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You are on page 1of 46

Spring 2007

Pei-Ming Ho

pmho@phys.ntu.edu.tw

Department of Physics

National Taiwan University

Taipei 106, Taiwan, R.O.C.

February 3, 2014

References of the course include:

do not know mathemat-

ics, it is difficult to get

Mathews and Walker: Mathematical Methods of Physics.

across a real feeling as to

the beauty, the deepest

Trodden: Lecture notes: Methods of Mathematical Physics I

beauty, of nature... If you

http://www.phy.syr.edu/ trodden/courses/mathmethods/

want to learn about na-

ture, to appreciate nature,

The materials to be covered in this course are the following:

it is necessary to under-

stand the language that

Complex analysis and evaluation of integrals (saddle-point approx.)

she speaks in.

Fourier transform (+ Laplace transform)

Special functions

We will use Einsteins summation convention in this note.

Chapter 1

Complex Analysis

T: 1. Analysis of

In this chapter we will learn how to use complex analysis, in particular the

Complex Functions;

residue theorem, to evaluate integrals. We will also learn how to compute the 2.2 Riemann-Lebesgue

saddle-point approximation of an integral. Lemma and Method of

Stationary Phase; 2.3 The

holomorphic/analytic functions. Saddle-Point Method.

MW: Appendix: Some

singularity, branch cut. Properties of Functions of

a Complex Variable; 3.3

contour integral, residue theorem. Contour Integration; 3.6

Saddle-Point Methods

using residual theorem to evaluate integrals.

saddle-point approximation.

1.1 Introduction

Complex numbers and complex functions appear in physical problems as well

as formulations of fundamental physics. Why is complex analysis useful? Are

An example of the use of

not all physical quantities real? Since z = x + iy, a complex function of z is complex fxs appeared in

just two real functions of (x, y) your E&M course when

dealing with waves: cos(k

f (z) = u(x, y) + iv(x, y). (1.1) x) eikx . In QM, com-

plex fxs are needed at a

Why dont we just reduce every problem in complex analysis to real analysis? more fundamental level.

Holomorphic functions are rare, in the sense that there are a lot more

functions on R2 than holomorphic functions on C.

This is why analytic continuation (f (x) F (z)) is possible. Given a

If we are not restricted

real function f (x) of x R, we can imagine that it is the restriction of a to holomorphic functions,

holomorphic function F (z) to the real axis of the complex plane C. Therefore, there are infinitely many

properties of F (z) can be viewed as properties of f (x). A lot of properties of functions F (z, z) which

reduce to a given f (x)

f (x) are hidden until we view it in the form of F (z). These properties allow

when z = z = x. For

us to deal with problems involving f (x) (such as the integration of f (x)) more

example, for f (x) = x2 ,

easily. we can have F = z 2 ,

|z|2 , z 1/2 z3/2 etc. Only

2 the first choice is holomor-

phic.

1.2. PRELIMINARIES AND DEFINITIONS 3

plex analysis, not phase space).

Another example is that z z 0 = z 0 (z) always defines a conformal map.

Definitions are not just

about names, which help 1. Change of variables on R2 :

us to communicate more

efficiently. More impor-

z = x + iy, z = x iy, (1.2)

tant is the concept behind z = rei , z = rei . (1.3)

a definition.

2. We consider functions that are single-valued maps from domains in C to

ranges in C. A function which appears to be multiple-valued should be

restricted to a smaller domain such that it is single-valued.

3. What is z = /z ? (What is z = / z ?)

1 1

= (x iy ), = (x + iy ). (1.4)

2 2

4. The rules of differentiation (chain rule, Leibniz rule) are the same as for

real functions.

z ) 6= 0.

5. Caution: z (1/

Recall that the electric

potential V (r) of a point Stokes theorem

charge is 1r . Gausss

I Z

law: 2 1r = 4 (3) (~r).

(Ax dx + Ay dy) = dxdy(x Ay y Ax ) (1.5)

C R

The analogue in 2D is

V (r) log r, and we need implies that

2 log r (2) (~r). Now

I I

log r = 12 (log z + log z), f (z)dz = (f (z)dx + if (z)dy)

C C

and 2 , so we need Z Z

z1 z1 (2) (~r). = dxdy(ix y )f (z) = (z).

dxdy2if (1.6)

R R

H

General rule: If f (z) is well-defined in R, f C

To compute the derivative theorem). If f (z) = z1 , for C being an infinitesimal circle around the

of a function ill-defined H

origin, C f (z)dz = 2i, implying that

at a point, we use Gauss

law or Stokes theorem. 1 1

= = (2) (x, y). (1.7)

z z

6. A function is analytic at a point if it has a derivative (complex-differentiable)

there. That is,

f (z + h) f (z)

f 0 (z) = lim (h C) (1.8)

h0 h

exists and is independent of the path by which the complex number

approaches to 0.

4 CHAPTER 1. COMPLEX ANALYSIS

u v u v

= , = . (1.9)

x y y x

2 u = 0, 2 v = 0. (1.10)

Let u = xy. One can

8. One can use CR-eqs to derive v if u is given (assuming that v exists). solve v from CR-eqs and

get v = (y 2 x2 )/2 + c.

Thus f = iz 2 /2+ic. Al-

ternative derivation: Try

z 2 since u is quadratic.

n

P

Ex: f (x) = n (x)

9. Taylor expansion, analytic continuation, radius of convergence, singular- P

f (z) = n (z) with n

can compute f (n) (1/2)

10. [Holomorphic/Analytic function in R] = [function that is analytic every- for all n and find f (z) =

P 2 2 1 n

where in R]. n 3 ( 3 (z 2 )) with

rad. of conv. = 3/2. This

goes beyond the conver-

gence region of the 1st ex-

pression.

Theorem: The Taylor ex-

pansion of an analytic fx.

11. The rad. of conv. R of f (z) about z0 is equal to the distance between around a point inside R

z0 and the nearest singularity of f (z). has a finite radius of con-

vergence.

12. Composition of analytic functions:

f1 f2 , (1.12)

f1 /f2 when f2 is not 0, (1.13)

f1 (f2 (z)). (1.14)

Examples of entire fxs:

13. [Entire function] = [function that is holomorphic on the whole complex f (z) = z, f (z) = ez , etc.

plane].

P

n=m fn z ].

f has a pole (isolated singularity) of order m if 0 < m < .

a pole of order n at z = 0

[Simple poles] = [poles of order 1]. for n Z+ .

An essential singularity is

f has an essential singularity if m = . a singularity more severe

than poles of any order:

limzz0 (z z0 )n f (z) =

for any finite n.

1.3. RESIDUE THEOREM 5

phic iff f (z) = g(z)/h(z) 15. Meromorphic function in R = analytic except at isolated points in R

for some holomorphic fxs with singularities of finite order.

g(z) and h(z).

A fx. is discontinuous

across a branch cut. 16. Branch cut = curve in C taken out of the domain to avoid multiple-

Examples of branch cut: valuedness.

f (z) = z 1/2 , f (z) =

log(z).

1.3 Residue Theorem

The residue of a function f (z) at z0 is defined by

f2 f1

f (z) = + 2

+ + f0 + f1 z + f2 z 2 + . (1.16)

z z

The residue is nonzero

only at singular points. This number f1 is special because it is singled out from all coefficients fn

if we integrate f over a small circle around z0 :

I

dzf (z) = 2if1 . (1.17)

S 1 (z0 )

Z 2

deim = 2m0

, (1.18)

0

Residue Theorem:

The contour integral of an analytic fx. f (z) is given by the sum of its residues

This theorem is easy to

understand by replacing at all singular points encircled in the contour:

I

the contour by infinitely X

many infinitesimal circles.

dzf (z) = 2i Reszzi f (z). (1.19)

C i

This is for C going around the poles once in the counterclockwise direction.

In general we get an integer factor on the right hand side if C is going in the

opposide direction or if C encircles the poles more than once.

To prove this theorem, we simply quote Cauchys theorem proved in Sec.

1.2 and (1.17).

Immediate consequences of the residue theorem:

Cauchys theorem

I

rem to prove residue theo- f (z)dz = 0 (1.20)

C

rem, but once you accept

if f (z) is analytic in R and C R.

and memorize residue the-

orem, it is convenient to

view Cauchys theorem as

its consequence because

6 CHAPTER 1. COMPLEX ANALYSIS

For an analytic function f (z) in R,

I

1 f ()

f (z) = d , (1.21)

2i z z

counterclockwise direction.

der continuous deformations of the contour with fixed endpoints if the

deformation never crosses over any singularity.

