Further PDEs 11

1 Eigenfunction Expansions

1.1 Matrices
Consider the linear system of equations

Ax = b, (1.1)

where A is a real symmetric N N matrix and x and b are column vectors of length
N.
The right eigenvectors en of A, with corresponding eigenvalues n , satisfy

Aen = n en .

These are orthogonal and by an appropriate scaling may be made orthonormal, so that

eTn em = nm

where 
1 if n = m,
nm =
0 if n =
6 m.
is the Kronecker delta.
[Proof: consider eTm Aen = eTm n en = (AT em )T en = (Aem )T en = m eTm en . If n 6= m
then eTm en = 0. For eigenvalues of multiplicity greater than one choose an orthonormal
basis of the corresponding eigenspace.]

Proposition 1.1. We can write the identity matrix I as

N
X
I= en eTn .
n=1

Proof. !
N
X N
X
en eTn em = en nm = em = Iem .
n=1 n=1
12 OCIAM Mathematical Institute University of Oxford

Since the vectors em form a basis we conclude that

N
X
en eTn = I.
n=1

Proposition 1.2. We can write A as

N
X
A= n en eTn .
n=1

Proof. Again, we consider the action of the matrix on the basis vectors em .
N
! N
X X
T
n en en em = n en nm = m em = Aem .
n=1 n=1

Proposition 1.3. We can write A1 as

N
1
X en eT n
A = .
n=1
n

Proof. We left multiply equation (1.1) by eTn :

eTn Ax = eTn b
(AT en )T x = eTn b
(Aen )T x = eTn b
n eTn x = eTn b

If n 6= 0 then
1 T
eTn x = e b
n n
Now !
N N N
X X 1 X en eTn
x = A1 b = en eTn x = en eTn b = b
n=1 n=1
n n=1
n
Since b is arbitrary the proposition is proved.
Further PDEs 13

This is just another way of writing

eT1
1 0 0

0 2 0
..

A= e1 eN .. .. .. = EE T ,

... .
. . .



0 0 N
eTN

A1 = (EE T )1 = (E T )1 1 E 1 = E1 E T

1 eT1
1 0 0
0 1

=

2 0
..

e1 eN .. .. .. ,

. . .
. . . .
1
0 0 N
eTN

Note
E T E = EE T = I.

Exercise (problem sheet 1) Suppose 1 = 0, n 6= 0 for n 6= 1. Show that when

eT1 b 6= 0 there is no solution to Ax = b, while when eT1 b = 0 the solution is
N
X en eT n
x= b + e1 ,
n=2
n

where is arbitrary.

1.2 Functions
Consider the Sturm-Liouville problem

Lu = f

for functions u(x) with x [a, b] with suitable boundary conditions, where L is self-
adjoint, so that Z b Z b
v(x)Lu(x) dx = u(x)Lv(x) dx.
a a
Let us use the notation Z b
hu, vi = u(x)v(x) dx.
a
14 OCIAM Mathematical Institute University of Oxford

Sturm-Liouville problems have complete sets of orthonormal eigenfunctions n (x) such

that
Ln = n n
and
hn , m i = nm .
[Why?
hm , Ln i = n hm , n i = hLm , n i = m hn , m i.
Thus
(n m )hn , m i = 0,
so that n 6= m implies hn , m i = 0.]
How do we approximate a function f using the eigenfunctions n ? Let us minimise
X X X
||f i i ||2 = hf i i , f j j i
i i j
X X X
= hf, f j j i i hi , f j j i
j i j
X X XX
= hf, f i j hf, j i i hi , f i + i j hi , j i
j i i j
X X
2
= ||f || 2 i hf, i i + i2 .
i i

Now complete the square on i to give

X X X
||f i i ||2 = (i hf, i i)2 + ||f ||2 hf, i i2 .
i i i

The only dependence on i is in the first term, which is minimised by taking i = hf, i i.
This leaves X X
0 ||f i i ||2 = ||f ||2 hf, i i2 .
i i

This gives Bessels inequality:

X
||f ||2 hf, i i2 .
i

i i ||2 = 0, giving Parsevals theorem:

P
If the i are complete then ||f i
X
||f ||2 = hf, i i2 .
i
Further PDEs 15

Thus we have
X X
f (x) = i i (x) = hf, i ii (x)
i i
!
XZ b Z b X
= f ()i () di (x) = i ()i (x) f () d.
i a a i

But this means that X

i ()i (x) = (x ).
i

This is the equivalent of X

en eTn = I
n

for the case of matrices.

Now we can solve the linear equation

Lu = f

(with the same boundary conditions as before). Taking the inner product with n gives

hn , f i = hn , Lui = hLn , ui = n hn , ui.

Therefore
hn , f i
hn , ui =
n
provided n 6= 0. Then
X X 1
u= hn , uin = hn , f in .
n i
n

Thus
Z b
X 1
u(x) = n ()f () dn (x)
n=1
n a
Z b X
!
n ()n (x)
= f () d
a n=1
n
Z b
= G(x, )f () d
a

where
X n ()n (x)
G(x, ) = = G(, x).
n=1
n
16 OCIAM Mathematical Institute University of Oxford

Thus is the equivalent of

N
1
X en eT n
A = = (A1 )T
n=1
n
for real symmetric matrices.
P
We should not be surprised by this expression for G. For any function u = n=1 n n
with n = hu, n i,
X
Lu = n n n ,
n=1

!
X X
2
L u=L n n n = n 2n n ,
n=1 n=1

and so

X
(k)
L u= n kn n ,
n=1

for any k. Thus, if g(x) is a polynomial we can define the operator g(L) by

X
g(L)u = n g(n )n .
n=1

If g is analytic the same definition is reasonable. Thus the inverse operator g(L) = L1
is
X
1
L u= n 1
n n .
n=1

Thus
Z b  b
n (x) n (x)n ()
X X Z X
1
L f= hf, n i1
n n = f ()n () d = f () d.
n=1 n=1 a n a n=1 n

