Transformadas PDF

Texts in Applied Mathematics 41
Editors
JE. Marsden
L. Sirovich
M. Golubitsky
S.S. Antman
Advisors
G.Iooss
P. Holmes
D. Barkley
M. Dellnitz
P. Newton
Springer
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Texts in Applied Mathematics
1. Sirovich: Introduction to Applied Mathematics.

2. Wiggins: Introduction to Applied Nonlinear Dynamical Systems and Chaos.
3. Hale/KO(;ak: Dynamics and Bifurcations.
4. Chorin/Marsden: A Mathematical Introduction to Fluid Mechanics, 3rd ed.
5. HubbardIWest: Differential Equations: A Dynamical Systems Approach: Ordinary
Differential Equations.
6. Sontag: Mathematical Control Theory: Deterministic Finite Dimensional Systems,
2nded.
7. Perko: Differential Equations and Dynamical Systems, 3rd ed.
8. Seaborn: Hypergeometric Functions and Their Applications.
9. Pipkin: A Course on Integral Equations.
10. HoppensteadtiPeskin: Modeling and Simulation in Medicine and the Life Sciences,
2nded.
11. Braun: Differential Equations and Their Applications, 4th ed.
12. StoerlBulirsch: Introduction to Numerical Analysis, 2nd ed.
13. RenardylRogers: An Introduction to Partial Differential Equations.
14. Banks: Growth and Diffusion Phenomena: Mathematical Frameworks and
Applications.
15. Brenner/Scott: The Mathematical Theory of Finite Element Methods.
16. Van de Velde: Concurrent Scientific Computing.
17. MarsdenlRatiu: Introduction to Mechanics and Symmetry, 2nd ed.
18. HubbardIWest: Differential Equations: A Dynamical Systems Approach: Higher-
Dimensional Systems.
19. Kaplan/Glass: Understanding Nonlinear Dynamics.
20. Holmes: Introduction to Perturbation Methods.
21. CurtainlZwan: An Introduction to Infinite-Dimensional Linear Systems Theory.
22. Thomas: Numerical Partial Differential Equations: Finite Difference Methods.
23. Taylor: Partial Differential Equations: Basic Theory.
24. Merkin: Introduction to the Theory of Stability of Motion.
25. Naber: Topology, Geometry, and Gauge Fields: Foundations.
26. PoldermanIWillems: Introduction to Mathematical Systems Theory: A Behavioral
Approach.
27. Reddy: Introductory Functional Analysis with Applications to Boundary-Value
Problems and Finite Elements.
28. GustafsonIWilcox: Analytical and Computational Methods of Advanced
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29. TveitolWinther: Introduction to Partial Differential Equations: A Computational
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30. GasquetIWitomski: Fourier Analysis and Applications: Filtering, Numerical
Computation, Wavelets.
(continued after index)

Brian Davies
Integral Transforms and

Their Applications
Third Edition
With 59 Illustrations
Springer
Brian Davies
Mathematics Department
School of Mathematical Sciences
Australian National University
Canberra, ACT 0200
Australia
Brian.Davies@anu.edu.au
Series Editors
JE. Marsden L. Sirovich
Control and Dynamical Systems, 107-81 Division of Applied Mathematics
California Institute of Technology Brown University
Pasadena, CA 91125 Providence, RI 02912
USA USA
M. Golubitsky S.S. Antman

Department of Mathematics Department of Mathematics
University of Houston and
Houston, TX 77204·3476 Institute for Physical Science
USA and Technology
University of Maryland
College Park, MD 20742·4015
USA
Mathematics Subject Classification (2000): 44-01, 44A10, 44A15, 65R10
Library of Congress Cataloging-in-Publication Data

Davies, B. (Brian), 1937-
Integral transforms and tbeir applications/Brian Davies.-3rd ed.
p. cm. - (Texts in Applied Mathematics; v. 41)
Includes bibliographical references and index.
ISBN 978-1-4419-2950-1
1. Integral transforms. I. Title. II. Texts in Applied Mathematics (Springer-Verlag
New York, Inc.); v. 41.
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Series Preface
Mathematics is playing an ever more important role in the physical and

biological sciences, provoking a blurring of boundaries between scientific
disciplines and a resurgence of interest in the modern as well as the classical
techniques of applied mathematics. This renewal of interest, both in re-
search and teaching, has led to the establishment of the series Texts in
Applied Mathematics (TAM).
The development of new courses is a natural consequence of a high level
of excitement on the research frontier as newer techniques, such as numeri-
cal and symbolic computer systems, dynamical systems, and chaos, mix
with and reinforce the traditional methods of applied mathematics. Thus,
the purpose of this textbook series is to meet the current and future needs
of these advances and to encourage the teaching of new courses.
TAM will publish textbooks suitable for use in advanced undergraduate
and beginning graduate courses, and will complement the Applied Mathe-
matical Sciences (AMS) series, which will focus on advanced textbooks and
research-level monographs.
Pasadena, California J.E. Marsden

Providence, Rhode Island L. Sirovich
Houston, Texas M. Golubitsky
College Park, Maryland S.S. Antman
Preface to the Third Edition
It is more than 25 years since I finished the manuscript of the first edition of
this volume, and it is indeed gratifying that the book has been in use over
such a long period and that the publishers have requested a third edition.
After such a long time, a simple coat of paint will not substitute for a more
thorough renovation; in fact, I have pondered for some considerable time
the question of what form a new edition should take. Consequently, this
volume is about 20% longer than the previous one and organized somewhat
differently, into chapters, rather than into four parts, each divided into
sections.
That said, I should state the principles by which I was guided in preparing
the present edition. They are:
(i) To abide by the precept set out in the Preface to the First Edition:
"to produce a work whose scope is selective rather than encyclopedic [so
as not to] make the book too long."
(ii) To include applications that are both interesting and illustrative of
the wide utility of integral transforms.
(iii) To provide a volume that can be used either in teaching an advanced-
level course or for self-study.
The first chapter is largely new, giving a rather brisk account of those
aspects of complex variable theory that will be needed in the sequel. It
replaces the appendixes of the previous editions. I have crystallized this
material over the past few years, when teaching advanced-level students.
Whereas, in the 1980s, one could require such students to have a good
viii Preface to the Third Edition
grounding in complex variable techniques, today that is not always possible.

For such students, the first chapter is intended to be a guide to what they
need to master before they begin.
Chapters 2 to 6 correspond to the previous first part and are devoted
to the Laplace transform. I have reorganized this material somewhat; it
originally formed six sections. Chapter 3 incorporates all the material on the
inversion integral, originally Sections 2 and 6. I have completely rewritten
the material on ordinary differential equations (Chapter 4), to emphasize
the use of linear algebra and to include an introduction to the role of the
Laplace transform in linear control theory. Chapter 5, on partial differential
equations, has also been expanded somewhat over the original treatment,
although in this case the purpose was to improve the exposition rather than
to expand the subject matter.
Chapters 7 to 11 correspond to the previous second part and are con-
cerned with the Fourier transform. Compared with the material on the
Laplace transform, I have not seen fit to change the basic structure here,
only to try to improve on the exposition and to refurbish the applications
somewhat. Experience in teaching students convinces me that it is neces-
sary to introduce generalized functions at this point and that one cannot
rely on this as prerequisite knowledge.
The material on the Mellin transform (previously the first three sections
of Part III) has been combined into Chapters 12 and 13, and some mate-
rial has been removed. The techniques seem still to be relatively unknown,
despite their power and elegance. The material on Hankel transforms and
dual integral equations, being so tightly related, form a single new Chap-
ter 14. For the rest, each chapter of the present volume corresponds to a
section of the previous edition, since the subject matter of each is quite dis-
tinct. The last chapter, however, on the numerical inversion of the Laplace
transform, has been completely reorganized and rewritten, to reflect the
enormous progress in this area. The emphasis is on an exposition of the
theoretical basis of various computational schemes, although I have tried
also to reflect the changes that flow from the explosion of computational
power over the past two decades.
I would like to thank Dr. J .H. Knight for many helpful discussions about
the chapter on the numerical inversion of the Laplace transform. I would
also like to thank the editorial staff at Springer-Verlag New York, Inc., for
their assistance in the preparation of this new edition and, in particular,
the copy editor for helping to eliminate many small, but irritating, errors
from the final version of the manuscript.
Canberra, Australia Brian Davies

2001
Preface to the Second Edition
In preparing this second edition, I have restricted myself to making small

corrections and changes to the first edition. Two chapters have had exten-
sive changes made. First, the material of Sections 14.1 and 14.2 has been
rewritten to make explicit reference to the book of Bleistein and Handels-
man [12J, which appeared after the original Chapter 14 had been written.
Second, Chapter 21, on numerical methods, has been rewritten to take
account of comparative work that was done by the author and Brian Mar-
tin a]1d that was published as a review paper. The material for all these
chapters was in fact prepared for a translation of the book.
Considerable thought has been given to a much more comprehensive re-
vision and expansion of the book. In particular, there have been spectacular
advances in the solution of some nonlinear problems using isospectral meth-
ods, which may be regarded as a generalization of the Fourier transform.
However, the subject is a large one, and even a modest introduction would
have added substantially to the book. Moreover, the recent book by Dodd
et al. [21 J is at a similar level to the present volume. Similarly, I have re-
frained from expanding the chapter on numerical methods into a complete
new part of the book, since a specialized monograph on numerical methods
is in preparation with a colleague.
Canberra, Australia Brian Davies

1984
Preface to the First Edition
This book is intended to serve as introductory and reference material for

the application of integral transforms to a range of common mathematical
problems. It has its immediate origin in lecture notes prepared for senior-
level courses at the Australian National University, although lowe a great
deal to my colleague Barry W. Ninham, a matter to which I refer below.
In preparing the notes for publication as a book, I have added a consider-
able amount of material additional to the lecture notes, with the intention
of making the book more useful, particularly to the graduate student in-
volved in the solution of mathematical problems in the physical, chemical,
engineering, and related sciences.
Any book is necessarily a statement of the author's viewpoint and in-
volves a number of compromises. My prime consideration has been to pro-
duce a work whose scope is selective rather than encyclopedic; consequently,
there are many facets of the subject that have been omitted-in not a few
cases after a preliminary draft was written-because I believe that their
inclusion would make the book too long. Some of the omitted material is
outlined in various problems and should be useful in indicating possible
approaches to certain problems. I hav:elaid gI"eat streSSQIl- the use ef GeIn-
plex variable techniques, an area of mathematics often unfashionable, but
frequently of great power. I have been particularly severe in excising formal
proofs, even though there is a considerable amount of "pure mathematics"
associated with the understanding and use of generalized functions, another
area of enormous utility in mathematics. Thus, for the formal aspects of
the theory of integral transforms I must refer the reader to one of the many
excellent books addressed to this area; I have chosen an approach that is
Xli Preface to the First Edition
more common in published research work in applications. I can only hope

that the course I have steered will be of great interest and help to students
and research workers who wish to use integral transforms.
It was my privilege as a student to attend lectures on mathematical
physics by Professor Barry W. Ninham, now at the Australian National
University. For several years, it was his intention to publish a comprehen-
sive volume on mathematical techniques in physics, and he prepared draft
material on several important topics to this end. In 1972, we agreed to
work on this project jointly and continued to do so until 1975. During that
period, it became apparent that the size, and therefore cost, of such a large
volume would be inappropriate to the current situation, and we decided
to each publish a smaller book in our particular area of interest. I must
record my gratitude to him for agreeing that one of his special interests-
the use of the Mellin transform in asymptotics-should be included in the
present book. In addition, there are numerous other debts that I owe him
for guidance and criticism.
References to sources of material have been made in two ways, since this
is now a fairly old subject area. First, there is a selected bibliography of
books, and I have referred, in various places, to those books that have been
of particular assistance to me in preparing lectures or in pursuing research.
Second, where a section is based directly on an original paper, the reference
is given as a footnote. Apart from this, I have not burdened the reader with
tedious lists of papers, especially as there are some comprehensive indexing
and citation systems now available.
A great deal of the final preparation was done while I was a visitor at
the Unilever Research Laboratories (UK) and at Liverpool University in
1975, and I must thank those establishments for their hospitality, and the
Australian National University for the provision of study leave. Most of the
typing and retyping of the manuscript have been done by Betty Hawkins of
the Mathematics Department, while the figures were prepared by Mrs. L.
Wittig of the Photographic Services Department, ANU. Timothy Lewis, of
Applied Mathematics at Brown University, has proofread the manuscript
and suggested a number of useful changes. To these people, I express my
gratitude and also to Professor Lawrence Sirovich for his encouragement
and helpful suggestions. This book is dedicated to my respected friend and
colleague, Barry W. Ninham.
Canberra, AustraJia Brian Davies

1977
Contents
Preface to the Third Edition vii
Preface to the Second Edition ix
Preface to the First Edition xi
1 Functions of a Complex Variable 1

1.1 Analytic Functions . . 1
1.2 Contour Integration 6
1.3 Analytic Continuation 9
1.4 Residue Theory . . . 13
1.5 Loop Integrals 15
1.6 Liouville's Theorem 18
1.7 The Factorial Function . 19
1.8 Riemann's Zeta Function 23
2 The Laplace Transform 27

2.1 The Laplace Integral . 27
2.2 Important Properties . 28
2.3 Simple Applications 32
2.4 Asymptotic Properties: Watson's Lemma 33
Problems ...... . . . . . . . . . . . . 36
3 The Inversion Integral 39

3.1 The Riemann-Lebesgue Lemma. 39
xiv Contents
3.2 Dirichlet Integrals 41

3.3 The Inversion . . . 42
3.4 Inversion of Rational Functions 44
3.5 Taylor Series Expansion . . . . 46
3.6 Inversion of Meromorphic Functions 47
3.7 Inversions Involving a Branch Point 49
3.8 Watson's Lemma for Loop Integrals 50
3.9 Asymptotic Forms for Large t . 52
3.10 Heaviside Series Expansion 53
Problems . . . . . . . . . . . . 54
4 Ordinary Differential Equations 57

4.1 Elementary Examples . . . . . . . . . . 57
4.2 Higher-Order Equations . . . . . . . . . 59
4.3 Transfer Functions and Block Diagrams 61
4.4 Equations with Polynomial Coefficients 65
4.5 Simultaneous Differential Equations 67
4.6 Linear Control Theory . . . . . . 72
4.7 Realization of Transfer Functions 79
Problems . . . . . . . . . . . . 82
5 Partial Differential Equations I 85

5.1 Heat Diffusion: Semi-Infinite Region 86
5.2 Finite Thickness 89
5.3 Wave Propagation 90
5.4 Transmission Line 92
Problems . . . . 94
6 Integral Equations 97
6.1 Convolution Equations of Volterra Type 97
6.2 Convolution Equations over an Infinite Range . 101
6.3 The Percus-Yevick Equation 104
Problems . . . . . . . 107
7 The Fourier Transform 111

7.1 Exponential, Sine, and Cosine Transforms 111
7.2 Important Properties . . . . 116
7.3 Spectral Analysis . . . . . . 119
7.4 Kramers-Kronig Relations. 121
Problems . . . . . . . . . . 123
8 Partial Differential Equations II 129

8.1 Potential Problems . . . . . . . 129
8.2 Water Waves: Basic Equations . . . . . . . . 132
8.3 Waves Generated by a Surface Displacement 135
Contents xv
8.4 Waves Generated by a Periodic Disturbance 137

Problems . . . . . . . . . . . . . . . . . . . 140
9 Generalized Functions 143

9.1 The Delta Function . . . . . . . . . . . . . 143
9.2 Test Functions and Generalized Functions 144
9.3 Elementary Properties . . . . . . . . . . . 148
9.4 Analytic Functionals . . . . . . . . . . . . 153
9.5 Fourier Transforms of Generalized Functions 155
Problems . . . . . . . . . . . . . . . . . . . . 157
10 Green's Functions 163

10.1 One-Dimensional Green's Functions 163
10.2 Green's Functions as Generalized Functions 167
10.3 Poisson's Equation in Two Dimensions .. 169
10.4 Helmholtz's Equation in Two Dimensions 173
Problems . . . . . . . . . . . . . . . . . . 176
11 Transforms in Several Variables 181

11.1 Basic Notation and Results .. 181
11.2 Diffraction of Scalar Waves .. 185
11.3 Retarded Potentials of Electromagnetism 187
Problems . . . . . . . . . . . . . . . . . . 189
12 The Mellin Transform 195

12.1 Definitions . . . . . . 195
12.2 Simple Examples .. 196
12.3 Elementary Properties 200
12.4 Potential Problems in Wedge-Shaped Regions 202
12.5 Transforms Involving Polar Coordinates 203
12.6 Hermite Functions 205
Problems . . . . . . . . . . . . . . 207
13 Application to Sums and Integrals 211

13.1 Mellin Summation Formula . . . . 211
13.2 A Problem of Ramanujin . . . . . 213
13.3 Asymptotic Behavior of Power Series . 215
13.4 Integrals Involving a Parameter . . . . 218
13.5 Ascending Expansions for Fourier Integrals 221
Problems . . . . . . . . . . . . . . . . . . . 223
14 Hankel Transforms 227

14.1 The Hankel Transform Pair 227
14.2 Elementary Properties .. 230
14.3 Some Examples . . . . . . 231
14.4 Boundary-Value Problems 232
xvi Contents
14.5 Weber's Integral . . . . . . . . . . . . . . . . 234

14.6 The Electrified Disc . . . . . . . . . . . . . . 236
14.7 Dual Integral Equations of Titchmarsh Type 237
14.8 Erdelyi-Kober Operators 239
Problems . . . . . . . . . . . . . . . . . . . . 242
15 Integral Transforms Generated by Green's Functions 249

15.1 The Basic Formula . . . 249
15.2 Finite Intervals . . . . . . . . . . 251
15.3 Some Singular Problems . . . . . 253
15.4 Kontorovich-Lebedev Transform 256
15.5 Boundary-Value Problems in a Wedge 258
15.6 Diffraction of a Pulse by a Two-Dimensional Half-Plane 259
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . 262
16 The Wiener-Hopf Technique 265

16.1 The Sommerfeld Diffraction Problem. 265
16.2 Wiener-Hopf Procedure: Half-Plane Problems. 273
16.3 Integral and Integro-Differential Equations. 274
Problems . . . . . . . . . . . . . . . 278
17 Methods Based on Cauchy Integrals 283

17.1 Wiener-Hopf Decomposition by Contour Integration 283
17.2 Cauchy Integrals . . . . . . . . . . . . 285
17.3 The Riemann-Hilbert Problem . . . . 289
17.4 Problems in Linear Transport Theory 291
17.5 The Albedo Problem . 295
17.6 A Diffraction Problem 297
Problems . . . . . . . 302
18 Laplace's Method for Ordinary Differential Equations 303

18.1 Laplace's Method .. 303
18.2 Hermite Polynomials . . . . . . . . . . . . 305
18.3 Hermite Functions . . . . . . . . . . . . . 307
18.4 Bessel Functions: Integral Representations 310
18.5 Bessel Functions of the First Kind . . . . 312
18.6 Functions of the Second and Third Kind . 314
18.7 PoisSQll and Relat@d RepI"@sentatiQIlS 319
18.8 Modified Bessel Functions 320
Problems . . . . . . . . . . . . . . . 321
19 Numerical Inversion of Laplace Transforms 327

19.1 General Considerations. 327
19.2 Gaver-Stehfest Method 329
19.3 Mobius Transformation 331
Contents xvii
19.4 Use of Chebyshev Polynomials . 335

19.5 Use of Laguerre Polynomials 338
19.6 Representation by Fourier Series 343
19.7 Quotient-Difference Algorithm 349
19.8 Talbot's Method . . . . . . . . . 352
Bibliography 357
Index 363
1
Functions of a Complex Variable
This preliminary chapter collects together material about functions of a

complex variable. The chief purpose is to give a treatment of some special
functions that are particularly needed in later chapters. For a comprehen-
sive introduction to the theory of functions of a complex variable, see, for
example, Ahlfors [2], Bak and Newman [7], Noguchi [44], or Palka [45].
1.1 Analytic Functions

Analytic functions are a particular subset of the class of all complex-valued
functions of a complex variable. The real and imaginary parts of complex
numbers are constantly required. We use the standard notation that if
z = x+iy,
is a complex number, with x, y real numbers, then
x = Re(z), y = Im(z).
We shall refer to the set of all complex numbers as the complex plane, and
denote it by <C.
An alternative polar form is often used, using the modulus Izl and argu-
ment 0 = arg(z):
x = Izl cosO, y = Izl sinO.

2 1. Functions of a Complex Variable
This only defines the argument to within a multiple of 27f, a fact of great
importance at nearly every turn. Multiplication is most easily expressed
this way:
For a complex-valued function, we write similarly
J(z) = u(z) + iv(z) = u(x + iy) + iv(x + iy),

where u and v are real-valued functions. In the preliminary sections, we
shall also, by an abuse of notation, write
J(z) = u(x, y) + iv(x, y)

to exhibit the connection with functions of two real variables.
Complex variable theory is particularly concerned with contour inte-
gration. We shall call an open subset G of C a region. 1 Generally we
shall be concerned with connected regions, defined by the fact that any
pair of points may be joined by a continuous curve contained in G. We
shall also consider smooth curves; these are defined as curves that may be
parametrized as
x(t) + iy(t), a :S t :S b,
where x(t), y(t) are real-valued differentiable functions of the real parame-
ter t, with the further condition that x'(t) and y'(t) must not be simultane-
ously zero.2 A finite number of discrete nonsmooth points on an otherwise
smooth curve may be tolerated by joining together a finite collection of
smooth curves; such a curve will be called piecewise smooth. More often
we shall simply refer to such a curve as a contour oj integration.
Differentiation
For functions u of two real variables, the most useful definition of differenti-
ation goes as follows. Given a point (x, y) contained in a region G in which
u is defined, u is differentiable at (x, y) if there exist a pair of coefficients
¢(x, y), 'l/J(x, y) such that
u(x + 8x, y + oy) = u(x, y) + ¢(x, y)8x + 'l/J(x, y)8y + R, (1.1)
where
IRI/II(ox, oy)11 -+ 0 as 11(8x,8y)ll-+ O.
IThe complex plane is itself an open region.

21n the event that x'(t) = y'(t) = 0 for some t, it may be that a change of
parametrization is all that is required.
1.1 Analytic Functions 3
Differentiability in a region is defined as differentiability at every point of

the region. The power of this definition is that, if a function is differentiable,
then its partial derivatives exist and are given by
au = rI. au = ./.
ax 'P, ay 'P'
The converse does not apply without imposing restrictions on the continuity
of the partial derivatives.
It is convenient to define differentiation of a complex-valued function of
a complex variable in the same way. Given a point z contained in a region
G of C in which J is defined, J is differentiable if there exists a (complex-
valued) coefficient ¢(z) such that
J(z + oz) = J(z) + ¢(z)Oz + R, (1.2)
where
IRI/iozi --+ 0 as IOzl --+ O.
Differentiability in a region is defined as differentiability at every point of
the region. It is more usual to write
f'(z) == dJ in place of ¢(z).

dz
Cauchy-Riemann Relations
Denote the real and imaginary parts of J as u and v as above. Taking the
real and imaginary parts of the definition (1.2), we see that u and v are
differentiable functions in the plane, and that
u(x + Ox, Y + Oy) = u(x, y) + Re (f'(z)) Ox - 1m (f'(z)) oy + R u ,

v(x + Ox, y + oy) = v(x, y) + 1m (f'(z)) Ox + Re (f'(z)) Oy + Rv·
Comparing this with (1.1), we see that
Re(f') = au/ax = av/ay,

(1.3)
lm(f') = av/ax = -au/ay,
which imposes the restrictions
au av av au (1.4)
ax ay' ax ay'
on the pair (u, v). These are known as the Cauchy-Riemann relations. Two
important consequences are:
(i) Given a pair of differentiable functions (u, v) that satisfy the Cauchy-
Riemann relations, then the complex-valued function J(z) = u(x, y) +
iv(x, y) is differentiable.
(ii) Given a differentiable complex-valued function f(z), the real (or

imaginary) part of the function almost completely determines the other
part by solution of the Cauchy-Riemann relations.
A function differentiable in a region G is usually called analytic. A point

where a function is not analytic is said to be a singular point, or the function
is said to have a singularity there. It is easy to check that the sum, differ-
ence, product and quotient of analytic functions again satisfy the Cauchy-
Riemann relations. They are therefore analytic with the exception that
division by zero may introduce a singularity.3 Moreover, the usual rules
for differentiation of such combinations of a real variable carryover to ana-
lytic functions without change, as does the chain rule. These last assertions
follow directly from the definition of derivative employed above.
Simple Powers
Obviously, the functions zn, n 2: 0, are analytic in all of C; when n < 0, zn
is analytic except at the origin, where it is singular. Moreover,
dz n n-l
dz = nz .
Fractional powers are more difficult. For fractional a = min, zO< is de-
fined as the solution(s) of the equation (n = zm. Expressing z and ( in
polar form with Izl = r, arg(z) = e, 1(1 = p, arg(() = ¢, this is the pair
p = rcx, ¢ = ae.
The problem lies in the equation for the argument. An arbitrary multiple
of 27r may be added to e = arg(z) without affecting the meaning of z, but
when a is not an integer, this gives inequivalent values for ¢ = arg((). In
such a case, the function ( = ZCX is not differentiable at the origin, which is
therefore a singular point.
We may decide to choose a particular solution ¢o = a(e o + 27rk) for
a particular value eo, which fixes a meaning for ZCX along the ray r 2: 0,
e = eo. If we extend the solution away from this ray by choosing ¢ to be
continuous in e, then the two (angular) directions for this extension will
e
meet on some new ray along which differs by 27r (making z continuous
across this ray) but ¢ differs by 27ra. Because the latter is not a multiple
of 27r, the function ( = ZCX cannot be extended across this new ray. The
singular point is z = ( = 0; one circuit of it leads from one branch (solution)
of ( to another, for which reason it is called a branch point. In such a case,
a convenient method to obtain an analytic function in an open domain is
to delete a ray from the complex plane. Since we include the branch point
3For example, e Z / z has a singularity at the origin; (e Z - 1) / z is analytic there.

1.1 Analytic Functions 5
in this deletion, what remains is again an open set. The deleted curve is
known as a branch cut; what remains is the cut plane.
As an example,
is analytic in the cut plane 4
! arg(z - zo)! < 7r,

provided that its argument is first chosen along the positive real axis, but
it is equally valid to cut the plane according to
o < arg(z - zo) < 27r

and fix the argument along the negative real axis.
For the function
J(z) = Hz - zo)(z - zI)}1/2,

an interesting new possibility arises. The plane may be cut by removing a
curve that joins the two branch points, since on circling both of them once
without crossing the branch cut, arg((z - zo)(z - Zl)) is incremented by
±47r; J is therefore analytic in this cut plane. Naturally, there are many
other possibilities to introduce the cut(s).
Elementary Functions
The exponential function may be extended to the complex plane in the
obvious manner,
exp(x + iy) = exp(x) (cos y + i sin y). (1.5)

This formula satisfies the Cauchy-Riemann relations and also enjoys the
fundamental properties
exp(zl + Z2) = exp(zl) + exp(z2),

d
dz exp(z) = exp(z).
Given the exponential, the trigonometric functions are defined by
sinz = -1 (e'z. - e- n. ) cosz ="21 (e'z. +e-'z. ) ;

2i '
similarly for the hyperbolic functions
4The inequality is ambiguous at the branch point, which must be deleted.

The logarithm is defined as the inverse of the exponential, that is,
(= lnz z = exp(().
Taking real and imaginary parts of the exponential, with ( = ~ + i'T}, we

must find the solution set of
z = x + iy = e~ (cos 'T} + i sin 'T}).

It follows that
(= lnz = lnjzl + i (arg(z) + 21m),
where n is an arbitrary integer. Using the same reasoning as for a fractional
power, we see that the origin is a branch point. That is, if we fix the meaning
of In z along some ray, then extend continuously in the two possible angular
directions around the branch point, we will arrive at another ray along
which Im(1n z) has a discontinuity. In this case the discontinuity is not
a fraction of 211', but exactly 211'; this is a distinguishing feature of the
logarithm. As an import.ant special choice, cutting the plane by the choice
Iarg(z) I < 11',

and fixing In z to have its usual (real) value for positive real z, we obtain a
function called the principal branch of the logarithm.
Finally, for arbitrary complex a, the corresponding power is defined by
z'" = exp(alnz).
It will, of course, require a branch cut in order to become an analytic

function in an extended region.
1.2 Contour Integration

For a smooth contour r, the integral
1r J(z) dz
may be defined in terms of a parametrization of r as
1r J(z) dz = lb J(z(t))z'(t) dt.
We assume without further comment that this result is independent of the

parametrization, since for analytic functions and smooth curves everything
involved in the underlying theory of Riemann integration is straightforward.
All of the standard results about integration carry through. In particular,
1.2 Contour Integration 7
FIGURE 1.1. Simple contour for Green's and Cauchy's theorems.
if I(z,p) is a uniformly continuous function of a parameter p when z is in

some region G containing r, then
d r r 81
dp ir I(z,p) dz = ir 8p (z,p) dz. (1.6)
Also, we shall often need the inequality
1£ I(z) dzl :::; mF III ·length(r).
The fundamental theorem of calculus, that
l X
!,(t) dt = I(x) - I(a)
extends to the complex plane. However, the value will depend on the choice
of the contour relative to the singularities of the function, as we shall see.
Green's Theorem
The fundamental theorem of calculus extends to the real plane as follows.
If r is any piecewise smooth nonintersecting closed curve in the plane,
if M(x, y) and N(x, y) are a pair of functions differentiable in a simply
connected region containing r,
and if G is the interior of thenr,
fa (~~ - 88~) i dA = (Mdx+Ndy).
Here, the meaning of the symbol f is that the direction of integration along
the closed contour r is taken so that the points of G are always to the left
in the direction of travel. We shall call this the positive or anticlockwise
direction.
This result has an important extension which we often use. If r is a finite
collection of piecewise smooth nonintersecting closed curves rn that form
the boundary of an open region G, and if the direction of integration along
each rn is as above (so that some may be traversed anticlockwise, some
clockwise), then the result still applies.
Cauchy's Theorems
Suppose now that G and r are as above, and that 1 = u + iv is an analytic
function. Then, by virtue of Green's theorem and the Cauchy-Riemann
relations (1.4),
Re(i1dZ) = i(UdX-Vd y ) =0,
1m (i1dZ) = i(VdX+UdY) =0,
which is generally known as Cauchy's theorem and is expressed as
It follows that, if a, Z are points in a simply connected region G in which

1 is analytic, then for any contour in G starting at a and ending at z, the
Cauchy-Riemann relations ensure that the integral
l Z
!'(() d( = 1(z) - 1(a)
is independent of the path. Thus the fundamental theorem of calculus sur-

vives, subject to appropriate restriction on the contour.
Now we consider the integral
i zndz,
where r is a nonintersecting closed curve that circles the origin once in the
anticlockwise direction. Since zn is analytic except possibly at the origin,
Cauchy's theorem allows the contour to be deformed to a unit circle, Izl = 1,
parametrized as
dz = i eiiJ dB, °: :; B :::; 21f.
Therefore, the integral is
i 1
o
27r
ei(n+l)o dB = {21fi '
0,
n = -1,
n #-1.
(1.7)
Next, let the contour r remain as above, but replace the integrand by
1(z) / z,where 1 is a function analytic in a region G containing r. Then
r may be deformed to a circle of arbitrarily small radius 6 > 0, and the
function may be expanded using (1.2), with the result that, for any E > 0,
11(z) - 1(0)1 < E for sufficiently small 6. Consequently, by choosing such a
6,
J 1(z) dz = J 1(0) dz + R, IRI < 21fE.
Ir z lIzl=8 z
From (1.7), there follows the important formula
1 j(z) dz = 27rij(0), (1.8)

Ir z
and by translating the origin by an arbitrary amount, we arrive at the
Cauchy integral formula,
j(a) = ~ 1 J(z) dz,

27rZ Ir z - a
provided that r circles z = a once in the positive direction.
Infinite Differentiability
The last formula leads to a very strong result. Since we require that j
be analytic in a region G containing the closed contour r,
the integral is
uniformly continuous in a for any small disc contained entirely inside the
contour. It follows that we may differentiate, with respect to this parameter,
under the integral sign. Moreover, by the same reasoning, the process may
be iterated. Changing a to z and using ( for the integration variable, we
obtain in this way
j(n)(z) = ~ 1 j(() de.

27ri Ir (( - z)n+1
Analytic functions are infinitely differentiable. An immediate consequence
follows by applying the Cauchy-Riemann relations to (1.3), giving
The real and imaginary parts of an analytic function are therefore harmonic
junctions, that is, they satisfy Laplace's equation in the variables x, y.
1.3 Analytic Continuation

Recall some important facts about power series in a real variable. If
00
converges for some value Ix - al = R > 0, then we obtain the following:

(i) The series converges for all x in the open interval Ix - al < R.
(ii) If R is the maximum value for which the series converges, then it is
called the radius of convergence.
(iii) The function J(x) defined as the sum of the series is differentiable in
the open interval Ix - al < R. Moreover, the derivative may be obtained
by differentiating the series term-by-term.
(iv) The differentiated series has the same radius of convergence as the
original-this implies that the function is infinitely differentiable.
(v) Term-by-term comparison shows that the power series coincides with
the Taylor expansion, that is, an = JCn) (a)/n!.
Power Series
The above facts generalize immediately to the complex case; indeed the
generalization explains some curiosities found in the real case. The only
differences are that we consider series with complex coefficients,
L
00
J(z) = an(z - a)n,

n=O
and that R is the maximum value of Iz - al for which the series converges.
Then it converges, is infinitely differentiable, and provides the Taylor ex-
pansion of J(z), in the open set
Iz - al < R.
In fact, an alternative definition of an analytic function is that it is a
function J(z) for which there is such a power series expansion, with finite
radius of convergence, at every point of some open region.
As a simple example, consider the function
J(z) = 1/(1- z).
Selecting an arbitrary point a =11, by simple manipulation we have
J(z) = _ 1 ~ (z - a)n. (1.9)

1- a L... I-a
n=O
Clearly, this geometric series has radius of convergence
Iz - al < 11- al = R a ,
which is dependent on the choice of a. In fact, Ra is exactly determined by
the distance of the singularity from a.
Another important example is that the exponential function may be

defined as the usual series:
00 n
z '"' z
e =~"
n. n=O
which has infinite radius of convergence. It is readily checked that this
agrees with the Taylor expansion of (1.5).
Overlap of Regions
A crucial property of analytic function theory is related to uniqueness. Sup-
pose that iI, h are two functions analytic in regions Gt, G 2 , respectively.
Suppose further that
(i) the intersection H = G 1 n G 2 is an open region;
(ii) the functions agree on the overlap; iI(z) = h(z), z in H.
Then there is a unique analytic function J, defined on the union of the
regions G = G 1 U G 2 , which takes the values iI in G 1 and h in G 2 .
Normally one starts with one such pair (iI, G 1 ) and then looks for the
second pair. By this process, h is said to analytically continued from G 1
to a function J defined in the larger region G.
Simple Examples
As an immediate example, consider (1.9) again, setting a = O. Suppose we
start with this power series, that is, a function defined in the region Izl < 1
by the power series
00
J(z)=Lz n , Izl < 1.

n=O
Since the sum of the series agrees with the function
1
J(z) = 1 - z
in an overlap region, the latter is the analytic continuation of the former

to C.
As a second example, more relevant to the following chapters, consider
the function defined by the integral
J(p) = 100
e- pt2 dt.
Provided that Re(p) > 0, the integral is convergent and defines a function
Re(p) > O.
The formula on the right-hand side can be made into an analytic function
in the cut plane in many different ways, since there is freedom in choosing
the cut. In order for this construction to constitute analytic continuation
of the integral, however, it must agree in the half-plane Re(p) > 0, which
places some limitations on the choice. For example, choosing I arg(x)I < 1f
gives an analytic continuation.
The Exponential Integral

The exponential integral is defined by
Ei(z) = 1
z
00 -t
~ dt.
t
(1.10)
It is a multivalued function, since its value along a closed contour encircling

the origin increases by 21fi for each anticlockwise circuit, due to the Cauchy
integral formula (1.8). It is conventional to take the negative real axis as a
branch cut, thus restricting the contour from z to 00 and making the value
of the integral unique.
If we split up the integral as follows,
Ei(z) = 1,
1
00 e-t
-dt+
tot
11 -liz
--dt-
e- t
0
e- t -1
--dt+
t
-dt,
zt
11 1
then the sum of the first two integrals is a constant; on substituting t = l/u
in the first integral and t = u in the second, we find that this constant is
-,,(, where
"( =
o
1
1 1 - e- U - e- 1 / u
u
duo
This is one expression for Euler's constant,
"( = 0.5772157 ... ,

and we have
Ei(z)=-lnz-"(-
r -e-t--l dt ,
10
t
where In z is the principal branch. Using a Taylor series expansion and

integrating term-by-term we obtain the series representation
(_1)n z n
L
00
Ei(z) = -lnz - "( - -'---n---'-'-n-!- (1.11)

n=l
The series converges for all z, defining a function analytic in all <C. Conse-
quently, we have isolated the behavior at the branch point explicitly.
1.4 Residue Theory 13
1.4 Residue Theory

A function of the kind J(z) = ¢(z)/(z - a), where ¢(z) is analytic in a
region containing z = a, has a singularity at z = a of a particularly simple
kind, division by zero. The general situation is as follows. Suppose that
(i) the function J(z) has a singularity at z = a,
(ii) there is a constant E > 0 and a region Iz - al < E in which J is
otherwise analytic,
(iii) there is an integer n such that (z - a)n J(z) is analytic in Iz - al < E,
but (z - a)n-l J(z) is not.
Then the singularity is classified as a pole oj order n. In the case that n = 1
it is more usual to call it a simple pole.
Laurent Expansion
At a pole of order n, we have that the function ¢(z) = (z - a)n J(z) is
analytic in the region Iz - al < f. We may therefore expand ¢ in a Taylor
series
L ¢k(Z - a)k.
00
¢(z) =
k=O
This gives an expansion for J about the same point,
L
00
J(z) = al(z - a)l,

l=-n
Such an expansion is known as the Laurent series; it is the simplest possible
resolution of a singularity.
The Residue at a Pole

Now suppose that r is a closed contour circling the pole, but that J is
otherwise analytic in a simply-connected region containing r. Then we
may evaluate the integral of J around r using the Laurent expansion, and
(1.7), as 5
1 J(z)dz =
Jr
f
k=-n
ak 1 zkdz = 21l'ia_l.
Jr
This simple result brings about another definition: the residue of a function
at a pole is defined to be the coefficient ofthe (z-a)-l term in the Laurent
5The contour may have to be deformed to a small circle to permit term-by-

term integration.
expansion. No matter how high the order of the pole, the residue always
relates to the first singular term, and the integral depends solely on that
coefficient.
For a simple pole, the residue is defined as
Res(f)lz=a = l~{(z - a)J(z)}.
Often, this will require some ingenuity for its evaluation. For example, the
function J(z) = l/(e Z -1) has a singularity at the origin and by l'Hospital's
rule
· m
1I ( z --0-) = l
z-tO e Z -1
1· m - = ,
z-tO eZ
(1) 1
which shows that the singularity is a simple pole with residue +1.
Replacing this example by J(z) = l/(e Z -1 - z), the above limit is infi-
nite, so it is not a simple pole. In fact, it has order 2, as may be shown by
evaluating lim z -to(z2 J(z)), using l'Hospital's rule twice. To find the residue,
we need the second coefficient in the expansion of Z2 J(z) about the origin,
which must be taken as a limit
lim { -d ( z2 )} = lim { z 2 eZ -2 - z - z eZ } 2
= --.
z-tO dz eZ -1 - z z-tO (e z -1 - z)2 3
The last step requires no fewer than four applications of l'Hospital's rule,
so considerable care is needed even for simple examples.
In general, for a pole of order n, the residue is the limit
n 1
Res(f) Iz=a
1
= (n _ I)! l~ { dzd n-- 1 ((z - at J(z)) ,
} (1.12)
although this will be the beginning of a long computation.
M eromorphic Functions
A function analytic in a region G, save for isolated poles that have no finite
accumulation point, is said to be meromorphic. This definition does not
preclude an infinite number of poles, but it does rule out that there should
be an infinite number in any bounded region; otherwise there would be at
least one finite accumulation point.
For example, the function
sin 7rZ
is meromorphic, having simple poles at z = n, -00 <n< 00. The residue
at z = n is (-l)n. However, the function
1
e 1 / z -1
--
x
x
x
r
FIGURE 1.2. Equivalent contours: a function with three poles.
has poles at z = 1/2nin, -00 < n < 00, which accumulate at the origin.
The latter is in fact an essential singularity, a concept we will not really
need, and the function is not meromorphic in any region that includes the
origin. On the other hand, excluding a small disc centered at the origin
makes the function meromorphic; in fact, it has now only a finite number
of poles.
Suppose now that r is a closed contour circling poles of a function J(z)
which is meromorphic in a region containing r. Suppose also that the poles
are at positions an, and that the corresponding residues are (Tn. To evaluate
the integral of J around r, we can use the fact that J is analytic except
at the poles to deform the contour so that it consists of n small closed
contours, each enclosing a single pole, and a number of joining segments,
each traversed once each way (see Figure 1.2). The integrals along the latter
cancel, and we have the residue theorem, that is,
i r
J(z)dz = 2ni L.:
n
(Tn·
1.5 Loop Integrals

Many integrands have branch cuts, and the residue theorem cannot be
used to evaluate an integral that encloses such a cut. There is a standard
technique, known as shrinking the contour onto the branch cut, which is
briefly described here. It is best seen by way of example.
Square Roots
i
Consider the integral
(z2 - 1)1/2dz, (1.13)
where the branch cut is from -1 to 1, r circles the cut once in the positive
direction, and the sign is determined by taking the positive square root for
Re(z) > 1. Since the function is bounded as we approach the cut, there is
no problem in writing the integral as a sum of integrals taken just above
Im(z)
Re(z)
FIGURE 1.3. Contour enclosing a branch cut for (1.13).
and just below the cut. Setting
z= x ± iE, -1 < x < 1,
then the values of the integrand taken just above and just below the cut,
which we denote by f±(x), are (for E -+ 0)
f±(x) = ±iV1- x 2,
so that
1 (z2 _1)1/2 dz =
Ir
1-
1
1
iV1- x 2 dx + 11 -iV1- x 2 dx
-1
= -2i 11 V1- x 2 dx = -i7r.