Hint of proof: Con-

Liouvilles theorem sider |f (z1 ) f (z2 )| using

A bounded entire function must be constant. Cauchys integral formula.

Liouvilles theorem implies that: If f (z) 0 as z , f (z) must have A holomorphic function

f (z) with only simple

singularities (unless f (z) is identically zero).

poles is uniquely deter-

The residue theorem not only helps us to understand analytic functions mined by the locations

better, it is also very powerful for evaluating integrals. However it takes expe- and residues of the simple

rience (a lot of practice) and ingenuity (which usually only comes after hard poles, and its value at in-

working) in inventing the relevant analytic function and contour. finity.

1.3.1 Examples

In the following, let a > 0.

1. Z

dx

=? (1.22)

x2 + a2

2. Z

dx

=? (1.23)

0 (x2 + a2 )2

3. Z

dx

=? (1.24)

0 1 + x3

d

=? (1.25)

0 a + b cos

5. Z

x

dx =? (1.26)

0 1 + x2

eax

Z

dx =? (1.27)

ex + 1

1.3. RESIDUE THEOREM 7

7. Z 1

dx

=? (1.28)

1 1 x2 (1 + x2 )

8. For f (z) with several isolated singularities, consider the contour integral

I

f (z)dz

. (1.29)

sin z

Show that

X X Rk

(1)n f (n) = , (1.30)

n= k

sin zk

9.

x sin x

Z

dx =? (1.31)

x3

both residues equal to 1. f (z) also approaches to 1 at infinities. Find

f (z) and prove that it is unique.

1.3.2 Comments

Holomorphicity

Given a complex number z = x+iy C, its complex conjugate z = xiy is

known. But algebraically z and z are independent. Consider a general change

of coordinates of R2

x0 = ax + by, y 0 = cx + dy (1.32)

f (x, y) can be rewritten in terms of (x0 , y 0 ) as f 0 (x0 , y 0 ) such that f 0 (x0 (x, y), y 0 (x, y)) =

f (x, y). The new coordinates (x0 , y 0 ) are independent variables just as (x, y)

are independent variables. One can consider derivatives and use the chain rule

to derive

x0 y 0 x0 y 0

= + , = + . (1.33)

x x x0 x y 0 y y x0 y y 0

All of these algebraic relations remain the same for our special case of z =

x0 , z = y 0 (a = 1, b = i, c = 1, d = i). In this sense, (z, z) are independent

variables.

Analytic continuation

Analytic continuation means to extend the domain of a function from its

original definition to other regions on the complex plane as much as possible,

8 CHAPTER 1. COMPLEX ANALYSIS

the series

X

2 3

f (x) = 1 + x + x + x + = xn , (1.34)

n=0

By analytic continuation, we extend the original definition of f (x) to ev-

erywhere on the complex plane except the point x = 1, so that

1

f (x) = . (1.35)

1x

Suppose we find the expansion (1.34) in a physical problem, and we are

interested in the case when x is a phase. Strictly speaking, based on the

definition (1.34), the value of f (x) for x = ei is ill-defined. One might wonder

whether we can define f (ei ) as the limit

X 1

lim (ei )n = , (1.36)

0+

n=0

1 ei

but how do we justify this choice, rather than the other choice ( 0)?

In a physical problem, there should be physical reasons to justify one choice

over the other. A simple criterion is that, if the quantity you are computing is

physical/observable, then it must be finite and well-defined. Roughly speaking,

this justifies the use of analytic continuation whenever possible.

As an example of the use of analytic continuation, imagine that in a phys-

ical problem, we need to solve the differential equation

f (x) = f0 + f1 x + f2 x2 + f3 x3 + . (1.38)

Then we will get some recursion relations and find that (1.34), up to an overall

constant factor, is the solution. For this problem, one will not hesitate to

replace the series (1.34) by (1.35), because one can directly check that (1.35)

satisfies the differential equation (1.37). The appearance of the series (1.34)

is not a consequence of anything of physical significance, but only a result of

the mathematical technique we apply to the problem.

Residue theorem

In the above, we see that the use of residue theorem is very powerful. We

can use it to evaluate many integrals which we do not know how to compute

otherwise. Even for some of the integrals which we can directly integrate, it

is much easier to use the residue theorem. It is a really elegant technique.

The use of the residue theorem always involves complex numbers in the

calculation, even when the integral is real. It is important to have a rough

1.4. SADDLE-POINT APPROXIMATION 9

idea about the integral, e.g. whether it is real, positive or negative, etc. before

applying the residue theorem, so that you can easily detect an error in calcu-

lation. If, after using the residue theorem, you find a complex number for a

real integral, or a negative number for an integral that is obviously positive

definite, you must have made a mistake.

Most integrals can not be carried out to give an exact answer. Saddle-point

method is one of the most important methods to estimate an integral. The

integral must have a parameter whose value is large. The larger the param-

eter, the better the approximation.

The basic idea is this. Consider a function f (x) with a maximum at x0 .

The contrast between values of f (x) at different points x is magnified in the

expression

ef (x) (1.39)

Z

dxef (x) (1.40)

point x = x0 . As a lowest order approximation, in the very near neighborhood

of x0 (i.e., x x0 ), we can approximate f (x) by

We have f 0 (x0 ) = 0 and

f 00 (x0 ) < 0 since x0 is a 1

maximum. f (x) ' f (x0 ) + f 00 (x0 )(x x0 )2 . (1.41)

2

Then the integral (1.40) is approximated by a Gaussian integral

Z Z

1 00 2

f (x) f (x0 )

dxe 'e dxe 2 f (x0 )(xx0 ) . (1.42)

This can be carried out easily assuming that the range of integration covers

the point x0 and its neighborhood of several standard deviations. In case the

Z

2

dxex /2

= 2.

range of integration misses a significant portion of the Gaussian function, we

(1.43)

can still estimate the Gaussian integral by looking it up in a table or using a

The standard deviation of computer.

the Gaussian is small Whether this is a good approximation depends on whether the integral is

1 .

dominated by a small region around x0 within which the first few terms of the

Taylor expansion (1.41) is a good approximation of f (x).

Higher order approximations can be obtained by keeping more terms in

the Taylor expansion

1 1

f (x) ' f (x0 ) + f 00 (x0 )(x x0 )2 + f 000 (x0 )(x x0 )3 + , (1.44)

2 3!

10 CHAPTER 1. COMPLEX ANALYSIS

1 00 (x 2

ef (x) ' ef (x0 ) e 2 f 0 )(xx0 )

(1 + A(x x0 )3 + B(x x0 )4 + ). (1.45)

Then we can carry out the integration term by term. To do so, you should

know how to derive the following (using integration by parts)

Check that the 2nd term

Z (

(n+1)/2 n+1

A(x x0 )3 in the expan-

2 2 ( ) = 2[1 3 5 (n 1)], n = even,

dxex /2 xn = 2 sion above has no contri-

0, n = odd. bution.

(1.46)

With the help of complex analysis, we can extend the discussions above

from R to C. The function f (x) can be analytically continuated and the

integration on the real axis can be deformed into the complex plane. The

condition f 0 (x) = 0 which determines the maximum x0 is replaced by

Both the real and imagi-

nary parts of f (z) are har-

f 0 (z) = 0 z = z0 . (1.47)

monic fxs. They have no

maximum nor minimum in

This point z0 is not a local maximum nor minimum but a saddle point. In

the bulk. They can only

the two dimensional plane C, one can choose to pick the contour with steepest have saddle points.

descent or the one with stationary phase. Formally, the two approaches look

almost the same

Z Z s

1 00 2 2

dz ef (z) ' dz ef (z0 )+ 2 f (z0 )(zz0 ) = ef (z0 ) . (1.48)

f 00 (z0 )

The subtle difference lies in how to define the square root, which depends on

how we choose the contour to pass through the saddle point z0 (at what angle

in the complex plane).

More precisely, if we choose a real parameter s on the contour so that

Z Z

1 00 2 1 2 1 2

f (z )(zz ) i

dz e 2 0 0

=e ds e 2 cos(+2)s +i 2 sin(+2)s (1.50)

In the steepest descent approach, in order for the real part of f (z) to be

local maximum, we want to choose so that

so that the imaginary part is automatically roughly constant. Then the ex-

pression above is

Z r s !

1 2 2 2

ei ds e 2 s = ei = . (1.52)

f 00 (z0 )

1.4. SADDLE-POINT APPROXIMATION 11

The sign depends on which of the two solutions of is chosen to satisfy (2.20).