Example 1.1. Waves on a string Consider

2u 1 2u
= f (x) cos(t)
x2 c2 t2
for 0 x , t 0, with u(0, t) = u(, t) = 0. Try u(x, t) = U (x) cos(t) with
U (0) = U () = 0. This gives the forced Helmholtz equation

d2 U
+ k2U = f
dx2
Further PDEs 17

with k = /c 6 Z. Thus

d2 U
LU = + k2U with U (0) = U () = 0.
dx2
The eigenfunctions are
r
2
n (x) = sin(nx),

with eigenvalues
n = k 2 n2 , for n = 1, 2, . . .
Thus the Greens function is

X n (x)n () 2 X sin(nx) sin(n)
G(x, ) = = ,
n=1
n n=1 k 2 n2

and
 Z 
2X 1
U (x) = sin(n)f () d sin(nx).
n=1 k 2 n2 0

If we solve
LG = (x ), G(0) = G() = 0
we find
sin(kx) sin(k( ))


0x<<
G(x, ) = k sin k
sin(k) sin(k( x)) 0 < x

k sin k
(see problem sheet 1). How can we relate these two expressions for G? Consider

sin(kx) sin(k( ))
F (k) =
k sin k
for x < as a function of k. A general complex function F (k) with poles but no branch
points can always be written
X res(F, kn )
F (k) = + entire function (1.2)
n
k kn

where res(F, kn ) is the residue of F at the pole kn . In this case our F (k) has simple
poles at k = 1, 2, . . . and a removable singularity at k = 0. To find the residue at
18 OCIAM Mathematical Institute University of Oxford

k = n put k = n + and expand for small

sin((n + )x) sin((n + )( ))

F (n + ) =
(n + ) sin(n + )
sin(nx) sin(n( ))

n(1)n
sin(nx) sin(n)
.
n
Thus
sin(nx) sin(n)
res(F, n) = .
n
To eliminate the entire function in (1.2) we need to estimate the behaviour of G as
|k| . We find

1 e|Im(k)|x e|Im(k)|() e|Im(k)|(x)

|G| = 0
2|k| e|Im(k)| 2|k|

as |k| since x < . Thus the entire function is zero by Liouvilles theorem.
Therefore, for x < ,
X sin(nx) sin(n)  
X sin(nx) sin(n) sin(nx) sin(n)
G(x, ) = =
n6=0
n(k n) n=1
n(k n) n(k + n)
 
X sin(nx) sin(n) 1 1
=
n=1
n (k n) (k + n)

X sin(nx) sin(n) 2n 2 X sin(nx) sin(n)
= = ,
n=1
n k 2 n2 n=1 k 2 n2

as required.


Further PDEs 21

2 Fourier Transform

2.1 Continuous spectrum

Consider the modified Helmholtz equation
d2 U
2 U = f (x) (2.1)
dx2
with U bounded as |x| . The corresponding eigenvalue problem is
d2 U
LU = 2 U = U.
dx2
The bounded solutions are
U = eikx
with corresponding eigenvalue (k) = (k 2 + 2 ). In this case k is not limited to a
discrete set but can take any real value.
Let us solve equation (2.1) by Fourier transform. Define
Z
U (k) = U (x)eikx dx.

Then, applying this operator to equation (2.1),

k 2 U 2 U = f.
Thus
f
U = . (2.2)
k 2 + 2
Inverting the transform gives
f(k)
Z Z
1 ikx 1
U (x) = U (k)e dk = 2 2
eikx dk
2 2 (k + )
Z Z
1 f ()
= 2 2
eik eikx d dk
2 (k + )
Z
= G(x, )f () d

22 OCIAM Mathematical Institute University of Oxford

where

1 eik eikx k ()k (x)
Z Z
G(x, ) = dk = dk
2 (k 2 + 2 ) (k)
where
eikx
k (x) = and (k) = (k 2 + 2 ).
2
This is the continuous version of

X n ()n (x)
G(x, ) = ,
n=1
n

in which the sum over n becomes an integral over k.

The Fourier transform is an expansion in the eigenfunctions
eikx
k (x) =
2
of d/dx with eigenvalues ik.
Note that it is possible for an eigenvalue problem to have bother a continuous and
discrete spectrum. For example, the Schrodinger equation
d2
 
2 + V (x) =
dx

with V (x) 0 and V (x) 0 as |x| has a discrete spectrum with n ekn |x| as
|x| and a continuous spectrum with k eikx as |x| .

2.2 Fourier Transform

We saw above that the Fourier transform is an expansion in the eigenfunctions
eikx
k (x) =
2
of d/dx with eigenvalues ik. The pure imaginary eigenvalue ensures the eigenfunctions
are bounded as x .
The forward Fourier transform is
Z
F (k) = f (x)eikx dx.

Further PDEs 23

The inverse Fourier transform is

1
Z
f (x) = F (k)eikx dk.
2

Putting these two together gives

Z Z Z  Z 
1 ikx ik 1 ikx ik
f (x) = dk e d e f () = e e dk f ()d.
2 2

Thus

1 eikx eik
Z Z Z
ik(x)
(x ) = e dk = dk = k (x)k () dk.
2 2 2

Note that the inverse Fourier transform is really an eigenfunction expansion in the
eigenfunctions of d/dx:
Z Z
1 ikx F (k)
f (x) = F (k)e dk = k (x) dk
2 2
where
eikx
k (x) = .
2
Compare to X
f (x) = hf, n in (x)
n

in the discrete case. In fact, to complete the correspondence, we should use the sym-
metric Fourier transform, in which the forward Fourier transform is
Z Z
1 ikx
F (k) = f (x)e dx = f (x)k (x) dx
2

and the inverse Fourier transform is

Z Z
1 ikx
f (x) = F (k)e dk = F (k)k (x) dk.
2

2.2.1 Properties of Fourier Transforms

If g(x) = f (x) then
Z Z
ikx ikx
f (x)eikx dx = ikF (k).
 
G(k) = f (x)e dx = f (x)e ik

24 OCIAM Mathematical Institute University of Oxford

Thus differentiation becomes multiplication by ik (the eigenvalue of d/dx).

If g(x) = f (x a) with a constant then
Z Z
ikx
G(k) = f (x a)e dx = f (z)eik(a+z) dz = eika F (k)

by putting x = a + z. Thus translation becomes multiplication by a phase.

Conversely, if g(x) = eiax f (x) then
Z Z
iax ikx
G(k) = e f (x)e dx = f (x)ei(k+a)x dx = F (k + a).

Theorem 2.1. Convolution Theorem. If

Z
h(x) = g(x y)f (y) dy

then
H(k) = G(k)F (k).

