y

Mathematical Methods II
Lecture Notes
Manuel Mañas Baena
Luis Martínez Alonso
Lecture notes of Mathematical Methods II of
Bachelor Degree in Physics
 Table of Contents

Chapter 1. Linear Partial Differential Equations 1

1.1 PDE Definition. Linear PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Boundary and/or Initial Conditions . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.3 Linear Problems. Linear Differential Operators . . . . . . . . . . . . . . . . . . . 18
1.4 1D Eigenvalue Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.5 Boundary Value Problems in Electrostatics, Geophysics and Fluid Mechanics . . 27
1.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
Chapter 2. Separation of Variables 35
2.1 Separable Linear Homogeneous PDEs . . . . . . . . . . . . . . . . . . . . . . . . 35
2.2 Separable Homogeneous Linear Boundary Value Problems. . . . . . . . . . . . . 39
2.3 Application to the Equations of Mathematical Physics. . . . . . . . . . . . . . . . 42
2.4 Helmholtz Equation in Cartesian Coordinates . . . . . . . . . . . . . . . . . . . . 45
2.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
Chapter 3. Symmetric Operators in Hilbert Space 61
3.1 Hilbert Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
3.2 Orthogonal Sets of Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
3.3 Symmetric Differential Operators . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
3.4 Sturm–Liouville Operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
3.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
Chapter 4. Fourier Series and Fourier Transform 87
4.1 Fourier Trigonometric Bases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
4.2 Fourier Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
4.3 Convergence of Fourier Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
4.4 Fourier Transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
4.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
Chapter 5. Eigenfunction Expansion Method 123
5.1 Eigenfunction Expansion Method (EEM). . . . . . . . . . . . . . . . . . . . . . . 123
5.2 EEM in Action . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
5.3 Fourier Transform and EEM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
5.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
Chapter 6. Special Functions 163
6.1 Frobenius Series. Regular and Singular Regular Points . . . . . . . . . . . . . . . 163
6.2 Expansions Around Regular Points . . . . . . . . . . . . . . . . . . . . . . . . . . 166
i
ii TABLE OF CONTENTS

6.3 Expansions Around Regular Singular Points . . . . . . . . . . . . . . . . . . . . . 172

6.4 Bessel Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
6.5 The Euler Gamma Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186
6.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
Chapter 7. Helmholtz Equation in Curvilinear Coordinates 203
7.1 Cylindrical Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
7.2 Spherical coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
7.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
Index i
 1. Linear Partial
Differential Equations

Contents
1.1 PDE Definition. Linear PDE . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Boundary and/or Initial Conditions . . . . . . . . . . . . . . . . . . . . . 10
1.3 Linear Problems. Linear Differential Operators . . . . . . . . . . . . . . . 18
1.4 1D Eigenvalue Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.5 Boundary Value Problems in Electrostatics, Geophysics and Fluid Mechan-
ics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
1.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

T
his course starts with a brief introduction to Partial Differential Equations (PDE) in its
simplest form, linear PDEs. We recall some elementary definitions of complex numbers
arithmetic and complex functions. We will also present some of the most paradigmatic
linear PDEs of Mathematical Physics, such as the wave, heat, Laplace, Poisson, and
Schrödinger equations. We will discuss changes of variable in a PDE and the notion of general
solution as well. Boundary and/or initial value conditions will be also considered. We discuss
then linear problems that are formulated naturally in terms of linear differential operators. The
idea of eigenvalue and eigenfunction is introduced at this point. Finally, uniqueness for problems
in Electrostatics, Geophysics and Fluid Mechanics is studied.

§1.1. PDE Definition. Linear PDE

B
asic ideas and concepts for the study of linear PDEs, such as complex numbers, partial
derivatives and their notations, dependent and independent variables, and order of a
PDE are introduced here. Also, we introduce the most relevant PDEs of Mathematical
Physics that we will discuss along this course, the Poisson equation, the wave equation, the
Schrödinger equation and the heat equation. We will study changes of variables and conclude
the section with the concept of general solution.

1.1.1. PDEs The functions that appear in our discussions will take complex values.
1
 2) Chapter 1. Linear Partial Differential Equations [§1.1

Complex Valued Functions

We consider functions that take complex values and that depend on a certain number of
real variables .t; x; : : :/ and write u D u.t; x; : : : / D u1 .t; x; : : : / C i u2 .t; x; : : : / to denote
a function that depends on the real variables .t; x; : : :/, that takes complex values with real
parts and imaginary given by Re u D u1 D u1 .t; x; : : :/ and Im u D u2 D u2 .t; x; : : :/. As
complex numbers, the p function u can p be conjugated uN D u1 ui u2 , and have a modulus and an
argument: juj D C u1 C u2 D C u uN and arg u D arctan u21 . Hence, if we denote r D juj
2 2

and  D arg u, we can write u1 D r cos  and u2 D r sin .

The complex exponential function Recall that in the arithmetic of complex numbers,
given a; b 2 R, exponentials with complex exponents are defined by the Euler formulas

ei b D cos b C i sin b; eaCi b D ea ei b D ea .cos b C i sin b/ a; b 2 R:

Euler’s formula allows us to express functions with complex values in the form
u D r cos  C i r sin  D r ei  ; r D juj;  D arg u:
This expression is very useful for applications in wave phenomena and Quantum Physics.

 Examples:
1. Let u.x; y/ D xy C i ex Cy . In this case x Cy
2 2 2 2
p u1 .x; y/ D2 xy2 and u2 .x; y/ D e . Conse-
x 2 Cy 2 Cy
quently, uN D xy i e and juj D .xy/ C e
2 2.x / .
xyCi.x 2 Cy 2 /
2. Let u.x; y/ D e . Using Euler formulas u D e .cos.x 2 C y 2 / C i sin.x 2 C y 2 //,
xy

hence u1 D exy cos.x 2 C y 2 / and u2 D exy sin.x 2 C y 2 /, with modulus and argument
given by juj D exy and arg u D x 2 C y 2 .

The complex logarithm

Sometimes we will also use the multi-valued complex logarithm

log z D log jzj C [Link] z C 2n/; n D 0; ˙1; ˙2; : : : ;
where log jzj denotes natural logarithm (also known as Naperian logarithm) of the positive real
number jzj and arg z is any of the possible arguments of z.

 Examples:
1. Solve the equation
eu D 1:
Taking arg 1 D 0 we get
u D log 1 D i 2n; n D 0; ˙1; ˙2; : : : :
§1.1] PDE Definition. Linear PDE (3
2. Solve
 the equation
 eu D 2 i. Taking arg. 2 i/ D =2 we get u D log. 2 i/ D log 2 C

i 2
C 2n ; n D 0; ˙1; ˙2; : : :.

Extended Notation for Partial Derivatives

On many occasions the partial derivatives of u will be denoted as shown by following examples:
@u @u @2 u @2 u
ut D ; ux D ; uxx D 2 ; uxy D :
@t @x @x @x@y
We will always assume that the functions we handle admit derivatives to the order required by
the operations that we make. The most comfortable situation appears when we assume that
all derivatives of all orders do exist. In that case, according to the Schwarz–Clairaut theorem,
the result of a multiple derivation is independent of the order in which we make the individual
derivations.

As an example, we will have uxxyxzy D uxxxyyz D uzxyxyx . The basic rule to derive and
integrate functions u with complex values is to think of the imaginary unit i as a constant. So,
for example
@u @u1 @u2 @u @u1 @u2
ut D D Ci ; ux D D Ci ;
@t @t @t @x @x @x
@2 u @ 2 u1 @ 2 u2 @2 u @2 u1 @ 2 u2
uxx D 2 D C i ; u xy D D C i ;
@x @x 2 @x 2 @x@y @x@y @x@y
Z Z Z Z
u d x D .u1 C i u2 / d x D u1 d x C i u2 d x:

In particular, the exponential function eu of a function u with complex values fulfill the same
derivation rule as if u took real values. For example
@ eu
D eu u x :
@x
To prove it, just proceed as follows
@ eu @  u1 i u2  @  u1  @  u1  @  u1 
D e e D e cos u2 C i eu1 sin u2 D e cos u2 C i e sin u2
@x @x @x @x @x
@u1 @u2  @u1 @u2 
D eu1 cos u2 eu1 sin u2 C i eu1 sin u2 C eu1 cos u2
@x @x @x @x
   @u @u 
1 2
D eu1 cos u2 C i eu1 sin u2 Ci D eu ux :
@x @x
 4) Chapter 1. Linear Partial Differential Equations [§1.1

 Examples:
1. Given u.x; y/ D xy C i ex Cy . we have ux D y C 2 i x ex
2 2 2 Cy 2 2 Cy 2
; uxx D i.2 C 4x 2 / ex .
2. For u.x; y/ D exyCi.x Cy / the first order derivatives are
2 2

ux D .y C i 2x/ exy .cos.x 2 C y 2 / C i sin.x 2 C y 2 //;

uy D .x C i 2y/ exy .cos.x 2 C y 2 / C i sin.x 2 C y 2 //:

3. The indefinite integral of the exponential function u.x/ D [Link] b/x , a C i b ¤ 0, with
exponent depending linearly on x, is done as if c D a C i b was a real number. That is
R .aCi b/ x
to say, [Link] b/ x d x D e aCi b . In this manner, one can compute the indefinite integral
as follows
Z  ˇ
.1Ci/ x e.1Ci/ x ˇˇ 1  .1Ci/ 0
 1  1 C e
dx D D D C1/ D . 1 C i/
1 C i ˇ0
e e e .e
0 1Ci 1Ci 2

Condesed Notation for Partial Derivatives

Let’s consider complex functions u D u.x/ D u1 .x/ C i u2 .x/ that depend on

x D .x0 ; x1 ; : : : ; xn 1 /;
denotes a vector in R . Frequently, but not always, the variable x0 will be identified with a time
n

variable t. For derivatives we will write

@j˛j u
D ˛ u WD ˛0 ˛1 ; j˛j D ˛0 C ˛1


C ˛n 1 ;
@x0 @x1


@xn˛n 11
where vector indexes are
˛ D .˛0 ; ˛1 ;


; ˛n 1 / 2 ZnC  Rn ;
with n non-negative integer components. Observe that j˛j is the order of the derivative D ˛ u .
By definition if ˛ D .0; 0; : : : ; 0/ then D ˛ u  u.

The relationship between the two types of notations is easy to establish. For example, if
.x0 ; x1 ; x2 ; x3 / D .t; x; y; z/:

uxxzyz D D ˛ u; ˛ D .0; 2; 1; 2/:

When we have a single independent variable x, we will use the notation

n dn u
D u WD :
d xn
To define the concept of PDE it is convenient to use the condensate notation.
§1.1] PDE Definition. Linear PDE (5

PDE Definition

A PDE is a relation of the from

(1) F .x; D ˛ u/ D 0;
being F a function depending upon x D .x0 ; x1 ; : : : ; xn 1 / (n > 1), and on a finite number of
derivatives D ˛ u. The nomenclature is as follows:
1. The variables xi , i D 0; : : : ; n 1; are named as independent variables of the PDE.
2. The unknown function u of the PDE is called the dependent variable of the PDE.
3. If r is the maximum order of derivatives D ˛ u upon which the F function depends, then
r is by definition the order of the PDE.

The most frequent situation is that the PDE is defined by a function F that is a polynomial
in the variables D ˛ u. However, there are physical situations in which more general equations
appear. For example, the so-called equation of sine-Gordon, u t t uxx D sin u. In particular, if
F is a polynomial of degree one in the variables D ˛ u it is said that the PDE is a linear PDE.
In this case the PDE is of the form
X0
(1) a˛ .x/D ˛ u f .x/ D 0;
˛
P
where ˛ 0 means that the sum extends to a finite set of multi-indices ˛ with j˛j  0. The
functions a˛ .x/ and f .x/ are supposed to be given. Normally, when we deal with a PDE as in
(1) we clean f .x/ in the LHS and put it on the RHS and write
X0
a˛ .x/D ˛ u D f .x/:
˛

We refer to f .x/ as the inhomogeneous term of the equation. If the function f .x/  0 we will
say that the linear PDE is linear is homogeneous. Otherwise, f ¤ 0, we say that the linear
PDE is inhomogeneous.
In general, nonlinear PDEs are much more difficult to treat than the linear ones. We will not
study them in this course. To consider a specific PDE the extended notation is more convenient.

Examples: 
1. The PDE
ux C exCy uy u D x2y 2;

is linear and has order 1. It is inhomogeneous with an independent term given by x 2 y 2 .

2. The PDE
uxx u C uy C xy D 0;
is nonlinear, because of the appearance of the term uxx u, and has order 2.
6) Chapter 1. Linear Partial Differential Equations [§1.1
1.1.2. Some linear PDEs relevant in Physics Physics is plenty of linear and nonlinear
PDEs. Both in Electromagnetism and in Quantum Mechanics the basic equations are linear,
but in other areas, such as Continuous Media Dynamics or General Relativity, the fundamental
equations are nonlinear.

Linear PDEs in Physics

There are four linear PDE examples, all of them second order, to which we will devote a par-
ticular attention in this course. Its main versions, with three spatial variables .x; y; z/, are:
1. Poisson equation
uxx C uyy C uzz D f
being f D f .x; y; z/ a given function. If f  0 the PDE is named Laplace equation.
Both PDEs appear often in Electrostatics and in Fluid Mechanics.
2. Wave equation


u t t D c 2 uxx C uyy C uzz
with c a positive real number which represents the propagation speed of the wave.
3. Schrödinger equation
¯2

i ¯u t D uxx C uyy C uzz C V .x; y; z/u
2m
which describes the dynamics of a particle of mass m in a field of forces with potential
function V D V .x; y; z/. The symbol ¯ represents the normalized Planck constant.
Notice the presence of the imaginary number i in the coefficient of u t . This fact is the
main reason why in this course we consider functions with complex values.
4. Heat equation


u t D a2 uxx C uyy C uzz
It is relevant in thermal diffusion and fluid diffusion processes in general. The symbol
a2 represents the diffusion coefficient.

To write the above equations in abbreviated form is convenient to use the notation of the
Laplacian operator:

u WD uxx C uyy C uzz ;

which is a fundamental example of a concept, that of differential operator, to which we will

devote great attention in this course. In terms of the Laplacian the previous equations are
expressed as follows:
1. Poisson equation::

u D f
§1.1] PDE Definition. Linear PDE (7
2. Wave equation:
u t t D c 2 u
3. Schrödinger equation:
¯2
i ¯u t D u C V u
2m
4. Heat equation:
u t D a2 u

Sometimes we will consider simplified versions of the previous equations in which u does not
depend on some of the variables .x; y; z/. Thus, a version in 1 + 2 dimensions of the wave,
Schrödinger or heat equations is a PDE in which we assume that u depends on .t; x; y/ only.
1.1.3. Change of independent variables Given a PDE (1), one of the most frequent ma-
nipulations that we must do is determine the form it acquires when we perform a change of
independent variables x 7! x 0 D x 0 .x/ with transformation equations:
xi0 D xi0 .x0 ; x1 ; : : : ; xn 1 /; i D 0; 1; : : : ; n 1;
which we always assume to be invertible x 0 7! x D x.x 0 /, being the inverse transformation given
by the equations
xi D xi .x00 ; x10 ; : : : ; xn0 1 /; i D 0; 1; : : : ; n 1:
For the sake of simplicity will not use a new function symbol to the compound function
u.x.x 0 //, which we will simply denote u.x 0 /.
The form that takes (1) in the new variables is determined by substituting the variables x in
F .x; D ˛ u/ by x.x 0 /, and the derivatives with respect to x (D ˛ u) by their expressions in terms
of derivatives with respect to x 0 . For the latter we must use the chain rule. The expressions
derived from orders one and two are
@u X @u @x 0
k
D ;
@xj @xk0 @xj
k
 
2
@ u @ X @xk0 @u
D
@xi @xj @xi @xj @xk0
k
X @2 x 0 @u X X @x 0 @x 0 @2 u
k l k
D 0
C
@xi @xj @xk @xi @xj @xl0 @xk0
k l k
Sometimes a change of variables can convert an PDE into another simpler one. The typical
example is the 1 + 1 wave equation dimensions.
 8) Chapter 1. Linear Partial Differential Equations [§1.1

 Examples:
1. Consider the 1D wave equation, u t t uxx D 0 and let us perform the change of variables
y1 D t C x; y2 D t x, with inverse change given by t D 21 .y1 C y2 /; x D 12 .y1 y2 /.
We immediately obtain:
@y1 @y2
u t D uy1 C uy2 D uy1 C uy2 ;
@t @t
@y1 @y2
ux D uy1 C uy2 D uy1 uy2 ;
@x @x
 @ @ 
ut t D C .uy1 C uy2 / D uy1 y1 C uy2 y2 C 2uy1 y2 ;
@y1 @y2
 @ @ 
uxx D .uy1 uy2 / D uy1 y1 C uy2 y2 2uy1 y2 :
@y1 @y2
As a consequence the PDE is transforms into
4uy1 y2 D 0:
In this new form the PDE can be integrated immediately and the solution is
u D f .y1 / C g.y2 / D f .x C t/ C g.t x/;
with f and g being arbitrary functions of one variable only.
ii) Let us write the Laplace equation
uxx C uyy D 0;
in polar coordinates:
x D r cos ; y D r sin ;
p y
rD x2 C y 2;  D arctan :
x
Applying the chain rule we get:
x y sin 
ux D p ur u D cos  ur u ;
x Cy
2 2 x Cy
2 2 r
y x cos 
uy D p ur C 2 u  D sin  u r C u ;
x2 C y2 x C y2 r
 @ sin  @  sin  
uxx D cos  cos  ur u
@r r @ r
cos  sin  cos  sin  sin2  sin2 
D cos2  urr C 2 u  2 u r C u r C u  ;
r2 r r r2
 @ cos  @  cos  
uyy D sin  C sin  ur C u
@r r @ r
cos  sin  cos  sin  cos2  cos2 
D sin2  urr 2 u  C 2 u r C u r C u  :
r2 r r r2
§1.1] PDE Definition. Linear PDE (9
Therefore, the 2D Laplace equation in polar coordinates is
1 1
urr C ur C 2 u  D 0:
r r
1.1.4. General solution of a PDE The idea of general solution of an ordinary differen-
tial equation (ODE) or a PDE arises when trying to solve the equation by applying integration
operations. In principle, in an ODE of order r, indefinite integrations are required, and since
each one introduces an arbitrary integration constant, the solution obtained will be an expres-
sion with n arbitrary constants called general solution of the ODE. But live is hard. First,
because only for simple cases is it possible to obtain explicit solutions by applying indefinite
integration operations. On the other hand, even in cases where it is possible, it is not guaran-
teed that we can generate all the solutions of an ODE of order n through a single dependent
expression of arbitrary constant r. The following examples illustrate this situation.

Examples: 
1. The equation
d2 u  d u 
u D 0;
d x2 d x
has order 2. However, we cannot characterize all of its solutions through a single expres-
sion with two arbitrary constants since u is a solution if and only if at least one of the
d2 u d u 
two factors is canceled, or u . In other words, all its solutions are given by
d x2 dx
two expressions
u D c1 x C c2 or u D c3 ex
where .c1 ; c2 ; c3 / are arbitrary constants. Note that the expression c1 x C c2 is a general
solution, but is not the expression c3 ex although it is a solution to the equation.
2. The equation
du p
D 10 u;
dx
is order 1. All its solutions are given by
.x c1 /2
u D 10 ;
4
which is a general solution, and the constant solution
u D 10;
not included in the previous general solution.
In the PDE context the situation is even more complicated. In principle, in an r-th order PDE
with n independent variables, when an indefinite integration with respect to one the independent
variables is performed, an arbitrary function of the other .n 1/ variables is introduced instead
of an arbitrary constant. If the integration process can be carried out until the end, r indefinite
integrations will be required, and since each one introduces an arbitrary function of .n 1/
variables, the solution obtained will be an expression with r arbitrary functions of .n 1/
10) Chapter 1. Linear Partial Differential Equations [§1.2
variables called general solution of the PDE. Despite the limitations of this notion, its use is
useful when calibrating whether the methods used to obtain solutions of PDE characterize a
sound solution space. An easy example of general solution is obtained for the PDE

uxy D 0:

Integrating the equation with respect to y we get

ux C c.x/ D 0

and performing and integration x we arrive to

Z x
u D c1 .x/ C c2 .y/; c1 .x/ WD c.x/ d x:

We must note that the arbitrary functions, which appear in the construction methods of
general solutions of PDEs, do not always depend on the independent variables of the PDE. For
example, for the PDE

ux C uy D 0;

with r D 1 and n D 2 we can proceed as follows to build a general solution. First we observe
that

u D ei .x y/

is a solution for any possible value  2 R. Also, as the PDE is linear, we conclude that
Z
uD c./ ei .x y/ d ;
R

with c./ an arbitrary function of a variable, it is a general solution of the PDE. These types of
general solutions are the ones that will appear in these lectures.

§1.2. Boundary and/or Initial Conditions

W
e move forward presenting the boundary conditions and/or initial conditions that usually
accompany the PDEs which are require to be solved. First, we present the notions
of domain and boundary, and then we discuss the idea of boundary value problems
for PDEs. In particular, we introduce the problems of Dirichlet and Neumann, the concept
of normal derivative to the surface of the boundary being necessary for the latter. Periodic
boundary conditions and what is understood by initial condition will also be treated. Finally,
we briefly discuss the type of solutions to be considered: the smooth functions.

1.2.1. Domains. Boundaries

§1.2] Boundary and/or Initial Conditions (11

Domains and Boundaries for PDEs

In general, when we consider a PDE the unkown function u D u.x/ is assumed to be define
over a given set  of Rn . We always assume that  satisfies the following two conditions:
1.  is an open set. That is, for all a 2  there exists an r > 0 such that every point x 2 Rn
with a distance to a less than r (d.x; a/ < r) belongs to .
2.  is connected. That is, it is not posible to find two non empty open sets i ; .i D 1; 2/
such that 1 \ 2 D ; and 1 [ 2 D .
In such a case we say that  is a domain of Rn . The boundary S./ of  is the set of those
points a 2 Rn such that for any r > 0, there exists points x inside x 2  and exists points x
outside x 62 , with d.x; a/ < r.

Obviously, property 1) means that  has no points in common with its boundary S./. As
for property 2), we can interpret it as the prohibition that  can not be divided in two separate
sectors. The union set
 D  [ S./;
is called the closure of .
In the 1D situation, n D 1, the domain is necessarily an open interval of the real line
 D .a; b/ D fx 2 R jj; a < x < bg and, consequently, if the interval is finite, S./ D fa; bg.
Next we show diagrams of a domain and of sets that are not domains since they violate the
property 1) or property 2).
y y y


(domain) non connected set
x x x

non open set

S./
(bounary)
12) Chapter 1. Linear Partial Differential Equations [§1.2
1.2.2. Boundary conditions

Boundary Conditions for PDEs

Given a PDE defined in a domain   Rn :

(2) F .x; D ˛ u/ D 0; x 2 ;
normally we are asked not only to find a function u D u.x/ that satisfies the PDE at all points
of , but also that such a function satisfies a number of conditions
fi .x; D ˛ u/ D 0; x 2 Si ; i D 1; : : : m;
where the symbols Si denote parts of the boundary S./ of , and fi are functions depending
on the variables xi , and on a finite number of derivatives D ˛ u with j˛j  0. Conditions of this
class are called boundary conditions. We will only consider boundary conditions in which the
functions fi are degree one polynomials in the variables D ˛ u (linear boundary conditions).
That is, in the form
X0
bi;˛ .x/D ˛ u gi .x/ D 0; x 2 Si ;
˛
P0
or ˛ bi;˛ D ˛ ujSi D gi . A problem consisiting in solving a PDE over a domain  and a set of
boundary conditions is called boundary value problem.

A PDE does not always admit the imposition of certain boundary conditions. As an example
we can consider the equation
uxy D 0
in the square  D f.x; y/ 2 .0; 1/  .0; 1/g. In this case the boundary is the union of the four
sides of the square
S./ D S1 [ S2 [ S3 [ S4 ;
with
S1 WD f.x; 0/ 2 R2 W 0 < x  1g; S2 WD f.1; y/ W 0 < y  1g;
S3 WD f.x; 1/ 2 R2 W 0  x < 1g S4 WD f.0; y/ W 0  y < 1g:
Let us request the following boundary conditions
ujS1 D f1 .x/; ujS2 D f2 .y/; ujS3 D f3 .x/; ujS4 D f4 .y/:
Let’s see now that this problem may have no solution. As is satisfied the PDE, uxy D 0, the
function ux do not depends on y, ux jS1 D ux jS3 , and therefore we must have
f10 .x/ D f30 .x/;
and analogous argument leads to
f20 .y/ D f40 .y/:
Therefore, for the boundary value problem to have a solution, it is necessary additional condi-
tions on the boundary data.
§1.2] Boundary and/or Initial Conditions (13

Dirichlet and Neumann Boundary Conditions

In problems on a domain  in the space R3 the following nomenclature is used for the simplest
boundary conditions on a S surface contained in S./:
1. Dirichlet condition:
ujS D g
2. Neumann condition:
ˇ
@u ˇˇ
Dg
@n ˇS
with the normal derivative to the surface given by
@u
WD n
r u D n1 ux C n2 uy C n3 uz ;
@n
with n D .n1 ; n2 ; n3 / a vector field of unit normals to the surface S .

S./ R3

nE

Domain, boundary and normal in the space: Torus

 14) Chapter 1. Linear Partial Differential Equations [§1.2
Sometimes we will consider R2 versions of
n R2
the previous boundary conditions. In such y
cases  will be a region in the plane, S a curve
€
contained in S./ and instead of the notation
S; S./ we would prefer to use €; €./, re-
spectively.  x
In any case, whenever we work with a
boundary condition on a part S of the bor-
der of   Rn , with n  2, we will assume
that S can be described by implicit equation, Domain, boundary and normal in the plane:
fS .x/ D 0, such that r fS .x/ ¤ 0, x 2 S . We Cassini oval
can define a unit normal vector field accord-
r fS .x/
ing to n.x/ WD .
kr fS .x/k

 Examples: The following examples show the normal vector fields and the corresponding
derivation operations in the direction of the normal vector.

y 1. In this first example  is a disk centered

n € R2 at the origin with radius r in R2 and its
boundary is a circle € D €./ of radius
r, we have
f€ .x; y/ D x 2 C y 2 r 2;
r ˇ
 x .2x; 2y/ ˇˇ 1
nD ˇ D .x; y/;
k.2x; 2y/k € r
ˇ
@u ˇˇ 1

ˇ D xux C yuy :
@n € r

Domain, boundary and normal

 §1.2] Boundary and/or Initial Conditions (15

z 2. Secondly, we consider that

 is the inside of the
R3 cylinder with axis OZ and
radius r in R3 , S D
S./. Therefore, the
boundary is the cylindrical
surface, that is, the points
.x; y; z/ 2 R3 that satisfy
the equation
.x; y; z/ fS .x; y; z/ D x 2 C y 2 r 2;
the unit normal to the sur-
n face is ˇ
.2x; 2y; 0/ ˇˇ 1
nD ˇ D .x; y; 0/;
k.2x; 2y; 0/k € r
S./
and the normal derivative

r over surface is computed
according to
ˇ
y @u ˇˇ 1

ˇ D xux C yuy :
@n S r
x

3. Finally, let us consider  as the z0

interior of the sphere centered n
at a D .a1 ; a2 ; a3 / and radius r S./ R3
in R3 ,
z  .x; y; z/
fS .x; y; z/ D .x a1 /2 C .y a2 /2 C .z a3 /2 r 2 ;
1 
n D .x a1 ; y a2 ; z a3 /; a
ˇ r
@u ˇˇ 1

D C C 
@n ˇS
.x a /u .y a /u .z a /u :
r
1 x 2 y 3 z
y0

x0
y

x
 16) Chapter 1. Linear Partial Differential Equations [§1.2
There are other types of boundary conditions associated with appropriate pairs of hypersur-
faces of the boundary of .

Periodic Conditions

Let us suppose that Si ; i D 1; 2 of Rn which belong to S./, are such that there exists a
biyective map between them
 W S1 ! S2 ;
x 7! .x/;
such that both  and its inverse, when expressed in local coordinates of its domain surfaces,
are functions that admit all derivatives. A periodic boundary condition is then expressed as an
equation of the form
f .x; D ˛ u.x// D f ..x/; D ˛ u..x//; x 2 S1 :

 Example: When n D 1, we may consider S1 D f0g  R and  as the translation map

x 7! x C a, with .0/ D a, the boundary conditions could be ujxD0 D uxDa , ux jxD0 D ux jxDa .
1.2.3. Initial conditions

Initial Conditions

Another type of conditions that are usually required for the solutions of a PDE are the so-called
initial conditions of one of the independent variables that we will denote t or x0 . They are usually
a set of conditions of the form:
@u ˇˇ @r 1 u ˇˇ
uj t Dt0 D ˆ0 ; ˇ D ˆ1 ; : : : ; r 1 ˇ D ˆr 1 ;
@t t Dt0 @t t Dt0
where r  0 and ˆi are functions depending on the rest of independent variables. In general,
the initial conditions are not boundary conditions as situations are also considered in which the
set determined by the equation t D t0 can be in the inside of .

In physical problems in which the evolution of a system is analyzed, both boundary and initial
conditions usually coexist.

 Examples: The following examples show a couple of different generic situations.

1. Let us consider the heat equation in 1+1 dimensions:
u t D uxx ;
over the domain
 D f.t; x/ 2 R2 j t > 0; 1 < x < 2g:
§1.2] Boundary and/or Initial Conditions (17

R2

t D0 x
1 2

Domain, boundary and initial condition

We can impose the conditions

uj t D0 D .x 1/.x 2/; ujxD1 D 0; ujxD2 D 0:
In this case the initial condition is a boundary condition, as well.
2. Let us discuss the Schrödinger equation in 1+1 dimensions:
i ut D uxx ;
over the domain
 D f.t; x/ 2 R2 j 1 < t < 1; 1 < x < 1g:

t
R2


t D0 x
1 1

Domain, boundary and initial condition

We can impose the conditions

x2
uj t D0 D sin.x/ e ; ujxD 1 D 0; ujxD1 D 0:
In this case the initial condition is not a boundary condition.
18) Chapter 1. Linear Partial Differential Equations [§1.3
1.2.4. Smooth functions When looking for solutions to a boundary value problem, dif-
ferent types of functional spaces are considered in which to investigate the existence of such
solutions. For boundary value problems, the space C 1 ./ of functions of class C 1 or smooth
in the closure  of .

Smooth Functions

By definition u 2 C 1 ./ is a smooth function if and only if all its derivatives do exists for all
orders D ˛ u.x/ in every point x of some open set 0  . The most interesting properties C 1
are
1. If u; v 2 C 1 ./ then the functions
u.x/ C v.x/; 8;  2 C
u.x/
v.x/;
u.x/
; (if v.x/ ¤ 0 for all x 2 );
v.x/
also belong to C 1 ./.
2. If u is in C 1 ./ then all its derivatives D ˛ u.x/ also belong to C 1 ./.

§1.3. Linear Problems. Linear Differential Operators

L
inear boundary value and/or initial conditions problems, which are the subject of study
of this course, are discussed. Appropriate notations to deal with such problems are
provided. Linear differential operators and some of its properties are briefly discussed.
The notion of eigenvalues and eigenfunction for such operators is considered.
1.3.1. Differential Operators

Differential Operators

Let be C 1 ./ the space of functions of class C 1 in . A differential operator L on C 1 ./ is

an application L W C 1 ./ ! C 1 ./, u 7! Lu, as follows
X0
Lu WD a˛ .x/D ˛ u;
˛
P0
where ˛ means that the sum extends to a finite set of multi-indexes ˛ with j˛j  0 and the
coefficients a˛ .x/ are supposed to be given functions in C 1 ./.

Every differential operator is a linear application. That is, it satisfies

L.u C v/ D Lu C Lv; 8u; v 2 C 1 ./; ;  2 C:
§1.3] Linear Problems. Linear Differential Operators (19
A common notation we will use to refer to a differential operator is
X0
L WD a˛ .x/D ˛ :
˛

Examples: 
1. Let us consider the following differential operator acting on C 1 .R/
L D x 2 D C x:
Its action on u D cos x is
Lu D x 2 Du C xu D x 2 sin x C x cos x:
2. The Laplacian operator
Lu WD uxx C uyy C uzz ;
can be written as follows
@2 @2 @2
LD C C :
@x 2 @y 2 @z 2
Is a differential operator over C 1 ./, being  any domain in R3 . Its action over the
function
2 Cy 2 Cz 2
u WD ex ;
is
@2 x 2 Cy 2 Cz 2 @2 x 2 Cy 2 Cz 2 @2 x 2 Cy 2 Cz 2
D .4.x 2 C y 2 C z 2 / C 6/ ex Cy Cz :
2 2 2
Lu D 2 e C 2e C 2e
@x @y @z
Differential operators are the appropriate mathematical objects to handle linear PDEs. Thus,
a linear PDE of the form
X0
a˛ .x/D ˛ u D f .x/;
˛

is written in condensed form as

Lu D f;
being L the differential operator
X0
Lu WD a˛ .x/D ˛ u:
˛

Therefore, the problem with linear PDE consists of find functions u 2 C 1 ./ whose image by
linear application L matches the function f .
Relevant cases of these PDEs are the following:
1. Poisson equation in 3 dimensions:
Lu D f; Lu WD u:
 20) Chapter 1. Linear Partial Differential Equations [§1.3
2. Wave equation in 1+3 dimensions:
Lu D 0; Lu WD u t t c 2 u:
3. Schrödinger equation in 1+3 dimensions:
¯2
Lu D 0; Lu WD i ¯u t C u C V u:
2m
4. Heat equation in 1+3 dimensions:
Lu D 0; Lu WD u t a2 u:

Differential Operators

Differential operators have very important algebraic properties. The following natural opera-
tions are relevant
1. Addition of operators
.L C M /u WD Lu C M u:
2. Product of complex numbers and operators
.L/u WD .Lu/:
3. Product of operators
.LM /u WD L.M u/:
4. Commutator of operators
ŒL; M u WD L.M u/ [Link]/:
Two operators commute if and only if their commutator is the zero operator ŒL; M  D 0.

With respect to the addition and the product of complex numbers the differential operators
form a linear space. The zero operator, defined as the differential operator with all coefficients
equal to zero, is denoted L D 0 (obviously in such a case Lu D 0 for all u). Regarding the oper-
ation of operators’ product, which coincides with the composition of operators as applications,
the most outstanding peculiarity is that it is not a commutative operation.

 Examples:
1. If we take
L D D; M D D C x;
we have that
L.M u/ D D 2 u C xDu C u; [Link]/ D D 2 u C xDu:
Hence LM ¤ ML.
§1.3] Linear Problems. Linear Differential Operators (21
2. Let us now calculate an example in three dimensions with Lx D y@z z@y and Lz D
x@y y@x , the commutator is
ŒLx ; Lz  D Œy@z z@y ; x@y y@x  D Œy@z ; x@y  C Œy@z ; y@x  C Œ z@y ; x@y  C Œ z@y ; y@x 
D Œy@z ; x@y  C Œz@y ; y@x  D . x@z C z@x /Œ@y ; y
D z@x x@z
DW Ly :
This set of three operators .Lx ; Ly ; Lz / is essentially the orbital angular momentum
operator that appears in Quantum Physics (a i ¯/ factor is missing).
1.3.2. Initial condition and boundary operators

Boundary Operators

Let C 1 ./ be the space of differentiable functions over . A boundary operator l on C 1 ./
is a map l W C 1 ./ ! C.S/ with u 7! l.u/, being C.S/ the set of continuous functions on a
hypersurface S  S./ that belongs to the boundary of , as follows
X0
l.u/ WD b˛ .x/D ˛ ujS ;
˛
P0
where ˛ means that the sum extends to a finite set of multi-indices ˛ with j˛j  0 and the
coefficients b˛ .x/ are given functions in C.S/.

Every boundary operator is a linear map. That is, it satisfies

l.u C v/ D l.u/ C l.v/; 8u; v 2 C 1 ./; ;  2 C:

Initial Condition Operators

When one of the independent variables is time

x D .t; x/; x WD .x1 ; : : : ; xn 1 /;
and S denotes the subset intersection of a hyperplane t D t0 with  we define an initial condition
operator as an application of the form l W C 1 ./ ! C.S/ with u 7! l.u/, given by
ˇ
@r u ˇˇ
l.u/ WD r ˇ ; r  0:
@t t Dt0

It is clear that these initial condition operators are also linear.

Boundary and initial condition operators are the appropriate mathematical objects to handle
linear boundary conditions and initial conditions. Thus, a linear boundary condition
X0
b˛ .x/D ˛ u jS D g;
˛
22) Chapter 1. Linear Partial Differential Equations [§1.3
can be written in a condensate manner as follows
l.u/ D g;
being l the boundary operator
X0
l.u/ WD b˛ .x/D ˛ u jS ;
˛
Relevant cases of boundary operators associated with boundary conditions l.u/ D g are
1. Dirichlet condition:
l.u/ WD ujS :
2. Neumann condition:
@u ˇˇ
l.u/ WD ˇ :
@n S
Problems with Linear PDEs

The paradigmatic problem that we will consider in this course is that of characterize functions
u 2 C 1 ./ which are the solution of a system of equations of the form
(
Lu D f;
(2)
li .u/ D gi ; i D 1; : : : ; m;
where L is a differential operator and li a series of boundary or initial conditions operators.

1.3.3. Eigenvalues and eigenfunctions of differential operators One of the basic in-
gredients of our methods for solving linear problems such as (2) will be to use eigenvalues and
eigenfunctions of differential operators.

Associated Subspace to Boundary Value Conditions

1
i D1 acting on the space C ./ we call associated sub-
Given a set of boundary operators fli gm
space D to the set of functions such that
li .u/ D 0 for all i D 1; : : : ; m:
§1.3] Linear Problems. Linear Differential Operators (23

Domain of a Linear Differential Operator

Let L be a differential operator over C 1 ./ and D the associated subspace to the boundary
1
operators fli gm
i D1 on C ./. If we limit ourselves to consider the action of L on the elements
of D we can consider L as a linear map that takes us from D to C 1 ./, L W D ! C 1 ./
with u 7! Lu. In that case we will say that we consider the operator L defined on the domain
D of C 1 ./

Eigenvalues of a Linear Differential Operator

Let L be a differential operator defined on a domain D of C 1 ./. We’ll say that a complex
number  is an eigenvalue of L over D if
there exists some function u ¤ 0 in D such that Lu D  u
In that case we will say that such function u is an eigenfuntion of L corresponding to the eigen-
value . The set  .L/ of all eigenvalues of L is called the spectrum of L. For each eigenvalue
 2 .L/, we define the corresponding eigensubspace as the following linear subspace
D WD fu 2 D W Lu D ug
When dim D D 1, we say that the eigenvalue is simple and if dim D  2 that is degenerate.

In general, solving an eigenvalue and eigenfunction problem Lu D u; u 2 D in Rn requires

to find the solutions of the homogeneous linear PDE, Lu u D 0, in n independent variables.
Until the next chapter we will not have a method to treat this type of PDE with n  2. So, for
now, we’ll limit ourselves to problems with a single variable.

Examples: 

1. Let Lu D ux , in the domain D D fu 2 C 1 Œ0; 1 j u.0/ D 0g. The eigenvalue problem is

ux D u; u.0/ D 0:

The solution to the differential equation is u.x/ D c ex and the boundary condition
implies that c D 0 and therefore u D 0. Then there is no eigenvalue and .L/ D ;.
24) Chapter 1. Linear Partial Differential Equations [§1.3

2. Let be the previous operator but now in a

different domain associated with periodic 10 i C
boundary conditions. That is, Lu D ux 8 i
with D D fu 2 C 1 Œ0; 1 j u.0/ D u.1/g. 6 i
The solution to the differential equation is 4 i
u.x/ D c ex and the boundary condition 2 i
implies e D 1. Therefore,  D log 1 D 0
2n i; .L/ D f2n ign2Z , with eigensub- 2 i
spaces D2n i D C e2n i x and simple eigen- 4 i
values (dim D2n i D 1). The attached figure 6 i
shows the distribution of the spectrum in the 8 i
complex plane.
10 i
3. Let be the operator Lu D uxx en el
dominio D D fu 2 C 1 Œ0; 1 j u.0/ D Eigenvalues
0; u.1/ D 0g. The eigenvalue problem is

uxx D u; u.0/ D 0; u.1/ D 0:

For  D 0 the solution to the differential equation is u.x/ D c1 x C c2 and the boundary
conditions imply c2 D 0; c1 C c2 D 0. That is c1 D c2 D 0, so that u  0. Then
 D 0 is notpan eigenvalue. p For  ¤ 0 the solution to the differential equation is
u.x/ D c1 cos x C c2 sin x. Boundary conditions are now reduced to
(
c1 D 0;
p p
c1 cos  C c2 sin  D 0:

For there to be a non-trivial solution .c1 ; c2 / ¤ .0; 0/ of this system it is necessary and
sufficient that the determinant of the matrix of coefficients of the system is annulled
ˇ ˇ
ˇ 1 0p ˇˇ p
ˇ p D  D 0:
ˇcos  sin ˇ sin

Therefore, the eigenvalues are

n D n2  2 ; n D 1; 2; : : : :
For each of these eigenvalues the solutions of the system are c1 D 0 and c2 arbitrary. So
the eigensubspaces are
Dn2  2 D Cfsin nxg:

The eigenvalues and eigenfunctions of a

differential operator depend on its domain D.
§1.4] 1D Eigenvalue Problems (25

§1.4. 1D Eigenvalue Problems

S
trategies for solving eigenvalue problems for differential operators in one variable in
suitable domains, i.e. smooth functions that fulfill as many boundary conditions as the
order of the differential operator, are discussed now. We will give some examples for
ordinary differential operators with constant coefficients.

Eigenvalues of a 1D Linear Differential Operator

P
N
Let Lu D an .x/D n u.x/ be a N -th order 1D linear differential operator in a domain D
nD0
determined by a series of linear boundary conditions on the closed interval Œa; b, lj .u/ D 0 for
j D 1; : : : ; N . To solve the spectral problem Lu D u with u 2 D we may proceed as follows:
1. Solve the liner ODE, i.e. Lu u D 0, considering  as a parameter. The general
solution will be of the form
(2) u.; x/ D c1 u1 .; x/ C


C cN uN .; x/;
being fui gi D1;:::;N a maximal set of lineary independent solutions, i. e., a fundamental
set.
2. Impose the boundary conditions to the previous general solution
lj .u/ D 0; j D 1; : : : ; N:
Which, by substituting in each equation lj .u/ D 0 and due to the linearity of the bound-
ary operators, provides a system of N homogeneous linear equations
(3) lj .u1 /c1 C


C lj .uN /cN D 0; j D 1; : : : ; N;
for the N coefficients c1 ; c2 ; : : : ; cN of the general solution. The elements  of the spec-
trum of L are characterized by the property of admitting nontrivial solutions u 2 D,
of Lu D u. But this happens if and only if the equations (3) for .c1 ; : : : ; cN / admits
non-trivial solutions .c1 ; : : : ; cN / ¤ .0; : : : ; 0/. This, in turn, takes place if and only if
the determinant of the system matrix of coefficients vanish.
ˇ ˇ
ˇ l1 .u1 / : : : l1 .uN / ˇ
ˇ ˇ
ˇ :: :: ˇ D 0:
ˇ : : ˇˇ
ˇ
ˇlN .u1 / : : : lN .uN /ˇ
This condition constitutes an equation of the type
f ./ D 0;
and their solutions form the spectrum .L/.
3. For every  2 .L/ we solve the linear system (3) for .c1 ; : : : ; cN / and determine the
general solution u D u.n ; x/ in (2) which will constitute the associated eigensubspace
Dn .

1.4.1. Constant coefficients operators A typical case we will find is a problem with a L
differential operator with constant coefficients. We describe below how to proceed in the two
simplest cases.
26) Chapter 1. Linear Partial Differential Equations [§1.4
1. First order operators
Lu D ˛ ux C ˇ u; D D fu 2 C 1 .Œa; b/; such that u.a/  u.b/ D 0g;
where, to avoid trivial cases, we assume that the constants ˛; ˇ; ;  2 C satisfy
˛ ¤ 0; ¤ 0:
The eigenvalue equation, Lu D u, is
˛ ux C .ˇ / u D 0;
whose general solution is given by
 ˇ 
u.x/ D c exp x ; with c 2 C arbritary:
˛
By imposing the boundary condition we obtain the equation that characterizes the eigen-
values
  ˇ    ˇ 
c exp a  exp b D 0:
˛ ˛
Simplifying the constant factor c leaves us with
 ˇ 
exp .a b/ D :
˛
As ¤ 0 we have that
 ˇ   ˛ 
exp .a b/ D H)  D ˇ C log ;
˛ a b
then eigenvalues are
˛  ˇ ˇ    
ˇ ˇ
n D ˇ C log ˇ ˇ C i arg C 2n ; n 2 Z:
a b
with corresponding eigenfunctions given by
 ˇ 
n
un .x/ D c exp x ;
˛
with c 2 C arbitrary.
2. Second order operators
˚
Lu D ˛ uxx C ˇ ux C u; D D u 2 C 1 .Œa; b/; such that li .u/ D 0; i D 1; 2 ;
being the boundary operators of the form
li .u/ D i u.a/ C i ux .a/ C i0 u.b/ C 0i ux .b/; i D 1; 2:
The general solution of the differential equation
˛ uxx C ˇ ux C u D  u;
is of the form
u D c1 er1 ./ x Cc2 er2 ./ x ;
where r1 ./ and r2 ./ are two different solutions of the characteristic equation
˛ r2 C ˇ r C D :
§1.5] Boundary Value Problems in Electrostatics, Geophysics and Fluid Mechanics (27
The boundary conditions require
(
c1 l1 .er1 ./x / C c2 l1 .er2 ./x / D 0;
c1 l2 .er1 ./x / C c2 l2 .er2 ./x / D 0:
For there to be a non-trivial solution .c1 ; c2 / ¤ .0; 0/ of this system it is necessary and
sufficient that the determinant of the matrix of coefficients of the system is zero.
ˇ ˇ
ˇl1 .er1 ./x / l1 .er2 ./x /ˇ
ˇ ˇ
ˇl2 .er1 ./x / l2 .er2 ./x /ˇ D 0:
This is a condition of the form f ./ D 0, whose solutions are the operator’s eigenval-
ues. Once these are determined, the system is solved for c1 and c2 and the respective
eigenfunctions are determined.