For the stationary phase approach, we choose

so that the real part is automatically roughly constant. Then (1.50) becomes

Z r r s !

1 2 2 2 2

ei ds ei 2 s = ei = ei(/4) = . (1.54)

i f 00 (z0 )

Note that the final results (1.52) and (1.54) are exactly the same up to the

ambiguity of a sign, which depends on the choice of the contour.

Refer to MW for details of

saddle-point approx.

1.4.1 Examples

1. For large x, Z

(x + 1) = dt tx et . (1.55)

0

2. For large , Z

dxg(x)ef (x) (1.56)

3. For large n Z, Z 2

sin2n d. (1.57)

0

4. For large , Z

dzef (z) . (1.58)

C

1.4.2 Comments

Before applying the saddle point approximation, it is necessary to have a rough

idea about the behavior of the integrand. We might not want to go all the

way to figure out the shape of the contour in the complex plane, but at least

we should know, for example, whether the integral is dominated by the region

close to a boundary of integration. This may happen even when there is a

local maximum within the range of integration, and then the saddle point

approximation can not be used without modification.

The ambiguity in choosing the direction of integration (due to different

choices of the contour) when we pass over the saddle point results in the

ambiguity of an overall sign of the integral. This ambiguity in theqsign can

also be associated with the ambiguity of the sign of the square root f2 00 (z ) .

0

Usually it is not too hard to guess which choice is correct for a given integral,

and so it is usually not necessary to figure out the details of the contour. It is

12 CHAPTER 1. COMPLEX ANALYSIS

along a certain contour.

In both case (steepest descent and stationary phase), the key point is

to make sure that the dominating contribution of the integral comes from

a small region of the contour, so that we can approximate the integrand

ef (z) by Taylor-expanding f (z) and keeping only the first few terms.

The difference in the two approaches lies in the reason why the integral is

dominated by a small region. For the steepest descent approach, the reason

is that the real part of the exponent f (z) is large in a small region (while the

imaginary part of f (z) does not change quickly within that small region, so

that there is no significant cancellation due to changes of phase).

2 2 3

For example, the integral of f (x) = e 2 x +x over the real line is dom-

inated by the region close to x = 0, with a width of 1 . For larger , the

region is smaller. But how small is small enough? The small region is small

2

enough if the term x3 can be ignored compared with the first term 2 x2

within the region ( 1 , 1 ) so that our saddle point approximation is good.

2

That is, we want | 13 | | 2 12 |, i.e., || 3 . This necessary condition for

the steepest descent approach can be directly written down by counting the

dimension of each quantity. Imagine that this integral arises in a physical

problem and the dimension of x is L. Then the dimension of is 1/L, and

that of is 1/L3 . Since it makes no sense to talk about the precise meaning of

large or small for a quantity with dimension, we can only talk about the

dimensionless quantity /3 being large or small. Since it is obvious that we

want || to be small in order to ignore it, what we really want must be that

|/3 | 1.

For the stationary phase approach, the reason why the integral is domi-

nated by a small region is that, except this small region, the imaginary part

of f (z) changes quickly (while the real part changes slowly) when we move

along the contour, corresponding to a high frequency oscillation that leads to

a large cancellation in the integration.

2 2 3

As an example, consider the integral of f (x) = ei 2 x +x over the real line.

If |/3 | 1 so that we can ignore the 2nd term, the first term of the exponent

tells us that the wavelength of the oscillation around a point x in a small region

(much smaller than the wavelength) is roughly 12 x . Integration over the fast

oscillating region largely cancals, and so the integration is dominated by the

region (1/, 1/), within which the wavelength is of order 1/ or larger.

1.5 Exercises:

1. For k, a R,

0+ means that re-

mains positive in the limit.

1.5. EXERCISES: 13

eikx

Z

lim+ dx =? (1.59)

0 x2 a2 + i

2. For a, b R, m + n 2,

Z

1

dx =? (1.60)

(x2 + a2 )m (x2 b2 )n

1

dx =? (1.61)

1 1 x2 (a + bx)

4. For a > b > 0,

2

sin2

Z

d =? (1.62)

0 a + b cos

5. Z

log(x)

dx =? (1.63)

0 x 3 + a3

6. (a) Consider the contour integral

I

dzf (z) cot z (1.64)

the sum

X

f (n). (1.65)

n=

(b)

X 1

g(a) = =? (1.66)

n=

n 2 + a2

7. Evaluate Z

t

I(x) = dtexte (1.67)

0

approximately for large positive x.

is Z

(z) = dtet tz1 ' 2z z1/2 ez . (1.68)

0

Z 1

B(a, b) = dxxa1 (1 x)b1 . (1.69)

0

(c) Check that the results in (a) and (b) agrees with the relationship

between the gamma function and the beta function

(a)(b)

B(a, b) = . (1.70)

(a + b)

14 CHAPTER 1. COMPLEX ANALYSIS

1

Z

Jn (z) = d cos(n z sin ). (1.71)

0

Use saddle-point approximation to find the asymptotic behavior of the

Bessel function Jn (z) for large z.

Z 1

2

dx xex /2 . (1.72)

0

Chapter 2

Fourier Transform

2.1 Motivation

Fourier transform can be

viewed as a limit of Fourier Fourier transform is a rearrangement of the information contained in a function

series. As we can never f (x). It is based on the fact that any (smooth) function f (x) can be obtained

really measure anything as a superposition of sinusoidal waves with suitable amplitudes and phases

with infinite spatial or Z

temporal extension, the

f (x) = dk f(k)eikx , (2.1)

conceptual difference be-

tween f (x) defined on R

and periodic functions de- where

fined on a finite inter- f(k) = |f(k)|ei(k) C (2.2)

val is an illusion, although

specifies the amplitude and phase of the sinusoidal wave eikx with wave num-

for most applications of

Fourier transform Fourier ber k. Fourier transform is the map from f (x) to f(k). There is no loss of

series is simply impracti- information in this transformation. We can reconstruct f (x) from f(k) via the

cal. inverse Fourier transform.

Fourier transform can be generalized to higher dimensions. It implies, for

example, that we only need to consider plane waves when we learn about

electromagnetic waves, because all electromagnetic waves can be viewed as

superposition of plane waves.

Our ears work as a Fourier

transformer of the sound As we will see, sometimes it is very helpful to present the information en-

waves, although it only coded in a function by its Fourier transform. In particular, it is useful to solve

keeps the information of differential equations that are translationally invariant. In later chapters, we

the amplitudes.

will also generalize the notion of Fourier transform for more general differential

operators.

Dirac -function is defined by

Sometimes we also define

-function by the limit of

(

x2

f (x0 ), x0 (x1 , x2 ),

Z

a series of functions. E.g. dx(x x0 )f (x) = (2.3)

x1 0, otherwise,

1 x2

(x) = lim e 2 .

2

15

Only properties of the -

16 CHAPTER 2. FOURIER TRANSFORM

From its definition and integration by parts, one deduce that the derivative

of the -function can be defined

Z

dx 0 (x x0 )f (x) = f 0 (x0 ), (2.4)

Dirac -functions and its derivatives are not (good) functions. They are

defined only through integrals with good functions. Such objects are called

distributions. Other operations, e.g. 2 (x x0 ), or even (x x1 )(x x2 ),

We will allow integration

are ill-defined. by parts and use the fact

Since -functions are defined only via integrals, we can derive all properties

(x) = 0, x 6= 0.

that can be defined for -functions by considering integrals with functions.

2.2.1 Examples

Prove the following identities.

R x2

x1

d

dxf (x) dx (x x0 ) = f 0 (x0 ), x1 < x0 < x2 , (2.5)

f (x)(x x0 ) = f (x0 )(x x0 ), (2.6)

1

(a(x x0 )) = |a| (x x0 ), (2.7)

1

P

(f (x)) = k |f 0 (x k )|

(x xk ), xk 3 f (xk ) = 0. (2.8)

Note that the coefficients on the RHS in (2.7) and (2.8) are absolute values

since the -functions are positive-definite.

Consider the distribution

A(x) lim eikx . (2.9)

k

A(x) = 0, because

Z Z

dx A(x)f (x) = dx lim eikx f (x) = 0 (2.10)

k

for any smooth function f (x) that vanishes in the neighborhood of x = 0. (We

used this property in the stationary phase approximation.) For x = 0, it is

just 1. Hence this distribution A(x) is nonzero on only one point (of measure

0). It is thus equivalent to 0.

