7.5).
By differentiating (7.4) with respect to t under the integral sign and using the
differential equation (7.1 ), we have
au s (s,
ct
t) =
(2):"
1 2
1
112
k (.;)
{"
u,.Jx, t) sin sx dx
cU
-
(7.6)
ct
(2)
(S, t)
1/2
k ;
(llx sin sx
ks 2
(n,2)
-
1/2
J"'
u(x, t) sin sx dx
ff we assume as before that u and ux vanish as x --+ oo, then because or the
boundary condition (7.3), the boundary terms on the right of (7.6) vanish,
and by (7.4) we are led to the differential equation
cl/
- (s,
5
(7.7)
ct
t)
+ /.:.s 2 U,(s, t) = 0
.
for the function Us. Let us assume that the function f in (7 .2) is piecewise
smooth and absolutely integrable on (0, oo ). Then, from the initial condition
(7.2) and (7.4), we find
U,(s, 0)
.t
2)1;2 oc
= (;
u(x, 0) sin sx dx
(7.8)
(n.
= F,(s)
which is the Fourier sine transform of the function
(7.7) that satisfies the initial condition (7.8) is
(7.9)
U,(s, t)
f.
F 5 (s)e-k 521
u(x, t) =
Ji.
(7.10)
c r"
.3
d~
ds
Sec. 7
245
}[cos s(x -
- cos s(x
)]
and formally interchange the order of integration. we can write (7. l 0) in the
form
(7.11)
u(x,
n=
. --
2, nf\1
J, Ir
4k1
in which we have used the resu It (6.13 ). In this form, it can be verifled that u
is the solution of our problem under the weaker condition that f is continuous
and bounded for x ~ 0 with f(O) = 0.
We remark that the solution (7.1 I) of our problem (7.1), (7.2), (7.3) can also
be obtained by extending the initial datum fin (7.2) as an odd function for
- oo < x < oo and then solving the resulting initial value problem by the
formula (6.14). [See Problem 4, Exercises 6.5.J Using the fact thatJ(-x) =
-f(x), the solution as given by (6.14) then reduces to (7.11). Observe that this
is precisely the method we employed in Section 6 of Chapter 3 for finding the
solution of an initial-boundary value problem for the wave equation. The
method works because both the wave and the heat equations remain unchanged
in form when the variable x is replaced by - x.
In the same manner, we can find the solution of the problem (7.1 ), (7.2)
with the boundary condition
u)O, t)
(7.12)
(t ~ 0)
by extending the function fas an even function for - w < x < oo.
case, the solution is given by
(7.13)
u(x, t)
_l_
2,' rrkt
f"'
0
lexp(_-_(x 4kt
02)
+ exp(:-(x +
4kt
In this
)2) l f(() d
J
We note here that to solve the problem (7. l ), (7 .2), (7 .12) by the method of
Fourier transform, it will be necessary to employ the Fourier cosine transform
of the solution u. This is also the case even in the more difficult problem where
the boundary condition (7. l 2) is nonhornogeneous. We illustrate the procedure in connection with the problem
u, - ku'-'
= 0
u(x, 0)
= 0
(x ~ 0)
uAO, t)
= h(t)
(1
(7.14)
(x > 0,
> 0)
~ 0)
uces, l)
'')) J/2
( ~
/.,
..,...,_
246
Chap. 6
au,
- (s. I )
ct
Uu(X,
2)
(
k -
!2
SX
(u, cos sx
su sin sx)'
'IT.
- ks
oc
'0
(~)
112
{''' u(x, t) cos sx dx
Under the assumption that u and llx vanish as x --+ oo, and taking note of the
boundary condition in (7.14), this leads to the nonhomogeneous differential
equation
(7.16)
cu
~-
ct
(s, t)
ks 2
uces, t)
= -k (2)1/2
h(t)
n
The solution of this equation that, by the initial condition in (7.14), satisfies
the condition U,(s, 0) = 0 is given by
(7 .17)
UJs, 1) = -k
(D 112 J~ e-ks"(t-T)h(T)<h
('IT
(7.18)
- 21
__'.:
'IT
f"" f'
0
1f we formally interchange the order of integration and use the result in (6.13),
this formula simplifies to the form
(7.19)
u(x. I) = -
'IT.
'\l-T
This can be shown to provide the solution or the problem (7.14) under the
assumption that h is differentiable for t :2:: 0.
We remark that we cannot verify that (7. J 9) satisfies the boundary condition
of (7.14) by simply differentiating (7.19) under the integral sign and setting
x = 0. In fact, such a formal manipulation would lead to the false result
u)O, t) = 0. We illustrate the situation in this case by means of the following
example.
Sec. 7
Example 7.l.
247
II_\-.\
OJ
11L1,
(_\
> 0, t > 0)
(x .2: 0)
11)0. I)
Solution:
( t .2: 01
1 T:
On setting z
x. \ 411 -
,.,
I
C';fl( -- X 2 /4(t
T)
I lfT
\f-r
,O
e~z2
,,,'l.
II(\". I)
J,.
7[
dz
_2
'41
11).\", /)
7I
nl
4r
11,(x, I)
\
7'.'{
I
,r; ( --- e- :')
--
X, '\
..
4f
2x
41
'
\ ,,
2x
\
Jy
I'"/
1,4,
e
~:2
dz
:' d::
X,'- 41
Then
u)x.
I)
l, since
Jg e-=' d::
Exercises 6.6
I.
(a) Obtain the solution formula (7. 11) from (6.14) by extending the function fin
(7.2) as an odd function for - T < x < T ..
(bl Obtain the solution formula (7.13) of the problem (7.1), (7.2). (7.12) by
extending the function fas an el'en function for - 'XJ < x < C1J.
Chap. 6
248
2.
3.
4.
11(\", 01
:re-x
(x 2: OJ
11(0, /)
(t 2: 0)
11, -
(x
> 0.
> 0)
(a > 0, x 2: 0)
(! 2: 0)
5.
kuu: = 0
11(x, 0)
(x > 0, I > 0)
(x > 0)
11(0, I) = A
(A a cons tan!; t
> 0)
and express !he solution in terms of the error function. Verify that it gives the
solution of the problem.
6.
(x > 0, I > 0)
OJ= 0
(x 2: 0)
ku'"'
11(.1.
11(0, I)
7.
h(t)
(t 2: 0)
11)0, t)
8.
(x 2: 0)
(I 2: 0)
lz(t)
ku'"'
/111 =
11(.\, 0) =
0
f(x)
11)0. /) = 0
9.
10.
(x > 0, t > 0)
(h = const
> 0)
(x 2: 0)
( f 2: 0)
Obtain the solution of Problem 8 from the resull of Problem 9, Exercises 6.5,
by extending the function fas an even function for - oo < x < oo.
Find the solution of the problem
11, - kuu
bu
0
(b
11(x, 0)
(x 2: 0)
11(0, f)
h(t)
(t 2: 0)
Sec. 7
1 l.
249
kuu
u, -
bu = f(x, t)
(h = canst
u(x, 0) = 0
ux(O, t) =
12.
(x ~ OJ
(t ~ 0)
h(t)
By using the Fourier cosine transform, obtain the solution of the problem
l/ 1
kuu
fll =
(x
> 0, t > 0)
u(x, 0) = e-x
11x(O, t)
13.
> 0)
(x
= 0
0)
(t ~ 0)
(x > 0, t > 0)
kuu = 0
11 1 -
11(x, 0) =
u/O, t) - hu(O, t)
f (x)
0
(x ~ 0)
(h
= const > O; t
0)
Hint: Let v(x, I)= u/x, I) - h11(x, t). See Problem JO, Exercises 6.1.
14.
(x > 0, t > 0)
k11xx = 0
u(x, 0) = 0
15.
ux(O, t) - hu(O, t)
g(t)
+ bu
(x
0)
t ~ OJ
kuxx
(x > 0, t > 0)
11(x, 0) = f(x)
llx(O, f) -
16.
h11(0, t) = 0
(x
0)
(t
0)
= 0
u(x, 0) = 0
(x ~ a)
11(a, t) = A
(A constant; t ~ 0)
llxx -
llx
".
Chapter
Laplace's Equation
This equation serves as the prototype for elliptic differential equations in much
the same way as the wave and the heat equations do for hyperbolic and parabolic
differential equations, respectively.
1.
In order to sec how Laplace's equation may arise in a physical problem, let
us consider the temperature distribution u in a uniform thin plate occupying
a domain D in the xy-plane (Fig. 7.1 ). We assume that D has a continuous
boundary C. By making assumptions similar to those made in deriving the onedimensional heat flow equation, it can be shown that the temperature distribution u on the plate satisfies the homogeneous equation
(1.1)
l_u _
ct
(c"u
- '
ex"
O~u) =
+ oy-.
- '
250
Sec. I
--ur
--------
-----
FIG. 7-1
251
(1.2)
which is the two-dimensional Laplace's equation.
If there is a heat source in D, the temperature function u will satisfy the nonhomogeneous heat equation
(1.3)
cu
ot
- k
(c -- u + o u)
2
.iJx 2
ox 2
f(x, \' t)
. ,
Consequently, vvhen the heat flow is steady so that f does not depend on I,
(1.3) reduces to the nonhomogeneous Laplace\ equation
(1.4)
q(x, y)
.f (x' y)
k
Equation (1.4) is known as Poisson's equation. Both equations, ( 1.2) and (1.4),
are prominent examples of elliptic differential equations that are of great
importance in mathematical physics. We shall often write these equations in
the compact form '1.u = 0 and '1.u = q, where i1. denotes the Laplace's operator
From the preceding discussion, it appears that in a steady state, the temperature distribution in a uniform heat-conducting body satisfies Laplace's equation.
Correspondingly, when there is a known heat source, the temperature function
satisfies Poisson's equation. From this physical consideration it seems natural
"l!J; ..
Laplace's Equation
252
Chap, 7
to consider boundary value problems for the Laplace's operator rather than
initial value or initial-boundary value problems. As a matter of fact, boundary
value problems are typical for elliptic differential equations because initial
value or initial-boundary value problems are in general not well posed for this
type of equation. In this connection, let us examine an example devised by
Hadamard for the Laplace's equation. Consider the following initial value
problem:
Un
(1.5)
= 0
UYY
(-
11/x, 0)
00
<
<
00, )'
> 0)
u(x, 0) = 0
e - ,';, sin nx
u(x, y)
1!11
ll
= 0
in D
=f
on
OU
Oil
=f
Sec. 2
253
au
_
(1.9)
hu = g
l'/1
2.
(2.1)
and
(2.2)
w=.f-f=O
on C
254
Laplace's Equation
Chap. 7
(2.3)
II
Setting
ii -
~I' ds
(II
rr
D
(11 !11
11,rx
uyi-.J dx dy
11~) dx
r in (2.:\). we ha\e
(2.4)
.c
11:
dr
<
11
JJ
(2.5)
(w:
11 1
11 2
for
\\~.) dx
11
dy
"'111 = 0
(l/
in D.
=f
on C
C/1
(2.7)
ll' =
11 1 -
11 2
will be a
on C
Applying the identity (2.4) to the function l l and using (2.7), we are again
led to the conclu;,ion that 1r must be constant in D + C: that is. ll'(x. t) = K.
ln thi, case. ho\\ever. it Lannot be e:;tablishecl that K = 0. since w does not
ncce-;sarily \anish on C. Therefore. \\e can have only
which says that any t\\O solutions or the problem (2.6) differ by a constant.
We state this result as our second theorem.
THEORE\I 2.2 A solution of the Xeumann problem (2.6) is unique up to an
additire constant.
(2.8)
'111 = 0
in D.
Cl/
en
/111
on C
Sec. 2
255
211
/11\'
= 0
or
C\\'
(2.9)
-hw
on C
011
-L
hll' ds =
JJ(w; + II';.) dx dy
D
Since h ~ 0 on C, the term on the left of (2.10) is not positive and the term on rhe
right is nonnegative. Therefore, both terms must be equal to zero, and so
JJ(\\'; + 11~) dx dy = 0
D
0 in
THEOREM 2.3
(2.11)
I
c
cu
~
ds
l/1
II j t.i1
dx dy
Thus, if the problem (2.6) has a solution u, then application of (2.11) yields
(2.12)
?u
~ ds =
c en
J'
f ds =
This shows that if the problem (2.6) is to have a solution, then the integral off
over the boundary C must vanish. Jn terms of our physical interpretation of the
problem, condition (2.12) simply says that in a steady-state heat flow, the net
supply of heat at the boundary of D must be zero.
Jn the case where problem (2.6) involves Poisson's equation, !J.u = q in D,
application of (2.11) gives the necessary condition
(2.13)
JJq(x, y) dx dy
D
L
f
ds
Laplace's Equation
256
Chap. 7
Exercises 7 .1
1.
Reduce the Dirichlet, the Neumann, and the Robin problems for Poisson's
equation to a problem involving Laplace's equation and indicate the corresponding boundary conditions.
2.
Show that if
11
rn
011
then
fi.u
q(x, y)
in D
+ hu
on C
(x, y)
f ds -
hu ds =
ff
q dx dy
/)
3.
/!;u
4.
k11 = q(x, y)
II = f(x, y)
in D
on C
.i.
ifk-~
/!;u
ku = q(x, y)
(11
(;17
in D
= f(x, y)
on C
= q(x. y)
in D
5.
611
(II
CII
/, ll
+ hu =
f(x, y)
on C
6.
L Li =
_ c ( .\. 2 cu)
ex
ex,
Li
+
= 0
.c
cy
(e' ~u)
in D
oy
on C
0 throughout D.
Hint: Consider 11L11 = (C/cx)(x 2 1111")
2
(e'"1111,.) - x u; - e,.u~ and use Green's theorem.
then u
+ (a/oy)
Sec. 3
7.
[(!
ex
in D, !, :2: 0. and
8.
257
11
x )11,]
= f(x.
y)
[(I
(y
y )uy]
ku
q(x, .J)
C.,,u =
II
C II
(;II
= f(x,
h11 =
in D
q(.r, y)
on C 1
y)
on C 2
III
(11
C.,,i- +
llxLx
+ 11,r,. +
ll:l':)
dV
If
Note
II::; ds
3.
THEOREJ\13.1
(3.1)
+ C and
in D
258
Chap. 7
Laplace's l:q11atio11
This contradicts the fact that 11 satisfies (3.1) in D. Therefore, a function continuous in D + C and satisfying (3.1) attains its maximum value on C.
Now suppose that 11 is a harmonic function in D and continuous in D + C.
Let .\f denote its maximum value on C and consider the function
1(x.
y) = u(x, r)
1:(x
y )
Hence, by the previous result, the maximum value of vis attained on C. Thus,
at any point in D, we have
i;R
on C
+ C.
c(x, y) -
cR
D --+
THEORE\l
lu - rl :::;:
in D
Sec. 3
259
Exercises 7.2
1.
x = r cos. 0,
2.
.x
(r2
II
y)
tc 0.
3.
'
il(r, 0) = f(r)
u(a, ()) = 0
u(r. b) = 0
(u is bounded for r 2:
),
11
!1il = 0
u(r, 0) = 0
(r > 0)
u(r. b) = f(r)
(r > 0)
+ v,111
==
(-w
r(,;, 0) = 0
(-
r(,;, h) = /(e- 0 )
a:;
5.
6.
Let 11,
that if
11 :::;
7.
8.
9.
Let u be a solution of
!lu - hu = 0
11
in D
Laplace's Equation
260
Chap. 7
11.
Show that if
0 in
11
4.