-1
In a similar way, we can show that
1 (z2 _
Ir
1)-1/2dz = 1-
1
1 -i(l - x2)-1/2dx + 11 i(l _ x2)-1/2dx
-1
= 2i 11 (1 - X2)-1/2dx = 2i7r.
-1
The main difference, in this case, is the treatment of the (infinitely) small
semicircles joining the two line segments above and below the cut. On a
circle of radius E, the integrand is bounded by a multiple of C 1 / 2 , which
becomes large as E -+ O. However, the integral is bounded by the product
of this bound and the length of the semicircle, which is proportional to Eo
This wins out and the integral contributes nothing.
Im(z)
Re(z)
FIGURE 1.4. Contour for Hankel's loop integral.
Hankel's Loop Integral 6

Consider the loop integral
J o+
-00 ee t
dt.
The notation -00, 0+ for the limits means that the contour begins and
ends at p = -00, and circles the origin once in the positive direction, as in
Figure 1.4. This is a standard notation for loop integrals around a single
branch point. We can shrink the contour to encircle the branch cut provided
that the contribution around the small circle enclosing the origin tends to
zero as the circle is shrunk. Denote the radius of this circle by E; then the
integral will be bounded by
27fE max Ie et I = 27fE eEmax le(X+iY)(ln Itl+i arg(t) I

Itl=E Itl=E
= 27fEeEmax (eXlnE-yarg(t))
Itl=E
< 27fE1+E+Re(z) e7r Im(z).
Since z is held fixed while E --+ 0, the integral contributes nothing provided
that Re(z) > -1. Just above and below the cut, we set t = rexp(±i7f),
giving
(1.14)
This result will be used below in discussing the factorial function.
6Much of the remainder of this chapter is an expanded version of the appen-

dices of the previous editions. The results are quite classical; a thorough treatment
is most readily found in classic books such as Whittaker and Watson [72].
1.6 Liouville's Theorem

A function analytic in the entire complex plane is known as an entire func-
tion. There are many examples-polynomial, exponential, trigonometric,
and hyperbolic functions among them. Notice that, in all of these exam-
ples, the function becomes unbounded as z increases without bound. There
is an important theorem about this, known as Liouville's theorem. It states
that an entire function bounded as z ~ 00 must, of necessity, be a constant
function.
An Application
As an illustration of the power of Liouville's theorem we shall prove the
following formula: 7
_7r__ 00 (_1)n
sin7rz - L
z+n·
n=-oo
(1.15)
The first step is to notice that both sides have a simple pole, with residue
+1, at the origin. Both sides are also periodic, undergoing a simple sign
change under the translation z ~ z + 1. It follows that the residues match
at every pole.
Neither function is entire or bounded, because of the poles. Let ¢(z)
denote their difference; it is an entire periodic function. To show that it is
bounded, it is only necessary to show that it is bounded as Im(z) ~ 00.
This is manifestly true for 7r / sin 7rZ. For the infinite sum, write z = x + iy
and fix 0 ~ x ~ 1, while y will become large. Split the sum into 2:;;=-N'
which obviously has the limit zero as y ~ 00. We must show that the tail
of the series is also bounded for fixed N. For two adjacent terms, we have
giving a convergent series, independent of y. That is, taken pairwise, the

sum is a uniformly convergent sum of functions of the real variable y, each
term of which cOIlverges to zero as y ~ 00. The tail therefore tends to
zero in the limit y ~ 00. This shows that the function ¢(z) is bounded
and entire, and that it has the limit limz-too ¢(z) = 0; hence it is zero
everywhere since it must be a constant.
7Naturally, there are simpler ways to obtain this result, for example, by setting
a = z and t = 0 in the Fourier series of cos at, -7r < t < 7r, 0 < Re(a) < 1,
followed by analytic continuation.
1. 7 The Factorial Function 19
Rational Functions
After constant functions the simplest functions are polynomials. Generally
they are not bounded. But, given a polynomial
n
Pn(z) = L akZn-k,
k=O
it is true that the ratio Pn(z)jzn is bounded as z --+ 00. A generalization

of Liouville's theorem says that this is the only possibility; if J(z) is an
entire function bounded by zn as z --+ 00, then J(z) is a polynomial of
degree n. In fact, if a meromorphic function is bounded as z ----+ 00, which
means that it can have only a finite number of poles, then we can convert
it to an entire function by multiplying by the appropriate factors (z - ai)n i •
The resulting function must then be a polynomial whose degree is the sum
of the orders of the poles. Thus, the only such functions are the rational
functions, Pn(z)jQn(Z). These facts, whose proofs are quite technical, will
be of considerable importance to us. They also inform us of the importance
of allowing "nasty" behavior at infinity as the price for having a more
versatile collection of functions at our disposal.
1.7 The Factorial Function

The factorial function is defined by 8
Re(z) > -1, (1.16)
since it has the value n! = n· (n -1) ... 2·1 when z = n is a positive integer.
As an improper integral, (1.16) is uniformly convergent for Re(z) > -1,
the singularity at z = -1 being caused by divergence at the lower limit.
It is easy to effect analytic continuation of z! to the entire complex plane,
proving thereby that it is a meromorphic function, and determining its
singularity structure completely. To this end we break the integral into two
11 1
parts,
z! = X Z e- X dx + 00
X Z e- X dx
= 11 X Z e- X dx + D(z),
whereupon the second part, denoted D(z), is quite clearly an entire func-
tion. Furthermore, we may expand the exponential in the other integral
8 An equivalent function, usually called the Gamma junction, is defined as

r(z) = Jooo x z - 1 e- dx; evidently z! = r(z + 1).
X
and integrate term-by-term, giving
(1.17)
This series is obviously convergent except at the places where one of the
terms has a simple pole. Explicitly, the poles are at z = - (n + 1), n Z
0, with corresponding residue (-1)n/n!. It follows that the function z! is
meromorphic, being the sum of such a function and an entire function, and
that it inherits the singularity structure of (1.17).
Functional Relations
The factorial function satisfies a number of important functional relations.
The most prominent three are
z! = z(z - 1)!, (1.18)

z! (-z - 1)! = -7r / sin 7rZ, (1.19)
z! (z + 1/2)! = 7r 1/ 22-(2Z+1)(2z + 1)!' (1.20)
Setting z = -1/2 in (1.20) gives the important value
(-1/2)! = V1f.
Another consequence of (1.19) is that z! has no zeros since sin 7rZ is an
entire function whose zeros match exactly the poles of z! (- z - 1)!.
Derivation of (1.18)
Integrating (1.16) by parts, with Re(z) > 0, gives
which extends to C by analytic continuation. 9
9This relation gives an alternative recursive method to construct the analytic

continuation.
1. 7 The Factorial Function 21
Derivation of (1.19)
In the strip -1 < Re( z) < 0, we may evaluate the integrals that define the
product z! (-z - I)! as follows. First, write
z! (-z - I)! = la
oo la oo x z y-z-1 e-(x+y) dx dy,
introducing new variables
u = x+y, v = x/yo
We then find that
z!(-z-I)!= 1o00 100 --dudv=

e- VZ100 --dv.
U
VZ
0 l+v l+v 0
Now break this integral into f01 plus f1°° , and make the substitution v --+
l/v in the latter. Expanding (1 + V)-l and integrating term-by-term in
each integral gives the expansion
z!(-z-I)!= L
00 (_I)n+l
. ,
n=-cx:::>
z+n sm7rZ
where we used (1.15). The restriction on Re(z) may now be lifted by ana-
lytic continuation.
Derivation of (1.20) (Duplication Formula)

Assume that Re(z) > -1 and again use the double-integral trick. This time
we commence with
22z +1z! (z + 1/2)! = la oo la oo (2y'xY)2z+1 e-(x+y) x- 1/ 2dx dy
= 4la oo la oo (2uv)2z+1 e-(u 2+v2) v du dv,
where x = u 2 , Y = v 2 . Interchanging u and v gives an equivalent expression;

taking half the sum of the two gives
22z+1z! (z + 1/2)! = 2la oo la oo (2UV)2z+1 e-(u 2+v 2)(u + v) dudv

= 4la oo la v (2UV)2z+1 e-(u2+v2)(u + v) dudv.
The further substitutions
t = 2uv, W = u - v,
lead to
22z + 1 z! (z + 1/2)! = 1 lu
o
00
0
v 2z + 1 e- U
v u- v
dv du
=1
00 100 + e- dudv
V 2z
~
1 U
o vu-vv
=1 v + e- dv 100 -e-- dw
00
o
2z 1 V
0 fo
W
= (2z + I)! y'7f.

As usual, this result is generalized by analytic continuation.
Hankel's Integral Representation

From (1.14) we have
1-000+
t Z et dt = -2i sin 7rZ . z!, Re(z) > -1.
By analytic continuation, the restriction Re(z) > -1 may be removed, and

after using (1.19), together with the substitution z --+ -(z + 1), we have
Hankel's integral representation
-1 = - 1
z! 27ri_
100 0
+ C(z+l) et dt. (1.21)
This result shows directly that 1/ z! is an entire function, from which it

follows that z! has no zeros.
It is easy to apply the method of steepest descent to Hankel's integral
representation. The integrand has only one stationary point tc. Writing
¢(t, z) = t - (z + 1) In t,
we have tc = z + 1 and
¢(tc, z) = (z + 1){1 -In(z + I)}, ¢"(t c , z) = 1/(z + 1).
Deforming the contour to pass over this critical point gives the asymptotic
result 10
lnz! '" (z + 1/2) lnz - z + (1/2) In(27r),
(1.22)
z--+oo, I arg(z) I <7r.
This result is stated here merely for convenience; the complete asymptotic
expansion is derived in Section 13.3 using the Mellin transform.
lOThis anticipates definitions and notation introduced in Section 2.4 below.

Beta Function
Related to the factorial function, and often occurring in applications, is the
function
Re(p) > 0, Re(q) > O.
Another common form, related by a variable change, is
B(p, q) = 1 o
00 p-1
( x ) P + dx.
l+x q
In terms of the factorial function, the beta function has the form
B( ) = (p - I)! (q - I)!
p, q (p + q - I)! '
a result whose derivation may be found in many places (see also Prob-
lem 2.5).
1.8 Riemann's Zeta Function

The zeta function of Riemann may be defined by
00
Re(s) > 1.
An integral representation is obtained quite easily by observing that
Re(s) > O.
After summing both sides and reversing the order of summation and inte-
gration, which is permitted for Re(s) > 1, this gives
(s - I)! ((s) = 1 00
o
8-1
_x_ dx,
e X -1
Re(s) > 1. (1.23)
Analytic Continuation
Consider the loop integral
-
1
27ri
J O+ z8-1
---dz
_ooe- z -1 '
(1.24)
where the contour is the same as the one shown in Figure 1.3. For Re(s) > 1,
we can shrink the contour about the branch cut to get
_sin7r(s-l) roo r 8 - 1 dr=_sin7r(s-l)(s_l)!((s).

7r io er-1 7r
Using (1.19), this gives
((s) ( )' jO+ _z_8-1_ dz.

= -s.. (1.25)
27r2 -00 e- Z -1
Since the loop integral is manifestly an entire function of s, this shows that
((s) is analytic except possibly where (-s)! has poles.
Integer Values of the Argument

When s is an integer, the integrand is single-valued and we may replace
the contour by a small circle about the origin and then use residues. It
follows immediately that the integral is zero for s = n > 1, which cancels
the simple poles of (-s)! at those positions. This shows that (( s) has no
singularities except (possibly) at the position s = 1, which is still to be
investigated.
For s = n :::; 1, we use the Taylor series
where Bn are the Bernoulli numbersY Using this in the present case to
construct a Laurent expansion of the integrand in (1.25) we find that when
s = 1 - m, m = 0,1, ... , we have
- - -_ z -(m+1){ -1 - -z
-z-m + 2: (-1)nBnz2n} .
00
e- Z -1 2 (2n)!
n=1
Excluding for the moment the case m = 0, we can evaluate (1.25) immedi-
ately to give
((0) = -1/2,
(( -2n) = 0,
((1- 2n) = (-1)nB n /2n, n = 1,2,3, ....
11 If this series is not familiar, then it is equally valid to note that such a series
exists and regard it as the generating function for the Bernoulli numbers.
Im(z)
Re(z)
FIGURE 1.5. Contour for Riemann's functional relation.
When 8 = 1 (m = 0) the value of the integral in (1.25) is -1, and since

(-8)! has a simple pole with residue -1 at 8 = 1, we conclude that ((8)
has a simple pole with residue +1 at 8 = 1. Apart from this, it is analytic
for all 8. Some other special values are
((2) = 1T 2 /6, ('(0) = -ln21T/2.
Riemann's Functional Relation

We now demonstrate an important functional relation, used in Chapter 12,
namely,
1TS((l - 8) = 21- s (8 - I)! COS(1T8/2)((8). (1.26)
To do this, consider the integral (1.24) with different (closed) contours rN
shown in Figure 1.5,
1 /, zS-l
- ---dz (1.27)
21Ti TN e- z -1 .
The radius RN is chosen so that rN encloses all the zeros of the denomi-
nator of the form z = 21Tin, n = ±1, ... , ±N. The enclosed zeros account
for the singularities of the integrand within the contour, and their residues
(J"n are easily evaluated as
(J"n = -(21Tin)s-1 e27rin = i(21Tn)s-1 ei7rs / 2 ,

(n > 0)
(J"-n = -( -21Tin)S-1 e- 27rin = -i(21Tny-1 e- i7rs / 2 •
Consequently, the integral has the value

N
-2sin(1T8/2) L(21Tn)S-1.
n=l
In the limit that N --+ 00 the integrals (1.27) differ from the negative of
the loop integral (1.24) only by the integrals around the circular boundary.
Applying the restriction Re( 8) < 0, these boundary integrals vanish as
N --+ 00, while the sum of residues is convergent. This gives the relation
2s 7r s - 1 sin(7r8/2)((1 - 8) = ((8)/( -8)!,

which converts to the form (1.26) after using (1.19).
Asymptotic Forms
It is important to know the asymptotic behavior of ((8) for large 8. For
Re(8) > 1, (1.23) can be rearranged as follows:
1
((8)= (8-1)!J o
r= x1-e-e-
s- 1 x
x (l_e- X +e- X ) dx
= 1 + 1
(8 - I)! 0
1= x s - 1 e- 2x (1- + 1 - -1) dx
1=
x 1 - e- x x
= 1 +-
21 --s
+ 1 x s - 1 e- 2x ( 1 - -1) dx.
8 - 1 (8 - I)! 0 1 - e- x x
This last formula is an analytic continuation to Re( 8) > O. It is easy to

bound the integral using the fact that the expression in the brackets is less
than unity, and this gives the asymptotic information
((8) '" 1, 8 --+ 00, Re(8) > O.
The picture is completed by the use of Riemann's functional relation, giving
((1- 8) '" (27r)-S COS7r8 (8 - I)!, 8 --+ 00, Re(8) > O.

2
The Laplace Thansform
In this chapter, we give the definition of the Laplace transform and derive
some of its more important properties, including a result on its asymptotic
behavior known as Watson's lemma. The results given in this chapter may
be found in many places. Some classic books are Ditkin and Prudnikov [20],
Doetsch [22], and Widder [73]. More recent references include Bellman and
Roth [10], Guest [28], Schiff [52], and Watson [69].
2.1 The Laplace Integral

Let f(t) be an arbitrary function defined on the interval 0 ::; t < 00; then
the Laplace integral
F(P) = faoo f(t) e- pt dt (2.1)
is called the Laplace transform of f(t), provided that the integral exists. We
shall confine our attention to functions f(t) that are absolutely integrable
on any interval 0 ::; t ::; a, and for which F((3) exists for some real (3. It
may readily be shown that for such a function, F(P) is an analytic function
of p for Re(p) > (3, as follows. First, note that the functions
¢(P, T) = faT f(t) e- pt dt
are analytic in p; and then that, as T ---+ 00, ¢(p, T) converges uniformly to
F(P) in any bounded region of the p plane satisfying Re(p) > (3. It follows
28 2. The Laplace Transform
from equation (1.6) that F(p) is analytic in the half-plane Re(p) > a =
inf (3. The constant a (the minimum value of (3) is known as the abscissa
of convergence.
As important simple examples of Laplace transforms, we have the fol-
lowing:
(i) The Heaviside step function:
1, t > 0,
h(t) = { (2.2a)
0, t < 0,
H(p) = 1 00
e- pt dt
= l/p, Re(p) > 0. (2.2b)
(ii) The simple periodic function:

f(t) = eiwt , w real, (2.3a)
F(p) = 1 00
eiwt e- pt dt
= l/(p - iw), Re(p) > 0. (2.3b)
(iii) A simple algebraic power:

f(t) = t'Y, Reb) > -1, (2.4a)
Re(p) > 0. (2.4b)

This is, of course, the definition of the factorial function.
There is an important feature of these examples, which is common to
many of the Laplace transforms that occur in applications. The Laplace
integral as defined by (2.1) only converges in a half-plane Re(p) > a, but
the analytic function so defined may be continued analytically into the
remainder of the plane once the singularity structure has been elucidated.
The resulting function will have some singularities, normally in the form of
poles and/or branch points. Thus the functions defined by (2.2b) and (2.3b)
°
exhibit only a simple pole and are meromorphic in C; in the case of (2.4b)
there is a branch point at p = except for the special case that I = n is
an integer, when we have a pole of order n + 1.
2.2 Important Properties

There are a number of simple properties, which we shall now discuss, which
are of recurring importance in the application of the Laplace transform to
2.2 Important Properties 29
specific problems. In order to simplify the statement of these results, we

introduce the notation
C[/] = F(p),
which emphasizes the operator nature of the transform.

Many of our manipulations will involve making some assumption about
the large t behavior of the functions involved. We know that the integral
(2.1) converges for all Re(p) > a, the abscissa of convergence; for simplicity
we restrict attention to functions I that satisfy
lim {J(t) e-,Bt} = 0,

t-too
(3 > a, (2.5)
which is a sufficient condition for this convergence, and not particularly

restrictive in applications.
Linearity
If we consider the linear combination
n
I(t) = L aklk(t),
k=l
where the ak are arbitrary constants, then
n
C[/] = L akC[Ik]· (2.6)
k=l
One immediate consequence of this is that if I depends on a variable x

that is independent of t, we have
C[al lax] = aC[/]/ax,
C [ibI 1 ib
dx = C[/] dx.
These results follow by trivial manipulation! of the integrals in the half-

plane Re(p) > a in which all the integrals converge absolutely and uni-
formly (in x). But then they must also hold over the entire region of the
complex p plane to which the transforms may be analytically continued.
1 In the former case, we are of course assuming differentiability in t.

Derivatives and Integrals

If we apply integration by parts to (2.1), and apply the condition (2.5), we
obtain
£[f'(t)] = [f(t)e- Pt ];;" -1 00

f(t) (:t e- pt ) dt
= p£[f] - f(O+),
f(O+) = lim f(t).
t--+O+
The distinction we have made between the value of f at 0 and the limit of
f(t) as t -+ 0 is of importance in problems where there are discontinuities
at t = O. In many problems, initial values of functions are specified with
the implied meaning that they are limiting values for small t, and the
distinction becomes unimportant and may be neglected. By repeating the
procedure of integration by parts, we may derive the general result
n
£[J(n) (t)] = pn £[f] - L:>n-k f(k-l) (0+). (2.7)
k=l
A similar result holds for differentiation of the Laplace transform with

respect to p. By differentiating under the integral sign, we obtain the result
(2.8)
Suppose now that we define g(t) by
g(t) = 1t f(s) ds.
Then by interchanging orders of integration, we get
G(p) = 1 00
e- pt dt 1t f(s) ds
= 1 00
f(s) ds 1 00
e- pt dt
11
(2.9)
=- 00
f(s) e- PS ds
p 0
1
= -F(p),
p
where the real part of p must be sufficiently large to ensure that all of the
integrals converge. A complementary result may be obtained by considering
c[rl f(t)] = ('X) f(t) e- pt dt

io
1 1
t
= e- qt dq
00 00
f(t)dt (2.10)
= 1 00
F(q) dq,
which is valid provided the integrals exist. Both of these procedures may
be iterated to give more general results, which we will not list here.
Translations
From the definition (2.1), we have the simple translation relation
Cleat f(t)] = 1 00
f(t) e(a-p)t dt
(2.11 )
=F(p-a).
Let 7 > 0, and suppose that f(t) = 0 for t < 0; then
C[f(t - 7)] = 1 00
f(t - 7) e- pt dt
= 1 00
f(s) e-p(S+T) ds
= e- PT C[J(t)].
This result applies only to translations to the right since we require 7 > 0;
in particular, the inverse Laplace transform of exp( -p7)F(p) , where F(p) =
C[f(t)], will give f(t-7) for t > 7 and zero 2 for t < 7 provided that 7 > O.
For translations to the left, we have ( 7 ) 0 again)
C[f(t + 7)] = 1
00
f(t + 7) e- pt dt
= 1
00
f(s) e-p(S-T) ds
= ePT c[J(t)]-lT f(s) eP(T-S) ds.
The finite integral cannot be neglected unless f(t) = 0 for t < 7, as it

accounts for the part of the function that has been lost by translation to
negative t values where the Laplace transform does not operate.
2The fact that the inverse gives zero will be proved in the next chapter.
Convolutions
The convolution3 9 = fI * h of two functions fI (t) and h (t) is defined by
g(t) = lot fI(s)h(t - s) ds. (2.12)
Now we take the Laplace transform of g(t), and by interchanging the order
of integration and writing u = t - s, we obtain
G(p) = looo e- pt dt lot fI(s)h(t - s) ds
= looo fI(s) ds 1 00
h(t - s) e- dt pt
= looo !1(s)e- PS ds looo h(u)e-PUdu
= Fl(P)F2(p),
Thus, the transform of a convolution is simply the product of the individual
transforms, a result of considerable importance. Obviously, this result can
be iterated to obtain a connection between the n-fold convolution of n
functions and the product of the transforms of these functions.
2.3 Simple Applications

Elementary uses of the above properties include the following:
(i) By linearity (2.6),
w (2.13)
and
1 . t 1 . t
.c[coswt] = -.c[e'W ] + -.c[e-'W ]
2 2
P
(ii) From (2.8),

.c[tsinwt] = - !.c[sinwt]
2pw
3This is only one of many possible definitions of convolution, chosen because

it pairs naturally with the Laplace transform.
(iii) Applying the shift relation (2.11) to (2.13),

w
.e[e- at sinwt] = ( )2 2·
a+p +w
Again, applying (2.10) to (2.13) we find
.e[rl sinwt] = 1 00
.e[sinwt] dq
= 1 p
00
q2
w
+ w2 dq
= arctan(wlp)·
l
(iv) Finally, let
z
Si(z) = Si; t dt;
then (2.9) applied to the previous result yields
.e[Si(z)] = p-l.e[r l sint]

= p-l arccot(p).
Less trivial applications of the properties of the transform, particularly in

the solution of differential equations and integral equations of convolution
form, are the subject matter of later chapters.
2.4 Asymptotic Properties: Watson's Lemma

Consider (2.1) for large p. By inspection, it seems reasonable to assume
that the only significant region of integration is 0 :::; t < lip, so that we
could write as an approximation
F(p) ~ f(O) 1 00
e- pt dt
(2.14)
= f(O)lp, Ipl » 1.
Such information, directly linking properties of functions and their trans-

forms, may be very useful in application. However, the example given in
(2.4), where
Ipl » /3,
shows that we need a sharper argument than (2.14), although it agrees
when 'Y = o.
Definitions
If two functions f(x) and g(x) satisfy the relation4
lim {f(x)/g(x)} = 1, (2.15)

X-+Xo
then we say that they are asymptotically equal as x --+ xo, and write
f(x) '" g(x), x --+ Xo. (2.16)
In the event that x is a complex variable, we may need to add some re-
striction about the way in which x approaches Xo, for example,
z --+ 00, I arg(z)I < rr/2.

If now (2.15) is replaced by the condition that
lim {f(x)/g(x)}
X-+Xo
= 0,
then we write
f(x) = o(g(x)), (2.17)
and if If(x)/g(x)1 is bounded as x approaches Xo, then we write
f(x) = O(g(x)).
In this book, we shall frequently use the notations (2.16) and (2.17); the
small 0 notation (2.17) will not generally occur.
Asymptotic Expansion
An expansion of the form
00
f(x) '" l:gv(x), x --+ Xo, (2.18)

v=l
is called an asymptotic expansion if
The meaning of such an expansion is that

n
f(x) = l:gv(x) + O(gn+1(x)),
v=l
so that a finite number of terms of the series gives an approximation to
the function f(x) of order gn+l(X) when x approaches Xo. Viewed as an
infinite series (2.18) may be convergent or it may be divergent.
4For treatments of this subject, see, for example, Dingle [18] or Olver [49].
Watson's Lemma
We will now state and prove an important result, of which (2.14) is a special
case, linking the asymptotic expansion of a function f(t) about t = 0 with
the asymptotic expansion of F(P) as p -7 00. Suppose that f(t) has the
expansion
00
t -7 0,
v=l
- 1 < Re(>'d < Re(>'2) < ... ,
then F(P) has the corresponding asymptotic expansion
>.'
F(P) "" " a v V·
00
Ipl-7oo,
L...J p>'v+1' (2.19)
v=l
- 7r/2 < arg(p) < 7r/2.
Note that the effect of the restriction I arg (P) I < 7r / 2 is to ensure that Re (p )
becomes infinite as Ipi does in this sector.
To derive the stated result, we introduce functions fn(t) by
n
fn(t) = f(t) - L avt>'v,
v=l
in terms of which F(p) is given by
>.'
F(p) = L n
a~v:~ + £[fn(t)].
v=l p
To compute bounds on £[fn(t)], we choose positive numbers tn, Kn so that
Also, we know that there must be some real value a for which the integral
defining F(P) converges, and we use this constant to define the functions
The importance of the choice of a is that the functions ¢n will be bounded

in t, and we write An for the maximum value of l¢n(t)l, tn ::; t < 00. Using
these definitions, we may break up the integral defining £[fn(t)] into two
parts, and calculate the following bounds:
IJ(tn () -pt I Re(>'n)! Kn - (->.n- 1 )

dt < Re(p)Re(>'n)+1 - 0 p (2.20)
o fn t e ,
and
11~ fn(t) e- pt dtl = I(p - a) 1~ ¢n(t) e-(p-a)t dtl
Anlp- al
< R e (p ) -a exp{ -(Re(p) - a)t n }.
This latter integral tends to zero exponentially as p tends to infinity in the
given sector; consequently (2.20) shows that
and Watson's lemma (2.19) is proved. The result must be used with cau-
tion. It gives information about the behavior of F(P) for large p which is
consequent upon the behavior of f(t) for small t. The question of a converse
implication is discussed in Chapter 3.
Problems
2.1 Deduce the following general relationships;5 also determine what con-
ditions (if any) are required on the functions f or 9 for their validity.
(i) If f(t + T) = f(t), t > 0, where T > 0 is a constant, then

F(P) = (1 - e- pT ) -1 faT f(t) e- pt dt.
(ii) If f(t) = ~t ddt g(t), then F(p) = J,CXl

p
qG(q) dq.
(iii) If f(t) = I~ u- 1g(u) du, then F(P) = p-1 IpCXl G(q) dq.
(iv) If f(t) = ftCXl u- 1g(u) du, then F(p) = p-1 I6 G(q) dq.
(v) IOCXl t- 1f(t) dt = IOCXl F(P) dp.
2.2 Derive the following Laplace transforms,6 determine the abscissa of

convergence, and determine the analytic structure of the Laplace transform
in the whole complex plane.
(i) f(t) = fY ef3t , F(p) = "(!j(P - (3)"1+1.
(ii) f(t) = sinh at, F(p) = aj(p2 - a2).
5Many more general relationships may be found in Erdelyi et al. [25].

6Extensive tables of Laplace transforms are available, for instance, Erdelyi et
al. [25] and Oberhettinger and Badii [47].
Problems 37
(iii) f(t) = cosh at,
(iv) f(t) = cos at cosh bt,
F(p _
)- ~{ p- b
2 + p+b
2
}.
2 (p-b) +a 2 (p+b) +a 2
(v) f(t) = rl sinh at, F(p) = ~ln (p+a).

2 p-a
(vi) f(t) = sinat 1 / 2 , F(p) = (aj2)VHP-3/2 e -a 2 /4 P .
(vii) f(t) =t1/ 2 cosat1/ 2, F(p) = (pj2_a 2j4)VHP-5/2 e -a 2 /4P .
(viii) f(t) = It OO
u- 1 e- U du, F(p) = p-lln(p + 1).
2.3 Use Problem 2.1(v) to evaluate the following definite integrals:
(i) 10
00
rl sin wt dt.
a> 0, b> 0.
2.4 By taking the Laplace transform with respect to t, evaluate the follow-
ing definite integrals, for all real t:
(i) roo x sin x2t dx.

Jo 1+x
(ii) 10 00
exp ( _x 2 - ::) dx.
2.5 Let
t",-l
t > 0, Re(a) > 0,
f(t) = {
'
0, t < 0.
tf3-1 t> 0, Re(,8) > 0,
g(t) = { '
0, t < 0.
B(p, q)t",+f3- 1 , t > 0,
h(t) ={
0,
t < 0,
where
Show that the Laplace transform of the convolution £[(f * g)(t)] is equal
to £[h(t)]. Hence derive the formula 7
B( ) _ (a - 1)! (,6 - 1)!

p,q - (00+,6-1)! .
2.6 Use Watson's lemma to derive the following large p asymptotic expan-
sions:
(i) £[In(1+tl/2)] '"" ~ (-1)V-l(v/2-1)!.

~ 2pv/2+1
v=l
7This anticipates the result that the Laplace transform has a unique inverse.
3
The Inversion Integral
In this chapter we state and prove the inversion formula for the Laplace
transform, and develop some of the more important techniques associated
with its definition as a contour integral.
3.1 The Riemann-Lebesgue Lemma

As necessary preliminaries to a statement and proof of the inversion the-
orem, which, together with its elementary properties, makes the Laplace
transform a powerful tool in applications, we must first take note of some
results from classical analysis. 1
Suppose that f (t) is a function continuous on the closed interval a :::; t :::;
b, (and hence uniformly continuous), then we will investigate the asymp-
totic properties of the integral
I(w) = lb f(t) eiwt dt, (3.1)
lFor a thorough (classical) treatment of the material in Sections 3.1-3.3, see,

for example, Apostol [5], Chapter 15. We are essentially considering the Fourier
inversion theorem in its classical setting.
40 3. The Inversion Integral
for large real w. By some trivial changes of variable, we may write
I(w) = la
a+7r / w
f(t) eiwt dt + Ib
a+7r/w
f(t) eiwt dt
= la
a+7r / w
f(t) eiwt dt -
Ib-7r/w
a f(t + n/w) eiwt dt
Ib-
and
I(w) =
7r / w
f(t) eiwt dt +
ib f(t) eiwt dt.
a b-7r/w
ll lib
Thus,
I(w) = -
a
+7r / w f(t) eiwt dt + - f(t) eiwt dt
ll
2 a 2 b-7rW
b- w
+- {f(t) - f(t + n/w)} eiwt dt.
7r
/
2 a
Now it is easily seen, by a mean value theorem for integrals, that the first
two integrals are functions of asymptotic order w- 1 ; furthermore, since f(t)
is uniformly continuous, we may make the integrand in the third integral
arbitrarily small by choosing w sufficiently large. Therefore, we have proved
that
lim Ib f(t) eiwt dt = 0, (3.2)
w-too a
which is known as the Riemann-Lebesgue lemma.
Infinite Interval
The extension of (3.2) to the case where one (or both) limit is infinite will
also be needed. For example, if f(t) is an absolutely integrable function on
the interval 0 ::; t < 00, that is,
10 00
If(t)1 dt < 00,
then we may write
10 00
f(t) eiwt dt = loa f(t) e iwt dt + €,
€ < 1 00
If(t)1 dt,
and because of the absolute convergence, it is possible to make € arbitrarily
small by a suitable choice of a. Using (3.2) on the finite integral, we have
its extension to the infinite integral, that is,
o.
lim
J[00 f(t) e dt
iwt =
w-too o
3.2 Dirichlet Integrals 41
Dirichlet Conditions
We say that a function f(t) satisfies Dirichlet's conditions in the interval
a :s: t :s: b if it has at most a finite number of maxima, minima, and
points of discontinuity in the interval; furthermore, the function must take
only a finite jump at any discontinuity. The importance of the Dirichlet
conditions to the theorems we need is that it enables the interval a :s: t :s: b
to be subdivided into subintervals, in each of which the function is both
uniformly continuous and monotonic. This latter property allows us to use
the second mean value theorem for integrals, which states that if f(t) is a
monotonic function and g(t) a continuous function on the interval a :s: t :s: b,
then there is a point c in the interval such that
lb f(t)g(t) dt = f(a) l c
g(t) dt + f(b) lb g(t) dt.
Returning now to (3.1): if f(t) satisfies Dirichlet's conditions, then we

may take the interval a :s: t :s: b to be one of the subintervals in which it is
monotonic and continuous, and the integral is equal to
f(a) l c
eiwt dt + f(b) lb eiwt dt = 0 (w- 1 ), w --+ 00.
For an arbitrary interval, we must add up a finite number of such results,

and so (3.2) is replaced by the much stronger condition
lb f(t)eiwtdt=O(w-l), w --+ 00.
Note however, that we may not set a = -00 or b = 00 in this result without
imposing some restriction on f(t) in addition to the absolute convergence
of Jooo If(t)1 dt or J~oo If(t)1 dt.
3.2 Dirichlet Integrals

In addition to integrals ofthe form (3.1), we must consider what are known
as Dirichlet integrals, viz.
lb f(t) Si~wt dt,
in the limit w --+ 00. Suppose now that a = 0, b > 0, and f(t) satisfies
Dirichlet's conditions on 0 :s: t :s: b. Choose c so that f(t) is continuous and
monotonic on the interval 0 :s: t :s: c; then an application of the Riemann-
Lebesgue lemma shows that
· lbf()sinwtd
11m t -- t = l
1m' l
Cf ()sinwt
t - - dt,
w-+oo 0 t w-+oo 0 t
and in addition we may write
t f(t) sinwt dt
10 t
= f(O+) t sinwt dt + t {f(t) _ f(O+)} sinwt dt
10 10
l
t t
= f(O+) t sinwt dt + {f(c) - f(O+)} c
sinwt dt.
10 t h t
The second mean value theorem was used in the last step, so 0 < h < c.
Now it is a standard result that the integral
1o
00 sint d _
-
t
t--
7r
is convergent and has the value given. Consequently, we may write
.1
hm
w-too 0
c sinwt dt
f(t)--
t
7r
= -2 f(O) + E,
lEI < If(c) - f(O+)IM.
We can make E arbitrarily small by choosing c so that If(c) - f(O+ )IM is

sufficiently small, and this does not affect the restriction previously placed
on c. Consequently
lim
w-too
r f(t)sinwt
10
b
t
dt = ~ f(O+).
2
By a similar argument, it may be shown that
lim
w-too
1 -b
0
f(t) sinwt dt =
t
~ f(O-).
2
Finally, we note that these results are unchanged if b is set to infinity, since
the added integral tends to zero in the limit w ---+ 00 by the lliemann-
Lebesgue lemma.
3.3 The Inversion

Let f(t) be a function whose Laplace transform FCp) has abscissa of con-
vergence a, so that the defining integral
FCp) = 1 00
f(t) e- pt dt (3.3)
3.3 The Inversion 43
converges in the half-plane Re(p) > a. Consider the integral
1 jC+iR
h(t) = -2. F(P) ePt dp, c>a.
7f2 c-iR
We substitute for F(P) the integral (3.3), and interchange the orders of
integration, an operation that is valid because (3.3) is uniformly convergent
with respect to p when c> a, to transform the formula for fRet) to
fRet) = roo J(s) ds ~ jC+iR eP(t-s) dp

io 27f2 c-iR
=.!. roo J(s)ec(t-s) sinR(t-s) ds

11
7fio (t-s)
=-
00
J( t+u ) e -cu -
sinRu
- du.
7f -t U
If we break the integral into two, from -t to and to ° ° 00, and allow R to
become infinite, there are three possibilities, namely,
1
0, t < 0,
1
fRet) -t "2 J (o+), t = 0,
~ {J(t - 0) + J(t + On, t> 0.
This result is generally known as the inversion theorem for Laplace trans-
forms, and is expressed by the reciprocal pair of equations
F(p) = 1 00
J(t) e- pt dt, Re(p) > a,
J(t) = 2~i 1::: 00

F(p) ePt dp, c> a,
where J(t) is taken as ~ {J(t - 0) + J(t + On at a point of discontinuity.

The contour Re(p) = c is known as the Bromwich contour.
Closing the Contour

A frequently used technique for handling the inversion integral is to close
the contour of integration, using a semicircle of radius R, as shown in
Figure 3.1. If F(P) is a rational or meromorphic function, this reduces the
problem to the evaluation of residues, provided the integral around the
semicircle r tends to zero as R -t 00. Although further complications arise
for functions with branch points, the consideration of these semicircular
integrals is barely affected.
r r
R R
t> T t< T
FIGURE 3.1. Inversion contours for the bound (3.4).
Suppose then that F(p) is a Laplace transform, analytic in the half-plane

Re(p) > (x, and that its growth at infinity is bounded according to
1 Re(p) 1 -+ 00, (3.4)
where K and T are real constants. We may obtain a bound for the integral
around the semicircle by writing
-7r /2 ::; e ::; 7r /2,

and taking R sufficiently large so that 1 e pT F (p) 1 < K / R. Then
11 r
F(p) e pt dPI < Kj7r/2 e±R(t-T) COS (;I de.
-7r/2
Now cos e ;: : 1- 21 e1/7r in the interval of integration. Therefore, if we choose

r so that ±(t - T) cose < 0, we have (Problem 3.2)
R -+ 00.
The upper sign pertains to closing the contour on the right, in which
case, since F(p) is analytic for Re(p) > (x,
f(t) = 0, t < T.
The lower sign pertains to closing the contour on the left, in which case we
may discard the integral around r in the limit R -+ 00.
3.4 Inversion of Rational Functions

In many situations, it is necessary to calculate the inverse Laplace transform
of a rational function
A(p)
F(p) = B(p) ,
3.4 Inversion of Rational Functions 45
where
m
A(p) = Lajpi,
j=O
n
B(p) = L bjpi,
j=O
and n > m. The need for such inversions arises particularly in the solution
of differential equations with constant coefficients (Chapter 4), and in tech-
niques of rational approximation (Chapter 19). Equation (3.4) is satisfied
with T = 0, so the only nontrivial case is t > O. Since the singularities of
the integrand are poles produced by the zeros of the denominator, we find
that the original function f(t) is the sum of the residues at these poles.
The evaluation of these residues may be performed by decomposing F(p)
into partial fractions and then inverting each term. In particular, if the roots
001,002, ... , an of B(p) are distinct then we may write immediately
obtaining an inverse function that is a sum of exponentials.

