A general formula for the method of steepest descent using

Perrons formula
James Mathews
December 16, 2013
1 Introduction
The method of steepest descent is one of the most used techniques in applied mathematics and
asymptotics, but is often one of the hardest to apply. We want to nd an approximation for the
integral
I(k) =
_
C
g(z)e
kf(z)
dz as k
where f and g are (usually) analytic functions, k is (usually) a real parameter. The general idea
is to use Cauchys theorem which allows deformation of contours in the complex plane to simplify
the problem. The idea was proposed by Debye, and the basic idea is to choose a new contour D
such that
D passes through one of more zeros of f

(z)
The imaginary part of f(z) is constant on D
Since the imaginary part of the integral is constant, then if f(z) = g(z) +ih then we instead need
to evaluate.
I(k)e
ikh
_
C
g(z)e
kg(z)
dz as k ,
which can then be treated by Laplaces method.
1.1 Laplaces method
Laplaces method says that to evaluate
J(k) =
_
b
a
f(t)e
k(t)
dt as k ,
where (t) has a stationary point at an interior point c with non-zero second derivative (so
f

(t) = 0 and f

(t) = 0), then

J(k)

2f(c)e
x(c)
_
k

(c)
.
1
If c is in fact an end point then we need to multiply this expression by a factor of 1/2. If in fact
we have no stationary point then we have
J(k)
f(a)e
k(a)
k

(a)
,
or
J(k)
f(b)e
k(b)
k

(b)
,
with the rst case corresponding to the maximum of being at a, so

(a) < 0, and the second

corresponding to the maximum being at b, so

(b) > 0.
Finally, if c is a maximum with

(c) =

(c) = . . .
p1
(c) = 0 and
p
(c) < 0 then we get
J(k)
2(1/p)(p!)
1/p
p[k
p
(c)]
1/p
f(c)e
x(c)
.
See [Bender and Orszag, 1978] for the proofs and examples of this method.
1.2 Diculties with the method
The main diculty of the method, is of course, nding the new contour. We suppose the contour
is not closed, and has end points a and b. Often, this contour consists of three parts;
D
1
which goes through a and has imaginary part [f(a)]
D
2
which goes through b and has imaginary part [f(b)]
D
3
which joins the two contours at innity
It is hoped that the contribution of the integral from D
3
will become zero as D
3
becomes more
innite, whilst the other two contours are evaluated using Laplaces method. The examples in
[Bender and Orszag, 1978] show how to apply the procedure, with the latter examples showing
just how complicated the contours become. Whilst we can always apply this method, it can be
time consuming, intricate and often we would just like a general formula to be able to estimate,
say the leading behaviour.
Also, sometimes our function f will depend on another parameter, say and we want to know
what the asymptotic approximation is as we vary over . Rather than having to nd various
curves of steepest descent, which will depend on and properties might change dramatically, if
we have a general formula then it will be easier.
Essentially, we want to use reasoning somewhat similar to Laplaces method; we nd where
the function [f(z)] has a maximum (or maximums) along a chosen contour, then since k is large
the only contributions to the integral will come from these points.
1.3 First (wrong) attempt at a general formula
A naive way to estimate the leading order behaviour is given below. It is based upon the notes
sad, which is one of the rst results you come across on google for saddle point methods. The
method suggests that if z
0
is a (non-degenerate) saddle point, then
2
I(k) =
_
C
g(z)e
kf(z)
dz
_
2
k|f

(z
0
)|
_
1/2
g(z
0
)e
kf(z
0
)
exp
_
i
_

2

arg(f

(z
0
))
2
__
.
The reasoning given seems clear; you approximate f(z) by its Taylor expansion at z
0
so
f(z) f(z
0
) +
1
2
f

(z
0
)(z z
0
)
2
and g(z) by g(z
0
), then we just need to evaluate
I(k) g(z
0
)e
kf(z
0
)
_
exp
k
2
f