Proof. We can use the shift formula:

Z Z 
H(k) = g(x y)f (y) dy eikx dx
Z
Z


ikx
= g(x y)e dx f (y) dy

Z
= eiky G(k) f (y) dy = G(k)F (k).

Theorem 2.2. Plancharel Theorem Equivalent to Parseval for sums.

Z Z
2 1
|f (x)| dx = |F (k)|2 dk.
2

2.3 Examples
Example 2.1. Transform of a delta function.
Z
(x) = (x)eikx dx = 1.

Further PDEs 25

The inverse transform is

1
Z
(x) = eikx dx.
2

Similarly

1
Z Z
ikx
1 = e dx = 2(k), 1= 2(k)eikx dk.
2

Example 2.2. Consider f (x) = ea|x| . The Fourier transform is

0 0 
e(a+ik)x e(a+ik)x
Z Z  
ax ikx ax ikx
F (k) = e e dx + e e dx = +
0 a + ik a + ik 0
1 1 2a
= = 2 .
a + ik a + ik a + k2

The inverse transform, for x > 0 say, is

1 2aeikx
Z
f (x) = dk.
2 a2 + k 2

Since Re(ikx) = Im(k)x for x real, eikx is exponentially small in the lower half plane
if x > 0. Close the contour with a large semi-circular arc in the lower half-plane. The
contribution from the circular arc tends to zero as the arc tends to infinity (Jordans
lemma). We are left with the residue contribution from the pole at k = ia, which we
are circling clockwise. Thus, for x > 0,

1 2aeax
f (x) = 2i = eax .
2 2ia

For x < 0 close with a semicircular contour in the upper half plane to get

1 2aeax
f (x) = 2i = eax .
2 2ia

Together f (x) = ea|x| as expected.


26 OCIAM Mathematical Institute University of Oxford

2.4 Laplace Transform

Suppose we have a function which is only defined for t 0. If we do not care about
t 0 we may set f = 0 for t < 0. The Fourier transform of f is then
Z
F (k) = eikt f (t) dt
0

with inverse
1
Z
f (t) = eikt F (k) dk.
2

If F (k) exists for real k it is analytic in the upper half k-plane. Now we make the change
of variables k = ip with p > 0 we find
Z
F (ip) = ept f (t) dt
0

with inverse
i i
i 1
Z Z
pt
f (t) = e F (ip) dp = ept F (ip) dp.
2 i 2i i

The quantity F (ip) is the Laplace transform of f . In fact the Laplace transform also
exists for functions which grow at infinity (not too quickly), for which the Fourier trans-
form does not exist (for real k). In general, writing F (ip) = f(p), we have
Z Z c+i
1
f (p) = pt
e f (t) dt, f (t) = ept f(p) dp,
0 2i ci

where c is such that the inversion contour lies to the right all all sigularities of f in
the complex plane. This ensures that for t < 0 the contour can be deformed to infinity
giving f = 0 for t < 0.
Combining the transform and its inverse gives
Z c+i Z 
1 pt p
f (t) = e e f ( ) d dp
2i ci 0
Z  Z c+i 
1 p(t )
= e dp f ( ) d
0 2i ci
giving the resolution of the identity as
c+i
1
Z
( t) = ep(t ) dp.
2i ci
Further PDEs 31

3 Hankel transforms

3.1 Discrete eigenfunction expansion

3.1.1 Eigenfunctions
Consider axisymmetric eigenfunctions of the 2d Laplacian in plane polar coordinates

d2 u 1 du
+ = u, (3.1)
dr2 r dr
with u = 0 (say) on r = R. If we write = k 2 then the solutions to the equation are
the Bessel functions of order zero,

J0 (kr) and Y0 (kr).

Since Y0 is unbounded at the origin, we must have

u = cJ0 (kr).

The eigenvalues are determined by imposing the boundary condition

J0 (kR) = 0.

This equation has roots kn where 0 < k1 < k2 < k3 < .

The Sturm-Liouville form of (3.1) is
 
d du
Lu = r = ru = k 2 ru.
dr dr

The r on the RHS means that this doesnt quite fit into the framework of 1.2: there
is an extra weight function r which needs to be included in the integrals. With h, i
defined as before

kn2 hum , run i = hum , Lun i = hLum , un i = km

2
hrum , un i.
32 OCIAM Mathematical Institute University of Oxford

Thus, if n 6= m then
Z R Z R
um un r dr = 0, i.e. J0 (km r)J0 (kn r)r dr = 0.
0 0

To normalise the eigenfunctions we evaluate

R
R2
Z
J0 (kn r)2 r dr = J1 (kn R)2 .
0 2

Thus
J0 (kn r) 2
un = ,
R|J1 (kn R)|
satisfies Z R
un um r dr = nm .
0

We can now expand a given function f in terms of these eigenfunctions as

X
f (r) = cn un (r)
n=1

where Z R
cn = rf (r)un (r) dr.
0

Then
Z
!
X R  Z R X
f (r) = f ()un () d un (r) = un ()un (r) f () d,
n=1 0 0 n=1

so that

X X 2J0 (kn )J0 (kn r)
un ()un (r) = = ( r). (3.2)
n=1 n=1
R2 J1 (kn R)2

Note that this implies that

X X 2rJ0 (kn )J0 (kn r)
run ()un (r) = = ( r)
n=1 n=1
R2 J1 (kn R)2

also.
Further PDEs 33

3.1.2 Inhomogeneous equation

Now we can solve
d2 u 1 du
+ = f, (3.3)
dr2 r dr
with u = 0 on r = R via an eigenfunction expansion. Writing

X
X
u(r) = an un (r), f (r) = cn un (r)
n=1 n=1

gives

X
X
kn2 an un (r) = cn un (r).
n=1 n=1

Now multiply by rum (r) and integrate to give

2 cm
km am = c m i.e. am = 2
.
km

Thus

X cn un (r)
u(r) = .
n=1
kn2
Inserting our expression for cn gives
 Z R 
X un (r)
u(r) = f ()un () d
n=1 0 kn2
RX   R
run (r)un ()
Z Z
= f () d = G(, r)f () d
0 n=1
kn2 0

where the Greens function

X run (r)un () X run (r)un () X 2rJ0 (kn r)J0 (kn )
G(r, ) = = = 2 2 .
n=1
kn2 n=1
n n=1
kn R |J1 (kn R)|2