A similar, but more complicated analysis can be made if B(p) has multi-
ple zeros. For simplicity, we concentrate here on the contribution from one
such root, as the extension to the general case is trivial in principle but
tedious in practice. If a is a root of multiplicity m, then the partial fraction
expansion of F(p) will contain the terms
'11 + '12 + ... + 'Ym

(p-a) (p-a)2 (p-a)m'
and the corresponding contribution to the original function f (t) is
{ 'Y1 + '12 t + ... + 'Ym tm- 1 } eat.

I! (m - I)!
Examples
If
1
F(p) = --p
14'
then a straightforward partial fraction decomposition leads to

I I i i
F(p) =- 4(p _ 1) + 4(p + 1) - 4(p - i) + 4(p + i)'
and
1. 1.
f(t) = "2 sm t - "2 smh t.
Again, if
p 1 1
F(p) = (p _ 1)2 = (p _ 1) + (p _ 1)2'
then
f(t) = (1 + t) et .
3.5 Taylor Series Expansion

For small values of t, it may be more appropriate to have an expansion
for f(t) as a Taylor series, instead of a cumbersome expression involving
a complete knowledge of the roots of the polynomial B(p). Closing the
contour on the left in Figure 3.1, we assume that R is so large that all of
the poles lie inside the contour, and then enlarge the contour to be a circle
ofradius R centered at the origin. On this circle we may expand F(p) in a
convergent power series in inverse powers of p; term-by-term evaluation of
the integral will then give the Taylor series 2 for f(t).
An example will demonstrate the technique. Suppose that
1
F(p) = 1 + p2'
then
(_l)n
L
00
F(p) = 2n+2' Ipl > 1.

n=O p
Term-by-term inversion on a contour that is a circle of radius more than

unity gives
00 (-1 )ne n+ 1 .
f(t)="" (
~ 2n+1.
)' =smt.
n=O
For rational functions, then, there is a converse to Watson's lemma; an

expansion in inverse powers of p that is both asymptotic and convergent
for large p implies an expansion of the original function in powers of t,
again both asymptotic and convergent. In the example chosen here, all of
the series are elementary and can be written out in full; however, knowledge
of the first few terms of the one expansion is sufficient to construct the first
few terms of the other in more difficult problems.
2This is a special case ofthe Heaviside series expansion, which will be discussed
in Section 3.10.
3.6 Inversion of Meromorphic Functions 47
3.6 Inversion of Meromorphic Functions

Generalizing Section 3.4, we consider a Laplace transform F(P) that is
meromorphic. It is usually the case (as we suppose here) that it is possible
to choose a sequence of values Rn of R so that 3 Rn -+ 00 as n -+ 00, while
on the corresponding contours rn the integrand satisfies the inequality (3.4)
for some T. Then the arguments used previously still apply, giving
lim ~ jr
n-+<Xl 27r2 n
F(P) ePt dp = 0, t>T,
so that in the limit n -+ 00 we recover the inversion integral as the integral

around a closed contour. The only singularities enclosed by this contours
are poles; hence the inversion integral is given by the sum of the residues
at these poles.
A Simple but Illuminating Example

We know that the function l/p is the Laplace transform of the Heaviside
step function h(t); from the translation property (page 31), F(p) = e- pr /p
is the transform of h(t - T) for T > O. Moreover, F(p) satisfies the bound
(3.4) with T = T. Therefore, the inversion integral gives zero for t < T, and
the value
for t > T. The value of the inverse, at t = T, is fixed at 1/2, irrespective of

what value we define h( t - T) to take there.
Next, consider the inversion of
1 - e- pr
F(P)=--
p
The answer, of course, is h(t) - h(t - T), which is zero outside the interval
o~ t ~ T, with the value +1 in the interval 0 < t < T. We want to obtain
this result from the inversion integral; however, F(P) does not satisfy the
bound (3.4) for any value of T. In fact,
Re(p) -+ +00,
but
Re(p) -+ -00.
3The reason for choosing a discrete sequence of contours, rather than allowing
R to vary continuously, is to avoid having poles lying on the contours.
It follows that we may close the contour to the right for t < 0, giving zero,
and to the left when t > T, giving
IWs C-;-P')) 1,=" ~ 0,
which is also correct. But, to get the inverse in the interval 0 < t < T, we
must split the transform into two parts, one satisfying (3.4) for T = 0, the
other satisfying it for T = T. Following this, and only then, one loop will
be closed to the left, the other to the right, giving the correct inversion for
0< t < T.
H eaviside Expansion Theorem

Suppose that the poles of F(p), at p = OCk, are all simple; then the function
H(p) = I/F(p) has simple zeros at p = OCk, and the residues of F(p) are
given by 1/ H' (OCk)' More generally, if there is a convenient factorization
F(p) = G(p)/ H(p),
where G(p) is an entire function, and H(p) has only simple zeros, the
inversion integral is given by the series
This result, first formulated by Heaviside in relation to his operational

calculus, is known as the Heaviside expansion theorem.
Examples
(i) A transform to appear in Section 4.1, in connection with the solution
of a partial differential equation, is
1
F(p)---- c> O.
- pcosh"Y,jP'
Notice that the Taylor series for the cosh function has only even powers
of its argument, so that F(p) does not have a branch point at the origin.
The inequality (3.4) is satisfied with T = 0, so
f(t) = 0, t < O.
For t > 0, we may close the contour in the left-hand half-plane, and the
Heaviside expansion theorem gives
3.7 Inversions Involving a Branch Point 49
(ii) A related transform is

coshovp
F(P) = pcoshl'vp' c> O.
Again the function does not have a branch point, and the Heaviside
expansion theorem gives, for t > 0,
f(t) = 1 + .!.
11"
f (-l)k cos {o(k - 1/2)11" h} e-(k-lj2)27r2th2.
k - 1/2
k=l
3.7 Inversions Involving a Branch Point

If the Laplace transform has a branch point, possibly in addition to singu-
larities in the form of poles, then it is appropriate to consider the inversion
integral with a new contour as shown in Figure 3.2. For convenience, we
have assumed that the branch point is at the origin, and that there is only
one. Extension of the following techniques to more general situations is
not difficult, at least in principle. Assuming that we may again make the
contribution from r vanish by taking R sufficiently large, we have
f(t) = sum of residues + -.

1
211"z
1-00
0
+ F(P) ept dp.
Special Case
The treatment of the loop integral depends on the behavior of the integrand
near the branch point. If F(P) rv pOI, with Re(a) > -1, then we may shrink
the contour onto the branch cut exactly as for Hankel's loop integral (page
17). Writing p = u exp(±i1l") according as Im(p) is positive or negative, this
leads to
1-00 0+
F(p) ePt dp =
100 {F(ue- i7r ) -
0
F(ue i7r )} e- ut duo (3.5)
In some cases, it may be possible to evaluate the integral explicitly; in

other cases, an asymptotic series for large t follows immediately by the use
of Watse>n'slemma.
Simple Examples
Consider the Laplace transform
1
F(P) = - e-'YVP . (3.6)
Vp
Im(p)
Re(p)
FIGURE 3.2. Closed contour avoiding a branch point.
Substituting into (3.5) leads to
f( t ) = .!.1°O COSbU 1 / 2 )
1/2 e
-ut d
u, t> O.
7r 0 U
The integral may be reduced to a more standard form by the substitution

ut = 8 2 , giving for f (t) the expression
f( t ) = _1r=;e
_ _ ,2/4t
. (3.7)
V 7rt
Differentiating (3.6) and (3.7) with respect to " we find further that the
inverse Laplace transform of
is
()_ , _,2/ 4t
9 t - 27r 1/ 2 t 3 / 2 e
We leave it to the reader to verify that the application of Watson's lemma
to these transforms yields an infinite series in ascending powers of b 2 /4t)
for their inverses. Although these are asymptotic series for large t, they
turn out to be convergent for all t > O.
3.8 Watson's Lemma for Loop Integrals

The above examples involving a branch cut were reduced quite readily to
a real integral to which Watson's lemma can be applied. We consider here
3.8 Watson's Lemma for Loop Integrals 51
Im(p)
Re(p)
FIGURE 3.3. Contour for loop integral.
an extension of Watson's lemma to loop integrals that has the advantages

of being direct in application to the inversion integral and of working for a
wider range of integrals than may be treated by (3.5). Specifically, we will
show that if F(p) has the asymptotic expansion
00
p -+ 0,
v=l
- n < arg(p) < n,
where Re(Ad < Re(A2) < "', and Re(Av) increases without bound as
v -+ 00, then the loop integral
f(t) = - .
1 jO+ F(p) e pt dp, (3.8)
2nz -00
has the asymptotic expansion

00
f(t) ~ ~ (-Av _a~)! t Av +1 ' t -+ 00,

(3.9)
-n/2 < arg(t) < n/2.
The proof is quite simple. Define a set of functions Fn (p) by
n
Fn(P) = F(p) - I>vpAv
v=l
and substitute into (3.9) to get
1 jO+ jO+ Fn(P) e

f(t) = L
n
av - .
v=l 2nz
pAv e
-00
pt dp + -.
2nz
1
-00
pt dp.
If Re(t) > 0, it is permissible to make the substitution u = pt in the first

integral while using the same contour for u as for p; the Hankel integral
representation of l/z! given in (l.21) leads to
_1_
2ni
jO+
-00 p
A ePt d
p
= 1
(-A - I)! tA+1 .
For the remainder term, choose n sufficiently large so that Re(An+1) > -1;
then we may shrink the contour onto the branch cut, which we could not do
with (3.8) because there is no restriction on Re(Al)' Equation (3.5) followed
by Watson's lemma for real integrals then yields the estimate
This completes the proof.
3.9 Asymptotic Forms for Large t

The information gleaned above may be applied to many inverse Laplace
transforms (and, as we shall see later, to Fourier transforms also) to recover
asymptotic information for large values of the time. If the singularities of
F(P) all take the form of isolated poles and/or isolated branch points,
then by a suitable deformation of the inversion contour, we may reduce
the integral to a sum of residues at the poles plus a sum of loop integrals
around the branch points. These latter may usually be estimated for large
t by Watson's lemma for loop integrals. For example, if there is a branch
point at p = a, and if F(p) has the asymptotic expansion
L av(p -
00
F(p) rv a)Av,
v=l
then the substitution p' =p- a reduces the loop integral to
-1-1
27ri
0+
-00
F(p' + a) e(p'+a)t dp' rv
00
eat ' "

~
v=l
av
(-A v - I)! tAv+1 '
t -+ 00.
Formulae appropriate for asymptotic expansions involving logarithm func-

tions may also be derived-see Problem 3.7. For large t, the contribution
from each pole and each branch point is dominated by the exponential
factor, and the asymptotic form of the complete inversion integral will be
governed by the singularity whose position p = a has the most positive real
part.
Examples
(i) Consider the transform
1
F(P) = , a> 0,
Vp(p+ a)
3.10 Heaviside Series Expansion 53
which has branch points at p = 0 and p = -a; since a > 0, we need

consider only the origin for large t, so that
1 ( 1 -P
F(p)rv- - + 3p2
- · · ·) ,
vfJOa 2a Sa 2
with the corresponding asymptotic expansion
f(t) 1 ( 1 + -1 + -9- . .. ) .
V
rv - -
7f at 4at 22
32a t
(ii) The Bessel function Jo(t) has the Laplace transform (to be derived
in Section 4.4)
1
F(p)= ~. (3.10)
Vp2 +1
Again there are two branch points, both on the imaginary axis, and
consequently of equal importance for large t. The necessary asymptotic
expansions of F(p) are
{1- p ~ i - 3(p - i)2 ... },
1
e-i7r/4
p -+ i,
J2(p - i) 4t 32
F(p) rv
e i7r / 4 {l+ P + i _ 3(p+i)2 ... } p -+ -i,

J2(p + i) 4i 32 '
from which it follows that
Jo(t) rv J2/7ftcos(t -7f/4) (1- 9/12St 2 + ... )

+ J2/7ftsin(t - 7f/4) (l/St - ... ), t -+ 00.
Because there are no other singularities in this case, there are no ne-
glected terms that are exponentially small. 4
3.10 Heaviside Series Expansion

For small values of the time, it is often possible to extend the technique
of Section 3.5 to derive an expansion in ascending powers of t. Sometimes
this expansion will be a convergent Taylor series; more often it will be an
asymptotic expansion. We deal with the latter, since it includes the former
4For a discussion of the possible importance of exponentially small terms, see

Olver [49].
as a special case. Suppose then, that the Laplace transform F(p) has an
asymptotic expansion5
00
1/=1
then for any n, we may define the function Fn(P) in the usual way by
n
Fn(P) = F(p) - L al/p-A v ,
1/=1
and deform the contour into the right-hand half-plane so that

IFn(P) I < Anlpl-Re(A n ).
Some elementary considerations, the details of which we omit, then lead to
the Heaviside series expansion, namely,
(3.11)
An Example
We consider again the Bessel function Jo(t). Expanding (3.10) in descending
powers of p gives
V7r
L
00
F(p) r-J (-k _ 1/2)!p(2k+1)'

k=l
with the corresponding Heaviside series expansion
(_1)k(t/2)2k
L
00
Jo(t) = (k!)2 (3.12)

k=O
Since the expansion of F(p) is a convergent series for Ipl > 1, the series
(3.12) is also convergent.
Problems
3.1 Show that if f(t) has derivatives up to f(n)(t), and if f(n)(t) is abso-
lutely integrable, then
lim w n
W-+CXJ
lb
a
f(t) e iwt dt = 0,
where a, and/or b, may be infinite.
5If the expansion is convergent, then so is the inverse (3.11). See Carslaw and
Jaeger [15].
Problems 55
3.2 Use the inequality
cos B :::::: 1 - 2IBI/7r, -7r /2 ::; e ::; 7r /2,

to show that, if a> 0, then
R -+ 00.
3.3 Use the inversion integral to obtain the following results:

. AP+ /1
(1) If F(p) = (p + a)(p + b)' then
(Aa - /1) e- at +(/1- Ab) e- bt
f(t) = a- b '
(ii) If F(p) = t + ~2'

p
p+a
then f(t) = A e- at + (/1 - Aa) t e- at .
(iii) Show that the limit b -+ a in (i) leads correctly to (ii).
3.4 Find the inverse Laplace transform of the following functions using the
inversion integral and residue theory:
-ap -bp
(i) e - e
p
, o ::; a < b.
e- ap _ e- bp
(ii) -,-------;::--
1 + p2
o ::; a < b.
3.5 Show that if F(P) has the expansion

00
F(p) = L
n=OP
~:1'
which is convergent for Ipi > R, then the inverse function has the power
series expansion
3.6 Using the inversion integral, find the inverse Laplace transform of the
following functions, at least as real integrals.
. 1
(1) pYPTI.
(ii) 1
a+JP
(m (P+b)
... )1 n - - .
p+a
(iv) In ( p22 + b2)

2·
P +a
3.7 Show that if F(p) has the asymptotic expansion
L avpAv lnp,
00
F(p) rv p -+ 00,
v=1
- 7r ::; arg(p) ::; 7r,
where Re(Ad < Re(A2) < ... , and Re(Av) increases without bound, then
the loop integral (3.8) has the asymptotic expansion
where
'ljJ(a + 1) = d~ (lna!).
3.8 Invert
where a is real.
3.9 Find power series (in t) for the functions that were the subject of
Problem 3.6.
3.10 Find an asymptotic expansion for the inverse of
e- bVP 2+ a 2
F(p) = VP2 +a2 '
where a, b are real and positive.
4
Ordinary Differential Equations
Linear differential equations with constant coefficients, and (to a lesser

extent) with polynomial coefficients, are an important area of application
of the Laplace transform. 1 We consider mainly the constant coefficient case
in this chapter, with an emphasis on systems of differential equations and
their stability, questions of great interest in systems engineering and control
theory. Bessel functions are treated in a short section as an example of an
equation with polynomial coefficients. This topic is taken up in some detail
in Chapter 18, in a somewhat more flexible framework.
4.1 Elementary Examples

As a prelude to the general discussion, we treat first some particularly
simple examples, since the connection with the classical methods of solution
is readily apparent in these cases.
First- Order Equations

Consider the initial-value problem
x'(t) + bx(t) = u(t), x(O) = Xo, (4.1)
IThe Laplace transform is also a useful tool for differential-difference equa-

tions. For a treatment of this topic, see Bellman and Roth [10].
58 4. Ordinary Differential Equations
which may be solved by using the integrating factor exp(bt) to give
x(t) = Xo e- bt + i t e-b(t-s) u(s) ds.
The influence of the driving term u is felt via a convolution, while the initial
value gives rise to a decaying transient. 2
Now we take the Laplace transform of (4.1); after applying (2.7), we have
{pX(p) - xo} + bX(p) = U(p),
which is an algebraic equation. X(p) is found immediately, viz:
X(p) = G(p){U(p) + xo},

G(p) = (p + b)-I.
This is obviously equivalent to the classical solution since G(p)U(p) is the

transform of a convolution, and (p + b)-I is the transform of exp( -bt).
The advantage of the Laplace transform over the classical method is not
apparent from this simple example; however, it is interesting to see how it
gives a different emphasis. In particular, the function G(p), which contains
information about the differential operator, plays a prominent role, while
the initial value, which is no more important than the function u(t), enters
on an equal footing with that function and is incorporated from the outset.
Second-Order Equations
Next we consider the second-order initial-value problem
x"(t) + bx'(t) + cx(t) = u(t),

x(O) = xo,
x'(O) = Vo.
This equation arises in many elementary applications which may be found

in standard texts. 3
If we take the Laplace transform, and again use (2.7), we obtain
{p2 X(p) - pXo - vo} + b {pX(p) - xo} + cX(p) = U(p).
2 Assuming that b > 0; otherwise the system is unstable.

3Most introductory books on ordinary differential equations give a rudimen-
tary coverage of the Laplace transform method. More careful treatments may
be found in many of the classic books-for example, Carslaw and Jaeger [15] or
Doetsch [22], and also in some more recent books such as Bellman and Roth [10]
and Schiff [52].
4.2 Higher-Order Equations 59
Once again the equation for X (p) is algebraic, and may be solved immedi-
ately to give
X(p) = G(p) {U(p) + (p + b)xo + vo},
G(p) = (p2 + bp + c)-I.
Once again, inversion gives the solution as a convolution integral plus expo-
nential terms depending on the initial conditions. In some cases it is more
convenient to invert the function G(p)U(p) directly, rather than write it as
a convolution and evaluate the latter; nevertheless, the general form of the
solution is important for understanding the role of G(p).
4.2 Higher-Order Equations

The analysis of the nth-order differential equation
(4.2)
proceeds in a similar fashion. The Laplace transform of the differential

equation gives the algebraic equation (an = 1)
which may be solved immediately, viz:
X(p) = G(p){U(p) + H(p)},

n
G-I(p) = I>kpk.
k=O
Here we have defined a polynomial H(p) which contains all the information
about the initial conditions,
n-I n
H(p) = "L x Cp )(0) "L akpk-l-I.
1=0 k=I+1
Formally, the solution to (4.2) may be found either by inverting the func-
tions G(p)U(p) and G(p)H(p), or in terms of a convolution, as
x(t) = lot g(t - s)u(s) ds + .c-I[GH]. (4.3)
This exactly parallels the solutions for first-order and second-order equa-
tions, in particular, the input u(t) and the initial conditions enter on an
equal footing in the transformed solution. Usually the initial conditions are
of little interest, it is worth noting, however, that the product G(p)H(P)

is a rational function, which satisfies the bound IG(p)H(p) I < Klpl-l for
large p, so the methods of Section 3.4 apply.
It is interesting to see that x(t) is continuous even if u(t) has disconti-
nuities. This property follows from the fact that x(t) depends on u(t) via
an integral with a finite integrand, so that it is automatically continuous.
Stability
A most important question is the stability of the solution; that is, whether
the function x(t) increases without bound for large time without a corre-
sponding increase in the driving function u(t) to cause this behavior. This
asymptotic behavior depends solely on the position of the poles of G(p) in
the complex plane, for if we turn off the driving force at some time T > 0,
then we may write (4.3) as
x(t) = loT g(t - s)u(s) ds + .c-1[GH]. (4.4)
Now we know from Section 3.4 that the inversions of G(p) and G(p)H(p)
have the general form
i,j
.c-1[GH] = L. hijti ePit,

i,j
where the poles of G(p) are at p = Pj, and on substitution into (4.4) it is
readily seen that the large time behavior of x(t) is given by
Re(Pk) < 0, exponentially damped,

Re(Pk) > 0, exponentially growing,
Re(Pk) = 0, bounded if the root is simple,
otherwise unbounded.
For stability, we want the solution to remain bounded; hence, all the poles
must be in the left-hand half-plane, except possibly for simple poles on the
imaginary axis.
An Example
For the solution of the initial-value problem
x""(t) + 4x(t) = sint,

XIII (0) = x" (0) = x' (0) = x(o) = 0,
we get
1
X(p)=G(P)p2+1'
1
G(p) = --Y-4.
p +
Now we may factor X(p) as
-i i 3- i 3+ i
X(p) = 10(p _ i) + 10(p + i) - 80(p - 1 - i) - 80(p - 1 + i)
3+i 3-i
+ 80(p + 1 - i) + 80(p + 1 + i) ,
from which we obtain x(t) as
x(t) = ~ sin t - 0
41 et (3 cos t + sin t) + :0 e- (3 cos t - sin t).
t
Note the fact that x(t) grows exponentially for large t, which is evident
from the factorization (P4 + 4) = (p - 1 + i)(P + 1- i)(p - 1 - i)(P + 1 + i);
two of the poles have positive real part.
4.3 Transfer Functions and Block Diagrams

We see that G(p) plays a central role in analyzing the solution of (4.2). In
many physical applications, the function u(t) represents an input to the
system, often a control, and the corresponding response is measured by
x(t). The relation
X(p) = G(p)U(p)
can be conveniently represented as a signal path diagram, as in Figure 4.l.
Here the box labelled G represents a linear differential equation, and is
known as the transfer function, a most important concept in the analysis
of linear systems. In our further discussion of transfer functions, we shall
completely ignore initial conditions.
To get a feel for the physical meaning of the transfer function, we look
at a couple of simple cases:
(i) Suppose that the input is the HeavisiEle step funct-ion u(t) = h(t), for
which U(p) = lip; then we have the output
X(P) = ~ IT _1_,
P j=l P - Pj
where the Pj, not necessarily distinct, are the roots of the characteristic
polynomial p(p) = pn + an_ 1pn-1 + ... + ao of the differential operator
~L-_G_(p_)------,F
FIGURE 4.1. Simple transfer function.
in (4.2). X(p) is a rational function for which there is a partial fraction

expansion. Assuming that the {pd are nonzero4 and distinct,5 define
Ao = lim pX(P) = G(O),
P-+Pj
Then the output is

n
x(t) = G(O) +L Aj exp(pjt).
j=l
The first term is the direct response to the input u(t), which has fre-
quency zero; if the system is stable the other terms are transient.
(ii) If u(t) = coswt, with frequency w, then U(P) = p/(P2 + w2), and
X(p) = 2 P 2 G(p).
p +w
Proceeding as in (i),
a b ~ B·
X(P) = --. + --. + L...J _3_,
P + zw P- ZW j=l P - Pj
with the sum contributing transient terms. 6 As for the oscillatory signal,
a = p-Hw
li~ (p - iw)X(P) = G(iw)/2,
b= lim. (p+iw)X(p)=G(-iw)/2.
p-+-.w
If the coefficients of G are real, then a = b and the long-terms solution is

x(t) = ~ {G(iW) e- iwt +G(iw) e- iwt }
= IG(iw)1 cos {wt + arg(G(iw))}.
So the effect is to scale the input in magnitude by IG(iw)l, and shift its
phase byarg(G(iw)).
4In order for p to be a factor of p(p), we need ao = 0, in which case the

differential equation is actually of order n - 1 for the derivative x' (t).
50 ur main interest is in the long-term solution, the investigation of which is
not changed by the occurrence of multiple zeros unless they are on the imaginary
axis.
6If ±iw are zeros of p(P) then the analysis is more complicated.
Ul(P)
: :H
U2(P)
G(p)
'--------'
X(P) ~I
FIGURE 4.2. Simple block diagram for (4.5).
Block Diagrams
Suppose now that the function x(t) is used as input to another differential
equation with transfer function G1 (P). Then we have, for the second system,
moreover, it is not necessary even to write down the differential equation

to arrive at the solution. Similarly, from linearity, if two inputs Ul, U2 are
added, their effect on the solution is additive, and this can also be seen
directly in algebraic terms by replacing U by U1 + U2,
(4.5)
This is best represented diagrammatically (see Figure 4.2); an open cir-

cle is commonly used to show that signals are added or subtracted, with
appropriate ± signs.
In a block diagram, each component of the system acts as a "black box" ,
taking an input U(p), and producing, via multiplication by the transfer
function G(p), an output X(P). The utility of this notion is that we can
put black boxes together to build up more complicated systems, work out
the transfer function, and then, given an input, calculate the output by
inverting the transform. Since we know that all expressions are Laplace
transforms, there is no point in explicitly displaying the variable p in block
diagrams, and we shall cease to do that.
A Feedback Loop
As an example consider the feedback loop shown in Figure 4.3, where the
output is subtracted from the input after being processed by the transfer
function H. An open circle indicates summation of signals, a filled circle
indicates that a signal is subsequently used more than once. Looking at the
signals,
V=U-HX, X=GV,
so that X = G(U - HX), and hence,
u + V X
G
-
HX X
H
FIGURE 4.3. A feedback loop.
Thus, the overall transfer function is
G
G= l+GH'
meaning that the system could be considered as a single black box with
this more complicated transfer function. When dealing with such diagrams,
remember that they are not electric circuit diagrams, but rather signal path
diagrams.
As an example of explicit transfer functions G, H, suppose that G rep-
resents the differential equation
7X'(t) + x(t) = u(t), 7> 0,

G(p) _ _1_
-1+p7'
and that H just scales the output: H(P) = K > 0. Then the overall transfer
function of the above configuration becomes
1: p7 / ( 1 + 1 :P7) = 1 + ; + p7 (4.6)
1 1
l+K l+pi'
where i = 7/(1 + K) < 7. This corresponds to the differential equation
ix'(t) + x(t) = ~Ku(t).

1+
For the original equation, the transfer function in real time is g(t) = e- t / r ,
showing that 7 sets the time scale for exponential decay. After applying
1:
feedback, the transfer function becomes
g(t) = K e-t/'f .
The effect of the feedback loop is that the amplitude decreases, since K > 0,
and the rate of decay increases, since i < 7.
4.4 Equations with Polynomial Coefficients 65
V+ V J I GIV J I G2GIV X
Gl G2
I I I I
Y G3
I G3GIV
I
+
H
I
I
FIGURE 4.4. More complicated block diagram.
Of most immediate interest is that these results may be read off from
(4.6) without solving the differential equations-indeed without even writ-
ing them down. Moreover, nothing much changes if G(p) and H(p) have
more complicated forms as rational functions of p, except that the algebra
becomes more complicated; that is precisely the kind of calculation well
suited to symbolic computation.
Reduction of Block Diagrams

Block diagrams can be much more complicated than simple feedback. The
example shown in Figure 4.4 is a little more sophisticated. To reduce it to
a single transfer function relating the output X to the input U, there are
a number of possibilities. Here we have labelled the signals, introducing a
new (transformed) signal V for the unknown input to G 1 . After that, it
turns out that every other signal may be written down directly, giving
V = U - H(G 2 - G 3 )G 1 V,
X = G2 G 1 V.
Eliminating the unknown V between the two equation gives X = GU with
4.4 Equations with Polynomial Coefficients

The Laplace transform may sometimes be used to obtain solutions of ordi-
nary differential equations with nonconstant coefficients, as we now show
in connection with Bessel functions. Bessel's equation for functions of order
v is
J~(x) + ~J~(x) + (1- ::) Jv(x) = O. (4.7)
Near the origin, the two linearly independent solutions of this equations
have the asymptotic form x±1I except when 11 = 0, in which case 7 the
second solution behaves like lnx. We will consider only functions of the
first kind with 11 ~ 0, normalized by
For this purpose, we make the substitution JII(X) = X-II fll(x) , leading to
the new differential equation
xf~(x) - (211- l)f~(x) + xfll(x) = O. (4.8)
The point ofthe substitution of fll(x) for JII(X) is that the new equation has
coefficients linear, rather than quadratic, in x. On taking the Laplace trans-
form, (4.8) is converted into a first-order differential equation for FII (P) ,
namely,
(1 + p2)F~(p) + (211 + l)pFII(P) - 211f(0) = O. (4.9)
From the assumed behavior of JII(X) at the origin, the term 211f(0) may be
discarded; thus, the general solution of (4.9) is
The constant All may be fixed by appealing to the relationship between

the asymptotic form of fll(x) for small x and FII(P) for large p (Watson's
lemma), giving for FII(P)
(4.10)
More General Applications

Direct use of the Laplace transform to equations such as (4.7) depends on
first finding the asymptotic form of the solution near the origin, and then
using this information in such a way that unknown quantities such as u(O)
are eliminated from the transformed equation. Since these steps are only
intermediate, the final result being a particular integral representation of
the desired solution, it is better to write down the solution as an integral
from the outset. This approach is generally known as Laplace's method,
and is the subject of Chapter 18.
7Logarithmic terms appear in the second solution whenever 11 is an integer.

See Section 18.6.
m c
mf(t)
FIGURE 4.5. Coupled damped linear oscillators.
4.5 Simultaneous Differential Equations

As we have shown, the Laplace transform is an effective method for dealing
with the solution of a single differential equation with constant coefficients.
However, the full power and elegance of the method only becomes apparent
when applied to systems of simultaneous differential equations. Moreover,
it is possible to gain an insight into problems with a comparatively small
amount of calculation, especially as compared to direct methods. In this
section we consider two classical examples to illustrate what can happen.
Example 1
Consider the mechanical system shown schematically in Figure 4.5. Two
masses m move in a straight line and are driven by an external force mf(t).
Their coordinates are taken as the displacements Xl (t), X2 (t), relative to
their equilibrium positions. The connections are as shown: the external
force couples to the first mass via a spring of spring constant k; a similar
spring couples that mass to the second mass, which is also subject to a
linear damping force ex~(t).
We may write the equations of motion as
mx~ + kXl - k(X2 - Xl) = mf(t),

(4.11)
mx~ + ex~ + k(X2 - Xl) = O.
After taking the Laplace transform and rearranging, the equations become
where w 2 = kim and 'Y = elm. As in the previous section, we shall con-
centrate on the transfer function, which is now a matrix function. That
is,
where
.d(p) is the determinant of the coefficient matrix, given by
(4.12)
Expressions for Xl (p) and X 2 (P) are readily found from this. Their analysis
proceeds along analogous lines to those of the last section; in particular,
the crucial information is the position of the poles of the response function,
which arise from zeros of .d(p).
Example 2
We consider the electric circuit shown in Figure 4.6. Here we want to de-
termine the voltage Ej across R2 from a knowledge of the input voltage
E(t) and initial conditions. Ej is equal to i 2 R 2 , and must also equal the
voltage across L, which is L(ii - i~) since i l - i2 is the current through L.
A further equation comes from the fact that E is the sum of Ej and iIR I .
Putting these facts down, we have
E = ilR I + Ej,
Ej = L(ii - i~) (4.13)
= i 2 R2 ·
Now we introduce the notation Xl = iI, X2 = i 2 , and eliminate Ej from
the problem in favor of i2' Then the equations becomes the simultaneous
pair
RIXI + R2X2 = E,
Lxi - Lx~ - R2X2 = O.
On taking the Laplace transform, and writing E(p) in place of .e[E], we

have
These equations may be solved for XI(p) and X 2 (p) to give
This time we have a solution in which new features appear. This becomes
evident if we try to invert the elements of G(p); two of them do not have
the required large p behavior of (3.4) and the inversion integrals for the
corresponding gij(t) do not exist in the classical sense.
FIGURE 4.6. Simple electric circuit.
The most straightforward way out of this problem is to separate the com-
ponent of the transfer function that remains constant as p ---+ 00, writing
This gives
and the second term is now in a form to which the standard inversion
techniques apply. Performing the inversions, we arrive at the solution
(4.14)
where
RIR2
a - ---,----,-
- L(RI + R 2)'
This solution differs from previous solutions we have discussed in two
important respects.
(i) It does not necessarily satisfy any arbitrary initial conditions that we
try to choose. In fact, if we set t = 0 in (4.14), we have the relation
RIXI(O) + R2X2(O) = E(O), which is the first of (4.13). So there is no
contradiction; the basic equations imply that the possible initial values
of Xl, x2 and E are related, and the solution is consistent with that.
(ii) Another interesting new feature is the appearance of E(t) as a com-

ponent of the solution. This means that if E(t) has a discontinuity at
some time, then Xl (t) and X2 (t) will also be discontinuous at that time
since the other terms in these functions cannot be discontinuous if E(t)
is finite. But this raises another problem; we have assumed that Xl and
X2 are differentiable in taking the Laplace transform.
Alternative Formulation
We consider the last example again, this time formulating the problem so
that we do not differentiate a discontinuous function. If we redefine the
variables as Xl = il, X2 = il - i2, then (4.13) become
RlXl(t) + R2X2(t) = E(t),

Lx~(t) - R2 (Xl(t) - X2(t)) = o.
We may now eliminate Xl algebraically, to get the first-order differential
equation
X~(t) + aX2(t) = L(R~: R 2) E(t).
However, the output voltage Ef = R2i2, is given by
R2 RlR2
Ef(t) = R R E(t) - R R X2(t),
1+ 2 1+ 2
and this will exhibit the phenomenon of being discontinuous wherever E(t)
is discontinuous.
General Systems
We now consider the system of differential equations
n n
L aijxj(t) + L bijxj(t) = fi(t), i = 1, .. . ,n, (4.15)
j=l j=l
where the aij and bij are constants. Any set of differential equations with
constant coefficients may be reduced to this form without making assump-
tions of differentiability beyond those implicit in the original set. For ex-
ample, (4.11) may be written
0o 0c O
m m0) x2 + (2k
(X~) -k k -k
00
(
1 0 0 0 x~ 0 0 -1
0100 x~ 000
by introducing two extra variables X3 = x~ and X4 = x~.
Now we take the Laplace transform of (4.15), and get
2)aijp + bij)Xj(p) = Fi(p) + Hi, Hi = L aijXj(O).

j j
The equations may be solved for Xi (p):
Xi(p) = L Gij(p) {Fj(p) + Hj },

j
where the functions Gij (p) are the elements of the inverse of the matrix
G(p) with (i,j) entry aijP + bij . Using Cramer's rule, we may express the
elements G ij (p) as a ratio of determinants,
where Gji(p) is obtained from G(p) by deleting row j and column i. In

practice, Cramer's rule is unlikely to prove a viable method for constructing
the functions G ij (p). Our interest here, however, is simply to discover their
analytic structure. In particular, we are interested to know the order of the
polynomials IG(p) I and IGji(p)l. Since they are sums of products of linear
factors in p, the maximum order is n for IG(p)1 and n - 1 for IGji(p)l. In
fact, the coefficient of pn in IG(p) I is obviously IAI, where A is the matrix
formed by aij'
Normal and Anomalous Systems

This leads to the following distinction: if IAI =f=. 0, the system is said to
be normal; if IAI = 0 it is said to be anomalous. For a normal system,
the functions Gij (p) are therefore rational functions which can be decom-
posed as partial fractions, exactly as G(p) was decomposed in Section 4.2.
Consequently, the inverse transforms gij (t) may be defined, and the formal
solution to (4.15) is
From this, we see that the solutions are continuous for finite inputs fj (t),
and that no restrictions are placed on the possible initial values by the
solution.
Anomalous systems are different, as we have seen in (4.13) above. Some of
the functions Gij (p) cannot be inverted as ordinary functions; consequently,
the solutions may be discontinuous for discontinuous inputs. Moreover, the
solution will place certain restrictions on the initial values. The reason for
this is not hard to find; if IAI = 0 then there are nontrivial solutions of the
homogeneous equation
n
LCiaij = 0, j=l,2, ... ,n.
i=l
If we multiply (4.15) by these coefficients and sum, the derivative terms

vanish, and we obtain
n n
i,j=l i=l
which is a linear algebraic relationship between the unknown functions Xi(t)

and the inputs fi(t). One possibility is to use this relationship to eliminate
n - r unknowns from (4.15), where r is the rank of A, which will give a
normal system of r equations to be solved by Laplace transformation. This
was the basis of the alternative formulation used above, where n = 2 but
r = 1.
4.6 Linear Control Theory

The previous section was concerned with classical applications of the kind
that historically were associated with the development of the Laplace trans-
form. In the next two sections we turn our attention to some problems in
linear control theory, a more modern area in which the Laplace transform
has proved to be an effective tool. 8
General Setting
Consider the general autonomous linear multivariable system:
x'(t) = Ax(t) + Bu(t),

(4.16)
y(t) = Cx(t).
This is a normal system. The terminology for the various ingredients is as

follows:
(i) There are n state variables, represented by the vector function x(t),
and matrix A has dimension n x n.
(ii) The system is driven, or controlled, by m control variables, repre-

sented by the vector function u(t). Therefore the matrix B, which couples
the controls to the internal states, has dimension n x m.
8For an exposition of the systems that follow in the context of control theory,
see Barnett and Cameron [8]; for a more general setting see Brockett [13].
4.6 Linear Control Theory 73
U(P) G(p) Y(p)
m input n internal r output

variables variables variables
FIGURE 4.7. Block diagram for (4.16).
(iii) The output of the system is the r functions y(t), known as the
observable variables. Therefore the matrix C, which couples the internal
state variables to the observables, has dimension r x n.
The importance of these distinctions is that it may be necessary to have a
higher dimension of internal states than what is required in terms of the
dimension of the inputs and/or the outputs.
Important questions that may be asked about such a system, include:
(i) What is the transfer function that defines the relation between the
control variables (the input) and the observables (the output)? As a
Laplace transform this will be an r x m matrix function G(p).
(ii) Is is possible to keep the state variables totally under control by

appropriate choice of input?
(iii) Is is possible to completely determine the state variables just by

observing the output in an appropriate manner?
(iv) Given a proposed matrix transfer function G(p), the entries of which
are rational functions satisfying (3.4), can we find a system of the form
(4.16) that will realize it?
Taking transforms of (4.16) component by component, and assuming
zero initial conditions, we have
pX(p) = AX(p) + BU(p),

Y(p) = CX(p).
It follows that
Y(p) = C(pJ - A)-l BU(p),
which gives immediately the matrix transfer function
Y(p) = G(p)U(p),
(4.17)
G(p) = C(pJ - A)-l B.
Matrix Exponential
In the scalar case (n = 1) we recognize that l/(p - A) is the Laplace
transform of eAt. Following Section 3.5, we may recover this result via the
expansion
00
(p_A)-1 = LP-(k+l)A k , Ipl> IAI,

k=O
from which it follows that the inverse is the Taylor series
00 Ak
exp(At) = L kT tk . (4.18)
k=O
These computations still carry through when A is a matrix; then we are
interested in the matrix inverse
E(P) = (PI - A)-1
00
(4.19)
= LP-(k+l)Ak , Ipl> IIAII,
k=O
where IIAII is a matrix norm. 9 It is a standard result that in this case the
series (4.18) converges to the matrix exponential. It is also well known that
working with the matrix exponential directly can be quite inconvenient, in-
volving in general the Jordan normal form. One property that may be seen
without difficulty is that the entries Eij(p) of E(P) are rational functions
of P that satisfy the condition (3.4). This follows from Cramer's rule; each
element of the inverse (PI - A)-1 is the ratio of determinants, of which the
denominator is the characteristic polynomial,
PA(,~) = det(AI - A)
= >..n + al>..n-l + ... + an.
Each numerator is the determinant of an (n-1)x(n-1)-dimensional minor,
and therefore of degree < n in p. Therefore, the inverses Eij(t) are linear
combinations of terms of the form t mk e- Pkt , where the constants Pk are
the positions of the poles, and the associated factors t mk follow from the
residues at these poles.
Example
Consider the simple matrix
A= (~1 !3)·
Then
(pI-A)
-1
= (P+1)(p+2)
1 (P+3
-1
2)
P
=
1
(P+1)
(2 2) + (P+2)
-1 -1
1 (-1
1
-2)
2 .
9See, for example, Strang [59], Chapter 7; it satisfies IIABII ::; II All ·IIBII·
Of course, the matrix exponential may be written down at this point, but it
is of little immediate interest; One of the strengths of the Laplace transform
is that we need not do that in order to proceed.
Controllability
The system (4.16) is said to be completely controllable if, given arbitrarily
chosen initial state lO Xo and final state Xl, there is a finite time T and a
control (input) u(t), such that x(O) = Xo, x(T) = Xl. Completely refers
to the fact that the choice of the states Xo, Xl is arbitrary. The equations
that determine the output are irrelevant to this definition, so everything is
determined by the matrix pair (A, B).
One can see almost intuitively what condition should be necessary for
a system to be completely controllable. In real time the response of the
system to u(t) is the convolution
!at eA(t-s) BU(s) ds.
Now the matrix exponential is generated by powers of A itself; moreover,

every matrix satisfies its characteristic polynomial,11 so that essentially
only the powers AO = I, ... , An-l are involved. The following result should
therefore seem quite natural, even without familiarity with control theory,
although its proof is nontrivial: 12
A system is completely controllable if and only if the n x nm matrix
K= (B,AB, ... ,An-lB)
is of rank n.
Basically, this is the requirement that any vector in the space ~n can be
represented in terms of columns of B, AB, ... , A n-l B, since these are the
only powers generated by the expansion of eAt B.
Controllable and Uncontrollable Parts

In the case that the system (4.16) is not completely controllable, it is pos-
sible to bring it to a form that explicitly separates the controllable and
uncontrollable parts. That is, there exist similarity transformations S so
that, in terms of the variable change
x(t) = S-lX(t),
lOSince the system is autonomous, we may always set the origin of time to be
the initial time.
lIThe Cayley-Hamilton theorem.
12For nonautonomous systems the equivalent results are quite sophisticated.
the system is transformed to the form
Xi(t)) _ (An
( x~(t) (4.20)
- 0
Here:
(i) Xl and X2 are vectors of dimension n1, n2, respectively.
(ii) An and A22 are square matrices of dimension n1, n2, respectively.
(iii) B1 is a matrix of dimension n1 x m.
(iv) The pair (An, B1 ) is completely controllable.
Note the crucial fact that the control function u(t) is not changed in all of
this, and in this new representation it only feeds directly into the control-
lable pair (An, Bd.
To construct the matrix S, we shall need two elementary facts from linear
algebra:
(i) It is always possible to choose a subset of column vectors that form

a basis of the column space.
(ii) Given a linearly independent set of n1 < n vectors in ]Rn, it is always

possible to find a further n - n1 vectors that extend it to a basis.
Armed with this, we may construct S column by column, as follows.
(i) Given the rank n1 < n of K, choose for the first n1 columns of S any
n1 linearly independent columns of K.
(ii) Make S up to an invertible matrix by extending its columns to a

basis of ]Rn.
Then it is not hard to show that 13
S-l AS = (An
o
412 ) ,
A22
),
(4.21 )
S-lB = (~1
which is all that is required to convert the original form (4.16) to the
new form (4.20). There is of course a high degree of nonuniqueness in the
construction of S.
13See Barnett and Cameron [8], Chapter 4.