11
11
is continuous in D
S, then
11
Beginning with this section we shall consider solutions or the Dirichlet and
Neumann problems for the Laplace's equation in simple domains such as a
rectangle and a disk. It will be seen that for this type of domain, the method of
separation of variables can be used to obtain a solution of the Dirichlet or the
Neumann problem. We first consider in this section the Dirichlet problem in a
rectangular domain R (Fig. 7.2): 0 < x < a, 0 < y < b. We seek a solution
of the Laplace's equation
(4.1)
u'-'
uYY
= 0
in R
u(O, y)
= 0,
u(a, y)
= 0
u(x, 0)
= 0,
u(x, b) = f(x)
(0 ::;; y ::;; b)
(0 ::;; x ::;; a)
This problem may be interpreted physically as finding the equilibrium temperature throughout a thin rectangular body R when its sides x = 0, x = a,
y = 0 are kept at zero temperature and the sider = b is maintained at given
temperature distribution j(x), 0 ::;; x ::;; a.
II = (I.\ I
Io. hi
"
II=
II=
--~------------...__
FIG. 7-2
II=
____ x
"
Sec. 4
261
In accordance with the method of separation of variables, we assume nontrivial solutions of (4.1) of the form
u(x, y) = X(x) Y(y)
(4.3)
Y"
= - - = -).
y
X"
Y" - l.Y = 0
0,
).X =
X(O) = 0,
(4.5)
X(a) = 0,
Y(O)
Thus, the function X and Y must be determined from the now familiar eigenvalue problem
(4.6)
X"
l.X
X(O) = 0,
0,
X(a)
(4.7)
11
= 0,
Y" - l.Y
Y(O)
= 0
x,, ( x )
For each /. 11
. nn
5111 -
(11
1, 2, ... )
(11
1, 2,. .. )
(11
= 1, 2,. .. )
. h
5111
117[
= Sln
11
~~ sinh 11_7:f}'
a
(4.8)
u(x, y)
L
,,~
c,,
nrrx .
s111 -
nny
a
s111h -
262
Laplace's Equation
Clrap. 7
where the coefficients c,. are constants yet to be determined. Formally setting
= band using the boundary condition in (4.2), we obtain
J(x) = u(x, b)
(4.9)
11=
ro
11
b sin ~~
L:
n=
II
where
,
mrb
(4.10)
(11 = 1, 2, ... )
The last expression in (4.9) is the Fourier sine series expansion off over (0, a),
and therefore
b11
(4.11)
= 2-a
s .
(n
1, 2, .. ')
~
1....
y.) =
U(X
'
11=
b sinh(nrrJ/a) . nnx
- Sll1
"sinh(nnb/a)
a
for the solution of the problem (4.1 ), (4.2). The coefficients b" are given by
(4.11).
If we assume that f is continuous, piecewise smooth on 0 :::;; x :::;; a, and
vanishes at x = 0 and x = a, we can verify that (4.12) indeed gives the solution
of our problem (4.1 ), (4.2) by the same method used in Section 4 of Chapter 6.
Notice that the inequality
sinh(mry/a)
sinh(nnb/a)
e""Yi -
e-,,ny/a
e""b a -
e-irnb a
e
:::;;
- 1m(b - y),'a
e - 2ny 'a
---,---:---
J -
1 -
e-.11rrb;a
e-1m(b-y)'a
----1 - e-2rrb:a
may be used to prove uniform convergence of the series (4.12) and the secondorder partial derivatives of that series with respect to x and y for 0 :::;; x :::;; a,
0 :::;; y :::;; J'o with any Jo < b.
The general Dirichlet problem
llxx
( 4.13)
= 0
in
u(x, 0) = f 1(x),
u(O, y) = f3(y),
llyy
R
u(x, b)
u(a, y)
= f 2 (x)
= f4(y)
(0
< x < a)
(0 < y < b)
Sec. 4
263
in the rectangular domain R can be solved by superposition of the four functions u 1 , u 2 , u 3 , and u4 , where each u; (I ::::; i ::::; 4) denotes the solution of (4.13)
when all boundary data, except f;, are zero.
Example 4.1. Find the solution of the problem (4.1), (4.2) when R: 0 < x < n,
0 < y < n, and /(x) = sin 3 x.
Solution:
:i sin x - {
sin 3x
so that from (4.9) we see that b 1 = 3/4, b 3 = - 1/4, and b" = 0 for all other
values of 11. Hence, by (4. 12), the solution is
3 sinh y .
I sinh 3y .
u(x y) = sm x - -- sm 3x
'
4 sinh n
4 sinh 3n:
The general Neumann problem for the Laplace's equation in the rectangle R,
Uxx
u\')"
= 0
uy(x, 0)
(4.14)
in R
f(x),
u/x, b) = h(x)
ux(O, y) = k(y),
ux(a, y)
g(y)
(0 ::::; x ::::; a)
(0 ::::; y
b)
can also be solved in the same manner, provided the boundary data satisfy
the necessary condition (2.12), which means in the present case that
(4.15)
J:
[f(x) - h(x)] dx
I:
[g(y) - k(y)] dy = 0
u,.(x, 0)
0
x -
u,.(x, n:) = 0
(0 :S x :S re)
llx(O, y) = u,(n:, y) = 0
(0 :S y :S n:)
Solution:
/(x) = x -
X'(O) = 0,
X" +IX= 0,
X'(n:) = 0
for the function X. This has the eigenvalues A." = n 2 and the corresponding
eigenfunction X"(x) = cos nx, 11 = 0, 1, 2, . . . . For each eigenvalue )," = 11 2 ,
the initial value problem for the function Y,
Y" -
11
0,
Y'(n:) = 0
Laplace's Equation
264
+L
A0
11(x, y) =
Chap. 7
n) cos
nx
x-
- :E"'
71
n=l
00
:E
G 11 COS /IX
n=l
where an = -nA" sinh 1111, n = 1, 2,.... In view of the fact that .fO (x (11/2)) dx = 0, we see that the constant term a 0 in the Fourier cosine series
expansion of the function /(x) = x - (11/2) is zero. Therefore, the series given
above is precisely the Fourier cosine series of the function, and so
an
f(
~)
x -
2 ( -1)" -
cos nx dx
(n =
1, 2, ... )
(k
1, 2, ... )
71
Hence,
2 (- l)n - 1
A,,
11 11
sinh
1111
or
Aik-1
4
I )3 sinh(2k - I )11
--
11(2k
+ ~
11 k= 1
~sh( 2 k - l)(y 3
71
(2k - l ) sinh(2k -
cos nx
1)11
Exercises 7 .3
1.
u(x, 0) = f(x)
(0
u(x, b) = 0
(0
u(O, y)
u(a, y)
sin(11x/a).
(0
s
s
s
x
x
s
s
s
a)
a)
b)
Sec. 4
2.
265
By interchanging the role of x and y, deduce from (4.12) the solution of the
problem
!1.u = 0
(0 < x < a, 0 < y < b)
11(x, 0)
11(0, y)
=
=
u(x, b)
(0 :S x :S a)
u(a, y) = _q( y)
0,
(0 :S y :S b)
3.
!1.u = 0
u(O, y)
4.
= 0,
u(x, n) = 0
(0
:S x :S n)
= sin
(0
:S )' :S 7!)
u(n, y)
2y
!1.u = -1
u(x, 0)
11(x, n)
= 0
u(O, y) = u(n, y) = 0
(0 :S
:S 7!)
(O
:S n)
:S
w(x, y) =
5.
11,.(x, 0)
u(O, y)
u(x, y)
=
=
sin x
(0
11(x, I) = 0
(0 :S x :S n)
11(n, y) = 0
(0
s:
s:
I)
=
0) =
!111
u(x.
ux(O, y)
7.
6.
x)
111.(x,
= 0,
x -
l) = 0
(0 :S x :S I)
11(1,y) = 0
(0
:S y :S
I)
= 0
0) = 0,
!111
u(x,
u(O. y) = 0,
- u(y,
u(x, a) =
- f(x)
u(a, y) = f(y)
(0 :S
:S
a)
(0 :S y :S a)
8.
Use the result of Problem 7 to find the harmonic function for the right isosceles
triangle bounded by the lines y = 0, x = n, x = y which satisfies the boundary
conditions
u(x, 0) = 0,
u(n, y) = sin 3 y,
u(x, x) = 0
9.
Find the harmonic function for the right isosceles triangle of the preceding
problem which satisfies the boundary conditions u,.(x, 0) = 0, u(n, y) = /(y),
(cu/cn)(x, x) = 0.
Laplace's Equation
266
10.
1'111 - hu = 0
u(x, 0) = 0,
u(O, y) = 11(n,
I 1.
= f(x)
u(x, rr)
y)
(0
= 0
:S x
<:: re)
(0 :S y :S re)
assuming that
sg g( y)
!iu
uy(x, 0)
u,.(x, b)
llx(O.
12.
Chap. 7
= 0
u)a,
y) = g(y),
(0 :S x :S a)
y) =
(0 :S y :S b)
dy = 0.
!iu
u/a,
ux(O, y) = 0,
u,.(x, 0)
= f (x),
g(y)
(0 :S y :S b)
u/x, b) = 0
(0 :S x :S a)
y)
assuming that
f
13.
J:
and
f(x) dx = 0
g(y) dy =
1'111
(0 <
u.JO, y) = u_Jn, y)
= 0
(0 :S y :S rr)
!iu
ux(O, y)
= cosy,
u.x(n, y)
u,(x, 0) = 1 - 2x/n,
15.
u,.(x, 0) = x/rr,
14.
(0 <
= 0
(0 :S x :S rr)
= 0
lly(x, re)
(0 :S y :S n)
!iu = 0
u(x, 0)
uJO, y)
= 0.
=
(0 <
ux(n, y) = 0
(0 :S y :S rr)
!iu
(0
ux(O, y) = g(y),
u(rr, y) = 0
(0
u(x, 0) = f(x),
u,.(x, rr) = 0
(0 :S x :S n)
:S y :S
rr)
Sec. 5
5.
267
Let D and C denote respectively the interior and boundary of the disk x 2 +
y S: a2 (Fig. 7.3) with radius a and center at the origin. We seek a harmonic
function u in D, which assumes the prescribed values u = f on the boundary
C; that is,
2
(5.1)
in D,
FIG. 7-3
u=f
on C
y = r sin 8
r cos 8,
(0
s:
s:
2n, 0 < r
s:
a)
(5.2)
urr
I
r
+ - u, +
1
2
r
U99
u(a, 8)
= f (8)
(0
s:
s:
2n)
Thus, the problem (5.1) is reduced to the equivalent problem (5.2), (5.3), where
now the separation-of-variables method can be applied. Accordingly, we
assume particular solutions of (5.2) in the form
u(r, 8)
R(r) 0(8)
268
Chap. 7
Laplace's Eq11atio11
+ ,. ~'(r) = _
R(0
li"(r)
R(0
8"(8)
= }.
0(~
where i. is our separation constant. This leads to the two ordinary differential
equations
r 2 R"(r)
(5.4)
= 0
rR'(r) - J.R(r)
and
(5.5)
0"(0)
).0(8)
e,
u(r, 0
2n:)
u(r, 0)
(5.6)
0(-n:) - 0(n:) = 0,
0'(-n:) - 0'(n:) = 0
for the function 0. Equation (5.5) together with the conditions (5.6) constitute
an eigenvalue problem [Problem 15, Exercises 4.4] for which the eigenvalues
are J. = n 2 , n = 0, I, 2, ... , and the corresponding eigenfunctions are
When ),
and when /. = n 2
11
= A 0 + B 0 Jn
u"(r, 0) = A 0
B 0 In r
(A"r 11
Sec. 5
269
the logarithmic term and the terms involving negative powers of r. We therefore choose B" = 0, 11 = 0, I, 2, ... in (5.7) and consider the infinite series
u(r, 0) = 1Xo
(5.8)
+ /3
11
sin 110)
11=
where we have relabeled the constants. To determine the constants 1Xo, IX",
and {3 11 , 11 ~ 1, we set r = a and apply the boundary condition (5.3) to obtain
= ~o +
f(O)
(5.9)
f
11=
a"(1X 11 cos:o
+ /3
sin nO)
11
This is the Fourier series expansion off on the interval [ -rr, rr ], for which the
coefficients are given by
I
11
a" = a cx 11 =
II"
j"
rr - rr
(5.10)
b11 = a"/3 11 =
(11 = 0, 1, 2, . ' . )
(n
rr - rr
= 1, 2, ... )
u(r, 8)
a0
11
"' ( ,.)
+ L
-. (a
11=
11
cos 110
+ b"
sin 118)
where a11 and b11 are the Fourier coefficients off on [ - rr, rr ], given by the
integrals in (5.10).
Formula (5.11) together with (5.10) gives the solution of our problem (5.2),
(5.3). To verify this, we now assume thatf is continuous, piecewise smooth, and
periodic of period 2rr on [ -rr, rr]. Let
M =
so that Ja 11 I
M and
lb I s
11
f"
lf(O)I dO
M, and define
11
11 11 (r,
with u0
a,
(11=1,2, ... )
(5.12)
Laplace's Equation
270
Chap. 7
a
u(a, 0) = - 0
2
oo
11=
a,
= f(O)
n= I
,.-
- I)
n - n2]
u,, + - u, +
(r < a)
u(a, 0) = a cos 2 0
Solution:
(0 ~
~ 2n)
We note that
+ } cos
a cos 2 0 = a(~
20)
u(r, 0) =
Example 5.2.
(a + r: cos 28)
llyy
u = y2
for x 2
for x 2
y2 <
y2 = I
Solution: Considering the problem in polar coordinates, we see that the boundary
condition becomes u(I, 0) = sin 2 0 = -W - cos 20). Thus, by (5.1), we have
u(r, 0)
= HI -
r 2 cos 20)
1(1 -
x2
y2)
Sec. 5
271
Exercises 7.4
1.
/Irr
+ -
11,
= a 3 sin 3
u(a, 0)
2.
r2
11 66 = 0
(r < a)
s () s
(0
()
27T)
(r < 1)
3.
4.
u(x, y)
= .x2 ,
x2
!lu
cos 2 8
(0 S (J
2rr)
y2 = a2
u(x, y) = y
(x2
yl < 4)
(x2
y2 = 4)
5.
Show that if the boundary data/ in (5.3) is an odd function of 0 (that is,/( - {}) =
- /({})),then so is the solution 11(r, (})of the problem (5.2), (5.3)-that is, 11(r, -8) =
-u(r, 0)-and thus u(r, 0) = 0 and u(r, rr) = 0. Hint: Set z;(r, (}) = u(r, 0) +
u(r, -8).
6.
11(r, 0) = u(r, 8)
u(a, 0)
(0
= 4 sin (} cos 0
a)
(0 S 0 S rr)
7.
Show that if the boundary data fin (5.3) is an odd function of() and is periodic
of period rr, then so is the solution u(r, 0) of the problem (5.2), (5.3 ). Thus,
deduce that 11 vanishes for (} = 0, rr, and rr/2.
8.
= 0
9.
:S
a)
7r/2)
!lu
u(r, 0)
u(2. 0)
10.