(z
0
)(z z
0
)
2
dz. (1.1)
We then switch to polar coordinates, extend the limits and perform the Gaussian integral to
get the result. All this reasoning looks clear, until we examine it further and note two glaring
problems:
At no point did we use the fact that k is large, how can we construct an asymptotic approx-
imation without using this property!?
Just because f

(z
0
) = 0 does not mean that the real part of f(z) is maximised at z
0
.
These are in fact linked as explained above, we nd where the real part of f(z) is maximised and
then use the fact that k is large to show the only contribution to the integral is at this part. The
argument above fails when we try and evaluate the integral in (1.1).
1.4 Example 1
We end this section with a simple example showing why the general formula is useful, and why
our rst attempt is wrong. We consider the integral
_
1
1
e
k(z
2
2iz)
dz.
We can calculate that f(z) = z
2
2iz has a saddle point at z = i. The rst attempt then suggest
that the general behaviour can be calculated by only considering f(z) near the saddle point. But
we can see that
f(1) = 1 + 2i, f(i) = 1, f(1) = 1 2i
and at both end points and the saddle point [f(z)] = 1, so we must consider the contribution
from all the points, even though the endpoints are not saddle points.
Figure 1: Contours for method of
steepest descent.
Using the formula we would say
_
1
1
e
k(z
2
2iz)
dz i
_

k
e
k
,
which as we will see later, is plain wrong! If instead we
try and solve the problem using the standard method
of steepest descent, the contours we get are not so nice,
but it will be possible to solve it. We can also see from
Figure 1 that there is going to very hard to pass through
the saddle point using only curves of constant phase. In
the Figure the curves of constant phase going through the
points 1 and 1 are drawn in blue and green respectively.
3
2 A general formula
As our example clearly showed, the most important issue is showing that any point z
0
we choose to
approximate our integral at satises [f(z)f(z
0
)] < 0 for all z on the contour we are integrating
over, so we can in eect use Lapaces method. This critical condition, so often overlooked is the
main point of this notes. If in fact [f(z) f(z
0
)] = 0 for all z on the contour, then we can
simply use the method of stationary phase, which is detailed in [Bender and Orszag, 1978]. Our
basic idea will be
If [f(z)] is maximised at one of the end points (or even both) then we can simply use
Perrons Formula.
If not, we nd the saddle points of f, that is the points c
i
which satisfy f

(c
i
) = 0. We
then deform the contour C to a new contour D which goes through the saddle points in
the direction of steepest descent.
We nd the asymptotic points, that is the solutions to [f

(z
i
)] = 0, for z
i
which lie
on the contour D, which has end points a and b. We also include a and b as asymptotic
points.
We order the z
i
into increasing order along the deformed contour (so if we start at a then
as we go along the contour to b we will pass through the points in the order z
1
, z
2
, . . . z
n
).
We then split the deformed contour D in contours D
[a,z
1
]
, D
[z
1
,z
2
]
, . . . C
[zn,b]
, and if there is no
z
i
then we simply take the deformed contour.
Note that on each contour we have [f(z) f(w)] < 0 for all z on the contour D
[z
i
,z
i+1
]
,
where w is either z
i
and z
i+1
.
We evaluate each of these integrals using Perrons formula.
In the case where [f(z)] is maximised at both end points a and b, we spilt the integral into two
integrals by choosing an arbitary point c (a, b) and then applying Perrons formula to both. We
assume that the [f(z)] has only nitely many maxima and minima, and dont consider the case
where we have innitely many. We do this because it is unlikely the standard method of steepest
descent would cope with this method.
We also briey recap how to nd the direction of steepest descent at a saddle point c. If f
is analytic at the critical point with f