Next we consider the distribution

Z

1

B(x) = dkeikx = lim (eikx eikx ). (2.11)

k ix

2.3. REVIEW OF FOURIER SERIES 17

that it is proportional to (x), which is also 0 for x 6= 0 and ill-defined for

x = 0. We can check this by computing

Z a Z a Z Z

ikx eika eika

dxB(x) = dx dke = dk = 2 (2.12)

a a ik

for any a > 0. (You can use the residue theorem to evaluate the last step.)

Thus, if B(x) is proportional to (x), it must be

Z

B(x) = dkeikx = 2(x). (2.13)

Let us try to be more rigorous in deriving this result (2.13). Since B(x)

R

vanishes for all x 6= 0, dxB(x)f (x) should only depend on the the behavior

R

of f (x) at x = 0. Because dxB(x)f (x) is a linear map of f (x) (to C), the

most general situation is

Z

dxB(x)f (x) = a0 f (0) + a1 f 0 (1) + a2 f 00 (2) + (2.14)

Z Z

dx (n) (x)f (x) = (1)n f (n) (0).

B(x) = dkeikx = a0 (x) a1 0 (x) + a2 00 (x) . (2.15)

From the definition of B(x) one can check that it is an even function of

x. This implies that all an = 0 for all odd ns. We can further fix all the rest

coefficients an by considering a simple example

(n) (x) = (1)n (n) (x).

Z Z Z

2 1 2

dx B(x)e 2 x

= dk dxe 2 (xik/) e 2 k

r Z

2 1 2

= dke 2 k

= 2. (2.16)

Z

2

dx(2(x) + a2 00 (x) + a4 (4) (x) + )e 2 x = 2 + a2 + 3a4 2 + .

(2.17)

Hence we conclude that an = 0 for all n.

Periodic functions f (x) of period 2 can be approximated by

X

f (x) = a0 + (an cos(nx) + bn sin(nx)) . (2.18)

n=1

18 CHAPTER 2. FOURIER TRANSFORM

X

f (x) = fn einx . (2.19)

nZ

If f (x) is real, an , bn R and fn = fn C.

The equal signs in (2.18) and (2.19) are not exact. There can be points of

measure 0 where the equality breaks down. In particular there is the Gibbs

phenomenon: if there is a sudden change of the slope of f (x), the value of the

Fourier series typically overshoots.

The Fourier series for periodic functions is just a special case of the fol-

lowing general idea: For a given class of functions (e.g. periodic functions

We will talk about the

on [, ), one can choose a complete basis of functions {n (x)} so that it general theory of complete

is always possible to express any function f (x) in this class as a linear su- basis of functions in Chap.

P

perposition of them: f (x) = n fn n (x), which holds almost everywhere on 3.

the domain of f (x). The Fourier expansion to be discussed below is another

example. Here we give two more examples.

If periodic functions on [, ) can be expressed as (2.18), then even peri-

odic functions can be expressed as

X

f (x) = an cos(nx), (2.20)

n=0

X

f (x) = bn sin(nx). (2.21)

n=1

These are functions defined on [0, ], and their values in [, 0] are determined

by either f (x) = f (x) or f (x) = f (x). When we consider a function f (x)

defined on [0, ], we can use either cos(nx) or sin(nx) to expand it, and its

values in the region [, 0] will be determined accordingly. Note that the RHS

of (2.20) has the property that its first derivative vanishes at the boundaries

x = 0, , while the RHS of (2.21) vanishes at x = 0, .

Series

Any periodic function f (x) of period 2 can be approximated to arbitrary

accuracy by n fn einx . By a change of variable (scaling of x) we have

P

X

f (x) = fn ei2nx/L , x [L/2, L/2). (2.22)

nZ

Using

Z L/2

dxei2mx/L ei2nx/L = Lm+n

0

, (2.23)

L/2

2.4. FOURIER TRANSFORM AS A LIMIT OF FOURIER SERIES 19

we find Z L/2

1

fn = dxei2nx/L f (x). (2.24)

L L/2

Now we take the limit L and expect that any fx. f (x) defined on

R can be approximated to arbitrary accuracy by the expansion. To do so, we

imagine that the fx fn : Z C defined on Z is promoted to a fx. f(n) : R C

defined on R by interpolation, so that f(n) = fn for n Z. In the limit of

large L, we focus on fxs fn which are very smooth, so that they do not change

much when n n + 1. That is, fn+1 fn 0 as L .

Consider the change of variables

n k = 2n/L, (2.25)

fn f(k) = N f(n). (2.26)

L

P R R

n ' dn = dk 2 , (2.27)

0

m+n L

' (m + n) = ( 2 (k k 0 )) = 2

L

(k k 0 ). (2.28)

To make the connection between the Kronecker delta and Dirac delta fx., we

examine a sum/integral of them

X Z

fn m+n = fm ' f(m) = dnf(n)(m + n).

0

(2.29)

n

R L

f (x) =

dk 2N f (k)eikx , (2.30)

R ikx ik0 x 0

dxe e = 2(k + k ), (2.31)

f(k) = NL dxeikx f (x).

R

(2.32)

To get a well-defined limit for L , the ratio L/N should be a finite num-

ber. On the other hand the choice of the finite number is merely a convention.

An often used convention is L/N = 2:

R

f (x) = dk2 f(k)eikx , (2.33)

R dx ikx

f(k) = e

2

f (x). (2.34)

Fourier transform and its Repeating this decomposition for n-variables, we get

inverse R dn k

Z

dk f (x) = (2)n/2

f (k)eikx , (2.35)

f (x) = f (k)eikx , R dn x ikx

N 1 f(k) = (2)n/2

e f (x). (2.36)

Z

dx ikx

f(k) = e f (x)

N 2

always satisfy

20 CHAPTER 2. FOURIER TRANSFORM

Try to be familiar with the following identities:

+ g)(k) = f(k) + g(k),

(f^ (2.38)

g)(k) = af(k),

(af (2.39)

]

(

i f )(k) = iki f (k), (2.40)

im f )(k) = (iki1 ) (ikim )f(k),

(i1 ^ (2.41)

d k|f(k)|2 = dn x|f (x)|2 ,

R n R

Parseval: (2.42)

R dn x

f(0) = (2) n/2 f (x), (2.43)

f (x) = f (x) f(k) = f (k), (2.44)

R dn p

convolution: ffg(k) =

n/2 f (k p)

g (p). (2.45)

(2)

superposition of sinusoidal waves. (This is the same as Fourier series, except

that the period .)

Spiky details of f (x) correspond to the large k dependence of f(k), while

the large scale behavior of f (x) is encoded in the small k dependence of f(k).

An important property of Fourier transform is that it demonstrates the nusoidal waves with al-

uncertainty principle xp 1 of QM. If a wave function f (x) has a charac- most the same wavelength

teristic length scale L so that it is natural to write f (x) = F (x/L), then its ei(k+)x + ei(k)x =

2 cos(x)eikx , the result

Fourier transform will have a characteristic scale of L1 . That is, if the wave

is a seemingly sinusoidal

function f (x) is mostly concentrated within a range of length L, its Fourier wave with a slowly-varying

transform f(k) is mostly concentrated within a range of length 1/L. amplitude. It takes a dis-

This can be seen by a scaling argument as follows: tance of scale x 1/,

which is the inverse of the

Z

dx uncertainty in wave num-

f(k) = f (x)eikx ber, to see the change in

2

Z amplitude, and to tell its

dx

= F (x/L)eiLkx/L deviation from an exact si-

2 nusoidal wave.

Ldx0

Z

0

= F (x0 )eiLkx

2

= LF (Lk). (2.46)

In the 3rd step we let x = Lx0 . (Note that the overall scaling of a wave function

does not change the range of concentration.)

2.6. APPLICATIONS TO DIFFERENTIAL EQUATIONS 21

2.5.2 Example

The most important example is the Gaussian

x2

f (x) = Ae 2a2 . (2.47)

Its Fourier transform is

Z

dx x2

f(k) = A e 2a2 +ikx

2

adx0 x02 a2 k2

Z

= A e 2 e 2

2

a2 k 2

= aAe 2 . (2.48)

In the 2nd step we used the change of variable ax0 = x ia2 k to complete

square. The Gaussian we start with (f (x)) has an uncertainty of x = a, and

its Fourier transform is again an Gaussian with the uncertainty of k = 1/a.

Find the Fourier transform of the following functions:

1. Identity f (x) = 1.

1

3. f (x) = x2 +a2

.

