4 Ordinary dierential equations and boundary-

value problems

4.1 Famous ODEs in physics

Consider an equation in general form:

D[y(x)] + f (x) = y(x)(x), (1)

where D is a dierential operator (linear, second order), f (x) is a forcing function,

y(x)(x) is the eigenpart with weight (x). Let the boundary conditions, i.e. the
values of the function and/or of its derivative at the ends of the interval [a,b], say y(a),
y(b) or y  (a), y  (b), be given.
With dropped forcing function and sometimes the eigenpart of the equation, almost
all the equations used in physics are of the type (1). For instance,
1) y  (x) + y  (x) + y(x) = 0 Damped harmonic oscillator.
2) y  (x) 2xy  (x) + 2y(x) = 0 Hermite equation for quantum mechanical wave-
function.
3) xy  (x)+(1x)y  (x)+y(x) = 0 Laguerre equation for wavefunction of hydrogen
atom.
4) x2 y  +xy  +(x2 y 2 y) = 0 Bessel equation in problems with rotational symmetry.
5) (1 x2 )y  (x) 2xy  (x) + l(l + 1)y(x) = 0 Legendre equation in problems with
spherical symmetry.
All aforementioned equations, except the harmonic oscillator, are ODEs with variable
coecients, hence it is impossible to solve them using undergraduate ODE methods. The
general approach for solving the ODEs with specied boundary conditions (BC) has two
steps:

60
 1) Solution of a corresponding homogeneous ODE D[y(x)] = y(x)(x) is found, in
terms of eigenvalues i , and eigenfunctions yi . If the coecients are constant then the
characteristic equation method can be employed. For equations with variable coecients
there is no general technique for nding the solution everywhere. However it can always
be found in a localized region in the form of power (Frobenius) series.
2) Solution of the full inhomogeneous ODE is found, usually as a superposition of
eigenfunctions (also called Greens function).
Remarkably enough, all ve listed equations, as well as many others which describe
observable quantities in physics belong to a class of so-called SturmLiouville problems,
i.e. they are represented by Hermitian operators with well chosen boundary conditions.
For this class of problems, provided the eigenvalues and eigenfunctions of the homogeneous
equation are known, the solution of the inhomogeneous equation can be determined by
very simple expressions. In the following section we will see how such formulas can be
derived and later we will consider the Frobenius method for nding the eigenvalues and
eigenfunctions of operators in specied regions of (generally) complex plane.

4.2 SturmLiouville Theory

Consider the following linear second-order operator

p(x)y  (x) + r(x)y  (x) + q(x)y(x) + (x)y(x) = 0,

with specied BCs on an interval [a, b] (in this section we will restrict ourselves to real
axis). Here p, q, r are real functions of x and, most importantly,
dp(x)
r(x) = .
dx
In this case, operator
 
d2 d
D[y(x)] = p(x) 2 + r(x) + q(x) y(x)
dx dx

61
is called Sturm-Liouville (SL) operator, provided BCs are chosen properly (will discuss
below) and the equation can be written as


[p(x)y  (x)] + q(x)y(x) + (x)y(x) = 0.

Actually, any second-order ODE can be put in the SLform by multiplying the equation
through by a factor x
 r(z) p (z)
F (x) = exp dz .
p(z)

Then

[F (x)p(x)y  (x)] + F (x)q(x)y(x) + F (x)(x)y(x) = 0,

where F (x)(x) is a new weight function.

Example. Hermite equation

y  2xy  + 2y = 0

withp(x) = 1,
p (x) = 0, r(x) = 2x, can be put, with integrating factor F (x) =
x
exp 2zdz = exp(x2 ) to form

2 2 2
 2  2
ex y  2xex y  + 2ex y = ex y  + 2ex y = 0

2 2
Now, the new coecients are: p(x) = ex , q(x) = 0, (x) = ex , = 2.
Theorem SLOperator is Hermitian provided B.C. are well chosen on [a, b]. Recall
that for an operator to be Hermitian we require:

Df, gp = f, Dgp

or, alternatively,
b
b 
f (x)D[g(x)](x)dx = g (x)D[f (x)](x)dx
a a

62
The fact that the SL operator is Hermitian has advantages: its eigenfunctions and eigen-
values
D[yi (x)] = i yi (x)(x),

have three important properties:

1) i are real (they are observable modes of some process),
2) yi (x) are orthogonal on [a, b] (will use later to construct the Greens function)
3) {yi (x)} is a complete set (full innite series exactly reconstruct the unknown func-
tion, a truncated series approximates it at best).
Proof.

b b
 
yi (x)D[yj (x)]dx = yi (x)[p(x)yj (x)] + yi (x)q(x)yj (x) dx
a a

b b
= yi (x)[p(x)yj (x)] dx yi (x)q(x)yj (x)dx
a a

b b
 b
= yi (x)p(x)yj (x) a + (yi (x)) p(x)yj (x)dx yi (x)q(x)yj (x)dx
a a

b b
 b 
= (yi (x)) p(x)yj (x) a [(yi (x)) p(x)] yj (x)dx yi (x)q(x)yj (x)dx
a a

b
= [((yi (x)) p(x)) yj (x) yi (x)q(x)yj (x)] dx
a

b
 
= yj (x)(p(x)yi (x)) + yj (x)q(x)yi (x) dx .
a

I.e. for the SL operator to be Hermitian we imposed:

 b
(yi (x)) p(x)yj (x) a = 0.

63
For instance, y(a) = y(b) = 0; y(a) = y  (b) = 0, p(a) = p(b) = 0 will be the adequate
BC.s.

4.2.1 Type 1 Sturm-Liouville problems.

We will now discuss the solution of the inhomogeneous SL problem of type

D[yn (x)] + f (x) = n yn (x)(x),

from the assumed known eigenvalues and eigenfunctions.



We assume that the solutions can be found in the form of the series y(x) = Cn yn (x),
n=0
and will determine coecients Cn .
 



f (x) = D[y(x)] = D Cn yn (x) = Cn D[yn (x)]
n=0 n=0


f (x) = Cn n yn (x)(x)
n=0
b
yj (x) dx
a
hence
b 

b

yj (z)f (z)dz = Cn n yj (z)yn (z)(z)dz

a n=0 a

= 0 n = j
b
yn (z)f (z)dz
1 a
Cn = .
n b
yn (z)yn (z)(z)dz
a
Hence the solution takes the form

b
 yn (z)f (z)dz
1 a
y(x) = yn (x).
n=0
n b
yn (z)yn (z)(z)dz
a

64
If
b
yn (z)yn (z)(z)dz = 1 n
a

then
b   !
1
y(x) = yn (x)yn (z) f (z)dz.
n=0
n
a
" #
Note that 1n yn (x)yn (z) is the Greens function G(x, z) and hence

b
y(x) = G(x, z)f (z)dz.
a

Example. BVP for the Harmonic oscillator:

1
y  + y = f (x), y(0) = y() = 0.
4

1) Homogeneous:
1
y  + y = y.
4
$% & $% &
1 1
y(x) = A sin x + B cos x .
4 4
'  '
1 1
B.C. B = 0, sin 4
= 0 4
= n, n = 0, 1, 2, . . .

1
n = n2 ; yn (x) = A sin(nx).
4

Normalize
 ( )1/2
2
A2n 2
sin nx dx = 1 An = .

0

2) Inhomogeneous:
2  sin nx sin nz

G(x, z) = 1 ,
n=0 4
n2

65
 
2  sin nx sin nz

y(x) = 1 f (z)dz.
n=0 4
n2
0
Remark:


b b 

f (x) = yn (x) yn (z)f (z)(z)dz = f (z)(z) yn (x)yn (z)dz.
n=0 a a n=0

Hence


(z) yn (x)yn (z) = (x z),
n=0

Note, since (x z) is even:




(z) yn (x)yn (z) = (x) yn (x)yn (z),
n=0 n=0

i.e. variables x and z can be interchanged.