§1.5. Boundary Value Problems in Electrostatics, Geophysics and Fluid

Mechanics

Electrostatics/Geophysics Equations

Given the domain   R3 , if  represents the distribution of electric

charge (mass density) and ai are boundary operators. Then, the electric
potential (gravitational) u satisfies the boundary value problem.
u D ;
ai .u/ D gi ; i D 1; : : : ; m:

Perfect Fluid Equations

Given the domain   R3 , in perfect fluid mechanics the potential for

velocities is determined by the same type of problem but with   0.
u D 0;
ai .u/ D gi ; i D 1; : : : ; m:

1.5.1. Uniqueness In this course we will study methods that allow us, in particular, to
determine solutions to this type of boundary value problems. The important question that
arises from the point of view of Physics is whether these solutions are the only possible ones
(question of uniqueness). Let us see that it is possible to analyze in a simple way such a question
for the Dirichlet boundary value problem
(
u D ;
ujS./ D g;
28) Chapter 1. Linear Partial Differential Equations [§1.5
and Neumann boundary value problem
˚ u D ;
ˇ
@u ˇˇ
D g;
@n ˇS./

for the Poisson equation. We are looking for u 2 C 1 ./. However, there may be two cases:
Inner Problem:  is a bounded set of R3 .
Exterior Problem:  is an unbounded set and its complement is bounded.
We must remember the theorem of divergence that assures that for a smooth vector field
A we havb
Z Z
3
r
Ad x D A
dS:
 S./

Applying it to A D uru, with u a smooth function, and bearing in mind that

r
.uru/ D ru
ru C uu;

we get Green’s identity

Z Z
2 3 @u
.jruj C uu/ d x D u d S:
 S./ @n

Uniqueness for the inner problem: Suppose now that two solutions u1 and u2 of the
Dirichlet or of Neumann boundary value problems are given. The difference u D u1 u2
satisfies
(
u D 0;
ˇ
uˇS./ D 0
or
˚ u D 0;
ˇ
@u ˇˇ
D 0;
@n ˇS./

respectively. Applying Green’s identity to this function we have

Z
jruj2 d3 x D 0


so that ru D 0 in the connected set  and, consequently, u is constant in . For the problem of
Dirichlet boundary value problem as u is zero at the boundary such constant is zero. Therefore,
we conclude
§1.5] Boundary Value Problems in Electrostatics, Geophysics and Fluid Mechanics (29

Uniqueness for the Inner Problem

The inner Dirichlet problem admits at most one solution.

In the inner Neumann problem the difference of two different solutions is a constant.

Uniqueness of the exterior problem: Now  is not bounded and we cannot apply care-
lessly the Green’s identity to the difference function u D u1 u2 of two solutions. For that reason,
we change to a domain that we will denote by R as described below. The complementary set
c WD R3 n of  is bounded, thus there exists a R0 > 0 such that if R > R0 ) c  B.0; R/,
where B.0; R/ WD fx 2 R3 W jxj < Rg is a ball of radius R centered at the origin. We denote by
R WD B.0; R/nc , with boundary given by S.R / D S1 ./ [ S2 ./ [


[ Sm ./ [ S.0; R/
with S.0; R/ WD fx 2 R3 W kxk D Rg the sphere of radius R centered at the origin and
S./ D S1 ./ [ S2 ./ [


[ Sm ./.
Applying Green’s identity to u in R we get
Z Z
2 3 @u
jruj d x D u dS
R S.0;R/ @n

and remembering that the normal derivative on the sphere is ur , we are lead to
Z Z
2 3
jruj d x D uur d S:
R S.0;R/

The surface integral can be bounded as follows

ˇZ ˇ
ˇ ˇ
ˇ ˇ  4R2 max juur j ;
ˇ uu r d S ˇ x2S.0;R/
S.0;R/

1 1
and assuming that1 u D O and ur D O for r ! 1, we get
r r2
Z Z
2 3 1
jruj d x D lim jruj2 d3 x  C lim D 0:
 R!1  R!1 R
R

1 1
A harmonic function u is said to be regular at infinity if u D O and jruj D O 2 for
r r
r ! 1. Hence, a harmonic function u regular at infinity satisfies
Z
lim uur d S D 0:
R!1 S.0;R/

It can be proven that2 that a harmonic function that goes to zero uniformly at infinity is a
regular at infinity.

1Recall that given to two functions f and g we say that f D [Link]/ if one can find M; r0 > 0 such that
jf j  M jgj 8r  r0 . This O notation is called asymptotic or Landau notation.
2See for example A. Tijonov & A. Samarski, Equations of Mathematical Physics, Dover
30) Chapter 1. Linear Partial Differential Equations [§1.5

Uniqueness in the External Problem

To ensure uniqueness in the Dirichlet’s problem and uniqueness up to constant in the problem
of Neumann it is necessary to demand that at infinity the solutions satisfy a condition of the
form
u D f C u0 ; r ! 1;
where f is a given fixed function and u0 is a harmonic function that tends to zero uniformly at
infinity.
§1.6] Exercises (31

§1.6. Exercises

1.6.1. Exercises with solutions

1. Determine the commutator ŒL; M  of the operators
a)
@2 @2 @2 @ @
L WD C C ; M WD x y C z:
@x 2 @y 2 @z 2 @y @x
b)
@2
L WD ; M WD x 2 C y 2 C z 2 :
@x@y
Solution:
a) To evaluate the commutator we use the Leibnitz property, the commutator is a
derivation, which is called inner, i.e., ŒA; BC  D ŒA; BC C BŒA; C , and also that
h @ i
; xj D ıi;j . Hence, we have
@xi
h @2 @ i h @2 @ i h @2 i
ŒL; M  D ; x ; y C ;z
@x 2 @y @y 2 @y @z 2
@ h@ i@ @ h@ i@ @h@ i
D2 ;x 2 ;y C2 ;z
@x @x @y @y @y @x @z @z
@2 @2 @
D2 2 C2 :
@x@y @y@x @z
Consequently„

@
ŒL; M  D 2 :
@z
b) Now we have
h @2 i h @2 i h @2 i
ŒL; M  D ; x2 C y2 C z2 D ; x2 C ; y2
@x@y @x@y @x@y
h@ i@ h@ i@ @ @
D ; x2 C ; y2 D 2x C 2y :
@x @y @y @x @y @x

1.6.2. Exercises
1. Deduce from Euler formulas the following properties
a) eu D euN ; u 2 C:
b) eu1 eu2 D eu1 Cu2 ; u1 ; u2 2 C:
c) e1u D e u ; u 2 C:
32) Chapter 1. Linear Partial Differential Equations [§1.6
2. To prove that the natural logarithm operation log allows us to express the solutions of
an equation for a complex number u
eu D z0 ;
in the form
u D log z0 D log jz0 j C [Link] z0 C 2n/; n D 0; ˙1; ˙2; : : : :
3. a) Find complex numbers z that satisfy
2
1/ ez D 1; 2/ ez D i; 3/ ez D 1:
b) Determine the real and imaginary parts, the module and first-order partial derivatives
of the following functions:
f .x; y; z/ D ei.k1 xCk2 yCk3 z/ ; .k1 ; k2 ; k3 / 2 R3 ;
2 Ci y 2
f .x; y/ D .x C y/ ex ;
r2 1 p
f .x; y; z/ D e f .x; y; z/ D ; with r D x 2 C y 2 C z 2 :
;
r
4. Prove that the associated subspaces D to sets fli gm
i D1 of linear boundary operators are
1
linear subspaces of linear space C ./. That is
8u; v 2 D; 8;  2 C H)  u C  v 2 D:
5. Determine the order of the following PDE. Indicate which are linear and which are
homogeneous linear.
ux x uy D 0I u C ux uy D 0;
p
1 C x 2 .cos y/ ux C uxy ex=y u D x 2 ;
u t C uxxx C u ux D 0I i u t C uxx C juj2 u D 0;
ux C ey uy D x 2 I uxy D eu ; ut t u D xyz:
6. Consider the heat equation in one spatial dimension
u t D a2 uxx
a) Show that the function
M x2
uD p e 4a2 t ;
2 a2 t
where M is an arbitrary constant, is a solution to the equation.
b) For each fixed value of t ¤ 0 represent u as a function of x. Determine its maximum
and inflection points as functions of t.
c) Determine the value of the integral
Z 1
u.t; x/ dx:
1
R1 x2
p
Hint: 1 e dx D .
d) Describe how the shape of the u graph changes when it grows t .
§1.6] Exercises (33
e) If u.t; x/ represents the concentration of a substance per unit length, interpret what
this solution describes.
7. Considering the Schrödinger equation in a spatial dimension
i ut D C uxx ;C > 0:
a) Prove that the function
M x2
uD p ei 4C t ;
2 C t
where M is an arbitrary constant, is a solution to the equation.
b) For each fixed value of t ¤ 0 represent the real and imaginary parts of u as functions
of x.
c) For each fixed value of t ¤ 0 represent juj as a function of x.
8. Determine a general solution of the equations:
uxy D 0I uxxyy D 0;
3 uy C uxy D 0I uxy D x
ux uy D 0I ux C uy D 0
ut t c 2 uxx D 0I ut t c 2 uxx D t:
9. Determine unit normal outgoing vectors n for the following curves and surfaces:
the circle: .x a/2 C .y b/2 D r 2 ;
the sphere: .x a/2 C .y b/2 C .y c/2 D r 2 ;
the cylinder: .x a/2 C .y b/2 D r 2 ; 0  z  h;
the inner rectangle: a  x  b; c  y  d ;
the interior parallelepiped: a  x  b; c  y  d; e  z  f :
10. Let the following differential operators be
@2 @
LD ; M D [Link]/ :
@x@y @y
Calculate the result LM u of applying the product operator LM to the function u D x e y .
11. Be  D @xx C @yy C @zz the Laplacian operator in three dimensions. Compute the result
 u of applying the operator  to the function
p
u D cos r; r D x 2 C y 2 C z 2 :
12. Show that the commutator of two differential operators satisfies the properties
ŒA; BC  D ŒA; BC C BŒA; C ; ŒAB; C  D AŒB; C  C ŒA; C B:
Determine the following commutators:
ŒH; Q; ŒH; P ;
where
H D @xx ; Q D x; P D i @x :
34) Chapter 1. Linear Partial Differential Equations [§1.6
13. Consider the differential operator Lu D i ux over the domain D of the functions u of
infinite class in the interval Œ 1; 1 that satisfy the boundary condition u.1/ D i u. 1/.
Determine the eigenvalues and eigenfunction of L.
14. Find operator eigenvalues and eigenfunctions, Lu D uxx , over domains D of functions
in C 1 Œ 1; 1 that meet boundary conditions
a/ u.0/ D u.1/; ux .0/ D ux .1/:
b/ ux .0/ D 0; ux .1/ D 0:
 2. Separation of Variables

Contents
2.1 Separable Linear Homogeneous PDEs . . . . . . . . . . . . . . . . . . . . 35
2.2 Separable Homogeneous Linear Boundary Value Problems . . . . . . . . 39
2.3 Application to the Equations of Mathematical Physics . . . . . . . . . . . 42
2.4 Helmholtz Equation in Cartesian Coordinates . . . . . . . . . . . . . . . 45
2.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

S
eparation of variables is one of the oldest methods of generating solutions of linear
PDEs. Basically it allows to reduce the problem of seeking solutions to certain types of
PDEs to problems solving ODEs. On the other hand, it constitutes the basic element
for eigenfunction expansion method to determine solutions of boundary value and/or
initial conditions problems.

§2.1. Separable Linear Homogeneous PDEs

W
e now discuss what is meant by separable differential operator, and how to build solutions
with the so-called method of separation of variables for homogeneous PDEs. We will
see how the method leads us to a general solution of the equation.
2.1.1. Separable Differential Operators Let L be a linear differential operator acting on
1
C ./ where  is a domain in Rn
X0
Lu WD a˛ .x/D ˛ u:
˛
For the following discussion it is convenient to write L in the form
 @ @ @ 
L D L x0 ; x1 ; : : : ; xn 1 I ; ;:::; ;
@x0 @x1 @xn 1
which indicates that L takes derivativatives with respect to the variables .x0 ; : : : ; xn 1 / and that
their coefficients a˛ D a˛ .x/ depend on those variables.

35
 36) Chapter 2. Separation of Variables [§2.1

Separable Operators

It is said that L is a separable operator with respect to the variable x0 if it can be split down
into the sum of two operators
L D A C B;
of the form
 @   @ @ 
A D A x0 I ; B D B x1 ; : : : ; x n 1 I ;:::; :
@x0 @x1 @xn 1
In other words, A only takes derivations with respect to x0 and its coefficients can only depend
on x0 , while B takes derivatives with respect to the variables .x1 ; : : : ; xn 1 / and their coefficients
can only depend on .x1 ; : : : ; xn 1 /.

 Examples:
1. The operator

Lu D xux C yuyy C yzuz C x 2 u;

is separable with respect to x since L D A C B being
 @ @  @ @ @2 @
A xI Dx C x2; B y; zI ; D y 2 C yz :
@x @x @y @z @y @z
2. The Laplacian operator
Lu WD u D uxx C uyy C uzz ;

is separable from any of its three variables .x; y; z/.

3. The d’Alambertian operator that appears in the 1+3 dimensional wave equation:.

Lu WD u t t c 2 u;
is separable with respect to any of its four variables .t; x; y; z/.
4. The operator who appears in the Schrödinger equation in 1+3 dimensions:
¯2
Lu WD i ¯u t C u C V .x; y; z/u;
2m
is separable in the variable t . It will be separable with respect to the variable x only
when the function V D V .x; y; z/ is V D u.x/ C v.y; z/. Analogously for variables y
and z.

2.1.2. Solutions to Separable Homogeneous Linear PDEs Separation of Variables

Method (SVM) applies to homogeneous linear PDEs where the operator L is separable..
§2.1] Separable Linear Homogeneous PDEs (37

Separation of Variables Method

Given a linear homogeneous PDE of the form

 @   @ @ 
A x0 I u C B x1 ; : : : ; xn 1 I ;:::; u D 0;
@x0 @x1 @xn 1
any pair of functions
v D v.x0 /; w D w.x1 ; : : : ; xn 1 /;
which satisfy the system of equations
Av D v;
Bw D w;
with arbitrary  2 C, determine a solution given by
u D v.x0 /w.x1 ; : : : ; xn 1 /:

Proof. Given two non-zero autofunctions v D v.x0 / and w D w.x1 ; : : : ; xn 1 /, by the form
of the operators A and B it is clear that u D vw satisfies
(
Au D [Link]/ D wAv D vw D u;
Bu D [Link]/ D vBw D vw D u;
therefore
Au C Bu D u u D 0:
□

Observations: 
1. The utility of the SVM lies in the fact that it reduces the problem of the search for
solutions of a PDE
Au C Bu D 0;
with n variables independent .x0 ; x1 ; : : : ; xn 1 / to a system which consists of an ODE
Av D v;
and a PDE
Bw C w D 0;
with .n 1/ independent variables .x1 ; : : : ; xn 1 /, which is in turn another homogeneous
linear PDE. If to this PDE we can apply the SVM, that is to say if it is separable with
respect to some of its independent variables, we will reduce it to a ODE and a homoge-
neous linear PDE with n 2 independent variables. Iterating the process, we conclude
that if it is possible apply the SVM n 1 times we will have managed to reduce the PDE
38) Chapter 2. Separation of Variables [§2.1
to a system of n ordinary differential equations. When this happens we say that the PDE
is resoluble through the SVM.
2. The functions v and w that appear in the SVM are eigenfunctions of the operators A
and B with eigenvalues  and , respectively.
3. When we apply SVM we assume that  is an arbitrary complex parameter. Then, the
obtained solutions u will depend on of that parameter . In a PDE with n independent
variables, soluble through SVM we must apply SVM n 1 times, then the solutions
obtained will depend on the n 1 parameters  D .1 ; : : : ; n 1 / introduced by SVM.
In other words, the SVM provides a family .n 1/-parametric solutions

u D u.; x/:

4. As the PDE

Au C Bu D 0;

is a linear and homogeneous, given any family of solutions,

fu D u.; x/;  2 ƒg;

any linear combination of elements in the family

X
N
ck u.k ; x/;
kD1

is also a soluion of the PDE. Under appropriate conditions we will also be able to build
solutions through generalized linear combinations of the infinite series type

X
1
ck u.k ; x/;
kD1

or an integral expression.
Z
c./u.; x/ dn 1
; ƒ0  ƒ:
ƒ0

Even also a superposition of both forms

X
1 Z
ck u.k ; x/ C c./u.; x/ dn 1
:
ƒ0
kD1

Although we will not use the concept of general solution, it can be proved in concrete
examples that this scheme to generate solutions leads, under appropriate condition, to
general solutions of the problem.
§2.2] Separable Homogeneous Linear Boundary Value Problems (39

§2.2. Separable Homogeneous Linear Boundary Value Problems

S
eparation of variables can also be applied in situations where a linear equation in partial
derivatives must be satisfied in a domain and, in addition, at the boundary must meet
m boundary conditions
(
Lu D 0;
li .u/ D 0; i D 1; : : : ; m;

Boundary Operators in One Variable

It is said that a boundary operator acts only on the variable x0 if for all pair of functions
v D v.x0 / and w D w.x1 ; : : : ; xn 1 / is satisfied
[Link]/ D w.x1 ; : : : ; xn 1 /l.v/:
Similarly, it is said that l acts only on variables .x1 ; : : : ; xn 1 / when for all pair of functions
v D v.x0 / and w D w.x1 ; : : : ; xn 1 / is satisfied that
[Link]/ D v.x0 /l.w/:

Examples: 
1. Let   R3 , the functionals

l.u/ D ujxD1 ; l.u/ D ux jxD1 ;

only acts on the variable x. However,

l.u/ D .u C uy /jzD1 ; l.u/ D ujyCzD3 ;

only acts on variables .y; z/.

2. Let   R2 and € the unit circle, the functional

l.u/ D uj€ ;

is not separable either with respect to x neither to y. However, if we take polar coordi-
nates .r; /, the functional is separable with respect to the radial variable r since

l.u/ D ujrD1 :

SVM can be applied to homogeneous boundary value problems when the PDE is separable
and the boundary conditions are appropriate. We can summarize the propitious situation in
the following statement.
40) Chapter 2. Separation of Variables [§2.2

Separation of Variables for Homogeneous Boundary Value Problems

Let us consider a boundary value problem of the form

 @   @ @ 
A x0 I u C B x1 ; : : : ; xn 1 I ;:::; u D 0;
@x0 @x1 @xn 1
ai .u/ D 0; i D 1; : : : ; r;
bj .u/ D 0; j D 1; : : : ; s;
such that
1. Boundary operators ai acts only on the variable x0 .
2. Boundary operators bj acts only on the variables .x1 ; : : : ; xn 1 /.
Then, every couple of functions
v D v.x0 /; w D w.x1 ; : : : ; xn 1 /;
that satisfy the systems of equations
(
Av D v;
ai .v/ D 0; i D 1; : : : ; r;
(
Bw D w;
bj .w/ D 0; j D 1; : : : ; s;
with  2 C, determine a solution given by
u D v.x0 /w.x1 ; : : : ; xn 1 /:

Proof. The only thing left to prove is that if v D v.x0 / satisfies the first r boundary con-
ditions and w D w.x1 ; : : : ; xn 1 / satisfies the s second boundary conditions, then u D vw is
solution to our problem. But this property is an immediate consequence of the properties of
boundary operators ai and bj , with ai .u/ D ai .vw/ D wai .v/ D 0 and bj .u/ D bj .vw/ D
vbj .w/ D 0. □
§2.2] Separable Homogeneous Linear Boundary Value Problems (41

Examples: 

1. Let v.x; z/ be the velocity field of a z

stationary fluid moving in the plane
xz above a impenetrable background at
depth z D h. x
The fluid velocity potential u D u.x; z/
is defined by the relationship
v D r u;

h
and satisfies the boundary value problem
for the planar Laplace equation
(
uxx C uzz D 0;
uz jzD h D 0:
We can apply the SVM, looking for solu- Perfect fluid on horizontal plane
tions of the form u D v.z/w.x/ where
vzz D v; vz jzD h D 0;
and
wxx D w:
Introducing the change  D k 2 , it is obtained that the solution of the ODE for v is
v.z/ D A ekz CB e kz
;
imposing the boundary value condition to v one obtains
kh
k.A e B ekh / D 0; B D Ae 2kh
:
That is
v.z/ D [Link] C e 2kh
e kz
/ D 2A e kh
cosh k.z C h/:
On the other hand, solving the ODE for w
w.x/ D C ei kx CD e i kx
:
In this way we have determined the following family of solutions
Q ei kx CD e i kx / cosh k.z C h/; AQ 2 C:
u.x; z/ D 2A.C
2. It is very frequent to find boundary value problems in which the SVM is not initially
applicable, but it is when making an appropriate change of independent variables. For
example, let’s consider again the problem of the velocity field of a stationary perfect
fluid moving in the xz plane over an impenetrable bottom, but let’s suppose now that
this bottom is not horizontal but is described by a line of equation z D mx; m D tan ˛.
42) Chapter 2. Separation of Variables [§2.3

z The velocity potential of the fluid u D

u.x; z/ then satisfies the boundary value
problem
˚u
xxˇ C uzz D 0;
@u ˇˇ
D 0:
x @n ˇzD mx
Bearing in mind that a unit normal at the
bottom is

˛
n D sin ˛ i C cos ˛ k
the boundary value problem becomes
(
uxx C uzz D 0;

ˇ
Perfect fluid on an inclined plane sin ˛ ux C cos ˛ uz ˇzD mx D 0:
It is clear that the boundary value condi-
tion does not allow for a direct application of SVM. However, if we introduce the change
of coordinates
x 0 D cos ˛ x sin ˛ z; z 0 D sin ˛ x C cos ˛ z;
the problem is reduced to
(
ux 0 x 0 C uz 0 z 0 D 0;
uz jz 0 D0 D 0;
to which we can apply SVM, and as we saw in the previous example
0 i kx 0
u.x 0 ; z 0 / D 2A.C ei kx CD e / cosh kz 0 :
To write the solution in terms of the variables .x; z/ it is enough to introduce in u the
expressions of .x 0 ; z 0 / in function of .x; z/.

§2.3. Application to the Equations of Mathematical Physics

M
athematical–Physics problems solved by the SVM frequently require the consideration
of a linear equation in partial derivatives of evolutionary type, in which a variable of type
temporal is clearly separated from the rest of the variables, let’s say of spatial type. The
variable time belongs to an interval and the spatial variables to a domain in multidimensional
space, therefore the domain for the problem is the Cartesian product of the time interval with the
spatial region. In addition, initial conditions for the temporal variable and boundary conditions
§2.3] Application to the Equations of Mathematical Physics (43

˚
at the spatial boundary will be satisfied

˛
@N u
Lu D f; t 2 .a; b/; x 2 0  Rn 1 ;
€ @t N ˇ
@i u ˇˇ
(4) D fi .x/; i D 1; : : : N 1;
@t i ˇ t Dt0
lj .u/ D gj .t; x/; j D 1; : : : ; s;

where ˛ 2 C, L is an operator in spatial variables x D .x1 ; : : : ; xn 1 /

 @ @ 
L D L x1 ; : : : ; x n 1 I ;:::;
@x1 @xn 1
and the lj are boundary operators in the spatial variables. These problems arise naturally in
Electromagnetism, Quantum Mechanics and Mechanics of Continuous Media. It should be
noted that in general the problem is not homogeneous, although the first member of the PDE
@N u
˛ Lu
@t N
is a separable operator with respect to the variable t.
As we will see later, the method to solve these problems is the eigenfunction expansion
method that is based on the construction of the solution through families of solutions of the
associated spectral problem
(
Lw D w;
(5)
lj .w/ D 0; j D 1; : : : ; s:
The latter is a homogeneous problem, which when the appropriate separability conditions are
met, can be solved by the SVM. The solutions w.x/ of (5) determine the so-called standing
wave series of the physical problem described by (4). These standing waves are functions of
the form
i !t
uDe w.x/; ! 2 R;
where w.x/ is a solution of (5) and the time factor e i !t is found demanding that u satisfies
the PDE in (4). This condition determines the frequency ! of the wave, since when replacing
the u function in the PDE you get
˛. i !/N e i !t
w D e i !t
w;
by simplifying you get the dispersion relation
˛. i !/N D ;
which links ! to . Only if there are real solutions ! to this relationship can we talk about
standing waves in the corresponding physical phenomenon.
In many interesting physical problems you have L D , so the corresponding eigenvalue
equation is
w D w:
 44) Chapter 2. Separation of Variables [§2.3
Denoting  D k 2 this equation becomes the Hemholtz equation

w C k 2 w D 0;
that will be fundamental in what follows.

˚
 Examples:
1. Let’s consider a typical problem for the wave equation in 1 C 1 dimensions
c( 2 u t t D uxx ; t 2 .a; b/; x 2 .0; l/;
uj t Dt0 D f1 .x/;
ˇ
u t ˇ t Dt0 D f2 .x/I
(
ujxD0 D g1 .t/;
ujxDl D g2 .t/:
The associated spectral problem is
wxx D w;
(
w.0/ D 0;
w.l/ D 0:
The solutions are

wn .x/ D [Link] x/; kn D n; n D 1; 2; : : : ;
l
with n D kn2 . The dispersion relation is
2
c . i !/2 D k2;
then the standing waves of the problem are

˚
i !n t
un .t; x/ D e [Link] x/; !n D ˙ckn :
2. Let us now consider a problem with the free Schrödinger equation in 1 C 1 dimensions

¯2
i ¯u t D uxx ; t 2 .a; b/; x 2 .0; l/;
2m
uj t Dt0
( D f1 .x/I
ujxD0 D g1 .t/;
ujxDl D g2 .t/:

The associated spectral problem is

¯2
wxx D w;
( 2m
w.0/ D 0;
w.l/ D 0:
§2.4] Helmholtz Equation in Cartesian Coordinates (45
The solutions are

wn .x/ D [Link] x/; kn D n; n  1;
l
where
¯2 kn2
n D :
2m
The dispersion relation is
¯k 2
!D ;
2m
and the standing waves of the problem are the following stationary states

i !n t ¯kn2
un .t; x/ D e [Link] x/; !n D :
2m

§2.4. Helmholtz Equation in Cartesian Coordinates

H
elmholtz equation in Cartesian coordinates, that can be considered as a spectral prob-
lem in three dimensions and, moreover, being a homogeneous linear PDE separable
with respect to the three Cartesian coordinates to which the SVM can be applied to find
solutions, reads

uxx C uyy C uzz C k 2 u D 0; k 2 C:

In this way we start looking for a solution of the form

u.x; y; z/ D X.x/w.y; z/;
so that
˚d X2
D X;
d x2
wyy C wzz C k 2 w D w;

where  D k12 2 C. Separating variables again, we seek for a solution to the second equation
of the form
w.y; z/ D Y.y/Z.z/
such that
‚d Y 2
D 0 Y;
d y2
d2 Z
2
C .k 2 k12 /Z D 0 Z
dz
46) Chapter 2. Separation of Variables [§2.4

‚
where 0 D k22 2 C. Writing k32 D k 2 k12 k22 we see that the solution sought has the form
uk1 ;k2 ;k3 .x; y; z/ D Xk1 .x/Yk2 .y/Zk3 .z/;
(
a1 x C b 1 ; k1 D 0;
Xk1 .x/ D i k1 x i k1 x
a e Cb1 e ; k1 ¤ 0;
( 1
(6) a2 y C b2 ; k2 D 0;
Yk2 .y/ D i k2 y i k2 y
a e Cb2 e ; k2 ¤ 0;
( 2
a3 x C b3 ; k3 D 0
Zk3 .z/ D i k3 z i k3 z
a3 e Cb3 e ; k3 ¤ 0:

with
k 2 D k12 C k22 C k32 :
The boundary conditions to which these solutions are suited are those in which the boundary
is formed by planes parallel to the coordinate planes. Let’s analyze three examples of this type.
Quantum particle in an impenetrable box Stationary states of energy E of a quantum
particle in a impenetrable box of sides L1 , L2 and L3 is described by the next Dirichlet’s
problem
(
¯2
2m
u D Eu;
ujwalls D 0:

L3

L2 y

L1

2mE
The PDE is a Helmholtz equation with k 2 D and the boundary value condition breakdown
¯2
into the following conditions
u.0; y; z/ D 0; u.L1 ; y; z/ D 0I
u.x; 0; z/ D 0; u.x; L2 ; z/ D 0I
u.x; y; 0/ D 0; u.x; y; L3 / D 0:
 §2.4] Helmholtz Equation in Cartesian Coordinates (47
Let us impose these boundary conditions on uk1 ;k2 ;k3 .x; y; z/ D Xk1 .x/Yk2 .y/Zk3 .z/ in (6).
One can check that when any k1 ; k2 or k3 cancels the solution is trivial. Hence we require
k1 ; k2 ; k3 2 N. For Xk1 we have
a1 C b1 D 0;
a1 ei k1 L1 Cb1 e i k1 L 1
D0
which implies

a1 D b1 ; k1 D n1 ; n 1 2 N
L1
and, consequently,
 n1
Xk1 .x/ D A1 sin x:
L1
An analogous procedure in the variables y; z allows us to conclude that
n  n  n 
1 2 3
uk1 ;k2 ;k3 .x; y; z/ D a sin x sin y sin z ; n1 ; n2 ; n2 2 N:
L1 L2 L3
The parameter k 2 D k12 C k22 C k32 is, therefore, of the form
 n2 n2 n2 
k 2 D  2 12 C 22 C 32
L1 L2 L3
and the following energy quantification is obtained
¯2  2  n21 n22 n23 
En1 ;n2 ;n3 D C C ;
2m L21 L22 L23
with n1 ; n2 ; n3 2 N. We can consider a version of the same problem in two dimensions making
z D 0. We now show the graphic of ju.x; y/j2 which represents the probability density of
presence of the quantum particle at the point .x; y/ of the rectangle Œ0; 2  Œ0; 4
u2 u2

y y

x x

n1 D n2 D 1 n1 D 2; n2 D 3
48) Chapter 2. Separation of Variables [§2.4
Quantum particle in a box with periodic conditions We now impose periodic boundary
conditions, that is:

u.0; y; z/ D u.L1 ; y; z/; ux .0; y; z/ D ux .L1 ; y; z/I

u.x; 0; z/ D u.x; L2 ; z/; uy .x; 0; z/ D uy .x; L2 ; z/I
u.x; y; 0/ D u.x; y; L3 /; uz .x; y; 0/ D uz .x; y; L3 /:

These conditions applied to eigenfunctions uk1 ;k2 ;k3 of (6) lead us for ki D 0 to ai D 0 and
when ki ¤ 0 to

ai C bi D ai ei ki Li Cbi e i ki Li
;
ai bi D ai ei ki Li bi e i ki L i
;

with i D 1; 2 and 3. For these linear systems to have non-trivial solutions .ai ; bi / ¤ .0; 0/ we
must demand that
ˇ ˇ
ˇ1 ei ki Li 1 e i ki Li ˇˇ
ˇ D 0I
ˇ1 ei ki Li .1 e i ki Li /ˇ

this is

.ei ki Li =2 e i ki Li =2 2
/ D 0:

Condition that is identically satisfied when

2
ki D ni ; ni 2 Z; i D 1; 2; 3:
Li

Therefore, the possible energies are

¯2  n2 n2 n2 
En1 ;n2 ;n3 D 4 2 12 C 22 C 32 :
2m L1 L2 L3

So solutions u are those of (6) with these discretized ki D 2 n.

Li i
Fluid in a parallelepipedic pipe The fluid in a pipe, modeled as the set Œ0; LRŒ0; L0  
R , as shown in the following picture,
3
§2.4] Helmholtz Equation in Cartesian Coordinates (49

L0

˚„
has a velocity potential u determined by the following Neumann boundary value problem for
the Laplace equation

u D 0;
ux .0; y; z/ D 0;
ux .L; y; z/ D 0;
uz .x; y; 0/ D 0;
uz .x; y; L0 / D 0:

Let us, therefore, impose upon uk1 ;k2 ;k3 D Xk1 .x/Yk2 .y/Zk3 .z/ these conditions. For k1 D 0 we
have X0 .x/ D a1 x C b1 , with a1 ; b1 constants to be determined by the boundary conditions.
From X00 .0/ D X00 .L/ D 0 we deduce that a1 D 0 but b1 is free. When k1 ¤ 0, for the function
Xk1 D a1 ei k1 x Cb1 e i k1 x we have
X 0 .0/ D X 0 .L/ D 0;
that the leads to the system
a1 b1 D 0;
a1 ei k1 L b1 e i k1 L
D 0:
The existence of non-trivial solutions .a1 ; b1 / ¤ .0; 0/ requires
ˇ ˇ
ˇ 1 1 ˇˇ
ˇ ik L D 0;
ˇe 1 e i k1 L ˇ
this is sin 2k1 L D 0 and, consequently,

k1 D n; n 2 ZC D N [ f0g:
L
50) Chapter 2. Separation of Variables [§2.4
As a1 D b1 the eigenfunctions are

Xn .x/ D cos nx:
L
A similar analysis in the z variable leads to

k3 D 0 n0 ; n0 2 ZC ;
L
with associated eigenfunctions
 0
Zn0 .z/ D cosn z:
L0
For the variable y we don’t have boundary conditions to impose, however, we are now solving
Laplace’s equation; this is the Helmholtz’s equation with
k 2 D 0:
So, as k12 C k22 C k32 D k 2 D 0, we deduce that
s
n2 n0 2
k2 D ˙ i  C ;
L2 L0 2
and, for k2 ¤ 0, we obtain the following solutions
r
nx n0 z ˙ n2 02
C n02 y
un;n0 .x; y; z/ D cos cos e L2 L ;
L L0
while for n D n0 D 0 the solution is
un;n0 .x; y; z/ D Ay C B;
with A; B arbitrary constants.
§2.5] Exercises (51

§2.5. Exercises

2.5.1. Exercises with solutions

1. Apply the MSV to the following linear and first-order PDEs
ux C uy D 0;
xux C uy D 0;
xux yuy D 0:
Provide a general solution candidate by linear superposition.
Solution: For the first equation we have the operators
d d
AD ; BD ;
dx dy
and we look for factorized solutions in the form
u.x; y/ D v.x/w.y/;
where v.x/ and w.y/ are eigenfunctions
Av D v; Bw D w:
That is,
v 0 D v; w0 D w:
Therefore, we can write
v.x/ D c1 ex ; w.y/ D c2 e y
;
where c1 ; c2 2 C are arbitrary constants and the eigenvalues  2 C are not constrained
in any way. This leads to the factored solution

u.x; y/ D c e.x y/
;
where we have absorbed the two constants c1 ; c2 in the constant c D c1 c2 . Therefore,
the SVM gives us the following solution
Z
u.x; y/ D c./ e.x y/ d ;

that can be considered a general solution.

We observe that the general solution to this equation is in the form of u.x; y/ D f .x y/;
for any derivable function f .
In the second case we have
d d
ADx ; BD ;
dx dy
and the factors of
u.x; y/ D v.x/w.y/;
52) Chapter 2. Separation of Variables [§2.5
will be eigenfunctions
Av D v; Bw D w:
and, therefore, will satisfy,
xv 0 D v; w0 D w:
In this way, we conclude
v.x/ D c1 x  ; w.y/ D c2 e y
;
that leads to
u.x; y/ D c e.log x y/
:
and given a function c./ to the general solution
Z
u.x; y/ D c./ e.log x y/
d :

In particular, given a derivable function f .x/ and x > 0 the general solution of the


equation is u.x; y/ D f log x y .
Finally, for the third equation, we have
d d
ADx ; BD y ;
dx dy
and the factorized solutions
u.x; y/ D v.x/w.y/;
require their factors to be solutions of
xv 0 D v; yw 0 D w:
Therefore, we can write
v.x/ D c1 x  ; w.y/ D c2 y  :
So,

u.x; y/ D cx  y  :
The general solution is
Z
c./.xy/ d :

Given any derivable function f .x/ the function u.x; y/ D f .xy/ is a general solution.
2. Apply the SVM to the Laplace equation in two dimensions
uxx C uyy D 0:
§2.5] Exercises (53
Solution: We seek for solutions in factorized form u.x; y/ D v.x/w.y/, which will
be solutions to the following eigenvalue problems
v 00 D k 2 v; w 00 D k 2 w:
Therefore, they can expressed as follows
v.x/ D a ekx Cb e kx
; w.y/ D c ei ky Cd e i ky
;
for arbitrary complex constants a; b; c; d 2 C. Therefore, using the complex variable
z D x C i y and we can write
u.x; y/ D A ekz CB e kz
CC ek zN CD e k zN
;
with A; B; C; D 2 C arbitrary constants. This leads us to the following general solution
Z Z
u.x; y/ D A.k/ e d k C C.k/ ek zN :
kz

In fact, the most general harmonic function is the sum of a holomorphic function f .z/,
i.e. does not depend on z,N and an antiholomorphic [Link] /, i.e. it does not depend on z,
that is to say u.x; y/ D f .z/ C [Link] / is a general solution.
3. Apply the MSV to the 2D Laplace equation
uxx C uyy D 0;
with Dirichlet boundary conditions
(
u.0; y/ D 0;
u.1; y/ D 0:
Solution: We use the solutions discussed in the previous problem and impose the
corresponding boundary conditions:
(
v.0/ D 0;
v.1/ D 0:
This is, on the one hand
    
1 1 a 0
D ;
ek e k b 0
which possesses non-trivial solutions when
ˇ ˇ
ˇ1 ˇ
0 D ˇˇ k ˇ D ek
1 k
e e kˇ
e ;

and hence e2k D 1, whose solutions are

k D n i; n D 1; 2; : : : :
In addition, you must have a C b D 0. So
v.x/ D A sin nx; A 2 C; n D 1; 2; : : : :
54) Chapter 2. Separation of Variables [§2.5
The solution to the Laplace equation will be
ny
u.x; y/ D sin nx.c e Cd eny /; c; d 2 C:
4. Apply the MSV to the 2D Laplace equation
uxx C uyy D 0;
with boundary conditions
€ u.0; y/ D 0;
u.1; y/ D 0;
u.x; 0/ D 0:
Solution: We use the solutions discussed in the previous problem and impose the
corresponding additional boundary value condition
w.0/ D 0:
So, we get c C d D 0, and therefore
w.y/ D B sinh ny:
We have concluded that
u.x; y/ D A sin nx sinh ny;
is the solution to our problem. The most general solution that the SVM provides will
take the following form
X
1
u.x; y/ D cn sin nx sinh ny:
nD1

For some adequate sequence fcn g1

nD1 .
5. Apply the method of separation of variables to the 1D heat equation, with D > 0,
u t D Duxx :
Solution: The separation of variables is done with the operators
d d2
AD ; BD D ;
dt d x2
looking for solution in the form u.t; x/ D v.t/w.x/, each factor being an eigenfunction
of the corresponding differential operator, i.e.,
Av D k 2 v; Bw D k 2 w;
where we’ve written the eigenvalue as  D k 2 with k 2 C. Therefore, the following
equations must be fulfilled
v0 D k 2 v; Dw 00 D k 2 w;
whose solutions are
i kx
p i kx
p
k2t
v.t/ D c e ; w.x/ D a e D Cb e D :
§2.5] Exercises (55
Therefore, the solution of the heat equation is
i kx i kx
k2t C p k2t p
u.t; x/ D a e D Cb e D I

and the principle of linear superposition leads to the following general solution
Z  
i kx i kx
k2t C p k2t p
u.t; x/ D a.k/ e D Cb.k/ e D d k:

6. Apply the SVM to the 1D free Schrödinger equation

¯2
i ¯u t D uxx :
2m

Solution: To work with the SVM we consider the operators

d ¯2 d2
A D i¯ ; BD ;
dt 2m d x 2
and we look for solutions in the form of u.t; x/ D v.t/w.x/, where

Av D k 2 v; Bw D k 2 w;

where  D k 2 with k 2 C. Hence, we obtain the following ODEs

¯2 00
i ¯v 0 D k 2 v; w D k 2 w;
2m
whose solutions are
p p
k2 t i 2mkx i 2mkx
i
v.t/ D c e ¯ ; w.x/ D a e ¯ Cb e ¯ :

The corresponding solution of the Schrödinger equation is

p p
k2 t i 2mkx k2 t i 2mkx
u.t; x/ D a e i ¯ C ¯ Cb e i ¯ ¯ ;

which leads to the following general solution

Z  p p 
k2 t i 2mkx k2 t i 2mkx
u.t; x/ D a.k/ e i ¯ C ¯ Cb.k/ e i ¯ ¯ d k:

7. Apply the SVM to the 1D wave equation

ut t c 2 uxx D 0:
56) Chapter 2. Separation of Variables [§2.5
Solution: SVM can be applied with the operators
d2 2d
2
AD ; B D c ;
d t2 d x2
and the ansatz u.t; x/ D v.t/w.x/. The following eigenvalue problems appear (we take
eigenvalues in the form  D k 2 )
Av D k 2 v; Bw D k 2 w;
which are the following ODEs
v 00 D k 2 v; c 2 w 00 D k 2 w:
The solutions are given by
x
ikx
v.t/ D P ei k t CQ e i kt
; w.x/ D R ei k c CS e c ; P; Q; R; S 2 C;
and therefore, the solution of the wave equation given by the SVM is
x x x
i [Link] x
u.t; x/ D ˛ ei k.t c/ Cˇ e i k.t c/ C ei [Link] c / Cı e c/ ; ˛; ˇ; ; ı 2 C:
Therefore, the overall solution will be
Z  
x x
u.t; x/ D ˛.k/ ei k.t c/ C .k/ ei k.t C c / d k:

That is, the general solution of the wave equation is of the form f .x ct/ C g.x C ct/.
8. A 1D quantum particle enclosed in a box of length L is described by a type boundary
value problem:
€iu D uxx ; t > 0; 0 < x < LI
( t

ujxD0 D 0;
ujxDL D 0:
Determine the solutions provided by the SVM.
Solution: To apply the SVM we write
d d2
ADi ; BD ;
dt d x2
and we look for solutions in the form u.t; x/ D v.t/w.x/, each factor being an eigen-
function
Av D k 2 v; Bw D k 2 w;
where we’ve written the eigenvalue in the form of  D k 2 . Therefore, the following ODEs
must be met
i v 0 D k 2 v; w 00 D k 2 w;
which has as its solution
i k2t
v.t/ D c e ; w.x/ D a ei kx Cb e i kx
;
§2.5] Exercises (57
for arbitrary complex constants a; b; c. The boundary conditions act only on the x
variable, so we must impose that
(
w.0/ D 0;
w.1/ D 0:
that leads to the system
    
1 1 a 0
D :
ei kL e i kL b 0
The existence of non-trivial solutions requires
ˇ ˇ
ˇ 1 ˇ
ˇ i kL 1 ˇ D 0;
ˇe e i kL ˇ
n
i.e., k D L
, with n D 1; 2; : : : and the eigenfunctions are
nx
wn .x/ D sin :
L
Hence, the solutions that the SVM provides for this problem are of the following form
X
1
i n2  2 t nx
u.t; x/ D cn e L2 sin ;
nD1
L

for appropriate sequences of numbers fcn g1

nD1 .
9. Determine the solutions provided by the SVM for the boundary value problem:
€ tu D uxx C 2u; t > 0; 0 < x < ;
( t

ujxD0 D 0;
ujxD D 0:

Solution: The separation of variables is considered in this case with the following
differential operators
d d2
ADt 2; BD ;
dt d x2
that for factored solutions in the form u.t; x/ D v.t/w.x/ leads to the following eigen-
value problems, with  D k 2 ,
Av D k 2 v; Bw D k 2 w:
Thus, we must solve the following ordinary differential equations
tv 0 D .2 k 2 /v; w 00 D k 2 w;
the solutions to which are
k2
v.t / D ct 2 ; w.x/ D a sin kx C b cos kx; a; b; c; 2 C:
58) Chapter 2. Separation of Variables [§2.5
The boundary conditions acts only on the variable x, then they will have to be demanded
to w.x/, that is
(
w.0/ D 0;
w./ D 0;
which leads to the system
    
0 1 a 0
D :
sin k cos k b 0
But for non-trivial solutions to exist, we will have to ask the system determinant to cancel,
that is sin k D 1, then
k D n; n D 1; 2; : : : :
That’s it, the eigenvalues are
n D n2  2 ; n D 1; 2; : : : ;
and the corresponding eigenfunctions are given by
wn .x/ D sin nx; n D 1; 2; : : :
Therefore, we come to the following solution
n2  2
u.t; x/ D ct 2 sin nx; c 2 C; n D 1; 2; : : :
and their linear combinations link to the solution
X
1
n2  2
u.t; x/ D cn t 2 sin nx;
nD1

for suitable number sequences fcn g1

nD1  C.
10. Determine the solutions provided by the SVM for the boundary value problem:
€u
( t D uxx ; t > 0; 0 < x < 1I
ujxD0 D 0;
.ux C ˛u/jxD1 D 0;
Solution: Before solving the problem we give its physical interpretation. We have a
problem of heat diffusion in a thread of unit length, with a given zero temperature at
one edge and in the other edge there is a mechanism that cools/warms in proportion to
the temperature at which it is found.
To apply SVM we consider eigenvalue problems for operators
d d2
AD ; BD ;
dt d x2
that follow
Av D k 2 v; Bw D k 2 w;
§2.5] Exercises (59
which enable solutions to be found in the following factored form u.t; x/ D v.t/w.x/.
Therefore, the following ODEs need to be solved
v0 D k 2 v; w 00 D k 2 w;
whose solutions are
k2t
v.t/ D c e ; w.x/ D a sin kx C b cos kx; a; b; c 2 C:
Boundary conditions acts only on the x variable, so we impose them on w.x/, i.e.,
(
w.0/ D 0;
w 0 .1/ C ˛w.1/ D 0;
which, bearing in mind that
w 0 .x/ D ka cos kx kb sin kx;
and that because of this
w 0 .x/ C ˛w.x/ D a.˛ sin kx C k cos kx/ C b.˛ cos kx k sin kx/
are written as the following linear system
    
0 1 a 0
D :
˛ sin k C k cos k ˛ cos k k sin k b 0
The existence of non-trivial solutions to it leads to
ˇ ˇ
ˇ ˇ
ˇ 0 1 ˇ
ˇ˛ sin k C k cos k ˛ cos k k sin k ˇ D 0;
and, therefore, that the eigenvalues are in the form n D kn2 where kn is one of the
infinite solutions of the following transcendent equation
k
tan k D :
˛
The eigenfunctions will be
wn .x/ D c sin kn x;
and the solutions of the boundary value problem for the heat equation are
2t
kn
u.t; x/ D c e sin kn x; n D 1; 2; : : : :
Finally, the most general solution provided by SVM will be in the form
X
1
2t
kn
u.t; x/ D cn e sin kn x;
nD1

for a conveniently chosen sequence of numbers fcn g1 nD1  C.

The table of the first kn is
First zeros of tan k C k3
2:4556 5:2329 8:2045 11:2560 14:3434 17:4490 20:5652
60) Chapter 2. Separation of Variables [§2.5
For ˛ D 3 we represent below the transcendent function and its zeros

10

2:4556 5:2329 8:2045 11:2560 14:3434 k

2 4 6 8 10 12 14 16

10

k
Graph of f .k/ D tan.k/ C 3 and the first five zeros

2.5.2. Exercises
1. An infinite string held by one of its ends is described by the boundary value problem:
(
u t t D c 2 uxx ; 1 < x < 0; t > 0I
ujxD0 D 0:
Determine the standing waves of the problem and interpret them dynamically.
2. Under certain conditions some components of the electromagnetic field inside a rectan-
gular section waveguide are described by the boundary value problem:
(
u t t D c 2 u; 0 < x < L1 ; 0 < y < L2 ; 1 < z < C1I
uj walls D 0:
Determine the standing waves of the model.
3. Under certain conditions the components of an electromagnetic field confined inside a
parallelepipedic box are described by the boundary value problem:
(
u t t D c 2 4u; 0 < x < L1 ; 0 < y < L2 ; 0 < z < L3 I
ujwalls D 0:
Determine the standing waves of the model and interpret them dynamically.
4. The height above equilibrium position of the membrane of a rectangular drum obeys
the boundary value problem:
(
u t t D c 2 4u; 0 < x < L1 ; 0 < y < L2 ;
uj walls D 0:
Determine the standing waves of the model and interpret them dynamically.
 3. Symmetric Operators
in Hilbert Space

Contents
3.1 Hilbert Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
3.2 Orthogonal Sets of Functions . . . . . . . . . . . . . . . . . . . . . . . . . 64
3.3 Symmetric Differential Operators . . . . . . . . . . . . . . . . . . . . . . 68
3.4 Sturm–Liouville Operators . . . . . . . . . . . . . . . . . . . . . . . . . . 70
3.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75

H
ilbert spaces and orthogonal sets, which allow for eigenfunctions series expansions of
solutions of boundary value problems, are introduced. We discuss symmetric differ-
ential operators in these functional spaces. We also present a very important class of
second order differential operators, the so called Sturm–Liouville operators. These
operators are important in the resolution of separable linear PDEs.