Now, continuing to work with the block matrix notation, we take the
Laplace transform in this new representation. Because of the block trian-
gular form of (pI - A), the matrix inverse is also block triangular and has
the form
(4.22)
where
Equivalent Systems
The matrix transfer function was defined in (4.17) for linear autonomous
systems so as to relate the outputs to the inputs, without direct reference
to the state variables. Now we have used similarity transformations of the
coefficient matrix A, to discuss controllability (and, below, observability).
Applying a similarity transformation A --t S-1 AS to the state variables
is simply a change of basis (representation) for the internal state of the
system, since it implies the similarity transformations (pI - A) --t S-1 (pI -
A)S and exp(At) --t S-1 exp(At)S.
From the "black box" point of view, all that matters is the transfer func-
tion; two systems that have the same transfer function are quite naturally
regarded as equivalent. A sufficient condition for this to be true is seen by
equating the formulae (4.17) for two matrices A and A = S-1 AS, where S
in any invertible matrix. We get
G(p) = C(pI - A)-1 B

= CS- l (pI - A)-ISB.
For this to equal G(p), it is certainly sufficient that
B=SB ,
The first of these two is precisely the transformation (4.21) used above to
eliminate the uncontrollable part of the system. The new system is therefore
equivalent.
Even more can be said. From (4.21) and (4.22) we have the extremely
simple result
Now write
where the number of columns in C 1 is n1. The effect of this partition is

that
Therefore, the transfer function takes the form
the uncontrollable variables play no role at all and might just as well be
dropped.
Observability
There is a dual notation to the above; the system (4.16) is said to be
completely observable if, given an arbitrarily chosen initial state xo, there
is a time T such that knowledge of y(t) for 0 ::::; t ::::; T suffices to determine
Xo uniquely.
Not only is this notion dual in an obvious way, it is actually a manifes-
tation of a mathematical duality, which we shall not go into here. Suffice
it to say that the condition for complete observability takes the following
form:
A system is completely observable if and only if the nr x n matrix
is of rank n.
As with controllability, so again there are similarity transformations Q
which bring the original matrix pair (A, C) to block triangular form with
respect to observability,
where the pair (An, C\) is completely observable. This time Q is con-
structed row by row from the linearly independent rows of the matrix L,
followed by extension to a basis of JRn. Again, the equivalent system has
a transfer function G(p) in which the unobservable state variables play no
part. In this way, any linear system of the form (4.16) may be reduced to
one that has no internal state variables which are redundant by way of
being either uncontrollable or unobservable.
4.7 Realization of Transfer Functions

A system that has a given matrix transfer function G(p) is termed a real-
ization of that function. The whole point is that in reality it is the matrix
transfer function that can be measured, after which we may wish to model
the process, that is, find a realization.
Minimal Realization in a Special Case

A realization with the further conditions of controllability and observability
is termed a minimal realization. It is not too difficult to find realizations of
a given matrix transfer function; however, the general problem of finding a
minimal realization can be very complicated. Recall that partial fractions
are simple for rational functions whose denominator has only simple zeros.
Not only that, but this is a very important situation in practice. The con-
struction of a minimal realization of a matrix transfer function is also not
so difficult in this case.
Suppose then that the entries of an r x m matrix transfer function G(p)
have simple poles PI, . .. ,Pk and no other singularities. For 1 ::::: i ::::: k,
define
ri = rank(G i ),
then the residue matrices G i are the coefficients in the partial fraction
expansion of G,
k
G(p)=L~·
i=1 P - Pi
The matrices G i have dimension r x m, while the rank ri must satisfy
ri ::::: min(r, m). This is the dimension of both the row and column space of
Gi . For each i, we may therefore find an r x ri matrix Mi and an ri x m
matrix N i , such that G i = MiNi. Then setting
we have a minimal realization of G(p) of dimension

k
n= Lri.
i=1
To demonstrate this, first note that an easy calculation shows we do

indeed have a realization,
G(p) = C(pJ - A)-1 B

= L k
MiNi.
i=1 P - Pi
We need to show that it is completely controllable and completely observ-

able. For the first, note that the n x nm controllability matrix (4.19) has
the form
PIn- N 1
1
Nl PINI
n-l J\T
K= ( N2 P2 N 2 P2 lV2
Nk PkNk p~-1 Nk
Supposing that the rows are linearly dependent, then there is a linear com-
bination of the rows that is zero, that is, there is a linear combination of
a linear combination 6 of the first rl rows, a linear combination 6 of the
next r2 rows, etc., which is zero. We thus have k row vectors ~i' each
a linear combination of the rows of the corresponding N i , such that the
following k x nm matrix has rank less than k:
(
~1 P16
6 P26
~k Pk~k
Suppose, in fact, that 2:7=1 Ci(Row)i = 0, and that all the Ci =f. 0, (oth-
erwise omit those rows and deal with a matrix with less rows). Then we
have
k
L Ci (~i Pi~i ... p~-I~d = 0,
i=1
or in matrix form:
°
The coefficient matrices have dimension k x k; moreover, the determinant
of the first is not zero since all the Pj are distinct. It follows that all ~i = 0.
Since the rows of each Ni are linearly independent, it then follows that the
original linear combination had zero coefficients. Observability follows in
the same manner, using the columns of the matrices Mi.
Example 1
Construct a minimal realization for the matrix transfer function
Following the algorithm above, we determine
G l = p+ 2
1 ( -p
3p+ 2
-P-1)
2p+2 p=-l -
(1 0)
-1 0 '
G2 =
1
p+ 1
( -p
3p+ 2
-P-1)
+
2p 2 p=-2
= (-2 -1)
4 2 '
both of rank 1. Thus, a minimal realization l4 is of dimension 2. Factoring

the Gi , remembering the rank condition,
Thus, we have the system
x'(t) = (~1 ~2) x(t) + (!2 ~1) u(t),

y(t) = (!1 !2) x(t).
Example 2
Find a minimal realization of
G _ 1 (p2+6 p2+ P + 4 )
(P) - p3 + 2p2 _ P _ 2 2p2 - 7p - 2 p2 - 5p - 2 .
Since p3 + 2p2 - P - 2 = (p - 1)(P + l)(p + 2), we calculate
Gl=~(!7 ~6) =(!1) (7/6 1),

G2=-~(; :)=(~)(-7/2 -2),
G3 =~ (;~ 162) = (;) (10/3 2).
14It is a standard theorem that a realization is minimal if and only if its di-
mension is minimal; thus all minimal realizations of a particular matrix transfer
function have the same dimension.
+
+
U ---.( }-----+--.j 1----.----.( } - - - - . z
FIGURE 4.8. Block diagram for Problem 4.3.
Thus, a minimal realization is the system
1 0
x'(t) = ( 0
o
-1
0 -2
oo ) x(t)+
( -7/2
7/6
10/3
~2 ) u(t),
1 1
y(t) = ( -1 1 ;) x(t).
Problems
4.1 Use the Laplace transform to solve the given differential equations. If
initial conditions are not stated, take them as arbitrary.
(i) y' + y = 1, y(O) = 2.

(ii) y" + w2 y = cos vt, vi- w.
(iii) y" + y = sinwt.
(iv) y" + 4y' + 8y = 1, y(O) = y'(O) = O.
(v) y'" + y = 1, y(O) = y'(O) = y"(O) = O.
(vi) y'" + y = t, y(O) = y'(O) = y"(O) = O.
(vii) y' - z = -t2 , y - z' = 2te- t .
(viii) x' = y, y' = z, z' =x.
(ix) y" - 2z = 0, y - 2z' = O.
(x) x" + ay' - bx = 0, y" - ax' - by = O.
(xi) x~ + a(xn + Xn-l) = 0, n ~ 1, X~ +axo = 0,

xn(O) = 0, n 2: 1 xo(O) = 1.
4.2 Show that all the zeros of (4.12) are in the left-hand half p-plane as a
consequence of the fact that 'Y > o.
Problems 83
yet) X2(t)
Xl(t) L
u(t)
R2
FIGURE 4.9. Circuit for Problem 4.5.
4.3 Given that, in the block diagram Figure 4.8, F(P) = p-l, G(p) = 3p-2,
H(p) = p2, find the overall transfer function. If u(t) = e- 3t , find the output
z(t) of the system.
4.4 A constant voltage Eo is applied from time t = 0 to a circuit consisting
of a resistor R and capacitor C in series. The charge on C is initially
zero. Find an expression for the current i(t). Is it possible to specify i(O)
arbitrarily?
4.5 In the circuit of Figure 4.9, let the state variables be the voltage Xl
across the capacitor and the current X2 through the inductor. Let the con-
trol variable be the input voltage u and the output variable be the total
current y.
Derive the equations that describe the system, in standard matrix form,
and show that the system is completely controllable and completely ob-
servable except if the circuit components are in the relation R I R 2 C = L.
4.6 Consider the system

-2
x'(t) = ( ~ ~2 ~) x(t) + (~ ~) u(t).
-3 -4 1 1
Find the Laplace transform X(P) in terms of U(P), and use it to determine
if it is possible to choose x(O) and a control u(t) = (~) f(t), with f(t) ~ 0,
such that XI(t) grows exponentially as t -+ +00, but both X2(t), X3(t) grow
only polynomially as t -+ +00.
-1
x'(t) = ( ~
(i) Construct the Laplace transform of the matrix exponential exp(At),

and invert it to find exp(At).
(ii) Suppose that the output is given by
y(t)=(111)x(t).
Find the Laplace transform Y (p) in terms of U (p), and use it to determine
if it is possible to choose x(O) and a control u(t) such that
m
x'(t) ~ (~l TT) x(t) + u(t),
y(t)=(O 1 O)x(t).
(i) Find the matrix transfer function G(p).
(ii) Show that the system is not completely controllable.
(iii) Construct a transformation P that splits the system into its control-
lable and uncontrollable parts and determine equations for the control-
lable part.
(iv) Is the controllable part completely observable?
4.9 Construct a minimal realization of a system whose transfer function is

the 1 x 1 matrix
1
G(p) =p
---:2°-_-5p-+-6'
4.10 Construct a minimal realization of a system whose transfer function

is
G _
(p) - p2
1
+ 3p + 2
(p +
-1
2 2pP ++14) .
5
Partial Differential Equations I
Partial differential equations of the form

[)
'" at u(r, t) = \1 2 u(r, t)
(diffusion equation) and
ata2 u(r, t) = c2 \1 2 u(r, t)

2
(wave equation) are amenable to the use of the Laplace transform. 1 Indeed,
on taking the Laplace transform of the former, we get
One may compare the diffusion equation with the system of equations x' =
Ax + Bu, for which the solution is X(p) = (pI - A)-l (x(O) + BU(p))
(Chapter 4); there is an obvious analogy. One essential difference, however,
is that a finite-dimensional matrix A is a bounded operator, whereas a
partial differential operator such as \1 2 is not; furthermore, it is necessary
to impose boundary conditions for these equations. A method of solution
1 For more thorough coverage of the application of transforms to partial dif-

ferential equations, the reader should consult Duffy [23]. This book contains a
wealth of worked examples of the types encountered in this chapter, and also in
Chapters 8, 11, 14 and 16; moreover, each of its chapters concludes with extensive
references to the use of those same methods in published research papers.
86 5. Partial Differential Equations I
for some particular problems of this type is illustrated by the examples in

this chapter. 2 For simplicity, they are restricted to problems of only one
spatial dimension.
5.1 Heat Diffusion: Semi-Infinite Region

Suppose that a body fills the region x :::: 0, and that the temperature is
a function only of x and t. We want to find the temperature distribution
°
u(x, t) if the temperature is initially given by a function ¢(x), after which
the plane x = is held at a time-varying temperature given by a second
function 'ljJ(t). Evidently the solution u(x, t) is determined by the fact that
heat diffuses to equalize the initial temperature distribution ¢( x) and also
in response to the change of boundary temperature 'ljJ(t).
For this problem, the diffusion equation reduces to the form
au 1 a2 u
(5.1)
at Ii ax 2 '
The solution u(x, t) will be defined in the quadrant of the x-t plane x :::: 0,
t :::: 0, by specifying the conditions on its boundary. The requirement that
u(x, 0) = ¢(x)
is usually referred to as an initial condition. behavior. The conditions with
respect to the space variable
u(O, t) = 'ljJ(t), (5.2)

together with some restriction on the limit
lim u(x, t), (5.3)

x---+oo
are usually referred to as boundary conditions. Provided that ¢(x) and'ljJ(t)

are bounded, then we expect the limit (5.3) to be finite.
Laplace Transform
We introduce the Laplace transform with respect to time,
U(x,p) = 1 00
u(x, t) e- pt dt,
2Heat conduction is a classical application for the Laplace transform. In this

case the diffusion constant is K = pc/k, where p is the density, c the specific
heat, and k the thermal conductivity of the material. Numerous examples may
be found in Carslaw and Jaeger [15].
5.1 Heat Diffusion: Semi-Infinite Region 87
into (5.1), to get
d2
dx 2 U(x,p) - K,pU(x,p) = -K,¢(x). (5.4)
Taking the transform moves the problem from the t-domain to the p-
domain; we must therefore transform all time-dependent equations, so the
boundary condition (5.2) becomes
U(O,p) = tf/(p). (5.5)
The transform U(x,p) is therefore the solution of the ordinary differential

equation (5.4) subject to the boundary conditions (5.5) and some restriction
on the asymptotic behavior of U(x,p) for large x. Note that (5.4) is a linear,
constant coefficient, inhomogeneous equation, for which there is a variety
of solution techniques.
The general solution of (5.4) is
U(x,p) = Up(x,p) + A(p) eX,;KP +B(p) e-x,;KP,

where Up(x,p) is a particular solution, which we choose to be bounded in
the limit Re(p) -+ 00. Now recall that the Laplace transform is obtained by
analytic continuation from values of p for which Re(p) is large and positive.
In this region, Re(..jP) is also large and positive, from which we deduce that
the term in exp(x~) corresponds to nonphysical unbounded behavior.
This is tantamount to applying the boundary condition
U(x,p) = 0(1), x -+ 00.
Setting A(p) = 0, the boundary condition at x

determine the solution uniquely as
= °
is now sufficient to
U(x,p) = Up(x,p) + {tf/(p) - Up(O,p)} e-x,;KP.
Writing G(x,p) = e-x,;KP, the complete solution involves a convolution:
u(x, t) = up(x, t) + fat g(x, t - s){ 1,b(s) - up(O, s)} ds.
To complete the solution we need the inverse Laplace transform of G(x,p);

substituting into the result obtained in (3.7) gives
1/2
( )
_ K, X -Kx2/4t
9 x, t - 27f1/2t3/ 2 e
The function g(x, t) is known as the (one-dimensional) heat diffusion kernel.

Simple Example
As a specific example, suppose that the temperature is initially equal to
the constant value To, but that the plane x = 0 is suddenly changed to a
new constant temperature T 1 . This gives
¢(x) = To,
from which
w(P) = Tl, To
Up(x,p) =-.
P p
Therefore, the solution of (5.4) is uniquely determined as
_ To
U( x,p) --+ Tl - To -0: r,q;
e V··Y.
p P
To complete the solution, we need the inverse Laplace transform of the
second term, which may be obtained from the fact that it is a convolution
integral. It is simpler, however, to follow the method of Section 3.7, and
notice that
d (e-'Yvp) _ e-'YVP
d'Y -p- - - .jP ,
which is precisely the transform used above for the heat kernel (with'Y =
x.,[K). It follows that
£-1 [e-'Yvp] = __1_ J'Y e-'Y'2/4t d'Y'

p -lit
2 J'Y /20 _u2
= - .j7r e duo
To determine the other limit in this indefinite integral, note that the inverse
function must go to zero for large positive 'Y /0. Consequently, we have
£-1 [e-'Yvp] =
p
~
.j7r
1 00
'Y /20
e- u2 du
= 1 - erf('Y /20).
So the final result for the temperature distribution u(x, t) is
u(x, t) = To + (Tl - To) erfc( .,[Kx/20),
where we have used the standard notation for the complementary error
function 3 erfc{"f /20) = 1 - erf{"f /20). Note that
u(x, t) :::::J To,
u(x, t) :::::J T1 ,
3The error function erf(x) is defined as erf(x) = (2/,.fir) fo'" exp( -u 2 )du, the
complementary error function as erfc(x) = 1 - erf(x). The name derives from its
association with the normal distribution of probability theory.
5.2 Finite Thickness 89
Other Boundary Conditions

The rate of heat transfer is proportional to the gradient of the temperature,
in this case to au/ax. More precisely, the rate of heat transfer is given by
au
q(x, t) = -K, ax.
Instead of specifying the temperature at the boundary x = 0, it may be
required to specify the rate at which heat is supplied or removed, that is,
to write
-K,Ux(O, t) = q(t).
This must be transformed into the p-domain, replacing the condition (5.5)
by
The subscript x stands for the partial derivative in the usual way.
More generally, the rate of heat transfer may be proportional to the
actual temperature difference, leading to the most general type of linear
boundary condition
u(O, t) - K,hux(O, t) = q(t),

U(O,p) - K,hUx(O,p) = Q(P),
where h is a given constant. In the case that the heat transfer is from the
cooling of a hotter body to a cooler environment, this model is known as
Newton's law of cooling. Examples are left to the problems.
5.2 Finite Thickness

We consider here only one particular special case of a slab of finite thickness,
leaving details of the general situation to the problems, although they will
be taken up again in Section 15.2.
Suppose then that the body fills the region °: ;
x ::; l, and is initially at
°
temperature To. One face (x = 0) is maintained at this temperature, while
the second face is supplied with heat from time t = at a constant rate H.
We want to find the outward heat flow through the first face as a function
of time. Our partial differential equation is again (5.1), and the Laplace
transform is again (5.4). A general solution is
U(x,p) = To + A(P) sinh(x~) + B(P) cosh(x~). (5.6)

p
The functions A(P) and B(P) will be determined by the boundary con-
ditions. Since U(O,p) = To/p we immediately have B(P) = 0. To determine
the other constant, and also the heat flow through the face x = 0, we must
consider the function q(x, t) = -K,(au/ax), which represents the heat flow
at an arbitrary point. From (5.6), we can write for the transform of q(x, t)
Q(x,p) = C(p) cosh(xy'KP),

where C(p) = -K,y'KPA(p). The boundary condition at x = l is q(l, t) =
-H Or Q(l,p) = -H/p, which determines C(p).
We require the heat flow through the face x = 0, and the Laplace trans-
form of this quantity may now be computed to be
H
-Q(O,p) = -C(p) = pcos h(ly'KP)
K,p
The inverse transform of this function was evaluated in Section 3.6, and
the result is
00
-q(O, t) = 2H 2) _ly-l erfc {(r - 1/2) lJ(K,/t)}

r=l
= (2r - 1) exp { -
H + HL 7r4(-IY
00 27r2t}
(r - 1/2) -l2
K,
.
r=l
The first expansion is useful for computation for small t, while the second
is a good expansion for large t. In particular, we see that -q(O, t) -+ H for
large t, as it must.
5.3 Wave Propagation

The simplest continuous vibrational system is a uniform flexible string of
mass p per unit length, stretched to a tension T. If the string executes small
transverse vibrations in a plane, then the displacement u(x, t) must satisfy
the partial differential equation
a2 u 2 a2 u f(x, t)
(5.7)
at2 =V ax2 + --p-'
where v 2 = T / p and f(x, t) is the external force per unit length. This is
the inhomogeneous, one-dimensional, wave equation. In addition, u(x, t)
must satisfy boundary conditions, which depend on the manner in which
the string is supported. We treat two simple problems to illustrate how the
Laplace transform may be applied to such problems. In both cases, we set
f(x, t) = 0.
Semi-Infinite String
°
We consider first the unbounded region x ~ 0, with u and au/at initially
zerO. For t ~ 0, the end x = is subjected to the time-varying displacement
5.3 Wave Propagation 91
¢(t). The Laplace transform of (5.7), together with the boundary condition
at x = 0, give the equations
2d2 U 2
V dx 2 - P U= 0, (5.8)
U(O,p) = p(p),
and the solution that is bounded for x -+ (Xl is simply
U(x,p) = p(p) e- px / v .
The corresponding displacement is easily found using the translation prop-

erties of the transform, viz.
¢(t - x/v), x < vt,

u (x , t ) = { 0,
x> vt.
Hence, the displacement imposed on the end propagates down the string
at velocity v.
Finite String
Suppose now we fix the string at x = l, while still subjecting the end
x = 0 to an arbitrary time-varying displacement. Then we must solve (5.8)
subject to the additional boundary condition U(l,p) = o. The solution is
easily found to be
U(x,p) = p(p)sinh.(p(l- x)/v). (5.9)

smh(pl/v)
Replacing the hyperbolic sine functions by their definitions in terms of
exponentials, and expanding the denominator in powers of exp( -2pl/v),
this function may be inverted to find u(x, t) in a manner that describes the
physical picture very well,
U(x,p) = p(p) {e- Px / v _ eP(x-21)/v + e- p (x+2l)/v _ e- p (x-41)/v + ... },

u(x, t) = ¢(t - x/v) - ¢(t + x/v - 2l/v)
+ ¢(t - x/v - 2l/v) - ¢(t + x/v - 4l/v) + ....
where we assume, in writing the expression for u(x, t), that ¢(t) = 0 for
t < O. This result represents the propagation of ¢(t) at velocity v while
t < l/v; however, the wave reaches x = l at this time and a second term,
-¢(t + x/v - 2l/v), begins to contribute. This represents the reflection of
¢ at the boundary, with the same amplitude but opposite sign. Further
reflections occur at t = 2l/v, 3l/v, etc., as the disturbance travels up and
down the string.
l(x,t) I(X+DX,t)
I
0 • .m:t/.2.J • 0
LDx
E(x,t)
0 r ax
FIGURE 5.1. Segment of transmission line, length 8x.
E(X+Dx,t)
5.4 Transmission Line

Coaxial cables and other electric transmission lines are systems that are
also amenable to simple analysis via the Laplace transform. We consider
here a rather simple example, a line with no resistive losses. 4 The line is
described by two parameters, the inductance L and capacitance C per unit
length. Consider a small length Ox of the line, as shown in Figure 5.1. Then
by equating currents and voltages at x and x + Ox, and taking the limit
Ox -+ 0, we find that they must satisfy the simultaneous partial differential
equations
oE(x, t) = -L oI(x, t)
ax at '
oI(x, t) = _CoE(x, t) .
ax at
Suppose now that we connect a voltage source ¢(t) at x = 0, commencing
at t = O. For initial conditions we take E(x,O) = I(x,O) = O. Taking the
Laplace transform, which we denote by E(x,p) and I(x,p), we get
oE(x,p) __ LI( )
ax - p x,p,
(5.10)
o1(x,p) __ CE( )
ax - p x,p,
which must be solved subject to E(O,p) = P(P). For physical reasons, we

require a solution bounded as x -+ 00, thus excluding a term of the form
exp(pxlv). Therefore,
E(x,p) = p(p)e- px / v ,
v 2 = 1ILC,
so that the disturbance ¢(x, t) propagates at velocity v exactly as for an

infinite string.
4The more general case is reserved for the problems.

5.4 Transmission Line 93
c])( t) transmission line R
FIGURE 5.2. Termination of a transmission line.
Termination of a Finite Line

Suppose now that the line is of finite length, terminated by a resistance R,
as in Figure 5.2. Again we apply a voltage ¢(t) at x = 0, and look at the
way the signal propagates from the source to the load R. Equation (5.10)
must be solved subject to the boundary condition E(l,p) = RI(l,p) , which
is Ohm's law for the load. This time both terms exp(±pxlv) are allowed,
and the solution is
E(x,p) = p(p) Rcosh(p(l - x)lv) + Lv sinh(p(l - x)lv). (5.11)

R cosh(pl I v) + Lv sinh(pl I v)
Now, if R = 0, we recover (5.9); the physical interpretation is the same

as for a string, the electric signal being reflected back and forth along the
line. The solution for R = (Xl is similar; we will not pause to consider the
details.
From a practical point of view, the purpose of a transmission line is to
transmit energy from the source to the load. We therefore ask if R can be
chosen so as to eliminate the reflection at x = l, and it is evident from
the form of (5.11) that the choice R = Lv = JLle is the only one that
achieves this aim, since we then have
E(x,p) = p(p) e- px / v , (5.12)
which is equivalent to propagation along a semi-infinite line. It is of interest

to calculate in this case the ratio of voltage to current at x = 0. Using (5.12)
in (5.10) we have E(O,p)/i(O,p) = R, but only if
R= JLle.
Thus, for this particular choice, the system-transmission line plus load-
appears to the voltage source to be the load without any intervening line.
The input signal is transmitted at velocity v without change of form or loss
of energy, and is delivered to the load R without reflection. The quantity
R = JLle is known as the impedance of the line, and the line is usually
referred to as a H eaviside distoTtionless line.
Problems
5.1 The plane boundary (x = 0) of a semi-infinite body is maintained at
temperature f(t) from t = O. The body is initially at a uniform tempera-
ture To. Find an expression for the subsequent temperature u(x, t), for the
following special cases:
(i)
f(t) = {Tl,
To,
0< t < to,
t > to.
(ii)
f(t) = At.
5.2 Solve Problem 5.1 if, instead of maintaining the boundary x = 0 at

a fixed temperature, we supply heat at a rate Q(t) per unit area. Give
an explicit solution if Q(t) is a constant. Find also an expression for the
temperature at x = o.
5.3 The plane boundary (x = 0) of a semi-infinite body radiates heat

according to Newton's law of cooling (Q proportional to .!J.T, where .!J.T is
the temperature difference between the body and the medium in contact
with it). If the body is initially at uniform temperature T 1 , and the other
medium is at To, find an expression for the temperature distribution of the
body at subsequent times.
5.4 Two semi-infinite bodies, initially at uniform temperatures Tl, T 2 , re-

spectively, are brought into thermal contact at t = O. Describe the subse-
quent equalization of temperature.
5.5 A slab of thickness l is initially at temperature To. From t = 0, one

face (x = 0) is held at temperature Tl the other (x = l) at T 2 . Find the
subsequent temperature distribution. Give forms useful both for small t
and large t.
5.6 Change the boundary conditions in Problem 5.5 so that the face x = 0
radiates according to Newton's law of cooling, while the face x = l is held
at temperature Tl as before. What is the solution to the new problem?
5.7 Change the boundary conditions in Problem 5.6 so that the face x = l
is supplied with heat at a constant rate Q.
5.8 A solid sphere of radius a is initially at uniform temperature To. From

t = 0 the surface is kept at temperature T 1 . Find an expression for the
temperature distribution at subsequent times. Use the results of Section 4.4.
Problems 95
5.9 An infinite solid has in it a circular cavity of radius a. It is initially at

temperature To; from t = 0 the surface of the cavity is held at temperature
T 1 . Find the subsequent temperature distribution.
5.10 A stretched string, fixed at x = 0 and x = l, is plucked at its mid-
point, and released (from rest) at t = O. Find an infinite series solution for
the subsequent motion of the string.
5.11 Show that
_1 jC+iOO ea~ _d~ = { a' a> 0,

21fi c-ioo ~ 0, a < 0,
where c > O. Hence, obtain from the Laplace transform solution of Prob-
lem 5.10 a direct picture of the displacement of the string in the time
interval 0 ::; t ::; 2l I c.
5.12 A capacitor Co, initially charged to potential Eo, is connected at t = 0

to a semi-infinite transmission line with inductance L and capacitance C
per unit length. Find the distribution of current at subsequent times.
5.13 A finite line of length l, with inductance L and capacitance C per

unit length, is terminated by a resistance R. If the end x = 0 is connected
to a constant potential Eo from t = 0, show that the potential across the
load at subsequent times is given by
E(l,t)~ {:+- G~~n

0< t < llv,
(2n - l)llv < t < (2n + l)llv,
where z = JLIC and v = 1/VLC.

5.14 A finite line of length l and parameters Land C, is connected at
x = 0 to a potential source E(t) in series with a resistance R. The end
x = l is open. Find the potential at x = l for t > O. Is there any value of R
for which transmission takes place without distortion?
5.15 A line of inductance L and capacitance C per unit length, also has
resistance R and leakage conductance G (G = the inverse of the leakage
resistance) per unit length. If the line is infinite, and if a potential ¢(t) is
applied at x = 0 from t = 0, find an expression for the voltage distribution
for t > O. In particular, study the case RC = LG.
5.16 A line with RC = LG, of length l, is short-circuited at x = l. From

t = 0 a potential ¢( t) = A sin wt is applied at x = O. Find the voltage
distribution in a form that explicitly shows the role of reflections at the
ends.
5.17 A constant potential Eo is applied from t = 0 to the end of a semi-

infinite cable (a line with L = G = 0). Find the voltage at subsequent
times.
5.18 Solve Problem 5.17 if the cable is finite, and terminated at x = 1 by
a resistance Ro.
6
Integral Equations
In this short chapter, we consider some integral equations that may be

solved using the Laplace transform.
6.1 Convolution Equations of Volterra Type

Integral equations in which the unknown function occurs as a convolution
occur in some important situations. A rather general type is
g(x) = f(x) + )..lb k(x - y)g(y) dy, (6.1)
where f(x) and k(x) are given functions, and)" a given constant. If f(x) ==
0, (6.1) is homogeneous in g(x), and is referred to as an integral equation of
the first kind. The nonhomogeneous problem is an equation of the second
kind. Suppose that the upper limit of integration b is the variable x; then
we have a Volterra integral equation. By the change of variables x --t x - a,
y --t y - a, (6.1) may then be written
g(x) = f(x) + )..l k(x - y)g(y) dy.

x
(6.2)
98 6. Integral Equations
General Method of Attack

Applying the Laplace transform to (6.2) leads immediately to the algebraic
equation
G(p) = F(p) + AK(p)G(p), (6.3)
with the consequence
F(p)
G(p) = 1- AK(p) ,
and inversion yields the solution. Another problem of frequent interest in
connection with (6.2) is the resolvent kernel, that is, the determination of
a function r(t) such that
g(x) = f(x) + fox r(x - y)f(y) dy. (6.4)
Now (6.3) may also be written

AK(p)
G(p) = F(p) +1_ AK(p) F(p),
so that r(t) is the inverse Laplace transform of AK/(l- AK). We illustrate

these few comments with some examples.
Example 1
Consider the equation
t= fotet-sg(s)dS.
The Laplace transform yields

1 1
-p2 = -G(p).
p-1
Hence,
p -1 1 1
G(p) = - =P
- - -,
p2 p2
g(t) = 1 - t.
Example 2
Consider the equation
g(x) = 1 -foX (x - y)g(y) dy.
Then
1 1
G(p) = - - -G(p),
P p2
6.1 Convolution Equations of Volterra Type 99
which gives the solution

P
G(p) = 1 +p2'
g(x) = cosx.
Example 3
Let us find the resolvent r(t) of the equation
g(t) = f(t) + oX lot e t - s g(s) ds.

Denoting the Laplace transform of r by Sl(p), we may easily obtain
oX
Sl(P) = P_ oX _ l'
r(t) = oXe-(>'+l)t.
Equation (6.4) reads in this case
g(t) = f(t) + oX lot e(,\+l)(t-s) f(s) ds.
Example 4
A less trivial example is furnished by the equation
g(t) = (1 + t)2
1
+ a 10
t g(s)
(1 + t _ s)2 ds, (6.5)
which occurs in the solution of a semiempirical model for subsidence caused

by mining operations. 1 We introduce the notation k(t) = (1 + t)-2; then
for Re(p) ~ 0 we may write
['X> e-pt
K(p) = 10 (1 + t)2 dt
roo e- pt
= 1- p 10 (1 + t) dt (6.6)
= 1- peP 1p
00
e- U du,
u
where the last step follows from the substitution u = p(1 + t). Hence the
integral is the exponential integral (1.10), so
K(p) = 1 - peP Ei(P),
lSee J.H. Giese, SIAM Review, 5 (1963), 1.

which defines K in the entire complex plane, cut along the negative real
axis. Laplace transformation of (6.5) now gives
G(p) = K(p) + aK(p)G(p).

Evaluation of g(t) will involve numerical approximations to the inversion
integral;2 however, we can deduce some important information, particularly
about the behavior of g(t) for large t, from simple analytic considerations.
The inversion integral for g(t) takes the form
g(t) = ~
2nz
l c ioo
+
c-ioo
K(p)
1 - aK (p)
ept dp,
°
where c > is chosen so that the contour is to the right of all zeros of the
denominator 1 - aK(p). Now we know from (1.11) that the exponential
integral has a logarithmic branch point at the origin. Furthermore, it may
be shown (Problem 6.6) that the imaginary part of K(p) is not zero except
for real positive p, so that 1- aK(p) can only have zeros for p ~ O. Again,
for real p we have
K(O) = 1,
K'(p) = -1 00
k(t)te- Pt dt < 0,
so that if a < 1, 1 - aK (p) has no zeros. If a = 1 the origin is a zero,

and if a > 1 there is one simple zero for some real positive Po. We assign
the analysis of the special case a = 1 to the problems. For a < 1, we
may deform the contour in the inversion integral to encircle the negative
real axis. Using the superscripts ± to denote the values of a function at
p = -~ ± iE, ~ > 0, E -+ 0, we obtain in this case
g(t) = J(t)
= -1.
2nz
1
0
00
{G-( -~) - G+( -~)} e-e t d~,
and using the properties
K+( -~) = K-( -~),

K-( -~) - K+( -~) = 2ni~ e-e,
we have
2S ome numerical values for the case a = -2 computed by Pade approximation,

may be found in L. Fox and E.J. Goodwin, Phil. Trans. Roy. Soc. Lond., 245
(1953), 501.
6.2 Convolution Equations over an Infinite Range 101
Im(p)
isolated pole
Re(p)
branch cut
FIGURE 6.1. Contour for the formula (6.7).
This integral may easily be bounded; since 11 - aK+1 is bounded below.

On replacing the denominator by the minimum value we find that there is
some constant A for which
A
I(t) < (1 + t)2'
Hence, the solutions to (6.5) tend to zero for a < 1. If a > 1, a similar
analysis may be made, except that when we deform the contour we must
pick up the residue at the simple pole P = Po (see Figure 6.1).
Po eP ot
g(t) = a(po _ a _ 1) + I(t), a> 1, (6.7)
showing that the solution is exponentially growing in this case. This rel-
atively simple analysis shows that a = 1 is a critical parameter value in
determining the asymptotics of the solution.
6.2 Convolution Equations over an Infinite Range

We consider the integral equation3
f(x) =.A 1 00
k(lx - yl)g(y) dy, x :?: 0,
(6.8)
Q >0.
Taking the Laplace transform of both sides, and splitting the integral over
y into two regions y ::; x and y :?: x, we obtain
3N. Mullineux and J.R. Reed, Q. Appl. Math., 25 (1967), 327. Equations
of this type may be solved by the "Wiener-Hopf" technique (see Chapter 16).
However, we are interested here in a class of problems that can be solved by more
elementary methods.
The double integral can be rearranged as
1 00
g(y) dy {[Yoo k(y - x) e- PX dx - [° k(y - x) e- PX dX}
-1 1
00
= G(p)K( -p) k(x + y) ePX dx

00 00
g(y) dy
= G(p)K(p) + (p - o:)-lG(o:),
providing all the integrals converge. 4 Substituting this result into (6.9), and
solving for G(p), we obtain
G(p) = >..-IF(p) - (p - o:)-lG(o:)
K(p) + K(-p)
(6.10)
>..(p + o:)G(o:) - (p2 - 0:2)F(p)
20:>"
Now the appearance of p2 F(p) shows that the solution for g(x) will involve
f"(x); hence, we rearrange (6.10) as
20:)'G(p) = - {p2 F(p) - pf(O) - l' (O)} + 0: 2 F(p)
(6.11)
- p{f(O) - )'G(o:)} - {f'(O) - o:)'G(o:)}.
This expression has a convergent inverse only when the terms of the form
Ap + B are identically zero, that is, only if
f(O) = )'G(o:) ,
(6.12)
1'(0) = o:)'G(o:).
These restrictions may be obtained directly from the integral equation, so it
is not surprising that they occur as necessary conditions for the convergence
ofthe inversion integral. Subject to these restrictions, it follows from (6.11)
that the integral equation has the explicit solution
0: 2f(x) - f"(x)
g(x) = 20:), , (6.13)
although it must be noted that the solutions to this differential equation

are not necessarily related by an integral equation of the type (6.8); the
initial conditions (6.12) are also needed.
General Considerations
We consider an integral equation of the form
ag(x) = bf(x) +), 100

k(lx - yl)g(y) dy, x 2: 0, (6.14)
4We must first take Re(p) < a, and then use analytic continuation on the final
result to extend to Re(p) > 0:.
6.2 Convolution Equations over an Infinite Range 103
where either a or b may be chosen to be zero. Laplace transformation,

followed by rearrangement of the double integral, yields 5
aG(p) = bF(p) + >.{ G(p)K(p) + G(p)K( -p)
-1 1
(6.15)
k(x + y) ePX dx }.
00 00
g(y) dy
Now we suppose that the kernel function is a linear combination of expo-

nential functions with polynomial coefficients, namely,
n mi
k(t) = L L aijt j e Qit

•
i=l j=O
Substituting a representative term from this into the double integral oc-
curring in (6.15) yields
That is, we obtain a partial fraction expansion whose coefficients are con-
stants, which are related to the Laplace transform G(p) at the points p = C¥i.
To solve (6.15), we temporarily regard these constants as arbitrary. Denot-
ing the double integral in (6.15) by N(p), we obtain the explicit solution
for G(p)
>'N(p) - bF(p)
G(p) = >'{K(p)+K(-p)}-a
In general, the inversion integral for this G(p) will not converge, and this
will restrict the constants, which were temporarily assumed to be arbi-
trary, to certain fixed values. Consequently, (6.14) will lead not only to a
functional relationship between f(x) and g(x), but may also give a set of
subsidiary conditions, as we saw in the example discussed above.
SOnce again a process of analytic continuation may be involved.