4.2.2 Type 2 Sturm-Liouville problems.

Again, assuming that the eigenvalues and eigenfunctions of

D[yn (x)] = n yn (x)(x)

are known we will now try to solve

D[y(x)] y(x)(x) = f (x),

with Hermitian BCs. It cab be shown that in this case,

b

yn (z)f (z)dz
a
Cn = ,
n=0
n

and


   
b b
yn (x) yn (x)yn (z)
y(x) = Cn yn (x) = yn (z)f (z)dz = f (z) dz.
n=0

n=0 n n=0
n
a a

66
Here Greens function is


yn (x)y (z)
n
G(x, z) = .
n=0
n
There are three cases depending on the relation between and n .
If = n solution exists.
b
If = n , yn (z)f (z)dz = 0 for some n .
a
b
If = n , yn (z)f (z)dz = 0 solution exists.
a

67
4.2 Series solutions of the ODEs.
4.3

In the previous section we found that in some cases it is possible to determine

the general solution of an ODE with variable coecients in the closed form or as
an integral. In general, it is possible to nd the general solution only in terms of
an innite series. Here we will restrict ourselves only to the case of second-order
homogeneous ODEs which can be always written in the form

y  (z) + p(z)y  (z) + q(z)y(z) = 0

assuming now that the argument z is a complex number. The solution of the
ODE yc (x) can be ordinary or singular at dierent points z depending on the
analytic properties of p(z) and q(z): 1) if both p(z) and q(z) are nite and
analytic at a point z0 , i.e. can be represented by the series



p(z) = pn (z z0 )n ; q(z) = qn (z z0 )n ,
n=0 n=0

then z0 is called an ordinary point of the ODE at which it is always possible to

nd the series solution; 2) if p(z) and/or q(z) are not nite or analytic the z0 is
called a singular point of the ODE. In order for the ODE to have a solution at
a singular point it is sucient and necessary that (z z0 )p(z) and (z z0 )2 q(z)
are both analytic at z = z0 . Such singular points are called regular singular
points [RS], the rest are called irregular singular points [IS].
In general z0 is not nite, and sometimes one needs to nd the solution
as |z| . This can be done by means of substitution w = 1/z and by
investigation of the behavior of coecients p(w) and q(w) at point w = 0.

Among the most famous second-order ODEs in physics and engineering are
1. Bessel equation z 2 y  + zy  + (z 2 2 )y = 0 with RS at 0 and IS at ;
2. Laguerre equation zy  + (1 z)y  + y = 0 with RS at 0 and IS at ;

3. Simple Harmonic oscillator y  + y = 0 with IS at ;

4. Hermite equation y  2zy  + 2y = 0 with IS at ;

5. Legendre equation (1 z 2 )y  2zy  + l(l + 1)y = 0 with RS at 1, 1, ;
6. Chebyshev equation (1 z 2 )y  zy  + n2 y = 0 with RS at 1, 1, .

Series solution about an ordinary point.

It can be shown that every solution of the linear ODE at an ordinary point
z0 is analytic. We note that instead of general point z0 we can always consider

54
point z = 0 by making a substitution Z = z z0 . Hence, if z = 0 is ordinary
point then the solution has the representation


y(z) = an z n ,
n=0

the series being convergent for |z| < R, where R is the distance from the origin
to the nearest singular point of the ODE. The rst and the second derivatives
of y(x) may be written as



y  (x) = nan z n1 = (n + 1)an+1 z n ,
n=0 n=0



y  (x) = n(n 1)an z n2 = (n + 2)(n + 1)an+2 z n .
n=0 n=0

The method of innite series solution of the ODE comes to substitution of

series for p(z), q(z), y(x), y  (x) and y  (x) into the ODE and requiring that the
coecients of each power of z sum to zero. This gives, in general, a recurrence
relation between the coecients ai , i = 0, ..., n from which it is, sometimes,
possible to nd two linearly independent solutions.
An example. Find the series solution about the ordinary point z = 0 of
the ODE
2
y  (x) y(x) = 0.
(1 z)2
By multiplying this ODE through by (1 z)2 and using series representation
we nd that



(1 z)2 n(n 1)an z n2 2 an z n = 0
n=0 n=0





n(n 1)an z n2 2 n(n 1)an z n1 + n(n 1)an z n 2 an z n = 0.
n=0 n=0 n=0 n=0

After shifting the coecients we obtain the expression


[(n + 2)(n + 1)an+2 2(n + 1)nan+1 z n + (n2 n 2)an ]z n = 0
n=0

(n + 1)[(n + 2)an+2 2nan+1 + (n 2)an ]z n = 0.
n=0

Setting the coecients of all powers of z to zero we obtain the recurrence relation
(n + 2)an+2 2nan+1 + (n 2)an = 0,
where n 0. Two independent solutions can then be found: an = a0 for all n;
if a0 = 1 then
1
y1 (z) = 1 + z + z 2 + z 3 ... = ,
1z

55
and a1 = 2a0 , a2 = a0 , and an = 0, n > 2. If a0 = 1 then

y2 (z) = 1 2z + z 2 + ... = (1 z)2 .