(0 S r
(0
(r < 2. 0 <
= u 0 (r, rr/2) = 0
= 4 sin 3 (}
0 < T</2)
(0 < r < 2)
/111
(a < r < b)
0 S 2rr)
11(a, 0) = 0
(0 S
u(b, 0) = g(O)
(0 S (J S 2n)
Laplace's Equation
272
Chap. 7
11.
u(a, 8)
/(8)
(0
u(b, 8) = 0
(0
s
s
2n)
2n)
12.
f:i.11 = 0
u(r, 0) = u(r, n) = 0
(a S r
u(b, 8) = f (8)
u(a, 8) = 0,
(0
s
s
b)
n)
13.
f:i.u = 0
u(r, n) = 0
u(r, 0) = /(r),
u(a, 8) = u(b, 8) = 0
Hint: ri~ =
(a
(0
s r s
s 8 s
b)
n)
cos(). In r) + i sin(), In r ).
eii. ln' =
14.
f:i.u = 0
uo(r, 0) = 0,
ue(r, n) = f(r)
u(a, 8) = u(b, 8) = 0
6.
s
s
s b)
s 8 s n)
(a S r
(0
The solution (5.11) of the Dirichlet problem in a disk can be expressed in the
form of an integral from which we can deduce several important and useful
properties of harmonic functions. This is accomplished by substituting the
formulas (5.10) for the Fourier coefficients an and bn in (5.11). We obtain
u(r, e)
-1
2n
00
7r
(6.1)
-n
00
,.)
= -1
7r
J"
f(</J)
-,,
-1
2
_"
00
n-1
")"
(6.2)
-1 +
2
L:
n= 1
( ")"
cos n(
e-
es
n.
This
Sec. 6
273
p(cos
Cl.
I.
11=
z'1
1
"' -"
I.
11=
--
,!,
2(1
p cos rx
-
2(1 - pcosrx -
(6.3)
(I
+-
ip sin rx
-
ipsinet.)
p cos rx
.z)
ip sin rx)(I -
1 - p
p cos
p
sin
Cl.
ip sin rx)
Cl.]
2ip sin rx
2( I - 2p cos
:J.
p2)
p"(cos nrx
i sin 11C1.)
we have
(6.4)
I. -"
n=l
+ I,
11=
p"(cos
llCI.
i sin 1m)
Thus, by equating the real parts of the right-hand sides of (6.3) and (6.4), we
find
oc
(6.5)
I.
11=
p" cos
l - p2
ll'.J.
2( I
2p cos
'.J.
- + I,
]
n= l
(r)"
a2 _
cos n(O
.2
1
-
2(a 2
r 2)
(6.6)
u(r, 0)
l
2n
J"
_,, a 2
(a2 - ,.2)
2ar cos(B - >)
- f(<f>) d<f>
r2
This is known as Poisson's integral formula for the solution of the Dirichlet
problem in a disk.
We recall that in (5.11 ). f was assumed continuous and piecewise smooth in
addition to being periodic of period 2n. In the integral formula (6.6), it is
sufficient to require that f be continuous and periodic. For then the function
11 defined by (6.6) for r < a and by u(a, 0) = f(B) for r = a is continuous
throughout the disk r :s; a. Moreover, u has continuous derivatives of all
Laplace's Equation
274
Chap. 7
orders with respect tor and 13 for r < a, which can all be obtained by differentiation within the integral sign. By a straightforward calculation, it is easily seen
that the function
al _
K (a r 13 - </J) =
-, '
2rr a 2
(6.7)
,.2
2ar cos(O - )
r2
satisfies (5.2) for r < a, 0 ~ 0 ~ 2rr. Thus, the integral formula (6.6) with
u(a. G) = f(G) represents the unique solution of the Dirichlet problem (5.2),
(5.3). Frequently, this formula is more convient to use than the series (5.11 ).
The function (6. 7) is often called Poisson's kernel. This function is positive
for 0 ~ r < a, -rr ~ 13 ~ rr. Indeed, since a 1 - r 2 > 0, we see that
a2
2ar cos(O - )
r 2 = (a
r) 2
2ar[I - cos(8 - )]
=(a
r) 2
4ar sin 2 ( 8 - )
2
>0
Further, Poisson's kernel satisfies the interesting property
(6.8)
I -
I
2rr
Jn
-n
a2
-+ r2
This result follows from (6.6) when f(</J) = I and the fact that in such a case
u(r, 8) = I by the maximum principle.
If we set r. = 0 in (6.6), we then obtain the very important result
1
u(O, 0) = -2rr
Jn
f(</J) d</J
-n
or
(6.9)
{n
u(O, 0) = I u(a, ) ds
2rra.-n
since u(a, </J) = f(</J) and ds = a d</J. This formula expresses the well-known
mean-value property of harmonic functions. Let us state this property as a
theorem in a more general setting.
THEORE:\l 6.1.
p sin 8
(0
2n)
Sec. 6
275
with pole at (x, y). Applying the identity (2.11) to the domain D,, we obtain
(6.10)
f" ~~-
(x
r cos (}, y
JJf..up dp d8
D,
CU
lrr
(6.11)
or
(x
r cos 8, y
r sm 8) d{)
= 0
Let us set
lrr
(6.12)
U(x,y;r)=
u(x+rcos(},y+rsinO)dO
J
0
Since u and its derivatives are continuous in D,, so is U together with its first
derivatives. It follows that we can calculate cU /er by differentiating (6.12)
under the integral sign. In view of (6.11), we find
cU
~ - =
or
2"
cu
~ (x + r cos 8, )' + r sin 8) d8 = 0
or
(6.13)
(0 :S: r
:S; a)
= Jim
r-o
2"
0
u(x
+ r
+ r sin
8) d8
2rc
u(x, y) d(}
= 2nu(x,
y)
(6.14)
u(x, y)
= };
f"
u(x
r cos(}, y
r sin 8) d8
Laplace's Equation
276
Chap. 7
D such that 611 > 0 throughout D,. Then. applying the formula (2.11) to D,.
we find
0 <
JJ6u d~ d17
D,
I' I
/J..up dp dO
2rr
,; 0
CU
J er
2rr
r dO
o f
or Jo
rr
u(x
r cos
e. y +
r sin 8) dB
0 <
D,
THEOREM 6.2.
FIG. 7-4
If
11
attains its
Sec. 6
277
M = u(P 0 ) = I
2n
J2n u(r
,8)d8
J2n u(r
I
2n
0,
8) d8 < M
Exercises 7 .5
1.
n~ I
2.
Sill
II(
(I -
p sin t
2p
- -
COS (
p 2)
CIAi
3.
< l)
278
4.
Laplace's Eq11atio11
Chap. 7
a - r
u(O, 0) :S u(r,
0) :S -
u(O, 0)
a -
11 ~
5.
6.
Show that if the function fin (6.6) is odd with respect toy (that is, /(2rr - 8) =
- /(8)), then (6.6) can be written as
u(r, 0) =
[K(a, r, 0 -
) - K(a, r, 0
+ </JJ]/()
drp
where K(a, r, 8 - </J) is defined by (6.7). Show that this solves the Dirichlet
problem liu = 0, 0 < r < a, 0 < 8 < rr; u(r, 0) = u(r, rr) = 0, 0 :S r :S a;
and u(a, 8) = f(8), 0 :S 8 :S 7L
7.
Show that if the function/ is even with respect to, then (6.6) can be written as
u(r, 0) =
[K(a, r, 0 -
K(a, r, 8
+ </JJJ /( ) drp
which solves the Dirichlet problem for the semicircular domain 0 < r < a,
0 < 8 < rr, satisfying the conditions: u8(r, 0) = 11 8 (r, rr) = 0, 0 :S r :S a;
u(a, 8) = /(8), 0 :S 8 :S rr.
8.
Obtain from the result of Problem 6 an integral formula for the solution of the
problem
liu
(0 :S r :S a)
u(a, 8) = /(8)
(0 :S 8 :S rr/2)
9.
liu
u(a, 8)
ll
= /(8)
(0 :S 8 :S 2rr)
-I
= -2rr
10.
f"
-n
a2
2ar cos(O -
r2
rr~ 2
ff
D
D:
(x -
.;)
(y -
11) 2 :S a 2
Sec. 7
279
Let S(x, y, z; a) denote a sphere with center (x, y, z) and radius a. For each
point (, 17, (} within the sphere, introduce the spherical coordinates ~ = x +
r sin qJ COS 0, I/ = y + r Sill qy sin (}, ( = Z + r COS, Q :S qJ :S 'lr, Q :$ (} :$
2rr, r ::S a. Let 11 be a function defined on the sphere S(x, )', z; a). The integral
11.
U(x, y, z; a)
q,
dcp dO
12.
7.
(7.1)
Uu
Uyy
cu
on =f
in D,
on C
u,,
(7.2)
u,
+ ,.--:;
~u
U99
= 0
y2
(r
(a, 8) = f(8)
:::;;
a2 .
< a)
er
f"
(7.3)
f(O) dO = 0
(7.4)
u(r, 0)
Cf)
L
ll=
+ /3,,
sin 118)
f(O)
L:
+ /3,,
sin 118)
n;::: 1
(7.5)
00
I.
n= 1
Laplace's Equarion
280
Chap. 7
where we have set na"- 1 ex,. = a,. and na"- 1 /3,. = b,. for 11 ;::;. I. This is precisely
the Fourier series expansion off on the interval -n ::::: () ::::: n, with its constant
term a0 being zero because of the condition (7.3). Therefore,
Cf.fl=
(7.6)
/311
where n
= 1,
na"- 1 n
11a 11 - 1 n
17{)
d()
u(r, 0) = .ex 0 + a ~ 1
2
nn-111
00
(7.7)
f(8) cos
-rc
= ex () + a
2
n
r:1.~o
11 JJ( ) d</J
-re
11
L
11=
(r )" J"
(r) Jn
1 11
Jn
n _"
+ a
- ) d</J
-re
00
,._ 1 n a
J .f(</J) d</J
where ex 0 remains an arbitrary constant. J'\ otice that the interchange in the
order of summation and integration in (7.7) is justified, since for r < a, the
sen es
r)
(7.8)
l (.
Cf)
11=
11
cos n(8 - )
/1
IPI <I,
ro
"
p cos /lex
11=1
p2
- - - -- - 2
j
-
2(1-2pcosr:1.+p)
p cos ex --
---
p--
(1 - 2p cos a + p 2 )
and hence
00
p"-1 cos na
"= 1
The last series converges uniformly for
we find
c_os_a_-:-- _p___
1 - 2p cos a + p 2
11~! cos na
I: ,n-
d(
d(
- 2( cos a + ( 2
(cos a -
= -!
Jn(l - 2p cos a + p 2 )
(IPI <
1)
Sec. 7
281
1 1
(r)"
~ J a
(7.9)
/1
u(r, 0) =
(7.10)
~o
2
a
2rc
2ar cos(8 - )
r 2 ] d</>
where we have used (7.3) to drop the factor l/a 2 in the argument of the
logarithm.
When f is continuous and satisfies condition (7.3), formula (7.10) provides
a solution of the Neumann problem (7. l ), (see Problem 6). In accordance with
Theorem 2.2 of this chapter, this solution is unique up to an additive constant
rt. 0
/2.
Example 7.1.
OU
sin 8
on
Solution:
We note that
(r < I)
(0 :'.".:
Jorh sin 0 d8 =
8 :'.".: 2rr)
u(r, 8) = r sin 8
fl" = 0 for n
J,
au
- .
en
Solution:
= xy
x2
on x
y2 <
4
4
(i:Ju/or)(2, 8) = 2 sin 28, for which condition (7.3) holds. From (7.6) it follows
that the only nonzero coefficient in (7.4) is [3 2 = 1/2. Hence, the solution is
u(r,
8)
,.2
=
sin 20
= xy
+ C, with arbitrary
Laplace's Equation
282
Chap. 7
(7.11)
u<
r".
du
cu
dx
ax
cu
c1
dr
cy
CJ
condition~
for analytic
er
dx - -:. dy
OX
(7.12)
(X,)')
u(x,y)=
(xo,Yo)
11
('cv,, d~--:_d11
CV )
cc;
ll)
along any path lying in D that joins an arbitrary point (x 0 y 0 ) to (x, y).
Now suppose that 11 is a solution of the Neumann problem
L'lu = 0
(7.13)
au = f'
in D,
en
on C
(7.14)
CV
OS
av dx
ox ds
CV dy
ds
+ cy
-au dx
(r ds
cu dy
ex ds
cu
en
That is. the tangential derivative of 1' on C is equal to the normal derivative of
11 on C. Hence, the harmonic conjugate i of the solution of the problem (7.13)
satisfies the equation
CT
-.::- =f
(7.15)
on C
cs
r(x, y) =
(7.16)
ds = (x, y)
(xo.yo)
(7.17)
= 0
in D,
on C
where </> is given by (7.16). Having found r from (7.17), we can then determine
its harmonic conjugate u by (7.12). Because of(7.14) and (7.15), it follows that
Sec. 7
283
6u = 0
inx 2
cu
on
on x2
x2 _ y2
y 2 <a 2
yz = az
J:
a 3 sin 2fJ
2
a Jo
cos 2 d
a~in 28
2
in x 2
on x 2
y 2 < a2
y 2 = a2
8)
ar
= -
sin 28
axy
u(x, y) =
(vy dx -
dy)
Vx
(x.J")
(x dx - y dy)
a(xz -
y2)
- +
Exercises 7 .6
1.
ou = sm. z 8
er
-~~
(r
< 1)
ou
-
sm z 8
or
(r
< 1)
Laplace's Equation
284
2.
Chap. 7
"'1.11
oil
(r
2 sin 3
(0 S
IJ
< 2)
2n)
er
3.
"'1.11
cu
or
4.
(r
20
sin
(0 S
S 2n)
= 0
u,.y
Oil
en
5.
< I)
(x2
J'2 < 4)
(x2
y2
(x2
y2 < I)
(x2
y2
4)
llyy =
cu
- 3xy 2
1)
(m
6.
By differentiating (7.10) with respect to r within the integral sign, show that
OU
or
Jn
0-
K(a, r,
dJ)f( </;) d@
-n
where K is the Poisson's kernel given in (6.7), and thus deduce that
.
IIm
(II
/tOJ
r- a (: r
7.
(r < a)
fldJJ
r<P j(OJ dO
"0
0.
(b) Replace l(cp) in (7.10) by F'(q>l and integrate by parts to show that (7.10)
can be written as
u(r O)
'
8.
-a r
n
f"
.-rra
F(d,) sin<8 ~ @) d@
-2arco<;((J-<f;)+r 2
"'1.11 = 0
(11
er
(r >
a)
f(O)
(0
es
2n;
11
bounded as r
o::;)
Sec. 8
285
Show that if the function fin (7.10) is odd with respect to y, then (7.lOJ can
be written as
9.
u(r, 0) =
- a
Zrc
J"
/(ef,) In
a--- - Zar--cos(O
- )--+ r d<P
---a 1 - Zar cos(() + ) + r 2
which solves the mixed boundary value problem fi.u = 0, r < a, 0 < 8 < re;
u(r, 0) = 11(r, re) = 0; cu/or = /(8), 0 :S 8 :S re, r = a.
Deduce from (7.10) the solution of the boundary value problem
10.
!!.u = 0
OU
/(0)
or
where
8.
JO /(8) d8
(O
:S
e :S
TC,
r = a)
0.