(c) = f

(c) = . . . = f
(N1)
(c) = 0 and f
(N)
= re
i
(with
r > 0) then the paths of steepest descent have direction
(2n + 1)
N
for n = 0, 1, . . . N.
In the case N = 2 (so a non-degenerate saddle point) the paths of steepest descent have direction
( )/2 and (3 )/2.
2.1 Perrons Formula
All that remains to be done is to evaluate integrals of the type
I(k) =
_
E
g(z)e
kf(z)
dz, (2.1)
4
where E is a generic contour with end points a and b, and [f(z)f(w)] < 0 where w is either a or
b. For simplicity we assume that it is at a for now. We now state Perrons formula (rst described
by Oscar Perron in 1917) in the case that k is a real parameter, although with more assumptions
we can state if for complex k. We also restrict to the case where f is analytic everywhere (or
at least analytic at every z
i
), which again simplies the assumptions for the Theorem. The full
theorem is stated in [Wong, 2001] and [Nemes, 2012], as well the proof, which we will not present
here.
Theorem 2.1 (Perrons Method) Assume that
1. D lies in the sector | arg(f(a) f(z))| /2 for some xed > 0
2. For all c = a on D, there exists xed (z) > 0 such that |f(z) f(a)| (z) for all z on the
contour between z = c and z = b.
3. In a neighbourhood of a,
f(a) f(z) =

n=0
a
n
(z a)
n+
,
where N (since we have assumed f is analytic) and a
0
= 0.
4. In a neighbourhood of a,
g(z) =

n=0
b
n
(z a)
n+1
,
where > 1 and b
0
= 0.
5. The integral (2.1) exists absolutely for each xed k
Let
w = lim
zDa
arg(z a),
then we require that for some xed l we have the following inequality holds (to ensure the rst
condition holds)
_
2l
1
2
_
+ arg a
0
+ w
_
2l +
1
2
_
.
Then
I(k) e
kf(a)

s=0

s
k
(s+)/

_
s +

_
e
2il(s+)/
, (2.2)
where

s
=
1
a
(s+)/
0
s!
s

m=0
b
sm
m!
_
d
dz
m
_
_
a
0
(z a)

f(a) f(z)
_
(s+)/
__
z=a
(2.3)
The rst two conditions are a slight strengthening of the condition [f(z)f(a)] < 0, and can
in most case be replaced by this condition. The third condition relates to the Taylor expansion of
f at a, and we can see that if a is not a saddle point then = 1, if a is a non-degenerate saddle
point (f

(a) = 0 and f

(a) = 0) then = 2, and otherwise if f

(a) = f

(a) = . . . = f
(n1)
(a) = 0
and f
(n)
(a) = 0 then = n. Note also that
a
0
= f
()
(a)/!, a
1
= f
(+1)
(a)/( + 1)! and a
n
= f
(+n)
(a)/( + n)!,
5
with the minus sign just comes since the left hand side is f(a) f(z) and not f(z) f(a). If
g is analytic at a and g(a) = 0, then = 1 and b
0
= g(a). Otherwise if g is analytic and
g

(a) = g

(a) = . . . = g
(m1)
(a) = 0 and g
(m)
(a) = 0 then we have = m, and then
b
0
= g
(1)
(a)/( 1)!, b
1
= g
()
(a)/! and b
n
= g
(+n1)
(a)/( + n 1)!.
The fth condition ensures that the asymptotic approximation will make any sense!
2.1.1 The rst two coecients
Assuming that g is analytic, then we can calculate that the coecient of leading order,
0
, will
be given by

0
=
b
0
a
/
0
=
g
(1)
(a)(!)
/
( 1)![f
()
(a)]
/
,
while the second coecient is given by

1
=
b
1
a
(1+)/
0

(1 + )b
0
a
1

2
a
(1++)/
0
=
g
()
(a)(!)
(1+)/
![f
()
(a)]
(1+)/
+
(1 + )g
(1)
(a)f
(+1)
(a)(!)
(1+)/
( 1)!
2
( + 1)[f
()
(a)]
(1++)/
,
with subsequent coecients becoming more and more complicated. I think the third coecient
is given by