3.2 Hankel transform

Instead of a finite disc, now consider an infinite domain. We replace the discrete spec-
trum of eigenfunctions J0 (kn r) by a continuous spectrum J0 (kr) with continuous eigen-
value k.
34 OCIAM Mathematical Institute University of Oxford

The resolution of the identity is

Z
krJ0 (kr)J0 (k) dk = (r ). (3.4)
0

This is the continuous version of (3.2). This resolution of the identity tells us what the
transform pair is. The Hankel transform is
Z
u(k) = ru(r)J0 (kr) dr
0

with the inversion given by

Z
u(r) = ku(k)J0 (kr) dk.
0

Together we have
Z Z  Z Z 
u() = ru(r)J0 (kr) dr kJ0 (k) dk = krJ0 (kr)J0 (k) dk u(r) dr
0 0 0 0

giving (3.4).
To solve the inhomogeneous equation
d2 u 1 du
+ = f, (3.5)
dr2 r dr
with u decaying at infinity, apply the Hankel transform. On the left-hand side this gives
Z  2  Z  
d u 1 du d du
+ rJ0 (kr) dr = r J0 (kr) dr
0 dr2 r dr 0 dr dr
Z
du d
= r J0 (kr) dr
0 dr dr
Z 
d2

d
= u J0 (kr) + r 2 J0 (kr) dr
0 dr dr
Z
= k 2 urJ0 (kr) dr = k 2 u(k)
0

on integration by parts, where we have used the fact that J0 (kr) satisfies (3.1):
d2 1 d
2
J0 (kr) + J0 (kr) = k 2 J0 (kr). (3.6)
dr r dr
This is why the Hankel transform is the natural transform for this operator. Thus the
transformed equation is
k 2 u(k) = f
Further PDEs 35

i.e.
f
u(k) = .
k 2
Compare to (2.2). Inverting gives

fJ0 (k)
Z
u() = dk.
0 k

Inserting the expression for f we can try and find the Greens function

f Z Z 
kJ0 (k)
Z
u() = kJ 0 (k) dk = ru(r)J 0 (kr) dr dk
0 k 2 0 0 k 2
Z Z 
rkJ0 (kr)J0 (k)
= dk u(r) dr
k 2
Z0 0

= G(, r)u(r) dr.

0

where
rkJ0 (kr)J0 (k) rkJ0 (kr)J0 (k)
Z Z
G(, r) = dk = dk. (3.7)
0 k 2 0 (k)
Unfortunately in this case this doesnt quite work because the resulting integral doesnt
exist. This is associated with the fact the Greens function behaves like log r at infinity
(see example 3.2).

3.3 Examples
Example 3.1. Greens function for modified Helmholtz eqn.
The Greens function for the modified Helmholtz equation in 2d satisfies

2 G 2 G = (x)(y)

with G decaying at infinity. The solution is axisymmetric, giving

d2 G 1 dG r (r)
2
+ 2 G = ,
dr r dr 2r
where r (r) is the half-range radial -function:
2
r (r)
Z Z Z Z Z
1= (x)(y) dx dy = r dr d = r (r) dr.
0 0 2r 0
36 OCIAM Mathematical Institute University of Oxford

Taking a Hankel transform gives

r (r) J0 (0) 1
Z
2 2
k G G = rJ0 (kr) dr = = .
0 2r 2 2
Thus
1
G = .
2(k 2 + 2 )
Inverting gives Z
1 kJ0 (kr) 1
G= 2 2
dk = K0 (r). (3.8)
2 0 k + 2
The evaluation of the integral is via contour deformation with residues at k = i.


Example 3.2. Greens function for Laplace eqn. If = 0 we have instead Laplaces
eqn. Unfortunately we cannot apply the Hankel transform directly in this case because
G grows at infinity.
We can try to take the limit 0 in the previous example. However the integral in
(3.8) fails to exist when = 0 [of course we can take the limit 0 in K0 (r)].
One way out is to differentiate with respect to r to give
Z 2
dG 1 k J0 (kr)
= dk.
dr 2 0 k 2 + 2
Now we can safely let 0 to give
Z  
dG 1 1 J0 (kr) 1
= J0 (kr) dk = = .
dr 2 0 2 r 0 2r
Thus
1
G= log r
2
as expected.

3.4 Direct proof of inversion formula

Suppose f () is analytic in some region containing [a, b]. Consider
Z Z b 
I(t) = zf (z)J0 (kz) dz kJ0 (kt) dk.
0 a
Further PDEs 37

The part in parentheses is the forward Hankel transform of the function


f (z) a < z < b,
0 otherwise
To prove the inversion formula we need to show that I is equal this function. Recall the
Hankel functions
(1) (2)
H0 (kz) = J0 (kz) + iY0 (kz), H0 (kz) = J0 (kz) iY0 (kz).
(1) (2)
H0 decays exponentially in the upper half plane, H0 decays exponentially in the lower
half plane. We write
1  (1) (2)

J0 (kz) = H0 (kz) + H0 (kz) ,
2
giving
1 1
Z Z Z Z
(1) (2)
I(t) = zf (z)H0 (kz) dz kJ0 (kt) dk + zf (z)H0 (kz) dz kJ0 (kt) dk.
2 0 C+ 2 0 C

Use the decay of H0 to swap the order of integration

Z Z Z Z
1 (1) 1 (2)
I(t) = zf (z)H0 (kz)kJ0 (kt) dk dz + zf (z)H0 (kz)kJ0 (kt) dk dz
2 C+ 0 2 C 0
= I1 (t) + I2 (t),
say. Now (compare (3.6))
d2 1 d
J 0 (kt) + J0 (kt) = t2 J0 (kt),
dk 2 k dk
d2 () 1 d () ()
H0 (kz) + H (kz) = z 2 H0 (kz).
dk 2 k dk 0
Thus
Z B Z B  2 
2 (1) (1) d 1 d
t kH0 (kz)J0 (kt) dk = kH0 (kz) J0 (kt) + J0 (kt) dk
A A dk 2 k dk
Z B  
(1) d d
= H0 (kz) k J0 (kt) dk
A dk dk
  B Z B
(1) d d (1) d
= H0 (kz) k J0 (kt) + H0 (kz) k J0 (kt) dk
dk A A dk dk
 B Z B  
d (1) (1) d d d (1)
= kJ0 (kt) H0 (kz) kH0 (kz) J0 (kt) k H0 (kz) J0 (kt) dk
dk dk A A dk dk
 B Z B
d (1) (1) d (1)
= kJ0 (kt) H0 (kz) kH0 (kz) J0 (kt) + z 2 kH0 (kz)J0 (kt) dk.
dk dk A A
38 OCIAM Mathematical Institute University of Oxford