In this section we shall consider boundary value problems for the Laplace's
equation in an infinite domain of the xy-plane. We shall again use the method
of Fourier transform, as we did in the case of the heat equation. We consider
first the Dirichlet problem in the upper half-plane y > 0, namely,
(-oo < x < oo, y > 0)
(8.1)
u(x, 0)
f(x)
We take the Fourier transform of the solution u with respect to the variable x,
treating y as a parameter. Following the by-now familiar procedure, we assume
that the problem (8.1) has a solution u that, together with its first- and secondorder partial derivatives, is piecewise smooth and absolutely integrable on
- oo < x < oo for y > 0. Then the Fourier transform of 11,
(8.2)
U(s, y) =
J~~
J:
u(x, y)e-isx dx
00
exists and
(8.3)
u(x, y) =
,A~
f:"'
U(s, y)eisx ds
Differentiating (8.2) under the integral sign twice with respect toy and using
Laplace's equation, we obtain
f~
-1
,/)_-~
f:
00
uyy(x, y)e-isx dx
Uxx(x, y)e-isx dx
00
286
Laplace's Equation
Chap. 7
= s 2 U(s,
V_Js, y)
lxl
--+
y)
(8.5)
Ci(s)e 5 Y
(s > 0)
(8.6)
Setting y = 0 in (8.2) and (8.6) and using the boundary condition given
(8.1 ), we see that
U(s, 0) = C 1 (s) = F(s)
111
where F denotes the Fourier transform off. Hence, whens > 0, (8.6) becomes
U(s, y) = F(s)e-sy
(8.7)
U(s. y) = F(s)e'Y
(8.8)
U(s, y)
(8.9)
F(s)e- lslY
-1= J
00
u(x, y)
(8.10)
, 2rr
= 1
Joo
2rr
F(s)eisx- lsly ds
- "'
JW
J"
eis(x-~)- lsJy
ds d(
-oo
-'YJ
where we have introduced the definition of F(s) and formally interchanged the
order of integrations. The inner integral with respect to s can be evaluated to
give
(8.11)
oo
2y
(x _ ()2
y2
ds
Sec. 8
u(x
(8.12)
Cl.
f"'-
y) =
'
287
JW ~ -02 + yz
(y > 0)
(x -
oc
u(x, y)
= 1
f"'2
f(x - y tan t) dt
-rr/2
. u(x, y) =
IIm
rIm -1
y~O"'
y--+O..
7f.
ir/2
(x - y tan t) dt
-rr/2
= f(x)
If we define u by (8.12) for y > 0 and u(x, 0) = .f (x) for y = 0, then u represents the unique bounded solution of the problem (8.1 ).
It should be pointed out that the requirement that u be bounded, which was
imposed in the determination of (8.9), is an essential condition if the problem
(8.1) is to have a unique solution. For we see that the function
i'(x, y) = (eY - e-y) sin x
which is unbounded for y > 0, satisfies Laplace's equation and vanishes at
= 0. Hence, the superposition of (8.12) and vis also a solution of the problem
(8.1), and so the problem does not have a unique solution.
It is noteworthy that the problem (8.1) can also be solved by considering the
Fourier sine transform of its solution with respect to the variable y. That is,
we set
(8.13)
Us(x, s)
e) + I"
u(x, y) sin sy dy
Then, differentiating (8.13) twice with respect to x and using the differential
equation together with the boundary condition in (8.1), we obtain
e)
s111
sy dy
+ sf(x) - s2 U.(x, y)
288
Chap. 7
Laplace's Eq11atio11
11
Thus, the
(8.14)
Further, we assume that u is bounded for lxl < oo, 0 < y < oo, and vanishes
as lxl -. oo. This requires that u.. satisfy the boundary condition
(8.15)
u. (x, s)
__, 0
as
lxl -.
oo
Equation (8. I 4) together with the condition (8.15) constitutes a singular SturmLiouville problem. By the method of Section 2, Chapter 4, the Green's function
(Problem 17, Exercises 4.2) for this problem is given by
;s e-six-~I
~) = -
G(x;
Therefore,
- Jae-oc f(~)G(x; ~) d~
(rr2)-''s
U,(x, s) = 11
Y 2rr
J"
J(~)e-slx-~I d~
- CYJ
Substituting this in formula (8.8) of Chapter 5 for the inverse Fourier sine
transform, we find
(8.16)
u(x, y) =
rr
s) sin sy ds
00
JC()
-oo
J
oo
e-st sin sy ds
=
t2
_Y__
+ y2
(t > 0)
= 0
u(x, 0) = f(x)
u(x, b) = 0
u(O, y) = 0
~u
(8.17)
in D
(x ~ 0)
(0
(x ~ 0)
y _:-: ; b)
Sec. 8
Thus, we set
(8.18)
289
U.,(s, y) = ;
(s > 0)
Then, differentiating (8.18) twice with respect to y and using the differential
equation, we obtain
a-::,2 u/
= -
oy
(2)-t
- Joc uxix, y) sin sx dx
n
~
s
~ 2
oy
(8.19)
s 2u s
U,(s, 0)
U,(s, b)
F,(s),
= 0
(8.22)
C(s)
F.(s)
sinh sb
and hence (8.22) becomes
(8.23)
u ( x, y ) = -2
n
Ix
0
sinh
. sx
- .s(b- - y) sm
smh sb
290
Laplace's Equation
Chap. 7
(8.25)
u(x, 0)
u(x, b)
(x ~ 0)
u(O, y) = g(y)
(0
~ y ~
b)
(8.26)
u(x, y) =
11=
B,,(x) sin
l
11
~y
where
(8.27)
Bn(x) =
b2 Jb u(x,
. nn
y) sm b y dy
Then, differentiating (8.27) twice with respect to x and using the differential
equation together with the homogeneous boundary conditions in (8.25), we
obtain the equation
(8.28)
for the functions 8 11 From the boundary conditions in (8.25) we have
(8.29)
B,lO) = b
y dy = b,,
( 11
= 1, 2, ... )
(8.30)
Jn order that (8.26) is bounded as x tends to oo. B,i(x) must be bounded; hence,
we choose C 2 = 0 in (8.30). By the condition (8.29) we thus see that C 1 = b11
Therefore, the solution of the problem (8.19) is
(8.31)
u(x. y) =
blle-(nrrb)x
sin
/Jn
n= 1
u(x, y) =
e-x
sin y
(8.32)
~~
CJ
(x, 0)
= f(x)
( - 00
< x <
00, )'
> 0)
(-oo<x<oo)
Sec. 8
291
L'i.v(x, y)
L'i.uy(x, y)
i)
- iiu(x, y)
(y > 0)
= f (x)
(-oo<x<oo)
oy
and
i"u
= ,
r(x, 0)
oy
(x, 0)
(8.33)
J"'-
.rm d(
oc
(x - 02
y2
(y > 0)
11(x, y) =
)'
J
(8.34)
I
n
-w
(x _--()2
f m J)'
I"'
J1 Joc
2n
rm d~
Joc
IJ
oc
t/2 d17
--
d~
IJ" dr7
(x - r;:)z +
f(() ln[(x -
_x
t/2
~)2 +
y2]
d~
The interchange in the order of integration in (8.34) is valid in view of the fact
that the integral (8.33) is uniformly convergent in y for I.Fl ::=:: e, as we observed
earlier in connection with (812).
Under the assumption that f is continuous and satisfies an order relation
lx'f(x)I < /ad for - oo < x < oo, where k > 1 and Mis a constant, it can be
verified that (8.34) is a solution of the Neumann problem (8.32), which is unique
up to an additive constant.
Exercises 7.7
1.
Verify that
1
2.
J'OC
-
df,
(x
_--6:z
y2
( -
= 1
00
:>' {'"' (
n
Jo
(x _ f,)2
Yi
1
(x
f,)2
y2
(f,) df,
..
~-
00)
Laplace's Equation
292
Chap. 7
which solves the Dirichlet problem f..11 = 0 in the first quadrant x > 0, y > O
with the boundary conditions: 11(0, y) = 0, y > O; u(x, 0) = /(x), x ;::: 0. In
particular, when /(x) = I for x > 0 and /(x) = - 1 for x < 0, show that
u = (2/n) arclan(x/ y).
3.
(x > 0, y > 0)
u,(O, y) = 0
(y;::: 0)
f..11 =
(x ;::: 0)
u(x, 0) = f(x)
By interchanging the role of x and yin (8.12), a solution formula for the Dirichlet
problem 6.u = 0 for the right half-plane x > 0, - oo < y < oo, with boundary
condition u(O, y) = f(y), - oo < y < oc, is obtained. As a special case of this
formula, deduce the solution of the problem
6.11
11
5.
(x > 0, y > 0)
11(0, y) = f(y)
(y ;::: 0)
u(x, 0) = 0
(x ;::: 0)
6.u
(x > 0, y > 0)
u(x, 0) = f(x)
(x ;::: 0)
u(O, y) = g(y)
( )' ;::: 0)
6.
11(0, y) = 0
(0 ::; y ::; b)
f..11
11,.(x, 0) =
u bounded as x
->
0,
(x ;::: 0)
11(x, b) = f(x)
oc.
(x > 0,
uJx, 0)
11 bounded as
8.
->
11(x, n) =
0 < y < n)
(0 ::; )' ::; 7t)
(x 2 0)
er:.
6.u = 0
= 0
0) = 0,
(0 ::; y :5 n)
11x(O, y)
u(x,
11
bounded as x
-> 'X;.
11,.(x, 1:)
= /(x)
(x > 0)
Sec. 8
9.
u,, + -I
11,
r2
OJ
u(I,
= 0,
ln(l/r), 17 =
e.
u(O, y) = 0
(0 ::; y ::; n)
!i11 -
11(x, OJ
11 bounded as
11.
= 0,
u(x, rr)
/(x)
(x 2: 0)
h11 = 0
/i11 -
(0 ::; y ::; n)
11(0, y) = g(y)
= 0
12.
->
2n
for the problem !iu
x 2: 0.
cr_
cJ2
-
(>.: -
In
(x
y2
f(c;)
de;
0, y 2: O; u,.(x. 0) = f(x),
> 0, y > 0)
11x(O. y) = 0
( y 2: 0)
11,.(x, 0) = /(x)
(x 2: OJ
ux(O, y)
11
15.
+- y z
+ c;J 2 +
!iu = 0
14.
(x 2: 0)
ex ; h a positive constant.
u(x, y) = -
13.
8 ::; b)
(0 ::;
c; =
b)
(0 ::; r ::; I)
u(r, b) = /(r)
e<
(r < I, 0 <
1199 = 0
uo(r, 0)
10.
293
= 0
= g(y)
(x > 0, y > 0)
(x 2: 0)
(y 2: 0)
bounded for x 2: 0, y 2: 0.
!iu
u/x,
0)
(x > 0, y > 0)
= 0
(x 2: 0)
ux(O, y) = g(y)
(y 2: 0)
294
Laplace's Equation
16.
11)0, y)
11
9.
Chap. 7
= 0
(x
> 0. J > 0)
g(y)
(y 2: 0)
uy(x, 0) = j(x)
(x 2: 0)
bounded for x 2: 0, y 2: 0.
Let ((, IJ) and (x, y) denote an arbitrary fixed point and a variable point,
respectively, in the xy-plane. We recall that in polar coordinates with pole at
(~, 17), Laplace's equation takes the form
(9.1)
flu=
iJ2u
a,.2
cu
cu
2
+--+---=0
r or
r 2 c0 2
where
''(x -
0 2 + ()' -
11) 2
and
11
l/2n and C 2 = 0,
(9.2)
= 0
(9.4)
u(r. 8) = C 1 In r
C2
1
U(r, 8) = - In r
2n
Sec. 9
295
(9.5)
cu) ds
~
CIJ
FIG. 7-5
Applying (9.5) to the punctured domain D' bounded by C and C 0 , and noting
that !iU
0 throughout D', we find
(9.6)
IrD
(In r) !iu dx dy
J fu <.n~(} (Jn r) -
In r
~ 11 l
ds
cnl
c+c 0
where we have dropped the common factor 1/2n. This relation holds for all
values of c: no matter how small. We shall show that the integral along C 0
yields the value -2nu((, 17) when e is allowed to approach zero.
On C 0 we note that r = 8 = const and the outward normal vector is opposite
in direction to the radius vector. Thus,
Oil
I r ='
~(In r)
= - - In r I
dr
:r = f.
1
8
296
Laplace's Equation
Chap. 7
(In r) ds
II :)
f,-O JCo
C/1
Jim
,~o
"
u(~ +
8 COS
0, 11
sin 0)
(9.7)
-2nu(~,
17)
Since the first derivatives of u are continuous in D, there is a constant 1\1 such'
that (:u/cn ~ ,\1 on C 0 Therefore,
'J,
(9.8)
J
2
CU
~ In r ds,
011
I
~ M
Co
"
Jin cl e dO
~ 2nMe
Jin 1:;J
which tends to zero with e. Thus, letting i; approach zero in (9.6) and usmg
(9.7) and (9.8), we obtain the integral formula
(9.9)
u(~,
J Lf ~-
1
11) = .
2n
(In r) - In r
on
~]
cnJ
ds
2n
ff
(Liu) In r dx dy
This expresses the value of u at any point in D in terms of the values of u and
the boundary C and of Liu in D. Jn particular, when 11 = I, we obtain
an important property of the fundamental solution, namely,
ou/cn on
'
(9.10)
2n
c-
~ (In r) ds
Jc c11
Formula (9.9) does not immediately yield a representation for the solution
of the Dirichlet problem or the Neumann problem, since it involves the values
of both 11 and its normal derivative ('ujcn on C. We shall therefore convert
it into an integral formula from which it will be possible to eliminate u or
ou/cn.
Let g = g(x, y: ( '1) be a function of (x, y) that depends on the pole ( ~. 11)
such that g is harmonic throughout the domain D. Applying (9.5) for the
function u and g. we then have
(9.11)
r (u ('g
Jc
h1
- g
(n.
(9.12)
u(~, 17)
Jc ('u en~.(}_ -
~!')
en
ds
ff
G Liu dx dy
(9.13)
G(x, y; (, 17)
~n In r + g(x,
y;
~' 17)
Sec. 9
297
(9.14)
-I
g(x, y; , 11)
2n
In r
on C
for each point(~. 17) in D, then the function G defined by (9.13) vamshes when
(x. y) lies on C. Thus, we obtain from (9.12) the specific representation formula
(9.15)
11((, 11)
(9.16)
11
C/1
t.11 = q(x. y)
11 =
f(x, y)
on C
in terms of the function (9.13) and its normal derivative on the boundary.
Let us state our result as a theorem.
THEOREM 9.1.
representation
If
(9.17)
11
u(x, r) =
X,
J') ds
C/l
fJ
/)
frhere G is the .fi111ctio11 defined by (9.13) and (9.14) Hith the role of (x, y) and
(, 17) interchanged.
The function G defined by (9.13) and (9.14) is called the Green's function.
It is clear that the Green's function, whenever it exists for a given domain, is
uniquely determined. This follows from the uniqueness of the function gas a
solution of (9.14), which is a Dirichlet problem. It might also be seen from the
fact that if G 1 and G 2 are two distinct Green's functions for a given domain,
then their difference G 1 - G 2 is a harmonic function throughout that domain
which vanishes on the boundary, and so, by the maximum principle, must
vanish identically.
Laplace's Equation
298
Chap. 7
Let us note the following important properties that characterize the Green's
function G:
(i)
For each
(~.
(ii)
(iii)
G(x, y; , 17) =
at(~, 17)
such that
cG
;- ds = 1
c en
(iv)
G is symmetric with respect to the points (x, y) and(~, 17); that is,
G(.;, 17; x, y) = G(x, y; .;, 17)
The first two of these properties clearly follow from the definition of the Green's
function. The third property is a consequence of (9.10) and (2.11 ), g being
harmonic in D. The last of the properties can be proved by setting
u(x, y)
= G(x,
y: (, 17),
v(x, y)
= G(x,
y; (, T)
in Green's second identity (9.5) over the domain D' bounded by C, C 1 , and C 2 ,
where C 1 and C 2 are small circles of radius e about the poles(~, 17) and ((, T),
Figure 7.6. We note that since !:lu = 0 and .i1v = 0 in D', and u and v vanish
on C, (9.5) yields
(9.19)
v ~u) ds
on
011
) ds = O
011.
l)'
c,
----------- y
FIG. 7-6
Sec. 10
299
By using the definition (9.13) together with (2.11 ), and by a calculation quite
like our derivation of (9.9), we see that
lim
,~o
(9.20)
lim
.~o
J (u en~v ~)
J (u ~~ - ;)
-
c1
c2
10.
on
011
on
ds
v(, 17)
ds
-u((, r)
In this section we shall present examples of Green's functions for the Laplace's
equation for special domains in the xy-plane. We determine first the Green's
function for the interior D of the disk (Fig. 7.7),
FIG. 7-7
(10.1)
x2 + y 2
:::;;
a2
Let P: (, 17) denote the pole of the Green's function G = G(x, y; ~. ~1) in D,
with Q: (x, y) being a variable point, and let
;-
- -----
r = v (x - )2 +
---
(y -
17)2
denote the distance of the point Q from the pole P. We wish to determine a
function g = g(x, y; , ri), which is harmonic throughout D and which assumes
Laplace's Equation
300
Chap. 7
the value -(l/2rr) In r when x 2 + y 2 = a 1 . Ir((, 17) = (0, 0), then clearly
g = ( - l/2rr) In a fulfills the requirement.