A Further Example
We solve the equation
g(x) = f(x) + A fooo Ix - yl e-alx-yl g(y) dy,

x ~ 0, a> O.
The Laplace transform gives
Solving for G(p), we obtain
G(p) = {F(P) ~ + (p-a

+ p-a 1'2 )2} {1 + Jli(p)},
2A(P2 + ( 2)
Jli(p) = (P2 _ (2)2 _ 2A(P2 + (2)·
Inversion is possible for any values of 1'1 and 1'2; hence, we have
g(x) = f(x) + bl + 1'2X) eax

-fox {f(y) + bl + 1'2Y) eay }'l/J(x - y) dy.
(6.16)
It is not difficult to show that the constants 1'1 and 1'2 are indeed arbitrary
in this case (see Problem 6.12).
6.3 The Percus-Yevick Equation

One of the central problems of statistical mechanics is the determination of
the pair distribution function. 6 Several approximate integral equations have
been proposed to determine this function; a most successful one appears
to be the Percus-Yevick equation. We consider here the one-dimensional
I:
form which may be written
+n
I:
cj>(x) = Q2 cj>(x')f(x')cj>(x - x')e(x - x') dx',
(6.17)
Q2 = 1 - n cj>(x')f(x') dx'.
6This is the probability of finding two particles at the stated positions. For an
infinite uniform system it is a function only of the relative positions of the two.
6.3 The Percus-Yevick Equation 105
Here e(x) = exp {-,BV(x)}, f(x) = e(x) - 1, ,B = 1/kT, n is the density,

V(x) the interaction energy between a pair of particles, k Boltzmann's
constant, and T the temperature. For hard rods, of length a, we put V (x) =
00, Ixl < a, V(x) = 0, Ixl > a, so that e(x) and f(x) are step functions.
Equation (6.17) determines a function ¢(x) that is related to the pair
distribution function g(x) by
g(x) = ¢(x)e(x).
In the ensuing treatment, we shall also employ the function
h(x) = ¢(x)f(x),
known as the direct correlation function. 7 Substituting these definitions
into (6.17), and taking the Laplace transform we have 8
G(p) - H(p) = ~2 + n£ [I: g(x')h(x - x') dXI]. (6.18)
The integral here is subjected to manipulations similar to, but more compli-
cated than, those we employed on (6.14). We split it up into three regions,
and deal with each in turn:
(i) For x' < 0 we get
roo
Jo
e-PX dx 1° g(x')h(x - x') dx'
100 100
-00
(6.19)
= e- PX dx h(x")g(x - x") dx"
=0.
Here we have used the variable change x" = x - x', and the properties
g(x) = 0, lsi < a,
h(s) = 0, lsi> a.
(ii) If 0 < x' < x, we have a convolution, giving the contribution
G(p)H(p).
(iii) When x' > x, we interchange orders of integration,
1 00
e- PX dx 100 g(x')h(x - x') dx'
= 100 g(x') dx' {[X~ h(x _ x') e-PX dx - [°00 h(x - x') e- PX dx }.
7This identification is only valid in the Percus-Yevick approximation.

8M.S. Wertheim, J. Math. Phys., 5 (1964), 643. The more general case where
V(x) -# 0 for a :S Ixl :S I is also analyzed using Laplace transforms.
In dealing with both of these integrals, we need to note that g(x) and
h( x) are even functions. In the first integral, the substitution x" = x - x'
yields the contribution G(p)H( -p); in the second a change of sign of
both variables gives (6.19) with p replaced by -po
Collecting these three ingredients, (6.18) becomes

Q2
G(p) - H(p) = - + nG(p) {H(p) + H( -pH.
p
The problem with this result is the occurrence of H( -p); we now show how
this can be circumvented. 9 Solving for G(p), we obtain
G(p) = Q2p-l + H(p) (6.20)

1- nH(p) - nH( -p)
The function H(p) is an entire function of p, since h(x) = 0, Ixl > a, and
we assume it to be finite for Ixl < a. Now G(p) is regular for Re(p) ~ 0
(except at p = 0), so that the denominator cannot have zeros for Re(p) ~ O.
But the denominator is an even function of p; hence the function G(p) is
entire except for a simple pole at p = O. Consequently, the function
(6.21)
is also an entire function; it is not difficult to show (Problem 6.15) that it

is bounded as Ipl -+ 00. By Liouville's theorem, it follows that the function
is a constant; evaluating it at p = 0, we have
We use this result to eliminate H( -p) from (6.20), obtaining
G(p) - H(p) = Q2 (~ - ; ) + nG(p) {H(p) + Q2p-l}. (6.22)
The function h(x) can be obtained by simple considerations. First note

that the inversion of (6.22) gives
g(x) - h(x) = Q2(1_ nx) + n lax g(x') {h(x - x') + Q2} dx', (6.23)
a considerable simplification on the original (6.17). For Ixl < a, the convo-
lution is zero because g(x') = 0, Ix'i < a; hence,
h(x) = {
- Q2(1 - nx), Ixl < a, (6.24)
0, Ixl > a.
9The ensuing procedure is a simple example of the type of argument used in

the Wiener-Hopf technique (Chapter 16).
Problems 107
The constant Q2 may be evaluated by inserting this result into the defini-
tion of Q2 (6.17b), this gives Q2 = (1 - na)-2. Equation (6.23) is now a
convolution equation of Volterra type, and is amenable to analysis using
the methods of Section 6.1. Details are left as a problem.
Problems
6.1 Show that Abel's integral equation, namely,
i (
¢(s)
t
o t - s
)a ds = J(t), 0< Re(a) < 1,
has the solution
¢(t) = sinmr {J(O) _ (t 1'(s) dS}.

7r t 1- a io (t - s)1-a
6.2 Solve the integral equation
sint= lt Jo(t-s)g(s)ds.
6.3 By introducing the change of variables t = x 1/ 2, S = y1/2, show how

the solutions of the equations
and
¢(x) = lX k(x - y)1jJ(y) dy,
are related.
6.4 Solve the integral equation
i
t g(s)
J(t) = o (t 2 - s 2)a ds.
6.5 Find the resolvent for the equation
get) = J(t) + >.. t (t g(s\a

io - s
ds.
6.6 Define
¢(x) = lim Im(K(x + if)),
E--+O
where K(P) is given by (6.6). Show that
¢(x) = { a, x
x> 0,
1Txe , x < 0.
Since it may also be shown that
lim Im(K(p)) = 0,
Ipl--+oo
deduce the fact that Im(K(p)) > ° for all p satisfying Im(p) > 0.
6.7 Analyze (6.5) when a = 1 to determine the behavior for large t.
6.8 Consider the integral equation lO
f(x) = fox k(x - y)g(y) dy.
Under what condition (for the kernel function k) may the solution be writ-
ten
g(x) = fox k(x - y)Pn(d/dy)f(y) dy,
where k is the same kernel function, Pn is a polynomial of degree n, and

f(O) = f'(O) = ... = f(n-l)(o) = 0.
6.9 Solve the following integral equations in the form given in the previous
problem:
(i) f(x) = fox e-(x-y) g(y) dy.

(ii) f(x) = fox {sinh(x - y) - sin(x - y)} g(y) dy.
(iii) f(x) = fox sin (x -

2 y)g(y) dy.
(iv) f(x) = fox eX- Y erf(";x - y)g(y) dy.
(v) f(x) = fox Jo(";x - y)g(y) dy.
lOTaken from D.O. Reudink, SIAM Review, 9 (1967), 4.

Problems 109
6.10 Solve the integral equations:
(i) f(t) =21 t

1
8g(8)
..j8 2 - t2
d8.
(ii) f(t) =t1= ~

t v8 - t
d8.
(iii) g(x) = _1_ e- a / 4x +~

y'x
g(y) dy.
Vir io ..jx - Y
r
6.11 Obtain (6.8) from (6.12) and (6.13).
6.12 By investigating the equation
¢(x) = fox 'If;(x - y)¢(y) dy,
prove that the constants /'1, /'2 of (6.16) are arbitrary.

6.13 Solve
g(x) = fo= sin Ix - yl g(y) dy.
6.14 Solve
g(x) = 1 + fo= Ix - yl cos Ix - yl g(y) dy.
6.15 Show that, if the pair distribution function g(x) is bounded as x --+ 00,
then the function defined in (6.21) is bounded as Ipl --+ 00.
6.16 Show that (6.24) implies
Q2 = (1- na)-2,
where Q2 is defined in (6.17).
6.17 Investigate the Volterra integral (6.23) for g(x).
6.18 In three dimensions, the Percus-Yevick equation may be written
¢(r) = 1 - n J ¢(r)f(r) dr + n J ¢(r')f(r')¢(r - r')e(r - r') dr'.
Assume a spherically symmetrical solution, and introduce variables Ir'l,

Ir - r'l, and the angle () between r' and r - r' into the integrals. By
considering the function x¢(x) in the case of hard spheres (V(r) = 00,
r :::; a; V(r) = 0, r > a), find the direct correlation function explicitly and
derive a convolution integral equation for the pair distribution function
g(x) = ¢(x)e(x).
7
The Fourier Transform
The Fourier transform has its origins in the concept of Fourier series, devel-
oped by Joseph Fourier early in the nineteenth century. It is often treated
in the framework of real variable functions and/or Hilbert spaces; here we
choose rather to emphasize the power of complex variable theory.1
7.1 Exponential, Sine, and Cosine Transforms

Let f(t) be an arbitrary function; then the (exponential) Fourier transform
of f (t) is the function defined by the integral
F(w) = [ : f(t) eiwt dt, (7.1)
for those values of w for which the integral exists. We shall usually refer
to (7.1) as the Fourier transform, omitting any reference to the term expo-
nential. The Fourier transform is related to the Laplace transform; indeed,
on denoting by F± (P) the following Laplace transforms:
F±(P) = 1 00
f(±t) e- pt dt, (7.2)
we have
lFor modern, but practical, accounts, see Korner [34] and Walker [68].
112 7. The Fourier Transform
Furthermore, we see that (7.1) will converge for values of w in the strip
0;+< Im(w) < -0;_, corresponding to the regions of convergence2 of (7.2).
Inversion
Consider the inversion integrals
1 jC+iOO
-. F±(±p)ept dp.
2nz c-ioo
Now if c > 0;+, the first integral gives J(t) for t > 0 and zero for t < O.
Similarly, on making the substitution p --+ -p, we see that if -c > -0;_,
the second integral gives J( -t) for t < 0 and zero for t > O. Adding these
two results we have
= -1
2n
l ic oo
+
ic-oo
F(w) e-,wt
. dw,
where the last step follows from the substitution p --+ -iw. Renaming the
i:
constants 0;+, 0;_, we have the reciprocal transform pair
F(w) = J(t) eiwt dt, 0; < Im(w) < (3, (7.3a)
J(t) = -1
2n
l ic oo
ic-oo
+ F(w) e- iwt dw, 0; < c < (3. (7.3b)
Sine and Cosine Transforms

Consider the functions defined by the integrals
Fs(w) = 21 00
J(t) sinwt dt,
Fc(w) = 21 00
J(t)coswtdt,
(7.4)
2The reader may already be familiar with the theory of Fourier transforms of
a real variable, typically for absolutely integrable or square-integrable functions.
In the general case Q_ = Q+ = 0 for such a function, so there is no overlap
strip; however, one may be introduced by multiplying the function J(t) by a
convergence factor such as exp( -Eltl), E > 0, and taking the limit E --+ 0 at a
later stage. This is an example of using generalized functions, a topic treated in
Chapter 9.
known as the Fourier sine and Fourier cosine transforms, respectively. They
may be related to the Laplace transforms (7.2) by
Fs(w) = -i{F+(-iw) - F+(iw)},

Fc(w) = {F+(-iw) + F+(iw)},
so that the integrals (7.4) converge (if at all) in the strip a+ < Im(w) <
-a+, which includes the real axis. Employing the Laplace inversion the-
orem with c = 0, we may show readily that the inversions of (7.4) are
f(t) = - 11 00
Fs(w) sinwt dw,
11
7r 0
f(t) = - 00
Fc(w) coswt dw.
7r 0
Note that, if f is an even function, then
if f is an odd function, then
Examples
(i) For the even function e- a1tl , (2.13) takes the form
f(t) e- a1tl ,
= Re(a) > 0,
2a
F(w) = 2 2
a +w
Here the region of convergence of the integral defining F(w) is - Re(a) <
Im(w) < Re(a). Inserting F(w) into the inversion integral with c = 0,
we may easily evaluate the latter by residues. If t > 0, we must close
the contour in the lower half-plane; if t < 0, we must close in the upper
half-plane. The effect of switching from one pole to the other is to give
the result 3
e -at , t > 0,
{
f(t) =
e+ at , t < 0, (7.5)
3This method leaves the value of f(O) undetermined, a matter of no practical

consequence since inverse transforms take the average value ~{f(t-O) + f(t+O)}
at a point of continuity or at a finite discontinuity-see page 43.
Im(ro)
~pole
Re(ro)
FIGURE 7.1. Contour for the integral (7.8).
(ii) Normal distribution. If
f(t) = e- at2 , Re(a) > 0,

then
F(w) = 1: e-at2+iwt dt
= e- w2 / 4a2 1°O
-00
e- au2 du (7.6)
= (Jr/a)1/2e-w2/4a2,
where we have written u = t - iw /2a, and changed the contour from
-00 < t < 00 to -00 < u < 00. In this example, the integral defining
F(w) converges for all w, and the Fourier transform is an entire function
of was a consequence. Since F(w) has the same functional form as f(t),
the inversion integral is evaluated by a trivial modification of (7.6).
(iii) Single pulse. If
f(t) = { 1,
It I < 1,
0, It I > 1,
then
F(w) = 11 -1
e iwt dt = 2 sinw.
w
(7.7)
To invert (7.7), we write the inversion integral as
1=-
1
ri c
1 e- iw (t-1)
w
dw--
1
ri c
1 e- iw (t+1)
w
dw
'
(7.8)
where the contour is shown in Figure 7.1. Now if t < -1, we may close
the contour in the upper half-plane for both integrals, giving I = 0. If
-1 < t < 1, we close in the lower half-plane for the second integral,
obtaining I = 1. Finally, if t > 1, we close in the lower half-plane for
both integrals, and the residues cancel. Hence, 1= f(t).
Im(ro)
I.. Re(ro}
~branChcut
(iv) Bessel function:

f(t) = Jo(at).
For this function, the integral (7.1) will diverge unless w is real, so there
is no strip a < Im(w) < (J for convergence. For real w, we may evaluate
(7.1) by writing4
F(w) = lim
€--TO
1 00
-00
Jo(at) eiwt-eltl dt
(7.9)
= lim {(a 2 - (w _ iE)2) -1/2 + (a 2 _ (w + iE)2) -1/2}.
e---+O
Here we have used the Laplace transform of J o(at) from (4.10). On taking
the limit E --+ 0, we have
Iwl <a,
Iwl > a,
where the result for Iwl > a depends on a consideration of the phases of
the two terms in (7.9). The inversion integral may be transformed into
Bessel's integral (18.32) by the substitution w = a sin 0, viz
Jo(at) = - 11
va
7f -a
a
e- iwt dw
2 - w2
_~ r coswt dw
- io va
7f 2 -w 2
217r/2
= - cos(at sin 0) dO.
7f 0
4 Alternatively, we could appeal to Bessel's integral (18.32) immediately to

obtain the result.
(v) Let
Cl/2 t > 0,
f(t) = { '
0, t < 0;
then
Im(w) > 0.
The inversion integral is (see Figure 7.2 for contours)
f(t) = e-i~41
2y1f C
e-;/
yW
dw. (7.10)
Now if t < 0, we may close the contour in the upper half-plane, to give
zero. If t > 0, we may close in the lower half-plane (Cd, and shrink the
contour about the branch cut. This gives (~ = iw)
Hence, we recover f(t) for all t.
7.2 Important Properties

We will derive a number of simple but important properties of the expo-
nential Fourier transform. The corresponding properties for the sine and
cosine transforms, which are also simple, are given in the problems.
Derivatives
i:
Suppose that g(t) = f'(t); then
i:
G(w) = f'(t)eiwtdt
(7.11)
= [f(t) eiwtJ:'(X) - iw f(t) eiwt dt
= -iwF(w).
provided that the conditions analogous to (2.5) apply at both limits of

integration; that is,
lim {J(t) eiwt } = 0, Im(w) > ct,

t-too
lim {J(t) eiwt }

t-t-oo
= 0, Im(w) < (3,
so that the boundary terms in (7.11) are zero in the strip of convergence. 5
Similarly, if ¢(t) = tf(t), then differentiation of the integral that defines
F(w) yields
<z>(w) = -i d~F(W), (7.12)
provided the order of integration and differentiation may be interchanged.

Equations (7.11) and (7.12) represent a duality between operations on a
function and the corresponding operation on its Fourier transform; sym-
bolically we may express this by the correspondence
d .
- ++ -zw
dt ' (7.13)
d .
dw ++ zt.
Translations
Similarly, there is a duality between translations of a function and multi-
plication by an exponential factor. Denoting by F[f] the Fourier transform
I:
of f(t), we have
I:
F[f(t - r)] = f(t - r) eiwt dt
(7.14)
= eiWT f(u) eiwu du
I:
= eiWT F(w).
F[e iat f(t)] = f(t) ei(a+w)t dt

(7.15)
=F(a+w).
Convolutions
A convolution integral of the type given in (2.12) has a particularly sim-
ple Laplace transform. The corresponding result for the Fourier transform
5We will see in Chapter 9 that (7.11) and (7.12) are valid for generalized
functions with no additional assumptions.
stems from replacing the integration limits by ±oo; that is, we consider the
Fourier transform of the function defined by the convolution integral
g(t) = I: k(t - s)f(s) ds.
Assuming that the necessary interchanges of order of integration are valid,

the application of (7.14) gives
I:
I:
G(w) = F[k(t - s)Jf(s) ds
= K(w) f(s) eiws ds

= K(w)F(w).
There is a similar result, which again reveals a duality between operations

on functions and their Fourier transforms, for the Fourier transform of the
product of two functions. By replacing one of the functions by its inverse
Fourier transform and using (7.15), we obtain
F[f(t)g(t)] = 2~ I: F(w')F [e- iw1t g(t)] dw'

= -1
27r
1 00
-00
F(w')G(w - w') dw'.
(7.16)
Parseval Relations
One immediate and important consequence of (7.16) is obtained by setting
w = O. The resulting equation, which involves the function G(-w), may be
made more symmetrical by replacing g(t) by its complex conjugate function
g(t), and noting that
F[g(t)] = G( -w).
Hence, on writing F[f(t)g(t)]w=o as an integral we have
1 00
-00
f(t)g(t) dt = ~
27r
1
00
-00
F(w)G(w) dw, (7.17)
which is Parseval's relation.

7.3 Spectral Analysis 119
7.3 Spectral Analysis

Suppose6 that J(t) represents the value of some physical quantity at time
t. Then if the Fourier transform exists for real w, the relation
J(t) = - 1
27r
Joo F(w) e-
-00
iwt dw
is a way of expressing J(t) as a linear combination of simple harmonic

functions cos wt ± i sin wt. This means that the frequency content of the
signal J(t) is spread over a continuous range of frequencies w, the amplitude
of a given frequency being proportional to F(w). If IJ(t)1 2 is a measure of
the intensity ofthe quantity J(t) at time t, then we may regard the function
W(w) 12 as a measure of the intensity at the frequency w. Parseval's relation
allows us to give these two statements a consistent quantitative meaning; if
IJ(t)j2ot is the power content of J(t) in the time interval t to t+Ot, then we
may interpret IF(w)1 2 ow/27r as the power content in the frequency range
w to w + Ow, for then the relation
gives an unambiguous meaning to the concept of the total power content

of the quantity J(t).
Illustrative Example
Consider the following simple mechanical problem. A mass m is suspended
by a spring with force constant k, subject to a linear damping force pro-
portional to its velocity, and driven by the periodic external force J(t) =
Jo sin wt. The equation for the displacement of the particle from equilibrium
is
mx"(t) + ,/,x'(t) + kx(t) = Jo sinwt. (7.18)
For simplicity, we put m = 1 and k = 1, and consider the case of light
damping, '/' « 1.
First, we look for steady-state solutions x(t) = BJosin(wt+f3), where B
and f3 are functions of w but not t. Direct substitution into (7.18) gives us
two relations for these quantities, namely,
B {(1 - w2 ) cosf3 - w,/,sinf3} = 1,

(7.19)
B {(1 - w 2 ) sinf3 + w'/' cos f3} = 0,
6Spectral analysis is a major area of application for the Fourier transform.

Two important references concerned with this aspect are Bachman et al. [6] and
Gasquet and Witomski [26].
12,-----~----~----~----_,
10 ----------- ------------ ------------,------------
B(co)
2
0
-2 -1 CO 2
FIGURE 7.3. Graph of the function IB(w)1 for 'Y = 0.1.
from which we obtain
A graph of IB(w)1 is shown in Figure 7.3. Notice that for small t the peaks
at w ~ ±1 are high and narrow. Now the rate at which energy is dissipated
by friction is tlx'12; hence, the energy dissipated per cycle is
(7.20)
Now we apply the force
0, t < 0,
f(t) = { fo sint,
° ~ t ~ 27r,
0, t> 27r,
which is one cycle of a sine wave at the resonant frequency. With this force,
the solution of (7.18) for t « 1 is given approximately by
x(t) ~ { ~ (sint - tcost), ° ~ t ~ 27r,

(7.21 )
- 7r fo e-"Y t / 2 cos t, t > 27r.
Let us calculate the total energy dissipated by friction as the result of this
"one cycle" signal. There may seem to be two methods, viz
(i) Use the solution (7.21) to calculate the integral of tlx' (t) 12. Explicitly,
this gives
(7.22)
7.4 Kramers-Kronig Relations 121
(ii) Use (7.20) with w = 1, and multiply by the period 2n during which
the force is applied. This gives n f:5 / 'Y as the energy, a result that disagrees
completely with (7.22).
The resolution of this problem is quite easy if we apply the concept of
I:
spectral analysis to the force f(t). Writing
F(w) = f(t) eiwt dw
= fo [ei(W+l)t _ ei(W-l)t] t=27r
2i i(w + 1) i(w - 1) t=O '
we see that the spectral content F(w) is broadly spread in frequency, with
1F(±1)1 :;::, nfo·

Representing the input as a superposition,
f(t) = -1 Joo F(w) e- iwt dw,

2n -00
and applying the steady-state result (7.19) to each harmonic component

separately we obtain for x'(t)
x'(t) = -~ Joo wF(w)B(w) e- i {wH,6(w)} dw.

2n -00
To compute the total energy, we apply Parseval's relation to the integral

of 'Ylx'(t)12, and use the fact that F(w) is slowly varying, B(w) sharply
peaked, to get
which agrees with (7.22). This illustrates the fact that the energy 'Ylx'1 2 is
spread out over a wide range of frequencies.
7.4 Kramers-Kronig Relations

Consider a linear physical system with input x(t) and output (response)
y(t). We suppose that the law of cause and effect holds, that is, the output
y(t) depends only on values of the input x(t') for times t' ::::; t. Then the
OO(ro)
Q Re(ro)
most general linear relation we may write is a convolution integral involving
i:
an influence function k(t); viz
y(t) = k(t - s)x(s) ds,
where k(s) = 0 for s < 0 because of causality. We suppose, further, that

the system is unconditionally stable, so that if x(t) = 0 for t > to, y(t) -* 0
as t -* 00. This means that the Fourier transform K(w) has no poles in the
half-plane Im(w) ~ O. Finally, suppose that a real input results in a real
output; then we may show that the real and imaginary parts of K(w) are
respectively even and odd functions of the real variable w.
Now consider the contour integral
1
c w-
K(w) dw
n ' (7.23)
where the contour is shown in Figure 7.4. We know that K(w) has no
poles inside the contour; hence, the integral has the value zero. Evaluating
one-half the residue at w = n therefore gives
provided K(w) -* 0 as Iwl -* 00 in the upper half-plane. Here P stands for

the principal value of the integral in relation to its singularity at w = 0,
defined as
P 1
00
-00
K(w) dw
w- n
= lim
€--}o
1 K(w) dw.
Iwl>€ w - n
Writing K(w) = Kr(w) +iKi(w) and equating real and imaginary parts,
Problems 123
Im(w)
Re(w)
we have
Kr(D) = -~pJoo Ki(W) dw,
7r -00 W - D
Ki(D) = ~pJoo Kr(w) dw,
7r -00 W - D
which are the Kramers-Kronig relations. Thus the requirement of causality
leads to a connection between the real and imaginary parts of K (w) for a
very general class of linear systems.
Another important relation of this type is obtained by considering the
integral (see Figure 7.5)
1W~(W;
c w +~
dw = 7riK(i~). (7.24)
Exploiting the fact that Kr(w) is an even function of (real) w, this gives
K(i~) = 3.
7r
roo W~i(~~
io w +
dw,
an important relation with many physical applications.
Problems
7.1 Prove the following general properties of the Fourier transform:
(i) F[](t)] = F( -w).
(ii) F[j(tja + b)] = aeiabw F(aw).
(iii) F[e ibt f(at)] = ~F (w: b).
. Fs[cos(bt)f(at)] = 2a
(IV) 1 { Fs - b) }.
+ b) + Fs (W-a-
(w-a-
.
(v) Fs[sm(bt)f(at)] 1 { Fe -a-
= 2a (W - b) - (W b) }.
+
Fe -a-
. Fc[cos(bt)f(at)] = 2a
(VI) +
1 { Fe -a- - b) }.
(w b) + Fe (w-a-
(vii) Fc[sin(bt)f(at)] = 21a {Fs (w: b) _ Fs (w: b) }.
(viii) Fe [f(n) (t)] = -2f(n-l) (0) + wFs [f(n-l) (t)].
(ix) Fs [f(n)(t)] = -wFe [f(n-l)(t)].
(x) Fs [f"(t)] = 2wf(0) - w2 Fs(w).
(xi) Fe [f"(t)] = -2f'(0) - w2 Fe(w).
(xii) 2~ 1 00
Fe(w )Ge(w) cos wt dw
=
1 roo
"2 Jo g(u){f(t + u) + f(lt - ul)} duo
(xiii) 2~ 100
Fs(w)Gs(w) cos wt dw
=
1 roo
"2 Jo g(u){f(t + u) + f(lt - ul)} duo
(xiv) 2~ 100
Fs(w)Ge(w) sinwtdw
=
1 roo
"2 Jo f(u){g(lt - ul) - g(t + u)} du
=
1 roo
"2 Jo g(u){f(t + u) - f(lt - ul)} duo
rOO 1 roo
(xv) Jo f(t)g(t) dt = 27r Jo Fs(w)Gs(w) dw
Problems 125
i:
7.2 For a function f(x), with Fourier transform F(p) , define the quantities
(xn) = x n [f(X)[2dx,
(pn) = i:
(LlX)2 = (x 2) _ (x)2,
2~
(Llp)2 = (p2) _ (p)2.
pn[F(p) [2dp,
i:
By considering the inequality
[xf(x) - (x)f(x) + a{f'(x) + i(p)f(x)}[2 dx 2 0,
where a is an arbitrary real number, show that7
(Llx)(Llp) 2 1/2,
for any function f (x).

7.3 Verify the following list of Fourier transforms:
(i)
eiat p < t < q,
f(t) = { '
0, t > q, t < p,
eip(a+w) _ eiq(a+w)
F(w) = .
w
(ii)
l/t, t > 1,
f(t) = {
0, t < 1,
F(w) = -Ei(-iw).
(iii)
f(t) = cos(at2),
F(w) = (7r /a?/2 cos(w 2/4a - 7r /4).
(iv)
f(t) = sin(at 2),
F(w) = (7r/a)1/2 sin(w 2/4a + 7r/4).
7In quantum mechanics, this is the uncertainty principle.

(v)
0< Re(a) < 1,
F(w) = 2(-a)! sin1l"a.
Iwl 1 - a
(vi)
e- a1tl
f(t) = ItI 1/ 2 '
F(w) = (Ja 2 +W2+a)1/2

a 2 +w 2
(vii)
t < a,
t > a.
(viii)
f(t) = s~nhat, -11" < a < 11",
smh1l"t
F sina
(w) = coshw+cosa.
(ix)
f(t) = cosh at , -11" < a < 11",
cosh1l"t
F(w) = 2 cos( a/2) cosh(w /2) .
coshw + cos a
(x)
Iwl > b,
Iwl < b.
(xi)
f(x) = erf(ax),
e-w2/4a2
F(w)=---
w
Problems 127
(xii)
f(t) = e-t,
2w
Fs (w) = 1 + w2 .
(xiii)
f(t) = e- t2 ,
Fs(w) = ,j7re- W2 / 4 .
(xiv)
f(t) = Si: t,
Fs(w) = In -1 +-
wl .
1 l-w
7.4 Use the Parseval relations to show the following results:
(i)
1T
2ab(a + b)"
(ii)
(iii)
rOO sin at sin bt dt = {1Ta/2, a< b,
Jo t2 1Tb/2, a> b.
7.5 Let f(x) be an integrable function, and define
h(x) = f(x)h(x),
f-(x) = f(x)h(-x),
F+(w) = F[h(x)] ,
F_(w) = F[f-(x)].
Then show that
by representing f ± (an) by its inverse Fourier transform, and evaluating

the integral (after performing the summation first) by residues. On adding,
this gives
known as the Poisson summation formula.
7.6 Use the Poisson summation formula to show that
(i)
00
1 = ~ coth (~) .
n=-CX)
1 + a 2n 2 a a
(ii)
(iii)
L
00
2
Jo(na) =-, a < 27r,
n=-oo
a
2m7r < a < 2(m + 1)7r.
(iv)
00
2
n~oo J o(n7r) cos(n7ra) = 7r~' -1 < a < 1.
(v)
2"
00
~ Ko ((2m + l)a).
7r m=-oo
8
Partial Differential Equations II
The use of the Fourier transform to obtain a form of solution to a partial

differential equation (together with associated boundary conditions) is a
very general technique. 1 For simple problems, the integral representation
obtained as the solution will be amenable to exact analysis; more often the
method converts the original problem to the technical matter of evaluat-
ing a difficult integral. Numerical methods may be necessary in general,
although asymptotic and other useful information may often be obtained
directly by appropriate methods. We illustrate some of the more simple
problems in this chapter, leaving applications involving mixed boundary
values, Green's functions, and transforms in several variables, to later chap-
ters.
8.1 Potential Problems

Problems in electrostatics and steady-state heat conduction involve the
solution of Laplace's equation
(8.1)
subject to prescribed boundary conditions on the function cp. We consider

first three simple examples.
lSee footnote 1 on page 85.

130 8. Partial Differential Equations II
Example 1
A semi-infinite region -00 < x < +00, y 2': 0 with ¢ specified on the edge:
¢(x,O) = 'ljJ(x). (S.2)

Now, if we take the Fourier transform of (S.l) with respect to the variable
x, we obtain the ordinary differential equation
with the solution
tfJ(w, y) = A(w) eWY +B(w) e- wy .

The boundary condition (S.2) transforms to
tfJ(w, 0) = !P(w).
To choose the functions A(w), B(w)-constants with respect to y-we need
a further condition. This is because we have not specified the behavior of
the solution for large y. Assuming that the solution is bounded for large y
we obtain
Re(w) > 0,
Re(w) < O.
The Fourier transform tfJ(w, y) is a product,2 so we introduce a function
K(w,y) by tfJ(w,y) = K(w,y)!P(w). From (7.5) we see that K(w,y) is the
transform of an elementary function, and on using the convolution theorem
we obtain as the solution to (S.2) the general formula
¢(x, y) =:;;:y 100
-00 y2
'ljJ(~)
+ (x _ ~)2 d~.
Example 2
Consider the electrostatic field produced by the arrangement shown in Fig-
ure S.l, where a finite section of an infinite electrically conducting cylinder,
of radius a, is held at potential V while the remainder is grounded. Using
cylindrical polar coordinates and the fact that the potential is axially sym-
metric, we obtain the equations
V, Izl < l,
¢(a, z) = { (S.3)
0, Izl > l.
2Note that cP is not an entire function of w even if IJ! is, although it is mero-
morphic in each (open) half-plane.
8.1 Potential Problems 131
z axis
z =-1 z=l
FIGURE 8.1. Conducting cylinder for Example 2.
Now we take the Fourier transform with respect to z, so that (8.3) become
d2 1 d
-d2 tJJ(r, w)
r
+ -r -dr tJJ(r, w) - w2 tJJ(r, w) = 0
and
tJJ(a, w) = 2V sinwl.
w
The solution to these equations that is finite for r = 0 is the modified Bessel
function 3 1o(r). Taking into account the boundary condition at r = a we
conclude that
tJJ( ) = 2V sinwl 10 (wr)
r,w w 1o(wa)·
The expression for the potential follows immediately from the inversion
integral, which may be evaluated over real values of w. On noting that
tJJ(r, w) is an even function of w, we may write the solution as a real integral,
namely,
¢(r, z) = 2V roo
coswz sinwl 1o(wr) dw.
7r io w 10 (wa)
This solution could also have been obtained by applying the Fourier cosine
transform to the problem for z ::::: 0, since the potential is obviously an even
function of z, which implies that o¢/oz = 0 at z = o.
Example 3
As a final example of a potential problem, we find the electrostatic field
inside an infinite conducting cylinder of radius a, due to a point charge q
on its axis. 4 If we take the origin of our (cylindrical) coordinates at the
point charge, the potential has the form
q
¢(r, z) = + u(r, z),
y'r2 + Z2
3See Section 18.8.

4This problem anticipates some of the discussions of Chapter 11.
where the first term is the field due to a point charge in the absence of the
boundary, and u(r, z) is a solution of Laplace's equation ('\7 2 u = 0) chosen
to make ¢ = 0 on the surface of the cylinder. Taking the Fourier transform
with respect to z, we obtain the equations
~~ (rdU(r,w)) -w 2 U(r,w) =0 (S.4a)

r dr dr
and
U(a,w) = _qjOO eiwz dz
v'z2 + a 2
-00 (S.4b)
= -2q K o(wa).
The solution to (S.4) that is finite at r = 0 is
10 (wr)
U(r,w) = -2qK o(wa) 10 (wa) ,
from which we have
¢(r, z) = q _ 2q roo Ko(wa)1o(wr) coswzdw.

J q2 + z2 7f 10 10 (wa)
8.2 Water Waves: Basic Equations

Water waves are perhaps the most easily observed oscillatory phenomenon
in nature. 5 We will discuss the application of integral transforms to the
mathematical analysis of water waves in several places; in the present sec-
tion we outline the basic equations to be solved and discuss some simple
problems that are amenable to analysis via the Fourier transform.
Equations of Motion
We will briefly sketch those equations of hydrodynamics that are appropri-
ate to the theory of water waves. The basic assumption is that water is an
incompressible, nonviscous fluid that may be regarded as a continuum. We
denote its density by p, and its velocity at a point r and time t by v(r, t).
Then a small element of the fluid is acted upon by two distinct forces; the
pressure acting across the boundary of the element, and external forces
such as gravity (generally called body forces). Denoting the pressure by
p and the body forces by F, Newton's second law gives the equation of
motion
Dv
P Dt = F - '\7p,
5A classic reference on water waves is Stoker [58].