Thus,
c1
y(z) = + c2 (1 z)2 .
1z

Series solution about a regular singular point.

If z = 0 is a RS point of the second-order ODE then the (ordinary) power

series solution method does not work but it can be shown (Fuchs theorem) that
there exists at least one solution in the form of the Frobenius power series, viz.



y(z) = z an z n ,
n=0

where is a complex number and a0 = 0. Since z = 0 is a RS point then zp(z)

and z 2 q(z) are analytic at z = 0 and hence we may write



zp(z) = s(z) = sn z n , z 2 q(z) = t(z) = tn z n
n=0 n=0

This substitution leads to the transformation of the ODE to

s(z)  t(z)
y  (z) + y (z) + 2 y(z) = 0.
z z
Since the derivatives of the Frobenius series are of the form



y  (z) = (n + )an z n+1 , y  (z) = (n + )(n + 1)an z n+2
n=0 n=0

we have, after substituting all the series into the ODE (4.2) we nd that




(n+)(n+1)an z n+2 +s(z) (n+)an z n+2 +t(z) an z n+2 = 0.
n=0 n=0 n=0

Dividing this equation through by z 2 we get


[(n + )(n + 1) + s(z)(n + ) + t(z)]an z n = 0.
n=0

Next, setting z = 0 we nd that all terms with n > 0 vanish, implying that

[( 1) + s(0) + t(0)]a0 = 0

Since a0 = 0 we can nd two roots 1 and 2 of the remaining quadratic

equation, called the indices of the RS point. By substituting these roots back

56
into (4.2) and requiring that coecients of each power of z vanish separately we
can obtain, for each root, a recurrence relation like in the case of the ordinary
point. We will now discuss three possibilities for 1 and 2 dening the nature
of the solutions of the ODE.

Case 1. Distinct roots not diering by an integer. In this case the Frobenius
method leads to two independent solutions of the ODE of the form



y1 (z) = z 1 an z n , y2 (z) = z 2 bn z n
n=0 n=0

which constitute the general solution. This case includes the situation when
roots are complex, since 1 2 = 2iIm1 is not a real integer.

Case 2. Repeated root. Since, in this case 1 = 2 = , the Frobenius

method leads to only one solution and the second solution can be obtained by
other methods (will discuss later).

Case 3. Dierent roots diering by an integer. In this case the solution

corresponding to the index with the larger real part always exists, but the
second solution may or may not exist, depending on the ODE.

Note. For an ordinary point of the ODE the Frobenius method leads to
indexes 1 = 1 and 2 = 0. However the solution corresponding to 2 exists.

Finding the second independent solution.

In order to nd the second solution of the ODE in Cases 2 and 3, which is

linearly independent from the rst solution, one of the following two procedures
can be used.
1) It can be shown with the help of the Wronskian method that the second
solution can be determined from the formula
z  u
1
y2 (z) = y1 (z) exp{ p(v)dv}du
y12 (u)

2) Alternatively, according to the derivative method for Case 2 (repeated

roots)

y2 (z) = y(z, ) |=1

while for Case 3 (dierent roots diering by an integer)

y2 (z) = [( 2 )y(z, )] |=2

57
 An example. Consider the second-order ODE of the form

z(z 1)y  (z) + 3zy  (z) + y(z) = 0,

and nd the solution about the point z = 0. Putting this equation into the
standard form gives
3 1
y  (z) + y  (z) + y(z) = 0.
z1 z(z 1)

By examining the coecients we nd that z = 0 is the regular singular point

of the equation. We therefore can seek for the solution of this equation in the
form of the Frobenuis series. The substitution of the Frobenius series into the
ODE leads to the expression


3 
(n + )(n + 1)an z n+2 + (n + )an z n+1
n=0
z 1 n=0

1
+ an z n+ = 0.
z(z 1) n=0

After dividing this equation through by z 2 , multiplying by z 1, shifting

the indexes, and combining terms with the same powers of z we obtain the
expression