Fourier transform can be used to reduce the action of differential operators to

multiplications by variables. For example, the ODE with constant parameters

a, b, 2

d d

+ a + b (x) = (x) (2.49)

dx2 dx

is reduced to

(k 2 + iak + b)f(k) = (k). (2.50)

f can be easily solved from this algebraic eq., and then f (x) is know as the

Fourier transform of f. This works also for ODEs of higher orders.

Fourier transform for several variables can also be used to solve PDEs.

Fourier transform is not so useful when the differential op. involves non-

trivial fxs as coefficients. But if the coefficients are all independent of a certain

variable, it is still helpful to perform Fourier transform on that variable. For

example, for ops of the form

D = D0 t2 , (2.51)

where D0 is independent of t, we can do Fourier transform on t so that it is

reduced to

D = D0 + k 2 . (2.52)

Fourier transform applies best to problems with translational symmetry.

22 CHAPTER 2. FOURIER TRANSFORM

2.6.1 Example

Find the general solution to the differential equation

Recall that y(x) is in gen-

d2

d eral a special solution plus

2

y(x) + a y(x) + by(x) = A cos(kx) (2.53) a general solution of the

dx dx

homogeneous equation.

for given constants a, b, A. Note that we have a quite different situation if k

happens to be a solution to the algebraic equation

k 2 + iak + b = 0.

This example combines

The electric potential V (x) in Lorentz gauge satisfies

your knowledge of E&M,

complex analysis and

2 (x) = (x), (2.54)

Fourier transform.

where (x) is the charge density. Due to superposition principle (the fact that

this equation is linear), the solution of V can be obtained by superposing the

electric potential generated by a point charge at an instant of time

In general, solutions of a

point x0 . If G(x, x0 ) is known, (x) is just PDE of the form

Z

(x) = d4 x0 G(x, x0 )(x0 ). (2.56) DG(x, x0 ) = (x x0 )

Therefore, solving G(x, x0 ) reduces the problem of solving V (x) for all kinds

of charge distributions (x) to a problem of integration.

Due to translation symmetry, G(x, x0 ) = G(x x0 ). Its Fourier transform

(in a different convention)

d4 k

Z

G(x) = G(k)eikx , (2.57)

(2)4

(k02 ~k 2 )G(,

~k) k 2 G(k)

= 1. (2.58)

So we find

d4 k 1 ikx

Z

G(x) = e . (2.59)

(2)4 k 2

However, this expression is ill-defined, because the integrand diverges at k 2

k02 ~k 2 = 0.

2.6. APPLICATIONS TO DIFFERENTIAL EQUATIONS 23

corresponds to the ambiguity in choosing the boundary/initial condition for

the differential eq.

Let us single out the integral of k0

d3~k i~k~x ~

Z Z

dk0 1

G(x) = e g(k), g(~k) = eik0 t . (2.60)

(2)3

2 ~

2 k0 k 2

It turns out that the problem is better understood in terms of complex

analysis. The divergence of the integrand can be circumvented in the complex

plane of k0 . That is, we imagine that k0 is originally a complex number,

although the integral of interest is an integral over the real line in the complex

plane of k0 . The divergences of the integrand include a simple pole at k0 =

|~k| and another simple pole at k0 = |~k|. We can circumvent the poles by

passing around them either from above or from below. There are 4 possible

combinations of choices for the 2 poles, each giving a different but well-defined

(finite) integral.

For a given choice of definition of the integral, we can evaluate the integral

using the residue theorem.

The contour in the complex plane of k0 we need here must include the

real axis of k0 . To make a complete contour we need to add half a circle at

infinity either in the upper half plane or lower half plane. At infinity in the

UHP, k0 = + i, while in the LHP, k0 = i. The difference

between the choices of UHP vs. LHP is thus eik0 t = eitt (for UHP) vs.

eik0 t = eit+t (for LHP). Therefore, for t > 0, this exponential factor is 0

at infinity in the UHP, and for t < 0, it is 0 at infinity in the LHP.

Since what we want to compute is the integral over the real axis, the residue

theorem helps us only if the half circle at infinity has no contribution to the

integral. This critirium determines whether we should choose the half circle

in the UHP or LHP for the contour.

For example, what will we get if we decide to circumvent both poles of k0

by passing them from below (deforming the contour from the real axis to the

LHP around the poles)? Let us consider what the Greens fx. is for t > 0 and

t < 0 separately. For t > 0, we should choose the contour to be the real axis

plus a half circle at infinity in the UHP, so that the contour integral is the

same as the integral over the real axis. Then the residue theorem tells us that

!

2i 1 ~ 1 ~

g(~k) = ei|k|t ei|k|t . (2.61)

2 2|~k| ~

2|k|

Similarly, for t < 0, we choose the contour to be the real axis plus a half circle

at infinity in the LHP, so that the contour integral is the same as the integral

24 CHAPTER 2. FOURIER TRANSFORM

g(~k) = 0, (2.62)

because neither of the poles is inside the contour. The fact that G(x x0 ) = 0

for t < t0 tells us that this is the retarded Greens fx.

If we had chosen to circumvent both poles from above, we would have

gotten the advanced Greens fx. Other choices of circumventing the poles give

other types of solutions, e.g. retarded potential for positive freq. modes and

advanced potential for neg. freq. modes, which is what Feynman chose for

QED.

Having explained the conceptual problems, let us now evaluate the retarded

Greens fx. more explicitly. Plugging (2.61) into (2.60), we get

Z

G(x) = 3

e (e eikt ), (2.63)

(2) 2k

where we denoted |~k| by k, and defined w.r.t. ~x. One can easily integrate

over and , and find

Z

dk 1 ikr

G(x) = (e eikr )(eikt eikt ). (2.64)

(2)2 2r

Finally, integrating over t and recall that this is for t > 0, the retarded Greens

fx. is (

1 1

4 r

(t r) (t > 0),

G(~x, t) = (2.65)

0 (t < 0).

The sol. to the PDE

(2 t2 ) = (2.66)

is therefore

Z Z

1 1

(~x, t) = d x G(x x )(x ) = d3~x0 2

4 0 0 0

(~x0 , t |~x ~x0 |). (2.67)

8 |~x ~x0 |

The diffusion eq.

t u = x2 u (2.68)

describes the change of temperature over space and time. For the class of

problems in which u(t = 0, x) = u0 (x) is given at the initial time t = 0, we

can first find the solution for u(t = 0, x) = (x x0 ), and then superpose the

solution for a generic initial condition u0 (x).

By Fourier transform,

Z

dk

u(t, x) = u(t, k)eikx . (2.69)

2

2.7. LAPLACE TRANSFORM 25

which is solved by

2

u(t, k) = v(k)etk . (2.71)

At t = 0, we want

Z Z

dk dk ikx

u(t, x) = v(k)eikx = (x) = e . (2.72)

2 2

Therefore v(k) = 1, and

Z

dk tk2 +ikx 1 2

u(t, x) = e = ex /(4t) . (2.73)

2 2 t

If the source is located at x = x0 , the solution is obtained by x (x x0 ).

u(t, x) here plays a role

resembling Greens fx. It Hence, for a generic initial condition, the solution is

is sometimes called a

Z

0 0 1 (xx0 )2 /(4t) 1

Z 2

boundary Greens fx. u(t, x) = dx u0 (x ) e = dyu0 (x + 2 ty)ey . (2.74)

2 t

Laplace transform can be viewed as an application of Fourier transform to

functions f (t) defined for t > 0 (or t > t0 ), which is not necessarily decaying

sufficiently fast as t for f(k) to be well-defined.

For f (t) defined for t > 0 (f (t) is not defined for t < 0) and f (t)ect for

some c > 0 decaying to 0 sufficiently fast, the combination

(

1, t > 0,

(t) = f (t)ect (t) (2.75)

0, t < 0.

is a function whose Fourier transform can be defined while the Fourier trans-

form of f (t) may be ill-defined. But the information contained in this combi-

nation is as much as f (t) itself. There is (almost) no loss of information to use

the Fourier transform of this combination to describe f (t) (except the value

limt f (t)).