8.2 Water Waves: Basic Equations 133
where the operator D / Dt is the time rate of change for the fluid element,
which is moving at velocity v. In a stationary coordinate system, assum-
ing that the body forces are simply gravitational, the equation of motion
becomes
av + p(v . \7)v + \7p =
p at pg, (8.5)
where 9 is a constant vector, the acceleration due to gravity. One conse-

quence is that if \7 x v = 0 at one instant of time, then it is true for all time.
We will therefore make this assumption (irrotational flow) and introduce a
velocity potential ¢ from which v is obtained by
v = \7¢. (8.6)
Conservation Laws
There is a fundamental conservation law of hydrodynamics that expresses
the fact that fluid is neither created nor destroyed during its motion. For
a fluid of arbitrary density p(r, t), it is
ap
-+\7·(pv)=O.
at
In the present case, p is a constant, and after substituting from (8.6) we
get
(8.7)
so that the velocity potential is a harmonic function as a consequence of
conservation of mass.
Another important equation follows by substituting (8.6) into (8.5). This
gives
a¢ 1 P
at + -2 \7(V ) + \7 -p -
2
\7- 9 = 0
,
and on introducing the z-axis as the upward vertical direction, 9 = -g\7 z;

we may integrate along any path in space (provided it is within the fluid)
to obtain Bernoulli's equation
1 2 P
-a¢
at + -v
2
+ -p + gz = A(t)
,
where A(t) is an arbitrary constant of the integration.
Boundary Conditions
We assume that the water has a boundary surface S, with the property
that any point on the surface remains on the surface. At a fixed boundary,
such as the bottom of the sea, the normal velocity must be zero, so that
the velocity potential has to satisfy the condition
an = 0.
O¢
At a free surface, conditions are more complicated, since we want to specify

the pressure and let this determine where the surface is. If we assume that
the equation of the surface is z = TJ(x, y, t), then by differentiation with
respect to t we have
O¢ OTJ + o¢ OTJ _ o¢ + OTJ = o. (8.8)

ax ax oy oy OZ at
A second boundary condition follows from Bernoulli's equation; using the
fact that the pressure is equal to a prescribed function Po on S we have
~~ + ~ 1\7¢12 + P; + gTJ = A(t), z = TJ. (8.9)
These boundary conditions are both nonlinear, and, in addition, must be

used to determine TJ. Hence the general equations that govern the theory
of water waves, even in this simple model, are extremely complicated and
intractable to simple analytic methods.
Small-Amplitude Waves
We shall suppose that the elevation of the free surface TJ and the pressure
P are small perturbations from equilibrium values TJ = 0 and P = Po; also,
that the velocity ofthe flow is small. Then we may linearize (8.8) and (8.9),
which gives the simple conditions (p = Po + 8p)
O¢ 8p
g'l'l+-+-=O
·f atp , (8.10)
OTJ _ o¢ = 0 (8.11)
at oz '
on the free surface z = o. Now we may eliminate TJ completely, to get a
boundary condition on ¢, namely,
(8.12)
after which the free surface elevation TJ may be obtained from (8.10). Apart
from the simplified form of these boundary conditions, we have the addi-
tional fact that the region in which ¢ must be determined, and the boundary
at which (8.10) and (8.11) must apply, is fixed by the equilibrium solution.
8.3 Waves Generated by a Surface Displacement 135
8.3 Waves Generated by a Surface Displacement

We consider first waves on water of infinite depth that are generated by
an initial displacement of the surface elevation, the pressure at the surface
being a given constant. In this section we confine our analysis to waves
in two dimensions, that is, solutions of the relevant equations that are
independent of y. For such functions, the Fourier transform (with respect
to x) of (8.7) is
d2
dz 2 <J>(w, z, t) - w2 <J>(w, z, t) = 0,
and the solution for real w which is bounded as z -+ -00 is
<J>(w, z, t) = A(w, t) e 1w1z . (8.13)
Now the boundary condition (8.12) with

ferential equation
op = ° gives for A(w, t) the dif-
(8.14)
with the solution
A(w, t) = B(w) sin (t~) + C(w) cos (t~).
°
Suppose that the water is initially at rest, with surface elevation given by
7](x,O) = 7]o(x). The condition ¢(x,z,O) = gives C(w) = 0; on denoting
the transform of 7](x, t) by H(w, t), (8.10) gives
gHo(w) + ~B(w) = 0.
Thus, <J>(w, z, t) and H(w, t) are uniquely determined. Explicitly,

1/2
<J>(w, Z, t) = Ho(w)
(
I~I ) sin (t~) e 1w1z, (8.15a)
H(w, t) = Ho(w) cos (t~). (8.15b)
The expressions for the velocity potential ¢ and surface elevation 7] follow
immediately. The integrals for these expressions are intractable even for
simple forms of Ho(w); nevertheless, they yield useful information, either
through numerical studies or asymptotic analysis.
An Asymptotic Form
We examine in some detail the asymptotic form of the solution if we write
1/2a, Ixl < a,

7]o(x) ={
0, Ixl > a.
Then the expression for ¢(x, 0, t) which we obtain from inverting (8.15a),
1
is
¢(x, 0, t) = --2
yg 00
sin wa .
- - { sm (wx + ty'w9) - .
sm (wx - ty'w9)}
dw
Co'
7r 0 wa yw
An important feature of this last expression is that it is unchanged if we re-
°
place x by Ixl; physically this must be so since the initial displacement 1]0 (x)
was symmetrical about x = and hence the disturbance must propagate
in both directions symmetrically. We now make the substitutions
after which the expression for ¢ becomes
rI.( Ot)=~(..!.L)1/2{ {OOsin{(a/lxl)(a-;3)2}. (2_(32)d

'f/ x,, 7r Ixl J{3 (a/lxl)(a _ (3)2 sm a a
_Joo sin{(a/lxl)(a + (3)2} . (

(a/lxl)(a + (3)2 sm a
-{3
2 _ (32) d }
a .
We now make some approximations. First, we note that the major con-
tribution to each integral comes from the regions lal rv 1(31, so that if
a/lxl « 1, we may write 6
¢(x,o,t)':::'.-;
2 (
I~I
)1/2 10 {3
sin(a 2 -(32)da, Ixl »a.
The corresponding approximation to 1](x, t) is readily found to be
1](x, t) = -~ 8¢(~tO, t)
tg1/2 {{3
':::'. - 7rlxI 3 / 2 Jo cos (a 2 - (32) da, Ixl» a.
It is of interest to investigate these integrals for large (3. The two integrals
are the real and imaginary parts of
6 • •• sin(a/lxl)(a ± fJ)2 ()
ThIS follows because, thIS case,
III (a/lxl)(a ± fJ)2 ':::'.1 when a ± fJ ':::'. O.
For large /3, the error function tends to unity, so that we have the approx-
imation
tg 1 / 2 ( gt2 7f)
",(x, t) ~ - 27fIXI 3/ 2 cos 41xl - 4" '
It is interesting to discuss the character of the motion furnished by this
solution. Neglecting the slow decrease of amplitude of the cosine function,
the crests of the waves are given by the condition
gt2 /41xl = (2n + 1/4)7f;
hence, they move at an increasing velocity as time progresses. Another fea-
ture is that the distance between two successive crests increases with time.
Hence, the waves furthest away from the initial disturbance move more
rapidly and become longer as the pattern is drawn out. Simultaneously
new waves of shorter wave length continually appear and also propagate
outward. These conclusions remain unchanged if we consider the three-
dimensional case; 7 furthermore, they may easily be observed by throwing
a small stone into a calm pond.
8.4 Waves Generated by a Periodic Disturbance