Thus
Z B h iB
2 2 (1) (1) (1)
(t z ) kH0 (kz)J0 (kt) dk = kzJ0 (kt)H0 (kz) ktH0 (kz)J0 (kt) .
A A

Let A 0 and B to find

Z  
2 2 (1) (1) (1)
(t z ) kH0 (kz)J0 (kt) dk = lim ktH0 (kz)J0 (kt) kzJ0 (kt)H0 (kz) .
0 k0

Now
J0 (kt) 1, J0 (kt) 0 as k 0
but
(1) 2i
H0 (kz) log(kz) as k 0

so that
(1) 2i
H0 (kz) as k 0
kz
Thus
2i 2i
Z
2 2 (1)
(t z ) kH0 (kz)J0 (kt) dk = lim kz = .
0 k0 kz
Similarly

2i
Z
2 2 (2)
(t z ) kH0 (kz)J0 (kt) dk = .
0
Therefore
i zf (z) i zf (z)
Z Z
I(t) = 2 2
dz dz
C+ z t C z 2 t 2
i zf (z)
I
= dz
C C+ z 2 t2
 
1 1 1
I
= f (z) + dz
2i C C+ zt z+t

f (t) a < t < b,
=
0 otherwise
as required.

3.5 Hankel transform as axisymmetric Fourier trans-

form
p
Suppose we have a function U (x, y) of two variables which depends only on r = x2 + y 2 ,
so that U (x, y) = u(r) say. If we take the Fourier transform in the two variables x and
Further PDEs 39

y then, with x = (x, y) and k = (k1 , k2 ),

Z Z Z 2 Z
ik1 x ik2 y
U (k1 , k2 ) = U (x, y)e e dx dy = eikx u(r)r dr d
0 0
Z 2 Z Z
= eikr cos u(r)r dr d = 2 ru(r)J0 (kr) dr = 2u(k)
0 0 0

where is the angle between x and k, and k = |k|. Here we have used the integral
representation of the Bessel function
Z 2
1
J0 (kr) = eikr cos d.
2 0
Inversion is given by
Z Z
1
U (x) = 2 eikx U (k) dk1 dk2
4
Z 2 Z
1
= eikr cos u(k)k d dk
2 0 0
Z  Z 2 
1 ikr cos
= e d u(k)k dk
0 2 0
Z
= J0 (kr)u(k)k dk = u(r).
0

Aside
The integral representation of the Bessel function can be derived from the generating
function
X
= ez/2(t1/t) = tn Jn (z).
n=
0
J0 (z) is the coefficient of t in the expansion of about t = 0. We can find this from
the Cauchy integral:
1
I
J0 (z) = dt
2i C t
where the integration is around the unit circle in the complex plane. Thus, using the
parametrisation t = iei for the unit circle,
2 i 1/iei ) 2
1 ez/2(t1/t) 1 ez/2(ie 1
I Z Z
i
J0 (z) = dt = (e ) d = eiz cos d.
2i C t 2i 0 iei 2 0
310 OCIAM Mathematical Institute University of Oxford

3.6 Parseval

Z Z Z
ku(k)v(k) dk = ku(k) rv(r)J0 (kr) dr dk
0 0 0
Z Z Z
= rv(r) ku(k)J0 (kr) dk dr = rv(r)u(r) dr.
0 0 0

3.7 Applications
Example 3.3. Point charge between two parallel plates Consider the following
Poisson equation in three dimensions:

2 = 4(x)(y)(z)

with = 0 on z = a. As in Example 3.1 we look for an axisymmetric solution

= (r, z), giving

2 1 2 r (r)
2
+ + 2 = 4 (z) = 2r (r)(z).
r r r z 2r

Now take the Hankel transform to give

2
k 2 + = 2(z),
z 2

with = 0 on z = a. Thus is the Greens function for the one-dimensional modified

Helmholtz equation. The solution is

sinh(k(z + a))

if z < 0,
sinh(k(a |z|))
k cosh(ka)
= =
k cosh(ka) sinh(k(a z))
if z > 0.


k cosh(ka)

Can easily check that this satisfies the equation for z 6= 0 and that
" #z=0+
h iz=0+
= 0, = 2.
z=0 z
z=0
Further PDEs 311

We can rewrite
eka ek|z| eka ek|z| (eka + eka )ek|z| eka (ek|z| + ek|z| )
= =
2k cosh(ka) 2k cosh(ka)
k|z| ka
cosh(ka)e e cosh(k|z|)
=
k cosh(ka)
ek|z| cosh(k|z|) eka
= .
k cosh(ka) k

Thus
cosh(k|z|)
Z Z
k|z|
(r, z) = e J0 (kr) dk eka J0 (kr) dk.
0 0 cosh(ka)
In fact the first term corresponds to the solution for a point charge in free space (note
it is independent of a), Z
1
ek|z| J0 (kr) dk = .
0 r2 + z 2
Note that this is the Laplace transform in k of J0 (kr).


Further PDEs 41

4 Mellin Transforms
Laplaces equation in cylindrical polars is

2U 1 U 1 2U
2 U = + + = 0.
r2 r r r2 2
Seek a separable solution U (r, ) = u(r)eik giving

d2 u 1 du k 2
+ 2 u = 0,
dr2 r dr r
which we may write  
d du
r r = k 2 u.
dr dr
This is homogeneous in r with solutions rk .
The Mellin transform is Z
u(s) = rs1 u(r) dr,
0

defined for those complex s for which the integral converges. Suppose

O(r ) as r 0,

u(r) =
O(r ) as r .

Then u(s) exists and is analytic for s in the strip < Re(s) < .
The inversion formula is
c+i
1
Z
u(r) = rs u(s) ds,
2i ci

where < c < .