§3.1. Hilbert Spaces

3.1.1. Scalar Product of Functions

Scalar Product in Vector Spaces

Suppose we have a complex vector space V . A scalar product in V is an application .
;
/ W

V  V ! C such that
1. .u; v/ D .v; u/, 8u; v 2 V .
2. .u; ˛v1 C ˇv2 / D ˛.u; v1 / C ˇ.u; v2 /, 8u; v1 ; v2 2 V and 8˛; ˇ 2 C.
3. .u; u/  0, 8u 2 V ; .u; u/ D 0 , u D 0.

From properties I) and II) we deduce that .˛v1 C ˇv2 ; u/ D ˛.v N 2 ; u/. We see that
N 1 ; u/ C ˇ.v
.
;
/ is almost a bilinear form that is sometimes called a sesquilinear form. Property III) tells us
that the scalar product of a vector with itself is always a real non-negative number and that it
is zero only for the vector 0. The scalar product allows us to endow vectors with length, which
we will call norm:
p
kuk WD C .u; u/:
A basic inequality (Cauchy–Schwarz inequality) that relates the norm and the scalar product is
j.u; v/j 6 kukkvk:
61
62) Chapter 3. Symmetric Operators in Hilbert Space [§3.1
Three fundamental properties are fulfilled for the norm
1. kuk D 0 , u D 0.
2. k˛uk D j˛jkuk, 8˛ 2 C and 8u 2 V .
3. ku C vk 6 kuk C kvk (triangular inequality), 8u; v 2 V .
These properties allow us to define a distance in V
p
d.u; v/ WD ku vk D .u v; u v/:
The notion of scalar product as outlined here can be applied to functional spaces as we shall
now see.

Scalar Product in Functional Spaces

Let’s consider an open set   Rn and a function  W  ! R differentiable and positive

(.x/ > 0 8x 2 ). Given two functions u; v defined on  their scalar product corresponding
to the weight function  is defined by
Z
.u; v/ D N
u.x/v.x/.x/ dn x:


We must remember that the integral of functions on  with complex values is understood
as:
Z Z Z
n n
u.x/.x/ d x WD Re.u.x//.x/ d x C i Im.u.x//.x/ dn x:
  
Obviously, for this scalar product to make sense is it is necessary that the corresponding
integral1 exists. This condition is guaranteed if we work in the space of functions
n ˇ Z o
ˇ
L ./ WD u W  ! Cˇ kuk D
2 2 2 n
ju.x/j .x/ d x < 1 :


Actually the .
;
/ operation we just defined is not strictly a scalar product, what fails is that
there are functions u.x/ ¤ 0 in  that have a zero norm kuk D 0.2 To solve this problem we
must consider a function to be the zero function if its norm is zero. Likewise, two functions will
be considered to be the same if and only if their difference has a zero norm. The set obtained
from L2 ./ by means of these identifications will be denoted by L2 ./ and is a vector space
of infinite dimension with scalar product. The scalar product in L2 ./ endows to this space
of functions of a mathematical structure that is known by the name de Hilbert space.3 The
elements of L2 ./ are known as integrable square functions with weight  over . If  is a
1The reader is already familiar with Riemann’s integral; however, this is not entirely adequate in this context.
In fact, it is necessary to use a more sophisticated integration theory due to Lebesgue.
2For example, the function of Dirichlet that on rationals is 1 and on irrationals 0, is Lebesgue integrable and

with norm 0.
3Strictly speaking, what we are doing here is nothing more than considering function equivalence classes:

u  v provided that ku vk D 0. The quotient space L2 ./=  is what we denote by L2 ./.
§3.1] Hilbert Spaces (63
compact set (which is equivalent to  being a bounded set) then it is clear that any differentiable
function in  is square integrable in . That is to say
 compact ) C 1 ./  L2 ./:

If  is not compact such inclusion is not true and only those differentiable functions that are
decaying adequately at infinity will be of integrable square.

Examples: 
1. Let  D .0; C1/  R; u.x/ D x and v.x/ D 1, if the weight function is .x/ D 1 then
the scalar product of u and v do not exist due to
Z 1
.u; v/ D x d x D 1:
0

x2
If we now take the weight .x/ D e , the scalar product of u and v exist
Z 1
2 1
.u; v/ D xe x d x D :
0 2
2. If we take the domain  D .0; 1/ and weight .x/ D 1, the scalar product of the functions
u.x/ D x1 and v.x/ D 1 is not defined due to the singularity of the integrand at x D 0.
Z 1
1
.u; v/ D d x D 1:
0 x

However, for the weight .x/ D x we get the following scalar product
Z 1
1
x d x D 1:
0 x
3. We take now  D .0; 1/, u.x/ D x C i x 2 and v.x/ D 1 i x with .x/ D 1. Then
Z 1 Z 1
2 1 2i
.u; v/ D .x i x /.1 i x/ d x D .x x 3 2 i x 2 / d x D
0 0 2 3
and the norm of u is
Z Z
1 ˇ ˇ 1
8
2
kuk D .u; u/ D ˇx C i x 2 ˇ2 d x D .x 2 C x 4 / d x D :
0 0 15
4. If  D .0; 2/, u.x/ D ei x and v.x/ D e2 i x with .x/ D 1 we obtain
Z 2
.u; v/ D e i x e2 i x d x D 0
0

and the square of the length of u will be

Z 2 Z
ˇ i x ˇ2 2
2
kuk D ˇ e ˇ dx D 1 d x D 2:
0 0
 64) Chapter 3. Symmetric Operators in Hilbert Space [§3.2
3.1.2. Coordinate changes We have defined the scalar product of functions on domains
in Rn using Cartesian coordinates. However, due to the theorem of the change of variables of
the Integral Calculus, these scalar products can be expressed in other types of coordinates. Let
us consider two important cases:
If the definition domain is the plane R2 we can consider polar coordinates and get to
Z Z 1 Z 2
.u; v/ D N
u.x; y/v.x; y/.x; y/ d x d y D N /v.r; /.r; /r d r d :
u.r;
R2 0 0

So, when we switch to polar coordinates we have .x; y/ ! r.r; /.

In space R3 we have the spherical coordinates and now
Z
.u; v/ D N
u.x; y; z/v.x; y; z/.x; y; z/ d x d y d z
R3
Z 1 Z  Z 2
D N ; /v.r; ; /.r; ; /r 2 sin  d r d  d :
u.r;
0 0 0

and .x; y; z/ ! r 2 sin .r; ; /.


i

Example: Be the weight  D 1 and the functions u.r; ; / D re2 C1 2
y v.r; ; / D sin
r2
; then,
their scalar product is
Z 1 Z  Z 2 i
e 2 sin  2
.u; v/ D r sin  d r d  d 
0 0 0 .r 2 C 1/ r 2
h Z 1 d r ih Z  ih Z 2 i  i
2
D sin  d  e 2 d

0 1 C r2 0 0
h i1 h  sin 2 i h i
i2 h  ih  ih i
D arctan r 2ie 2 D 2 i. 2/ D i  2 :
0 2 4 0 0 2 2

§3.2. Orthogonal Sets of Functions

O
rthogonality, complete set of functions and the orthogonal bases of a functional space,
that as we will see are fundamental elements for this course, are discussed in this section.
Later on we will show that they are instrumental objects in the resolution of some
important PDEs in Mathematical–Physics.

Orthogonal Set

Given a set of functions fun .x/gn2J in L2 ./, where J  Z is a set of finite or infinite indices,
we say it is orthogonal if .un ; um / D 0; 8n ¤ mI n; m 2 J .
§3.2] Orthogonal Sets of Functions (65

Examples: 
n o
1. The set sin nx
`
is orthogonal on the interval Œ0; ` with weight function .x/ D 1.
n1
To realize this fact it suffice to note that
Z ` Z ` 
nx mx 1 .n m/x .n C m/x 
sin sin dx D cos cos d x D 0;
0 ` ` 0 2 ` `
4
for n ¤ m.
n o
2. The set cos nx
`
is orthogonal in the interval Œ0; ` with weight .x/ D 1. As before
n0
we have that for n ¤ m
Z ` Z ` 
nx mx 1 .n m/x .n C m/x 
cos cos dx D cos C cos d x D 0:
0 ` ` 0 2 ` `

3.2.1. Orthogonal function series expansions Given an orthogonal set

fun .x/gn2J
an
P important question is to know what kind of functions can be expanded in the form v D
n2J cn un . When the set of indices J that label the orthogonal set is infinite, we must be very
careful with the meaning of the sum extended to the indices in J . If J D N the expression
P1 PN
u.x/ D cn un .x/ is understood as the limit lim cn un .x/. In the same way when J D Z
nD1 N !1 nD1

X
1 X
N X
M
u.x/ D cn un .x/ D lim cn un .x/ C lim c m u m .x/:
N !1 M !1
nD 1 nD0 mD1

However, when we deal with functions there are several different notions of limit.
From this moment on, unless we say otherwise, we will only refer to series of functions that
converge strongly, i.e. in L2 mean. The following properties on orthogonal function series
expansions are of great importance.
4In the integral calculation we have reduced quadratic expressions in trigonometric functions in linear forms
thanks to sine and cosine formulas:
cos A ˙ B/ D cos A cos B  sin A sin B;
sin.A ˙ B/ D sin A cos B ˙ cos A sin B;
which give rise to the following addition formulas
1
sin A sin B D .cos.A B/ cos.A C B//;
2
1
sin A cos B D .sin.A B/ C sin.A C B//;
2
1
cos A cos B D .cos.A B/ C cos.A C B//:
2
66) Chapter 3. Symmetric Operators in Hilbert Space [§3.2

Types of Functional Limits

In this course there are three notions of limit that we will use:
P
N
1. Pointwise limit: 8x0 2  we have u.x0 / D lim cn un .x0 /.
N !1 nD1
ˇ P ˇ
ˇ N
ˇ
2. Uniform limit: lim sup ˇu.x/ cn un .x/ˇ D 0.
N !1 x2 nD1
P
N
3. Strong limit (L2 mean limit): lim u cn un D 0.
N !1 nD1

Uniform convergence implies pointwise convergence, however in general the inverse is not true.
On the other hand, when the closure of  is compact, uniform convergence implies strong
convergence and again the reciprocal is not satisfied in general.

Expansions in Orthogonal Functions

The following properties are fulfilled:

P
1. If u admits an expansion u D cn un , then this expansion is unique and its coefficients
n2J
cn are determined by
.un ; u/
(5) cn D :
kun k2
P P
2. If u D cn un and v D cn0 un their scalar product is
n2J n2J
X
(6) .u; v/ D cNn cn0 kun k2 :
n2J
P
3. Parseval identity If u D cn un its norm fufills the following
n2J

X [Link] ; u/j2
(7) kuk2 D :
n2J
kun k2
§3.2] Orthogonal Sets of Functions (67
Proof. 5
P
1. As u D m2J cm um and fun gn2J is a orthogonal set we find
X X
.un ; u/ D .un ; cm u m / D cm .un ; um / D cn .un ; un /:
m2J m2J
P P 0
2. As u D n2J cn un and v D m2J cm um the corresponding scalar product is
X X
0
.u; v/ D cNn cm .un ; um / D cNn cn0 kun k2 :
n;m2J n

3. It is a consequence of the two previous properties taking v D u.

□

A relevant property that allows to find orthogonal sets of functions in several variables is
the following

Orthogonal Sets in Product Spaces

fun .x1 /gn2J1 is orthogonal in the domain 1 with respect to the weight 1 .x/ and fvm .x2 /gm2J2
is orthogonal in the domain 2 with respect to the weight 2 .x/, then fun .x1 /vm .x2 /g.n;m/2J1 J2
is orthogonal in the domain 1  2 with weight 1 .x1 /2 .x2 /.

Proof. According to Fubini’s theorem we factor the integral

Z
uN n .x1 /vN m .x2 /un0 .x1 /vm0 .x2 /.x1 /.x2 / d x1 d x2
1 2
hZ ih Z i
D uN n .x1 /un .x1 /1 .x1 / d x1
0 vN m .x2 /vm .x2 /2 .x2 / d x2 D 0
0
1 2
0 0
if n ¤ n or m ¤ m . □

Complete Orthogonal Sets

Given an orthogonal set fun gn2J in L2 ./, we say that it is complete when all function
P
u 2 L2 ./ can be expanded in series u D cn un . In that case it is said that fun gn2J is
n2J
a orthogonal basis of the space L2 ./.

If an orthogonal set is not complete it can always be extended by adding new elements to
form an orthogonal basis.
5In this proof, the sums within the scalar product are taken out. This manipulation is obviously licit as long
as the sums are finite. However, it also turns out to be so in the case of strong convergent series.
 68) Chapter 3. Symmetric Operators in Hilbert Space [§3.3

§3.3. Symmetric Differential Operators

S
ymmetric differential operators, a quite important notion for these lectures, are intro-
duced in this section. It should be stressed here that the concept of symmetric operator
is closely linked to the concept of fundamental self-adjoint operator in Quantum Me-
chanics, which happen to be the physical observables of the system.
Consider linear differential operators L
X0
LD a˛ .x/D ˛ ;
˛

defined over a linear subspace of functions D in L2 ./ which we’ll call the operator’s domain.

Symmetric Differential Operators

We will say that a differential operator L is symmetric over a domain D provided that
.v; Lw/ D .Lv; w/; 8v; w 2 D:

The natural way to obtain domains of functions in which an operator is symmetric is to

characterize the domain by imposing appropriate boundary conditions on its elements.

 Examples:
1. Let us consider the operator
d2
LD ;  D .a; b/ bounded set of R:
d x2
To determine domains D  L2 Œa; b in where this operator is symmetric, let’s observe
that for all pair of differentiable functions v and w in Œa; b the following Lagrange’s
identity is fulfilled
Z b Z b
ˇb
.v; Lw/ D N
v.x/. 00
w .x// d x D .v.x/w
N 0 ˇ
.x// a C vN 0 .x/w 0 .x/ d x
a a
Z
ˇb b
D . v.x/w
N 0
.x/ C vN 0 .x/w.x//ˇa C . vN 00 .x/w.x// d x
a
ˇb
D . v.x/w
N 0
.x/ C vN 0 .x/w.x//ˇa C .Lv; w/I
therefore a domain for a symmetric operator L must satisfy that
ˇb
(7) N
. v.x/w 0
.x/ C vN 0 .x/w.x//ˇa D 0; 8v; w 2 D:
Using the condition (7) it is immediate to see that for this operator there are at least three
types of boundary conditions that determine domains where the operator is symmetric.
a) Homogeneous Dirichlet
˚
D WD u 2 C 1 Œa; b W u.a/ D u.b/ D 0 :
§3.3] Symmetric Differential Operators (69
b) Homogeneous Neumann
˚
D WD u 2 C 1 Œa; b W u0 .a/ D u0 .b/ D 0 :

c) Periodic
˚
D WD u 2 C 1 Œa; b W u.a/ D u.b/; u0 .a/ D u0 .b/ :

2. Let us now look at the following example in three dimensions

Lu D u D div.r u/:

To determine domains where this operator is symmetric consider the space L2 ./, for
a bounded domain   R3 . Using the scalar product in L2 ./ and applying the diver-
gence theorem, we obtain
Z      
.Lv; w/ .v; Lw/ D div r v.x/
N w.x/ C v.x/
N div r w.x/ d3 x
Z

 
D div [Link] w/ .r v/w N d3 x
Z

 
D N w/ .r v/w
v.r N
dS
Z  
S./
@w @vN
D vN w d S:
S./ @n @n

It is then immediate to deduce from this identity that L is symmetric in the following
domains
a) Homogeneous Dirichlet
˚
D WD u 2 C 1 ./ W ujS./ D 0 :

b) Homogeneous Neumann

n ˇ o
1 @u ˇˇ
D WD u 2 C ./ W D0 :
@n ˇS./

3.3.1. Eigenvalues and Eigenfunctions of Symmetric Operators Symmetrical opera-

tors play a key role in PDE’s resolution methods in this course. This is due to the properties of
their eigenfunctions.
70) Chapter 3. Symmetric Operators in Hilbert Space [§3.4

Spectrum of Symmetric Operators

If L is a symmetric differential operator on a domain D in a L2 Hilbert space, then the following

properties are satisfied:
1. Eigenvalues are real numbers
.L/  R:
2. If v; w 2 D are eigenfunctions corresponding to different eigenvalues then they are
orthogonal
.v; w/ D 0:

Proof. 1. If  2 .L/ then there’s a non-null function u 2 D such that Lu D u. For
this reason
.Lu; u/ D .u; u/ D N kuk2 ; .u; Lu/ D .u; u/ D  kuk2 :
As .Lu; u/ D .u; Lu/ and kuk ¤ 0 we must have N D . Then  is a real number.
2. Given two different elements ;  of the spectrum of L, which we already know will be
real numbers, there are eigenfunctions v and w such that Lv D v and Lw D w;
hence,
.Lv; w/ D .v; w/; .v; Lw/ D .v; w/:
Since L is symmetric, .Lv; w/ D .v; Lw/ and thus . /.v; w/ D 0 and so, as  ¤ ,
it follows .v; w/ D 0.
□

§3.4. Sturm–Liouville Operators

S
turm–Liouville operators are a special type of differential operators that play a funda-
mental role in the equations of Mathematical-Physics. We devote this section to give a
brief view of what they are and some of their properties.
3.4.1. 1D case

1D Sturm–Liouville Operators

A second order differential operator defined on a domain D  L2 Œa; b is of the Sturm–Liouville
type if it is of the form
 
1 d  d u
Lu D p C qu ;
 dx dx
with ; p; q real functions in C 1 .a; b/ such that ; p > 0 in the open interval .a; b/.

Note that in general the functions ; p; q can be singular in x D a; b and that the functions
; p can be zero in x D a; b.
§3.4] Sturm–Liouville Operators (71

Regular Sturm–Liouville Operators

A Sturm–Liouville operator on a domain

˚
(6) D WD u 2 C 1 Œa; b W li .u/ D 0 ;
with boundary operators of the form
du du
l1 .u/ D ˛1 u.a/ C ˛Q 1 u.b/ C ˇ1 .a/ C ˇQ1 .b/ D 0;
dx dx
du du
l2 .u/ D ˛2 u.a/ C ˛Q 2 u.b/ C ˇ2 .a/ C ˇQ2 .b/ D 0;
dx dx
where ˛Q 1 ; ˇQ20 ; ˇQ1 ; ˛Q 2 ; ˛1 ; ˇ2 ; ˇ1 ; ˛2 2 R and (linearly independent boundary conditions)
 
˛1 ˛Q 1 ˇ1 ˇQ1
rank D 2;
˛2 ˛Q 2 ˇ2 ˇQ2
is regular if and only if
i) The interval .a; b/ is bounded (a ¤ 1 and b ¤ 1).
ii) The functions ; p; q belong to the space C 1 Œa; b.
iii) The ; p are strictly positive functions in the closed interval Œa; b.

We are now faced to an important question: For what domains does a regular Sturm–
Liouville operator turn out to be symmetric?

Domains for Symmetric Operators

A regular Sturm–Liouville operator L on a domain D  L2 Œa; b is symmetric if and only if

ˇ ˇ ˇ ˇ
ˇ v.a/
N w.a/ ˇˇ ˇ v.b/
N w.b/ ˇˇ
(6) ˇ
p.a/ ˇ ˇ
D p.b/ ˇ
vN x .a/ wx .a/ˇ vN x .b/ wx .b/ˇ
;

8v; w 2 D .

Proof. To prove it, it is enough to show that the difference .Lv; w/ .v; Lw/ vanish for all
v; w 2 D when the identity (6) is satisfied. This is true given that if v; w 2 D
Z b     
d  d vN d  dw 
.Lv; w/ .v; Lw/ D dx p.x/ .x/ w.x/ C v.x/N p.x/ .x/
a dx dx dx dx
Z b   
d d vN dw
D dx p.x/ w vN
a dx dx dx
  ˇˇb
ˇ
D p.x/ vN x w vw N x ˇ
ˇ
ˇ ˇ a ˇ ˇ
ˇ v.b/
N ˇ ˇ v.a/
N ˇ
D p.b/ ˇˇ ˇ C p.a/ ˇ ˇ
w.b/ w.a/
vN x .b/ wx .b/ˇ ˇvN x .a/ wx .a/ˇ D 0:
72) Chapter 3. Symmetric Operators in Hilbert Space [§3.4
Note that the contribution of q is canceled. Therefore, the symmetric character of L:
.Lv; w/ D .v; Lw/; 8v; w 2 D
is equivalent to the given criterion. □
Below are some basic examples of boundary conditions that guarantee (7) and therefore
determine domains over which regular Sturm–Liouville operators are symmetric.
1. Separate boundary conditions: One at point a and another at the other point b:
˛u.a/ C ˛u
Q x .a/ D 0;
Q x .b/ D 0:
ˇu.b/ C ˇu
Two particularly relevant cases of these are the conditions from Dirichlet
u.a/ D 0; u.b/ D 0;
and the Neumann ones
ux .a/ D 0; ux .b/ D 0:
2. Periodic boundary conditions:
u.a/ D u.b/; p.a/ux .a/ D p.b/ux .b/:
The relevance of Sturm–Liouville operators lies in the fact that under appropriate conditions
their eigenfunction sets provide complete orthogonal sets.

Orthogonal Bases for Regular & Symmetric Sturm–Liouville operators

If L is a symmetric regular Sturm–Liouville operator in a domain D  L2 Œa; b, then there is
a complete orthogonal set fun g1
nD1 of L Œa; b built up with L eigenfunctions. In addition, the
2 2

corresponding expansion of any u 2 D

X1
uD cn u n ;
nD1
converges uniformly to u in the closed interval Œa; b.

Regular Sturm–Liouville Operators with Separate Boundary Conditions

If L is a regular Sturm–Liouville operator with separate boundary conditions in .a; b/. Then,
1. Eigenvalues are simple.
2. Eigenfunction un corresponding to the n-th eigenvalue n has n 1 zeros in the open
interval .a; b/.
3. Whenever p.x/ > 0 in Œa; b the eigenvalues can be ordered as follows
1 < 2 <


;
with lim n D 1. If p.x/ < 0 en Œa; b
n!1
1 > 2 >


;
and lim n D 1.
n!1
§3.4] Sturm–Liouville Operators (73
For symmetric Sturm–Liouville operators of singular type there are generalizations of this
result, although its description requires to introduce new concepts such as continuous spectrum
and generalized eigenfunctions. When we study the Fourier transform we will comment on
some of these situations.

3.4.2. 3D situation

3D Sturm–Liouville Operators

A second order differential operator defined on a domain D  L2 ./ with   R3 is of the
Sturm–Liouville type if it is of the form
   
1
Lu D div pr u C qu ;

with ; p; q real functions in C 1 ./ such that ; p > 0 on .

To determine domains where these operators are symmetric let’s suppose that  is a bounded
set of R3 and that ; p; q are functions in C 1 ./. Then, using the expression of the scalar prod-
uct in L2 ./ and applying the divergence theorem, we get the Lagrange’s identity
Z        
.Lv; w/ .v; Lw/ D N
v.x/ r
p.x/r w.x/ r
p.x/r v.x/
N w.x/ d3 x

Z   
D r
p.x/ .r v/w N N w/ d3 x
v.r
Z

  
D p.x/ .r v/wN N w/
d S
v.r
Z   
S./
@vN @w
D p.x/ w vN d S:
S./ @n @n
Therefore, we can state

3D Domains for Symmetric Sturm–Liouville Operators

Assume that  is a bounded domain in R3 and that ; p; q are functions in C 1 ./. The Sturm–
Liouville operator L is symmetric on a domain D in L2 ./ if and only if 8v; w 2 D
Z  
@vN @w
(6) p.x/ w vN d S D 0:
S./ @n @n

As an immediate consequence we deduce the following domains on which the Sturm–

Liouville operator is symmetric
1. Homogeneous Dirichlet

D WD fu 2 C 1 ./ W ujS./ D 0g:

74) Chapter 3. Symmetric Operators in Hilbert Space [§3.4
2. Homogeneous Neumann
n
1 @u ˇˇ o
D WD u 2 C ./ W ˇ D0 :
@n S./
Relevant examples of Sturm–Liouville operators in three dimensions are as follows
1. Laplacian operator. If we take .x/ D p.x/  1 we get the Laplacian operator with
negative sign
LD 
¯2
2. Schrödinger’s Hamiltonian. If we take  D 1 and p D the corresponding oper-
2m
ator is the familiar Schrödinger’s Hamiltonian operator from Quantum Mechanics of a
particle in a force field with a potential q D V .
¯2
Lu D u C V .x; y; z/u;
2m
§3.5] Exercises (75

§3.5. Exercises

3.5.1. Exercises with solutions

1. Let’s consider the operator L D D 2 on the set of differentiable functions u in the in-
terval Œa; b with weight .x/ D1. Determine which of the following boundary conditions
define domains where the operator is symmetric
a) u.a/ D 0, u0 .a/ D 0
b) 2u.a/ u0 .a/ D 0, 3u.a/ C 2u.b/ D 0
c) u.a/ C u0 .a/ D 0, 2 i u.a/ C u.b/ D 0
d) u.a/ 2u0 .b/ D 0, u.b/ C 2u0 .a/ D 0
e) u.a/ C u.b/ D 0, u0 .a/ u0 .b/ D 1
Solution: The boundary conditions must be homogeneous and with real coefficients,
so options c), e) are discarded. In order to discern the correct answer among the three
remaining options, let’s remember that the operator D 2 is symmetric if for all pair of
0
functions u; v of the domain u.a/v
N .a/ uN 0 .a/v.a/ D u.b/v
N 0
.b/ uN 0 .b/v.b/ is fulfilled.
0
Therefore, option a) is immediately discarded (0 ¤ u.b/v N .b/ uN 0 .b/v.b/). In option
b) we can express u0 .a/ D 2u.a/ and u.b/ D 3=2u.a/ in terms of u.a/, so we have
0
N
u.a/v .a/ uN 0 .a/v.a/ D 0 and u.b/v
N 0
.b/ uN 0 .b/v.b/ D 3=2.u.a/v N 0
N
.b/ v.a/u.a//;
0
therefore, it is not correct. Let’s see that option d) is correct, now we have u .b/ D
u.a/=2 and u0 .a/ D u.b/=2, so u.a/vN 0
.a/ uN 0 .a/v.a/ D .u.a/v.b/
N N
u.b/v.a//=2 and
0 0
N
u.b/v .b/ uN .b/v.b/ D .u.b/v.a/
N N
u.a/v.b//=2 and equality is satisfied.
2. Determine the eigenvalues of the differential operator
Lu D D 2 u;
acting on the domain of differentiable functions in Œ0; 1 that meet the boundary condi-
tions
ux .0/ D 0; u.1/ D 0:

Solution: First we observe that  D 0 is not an eigenvalue because if it was the

case then u.x/ D A C Bx, with A; B constants and the boundary conditions give A D
B D 0. Solutions to the eigenvalue problem uxx D u,  ¤ 0, are of the form
u D A ei kx CB e i kx , with  D k 2 . As ux jxD0 D i k.A B/ and ujxD1 D ei k A C
e i k B when imposing the boundary conditions we obtain the following linear system
(
i k.A B/ D 0;
This system has non-zero solutions, e.g. .A; B/ ¤ .0; 0/, as long
ei k A C e i k B D 0:
ˇ ˇ
ˇi k i k ˇˇ

ˇ
as ˇ i k 1
i k ˇ D 0, what leads to cos k D 0 , k D n C 2 , n D 0; 1; 2; : : : , so that
e e

2
eigenvalues are n D n C 12  2 , n D 0; 1; 2; : : : .
3. Given the differential operator
Lu WD [Link] Du/;
76) Chapter 3. Symmetric Operators in Hilbert Space [§3.5
on the differentiable functions in Œ0; 1, determine for which value of c the following
boundary conditions
(
u.0/ C cu.1/ D 0;
u0 .0/ C cu0 .1/ D 0

define a domain of L2 Œ0; 1 in which the operator is symmetric.

Solution: The operator L is of the Sturm–Liouville type with p.x/ D ex and q.x/ D
0 over the closed interval Œ0; 1. Therefore, the condition for it to be symmetric is
ˇ ˇ ˇ ˇ
ˇ v.0/
N ˇ ˇ v.1/
N ˇ
ˇ w.0/ ˇ ˇ w.1/ ˇ
ˇvN x .0/ wx .0/ˇ D e ˇvN x .1/ wx .1/ˇ ;

for all pair of functions v.x/ and w.x/ in the domain. Using the boundary conditions
we obtain that the first determinant is
ˇ ˇ ˇ ˇ
ˇ v.0/ w.0/ ˇˇ ˇN w.1/ ˇˇ
ˇN 2 ˇ v.1/
ˇvN x .0/ wx .0/ˇ D c ˇvN x .1/ wx .1/ˇ ;

from which it is concluded that one must have c 2 D e.

4. Let us consider the differential operator

Lu D D 2 u;

acting on the domain of differentiable functions in Œ0; 1 that fulfill the boundary condi-
tions
(
u0 .0/ D 0;
u.1/ C u0 .1/ D 0:

Find the relationship that determines the eigenvalues  D k 2 of L.

Solution: The possible eigenfunctions of L must be in the form of u.x/ D a cos kx C
b sin kx; a; b 2 R and with nonzero eigenvalue  D k 2 (for  D 0 sought solutions are
u.x/ D a C bx, which once the given boundary conditions are applied leads to u D 0).
The derivative is u0 .x/ D ak sin kx C bk cos kx. Therefore, the existence of non-trivial
solutions leads to
ˇ ˇ
ˇ ˇ
ˇ 0 k ˇ
ˇcos k k sin k sin k C k cos k ˇ D 0

implying

[Link] k k sin k/ D 0:

and therefore the spectral relationship is k tan k D 1 .

§3.5] Exercises (77

25

20

15

10

5
0:8603 3:4256 6:4373 9:5293 k
1 2 3 4 5 6 7 8 9 10
5

10

15

20

25

Graph of f .k/ D k tan.k/ 1 and the first four zeros

First zeros of k tan k D 1
0:8603 3:4256 6:4373 9:5293 12:6453 15:7713 18:9024 22:0365 25:1724
5. Compute the eigenvalues of the boundary value problem
d  d u
.1 C x/ .1 C x/ D u; 0 < x < 1;
( d x d x
u.0/ D 0;
u.1/ D 0:

Solution: Using the variable y WD x C 1 the eigenvalue problem with  D k 2 , k 2 C,

is a Euler’s equation
y 2 uyy C yuy C k 2 u D 0;
whose general solution is
u.y/ D a ei k log y Cb e i k log y
; a; b 2 C:
Note that y 2 .1; 2/ and therefore you can consider the function log y as a real function
and thus avoid a discussion on determinations. In terms of the variable x is written as
78) Chapter 3. Symmetric Operators in Hilbert Space [§3.5
follows
u.x/ D a ei k log.xC1/ Cb e i k log.xC1/
; a; b 2 C:
Now we impose the boundary conditions, i.e.
a C b D 0;
a ei k log 2 Cb e i k log 2
D 0:
Therefore, the existence of nontrivial solutions requires
ei 2k log 2 D 1:

This is, kn D n, n D 1; 2; : : : and the eigenvalues are
log 2

2
n D n2
.log 2/2
for n D 1; 2; : : : .
6. The differential operator
d2
LD x
d x2
1
acts on the set of square integrable functions with weight .x/ D x
defined in the interval
Œ1; e that satisfy the following boundary conditions
(
u.1/ D 0;
u.e/ C cu0 .e/ D 0:
Determine which of the following values of the constant c defines a domain over which
the operator L is symmetric.
a) c arbitrary real.
b) c arbitrary pure imaginary.
c) c D 1 C i.
d) There is no c for which the operator is symmetric.
e) c D 1 i .
Solution: The operator is of the Sturm–Liouville type. Also, if c 2 R then L is
regular with separate boundary conditions and therefore symmetric. One can also check
that it is a necessary condition. The correct answer is a).
7. Given h; l > 0 find the spectral equation that determines the eigenvalues  D k 2 of the
problem
uxx D u; 0 < x < l;
(
hu.0/ ux .0/ D 0;
hu.l/ C ux .l/ D 0:
§3.5] Exercises (79
Solution: We are faced with separate boundary conditions and a regular Sturm-
Liouville operator, so the operator is symmetric, with simple and increasing eigenvalues.
The value  D 0 would have as solution u D c1 C c2 x with ux D c2 and the boundary
conditions would impose
    
h 1 c1 0
D :
h hl C 1 c2 0
ˇ ˇ
that has non-trivial solutions as long as ˇ hh hlC1
1 ˇ
D 0, i.e. [Link] C 1/ D h, this is h D 0
or hl D 2, both impossible, since h; l > 0. Therefore, 0 is not an eigenvalue. If  ¤ 0,
we impose the boundary conditions to

u.x/ D c1 cos kx C c2 sin kx:

As ux .x/ D kc1 sin kx C kc2 cos kx, we get

    
h k c1 0
D :
h cos kl k sin kl h sin kl C k cos kl c2 0
ˇ ˇ
ˇ ˇ
We will have non-trivial solutions as long as ˇ h cos kl h k sin kl k
h sin klCk cos kl
ˇ D 0, i.e.,

h.h sin kl C k cos kl/ C k.h cos kl k sin kl/ D 0

that after simplifying leads to

.h2 k 2 / sin kl C 2kh cos kl D 0;

and the spectral relationship is

2hk
tan kl D :
k2 h2

8. Let us consider the spectral problem

uxx D u; 0 < x < 1;

(
ux .0/ C u.0/ D 0;
u.1/ D 0:

a) Find the equation that determines eigenvalues and prove it has infinite solutions.
b) Calculate the corresponding eigenfunctions. Do they form a complete orthogonal set
in L2 Œ0; 1?
c) Expand the function u.x/ D x sin x in a series of such eigenfunctions.
80) Chapter 3. Symmetric Operators in Hilbert Space [§3.5
Hints:
Z 1
 2 sin k 2kn cos kn kn2 sin kn 2kn
x sin x sin kn x d x D ;
0 . 2 kn2 /2
Z 1
 2 cos k 2kn sin kn kn2 cos kn
x sin x cos kn x d x D ;
0 . 2 kn2 /2
Z 1  
1 sin kn cos kn
sin2 kn x d x D 1 ;
0 2 kn
Z 1
sin2 kn
x sin kn x cos kn x d x D ;
2kn
Z 1  
0
1 sin kn cos kn
cos2 kn x d x D 1C :
0 2 2kn

Solution: It is a regular Sturm–Liouville problem with separate boundary condi-

tions, therefore its eigenvalues are real, simple and form a increasing sequence.

0 < 1 < : : :

with n ! 1. In addition, the corresponding set of eigenfunctions fun g1

nD1 is an
n!1
orthogonal base of L2 Œ0; 1. Let’s write  D k 2 so either k 2 R or k 2 i R. Also, the
function u.x/ D x sin x fulfills that
ˇ
u.1/ D .x sin x/ˇxD1 D sin  D 0;
ˇ ˇ
u0 .0/ C u.0/ D .sin x C x cos x/ˇxD0 C .x sin x/ˇxD0 D 0:

Thus, the solution satisfies the boundary conditions and is therefore in the domain of the
differential operator. So, we have the uniform convergence of this eigenfunction series.
If k D 0 the eigenfunction has the form u.x/ D a C bx and the boundary conditions
are satisfied if and only if a C b D 0 leading to 0 being an eigenvalue with corresponding
eigenfunction given by u0 .x/ D 1 x. On the other hand,ˇ if k ¤ 0, ˇ the boundary
conditions on the possible solution a sin kx C b cos kx imply ˇ sink k cos1 k ˇ D 0: therefore,
the spectral equation that determines the eigenvalues is

tan k D k:

Therefore, given the parity of the spectral equation we only deal with the solutions with
k > 0.
§3.5] Exercises (81

15

10

4:4934 7:7253 10:9041 14:0662 17:2208 k

2 4 6 8 10 12 14 16 18 20

10

15

20

25
Graph of f .k/ D tan.k/ k and the first five zeros

First zeros of tan k D k

4:4934 7:7253 10:9041 14:0662 17:2208 20:4204

An
asymptotic analysis of the tangent near its poles leads to zeros kn satisfying kn D nC
1 1

2
 C O. n12 / for n ! 1. Indeed, from the addition relations for trigonometric
nC 12 
1



functions we
know that tan n C 2
 C  D cot ; so the
relationship tan k D k for
1 
k D n C 2  C , with  > 0 small, leads to cos sin 
D n C 12  C . Recalling

that, for
  0 small, we have cos   1 and sin    we conclude 1  n C 12  for n ! 1.
Once we have discussed the eigenvalues n D kn2 we go on to consider the eigenfunc-
tions. Given the spectral equation the eigenfunctions for n D 1; 2; : : : can be chosen in
the form

un .x/ D sin kn x kn cos kn x:

82) Chapter 3. Symmetric Operators in Hilbert Space [§3.5
Then, you have an orthogonal basis given by fun .x/g1
nD0 , which allows you to write

X
1
x sin x D cn un .x/;
nD0

where the series coefficients are given by the following formulas

R1 †
0 .1 x/x sin x d x
R1 ; nD0
.1 x/ 2dx
cn D R 1 0
0 .sin kn x kn cos kn x/x sin x d x
R1 ; n D 1; 2; : : : :
.sin k x k cos k x/2dx
0 n n n

12
So, for n D 0, we get c0 D 3
. On the other hand, using the hint, we can write
Z 1
Hn WD kn cos kn x/2 d x
.sin kn x
Z 1 Z 1 Z 1
0

2 2 2
D sin kn x d x C kn cos kn x d x 2kn sin kn x cos kn x d x
   
0 0 0
1 sin kn cos kn 21 sin kn cos kn sin2 kn
D 1 C kn 1 C 2kn
2 kn 2 kn 2kn
2 2
1 C kn 1 kn sin kn cos kn
D sin2 kn ;
2 2 kn
and if we now remember that sin kn D kn cos kn we have
1 C kn2 1 kn2 1 C kn2 1 C kn2
Hn D cos2 kn kn2 cos2 kn D cos2 kn
2 2 2 2
1 C kn2
D sin2 kn :
2
On the other hand, from the hints we deduce that
Z 1

In WD .sin kn x kn cos kn x/x sin x d x D .An kn Bn /
0 . 2 kn2 /2
where

An WD  2 sin kn 2kn cos kn kn2 sin kn 2kn ;

Bn WD  2 cos kn C 2kn sin kn kn2 cos kn :

But, from the spectral relation sin kn D kn cos kn it follows that

An kn Bn D  2 sin kn 2kn cos kn kn2 sin kn 2kn kn . 2 cos kn C 2kn sin kn kn2 cos kn /
D 2.1 C kn2 / sin kn 2kn :
§3.5] Exercises (83
Finally, remembering the spectral relation we can write,

 sin kn 
4 kn C .1 C kn2 / sin kn 4 cos kn 1 1
cn D D C
. 2 kn2 /2 .1 C kn2 / sin2 kn . 2 kn2 /2 1 C sin22 kn sin2 kn sin kn
 
cos kn
4 cos kn 1
D C ;
. 2 kn2 /2 sin kn sin kn

that leads to

 
4 1 1
cn D C :
. 2 kn2 /2 sin kn kn

From where we get the table

First coefficients cn
0:3870 0:0946 0:0058 9:646  10 4 3:8177  10 4
7:9528  10 5

Therefore, the series expansion requested in Œ0; 1 will be

X
1  
12 4 1 1
x sin x D 3 .1 x/ 2 2 /2 sin k
C .sin kn x kn cos kn x/:
 nD1
. kn n kn

In particular, the truncation to three terms is

x sin x  0:3870.1 x/ C 0:0946 sin 4:4934x 0; 4251 cos 4:4934x

0:0058 sin 7:7253x C 0:0448 cos 7:7253x;

whose graph we compare with that of u.x/ D x sin x in the following figure
84) Chapter 3. Symmetric Operators in Hilbert Space [§3.5

u
0:65
Truncation to three terms
0:6 x sin x

0:55

0:5

0:45

0:4

0:35

0:3

0:25

0:2

0:15

0:1
2
5
10
x
0:1 0:2 0:3 0:4 0:5 0:6 0:7 0:8 0:9 1
2
5
10

3.5.2. Exercises
1. Calculate the scalar products:
Z
.u; v/ D N
u.x/v.x/.x/ dn x;
N


corresponding to the following data:

a) u.x; y/ D xy C i x 2 y 2 ; v.x; y/ D 1 ixy;  N D Œ0; 1  Œ0; 1; .x; y/ D x 2 y 2 :
b) u.x; y/ D exp. .x C y //; v.x; y/ D 1; 
2 2 N D R2 ; .x; y/  1:
2. Prove that if L1 and L2 are symmetric operators on a certain domain D, then all the
linear combinations 1 L1 C 2 L2 , with real coefficients 1 and 2 , are also symmetric
operators on that domain .
2
3. Prove that the operator L D ddx 2 is symmetric over the domain D of class C 1 functions
in Œa; b such that they satisfy one of the following types of boundary conditions:
u.b/ D ˛u.a/ C ˇu0 .a/; u0 .b/ D u.a/ C ıu0 .a/;
§3.5] Exercises (85
being ˛; ˇ; ; ı real numbers such that:
˛ı ˇ D 1:
4. Let us consider the operator L D i ddx on the domain D of functions of class C i nf ty in
Œa; b such that they satisfy the boundary value condition
˛u.a/ C ˇu.b/ D 0;
being ˛ and ˇ given complex numbers. Prove that L is symmetric if and only if
j˛j D jˇj:
Determine in such a case the spectrum and eigenfunctions of L.
2
5. Let us consider the operator Lu D dd xu2 2u on the domain D of functions of class C 2
in Œ0; 1 such that
u.0/ D 0;u.1/ D 0:
Determine the spectrum and the eigenfunctions.
6. Prove that an operator of Sturm–Liouville regular on an interval Œa; b of the form
1

Lu D [Link]/ C qu ;

is symmetric over domains corresponding to the boundary conditions
a) Separate:
(
˛ u.a/ C ˛ 0 u0 .a/ D 0;
ˇ u.b/ C ˇ 0 u0 .b/ D 0;
with ˛; ˛ 0 ; ˇ; ˇ 0 2 R.
b) Periodic
(
u.a/ D u.b/;
p.a/ u0 .a/ D p.b/ u0 .b/:
 4. Fourier Series and
Fourier Transform

Contents
4.1 Fourier Trigonometric Bases . . . . . . . . . . . . . . . . . . . . . . . . . 87
4.2 Fourier Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
4.3 Convergence of Fourier Series. . . . . . . . . . . . . . . . . . . . . . . . . 100
4.4 Fourier Transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
4.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115

F
ourier analysis, series and transformations, is the the topic that we are about to in-
troduce in this lecture. We will divide it into two parts. First, we study Fourier series
expansions, either with imaginary exponentials or in sine and cosines, either with
sine-only expansions or cosines-only expansions. Next, we will deal with the contin-
uous version of these expansions, which appears when the intervals where the functions are
expanded are not bounded. This corpus of knowledge, Fourier’s analysis, is one of the key
pieces for understanding natural phenomena and was introduced some two hundred years ago,
by Joseph Fourier, in the study of heat transmission.

§4.1. Fourier Trigonometric Bases

E
igenvalue problems associated with two particularly simple differential operators will be
consider. The corresponding developments in eigenfunctions constitute the so-called
Fourier trigonometric series. The operator (which in Quantum Mechanics is the
linear moment operator)
d
LD i :
dx
is symmetric in a domain built up with the differentiable functions u in a bounded interval Œa; b
such that u.a/ D u.b/, i.e., functions that satisfy periodic conditions.
The problem of eigenvalues
˚ du
i D u;
dx
u.a/ D u.b/;
has as a solution
u.x/ D c ei x
87
88) Chapter 4. Fourier Series and Fourier Transform [§4.1
the boundary value condition being satisfied if and only if
ei .b a/
D 1:
This condition determines the possible elements of the spectrum
2
n D n!; n 2 Z; ! WD
b a
with the following associated eigenfunctions
un .x/ D ei n!x :
The second operator we consider is
d2
LD :
d x2
We will study domains associated with three types of boundary conditions
1. Periodic. The problem of eigenvalues is
† d2 u
D u;
d x2
u.a/ D u.b/;
du du
.a/ D .b/:
dx dx
When  ¤ 0, the solution is
p p
u.x/ D c1 cos x C c2 sin x
verifying the conditions at the boundary if and only if the following homogeneous linear
system for .c1 ; c2 / is fulfilled
p p p p
Œcos a cos bc1 C Œsin a sin bc2 D 0;
(8) p p p p
Œsin a sin bc1 Œcos a cos bc2 D 0:
Non-trivial solutions .c1 ; c2 / ¤ .0; 0/ of this system exist if and only if the matrix of
coefficients has zero determinant
ˇ p p p p ˇ
ˇ cos a cos b sin a sin b ˇ
ˇ p p p p ˇ
ˇ sin a C sin b cos a cos b ˇ D 0;
this is
p p p p
Œcos a cos b2 C Œsin a sin b2 D 0:
Expanding the squares and using the trigonometric formulas we get
p
1 cos .b a/ D 0
and that’s why non-null eigenvalues are
2
n D ! 2 n2 ; n D 1; 2; : : : ! WD :
b a
§4.1] Fourier Trigonometric Bases (89
These eigenvalues are not simple (note that this is a homogeneous Sturm–Liouville prob-
lem with periodic boundary conditions), since for any of them the linear system (8) is
reduced to a system in which the matrix of coefficients is the zero matrix; therefore, it
admits as solutions all the values of .c1 ; c2 /. In this way
Dn D Cfsin n!x; cos n!xg:
On the other hand,  D 0 is also an eigenvalue and an eigenfunction can be taken
as the constant 1 (the solutions of u00 D 0 are u.x/ D c1 C c2 x, but the boundary
conditions impose c2 D 0). Therefore, the set of eigenvalues is
2
 n D ! 2 n2 ; n D 0; 1; : : : ; ! WD
b a
and the set of eigenfunctions is
f1; cos n!x; sin n!xg1
nD1 ;

and constitutes a complete orthogonal set in L2 Œa; b.