In this section, we consider water waves generated by a pressure fluctuation
that is periodic in time. We commence by investigating the solution of the
hydrodynamic equations when the water is initially at rest with surface
elevation", = 0, but subject to the pressure fluctuation
8p = ,¢(x) cos nt, t ~ 0, n>o. (8.16)
For simplicity of the ensuing algebra, we replace the function cos nt by
exp( -int); and afterwards take the real part of the solution. The Fourier
transform p(w, z, t) is again given by (8.13), but now (8.14) is replaced by
8
2
~~~' t) + glwIA(w, t) = i~ lP(w) e- uu ,
which is obtained from the boundary condition (8.12). The solution is
A(w, t) = inlP(w) e-Wt + B(w) eit~ + C(w) e-it~ . (8.17)

p(lwlg - n2)
Now the initial condition p(w, z, 0) ,= ° gives
-in
B(w) + C(w) = p(lwlg _ n2) lP(w),
7S toker [58], Chapter 4.

and from (8.10), together with the initial condition 1]o(x) = 0 we obtain
the further relation
i~
B(w) - C(w) = p(lwlg _ Q2) tli(w).
It is now an easy matter to determine tP(w, z, t); viz
_ itli(w) e1w1z { _Qe- Wt eit~ e-it~}

tP(w,z,t) - p 2
Q - Iw Ig + 2(Q + ~
Iwlg) + 2(Q - ~.
Iwlg)
Using the Fourier transform of (8.11) and noting that 8tPI8z = IwltP, we
obtain also the transform of the surface elevation as
H(w, t) = Iwltli(w) {e- int - cos

p(Q2 -Iwlg)
(t~)
(8.18)
+i ( J~lg) sin (t~) }.

Steady-State and Transient Solutions
The inversion integral for 1](x, t) is over real values of w, and it is evident
from (8.18) that there is no singularity at Q2 = Iwlg, although each of
the terms taken individually will lead to a singularity there. We will use
this fact to split 1](x, t) into two terms. One term (coming from the factor
exp( -iQt) in the large brackets) is the steady periodic response to the
periodic perturbation; the other, coming from the remaining two terms,
dies away as t increases. To do this, we first write the inversion integral in
the form
1](X, t) = 2~ 1 00
(H(w, t) e- iwx +H( -w, t) eiWX ) dw, (8.19)
and then deform the contour to the one shown in Figure 8.2 which avoids
the point w2 = Qlg. This enables us to consider the various terms in (8.19)
separately, and to define functions 1](S) (x, t) and 1](t) (x, t) by
1](x, t) = 1](S) (x, t) + 1](t) (x, t),
where
1](s) (x, t) = e-
Wt 1 w (tli(w) e- iwx +tli( -w) eiWX ) dw,
1Vw {
27fp C Q2 -wg
t _ 1 (e-iWX+itv'W§ e-iWx-itv'W§)
1]( )(x t) - - tli(w) - -.,----
, - 27fp C 2y'g Q + ..jWg Q - ..jWg (8.20)
eiWX+itv'W§ eiWx-it,;wg) }
+ tli( -w) ( - dw.
Q + ..jWg Q - ..jWg
Im(w)
w=Q/g C
Re(w)
FIGURE 8.2. Contour for (8.20).
Now we may show that for any fixed x, TJ(t) is of order rl provided that
lli(w) falls off sufficiently fast as w -t
00. To do this, we proceed as follows:
First, observe that the terms having the factor [2 + ...;wg as denominator
may be evaluated as real integrals, and are of order rl for large t by
Problem 2.1. Also, by the same consideration, the contribution from the
other two terms that come from integrating along portions of the real axis
are of order rl. If we denote the integral around the small semicircle by I,
the argument of w - [22/ 9 on the semicircle by ¢, and the minimum value
of 1[2- ...;wgl by .1, then we have the bound
III::; A i°7r etL1sin¢ d¢

(8.21 )
= (] (rI),
so that TJ(t) is indeed a transient term, and the steady-state is given by TJ(s).
Radiation Conditions
Suppose that ?jJ(x) = 0 for Ixl > a; then lli(w) is an analytic function which
grows no faster than exp(alwl) as Iwl -t 00. We may use this to estimate
TJ( s) (x, t) for large x, by deforming the integration contour to the imaginary
w-axis. If x > a, we deform the contour to the positive imaginary axis for
the term involving exp(iwx) , and to the negative real axis for the term
involving exp( -iwx). In the former case, we must also pick up the residue
at w = [22/ g. Hence,
For large x, the integral is of order x-I, leaving the second term as the
major contribution. 8 This describes travelling waves moving away from the
8The result follows from Watson's lemma.

disturbance at velocity 9 / n. Similar considerations show that for x large

and negative, we again have outgoing travelling waves.
Our separation of 1](x, t) into transient and steady-state solutions has
been quite tedious, and since we usually only want the steady-state com-
ponent, we now ask how this could be obtained directly. We therefore go
back to the original equations, and assume that the pressure perturbation
(8.16) is periodic for all t, -00 < t < 00. Consistent with this we must also
°
assume that all other functions have the time dependence exp( -int), which
is equivalent to putting B (w) = C (w) = in (8.17). This leads to functions
iJ>(w, z, t), H(w, t) which have poles on the real axis at w = ±n2/ g; conse-
quently the inversion contour must avoid these poles. What our analysis
of the transient terms has achieved has been to indicate the appropriate
choice of contour. We could have done this more easily, however, by one of
two methods:
(i) We could analyze the expression for 1](8) (x, t) obtained for the various
contour choices, and choose the contour that gives outgoing waves.
(ii) We could replace n by n + iE, so that the driving force is increasing
exponentially. By taking the limit E -+ 0, we then recover the correct
result. This procedure is known to physicists as "turning on the pertur-
bation adiabatically" since the effect of the exponential growth is that
there is no driving force for t -+ -00.
Either of these procedures is simpler than the above analysis; the condi-
tion that the steady-state solution has outgoing waves only is known as a
radiation condition.
Problems
8.1 Find the stationary temperature distributionu(x, y) of a semi-infinite
body y ;::: 0, if the boundary is held at the temperature
u(x,O) = {
T, Ixl < a,
0, Ixl > a.
8.2 Find the stationary temperature distribution u(x, y) of a quadrant x ;:::

°
0, y ;::: 0, if the face y = is held at zero temperature; the other face x = °
°
is thermally insulated for y ;::: b, while heat flows in at a constant density
H for ~ y < b. Find also the heat flow q(x, 0) through the face y = 0.
8.3 If a function u(x, y) satisfies Laplace's equation in the quadrant x ;::: 0,
y ;::: 0, and if it also satisfies the boundary conditions
ux(O, y) = f(y), y;::: 0,
u(x,O) = 0, x;::: 0,
Problems 141
then show that

21
uy(x,O) = - -
00
tf(t)
2 2 dt.
7r 0 x +t
8.4 Show that the solution ¢(x, y) of Laplace's equation in an infinite strip
-00 < x < 00, 0 ::; y ::; a, subject to the boundary conditions
¢(x,O) = f(x),
¢(x, a) = g(x),
is
¢( ) 1. (7rY) {Joo f(t)dt

x, Y = 2a sm ---;; -00 cosh 7r(x - t)/a - cos 7ry/a
+ J oo g(t)dt }
_oocosh7r(x-t)/a+cos7ry/a'
Use Problem 7.3(viii).
8.5 Solve Problem 8.4 in the special case
f(x) = g(x) = {
Vo, Ixl < b,
0, Ixl > b.
8.6 Investigate the solutions of Laplace's equation in the semi-infinite strip

o ::; x ::; 00, 0 ::; y ::; a, using the Fourier sine or cosine transform as
appropriate to the boundary condition at x = O.
8.7 The end of a semi-infinite cylinder 0 ::; r ::; a, 0 ::; z ::; 00 is held
at constant temperature To, while the cylindrical surface is held at zero
temperature. Show that the steady temperature distribution is given by
urz
(
,
_ rro {
) - 101-- 21
7r 0
00
1o(wr)
- ---
10 (wa)
- - dw }
sinwz
w '
where 1o(x) is a modified Bessel function.
8.8 Consider Problem 8.7 if the first boundary condition is replaced by
ux(O, t) = f(t), t> 0,

using the cosine transform.
8.9 By taking the Fourier sine transform in x, solve the one-dimensional

diffusion equation
a2 u 1 au
ax 2 ;, at'
on the line x ~ 0, subject to the boundary conditions
u(O, t) = !(t),
u(x, 0) = g(x),
8.10 Show that, if in considering (8.21) we took the contour around the
pole on the other side, the conclusion regarding 1](t) would be invalid.
8.11 Consider waves on water of finite depth h generated by an initial

displacement 1]0 (x) of the surface elevation. In particular, investigate the
asymptotic form of the solution if
() 1/2a, Ixl < a,

1]0 x ={
0, Ixl > a.
8.12 Consider (two-dimensional) waves on a stream of uniform depth h,
whose unperturbed motion is a uniform velocity U in the positive x direc-
tion. Then the velocity potential may be written as Ux + ¢(x, z, t) and the
free surface conditions, after linearizing, are
E + g1] + 8¢ + U 8 ¢ = 0,
p 8t 8x
81] + U 81] _ 8¢ = 0.
8t 8x 8z
Show that, if p(x, t) = p(x) cos nt, t > 0, with the motion undisturbed
initially, then the following behavior is predicted: 9
(i) If u 2 > gh, the disturbance dies out both upstream and downstream
of the region where p(x) is nonzero.
(ii) If U 2 < gh, the disturbance dies out upstream, but at any down-
stream point there is, after sufficient time has elapsed, a steady periodic
disturbance.
9This problem is considered by KK Puri, J. Eng. Math., 4 (1970), 283.

9
Generalized Functions
The subject of generalized functions is an enormous one, and we refer to

one of the excellent specialized books l for a full account of the theory.
We will sketch in this chapter some of the more elementary aspects of the
theory, because the use of generalized functions adds considerably to the
power of the Fourier transform as a tool.
9.1 The Delta Function

Generalized functions have their origin in Dirac's delta function, denoted
15(x - xo), which is typically defined in books on quantum mechanics by
"15(x - xo) is zero everywhere except at x = xo, where it is
infinite; moreover, it has the property that
[ : f(x)15(x - xo) dx = f(xo), (9.1)
for any function f(x) which is sufficiently well behaved."

Now it is evident that this definition is inconsistent, since if 15(x - xo) is a
function in the ordinary sense, then J 8 (x - xo) f (x) dx is zero regardless of
whether or not 15(x - xo) is infinite at x = Xo. Thus, if we wish to use (9.1),
IFor example, Gelfand and Shilov [27], Hoskins and Sousa Pinto [29], Kanwal
[31], and Zemanian [76].
144 9. Generalized Functions
we must generalize the concept of a function so as to give the formula a

precise meaning.
In the applications of mathematics to physical problems, functions are
used to represent variables. For example, E(t) might represent a voltage
at time t. Now it is impossible to observe the instantaneous value of a
voltage; rather we can measure the effect of the voltage acting during a finite
time interval. To consider a concrete example, suppose that the measuring
process is a linear sample over a finite time interval T; then the measured
value E(t) is
E(t) = foT k(s)E(t-s)ds. (9.2)
In this situation, E(t) may not be recovered for any choice of a smooth
sampling function k(t), and so a theory that deals with values of E(t)
directly would be sufficient. The essential difference between using E(t )
and E(t) is seen more clearly by setting t = 0 in (9.2), for then we see
that E(O) is a function of the functions k(t) and E(t). Functions that act
on functions rather than numbers are usually called functionals; E(t) is
a functional, assigning a value E(t) at each t depending on the pair of
functions k(t) and E(t).
Other examples of functionals are the Fourier and Laplace transforms.
The Fourier transform, for instance, assigns the value F( w) to the function
pair f(x), exp(iwx). The essential difference between these examples, and
the generalized functions we are about to define, is that we may evaluate
the functionals by classical integration theory. We have already seen that
there is no such interpretation possible for (9.1); rather we must define the
delta function by
L[f] = f(xo),
instead of (9.1). This we will now proceed to do, but using a more conve-
nient notation.
9.2 Test Functions and Generalized Functions

We begin by defining the domain of our generalized functions, that is, we
define the functions, called test functions, on which the functionals act. We
choose the set of all complex-valued functions of a real variable having the
following properties:
(i) Each function ¢(x) has derivatives of every order for all x.
(ii) Each function ¢(x) has compact support, that is, it is zero outside
some finite interval a < x < b, which will depend on the test function.
This set of test functions is usually referred to as D.2 An example of such

a test function is
¢(x) = { e
-1/(1-x2)
, Ixl < 1, (9.3)
0, Ixl ?: 1.
Note that any function of a complex variable identically zero for Ixl > a,
for some finite a, must have essential singularities at points on the real axis.
The conditions imposed on the test functions are very restrictive, so it is
reassuring to note that for any continuous function f(x) which is absolutely
integrable, there are test functions that are arbitrarily close, that is, for any
E > 0 we may find a test function 'IjJ(x) such that
If(x) - 'IjJ(x) I < E, -00 <x< 00. (9.4)
Such a function may be constructed as follows. Let 1/ be chosen so that

If(x)1 < E for Ixl > 1/, and then let the normalized functions ¢a(x) be
constructed from the function ¢(x) of (9.3) by
¢(x/a)
(9.5)
¢a(t) = J~oo ¢(x/a) dx'
Then it is not difficult to show that the functions 'ljJa(x) defined by
are test functions, and that we may choose aa so that for all a> aa, 'ljJa(X)
satisfies (9.4).
Properties of Test Functions

Some of the simplest and most useful properties of our test functions are
as follows:
(i) They form a linear space, in particular this means that a finite linear
combination of test functions is again a test function.
(ii) If ¢(x) is a test function, and f(x) an infinitely differentiable function,

the product f(x)¢(x) is again a test function.
(iii) Their Fourier transforms have a particularly simple form.
2 Another important possibility for a choice of test functions is the set S of

infinitely differentiable functions that fall to zero faster than any power of l/x
as Ixl --+ 00. This includes the set D, but also includes analytic functions such as
exp( _x 2 ). The reason for our choice of D will become apparent in a moment.
Fourier Transforms of Test Functions

Suppose that ¢(x) = 0 for Ixl > a; then the Fourier transform reduces to a
finite integral,
Now this integral may be differentiated with respect to w, so it is an entire

function. Moreover, if we write w = (j + iT
so that p(w) is an entire analytic function whose growth for large Iwl is
bounded by an exponential function. Conversely, given any function p(w)
with these properties it is easy to show that it is the Fourier transform of
a test function. This space of Fourier transforms is usually denoted Z. 3
Linear Functionals
A (complex-valued) function f of a real variable -00 < x < 00 may be
defined as a rule that assigns a complex number (the value f (x)) to each
real x. Now the key to the theory of generalized functions is that this
concept be relinquished in favor of a less restrictive one so that (9.1) may
be given a precise meaning. This is afforded by the concept of a linear
functional, that is, a rule, denoted (1, ¢), which associates with every test
function ¢( x) some complex number satisfying the condition
(1, a¢ + (3'lj;) = a(1, ¢) + (3(1, 'lj;),

where ¢(x), 'lj;(x) are test functions and a, (3 are arbitrary constants. The
vital point to note is that a linear functional has values for each test func-
tion, not for each value of x. An important class of linear functionals is the
I:
following: let f(x) be any function that is integrable; then we define (1, ¢)
by
(1, ¢) = f(x)¢(x) dx. (9.6)
Generalized Functions
Since the concept of continuity is of prime importance in the theory of
ordinary functions, we define a similar concept for linear functionals. We
will say that the sequence ¢n (x) of test functions converges to zero if there
3This is why we choose to use D; Fourier transforms of functions in D form

a different linear space Z with quite different and extremely useful properties,
whereas Fourier transforms of functions in S are again in S.
is some interval Ixl :::; a outside which all the ¢n(x) vanish, and inside
which they converge to zero uniformly. Further, we will say that a linear
functional (I, ¢) is continuous if the sequence of values (I, ¢n) tends to zero
whenever the sequence of test functions ¢n(x) converges to zero. Finally, we
define generalized functions as the set of all continuous linear functionals
acting on a set of test functions. In particular, (9.6) defines a generalized
function for any integrable function f(x), since it is easy to show that it
is continuous. 4 Functionals of this type, which correspond to an ordinary
integrable function, are said to be regular generalized functions. 5 All others,
for example, the delta function, are said to be singular.
If we denote the delta function by o(x-xo)-a convenient and suggestive
notation although it is not a function-then we retain its essential property
by defining it by
(8(x - xo), ¢) = ¢(xo).
It may readily be seen that this defines a continuous linear functional, that
is, a generalized function.
Addition and Multiplication

Suppose that f and g are generalized functions and that 1/J(x) is infinitely
differentiable (but not necessarily a test function). Then we define the gen-
eralized function f + g and 1/J f by
(I + g, ¢) = (I, ¢) + (g, ¢),

(1/Jf,¢) = (I,1/J¢).
The second definition is possible because 1/J¢ is a test function. As an ex-
ample we define the generalized function x8(x) via
(xo(x), ¢(x)) = (o(x), x¢(x))

= O· ¢(O),
which we write symbolically as
xo(x) = 0, (9.7)
4By some standard theorems of classical analysis, we may write the series of
inequalities
and if the sequence f/1n{X) converges to zero, so must the right-hand side of this
inequality.
5Thus, the functional E{t) discussed in Section 9.1 is regular.
148 9. Generalized FUnctions
°
since the zero generalized function maps every test function to zero. This
shows that the equation xf(x) = has as one possible solution f(x) =
A8(x), where A is an arbitrary constant. This is quite different from the
situation with ordinary functions, for which the solution of (9.7) would be
f(x) = 0, x =1= 0, f(O) = A, giving the zero generalized function when this
is substituted in (9.6), regardless of the value of A.
Generalized Functions over Finite Intervals

The test functions considered above are defined in the infinite interval
-00 < x < 00. It is sometimes useful to use a finite interval a ::; x ::; b; in
this case the addition restriction q;(nl(a) = q;(nl(b) = 0, n = 0,1,2, ... , is
applied. This ensures that the generalized functions have the same proper-
ties, whether or not the interval is finite.
9.3 Elementary Properties

The manipulations of functions that are commonly useful in applied math-
ematics-such as differentiation, infinite summation, changes of order of
limiting processes-are accompanied by various restrictions for their va-
lidity. Nevertheless these conditions are often ignored in applications; for
example, the delta function arose from the interchange of orders of integra-
tion in quantum mechanics. We shall show in this chapter that the natural
extensions of everyday concepts from functions to generalized functions
leads to the lifting of many restrictions, which is why generalized functions
find so many applications.
Transformation of Variables
Given an integrable function f(x), we may define a regular generalized
function by (9.6). Suppose, however, that we wish to use the composite
function f(g(x)), where g(x) is an infinitely differentiable monotonically
increasing function satisfying g(x) --+ ±oo as x --+ ±oo. We may relate the
i:
two generalized functions by
i:
(1(g(x)), q;(x)) = f(g(x))q;(x) dx
(9.8)
= {J(g)q;(x(g))jg'(x(g))}dg
= (1(g) , ,¢(g)),
where
,¢(g) = q;(x(g)) .
g'(x(g))
Because of the properties of g(x), x(g) exists and is infinitely differentiable,

and thus 'IjJ(g) = cp(x(g))jg'(x(g)) is a test function of g, so that the last
line gives the meaning of f(g(x)) in terms of f(x).
Now we may use this relation to define the meaning of f(g(x)) when
f (x) is a singular generalized function; if f (x) symbolically represents such
a generalized function, then f(g(x)) is defined by (9.8) also. In this case, the
intermediate calculations have no significance as the steps in an argument,
rather they lead to a final result that is true by definition. As an example,
8(g (x)) is the functional
(8(g(x)), cp(x)) = cp(a)jg'(a),
where a is the unique solution of g( a) = O.
Differentiation
We again commence with a regular generalized function f, where the func-
tion f(x) has a first derivative that is also integrable. Then we may define
the generalized function f'(x) by (9.6), and relate it to the original gener-
I:
alized function by integrating by parts, viz.
I:
(f', cp) = f'(x)cp(x) dx
= - f(x)cp'(x) dx
= -(f, cp').
Now we define the derivative of an arbitrary generalized function by
(f', cp) = -(f, cp'); (9.9)
I: I:
by an abuse of notation we also denote this by
f'(x)cp(x) dx = - f(x)cp'(x) dx. (9.10)
If f does not satisfy the conditions for validity of integration by parts in the
classical framework, then (9.10) is a symbolic way of writing the definition
(9.9). It emphasizes the important principle that we define the properties
of generalized functions so that desirable manipulations are always valid.
Example 1
Consider the Heaviside step function, h(x), which has the value unity for
x > 0 and zero for x < O. In the ordinary sense it may not be differentiated,
i:
but as a generalized function this causes no trouble. From (9.10), we have
00
h'(x)¢(x) dx = - 100 h(x)¢'(x) dx
= ¢(O),
which is the defining relation for the delta function; hence,
h'(x - xo) = J(x - xo). (9.11)
Example 2
Using (9.11), we may differentiate a function~in the generalized sense----
whose only problem is a finite number of finite discontinuities. We have
represented such a function schematically in Figure 9.1; in precise terms,
we assume that we may write
n
f(x) = h(x) + LAkh(X - Xk),
k=l
where h (x) is continuous and piecewise differentiable, and the constants

Ak are the jumps at the discontinuities of f. Then we have
n
J'(x) =f{(x) + LAkJ(x-Xk) (9.12)
k=l
for the generalized function. It is irrelevant what values are assigned to

!'(Xk), should ff not be defined there in the classical sense, since h is a
regular generalized function.
Convergence Properties
A sequence of ordinary functions fv(x) is said to converge to the function
f(x) iffor each x the values fv(x) converges to the value f(x). Similarly, we
shall say that the generalized functions fv(x) converge to the generalized
function f(x) iffor each test function ¢(x) the values (Iv, ¢) converge to the
value (I, ¢). This definition is the same for integer values of v or continuous
values of v. We give two examples:
(i) Let
f,(x) = e-'x h(x), E > O.
Then, for any test function,
lim
,-+0
1 00
-00
f,(x)¢(x) dx =
10roo ¢(x) dx;
hence, we write
lim f,(x)
,-+0
= h(x).
~: I
'\ I x
FIGURE 9.1. Piecewise differentiable function.
(ii) Let
!v(x) = {I/'0,
Ixl ::; 1/2v,
Ixl > 1/2v.
Then we have, for any test function,
lim
v-+oo
1
00
-00
!v(X)¢(X) dx = lim
v-+oo
1/
11/2v
-1/2v
¢(x) dx
= ¢(O),
which may be written as
lim fv(x)
v-+oo
= o(x).
This example shows that a sequence of regular generalized functions may
converge to a singular generalized function. Other simple examples may be
found in Problem 9.5.
Regular and Singular Generalized Functions

We will state here two important facts without proof.6 First, if a sequence of
generalized functions converges, then it converges to a generalized function.
Second, every generalized function is the limit of a sequence of regular
generalized functions. As an example of the first property, we mention the
generalized function X-I. This has no meaning as a regular generalized
function, since the integral
diverges. However, the functions
_ { 1/x, Ixl > f,

fE (x ) -
0, Ixl ::; f,
6See Gelfand and Shilov [27].

define regular generalized functions, and the limit E ---+ 0 is also defined for
all test functions. Hence we may define the singular generalized function
1
x- 1 by
100
00 ¢(x) dx = lim
x E-+O Ixl>E
¢(x) dx,
x
and this is well known as the principal value of the integral, already en-
countered in Section 7.4.
Differentiation of Sequences
For any convergent sequence of generalized functions, and any test function
¢, we may write
lim(f~, ¢) = -lim(fv, ¢')
v v
= -(f, ¢') (9.13)

= (f', ¢).
Hence, we may interchange the order of taking a limit and differentiating.
In particular, if fv is the partial sum of an infinite series, whose sum is f,
then (9.13) shows that we may differentiate term-by-term.
As an example, consider the series
1 1
f(x) = sinx + "2 sin2x + "3 sin3x + "', (9.14)
which converges to a function f (x) equal to (7r - x) /2 for 0 < x < 27r, equal
to zero for x = 0, and periodic with period 27r for other real x. The series
converges to the regular generalized function f (x). One way to show this
is to note that the function defined by
7rX x2
g(x) = 2 - 4'
and extended the the real axis by g( x + 27r) = g( x), is continuous and
piecewise differentiable, and that f (x) = g' (x) in the sense of generalized
functions, even though g' (x) is not defined in the classical sense for x =
(2n + 1)7r. Moreover,
9 x - ( ) _L
oo 1 - cos nx
n2
,
n=l
which is uniformly continuous, so that the order of integration and sum-
mation may be interchanged, making it an equality of generalized function.
Equation (9.14) follows immediately by differentiation of generalized func-
tions.
Differentiating term-by-term once more, we obtain the further relation
1
L
00
"2 + cos x + cos2x + cos3x + ... = 7r 8(x - 27rn).

n=-oo
9.4 Analytic Functionals 153
Unlike (9.14), this does not converge in the classical sense. If we apply this
to a test function ¢(x), with Fourier transform <1>(w), then on writing the
cosine as a sum of complex exponentials we obtain
L L
00 00
<1>(n) = 27r ¢(27rn),

n=-oo n=-oo
which is known as the Poisson summation formula. 7

Again, consider the functions ge(x) = In Ixlh(lxl - E), which converge
to the integrable function In Ixl as 10 ---+ O. Now g~(x) = h(lxl - E)/X +
In 10 {0(x - E) - 0 (X + E)}, and on taking the limit 10 ---+ 0 we readily show
that
lim(g~(x),¢(x)) = (.!:.,¢(x)).
e-+O X
(9.15)
This gives d(ln Ixl)/dx = l/x. Furthermore, we may apply this result to
In(x + iy), y > 0, where the branch of the logarithm is defined by
In(x + iy) = ~ In(x 2 + y2) + iarctan(y/x). (9.16)
Now as y ---+ 0, the function In(x+iy) converges to a function f(x) defined

by
f(x) = In Ixl + i7rh( -x).
Differentiating, and using (9.15), we obtain the useful results
lim _1_.
y-+ox+~y
=.!:. - i7ro(x),
X
(9.17)
where the generalized function X-I is the principal value integral when
applied to a test function.
9.4 Analytic Functionals

We have already shown that the Fourier transform of a test function is an
entire analytic function of w, which grows at most exponentially for large
Iwl. Let <1>(w) be such a function; then it is the Fourier transform of some
test function ¢( x). Hence, for real w we may write
Ii:
i:
1<1>(w) I = ¢(x) eiwx dxl
< 1¢(x)1 dx
=A,
7See Problem 7.5.

8The proof is easy because (9.15) and (9.16) are both regular, whereas to
prove (9.17) directly is more difficult.
so that <:l>(w) is bounded as Iwl -+ 00. Moreover, the nth derivative of ¢(x) is
also a test function, so its Fourier transform is bounded for real w. Applying
(7.13a), this means that
n = 0,1,2, ... ,
that is, the functions <:l>(w) fall off faster than any finite power of w. Also,
by using (7.13b) we see that <:l>(w) is infinitely differentiable. Thus we may
use this set of functions 9 to set up generalized functions exactly as for the
original test functions, and all the properties we have proved above will
again apply. 10 In particular, regular generalized functions corresponding
to (9.6) may be constructed; for integrable functions F(w), we write
(F, If/) = [ : F(w)lf/(w) dw.
A particularly useful class of generalized functions over the test functions

If/(w) makes use of the fact that the latter are entire analytic functions.
Then we define an analytic functional as
(G, If/) = l G(w)lf/(w) dw,
where r is a given contour whose specification is an integral part of the

definition of G.
Examples
(i) Consider the function G(w) = (w - wO)-l, where Wo is real. We may
use it to define two different analytic functionals, namely,
(G+, If/) = l ia oo
+ If/(w) dw,
l-
ia-oo W - Wo
ia + oo If/(w)
(G_,If/) = --dw,
-ia-oo W - Wo
where a > 0. From the property of residues, we see that
which is written, in the notation of generalized functions, as
9It is interesting to note that D and Z are both subspaces of S, although D

and Z have no functions in common except zero.
10 Generalized functions defined over Z are sometimes called ultradistributions,
in distinction from generalized functions over D, which are called distributions.
9.5 Fourier Transforms of Generalized FUnctions 155
(ii) Stemming from the last example, we consider the functional

_1 f 4>(w) dw
(9.18)
27fi Jc w - a '
where C encircles the point w = a in a positive direction. From residue
theory, the value of the integral is lJi"(a)j hence, (9.18) is the generalized
function 8(w - a). Analytic functionals are thus seen to encompass a
wider class of generalized functions than regular functionals, at least in
some respects.
(iii) The function exp(w 2 ) may be used to construct the analytic func-
tional
fiOO
(F,4» = Lioo e w2
4>(w) dw.
9.5 Fourier Transforms of Generalized Functions

The concept of the Fourier transform of a generalized function is a very
powerful one, and has many practical applications. To motivate the defi-
nition, we first consider those regular generalized functions that are con-
structed from ordinary functions having a Fourier transform for real w.
Then Parseval's relation (7.17) may be applied in either of two ways, viz.
fOO 1 foo
Loo J(x)¢(x) dx = 27f Loo F(w)4>( -w) dw,
1 00
-00
J(x)¢( -x) dx = - 1
27f
1 00
-00
F(w)4>(w) dw.
(9.19)
The integrals on the right-hand side are particular types of analytic func-
i:
tionals, so we introduce the notation
(F,4» = F(w)4>(w)dw.
Now (9.19) is a correspondence between generalized functions over the test

function ¢(x) and generalized functions over their Fourier transforms 4>(w).
In the appropriate notation, we have
(F,4>(w)) = 27f(f,¢(-x)), (9.20a)
and
(F,4>(-w)) = 27f(f,¢(x)). (9.20b)
Either of these relations will define a generalized function F correspond-
ing to a generalized function J, even if J is not regular. Therefore we use
(9.20) to define the Fourier transform of any generalized function. Thus
by definition every generalized function J has a Fourier transform in this
sense. We consider some simple examples:
(i) Fourier transform of the delta function. Let
f(x) = J(x - xo),

then (F,p(w)) = 27r¢(-xo), and on using the Fourier inversion theorem
I:
to represent ¢( -xo) we obtain the analytic functional l l
(F,P(w)) = p(w)e+ iwxo dw.
(ii) Plane wave. If
I:
then (9.20) gives
(F, p(w)) = 27r ¢( -x) e- iwox dx
= 27rP(wo),
which is equivalent to F = 27rJ(w - wo). From (9.18) above, we may also
write F as an analytic functional, even though it is a singular generalized
function.
Elementary Properties
Because of the restriction on the test functions, we may apply (7.13) re-
peatedly to obtain
F[¢(n)(x)] = (-iw)np(w),
(9.21)
F[(ixt¢(x)] = p(n)(w),
for arbitrary n. We use these results to show that they also apply to arbi-
trary generalized functions. Considering first the derivatives of the gener-
alized function f(x), (9.21) yields
27r(f(n) (x), ¢(x)) = 27r( -It(f(x), ¢(n) (x))

= (-l)n(F(w), (iw)np( -w))
= (( -iw)n F(w), p( -w )).
l1lf we ignore the fact that exp(iwx) is not a test function and write
1 00
-00
eiwx u"( X - xo ) d x = e iwxo ,
then we lose essential information regarding the contour of the analytic functional.
We shall see the importance of retaining such information in the next chapter,
since it is often equivalent to specifying boundary conditions at infinity.
Problems 157
Comparison with (9.20b) shows that (-iw)n F(w) is the Fourier transform
of fCn)(x). A similar argument shows that FCn)(w) is the Fourier trans-
form of (ix)n f(x). These are the natural extension of (7.13) to generalized
functions.
Another important property of Fourier transforms follows directly from
the definition. Suppose the sequence of generalized functions fv(x) con-
verges; then the sequence of Fourier transforms Fv also converges. This is
frequently useful in finding the Fourier transform of a singular generalized
function as we shall show by example. For, if
f(x) = 8'(x),
then
Again, if
(F, if?) = i: (-iw)if?(w) dw.
f(x) = x,
then
F(w) = -iw8'(w).
As a slightly less trivial example, consider
f(x) = e- iwQx h(x),
where h(x) is the unit step function. Now the simplest way is to define the
regular generalized functions f€(x) = exp( -Ex)f(x), E > 0, and then take
the limit E -+ O. In this way, we obtain
(F, if?) = lim Joo iif?(w). dw

+ 2E
-1
€--+o -00 W - Wo
- iif?(w) dw,
c W-Wo
where the contour C is parallel to the real axis, and passes above the
singularity at w = Wo.
Problems
lb
9.1 Show that
¢(x) = ¢a(x - y) dy,
where ¢a is defined by (9.5), is a test function, and that
¢(x) = 1, a+a < x < b- a.

9.2 Show that if f(x) is infinitely differentiable, there is a test function

with the property
¢(t) = f(t), a < t < b.
9.3 Show that if two regular generalized functions are equal, meaning that
(I, ¢) = (g, ¢) for all ¢, then at any point where f(x) and g(x) are contin-
uous functions,
f(x) = g(x).
9.4 Show that:
(i)
a
-8(Ctx) = --8(x).
1
aCt Ct 2
(ii)
~8'(Ctx) = -~8'(x).
aCt 3 Ct
(iii)
f(x)8(x) = f(O)8(x).
(iv)
f(x)8'(x) = -J'(O)8(x) + f(O)8'(x).
(v)
8(e aX -/3) = ~8
Ct/3
(x _In/3). Ct
9.5 Verify the following limits of regular generalized functions to singular

generalized functions: 12
(i)
lim
a-+oo 10r coswxdw = 7r8(x).
(ii)
l/ 2 2
lim . (;;;. e- v x = 8(x).
v-+oo V 7r
(iii)
lim ~ e- a1xl = 8(x).
a-+oo 2
12 Such relations are the basis of simpler treatments, such as Lighthill [38]. The
desire to formalize limit interchange operations was also one of the motivations
for the development of the theory.
Problems 159
9.6 Consider the Fourier series
where
n =I- 0, k > O.
Show that, if p ~ k +2
L
00
aneinx = ao + f{p) (x),

n=-oo
where 00
f(x) = " ~einx .

L...J (in)p
n#O
n=-oo
9.7 Evaluate, as a generalized function,
m>O.
9.8 Verify the following identities of generalized functions:

(i)
m<n,
m~n.
(ii)
(iii)
r 8(x + Ll) - 8(x) - 8'( )
.l~o Ll - x.
9.9 Consider the regular functional x~ defined by13
Re('x) > -1.
13Regularization of integrals involving the factor x A is treated at length in

Gelfand and Shilov [27].
Show that, for Re()..) > -n - 1, analytic continuation in ).. yields
(x~,¢) = 1
o
1
x A ( ¢(x) - ¢(O) - x¢'(O) - ... _ x n ¢(n-l)
(n-1)!
- l(0)
) dx
+1
00 n ¢(k-l)(O)
1 XA¢(X) dx + {; (k _ I)! ().. + k)"
9.10 Show that
)"~0,-1,-2, ....
9.11 The generalized function x~ is defined by
Re()..) > -1,
and by analytic continuation for Re()..) < -1. Show that the generalized
functions (x ± iO)A are related to x~ by
and that they are entire functions of )...
9.12 The generalized function X-I was defined in Section 9.3 as the prin-
cipal value integral, and we showed that
(x ± iO)-1 = X-I =F i1fl5(x).
We could define x- n by differentiating this expression, viz
Derive an explicit formula for x- n , and in particular show that
(i)
(x-n "') = 1 (x- 1 ",(n-l))
,,{-, (n-1)! ,,{-, ,
(ii)
(x- 2 , ¢) = roo ¢(x) + ¢( -:) - 2¢(0) dx.
io x
Problems 161
9.13 Show that the general solution of
is
m-l
f(x) = L Gk 8(k)(X),
k=O
where Gk are arbitrary constants. (First show that, if ¢(x) is an arbitrary

test function, and 'IjJ(x) is a test function satisfying 'IjJ(0) = 1, and 'IjJ'(0) =
'IjJ"(0) = ... = 'IjJ(m-l) (0) = 0, then
m-l Xk¢(k) (0)

X(x) = ¢(x) - 'IjJ(x) L k! '
k=O
is also a test function, for which (j, X) = 0.)
9.14 Verify the following Fourier transforms:
(i)
i
F[h(x)] = 1f8(w) + w-.
(ii)
F [e aX ] = 21f8(w - ia).
(iii)
F[sinax] = -i1f{8(w + a) - 8(w - an.
(iv)
F [x~] = ±i e±i7rA/2 A! (w ± iO)-A-l.
(v)
(vi)
(vii)
(viii)
'm
T
.r
[
X
-m] = ~
(m _ l)!w
1f m-l
sgmw.
9.15 Prove that every ultradistribution 14 has the convergent Taylor series
+ a) = L
00 n
F(w ;F(n)(w),
n.
n=O
for all a.
9.16 Using the Taylor series for the exponential function, show that
F [e aX ] = 27rO(w - ia).
14See footnote 10 on page 154.

10
Green's Functions
One approach to the solution of nonhomogeneous boundary-value problems

is by means of the construction of functions known as Green's functions.
Historically, the concept originated with work on potential theory pub-
lished by Green in 1828. Green's work has provided the germs of a much
wider formulation for solving a variety of eigenvalue, boundary-value, and
inhomogeneous problems, particularly since the advent of generalized func-
tions. We shall not attempt a systematic treatment in this book; rather we
will discuss problems and methods where integral transform techniques are
useful.! In particular, we will discuss in this chapter problems where the
Fourier transform in one variable is applicable.
10.1 One-Dimensional Green's Functions

We consider the linear second-order equation
L[y] = p(x)y"(x) + q(x)y'(x) + r(x)y(x)

(10.1)
= f(x),
lExcellent accounts may be found in Morse and Feshbach [41], Chapter 7, and
Stakgold [57].
164 10. Green's Functions
where the coefficients p(x), q(x), r(x) and the function f(x) are given. If
we impose on the solution y(x) the boundary conditions
aly(a) + a2y'(a) = 0,
(10.2)
b1y(b) + b2 y'(b) = 0, a < b,
then we have a two-point boundary-value problem of a type quite common
in applications. Any two solutions of this problem differ by a solution of
the homogeneous problem
L[y] =0, (10.3)
together with the boundary conditions. If the homogeneous problem has
no solution other than y(x) == 0, then it follows that the original problem
can have only one solution, which we will now construct.
Let UL(X) be the solution of the homogeneous problem (10.3) satisfy-
ing the boundary condition at the left-hand boundary x = aj udx) is
unique up to normalization. Similarly, let UR(X) be the solution satisfying
the boundary condition at the right-hand boundary. The functions UL(X),
UR(X) cannot be linearly dependent, since there are no solutions of (10.3)
satisfying both boundary conditions. We may therefore use these func-
tions to construct a solution of the original boundary-value problem by the
method of variation of parameters. We write
(10.4)
where we must determine suitable functions VL(X) and VR(X). We have a

considerable degree of freedom in choosing these functions. Following the
usual procedure we require that
v~(x)udx) + Vk(X)UR(X) = 0. (10.5)
Substitution of (10.4) and (10.5) into (10.1) yields
, UR(X)
VL(X) = - p(x)W(x/(x),
, UL(X) (10.6)
VR(X) = p(x)W(x/(x),
W(x) = udx)uk(x) - UR(X)U~(x).
W(x) is the Wronskian of the two solutions. 2 We must also satisfy the
boundary conditionsj from (10.4) we may write these as
vdb) = 0,
2In complete detail we should write W [UL, UR] (x), but we will use abbreviated
notations whose meaning should be apparent from the context.
10.1 One-Dimensional Green's Functions 165
Hence, we may integrate the expressions given in (10.6) to obtain
(10.7)
Equations (10.4) and (10.7) may now be combined to read
where
x <~,
(10.8)
x >~.
The function g(x,~) thus defined is known as the Green's function for the
given boundary-value problem. It is unique, since the Wronskian W(~)
carries the same normalization as the functions in the numerator.
Adjoint Problem
Suppose u(x) and v(x) are two functions twice differentiable but otherwise
arbitrary. Using integration by parts, we have the identity
lb v(x)L [u(x)] dx = lb v (pu" + qu' + r) dx (10.9)
= lb u {(pv)" - (qv)' + rv} dx + [p(vu' - uv') + uv(q - p')]~.

This process has introduced a new differential operator, which we denote
by Lt. It is defined by
Lt[v] = (pv)" - (qv)' + rv.

We also define adjoint boundary conditions as follows: v(x) satisfies the
adjoint boundary condition to (10.2) if
lb vL[u] dx = lb uLt[v] dx,
for every u(x) satisfying (10.2). Using (10.2) and (10.9), this is equivalent
to the boundary conditions
{alp(a) + a2P'(a) - a2q(a)} v(a) + a2p(a)v'(a) = 0,
(10.10)
{b1P(b) + b2P'(b) - b2q(b)} v(b) + b2P(b)v'(b) = O.
Finally, we say that the boundary-value problem Lt[v) = f subject to the

conditions (10.10) is the adjoint problem to (10.1) and (10.2).
We will denote the Green's function for the adjoint problem by 9 t (x, ~).
It may be constructed by the same procedure as was followed for g(x, ~);
we now proceed to do this. First note that (Problem 10.1) the left-hand
and right-hand solutions to the homogeneous adjoint problem are related
to udx) and UR(X) by
t _ UL(X)
uL(x) - p(x)W(x)'
(10.11)
ut (x) _ UR(X)
R - p(x)W(x)
Also, the Wronskians are related by p(x)wt(x) l/p(x)W(x). Hence,

from (10.8) we have
ul(x)ut(~) x <~,
p(~)wt(~) ,
gt(x,~) =
ut(x)ul(~ x >~,
p(~)wt(~) ,
= g(~, x).
Thus, the two Green's functions are related quite simply by 9 t (x,~)
x), a natural extension of the (real) matrix adjoint.
g(~,
Self-Adjoint Systems
If the boundary-value problem is identical with its adjoint, it is said to be
self-adjoint. It is readily seen from the foregoing that the necessary and
sufficient condition for this is q = p', so the most general such problem
involves the self-adjoint differential operator
L[u] = (pu')' + ru,
together with the self-adjoint boundary conditions (10.2). The Green's
function for such problems has the important property of symmetry; explic-
itly g(x,~) = g(~, x). Furthermore, since we may easily show (Problem 10.2)
that Ll = p(x)W(x) is a constant, (10.8) simplifies to
x <~,
x >~,
in the self-adjoint case. These results are often of practical importance as a

step in the process of constructing Green's functions for partial differential
equations.
10.2 Green's Functions as Generalized Functions 167
10.2 Green's Functions as Generalized Functions

We restrict our comments in this section to Green's functions for problems
over an infinite range, that is, the boundary conditions (10.2) are taken in
the limit a -+ -00, b -+ 00. Obviously, g(x, e) defines a generalized function
that depends on a parameter x, viz.
(g(x, e), ¢(e)) = [ : g(x, e)¢(e) df,.
Let us consider the differential equation for g(x, e). We operate on the
function y(x) = (g, ¢) with L, then by (10.8),
[ : L[g(x, e)]¢(e) de = ¢(x),
which may be written as

L[g(x, e)] = 8(x - e)· (10.12)
We have derived (10.12) from the original definitions for L and g; however,
we may consider the reverse process. Instead of beginning with g(x, e) as
a given function, we ask for solutions of (10.12) subject to the boundary
conditions
lim {alg(X,e) + a2gx(X,en = 0,
x--+-oo
lim {b1g(x,e)
x--++oo
+ b2g:z:(x, e)} = o.
Now it may be shown that if p(x) =f 0, -00 < x < 00, then the only
solutions of the homogeneous problem L[g] = 0, where 9 is a generalized
function, are the solutions in the ordinary sense. 3 Since we have assumed
that there are no such solutions, the Green's function, if it exists, will be
unique. Using (10.8), we therefore write
UdX)UR(e) UR(X)UL(e)
g(x, e) = p(e)W(e) h(e - x) + p(e)W(e) h(x - e)·
We may apply the operator L to this generalized function directly using
the results of Section 9.2, and show that it satisfies (10.12).
Fourier Transform
This viewpoint is particularly useful if the operator L is sufficiently simple
for the Fourier transform to be of use. As an example, we consider the
(::2 -
equation
a2) g(x, e) = 8(x - e), (10.13)
3That is, they are the regular functionals constructed from the usual solutions.
Im(ro)
Re(ro)
leaving aside the question of boundary conditions temporarily. On taking

the Fourier transform, we have
(10.14)
In addition, there is a restriction on the contour of inversion, which is

brought about by the fact that the Fourier transform of 8(x -.;) is not the
function exp(iw';), but an analytic functional whose contour begins at w =
-00 and ends at w = +00. Now this information is insufficient to specify
the Fourier inversion integral for G(w, .;), since there are poles at w = ±ia.
The choice of contour with respect to these poles is equivalent to a choice of
boundary conditions, and is in no way restricted or determined by (10.13)
and (10.14), which have in fact yielded all their available information. We
illustrate by constructing three examples from (10.14).
(i) If we write
1 Joo eiw(e- x)
g(x,';) =- 211" -00 w2 + a2 dw,
then by the application of standard techniques for contour integrals we
obtain
(ii) Choosing a different contour that is consistent with the restrictions

on the end points, we may write
_ 1
g(x,';) - --2
l ic +oo eiw(e- x )
2 + a 2 dw, c> a,
11" ic-oo W
and we obtain a different function, viz
O' x <.;,
g(x,';) = { -sm
1. h ( C)
a x-." x> .;.
a '
10.3 Poisson's Equation in Two Dimensions 169
(iii) Again we may choose the contour of Figure 10.1, which gives
(10.15)
10.3 Poisson's Equation in Two Dimensions

We consider first the equation
'\l2g(r, r') = 8(r - r')

= 8(x - x')8(y - y'),
where x and y are unrestricted. The problem does not have a unique solu-
tion, although any two solutions differ by a harmonic function, that is, a
solution to the homogeneous equation. It can be shown quite readily that a
solution is g(r, r') = (1/2rr) In Ir - r'l. We shall show how to construct this
function from the defining equation via the Fourier transform. On taking
the transform with respect to x we have
(
fj2
ay2 - w
2) .,
G(w, y, x', y') = e'wx 8(y - y'). (10.16)
Now we know that for any w this equation has more than one solution. In
order to obtain for G a form that has an inverse Fourier transform in the
usual sense, we choose the solution of (10.16), for real w, as
G(w, y, x', y') =

{.,
e'WX e-w1y-y'l
___
2w,
'wx
_e_ ew1y-y'l
Re(w) > 0,
,
Re(w) < O.
2w '
It is important to note that this function is not analytic across the imagi-
nary axis, and is also singular at w = O. For the inversion contour we may
use any curve which begins at -00 and ends at +00. 4 We choose a contour
that crosses the imaginary axis only once, at w = ia =I- O. The resulting
inversion integral is
~ {jiCt e-iw(x-x')+wly-y'l
2rr -00 2w
dw -1iCt
00 e-iw(x-x')-wly-y'l
2w
dw} (10.17)
1
= - 4rr {Ei(a(x - x') + ialy - y'l) + Ei(a(x - x') - ialy - y'I)}·
4This requirement comes from taking the Fourier transform of o(x - x').
Now it is shown in Section 1.3 that the exponential integral may be written
in the form Ei( z) = - In z + ¢( z), where ¢( z) is an entire function. Hence,
(10.17) may be written as
g( r, r') = 2~ {In a + In Ir - r'l + Re (¢( -a(x - x') - ia(y - y') n.

The first and third terms are harmonic functions (depending on the choice
of contour through a), and we discard them. This leaves (1/27f) In Ir - r'l,
and because of its fundamental significance in the solution of problems
in regions with boundaries, we call it the elementary solution of (10.16).
Denoting this elementary solution by e(r, r'), we have
e(r, r') = 2~ In Ir - r'l·

The significance of this function is that if we define the function u( r) by
u(r) = J e(r, r')f(r') dr',
then it will satisfy Poisson's equation
\7 2u(r) = f(r).
This relationship holds for a wide class of functions and generalized func-
tions f(r); in particular it holds for any function f(r) that is absolutely
integrable.
Poisson's Equation in a Bounded Region

Suppose we consider a region R of the plane whose boundary we denote 8.
We may solve the equations
\72g(r, r') = 8(r - r'),

g(r, r') = 0,
(n· \7)g(r, r') = 0,
where 8 1 and 8 2 together constitute the whole boundary 8. We will show

that this function may be used to construct a solution to the boundary-
value problem
\7 2u(r) = f(r),
u(r) = ¢l(r), (10.18)
(n· \7)u(r) = ¢2(r),
and so it is called the Green's function for this boundary-value problem.
To construct the solution, we first define a region R€ to be the region R
10.3 Poisson's Equation in Two Dimensions 171
with a circle of radius €, center at r = r', deleted. Now in R€ we have

'iJ2 g(r,r') = 0, since the function g(r,r') - e(r,r') is harmonic in R and
e(r,r'} is harmonic in Re. Now we multiply (10.18) by g, and integrate
over R€ using Green's theorem to change an area integral to a line integral
around the boundary. Explicitly, on using polar coordinates for the small
circle of radius €, this gives
1 R.
g(r,r')f(r} dr = r
JR.
(g(r,r'}'iJ2 u(r) - u(r}'iJ2g(r, r'}) dr
= Is (g(r, r'}¢2(r) - ¢l(r)(n· 'iJ)g(r, r'» dl

+~ r [In
211" Jo
27r
€ 8u
8r
+ ~]
€
dO.
Ir-r'I=€
On taking the limit € -+ 0, and using the boundary conditions for g(r, r'),
this gives the representation
u(r') = 1 g(r, r')f(r) dr
r ¢l(r)(n.'iJ)g(r,r')dl- JSr ¢2(r)g(r,r')dl.

(10.19)
+
JS i 2
Symmetry of the Green's Function

By a similar trick, we may show a most important result, namely, g( r, r') =
g( r', r). To do so, we use the fact that 'iJ2 g( r, r') = 0 and 'iJ2 g( r, r") = 0
in the region obtained by deleting circles of radius €, centered at r' and r",
respectively, from R. Application of Green's theorem then gives
0= J (g(r,r')'iJ2 g(r,r")-g(r,r")'iJ2 g(r,r'»)dr
= Is (g(r,r')(n. 'iJ)g(r,r") - g(r,r")(n· 'iJ)g(r,r'») dl

+~ {27r [g(r, r'}] dO _ ~ (21r [g(r, r")] dO.
211" Jo € Ir-r"I=€ 211" Jo € Ir-r'I=€
Now the products that occur in the integral over S are zero because of
the boundary conditions, and on letting € -+ 0 the last integral yields
g(r',r") = g(r",r').
An Example
We will find the Green's function for an infinite strip, determined by the
equations
'iJ2g(r,r') = 8(r - r'), -00 < x < 00, 0< y < I, (10.20a)
and
g(r, r') = 0, y = 0, y = l. (1O.20b)
Taking the Fourier transform of (1O.20a) in x, we have
fj2 -
( oy2 W
2) G(w, y, x ,y
I ')
= eiwx' u5:( y - y ') ,
which is the same equation as (10.16). This time, however, there are two
boundary conditions, and on using (10.8) we have
G( w,y,xI ,y' ) -_ _ eiwx' sinhwy< sinhw(l

. h l
- y»
.
wsm w
Here y< is the smaller of y and y', and y > is the larger of y and y'. The
Fourier inversion of G gives a unique result, provided we require g(r, r') -+
o as Ir - r'l -+ 00. If this is the case, the Fourier transform must exist
on the real axis; hence we choose the real axis for the inversion integral.
This point is not irrelevant, since G has poles on the imaginary axis at
wl = 21fin, n = ±1, ±2, .... Choosing a contour that does not pass between
the n = ±1 poles will lead to a Green's function that grows exponentially
as Ir - r'l -+ 00. We conclude, then, that the solution of (10.20) is
I I _ 1
g(x,y,x ,y) - - -
21f
1 00
-00
e-iw(x-x') sinhwy< sinhw(l - y»
. h l
wsm w
dw. (10.21)
Relation to Images
In applications, it may be useful to leave 9 as an integral representation,
since it cannot be evaluated in finite closed form. An infinite expansion
may, however, be obtained, as we now show. To obtain it, we first write
(10.21) as twice the integral over the range 0 :::; w < 00, and then apply
the expansion
sinhwy< sinhw(l - y» = ~ ~ e-(2n+l)wl

sinhwl 2~ (10.22)
n=O
x {eW(I+Y<-Y» + e-w(l+y<-y» _ eWCZ-Y<-Y» _ e- wCZ - y < -y»}.
On replacing the lower limit of integration by E, we may express each term in

the integral as an exponential integral. Using the result Ei( -w) = In(w)-
'"Y + O(w), we may then take the limit E -+ 0 to get
I I 1 ~ {y - y' + 2nl + i(x - XI)}

g(x, y, x, y ) = 21f Re n~oo In y + y' + 2nl + i(x - x') ,
which is the form of solution that results from applying the method of
images to the problem. This is analogous to the reflection of waves from
boundaries at the ends of a finite string or transmission line-problems
investigated in Chapter 5.
Normal Derivative
It is of interest to calculate the normal derivative, (n· '\1)g, on the boundary.
For y = 0, we obtain from (10.21)
, , __ 1
gy(x,O,x ,y) -
~
2
IT
00
-00
e-iw(x-x')
SIn
sinhw(l - y')
. h l
w
dw.
If y' --+ 0, the integral tends to o(x-x'); if y' = l, it is identically zero. Both
of these properties are necessary for the validity of (10.19) to the present
system.
10.4 Helmholtz's Equation in Two Dimensions

It is frequently of interest to consider solutions of the inhomogeneous wave
equation
'\1 2 ¢ _ ~ (P¢ = f
e2 2 at '
which have the time dependence exp( -iflt). This converts the wave equa-
tion to Helmholtz's equation
k = flle,
which is generally solved subject to boundary conditions. We will consider

Green's functions for this latter equation, commencing with the elementary
solution in two dimensions, that is, the solution of
('\1 2 + k2)e(r, r') = o(r - r'), (10.23)
with no boundary conditions required on a finite boundary.
°
The most straightforward method of solving (10.23) is to look for solu-
tions of ('\1 2 + k 2)e( r, r') = which have a singularity at r = r'; these
turn out to be the Hankel functions of argument klr - r'l. The arbitrary
constants may then be chosen by applying Green's theorem to the integral
where ¢ is a test function, exactly as was done above. We leave this ap-