Combining the transform and its inverse gives
Z c+i Z
1 s
u(r) = r s1 u() d ds
2i ci 0
Z  Z c+i 
1 s s1
= r ds u() d
0 2i ci
42 OCIAM Mathematical Institute University of Oxford

so that the resolution of the identity is

i
1
Z
(r ) = rs s1 ds.
2i i

To show this put s = i to give

Z
1
(r ) = ri i1 d
2
Z
1
= ei log(/r) d
2
1
= (log(/r))

= (r ),
since
|f ()| (f (r) f ()) = (r ).

4.1 Relation with Fourier transform

Putting r = ex gives
d dx d d
r = ex =
dr dr dx dx
and thus transforms eigenfunctions of rd/dr to eigenfunctions of d/dx. The domain
r [0, ) maps to x (, ).
Z
u(i) = ri1 u(r) dr
Z0
dr
= (ex )i1 u(ex ) dx
dx
Z
= eix u(ex ) dx

which is the Fourier transform of u(ex ). Inversion is

Z
x 1
u(e ) = eix u(i) d
2
Z
1
= (ex )i u(i) d
2
Z i
1
= (ex )s u(s) ds.
2i i
Further PDEs 43

4.2 Properties of Mellin transform

With Z
M [f ] = rs1 f (r) dr = F (s)
0
then
Z

M [f ] = rs1 f (r) dr
0

Z
s1
rs2 f (r) dr

= r f (r) 0
(s 1)
0
= (s 1)F (s 1)

with < Re(s 1) < (to discard [rs1 f (r)]0 ). Also
Z

M [r f (r)] = rs1 r f (r) dr = F (s + ).
0

4.3 Mellin transform convolutions

If Z
k(r) = y f (r/y)g(y) dy
0
then
Z Z
s1
k(s) = r y f (r/y)g(y) dy dr
0 0
Z Z
= rs1 y f (r/y)g(y) dr dy
Z0 Z0
= (yt)s1 y f (t)g(y)y dt dy
Z0 0 Z
s1
= t f (t) dt y s+ g(y) dy
0 0
= f(s)g(s + + 1),
on setting r = yt.
Similarly, if Z
h(r) = y f (ry)g(y) dy
0
then
h(s) = f(s)g( + 1 s).
44 OCIAM Mathematical Institute University of Oxford

4.4 Solving inhomogeneous equation

To solve
d2 u
 
d du du
r r = r2 2 + r = f (r)
dr dr dr dr
apply the Mellin transform to give
s(s + 1)u(s) su(s) = f(s),
i.e.
f(s)
u(s) = .
s2
Now invert to give
f(s)
Z c+i
1
u(r) = rs 2 ds
2i ci s
Z c+i Z
1 s 1
= r 2
s1 u() d ds
2i ci s 0
Z  Z c+i s s1 
1 r
= ds u() d
0 2i ci s2
Z
= G(r, )u() d
0

where the Greens function

c+i c+i
1 rs s1 1 rs s1
Z Z
G(r, ) = 2
ds = ds.
2i ci s 2i ci (s)

4.5 Applications

4.5.1 Summation of Series

Let S represent a series of the form

X
S= f (n) (4.1)
n=1

in which the terms are samples of a function f (t) for integer values of the variable
t (0, ). Suppose the Mellin transform F (s) of f (t) exists in the strip c1 < Re(s) < c2 .
Then, the Mellin inversion formula gives
Z c+i
1
f (t) = F (s)ts ds, c1 < c < c2 .
2i ci
Further PDEs 45

Substituting this into (4.1) gives

c+i
1 X
Z
S= F (s)ns ds.
2i n=1 ci

Now, if F (s) is such that the sum and integral can be exchanged, an integral expression
for S is obtained: Z c+i
1
S= F (s)(s) ds,
2i ci
where (s) is the Riemann zeta function defined by

X
(s) = ns .
n=1

The integral can then be evaluated via the calculus of residues, which may give an
infinite sum which, with luck, will be more rapidly convergent that the original series.
Example 4.1. Compute the sum

X cos(nx)
S(x) = .
n=1
n2

Since
Z
iat
ts1 eiat dt
 
M e =
0
Z
s
= (ia) (iat)s1 eiat (ia)dt
Z0
= (ia)s v s1 ev dv
0
s is/2
=a e (s) 0 < Re(s) < 1,
we have
1 s  s 
x (s)eis/2 + xs (s)eis/2 = xs (s) cos


M [cos(xt)] = 0 < Re(s) < 1.
2i 2
Thus
   
cos tx 2s (s 2) 2s
 s 
M = x (s2) cos = x (s2) cos , 2 < Re(s) < 3.
t2 2 2
Hence the sum can be rewritten
Z c+i
1  s 
S= x2s (s 2) cos (s) ds,
2i ci 2
46 OCIAM Mathematical Institute University of Oxford

where the interchange of integration and summation is justified by absolute convergence.

To evaluate the integral we use Riemanns functional relationship for the zeta function:
 s 
2 (1 s) = 21s (s) cos (s).
2
We find
Z c+i
1 (s 2)
S= x2s 2s1 s (1 s) ds
2i ci (s)
Z c+i
1 (1 s)
= x2s 2s1 s ds.
2i ci (s 1)(s 2)
Now we can close the contour in the left half plane and evaluate by a sum of residues.
The zeta function (s) is analytic except for a simple pole at s = 1 with residue 1. Thus
the integrand has poles at s = 1, s = 2 and s = 0 giving
 2 1 
x2 (0) 2 (1)
S= + x + 2
(1)(2) (1) (1)
2 2
x x
= + ,
4 2 6
since (0) = 1/2 and (1) = 1/12.

Note that the pole at s = m produces a term proportional to x2m . As we move the
contour leftwards the powers of x produced are getting larger.
Often the number of poles is infinite, but we can generate an asymptotic series as x 0
by considering only the first few poles.