Applying the formulas of Fourier transform,

Z

ct dk

f (t)e (t) = f (k)eikt , (2.76)

2

Z

f (k) = dtf (t)e(cik)t . (2.77)

0

Z c+i

ds

f (t)(t) = F (s)est , (2.78)

2i

Zci

F (s) = dtf (t)est , (2.79)

0

26 CHAPTER 2. FOURIER TRANSFORM

s = c + ik. (2.80)

2.7.1 Example

Find the Laplace transform for f (t) = 1. (When we talk about Laplace trans-

form, we always implicitly assume that f (t) is not defined for t < 0.) Applying

(2.79), we find Z

1

F (s) = dtest = . (2.81)

0 s

Let us also transform F (k) back to f (t) to check the validity of our formulas

Z

ds 1 st

f (t) = e = 1, for t > 0. (2.82)

2i s

Here we used the residue theorem, adding a large semicircle to the left of

complex plane of s to complete the contour. (est 0 for the semicircle on the

left.)

For t < 0, we must choose the semicircle on the right. Then the residue

theorem gives f (t) = 0.

In addition to Fourier and Laplace transforms, there are other types of integral

transforms.

See M&W p.109, Other

In general, an integral transform is a change of basis of the space of func- Transform Pairs.

tions. A complete basis for a space of functions V is a set of functions

{n (x)}, which will be denoted {|n i}, that can be used to express any func-

tion f (x) V as a linear superposition

X

f (x) = fn n (x). (2.83)

n

Z

dx(x)m (x)n (x) = mn . (2.84)

Introducing the notation of inner product on V as

Z

hf |gi dx(x)f (x)g(x), (2.85)

|f i = |n ihn |f i, (2.86)

2.9. EXERCISES 27

Z

fn = hn |f i dx(x)n (x)f (x). (2.87)

2.9 Exercises

1. Prove the following identities.

R x2 d n

n d n

x1

dxf (x) dx n (x x0 ) = (1) dxn f (x0 ), x1 < x0 < x2 , (2.88)

(n) (F~ (~x)) = k 1 (n)

P

Fi (~x ~xk ). (2.89)

| det( x )|

j

d

(a) f (x) = dx

(x x0 ).

x

(b) f (x) = x2 +a2

.

(c) f (t) = et/T sin(t) for t > 0.

(d) f (x) = xn ex for n = 0, 1, 2, for x > 0.

(e) f (x) = g(ax)eibx if G(k) is the Fourier transform of g(x).

tion.

for (t, x) R.

6. Find the most general solution of the differential equation for given pa-

rameter a

(it + x2 + y2 a)(t, x, y) = 0 (2.93)

with the boundary conditions

(2.94)

28 CHAPTER 2. FOURIER TRANSFORM

of dtd f (t)?

rm

rm 8. Use Laplace transform to find the solution of the differential eq.

nto

d2

ike X(t) = 2 X(t). (2.95)

ace

dt2

the

9. Find the Laplace transform of the following functions:

= 0

(a) (t t0 ).

(b) sin t.

(c) cos t.

(d) tn .

(e) et .

1

(a) (sa)n

.

1

(b) (sa)2 b2

.

1

(c) (s2 +1)(s1)

.

2.9. EXERCISES 29

+++

Chapter 3

Sturm-Liouville Theory

3.1 Motivation weapons of the mathe-

matician. Bourbaki

The purpose of this chapter is mainly to establish the concept of the following

table of analogy:

vector(colume)

function state (wave function)

v1

v2

v= ..

f (x) |i ((x))

.

vn

linear space space of functions Hilbert space

{v Cn } {f (x) : BC} {|i}

inner product integration inner product

dx(x)f1 (x)f2 (x)

R

vT w C h1 |2 i

matrix differential operator operator

d2 d

Mij D = a(x) dx 2 + b(x) dx + c(x) O(x, p)

Hermitian matrix self-adjoint operator observable

Mij = Mji D = D O = O

eigenvector eigenfunction eigenstate

M v = v Df = f O|i = |i

linear space), the analogy between linear and (linear) differential equations

is almost exact. This analogy will be very useful for our understanding of

differential equations.

30

3.2. LINEAR ALGEBRA: REVIEW 31

Review of linear algebra:

Linear space V:

If |i, |i V, then a|i + b|i V for a, b C.

If = 1, , n and all

s are linearly indepen- X

|i = |i. (3.1)

dent, the dimension of V

is n.

Inner product of V:

The inner product I(|i, |i), which is often denoted h|i, is a map

The notation h|i for in-

ner product is suggestive from two elements of V to C. It should be linear and anti-linear in the

of its properties. Define a two arguments

linear space V = {h| :

|i V} and call h| I(|i, (a|1 i + b|2 i)) = ah|1 i + bh|2 i, (3.2)

the Hermitian conjugate

I((a|1 i + b|2 i), |i) = a h1 |i + b h2 |i (3.3)

of |i. Let the linear re-

lations in V be defined

and Hermitian

from a complex conjuga-

tion of those in V. That

h|i = h|i. (3.4)

is, a linear relation in V

D is a linear operator on V if it is a map that maps any state |i V

|i = a|i + b|i to a state in V and

is mapped to

D(a|i + b|i) = aD|i + bD|i. (3.5)

h| = a h| + b h|

Eigenstates and eigenvalues:

in V . Then the properties

(3.2), (3.3) are naturally Solutions ( C, |i V) of the equation

inferred from the notation

h|i. We can also gen- D|i = |i (3.6)

eralize the notion of Her-

mitian conjugate to C as are called eigenvalues () and eigenstates (|i) of D.

complex conjugate. Then

(3.4) also follows from the Hermitian/Self-Adjoint operators:

usual rule for Hermitian The adjoint op. (denoted by D ) of D is defined by the requirement

conjugation of a product

h|D|i = (D |i) |i |i, |i V. (3.7)

(AB) = B A .

D is self-adjoint if D = D.

For a finite dimensional linear space V, the eigenvalues n are real, and

the eigenstates {|ni} form a complete basis of V.

32 CHAPTER 3. STURM-LIOUVILLE THEORY

An ordinary differential equation (ODE) of order n

ODE of order 1 are of

Here we will only consider linear ODEs of order 2 the form f (y, y 0 ) = 0.

One can solve this alge-

a(x)y 00 (x) + b(x)y 0 (x) + c(x)y(x) = 0. (3.10) braic equation to the form

y 0 = g(y) and then it is

The linearity of the equation implies that if y1 (x) and y2 (x) are two (linearly solved by integrating both

independent) solutions, then sides of

g 1 (y)dy = dx.

a1 y1 (x) + a2 y2 (x) (3.11)

is also a solution. The fact that this ODE is of order 2 implies that there are Later we will also consider

inhomogeneous equations

only two independent parameters in the general solution, and so this is already

where 0 on the RHS is re-

the most general solution. placed by a given function

There are several elementary ODEs that every physicist is expected to be d(x).

able to solve.

d2 d

a2

y + b y + cy = 0. (3.12)

dx dx

This equation has translation symmetry and one should try the ansatz

Recall Fourier transform

and Fourier series.

y(x) = ex , C. (3.13)

etc.

d2 d

ax2 2

y + bx y + cy = 0. (3.14)

dx dx

This equation has scaling symmetry and one should try the ansatz

y(x) = x , C. (3.15)

You are also expected to be able to solve those that can be put into the

forms above via simple change of variables.

3.4. SPACE OF FUNCTIONS AND DIFFERENTIAL OPERATORS 33

ators

A space of functions as a linear space.

Apart from the linear-

space structure of the

D = (3.16)

space of functions, the

space of functions is

also equipped with the

is that this equation is formally the same as an equation in linear algebra, with

structure of an algebra, D = matrix (linear map), and |i and |i being vectors.

i.e., that of multiplication: We will use |i to represent elements in a vector space V, so we rewrite

f1 (x)f2 (x) = f3 (x). (3.16) as

However, the latter is not

D|i = |i. (3.17)

relevant in the problem of

solving diff. eqs. The space of functions is a linear space.

The differential operator D acts on a function to give another function,

and its action is linear:

Thus D is a linear map acting on the linear space of functions. This is the

most salient feature of linear diff. eqs, and we will see that it is useful to view

it as a problem in linear algebra.

Feynman: The same

equations have the same

solutions. 3.4.1 Functions on a Lattice

In a numerical analysis of an ODE using computer softwares, the continuous

domain is often approximated by a lattice. The diff. op. becomes a difference

operator. |i and |i become columns with finite number of elements. One

can imagine that the original problem is the continuum limit of this problem

of linear algebra when the number of lattice sites goes to infinity.

The linear space of functions on a lattice has the natural basis in which each

basis vector |en i is the function which is 1 at the n-th point and 0 everywhere

else. A function can be expanded in this basis as |f i = |en ifn , where fn is the

value of the function at the n-th point. (The continuum limit of fn is f (x).)