Hence, by (9.13), the Green's
function for the disk ( 10.1) with pole at (0, 0) is given by
1
I
Jnr- -Ina
2n
2rr
G(x,y:0,0)=
(10.2)
I
r
In
2rr
a
Suppose now that((. 17) =I= (0, 0) and denote by p = "
of the pole P from the center of the disk. Let
c +
/ v?
11 , the distance
a2 .. az )
R: ( ,c- IJ
ppl
denote the inverse of the point P with respect to the circle C: x 1 + y 2 = a 2
(that is, OP OR = a 1 with P and R lying on the same line from 0). When the
point Q is located on the circle C, we see that the triangles 0 PQ and OQ R are
similar. This is true because the two triangles have an angle at 0 in common,
and the corresponding sides forming that angle are proportional; that is,
OQ
OR
OP
OQ
(OQ
a)
PQ
OP
QR
OR
(10.3)
OP
-- . QR
a
PQ
QR
OR
Thus,
(10.4)
a1 ..
p
zs
)2
(_r.
a1
p
zl7
)zJ 1;2
whenever x 2 + y 2 = a 1
Now consider the function
(10.5)
1
p
g(x, y; , 17) = - 2~ In a
.
(y
a2 )2] 1;2
- -- IJ
pl
It is easily verified by direct differentiation that this function satisfies the Laplace's equation for all (x, y) in D. Moreover, in view of (10.4), the function
assumes the value -(l/2rr) In r whenever (x, y) lies on the boundary C of D.
Hence, (10.5) is the solution of the Dirichlet problem (9.14) for the disk ( 10.1 ).
Sec. JO
301
By (9.13) the Green's function for the disk (10.1) is therefore given by
(10.6)
2n
2n
p
1
ar
r* =
In a
2n
pr*
- In r - -- In
r*
a2
= [( x--~
p2
)2 +(.
a2 )21112
y--17
p2
Since we have found the Green's function, the solution of the non homogeneous
Dirichlet problem (9.16) for any disk is now immediate, by Theorem 9.1. In
particular, when q = 0, we have
u(x, y)
(10.8)
where we have interchanged the role of (x, y) and U:, 11) in (10.6). Let us show
that this agrees with the Poisson's integral formula (6.6), which was previously
obtained in Section 6. We have to calculate the normal derivative of the Green's
function (10.6) for ~ 2 + f/ 2 = a 2 For this purpose, it is convenient to introduce
polar coordinates to describe the points (x, y) and(~, IJ). Thus, let x = p cos 0,
y = p sin 0, and = v cos </>, 11 = v sin </>. Then
,.2 = ( _ x)2
,.*2
(10.9)
(IJ _ y)2
2pv cos( - 0)
= (~ -
~: x
~-: yr
= v2 -
2 -
+ ( 1J
a2v
cos( - 0)
p
p2
a4
p2
Since the outward normal derivative of a function on a circle coincides with the
derivative in the radial direction, it follows from (10.6) and (10.9) that
ac
~ - (v, <P; p, 0)
en
[a
= 1-
[a~
(In ,.2) -
4n ov
(IO.IO)
1
2n
a (In ,.*2)
ov
[v - p cos(_~~) _
,.2
l
2
This yields
(I0.11)
oG
an
(a,; p, 0)
a2
1
= --
2na a 2
p2
-~---
2ap cos( - 0)
p2
0)1
Chap. 7
Laplace's Equation
302
{)
f':
ii;
~ y
\ I
O) I
I
I
:
:
+--~----------------~:
/:!,
FIG.
7-8
I~
i()
pole of the Green's function in the half-plane y > 0 and let Q: (x, y), y > 0,
be any point whose distance from the pole is denoted by r. Consider the reflected image R: ( (, -1)) of the point P with respect to the x-axis. It is clear
that when Q is located on the boundary y = 0 of the half-plane y ;;::: 0, Q is
equidistant from P and R. Thus. we take
~ I/ )
g ( X, .J": (,
(10.12)
= - I I 11
1*
2:r
where
(10.13)
r * = ,:(x -
c)2
--
(y
17)2
Clearly, this function is harmonic for all (x. y) in the half-plane y ;;::: 0 and
reduces to -(l/2n:) In r on y = 0. Therefore. the Green's function for the
half-plane y ;;::: 0 is given by
(10.14)
G(x r: C. IJ) =
' - . _,
I
l
l
r
Jn r Jn r* = - In 2n:
2n:
2n:
,.*
Sec. JO
THEOREM 10.1.
= q(x, r)
(10.15)
u(x, 0) =
then
11
303
( - 00
f (x)
<
<
00'
y > 0)
/(0 ~G (~, O;
Joc
y) = -
J"' f"'
y
rr
d~
x, y)
d~
d17
- cc
(10.16)
y)
X,
OYf
- oc
f"'
f(() d~
_ x)2 + y2
_"'(~
Exercises 7 .8
1.
2.
Verify that the function g defined in (10.5) satisfies Laplace's equation in the
variables x and y.
3.
Verify directly that the Green's function ( 10.6) is symmetric with respect to the
point (x, y) and the pole(~. 17).
4.
'
'
r/J)
'
a 2 (1' 2
ln
(a 4
4n
0 when
2l'p cos<O -
2a 2 vp cos(O -
)
<h)
+- p 2..)
+ l' 2 p 2 )
a.
Determine the harmonic function ( 10.5) by actually solving the Dirichlet problem
22 q
1 c..q
C1'
l' l l'
. '2 +
g(a.
e;
p, f) =
1 22 g
ln[a 2
1'
(;8 2
2apcos(0 -
(i < a)
di)+ p 2 ]
(1 = a)
4n
for fixed p and . Hint: Assume a solution g analogous to (5.8) and use the
series (7 .9) for the boundary data.
304
6.
Laplace's Equation
Chap. 7
7r.
What is
7.
By using the Green's function G* obtained in Problem 6, and by a similar procedure, obtain the Green's function for the quarter-disk 0 S: r s: a, 0 :::; 8 s: n/2.
8.
9.
Prove that the Green's function G(p, ; \', 8) satisfies the relation
1'- 2
a2 -
Hint: Let
; v, 8)p dp d
10.
/!,.g = 0
- _I In [(x - c;)2
4n
g(x, y; ~, 17)
+ 1/2]
00
< x <
00)
(y = 0)
By a procedure similar to that used in Problem 6, find the Green's function for
the quadrant x ~ 0, y ~ 0.
11.
In Section 9 of the present chapter we obtained from the basic formula (9.12)
an explicit representation for the solution of the Dirichlet problem (9. I 6) in
terms of the normal derivative of the Green's function (9.13). In this section
we shall derive from (9.12) a similar representation formula for the solution of
the nonhomogeneous Neumann problem
(11.1)
L'1u = q(x, y)
in D,
au-
011
= f (x,
on C
y)
(l l.2)
u(~,
ry)
(u iJH - H
an
qu)
ds + JJL'1uH dx dy
an.
,1
where
(11.3)
H(x, y;
~,
ry)
I
2n
- - Jn r + h(x, y;
~'
ry)
Sec. 1 I
305
in D
ch
011
2n
o (In
on
r)
on C
oh
ds
c on
-l
which violates the necessary condition (2.12) for solvability of the Neumann
problem.
Let us determine h so that cH /en = const on C; say, cH /en = b # 0.
Then, from (11.3), we have
cH ds
Jc
on
2n
en
(In r) ds
oh
J
c
ds
011
b Jc ds
This implies that
b =I
L
(11.4)
where L denotes the perimeter of the domain D. This means that we must
determine h as a solution of the Neumann problem
(11.5)
!ih = 0
in D
ch
011
<' (Jn r)
2n l 11
on C
Notice that here the condition (2.12) is satisfied. So, if the function h in (11.3)
is a solution of (11.5), then substitution of (11.3) in (11.2) yields the specific
representation
u(~,
11)
" Du
Jc H(x, y; s, 17) ds
+ JJH(x. ~. 17) !iu dx dy + l J u ds
~
011
(11.6)
y;
306
Laplace's Equation
Chap. 7
for a solution of the Neumann problem ( 11. I). The last term on the right of
(I 1.6) is simply an additive constant, representing the average value ii of the
solution. Thus, we have the following representation theorem for (11. I).
THEOREl\I 11.1. Let u denote a solution of the nonhomogeneous Neumann
problem (I I.I) for H hich the compatibility condition (2.13) holds. Then u has the
representation
u(x, y) = (11.7)
11
\\'here H is defined by (11.3) and (11.5) iiith the role of (x, y) and((, IJ) interchanged, and where ii is an arbitrary constant equal to the araage rnlue of 11.
The function H defined by (11.3) and (I 1.5) is called a Neumann's function
for the Laplace's equation. Unlike the Green's function, a Neumann's function
is unique up to an additive constant. This is due to the fact that a solution of
(11.5) is uniquely determined up to an additive constant. However, if we choose
the additive constant in such a way that the normalization condition
Jc H (x, y; (, 17) ds = 0
(11.8)
(ii)
(iii)
(11.9)
oH
~ds =
C C/1
(iv)
y)
H is symmetric with respect to the points (x, y) and (<!, 17); that is,
H(x, y; .;, 11) = H(<!, 17; x, y).
The symmetric property (iv) can be established with the help of (I 1.8) in
exactly the same manner we established the symmetry of the Green's function,
and is therefore left as an exercise (Problem I).
Let us now consider the construction of the Neumann's function (11.3) for
the interior of the disk x 2 + y 2 ~ a 2 . Using the same notation as in (10.6)
we set
(11.10)
H(x, y; ~, 17)
1
= -In
2n
+ -
2n
In r*
A(~, 17)
Sec. 11
307
8H
an (x, y;
e, 11 ) = 2n~1 = i1
Thus, the first three properties listed for the Neumann's function are fulfilled.
To ensure symmetry of the Neumann's function, we have introduced the harmonic function A(e, 17) in (11.10). The function A will be determined by
requiring (11.10) to satisfy the normalization condition (11.8). In this way, we
shall also have ensured uniqueness of our Neumann's function.
Thus, applying (11.8) to (11.10) and noting that on the circumference C of
the disk, r = pr*/a, we have
e, 17) ds = 2n
_!__
H(x, y;
(11.11)
_l_
2n
f
f
(In rr*
2nA) ds
(in
I! r* 2 + 2nA) ds
a
=0
Now the integrand in the last integral of (11.11) is a harmonic function of
(x, y) throughout the disk. Hence, by the mean-value property of harmonic
function (Theorem 6.1 ), the integral in (I l.11) is equal to the value of the
integrand at the center (x, y) = (0, 0) of the disk. Thus, we find
p a4
In - 4
ap
(e2 +
17 2 )
2nA = O
or
A(e, 11)
(11.12)
p
a
= - In - 3
2n
H(x, y;
e, 17) =
_!__ [1n r
2n
In r*
y2
In P3 ]
:S;
(11.13)
= _!__In rr*p
2n
where r = [(x - e) 2
r*
(y - 17) 2 ] 1 12 ,
a2
[( x - --p2
a3
e)2 + (y
a2
- p2 11
)2] 112
a2 is
Laplace's Equation
308
Chap. 7
(11.14)
u(x, y)
= -
where His given by (11. I 3) with the role of (x, y) and ( (, 17) interchanged, agrees
with formula (7.10) previously obtained.
Neumann's function for the half-plane y > 0 is given by
~rr [In
(11.15)
r +In r*J =
2.~ In
rr*
where we have used the same notation as in (I 0.14). Clearly, this function is
harmonic throughout the upper half-plane except at the pole((, 17). Moreover,
oH/oy = 0, as to be expected, since the boundary here is of infinite length.
The ful)ction (11.15) is unique up to an additive constant. Thus, a solution
of the nonhomogeneous Neumann problem
Au
(11.16)
cu
Dy
q(x, y)
( -
CX)
= .f(x)
u(x, y)
2rr
Jco_
y 2 ] d(
oo
(11.17)
+ 1
2rr
f"' f"'
_ oc
Exercises 7.9
1.
Show that the Neumann's function (11.3) satisfying the normalization condition
(11.8) is symmetric with respect to the points (x, y) and (~, 17).
2.
2H (X, y; \;,I/
)
an
when x 2
3.
1
2na
= -
y 2 = a2
Verify directly that the Neumann's function (I 1.13) for a disk is symmetric with
respect to (x, y) and (,;, IJ).
Sec. 11
4.
309
5.
ca
l]
311
Chapter 1
Exercises 1.1
1.
2.
5. No.
6.
Exercises 1.2
2.
llx
3.
llx
4.
u, =
5.
Ux
ex cos
\'
2x
.\"2
y-J
+
2y
(x
I
-
+
,
r~ lly
"r
x
y
-ex sin y
2xy.
2y
+ y2
.\"2
-2x
/{-'
y)2
sec-
x1
(x +
x
lly
)')2
sec 2
x
y
313
x.
No.
314
x r- )'
11.
[{_\_\"
12.
ll,;x
13.
"xx
14.
(IX_\.
r2 )312
- e' sin y.
x-' --
-2.YJ'
(.12
y2)2'
ii_\")"=
(x2
For(\.
(0. OJ,
y) cfc
2.\')'
y2
'
)2
(x2
y2)2
y2
x2
21.
(x2
x2
v2
Exercises 1.3
1.
d11
1-'
t In(! -
t) -
2(1
dt
2.
d11 1d1
[COS( sin I)
3.
du/dt
1.
5.
du/d\
(I
6.
d11ld\
4x.
8.
fir=
10.
2(r
11,
e'.
r -
I)
+ 1 sin t ]/1
3x 2 ) In x
0: u,
(!
[(In t) sin(sin
fix
x
II,
15.
u,
11 8 :
,.-
u, cos 0
--
"r sin O:
2 tanh 2t.
7.
11,
-- '2r; lls
9.
11,
2r;
0.
11, =
y
11,
'
r
11 8
f.
4r ln(r - .1):
fl_\
l cos
du/dt
4.
12.
14.
I) -
,.0
- 2(r
r Uu
lls
1
!Os.
-r 4sln(r
s).
.1
Uq
lie.
Exercises 1.4
TLX cos(i:i2)x -- 2 !>in(IT/2)x
1.
<f/!1)
2.
q/(.\) = x(i:/2 -
3.
4.
(2TLx)/(x 2 -
8.
cp(x)
= Jn(!
1)
In 2).
x).
sin x).
5.
q/(x)
(3
315
Exercises t .5
8.
a 2 ). Then
For each
'ff
-- ' --
r !+1-
( - J)"+ I
JO.
11=0
2n+l
(211 - I )3
f0
X_2n+ I
,, = 1
14.
~ ( - I l"
" =
11 1 11x,
u'-' are all uniformly convergent for 0 ::; x ::; rr, 0 <
I.