4.5.2 Asymptotic evaluation of harmonic sums

A harmonic sum is a sum of the form

X
G(x) = k g(k x).
k=1

Since M[f (ax); s] = M[f (x); s]/as = f(s)/as say (see problem sheet), taking a Mellin
transform gives
X
G(s) = k s
k g(s) = (s)g(s),
k=1
Further PDEs 47

where
X
(s) = k s
k .
k=1

Thus the amplitude-frequency information k , k is separated from the base func-

tion g(x).
Example 4.2. Find the asumptotic behaviour of

X 2x
G(x) = ek
k=1

as x 0.
Here k = 1, k = k 2 , g(x) = ex . Since
Z
x
M[e , s] = xs1 ex dx = (s),
0

(where Re(s) > 0) taking a Mellin transform gives

G(s) = (s)(s),

where
X
(s) = (k 2 )s = (2s),
k=1

providing Re(s) > 1/2. Hence

c+i
1
Z
G(x) = (2s)(s)xs ds,
2i ci

where c > 1/2. Now (s) has a pole at s = 1 with residue 1, while (s) has poles
at the negative integers s = m, m = 0, 1, 2, . . ., with residue (1)m /m!. Note that
(2m) = 0 for m = 1, 2, . . .. Moving the contour to the left (i.e. reducing c so that
c < 0) gives
Z c+i
s s 1
G(x) = res((2s)(s)x |s = 1/2) + res((2s)(s)x |s = 0) + (2s)(s)xs ds
2i ci
(1/2)
= 1/2
+ (0) + O(xc )
2x

1
= + O(xc )
2 x 2
for any c < 0 (thus the error is exponentially small).
48 OCIAM Mathematical Institute University of Oxford


Example 4.3. Let us revisit Example 4.1. We have k = 1/k 2 , k = k, g(x) = cos(x).
We have  s 
M[cos x; s] = (s) cos
2
if Re(s) > 0, while

X 1 1 X 1
(s) = 2 ks
= s+2
= (s + 2),
k=1
k k=1
k
providing Re(s) > 1. Hence
 s 
S(s) = (s + 2)(s) cos .
2
Thus
c+i
1  s 
Z
S(x) = (s + 2)(s) cos xs ds,
2i ci 2
which of course is exactly what we found before. If instead of using the functional
relation for the zeta function we just shift the contour leftwards we will pick up the
asymptotic expansion of the sum as x 0. There is a pole at s = 1 due to (s + 2),
and poles at s = m, m = 0, 1, 2, . . . due to (s). But at the even integers (2m) = 0,
while at the odd integers cos(/2(2m+1)) = 0. Thus we only have residue contributions
from s = 1, s = 0, and s = 2. Evaluating the sum of residues gives
2 x x2
S= + + O(xb ),
6 2 4
for any b > 2, i.e. the error is again exponentially small. Of course, in this case we know
the error is identically zero.

4.5.3 Potential problem in a wedge

Let satisfy the two-dimensional Laplace equation in the wedge 0 < r < , < <
with boundary conditions

(r) = f (r) on = ,

with bounded for finite r and 0 as r . In polar coordinates Laplaces

equation is
2 2
r2 2 + r + 2 = 0.
r r
Further PDEs 49

Taking the Mellin transform gives

d2
s2 (s, ) + (s, ) = 0.
d2
The general solution is
(s, ) = A(s)eis + B(s)eis .
The boundary conditions give

A(s)eis + B(s)eis = F (s),

A(s)eis + B(s)eis = F+ (s),

where F (s) are the Mellin transforms of f (r). Solving for A and B gives

eis F+ (s) eis F (s) eis F+ (s) eis F (s)

A(s) = = ,
e2is e2is 2i sin(2s)
eis F (s) eis F+ (s) eis F (s) eis F+ (s)
B(s) = = .
e2is e2is 2i sin(2s)

Thus
Z c+i  is(+)
F+ (s) eis() F (s) eis() F (s) eis(+) F+ (s) s

1 e
(r, ) = + r ds
2i ci 2i sin(2s) 2i sin(2s)
Z c+i
1 1
= (2i sin(s( + ))F+ (s) + 2i sin(s( ))F (s)) rs ds
2i ci 2i sin(2s)
Z c+i
1 (sin(s( + ))F+ (s) + sin(s( ))F (s)) rs
= ds.
2i ci sin(2s)

Example 4.4. Suppose satisfies

2 = 0, 0 < r < , < < ,

with 
1 if 0 < r < a,
(r, ) = f (r) =
0 if r > a.

Taking the Mellin transform gives

d2
s2 (s, ) + (s, ) = 0,
d2
so that
(s, ) = A(s)eis + B(s)eis .
410 OCIAM Mathematical Institute University of Oxford

The Mellin transform of the boundary condition is

Z a  s a
s1 r as
F (s) = r dr = = , Re(s) > 0.
0 s 0 s

The boundary conditions give

as
A(s)eis + B(s)eis = ,
s
as
A(s)eis + B(s)eis = ,
s
so that A and B are given by

as sin(s) as
A(s) = B(s) = = .
s sin(2s) 2s cos(s)

Thus
as cos(s)
(s, ) = ,
s cos(s)
which is holomorphic in the strip 0 < Re(s) < /(2). Thus
c+i
1 as cos(s)
Z
(r, ) = ds,
2i ci rs s cos(s)

where 0 < c < /(2). It is possible to show (see problem sheet 3) that

2(r/a) cos()
 
2 1
1 tan for 0 < r < a,


1 (r/a)2

=
2(r/a) cos()
 
2 1
tan for r > a,


(r/a)2 1

where = /(2).


Further PDEs 51

5 Generation of transform pairs

5.1 Summary so far

N N
X X en eT n
Ax = b I= en eTn A1
=
n=1 n=1
n

X X n ()n (x)
Lu = f (x ) = i ()i (x) G(x, ) =
i n=1
n

d2 u k (x)k ()
Z Z
2 u = f (x ) = k (x)k () dk G(x, ) = dk
dx2 (k)

d2 u 1 du X X run (r)un ()
+ =f (r ) = run (r)un () G(r, ) =
dr2 r dr n=1 n=1
n

d2 u 1 du krJ0 (kr)J0 (k)
Z Z
+ =f (r ) = krJ0 (kr)J0 (k) dk G(r, ) = dk
dr2 r dr 0 0 (k)

2 i i
2d u du 1 1 rs s1
Z Z
s s1
r 2
+r =f (r ) = r ds G(r, ) = ds
dr dr 2i i 2i i (s)

5.2 Generation of transform pairs

The transform pair arises from the resolution of the identity. For example, once we
know Z
(x ) = k (x)k () dk

then if we define the forward transform as
Z
u(k) = u(x)k (x) dx

52 OCIAM Mathematical Institute University of Oxford

then the inverse is given by

Z
u() = u(k)k () d

since
Z Z Z 
u(k)k () dk = u(x)k (x) dx k () dk

Z


Z 

= u(x) k (x)k () dk dx

Z
= u(x)(x ) dx = u().