We have the following correspondence:

dx, mn (x x0 ),

P R

n x, fn f (x), n (3.19)

|f i = fn |ni f (x) = dx0 f (x0 )(x x0 ),

R

(3.20)

hf |gi = n fn gn dxf (x) g(x),

P R

(3.21)

|f ihg| = fm gn |mihn|, fm gn f (x)g(x0 ) . (3.22)

34 CHAPTER 3. STURM-LIOUVILLE THEORY

One can also choose a different basis for the linear space V related to the

previous basis by a linear map M : |en i = |Ea iMan . In the new basis, a

function is |f i = |Ea iFa , with Fa = Man fn In the continuum limit, it is

(n x, a k) Z This is the Fourier trans-

F (k) = dx u(k, x)f (x). (3.23) form if u(k, x) eikx .

Thus, functions do not have to be represented as f (x) (in terms of the basis

(x x0 )). They are vectors in a linear space and how they look depends on

which basis you choose. (The linear space of fxs is infinite dimensional; we

will worry about convergence later.)

3.4.3 Eigenfunctions

Recall that the complete set of eigenvectors of a Hermitian matrix M consti-

tutes a basis of the linear space on which M acts. Recall also that one can

always choose this basis to be orthonormal.

Understanding that a diff. eq. is a problem in linear algebra, we can

apply techniques in linear algebra. If D is Hermitian, it is associated with a

convenient basis of the linear space V, i.e., its eigenvectors.

Any two eigenvectors with different eigenvalues must be orthorgonal, because

can always choose the eigenvectors to be orthonormal

M = |em iMmn hen | is a

linear operator whose ac-

|en ihen | = I, (3.27)

tion on a state is obvi-

ous from its notation. As

where I is the identity operator.

a matrix its elements are

Mmn . One can think

of |en i as the basis of

3.5 Graham-Schmidt Orthonormalization columns, and hen | as the

basis of rows.

The Graham-Schmidt Orthonormalization is a way to construct a complete

basis for a linear space. The space of functions is a linear space so we can use

this method to construct a complete basis of functions.

3.6. STURM-LIOUVILLE DIFFERENTIAL OPERATOR 35

Z

h1 |2 i = dx(x)1 (x)2 (x). (3.28)

be chosen as the first element of the complete basis. Then we pick arbitrarily

another function 1 (x) which is linearly independent of 0 (x). We can project

out the part of 1 (x) that is proportional to 0 (x)

1 (x) 01 1 0 h0 |1 i (3.29)

rename it as 1 (x), and include it in the orthonormal basis. Then we pick a

third function 2 (x) which is linearly independent of {0 , 1 }, that is,

and 1

2 (x) 02 2 0 h0 |2 i 1 h1 |2 i. (3.31)

You can check that the 02 is perpendicular to both 0 and 1 :

basis are found.

The process of finding the (n + 1)-th basis element goes on like this. Find

a function n that is linearly independent of {0 , , n1 }. Define

n1

X

0n n k hk |n i. (3.33)

k=0

normalize it, rename it as n (x) and include it in the basis.

The construction guarantees that the set {0 , 1 , } is orthonormal. Usu-

ally we also adopt a systematic way to pick the n-th function so that the

completeness of the basis is more manifest. For instance, often we choose

0 to be constant and n to be a polynomial of order n.

For the inner product defined by

Z

hf |gi = dx(x)f (x)g(x), (3.34)

36 CHAPTER 3. STURM-LIOUVILLE THEORY

where (x) is called the weight function, a generic 2nd order ordinary differ-

ential operator is Hermitian if it can be written in the form

1 d d i d d

D= p(x) + r(x) + r(x) + q(x) , (3.35)

(x) dx dx 2 dx dx

with real functions p(x), r(x), q(x), assuming suitable BCs. This expression

What are the assumptions

can be better understood by recalling the identity (M N ) = N M . If V is a on BC and p(x), r(x)?

space of real fxs, or fxs with Neumann BC, we need r(x) = 0, and D is called

the Sturm-Liouville differential operator.

Eigenvectors n of a Sturm-Liouville operator

1 d d

D= p(x) + q(x) , (3.36)

(x) dx dx

constitute a complete basis of the linear space of fxs V (on which D is self-

adjoint), assuming suitable choice of p(x), q(x), (x) as well as BCs. (We

dont need to consider eigenfxs which do not belong to V.) It is complete in

the sense that any well behaved (piecewise continuous function with a finite

number of finite discontinuities) F can be approximated to arbitrary accuracy

P

by a series n an n . That is,

m

!2

Z x1 X

lim dx(x) F (x) an n (x) = 0. (3.37)

m x0 n=0

series

1 2 X sin((2n + 1)x)

f (x) = + (3.38)

2 n=0 2n + 1

up to points at the discontinuities.

For an orthonormal basis n , i.e., hm |n i = mn , the coefficients an are

Recall that |n ihn | =

1. This can also be writ-

Z

an = hn |F i dx(x)n (x)F (x). (3.39) P

ten as n n (x)n (y) =

1

(x) (x y), where the

To be more rigorous, one should make some assumptions about the Sturm- Dirac delta fx is defined by

R

Liouville operator. (Discussions on the properties of eigenfxs/eigenvalues of dy(x y)f (y) = f (x)

for any well-behaved fx.

Sturm-Liouville ops is called the Sturm-Liouville theory.) A simple example

f.

is to assume that p(x) > 0 and (x) > 0, and p(x) is differentiable, while (x)

For a proof of the Sturm-

and q(x) are continuous, and that the space of fxs V should be defined as the Liouville theorem, see W.

set of differentiable, square-integrable fxs living on a finite interval [a, b] either We will mention the proof

with homogeneous BCs of the form (a)+0 0 (a) = 0 and (b)+ 0 0 (b) = 0, in Appl. Math. IV , after

Greens fxs and calculus of

or with the periodic BC. In this case it can be proven that the eigenvalues i

variations are introduced.

are real and discrete, and the ordered set 1 < 2 < is unbounded

on one side. Furthermore, the number of zeros of the eigenfxs i is larger for

those with larger eigenvalues.

3.7. EXAMPLES 37

On the other hand, the nice properties (e.g. completeness of eigenfxs) are

not limited to those satisfying all the conditions above. If the space on which

fxs in V are defined is not compact, the index n is a continuous parameter and

P

the sum n should be replaced by an integral. The Kronecker delta above

shall be replaced by Dirac delta fx.

3.7 Examples

d 2

Here we construct a complete basis for the op. dx 2 for various boundary

3.7.1 Periodic BC

For the periodic BC

X

X

f (x) = An cos(2nx) + Bn sin(2nx). (3.41)

n=0 n=1

3.7.2 Dirichlet BC

For the Dirichlet BC

f (0) = f (1) = 0, (3.42)

the answer is

X

f (x) = An sin(nx). (3.43)

n=1

3.7.3 Neumann BC

For the Neumann BC

f 0 (0) = f 0 (1) = 0, (3.44)

the answer is

X

f (x) = An cos(nx). (3.45)

n=0

38 CHAPTER 3. STURM-LIOUVILLE THEORY

3.8 Inequalities

P

For a positive definite inner product hf |f i 0, if |f i = n an |n i for an

P0 0

orthonormal basis |n i, then hf |f i n |an |2 for a sum

P

over a subset of

the basis. The meaning of the equality is simply that the inner product can

be represented in different ways. The equality of inner product in different

representations is called Parseval relation.

The Schwarz inequality is simply

3.9 Theorems

For the Sturm-Liouville operator

1 d d

D= p(x) + q(x) , (3.47)

(x) dx dx

where (x) and q(x) are continuous, p(x) is continuously differentiable, (x)

and p(x) are positive definite, and q(x) is non-negative for the range < x < ,

we have:

0 1 2 , (3.48)

3. Between any two consecutive zeros of n (x), there must be at least one

zero of m (x) if m > n .

values increase.

3.10. EXERCISES: 39

3.10 Exercises:

1. The ODE

d2

d

P (x) 2 + Q(x) + R(x) S(x) (x) = 0

dx dx

What are the fxs (x), p(x), q(x) defining D?

The eigenvalue problem of

an op. D is to look for

2. For the eigenvalue problem

solutions (x) of the eq.

(D )(x) = 0 for any

y 00 (x) + y(x) = 0, y(0) = y(L) = 0, (3.49)

R or C. The set of

values of is called the

verify the 4 properties in sec. 3.9.

spectrum.