2. Homogeneous Dirichlet. The problem of eigenvalues is
‚ d2 u
D u:
d x2
u.a/ D 0;
u.b/ D 0:

The value  D 0 is not in the spectrum because if it were, the corresponding eigenfunc-
tion would be as follows u.x/ D c1 C c2 x and the boundary conditions would imply that
c1 C c2 a D c1 C c2 b D 0, but as b a ¤ 0 we have c1 D c2 D 0. The solutions to the
EDO for  ¤ 0 have the form
p p
u.x/ D c1 cos x C c2 sin x;
and the boundary conditions are satisfied if and only if
p p
c1 cos a C c2 sin a D 0;
p p
c1 cos b C c2 sin b D 0:
There will be non-trivial solutions .c1 ; c2 / ¤ .0; 0/ if and only if
ˇ p p ˇ
ˇcos a sin aˇ
ˇ p p ˇ
ˇcos b sin b ˇ D 0;

this is
p 
sin .b a/ D 0:
So, eigenvalues are
!2 2 2
n D n ; n D 1; 2; : : : ; ! WD ;
4 b a
90) Chapter 4. Fourier Series and Fourier Transform [§4.1
and the corresponding eigenfunctions turn out to be
! ! ! !
un .x/ D sin n a cos n x C cos n a sin n x
2 2 2 2
!
D sin n .x a/:
2
3. Homogeneous Neumann. Now, we have
˚ d2 u
D u;
d x2
du
.a/ D 0;
dx
du
.b/ D 0:
dx

In this case  D 0 is in the spectrum: the corresponding solution is u.x/ D c1 C c2 x, the

boundary conditions imply c2 D 0 and the corresponding eigenfunction can be taken as
u0 .x/ D 1. When  ¤ 0 the solutions have the form
p p
u.x/ D c1 cos x C c2 sin x;

and the boundary conditions are satisfied if and only if

p p p p
c1  sin a C c2  cos a D 0;
p p p p
c1  sin b C c2  cos b D 0:

There are nontrivial solutions .c1 ; c2 / ¤ .0; 0/ if and only if

ˇ p p ˇ
p ˇ sin a cos aˇ
 ˇˇ p p ˇD0
sin b cos b ˇ
this is
p 
sin .b a/ D 0:

Thus, the eigenvalues are

!2 2 2
n D n ; n D 0; 1; : : : ! WD
4 b a
and the eigenfunctions are
! ! ! !
un .x/ D cos n a cos n x C sin n a sin n x
2 2 2 2
!
D cos n .x a/:
2
§4.2] Fourier Series (91

§4.2. Fourier Series

E
xpansions in the eigenfunctions of the symmetric differential operators discussed in the
previous section constitute the so-called Fourier trigonometric series expansions. The
d
operator L D i is symmetric over the domain D of differentiable functions u D
dx
u.x/ in the interval Œa; b such that u.a/ D u.b/.

Fourier Exponential Series Expansions

Any function u 2 L2 Œa; b can be expanded in the form

X
1
2
uD cn ei n!x ; ! WD ;
nD 1
b a

with coefficients given by

Z b
1 i n!x
cn D e u.x/ d x:
b a a

In general the series converges in square mean to the function u, however if u 2 D the series
converges uniformly.

Note that in the previous calculation of the coefficients cn it has been taken into account
Rb
that kun k2 D a d x D b a.
d2
The operator L D is of the Sturm–Liouville regular and symmetric type provided
d x2
that Œa; b is a finite interval and any of the three boundary conditions studied occur: periodic,
Dirichlet and Neumann. Therefore, the associated sets of eigenfunctions are orthogonal bases
in L2 Œa; b. Thus all the series that we are going to deal with converge in L2 mean in to the
function expanded and if, in addition, this function belongs to the corresponding domain D
the convergence is uniform.

Fourier Sine and Cosine Series (Periodic Conditions)

All functions u 2 L2 Œa; b can be expanded in the form

a0 X
1
2
uD C .an cos n!x C bn sin n!x/; ! WD ;
2 nD1
b a
where the coefficients are determined by the so-called Euler formulas
Z b
2
an D cos n!x u.x/ d x; n  0;
b a a
Z b
2
bn D sin n!x u.x/ d x; n  1:
b a a
92) Chapter 4. Fourier Series and Fourier Transform [§4.2
The eigenfunction basis used is

n 1 o1
u0 D ; un D cos n!x; vn D sin n!x
2 nD1

and it has been taken into account that

Z b
2 1 b a
ku0 k D dx D ;
4 a 4
Z b Z
2 2 1 b b a
kun k D cos n!x d x D .1 C cos 2n!x/ d x D ;
a 2 a 2
Z b Z b
2 2 b a
kvn k D sin n!x d x D .1 cos2 n!x/ d x D :
a a 2

It is clear that there is a close relationship between the Fourier series of exponentials and
those of sines and cosines. We can go from one to another by using the formulas

ei n!x D cos n!x C i sin n!x;

1 i n!x

cos n!x D e C e i n!x ;
2
1 i n!x

sin n!x D e e i n!x :
2i

Although the function u is, in principle,

y defined only on the interval Œa; b, the two
types of Fourier expansions that we have dis-
u.x/ cussed provide series of periodic functions
with period .b a/. Thus, the functions de-
fined by these series when they are considered
on the domain R are periodic functions with
period .b a/. Therefore, these Fourier series
x
    lead to the extension of u defined as follows:
a .b a/ a b b C .b a/ Given x 2 R, there is only one integer m 2
Z such that x 2 Œa C m.b a/; b C m.b a/
and the periodic extension is

uper .x/ WD u.x m.b a//:

Periodic extension uper.x/ of u.x/
That is, the uper .x/ graph is constructed by
simply pasting copies, one after the other, of
the u graph over Œa; b. Expansions in exponential series or cosines and sines can be applied
either to u or to the corresponding periodic extension.
§4.2] Fourier Series (93

Fourier Sine Series (Dirichlet Conditions)

All u 2 L2 Œa; b can be expanded as

X1
n! 2
uD bn sin .x a/; ! WD ;
nD1
2 b a
with the coefficients of the series given by
Z b
2 n!
bn D sin .x a/ u.x/ d x; n  1:
b a a 2

The orthogonal basis of eigenfunctions is

n n! o
vn D sin .x a/ ;
2 n1

whose squared norms are

Z Z
2
b
2 n! b
1 2  b a
kvn k D sin .x a/ d x D 1 cos n .x a/ d x D :
a 2 a 2 b a 2

The Fourier sine series of makes sense not

only in the interval Œa; b but throughout the y
whole real line R. The result is the so-called
odd periodic extension of the function u. This u.x/
odd extension of u to the entire real line is
determined in two stages: first extends the
function to the interval Œa .b a/; b D
Œ2a b; a [ Œa; b in odd form, that is, if
x
x 2 Œa; b we define    
a .b a/ a b b C .b a/
uodd .a .x a// D u.x/;

and then a periodic extension is made from

the interval Œ2a b; a to the entire real line.
This construction is justified if we observe that Odd extension uodd .x/ of u.x/
the functions !2 .x a/ that appear in the series
considered as functions in R fulfill that
ˇ
! ˇ !
sin .X a/ˇ D sin .x a/;
2 X D2a x 2

which leads to the odd extension, which is also periodic with a 2.b a/-period.
 94) Chapter 4. Fourier Series and Fourier Transform [§4.2

Fourier Cosine Series (Neumann conditions)

All u 2 L2 Œa; b can be expanded as

a0 X
1
! 2
uD C an cos n .x a/; ! WD ;
2 nD1
2 b a
where the coefficients of the series are given by
Z b
2 !
an D cos n .x a/ u.x/ d x; n  0:
b a a 2

The eigenfunction basis used is

n 1  ! o
u0 D ; un D cos n .x a/ ;
2 2 n1

with squared norms

Z
2 1 b b a
ku0 k D dx D ;
4 a 4
Z b Z
2 2 ! 1 b 2  b a
kun k D cos n .x a/ d x D 1 C cos n .x a/ d x D :
a 2 2 a b a 2
The Fourier cosine series is a function de-
y fined on R which is the even extension of u de-
fined as follows: we extend the function u to
u.x/ the interval Œa .b a/; b D Œ2a b; a[Œa; b
evenly, that is, if x 2 Œa; b we define
upar .a .x a// D u.x/;
and then the periodic extension is made from
x
    Œ2a b; b to the whole real line. The jus-
a .b a/ a b b C .b a/ tification for this is analogous to the sine
Fourier series. We observe that the functions
cos !2 .x a/ considered
ˇ as functions in R ful-
ˇ
fill that cos n!
2
.X a/ˇ D cos n!
2
.x a/,
XD2a x
which leads to even extension, and is also pe-
Even extension ueven .x/ of u.x/
riodic with period 2.b a/.

 Examples: Consider the function u.x/ D

ex in the interval Œ0; 1. Let’s analyze the three different Fourier trigonometric expansions.
First we consider the sine and cosines series expansion and their periodic extension. Then, we
analyze series expansions in cosine only and in sines only and their even and odd extensions,
respectively.
§4.2] Fourier Series (95
1. The Fourier sine and cosine series of

a0 X h i
ex D C an cos 2 nx C bn sin 2 nx
2 n1

has for coefficients

Z 1 hZ 1 i hZ 1 i
x x 2 i  nx
an D 2 e cos 2 nx d x D 2 Re e e d x D 2 Re e.1C2 i  n/x d x
0 0 0
" #1
.1C2 i  n/x
e
D 2 Re
1 C 2 i n
0
2Œe 1
D ;
1 C 4 2 n2
Z 1 " #1
hZ 1 i e.1C2 i  n/x
x
bn D 2 e sin 2 nx d x D 2 Im ex e2 i  nx d x D 2 Im
0 0 1 C 2 i n
0
D 2 nan :

The periodic extension of ex has as a graph

y

4 3 2 1 0 1 2 3 x
       

Periodic extension Œex per of ex

96) Chapter 4. Fourier Series and Fourier Transform [§4.2
and the first terms of the series in sines and cosines are
"
1 1 1
Œex per Ï 2.e 1/ C cos 2x C cos 4x
2 1 C 4 2 1 C 16 2
#
1 1
C cos 6x C cos 8x C



1 C 36 2 1 C 64 2
"
1 2
4.e 1/ sin 2x C sin 4x
1 C 4 2 1 C 16 2
#
3 4
C sin 6x C sin 8x C


:
1 C 36 2 1 C 64 2

We represent below the graph of the periodic extension of the exponential and those
of its Fourier trigonometric series truncated for 3, 5, 7 and 9 terms (with a different color
each)
y

3 terms
5 terms
7 terms
9 terms
2 1 0 1 x 2
    

Periodic extension Œex per and truncations of

the Fourier sine and cosine series in
 §4.2] Fourier Series (97
Observe that in the discontinuities of the function the series tends to the mean value
of the left and right values of the given function. In addition we see that near these
discontinuities the truncated series oscillates, the presence of these oscillations is the
so-called Gibbs phenomenon, and it remains even if we take more and more terms in
the series.
2. We now consider the series of only cosines and only sines,

a0 X X
ex D C an cos  nx; ex D bn sin  nx:
2 n1 n1

It is satisfied that

Z 1 hZ 1 i hZ 1 i
x x i  nx
an D 2 e cos  nx d x D 2 Re e e d x D 2 Re e.1Ci  n/x d x
0 0 0
" #1
.1Ci  n/x
e
D 2 Re
1 C i n
0
n
2Œ. 1/ e 1
D ;
1 C  2 n2
Z 1 " #1
hZ 1 i e.1Ci  n/x
x
bn D 2 e sin  nx d x D 2 Im ex ei  nx d x D 2 Im
0 0 1 C i n
0
D nan

The even extension Œex even and odd extension Œex odd is represented graphically as
follows
y y

4 3 2 1 0 1 2 3 x 4
        

4 3 2 1 0 1 2 3 x 4
        
Even extension Œex even Odd extension Œex odd
 98) Chapter 4. Fourier Series and Fourier Transform [§4.2
The corresponding series are
h eC1 e 1
Œex even Ï e 1C2 cos x C cos 2x
1C 2 1 C 4 2
eC1 e 1 i
cos 3x C cos 4x C


;
1 C 9 2 1 C 16 2
h eC1 e 1
Œex odd Ï 2 sin x 2 sin 2x
1 C 2 1 C 4 2
eC1 e 1 i
C3 sin 3x 4 sin 4x C



1 C 9 2 1 C 16 2

Next, we show the graphs of the extended functions and their truncated series. For
Œex even we have

2 terms
3 terms
4 terms
5 terms
6 terms

3 2 1 0 1 2 x
     

Even extension of Œex par and Fourier cosine

series truncations
 §4.2] Fourier Series (99
We observe that it is a very good approximation. Furthermore, we see that and by other
that in the points x D 0; ˙1; ˙2; : : : the tangent to the truncated series has null slope,
this is the the derivative is zero (as it should be since the derivative only has sines that
vanish at those points) as opposed to the original function where the derivative jumps
from 1 to 1. Whereas for Œex odd we have

2 terms
3 terms
4 terms
5 terms
6 terms

3 2 1 0 1 2 x 3
      

Odd extension Œex impar and truncations of

Fourier sine series

The oscillating line represents the Fourier series of sines truncated to sixth order.
We should note that in the problematic points 0; ˙1; ˙2; : : : the discrepancy between
function and truncated series is remarkable. For example, in x D 0 the original function
has a discontinuous jump of 2 units while the series ate that point is zero, as it should be.
These phenomena are due to the fact that the chosen function does not complies with
the boundary requirements but, nevertheless, in the interior the Fourier series converges
to the given extension.
 100) Chapter 4. Fourier Series and Fourier Transform [§4.3
Below we show the approximation to 31 terms of the Fourier sine series, it begins
to approximate quite well the original graph. To compare with the previous expansions
that approximated even better with a much smaller number of terms. The Gibbs phe-
nomenon is clearly visualized. The partial sum near the discontinuity point, of jump ,
deviates from the expected jump by approximately 9% of the total jump of the function
approaching at that point, ı D 0; 089489872236. The lower the jump, the lower the
rebound due to the Gibbs phenomenon.

ı


3 2 1 0 1 2 x
     


Gibbs phenomenon: truncation to 61 terms of

the Fourier series in sines of Œex odd

§4.3. Convergence of Fourier Series

C
onvergence of Fourier series of a function u.x/ is the subject to which we now turn.
As we already know for any function u 2 L2 Œa; b their exponential Fourier series, in sines
and cosines, in only sines and in only cosines converge strongly. Moreover, if the function is
differentiable and satisfies the suitable boundary conditions (periodic, homogeneous Dirichlet
§4.3] Convergence of Fourier Series (101
or homogeneous Neumann) the corresponding series converge uniformly (and therefore also
pointwise) to the function u. A fundamental question is to know when the series of a general
function u 2 L2 Œa; b converge pointwise and what is the relationship between the limit function
and the function u. A kind of functions for which we can give very precise answers to these
questions is as follows:

Piecewise Smooth Functions

A u D u.x/ function is smooth piecewise (or C 1 piecewise) at an interval Œa; b when there
is a partition a D c1 < c2 < : : : < cM D b of Œa; b such that 8i D 1; : : : ; M 1, both u and
its first derivative u0 are continuous in the subintervals .ci ; ci C1 / and have finite lateral limits at
the edges ci and ci C1 .

For example, the pointwise convergence of the series of sines and cosines of a function
u 2 L2 Œa; b requires to find out for which points x 2 R there exists the limit
lim SN .u; x/;
N !1

where SN .u; x/ denotes the partial sum N -th of the series of sines and cosines

a0 X

N
SN .u; x/ WD C an cos n!x C bn sin n!x :
2 nD1

and determine its relationship to the value of u in x. One answer of great practical interest is
the following theorem

Dirichlet Theorem (1829)

If u.x/ is a C 1 piecewise function in Œa; b then its Fourier series converge pointwise at all
points x 2 R and its limit is equal to
uext .x C 0C / C uext .x C 0 /
;
2
where uext denotes the corresponding extension (periodic, even or odd) from u to all the real
line R and
uext .x C 0˙ / WD lim uext .x ˙ j"j/:
"!0

This result completely solves the problem of the pointwise convergence of the Fourier series
discussed above. Basically, we just need to know the extension to R of the function u D u.x/
and apply the following consequences of Dirichlet’s theorem
1. If x is a point of continuity of uext then both limits uext .x C 0˙ / match uext .x/, so the
corresponding Fourier series pointwise converges to uext .
 102) Chapter 4. Fourier Series and Fourier Transform [§4.3
2. If x is a discontinuity point of uext the two limits uext .x C 0˙ / are different and constitute
two equally attractive candidates for the limit of the Fourier series. In this case, the series
makes a Solomonic choice and decides to converge to the semi-sum of these two limits.

 Example: Let the function

(

; 0  x  ;
u.x/ D 4

4
;   x < 0:

Let’s consider its corresponding Fourier expansions in exponentials. Bearing in mind that in
this case b a D 2; ! D 1, we have
X
1
u.x/ D cn ei nx ;
nD 1

8
Z  <0; if n is even;
1 i nx
cn D u.x/ e dx D 1
2  : ; if n is odd:
2in
Therefore,
1 h i x 1 i 3x i 1h ix 1 i 3x
i
u.x/ D e C e [Link] C e e ::: ;
2i 3 2i 3
that by grouping terms takes the form

1 X1
sin.2n C 1/x
u.x/ D sin x C sin 3x C


D :
3 nD0
2n C 1

This is the Fourier sine and cosine series of for v in the interval Œ ;  (the terms in the cosines
have zero coefficient).
The u function is piecewise C 1 in Œ ;  thus Fourier series must satisfy the properties
required by Dirichlet’s theorem. We directly check some of such properties. Let’s take the
points x D 0; ˙. At them all the sine terms of the series cancel, then the sum of the series
converges pointwise into x D 0; ˙ to zero, which is precisely the value that takes the periodic
extension
uext .x C 0C / C uext .x C 0 /
;
2
at such points.

Note that pointwise convergence for x D implies
2

 X . 1/n1
D :
4 nD0
2n C 1
§4.3] Convergence of Fourier Series (103

Bounded Variation Functions

Given a function u.x/ in the closed interval Œa; b and a partition P D fxi gniD0 , with a D x0 <
x1 : : : < xn 1 < xn D b, the variation of u associated with the partition P is given by
X
n 1
ˇ ˇ
var.u; P/ WD ˇ[Link] C1 / [Link] /ˇ:
i D0
the total variation of u.x/ is defined as
var u WD sup var.u; P/:
P
Bounded monotonic functions are of bounded variation with
var u D u.b/ u.a/;
if a function u.x/ is derivable in Œa; b with integrable derivative u0 .x/ in Œa; b its variation is
Z b
var u D ju0 .x/j d x:
a
Jordan’s decomposition of a function assures us that a function is of bounded variation if
and only if it can be written as the difference of two non-decreasing derivable functions
u.x/ D u1 .x/ u2 .x/. A function u.x/ belongs to the bounded variation class BV Œa; b if
var u < C1.

For example, the function

(
x2; x 2 Œ 1; 0;
u.x/ D
x2; x 2 .0; 1

has derivative given by

(
2x; x 2 Œ 1; 0;
u0 .x/ D
2x; x 2 .0; 1

and, consequently, its variation is

Z 1 Z 0 Z 1 ˇ0 ˇ1
var u D 0
ju .x/j d x D j 2xj d x C j2xj d x D x 2 ˇ 1 C x 2 ˇ0 D 2 D u.b/ u.a/:
1 1 0

Continuity Module

A function u.x/ admits the function ! W R ! RC as a continuity module in Œa; b if

ju.x/ u.y/j  !.jx yj/:
104) Chapter 4. Fourier Series and Fourier Transform [§4.3

Hölder Continuity

It is said that u.x/ is of Hölder class, or Hölder continuous, provided that

ju.x/ u.y/j  C jx yj˛ ;
where ˛; C  0 are non-negative constants. If ˛ D 1 we say that the function is in the Lipschtiz
class, when ˛ > 0 the continuity is assured, and when ˛ D 0, it is equivalent to the boundness
of the function.

Behavior of the Coefficients

Given a function u W Œa; b ! C the coefficients of its Fourier series expansion in exponentials
satisfy the following bounds:
1. If u.x/ is of bounded variation we have
var u 1
jcn j  :
b a jnj
2. If u 2 C p Œa; b then
R b .p/
ju .x/j d x
jcn j  a :
jnjp
3. If u 2 C p Œa; b and !.x/ is a continuity module you have
b a 1
jcn j  ! :
n jnjp
4. If u.x/ is ˛-Hölder continuous then there is K > 0 such that
K
jcn j  :
jnj˛

Uniform Convergence of Fourier Series

1. The Fourier series of continuous Hölder functions converge uniformly and

log N
ju.x/ SN .u; x/j  K :
N˛
for some K > 0.
2. The Fourier series of continuous functions of bounded variation converge uni-
formly.
3. If u 2 C p Œa; b and u.p/ .x/ has as continuity module !.x/ then the Fourier series con-
verges uniformly and there is K > 0 such that
log N  b a 
ju.x/ SN .u; x/j  K ! :
Np N
§4.4] Fourier Transform (105

§4.4. Fourier Transform

F
ourier transform of a function u D u.x/ can be described as a expansion of u in
eigenfunctions of the operator Lu D Du, when the domain of L is D WD fu 2
L2 .R/ \ C 1 .R/ W Lu 2 L2 .R/g. Note that the definition of D is motivated by the
the fact that when considering functions u defined over the whole real line, it is not assured
that u 2 L2 .R/ when u 2 C 1 , so we have to demand that u belongs to both spaces. On the
other hand, we must also demand that Lu 2 L2 .R/ for L to be an application D ! L2 .R/.
The special thing about this domain is that, even though L is symmetric in it, there are no
eigenfunctions of L in D. This is clear since
Lu D u;
implies
u D c ei x ; c ¤ 0;
but such functions are not in L2 .R/ since
Z C1 Z C1
2 2 2 Im./x
juj dx D jcj e dx D 1:
1 1
However, we are going to show that a subset of these eigenfunctions
p
B WD fek .x/ WD ei kx = 2 W k 2 Rg;
allows to expand any function u 2 L2 .R/. Now, the expansion will not be a series, but an
integral. In fact the basis B of functions in the expansion is not a discrete set, since it has as
many elements ek , k 2 R, as the cardinality of the set of real numbers.
To introduce this new expansion we start from the Fourier series of exponentials of a function
u 2 L2 Œa; b
p Z
1 X i kn x 2 b i kn x
u.x/ D p cn e ; cn D e u.x/ d x;
2 n2Z b a a
where we have changed the expression that we used of the coefficients cn in a factor 2 and we
denote
2
kn WD !n; ! WD :
b a
Our idea is to write this sum in the form of Riemann’s sum of an integral with respect to the
variable k. In this sense we have

1 X
(9) u.x/ D p [Link] / ei kn x k
2 n2Z
with
k WD knC1 kn D !;
Z
(10) cn 1 b
i kn x
[Link] / WD Dp e u.x/ d x:
k 2 a
106) Chapter 4. Fourier Series and Fourier Transform [§4.4
If we take the limit
a! 1; b ! C1;
observe that k ! 0 and that we have
Z
1
u.x/ D p c.k/ ei kx d k;
2Z R
1
c.k/ D p e i kx u.x/ d x:
2 R
This is the expansion of u in the ek .x/ eigenfunctions. The function c D c.k/ plays the role of
expansion coefficients. All the information of the source function u D u.x/ is encoded in the new
function c D c.k/. The usual nomenclature and notation for this expansion are
c.k/ DW F.u/; Fourier transform of u:
1
u.x/ DW F .c/; inverse Fourier transform of c.
The Fourier transform thus appears as a continuous limit of the Fourier series expansion
concept.
We now consider the n-dimensional extension of the Fourier transform. We will denote
x D .x0 ; x1 ; : : : ; xn 1 / 2 Rn ; k D .k0 ; k1 ; : : : ; kn 1 / 2 Rn ;
x
k D x0 k0 C


C xn 1 kn 1 :

Fourier Transform

The Fourier transform of a function u.x/ is defined by

Z
1
c.k/ D F.u/ D n e i k
x u.x/ dn x:
.2/ R2 n

A basic problem is knowing when the Fourier transform of a function do in fact exists.

Fourier Transform in L1 .Rn /

If the absolute value of u.x/ is integrable, this is if

Z
ju.x/j dn x < 1;
Rn
then the Fourier transform F.u/ exists and it’s a continuous function in all Rn .

However, the space of functions with integrable absolute value does not remain invariant
under the Fourier transform. That is, there are functions with an integrable absolute value
whose Fourier transform has a non-integrable absolute value. In this sense the space
L2 .Rn / is more appropriate since it is satisfied
§4.4] Fourier Transform (107

Fourier Transform in L2 .Rn /

If u.x/ is square integrable function, u 2 L2 .Rn /, this is if

Z
ju.x/j2 dn x < 1;
Rn
then the Fourier transform F.u/ exists and is also an square integrable function. In addition,
the Fourier transform defines a biyective linear application
F W L2 .Rn / ! L2 .Rn /
that preserves the scalar product
.Fu; Fv/ D .u; v/; 8u; v 2 L2 .Rn /:
The inverse of the Fourier transform is what we have defined as the inverse Fourier transforma-
tion.

It is necessary to warn that the improper integral that accompanies the Fourier transform
operation on elements of L2 .Rn / must be carried out in a different sense from the usual one.
Specifically, it is defined as
Z
1
c.k/ D lim cR .k/; cR .k/ WD e i kx u.x/ dn x;
R!1 .2/n=2 jxjR
where the limit operation is that associated with convergence in L2 mean
Z
lim jc.k/ cR .k/j2 dn k D 0:
R!1 Rn
Another function space in which the Fourier transform has important properties is the
Schwartz space
n o
[Link] / WD u 2 C 1 .Rn / W sup .x ˛ D ˇ u/ < 1; 8˛; ˇ 2 ZnC ;
x2Rn
of test functions of fast decay. We are using the notation
x ˛ WD x0˛0 x1˛1 : : : xn˛n 11 :
This space is contained in L2 .Rn /.

Fourier Transform in [Link] /

If u D u.x/ belongs to [Link] /, then the Fourier transform exists and belongs to [Link] /. In
addition, the Fourier transform defines a biyective linear application
F W [Link] / ! [Link] /:

Let us have a look at some examples of Fourier transforms of single-variable functions.


108) Chapter 4. Fourier Series and Fourier Transform [§4.4
Examples:
1. Given the characteristic function of the interval Œ a; a
(
1 x 2 Œ a; a;
u.x/ D
0 x 2 R n Œ a; a;

its Fourier transform is easily calculated

Z Z ˇ r
1 1
i kx 1 a
i kx 1 e i kx ˇˇa 2 sin ka
c.k/ D p u.x/ d x D p dx D p D
2 i k ˇ a
e e d x :
2 1 2 a  k
2. Let us consider the function
(
ax
e x > 0;
u.x/ D
0 en el resto;

with a > 0. The transform is

Z Z 1 Z ˇ1
1 1 1 1
1 e .aCi k/x ˇˇ
c.k/ D p e i kx
u.x/ D p e i kx
e ax
Dp e .aCi k/x
D p ˇ
2 R 2 0 2 0 2 .a C i k/ ˇxD0
1 a ik
Dp
2 a2 C k 2
3. The Lorentzian function
1
u.x/ D ; a>0
x2 C a2
has as its Fourier transform
Z 1
1 i kx 1
c.k/ D p e d x;
2 1 x2 C a2
i kz
that can be calculated using complex variable techniques. Let f .z/ D ze2 Ca2 and be
R
the positive oriented real line, We are going to compute f .z/ d z using the Cauchy’s
Residue Theorem. The singularities of f are two simple poles in z D ˙ i a, there the
residues of f .z/ are: Res.f; ˙ i a/ D ˙ e˙ka =.2 i a/. When k > 0 the integral is the limit
when R ! 1 of the integral over the lower semi-circle centered on the radius origin
R. Whereas if k < 0 the upper semi-circle must be R chosen instead. P
Therefore, in each
situation contributes only one pole in the formula f .z/ d z D 2 i Res.f; p/, and
p2poles
the result is
r
 e ajkj
c.k/ D :
2 a
§4.4] Fourier Transform (109
4.4.1. Fourier transform properties Under appropriate conditions (for example, if they
belong to the Schwartz space) the Fourier transform has a number of basic properties we de-
scribe now. In this first table we collect the most immediate properties

Fourier Transform: Properties I

1. Linearity
F
ui .x/ ! ci .k/; i D 1; 2
+
F
1 u1 .x/ C 2 u2 .x/ ! 1 c1 .k/ C 2 c2 .k/; 81 ; 2 2 C
2. Translations
F F
u.x/ ! c.k/ H) u.x C a/ ! ei k
a c.k/
3. Scaling
F F
u.x/ ! c.k/ H) ei `
x u.x/ ! c.k `/
4. If A 2 MN .R/ is an invertible matrix then
F F 1

u.x/ ! c.k/ H) [Link]/ ! c .A> / 1 k
det A
5. Complex conjugation
F F
u.x/ ! c.k/ H) u.x/
N ! c.
N k/

The second set of properties, which require further analysis, is set out below. We will use the
notation Dx˛ ; Dk˛ to denote the multiple derivation operators D ˛ with respect to the variables
x or k, respectively. We also introduce the operation of convolution of two functions u and v
as follows

Z Z
n
.u  v/.x/ WD u.x y/v.y/ d y D u.y/v.x y/ dn y:
Rn Rn
110) Chapter 4. Fourier Series and Fourier Transform [§4.4

Fourier transform: Properties II

1. Fourier transform of derivatives:

[Link]˛ .u// D .i k/˛ F.u/:
2. Fourier transform and multiplication by polynomials:
F.x ˛ .u// D .i Dk /˛ F.u/:
3. Fourier transform of the convolution:
F.u  v/ D .2/n=2 F.u/F.v/:
4. Parseval identity:
Z Z
2 n
ju.x/j d x D jc.k/j2 dn k:
Rn Rn

Proof. 1. In the first place we have

 @u  Z
1 i k
x @u n
F D e d x
@xi .2/n=2 Rn @xi
Z h ˇ1
1 ˇ
D e i k
x
u.x/ˇ
.2/n=2 Rn 1 xi D 1
Z 1 i
. i ki / e i k
x u.x/ d xi d x1 : : : d xi 1 d xi C1


d xn ;
1

where we’ve integrated by parts. If u 2 [Link] / is fulfilled that

ˇ1
ˇ
u.x/ˇ D 0;
xi D 1

and we obtain
 @u 
F D i ki F.u/:
@xi
Consequently,
 @˛0 @˛n 1 
F


u D .i k0 /˛0


.i kn 1 /˛n 1 F.u/:
@x0˛0 @xn˛n 11
2. We began by observing that
Z Z
1 i.k
x/ n 1 @.e i k
x u.x// n
[Link] u/ D e xi u.x/ d x D i d x:
.2/n=2 Rn .2/n=2 Rn @ki
If u 2 [Link] / we can extract out of the integral the derivative with respect to the parameter
ki and write
@
[Link] u/ D i F.u/:
@ki
§4.4] Fourier Transform (111
Thus,
@ ˛0  @ ˛n 1
F.x0˛0 : : : xn˛n 11 u/ D i


i F.u/
@k0 @kn 1

3. Let us write the transformation of a convolution

Z hZ i
1
F.u  v/ D e i k
x
u.y/v.x y/ d y dn x:
n
.2/n=2 Rn Rn

Since u; v 2 [Link] / the multiple integral is independent of the order in which we make
the integrals on each variable. So we can write
Z
1
F.u  v/ D n=2
e i k
x u.x y/v.y/ dn y dn x;
.2/ R R
n n

that with the change of variables

x D  C ; y D ;

becomes
Z
1
F.u  v/ D e i k
.C/
u./v./ dn  dn  D .2/n=2 F.u/F.v/;
.2/n=2 Rn Rn

as we wanted to show.
4. The scalar product in L2 .Rn / of u; v 2 [Link] / can be written as
Z
.u; v/ D N
u.y/v.y/ dn y D .P u  v/.0/;
Rn

where P u.x/ D u. x/. Therefore, using the result of 3) we have

.u; v/ D .2/n=2 ŒF 1
.F.P u/F.v//.0/;

this is to say
Z ˇ
ˇ
.u; v/ D e i k
x
N
c.k/d.k/ d kˇ n
Rn xD0

where c; d are the Fourier transforms of u; v, respectively. Therefore,

Z Z
n
N
u.x/v.x/ d xD N
c.k/d.k/ dn k;
Rn Rn

and in particular, for u D v we get the identity of Parseval.

□

Although in previous proofs we have confined ourselves to fast decaying functions, these prop-
erties are valid in more general situations.


112) Chapter 4. Fourier Series and Fourier Transform [§4.4
Examples:
1. First we are going to calculate the Fourier transform of the 1D Gaussian function
a2 x 2
u.x/ D e ; a > 0:
Its the derivative is
Dx u.x/ D 2a2 xu.x/:
Applying the Fourier transform to both members of this equation, and taking into ac-
count the properties i) and ii) that we have proved, we deduce that the transform c.k/
of the function u.x/ satisfies
1
Dk c.k/ D kc.k/:
2a2
Integrating this equation we get
k2
c.k/ D c.0/ e 4a2 :
On the other hand, from the Fourier transform definition we know that
Z C1 Z C1
1 1 2 2
c.0/ D p u.x/ d x D p e a x dx
2 1 2 1
Z C1
1 2 1
Dp e x dx D p :
2a 1 a 2
Therefore
1 k2
c.k/ D p e 4a2 :
a 2
In other words, the transformation of a Gaussian is a Gaussian.
2. Consider now the Fourier transform of the Gaussian function in n variables
1
Pn 1
Aij xi xj
u.x/ D e 2 i;j D0

being A D .Aij / a symmetric positive definite matrix (A D At and .x; Ax/ > 0; 8x ¤ 0/).
Taking partial derivatives with respect to xi we get

@u X
n 1 
D u.x/ Aij xj :
@xi j D0

Therefore, using properties (i) and (ii), we find that

X
n 1
@c
i ki c.k/ D Aij i ;
j D0
@kj

and so
@c hX
n 1 i
D .A 1 /j i ki c:
@kj j D0
§4.4] Fourier Transform (113
This first-order PDE has the following solution
1
Pn 1 1/ k k
c.k/ D c.0/ e 2 i;j D0 .A ji i j
:
Let us note that
Z Pn
1 1 1
c.0/ D e 2 i;j D0 Aij xi xj
dn x:
.2/n=2 Rn

Being A symmetric and positive definite, it can be factor as A D OƒO t where O is

orthogonal and ƒ D diag.0 ; : : : ; n 1 / is the diagonal matrix of A, with i > 0, i D
0; : : : ; n 1. That’s why, after the change of coordinates x ! x D O 1 x, with unit
Jacobian (since O is an orthogonal matrix you have j det Oj D 1), c.0/ is expressed as
s
1 Y1 Z
n
1 Y1 2 Z
n
e i xQi =2 d xQ i D e xO i d xO i :
2 2
c.0/ D n=2 n=2
.2/ i D0 R
.2/ iD0
i R

Hence, as det A D 1


n we get

1
c.0/ D p ;
det A
so that
1 Pn 1
c.k/ D p
1 1/ k k
e 2 i;j D0 .A ji i j
:
.2/n det A
For example, the Fourier transform of
.x12 Cx22 Cx1 x2 /
u.x1 ; x2 / D e
is
1 1
c.k1 ; k2 / D p e 3 .k1 Ck2 k1 k2 / :
2 2

3
   
Now A D 21 12 , det A D 3 and A 1 D 2=3 1=3
1=3 2=3 and eigenvalues 1 D 1; 2 D 3.
3. We now calculate the Fourier transform of
(
x1 x2 x3 x1 ; x2 ; x3 2 Œ a; a;
u.x1 ; x2 ; x3 / D
0 in the rest:

First of all, let us note that the Fourier transform in R3 of

(
1 x1 ; x2 ; x3 2 Œ a; a;
v.x1 ; x2 ; x3 / D
0 in the rest:
is
Z r
Y
3
1 a
8 sin ak1 sin ak2 sin ak3
i ki x i
e d xi D :
i D1
.2/1=2 a  3 k1 k2 k3
114) Chapter 4. Fourier Series and Fourier Transform [§4.4
and as u.x1 ; x2 ; x3 / D x1 x2 x3 v.x1 ; x2 ; x3 / we must have
r
@ @ @ 8 sin ak1 sin ak2 sin ak3
c.k1 ; k2 ; k3 / D i i i :
@k1 @k2 @k3  3 k1 k2 k3
Thus,
r
8 @Œsin ak1 /=k1  @Œsin ak2 =k2  @Œsin ak3 =k3 
c.k1 ; k2 ; k3 / D i
3 @k1 @k2 @k3
r h
8 ak1 cos ak1 sin ak1 ih ak2 cos ak2 sin ak2 i
D i
3 k12 k22
h ak cos ak sin ak3 i
3 3

k32
4. To calculate the Fourier transform of
.xC1/2
u.x/ D .x 1/2 e :
we expand the factor .x 1/2 :
.xC1/2
u.x/ D .x 2 2x C 1/ e ;
and since we know that
k 2 =4
.xC1/2 F ik e
e !e p ;
2
we obtain
h d 2 d i e k 2 =4Ci k
c.k/ D i 2i C1 p
dk dk 2
1 h  1  k  2   k  i
k 2 =4Ci k
Dp C Ci 2i Ci C1 e
2 2 2 2
k 2 C 8 i k C 18 k 2 =4Ci k
D p e :
4 2
§4.5] Exercises (115

§4.5. Exercises

4.5.1. Exercises with solutions

1. Determine the value in x D 0 of the Fourier series in sines and cosines of
sin x
u.x/ D ; 1 < x < 1:
jxj
Solution: The function u.x/ is not continuous at the origin, its lateral limits are
limx!˙ u.x/ D ˙1 and therefore its semisum is uC Cu2
D 0. Recalling Dirichlet’s theo-
rem we conclude that the series converges pointwise to 0 in 0.
2. Consider the Fourier series expansion in sines and cosines
a0 X
1
10 8
x C 2x C 4 D C .an cos nx C bn sin nx/;  < x < :
2 nD1

Find out which of the following statements is correct

a) bn D n13 .
(
1
; n even,
b) an D n3
0; n odd:
c) an D 0.
d) bn D 0.
e) an D bn .
Solution: As the function u.x/ WD x 10 C 2x 8 C 4 is even with respect to the midpoint
of the interval, x D 0, we have that bn D 0. Therefore,

(a),

(c) and (e) are false and (d)
 3
is true. The answer (b) is false because u 4
¤ u 4
.
3. Given the function
u.x/ D jxj cot x; 1 < x < 1;
determine the value at x D 0 of the Fourier series in sines.
Solution: The function
cos x
u.x/ D jxj :
sin x
is continuous throughout the interval except for x D 0 where the lateral limits of the
function exist: u D 1 and uC D 1. Therefore, Dirichlet’s theorem implies the value
u CuC
of the sum of the corresponding Fourier series
 in xD 0 is the average value 2 D 0.
4. Determine how many points in the interval ;
2 2
the following Fourier series
X
cn ei 2nx
n2Z

of the function
sin x
u.x/ D
jxj
is canceled.
116) Chapter 4. Fourier Series and Fourier Transform [§4.5
Solution: Being a Fourier series of exponentials ei 2nx we deduce that ! D b2a D 2
 
and therefore the length of the interval is b a D . So, we can take Œa; b D ; .
2 2
The function belongs to the piecewise C class in this interval with a single discontinuity
1

at x D 0. Here we have the following lateral limits

lim u.x/ D ˙1;

x!0˙
whose mean is zero. Dirichlet’s theorem implies that the Fourier series is vanishes at
x D 0. On the edges of the interval we have u.˙ 2 / D ˙ 2 , and as the Fourier series in
exponentials will recover the periodic extension of

5. In the next Fourier series expansion

X1
x 2 D a0 C .an cos nx C bn sin nx/; 0 < x < 2;
nD1
determine the value of the coefficients bn .
Solution: The coefficients bn are determined by the formula
Z b Z
2 1 2 2
bn D u.x/ sin n!x d x D x sin nx d x:
b a a  0
This integral, which is immediate, can be calculated by integrating by parts as follows
 0
2 2 cos nx cos nx
x sin x D x C 2x
n n
 cos nx sin nx 0 sin nx
D x2 C 2x 2 2 2
n n n
 cos nx sin nx cos nx 0
D x2 C 2x 2 C 2 3
n n n
so that
1 2 cos nx sin nx cos nx ˇˇxD2
bn D x C 2x 2 C 2 3 ˇ ;
 n n n xD0
this is,
4
bn D :
n
P
6. Determine how many points in the interval Œ0; 3 the Fourier series 1 nD1 bn sin nx of
 2
u.x/ D .x 2 / is zero.
Solution: As we are dealing with sine Fourier series with the functions sin nx, n D
1; 2; : : : , we see ! D 2 and a D 0 (remember that in the series the sines appear in the

2
form sin n! x 2 a , and therefore the interval where the function u.x/ D x 2 is defined
is Œ0; .
§4.5] Exercises (117

According to Dirichlet’s theorem, u

the Fourier series of sines, will
2
converge pointwise to the periodic 4
extension to the real line of the
odd extension of u to the inter-
val Œ ; . In the attached graph
of this odd periodic extension we
can see that the function is discon-  0  2 3 4 x
tinuous at the points f0; ; 2; 3g
and, according to Dirichlet’s the-
orem, the Fourier series will con-
verge to the semisum of the lateral
limits which in this case is 0. On
the other hand, we have the follow-
ing roots of the series f 2 ; 3 ; 5 g. 2
2 2 4
In short, in the interval Œ0; 3 the
Fourier series is cancelled 7 times.

 2
Odd extension of u.x/ D x 2
7. Let u.x/ be a solution of the Pois-
son equation
u D ; x 2 R3 ;
with
Z
1 i k
x
O
.k/ D .x/ e d xI
.2/3=2 R3

the Fourier transform of .x/. Show that the Fourier transform uO of u fulfills jkj2 u.k/
O C
O
.k/ D0
Solution: Performing the Fourier transform of the Poisson equation we have
F.u/ D ;
O
recalling that i ki F.u/ D [Link] u/ we get


F.u/ D .i k1 /2 C .i k2 /2 C .i k3 /2 uO D jkj2 u:
O
8. Calculate the Fourier transform of the function
(
x ex ; 1 < x < 1;
u.x/ D
0; 1  x < 1:
Solution: Calling
(
ex ; 1 < x < 1;
v.x/ WD
0; 1  x < 1
We have the Fourier transform F.u/ D [Link]/ D iDk F.v/. But,
Z 1
1 e1 i k
F.v/ D p e.1 i k/x d x D p :
2 1 2.1 i k/
118) Chapter 4. Fourier Series and Fourier Transform [§4.5
Therefore, we conclude that

1 i k e.1 i k/
c.k/ D p :
2 .1 i k/2
9. Determine the 2D Fourier transform
Z
1 i.k1 xCk2 y/
c.k1 ; k2 / D u.x; y/e dxdy;
2 R2
of the function
x 2 jyj
u.x; y/ D .x C y/e :
R1 2 p 2
Hint: 1 e x e ikx dx D e k =4 .
Solution: In the first place we must bear in mind that
x 2 jyj
F.u/ D i.Dk1 C Dk2 /F.e /:
Secondly that
Z h Z ih Z i
x 2 jyj 1 1 1
e x jyj e jyj
2 i.k1 xCk2 y/ x2 ik1 x ik2 y
F.e /D dxdy D e e dx e e dy
2 R2 .2/1=2 .2/1=2
Z R R
1 k12 =4 jyj ik2 y
D p e e e dy:
2  R

Finally,
Z Z 0 Z 1
jyj ik2 y .1 ik2 /y .1Cik2 /y 1 1 2
e e dy D e dy C e dy D C D :
R 1 0 1 ik2 1 C ik2 1 C k22
Thus,
x 2 jyj 1 k12 =4 1
F.e /D p e
 1 C k22
and

i e k1 =4  k1 2k2 
2

F.u/ D p C :
 1 C k22 2 1 C k22

10. Determine the Fourier transform c.k1 ; k2 ; k3 / of the following function

( x y
e
; si x > 0 and y > 0,
u.x; y; z/ WD z 2 C4
0; in the rest of space

Hint: Whenever a > 0 is satisfied that

Z 1
1 e i kx e ajkj
d x D :
2 1 x 2 C a2 2a
§4.5] Exercises (119
Solution: As the function factors u D u1 .x/u2 .y/u3 .z/, we have

F .3/ .u/ D F .1/ .u1 /F .1/ .u2 /F .1/ .u3 /:

But, we know that

Z 1
.1/ 1 i k1 x x 1 1
F .u1 / D p e e dx D p ;
2 0 2 1 C i k1
Z 1
.1/ 1 i k2 y 1 1
F .u2 / D p e e y dy D p ;
2 0 2 1 C i k2
Z 1 r
.1/ 1 i k3 z 1  e 2jk3 j
F .u3 / D p e d z D ;
2 0 z2 C 4 2 4
and, therefore,

1 e 2jk3 j
c.k1 ; k2 ; k3 / D p :
2 2 .1 C i k1 /.1 C i k2 /

11. Find the Fourier transform c.k1 ; k2 / of the following function

(
xy e x y ; if x > 0 and y > 0,
u.x; y/ WD
0; in the remaning plane.

Solution: Le us denote
(
e x y
; if x > 0 and y > 0,
G.x; y/ WD
0; in the remaining plane.

We know that
1 1
F .2/ .G/ D ;
2 .1 C i k1 /.1 C i k2 /
as well as

F .2/ .xyG/ D i Dk1 i Dk2 F .2/ .G/:

Thus, as u.x; y/ D xyG.x; y/, we deduce

1 1
F .2/ .u/ D :
2 .1 C i k1 / .1 C i k2 /2
2

12. Find the Fourier transform c.k/ of the following function

jxC2j
u.x/ D x e 4 :
120) Chapter 4. Fourier Series and Fourier Transform [§4.5
Solution: First, we calculate
Z Z 1
jxj 1  0 i kxC x
i kx x

F.e 4 / D p e 4 dx C e 4 dx
2 1 0
1  1 1 
D C
2 14 i k 1
4
C ik
1 8
Dp :
 1 C 16k 2
Secondly, we remind that F.u.x C a// D ei ka F.u.x// and, consequently,
jxC2j
8 1
F e 4 Dp ei 2k :
 1 C 16k 2

We also observe that

jxC2j
jxC2j
4 1
F xe 4 D i Dk F e 4 D i Dk ei 2k :
 1 C 16k 2
Therefore, we arrive at the final result
16 16k 2 C 16 i k C 1 i 2k
c.k/ D p e :
 .16k 2 C 1/2
13. Consider the function defined by
Z 1 .x y/2
e
u.x/ D d y; 1 < x < 1:
1 1Cy
2

a) Determine functions f .x/ and g.x/ such that u.x/ is expressed as the convolution
u.x/ D .f  g/.x/:
b) Calculate the Fourier transform of u.x/.
Solution:
a) If we pick the functionsf .x/ and g.x/ with the following Gaussian and Lorentzian
functions
2 1
f .x/ D e x ; g.x/ D ;
1 C x2
we have that
Z 1
.f  g/.x/ D f .x y/g.y/ d y D u.x/:
1

b) Therefore, bearing in mind that

p
F.f  g/ D 2F.f /F.g/
and recalling that
k2
jkj
e 4 e
F.f / D p ; F.g/ D ;
2  2
§4.5] Exercises (121
we obtain
1 k2
jkj
O
u.k/ D e 4 :
2

4.5.2. Exercises
1. Expand the function u.x/ D 1 in sine Fourier series in the interval Œ0; l. Analyze
whether you can derive the expansion term by term. Also determine the expansion in
cosine Fourier series in of this function.