[(z 1)(n + )(n + 1) + 3z(n + ) + z]an z n = 0.
n=0

Setting z = 0 leads to the indicial equation ( 1) = 0. Hence this equation

belongs to case 3, for which the solution corresponding to 1 can be found in
the form of the Frobenius series, but the solution corresponding to 2 may or
may not be found in that form. Demanding that the coecients of z n vanish
separately we obtain the recurrence relation

(n 1 + )(n 2 + )an1 (n + )(n + 1)an + 3(n 1 + )an1 + an1 = 0,

which after simplication reduces to

(n + 1)an = (n + )an1 .
n+1
If = 1 then an = n an1 . By setting an = n + 1 we nd that

 z
y1 (z) = z (n + 1)z n = .
n=0
(1 z)2
n
For 2 = 0 the recurrence relation reduces to an = n1 an1 . But if a0 = 0 then
a1 is innite. The second solution should be then found by either Wronskian or

58
the derivative method. Wronskian method leads to the following calculation:
 z   u 
1
y2 (z) = y1 (z) exp p(v)dv du
y12 (u)
 z   u 
z (1 u)4 3
= exp dv du
(1 z)2 u2 v1
 
z 1
= ln z + .
(1 z)2 z

We recall that according to the derivative method

 

y2 (z) = [( 2 )y(z, )] .
=2

Let us rst nd y(z, ). If we set a0 = 1 into the recurrence relation (n +

1)an = (n + )an1 , we nd that an () = ( + n)/ and, therefore,


+n n
y(z, ) = z z .
n=0

Thus
 

y2 (z) = [y(z, )]
=0



= [z ( + n)z n ]
n=0 =0


 
n n
= z ln z ( + n)z + z z
n=0 n=0 =0



= ln z nz n + zn
n=0 n=0
 
z 1
= ln z + 1 .
(1 z)2 z

We note that the solution obtained by the derivative method is dierent from
the one obtained by the Wronskian method: it has an additional term from the
rst solution.
Note. As in the case of an ordinary point the Frobenius series might termi-
nate at some point leading to a polynomial solution.

59
 Cylindrical (Bessel) functions.

Bessel functions arise in problems where a partial dierential equation [PDE]

is considered on a 3D domain having a cylindrical symmetry. After splitting the
PDE into three ODEs (by the method of separation of variables that we will
discuss later) one nds that the equation representing the solution for the radial
distance (distance from the axis of symmetry to the point of interest) is of the
form of Bessel equation, viz.,
1 2
y  (z) + y  (z) + (1 2 )y(z) = 0, (47)
z z
where 0 is a given constant, z is a (scaled, in general) radial distance from
the axis of symmetry. By examining the coecients we nd that z = 0 is the
RS point of the ODE. We, therefore, are seeking for the solution of the ODE
in the form of the Frobenius series. On substituting the series into Eq. (47) we
nd that



[( + n)( + n 1) + ( + n) 2 ]an z n + an z n+2 = 0,
n=0 n=0


[( + n)2 2 ]an z n + an z n+2 = 0.
n=0 n=0

The coecient of z 0 determines the indicial equation 2 2 = 0, leading to

indices = . Further, coecients of higher powers of z imply the recurrence
relations
[( + 1)2 2 ]a1 = 0, [( + n)2 2 ]an + an2 = 0, n 2.
After substituting the found indices to the recurrence relations we nd that
[1 2]a1 = 0, n(n 2)an + an2 = 0, n 2.
We will now consider several cases:
1) is not an integer.
a) = m/2, m = 1, 3, 5, .... Hence 1 2 is not an integer, and we can nd
two linearly independent solutions in the Frobenius series form;
b) = m/2, m = 1, 3, 5, .... Hence 1 2 is an integer. The solution
corresponding to 1 = + always exists but the solution corresponding to 2 =
might not exist. However, from the recurrence relation we see that an are
nite for all even indexes, i.e.
1
an = an2 , n = 2, 4, 6, ...
n(n 2)
Then, without a loss of generality, choosing a1 = 0 we nd that an = 0, n=
3, 5, .... Further, conventionally, one sets
1
a0 = ,
2 (1 )

60
where is the Gamma function. Finally, the resulting series solution has the
form

(1)n  z +2n
J (z) =
n=0
n!( + n + 1) 2
and is called the Bessel function of the rst kind of order . Since is not an
integer, J+ and J are linearly independent and the general solution can be
written as
y(z) = c1 J+ (z) + c2 J (z).
Note that in the majority of physical problems c2 = 0 since J (0) = .