So the question of the generation of transform pairs, becomes a question about the
resolution of the identity. Now observe that the Greens function for

d2 G
2
2 G = (x )
dx
is

k (x)k ()
Z
G(x, ) = dk.
(k)
Suppose we found instead the Greens function for the operator

d2 G
2 G G = (x ).
dx2
Then it is easy to see that this is

k (x)k ()
Z
G(x, ; ) = dk.
(k)

Now, thinking of this as a function of complex , the integrand has a single simple pole
at = (k). Thus if we integrate in a large circular contour in the complex plane C
(which we will let tend to infinity) then
Z Z
G(x, ; ) d = 2i k (x)k () dk = 2i(x ).
C

Thus if we can find G(x, ; ) we can find a resolution of the identity. This works even
when there is a continuous spectrum.
Further PDEs 53

Example 5.1. Fourier transform Consider the operator

d2 u
Lu = 2 = 0,
dx

in < x < with u L2 .

The Greens function we need to find satisfies

d2 G
G = (x ),
dx2

in < x < with G L2 . We calculate directly that, for not a positive real
number,
(
A()ei x x < x < < ,
G(x, ; ) =
B()ei x < < x < ,

where we choose the branch on which Im( ) > 0 in order for G to decay as x .
The conditions at x = then give

A(x)ei x
= B(x)ei x
,

i x
i x
i B(x)e + i A(x)e = 1.

Eliminating B gives

ei x ei x
A(x) = , B(x) = ,
2i 2i

so that

i i x

e e
2i < x < < ,



G(x, ; ) =
ei ei x
< < x < ,


2i

Now, we have to integrate G around the large circle C . However, there is a branch
point at the origin and a branch cut along the positive real axis. The origin is the only
singularity of G though, so that we can deform our contour to a contour C2 which lies
on the branch cut, that is, it goes from to 0 along the top of the positive real axis
and then back out to along the bottom of the positive real axis. We make the change
of variables = 2 so that this contour is unfolded and the path of integration is simply
= to = .
54 OCIAM Mathematical Institute University of Oxford

Thus, for x < ,

1
Z
(x ) = G(x, ; ) d
2i C

1 ei ei x
Z
= d
2 C2 2
Z
1 1 i ix
= e e 2 d
2 2
Z
1
= ei eix d.
2
This representation of the delta function gives the Fourier transform pair:
Z Z
ix 1
F () = f (x)e dx, f (x) = F ()ei d.
2


Example 5.2. Fourier sine series
Consider the operator
d2 u
Lu = 2 = 0
dx
with u(0) = u(1) = 0. The Greens function for (L )u is (see example 1.1)

sin x sin (1 )

if 0 x < 1,


sin


G(x, ; ) =
sin sin (1 x)
if 0 < x 1.


sin

There are simple poles at = n2 2 for n = 1, 2, . . .. Note that = 0 is not a pole or

branch point since for small
(
x(1 ) if 0 x < 1,
G(x, ; ) =
(1 x) if 0 < x 1.
Applying the residue theorem we find that (for x < )
1
Z
(x ) = G(x, ; ) d
2i C

X sin x sin (1 ) 
= 2
k=1
cos 
=n2 2

X
=2 sin kx sin k.
k=1
Further PDEs 55

This representation of the delta function is equivalent to the Fourier sine series, since
Z 1
f (x) = (x )f () d
0

X  Z 1 
= sin kx 2 f () sin k d
k=1 0

X
= k sin kx,
k=1

where Z 1
k = 2 f () sin k d
0

is the usual Fourier coefficient.

Example 5.3. Fourier sine integral transform

Consider the operator
d2 u
Lu = 2 = 0,
dx
in 0 x < with u(0) = 0 with u L2 [0, ).
The Greens function we need to find satisfies
d2 G
G = (x ),
dx2
in 0 x < with G(0) = 0 with G L2 [0, ). We calculate directly that, for not
a positive real number,
(
A() sin x 0 x < < ,
G(x, ; ) =
B()ei x 0 < x < ,

where we have imposed the conditions at x = 0 and x . We choose the branch on

which Im( ) > 0 in order for G to decay as x . The conditions at x = then
give

A(x) sin x = B(x)ei x ,

i B(x)ei x A(x) cos x = 1.
56 OCIAM Mathematical Institute University of Oxford

Eliminating B gives

1 1 ei x
A(x) = =
= .
i sin x cos x cos x i sin x

Thus

sin x
B(x) = ,

and therefore

1
i


sin x e 0 x < < ,
G(x, ; ) =
1
sin ei x 0 < x < .

Now, we have to integrate G around the large circle C . However, there is a branch
point at the origin and a branch cut along the positive real axis. The origin is the only
singularity of G though, so that we can deform our contour to a contour C2 which lies
on the branch cut, that is, it goes from to 0 along the top of the positive real axis
and then back out to along the bottom of the positive real axis. We make the change
of variables = 2 so that this contour is unfolded and the path of integration is simply
= to = .
Note also that
1
sin x and cos x

are entire functions of and therefore integrate to zero around any closed contour. Thus

1 1
sin x cos and sin cos x

integrate to zero and we need only consider the integral of

i
sin x sin .

Further PDEs 57

Thus
1
Z
(x ) = G(x, ; ) d
2i C
1 1
Z
= sin x sin d
2 C2
Z
1 1
= sin(x) sin() 2 d
2
1
Z
= sin(x) sin() d

2
Z
= sin(x) sin() d
0
This representation of the delta function gives the Fourier sine integral transform:
Z
2
Z
F () = f (x) sin(x) dx, f (x) = F () sin(x) d.
0 0


Different operators may give the same transform pair. For example, any constant coef-
ficient linear differential operator in (, ) will give the Fourier transform pair. This
is why the Fourier transform is a good solution method for all such equations. We used
the operator
d2 u
Lu = 2 2 u = 0
dx
to derive the Fourier transform, but often the operator

d2 u
Lu =
dx2
is used.