2. Let be the function u.x/ D x.

a) Find its expansion in Fourier series in sines over the interval Œ0; l.
b) Find its Fourier series expansion in cosines over the interval Œ0; l.
c) Find the Fourier series expansion in sines and cosines over the interval Œ l; l.
(
0 if 1  x  0;
3. Determine the Fourier series of sines and cosines of the function u.x/ D
x if 0  x  1:
What value does the series take in x D 1?
4. Determine the Fourier series of sines and cosines of the function u.x/ D ei x ; over the
interval Œ0; .
5. Determine the Fourier series of sines and cosines of the function
(
1; if 2  x  0;
u.x/ WD ;
x; if 0  x  2
and the corresponding sum of the series at x D 0.
6. Determine Fourier transforms of
1
a) u.x/ D , ˛ 2 C n R,
(x C ˛
x if a < x < a,
b) u.x/ D
0 in the rest:
sin ax
c) u.x/ D , a 2 R.
x 2 2
d) u.x/ D .x 2 C 1/ e a x , a > 0.
x
e) u.x/ D 2 , a 2 R.
x C a2
7. Determine the Fourier transform of
(
1; if a < x < a and b < y < b,
u.x; y/ D
0; in the rest:
8. Consider the Fourier Transform
Z
1
c.k/ D e i k
x
u.x/ d2 x:
2 R2

of a function u D u.x/ defined on the plane x 2 R2 .

a) Write the integral that defines c.k/ in terms of polar coordinates.
122) Chapter 4. Fourier Series and Fourier Transform [§4.5
b) Determine the Fourier transform of the function
(
y; if x is in the first quadrant and jxj < 1,
u.x; y/ D
0; in the remaining of R2 .
Hint: Take the x axis in the direction and orientation of the vector k
9. Determine the Fourier transform
Z
1
c.k/ D 3=2
e i k
x u.x/ d3 x:
.2/ R3
of the function
e ajxj
u.x/ D a > 0:
jxj
Hint: Use spherical coordinates and take the z axis in the direction and orientation of
the vector. k.
 5. Eigenfunction
Expansion Method

Contents
5.1 Eigenfunction Expansion Method (EEM) . . . . . . . . . . . . . . . . . . 123
5.2 EEM in Action . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
5.3 Fourier Transform and EEM . . . . . . . . . . . . . . . . . . . . . . . . . 138
5.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143

E
igenfunction expansions are used to extend variable separation techniques to situa-
tions that go beyond homogeneous problems. Hence, we will treat the separation of
variables as a problem of eigenvalues and eigenfunctions. The associated differential
operator must be symmetric, and therefore the set of its eigenfunctions must be an
orthogonal set, which leads to the consideration of expansions with respect to this set of eigen-
functions. This will allow us to apply the SVM in inhomogeneous problems using expansions
in the associated eigenfunctions. The idea is to present a variety of examples that cover a wide
spectrum of situations but do not require the use of coordinates other than Cartesian coordi-
nates, the latter problems that we will deal with these techniques in the last chapter uses special
functions that we will introduce in the next chapter.

§5.1. Eigenfunction Expansion Method (EEM)

E
igenfunction expansion method is a classical tool in solving boundary and/or initial
value problems of linear type. It is applied, as we have explained, in situations where
the equations are inhomogeneous and is based on the use of expansions in complete
sets of eigenfunctions of one of the operators appearing in the corresponding PDE.

5.1.1. EEM and inhomogeneous problems EEM can be applied to inhomogeneous

problems of the type
8̂
< Au C Bu D f; x 2 ;
ai .u/ D gi ; i D 1; : : : ; r
:̂ b .u/ D 0; j D 1; : : : ; s:
j

where x D .x0 ; x/ with x D .x1 ; : : : ; xn 1 / belong to a domain  D I  0

x0 2 I; x 2 0 ;
123
124) Chapter 5. Eigenfunction Expansion Method [§5.1
being I an open interval of R and 0 an open set of Rn 1 . The PDE and the boundary and/or
initial conditions must satisfy:

EEM: Prepared Problems

1. The PDE has the form

 @   @ @ 
(11) A x0 I u C B x1 ; : : : ; xn 1 I ;:::; u D f .x/:
@x0 @x1 @xn 1

2. The system of boundary and/or initial conditions consists of of two subsystems. One of
them is formed by conditions of inhomogeneous type
(12) ai .u/ D gi .x/; i D 1; : : : ; r;
wich contains operators ai that act only on the variable x0 , while the other is made up
of homogeneous conditions
bj .u/ D 0; j D 1; : : : ; s;
such that operators bj act only on the variables .x1 ; : : : ; xn 1 /.
3. The inhomogenous termsf and gi of the problem admit expansions of the form
( P
f .x/ D m fm .x0 /wm .x/;
P
gi .x/ D m ci m wm .x/; i D 1; : : : ; r;
in a set of eigenfunctions of the operator B
Bwm D m wm ;
that satisfy homogeneous boundary conditions
bj .wm / D 0; j D 1; : : : ; s:

The third of the above conditions is the most demanding. The typical case in which it is
fulfilled is when the operator B symmetric on the domain
(13) D D fw 2 C 1 .0 / W bj .w/ D 0; j D 1; : : : ; sg;
in the space L2 .0 /. This is the reason for the importance of symmetric operators in linear
PDE theory. Assuming that all three conditions are met, the EEM is implemented through the
following process:

EEM I

A solution of the problem is sought in the form of a series expansion in eigenfunctions

X
u.x/ D vm .x0 /wm .x/:
m
The unknowns are then the coefficients vm .x0 / of the series.
§5.1] Eigenfunction Expansion Method (EEM) (125

EEM II

Since the A operator only acts on the x0 variable and is a linear operator, it is to be expected
under favorable regularity conditions that
X  X
Au.x/ D A vm .x0 /wm .x/ D .Avm /.x0 /wm .x/:
m m
In the same manner, the linear operator B only acts on the variables x1 ; : : : ; xn 1 and it is to
be expected under favorable regularity conditions that
X  X X
Bu.x/ D B vm .x0 /wm .x/ D vm .x0 /.Bwm /.x/ D vm .x0 /m wm .x/;
m m m
where we have used that Bwm D m wm . If we also use the expansion
X
f .x/ D fm .x0 /wm .x/
m
the PDE is reduced to
X X X
.Avm /.x0 /wm .x/ C m vm .x0 /wm .x/ D fm .x0 /wm .x/:
m m m
Identifying now the coefficients of the functions wm .x/ you get
(14) Avm C m vm D fm :
Each coefficient vm will then be a solution to this ODE.

EEM III

To sought for a solution u.x/ fulfilling the conditions

(
ai .u/ D gi ; i D 1; : : : ; r;
bj .u/ D 0; j D 1; : : : ; s;
we proceed in a similar way. Firstly, as the boundary operators ai only act on the variable x0
X  X
ai .u/ D ai vm .x0 /wm .x/ D ai .vm /wm .x/;
m m
so using the expansions of the functions gi
X
gi .x/ D ci m wm .x/;
m
conditions ai .u/ D gi are expressed as
X X
ai .vm /wm .x/ D ci m wm .x/:
m m
Identifying the coefficients of the functions wbm .x/ we obtain that each coefficient vm , besides
being a solution of the ODE(14) must satisfy the conditions.
(15) ai .vm / D ci m i D 1; : : : ; r:
 126) Chapter 5. Eigenfunction Expansion Method [§5.1

 Observations:
1. It should be noted that the conditions bj .u/ D 0 are fulfilled automatically since
X  X
bj .u/ D bj vm .x0 /wm .x/ D vm .x0 /bj .wm /.x// D 0;
m m

where we have used the fact that, by the definition of eigenfunctions wbm .x//, we have
bj .wm / D 0 for j D 1; : : : ; s.
2. The method that we have just seen admits a natural generalization to the case in which the
expansions in eigenfunctions of the data f and gi are generalized linear combinations of
eigenfunctions of the operator B, using integration operations such as Fourier transform.
In such situations a u solution is sought in the form of a expansion of the same type,
replaced in (11) and (12) and the coefficients in the expansion obtained are identified to
obtain equations analogous to (14) and (15).
3. The hypotheses about the existence of expansions of the functions f and gi in eigen-
functions of B are always fulfilled when the set eigenfunctions of B is complete, which
is true for broad classes of symmetric operators seen in the previous chapter.


€
Example: Let us consider the following problem with the Laplace’s equation on a rectangle

@2 u @2 u
C 2 D 0; 0 < x < a; 0 < y < b;
†
@x 2 @y
u.0; y/ D 0;
(16) u.a; y/ D 0;
x
u.x; 0/ D sin ;
a
u.x; b/ D 0:

This problem describes the stationary distribution of temperature on a plate Œ0; a  Œ0; b, with
all sides at zero temperature except one that has a sine type temperature distribution. The
spectral problem
€ 2
( wxx D  w;
wjxD0 D 0;
wjxDa D 0;

has as solution
n2  2 nx
n D ; wn .x/ D sin ; n D 1; 2; : : : :
a2 a
Applying the EEM we expand the solution as the sine Fourier series
X
1
nx
u.x; y/ D vn .y/ sin :
nD1
a

For inhomogeneities we only have the term sin x

a
and, consequently,we seek for our solution in
the form
x
u.x; y/ D v.y/ sin :
a
§5.1] Eigenfunction Expansion Method (EEM) (127
The function v is determined by
„ 2
v 00 D 2 v;
( a
vjyD0 D 1;
vjyDb D 0:
 
Hence, v.y/ D A e a y CB e ay where
(
A C B D 1;
 
A e a CB e a D 0:
b b
e a e a
The solution to this system is A D b
2 senh  a
; BD b
2 senh  a
so that the solution reads

senh a .b y/ 
u.x; y/ D sin x:
senh b
a
a

The graph for this temperature distribution on a plate with a D ; b D 2 is

u

x
y

Temperature u.x; y/ in the plate Œ0;   Œ0; 2

 128) Chapter 5. Eigenfunction Expansion Method [§5.2

§5.2. EEM in Action

O
ne of the most frequent situations in which EEM is used is in problems where evolution
equations appear together with a number of initial conditions, as many as the order of
the derivative in t , and a few boundary conditions.
1. The PDE is an evolution equation of the form
@r u  @ @ 
a r C B x1 ; : : : ; x n 1 I ;:::; u D f .x/:
@t @x1 @xn 1
con a 2 C.
2. The solution must meet r initial conditions
@i u
.t0 ; x/ D gi .x/; i D 0; : : : ; r 1:
@t i
as well as a set of s boundary conditions
bj .u/ D 0; j D 1; : : : ; s;
with operators bj that act only on variables .x1 ; : : : ; xn 1 /.
In this case the operator A is
@r u
Au D a ;
@t r
and the conditions ai .u/ D gi are
@i u
.t0 ; x/ D gi .x/; i D 1; : : : ; r:
@t i

 Examples:

˚
1. We now consider a problem of initial and boundary conditions for the Schrödinger
equation

i ¯u t D
¯2
uxx C V .x/u; x 2 .a; b/; t > 0;
€ u
ˇ
ˇ
2m
D g.x/;
( t D0
ˇ
uˇxDa D 0;
ˇ
uˇxDb D 0;

which describes the evolution of a quantum particle enclosed in the segment .a; b/ sub-
ject to the potential V .x/. Introducing the differential operator, known as the quantum
Hamiltonian,
¯2
H u WD uxx C V .x/u
2m
the Schrödinger equation is
i ¯u t C H u D 0:
§5.2] EEM in Action (129
The EEM is based in this case on the problem of eigenvalues

H w D w;
( ˇ
w ˇxDa D 0;
ˇ
w ˇxDb D 0:

Assuming that fn gnD1;2;::: is the set of eigenvalues with associated eigenfunctions fwn .x/n gnD1;2;:::
we seek for solutions
X
1
u.x/ D vn .t/wn .x/
nD1

that when introduced in the Schrödinger equation

1 
X 
d vn
i¯ .t/ C n vn .t/ wn .x/ D 0;
nD1
dt

leads to
d vn
i¯ .t/ C n vn .t/ D 0I
dt
whose solution is
n
vn .t/ D an e i ¯ t :

If we now assume that the initial condition has the expansion

X
1
g.x/ D cn wn .x/;
nD1

we conclude that an D cn and therefore the solution to our problem is

X
1
n
u.t; x/ D cn e i ¯ t wn .x/:
nD1

˚
We are going to specify this scheme with the following two examples:
Let us study now

¯2
i ¯u t D uxx ; x 2 .0; l/; t > 0;
‚ ˇ 2m  
uˇ t D0 D 2 sin x sin 3 x;
( ˇ l l
ˇ
u xD0 D 0;
ˇ
uˇxDl D 0:
130) Chapter 5. Eigenfunction Expansion Method [§5.2
That is, a free quantum particle confined in the .0; l/ segment. The eigenvalue
problem is
¯2
wxx D w;
2m
( ˇ
w ˇxD0 D 0;
ˇ
w ˇxDl D 0;
with eigenvalues
¯2 n2  2
n D ; n D 1; 2; : : :
2m l 2
and corresponding eigenfunctions given by
n
wn .x/ D sin x; n D 1; 2; : : : :
l
Therefore, the initial condition is expanded in eigenfunctions and thus we obtain
for the state of the particle
 ¯ 2  ¯ 9 2
u.t; x/ D 2 sin x e i 2m l 2 t sin 3 x e i 2m l 2 t
l l
Below we show the space-time graph for probability density
juj2

x
t

Probability density juj2 for l D 

§5.2] EEM in Action (131

˚
We continue with the free case although we change the Dirichlet boundary conditions
by periodic conditions. So the initial and boundary value problem to solve is
¯2
i ¯u t D uxx ; x 2 .0; l/; t > 0;
2m
ˇ 2 6
uˇ t D0 D 2 i 2 cos x C 7 sin x;
( ˇ ˇ l l
uˇxD0 D uˇxDl ;
ˇ ˇ
ux ˇxD0 D ux ˇxDl :

The problem of eigenvalues

¯2
wxx D w;
( ˇ 2m
ˇ
w ˇxD0 D w ˇxDl ;
ˇ ˇ
wx ˇxD0 D wx ˇxDl :

with eigenvalues (all double but for zero which is simple)

¯2 4n2  2
n D ; n D 0; 1; 2; : : :
2m l 2
and corresponding eigenfunctions given by
n 2 2 o
w0 .x/ D 1; wn.C/ .x/ D cos nx; wn. / .x/ D sin nx :
l l nD1;2;:::

In the initial condition the eigenfunctions only w0 , w1.C/ and w3. /

appear. Conse-
quently,
2 i ¯ 4 2 6 i ¯ 36 2
u.t; x/ D 2 i 2 cos xe 2m l 2 C7 sin xe 2m l 2 :
l l
2. We now analyze a problem of initial conditions for the heat equation with periodic
boundary conditions. The problem is
†
u t D uxx ; x 2 .0; l/; t > 0;
ˇ
u ˇ D l22 x 3 3l x 2 C x;
( t D0
ˇ ˇ
uˇxD0 D uˇxDl ;
ˇ ˇ
ux ˇ
xD0
D ux ˇ :xDl

We stop for a moment to discuss the consistency between the initial condition and
boundary conditions. If g.x/ D ax 3 C bx 2 C x and we demand that g.0/ D g.l/
and g 0 .0/ D g 0 .l/ lead us to the conditions
al 2 C bl C c D 0;
3al C 2b D 0;
132) Chapter 5. Eigenfunction Expansion Method [§5.2
which sets a uniparametric family of solutions a; b; c. A possible choice is given by our
initial condition. The problem of eigenvalues is

wxx D w;
( ˇ ˇ
w ˇxD0 D w ˇxDl ;
ˇ ˇ
wx ˇxD0 D wx ˇxDl :

which has as eigenvalues

2
n D n2 ! 2 ; !D
l
and eigenfunctions

wn .x/ D ei n!x :

To apply the EEM we have to determine the Fourier series

X Z
i n!x 1 l i n!x
g.x/ D cn e ; cn D g.x/ e d x:
l 0
n2Z

Since our g is a polynomial, we’ll use the integrals

‚ 1 m

Z l i l mIm 1;n n ¤ 0;
m i n!x n!
Im;n WD x e dx D
0 l mC1
n D 0:
mC1
In the first identity we have integrated by parts. It is easy to conclude that

(
‚l 2
‚l 3

0 n D 0; n D 0; n D 0;
I0;n D I1;n D 2 I2;n D 3
l n ¤ 0; l l2 2l
i n ¤ 0; i C 2 2 n ¤ 0;
n! n! n !
and
‚l 4
n D 0;
I3;n D 4
l3 3l 2 6l
i C 2 2 i n ¤ 0:
n! n ! n3 ! 3
Therefore, the Fourier series of the initial condition is
2 3 3 2 1 2 l4 3 l3 l2
x x Cx D C
l2 l l l"2 4 l 3 2 #
X 2  l3 3l 2 6l  3 l2 2l  l 
C i C i 3 3 i C 2 2 Ci ei n!x
l 2 n! n2 ! 2 n ! l n! n ! n!
n¤0

24 X 1
1
D 2 3 sin n!x:
l ! nD1 n3
§5.2] EEM in Action (133
P
1
We then look for a solution of the form u.t; x/ D vn .t/ sin n!x implying
nD1

vn0 D n vn ;
24 1
vn .0/ D 2 3 3
l ! n
and for this reason
24 1 n2 ! 2 t
vn .t/ D e :
l 2! 3
n3
Finally, the solution is

24 X 1
1
n2 ! 2 t
u.t; x/ D 2 3 e sin n!x:
l ! nD1 n3

Given the fast decay of the coefficients vn in n and t the graph is obtained with a
good degree of approximation with a partial sum of only few terms, next we show the
space-time representation of this evolution for l D 1 and a partial sum to 5 terms.

u
t

Temperature u.x; t / in a trend Œ0; 1 with times 0 < t < 0; 1

˚
3. We now study the wave equation and the problem

u D uxx ;
(t t
x 2 . 1; 1/; t > 0;
uj t D0 D x.x 2 1/;

( u t j tD0 D 0;
ujxD 1 D ujxD1 ;
ux jxD 1 D ux jxD1 :
134) Chapter 5. Eigenfunction Expansion Method [§5.2
The problem of finding eigenvalues is as in the previous
P cases. We went on to expand
x.x 2
1/ in Fourier series of exponentials x.x 2
1/ D cn e i nx
with
n2Z
Z 1
1
cn D x.x 2 1/ e i nx
dx
2 1

that after repeated integrations by parts leads us to

˚
0; n D 0;
cn D 6i
. 1/n 3 3 ; n ¤ 0:
n 
Therefore, the series is
X1
. 1/n
2
g.x/ WD x.x 1/ D 12 sin nx:
nD1
n3  3

Now, the eigenfunction expansion of the solution

X
1
u.t; x/ D vn .t/ sin nx
nD1

leads to
vn00 Dn2  2 v n ;
˚ . 1/n
vn .0/ D 12 3 3 ;
n 
vn0 .0/ D 0;

so that
. 1/n
vn .t/ D 12 cos n t
n3  3
and the solution is
X1
. 1/n
u.t; x/ D 12 cos n t sin nx:
nD1
n3  3

Recalling that cos n t sin nx D 12 Œsin n.x C t/ C sin n.x t/ we deduce

1 h X . 1/n X i
1 1
. 1/n
u.t; x/ D 12 3 3
sin n.x C t/ C 12 3 3
sin n.x t/ :
2 nD1
n nD1
n

Thus, we can write

gper .x C t/ C gper .x t/
u.t; x/ D
2
where gper is the periodic extension of g.x/ D x 3 x from Œ 1; 1 to R. So we have the
semi-sum of two traveling waves with opposite velocities v˙ D ˙1 and with the form of
the periodic extension of the initial condition of each one of them.
§5.2] EEM in Action (135
The space-time graph of these waves is

Semi-sum of traveling waves on Œ 1; 1 with periodic boundary conditions

5.2.1. Bonus: more general inhomogeneities Now, instead of a prepared problem we

confront with a more general problem in where again the system of boundary and/or initial
conditions consists of two subsystems. One of them, as before, is built up by conditions of
inhomogeneous type

ai .u/ D gi .x/; i D 1; : : : ; r;

which contains operators ai that act only on the variable x0 , while the other, and this is the
difference with the cases discussed above, is also made up of inhomogeneous conditions

(17) bj .u/ D hj .x/; x 2 I  S.0 / j D 1; : : : ; s;

such that operators bj act only on the variables .x1 ; : : : ; xn 1 /.

To be able to apply the EEM we require that these last boundary conditions must be equiv-
alent to
(18) .wm ; Bu/ D .Bwm ; u/ C Im .h/;
where the terms Im .h/ must have the form
Z X
Im .h/ D Cm;j hj d S;
S.0 / j
136) Chapter 5. Eigenfunction Expansion Method [§5.2
with Cm;j being linear operators acting of the boundary data hj that must be found for each
case. Then, (14) modifies to

Im .h/
(19) Avm C m vm C D fm :
kwm k2

To illustrate this procedure let’s assume that B D L with

1
Lu D . [Link]/ C qu/;


is a .n 1/-dimensional Sturm–Liouville operator, where ; p; q are real smooth functions in

0 and ; p > 0 in 0 . Such an Sturm–Liouville type operator satisfies the multidimensional
Lagrange’s identity (remember that we proved it for the 3D case)
Z   
@u @wN
.w; Lu/ D .Lw; u/ p.x/ wN u d S:
S.0 / @n @n

This operator will be symmetric in domains where the boundary terms in the Lagrange’s
identity cancel. For example, mixed conditions of Robin type
 @u ˇ  @u ˇ
ˇ ˇ
(20) b.u/ D p C u ˇ D0 or b.u/ D p Cu ˇ D0
@n S.0 / @n S.0 /

with  a smooth real function on the boundary, define a domain D D fw 2 C 1 .0 / W b.w/ D 0g
such that the Sturm–Liouville operator is symmetric in D (prove it). The first, for  D 0, delivers
the Neumann condition while the second condition for  D 0 reduces to the Dirichlet case. The
Lagrange’s identity is not only useful for the identification of domains of symmetricity of this
Sturm–Liouville operator but also to treat with the more general inhomogeneities. Indeed, if
(17) is determined by (20)

b.u/ D h

with h being a given function defined over I  S.0 /, then we get

.wm ; Lu/ D .Lwm ; u/ C Im .h/

with Im , in the first case, given by

Z   
@u @wN m
Im .h/ D p wN m u dS
@n @n
Z   
S.0 /
@u
D p C u wN m d S
@n
Z
S.0 /

D hwN m d S
S.0 /
§5.2] EEM in Action (137
and by
Z   
@u @wN m
Im .h/ D p.x/ wN m u dS
@n @n
Z    
S.0 /
@u @ wN m
D p Cu p dS
@n @n
Z
S.0 /
@ wN m
D hp d S;
S.0 / @n
for the second case.

€˚
Example: Let us study the temperature u.x; y; t/ of a square plate Œ0; 1  Œ0; 1 that fulfills 
u t D uxx C uyy ;
ˇ
t > 0; .x; y/ 2 Œ0; 1  Œ0; 1;
uˇ t D0 D xy;
„ ˇ
uˇxD0 D ˛yt;
ˇ
uˇxD1 D 0;
ˇ
uˇyD0 D ˇxt;
ˇ
uˇyD1 D 0;
with ˛; ˇ 2 R. Here L D  and the associated homogeneous boundary value problem is of
Dirichlet type. Therefore, we have a complete set of eigenfunctions
wm D sin.m1 x/ sin.m2 y/; m D .m1 ; m2 / 2 N2
with corresponding eigenvalues
m D  2 .m21 C m22 /; m1 ; m2 D 1; 2; : : : :
We notice that kwm k D 2. The initial condition has the following expansion, a 2D sine Fourier
series, indeed,
X
1
. 1/m1 Cm2
xy D 2m m
sin.m1 x/ sin.m2 y/;
m1 ;m2 D1
4 1 2

where we have used the Euler’s formula for the Fourier coefficients
X 1 Z
wm .x; y/
xy D cm wm ; cm D xy 2
d x d y:
m1 ;m2 D1 Œ0;1 2 kw m k
Let us deal now with the new inhomogeneities, that appear in the two boundary conditions
of Dirichlet type if the inhomogeneity is removed. Hence, we are required to compute
Z
@wm
Im .h/ D h dl
€ @n
where € is the boundary of the unit square, that is transversed anticlockwise. The inhomo-
geneities are not zero only in two segments of this border, €1 , that corresponds to y D 0 and €4
138) Chapter 5. Eigenfunction Expansion Method [§5.3
that corresponds to x D 0. The unit normal vectors are j in €1 and i in €4 . Consequently,
as


rwm D m1  cos.m1 x/ sin.m2 y/; m2  sin.m1 x/ cos.m2 y/
we have
(
@wm m2  sin.m1 x/; in €1 ,
D
@n m1  sin.m2 y/; in €4 .

Thus,
Z 1 Z 1
Im D ˇ m2  sin.m1 x/xt d x C ˛ m1  sin.m2 y/yt d y
 0
 0
m1 m2 m2 m1
D . 1/ ˇ C . 1/ ˛ t:
m1 m2
The ODE satisfied by vm is
€dv m

m2 m1
t
C  2 .m21 C m22 /vm . 1/m1 m ˇ C . 1/m2 m ˛ D 0;
dt m1 Cm2
1 2
4
. 1/
vm .0/ D ;
4 2 m1 m2
whose solution is
 
. 1/m1 Cm2  m1 m2 m2 m1
 1  2 .m21 Cm22 /t
vm .t / D C . 1/ ˇ C . 1/ ˛ 2 2
e
4 2 m1 m2 m1 m2  4 .m1 C m2 /2
 m2 m1  1  2 .m21 C m22 /t
. 1/m1 ˇ C . 1/m2 ˛ :
m1 m2  4 .m21 C m22 /2
P
Finally, the temperature u.x; y; t/ of the plate will be u D vm .t/wm .x; y/.
m2N2

§5.3. Fourier Transform and EEM

U
nbounded domains problems are incorporated within EEM using the Fourier transform
(FT). For example, when we have two independent variables .x0 ; x1 / the FT is used
with respect to the variable x1 whenever the following circumstances occur
1. The PDE is of constant coefficients.
2. The variable x1 varies over the whole line 1 < x1 < 1.
3. There are no boundary conditions with respect to the variable x1 or they are of the type
limx1 !˙1 u D 0.
In such cases, the inhomogeneous terms of the problem are expanded through its Fourier
transformation and a solution expansion in the same way is sought for the unknown solution.
A situation of this type appears for problems of initial conditions with a time variable and a
spatial variable .x0 ; x1 / D .t; x/, which belong to unbounded domains.
§5.3] Fourier Transform and EEM (139

Unbounded Problem. I: Fourier Transform Strategy

„
To solve an initial value problem of the form

€
@N u PM @n u
C a n D f; t > 0; 1 < x < 1;
@t N nD0 @x n
ˇ
uˇ t D0 D g1 .x/;
@u ˇˇ
(21) ˇ D g2 .x/;
@t t D0
::
:
@N 1 u ˇˇ
ˇ D gN .x/
@t N 1 t D0
we expand the inhomogeneous terms in the form
Z 1 Z 1
1 i kx 1
(22) gn .x/ D p cn .k/ e d k; f .t; x/ D p c.t; k/ ei kx d k
2 1 2 1
where cn and c are the Fourier transforms of gn and f , respectively,
Z 1 Z 1
1 i kx 1
cn .k/ D p gn .x/ e d x D [Link] /; c.t; k/ D p f .t; x/ e i kx d x D F.f .t;
//:
2 1 2 1
We then seek for a solution with the same form
Z 1
1
(23) u.t; x/ D p v.t; k/ ei kx d k;
2 1
where v is the Fourier transform of u with respect to the variable x
Z 1
1
v.t; k/ D p u.t; x/ e i kx d x D F.u.t;
//:
2 1

Unbounded Problem. II: The Problem for the FT

Substituting this expression in the equations of the problem (21) and identifying coefficients in

„
the exponentials ei kx we find the following N -th order ODE for v.t; k/ with respect to t, with
N initial conditions

€
@N v.t; k/
@t N
ˇ
C
PM

nD0

v ˇ tD0 D c1 .k/;
an .i k/n v.t; k/ D c.t; k/; t > 0;

@v ˇˇ
(24) ˇ D c2 .k/;
@t t D0
::
:
@N 1 v ˇˇ
ˇ D cN .k/:
@t N 1 t D0
 140) Chapter 5. Eigenfunction Expansion Method [§5.3

Unbounded Problem. III: The FT Solution

The solution to this problem is of the form

X
N
v.t; k/ D v0 .t; k/ C en .t; k/ cn .k/;
nD1
where v0 .t; k/ is solution of the PDE (24) with homogeneous initial conditions, and en .t; k/ is
a solution of the PDE resulting from the elimination of the inhomogeneous terms in (24), and
assuming that its n-th t derivative evaluated t D 0 equals 1 and the remaining derivatives are
taken as 0. In this way the solution found is
Z 1
1
u.t; x/ D p v.t; k/ ei kx d k
2 1

XN Z 1
1
D u0 .t; x/ C p en .t; k/ cn .k/ ei kx d k;
nD1 2 1

where
Z 1
1
u0 .t; x/ D p v0 .t; k/ ei kx d k D F 1 .v0 .t;
//;
2 1
is the inverse FT of v0 .t; k/. Thus, if we know the inverse FT of the functions en .t; k/
Z 1
1
Gn .t; x/ D p en .t; k/ ei kx d k D F 1 .en .t;
//;
2 1
then
XN   1 X
N
1
u.t; x/ D u0 .t; x/ C F [Link] /
[Link] / D u0 .t; x/ C p Gn .t; x/  gn .x/;
nD1 2 nD1
and we can write the solution (21) in the following form
XN Z 1
1
(25) u.t; x/ D u0 .t; x/ C p Gn .t; x y/gn .y/ d y:
nD1 2 1

 Observation: The method that we have just described really follows the EEM strategy
because what we do basically is to expand with respect to a set of eigenfunctions. fwk .x/ D
PM @n u
ei kx gk2R , now a continuous set, of the operator with constant coefficients B D an n .
nD1 @x

 Examples:

1. We apply these ideas to the heat equation

˚ @u @2 u
2
Da ;
@tˇ @x 2
uˇ t D0 D f .x/;
§5.3] Fourier Transform and EEM (141
with t > 0 and 1 < x < 1. We expand
Z 1
1
f .x/ D p c.k/ ei kx d k; c.k/ D F.f /;
2 1
and look for a solution in the form
Z 1
1
u.t; x/ D p v.t; k/ ei kx d k; v.t; k/ D F.u.t;
//:
2 1

Substituting in the equation and identifying coefficients in the exponentials ei kx we get

@ v.t; k/
D a2 k 2 v.t; k/;
@tˇ
v ˇ t D0 D c.k/:
The solution to this problem is
a2 t k 2
v.t; k/ D e.t; k/ c.k/; siendo e.t; k/ D e
and, since we know the inverse FT of e.t; k/, i.e.,
r
2 2 1 x2
F 1 .e a t k / D e 4a2 t ;
2 t a2
we can write the solution in the following way
Z 1
1 .x y/2
u.t; x/ D p e 4a2 t f .y/ d y:
2a  t 1
It is possible to generalize this result to the multidimensional case
(
u t D a2 u; t > 0; x D .x1 ; : : : ; xn / 2 Rn ;
ˇ
uˇ t D0 D f .x/:

The EEM leads to the solution

Z
1 jx yj2
u.t; x/ D p e 4a2 t f .y/ dn y:
.2a  t/n Rn

2. We apply the FT to the free Schrödinger equation. The above results on the heat equation
can be applied to deduce analogous formulas for free Schrödinger equation solutions in
any dimension
˚ ¯2
i ¯u t D u; t > 0; x D .x1 ; : : : ; xn / 2 Rn ;
2m
uj t D0 D f .x/:
Note that this initial condition problem for the Schrödinger equation is obtained from
the heat equation by taking
¯
a2 D i :
2m
142) Chapter 5. Eigenfunction Expansion Method [§5.3
Therefore, making that identification of parameter a we deduce the following expression
of the solution
 m  n2 Z mjx yj2
u.t; x/ D ei 2¯t f .y/ dn y:
2 i ¯t Rn
§5.4] Exercises (143

§5.4. Exercises

5.4.1. Exercises with solutions

1. For the quantum harmonic oscillator in one dimension solve the following initial and
boundary value problem
€ i ¯u D 2m¯ 2
uxx C 12 kx 2 u; 1 < x < 1; t > 0;
t
uj tD0 D g.x/;
limx!˙1 u D 0:
Solution: The eigenvalue equation is
¯2 1
wxx C kx 2 w D w; 1 < x < 1;
2m 2
lim u D 0:
x!˙1

That bears the name of Weber, who was the first to study it in 1869. Using the variables
mk p4 2m
K WD ; X WD Kx; ƒ WD p 
¯ ¯ K
we can write the eigenvalue problem as
wXX C X 2 w D ƒw;
which is the well-known Hermite equation that we will deal with in the next chapter. The
conditions at infinity lead to the eigenvalues
ƒn D 2n C 1; n D 0; 1; 2; : : : ;
and corresponding eigenfunctions
X2
wn .X/ D Hn .X/ e 2 ;
with Hn .X/, n D 0; 1; : : : the Hermite polynomials that we will treat in detail in the
following chapter conform an orthogonal basis fHn .x/g1nD0 en L .R/, We can write the
2

eigenvalues as
r
k
n D ¯ .2n C 1/
2m
with eigenfunctions, known as Hermite or Hermite–Weber functions
sp !
p
mk mk 2
wn .x/ D Hn x e 2¯ x ;
¯

for n D 0; 1; : : : . Hence, if g.x/ 2 L2 .R/ we have the expansion

X
1
g.x/ D cn wn .x/
nD0
144) Chapter 5. Eigenfunction Expansion Method [§5.4
and the solution will be
X
1
n
u.t; x/ D cn e i ¯ t wn .x/:
nD0
p
If we put mk¯ D 1 the functions known as Weber or cylindrical-parabolic functions
are obtained
n
p
12 x2
n .x/ D 2 nŠ  e 2 Hn .x/;
that make up an orthonormal basis of Hilbert space L2 .R/.
2. Using the FT solve for the wave equation on the real straight line the following initial
value problem
€u
( t t D uxx ; t > 0; 1 < x < 1;
uj t D0 D f .x/;
u t j tD0 D g.x/:
How is this method linked to the d’Alambert formula?
Solution: We can apply the EEM using the eigenfunction fei kx gk2R to the spectral
problem
wxx D k 2 w; x 2 R:
Therefore, we write for the solution sought
Z
1
u.t; x/ D p v.t; k/ ei kx d k:
2 R
Introducing this expression in the wave equation we obtain
Z
.v t t .k; t/ C k 2 v.k; t// ei kx d k D 0:
R
For this reason, we impose
v t t .k; t/ C k 2 v.k; t/ D 0
whose general solution is

v.k; t/ D A.k/ ei k t CB.k/ e i kt

:
We conclude that the EEM leads to a solution of the form
Z
1

u.t; x/ D p A.k/ ei [Link] / CB.k/ ei k.x t / d k;
2 ZR
1

u t .t; x/ D p i k A.k/ ei [Link] / B.k/ ei k.x t / d k;
2 R
that at t D 0 reduces to
Z Z
1 i kx 1
f .x/ D p A.k/ C B.k// e d k; g.x/ D p i k A.k/ B.k// ei kx d k;
2 R 2 R
§5.4] Exercises (145
Therefore, for the FT of the initial data
Z Z
O 1 1
f .k/ D p f .x/ e i kx d k; O
g.k/ Dp g.x/ e i kx
d k;
2 R 2 R

we obtain

fO.k/ D A.k/ C B.k/; O

g.k/ D i k A.k/ B.k//;

which is solved immediately

1 O O
g.k/  1 O O
g.k/ 
A.k/ D f .k/ C ; B.k/ D f .k/ :
2 ik 2 ik
So, finally, we can write the solution in terms of the Fourier transforms of the initial data
as follows
 Z Z 
1 1 O i [Link] / 1 O i k.x t /
u.t; x/ D p f .k/ e dk C p f .k/ e dk
2 2 R 2 R
 Z Z 
1 1 ei [Link] / 1 ei k.x t /
C p O
g.k/ dk p O
g.k/ dk :
2 2 R ik 2 R ik

The formula
Z x˙t
ei k.x˙t/ 1
D C ei ks d s
ik ik 0

allows us to express this as follows

 Z Z  Z xCt Z
1 1 O 1 1
u.t; x/ D p f .k/ ei [Link] /
d k C fO.k/ ei k.x t/
dk C p O
g.k/ ei ks d k:
2 2 R R 2 x t 2 R

where we immediately recognize, using the inverse FT, the d’Alambert formula
Z
f .x C t/ C f .x t/ 1 xCt
u.t; x/ D C g.s/ d s:
2 2 x t

˚
3. Using the EEM, solve the problem of initial and boundary conditions for the heat equa-
tion in an infinite plate of width L as follows

u t D uxx C uyy ; ( .x; y/ 2 R  .0; L/; t > 0:

y
sin ; x 2 Œ 1; 1;
uj t D0 .x; y/ D g.x; y/ D L
0; x 62 Œ 1; 1;
(
ujyD0 D 0;
ujyDL D 0:
146) Chapter 5. Eigenfunction Expansion Method [§5.4
Solution: The associated spectral problem is
.wxx C wyy / D w;  D k12 C k22 ;
(
wjyD0 D 0;
wjyDL D 0:
Which, in turn, is a homogeneous boundary value problem, for the two-dimensional
Helmholtz equation, in which we can separate variables into Cartesian coordinates.
Thus, the solutions are written as



w.x; y/ D a1 ei k1 x Cb1 e i k1 x a2 ei k2 y Cb2 e i k2 y :
The boundary conditions give
    
1 1 a2 0
D :
ei k 2 L e i k 2 L b2 0

Non-zero solutions of this system exist as long as k2 D n , n D 1; 2 : : : . Therefore, the
L
eigenvalues will be
n 2 o
k 2 C n2 2
L k2R;n2N
with corresponding eigenfunction given by
n 1 o
p ei kx sin ny
2 k2R;n2N

Note that there is a continuous set of eigenvalues, since we have no boundary conditions
in the variable x. The solution will be expressed according to the EEM as follows
X1 Z
1 ny
u.t; x; y/ D p vn .k; t/ ei kx sin dk
nD1 2 R L
Inserting this expression in the PDE delivers the following ODE for vn .k; t/
@vn n2  2

.t; k/ C k 2 C vn .t; k/ D 0
@t L2
whose solution is
22
.k 2 C n /t
vn .k; t/ D an .k/ e L2 :
To find out which eigenfunction are involved in this expansion, we analyze the corre-
sponding expansions of the inhomogeneities. In this case ˚ 1it isi kx
only the function g.x; y/,
whose form indicates that can be expressed in terms of 2 e sin y k2R only. Hence
p

 1 Z  Z 1 r
y 1 2 sin k
g.x; y/ D p c.k/ ei kx d k sin ; c.k/ D p e i kx d x D :
2 R L 2 1  k
This is,
 Z sin k  y
g.x; y/ D ei kx d k sin ;
R k L
§5.4] Exercises (147
that leads to
Z
2
t  k 2 t Ci kx sin k
u.t; x; y/ D e L2 I.t; x/ sin y; I.t; x/ WD e d k:
L R k
We now evaluate I.t; x/ that we write in the form
Z  ei k.xC1/ ei k.x 1/ 
1 2
I.t; x/ D e k t d k;
2 R ik
and recalling that
Z x˙1
ei k.x˙1/ 1
D C ei ks d s
ik ik 0
it is expressed as follows
Z xC1  Z 
1 1 2
I.t; x/ D p p e k t ei ks d k d s:
2 x 1 2 R
Now, as we have already calculated, the inverse FT of a Gaussian is another Gaussian,
i.e.
Z
1 2 1 s2
p e k t ei ks d k D p e 4t
2 R 2t
which implies
Z xC1
1 1 s2 s
I.t; x/ D p p e 4t d s change of variable p D 
 x 1 2 t 2 t
Z xC1p
1 2 t 2
Dp e  d :
 xp1
2 t

In terms of the error function

Z x
2 2
(26) erf.x/ WD p e d ;
 0

we can express it as follows

1 x C 1  x 1 
I.t; x/ D erf p erf p :
2 2 t 2 t
In short, we have proven that the solution to the problem is
 x C 1  x 1 
1  22 t 
u.t; x; y/ D e L erf p erf p sin y:
2 2 t 2 t L
Notice that for x > 0 the error function has the following asymptotic behavior
1 2
  1 
erf x D 1 C p e x 1 O 2 ; x ! 1;
x x
and also that is an odd function
erf x D erf. x/:
148) Chapter 5. Eigenfunction Expansion Method [§5.4
Therefore,
 x C 1 x  (
1 1 1; x 2 Œ 1; 1;
lim erf p erf p D
t !0C 2 2 t 2 t 0; x 62 Œ 1; 1:
and the initial condition is recovered lim t !0C u.t; x; y/ D g.x; y/.
4. Using the Fourier transform, find the solution to the following initial value problem for
the heat equation on the straight line
(
u t D uxx ; t > 0; 1 < x < 1;
jxj
uj t D0 D g.x/ WD x e :

Solution: Using the FT, as EEM, we obtain

Z
c.k/ e k t Ci kx d k;
2
u.t; x/ D
R

where we have used the FT c.k/ of the initial data g.x/

1 Z 0 Z 1 
.1 i k/x .1Ci k/x
c.k/ D F.g/ D i Dk F D i Dk e dx C e dx
2 1 0
1  1 1  2ik
D i Dk C D :
2 1 ik 1 C ik 1 C k2
Therefore, the requested solution is
Z
k k 2 t Ci kx
u.t; x/ D 2 i e d k:
R 1 C k2
Since the integral is difficult to calculate, we approach its computation with another
strategy, also based on the Fourier transform, which allows you to express the solution
in the following way
Z
1 .x s/2
u.t; x/ D p s e jsj e 4t d s:
2 t R
To analyze this integral we write it as follows
Z 1
1 s .x s/2
u.t; x/ D F .t; x/ F .t; x/; F .t; x/ WD p se 4t d s:
2 t 0

Relationships
.x s/2 d .x s/2
 d  .x s/2
.x s/ e 4t D 2t e 4t D 2t 1 C es e s
e 4t ;
ds ds
imply
 d  .x s/2 .x s/2
s s
x 2t 2t e 4t Dse 4t ;
ds
§5.4] Exercises (149
and we deduce

Z 1
1 d  s .x s/2
F .t; x/ D p x 2t 2t e 4t ds
2 t 0 ds
 Z 1 ˇsD1 
1 .x s/2 .x s/2 ˇ
D p .x 2t/ e s 4t d s 2t e s 4t ˇ
2 t sD0
r
0
Z 1
x 2t .x s/2 t x2
D p e s 4t d s C e 4t :
2 t 0 

Performing the variable change

x s p p p .x s/2
 WD p C t; s D 2 t C x 2t; d s D 2 t d ; 2 .t x/ D C s;
2 t 4t

we get, in terms of the error function and its complementary erfc.z/ WD 1 erf.z/, the
following

Z 1 Z 1
s .x s/2 p 2
e 4t d s D 2 t et x
e d
x p2t
0
2 t
p  x 2t  p   x 2t 
D  t et x
erfc p D  t et x
1 erf p :
2 t 2 t

So,

x 2t  x 2t 
t x
F .t; x/ D e erfc p
2 2 t

and, finally, we can express the solution as follows

x 2t  x 2t  x C 2t t Cx  x C 2t 
u.t; x/ D et x
erfc p C e erfc p :
2 2 t 2 2 t

(
x e x; x>0
Given that lim erfc.x/ D 0 and lim erfc.x/ D 2 we have lim u.t; x/ D
x!1 x! 1 t !0C x ex ; x < 0;
and we recover the initial temperature data.
150) Chapter 5. Eigenfunction Expansion Method [§5.4

˚
5. Solve, by EEM, for the vibrating string the following boundary and initial value problem
u t t D uxx ;
( t > 0; 1 < x < 1;
uj t D0 D sin x;
uj D jxj;
( t t D0
ujxD 1 D ujxD1 ;
ux jxD 1 D ux jxD1 :

Solution: In order to apply the EEM we must solve the following eigenvalue problem
wxx D w; x 2 Œ 1; 1
(
wjxD 1 D wjxD1 ;
wx jxD 1 D wx jxD1 :
The corresponding eigenvalues are n D n2  2 with eigenfunctions given by
f1; cos nx; sin nxg1
nD1 :

The eigenfunction expansion of the solution is u.t; x/ is

X
1
u.t; x/ D v0 .t/ C .vn .t/ cos nx C vQ n .t/ sin nx/:
nD1

By introducing this expression into the wave equation and decoupling the different modes
we get
v0;t t D 0;
vn;t t C n  2 vn D 0;
2

vQ n;t t C n2  2 vQ n D 0;
§5.4] Exercises (151
that leads to
€ v .t/ D A C B0 t;
0 0
vn .t/ D An cos n t C Bn sin n t; n D 1; 2; : : : ;
vQ n .t/ D AQn cos n t C BQ n sin n t; n D 1; 2; : : : :

We must now expand the initial conditions. As uj t D0 D f .x/ WD sin x is already

expanded it is enough to calculate the Fourier series of u t j t D0 D g.x/ WD jxj. Being the
function g.x/ even in Œ 1; 1 its expansion is reduced to a Fourier series in cosines. The
corresponding coefficients will be
€ R1
a0 D 2 0 x d x D 1; (
R1 0; if n is even,
an D 2 0 x cos nx dx D 4
 2 n2
; if n is odd.

Then, in the eigenfunction expansion of u.t; x/ should only appear

1; sin x; cos x; cos 3x; cos 5x; : : :

and, therefore, the only non-zero coefficients are v0 ; v1 ; v3 ; v5 ; : : : and vQ 1 . Because all
these we have
€A D v0 .0/ D 0;
€B D v00 .0/ D 21 ;
0 0
0 4
A2nC1 D v2nC1 D 0; ; .2n C 1/B2nC1 D v2nC1 .0/ D .2nC1/2
;
AQ1 D vQ 1 .0/ D 1  BQ 1 D vQ 1 D 0;
0

with n D 0; 1; : : : . Hence, we conclude that the Fourier series for the sought solution is

4 X
1
t 1


u.t; x/ D C cos  t sin x sin .2n C 1/ t cos .2n C 1/x :
2  3 nD0 .2n C 1/3

This solution can be interpreted as follows. First of all, using the addition formulas
of the trigonometric functions we write it as follows

1 4 X  
1
1
u.t; x/ D sin .x t/ C sin .x C t/ C t sin .2n C 1/.x C t/
2  3 nD0 .2n C 1/3
4 X
1
1

C 3 sin .2n C 1/.x t/
 nD0 .2n C 1/3

According to Dirichlet’s theorem, the Fourier series

4 X
1
1 1
cos.2n C 1/x
2  nD0 .2n C 1/2
2
 152) Chapter 5. Eigenfunction Expansion Method [§5.4
converge pointwise, for all x 2 R to the periodic extension gper .x/ of g.x/ D jxj, x 2
Œ 1; 1. As the jxj function is continuous and of bounded variation1 this Fourier series
on sines and cosines converge uniformly. Therefore, it is possible to derive and integrate
term by term

Z
4 X
x 1
x 1
gper .s/ d s D sin.2n C 1/x:
0 2  nD0 .2n C 1/3
3

Therefore, the Fourier expansion obtained for the solution corresponds to d’Alambert’s
formula

Z
1 xCt 
u.t; x/ D fper .x C t/ C fper .x t/ C gper .s/ d s :
2 x t

R x Next we show the graphs of the truncations of the series of Fourier of gper .x/ and of
0 gper .s/ d s
1 term
y 2 terms y
3 terms
6 terms
101 terms

7 5 3 1 1 3x 5
      

1 term
7 5 3 1 1 3x 5 2 terms
       200 terms
Rx
Œjxjper : truncations of the sine and cosine 0 Œjsjper d s: truncations of the sine and
Fourier series cosine Fourier series
We also show a space-time graph of the solution of the d’Alambert solution and
another of the truncation to ten terms of the corresponding Fourier series.