2
=
1
a
(2+)/
0
_
b
2
b
1
(2 + )a
1
a
0

b
0
2
_
2 +

__
2a
2
a
0

_
2 +

+ 1
_
a
1
a
0
__
2.1.2 Maximum at b
If instead we have the maximum of the real part of f being at b rather than a, then the formula
is modied slightly. We replace Conditions 3 and 4 in Theorem 2.1 by the conditions
3*. In a neighbourhood of b,
f(b) f(z) =

n=0
c
n
(b z)
n+
,
where N and c
0
= 0.
4*. In a neighbourhood of b,
g(z) =

n=0
d
n
(b z)
n+1
,
where > 0 and d
0
= 0.
Then we have
I(k) e
kf(b)

s=0

s
k
(s+)/

_
s +

_
e
2il(s+)/
, (2.4)
but we replace (2.3) by

s
=
1
c
(s+)/
0
s!
s

m=0
d
sm
(1)
m
m!
_
d
dz
m
_
_
c
0
(b z)

f(b) f(z)
_
(s+)/
__
z=b
(2.5)
6
We can caclulate that if g is analytic then we have
c
n
=
(1)
+n1
f
(+n)
(b)
( + n)!
and d
n
=
(1)
+n1
g
(+n1)
(b)
( + n 1)!
.
In the case of the maximum being at the end point b, we can calculate that the coecient of
leading order,
0
, will be given by

0
=
d
0
c
/
0
=
(1)
(1)
g
(1)
(a)(!)
/
( 1)![(1)
(1)
f
()
(a)]
/
.
2.2 Special case: Contour is on the real line
In the case where the contour is on the real line, w = 0 thus we have l = 0. Furthermore, if we
assume that g is analytic at a with g(a) = 0 then = 1 and to leading order we have
I(k) e
kf(a)
g(a)(1/)(!)
(1/)
[f
()
(a)]
1/
k
1/
+ e
kf(a)
g(a)(1/)(!)
(1/)
[f
()
(a)]
1/
k
1/
(2.6)
when the maximum is at the endpoint a. If instead g is analytic at b with g(b) = 0 then we have
I(k) e
kf(b)
g(b)(1/)(!)
(1/)
[(1)
(1)
f
()
(b)]
1/
k
1/
, (2.7)
when the maximum is at the endpoint b.
2.3 Other attempts at a General Formula
The same result is proved in [Ferreira et al., 2007], under the same conditions, although they
only calculate the order of the terms in the approximation, and not the constants (although the
coecients can be calculated using Laplaces method). The paper would also seem to suggest
that the method is uniform in the sense that if f depends on a parameter that changes, then the
approximation is uniformly valid.
In Sections 3 and 4 of [Ferreira et al., 2007], the authors suggest a dierent way to deal with
multiple asymptotic points, rather than splitting the contour up. However, both methods still
rely on calculating the asymptotic points, and in my opinion the method we have presented here
is easier.
2.4 Example 1 (revisited)
Returning to the example before, we can see that [f(z)] = z
2
has a maximum at both end points.
We choose to split the integral at the point 0, but this is arbitary, and so we have
I(k) =
_
1
1
e
k(z
2
2iz)
dz = I
1
(k) + I
2
(k),
where
I
1
(k) =
_
0
1
e
k(z
2
2iz)
dz and I
2
(k) =
_
1
0
e
k(z
2
2iz)
dz.
7
Now I
1
is of the form (2.6) since the maximum occurs at the lower of the limits, and since
f(1) = 1 + 2i and f

(1) = 2 2i we have = 1 and hence

I
1
(k)
e
k(1+2i)
(2 + 2i)k
.
Similarly, I
2
is of the form (2.7) since the maximum occurs at the upper of the limits, and since
f(1) = 1 2i and f

(1) = 2 2i we have = 1 and hence

I
1
(k)
e
k(12i)
(2 2i)k
.
Thus
I(k)
e
k(1+2i)
(2 + 2i)k
+
e
k(12i)
(2 2i)k
=
e
k
2k
[sin(2k) + cos(2k)].
Below we plot I(k)/{
e
k
2k
[sin(2k) + cos(2k)]}, and shows that the asymptotic approximation we
have chosen is indeed an asymptotic relation!
0 50 100 150 200 250 300 350 400 450 500 550 600
0.5
1
1.5
2
k
The spikes are caused by the fact that the zeros of I(k) and
e
k
2k
[sin(2k) +cos(2k)] dont quite line
up until k gets large, but either way we have shown our method is easy to use for this example,
and signicantly easier than the standard method of steepest descent.
2.5 Example 2
We now take the example
I(k) =
_
2
2
1
z 2i
e
k(2izz
2
)
dz,
This has asymptotic points at 2, 0 and 2 since f