Exercises 1.6
1.
2.
i ::;
jx2 +
121
I sin t
I
a2
+ -
x2
for all t,
Lx
and
di
a2 -1-
::;
4.
ie--' 1 cos
ti s
6.
7.
10.
2a
x-
i[
(2
+ r-
t2
s x, 0 s
< oc and
J;;'
1/a.
::; e-r,b-i::;
J;;' e-t dt
e- 1 ' dt
v'rr/2.
Exercises 1.7
I.
2.
du
ds
3.
32
1
'\
du/ds
17
-1-
(b) du/ds =
::__(sin 2
17
- 72/\ 1 17.
5.
v3 -
(I+ \ 3)e.
cos 2J.
4.
() = 45; d11/ds
6.
cu/en = 4.
2.
4.
5/42.
Exercises 1.8
1.
0.
3.
0.
5.
(a) 2n;
(b) 2n.
Chapter 2
Exercises 2.1
I.
(a) and (f) are second order, linear; (bl, (c), and (e) are second order, nonlinear;
(d) first order, linear.
..... _
316
Exercises 2.2
1.
2.
3.
4.
(a)
(c)
(e)
(f)
(a)
11
= 2(x -
(I/ y)) +
7.
u = sinh x
cosy -
9.
u = x -
eY -
xeY
(l/x)f(y)
(d) u = y 4 /4 sin x
yf(x)
g(x).
k(y).
(b) u = f(x
(d) u = f(x
3i)x
+
+
y)
y)
+
+
g(Sx
xg(x
+
+
y).
y).
+ y].
(b) u = - (cos x/ y)
e-xyf(y).
y 2f(x).
3x/4y 2.
5.
+ g(x)yexy.
- 1) + sin y.
cos x + y 2 + x 2y 2 /4.
(e) u = f(x)exy
6.
u = x(x
8.
u = I -
g(x).
1.
3
+ x sin -y
Exercises 2.3
3.
4.
5.
/1
6.
ie- 0
+kJr
sinh n(y -
cos x
I) sin
7L\
sinh n
3x.
Exercises 2.4
1.
= exf(x - y).
3.
2.
sin x - cos x
4.
u = x2
5.
7.
11 =
9.
= x
11.
12.
u =
6x
le 2 '
e-xf(2x
-}x 2 y -
hY +
y).
+ y).
8. u =
+ f(y/x).
10. u =
+ f (x2 - Y2 ).
+ x3/y2 + (l/y2)f(x2 + y2).
sin 3y
e 2 xf(x
ln x
+ 2y) + x 2 /4.
+ 2 +
= f(3x
11
e-x/(x+)')
e-x/(x+J)f(x
2ex In x - xy
exf(xy).
eY 1Xf(xy).
y).
= x ln x + xf(x 2 + y 2).
13.
11
14.
(a)
(b)
11
= e-xf(2x -
11
= e- 3 x 12f(x
y, 3y
2z ).
z).
+ 2y, 2y +
17.
18.
+ 2>' +
e-zx sin Sx
317
e<J/ll<x+Yl
u = e1 x-y[l
tx 2 -
cos(x - y)].
+ -k.
}x
19.
11
20.
21.
II =
II
22.
x/2
\/~\" y 312
y) -
sin x
y.
y/2.
= e'"(4 - x2 - y2)1;2e-(4-x'-,.'J'f2.
= ey'-(x'+y'J'1' sin(x2 + y2)112.
11
Exercises 2.5
1.
3.
11
5.
11
7.
11
= e-if(x) + e-xg(y).
= f(x - iy) + g(x +
= /(x) + e- 3 xg(2x +
1.
= f(x +
II
y)
exg(x - y).
iy).
4.
11
y).
6.
r 2 11
8.
11
IO.
11
13.
11
15.
(a)
11
= f(xy)
+ sin(2x +
y)
+ }
g(x/ y)
y) ].
ln x.
(b) u
(c)
= xf(x/y)
11
11
16.
--![cos(2x
{a)
{b)
11
ll
x"g(xjy)
[(x
y)/(l -
11)]
ln x,
(c) 11 = f(x -
xg(x - y, y -
11
of. I;
11
= 1.
z).
Exercises 2.6
9.
JO.
Hyperbolic for x 2
y2 < l.
Hyperbolic for x 2
x 2 - 4y < 0.
Exercises 2. 7
+ u{ + 4ury
1.
48(11~,
3.
7511~ry
6.
411~, -
u, - 2u,1 = 0.
8.
911,~ -
II
IO.
4(11,~
11ryry)
+ // =
-(~
= 0.
11ryryl
ri) /25.
u = 0.
0.
2.
5.
2u,ry + ury + l
7.
u,, +
11,, = ~(17 -
9.
11,~ -
411
27(u~~
uryry) -
11.
0.
3~).
0.
'Ill~ =
0.
r/).
318
12.
"cc +
13.
6(11(;
u,,
u= f(x + y) + g(2x -
3y).
17.
Chapter 3
Exercises 3.1
2.
c 2 wxx = - v" + c 2 vxx; w(x, 0) = f(x) - v(x, 0); w,(x, 0) = g(x) - v,(x, 0);
w(O, t) = 0, w(L, t) = 0.
3.
Suppose u 1 and
ll'1r -
11 2
11 1
- u2
Exercises 3.2
1.
u(x, 0)
2.
3.
sin 2x cos 4t
4.
/1
5.
/I=
+ 1- cos
- I -+- x
[I + (x + t) 2 )[1 +
x sin 2t.
1) 2 ]
(x -
+ ex sinh t.
6.
7.
8.
u = sin 3x cos 31 +
9.
1- sin
arctan(x - t)].
1/2.
10.
11.
12.
e-1
e-213
u( - n/6, Srr/6) = - - - - -
+ I.
e-114+e-1
I
v2
11(3rr/8, 5n/8) = - - - ---- + - + - - .
2
2
4
Exercises 3.3
1.
3.
u = x 2 + t 2 + xt 2 .
11
= ex sinh I + xt /6.
5.
u = (ex/4)(cosh t -
6.
11 = - x 3
1) - t 3 /_ + sin x cost.
2.
u = xt(t -
4.
3xt 2 + x 2 + t 2
t - sin t.
7.
11
8.
11
9.
:\-(3x 2 t
10.
319
13 )
x 2 ln(l
Write
r(x. I)
x sin x.
t).
= -1
J'
2c
rx+c(!-r)
F(~, r)
d!;, dr
.x-c(z-r)
Then
v, = -1
z;x =
z; 11
--I
2c
where a
I
2c
[F(x
r), r)
c(t -
F(x -
r), rJ] dr
c(t -
[F(x
J'
r), r) -
c(t -
[F,(x
= F(x, t) +
ixx =
12.
j''
J'
[F.(x
F(x -
r), r) -
c(t -
r), r) -
c(t -
r), r)] dr
c(t -
Fp(x -
r), r)] dr
Fp(x - c(t -
c(t -
r), r)] dr
c(t -
T)
fJ
and
= x -
c(t -
r).
{{ = ~ [f (x - t) + e"'f (x + t)]
2
r'+r
J e-<ax,2h(>lf2)
.
+2
Jx-r
e"l
g(s) -
; f(s)
J ds.
Exercises 3.4
1.
E'(t) =
ee
-x
x
u,(u,, -
c 2 u 0 J dx
2
c ux11,:
- cc
CLO
- oc
llx
and
111
as
lxl
-->
oo. Thus
2.
Tf
11 1
5.
u(x, t) =
[f(x
ct) -
[j(x
ct)
(ct -- x) l
+ f(x
ct)]
r::
~~
2~ f_+c:'
g(s) ds
(x < ct)
g(s) ds
(x > ct)
320
6.
Let 11 be the solution of (2.1 ), (2.2) where f and g are even. and set r(x, I)
u( - x. I). Then z is also a solution of (2.1 l, (2.2). Since the solution is unique,
u(x, t) = r(x, I), or 11(1, I)= u(-x, r).
7.
u(x, !) =
J:r-x g(s) ds
( lx+n g(s) ds
2c
8.
u(x, I) =
f3x1 \x 2 +
s(x 3
xr
3xt 2 )
1- -
1(3x 2 1
~ I)
(x
(x < Cl)
cr-x
(x > t)
11(1/4, 1) = 47/128.
9.
10.
12.
13.
Exercises 3.5
1.
2.
If f is odd about x
= -f(-x) = f(x)
3.
Write
ia+2L g(x) dx
1-L
g(x) dx +
The first and the third integrals on the right cancel out. In fact, set s = x
Then
ra-L g(x) dx
J,
(L g(s la+2L
2) ds
+ 2L.
(L g(s) ds
la+2L
Let 11 be the solution of (2.1), (2.2) where/ and g are odd about x = 0 and x = L.
To show 11 is odd about x = L, set v(x, t) = - u(2L - x, t). Then v is also a
solution of (2.1 ), (2.2). Since u is unique, u(x, r) = v(x, t) = -u(2L - x, t).
7.
l ix_+,' g(s)
and
-v2
11os
2048
ds
321
8.
11(3/4,
2) = 3/16.
9.
10.
11(x, t) = j(l -
13.
14.
11(1/4, 2)
l].
87/128.
Exercises 3.6
1.
3.
(a) 11(x, t)
f (t
\ e-x
6.
u(x, t) =
(x > t)
(x S t)
sin x cost
(x 2 t)
=
=
(r
(x < I)
cosh t - 1
si.n 2(t - x)
x)e-<r-x) - e- 1 sinh x
= {
sm x cost
(b) u(x, t)
4.
2.
x - _( 2
n____llL) -
"~o
(r -
11~0
~~_Qn_+_I)[,')
c
-H/Cx + ct) +
8.
+ v(x, t) for x
/(ct -
x) J
kek(x-cr)
Jrcr-x ek~f(?;,) d~
0
ll(X, I)=
-![/(x - ct) +
f(x
(0
(x 2 ct)
cf))
Exercises 3.7
1.
11(x, t) =
2.
11(x, !) =
(3V2./8) sin x
3.
u(x,
sin r
t) =
sin x cos t -
4.
u(x, f) = e-x[2
5.
11
6.
(x, t) 34 te-'
=
r'2
.
sm
7.
11
8.
11 11 (x,
9.
un(x, t) = (I
11
(x) 2
1)
112
r -
cos 3x sin
1)
112
I )nt ].
t sin nx .
2
. (mrlnx)
. (n n t) = x 112 sm
sm
ln 2
ln 2 2
+ (\ 1 10/40)
1)
4
+ -
112
t.
YlO t.
1) 112 t].
ct)
322
Chapter 4
Exercises 4.1
+ cebx, = 0.
3. (d/dx)(ex11') + (e-'/x)11 = 0.
5. (d /dx)(xe-x11') + e-"11 = 0.
1.
6.
(d /dx)(ebxz/)
(b)
u(x) =
9.
u(x) = 0.
u(x)
(d/dx)(x 2 u')
4.
(d /dx)(x11')
8.
11(x)
+ x 2 u = 0.
+ (I /x)u = 0.
1).
0.
II=
7.
11.
2.
C sin x.
= C In
= Cx.
=
10. 11(x) =
12. u(x) =
14. u(x) =
x.
13.
u(x)
16.
(a)
17.
0.
0.
c_,-2,
0.
No solution.
(b) u(x)
= e- 1 cosh x.
+ e- 2"/(I -
18.
19.
(a) No solution.
(b) u(x) =
(c) u(x) = { sin 2x + -J cos 2x.
20.
(a) 11(x) = 2
21.
In x.
(b) u(x)
2 In x
2 In 2
I) sin(ln x).
(a) C(x, ) =
(bJ C(x, J =
(cJ C(x, l =
2.
(a) G(x,
(b) G(x. J
3.
4.
G(x, ) =
G(x, )
(0
/ --'
I-
s
s
( S x
(0 :S .\- :S
Ix
)
I)
I)
co
/cos x sin
\cos sin x
\ (\
2xi1e
:S I)
:s: x :s:
)
7!)
sJ
( :S x :S 7!)
(0 :S x :S
/-sinxcos
\-sin cos x
(0 :S x :S
ll
\-( - l)
J -(\
(1
(0 :S
( S x S n/2)
( :S x
s
s
(c) 11(x)
= In x - In 2.
Exercises 4.2
1.
= cosh 2x.
(b) u(x) =
+ (tan
e- 4 ).
)
2)
,;J
5.
G(x,
6.
G(x, C,J =
f x In ,; -
x( I
x Jn x - x(l
2 Jn 2)/.;3
(l ::; x::;
2 Jn 2)/C, 3
f-ln(l + x)
\-ln(l + ,;)
(C,::; x::;
A sin 2(x -
+ -
u(x) =
1)
B . ?
sm _x
sm 2
12.
323
1)
sin 2
where
sm 2x sin 2( -
C(x, C,J =
I)
sin 2 sm 2(x -
13.
Jo1
u(x) =
(0::; x::; )
2 sin 2
I)
( ::; x ::; 1)
2 sin 2
B sill kx + '5_cos_~'._ sin kx + k cos k
A~/((~= !_)
sin k
where
(sin_!'.\"__+! cos k:-J ~n k(~ -
G(x, ) =
k(sin k
(sin kC,
with sin k
/dsin k
--
- C"l/211
(0::; x::; )
\ C,'1(x" - x-")/211
(C,::; x::; I)
I - } Jn[< I
16.
G(x, )
1)
\ -1
ln[(l
+
+
x)/(1 -
x)]
(0 ::;
x ::; c;)
C,)/(1 - )]
11,(x) =
Exercises 4.3
I.
11 0 (x)
= I,
u 2 (x)
x so that
G*(x, J =
2.
( ::; x ::; 1)
x ::; )
l x"CC
G(x, )
x ::; )
cos k #- 0.
15.
(0 ::;
k cos k)
(0 ::;
G(x, <;) =
I)
k cos k)
/In
\
In x
14 .
17.
+ k
G*(x, ) =
J(1
- x)C,
\(1 - )x
(0 ::; x ::; )
Ix
( ::; x ::; J)
(0 ::; x ::; )
324
4.
G*(x, ') =
5.
G*(x, c;) =
Inc;
{In x
(0
(c;
x < ')
x ~ I)
-!ln[(l
{
(0
c;)
x)]
cc;
1)
6.
7.
9.
Consider s~ u6 dx
contradiction.
10.
No solution.
11.
J~ u(x)[(Au 0 )"
s~
Uo
(Bu 0 )'
Exercises 4.4
1.
}.n
2.
An
3.
Ao
4.
Ao
5.
An
6.
7.
8.
An ~ n n
9.
~ 11
10.
An ~ 11
11.
11
}.n
11,,(x)
= sinvI,,x - vl,;cosvI,,x.
sin \
i,; x.
u.(x) = cos \ ). 11 x.
= sin \ ).,,
'
11.(x)
11,,(x) =
(4n"n 2
x -
x~ cos vi,; x.
sin\ /. 11 x - \ /. 11 cos \
112
J:: x.
=
1, 2, ....
12.
An
13.
}.0 =
14.
An
15.
16.
18.
u.(x)
1,
= 11 2 rr 2
11
1)/4, u,,(x)
11,,(x)
x-
sin(mr Jn x).
/1
1, 2, ... .
).n)
= 0.
325
Exercises 4.5
v2 (sin nx
1.
2.
3.
{!/YU, (l//i)
1) ]112;
5.
9.
14.
15.
0.
Exercises 4.6
1.
2.
011
3.
x 2 ~ 2n
I )11 + 1
(-
4.
~ -
5.
n2
~ ~
7[
}.
7[
I)i cos
(0 :5 x < n).
(0 :5 x :5 L).
(0 :5 x :5 n).