2) is an integer.
a) = 0. In this case 1 = 2 = 0 and there is only one solution

 (1)n z 2n
J0 (z) = .
n=0
22n n!(1 + n)

b) = 0. In this case, 1 2 is an integer. Hence, again, the solution for

1 exists. In order to determine if the solution for 2 exists in the Frobenius
form consider the recurrence relation: n(n m)an + an2 = 0, n 2, m = 2 =
2, 4, 6, .... If a0 = 0 then a2 , a4 , a6 ... can be found but if n = m then an = .
Also, by changing to in Bessel solution we nd that J (z) = (1) J (z),
i.e. the two solutions are linearly dependent. To nd the second solution one
can, in principle use the Wronskian or the derivative method, discussed earlier,
however, for this particular case one usually denes

J cos() J (z)
Y (z) = ,
sin
the Bessel function of the second kind of order . It is important to realize that
i) Y (z) is also the solution of the Bessel equation since it is a linear (weighed)
combination of the solutions; ii) J and Y are linearly independent which is
easily veried by calculating their Wronskian.
Note: if is an integer then Y (z) is undetermined (0/0). But using the
lHopitals rule Y (z) can be found as a limit for all z:

J cos() J (z)
Y (z) = lim .
sin
Finally, we establish the general solution of the Bessel equation valid for all
values of :
y(z) = c1 J (z) + c2 Y (z).
As before we comment on the fact that function Y (z) is of little importance
for the majority of the physical problems since Y (0) = and hence, as a rule,
c2 = 0.

61
 The following operators were used in order to plot functions J and Y for
= 0, 1, 2:
P lot[{BesselJ[0, x], BesselJ[1, x], BesselJ[2, x]}, {x, 0, 15}],
P lot[{BesselY [0, r], BesselY [1, r], BesselY [2, r]}, {r, 0, 15}].
1.0 0.5

0.8

0.6
2 4 6 8 10 12 14
0.4

0.2
0.5
2 4 6 8 10 12 14
0.2

0.4 1.0

Mutual orthogonality of Bessel functions.

We will now show that the Bessel functions of the rst kind with dierent
orders are mutually orthogonal on the interval [a, b] subject to certain boundary
conditions. One can easily show that functions f (z) = J (z) and g(z) = J (z)
are the solutions of Bessel equations z 2 y  (z) + zy  (z) + (2 2 )y(z) = 0 and
z 2 y  (z) + zy  (z) + (2 2 )y(z) = 0, respectively. Then, on multiplying the
second of these equations by f (z), the rst - by g(z), subtracting and dividing
by z, we nd that
d
z(f g  gf  ) + (f g  gf  ) = [z(f g  gf  )] = (2 2 )zf g.
dz
On integrating the last expression on [a, b] we obtain the formula

b
1
zf (z)g(z)dz = [zf (z)g  (z) zg(z)f  (z)]ba ,
2 2
a

or, equivalently,
b
1
J (z)J (z)zdz = [zJ (z)J (z) zJ (z)J (z)]ba ,
2 2
a

In case if = and [a, b] proper (right side of the last expression vanishes) we
nd that
b
J (z)J (z)zdz = 0.
a

When = the indeterminate form 0/0 can be calculated with the help of the
lHopitals rule and will give some nite number for any z. The orthogonality

62
of Bessel functions can be used for innite series expansion of functions on the
interval [0, a]. In fact, it can be shown that any function f (z) satisfying the
Dirichle conditions (listed in Sect 3.1, p.33) on [0,a] can be represented as a
sum


f (z) = cn J (n z),
n=0

where n are such that J (n a) = 0. The coecients cn can be determined by

the expression
a
2
cn = 2 2 f (z)J (n z)zdz.
a J+1 (n a)
0

This series is called sometimes the Fourier-Bessel

 series. If the interval is in-
nite, i.e. [0, ], then any function, such that 0 |f (z)|dz < , can be repre-
sented by the Henkel integral transform, for > 12 ,

 
f (z) = J (z)d J ()f ()d.
0 0

63