3. Find the complete set of eigenfxs and their eigenvalues for the operator

d2

dx2

with the following BCs:

(b) f (0) + 2f 0 (0) = 0, f (1) = 0.

the eigenfunctions.

the eigenfunctions.

Hint for Ex.5: 1. (A

and (B B)

A) are both 1

Hermitian and satisfy the

AB . (3.52)

2

same commutation rela-

tion. 2. AB = 12 (AB + It holds for any state |i if A and B are Hermitian ops satisfying the

BA)+ 12 (ABBA). Note commutation relation

that the 1st term on the

RHS is Hermitian and the [A, B] AB BA = i. (3.53)

2nd anti-Hermitian.

2 |i with A h|A|i.

Here A2 is defined by h|(A A)

40 CHAPTER 3. STURM-LIOUVILLE THEORY

adsfds

Chapter 4

Special Functions

4.1 Introduction

Some functions are special and arise naturally in elementary problems. Here

are a few possible reasons how some functions are special.

More generally, variations

of this eq., say,

2 + = 0. (4.1)

(2 V (~r)) + = 0

for certain V s and The Laplace op. in flat space 2 =

P 2

i i appears in almost every

curved spaces that are

elementary problem in physics (wave eq, diffusion eq, Schrodinger eq.,

important for physi-

cists/mathematicians, etc.)

~

can also lead to study of In Cartesian coordinates, eik~x is special. (And hence sin, cos are special.)

special functions. In spherical coordinates, Legendre polynormials are special.

We will not expect any-

one to memorize or to be

It has some interesting algebraic properties.

able to derive all the equa-

tions listed below. The They form a complete basis for a certain space of functions.

purpose of listing all these

equations is to give you an

idea about what kind of 4.2 Legendre Polynomials

identities exist for a typ-

ical special function. In Orthogonality:

the future, when you need Z 1

2

to use these properties of dxPm (x)Pn (x) = mn . (4.2)

1 2n + 1

a certain special function,

you will not panic and Examples:

know what kind of tools

P0 = 1 (4.3)

you may have to solve the

problem at hand. P1 = x (4.4)

Boundary condition: 1

P2 = (3x2 1) (4.5)

2

Pn (1) = 1 n.

1

P3 = (5x3 3x) (4.6)

2

41

42 CHAPTER 4. SPECIAL FUNCTIONS

General formula:

1 dn 2

Pn (x) = (x 1)n . (4.7)

2n n! dxn

Generating function:

X 1

g(t, x) = Pn (x)tn = . (4.8)

n=0

1 2xt + t2

Recurrence relations:

(1 x2 )Pn0 (x) = nxPn (x) + nPn1 (x). (4.10)

Differential equation:

Orthogonality:

Z

2

dxex Hm (x)Hn (x) = 2n n! mn . (4.12)

Examples:

The coefficient of the xn

term in Hn is 2n .

H0 = 1 (4.13)

H1 = 2x (4.14)

H2 = 4x2 2 (4.15)

H3 = 8x3 12x (4.16)

Symmetry:

Hn (x) = (1)n Hn (x). (4.17)

General formula:

dn x2

n x2

Hn (x) = (1) e e . (4.18)

dxn

Generating function:

2

X tn

e2xtt = Hn (x). (4.19)

n=0

n!

Recurrence relations:

Hn0 (x) = 2nHn1 (x) (4.21)

Differential equation:

4.4. LAGUERRE POLYNOMIAL 43

Orthogonality: Z

dxex Lm (x)Ln (x) = mn . (4.23)

0

Example:

Boundary condition:

Ln (0) = 1 n. L0 = 1 (4.24)

L1 = 1 x (4.25)

1

L2 = 1 2x + x2 (4.26)

2

3 1

L3 = 1 3x + x2 x3 (4.27)

2 6

General formula:

e x dn n x

Ln = x e . (4.28)

n! dxn

Generating function:

xz

X e 1z

n

g(x, z) = z Ln = . (4.29)

n=0

1z

Recurrence relations:

xL0n (x) = nLn (x) nLn1 (x), (4.31)

Differential equation:

xy 00 + (1 x)y 0 + ny = 0. (4.32)

General formula:

X (1)` x2`+m

Jm (x) = . (4.33)

`=0

22`+m `!(m + `)!

Normalization:

Z Generating function:

dx Jn (x) = 1.

0 X

x(t1/t)/2

e = tn Jn (x). (4.34)

From this we have n=

X Recurrance relation:

eix cos = in ein Jn (x).

n= d m

(x Jm (x)) = xm Jm1 (x). (4.35)

dx

Differential equation:

x2 y 00 + xy 0 + (x2 m2 )y = 0. (4.36)

44 CHAPTER 4. SPECIAL FUNCTIONS

Other identities:

(x/2)m

Jm (x) , x 0, (4.38)

(m + 1)

X

Jn (x + y) = Jm (x)Jnm (y), (4.39)

m=

Z

1

Jn (x) = d cos(x sin n), (4.40)

0

r

2 m

Jm (x) cos x , x . (4.41)

x 2 4

More identities:

P

m= Jm (x) = 1, (4.42)

R1

0

dx x Jk (zkm x)Jk (zkn x) = 12 Jk+1

2

(zkm )mn , (4.43)

R

0

dr r Jm (kr)Jm (k 0 r) = k (k k 0 ),

1

(4.44)

The defintion of Bessel function Jn can be extended to the case when the

index is real J , R.

These functions J (x) are sometimes called Bessel functions of the first

kind. There are also Bessel functions of the second kind Y (x), which are also

called Neumann functions N (x). They can be defined by

J (x) cos() J (x)

N (x) = .

sin()

This is ill-defined for = integer. In that case we take the limit n. N (x)

is the other independent solution of the same differential equation (4.36) with

m . Hankel functions are just a change of basis

The description above allows the argument x of the Bessel function J (x) to

be complex. When it is purely imaginary, we get the modified Bessel functions

+1 (1)

I (x) = i J (ix), K (x) = i H (ix). (4.46)

2

They satisfy the differential equation

x2 y 00 + xy 0 (x2 + 2 )y = 0. (4.47)

In this section we briefly introduce gamma function (x), beta function B(x, y),

and hypergeometric functions.

4.6. OTHER SPECIAL FUNCTIONS 45

The gamma function can be defined as

Z

(x) = dt tx1 et . (4.48)

0

Another useful property is

(x)(x) = . (4.50)

x sin(x)

(x)(y)

B(x, y) = . (4.51)

(x + y)

Differential equation:

A regular solution is

ab a(a + 1)b(b + 1) 2

2 F1 (a, b; c; x) =1+ z+ z + .... (4.53)

1!c 2!c(c + 1)

Properties:

d ab

F (a, b; c; x)

dx 2 1

= F (a + 1, b + 1; c + 1; x),

c 2 1

(4.55)

(c) R 1 tb1 (1t)cb1

2 F1 (a, b; c; x) = (b)(cb) 0

dt (1tx)a . (4.56)

" #

a1 , a2 , , ap X (a1 )k (a2 )k (ap )k xk

F

p q ; x = , (4.57)

b1 , b2 , , bq (b 1 )k (b2 )k (bq )k k!

k=0

where

(a + k)

(a)k = = a(a + 1)(a + 2) (a + k 1). (4.58)

(a)

46 CHAPTER 4. SPECIAL FUNCTIONS

4.7 Exercises:

1. Expand the function

(

+1, 0 < x < 1

f (x) = (4.59)

1, 1 < x < 0.

X xn+1

Pn (x). (4.60) function.

n=0

n+1

Hermite polynomials Hn (x) for n = 0, 1, 2, assuming that Hn (x) is a

polynomial of order n of the form Hn (x) = 2n xn + . (The measure of

2

integral is ex .)

4. (Fourier-Bessel transform)

Using (4.44), we define the Fourier-Bessel transform (or Hankel trans-

form)

Z Z

f (r) = dk k Jn (kr)F (k), F (k) = dr r Jn (kr)f (r). (4.61)

0 0

Hint: Use the generating

function.

5. (Spherical Bessel function)

Try to solve the following differential equation

by using the ansatz y = x J (x) and y = x Y (x). Show that the result

is r r

jn (x) = Jn+1/2 (x), yn (x) = Yn+1/2 (x). (4.63)

2x 2x

6. What linear homogeneous second-order differential equation has

x Jn (x ) (4.64)

y 00 + x2 y = 0. (4.65)

7. Find an approximate expression for the Gamma function (x) for large

positive x.

Use Stirlings formula and

(4.50).

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