1It x; 0 < x < 1;
is the difference of two non-decreasing functions jxj D u2 .x/ u1 .x/, where u2 .x/ D
 0; 1 < x < 0;
0; 0 < x < 1;
and u2 .x/ D
x; 1 < x < 0;
§5.4] Exercises (153

˚
6. Applying the EEM solve the following initial and boundary value problem for the vi-
brating string

( t t D uxx ;
u t > 0; 0 < x < 2;
uj t D0 D x.x 2/;
ˇ
u t ˇ t D0 D 0;
(
ujxD0 D 0;
ujxD2 D 0:

Solution: To apply the EEM we must find the solution of

wxx D w;
(
wjxD0 D 0;
wjxD2 D 0;

2
which, as we know, has as its eigenvalues n D n4 with eigenfunctions wn .x/ D sin nx 2
,
n D 1; 2; : : : . We must now expand the initial conditions uj t D0 D f .x/ WD x.x 2/
and u t j t D0 D g.x/ D 0 in terms of these eigenfunctions. Therefore, it is necessary to
compute the sine Fourier series of f .x/ and g.x/. For the Fourier expansion of f .x/,
154) Chapter 5. Eigenfunction Expansion Method [§5.4
which is the only non-trivial case, we have

Z (
X
1
nx 1 2
nx 0; n is even,
f .x/ D bn sin ; bn WD x.x 2/ sin dx D 32
nD1
2  0 2 n2  3
; n is odd.

The eigenfunction expansion of the solution is

X
1
nx
u.t; x/ WD vn .t/ sin ;
nD1
2

where vn .t/ solves

(
2
n vn .0/ D bn ;
vn00 .t/ C vn .t/ D 0; 0
4 vn .0/ D 0:

So that

nt
vn .t/ D bn cos ;
2

and we conclude that

32 X 1 nt nx
u.t; x/ D 3
cos sin :
 n is odd n 2 2

As in previous exercises, the use of trigonometric addition formulas leads to

 
1 32 X 1 n.x t/ 32 X 1 n.x C t/
u.t; x/ D sin C sin :
2  n is odd n3 2  n is odd n3 2

Hence, given the Fourier series expansion of fodd .x/, we get the d’Alambert formula

fodd .x t/ C fodd .x C t/
u.t; x/ D :
2
§5.4] Exercises (155

u
t

Waves in Œ0; 2 with Dirichlet boundary type conditions

7. Solve by Fourier Transform the initial value problem

(
u t C ux uxx D 0; t > 0; 1 < x < 1;
2
u.x; 0/ D e x ;

1
R1 x2 1 k2
Hint: 2 1 e e i kx
dx D p
2 
e 4 .
@ @2
Solution: The functions ei kx are eigenfunctions of B D with eigenvalues
@x @x 2
 D i k C k 2 . Hence, we seek for a solution in the form
Z
2
u.x; t/ D c.k/ e .i kCk /t ei kx d k;
R

where
Z
1 x2 i kx 1 k2
c.k/ D e e dx D p e 4 :
2 R 2 
Thus
Z
1 k 2 .tC 14 / i k.t x/ d k
u.t; x/ D p e e ;
2  R

that with the change of variables

r
1
X D k; KDt x; aD tC ;
4
156) Chapter 5. Eigenfunction Expansion Method [§5.4
gives
Z
1 a2 X 2 i KX
u.t:x/ D p e e ;
2  R

which implies that

1 .t x/2
u.t; x/ D p e 1C4t :
1 C 4t
This equation is the heat equation to which a convectional or drag term has been
added, which accounts for a forced drag, for some reason, of the heat flow. The space-
time graph is shown below, where the drag-out together with the typical dissipation of
calorific phenomena can be appreciated.

Temperature space-time graph

8. Using the EEM determine the solution of the following boundary and initial value prob-
lem for the heat equation
†
u t D uxx ; t > 0; 1 < x < 1;
uj t D0 D x 2 sin x;
(
ujxD 1 D 0;
ujxD1 D 0:

Hint:
Z (
sin.a b/x
C [Link]/x ; a¤b
sin ax sin bx d x D x
2.a b/
sin 2ax
[Link]/

4 2a
; a D b:
§5.4] Exercises (157
Solution: The application of the EEM in this case requires the resolution of the
d2 u
following eigenvalue problem: D u with u. 1/ D u.1/ D 0. This Dirichlet prob-
2 2
d x2
lem has as eigenvalues n D n 4 and corresponding eigenfunctions wn .x/ D sin n.xC1/
2
.
Therefore, we look for the solution u.x; t/ in the form of a sine Fourier series

X
1
n.x C 1/
u.x; t/ D vn .t/ sin :
nD1
2

n2  2 t
Hence, vn .t/ must fulfill v 0 D v so that v.t/ D c e 4 and the expansion is

X
1
n2  2 t n.x C 1/
u.x; t/ D cn e 4 sin :
nD1
2

The coefficients cn are the Fourier coefficients of the initial condition. Thus, we have

Z 1
n.x C 1/
cn D x sin x sin d x:
1 2

Expanding the last factor of the integrand and analyzing the parity of the resulting
integrands we conclude that

(
0; n is odd,
cn D R1
. 1/m 1 x 2 sin x sin mx d x; n D 2m,

Integrating twice in parts, with the help of the hint provided, we conclude that

€ 0; n is odd;
2 2 3
cn D 6 2
; n D 2;
8
.m2 1/2  2
; n D 2m; m > 1:

This is how we get the final result

2 2 3 X
1
8
 2t m2  2 t
u.t; x/ D e sin .x C 1/ e sin m.x C 1/:
6 2 mD2
.m2 1/2  2
158) Chapter 5. Eigenfunction Expansion Method [§5.4

u t

Temperature given by the 10-terms truncated Fourier series

9. Solve, using Fourier Transform, the following initial value problem for the heat equation
in the plane
(
u t D uxx C uyy ; t > 0; .x; y/ 2 R2 ;
2 2
ujt D0 D x 2 e x y :
R1 2 p k2
Hint: : 1 e x e i kx d x D  e 4 .
Solution: The solution is expressed in terms of the Fourier transform as follows
Z
u.t; x; y/ D v.t; k; q/ [Link]/ d k d q;
R2
@v .k 2 Cq 2 /t
where D .k 2 C q 2 /v and, consequently, v.t; k; q/ D c.k; q/ e . Hence,
@t
Z
c.k; q/ e .k Cq /t [Link]/ d k d q:
2 2
u.t; x; y/ D
R2
where c.k; q/ satisfies
d2 x2 y2 k2 2 k2
c.k; q/ D F.e /D e 4 :
d k2 16
Therefore, we conclude that
Z
k2 2 k2
.k 2 Cq 2 /t
u.t; x; y/ D e 4 e [Link]/ d k d q;
R2 16
§5.4] Exercises (159
this is
Z Z
 1 2 k 2 .tC 14 / i kx 1 q 2 .tC 14 / i qy
u.t; x; y/ D .k 2/ e e dk e e d q;
4 2 R 2 R

from where, using the basic properties of the Fourier transform, we obtain

2t.1 C 4t/ C 4x 2 x 2 Cy 2
u.t; x; y/ D e 1C4t :
.1 C 4t/2

10. Solve the following initial and boundary value problem for the heat equation in a 1D bar
†
u t D uxx ; t > 0; 0 < x < 1;
uj t D0 D sin x;
(
ux jxD0 D 0;
ujxD1 D 0:

Note that the boundary condition in 0, of Neumann type, models, according to Fourier’s
law, the thermal insulation of that border. In fact, the Neumann type conditions for
the heat equation represent conditions on the heat flow over the boundary, in this case
the thermal insulation of the boundary. Therefore, in this problem we study the thermal
evolution of a bar with one thermally insulated end and another end at zero temperature.
Solution: In order to apply the EEM we first consider the eigenvalue problem for the
d2
differential operator B D 2
, Bw D w,  D k 2 , in the space fw 2 C 1 Œ0; 1; wx jxD0 D
dx
0; wjxD1 D 0g. It is easy to deduce that the eigenvalues are n D kn2 con kn WD .2nC1/ 2
and the eigenfunctions wn .x/ WD cos kn x. As the boundary conditions are separated for
a regular Sturm–Liouville operator, the spectrum is not degenerated and the eigenfunc-
tion set forms an orthogonal basis. Therefore, we can expand the inhomogeneity sin x
on this basis
X1
.2n C 1/
sin x D cn cos x;
nD0
2
with
Z 1
.wn ; sin x/ .2n C 1/
cn D D 2 sin x cos x dx
kwn k2 0 2
8 1
D :
 4n2 C 4n 3

The expansion in eigenfunctions will be

X
1
.2n C 1/
u.t; x/ D vn .t/ cos x;
nD0
2
where vn .t/ solves
d vn .2n C 1/2  2
C vn D 0;
dt 4
vn .0/ D cn :
160) Chapter 5. Eigenfunction Expansion Method [§5.4
In short, the expansion for the solution is given by

8X
1
1 .2nC1/2  2 t .2n C 1/
u.t; x/ D e 4 cos x:
 nD0 4n2 C 4n 3 2

Temperature u.x; t / with Fourier series truncated to 16 terms

The following graph shows the edge temperature with thermal insulation as a function
of time.
§5.4] Exercises (161

0:6

0:5

0:4

0:3

0:2

0:1

t
0:2 0:4 0:6 0:8 1 1:2 1:4 1:6 1:8

0:1

Fourier Series, truncated to 150 terms, of the temperature u.t; 0/ with

thermally insulated edge

˚
5.4.2. Exercises
1. Apply EEM to solve the initial and boundary value problem for the vibrating string

( t t D uxx ;
u 0 < x < 1I
ujxD0 D 0;
uj D 0I
( xDl
uj t D0 D g1 .x/;
u t j t D0 D g2 .x/:

Calculate solution expansion for the following initial data

g1 .x/ D x.x 1/; g2 .x/ D 0:
162) Chapter 5. Eigenfunction Expansion Method [§5.4
2. The Fourier transform method applied to the heat equation initial value problem
(
u t D a2 uxx ; 1 < x < C1I
(27)
uj t D0 D f .x/;
provides the following expression for the solution
Z 1
1 .x y/2
u.t; x/ D p e 4a2 t f .y/ d y:
2a  t 1
a) Prove that the following alternative expression holds
Z 1
1 2 p
u.t; x/ D p e s f .x C 2a ts/ d s:
 1
b) Determine the solution of (27) in the following two cases
( (
1; 0 < x < 1; x; 0 < x < 1;
f .x/ D f .x/ D
0; in the remaining; 0; in the remaining:
Hint: Use error function
Z x
2 s2
erf.x/ D p e d s:
 0
 6. Special Functions

Contents
6.1 Frobenius Series. Regular and Singular Regular Points . . . . . . . . . . . 163
6.2 Expansions Around Regular Points . . . . . . . . . . . . . . . . . . . . . 166
6.3 Expansions Around Regular Singular Points . . . . . . . . . . . . . . . . 172
6.4 Bessel Equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
6.5 The Euler Gamma Function . . . . . . . . . . . . . . . . . . . . . . . . . 186
6.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189

F
ourier series and Fourier transform are key elements in the resolution of linear PDE
with homogeneous boundary conditions, described naturally in Cartesian coordinates,
via the EEM. The fundamental reason for this to happen relies in the fact that the
corresponding eigenvalue problems are associated with constant coefficients differential
operators. But when the boundaries of the regions are not expressed in a simple way in Cartesian
coordinates and we must change of variables to curvilinear coordinate systems in which the
boundaries are described in a natural manner, then the EEM leads us to use eigenvalue problems
associated with differential operators of the Sturm–Liouville type with variable coefficients. This
happens, in particular, with problems for the Laplacian with boundaries naturally expressed in
cylindrical or spherical coordinates. We are going to study in this chapter the functions that are
required in these cases, in particular we will focus on how they are expanded in terms of series
around certain points.

§6.1. Frobenius Series. Regular and Singular Regular Points

E
igenvalue problems for these boundary value problems, which are naturally formulated
in the framework of cylindrical or spherical coordinates, requires to solve a certain type
of second-order linear ODE of non constant coefficients

(28) u00 C a.x/u0 C b.x/u D 0;

where a D a.x/ and b D b.x/ are functions of the independent variable x. As we know from
the theory of linear ODE. The general solution of (28) is an arbitrary linear combination

(29) u.x/ D C1 u1 .x/ C C2 u2 .x/;

of any two of their linearly independent solutions.

163
164) Chapter 6. Special Functions [§6.1
In this chapter we seek for particular solutions of (28) starting from expansions around a
given fixed point x0 given by

X
1
˛
(30) u.x/ D .x x0 / cn .x x0 /n D c0 .x x0 /˛ C c1 .x x0 /˛C1 C


;
nD0

where the exponent ˛ that appears in the factor .x x0 /˛ is generally not an integer, and
the coefficients cn need to be found. These type of expressions are called Frobenius series. To
study such series expansions it becomes necessary to consider (28) in the complex plane C.
Thus, the sought solutions u D u.z/ and the coefficients a D a.z/ and b D b.z/ will be, in our
du
discussion, functions of the complex variable z 2 C, while u0 D denotes the derivative with
dz
respect to the complex variable z.
When looking for solutions u D u.z/ expressed in Frobenius series we must determine
around which type of point (that we will now denote z0 ) is expanded in series.

Regular Point

A point z0 2 C, z0 ¤ 1, is said to be a regular point of (28) if the functions a.z/ and b.z/
are analytical in z0 . That is to say, if there are expansions in power series
a.z/ D a0 C a1 .z z0 / C a2 .z z0 /2 C


;
b.z/ D b0 C b1 .z z0 / C b2 .z z0 /2 C


;
convergent on some disk centered on z0 .

Regular Singular Point

A point z0 2 C, z0 ¤ 1, is said to be a regular singular point of (28) if any of the functions

a.z/ or b.z/ is singular in z D z0 and yet the modified functions .z z0 /a.z/ and .z z0 /2 b.z/
are analytical in z0 . That is to say, if there are expanded in power series
.z z0 /a.z/ D a0 C a1 .z z0 / C a2 .z z0 /2 C


;
.z z0 /2 b.z/ D b0 C b1 .z z0 / C b2 .z z0 /2 C


;
convergent on some disk centered on z0 . Observe that we have to demand that some of the
coefficients a0 ; b0 ; b1 are nonzero, because if all vanish we would be faced to removable singu-
larities, and therefore the functions a.z/ and b.z/ would be both analytical in z D z0 .

We will only discuss ODE in which only these two types of points appear, leaving out of the
study the irregular singular points that are those that do not fall into the two previous types.
To classify the types of points that arise in a particular equation the only thing we need to
look at are the possible singularities of the functions a.z/ (coefficient of u0 ) and b.z/ (coefficient
of u).
Regular points are those where both functions a.z/ and b.z/ are analytical. Points where
at least one of the functions a.z/ or b.z/ has a pole, of maximum order equal to one for a.z/
and of maximum order equal to two for b.z/, are regular singular points.
§6.1] Frobenius Series. Regular and Singular Regular Points (165

Discussion for Relevant Equations

1. Hermite equation
u00 2zu0 C 2u D 0;  2 Z:
has a.z/ D 2z and b.z/ D 2, which are analytical functions throughout C, then all
points are regular.
2. Airy Equation
u00 zu D 0:
In this case a.z/  0 and b.z/ D z, which are analytical functions throughout C, then
all points are regular.
3. Legendre Equation
..1 z 2 /u0 /0 C u D 0;  2 C:
Solving for the second derivative, it can be written in the form
2z 
u00 2
u0 C u D 0:
1 z 1 z2
Hence
2z 
a.z/ D ; b.z/ D :
1 z2 1 z2
The points z0 D 1 and z0 D 1 are simple poles of a.z/ and b.z/, then they are regular
single points. The remaining points are regular.
4. Bessel equation
z 2 u00 C zu0 C .z 2  2 /u D 0;  2 C:
Clearing the second derivative leaves us with
1  2 
u00 C u0 C 1 u D 0;
z z2
so that
1 2
a.z/ D ; b.z/ D 1 :
z z2
Hence, z0 D 0 is a simple pole of a.z/ and a double pole of b.z/, then it is the only
regular singular point and the remaining points of the complex plane are regular points.
5. Laguerre Equation
zu00 C .1 z/u0 C ku D 0; k 2 C:
Clearing the second derivative leaves us with
1  k
00
u C 1 u0 C u D 0;
z z
so that
1 k
a.z/ D 1; b.z/ D :
z z
In this case z0 D 0 is a simple pole of a.z/ and b.z/, it is the only regular singular point
and the rest of points of the complex plane are regular points.
166) Chapter 6. Special Functions [§6.2

§6.2. Expansions Around Regular Points

By definition, if z0 is a regular point for the ODE
(31) u00 C a.z/u0 C b.z/u D 0;
then the functions a.z/ and b.z/ have power series expansions
a.z/ D a0 C a1 .z z0 / C a2 .z z0 /2 C


;
(32)
b.z/ D b0 C b1 .z z0 / C b2 .z z0 /2 C


:
The following theorem summarizes everything we need to know about the properties of the
solutions of (31) about z0 .

Regular Points

If z0 is a regular point of (31) then:

1. Any solution u of (31) is analytical in z D z0
2. The radius of convergence of the corresponding power series is greater than or equal to
the distance of z0 to the nearest singularity of the functions a.z/; b.z/.
3. The coefficients of the power series expansion of a solution of (31)
X
(33) uD cn .z z0 /n D c0 C c1 .z z0 / C c2 .z z0 /2 C



n0

can be determined from the expansion coefficients of a.z/ and b.z/ by substituting the
series (32) and (33) in the ODE (31), and identifying coefficients of the powers .z z0 /n .

We should note that the first part of the theorem implies that the only singularities that a
solution u of (31) can have are the singularities of the functions a.z/ and b.z/. Therefore, if
a.z/ and b.z/ do not have singular points neither will have the solutions of (31). It should also
be noted that the theorem provides us with a method for calculating solutions of (28) in the
form of a power series around regular points. The following example illustrates that method.

6.2.1. Hermite Equation

The quantum version of the harmonic oscillator, after simplifying the corresponding Schrödinger
equation, leads to the following ODE1.
v 00 .z 2 2 1/v D 0

v becomes the Hermite’s ODE2

2 =2
that once performed the change u D ez
(34) u00 2zu0 C 2u D 0;
1View solved problems
2That can be written inthe form of eigenvalue problem for an operator of Sturm–Liouville (not regular for

0
e z u0 D 2u, with .x/ D p.x/ D e x and
1 2 2
having a domain not delimited) in the following way: z2 e
q.x/ D 0.
§6.2] Expansions Around Regular Points (167
This equation fits in our discussion with the identification a.z/ D 2z and b.z/ D 2. Let’s take
z0 D 0. From the previous theorem we deduce that the power series of the solutions converge in
the whole complex plane, because the functions a.z/; b.z/ do not have singularities. We sought
for a solution in the form of a power series expansion centered at z0 D 0
X
uD cn z n D c0 C c1 z C c2 z 2 C


;
n0

that once introduced in (34) and given that the functions a.z/ and b.z/ are already expanded
in powers of z, leads to

X
1


.n C 2/.n C 1/cnC2 2.n /cn z n D 0:
nD0

Identifying coefficients of the powers z n we find

.n C 2/.n C 1/cnC2 2.n /cn D 0; n  0;

from which we deduce the recurrence relation for the unknown coefficients of u:

2. n/
(35) cnC2 D cn :
.n C 2/.n C 1/

Thus, each coefficient cn determines the coefficient cnC2 and, therefore, by iterating this process
we obtain that

. 1/n 2n
c2n D . 2/


. 2n C 2/c0 ;
.2n/Š
. 1/n 2n
c2nC1 D . 1/. 3/


. 2n C 1/c1 :
.2n C 1/Š

In conclusion, taking on one side .c0 ; c1 / D .1; 0/ and on the other .c0 ; c1 / D .0; 1/ we get two
linearly independent solutions of the Hermite equation given by

X X1
. 1/n 2n
2n
u0 .z/ D c2n z D . 2/


. 2n C 2/z 2n ;
n0 nD0
.2n/Š
X X1
. 1/n 2n
2nC1
u1 .z/ D c2nC1 z D . 1/. 3/


. 2n C 1/z 2nC1 :
n0 nD0
.2n C 1/Š

Hermite Polynomials It follows form (35) that if a coefficient cn of the solution series
is zero then all cnC2k with k  0 are also zero. For n an even number, we would get that
u0 .x/ is a polynomial and if n is odd it would imply that u1 .x/ a polynomial. In view of this
observation and of (35) it is clear that for  D 2k and  D 2k C 1 the solutions u0 .z/ and u1 .z/
reduce to polynomial functions. These polynomials are proportional to the so-called Hermite
polynomials.
168) Chapter 6. Special Functions [§6.2

Hermite Polynomials

The Hermite polynomials can be determined by the Rodrigues’ formula

n z2 dn z2
Hn D . 1/ e e :
d zn
The first Hermite polynomials are
H0 .z/ D 1; H1 .z/ D 2z; H2 .z/ D 4z 2 2;
H3 .z/ D 8z 3 12z; H4 .z/ D 16z 4 48z 2 C 12; H5 .z/ D 32z 5 160z 3 C 120z:

Hermite Polynomials Properties

1. Recurrence Formula: Hn .z/ D 2zHn 1 .z/ 2.n 1/Hn 2 .z/.

P
2. Generating Function: e2tx t D 1 tn
2
nD0 nŠ Hn .x/.
3. ODE: Hn00 2zHZn0 C 2nHn D 0.
2 p
4. Orthogonality: Hn .x/Hm .x/ e x d x D 2n nŠın;m .
R
5. Completeness The Hermite polynomial set fHn .x/g1
nD0 is a complete orthogonal set
in L2 x2 .R/.
e dx

What happens to the solutions u0 .z/ and u1 .z/ when  62 f0; 1; 2; : : : g? From Fuchs’
theorem, we know that both solutions are analytical in C, therefore perfectly reasonable, but as
we well know, from Liouville’s theorem, at z D 1 a singularity will appear. For applications,
particularly in the context of Quantum
ˇ R 1 Physics, we need solutions u0 .x/ and u1 .x/ that belong
˚
ˇ 2
to Le x2 d x .R/ D f .x/ W R ! R 1 jf .x/j e x d x , that is satisfied if the series end (are
2

truncated) and are simply polynomials. Let’s see that this is not the case when series do not
truncate and have an infinite number of non-vanishing terms, in which case u0 .x/; u1 .x/ 62
Le x2 d x .R/. Although we are not going to prove it, we are going to give a plausibility argument,
which can be made mathematically rigorous. Let’s compare the coefficients cn of u0 .z/ with
2
those of ez when n ! 1. For a > 0, we have the following power series
( 2
2 2
X1 a
n ; for n even,
ea z D Cn z n ; Cn D 2 Š
nD0
0; for n odd.

whose even coefficients Cn have the following quotient à la d’Alambert (for odd n the quotient
does not make sense)

CnC2 a2
D n
Cn 2
C1
§6.2] Expansions Around Regular Points (169
which behaves as follows for n large and even
CnC2 2a2
 ; n ! 1:
Cn n
But, for the even coefficients cn (the only nonzero ones) of the power series u0 .x/ we have
cnC2 2. n/
D
cn .n C 2/.n C 1/
2
 ; n ! 1:
n
Therefore, it is reasonably to suppose that the power series of u0 .x/ behaves like the power
2
series for ex , except, of course, that  is an even number. So, when  is not an even number, on
2
the real line for x large we have ju0 .x/j2  e2x , so that u0 .x/ 62 Le x2 d x .R/. A similar argument
2
leads that, when  is not an odd number, that ju1 .x/j2  x 2 e2x and u1 .x/ 62 Le x2 d x .R/.
Hermite Polynomials

140 H1 .x/
y H2 .x/
120
H3 .x/
100 H4 .x/
H5 .x/
80

60

40

20
x
2 1:5 1 0:5 0:5 1 1:5 2
20

40

60

80

100

120

140
The Hermite polynomials not only appear in Quantum Physics when the quantum harmonic
oscillator is solved, as we have seen in one of the solved problems of the previous unit, but also
170) Chapter 6. Special Functions [§6.2
in other fields of Mathematics such as: probability theory, combinatorics, numerical analysis
and system theory.

6.2.2. Legendre Equation We have previously seen that the Legendre equation3
2z 
u002
u0 C u D 0;
1 z 1 z2
has as regular singular points z0 D ˙1, all other points being regular. Let’s take the origin
z0 D 0 as the point where the expansions are centered. Every solution admits a power series
expansion
X
uD cn z n D c0 C c1 z C c2 z 2 C


;
n0

whose convergence radius will be greater than or equal to 1. To determine the coefficients let
us write the Legendre equation in the form
.1 z 2 /u00 2zu0 C u D 0:
Substituting now the series of u in the Legendre equation and grouping coefficients in powers
z n we get
X

.n C 2/.n C 1/cnC2 n.n 1/cn 2ncn C cn z n D 0:
n0

Which gives us the following recurrence

n.n C 1/ 
(36) cnC2 D cn ; n  0:
.n C 2/.n C 1/
Taking the two options .c0 ; c1 / D .1; 0/ and .c0 ; c1 / D .0; 1/, we obtain two linearly independent
solutions of the Legendre equation
X X
u0 .z/ D c2n z 2n ; u1 .z/ D c2nC1 z 2nC1 :
n0 n0

Legendre Polynomials Based on (36) we can now make a reasoning similar to what we
have done with the Hermite functions and conclude that if we take
 D n.n C 1/;
for a certain fixed n, then it is verified:
1. If n is even .n D 2k/ all coefficients c2m .m > k/ are cancelled and therefore u0 .z/ is a
polynomial.
2. If n is odd .n D 2k C 1/ all coefficients c2mC1 .m > k/ are cancelled and therefore u1 .z/
is a polynomial.
The polynomials obtained in this way are the Legendre polynomials.
3As an eigenvalue problem for a Sturm–Liouville type operator it is written in the form ..1 x 2 /u0 /0 D u,
with  D 1, p.x/ D 1 x 2 and q.x/ D 0, that is not regular, given the behavior in x D ˙1.
§6.2] Expansions Around Regular Points (171

Legendre Polynomials

Legendre polynomials can be determined using the Rodrigues formula

1 dn 2
Pn .z/ D n n
.z 1/n ; n  0:
2 nŠ d z
Legendre polynomials are calculated immediately and the first turn out to be
1
P0 .z/ D 1; P1 .z/ D z; P2 .z/ D .3z 2 1/;
2
1 3 1 1
P3 .z/ D .5z 3z/; P4 .z/ D .35z 4 30z 2 C 3/; P5 .z/ D .63z 5 70z 3 C 15z/
2 8 8

Properties of Legendre Polynomials

1. Bonnet Recurrence Formula: .n CP 1/PnC1 .z/ D .2n C 1/zPn .z/ nPn 1 .z/.
2. Generating function: p1 2txCt 2 D 1
1
nD0 Pn .x/t for jt j < 1 and jxj  1.
n

3. Second order ODE: ..1 z 2 /Pn0 /0 C n.n C 1/Pn D 0.

Z 1
1
4. Orthogonality: Pn .x/Pm .x/ d x D ın;m .
1 n C 12
5. Completeness: The set fPn .x/g1nD0 is a complete orthogonal set in L Œ 1; 1.
2

What about the solutions u0 .z/ y u1 .z/ when  ¤ n.n C 1/, n 2 f0; 1; 2; : : : g? In this case
the discussion is simpler than the case of Hermite. We know that our solutions u0 .z/ and u1 .z/
converge uniformly inside the unit disk. However, when n is even the u0 .z/ series ends and is a
polynomial, this is u0 .z/ is defined in all C, and when n is odd the u1 .z/ series ends and is also
a polynomial and, therefore, is again defined in all C. When the series do not end it is easy to
realize that the convergence radius of u0 .z/ and u1 .z/ is 1, indeed.
Applications Legendre polynomials appear when Newtonian or Coulombian potential is
expanded in the form

( P1 r0n
1
1 1 nD0 r n P` .cos /; jrj > jr0 j;
Dp D r
1
P1 r n
r r0 r 2 C r02 2rr0 cos  r0 nD0 r0n P` .cos /; jrj < jr0 j;

b
here  D r r 0 is the latitude of the point r with respect to the axis determined by the vector
r r 0 . This series applies when considering the multi-polar expansion of a point load outside
the origin.
172) Chapter 6. Special Functions [§6.3

Legendre Polynomials

y
1

0:8

0:6

0:4

0:2

x
1 0:8 0:6 0:4 0:2 0:2 0:4 0:6 0:8 1
0:2

0:4

0:6 P1 .x/
P2 .x/
0:8 P3 .x/
P4 .x/
1 P5 .x/

§6.3. Expansions Around Regular Singular Points

6.3.1. Euler equation The Euler equation serves as a toy model to understand what we
can expect from solutions around regular singular points. The ODE is
q1 q0
(37) u00 C u0 C 2 u D 0
z z
where q1 ; q0 2 C are two nonzero complex numbers. Clearly z0 D 0 is a regular singular point
Multiplying by z 2 the Euler equation becomes
z 2 u00 C q1 zu0 C q0 u D 0;
or equivalently
Lu D 0;
§6.3] Expansions Around Regular Singular Points (173
where L is the differential operator
d2 d
L D z2 C q 1 z C q0 :
d z2 dz
We should note that
Lz ˛ D P .˛/z ˛ ; P .˛/ WD ˛.˛ 1/ C q1 ˛ C q0 ;
This equation tells us that z ˛ is always an eigenfunction of L with eigenvalue  D P .˛/, and
that u D z ˛ is a solution to Euler’s equation when P .˛/ D 0. The function P .˛/ is a polynomial
of order 2 and will therefore have two roots counting multiplicities. If the two roots ˛1 ; ˛2 are
different, then z ˛1 and z ˛2 are linearly independent solutions and a general solution of the Euler
equation is
u D c1 z ˛1 C c2 z ˛2 :
The case gets involved if the indicial polynomial has a double root 1 , and a solution is u D z ˛1
so we need to find another independent solution. A method to find another linearly independent
solution
ˇ is as follows. Since the root is double we must have P .˛/ D .˛ ˛1 /2 and, consequently,
dP ˇ
d ˛ ˛D˛1
D 0. Now, if we derive with respect to ˛ the equation
Lz ˛ D P .˛/z ˛ ;
we get
@L.z ˛ /  d z˛ 
(38) DL D L.z ˛ log z/ D P 0 .˛/z ˛ C P .˛/z ˛ log z:
@˛ d˛
Since ˛1 is a double root we have
P .˛1 / D P 0 .˛1 / D 0;
then, (38) for ˛ D ˛1 reduces to
L.z ˛1 log z/ D 0;
that is, u D z ˛1 log z is another solution to the equation. Summarizing, fz ˛1 ; z ˛1 log zg is a
system of two linearly independent solutions and a general solution is
u D c1 z ˛1 C c2 z ˛1 log z:
We have to observe the appearance of possible powers of non-integer exponent and of the
logarithm function in the expression of the solutions. This fact illustrates what we can expect
in this type of situations.
6.3.2. Frobenius Series Given a regular singular point z0 2 C, a solution u of (28) is not
always analytic on a disk centered on z0 , because it can have a singularity, a pole or logarithmic
branch. In this case the solution does not have a power series expansion around z0 but a more
complicated form. Fuchs found that there is always at least one solution in the form of a factor
.z z0 /˛ , where ˛ is generally a certain complex number not always integer, multiplying a power
series centered on z0 . That is to say of the form
X
(39) u D .z z0 /˛ cn .z z0 /n D c0 .z z0 /˛ C c1 .z z0 /˛C1 C


; c0 ¤ 0:
n0
 174) Chapter 6. Special Functions [§6.3
This type of expansion is called Frobenius series. On the other hand, it also shows that there
is always another solution whose form is either of Frobenius type (39) or else in the form
X X
(40) u D .z z0 /˛1 log.z z0 / bn .z z0 /n C .z z0 /˛2 cn .z z0 /n ;
n0 n0

where the power series converge on a disk with a radius greater than or equal to the distance
of z0 to the nearest singularity of a.z/; b.z/.

 Example: Consider Euler’s equation

1
u00 C u D 0;
4z 2
that has a regular singular point in z0 D 0. If we look for a solution in the form of a power
series around z0 D 0
u D c0 C c1 z C


;
by replacing the series in the equation we get
.n 1=2/2 cn D 0; n D 1; 2; : : :
which implies that cn D 0 and therefore u  0, the trivial solution. Being this an Euler equation
we know that a general solution is
p p
u D c1 z C c2 z log z:

The solution u1 as a Frobenius series Suppose that z0 is a regular singular point of

(41) u00 C a.z/u0 C b.z/u D 0:
According to the definition of regular singular point, there are in this case expansions of the
form
A.z/ WD .z z0 /a.z/ D a0 C a1 .z z0 / C a2 .z z0 /2 C


;
(42)
B.z/ WD .z z0 /2 b.z/ D b0 C b1 .z z0 / C b2 .z z0 /2 C


:
To try to determine a solution in the Frobenius series form of (39) with c0 D 1, we start by
multiplying the equation (41) by .z z0 /2 and writing it in the equivalent form.
.z z0 /2 u00 C .z z0 /A.z/u0 C B.z/u D 0:
Substituting now in this equation the Frobenius series (39), with unknown exponent and coeffi-
cients, we find when grouping the coefficients of the powers in z z0 that is written in the form

X
(43) .z z0 /˛ P .˛/ C .z z0 /˛Cn Qn .˛/ D 0;
n1

being
(44) P .˛/ D ˛ 2 C .a0 1/˛ C b0 ;
§6.3] Expansions Around Regular Singular Points (175
the indicial polynomial, and

X
n 1


Qn .˛/ D ˛.˛ 1/ C 2˛n C n.n 1/ C ˛a0 C na0 C b0 cn C .˛ C k/an k C bn k ck
kD0

X
n 1


D P .˛ C n/cn C .˛ C k/an k C bn k ck
kD0

Now let’s identify power coefficients in (43). By canceling the coefficient of .z z0 /˛ we see that
˛ must be the root of the indicial polynomial
P .˛/ D 0;
which is called indicial equation, which being a second-degree polynomial will have two roots
˛ D ˛1 ; ˛2 , generally complex, and that we can order assuming
Re ˛1  Re ˛2 :

Non-resonant case. Suppose the indicial polynomial (44) has two roots such that its differ-
ence is not integer,
(45) ˛1 ˛2 62 Z;
that is, let’s analyze the non-resonant case. Let’s take ˛ D ˛1 in our calculation, we can equate
to zero in (43) the coefficients of .z z0 /˛Cn .n  1/ and find the relationships
X
n 1


(46) P .˛1 C n/cn D .˛1 C k/an k C bn k ck ; n  1:
kD0

But P .˛1 C n/ ¤ 0 for all n D 1; 2; : : :. Indeed, let us assume the contrary. If there was a
n0 D 1; 2; : : : such that P .˛1 C n0 / D 0, since P .˛/ only has two roots, then ˛2 D ˛1 C n0 which
would be in contradiction with (45). In this manner (46) gives us each coefficient cn in terms
of the previous ones c0 D 1; c2 ; : : : ; cn 1 . In other words, we completely determine a solution
in the form of a Frobenius series.
If we now take ˛ D ˛2 in our calculation, we come back to (46) with ˛2 instead of ˛1 . It
is therefore clear that if P .˛2 C n/ ¤ 0 for all D 1; 2; : : : (which is equivalent to saying that
˛1 ˛2 ¤ n; n D 1; 2; : : :), then the method provides us with another solution in the form of
Frobenius series, now with exponent ˛ D ˛2 .
Resonant Case. We’ll discuss only the case where ˛1 D ˛2 . Let’s proceed as in the study
of the Euler equation by introducing the differential operator
d22 d
L D .z z0 / 2
C .z z0 /A.z/ C B.z/:
dz dz
Let’s make L act on a Frobenius series (39) with variable exponent ˛ and whose coefficients
cn D cn .˛/ depend on ˛ except c0 D 1, so we get
X
(47) Lu D .z z0 /˛ P .˛/ C .z z0 /˛Cn Qn .˛/;
n1
176) Chapter 6. Special Functions [§6.3
where P .˛/ and Qn .˛/ are the same functions that appear in (43). That is, the indicial
polynomial is

(48) P .˛/ D ˛ 2 C .a0 1/˛ C b0 ;

and

X
n 1


Qn .˛/ D ˛.˛ 1/ C 2˛n C n.n 1/ C ˛a0 C na0 C b0 cn C .˛ C k/an k C bn k ck
kD0

X
n 1


D P .˛ C n/cn C .˛ C k/an k C bn k ck
kD0

For ˛ D ˛1 , as there are no more roots we can build a solution in a recurrent form imposing
Qn .˛1 / D 0, which will give a solution u0 .z/.
For any ˛ 2 C such that Re ˛ > Re ˛1 1 we have P .˛ C n/ ¤ 0 for all n D 1; 2; : : : and we
can determine all coefficients cn .˛/ through the recurrence relation

X
n 1


P .˛ C n/cn D .˛ C k/an k C bn k ck ; n D 1; 2; : : : ;
kD0

and the corresponding series fulfills

Lu D .z z0 /˛ P .˛/:

Taking the derivative with respect to ˛ in this last equation we obtain

 @u 
L D .z z0 /˛ P 0 .˛/ C .z z0 /˛ log.z z0 /P .˛/;
@˛

and, given that P .˛/ D .˛ ˛1 /2 and P 0 .˛/ D 2.˛ ˛1 / vanish at ˛ D ˛1 , we get

 @u ˇˇ 
ˇ D 0:
@˛ ˇ˛D˛1
L

ˇ
@u ˇˇ
We conclude that is a second solution of the form (28)
@˛ ˇ˛D˛1
X
u1 .z/ D u0 .z/ log.z z0 / C .z z0 /˛1 cn0 .z z0 /n ;
nD1

where u0 .z/ is the Frobenius series solution corresponding to ˛1 .

§6.4] Bessel Equation (177

Fuchs Theorem

Let ˛1 and ˛2 be the roots of the indicial polynomial ordered so that Re ˛1  Re ˛2 , then we
have the following alternatives for the solutions of (41):
1. If ˛1 ˛2 ¤ 0; 1; 2; : : :, there are two linearly independent solutions in the form of
Frobenius series
X X
u1 .z/ D .z z0 /˛1 cn .z z0 /n ; u2 .z/ D .z z0 /˛2 cn0 .z z0 /n ;
n0 n0

c00
with c0 D D 1.
2. If ˛1 ˛2 D 0, that is to say if ˛1 D ˛2 , there are two linearly independent solutions of
the form
X X
u1 .z/ D .z z0 /˛ cn .z z0 /n ; u2 .z/ D u1 .z/ log.z z0 / C .z z0 /˛ cn0 .z z0 /n ;
n0 n0

where ˛ WD ˛1 D ˛2 and c0 D 1; c00 D 0.

3. If ˛1 ˛2 D 1; 2; 3; : : :, there are two linearly independent solutions of the form
X X
u1 .z/ D .z z0 /˛1 cn .z z0 /n ; u2 .z/ D cu1 .z/ log.z z0 / C .z z0 /˛2 cn0 .z z0 /n ;
n0 n0

where c0 D 1; c00
D 1 and c is a constant that can be zero.
The radii of convergence of the power series involved in the solutions u1 and u2 is at least the
distance to the nearest singularity.

§6.4. Bessel Equation

Let’s consider the Bessel equation
(49) z 2 u00 C zu0 C .z 2  2 /u D 0;  2 R;   0:
2
In this case we have a.z/ D z1 y b.z/ D 1 z2
and thus z0 D 0 is a regular single point. The
indicial polynomial is reduced to
P .˛/ D ˛ 2  2 D .˛ /.˛ C /:
So, since we assume that  > 0, the two solutions ˛1 ; ˛2 of the indicial equation with Re ˛1 
Re ˛2 are ˛1 D  and ˛2 D .
6.4.1. The solution u1 and its Frobenius series The Frobenius series corresponding to
˛1 D  will be of the form
u1 D c0 z  C c1 z C1 C



which introduced in (49) leads to
P . C 1/c1 D 0 ) .. C 1/2  2 /c1 D 0; ) c1 D 0
and
cn 2
P . C n/cn C cn 2 D0 ) cn D :
n.n C 2/
178) Chapter 6. Special Functions [§6.4
For the corresponding Frobenius series all the coefficients of odd order vanish
c1 D c3 D


D c2nC1 D


D 0;
while those of even order satisfy the recurrence relation
c2.k 1/
c2k D ;
4k.k C /
that leads to
. 1/k c0
c2k D k :
4 kŠ. C k/


. C 2/. C 1/
Taking c0 D 2  then we find the following solution in series form
(50)
X
1
. 1/n  z 2nC X 1
. 1/n  z 2nC
J .z/ D D
nD0
nŠ€. C 1/. C n/


. C 2/. C 1/ 2 nD0
nŠ€.n C  C 1/ 2

which determines the so-called first kind Bessel’s function of order . Note that we have
used the function € (see the next section of this lecture for a summary of the theory of this
function). The series that defines J .z/ converges in the whole complex plane due to the absence
of singularities outside the origin of the coefficients a.z/ and b.z/,

y Bessel Functions

1 J0 .x/
J1 .x/
J2 .x/
J3 .x/
0:8
J4 .x/

0:6

0:4

0:2

x
2 4 6 8 10 12 14 16 18 20

0:2

0:4

0:6
 §6.4] Bessel Equation (179

J
1

0:8
x
22 0:6 
20
18 11
16 10
0:4 9
14 8
12 7
10 6
8 0:2 5
6 4
4 3
2
2 1
1 2
0:2

0:4

Graph of F .x; / D J .x/ as function of .x; /

6.4.2. The solution u2 According to the statement of Fuchs’ Theorem, to determine the
solution u2 associated with the other root ˛2 D  of the indicial polynomial we have to
distinguish the following cases according to the values it takes ˛1 ˛2 D 2
1. 2 ¤ 0; 1; 2; : : :
2. 2 D 0; 1; 2; : : :. In this case there are two possible variants
a)  D 0; 1; 2; : : :
b)  D 1=2; 3=2; 5=2; : : :

Case 1: 2 ¤ 0; 1; 2; : : : If ˛1 ˛2 D 2 ¤ 0; 1; 2; : : : alternative 1) of the Fuchs Theorem

assures us that the second solution u2 will be a Frobenius series with exponent ˛2 D . In
fact, if we repeat the previous calculation of the Frobenius series for ˛ D ˛1 D  but now with
˛ D ˛2 D  we get as a solution u2 the Bessel function of order 

X
1
. 1/n  z 2n 
J  .z/ D :
nD0
nŠ€.n  C 1/ 2

A general solution of the Bessel equation will then be

u.x/ D C1 J .x/ C C2 J  .x/;
where C1 and C2 are two arbitrary constants.

Case 2a:  D 0; 1; 2; : : : Now ˛1 ˛2 D 2 is a nonnegative integer number 0; 2; 4; : : : and

we have two possibilities
180) Chapter 6. Special Functions [§6.4
If  D 0 then ˛1 D ˛2 D 0, we fall into alternative 2) of the Fuchs Theorem and therefore
there is a solution u2 of the form
X
(51) u2 .z/ D J0 .z/ log z C cn z n ;
n0

If  D m con m D 1; 2; : : : then ˛1 D m; ˛2 D m, we fall into alternative 3) of the Fuchs

Theorem and therefore there is a solution u2 of the type
X
(52) u2 .z/ D cJm .z/ log z C z m cn z n ;
n0

where c could be zero.

The second solution u2 .x/ in both cases can be expressed in terms of the so-called Neumann
functions
J .z/ cos./ J  .z/
(53) N .z/ D :
sin 

Also known as Bessel functions of second kind and denoted alternatively as Y .x/.
y Neumann Functions

0:6

0:4

0:2
x
2 4 6 8 10 12 14 16 18 20
0:2

0:4

0:6

0:8

1:2

1:4
N0 .x/
1:6 N1 .x/
N2 .x/
1:8 N3 .x/
N4 .x/
2
For  D 0; 1; 2; : : : the denominator in (53) vanish and the definition (53) is not valid,
nevertheless it happens that also the numerator is zero due to the following identity, whose
§6.4] Bessel Equation (181
proof we omit, that satisfies the functions of Bessel of integer order
J m .z/ D . 1/m Jm .z/; m D 0; 1; 2; : : : :
We can then apply the l’Hôpital rule to define the Neumann functions Nm .z/ by means of the
limit
Nm .z/ D lim N .z/; m D 0; 1; 2; : : : ;
!m

and thus obtain the desired second solution of the Bessel equation. It can be shown that these
functions can be expanded in the form
(54)
2h z  i 1 X €.m k/  z 
m 1
mC2k
Nm .z/ D log C Jm .z/
 2  €.k C 1/ 2
kD0

1X
1
. 1/m h 1 1 1 1 1 1 i z mC2k
1 C C C


C C 1 C C C


C ;
 €.m C k 1/€.k C 1/ 2 3 k 2 3 mCk 2
kD0

where
h 1 1 1 i
D lim 1 C C C


C log n  0:5772156649
n!1 2 3 n
is the so-called Euler–Mascheroni constant. Note that this formula shows that the constant c
of the expression (52) is not zero.
In summary , the general solution of the Bessel equation when  is an integer m D 0; 1; 2; : : :
can be written in the form
u.x/ D C1 Jm .x/ C C2 Nm .x/;
where C1 and C2 are two arbitrary constants.
The expressions(50) and (54) for functions Jm .x/ and Nm .x/ allow us to see that their
asymptotic behavior when x ! 0 is given by
2
€ x
1 x m log ; if m D 0,
(55) Jm .x/  ; N m .x/   2 m
mŠ 2m .m 1/Š 2
; if m D 1; 2; : : :.
 xm
The asymptotic behavior when x ! 1 is deduced from other characterizations of these func-
tions and turns out to be
˚ q
2


Jm .x/  x cos x m 
;
(56) q 2 4


2
Nm .x/  x sin x m 2

4
:

Case 2b:  D 1=2; 3=2; 5=2; : : :. Spherical Bessel and Neumann Functions If  D
l C 12 ; l D 0; 1; 2; : : :, the difference between roots ˛1 D  and ˛2 D  is a positive integer
˛1 ˛2 D 2l C 1. We are again within the alternative 3) of the Fuchs Theorem and therefore
1 X
(57) u2 .z/ D cJlC 1 .x/ log z C cn z n ;
2 lC 12
z n0
182) Chapter 6. Special Functions [§6.4
where c could be zero. In fact, in this case it is verified that c D 0, so the solution u2 does not
have a logarithmic term and is reduced to a series of Frobenius that coincides with J .lC 1 / .x/.
2
Indeed, J .lC 1 / .x/ is the solution of the Bessel equation and is not proportional to JlC 1 .x/
2 2
because JlC 1 .0/ D 0 while J .lC 1 / .x/ diverge at x D 0.
2 2
In summary, a general solution of the Bessel equation when  D l C 12 ; l D 0; 1; 2; : : : can
be written in the form u.x/ D C1 JlC 1 .x/ C C2 J .lC 1 / .x/, where C1 and C2 are two arbitrary
2 2
constants. An alternative form, using Neumann functions, is

u.x/ D C1 JlC 1 .x/ C C2 NlC 1 .x/:

2 2

A modified form of the functions of Bessel and Neumann of semi-integer order are their
spherical versions
r r
 
(58) jl .x/ D J 1 .x/; nl .x/ D N 1 .x/;
2x lC 2 2x lC 2

that appear in important applications. It should be noted that, using the negative index Bessel
functions we have nl .x/ D . 1/nC1 j l .x/.
It is immediate to verify that if u is solution of the equation of Bessel of order 

x 2 u00 C xu0 C .x 2  2 /u D 0;

then v D pu fulfills
x

 1
x 2 v 00 C 2xv 0 C x 2 2 C v D 0;
4
1
that for  D l C 2
reduces to

(59) x 2 v 00 C 2xu0 C .x 2 l.l C 1//u D 0:

Therefore, this is the differential equation that satisfies the spherical functions of Bessel and
Neumann, so a general solution is v.x/ D C1 jl .x/CC2 nl .x/, where C1 and C2 are two arbitrary
constants. To end our discussion on these spherical functions we will only add that their explicit
form turns out to be very simple since they can be determined by means of the following
Rayleigh’s formulas
‚  1 d l sin x
jl .x/ D . x/l ;
x dx x
(60)  1 d l cos x
nl .x/ D . x/l :
x dx x

The graph of the first spherical functions is shown below

 §6.4] Bessel Equation (183

Spherical Neumann Functions

Spherical Bessel Functions y
y 0:4

1 j0 .x/ 0:2
j1 .x/
j2 .x/ x
0:8 j3 .x/ 2 4 6 8 10 12 14
j4 .x/ 0:2
0:6 0:4

0:6
0:4
0:8
0:2
1 n0 .x/
x n1 .x/
1:2
n2 .x/
2 4 6 8 10 12 14
1:4 n3 .x/
0:2 n4 .x/
1:6

Spherical Bessel Functions

The first spherical Bessel functions are

sin x
j0 .x/ D ;
x
sin x cos x
j1 .x/ D 2
x x
3  sin x 3 cos x
j2 .x/ D 1 ;
x2 x x2
 15 6  sin x  15  cos x
j3 .x/ D 1 ;
x3 x x x2 x
 105 45  sin x  105 10  cos x
j4 .x/ D C 1 :
x4 x2 x x3 x x
184) Chapter 6. Special Functions [§6.4

Spherical Neumann Functions

The first spherical Neumann functions are

cos x
n0 .x/ D ;
x
cos x sin x
n1 .x/ D ;
x2 x
3  cos x 3 sin x
n2 .x/ D 1
x2 x x2
 15 6  cos x  15  sin x
n3 .x/ D 1 ;
x3 x x x2 x
 105 45  cos x  105 10  sin x
n4 .x/ D C 1 :
x4 x2 x x3 x x

Fourier–Bessel Expansions

For  > 1, let fc;n g1 nD1 be the set of infinite zeros of J .x/ D 0, ordered in a strictly increasing
way, c;1 < c;2 <


. Then,
˚ 1
J .c;n x/ nD1
is a complete orthogonal set in L2x d x Œ0; 1. For any function f .x/ 2 L2x d x Œ0; 1, the expansion
X1 Z 1
2
f .x/ D cn J .c;n x/; cn D 2
J .c;n x/f .x/x d x;
nD1
.JC1 .c;n // 0

that converges strongly in L2x d x Œ0; 1, it’s called Fourier–Bessel expansion. Note that
.JC1 .c;n //2 D .J0 .c;n //2 .