IJn ln_.x-]
(211 -
(211 - 1) 3
I) z
I )x
(211 - 1) 2
'-'
11=!
(211 2-
~ cos(2n -:---
'-'
= l
~ s_in(2_n~ I__)~
sm nx - -
"~1 (2~ -
7[
00
n _ 4
11 1
/1
11=1
SL
dx/;u
(I
J)
X'
7.
(x) ~ a 0e-x
+ E
a 11 (sin nx -
/1
cos nx)
n= 1
where
2
- e-2rr
a. =
8.
2
n(n 2
J f(x) (sin
"
1)
nx -
cos nx] dx
11
326
11.
(-1)11+1
r,
12. f(x) =
1)!
(n -
11=1
cp 11 (.\).
Exercises 4.7
1.
u(x)
2.
u(x)
3.
11(x) =
4.
u(x) =
2 sin 2x
}. -
2 cos 2.\"
}. -
u(x)
2 cos(7r:/2)
+ --
}. - (49n 2 /4)
i. - n /4
4, 9).
25
}. -
3 cos(n r/2)
-
u of.
3 cos 5x
k=l
S.
4 sin 3x
I. 9
l. 2, ... '
+ ~ _a,,i_si1111x -
aoe-:"
(}.+!)
cos nx)
i.-11 2
11=1
11).
'
where a0 and a,, are the Fourier coeAlcients off given in Problem 7, Exercises 4.6.
w
6.
--~"
r,
u(x) =
}. -
n == 1
where b11
7.
u(x) =
8.
G(x; )
i':
sin( 11
n2
4 sin(3n Jn x)
i. - 9n 2
~ sin_(_nn__/LJ sin(nnx/L)
2
L
'-'
n=l
n= 1
x),
3 sin(n Jn x)
}, -
sin( 11n Jn
1127!2
).
(n 2 n 2 /L2)
}. -
(11
'
= I, 2, . . ).
c_os_ll.(1 _-::_
In 5J]
- ). cos }
11.
G(x;
~;I.)
ln
~)]
(c;
:S x :S e)
(O :S x
(~ :S
:S 1)
327
Chapter 5
Exercises 5.1
1.
f(x)
2.
3.
4.
5.
6.
7.
8.
f(x) ~ n
f(x)
eax ~
n=l
rm-
+ - l:
l(-1) 2n-
~ 4
(x)
--
'-'
411
n= 1
S111
l!
4L2
sinh an
cosh ax
2L
l: ( -
l)x
J.
n
11
11
1mx
11=1
- 1)11
.,. 1
cos 2nx
1
-
4n 2
a2
--a2
n= 1
sin nnx .
"'(-1)"+ 1
l:
~--
n= 1
nnx
sm -
(-1)"
Cfo
l:
sinh an
2L
cos -L-
iT
+ 4 ~
1 )"
11=2
?a
11= 1
112
+ -
f (x) ~ _1 _ 2 ~
n'2
COS llX.
n2
sm nx.
sin x.
2
11= 1
I )2
(211 -
Consider
a"=
and set x
t -
J
o
.
mrx
I
j(.c)cos-dx+-
-L
f(x)
1 _
n2
00
n2
n=l
JL
0
.
11nx
f(x)cos
dx
Exercises 5.2
1.
x.
"'(-1)
l:
2 sinh an ~ (
12 _ f(x) ~ n
2
14.
------- "-'
13.
nx
11= 1
1[
Jl.
.
- + -1 sm
2n
x2 ~
.
sm 11 ax
2(-1)"+ 1 .
- sm(2n (211 - l) 2
cos 211x
cos 2nx
I
2_
n
n
an
9.
11=1
ILi:
l:x
2(sinh aL)
-'-
nx
x cos --
.
sm
(211 - I )
n= 1
sinh aL
+
+ I +2(-1)
- - -- --
llX
n2
aL
1
-
11= 1
cos
II
11
11
11
~ ~C_-:-IJ ?- -l
+ '-'
n= 1
(-1)11+1
1)
1)nx.
L)
= f(t).
328
2.
n2
2n 2
x2 ~
:E"(-1)"+
-- cos 11x
2
11=
11
(- l)"j .
~ r-2n + 4 I
1
11=
3.
.t
Cf)
11=
oc-
- ---
Sill
nx.
113
7[
1)nx/2]
cos [(211
(211 - 1)2
:E1
2
n
11
sin mrx
:E
II
11=1
__4
n2
5.
ex ~
e7[ -
-=
I )nx/2]
1)2
(2n -
n=I
00
:E
( -
11 11= 1
- -l cos
l)"e" 1
n2
(-ill__
_ .) [e"(- J)"+ I] sin nx.
n + 1
J (
2) I
2 cos nnx
l + - - - cos nx - -- :E
~ ~
n
7.
8.
f(x) ~
nx
n=I
-x
n.
sinh x
(cosh 11 - 1 )
71 n= 2
71
co sh n
11
11
11=
11
nx -
00
:E
cos
n2
n(2n -
l)
ri=
4"'
+
10.
n~I [ 2 (-2~--=-i)
sin x
71 2
:E
Cf
1[11=1411
11.
f (x)
Sill
12.
x(l - -x)
13.
f(x)
x -
:E (-
11=
11x.
-1
4 "'
n
1)
(211
l )11
n
---
411 2
sin nx.
~ 8 ~ sin(2_n__=_ l )nx .
'-'
11 3 n= I
(211 - I )3
b 211 sin
1mx
b 2 ,,_ 1 sin(
n__=-J_)
2
11xl
where
16
------3 +
n3(2n -
l)
/IX
14.
JS.
cash x
2
n
cos nx ~
7r
n-
cc
~
II=
-)
11
I
411
[(-I ) 11 ~
(. ;
1
11=
cash n
I] sin nx.
sin 211nx.
Exercises 5.7
(~) 1;2
I - cos s
1.
F(s) =
5.
(c) G(s) = - I=
2.
s2
lx
,/211
'Y)
v2n
e-is(a+l)f(t) dt
Jo
e-iasF(.1).
J:.,
6.
e-is'f'(x) dx
e-i'''j(x) I oc
\ 271
: - 00
I
7.
8.
is
\ in
(a) F,(s) =
(112)
(b) Fc(s) =
2)1/2 1 - .1'2
( n. (I + s2)2
(a) F,(s) =
(n2)
112
112
cos(5._n/2).
I - 52
s - ,sin(sn/2).
,
s- - I
:-. (. "~)112 (l
(bl f(s)
2 2 - s2
7r 5
11.
f(x)
= 2xe-'
4
(x 2: 0).
Chapter 6
Exercises 6.1
3.
4.
329
(x/L)b(t).
(x /2L)[b(t) - a(t)].
F(s) =
2)
(11
-
.2
a2
~.
+ s2
330
5.
c/>(x, I)
6.
1, -
lffxx
xi -
c/>(x, I) = (x -
7.
x)/Ti)t 2
((;r -
(x/rc)e'
10.
t)); r(x, 0)
x,
r)O, I) = r(], t)
O;
IJ
Set i(x, I)
11(x,
t)
- x
(b) efJ(x) =
8.
1) cos I - (1/U
1) sin t -1- ln(l + /).
(x -
u(x,
= e-hx
9.
lz( !).
t)
A
ka 2
Set r(x, t)
u(x, t) -
xh(t).
s~ e '~1(', t) d'.
1
Exercises 6.2
1.
Let 11(x, t) = i:(x, t) - u(x, t). Then w(O, t) 2: 0 and w(L, t) 2: 0 for t 2: 0,
and 1r(x. 0) 2: 0 for 0 ::; x ::; L. By the maximum principle, w(x, t) 2: 0 for
0 :o; x :o; L, I 2: 0.
3.
5.
! .~ IL 11 2
iL
dx - k llllx
201J 0
Since 11(0, t)
-1- k
roL
Jc
u; dx
-J (;. jL 11 2 dx
2 01 a
r.L u;
dx ::; 0
6.
7.
8.
9.
By Green's identity,
JJ
1111,
dx dy - k
JI
u 2 . Then 11 vanishes in
By the maximum principle,
11 1 -
u t.u dx dy
-I ;;,
2 ct
II
D
u 2 dx dy
II
c
au
on
u-ds+
11~) dx dy = 0.
331
0. it follows that
Since 11
JJ
1 (
2 21
f5f
- k
dx dy
11
(u;
u;) dx dy :'.:'.: 0
Exercises 6.3
l.
11(x, t)
2.
11(x, t)
3.
ll(X, I)
4.
11(x.
4A
7[
II=
j (1
11(x, I)
11(x, t)
7.
ll(X, I)
8.
11.
12.
11(x,
u(x. t)
e-kC211-1 )2t
sin(211
J)x.
sin(211
~
n:: 1 (211 - 1)2
l)x.
1)3
n= 1 (211 -
e-kc211-1J2t
lf
~
Cf
II
11~1
( -
,-
n-?
11=1
+ n(211 -
I) 3
u(x,
9.
JJ"+l
e -[(211-lJ'n'A+l)t
1) 3
(211 -
11=1
2 - _ x.
"",
cos x.
~ - (-32 '-"
n3
e --k(211-J)21.'4~;
, _// - 1)
I J (2---;;--_ I )3
( - I J"
_(211 - ])-'
e-Ck+J)r
11(x, t)
sin(211 - l)x.
1)
32
tJ
l'
l[
(2fl -
'l_
I)
6.
= le-" sin x
7[
5.
e-kc211-
t) =
-('211
-~--
CO>
J) n.x..
11
dx with p 11
- h tan p 1,L.
13.
11(x, I) =
b11
(2/ L) J~ /(x) x
='
Exercises 6.4
4A
I.
11(x, t) =
A -
7[
2.
3.
11(x, I)
ll(X, f)
(x
- --
sin
SAL
CJ/
x [k). 11 cos
I)
7[2
11=
2w
--
7[
C'Jf
'
e-k(211- I ) 2 rr 2 tC(2L) 2
oc
--
I'
(211 -
11= I
L)A
e-k(211-1 )2rr2r,'L2
---
--
(211
oc
n=l
w sin
1)2
sin(11nx/L)
11(k 2
<Jf -
x;,
(!)2)
kl.,,e-k;_,,t]
cos(2~ - -1)
nx
L
332
4.
u(x. I) =
H'(X.
1I
x cos wr where
Ii.-
f''
oc
w(x, I) = 81:JL
~
7
I)"+
( -
--
11= l
1)-
211
e-ki,,(-ri
sin en ch
')
!
x sin \ ;. 11 x
1) 2 7i. 2
(211 -
(11
4L2
5.
+ x/7i., where
H(x, 1)
11(x, r)
2/z ~
7i.
r(x. 1)
11
[1 -
if_
(-1 )II
11
---
b11
sin nx
'
sin(~'l_-:___l)
n::::: 1
e-(li'+l)f]
h)
n=I
+ ~
cf>(x)
//(11 2
II= 1
+ -J
11(x. I)
(-1)
1r(x. I) =
6.
2, ... )
l.
x.
where
1(x, I)
2e-rr(-1)"+ 1
16
.,
7i.
n= 1
(211 -
211 -
1)2 + 4]
1) 2 [(211
e -u_,,,
sin
-II;--_}I' x
(''
i_
c/>(x)
b11
- 0
(211;
},11
7.
u(x. t) = (a 0 /2J
+ L,,";'~ 1
8.
11(x, 1)
where gll(r)
9.
11 =
"'- J' _.
~
n= I
11
f(.Y) sin(2
; - ) x dx
If
a,,e-k"'' cos nx
0, I, 2,.
e-k,_,,(t-rl
cos(nnx/L) dx,
11 =
O. 1. 2, _
Exercises 6.5
u(x, t)
2.
u(x, I)
3.
u(x, t)
2 er
r(x2\Ffr,
+ L)
1 r(x - L)
- 2er -zVfi .
HE -
A) erf(x/2\ kt)
-1-(A
B).
a,, = (2/n) x
g 11 (r)_ dr
1.
where
11
7i. 2 /L2 ,
II=
J'
1, 2, ....
where
11 ,. (/)
, ' =
0 e-ki,,(r-r) x
and g 11 (1) = (2/L) J~ g(x, t) x
333
5.
Let u(x, t) denote the solution of the problem (6.1 ), (6.2), where f is odd, and
define r(x, t) = -11( -x, t ). Then v is also a solution of (6.1 ), (6.2). Since the
solution is unique, u(x, t) = r(x. f); that is, u(x, t) = -11( -x, t ). Tf f is even,
set i(x, t) = 11( - x, t).
6.
Set s = (x -
9.
Let V(s, t) denote the Fourier transform of the solution L (x, 1). Then cV/ct
(ks 2 + h) V = 0, V(s, OJ = F(s), where F(s) is the Fourier transform of
Thus, V(x, t) = F(s)e-(ks'+"l' so that
r) ].
0
v(x, t)
e-IH
Joo
v 271
-hr
- e
---=-
F(s)e-ks't+i.1x ds
-c
J'lo
2vkrrr
11.
+
f
-(x-~)2,'(4kr)j"(") d"
c;
c;
-w
11(x, t) =
where (,'(x -
<:.
f -
r)
Exercises 6.6
4.
~ea'kr
u(x, r) = e"'k'cosh ax -
[e-axer[(a'\lkt -
;
2
6.
u(x, t)
7.
u(x, t)
)l
[G(x
c;, r - r)
8.
10.
11.
u(x, t) =
(k)112 ('
Jo
Tr
12.
u(x, t) =
2e-r': 2
-
rr
13.
11(x, t) =
e-k.''' cos
+ s2
sx
- ds.
1_= ('"'
2'\ 1Im t a
[/'(~) -
~! h(r) dr.
r(x, t) =
14.
("'.
334
15.
11(x. I) =
e- 1"dx.
1).
exercises.
16.
11(.1.11
(aAix)[I -
Chapter 7
Exercises 7. 1
2.
3.
Let
5.
Let 11 1 and
and cu/( II
u;
11 2
c.
+ h11 =
6.
By Greens theorem
JJ
rI11L11 dx dy
v'
If
11 1
i: [ (I
ex
Jc.r
+ e'11;1 dx (~V
L11
11;
e''u~.)
dx dy
7.
(1
0. since
11 1 -
11
'
]
.c)11,
u(-e-"11, dx
11
11 2 ,
x 2 11, d_l') = 0
then
k11
ey
and
11L11
ex
[ii +x 2 J1111,]+
Bv Green's theorem.
JJ
11Lu dx dy
8.
(1
+ v 2 )u;J c1x
di
0.
ri'
,. ,. [(!, x 2 1u~ +
11
= 0.
If
r
v
r(111:\11
!111
II~+ II~)
0 in D.
dx dy
11
0 on
hu
r r(11;
d1
c,
335
11~)
dx dy
11 =:o
0.
Exercises 7.2
2
(l/r )u 00
= 0.
1.
!111 =
2.
3.
11,,
(1/r)u,
2
+ i,,,,
rec
(0 <
s
s
Then i(r, 0) =
r(~,
0) = f(ae< l
(0
r(O,
I/)
(Q
l(~. b)
(Q 0:: ~
< oc)
"
I/ s
s
b)
X)
6.
7.
8.
If
9.
11.
11
11 -
1.
::=: O
attains a maximum in D, then /'i.u ::; 0, contradicting the fact that q > O.
has a positive maximum at a point in D. then at that point /'i.u ::; 0, contradicting the fact that h11 > 0.
11
Let 1: = u + r.x 2
maximum in D.
\I
ith c > 0.
Exercises 7 .3
1.
u(x, y)
11=
1111
l....
Sill -
o,1nh 1m
where
b,,
2 ,.,, .