(z) = 2i 2z. Suppose we just split the integral

up up into two integrals, I
1
between 2 and 0 and I
2
between 0 and 2. This is not what out
method says, but we try it anyway. Using Perrons method we see that = = 1 at the end
point 0, and furthermore f(0) = 0, f

(0) = 2i and g(0) = i/2. Hence we have

I
1
(k)
1
4k
and I
2
(k)
1
4k
,
8
and hence when we sum the two asymptotic approximations they cancel! Furthermore, if we take
the next term in Perrons method (using f

(0) = 2 and g

(0) = 1/4 we have that

I
1
(k)
1
4k
+
3
16k
2
and I
2
(k)
1
4k

1
16k
2
,
and they still cancel! We can numerically calculate the integral when k = 20 as
I(k) 7.97i 10
10
,
which is what we dont see at all from using Perrons method. The trouble is that the imaginary
behaviour of the integral is asymptotically small compared to the real part, so we dont see it!
Thus, we should deform the contour to go through the critical point in the direction of steepest
descent rst before worrying about splitting the integrals up. The critical point lies at z = i, so
we deform the contour to go throught this point. To keep things simple, we have the new contour
going from 2 to 2 +i, from 2 +i to 2 +i and then from 2 +i to 2. We can check that indeed
we have gone through the critical point in the direction of steepest descent. Thus, we need to
evaluate the integrals
I
1
(k) =
_
2+i
2
1
z 2i
e
k(2izz
2
)
dz, I
2
(k) =
_
i
2+i
1
z 2i
e
k(2izz
2
)
dz
and
I
3
(k) =
_
2+i
i
1
z 2i
e
k(2izz
2
)
dz, I
4
(k) =
_
2
2+i
1
z 2i
e
k(2izz
2
)
dz.
We can write the second and third integrals as
I
2
(k) =
_
0
2
1
x i
e
k(x
2
1)
dx, and I
3
(k) =
_
2
0
1
x i
e
k(x
2
1)
dx,
and then using Perrons method (or even just Laplaces method) we can calculate
I
2
(k)
i

k
e
k
and I
3
(k)
i

k
e
k
.
We can write the rst and fourth integrals as
I
1
(k) = i
_
1
0
1
ix 2 2i
e
k[x
2
2x4+4i(x1)]
dx, and I
4
(k) = i
_
1
0
1
ix + 2 2i
e
k[x
2
2x4+4i(1x)]
dx,
and then using Perrons method with = 1, = 1 since they both have the real part of the
exponentianted function having amaximum at the end point x = 0 we have
I
1
(k) e
4k4ik
i
4(i 3)k
and I
4
(k) e
4k+4ik
i
4(3 + i)k
and hence
I
1
(k) + I
4
(k)
e
4k
i
4k
_
e
4ik
i 3

e
4ik
i + 3
_
=
e
4k
i
20k
(sin(4k) + 3 cos(3k)),
and hence is expoentially smaller than contributions from I
2
and I
3
. Hence, we get the correct
asympotic behavour of
I(k)
i

k
e
k
.
9
References
Saddle point notes. http://www2.ph.ed.ac.uk/
~
dmarendu/MOMP/lecture05.pdf. Accessed:
21-10-2013.
Carl M Bender and Steven A Orszag. Advanced mathematical methods for scientists and engineers
I: Asymptotic methods and perturbation theory, volume 1. Springer, 1978.
Chelo Ferreira, Jose L L opez, Pedro Pagola, and E Perez Sinusa. The laplaces and steepest
descents methods revisited. In Int. Math. Forum, volume 2, pages 297314, 2007.
Gergo Nemes. Asymptotic expansions for integrals. 2012.
Roderick Wong. Asymptotic approximation of integrals, volume 34. SIAM, 2001.
10