Fourier–Dini Expansions

Similar to the Fourier–Bessel series, the Fourier-Dini series are built, now let fc;n g1 nD1 be the
set of infinite zeros of aJ .x/ C xJ0 .x/, ordered in a strictly increasing way, c;1 < c;2 <


.
Then,
˚ 1
J .c;n x/ nD1
is a complete orthogonal set in L2x d x Œ0; 1. Any function in L2x d x Œ0; 1 admits the following
expansion
X1 2 Z 1
2c;n
f .x/ D cn J .c;n x/; cn D 2 2 C a2 /.J .c 2
J .c;n x/f .x/x d x;
nD1
.c ;n   ;n // 0

that converges strongly in L2x d x Œ0; 1, it’s called Fourier–Dini expansion
§6.4] Bessel Equation (185

Dirichlet’s theorem for Fourier–Bessel and Fourier–Dini series

For every function piecewise C 1 in Œ0; 1 the corresponding Fourier–Bessel series and Fourier–
Dini series converge pointwise in x 2 Œ0; 1 to the average 12 .f .xC / C f .x //.

Recursion Relation for Bessel and Neumann Functions

1
Let’s assume that Re  > 2
, then the Bessel and Neumann functions satisfy the following
differential relations
.x ˙ Jv .x//0 D ˙x ˙ J1 .x/; .x ˙ Nv .x//0 D ˙x ˙ N1 .x/;
this is
 
J0 .x/ D J˙1 .x/ ˙ J .x/; N0 .x/ D N˙1 .x/ ˙ N .x/;
x x
that imply
2 2
J .x/ D J 1 .x/ C JC1 .x/; N .x/ D N 1 .x/ C NC1 .x/;
x x
2J0 .x/ D J 1 .x/ JC1 .x/; 2N0 .x/ D N 1 .x/ NC1 .x/;

Generating Functions for the Bessel Functions

1. Generating Function:
1 1
X
1
e 2 x.t t/ D Jn .x/:
nD 1
2. Jacobi–Anger Expansion:
X
1
i z cos./
e D in Jn .z/ ei n ;
nD 1
X
1 X
1
˙ i z sin./
e D J0 .z/ C 2 J2n .z/ cos 2n ˙ 2 i J2nC1 .z/ sin .2n C 1/:
nD1 nD0
186) Chapter 6. Special Functions [§6.5

§6.5. The Euler Gamma Function

E
uler gamma function is an extension to the complex plane of the factorial of a positive
integer, nŠ WD n.n 1/


1 and there are several equivalent ways to define it. In these
notes we will present three of them. Firstly, the original Euler definition, due to Le-
gendre, as an infinite limit, then we discuss the the main definition of the Euler gamma function
as an integral and finally the Weierstrass definition as an infinite product
Euler’s definition as an infinite product.
1
2
3


n
(61) €.z/ WD lim nz ; z 2 C n f0; 1; 2; : : : g; nz D ez log n ;
n!1 z.z C 1/


.z C n/
we see that
1
2
3


n zn 1
2
3


n
€.z C 1/ D lim nzC1 D lim nz
(62) n!1 .z C 1/


.z C 1 C n/ n!1 z C 1 C n z.z C 1/


.z C n/

D z€.z/:
This difference equation, €.z C 1/ D z€.z/, is the basic relation that characterizes
Euler’s € function. It is curious that this € function does not satisfy any differential
equation as it occurs with other relevant functions of Mathematical-Physics. In fact, as
was proven by Otto Hölder in 1887, for every n 2 N0 there is no non-zero polynomial
P 2 CŒXI Y0 ; Y1 ; : : : ; Yn  such that
 
P zI €.z/; € 0 .z/; : : : ; € .n/ .z/ D 0;

for all z 2 C n Z0 . That is, the Euler Gamma function does not satisfies an algebraic
ODE.
Also, from the definition (61) you can get the value of the function in z D 1;
1
2
3


n
€.1/ D lim nD1
n!1 2


.1 C n/

and from (62) we get

€.2/ D 1; €.3/ D 2€.2/ D 2; ::: €.n/ D 1
2
3


.n 1/ D .n 1/Š:
Thus, Euler’s € function extends the factorial function to the complex plane and some-
times the notation zŠ D €.z C 1/ is used.
Legendre’s definition as a definite integral.
Z 1
(63) €.z/ WD t z 1 e t d t; Re z > 0:
0

The restriction on the real part of z is to avoid divergences of the integral at the origin
t D 0. An integration by parts leads immediately to (62)
Z 1 Z 1
z t z t 1
€.z C 1/ D t e d t D Œt . e / tD0 C zt z 1 e t d t D z€.z/;
0 0
§6.5] The Euler Gamma Function (187
Making different changes of variable we conclude that for Re z > 0

Z 1
t 2 2z 1
€.z/ D 2 e t d t;
Z
0
1h  1 iz 1
D log d t;
0 t

from which, for example, we deduce

1 p
€ D :
2

To check that both definitions of Euler’s € function are equivalent we introduce the
following function

Z 
n
t n z 1
F .z; n/ D 1 t d t; Re z > 0;
0 n

for n D 1; 2; : : : a positive integer. We immediately conclude that limn!1 F .z; n/ D

€.z/. Using the variable u D nt we get the alternative expression

Z 1
z
F .z; n/ D n .1 u/n uz 1
d u;
0

that after successive integrations by parts becomes

1
2
3


n z
F .z; n/ D n ;
z


.z C n/

and so we get the announced result.

Although the definition (63) is true only for Re z > 0 using the relationship (62)
you can obtainpthe values for negative real p parts. For example, . 1=2/€. 1=2/ D
€.1 1=2/ D  so that €. 1=2/ D 2 . Relation (62) implies limz!0 z€.z/ D
limz!0 €.z C 1/ D €.1/ D 1, so z D 0 is a simple pole of the Euler gamma function.
A similar argument applies to the other poles z D n, the negative integers, of the €
function. Therefore, we have a meromorphic extension in the complex plane with poles,
which are simple, of the factorial function.
188) Chapter 6. Special Functions [§6.5

Euler gamma function

y
10

x
5 4 3 2 1 1 2 3 4 5
2

10
Weierstrass infinite product Another possible definition of Euler’s € function is due
to Weierstrass
1 
1 Y z  z=n
WD z e z 1C e ;
€.z/ nD1
n
where we’ve used Euler–Mascheroni constant.
Finally we comment on two very important properties of Euler’s € function
Euler’s Reflection Formula

€.z/€.1 z/ D
sen.z/
Stirling Formula
p
€.z/  2z z 1=2 e z ; jzj ! 1;  < argz < :
In Statistical Physics this formula is usually written as
p  n n
nŠ  2 n ; n ! 1:
e
§6.6] Exercises (189

§6.6. Exercises

6.6.1. Exercises with solutions

1. To solve by means of the Frobenius method the initial values problem of the classical
harmonic oscillator
(64) u00 C ! 2 u D 0;
(
u.0/ D a0 ;
u0 .0/ D a1 :

Solution: Given that a.z/  0 and b.z/ D ! 2 are entire functions, analytic in C, so
will be the solution. The power series expansion (33) is
X
1
u00 D .n C 2/.n C 1/cnC2 z n
nD0

which, once introduced in (64), gives

1 
X 
.n C 2/.n C 1/cnC2 C ! 2 cn z n D 0
nD0

which necessarily requires that

.n C 2/.n C 1/cnC2 C ! 2 cn D 0; n D 0; 1; : : :
c 0 D a0 ;
c 1 D a1 :
Therefore
. 1/n 2n . 1/n
c2n D a0 ! ; c2nC1 D a1 ! 2n
.2n/Š .2n C 1/Š
and the power series expansion is
X 1
. 1/n 2n 2n  a1  X . 1/n
1 
u D a0 ! z C ! 2nC1 z 2nC1
nD0
.2n/Š ! nD0 .2n C 1/Š
a1
D a0 cos !z C sin !z:
!
Therefore, the solution is a combination of trigonometric functions defined in the com-
plex plane C and therefore it is an entire function.
2. Solve by the Frobenius method the Airy equation initial value problem
(65) u00 D zu;
(
u.0/ D a0 ;
u0 .0/ D a1 :
190) Chapter 6. Special Functions [§6.6
Solution: In this case a.z/  0 and b.z/ D z so that z0 D 0 is a regular point and
the solution will be an entire function that admits a power series expansion (33) at that
point
X
u.z/ D cn z n ;
n0

which is convergent in the whole complex plane. Substituting this series in the differential
equation we get
X
1 X
1
n
.n C 2/.n C 1/cnC2 z D cn 1 z n
nD0 nD1
which is rewritten as
1 
X 
2c2 C .n C 3/.n C 2/cnC3 cn z nC1 D 0
nD0
and, consequently, we have
c2 D 0;
1
cnC3 D cn ; n D 0; 1; : : :
.n C 3/.n C 2/
c 0 D a0 ;
c 1 D a1 :
So, in terms of Euler gamma function, we get
a0 1
c3n D D a0 €.2=3/ n ;
3n.3n 1/.3n 3/.3n 4/


6
5
3
2 nŠ9 €.n C 2=3/
a1 1
c3nC1 D D a1 €.4=3/ n ;
.3n C 1/3n.3n 2/.3n 3/


7
6
4
3 0 nŠ9 €.n C 4=3/
c3nC2 D 0:
and hence the solution4 is
X1
z 3n X1
z 3nC1
u D a0 €.2=3/ C a 1 €.4=3/ :
nD0
nŠ9n €.n C 2=3/ nD0
nŠ9n €.n C 4=3/
3. Consider the following ODE in complex plane
d2 u 1 C z d u 1 C 2z
C C uD0
d z2 6z d z 6z 2
4The so-called Airy functions are often used in literature
X
1
z 3n X
1
z 3nC1
2=3 4=3
Ai.z/ D 3 3 ;
nD0
nŠ9 €.n C 2=3/
n
nD0
nŠ9n €.n C 4=3/
X
1
z3n X1
z 3nC1
1=6 5=6
Bi.z/ D 3 C3
nD0
nŠ9 €.n C 2=3/
n
nD0
nŠ9n €.n C 4=3/
§6.6] Exercises (191
and answer the following questions:
a) To classify the points of the plane according to whether they are regular, regular
singular or irregular.
b) For the origin, find the indicial polynomial and its two roots.
c) Find the difference between the two roots and conclude how the two linearly inde-
pendent solutions corresponding to each root of the indicial polynomial are.
d) To find, for the first solution its Frobenius series and the recurrence relation. Deter-
mine the first three non-zero coefficients.
e) To find, for the second solution, the recurrence relation between its coefficients.
Solution:
a) In this case, a.z/ D 1Cz6z
and b.z/ D 1C2z
6z 2
, so a.z/ and b.z/ are meromorphic func-
tions with a single singularity in z D 0, a simple pole and a double pole, respectively.
Therefore, all the points of the plane except the origin are regular points of the ODE.
However, z D 0 is a regular singular point.
b) We have a0 D 61 and b0 D 16 , so the indicial polynomial is

5 1
P .˛/ D ˛.˛ 1/ C a0 ˛ C b0 D ˛ 2 ˛C :
6 6

The roots of the indicial polynomial are

q (
5 25 4
6
˙ 36 6 ˛1 D 21 ;
˛D D
2 ˛2 D 13 :

c) Since ˛1 ˛2 D 16 is not integer, there are no resonances. Then two ODE linearly
independent solutions are written in the form of Frobenius series as follows

X
1 X
1
nC 21 1
u1 .z/ D c1;n z ; u2 .z/ D c2;n z nC 3 ;
nD0 nD0

with coefficients c1;n and c2;n to be determined recursively by ODE itself.

d) We write the ODE in the following way

2
2d u du
6z 2
C .z C z 2 / C .1 C 2z/u D 0
dz dz

and calculate the first two derivatives, deriving term by term,

1 
1
1 
d u1 X 1 d2 u1 X 1  1 3
D n C c1;n z n 2 ; D nC n c1;n z n 2 :
dz nD0
2 d z2 nD0
2 2
192) Chapter 6. Special Functions [§6.6
Hence,

2 X1  1  1
2d
u1 1
6z D 6 n C n c1;n z nC 2
d z2 nD0
2 2
3 1
X1  3  1 3
D c1;0 z 2 C 6 nC n C c1;nC1 z nC 2 ;
2 nD0
2 2
1 
1
1 
2d u1 X
nC 12
X 1 3
.z C z / D n C c1;n z C n C c1;n z nC 2
dz nD0
2 nD0
2
1 
1 1
X 3  1  3
D c1;0 z 2 C n C c1;nC1 C n C c1;n z nC 2 ;
2 nD0
2 2
X
1 X
1 X
1
nC 12 nC 23 1 3
.1 C 2z/u1 D c1;n z C 2c1;n z D c1;0 z C
2 .c1;nC1 C 2c1;n /z nC 2
nD0 nD0 nD0

Therefore, the ODE is written in terms of Frobenius series as follows

1  
X 3  1  3  1  3
6 nC n C c1;nC1 C n C c1;nC1 C n C c1;n C c1;nC1 C 2c1;n z nC 2 D 0:
nD0
2 2 2 2

That implies
 3  1  3  1
6 nC n C c1;nC1 C n C c1;nC1 C n C c1;n C c1;nC1 C 2c1;n D 0;
2 2 2 2
so

2..2n C 3/.3n C 2/ C 1/c1;nC1 C .2n C 5/c1;n D 0

and, finally, we can write the recurrence as

2n C 5
c1;nC1 D c1;n ;
2..2n C 3/.3n C 2/ C 1//

5 7
with n 2 f1; 2; : : : g. Thus, c1;0 is arbitrary and c1;1 D c ,
14 1;0
c1;2 D c
82 1;1
D
35
c .
1148 1;0
e) Proceed as above

1 
1
1 
d u2 X 2 d2 u2 X 1  2 5
D n C c2;n z n 3 ; D nC n c2;n z n 3 :
dz nD0
3 d z2 nD0
3 3
§6.6] Exercises (193
Hence,
2 X1  1  2
2d u2 1
6z D 6 n C n c2;n z nC 3
d z2 nD0
3 3
4 1
X1  4  1 4
D c2;0 z 3 C 6 nC n C c2;nC1 z nC 3 ;
3 nD0
3 3
1 
1
1 
2 d u2 X
nC 13
X 1 4
.z C z / D n C c2;n z C n C c2;n z nC 3
dz nD0
3 nD0
3
1 
1 1
X 4  1  4
D c2;0 z 3 C n C c2;nC1 C n C c2;n z nC 3 ;
3 nD0
3 3
X
1 X
1 X
1
nC 13 nC 43 1 4
.1 C 2z/u2 D c2;n z C 2c2;n z D c2;0 z C
3 .c2;nC1 C 2c2;n /z nC 3
nD0 nD0 nD0

Therefore, the ODE is written in terms of Frobenius series as follows

1  
X 4  1  4  1  4
6 nC n C c2;nC1 C n C c2;nC1 C n C c2;n C c2;nC1 C 2c2;n z nC 3 D 0:
nD0
3 3 3 3

Hence,
 4  1  4  1
6 nC n C c2;nC1 C n C c2;nC1 C n C c2;n C c2;nC1 C 2c2;n D 0:
3 3 3 3
So that,
3n C 7
c2;nC1 D c2;n ;
2.3n C 4/.3n C 1/ C 3
for n 2 f0; 1; 2; : : : g.
4. For the ODE in the complex plane
d2 u du
3z 22
C .2z 2 z/ C u D 0:
dz dz
a) Classify the points of the complex plane, according to whether they are ordinary,
regular singular or irregular singular. What type of point is the origin z D 0?
b) Find the indicial polynomial in z D 0, find its two roots ˛1 and ˛2 , ˛1  ˛2 .
c) Find the Frobenius series at the origin u1 .z/ for the largest root ˛1 .
d) Find the Frobenius series at the origin u2 .z/ for the smaller root ˛2 , express this
solution in terms of exponentials and radicals.
Solution:
a) The ODE can be written as follows
d2 u du 1 2 1
C a.z/ C b.z/u D 0; a.z/ WD C ; b.z/ WD :
d z2 dz 3z 3 3z 2
194) Chapter 6. Special Functions [§6.6
The functions a.z/ and b.z/ are holomorphic in Cnf0g, so all points of the complex
plane are regular but fo the origin. In the origin, a.z/ has a single pole and b.z/
a double pole, so the origin is a regular singular point.
b) As we know, if

a0 b0 b1
a.z/ D C a1 C a2 z C


; b.z/ D 2
C C b0 C


;
z z z
the indicial polynomial in the origin is

P .˛/ D ˛.˛ 1/ C a0 ˛ C b0 :
1
In this case a0 D 3
and b0 D 13 , and hence P .˛/ D ˛.˛ 1/ ˛
3
C 13 , i.e.

4 1
P .˛/ D ˛ 2 ˛C :
3 3

The corresponding roots are

q (
4 16 4
3
˙ 9 3 1;
D 1
2 3
:

1
So the roots are ˛1 D 1 and ˛2 D .
3
c) We are now looking for a solution in the form

X
1 X
1
n
u1 .z/ D z cn z D cn z nC1 :
nD0 nD0

We calculate the first two derivatives

d u1 X 1
d2 u1 X 1
D .n C 1/cn z n ; D .n C 1/ncn z n 1 ;
dz nD0
d z2 nD0

so that
2 X 1
2du1
3z 2
D 3.n C 1/ncn z nC1 ;
dz nD0

d u1 X 1 X
1
2
.2z z/ D 2.n C 1/cn z nC2 .n C 1/cn z nC1
dz nD0 nD0
X
1
D .2ncn 1 .n C 1/cn /z nC1 :
nD0
§6.6] Exercises (195
Therefore,
2 X 1


2d u1 d u1
3z C .2z 2 z/ C u1 D 3.n C 1/ncn C 2ncn 1 .n C 1/cn C cn z nC1
d z2 dz nD0
X
1


D n .3n C 2/cn C 2cn 1 z nC1 :
nD0

Consequently, we must require

2
cn D cn 1 ; n 2 f1; 2; : : : g:
3n C 2
2 22 23
In particular, c1 D c ,
5 0
c2 D c ,
85 0
c3 D c ,
1185 0
and

2n
cn D . 1/n
.3n C 2/ŠŠŠ

in terms of the triple factorial nŠŠŠ D n.n 3/.n 6/ : : : , and the Frobenius series
(power series in this case) is

X
1
2n
u1 .z/ D c0 . 1/n z nC1 :
nD0
.3n C 2/ŠŠŠ

d) The requested solution is

1
X
1 X
1
1
n
u2 .z/ D z 3 cn z D cn z nC 3 :
nD0 nD0

We calculate the first two derivatives

1 
1 n
1 
d u2 X 2 d2 u2 X 1  2 n 5
D n C cn z 3 ; D nC n cn z 3 ;
dz nD0
3 d z2 nD0
3 3

hence
2 X1  1  2  nC 1
2d u2
3z D 3 nC n cn z 3 ;
d z2 nD0
3 3
d u2 X1  1  nC 4
1 
X 1  nC 1
2
.2z z/ D 2 n C cn z 3 n C cn z 3
dz nD0
3 nD0
3
1  
c0 1 X 2  1   nC 1
D z3 C 2 n cn 1 n C cn z 3 :
3 nD1
3 3
196) Chapter 6. Special Functions [§6.6
Therefore,
d2 u du
3z 2 C .2z 2 z/ Cu
d z2 dz
 1 2 1  1
D 3  C 1 c0 z 3
3 3 3
Xh 
1
1
 2 1
 2
i 1
C 3 nC n nC C 1 cn C 2 n cn 1 z nC 3
nD1
3 3 3 3
X
1  2  1
D .3n 2/ ncn C cn 1 z nC 3 :
nD1
3
so that
2  2 n 1
cn D cn 1 ; n 2 f1; 2; : : : g; cn D c0 ; n 2 f1; 2; : : : g:
3n 3 nŠ
and the solution is
1 
1
X 2z n 1 1 2z
u2 .x/ D c0 z 3 D c0 z 3 e 3 :
nD0
3 nŠ

5. For the ODE

d2 u du
z.z 2 C 2/ C 2 2zu D 0:
d z2 dz
a) Classify the points of the complex plane according to its role with respect the ODE:
regular, regular singular and irregular singular.
b) For z0 D 0, find the indicial polynomial P .˛/,l of the ODE and its roots. Discuss the
application of Fuchs theorem Will terms with roots appear in the first series solution
u1 ? and what about logarithms in the second series solution u2 .z/?
c) For the first solution u1 .z/, as a Frobenius series with respect to z D 0, find c1 and
the recurrence relationship between the coefficients.
d) Discuss the recurrence. Find the value of odd coefficients c2nC1 and show that the
series ends. Find the polynomial u1 .z/. What about the radius of convergence, is it
bigger than the distance to the nearest singularity?
e) Find the second solution and discuss the convergence radius of the corresponding
power series.
Solution.
a) We write the ODE as follows
d2 u du 2 2
C a.z/ C b.z/u D 0; a.z/ WD ; b.z/ WD :
d z2 dz z.z 2 C 2/ z2 C 2
We see that
˚ thepfunctions
p a.z/ and b.z/ are meromorphic ˚ for
p C withp simple poles
located at 0; i 2; i 2 . Therefore, all points in C n 0; i 2; i 2 are regular
˚ p p
points. On the other hand, the regular single points make up the set 0; i 2; i 2 ,
and there are no irregular singular points.
§6.6] Exercises (197
b) To analyze local aspects around z D 0, we wrote the ODE in the form
d2 u du
z2C zA.z/ C B.z/u D 0;
d z2 dz
2 2z 2
A.z/ WD za.z/ D 2 ; B.z/ WD z 2 b.z/ D :
z C2 z2 C 2
Where A.z/ and B.z/ present
p the following power
p series expansions of converging
powers on the disk D.0; 2/ WD fz 2 C W jzj < 2g
z2 z4 z6 z4 z6 z8
A.z/ D 1 C


; B.z/ D z 2 C C


;
2 4 8 2 4 8
Therefore, as a0 D 1 and b0 D 0 we have for the indicial polynomial
P .˛/ D ˛ 2 C .a0 1/˛ C b0
that
P .˛/ D ˛ 2 :
There’s only one root in ˛1 D ˛2 D 0 that’s double. We deduce that, on the one
hand, u1 .z/ is a power series, and in the other hand, that logarithms will appear
for the second series solution u2 .z/.
c) We write the Frobenius series for the root ˛1 D 0, which is a power series, and the
other terms that appear in the ODE
X
1 X
1
2zu1 .z/ D 2z cn z n D 2cn 1 z n ;
nD0 nD1
X
1 X
1
2u01 .z/ D 2ncn z n 1
D 2.n C 1/cnC1 z n ;
nD0 nD0
X
1
z.z 2 C 2/u001 .z/ D .z 3 C 2z/ n.n 1/cn z n 2

nD0
X
1 X
1
nC1
D n.n 1/cn z C2 n.n 1/cn z n 1

nD0 nD0
X1 X
1
n
D .n 1/.n 2/cn 1 z C 2 .n C 1/ncnC1 z n ;
nD1 nD0
and we obtain:
X
1


2c1 C .n 3/ncn 1 C 2.n C 1/.n C 1/cnC1 z n D 0
nD1

that leads to c1 D 0 and to the recursion law

.n 2/.n C 1/
cnC2 D cn ;
2.n C 2/2
198) Chapter 6. Special Functions [§6.6
for n 2 f0; 1; 2; : : : g.
d) From the recurrence, since c1 D 0, it follows that all odd coefficients are zero,
c2nC1 D 0 . On the other hand, it also follows from the recurrence that c4 D 0 and
therefore that 0 D c6 D c8 D c10 D : : : . Effectively, the series ends and the only
coefficients not necessarily zero are c0 and c2 , the latter, according to the recurrence
is c2 D 14 and, therefore, choosing c0 D 1, we can

z2
u1 .z/ D 1 C :
4
Obviously, as the power series collapses
p to a polynomial the radius of convergence
becomes infinity and is bigger than 2, the distance to the closet singularity.
e) According to Fuch’s Theorem, the second solution can be written in the form
X
1
u2 D u1 log z C cn0 z n
nD1

Using the notation

d2 d
L D z.z 2 C 2/ C 2 2z D 0;
d z2 dz
we find
X1  3 3 X1 
0 n 0 n
L.u2 / D L.u1 log z/ C L cn z D L.u1 / log z C z C z C L cn z :
nD1
4 nD1

Thus, as L.u1 / D 0 we find the coefficients cn0 from

X
1  3 3
0 n
L cn z D z z:
nD1
4
As we have previously accomplished,
X
1  X
1

n
L cn0 z n D 2c10 C .n 3/ncn0 1
0
C 2.n C 1/2 cnC1 z ;
nD1 nD1

with c00 D 0. Therefore, equating coefficients power by power

1 3
c10 D 0; c20 D
; c30 D 0; c40 D
8 128
and, all the odd coefficients are zero
0
c2nC1 D 0;
and, for n  2, we find the recurrence

0 .2n C 1/.2n 2/ 0
c2nC2 D c2n :
2.2n C 2/2
§6.6] Exercises (199
Hence, as
0
c2nC2 1
lim 0
D
n!1 c 2
2n
p
according to d’Alambert’s ratio convergence criterion the convergence radius is 2,
and the second solution is
z2
1 2 3 4 5 6
u2 D C 1 log z z z C z C


:
4 8 128 1536

6.6.2. Exercises
1. The Legendre equation for the polynomials of the same name Pn .x/ can be written as
LPn D n Pn ; n D n.n C 1/:
where L is the operator of Sturm–Liouville
Lu WD D..1 x 2 /Du/ D .1 x 2 /D 2 u C 2xDu:
Prove that L is symmetric over the domain
D WD fu 2 C 1 . 1; 1/ W lim .1 x 2 /u0 .x/ D 0g  L2 .Œ 1; 1/:
x!˙1

As a consequence demonstrate that the polynomials of Legendre fPn .x/gn0 form an

orthogonal set in L2 Œ 1; 1.
2. Rodrigues’ formula for Legendre’s polynomials is:
1
Pn .x/ D D n .x 2 1/n ; n  0:
2n nŠ
By using this expression:
a) Determine the first three polynomials.
b) To represent graphically in the interval Œ 1; 1 the polynomials P2 and P3 .
c) Show that Pn . x/ D . 1/n Pn .x/, n D 0; 1; : : : :
3. Through Rodrigues’ formula for Legendre’s polynomials:
a) Show that Pn .x/ is a polynomial of degree n.
b) Using the identity
.x 2 1/n D .x C 1/n .x 1/n ;
in Rodrigues’ formula and Leibniz’s rule to differentiate, you get
1 X
n
nŠ
Pn .x/ D n ŒD k .x C 1/n ŒD n k
.x 1/n :
2 nŠ kŠ.n k/Š
kD0

Use this formula to prove that

Pn .1/ D 1; 8n  0;
and deduce then that
Pn . 1/ D . 1/n ; 8n  0:
200) Chapter 6. Special Functions [§6.6
4. Developing by means of Newton’s binomial formula we have to
X
n
nŠ
2 n
.x 1/ D . 1/n k
x 2k :
kŠ.n k/Š
kD0
Making use of this identity in Rodrigues’ formula proves that
.2n/Š
P2n .0/ D . 1/n 2n ; P2nC1 .0/ D 0; 8n  0:
2 .nŠ/2
5. Making use of the identity
DPnC1 DPn 1 D .2n C 1/Pn ; n  0;
determine the series expansion of Legendre polynomials
X
u.x/ D cn Pn .x/;
n0

of the function
(
1 si 0 < x < 1
u.x/ D
0 si 1 < x < 0I
6. Let L be the following Sturm–Liouville operator
1 m2
Lm u D [Link]/ C 2 u; m D 0; 1; 2 : : :
x x
a) Show that Lm is symmetric in the domain
˚
D WD u 2 C 2 ..0; b// W 9 lim u.x/; lim .xu0 .x// D 0; u.b/ D 0  L2 .Œ0; b/;
x!0 x!0
siendo .x/ D x
b) If cmn .n  1/ are the zeros of the Bessel function Jm .x/ then, if
n D .cmn =b/2 ;
p
the functionsun .x/ D Jm . n x/, n  1, belong to D and satisfy
L m un D  n un :
c) Based on the asymptotic behavior of Bessel functions at large coordinate values x,
r 
2 m  
Jm .x/  cos x ;
x 2 4
graphically sketch the eigenfunctions un .x/ in the interval Œ0; b.
d) Using the same asymptotic expression of Jm .x/ provide an approximate formula for
eigenvalues n .
7. Consider the Bessel equation
1 m2
.xu0 /0 C .1 /u D 0:
x x2
2 0
Multiplying by 2x u show that
2xu2 D Œ.xu0 /2 C .x 2 m2 /u2 0 :
§6.6] Exercises (201
From here prove that
Z b p
2 b2  0 p 2
xJm n x d x D Jm . n b/ ;
0 2
with cmn (n  1) being the zeros of the function Jm .x/, y
n D .cmn =b/2 :
8. Show that the spherical Bessel function jl .x/; nl .x/ fulfill
x 2 v 00 C 2xu0 C .x 2 l.l C 1//u D 0:
 7. Helmholtz Equation in
Curvilinear Coordinates

Contents
7.1 Cylindrical Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
7.2 Spherical coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
7.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230

H
elmholtz equation for functions satisfying certain boundary value problems, with bound-
aries described naturally in given curvilinear coordinates are discussed in this lecture.
Equipped with the knowledge and tools that we developed in previous lectures we will
consider this topic for the case in which cylindrical or spherical coordinates can be
used. In the case of cylindrical coordinates, the functions of Bessel and Neumann of integer
index will appear, in the case of spherical coordinates we will need the Legendre polynomials
and their associated polynomials, which will allow us to construct spherical harmonics, and
their real versions, the teseral spherical harmonics.

§7.1. Cylindrical Coordinates

L
aplacian operator and its eigenvalues, i.e. the analysis of boundary value problems for
the Helmholtz equation, is now addressed but in situations where the boundary are
described in a particularly simple way in cylindrical coordinates. The introduction of
these coordinates into the Helmholtz and MSV equation leads to the appearance of the Bessel
and Neumann functions that will be key in this section. We will deal with the study of examples
from Quantum Physics and Fluid Mechanics.
When using cylindrical coordinates as illustrated in the figure below, this is
x D r cos ;
y D r sin ;
z D z;
the Helmholtz equation is written as follows
1 1
urr C ur C 2 u  C uzz C k 2 u D 0:
r r
We separate variables through factorization
u.r; ; z/ D V .r; /Z.z/
203
204) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.1
which transforms the Helmholtz equation into
Z 00 C k 2 Z D ˛ 2 Z;
r 2 Vrr C rVr C V  D ˛ 2 r 2 V:

plane z D z1
z1
P1 .r1 ; 1 ; z1 / uz
u
ur
cylinder r D r1

plane  D 1

r1
y
1

The solution of the first ODE is

(
Az C B; k2 D ˛2;
(66) Z˛ .z/ D p
2 2
p
k2 ˛2 z
A ei k ˛ z CB e i
; k2 ¤ ˛2:

For the second equation we can also separate variables

V .r; / D R.r/‚./
to get the equations
r 2 R00 C rR0 C ˛ 2 r 2 R D m2 R;
‚00 D m2 ‚:
§7.1] Cylindrical Coordinates (205
The general solution of the second equation is
(
C  C D; mD0
(67) ‚m ./ D
C ei m CD e i m
; m ¤ 0:

It remains to analyze the ODE in R, known as radial equation. There are two different cases
for this one. First we consider ˛ D 0 and the corresponding equation is
r 2 R00 C rR0 m2 R D 0
whose solution is
(
c1 log r C c2 m D 0;
(68) R˛D0;m .r/ D
c1 r m C c2 r m m ¤ 0:

When ˛ ¤ 0, by changing the variable  D ˛r, the corresponding ODE is reduced to

2
2d
R dR
 2
C  C .2 m2 /R D 0;
d d
which is the well-known Bessel equation (49) in the variable . Therefore, the solution is
(69) R˛;m .r/ D EJm .˛r/ C F Nm .˛r/:

7.1.1. Polar Coordinates The Helmholtz equation in two dimensions, written in polar
coordinates is
1 1
urr C ur C 2 u  C k 2 u D 0:
r r
It is the same equation that appears when in the Helmholtz equation in cylindrical coordinates
we seek for solutions that do not depend on the independent variable z. Therefore, it is enough
to make ˛ 2 D k 2 in the above to obtain the corresponding solutions..
7.1.2. Quantum particle in an impen-
etrable cylindrical wedge We now consider
z a quantum particle enclosed in a cylindrical
wedge with radius a, height h and with aper-
h ture angle 0 < 0 < 2 as shown in the fig-
ure. The stationary states are described by
the square integrable solutions of the follow-
ing Dirichlet boundary problem
˚ ¯2
u D Eu;
ˇ2M
uˇ
wallsD0

y that calling
¯2 k 2
ED
2M
a

θ0
x
206) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.1

coordinates
„‚
we write as the following boundary value problem for the Helmholtz equation in cylindrical

u C k 2 u D 0;
ˇ
uˇrDa D 0;
ˇ
uˇ D0 D 0;
ˇ
uˇ D0 D 0;
ˇ
uˇzD0 D 0;
ˇ
uˇzDL D 0:
Applying the MSV solutions are found in the form
R˛;m .r/‚m ./Z˛ .z/;
which must satisfy the boundary value conditions and regularity. First we focus on the angular
function ‚m (67); the boundary conditions in the variable  son
‚m .0/ D ‚m .0 / D 0;
that lead, for m ¤ 0, to the next linear system for C and D
(
C C D D 0;
ei m0 C C e i m0 D D 0:
For m D 0 it implies that ‚ D 0. This linear system has a non-trivial solution if and only if
ˇ ˇ
ˇ 1 1 ˇˇ
ˇ i m
ˇe 0 e i m0 ˇ D 0;
which is tantamount to
sin m0 D 0:
Therefore, we infer that

mDj ; j 2 N:
0
Moreover D D C and
‚m ./ D 2C sin.m/:
Secondly, we deal with the variable z and impose the corresponding boundary conditions in
(66) to Z˛ . If k 2 D ˛ 2 one easily concludes that Z D 0. For k 2 ¤ ˛ 2 we obtain the following
linear system for A and B
(
ApC B D 0; p
2 2 2 2
ei k ˛ L A C e i k ˛ L B D 0;
which admits a nontrivial solution if and only if
p
sin k 2 ˛ 2 L D 0:
§7.1] Cylindrical Coordinates (207
And so
2
k 2 D n2 C ˛2; n 2 N:
L2
Also B D A and

Z˛ .z/ D 2A sin
nz:
L
Finally, we analyzed the radial variable r. The radial function R.r/ must not have singularities
for r D 0 and must also satisfy R.a/ D 0. Therefore, and taking into account (68), it follows
that there are no non-trivial solutions for ˛ D 0 and this case is discarded. It only remains to
be seen what happens for ˛ ¤ 0, now from (69) we deduce F D 0 (regularity at the origin) and
the boundary condition imposes that
Jm .˛a/ D 0:
Hence, if fcm;` g1 4
`D1 are the zeros of the Bessel function Jm .x/ we come to the conclusion that

mDj ; j 2 N;
0
cm;`
˛D ; ` 2 N:
a
The admissible energies are therefore
y
¯ 2 h  2 n2 .cj  ;` /2 i
Ej;`;n D C 0
; j; `; n 2 N
2M L2 a2
and the corresponding eigenfunctions will be
 r    z
Jj  cj  ;` sin j sin n :
0 0 a 0 h
The problem of a two-dimensional quantum
particle enclosed in a wedge, as the figure in-
a
0

dicates, is resolved (in polar coordinates) by

making n D 0. For example, if a D 1 and x
0 D =2 the energies and the stationary
R
states are
¯2
.c2j;` /2 ; J2j .c2j;` r/ sin.2j/; j; ` 2 N;
2M
4Given the asymptotic behavior
r 
2 
Jm .x/  cos x .2m C 1/
x 4
we observe for zeros that
 
cm;`  .2` C 1/ C .2m C 1/ :
2 4
208) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.1
respectively. For example, for j D 1, the first two zeros of the Bessel function J2 are
c2;1 Ñ 5:135622302; c2;2 Ñ 8:417244140;
for j D 2 the first zero of the function J4 is
c4;1 Ñ 7:588342435:
It’s easy to see that these are the first three zeros to appear. Therefore, the fundamental state,
the first and second excited are represented by
J2 .c2;1 r/ sin.2/; J4 .c4;1 r/ sin.4/; J2 .c2;2 r/ sin.2/:
Next we show the sequence formed by the squares of these functions

juj juj juj

0:4 0:4 0:4

0:2 0:2 0:2

y y y
1 1 1
0:5 0:5 0:5

0:5 0:5 0:5

1 x 1 x 1 x

7.1.3. Quantum particle in an impenetrable cylinder Let’s look at the case of a quan-

become
€˚
tum particle enclosed in a cylinder (0 D 2) of radius a. In this case the conditions in 

u C k 2 u D 0;
ˇ
uˇrDa D 0;
ˇ ˇ
uˇD0 D uˇD2 ;
ˇ
uˇzD0 D 0;
ˇ
uˇzDL D 0:
The periodic condition ujD0 D ujD2 implies that m 2 Z and ‚m ./ D C ei m . The admissi-
ble energies are therefore
¯ 2 h  2 n2 .cm;` /2 i
Em;`;n D C ; m 2 ZC ; `; n 2 N
2M L2 a2
and the corresponding eigenfunctions will be
 r  ˙ i m  z
Jm cm;` e sin n :
a h
§7.1] Cylindrical Coordinates (209
Where we see a degeneration for the states with jmj > 0.
7.1.4. Quantum particle trapped in a quantum corral As before we put n D 0 so
¯2 .cm;` /2  r  ˙ i m
that Em;` D and the corresponding eigenfunctions will be Jm c m;` e for
2M a2 a
m 2 ZC ; ` 2 N.
` J0 .x/ J1 .x/ J2 .x/ J3 .x/ J4 .x/ J5 .x/ J6 .x/ J7 .x/ J8 .x/
1 2:4048 3:8317 5:1356 6:3802 7:5883 8:7715 9:9361 11:0864 12:2251
2 5:5201 7:0156 8:4172 9:7610 11:0647 12:3386 13:5893 14:8213 16:0378
3 8:6537 10:1735 11:6198 13:0152 14:3725 15:7002 17:0038 18:2876 19:5545
4 11:7915 13:3237 14:7960 16:2235 17:6160 18:9801 20:3208 21:6415 22:9452
5 14:9309 16:4706 17:9598 19:4094 20:8269 22:2178 23:5861 24:9349 26:2668
We see that states are organized according to their energy as
E0;1 < E1;1 < E2;1
< E0;2 < E3;1 < E1;2 < E4;1 < E2;2
< E0;3 < E5;0 < E3;2 < E6;0 < E1;3 < E4;2 < E7;1 < E2;3
< E0;4


:
For a D 1 fundamental state is J0 .2:4048r/, the first excited state, which is degenerated,
J1 .3:8317r/ cos. ˇ/, the second excited, which is degenerate, J2 .5:1356r/ cos 2. ˇ/ and
the third excited state J0 .5:1356r/.
juj juj juj juj juj

juj juj juj juj juj

210) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.1
¯2 .c0;4 /2
We now show the excited state 16, which corresponds to J0 .c0;4 r/ with energy
2M a2
and it can be compared to a famous art creation of a solid state surface quantum corral

7.1.5. Quantum particle trapped in an annulus Let’s analyze the case of a quantum

„‚
particle enclosed between two cylinders with the same axis and radii 0 < R1 < R2 < 1. In
this case the conditions in  become
u C k 2 u D 0;
ˇ
uˇrDR1 D 0;
ˇ
uˇrDR2 D 0;
ˇ ˇ
uˇD0 D uˇD2 ;
ˇ
uˇzD0 D 0;
ˇ
uˇzDL D 0:

The periodic condition ujD0 D ujD2 implies that m 2 Z and ‚m ./ D C ei m . The discus-
sion in z is the same, but when we go to the radial variable the situation is completely different.
If m D 0 we can have ˛ D 0 because the boundary values lead to
    
log R1 1 c1 0
D :
log R2 1 c2 0
ˇ ˇ ˇ ˇ
ˇ R1 1 ˇ ˇ log R1 1 ˇ
Thus, you must have ˇ log log R2 1 ˇ D 0, but ˇ log R2 1 ˇ D log R1 log R2 D log R
R1
2
, so that from
log R1
R2
D 0 we deduce R1 D R2 , which is absurd. So far so good, and for the next case we have
 m    
R1 R1 m c1 0
D :
R2m R2 m c2 0
§7.1] Cylindrical Coordinates (211
ˇ m mˇ
ˇR R ˇ Rm Rm
That is, we require that ˇ R1m R1 m ˇ D 0, or R1m D R2m which again implies that R1 D R2 , which
2 2 2 1
is impossible. It is therefore ruled out that ˛ D 0. If ˛ ¤ 0 we will have
    
Jm .˛R1 / Nm .˛R1 / E 0
D :
Jm .˛R2 / Nm .˛R2 / F 0

ˇ ˇ
ˇ Jm .˛R1 / Nm .˛R1 / ˇ
Thereforeˇ Jm .˛R2 / Nm .˛R2 / ˇ D 0, i.e., ˛ must be one of the zeros f˛n;` g of

Jm .˛R1 /Nm .˛R2 / Nm .˛R1 /Jm .˛R2 / D 0:

R2
Calling c D ˛R1 and  D R1
you can write

Jm .c/Nm .c/ Nm .c/Jm .c/ D 0:

The admissible energies are therefore

¯2 h  2 n2 .cm;` /2 i
Em;`;n D C ; m 2 ZC ; `; n 2 N
2M L2 R12

and the corresponding eigenfunctions are

  
r   r  ˙ i m z
Nm .cm;` /Jm cm;` Jm .cm;` /Nm cm;` e sin n :
R1 R1 L

In the planar reduction to the annulus one obtains the energies

¯2 .cm;` /2
Em;` D ; m 2 ZC ; ` 2 N
2M R12

and the eigenfunctions

  
r   r  ˙ i m
Nm .cm;` /Jm cm;` Jm .cm;` /Nm cm;` e :
R1 R1

Let us put R1 D 1 y R2 D 2, with  D 2, we will have to find the collection of zeros of

fm .x/ WD Jm .x/Nm .2x/ Nm .x/Jm .2x/. We represent below the functions fm .x/
212) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.1
y

21 2 sin x
8 x
0:8 J0 .x/N0 .2x/ N0 .x/J0 .2x/
J1 .x/N1 .2x/ N1 .x/J1 .2x/
J2 .x/N2 .2x/ N2 .x/J2 .2x/
0:7
J3 .x/N3 .2x/ N3 .x/J3 .2x/
J4 .x/N4 .2x/ N4 .x/J4 .2x/
15
0:6 8
J8 .x/N8 .2x/ N8 .x/J8 .2x/

0:5 3
2
2 log 2
0:4 

0:3

0:2

0:1

x
2 2 4 6 8 10 12 14 16 18 20

0:1

From the asymptotic behaviors of the Bessel and Neumann functions to large x, and of the
trigonometric relation sin.a b/ D sin a cos b sin b cos a, we deduce

2  


fm .x/  cos x .2m C 1/ sin 2x .2m C 1/


x 4 4


sin x .2m C 1/ cos 2x .2m C 1/
4 4
2 sin x
D :
x

Then, for a given m and x large enough, much larger than .2m C 1/ 4 the graph of fm .x/ will
practically overlap with that of 2 x
sin x
. On the other hand, the asymptotic behavior for small x
2 log 2 4 m 1
is f0 .x/   y fm .x/  m2m .
The table of zeros fcm;` g is
§7.1] Cylindrical Coordinates (213

` f0 .x/ f1 .x/ f2 .x/ f3 .x/ f4 .x/ f5 .x/ f6 .x/ f7 .x/ f8 .x/ f9 .x/
1 3:1230 3:1966 3:4069 3:7289 4:1334 4:5950 5:0945 5:6179 6:1557 6:7015
2 6:2734 6:3123 6:4278 6:6159 6:8712 7:1866 7:5550 7:9687 8:4206 8:9038
3 9:4182 9:4445 9:5229 9:6522 9:8309 10:0564 10:3261 10:6371 10:9862 11:3703
4 12:5614 12:5812 12:6404 12:7385 12:8747 13:0481 13:2574 13:5012 13:7779 14:0858
5 15:7040 15:7199 15:7673 15:8462 15:9561 16:0964 16:2665 16:4656 16:6929 16:9474
Which leads to the following ordering

E0;1 < E1;1 < E2;1 < E3;1 < E4;1 < E5;1 < E6;1 < E7;1 < E8;1
< E0;2 < E1;2 < E2;2 < E3;2 < E9;1 <

The wave functions are, m D 0; 1; 2; : : : ,

um;` D Nm .cm;` /Jm .cm;` r/ Jm .cm;` /Nm .cm;` r/ e˙ i m :

The fundamental eigenstate is

N0 .c0;1 /J0 .c0;1 r/ J0 .c0;1 /N0 .c0;1 r/

and the first two excited states, both degenerated, with a two-dimensional eigensubspace are
expanded by

.N1 .c1;1 /J1 .c1;1 r/ J0 .c0;1 /N1 .c1;1 r// sin. ˇ/;
.N2 .c2;1 /J1 .c2;1 r/ J0 .c2;1 /N1 .c2;1 r// sin.2. ˇ//;

Next we draw the probability densities corresponding to these three states

juj juj juj

¯2
We now show the excited state 9, which corresponds to u D J0 .c0;2 r/ with energy .c0;2 /2
2M
214) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.1

7.1.6. Fluid in a cylindrical pipe The u veloc-

ity potential of a stationary fluid in a circular section
z pipe like the one shown in the figure is characterized
by the following Neumann boundary value problem for
a the Laplace equation
˚ u D 0;
ˇ
@u ˇˇ
D 0:
@r ˇrDa
We have taken into account that
1
ru D ur ur C u u C uz uz ;
r
where the orthonormal trihedron fur ; u ; uz g is con-
y structed in terms of the Cartesian trihedron fi ; j ; kg
as follows
ur D cos i C sin j ; u D sin i C cos j ; uz D k:
x Therefore, the unitary normal vector to the surface
of the cylindrical pipe is precisely n D ur from which it
follows that the normal derivative on that surface is
@u
D n
ru D ur :
@n
Let’s impose these boundary conditions on
R˛;m .r/‚m ./Z˛ .z/
§7.2] Spherical coordinates (215
where we take k D 0 (the PDE is the Laplace equation). The functions must be regular at the
origin r D 0 as well as 2-periodic in , then m 2 ZC , and satisfy the homogeneous Neumann
condition on the surface of the cylinder r D a. That is,

0
R˛;m .a/ D 0:

For ˛ D 0 only the trivial solution, u constant, with the fluid at rest v D 0 is possible. If ˛ ¤ 0
the radial functions will be, by regularity in r D 0,

Jm .˛r/

and therefore the boundary condition is

Jm0 .˛a/ D 0:

0
If we denote fcm;` g`2N to zeros4 of Jm0 then

0
cm;`
˛m;` D ; m 2 ZC ; ` 2 N:
a

Finally, the solutions are

 r


0
Jm cm;` C ei m CD e i m
A e˛m;` z CB e ˛m;` z
:
a

§7.2. Spherical coordinates

H
elmholtz equation in situations where boundary conditions to be satisfied are described
simply in spherical coordinates is considered in this section. For its study it will be nec-
essary the introduction of the spherical harmonics, eigenfunctions of the angular mo-
mentum and their real or tesseral versions. We will illustrate these developments with different
examples of Quantum Physics, Fluid Mechanics and Electrostatics.