. wrx
j L1) s111
a 0
2.
ll(X, y) =
b sinh(mrx/bl .
l....
11=
Sill
II
y) _.
= -- - - - -
3.
11(x. y)
4.
11(x, y) = x(n -
sill
sinh 2n
w(x, y) = -
71
~
n=l
mry
sinh(mra/b)
dx
2x
(11 =
J, 2, ... ).
sinh 2x .
sm 2y.
sinh 2n
+ - - -
x)/2 -
w, where
(2n
I )3
sinh(211 -
I )(7T__- }')__~siri_h(2n
sinh(2n - l)n
336
5.
Set w(x, y) = Ll(x, y) - cos x and solve the problem Aw = 0, w(O, y) = -1,
w(n, y) = I, wy(x, 0) = 0, w(x, 1) = - cos x.
6.
Set w(x, y) =
w(I, y) = (y
LI -
7.
Define v(x, y) = - Ll(y, x). Then /':,.v = 0, v(O, y) = 0, v(a, y) = f(y), v(x, 0) =
0, and v(x, a) = -/(x). Thus, v is also a solution of the problemc Since the
solution LI is uniquely determined, u(x, y) = v(x, y); that is, Ll(x, y) = - u(y, x).
In particular, setting x = y, there follows u(x, x) = - u(x, x) = 0.
8.
9.
ucx, Yl =
fcosh(~ ; I) x cos(2n; !) y
1
+
where
00
10.
u(x, y) =
A"=
sinh(h
sinh(h
f(x) cos(2n;
+
+
n= 1
00
u(x, y) = A -
~ an
n n= 1
u(x, y) =
(11 = 1, 2, ... )
(n = 1, 2, ... ).
nny
cos - -
n sinh(nna/b)
11=
u(x, y) = A
13.
1) ]
cosh[nn(x - a)/b]
nny
------:- - - - cos - n smh(nna/ b)
b
a_n cosh(nnx/ b)
'-'
n n= i
_ a
v.here
n 2 ) 112y .
n 2 ) 112 n
12.
1
) x dx
y cos (2n
- - -
b - - - - - - - sm nx
11.
1)
and b,,
!y +
~2 ~ rcosh[(2n -:::___!)(n
--:___YJL+
n=l
cosh(2_11_----=----1_L.v]
117!:
x cos(2n - l)x.
14.
u(x, y) = -
15.
u(x, y) = a 0
cosh(x - n)
--.
- - - cosy -
smh n
-
2n
00
8 00 cosh(2n - l)(y - n)
~
--- --- ---- ---- cos(2n - l)x.
2n n=l
(211 - 1) 3 sinh(2n - 1)
sinh ny
-.--cos nx
n= 1 smh nn
(n = 1, 2, ... ).
16.
u(x, y) =
~ an ~os~[( 2 n
cos(?~- 1 )
nJ/ 2_J
l)n/2]
l)(y -
cosh[(2n -
n=l
337
h,,
sin[(2n - l)(x - n)/2] . ("211 - ])
(211 - l)
~~sh-[(211 - -o~/2) sm -2- - Y
11=1
where
a 11 =
71
Jo
2 {" g(y) sm
. (211
--- - 2
b,, =
71
(n=l,2, ... )
1)
(n=l,2, ... )
y dy
Exercises 7.4
1.
2.
t +
lr 3 sin 30.
tr cos 20
r sin 8.
= t(a + x - y ).
= i(x 4 - 6x 2 y 2 + y 4 )
2
3.
11(x, y)
4.
u(x, y)
5.
Set i(r, 8) = u(r. 8) + u(r, - 8). Then Llv = 0 and v(a, 8) = /(8) + f( - 8) =
/(8) - f(8) = 0. Hence, v
0; that is, u(r, - 8) = - u(r, 8). In particular,
u(r, 0) = - u(r, 0) = 0.
6.
7.
2(x 2
6.
8.
9.
10.
u(r,8) = (o: 0
+ [J 0 lnr)/2 +
I,;;~
1 [(o. 11 r"
+ /3,,r-")cos11() +
(y/'
+ b r-")sin118],
11
\\here
o. 0
et 0
+ /3 0 In a
+ /3 0 In b
rxna" + /3,,a- = 0
etnb" + f311b-n = an
11
a0
}'
with
et,,
12.
Define /(8)
Problem JO.
13.
u(r, ()) = -
~
n= 1
f( - ()) for -
71
/3,, =
11
/J"
(I /71)
b11 b-n = b 11
= 1,2, ....
lf
71
- bn
sinh _!1_
(8 sinh [1171/\n(b/ a)]
ln(b/a)
71)] sin f - mr
lJn-(b/a)
In
where
b 11 =
l;;-(b~)
Jln(b/a)
0
f(ae ) sm
nnf;
ln(b/~)
..
de;
....
'J
338
Exercises 7.5
3.
4.
For r < a,
111
+ -r 11<0.
0)
and
11(r, @) 2:
2:
f"
I a2 - r 2
2i1 (a -'- r) 2
a -
u(a,
c/JJ
def;
, -rr
11(0. 0)
a+ r
5.
8.
11.
Let r
--->
oc in Harnack's inequality.
\3
2
11(r,O) =
[K*(a,r,0,</J) - K*(a.1,0.1[ - c/!l]f(<j;)dqJ.whereK*(a,r,O.c/>)
K(a, r, 0 _ qJ) - K(a, r, 0 + </Jl.
Since
~11 =
JJJ
1 ~'11 ds
J Cll
s'
/';.u
d~ d11 d(
that
Define
U(x, y, z; r)
u(~. 11.
()sin de/! dO
4n o2;r , ""
o
Then
~~~1 (~.
()U
or
so that U is independent of r.
U(x, y, z; 0) = u(x, y, z).
12.
11. () sin
er
Therefore,
111
d</J dO
particular, U(x. y. z; a)
Suppose ~11 > 0 at a point (x, y, z). There is a sphere S of radius r about this
point throughout which ~11 > 0. Consider
u(x, y, z) = - l
4n
339
I
4:rr
er
J J
0
'j' ~
Js
4:rrr 2
d d(J
cr
11
dS =
I vI .)
4nr-
011
6.11
Exercises 7.6
I.
u(r, 8)
2.
/2) sin 20
(r 3 /24)
sin 3{i
u(r, ri) = (r
4.
u(x, y) =
-!,-; 3
5.
u(x, y) =
1x
8.
u(r, ri) =
(C1' 0 /2)
10.
u(r, ri) =
(:1 0 /2)
-!x 2 y
xy 2
C.
+ C.
+ 6y + C.
3.
C.
J + r 2]
cos(8 + </!) + r 2 )
2ar cos(O -
2ar
(a 2 -
2ar cos(8 -
d</J.
) +
Exercises 7.7
3.
u(x, y) = y
:rr
4.
u(x, y)
6.
u(x, y) = -
:rr
J"' lf
J"' f
7.
u(x, y)
f,,)2
[x2
(y -
cosh sy .
-- Sill
cosh sb
(x
,., Jx
:rr
--I
~
..._,
y2
11)2
SX
_\
<;)
(x -
x2
(y
J /(<',,) df,,.
y2
17)2_
/(11) d17.
ds.
SIO .1.;
(211-]) y
bn - e -(2n-l)x/2 cos - - -
11~1 (217 -
1)
where
b,.
8.
9.
u(x, y) =
u(r, 8) =
2
n
2
:rr
10.
u(x, y) =
2n
Joo
0
sinh sy
- cos sx
s cosh s:rr
J"'
0
cosh sb
2
112
dy
Joo /(<;)cos
_ s;_d.;_ds.
0
1
r
J
1
sinh(s
+ h) y sm
.
- sx
sinh(s 2 + lz)n
/(p) sin(s Jn
) dp ds.
P,
00
"
r 2 )] ddJ.
340
00
11.
u(x, y) =
11=1
13.
14.
1
u(x, y) = - -
2n
u(x, y) =
u(x, y) =
Jnl:~___(Y_::lx2 + (y +
2n
16.
~) 2 +
y ][(x -
dC,.
]}
f'"
g(17)
f "
g(17) In{ [x 2 + (y -
2n )o
15.
J. 2, ....
II=
Jo
2
l/)
17)2
17J
d17.
][x 2 +
2
1/) ]} d17.
(y
Exercises 7.8
3.
(x
= (x2
= p
= (x 2
y1)p2 2
2a2(x.;
+ Y- - 2a2
--
(X<;
pl
)'I/)
5.
<J
}"I/)
a4
a2 I/ ).
p2
Q4
p4
eO
(<.,,
I/ )
21
e;
p,
In a
2n
x
+ --l E
2nn=lll
118
sin 11 sin
118].
Assume q(1, 8) = o: 0 /2 + L::'= 1 v"(a,, cos 118 + b 11 sin 118). Equating this to the
boundary condition when 1 = a yields a 0 = - ( l /n) Jn a, a,, = (I /2nn) x
(p/a)" cos 11 and b11 = (l/2m1)(p/a)" sin 11, 11 2: I. Hence.
q(l', 8) =
_I In
a -
2n
-I In
a -
2n
6.
q(r,
8; p, c/y) =
I_
Inl a4
4n
I_
1- ln [ a 4 -
a4
'
2apv
cos({} -
,1.,
'+')
4n
ln[a 4
2a 2 pv cos(B -
c/y) + v2 p 2 )
4n
In{[a 4
2a 2 pi cos(O - )
4n
x [v 2
2vp cos(O
+ c/y) +
p 2 )}.
v2p2 ]
' ']
pi-
1Jl
e;
7.
8.
II.
CLY, J; , 17) =
C*(r,
4n
fl. (Pi -
ln:[(x - ) 2
C*(1, 8; p.
(1
;r -
341
l.
17)
j[(x
+ 02
-i- (y
2
1n ]j
Index
B
Backward wave, 83, 85, 88, 110
Bessel equation, 18, 142
function, 142
Bessel's inequality, 152, 178
Bilinear expansion, 154, 157, 224
Boundary conditions, 42, 121
elastic, 74
first kind, 74
fixed, 74
free, 74
periodic, I 38, 165
second kind, 74, 215-216
third kind, 74, 215-216
Boundary value problems, 42, 121,
252-253, 278, 284
Bounded function, 2
D
d'Alembert"s formula, 78, 87, 91, 95, 102,
104, 108
Derivatives
directional, 28-29
left-hand and right-hand, 2
mixed, 9
c
Canonical forms of second order
equations, 62
343
..
344
Derivatives (cont.)
normal, 30-31
partial, 7, 8
Differentiation
or improper integrals, 25
integrals depending on a parameter, 15-18
series, 21
Dirichlet condition (See Boundary
condition of first kind)
Dirichlet for mu la, J 84
Dirichlet problem, 252
in annulus region, 271
disk, 267
exterior problem, 278
infinite domain, 285
rectangle, 260
Domain (or interval) of dependence, 87,
108, I JO
Duhamel's principle, 94, 236, 242
E
Eigenvalue, 116, 139
Eigenfunction, 116, 139
Eigenfunction expansion, 148-149, 225 (See
also Bilinear expansion)
Elliptic equation, 62
reduction to canonical form, 67-68
Energy integral, 97
Error function, 240, 242
Even function, 98, 171
extension, 104, 173, 202
F
Forward wave, 83, 85, 88, 109
Fourier coefficients, 118, 149
Fourier cosine integral formula, 202
Fourier cosine series, 173
convergence, 187
uniform convergence, 192
Fourier cosine transform, 209
Fourier integral formula, 199
complex form, 207
convergence, 199
Fourier inverse transform, 208
Fourier series, 166
complex form, 169-170
convergence, 185
generalized, 149
uniform convergence, 192
Fourier sine integral formula, 202
Fourier sine series, 118, 174
convergence, 187
uniform convergence, 192
Index
Fourier sine transform, 209
Fourier transform, 208, 236-237, 241,
285286
Fundamental solution
heat equation, 239
Laplace's equation, 294
Fundamental theorem of calculus, 5
G
General solution, 39-41
first-order equation, 51
second-order equation, 57
Generalized solution, 79, 119
Green's formula, 133
Green's function for
a disk, 299, 301
heat equation, 225, 239
Laplace's equation, 297-298
ordinary differential equations, 127-128,
136
the half plane, 302
Green's theorem, 32, 253
first identity, 34, 254
second identity, 34
H
Hadamard's example, 252
Harmonic conjugate, 282
Harmonic function, 257
circular harmonics, 268
rectangular harmonics, 261
Harnack's inequality, 278
Heat equation, 214
Helmholtz equation, 49, 256
Homogeneous differential equation, 45
Homogeneous boundary value problem, 121
Hyperbolic equation, 62
reduction to canonical form, 62-65
I
Improper integral, 23
Initial-boundary value problems, 42
wave equation, 97-98, 102
heat equation, 225, 227, 243
Initial conditions, 42
first order equations, 53
heat equation, 215
wave equation, 74
Initial value problems, 42
first order equations, 53-54
Index
Initial value problems (cont.)
heat equation, 216, 236-239
wave equation, 74, 77, 90
Integration of
Fourier series, 195, 196-197
improper integral, 24-25
series, 20
345
Neumann problem (cor1t.)
necessary condition for solution, 255
rectangle, 266
Nonhomogeneous boundary value
problems, 125-127, 131, 154-156
Nonhomogeneous initial-boundary value
problems, 108-112. 229-235
Nonhomogeneous initial value problems,
90-92, 240-241
J
Jump discontinuity, 1
K
Kronecker delta, 145
0
Odd function, 98, 171
extension, 98, 102, 174, 202
Orthogonality of eigenfunctions, 118, 143,
144
Orthogonal system, 145, 163
completeness, 153, 194
Orthonormal system, 145
L
Laplace's equation, 250
Legendre's equation and polynomials,
147-148
Leibnitz rule, 16
Limit, Jefl-hand and right-hand,
Line integral, 32-33
Linear combination, 44
Linear independence, 148
Linear operator, 44--45
M
Maximum principle
heat equation, 218-219
Laplace's equation, 257, 276
Mean value property of harmonic functions
two variables, 274
three variables, 279
Mean value theorems, 5, 6
N
Neumann condition (See Boundary
condition of second kind)
Neumann's function, 306
in a disk, 307
in the half plane, 308
Neumann problem, 253
in a disk, 279
exterior problem, 284
half plane, 291
p
Parabolic differential equation, 62
reduction to canonical form, 66-67
Partial differential equation, 36, 45
first order equation, 49
linear equation, 37, 45
second order equation, 37, 56, 62
Parseval's equation, 153, 193
generalized, 194
Period, 4
Periodic function, 4
extension, 167-168, 173-174
Poisson's equation, 251, 253. 256
Poisson's integral formula, 273, 287
Poisson's kernel, 274
Principle of wperposition, 45-46
Propagation of waves, 88-89
R
Radiation equation, 214
Reflection of waves, 109-110, 112
Region of influence, 89-90
Riemann-Lesbegue theorem, 179-181
Robin problem, 253
s
Self-adjoint equation, 122
Separation of variables method, 114, 223,
227, 230, 234, 260, 267
346
Simple closed curie, 32
Smooth runction, 3
piece11 ise smooth. 3
Square integrabk function, J 53
Sturm-Liouville equation, 122
problem, 115, 138-139, 154-156
u
Uniqueness or solution
Dirichlet problem, 254
heat flow problem, 219, 220
initial \alue problem ror 11ave equation.
95-97, JOO, 105-106
Index
Neumann problem, 254
Robin problem, 255
w
Wa1e equation, 71
nonhomogeneous, 73, 90
damped, 95, 107, 114
Weierstrass M-test for
integrals, 24
series, 19
Weight function, 143
Well-posed problem, 78, 220, 259
Wronskian, 123, 126