4Given the asymptotic behavior

r 
2 
Jm0 .x/  sin x .2m C 1/
x 4

we observe for the zeros

0 
cm;`  ` C .2m C 1/ :
4
216) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.2
z

ur
u


u

r

y

In spherical coordinates
€ x D r sin  cos ;
y D r sin  sin ;
z D r cos ;
the Helmholtz equation is written
1 1
[Link]/rr C k 2 r 2 u C .sin  u / C u D 0:
sin  sin2 
A first separation of variables:
u.r; ; / D R.r/Y.; /
leads us to decouple the equation in radial and angular part1 as follows
[Link]/00 C k 2 r 2 R D R;
1 1
.sin  Y / C Y D Y:
sin  sin2 
The angular equation written in the form
sin .sin  Y / C Y sin2  C Y D 0;
1Note that
1 1 L2 Y
.sin  Y / C Y D
sin  sin2  ¯2
where L is the angular momentum operator in Quantum Mechanics.
§7.2] Spherical coordinates (217
is separable. Thus, the factorization
Y.; / D P ./ˆ./;
leads to the following pair of ODEs
sin .sin  P / C  sin2  P D m2 P;
ˆ D m2 ˆ:
Consequently,
ˆ./ D C ei m :
We will assume that m belongs to Z in order to ensure continuity in the xz plane. On the other
hand, using the variable
 WD cos 
the equation for P takes the form
d h 2 dPi  m2 
(70) .1  / C  P D 0:
d d 1 2
This is the associated Legendre equation that form D 0 reduces to the Legendre ODE. One
can check that if P./ solves the Legendre ODE
d h dPi
(71) .1  2 / C P D 0;
d d
then
djmj P
P ./ DW .1  2 /jmj=2 jmj ;
d
is a solution to the associated Legendre equation. The Legendre equation (71) has regular
solutions at  D ˙1 if and only if
(72)  D `.` C 1/; ` D 0; 1; 2; : : : ;
which are given by the Legendre polynomials of whose expression (without normalizing) is
d` . 2 1/`
P` ./ WD ; ` D 0; 1; : : : :
d `
Therefore4 (70) will have regular solutions at  D ˙1 if and only if the condition (72) is met,
and the solutions of (70) are
. 1/m djmjC` . 2 1/`
(73) P`jmj ./ W D .1  2 /jmj=2 ; jmj  `; ` D 0; 1; : : : :
2` `Š d  jmjC`
4The associated Legendre equation is a problem of Sturm–Liouville in the interval Œ 1; 1 with ./ D 1,
p./ D 1  2 and q.x/ D m2 =.1  2 /. In spite of being singular, it has a complete orthogonal set of eigenfunctions:
Z 1
P`jmj ./P`jmj
0 ./ d  D 0; si ` ¤ `0 :
1
218) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.2
where the factor . 1/m is the so called Condon–Shortley phase. It should also be noted that
these solutions are not trivial if and only if jmj  `, and that for m D 0 we recover the Legendre
polynomials P` ./. Inspired by

d` m 2 .` m/Š d`Cm 2
. 1/` D . 1/m .1  2 /m . 1/` ;
d ` m .` C m/Š d  `Cm

we define the associated Legendre functions P`m ./ for any m 2 Z as follows

jmj .` jmj/Š jmj

(74) P` ./ W D . 1/m P ./; jmj  `; ` D 0; 1; : : : :
.` C jmj/Š `

Associated Legendre Functions

For ` D 0; 1; 2; : : : and m D 0; ˙1; : : : ; ˙`, the associated Legendre functions are given by
`Cm
. 1/m 2 m=2 d
P`m ./ D .1  / . 2 1/` :
2` `Š d  `Cm
Note that for m even the associated Legendre functions
p are polynomials and they are not polyno-
mials for m odd, in that case appears a factor 1  2 multiplying a polynomial. Nevertheless,
Plm .cos / is a trigonometric polynomial in sin  and cos . This is why these associated Le-
gendre functions are sometimes called Legendre associated “polynomials".

Associated Legendre Functions

The first associated Legendre functions are

P00 .x/ D 1;
p p
P11 .x/ D 1 x 2 ; P10 .x/ D x; P1 1 .x/ D 12 1 x 2 ;
p
P22 .x/ D 3.1 x 2 /; P21 .x/ D 3x 1 x 2 ; P20 .x/ D 12 .3x 2 1/;
p
P2 1 .x/ D 12 x 1 x 2 ; P22 .x/ D 18 .1 x 2 /;
p
P33 .x/ D 15.1 x2/ 1 x 2 ; P32 .x/ D 15x.1 x 2 /;
p 1 p
P31 .x/ D 3
2
.5x 2 1/ 1 x 2 ; P30 .x/ D .5x 3 3x/; P3 1 .x/ D 81 .5x 2 1/ 1 x 2 ;
2 p
P3 .x/ D 18 x.1 x 2 /; P33 .x/ D 48
2 1
.1 x 2 / 1 x 2 :
§7.2] Spherical coordinates (219

Spherical Harmonics

The solutions of the angular equation , which are kown as spherical harmonics, for ` D
0; 1; 2; : : : and m D 0; ˙1; : : : ; ˙`, can be written in following the form
s
.2` C 1/ .` m/Š m
Y`m .; '/ D . 1/m P` .cos / ei m :
4 .` C m/Š

We must mention that there are other ways to introduce spherical harmonics. This is the
form used in Quantum Mechanics. In
qother fields of Physics other normalizations are used, for
example in Seismology: Y`m .; '/ D .2`C1/ .` m/Š
P m .cos / ei m , in Geodesy and Geophysics:
q 4 .`Cm/Š `
q
.` m/Š .` m/Š
Y`m .; '/ D .2` C 1/ .`Cm/Š P`m .cos / ei m in Magnetism Y`m .; '/ D .`Cm/Š P`m .cos / ei m .
The spherical harmonics fulfill

YN`m .; '/ D . 1/m Y` m

.; '/;

where YN`m is the complex conjugate of the spherical harmonic.

Spherical Harmonics Expansions

The spherical harmonics constitute a complete orthonormal set in

n Z o
2 2
L .S / WD f D f .; / W jf .; /j2 d S < 1 ;
S2
where S 2 D f.x; y; z/ 2 R3 W x 2 C y 2 C z 2 D 1g unitary sphereR3 , and d S D sin  d  d  is the
area element in the sphere. The scalar product is
Z Z 2 Z 
.f; g/ WD fN.; /g.; / d S D fN.; /g.; / sin  d  d :
S2 0 0
So, we have the orthonormal basis fY` g `D0;1;::: .
m
That is, they form an orthonormal set
mD `;:::;`
0
.Y`m ; Y`m0 / D ı`;`0 ım;m0
and any functionf .; / on L2 .S 2 / has an expansion
X
f .; / D c`m Y`m .; /
`;m

where
Z 2 Z 
c`m D .Y`m ; f /D YN`m .; /f .; / sin  d  d :
0 0
220) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.2
Spherical harmonics give the atomic orbitals of Quantum Physics and Quantum Chemistry,
which are called orbitals or s waves (sharp, ` D 0), p (main, ` D 1), d (diffuse, ` D 2) and f
(fundamental, ` D 3), for greater angular moments ` D 4; 5; 6; 7; : : : the letters g,h,i,k,. . . are
used, in alphabetical order and omitting the j, since some languages do not distinguish them.
Next we give a table of the first spherical harmonics, where we have used that x D r sin  cos ,
y D r sin  sin , z D r cos ,

r
s wave;
€
l D 0 W Y00 .; / D

1
1
2
1
1

r
;

3 i 1
r
3 .x i y/

˚
Y1 .; / D sin  e D ;
2 r 2 r 2 2 r
p wave; l D1W 1 3 1 3z
Y10 .; / D cos  D ;
2 r 2 r r
1 3 1 3 .x C i y/
Y11 .; / D sin  ei  D ;
2 2 2 2 r
r r
2 1 15 2 2i 1 15 .x i y/2
Y2 .; '/ D sin  e D ;
4 r 2 4 2r r2
1 15 1 15 .x i y/z
Y2 1 .; '/ D sin  cos  e i  D ;
2 r 2 r2 2 r2
d wave; l D2W 1 5 1 5 .2z 2 x 2 y 2 /
Y20 .; / D .3 cos2  1/ D ;

‚
4 r  4  r r2
1 15 1 15 .x C i y/z
Y21 .; / D sin  cos  ei  D ;
r
2 2 r 2 2 r2
1 15 1 15 .x C i y/2
Y22 .; / D sin2  e2 i  D
4 2 4 2 r2
r r
1 35 3 1 35 .x i y/3
Y3 3 .; / D sin  e 3 i  D
8r  8  rr3
1 105 2 1 105 .x i y/2 z
Y3 2 .; / D sin  cos  e 2 i  D
4 r 2 4 2r r3
1 21 1 21 .x i y/.4z 2 x 2 y 2 /
Y3 1 .; / D sin .5 cos2  1/ e i  D
8r  r 8  r3
2 2
f wave; l D3W 1 7 1 7 z.2z 3x 3y 2 /
Y30 .; / D .5 cos3  3 cos / D
4 r  4  r r3
1 21 1 21 .x C i y/.4z 2 x 2 y 2 /
Y31 .; / D sin .5 cos2  1/ ei  D
r
8  r 8  r3
1 105 2 1 105 .x C i y/2 z
Y32 .; / D sin  cos  e2 i  D
4 r2 r4 2 r3
1 35 3 3 i  1 35 .x C i y/3
Y33 .; / D sin  e D
8  8  r3
§7.2] Spherical coordinates (221

Real or Tesseral Spherical Harmonics

You can build a base of real spherical harmonics Y`;m .; /, also known as tesseral spherical
harmonics, with
† i

p Y`m .; / . 1/m Y` m .; / ; m < 0;
2
Y`;m .; / D Y`0 .; /; m D 0;
i

p Y`m .; / C . 1/m Y` m .; / ; m > 0;
2
which are the real and imaginary parts
€ p
2. 1/m Im Y`jmj .; /; m < 0;
Y`;m .; / D Y`0 .; /; m D 0;
p m m
2. 1/ Re Y` .; /; m > 0:
These tesseral harmonics form an orthonormal basis of L2 .S 2 /, said cosine for m > 0, and sine
for m < 0
„p q 2`C1 .` jmj/Š jmj
2 4 .`Cjmj/Š P` .cos / sin jmj; m < 0;
q
Y`;m .; / D 2`C1 m
P` .cos /; m D 0;
p q 2`C1 .` m/Š m
4

2 4 .`Cm/Š P` .cos / cos m m > 0:

 222) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.2
Below is a table of the different tesseral harmonics, using s, p, d, f wave notation and
presenting the different multipolar components of the orbitals.

r
wave s;
€
l D 0 W Y0;0 .; / D s.; / D
1
2
1

r
;

3 y
r
3

˚
Y1; 1 .; / D py .; / D D sin  sin ;
r 4 r r 4
wave p; l D1W 3 z 3
Y1;0 .; / D pz .; / D D cos ;
r 4 r r4
3 x 3
Y1;1 .; / D px .; / D D sin  cos ;
4 r 4
r r
1 15 xy 1 15 2
Y2; 2 .; / D dxy .; / D D sin  cos  sin ;
2r  r 2 2r 
1 15 yz 1 15
Y2; 1 .; / D dyz .; / D D cos  sin  sin ;
2r  r 2 2  r
wave d; l D2W 1 5 x 2 y 2 C 2z 2 1 5
Y2;0 .; / D dz 2 .; / D D .3 cos2  1/
4 r r 2r 4 
1 15 zx 1 15
Y2;1 .; / D dxz .; / D 2
D cos  sin  cos ;
2 r r r

‚
2 
1 15 x 2 y 2 1 15 2
Y2;2 .; / D dx 2 y 2 .; / D 2
D sin .cos2  sin2 /
4  r 4 

r r
1 35 y.3x 2 y 2 / 1 35
Y3; 3 .; / D fy.3x 2 y 2 / .; / D 3
D sin3  sin .4 cos2  1/;
r 4 2 r
r 4 2
1 105 xyz 1 105
Y3; 2 .; / D fxyz .; / D D cos  sin2  sin  cos ;
2r  r 3 2  r
1 21 y.4z 2 x 2 y 2 / 1 21
Y3; 1 .; / D fyz 2 .; / D 3
D .5 cos2  1/ sin  sin ;
4r 2 r 4r 2
wave f; l D3W 1 7 z.2z 2 3x 2 3y 2 / 1 7
Y3;0 .; / D fz 3 .; / D D .5 cos2  3/ cos ;
4 r r3 4 r
1 21 x.4z 2 x 2 y 2 / 1 21
Y3;1 .; / D fxz 2 .; / D 3
D .5 cos2  1/ sin  cos ;
4 2r r 4r 2
1 105 z.x 2 y 2 / 1 105
Y3;2 .; / D fz.x 2 y 2 / .; / D 3
D cos  sin2 .cos2  sin2 /;
4 r r 4 r
1 35 x.x 2 3y 2 / 1 35
Y3;3 .; / D fx.x 2 3y 2 / .; / D 3
D sin3  cos .1 4 sin2 /:
4 2 r 4 2
 §7.2] Spherical coordinates (223
We are going to
p represent the orbitals, or tesseral waves, as the surface determined by the polar
equation r D 4jY`;m .; /j, which are therefore not level surfaces
z
z z z
pz orbital
s orbital px orbital
py orbital

y
x y
x y x x y

z dxz orbital z
z
dyz orbital
dx 2 y2 orbital

y
y y
x
x x
x y

dz 2 orbital
z
z z
fz 3 orbital

dxy orbital

x x
y y
x
y
x y

fxz 2 orbital fyz 2 orbital

224) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.2

z z
z z

x x x x
y y y y
fx.x 2 3y 2 / orbital fy.3x 2 y2/ orbital
fz.x 2 y2/ orbital fxyz orbital

7.2.1. Radial equation We distinguish two cases according to whether k is null or not.
If k D 0 the radial equation reads

r 2 R00 C 2rR0 `.` C 1/R D 0

which is an Euler ODE. Trying solutions of the form r ˛ we immediately conclude that a
general solution that is of the form

1
(75) R.r/ D Ar ` C B :
r `C1

For k ¤ 0, the radial ODE for R is

r 2 R00 C 2rR0 C .k 2 r 2 `.` C 1//R D 0:

Bearing in mind that with the change of variable x D kr this radial equation becomes
the differential equation which satisfy the spherical functions of Bessel and Neumann
 1 d ` sin x  1 d ` cos x
j` .x/ WD . x/` ; n` .x/ WD . x/` ;
x dx x x dx x

it is clear that the general solution of the radial equation for k ¤ 0 is

(76) R` .r/ D Aj` .kr/ C Bn` .kr/:

The first spherical functions are:

`D0 `D1 `D2
sin r sin r cos r sin r cos r sin r
j` .r/ 3 3
r r2 r r3 r2 r
cos r cos r sin r cos r sin r cos r
n` .r/ 3 3 3 2 C
r r2 r r r r
§7.2] Spherical coordinates (225

The behavior of these functions in the origin6 es

r`
j` .r/  ;
(77) .2` C 1/ŠŠ r ! 0:
.2` 1/ŠŠ
n` .x/  ;
r `C1

7.2.2. Quantum particle in a spherical box The stationary states of energy E of a free
particle inside a sphere of radius a with impenetrable walls are described by the solutions of
the following boundary value problem:
(
u C k 2 u D 0; E D ¯2M
2k2
;
ujrDa D 0:

We must impose on the solutions of the Helmholtz equation

u.r; ; / D Rk;` .r/Y`;m .; /
both the regularity at the origin and the boundary value conditions. The regularity at the origin
imposes that B D 0 in (75) and (76). On the other hand, the boundary value conditions for
the case (75) leads to A D 0 and the trivial solution, while for (76) it leads to
j` .ka/ D 0:
Hence, if fc`;n g1
nD1 are the zeros, which form an increasing sequence, of the spherical function
of Bessel j` the admissible values of energy are
2
¯2 c`;n
E`;n D
2M a2
and the corresponding stationary states
c 
`;n
u`;m;n .r; ; / D j` r Y`;m .; /:
a
The probability density ju`;m;n j2 does not depend on the variable . Therefore, we can rep-
resent, using polar coordinates .r; /, the probability in the planes that contain the axis z,
 D constant, and this representation will be the same for all these planes.
The first three zeros are
c0;1 D ; c1;1 Ñ 4:493409458; c2;1 Ñ 5:763459197;

6The functions of Bessel and spherical Neumann have the following behavior in infinity
1  
j` .r/ D cos r .2` C 1/
r  2

r ! 1:
n` .r/ D sin r .2` C 1/
r 2
226) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.2
and therefore the energy of the fundamental state and of the first excited state is approximately
given by
¯2 ¯2 ¯2
9:869604404; 20:190728557; 33:217461915:
2Ma2 2Ma2 2Ma2
7.2.3. Fluid inside a sphere The velocity potential u for a stationary fluid in a sphere of
radio a is characterized by the following Neumann problem
(
u D 0;
ur jrDa D 0:
Where we have taken into account that
1 1
ru D ur ur C u u C u u
r r sin 
and the orthonormal basis fur ; u ; u g is
8̂
<ur D sin  cos i C sin  sin j C cos k;
u D cos  cos i C cos  sin j sin k;
:̂u D sin i C cos j :


Therefore, the unitary normal to the spherical surface is n D ur so that

@u
D n
ru D ur :
@n
We have a Helmholtz equation with k D 0 (Laplace equation). The regularity at the origin
implies that B D 0 so the possible eigenfunctions are of the form
r ` Y`;m .; /:
The boundary condition implies that ` D 0 and therefore the potential is constant. This means
that the fluid is at rest.
7.2.4. EEM in problems of Electrostatics and Fluid Mechanics with spherical sym-
metry In Electrostatics it is common to find boundary value problems such as
u D ;
ai .u/ D gi ; i D 1; : : : ; n
where  is the charge density, u the electric potential, and therefore the electric field is E D ru,
and boundary operators ai act only on r and gi D gi .; /. A similar problem also appears in
Fluid Mechanics
u D 0;
ai .u/ D gi ; i D 1; : : : ; n
where u is the potential for fluid velocities, and therefore the velocity is v D ru. The Poisson
equation in spherical coordinates is written as follows
1 1 1
.ru/rr C 2 .sin  u / C 2 2 u D .r; ; /:
r r sin  r sin 
§7.2] Spherical coordinates (227
To apply the EEM we write the Poisson equation as
.A C B/u D r 2 
where
Au WD r 2 urr C 2rur ;
1 1
Bu WD .sin  u / C u :
sin  sin2 
The B operator is symmetric in C 1 .S 2 / and the corresponding eigenvalue problem is solved
as follows
BYl;m D l.l C 1/Yl;m ; l D 0; 1; 2; : : : m D l; : : : ; l:
As we know the spherical harmonics form a complete set in L2 .S 2 / and that’s why we can always
expand
X
r 2 .r; ; / D l;m .r/Yl;m .; /;
l;m
X
gi .; / D ci;l;m Yl;m .; /:
l;m

Therefore, the EEM seeks solutions in the form of

X
u.r; ; / D vl;m .r/Yl;m .; /;
l;m

where the functions vl;m .r/ are subject to

(
00 0
r 2 vl;m C 2rvlm l.l C 1/vl;m D l;m ;
ai .vl;m / D ci lm

In the homogeneous case,  D 0, corresponds to Laplace equation, and it has as a solution

Bl;m
vl;m .r/ D Al;m r l C :
r lC1

7.2.5. Charged conducting sphere in electrostatic equilibrium in a constant electric

field Let us consider a conducting sphere, with radius a and centered at the origin, with charge
Q and that has reach the equilibrium immerse in a constant electric field E0 k. As we know,
equilibrium is reached if the potential on the sphere is constant, say u0 . The electrostatic
potential u is the solution of the following boundary value problem for the Laplace equation
€ u D 0;
(
ujrDa D u0 ;  
1
u E0 z C V0 C O r
; r ! 1:
228) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.2
Applying the EEM, we look for a solution
of the form
X 1 
E0 k u.r; ; / D A`;m r ` C B`;m `C1 Y`;m .; /:
r
`;m
z
The boundary value condition in r D a can
be written
p
ujrDa D u0 4Y0;0 ;
a whereas, like z D r cos , the condition in in-
y finity is
r 1
4 p
u  E0 r Y1;0 .; / C V0 4Y0;0 C O :
3 r
Thus, we can restrict ourselves to an expan-
sion
x  1  1
u.r; ; / D A0;0 C B0;0 Y0;0 .; / C A1;0 r C B1;0 2 Y1;0 .; /:
r r
E0 k We now impose the boundary value condi-
tions to obtain
€ 1 p ˚ p
A0;0 C B0;0 D 4u0 ; A0;0 D 4V0 ;
a r
1 4
A1;0 a C B1;0 2 D 0; A1;0 D E0 :
a 3
Therefore,
.u0 V0 /a  a3 
(78) u.r; ; / D V0 C E0 r cos :
r r2
The potential is composed of a monopolar term
.u0 V0 /a
r
and a dipolar term
 a3 
E0 r cos :
r2
The monopolar moment is 4"0 .u0 V0 /a and the net charge is Q D .u0 V0 /a. Thus, the
potential is
Q  a3 
u.r; ; / D V0 C E0 r cos :
r r2

The electric field E D ru is

hQ  a3  i  a3 
E WD 2 C E0 1 C 2 3 cos  ur E0 1 sin  u :
r r r3
§7.2] Spherical coordinates (229
7.2.6. Fluid in uniform motion deformed by a spherical ball Let us now consider a
fluid in uniform motion in which we submerge a solid sphere of radius a. The velocity potential
must satisfy the following boundary problem
€ u D 0;
(
ur jrDa D 0;  
u  v0 z C O 1r ; r ! 1:

As in the previous problem we seek for a solution of the form

X 1 
`
u.r; ; / D A`;m r C B`;m `C1 Y`;m .; /:
r
`;m

In addition the boundary value conditions can be written as follows

ur jrDa D 0;
r 1
4
u.r; ; /  v0 r Y1;0 .; / C O ; r ! 1:
3 r
Thus, we restrict ourselves to solutions of the form
 1
u.r; ; / D A1;0 r C B1;0 2 Y1;0 .; /:
r
Imposing boundary conditions
€ r
4
A1;0 D v0 ;
3
1
A1;0 2B1;0 3 D 0:
a
Therefore
r
1 4
B1;0 D v0 a 3 :
2 3
So
 a3 
u.r; ; / D v0 r C 2 cos 
2r
and the velocity is
h a3 i h a3 i 
v D v0 1 cos  ur 1 C 3 sin  u :
r3 2r
230) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.3

§7.3. Exercises
7.3.1. Exercises with solutions
1. Determine the standing waves in spherical coordinates, u.t; r; ; / D e i !t
w.r; ; / of
the following wave equation
(
u t t D u; r < a;
ujrDa D 0:

Solution: Standing waves are obtained by considering the separation of variables

u.t; r; ; / D e i !t w.r; ; /, where the following dispersion relation and Helmholtz
equation are satisfied
! D ˙k; w C k 2 w D 0:
By imposing the condition of regularity at r D 0 it is clear that admissible w.r; ; / are
jl .kr/Yl;m .; / with jl .ka/ D 0 and ! D ˙k.
2. Determine the regular solutions, in cylindrical coordinates, u.r; ; z/ of the following
Neumann problem
˚
u D 0; r < a;
@u ˇˇ
ˇ D 0:
@r rDa
Solution: The functions that satisfy all requirements are those of the form Jm .˛r/ ei mC˛z
with m 2 Z, Jm0 .˛a/ D 0.
3. Find the value of the constant a for which there is a solution to the following boundary
value problem in spherical coordinates
˚
u D 1; r < 1;
@u ˇˇ
ˇ D a:
@r rD1
Solution: Applying the divergence theorem in the ball B.0; 1/, we have
Z Z
3
ud x D ru
dS
B.0;1/ S.0;1/

as u D 1 and ur dS D ru
dS we conclude

4
 D a4
3
so that a D 1=3.
4. Solve, by the method of separating variables in cylindrical coordinates, the following
boundary value problem
(
u D 0; 1 < r < 2;
ujrD1 D ujrD2 :
§7.3] Exercises (231
Solution: As we know the resolution by separation of variables in cylindrical coor-
dinates of the Laplace equation leads to consider

u.r; ; z/ D R˛;m .r/‚m ./Z˛ .z/;

with
„ (
Az C B; ˛ D 0;
Z˛ .z/ D ˛z ˛z
A e CB e ; ˛ ¤ 0;
(
C  C D; m D 0;
‚m ./ D
C ei m CD e i m ; m¤0
€ c log r C c ; ˛ D m D 0;
1 2
R˛;m .r/ D m
c1 r C c2 r ; m
˛ D 0; m ¤ 0;
EJm .˛r/ C F Nm .˛r/; ˛ ¤ 0:

Not all of these functions are solutions to our problem. As we want the solution to be
single valued ) m D 0; 1; 2; : : : . The boundary condition, which is imposed on the
R˛;m , determine the following possibilities
a) ˛ D m D 0 ) c2 D c1 log 2 C c2 and so c1 D 0. Hence,

R0;0 D 1:

b) ˛ D 0; m ¤ 0 ) c1 C c2 D 2m c1 C 2 m
c2 . Therefore,
m
R0;m .r/ D .1 2 /r m .1 2m /r m
:

c) ˛ ¤ 0 ) EJm .˛/ C F Nm .˛/ D EJm .2˛/ C F Nm .2˛/. Thus,

R˛;m .r/ D .Nm .˛/ Nm .2˛//Jm .˛r/ .Jm .˛/ Jm .2˛//Nm .˛r/:

5. The solutions of the Helmholtz equation in spherical coordinates are of the form

ŒAlm jl .kr/ C Blm nl .kr/Yl;m .; /:

Determine the values of k for which there are non-trivial solutions with l D 0 of the
boundary problem
‚ u C k u D 0;
˚ 2
1 < r < 2;
ujrD1 D 0;
@u ˇˇ
ˇ D 0:
@r rD2

senr cos r
Hint: j0 .r/ D ; n0 .r/ D .
r r
232) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.3
Solution: The solution has the form

u.r; ; / D .Aj0 .kr/ C Bn0 .kr//Y0;0 ;

and the boundary conditions impose

(
Aj0 .k/ C Bn0 .k/ D 0;
Aj00 .2k/ C Bn00 .2k/ D 0:

For a non-trivial solution to exist, it is necessary that

ˇ ˇ
ˇ j0 .k/ n0 .k/ ˇ
ˇ 0 ˇ
ˇj0 .2k/ n00 .2k/ˇ D 0:

This is,

ˇ ˇ
ˇ ˇ
ˇ sin k cos k ˇ
ˇ2k cos 2k sin 2k 2k sin 2k C cos 2k ˇ D 0

which is written as

tan k D 2k:

The table of the first five zeros is

First zeros of tan k D 2k

1:1656 4:6042 7:7899 10:9499 14:1017

and the corresponding graph

§7.3] Exercises (233

15

10

1:1656 4:6042 7:7899 10:9499 14:1017 k

1 2 3 4 5 6 7 8 9 10 11 12 13 14

10

15

20

25

Graph f .k/ D tan.k/ 2k and the first five zeros

6. Determine standing waves using the variable separation method

i !t
u.t; x/ D e w.x/; !  0;
of the next boundary problem in spherical coordinates
€u D u; r > 1;
(t t
ujrD1 D 0;
lim u D 0:
r!1

Solution: If we introduce the standing wave ansatz in the boundary value problem
for the wave equation we get the following boundary problem for the Helmholtz equation
w C ! 2 w D 0;
(
wjrD1 D 0;
lim w D 0:
r!1
234) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.3
As we know the separation of variables into spherical coordinates leads to the following
solutions of the Helmholtz equation
Rl .r/Yl;m .; /;
where Ylm are the spherical harmonics and Rl is a function that takes one form or another
b
depending on whether ! is null or not. When ! D 0 we have Rl .r/ D ar l C r lC1 , but
boundary conditions impose a D 0 and a C b D 0 then the solution is trivial. If ! ¤ 0
the radial function is Rl .r/ D ajl .!r/ C bnl .!r/, with jl .r/ and nl .r/ are the spherical
Bessel and spherical Neumann functions respectively, which automatically satisfy the
boundary condition at r ! 1. The boundary condition in r D 1 imposes that the
radial function is proportional to nl .!/jl .!r/ jl .!/nl .!r/. For all of it, the requested
standing waves are


a e i !t nl .!/jl .!r/ jl .!/nl .!r/ Yl;m .; /

7. Solve the following boundary problem for the Laplace equation by means of the eigen-
function expansion method in polar coordinates
(
u D 0; 0  r < 1; 0  2;
2
ujrD1 D sin :

Solution: In polar coordinates we must solve

(
r 2 urr C rur C u  D 0; 0  r < 1; 0   < 2;
ujrD1 D sin2 :

d2
To apply the EEM we first solve the eigenvalue problem for with periodic boundary
d 2
conditions: u.0/ D u.2/.The eigenfunctions are
f1; sin m; cos mgn2N
and the corresponding eigenvalues m are f1; m2 gm2N . Therefore, we expand the solution
as
X
1
u.r; / D v0 .r/ C .vm .r/ cos m C wm .r/ sin m/:
mD0

The functions v.r/; w.r/ are characterized for being solutions of r 2 v 00 C rv 0 C m vm D 0.

Considering now the regularity of the solution for r D 0 we conclude that v0 D c0 and
that vm .r/ D cm r m and wm .r/ D dm r m , where the coefficients cm , dm are determined by
the boundary condition sin2  D 21 12 cos 2. Therefore, the expansion of the solution
is
1 r 2 cos 2
u.r; / D :
2
§7.3] Exercises (235
y

u
x
y

Color temperature Temperature surface u.r; /

on the circular plate on the circular plate
8. Consider the Laplace equation in a cylindrical layer with Dirichlet boundary conditions
€ u D 0; 1 < r < 2;
(
ujrD1 D 0;
ujrD2 D 0:

Determine, by means of the method of separation of variables the solutions u.r; z/ inde-
pendent of .
Solution: We are solving the Laplace equation, so the solutions obtained by the
method of separation of variables will be linear combinations of

u D R.r/‚./Z.z/;

where

Z.z/ D A e˛z CB e ˛z
;
‚./ D C ei m CD e i m
;
€ c log r C c ; ˛ D 0; m D 0;
1 2
c2
R.r/ D c1 r Cm
rm
; ˛ D 0; m ¤ 0;
EJm .˛r/ C F Nm .˛r/; ˛ ¤ 0:

As we don’t want to have contributions dependent on  we put m D 0 and ‚ D 1.

Therefore, the solutions are u.r; z/ D R.r/Z.z/ con

Z.z/ D A e˛z CB e ˛z ;
(
c1 log r C c2 ; ˛ D 0; m D 0;
R.r/ D
EJ0 .˛r/ C F N0 .˛r/; ˛ ¤ 0:
236) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.3
Imposing the boundary conditions R.r/jrD1 D R.r/jrD2 D 0 we see that ˛ ¤ 0 and that
we must have

J0 .˛/N0 .2˛/ D J0 .2˛/N0 .˛/:

The table of the first five zeros is

First zeros of J0 .˛/N0 .2˛/ D J0 .2˛/N0 .˛/
3:1230 6:2734 9:4182 12:5614 15:7040 18:8462

and the corresponding graph is

0:5

0:45

0:4

0:35

0:3

0:25

0:2

0:15

0:1
2
5
10
3:1230 6:2734 9:4182 12:5614 15:7040 ˛
2 2 4 6 8 10 12 14 16 18
2
5
10
1
1
10

0:15
Graph f .˛/ D J0 .˛/N0 .2˛/ D J0 .2˛/N0 .˛/ and the first five zeros

This transcendent equation determines the possible values of ˛. The solution sought is

u D e˙˛z N0 .˛/J0 .˛r/ J0 .˛/N0 .˛r/ :
§7.3] Exercises (237
Radial functions
R1 .r/ WD J0 .3:1230/N0 .3:1230r/ N0 .3:1230/J0 .3:1230r/;
R2 .r/ WD J0 .6:2734/N0 .6:2734r/ N0 .6:2734/J0 .6:2734r/;
R3 .r/ WD J0 .9:4182/N0 .9:4182r/ N0 .9:4182/J0 .9:4182r/;
R4 .r/ WD J0 .12:5614/N0 .12:5614r/ N0 .12:5614/J0 .12:5614r/;
R5 .r/ WD J0 .15:7040/N0 .15:7040r/ N0 .15:7040/J0 .15:7040r/
have the following graphs, for 1 < r < 2,

R
0:2
R1 .r/
0:18 R2 .r/
R3 .r/
0:16 R4 .r/
R5 .r/
0:14

0:12

0:1
2
8
10
2
6
10
2
4
10
2
2
10
r
1 1:1 1:2 1:3 1:4 1:5 1:6 1:7 1:8 1:9 2 2:1
2
2
10
2
4
10
2
6
10
2
8
10
9. Find the standing waves of the form u.t; x/ D sin t w.r; ; / for the wave equation in a
spherical layer with the following Dirichlet boundary conditions
€u 
( t t D u; 2
< r < ;
ujrD 2 D cos ;
ujrD D 0:
238) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.3
q
3
Hint: Y1;0 D 4 cos .
Solution: The conditions for w.r; ; / are
€ w C w D 0; 
< r < ;
( 2
wjrD 2 D cos ;
wjrD D 0:

Which is a boundary value for the Helmholtz equation with k 2 D 1. To apply the EEM
we write
 C 1 D A C B;
d
ADr r C r 2;
dr
d d 1 d2
B D sin  sin  C ;
d d sin2  d  2
and analyze the eigenvalue problem
BY D Y
in C 1 .S 2 /. Let us remember that, in this case, the eigenfunctions are the spherical
harmonics. fYl;m .; /glD0;1;2;::: that form an orthogonal basis, with eigenvalues  D
mD l;:::;l
l.lC1/. We only have one inhomogeneous term in a boundary condition, g1 ./ D cos ,
for which we have
r
4
g1 ./ D Y1;0 .; /:
3
The eigenfunction expansion of the solution is
w.r; ; / D v.r/Y1;0 .; /;
where v.r/ satisfies
Av C v D 0
so that
v D c1 j1 .r/ C c2 n1 .r/;
where the spherical functions of Bessel of order 1 are
sin r cos r cos r sin r
j1 .r/ D ; n 1 .r/ D :
r2 r r2 r
The boundary conditions at r D 2 and r D  lead to the following system for the
coefficients c1 and c2 ,
2    p  
1 c1 
 D 3
 1 c2 0
that implies
p p
2  2 
c1 D p ; c2 D p ;
3 3 3 3
§7.3] Exercises (239
and the solution is
p
2  sin t cos 

u.t; r; / D p .1 C  r/ sin r C . r/ cos r :
3 3 r2

7.3.2. Exercises
1. Determine the stationary states of a quantum particle enclosed in a cylindrical box of
radius a and height h.
2. The velocity potential of a stationary fluid inside a circular section pipe of radius a is
described in cylindrical coordinates by the boundary problem:
˚
u D 0; 0  r < a; 0   < 2; z 2 RI
@u ˇˇ
ˇ D 0:
@n wall
Determine the solutions provided by the variable separation method.
3. The velocity potential of a stationary fluid inside a h deep circular pond is described in
cylindrical coordinates by the boundary value problem:
˚ u D 0; 0  r < a; 0   < 2; h < z < 0I
@u ˇ ˇ
ˇ D 0:
@n pared
Determine the solutions provided by the variable separation method.
4. Under certain conditions certain components of the field confined between two concen-
tric spheres are described by the boundary problem in spherical coordinates:
(
u t t D c 2 u; a1 < r < a2 ; 0   < ; 0   < 2
uj paredes D 0:
Determine the standing waves of the model.
5. Prove that in Cartesian coordinates on the unit sphere:
r r r
3 3 3
Y1;0 D z; Y1;1 D .x C i y/; Y1; 1 D .x i y/;
4 8 8
Determine the development of the functions u1 D x; u2 D y; u3 D z on the unit
sphere in spherical harmonics.
6. Solve the initial value problem
‚u
t D u; 1 < r < 2; t > 0;
ˇ

uˇ tD0 D r sin 2 r ;
1 
 ˇ ˇ
@u ˇ
u C @n ˇ D uˇrD2 D 0:
rD1
7. Solve the initial value problem
(
u t D u C sinr2r e t ; t > 0;
ˇ
uˇ D sin r
t D0 r
240) Chapter 7. Helmholtz Equation in Curvilinear Coordinates [§7.3
8. Solve the boundary value problem
‚ u D C
; r > R;
ˇ r
uˇ D z;
ˇ
rDR
@u ˇ
@r ˇrDR
D 0:
 Index

A
angular momentum, 215
E
eigenfunction, 211
atomic orbital, 219, 220 eigenfunction expansion method, 43, 124,
227, 229

B
Fourier transform, 138
Helmholtz equation in cylindrical coor-
dinates, 203
boundaries, 10, 14 inhomogeneous problems, 123, 125
boundary conditions, 12, 14, 16, 17, 228 Laplace equation, 126
Dirichlet, 12, 22, 27, 68 prepared problems, 124
Neumann, 12, 22, 69 symmetric differential operators, 124
periodic, 16 eigenvalue, 23, 24
degenerate, 23
eigenspace, 23

C
Cassini’s oval, 14
operator
differential, 24
simple, 23
electric field, 228
change of coordinates, 7, 64
electrostatics, 226
change of variables, 7
energy, 211
charged conducting sphere, 227 equation
conditions Airy, 166
initial, 16, 17 Bessel, 166, 177, 181, 182
Condon–Shortley phase convention, 218 asymptotic behavior, 181
coordinates differencial
Cartesian, 163 ordinary, 163
cylindrical, 163, 203, 206 Electrostatics, 27
polar, 64 Euler, 172–174
spherical, 64, 163, 216 Geophysics, 27
heat, 6, 7, 16, 20

D
eigenfunction expansion method,
131
Fourier series, 131
dipolar term, 228 Fourier Transform, 140
Dirichlet Theorem, 101, 102 Helmholtz, 44, 203, 215, 216, 225, 226
domain, 10, 14, 16, 17 Cartesian coordinates, 45
i
ii) Chapter 7. Index [§
separation of variables in cylindrical parallelepipedic pipe, 48
coordinates, 203 perfect, 27
separation of variables in spherical spherical box, 226
coordinates, 215 formula
Hermite, 166 recurrence, 169
indicial, 175 Rodrigues, 167
Laguerre, 166 Stirling, 188
Laplace, 8, 214, 226, 227 Fourier series
eigenfunction expansion method, cosine, 94
126 even extension, 94
Legendre, 166, 170, 217 heat equation, 131
asocciated, 217 pointwise convergence, 101
Neumann Schrödinger equation, 128, 130
asymptotic behavior, 181 sine, 93, 102
Poisson, 6, 19 sines
radial, 205, 224 odd extension, 93
Schrödinger, 6, 7, 17, 20, 33, 44, 166 sines and cosines, 91
eigenfunction expansion method, uniform convergence, 104
128 wave equation, 133
Fourier series, 128 Fourier transform, 105
Fourier transform, 141 L1 , 106
wave, 6, 7, 20, 44 L2 , 107
eigenfunction expansion method, convolution, 109
133 eigenfunction expansion method, 138
Fourier series, 133 existence and continuity, 106
Euler € function, 186, 187 Fourier series in infinite intervals, 106
Euler constant, 181
Gaussian, 112
Euler–Mascheroni constant, 188
multidimensional, 106
expansions
multidimensional Gaussian, 112
Fourier–Bessel, 184
Parseval identity, 109
convergence, 185
properties, 109
Fourier–Dini, 184
Schwartz space, 107
convergence, 185
Fourier–Bessel series, 184
orthogonal basis, 66
convergence, 185
Parseval identity, 66
Fourier–Dini series, 184
coefficients, 66
convergence, 185
scalar product, 66
uniqueness, 66 Fuchs Theorem, 177
function

F
Bessel, 179, 203, 207
Jacobi–Anger expansion, 185
recurrence relation, 185
fluid speherical, 183
around a sphere, 229 spherical, 181
cylindrical pipe, 214 zeros, 209
§] (iii

L
Bessel function of the first kind, 178
Bessel function of the second kind, 180
bounded variation, 104
continuity module, 103, 104 limit
convolution, 109 functional, 66
Euler €, 187 pointwise, 66
Euler gamma, 186 strong, 66
Euler–Mascheroni constant, 188 uniform, 66

M
Stirling formula, 188
Weierstrass infinite product, 188
factorial, 187
Hölder, 103, 104 method of separation of variables, 36–39,
Neumann, 180, 181, 203 228
recurrence relation, 185 Helmholtz equation in spherical coordi-
sperical, 181 nates, 215
spherical, 184 monopolar term, 228
piecewise C 1 , 101

N
piecewise smooth, 101
smooth, 18
spherical
Bessel, 224, 225 norm, 61
Neumann, 224, 226 normal
square integrable, 62 circle, 14
variación acotada, 102 cylinder, 15
sphere, 15
weight, 62

G O
operator
generating function boundary, 21
Bessel, 185 d’Alambertian, 36
Green’s identity, 28, 29 diferential
symmetric, 68

H
differential, 6, 19
acts on one variable variable, 124
domain, 23, 24
Hilbert space, 61 eigenvalue, 24, 25
linear, 19

I
one variable, 39
separable, 35, 36
spectrum, 70
inequality Sturm–Liouville, 70
Cauchy–Schwarz, 61 symmetric, 68
triangular, 61 Laplacian, 36
iv) Chapter 7. Index [§
Schrödinger, 36 eigenfunction expansion, 125
Sturm–Liouville, 70, 72 eigenfunction expansion method,
3D, 73 123
periodic conditions, 72 inner, 28
regular, 71, 72 Dirichlet, 28
separated bounday coditions, 72 Neumann, 28
simetric, 72 uniqueness, 28, 29
symmetric, 72 non bounded
orthogonal Fourier transform, 138
polynomials, 167, 170 spectral, 43
orthogonal basis Sturm–Liouville, 163
product spaces, 67 product scalar
series expansion, 65 functional spaces, 62
orthogonal set, 64
complete, 67, 72
orthogonality, 169
Q
P
quantum harmonic oscillator, 166
quantum particle
annulus, 210
Parseval identity, 66 bidimensional wedge, 207
Fourier transform, 109 impenetrable box, 46
point impenetrable cylinder, 208, 210
irregular singular, 164 impenetrable cylindrical wedge, 205
regular, 164, 166 periodic conditions, 48
regular singular, 172 quantum corral, 209
singular, 164 sphere, 225
polynomial
indicial, 172–174, 179
polynomials
Hermite, 167
properties, 168
R
recurrence relation, 167, 170
Bessel functions, 185
Legendre, 170, 217
Neumann functions, 185
associated, 217

S
properties, 170
orthogonal, 167, 170
problem
boundary scalar product, 61
Dirichlet, 205 triangular inequality, 62
homogeneus, 40 Schrödinger equation
Neumann, 214 eigenfunction expansion method, 130
boundary value, 229 Fourier series, 130
exterior, 28 Schwartz space, 107
uniqueness, 29, 30 series
inhomogeneous Frobenius, 164, 173–177, 179, 182
§] (v
power, 164, 170 Theorem
sesquilineal form, 61 Dirichlet, 101, 102
solution divergence, 28
general, 9, 10 Fuchs, 177, 179
space torus, 13
Hilbert, 61, 62 transform
Schwartz, 107 Fourier, 106
vectorial, 61 trihedron
spherical harmonics, 215, 219, 227–229 Cartesian, 214
expansions, 219, 220 orthonormal, 214, 226
orthonormal basis, 219, 220

U
real, 221, 223, 224
tesselar, 215, 221, 223, 224
stationary states, 205, 225
Stirling formula, 188 uniqueness, 27
Sturm–Lioville operators, 70

T V
vectorial space, 61
tesselar spherical harmonics, 215 velocity potential, 42