proach to the problems, choosing rather to attack (10.23) directly. On tak-
ing the Fourier transform with respect to x, we obtain
(::2 - w2 + k 2 ) E(w, y, x', y') = e iwx ' o(y - y'). (10.24)

Im(co)
co=-k
branch cut
C2
FIGURE 10.2. Contours for (10.24).
Suppose we choose the inversion contour so that Re(v'w 2 - k2) ;::: 0 on it,
then the solution that is bounded for large Iy - y'l is
eiwx'-~IY-Y/l
x' y') - -
E(w , y, -----=-:-r==;;==:=;.,---- (10.25)
,- 2v'w2 - k2 '
and substitution into the Fourier inversion theorem gives explicit forms for
the elementary solution.
The only two contours on which the condition Re( YW 2 - k 2 ) ;::: 0 is
satisfied are shown in Figure 10.2; they lead to two different elementary
solutions. We will evaluate the inversion integral for contour C 1 • First, we
introduce the polar coordinates p, () by
x - x' = pcos(},
Iy - y'l = p sin (),
and then carry out the change of integration variable
w = -kcos(¢ + it)
(10.26)
= -k cos ¢ cosh t + ik sin ¢ sinh t, -00 < t < 00.
The path described using this new real variable t is a hyperbola in the
w plane, passing between two branch points at w = ±k, and is shown in
Figure 10.3. On it, we may write
-iw(x - x') - "';w 2 - k 2 1Y - y'l = ikpcos(¢ - () + it),

dw
----r::::;;===;::;;: = -dt,
YW 2 - k2
where we have chosen the branch of Yw2 - k 2 , which makes it agree with
the choice appropriate for C 1 . Now we may deform the contour C1 to the
hyperbola provided the contributions from the arcs LI, L2 are of order R- 1
(see Figure 10.3). On LI, this imposes the requirement ¢ :::; (), on L2 we
'.' ..... ....

"'
'.' .........
'.'.
'.'.
' .
..............
CI) =-k
require if> ;:::: e. The only consistent choice is if> = e whereupon the Fourier
inversion integral of (10.25) becomes
e(r, r') = - -
1
471"
100
-00
eikpcosht dt
(10.27)
-- _!:..H(l)(kp)
4 0 .
Identification of the integral as a Hankel function follows from (18.42).

Using the results of Chapter 18 we may write down asymptotic forms for
e(r, r') for small and large Ir - r'l; they are
e(r, r') ro.J 2~ lnp, kp~ 1,
ro.J
e- 3ill"/4 (
_
2 )1/2 .e~kp kp:» 1.
4 7I"kp ,
The logarithmic singularity at p = 0 is characteristic of problems involving

the Laplacian operator in two dimensions; the asymptotic form for large p
shows that we have outgoing waves as the boundary condition at infinity.
It is easy to show that the inversion of (10.25) using the contour C2 leads
to
e(r,r') = ~Ha2\kr)
ro.J--
e3i1r / 4 ( _
2 )1/2 .e-~kp
kp:» 1.
4 7I"kp ,
This corresponds to incoming waves at infinity. Thus we have two distinct
elementary solutions; the decision on whether to use either one, or a linear
combination of the two, depends on the physical content of the problem at

hand.
Helmholtz's Equation in a Bounded Region

The developments of Section 10.3 may now be repeated for bounded re-
gions. First we define a Green's function by
(\7 2 + k2)g(r, r') = r5(r - r'),

g(r,r' = 0,
(n· \7)g(r, r') = 0,
This leads to the same representation (10.19) for the solution to the inho-
mogeneous problem
(\7 2 + k 2)u(r) =
f(r),
u(r) = (h(r),
(n· \7)u(r) = ¢2(r),
Furthermore, we may again show that
g(r, r') = g(r', r).

Specific examples are left to the reader (Problems 10.5 to 10.8).
Problems
10.1 Show that the functions defined in (10.11) do satisfy the stated dif-
ferential equation, and the adjoint boundary condition, and that the Wron-
skian is given by
p(x)W [ut, utJ = p ()W

x ~uL,uR ]"
10.2 Show that, for a self-adjoint second-order differential equation,

d
dx (p(x)W(x)) = 0,
as claimed on page 166.

10.3 Find elementary solutions of
in two dimensions, by using Hankel functions directly.

Problems 177
10.4 Show that the Green's function for Poisson's equation in a three-
dimensional half-space, -00 < x < 00, -00 < y < 00, Z > 0, subject to
9 = 0 on Z = 0 is
where
R = J(x - X')2 + (y - y')2 + (z - Z')2,

R' = J(x - x')2 + (y - y')2 + (z + z')2.
R' is the distance to the image point.
10.5 Show that the Green's function for Helmholtz's equation in a three-
dimensional half-space z > 0, satisfying 8g / 8n = 0 on z = 0, and having
the form of outgoing waves for large R, is
eikR e ikR '
- 47rR - 47rR"
with R and R' defined in Problem 10.4.
10.6 A metal disc of radius a is set into an infinite metal wall, separated
by a thin insulator. If the potential of the disc oscillates at frequency D,
show that the potential far from the disc has the approximate form
Va 2
,J,. ikR-Wt J 1 (ka sin (})
,+,"'--e
- R kasin{} ,
D=ck,
Jx2 + y2
tan{} = .
z
The coordinates x, y are in the plane of the disc, whose center defines the
origin.
10.7 Show that the Green's function for Helmholtz's equation in the strip
-00 < x < 00, 0 ~ y ~ a, satisfying 9 = 0 when y = 0 or a, is
, ') _ 1
9 (x, x ,y, y - --2
7r
1 0
00
sinh sy< sinh s( a - y» -iwlx-x'I.3..
. h l
ssm s
e uw,
where
Using (10.22) express the solution as an infinite series of Hankel functions.

10.8 Consider the boundary-value problem5

(\7 2 + k2)¢(x, y) = 0,
¢(O, y) = 0, y < 0,
¢x(O, y) = f(y), y > O.
Show that, in polar coordinates R, e, the function
x 1/2 Jl v(R, cos a) d( cos a )
- cos IJ Vcos a + cos e
is the solution, provided that v satisfies
8 2v 18v 8 2v
8p2 + p8p + 8(2 + k 2v = 0,
P = Rsine,
(= Rcose,
and
V2 « 0,
.
1Im 8v
p -8 =
fiTilrl f( -C),
{ nYI':.1
p-+O p
0, (> O.
Using the Green's function for Helmholtz's equation in three dimensions,
deduce that
v(R, cos e) = __1_ roo pl/2 f(p) exp(ikJp2 + R2 + 2pRcos e) dp.

nV2 Jo J p2 + R2 + 2pRcose
10.9 Consider the boundary-value problem6
(\7 2 + kf)(\7 2 + k~)'Ij!(r) = 0,
'Ij!(r) = f(r),
} ron S,
\7 2'1j!(r) = g(r),
with kr =1= k~. Show that, if we define 'lj!1 and 'lj!2 by
(\7 2 + kf,2)'Ij! = 'lj!2,1,

then the solution may be written
5This problem is adapted from a paper by W.E. Williams, Q. J. Meeh. Appl.

Maths, 26 (1973), 397, where some more general results may be found.
6Problems 10.9 to 10.11 are based on results given by G.S. Argawal, A.J. De-
vaney, and D.N. Pattenayak, J. Math. Phys., 14 (1973), 906.
Problems 179
provided that the functions 'ljJl, 'ljJ2 satisfy the respective equations
(\7 2 + ki,2)'ljJl,2 = 0,
'ljJl,2(r) = k~,d(r) + g(r), ron S.
°
Use this to represent the solution in terms of the Green's function (for
Helmholtz's equation) that satisfies 9 = on B.
10.10 Consider the boundary-value problem
(\7 2 + k 2?'ljJ = 0,
'ljJ(r) = f(r),
} ron S,
\7 2'ljJ(r) = g(r),
By applying the limiting procedure kl -+ k2 to Problem 10.9, show that
'ljJ(r) = J
f(r') :n G(r, r') dB'
1
isr{k 2f(r') + g(r')} 8k8n
8 2
- 2k G(r, r') dB'.
10.11 Find an integral representation for the solution of
\7 4 ¢(x, y, z) = 0,
-00 < x < 00,
-00 < y < 00,
z > 0,
subject to
¢(x,y,O) = f(x,y),
[\7 2 ¢t=o = g(x, y).
11
Transforms in Several Variables
In this short chapter, we sketch a little of the theory of Fourier transforms

in several variables. There are other combinations that may occur in ap-
plications, for example, mixed transforms such as a Laplace transform in
combination with a Fourier transform. Since they are usually required on
a case-by-case basis, we do not attempt to a general treatment here. 1
11.1 Basic Notation and Results

The theory of Fourier transforms of a single variable may be extended to
functions of several variables. Thus, if f (x, y) is a function of two variables,
the function F(~, 'f/) defined by
is the two-dimensional Fourier transform of f(x, y). Provided that the in-
version formula (7.3b) may be applied twice, we have
lThe book by Brychkov et al. [14) is devoted to the topic of multidimensional

integral transforms.
182 11. Transforms in Several Variables
An important point to note about this formula is that it involves functions

of more than one complex variable. The theory of such functions is exceed-
ingly complicated, and there are no well-developed techniques of the same
generality and power as for functions of one complex variable. Usually it is
necessary to treat each variable in turn, temporarily regarding the others
as constant. Some of the subtleties that emerge will become evident in this
and later sections, through concrete examples.
An elegant notation may be used if the variables are components of a
vector; thus, for a function f(r) in n dimensions we write
F(k) = f f(r) eik .r dnr, (ll.la)
f(r) = (2~)n f F(k) e- ik .r ~k. (ll.lb)
Elementary Properties
Formal manipulations, which we leave to the reader as an exercise, lead to
the following parallels to the properties derived in Section 7.2.
(i) Derivatives: 2
F[Y' f(r)] = -ikF(k),
F[rf(r)] = -iY'kF(k),
or
Y'r ++ -ik,
Y'k ++ +ir.
(ii) Translations:
F[f(r - a)] = eik .a F(k),
F [e iq .r f(r)] = F(k + q).
(iii) Convolutions: if
h(r) = f g(r - r')f(r') dnr',
then
H(k) = G(k)F(k).
f
Also,
F[f(r)g(r)] = (2~)n F(k')G(k - k') dnk'.
2These results apply either to functions having the necessary behavior at infin-
ity to allow integration by parts, or to generalized functions, with no restrictions.
11.1 Basic Notation and Results 183
(iv) Parseval relations:
J f(r)g(r) rl"r = (2!)n J F(k)G(k) rl"k.
Illustrative Example
As a simple application, we will rederive the results of Section 10.4 using
a two-variable transform. The algebraic manipulations involved are trivial,
but the analysis of the inversion integral already exhibits some interesting
and illuminating subtleties. We want to solve the equation3
Taking the two-dimensional Fourier transform, we have
where
E(q) = J e(r) eiq .r d2 r.
On solving for E(q) and using (11.1b), we obtain
e(r)
1
= (271")2
J e- iq .r
k2 _ q2 d2 q. (11.2)
This solution is not unique, since the Fourier transform of a delta function
does not specify the inversion contour. 4 We denote the components of q by
~ and 'f/; it is our intention first to evaluate the 'f/ integral for each value
of ~ that is needed, and then to integrate over ~. Great care is needed at
this point, since the 'f/ integral depends critically on the position of the 'f/
contour relative to each value of~. Hence, we choose the ~ contour first; our
choice is indicated in Figure 11.1. On this contour, 0 < arg(~2 - k 2 ) < 71",
so we may define the function s(~, k) by
0< arg(s) < 71"/2. (11.3)
Turning to the 'f/ integral, we need to evaluate
I(~, y) = -
1 00
-00
e-i1)Y
('f/- is)('f/ + is) d'f/,
38(r) = 8(x)8(y). The theory of generalized functions may be extended quite

simply to several variables, but we do not need to concern ourselves with the
details here.
4See Section 9.5.
Im@
c
~=-k ~=k Re@
branch cut
where we have used the real axis, since the poles lie off it by virtue of (11.3).
By residues, we have
7re- s1yl
I(f"y) = - s '
and on using this in (11.2), we obtain
e(r) - - -
-
1
47r
1 e- i 'f}X-V rP- k2 Iyl
. / 2 k2
d'Yl'/l
C vTJ-
a result already obtained in Section 10.4.
Use of Radiation Condition

The difficulty in the above treatment arises because k is a real quantity,
so that we must choose an inversion contour that goes off the real axis.
One method of treating such problems, discussed in detail in Section 8.4,
is the application of radiation conditions. Thus we replace k by k + if; then
both components of q may be confined to real values. Changing to polar
coordinates, with r defining the polar direction, (11.2) becomes
1 [00 [27r eiqr cos 8
e(r) = (27r)2 10 qdq 10 k2 _ q2 dO.
The O-integral is one form of Bessel's integral for Jo(qr); hence,
e(r)
1
= -2
7r
100
0
Jo(qr)
k2
- q
2 qdq.
This integral defines an analytic function of k for 0 < arg( k) < 7r, and in
particular, if k = ia, Problem 18.15 yields
1
e(r) = --Ko(ar)
27r
= -2~Ko(-ikr).
11.2 Diffraction of Scalar Waves 185
Having evaluated the integrals, we must set E = 0; (18.47) then shows that
in agreement with (10.27).
11.2 Diffraction of Scalar Waves

The mathematical solution of diffraction problems is generally very diffi-
cult, and explicit exact formulae are known for only a small number of
relatively simple cases. Fortunately, a large number of problems of interest
in optics (and other fields) may be usefully approximated by a method due
to Kirchhoff. We discuss here the diffraction of a scalar wave, satisfying the
equation
2 1 {)2¢
\7 ¢ - 2" l'j 2
e ut
= 0, (11.4)
by an aperture in a plane screen at z = O. The basic idea is to express the

solution at an arbitrary point in terms of the values in the aperture; these
aperture values are then set equal to the strength of the incident wave,
calculated in the absence of the screen. 5 In the following we denote the
aperture plane by A, and the remainder of the z = 0 plane by B. Also, cor-
responding to any three-dimensional position vector r, having components
x, y, z, we introduce a two-dimensional vector s having components x, y.
We consider monochromatic waves, that is, we set
¢(r, t) = ¢(r) e- Wt , Re(D) > 0, Im(D) > 0, (11.5)
where we have taken Im( D) > 0 as a radiation condition. After deter-

mining the necessary solutions, we may set Im(D) = O. We introduce a
two-dimensional Fourier transform via
¢(r) = Jeiq .s ljj(q, z) d2 q, (l1.6a)
ljj(q,z) = (2:)2 J e- iq , s ¢(s,z)d2 s. (l1.6b)
Substitution into (11.4) yields the following ordinary differential equation

for ljj(q, z):
k = Die,
5If we can calculate the aperture function in the presence of the screen, the
problem is exactly solved.
with the general solution
ifJ(q, z) = F(q) e- z y' q2-k 2 +G(q) ez y' q2 - k 2 • (11. 7)

Now we have from (11.5) that -71" < arg(q2 - k 2) < 0 for all real q, and
thus we may choose the square root by -71"12 < arg( q2 - P) < O. Hence J
the second term in (11.7) is an incoming wave, contrary to our physical
requirement that the diffracted wave be outgoing, so that G(q) = O. Thus
F(q) = ifJ(q,O), which may be obtained from ¢(s,O) by setting z = 0 in
(1l.6b). Equation (11.6a) may now be written as
. 1. ( s, Z ) =
If'
_1_ 1 iq.S-Zy'q2_k 2
(271")2 e
d2
q
1..1..( , 0) e -iq.s'd2 s,
If' s,
- __
-
1
(2)2
71"
1' ¢(s ,0) d
2'
S
~
d
z
(1 eiq .(s-s')-zy'q2_k 2 2 )
..jq2_k2
d q (11.8)
= 2~ 1 ¢(S',O)! (e: R
) d2 s',
where
R2 = Z2 + Is - s'1 2.
The evaluation of the q integral, which leads to the last step, is dealt with
in Problem 11.3. This formula is particularly appropriate if ¢ satisfies the
boundary condition ¢ = 0 on B, for then the integral in (11.8) extends
only over the aperture A. Thus, in this case we have expressed ¢ in terms
of its value in A.
Fraunhofer and Fresnel Diffraction

In practice, these formulae have their most important applications in an
asymptotic limit which we now derive. Suppose that the aperture is small
compared to z, and that we choose the origin to lie in A; then lsi « z in
(11.8) and we may write
s' . s' - (r . s')2
R=lr-s'l~r-r.s'+
2r
, (11.9)
where r is the unit vector rllrl. This replacement is made in the expo-
nential function; elsewhere we simply write R ~ r. Situations where it is
necessary to retain the quadratic terms in (11.9) are called Fresnel diffrac-
tion, the simpler case, R ~ r - r . s' is called Fraunhofer diffraction. For
Fraunhofer diffraction, (11.8) becomes
¢(S'Z)=-271"r 2
ze ikr 1 .. , e- tkr . s ¢(s',0)d2 s'
= _ 2~z eikr F(kslr).

r
11.3 Retarded Potentials of Electromagnetism 187
Thus,. the angular distribution of the wave diffracted by an aperture in this

limit is determined principally by the Fourier transform of the illumination
of the aperture. If the aperture is narrow compared with the wavelength,
the diffraction pattern will be broad; conversely a wide aperture produces
little diffraction.
11.3 Retarded Potentials of Electromagnetism

In the classical theory of electromagnetism, the electric and magnetic field
E and H satisfy Maxwell's equations, which in c.g.s. units 6 are
V" . E = 47rp,
l8H
V" x E= - - -
cat'
V". H = 0,
V"xH=~8E + 47r j ,
c 8t c
where p and j are the sources, that is, the charges and currents that gener-
ate the fields. It is usual to express E and H in terms of a vector potential
A and a scalar potential ¢ via the relations
H = V" x A,
l8A
E = -~8t - V"¢,
together with the subsidiary condition (called Coulomb gauge).
V" . A + ~ 8¢ = O.
c 8t
After some simple algebra, it is readily shown that A and ¢ are determined
from j and p by
(ll.lOa)
(ll.lOb)
The problem is to express the potential in terms of the sources via an

explicit formula. Such a formula involves the Green's function. We con-
sider here the equation for ¢, and introduce the four-dimensional Fourier
6These units are rarely used any more; however, the choice of units has no
effect on the mathematical techniques illustrated herein.
transform
iP(k,w) = ! ¢(r,t)eiCk-r+wtld3rdt,
with a similar definition for p(k,w). Equation (ll.lOb) now reduces to sim-
ple algebra, with the solution
From the product form, we deduce that the Fourier transform of the Green's
function is 47r/(k 2 - w 2 /c 2 ). This is only defined after we apply boundary
conditions. We take the radiation condition Im(w) > 0, so that
The w integral is not defined in the usual sense; but since we are dealing
with generalized functions we use the result F[o(t - t')] = exp(iwt') to get
' _ ') _ 8(t - t' -Ir - r'l/c)

G( r _ r,t t - Ir -r' I .
The same Green's function obtains for each component of (ll.lOb), and we
have
"'( )=!p(r',t- Ir-r l/c)d3 '
'Yr,t Ir-r 'I r,
A(
r, t
) =~!j(r"t-Ir-r'l/c)d3'
Ir-r 'I r.
c
This is called a retarded solution because the source at r', t' only influences
the potential at r, t at a later time related by t = t' + Ir - r'l/c. Advanced
potentials are obtained by taking Im(w) < 0.
Lienard- Wiechert Potentials

For a point charge q at position ro(t), velocity v(t) = TO(t), we have
p(r, t) = qo(r - ro),

j(r, t) = q8(r - ro)v(t),
from which
"'(
'Yr,t
)= ! o(r' - ro) d3 ,
I'
r - ro I r,
A( ) = ~! o(r' - ro)v(t - Ir' - rol/c) d3 ,
r, t c I'
r - ro I r.
Problems 189
The integrals must also be evaluated carefully, since ro = r(t -Ir' - rol/c)
is a function of r'. The simplest procedure is to introduce a new variable
s = r' -ro; then it is readily shown that the Jacobian of this transformation
is 1 + R· v(t')/ R, where R = ro - r, t' = t - R/c. Now the delta function
is simply r5 (s), so we have
ec
¢(r,t) = cR+R.v(t')'
ev(t')
A(r, t) = cR + R. v(t')
These are the Lienard-Wiechert potentials.
Problems
11.1 Verify the following Fourier transform pairs (a> 0 throughout):
(i)
e- ar
f(r) = - , r = (x,y),
r
F(k) _ 27r
Vk2 + a 2
(ii)
xe- ar
f(r) = -2-' r = (x,y),
r
F(k)_27r~(1_ k ) k = (~, 7]).
- k2 Jk2 + a2 '
(iii)
f(r) = e- a2r2 , r = (x, y, z),
F(k) = (7r3/2/a3)e-k2/4a2.
(iv)
f(r) = e- ar /r, r = (x,y,z),
47r
F(k) = k2
+a 2
(v)
1, r < a,
f(r) ={ r = (x,y,z),
0, r > a,
F(k) = !: (sinka-kacoska).
11.2 Show that the vector operators (in three dimensions) transform as
'V¢(r) -+ -ikifJ(k),
'V. u(r) -+ -ik· U(k),
'V x u(r) -+ -ik x U(k).
11.3 Evaluate the q integral in (11.8) using the methods of Section 10.4.
11.4 Apply a two-variable Fourier transform to the problem
OU 2
at = y;,'V u,
u(r, 0, 0) = f(r),
to show that
u(r,O,t) = --41-
7ry;,t
10
00
pf(p)e- P2 /4Kt Io(prj2y;,t)dp.
11.5 Solve the initial-value problem
't'"72 ( ) _ ~ 02u(x, y, t)
v U x, y, t - c2 ot2 '
u(x, y, 0) = f(x, y),

Ut(x, y, 0) = 0,
using a two-variable Fourier transform.

11.6 Solve the boundary-value problem
'V 4 u(x, y) = f(x, y), -00 ::; x ::; 00, y ~ 0,
ux(x,O) = 0,
uy(x,O) = 0,
by using a Fourier transform in x with a Fourier cosine transform in y.
11. 7 At a (plane) boundary z = a between two dielectrics, the electrostatic
potential satisfies the boundary conditions
[¢]z=a- = [¢]z=a+ '

[EO¢] _ [E O¢]
oz z=a- - OZ z=a+'
Using a two-variable Fourier transform in x and y, find the Green's function
for Laplace's equation in an infinite region that consists of a plane slab of
material of thickness l and dielectric constant E, surrounded by vacuum
(E = 1).
Problems 191
11.8 Initially, the half-space x 2: °°

is at a constant temperature. From
time t = 0, the plane boundary x = is held at the temperature f(y). By
applying the Laplace transform in x, and the Fourier transform is y, derive
the formula
u(x, y, t) = - f(8) x;oo
2
- 2 - e- P /4K,t d8,
7r -00 P
p2 = x2 + (y _ 8)2,
for the subsequent temperature distribution.
11.9 By using the Laplace transform in x and the Fourier transform in y,
show that the solution of the wave equation
1 a2 u
\l2u = c 2 at2 '
in the region x 2: 0, -00 ::; y ::; 00, subject to the initial conditions
u(x, y, 0) = 0,
Ut(x, y, 0) = 0,
and the boundary condition
u(O, y, t) = f(y),
IS
l
0, t < x/c,
{
u(x, y, t) = xct Y+Y' f(8)
- t > x/c,
7r Y_Y' p2 vic2t 2 _ p2 d8 '
where
11.10 Solve the three-dimensional heat diffusion equation

au 2
at = ",\1 u+ ¢,
where ¢(r, t) is the rate of heat production, subject to the initial condition
u(r,O) = f(r).
In particular, show that
u(r, t) = 7r- 3 / 2 J f (r + 2S~) e- 82

d3 s
+ 7r- 3 / 2 1 J (r +
t
dt' ¢ 2s&, t') e- 82 d3 s.
11.11 Show that the Green's function defined by the equations7
(1 + v· V)G(r - r', v) = 8(r - r'), z > 0, z' > 0,

G(s-r,v)=O, z> 0, Vz < 0,
is given by
G(r - r', v) =
1
(27f)3
J e-ik.(r-r')
1 + ik. v d3 k.
11.12 The solution ofthe Dirichlet problem in an (n+1)-dimensional half-

space,
(V2 - A2)u(X, z) = 0,
u(x, 0) = g(x),
may be written8
u(x, z) = J g(x')L(x - x', z) dn-1x'.
Show that
Double Laplace Transforms

If f(x, y) is defined in the quadrant x ~ 0, y ~ 0, we define the double
Laplace transform F(p, q) of f(x, y) by 9
F(p, q) = 11
00 00
f(x, y) e- px - qy dx dy = £2[f(x, y)].
The following problems introduce a few key ideas:

11.13 Prove the following general properties of double Laplace transforms,
under suitable restrictions on f(x, y):
7This is an example of the collisionless linear transport equation. See Sec-

tion 17.4 for an example of the use of this Green's function in the solution of the
linear transport equation with collisions.
8This result is given in I.N. Sneddon, J. Eng. Maths., 8 (1974), 177, together
with a discussion of the connection with the half-space Dirichlet problem for
Laplace's equation.
9See Ditkin and Prudnikov [19] for more information on double Laplace
transforms.
Problems 193
(i)
£2[J(X + y)] = F(q) - F(p) ,
p-q
where
F(p) = £[f(x)].
(ii)
£2[f(x - y)] = F(p) + F(q) , f even,
p+q
F(p) - F(q)
f odd.
p+q
(iii)
£2[8u/8x] = pU(p, q) - Uo(q),
where
Uo(q) = £[u(O, y)](q).
(iv)
where
11.14 Solve the partial differential equation 10
8u 8u
x::::: 0, y::::: 0,
8x 8y'
subject to
u(x, 0) = a(x).
using the double Laplace transform. (U(p, q) must be analytic for Re(p) >
a, Re(q) > (3, for some fixed a, (3. This imposes a restriction on the possible
value of u(O, y), and thus determines the solution uniquely.)
11.15 Solve the heat conduction problem
8u 8 2u
8t = K 8x2' x::::: 0,
u(x, 0) = 0, x::::: 0,
u(O, t) = To, t ::::: 0,
using the double Laplace transform.
lOSee J.e. Jaeger, Bull. Am. Math. Soc., 46 (1940), 687.

11.16 Consider the wave equation
= x 2: 0, t 2: 0,
OX 2 C2 ot2 '
U(X,O) = f(x),
Ut(x,O) = g(x),
u(O, t) = 0,
to see how the solution, which may be constructed by D'Alembert's method,

can be recovered using the double Laplace transform. 11
lIThe application of the double Laplace transform to a more general second-

order partial differential equation in the quadrant x ~ 0, y ~ 0 is discussed in
K. Evans and E.A. Jackson, J. Math. Phys., 12 (1971), 2012.
12
The Mellin Transform
In this and the next chapter, we study the Mellin transform, which, while
closely related to the Fourier transform, has its own peculiar uses. In par-
ticular, it turns out to be a most convenient tool for deriving asymptotic
expansions, although it has other applications. 1
12.1 Definitions
i:
We recall first that the Fourier transform pair may be written in the form
A(w) = a(t) eiwt dt, ex < Im(w) < (3,
l
and
ic oo
a(t) = -1 + .
A(w) e- twt dw, ex < c < (3.
21l' ic-oo
The Mellin transform and its inverse follows if we introduce the variable
changes
p= iw, f(x) = a(lnx),
1 For an account of many fascinating aspects of the Mellin transform and

related topics, see B.W. Ninham, B.D. Hughes, N.E. Frankel, and M.L. Glasser,
Physica A, 186 (1992), 441.
196 12. The Mellin Transform
so that we obtain the reciprocal pair
a < Re(p) < (3, (12.1a)
1
f(x) = -2.
jC+ioo F(p)x-Pdp, a < c < (3. (12.1b)
7f~ c-ioo
Equation (12.1a) is the Mellin transform, and (12.1b) is the Mellin inversion
formula. The integral defining the transform normally exists only in the
strip a < Re(p) < (3; therefore the inversion contour must be placed in this
strip.
12.2 Simple Examples

We now study three simple examples that illustrate the most important
and peculiarly useful features of the Mellin transform.
Example 1
The exponential function:
a> 0,
F(p) = 1 00
e- ax xp-1dx
(p - 1)!
Re(p) > o.
By the inversion formula, we then have the integral representation
f(x) = -.
1 jC+ioo (p - 1)! (ax)-Pdp, c> O. (12.2)
27f~ c-ioo
From the asymptotic behavior of (p-1)! for large p (see (1.22)), we readily
conclude that the contour of the inversion integral may be closed in the left
half-plane for any value of x, leading to the expansion
(_1)k
e- ax = L 00
~(ax)k,
k=O
corresponding to the poles and residues of the integrand.

12.2 Simple Examples 197
Jm(p)
c
poles of (p -I)! Re(p)
-4 -3 -2 -1 r r+l r+2 r+3

poles of (r - p -1)!
Example 2
The binomial expansion:
f(x) = (1 + ,6x)-'Y, 'Y > 0, I arg(,6) I i- 7f,
rOO xp - 1
F(P) = io (1 + ,6X)'Y dx
roo yp-1
= ,6-p io (1 + y)'Y dy.
The substitution y = z/(1 - z) then reduces the integral to the standard

form
F(P) = ,6-P 11 zP-1(1 - z)"-p- 1dz
_ _p (p - 1)! ("( - p - 1)!

- ,6 ("( _ 1)! '
where we used Problem 2.5. For the integral to converge, we must have
0< Re(p) < 'Y.

The inversion formula then gives us
f(x) = ~ jC+iOO (P - 1)! ("( - f - 1)! (,6x)-Pdp; (12.3)

27f~ c-ioo ("( - 1).
the contour separates the two sets of poles as indicated in Figure 12.1.
In order to close the contour so as to utilize the poles and residues of the
integrand, we must first consider the asymptotic form of the integrand for
large Ipl. From (1.22), we see that
I(p - 1)! ("( - p - 1)! (,6x)-PI '"" AI,6xl- Re(p) , p -+ 00,
and thus, we may close in the left-hand half-plane if l,Bxl < 1 and in the
right-hand half-plane if l,Bxl > 1. This leads immediately to both ascend-
ing and descending expansions, a common feature of the Mellin transform
inversion.
Ascending Expansion
If we close the contour to the left the poles are those of (p - I)!. Evaluating
the residues at these poles, we have
1 (_l)k k
b _ I)! L ~b + k -
00
f(x) = I)! (,Bx)

k=O
= 1 - 'Y(,BX) + 'Yb+1)
, (,BX) 2 - ....
2.
This last expression is just the binomial expansion of f(x).
Descending Expansion
The poles of b - p - I)! are at p = (k + 1'), k = 0,1,2, ... with residues
(_l)k+l/k!. Therefore, closing the contour to the right we have the expan-
sion
f( ) = - ~ (-1)k+1(k+'Y-1)! ((.I )-k-"1

x L k!b-1)! f.'X ,
k=O
where the additional factor (-1) arises since we are closing the contour in
the negative (clockwise) direction. Written out explicitly the expansion is
f( ) = (,13 )-"1 (1 _ ~ + 'Yb + 1) _ 'Yb + l)b + 2) ... )

x x ,Bx 2!(,Bx)2 3!(,Bx)2 '
again the binomial expansion, this time valid for large values of l,Bxl.
Example 3
The exponential integral was defined in (1.10) as
Ei(x) = 1 00 e-U
-du
u
1
x
00 e-WX
= --dw.
1 w
12.2 Simple Examples 199
Denoting the Mellin transform of Ei(x) by Ei(p), we have
~ =
Ei(p) 100 1 00 xp-1dx e- - dw
-
WX
1 1
o 1 W
-dw x p- 1 e- WX dx
00
= 00
1 w 0
(p - I)!
p
Re(p) > o.
Thus,
.
El(X) = -.
1 jC+iOO (p - I)! x- p
dp, c> O.
21f2 c-ioo P
Closing the contour to the left, which is permissible because ofthe asymp-
totic form of Ei(p) , we recover a sum of residues at p = 0, -1, -2, .... The
pole at p = 0 is a double pole, with residue -lnx - ,,(, where "( is Euler's
constant (equal to the value of d(lna!)/da at a = 0); the other poles are
simple poles. Therefore our ascending expansion appears as
. 00 (-l)kxk
El(x)=-lnx-"(-L k!k '
k=l
in agreement with (1.11). As with the exponential function, we do not

recover a descending expansion in this case, because there are no singular-
ities in the right-hand half-plane. The real reason is deeper than this; the
exponential function has an essential singularity at infinity, and hence no
expansion in powers of 1/ x.
Complete Expansion
It is easy to guess that Ei(x) rv exp( -x) for large x; consequently we
consider next the function
Taking the Mellin transform, we obtain
F(p) = 100 xp-1dx

100 e-x(w-l) dw
100
o 1 W
= dw roo e-x(w-l) xp-1dx
10
1
1 w
= (p - I)! 00 w-1(w -l)-Pdw
= (_p)!(p_1)!2, o< Re(p)<1.
There are poles now in both half-planes, but we cannot close the contour to
the right and throwaway the integral around the large semicircle, because
F(p) grows exponentially as p -+ +00.
Ascending Expansion
Closing the contour to the left, we must evaluate the residues at the double
poles of (p -1)!2. This may be done by writing
11"2 X-P
F(P)x- P = ----
sin 2 11"p (-p)!'
leading to the expansion
k
= e- x L ~!
00
Ei(x) ('lj;(k) -lnx),

k=O
where
d
'lj;(a + 1) = da In(a!).
Descending Expansion
The inversion integral gives
e- X jC+ioo
Ei(x) = -2. F(P)x-Pdp, O<c<1.
1I"Z c-ioo
The contour may not be closed to the right; however, we may shift it a
finite distance, since F(P) goes to zero exponentially as p -+ c ± ioo. Thus
we recover an asymptotic expansion
Ei(x) = e- x ( Ln
k=l
(_l)k+lk!
x
k+1 +~
1 jc+n+ioo
1I"Z
.
c+n-.oo
)
F(P)x-Pdp.
We leave it to the reader to verify that the remainder term is of order x- n - 2

as x -+ 00, showing that we have recovered the well-known asymptotic
expansion

Mellin transforms have a number of important elementary properties, which
we now investigate. We use the notation
instead of F(p) where this simplifies the appearance of the results.

Derivatives
M[j/] = 10 00
!'(x)xP-1dx
= [f(X)Xp-IJ~ - (p -1) 10 f(x)x p- 2dx. 00
Now we assume that the reason why F(p) exists for (X < Im(p) < (3, is that
lim x Pf(x) = 0, Re(p) > (x,

x-+o
lim x Pf(x)
x-+oo
= 0, Re(p) < (3.
In this case,
M[!'] = -(p -l)F(p - 1), (X < Im(p-1) < (3. (12.4)
Powers
M[xl" f(x)] = 10 00
xl" f(x)xp-1dx
(12.5)
= F(p + p,).
Laplacian in Plane-Polar Coordinates

In two dimensions, the Laplace operator '\7 2 is
2 1 1
'\7 f(r,8) = fTT + -'I' fT + 2"
'I'
fee,
and if we take the Mellin transform with respect to the radial variable,
using the notation that F(p,8) is the transform of f(r, 8) with respect to
'1', we obtain the simple relation
2
M['\7 f] = (dd82 + (p - 2) 2) F(p - 2,8),
2 (12.6)
by the application of (12.4) and (12.5). Thus, problems involving this op-
erator may be simplified by the Mellin transform.
Convolutions
If
h(x) = 10 00
f(xy)g(y)yl"dy,
then
H(P)= 1 00
xp-1dx 100
f(xy)g(y)y/l.dy
= 1 00
g(y)y/l.dy 1 00
f(xy)xp-1dx
1 1
(12.7)
00 00
= g(y)y/l.-Pdy f(t)tp-1dt
= F(P)G(f..L - p + 1).
Similarly, we have the pair
k(x) = 1 00
f(x/y)g(y)y/l.dy,
K(p) = F(P)G(f..L + p + 1).
A further relation that is sometimes useful concerns M[fg]; it is
M[jg] = 1 00
f(x)g(x)xp-1dx
= roo
Jo
1
g(x)xP-1dx -2
1TZ
.1 c ioo
c-ioo
+ F(s)x-Sds
1
= -2
1TZ
.1 cHOO
c-ioo
F(s)G(P - s) ds.
12.4 Potential Problems in

Wedge-Shaped Regions
Consider the boundary-value problem
\7 2 u = 0, 0::; r < 00, -a ::; () ::; a, (12.8)
with boundary conditions
I, 0::; r < a,
u(r, ±a) = { (12.9)
0, r > a.
This determines the solution of a potential problem in an infinite wedge
of angle 2a. If we assume that u(r, ()) is bounded as r --t 0, and that as
r --t 00, u(r, ()) '" r- f3 for some f3 > 0, then the Mellin transform of u
with respect to r exists. Before applying (12.6) to the partial differential
equation, we multiply by r2 so as to obtain an equation for U(p, ()) rather
than U(p - 2, ()). Then, (12.8) and (12.9) transform to
(::2 +p2) U(P,()) = 0,
aP
U(p,a) = U(p,-a) = - ,
p
12.5 'Transforms Involving Polar Coordinates 203
Im(s)
Re is
Re(s)
R
FIGURE 12.2. Contour for (12.12)
with the solution

U( p,O: ) = a P cosp()
. (12.10)
pcospo:
We shall consider the inversion of Mellin transforms of this type in the

next section; anticipating these results we obtain the solution of our poten-
tial problem as
1 - -1 arctan (2(ar),62,6
COSj3())
2,6 , o ~ r < a,
u(r, ()) = { 7r a - r (12.11)
.!. (2( ar),6 cos j3()) r > a,
7r r2,6 - a2,6 ,
where j3 = 7r /20:.
12.5 Transforms Involving Polar Coordinates

In problems involving polar coordinates, one is confronted with transforms
of the type 2 F(p) sinp() and F(p) cosp(), as in (12.10). Suppose that F(p)
is the Mellin transform of a real function f(r), then proceeding formally
1
we have
M [J(re ili )] =
00
f(reili)rP-1dr
= e- ipli J f(s)sP-1ds
(12.12)
= e- ipli F(p),
2See W.J. Harrington, SIAM Review, 9 (1967), 542.

provided the s integral is equivalent to a Mellin transform. This leads to

the useful formulae
F(p) cosp(} = M [ReJ(reiO)J,
F(p)sinp(} = M [-ImJ(re io )].
Sector of Validity
In order to carry out the variable change s = rexp(i(}) in (12.12), we must
assume that J(r) is the value of an analytic function J(z), defined in some
sector -a < arg(z) < a, with r = 14 Replacing the upper limit of r in
(12.12) by R, we may write
foR J(reiO)rP-Idr = e- ipO (foR J(s)sP-Ids + i f(S)SP-IdS).
The contour is shown in Figure 12.4. We need the integral along C to

become zero as R -+ 00, for which a sufficient condition is
zP J(z) -+ 0, Izl-+ 00, 1 arg(z) 1 < a. (12.13)
Now we have already assumed that M[J] exists in some strip PI < Re(p) <
P2, and that
r PJ(r) -+ 0, r -+ 00, Re(p) < P2.

The usual situation is that (12.13) is also valid when Re(p) < P2 provided
that a is suitably chosen; consequently (12.13) is a restriction on a rather
than J(z). For example, if J(r) = exp( -r), J(z) = exp( -z) and a = 7r/2.
Applications
(i)
7r
M[ln(l + r)] = psmp7r
. , -1 < Re(p) < O.
Hence,
M [In(l + 2r cos () + r2)] = 7r c.os p(} ,
2 psmp7r
M [ arctan ( rSin(})] =
-7rsinp(}
,
1 +rcos(} psinp7r
-7r/2 < () < 7r/2, -1 < Re(p) < O.
(ii)
M [~-arctanr] = 2PCOS~7r/2)' 0< Re(p) < 1. (12.14)

To check the sector of validity for (12.14), we write
arctanz = ~ + ;i {In(z - i) -In(z + in, (12.15)
where the branches of the logarithm are chosen so that 0 < arctan r <
'if /2. It follows immediately that a = 'if /2; using (12.15) we find that
2rcosB) 0:::; r < 1,

'if - arctan ( 2'
'if
{ 1-r
Re (-
2 - arctanz) = ( )
2r cos
arctan - 2 - - , r> 1.
r -1
The Mellin transform of this function is cos(pB)/pcos(p'if/2). Equation

(12.11) may now be recovered by applying the results of Problems 12.2
(iii) and (iv) in succession.
12.6 Hermite Functions

The Mellin transform may sometimes be of use in solving ordinary differen-
tial equations with polynomial coefficients, using a technique first employed
by Barnes in his investigations of the hypergeometric function. We choose
here to discuss the Hermite equation, viz.
H~(x) - xH~(x) + vHv(x) = O.
On taking the Mellin transform, we get
(p - l)(p - 2)iiv(p - 2) + (v + p)iL(p) = o. (12.16)
It is apparent that the Mellin transform does not give iiv (p) directly; rather
we must solve a difference equation.
Solution of the Difference Equation

We first reduce the difference equation for iL(p) to standard form, in which
the arguments differ by an integer, by writing p = -28 and iL(p) = T(8).
Thus, we have to solve
T(8 + 1) (8-v/2)
T(8) 2(8 + 1/2)(8 + 1)'
A particular solution is
T(8) = KT S (8 - v/2 -1)! (-8 -1/2)! (-8 -1)!, (12.17)

where K is an arbitrary constant. However, this is not the only solution of

the difference equation, since we may multiply T( s) by any function that
satisfies
Y(s + 1)
Y(s) = 1.
(12.18)
At this point, we appeal to the fact that Hv(p) is a Mellin transform,

defined only in some strip 0: < Re(p) < (3. Therefore, (12.16) is valid only
in the overlap of the two strips
0: < Re(p) < (3, 0: < Re(p - 2) < (3,
and there is no such overlap unless (3 > 0:+2. Thus, Y(s) cannot have poles,
since they would give rise to a row of poles in S (p) separated by exactly
two units. Also, Y(s) cannot grow faster than lsi as Im(s) -+ 00 in the
inversion strip, otherwise the inversion integral would diverge. Therefore,
by (12.18), Y(s) is a bounded entire function, and thus equal to a constant
by Liouville's theorem. Hence, (12.17) is the only acceptable solution, and
even then only if Re(l/) < -2, and we have
Hv(X)
K
= -.
jC+ioo (s -1//2 -I)! (-s -1/2)! (-s -I)! (x2 )8
-- ds.
2nz c-ioo 2
By convention, the coefficient of XV in H v (x) is unity, and since the pole of

(s -1//2 -I)! at s = 1//2 has residue 1,
2v/2
K=~~----~~--~--~
(-1//2 -1/2)! (-1//2 -I)!
Complete Descending Expansion

The poles of (s - 1//2 - I)! lie at s = (1//2 - k), k = 0,1,2, ... , with residues
(-l)k/k!. Thus,
2v/2
Hv(x) = (-1//2 -1/2)! (-1//2 -I)!

00 ( l)k ( 2)V/2-k
x~ -k! (-1//2+k-1/2)!(-1//2+k-1)! ~
1/(1/ -1) v-2
=X
V
-
2
X + 1/(1/ - 1)(1/ - 2)(1/ - 3) v-4
2!22
x .. ·.
The restriction on 1/ may now be lifted by analytic continuation. If 1/ is a

positive integer or zero, we have a polynomial of degree 1/.
Problems 207
Complete Ascending Expansion

Closing the contour to the right leads to the expansion
2v/2 00 (-1)k(-k+1/2)!
H v ( x) =
(-v/2 -1/2)! (-v/2 -I)! 6
'" -'---'-------'----:-;----'--'-
k!
x ((k-V/2-1/2)! (~2y+1/2 +(k-v/2-1)! (X;y).
If v is zero, or a positive integer, we must first calculate the ratios of

the factorials outside and inside the summation before using this formula,
which then gives us a polynomial. In other cases, the expansion is an infinite
series.
Problems
12.1 Prove the following general properties of the Mellin transform; also
determine the conditions required for validity in each case:
(i) M [f(ax)] = a- P F(p).
(ii) M [J(x a)] = a-I F(p/a).
(iii) M [x- I f(x- I )] = F(l - p).
(iv) M [lnxf(x)] = ~ F(p).
(v) M [(x d~r f(X)] = (_p)nF(p).
(vi) M [foX f(U)dU] = -~F(P+1).
(vii) M [1 00
f(U)dU] = ~F(P+1).
12.2 Verify the following Mellin transforms:
(i) M [(l+x)-a] = (p-1)!(a- p -1)!, 0< Re(p) < Re(a).

(a - I)!
(ii) M [(1 + x)-I] = --/!-,

sm7rp
0< Re(p) < 1.
0< Re(p) < Re(a).

(p 1)1 ei7rp / 2
(iv) M [e i !3x] = - {J~ , 0< Re(p) < 1.
(v ) M [cos {J] = (p - I)! cos(7fp/2)

x (JP , 0< Re(p) < 1.
(VI.) M [. {J] (p - I)! sin(7fp/2) -1 < Re(p) < 1.

sm x = (JP ,
( .. ) M [J ( )] = 2P - I (v/2 + p/2 - I)! -v < Re(p) < v+2.

Vll v x (v2-p2.
/ / )1 '
12.3 Verify the following Mellin transforms and find the interval for the
inversion contour:
(i) M [e- ax2 ] = a- p 2

/ (pf2 - I)!.
(ii) M [(1 _ x)a- I h(l- x)] = (p - I)! (a - I)!.

(p + a - I)!
(iii) M [e-Xlnx] = (p-1)!'lj!(p-1).
(iv) M [ 1 + xcosO ] = 7fcospO.

1 + 2x cos 0 + x 2 sin 7fP
(v) M [ x sin 0 ] _ 7f sin pO

1 + 2x cos 0 + x 2 - sin 7fP .
. [ (I u 2/ 3(1 - u 2)1/2 ] _ y7r(p - I)! (-p - 2/3)! (p/2 - 1/3)!

(VI) M io (u+x)1/3 du - 4(-2/3)!(p/2+7/6)! .
.. [ ['Xl u2/3 e- u2 ] _ (p _ I)! (-p - 2/3)! (p/2 - 1/3)!
(vll)M io (u+x)1/3 du - 2(-2/3)! .
12.4 The complementary error function (see page 88) is
erfc(x) = 2
y7r 1 x
00
e- U 2 duo
Show that
M[ ercx _ (p/2-1/2)!
f ( )] - r;;;. .
Py7f
Problems 209
12.5 The cosine integral is defined by
Ci(x) =- 1x
00 cosu
- - duo
u
Show that
(p - I)!
M [Ci(x)] = - cos(1fp/2).
p
12.6 Find the steady-state temperature distribution in a wedge 0 :::; r < 00,
e :::;
o :::; e
a, if the boundary = 0 is held at temperature zero, while the
other boundary is maintained at a temperature given by
To, r < a,
u(r, a) = {
0, r > a.
e
12.7 The boundary = 0 of an infinite wedge 0 :::; r < 00, 0 :::; a, is e :::;
held at zero temperature. Through the other boundary, the concentrated
heat flow
q(r) = Q8(r - a)
is maintained. Show that the steady-state temperature distribution is
( e)- Q 1 {coSh(1fln(r/a)/2a)+sin(1fe/2a)}
u r, - 21fKcosh(1fln(r/a)/2a) n cosh(1fln(r/a)/2a) _ sin(1fe/2a) .
12.8 A thin charged wire carrying charge q per unit length is placed along
the line r = ro, e = eo, inside a wedge-shaped region 0:::; r < 00,0:::; e :::; a,
whose boundaries are held at zero potential. Show that the electrostatic
r
potential may be written as
_
_ 2iq 1 iOO
-ioo
sinp(a ~ eo) sinpe Co
psmpa r
dp,
¢ ( r,e ) - {
_ 2iq 1'0.0 sin peopsmpa
-ioo
s~n p( a - e) (ro) Pdp,
r
12.9 In the preceding problem, show that if a = 21f, ro = a, eo = 1f, then
1 + 2yTJasin(e/2) + (r/a)
¢ (r, e) = q 1n CT: .
1- 2 y r/asin(e/2) + (r/a)
Calculate the charge density induced on the conducting boundary e = O.
210 12. The Mellin 'fransform
12.10 If in Problem 12.6 the boundaries are at B = ±a, with the boundary
conditions
u(r, -a) = f(r),
u(r, a) = g(r),
then show that
u(r, B)
f3 r f3
= - 7f cos f3B
{1°O u f3 - 1 f(u)
2 f3 f3 . f3B
0 U
2f3
- r u sm +r 2(3 du
roo u f3 - 1 g(u) }
+ 10 u 2f3 + 2r f3 u f3 sin f3B + r2f3 du ,
where f3 = 7f /2a.
12.11 Solve the Laguerre equation
xy"(x) + (~+ 1 - x)y'(x) + TJY(x) = 0,

by the Mellin transform. In particular, derive the Laguerre polynomials
corresponding to the choices
TJ = m-l+ 1,
~=1(l+1),
where I and m are non-negative integers.
12.12 Show that, if the integral transforms
F(x) = 1 00
h(xt)f(t) dt,
f(t) = 1 00
k(tx)F(x) dx,
are reciprocal to each other, then
H(p)K(l - p) = 1.
12.13 By considering the Mellin transform of Jv(kx), verify that the Han-
kel transform pair (14.1,14.2) satisfies the condition of the previous prob-
lem.
13
Application to Sums and Integrals
This chapter explores some uses of the Mellin transform in obtaining ana-
lytic and asymptotic information about infinite sums and integrals involv-
ing a parameter. The Riemann zeta function, introduced in Section 1.8,
plays a central role for the former.
13.1 Mellin Summation Formula

Suppose we wish to evaluate the sum1
00
S = Lf(n).
n=l
If the function f(n), regarded as a function of a continuous variable, has

the Mellin transform F(p), then we may write
f(n) = -2
1.
7l'Z
l c ioo
+
c-ioo
F(p)n-Pdp, a < Re(p) < /3,
IThis section is based on G.G. MacFarlane, Phil. Mag., 40 (1949), 188. Mac-
Farlane considers the more general problem of evaluating sums of the form
2::=0 !{(n + a)"}.
212 13. Application to Sums and Integrals
and consequently, provided that (3 > 1,
= -. L
1 00 jC+ioo
S F(p)n-Pdp
27fz n=l c-ioo
1 jC+ioo
= 27fi c-ioo F(p)((p) dp, max(l, a) < c < (3,
where the interchange of orders of integration and summation is made

possible because the sum converges uniformly in p on the inversion contour.
The sum of the powers of n is the Riemann zeta function ((p), whose more
important properties are discussed in Section 1.8. It requires Re(p) > 1 for
convergence.
Example 1
We consider the sum
S = ~ cos(3n 0:::; (3 < 27f.

L n2 '
n=l
From Problem 12.2(v), we have M[cos(3n] = (p -1)!(3-Pcos(7fp/2), 0 <

Re(p) < 1, and thus the Mellin transform of cos((3n)/n2 is
(p - 3)'
F(p) = - (3P-2' cos(7fp/2), 2 < Re(p) < 3.
The sum now becomes

1 jC+ioo (p - 3)'
S = --2' . (3p-2 . cos(7fp/2)((p) dp, 2 < c < 3.
7fZ c-,oo
All but two of the poles of (p - 3)! coincide with zeros of cos(7fp/2)((p),
leaving only three poles in total. Using Riemann's functional relation (1.26),
the integral may be cast in a more convenient form which exhibits these
poles explicitly,
(32jC+ioo (27f)P ((1 - p)

S = - 47fi c-ioo 73 (p - 1)(p _ 2) dp.
Evaluating the residues at p = 2, 1 and 0 (the latter the pole of ((1 - p)),
we obtain the simple result
13.2 A Problem of Ramanujin 213
Example 2
Consider the finite series
M (1 _ xm2/3)1/2
S(x) = L
m=l
m 2/ 3 '
where [x- 3/ 2] is the largest integer::::: x- 3/ 2. For small x, the series is

slowly convergent; we will obtain an asymptotic formula.
First, we write
L
00
S(X 2/ 3) = x 2/ 3 f(xm),
m=l
where
t::::: 1,
t> 1.
On using the relation M[f(t a )) = F(P/a. - 1)/a., we obtain
F( ) = ~ (3P/2 - 2)! (1/2)!

p 2 (3p/2 - 1/2)! '
and
S(X2/3) = ~ jC+iOO ~ (3P/2 - 2)! (1/~)! x-p-2/3((P) dp, c> 2/3.

21l"~ c-ioo 2 (3P/2 - 1/2).
Now (3P/2 - 2)! has poles at p = 2/3,0, -2/3, ... ,-(n - 1)2/3, with
residues (2/3)( _l)n In!, and ((P) has a pole at p = 1 with residue 1. Moving
the contour successively to the left, in a similar way to the example on page
200, we obtain the asymptotic expansion
S(x) '" - 31l"

4y'X
(2) 1 -(18 (--32) x
+ ( -3 + -x
4
- 2 + ... . (13.1)
The remainder term, which is a difficult integral, eventually increases with

increasing n. Nevertheless, (13.1) is a useful asymptotic series for small x.
13.2 A Problem of Ramanujin

Consider the function 2
(13.2)
n=-oo
2This treatment is due to B.W. Ninham.

This infinite sum converges for all positive x, but it cannot be summed by
the Mellin summation formula. It obviously satisfiE';; the functional equation
f(ex) = f(e) + f(x),

which is the same functional equation satisfied by the function In x. Is our
function then identically equal to Inx, up to a constant normalizing factor?
We can show that f(x) -=I- Klnx as follows. Equation (12.2) allows us
to represent the exponential function as an integral; substituting this into
(13.2), we may write
00 1 jC+iOO
f(x) = n~oo 211'i c-ioo (p - I)! e-np(x- P - 1) dp
= L -.1 jC+iOO (p -
00
I)! e-np(x- P - 1) dp
n=O 211'2 c-ioo
1 jC+iOO
+L -.
00
(p - I)! emP(x- P - 1) dp
m=l 211'2 c-ioo
=81 +82 .
The first sum 8 1 converges uniformly with respect to p, so that we can

interchange orders of integration and summation and carry out the sum to
write
8 1 =-2'
1 jC+iOO . (p-l)!
(x- 1)
1-
P -
_p dp, c> 0.
11'2 C-%OO e
This interchange is not permissible in the second sum 8 2 , but we can over-
come the problem by observing that the integrand has no pole at p = 0,
the pole due to (p - I)! being cancelled by the zero of (x- P - 1). Thus we
may translate the contour to the left to write
82 = L
00 1
-2.
jC'+iOO (p - I)! emP(x- P - 1) dp, -1 < C' < 0.
m=l 11'2 c'-ioo
On the new contour our sum converges, and interchanging orders we have
82 = - -2'
1jC'+iOO . (p - I)!
(x- 1)
1_
P -
_p dp,
11'2 C'-%OO e
and
f(x) = 2~i fa (p - I)! (~: :-~ ) dp, (13.3)
where the closed contour of integration is indicated in Figure 13.1. The

enclosed poles of the integrand are a simple pole of (p - I)! at p = 0, and
13.3 Asymptotic Behavior of Power Series 215
poles of (p -1)! poles of 1/(1- e-P )
\
-4 -3 -2 -1
simple poles from the zeros of the function 1 - e- P at p = ±27rin, along

the imaginary axis. The residue of the integrand at p = 0 is
x- P -1
lim 1 = -lnx.
P-+O - e- P
Addition of the residues at the other poles gives
L
00
f(x)=-lnx+ (27rin-1)!(x- 21rin -1).

n=-oo
Our function f(x) then does not coincide with the function -lnx, but only
at isolated points given by
(X- 21rin _ 1) = 0, n = 1,2,3, ....
The function in fact wobbles about the function -lnx. A similar problem
led Ramanujin to his fallacious proof of the Prime Number Theorem.
13.3 Asymptotic Behavior of Power Series

A problem that sometimes occurs is that of finding the asymptotic (large
z) behavior of a function defined as a power series in z.3 We have already
seen that an integral representation may be a useful starting point for
asymptotic analysis; the Mellin transform is the most direct method for a
power series because it can combine ascending and descending expansions
in a single representation.
3Dingle [18), Chapter 2.

Consider the integral representation

1
= -.
jC+iOO F(p)z-Pdp,
J(z) c> O. (13.4)
2n~ c-ioo
This will equal the power series Eanz n provided that the contour may be
closed to the left, and that F(p) has simple poles at 0, -1, -2, ... , with
residue an at p = -no A possible choice of F(p) that satisfies this latter
condition is
F(p) = n(-I)pa_pcosecnp, (13.5)
where 0 < c < 1, and we have assumed that the coefficients may be ex-
pressed by a suitable formula.
Stirling's Series
It is shown in many places 4 that for lal < 1, we may write
00
In(a!) = -"Ya + 2:) -1)na n((n)/n,

n=2
and on using (13.5), we have
In(a!) = -"Ya + -.
1 jC+iOO naP. ((p) dp, 1 < c < 2.
2n~ c-ioo P sm np
Using the principle of analytic continuation, we may replace the restriction
lal < 1 by arg(a)1 < n; subsequently moving the contour to the left yields
the asymptotic expansion
- + 2: (-I)n((-n)
In2n 00
In(a!) '" (a + 1/2) Ina - a +- ,

2 nan
n=l
which is known as Stirling's series.
Incomplete Factorial Function

As a second example, consider the functions
(a, z)! = 1 z
to'. e- t dt (13.6)
and
[a, zl! = 1 00
to'. e- t dt
= a! - (a, z),
4For example, Olver [49], page 64.

13.3 Asymptotic Behavior of Power Series 217
where we assume Re(a) > -1. Direct expansion of (13.6) gives the Taylor
series
00 (_l)n z n+O:+1
(a,z)!= ~n!(a+1+n)"
For Re(z) -+ 00, (a,z)! obviously behaves as exp(-z), so it is expedient
to deal also with the function J(z) = exp(z)(a, z)! which is defined by the
power series
00 k 00 ()n
(z) - zO:+l ~ :..... ~ -z
J - ~k!~n!(a+1+n)
- fo
- ZO:+l 00
00
zm { m ( - 1)1
t;(m-l)!l!(a+1+l)
, m
}
0:+1 ~ a.z
=Z ~(a+1+m)r
l
Using (13.4) and (13.5), we tentatively write
, _ a! zO:+l e- z c +ioo (p - I)! (-p)! _ _p
(a, z). - 2. . (+ 1 _ )1 ( z) dp, o < c < 1. (13.7)
7rZ c-,oo a p .
The question of the convergence of this integral can be settled by replacing
p by c + ie
and using the asymptotic forms for large for the factorial e
functions. This gives for the absolute value of the integrand the behavior
exp ( - 7re/2 + e arg( -z)), and thus, it will converge in the sector
I arg(-z) I < 7r/2.
To obtain an integral representation in the sector Iarg(z) I < 7r/2, we must
l
work with the power series for (a, z)! directly, to yield
ZO:+l c +ioo (p - I)!
(a,z)! = -2.
7rZ c-ioo a
+ 1 - p z-Pdp, Iarg(z)I < 7r/2. (13.8)
Moving the path of integration in (13.7) and (13.8) to the right, we obtain
the asymptotic information
(a, z)! ""' a! + O(zO: e- Z ),
Iarg(z) I < 7r/2,
00
1 , 0:+1 -z ~ 1
(
a, z ) . ""' -a. z e L..J (a _ I)! zk+1' I arg(-z) I <7r/2.
k=O
A complete descending expansion of [a, zl! may be obtained by a di-
rect application of the Mellin transform, and this leads to the complete
expansion
zO: e- Z (k - a - I)!
L
00
[a,zl! ""' a! - (-a -I)! (-z)k ' I arg(z)I < 7r/2.

k=O
Further examples of these techniques may be found in the problems.
13.4 Integrals Involving a Parameter

Preliminary Example
Consider the function g(r) defined by
(13.9)
The Mellin transform is simply
Re(p) > o.
On using the inversion integral, and closing the contour to the left, we
obtain the convergent expansion
which may be used to compute the value of g up to 'Y = 10 quite easily.

In the right-hand half-plane, G(p) has no poles, and the Mellin transform
does not yield a descending expansion in this cases.
A General Class of Problems

The integral (13.9) is a convolution, of a type that has a particularly simple
Mellin transform. A very general class of integrals whose asymptotics may
be investigated using the Mellin transform is 5
h(>') = 100
f(y)g(>.y) dy. (13.10)
It was shown in (12.7) that the Mellin transform of (13.10) is
H(p) = F(l - p)G(p).
The range of p for which this is initially defined, which fixes the placement
of the inversion contour, must be determined in any particular case.
5 A comprehensive analysis of the use of Mellin transforms to investigate inte-

grals of the form (13.10) may be found in Bleistein and Handelsman [12].
13.4 Integrals Involving a Parameter 219
As an example, Watson's lemma is easily derived. In this case, the inte-

gral of interest is
h(A) = LX! f(y) e-)..Y dy,
and the Mellin transform is
H(p) = (p - I)! F(l - p).
There are two restrictions on p:
(i) Re(p) > 0, in order that the Mellin transform of the exponential
should be defined.
(ii) Re(l-p) must be in the range of convergence for the Mellin transform
of f(x).
Convergence of the integral defining F (1 - p) depends on the asymptotic

behavior of f (x) for both small and large values of s. In order to separate
the two problems, it is convenient to define two new functions hand 12 as
h(x) = f(x)h(l- x), 12(x) = f(x)h(x- 1).

Using h in place of f will yield the ascending (small x) expansion, using
12 the descending expansion. We now assume that hand 12 have the
asymptotic forms
x -+ 0,
n
x -+ 00, /-l1 < /-l2 < ....

n
Note that the restriction on A1 is necessary in order to make the original

integral converge. With these asymptotic forms, it is readily shown (an
analogous case is analyzed in Section 13.5) that the singularities of F1(1-p)
are simple poles at p = An + 1 with residues -an. The singularities of
F2 (1- p) are simple poles at p = 1- /-In. Descending expansions of h(A) are
obtained by moving the inversion contours for h1 (A) and h2(A) to the right.
For H 1(p), the contour must originally be chosen so that 0 < Re(p) < l+An
and for H2(p) so that Re(p) > 0 and Re(p) > 1 - /-l1. When we move
the contours, we pick up a residue at each pole of F1 (1 - p); there are
no contributions from F 2 (1- p). In this way, Watson's lemma is recovered.
More general forms involving logarithms are readily included at the expense
of more algebra.
Partition Function of an Electron Gas

An important correction to the equation of state of a classical electron gas
is given by the integra16
where
e- Kx
q(x) = f3E2_-.
x
We require an asymptotic expansion for small values of the parameter
.\ = Kf3E2. Using the integral representation (12.2), we may translate the
contour to the left, writing
_ y2 1 jC+iOO _
e y -1 +y - - = -. (p - I)! y Pdp, -3 < c < -2.
2 21rz c-ioo
Now we replace y by q(x), and get, after integration
f(.\) = 100
x 2dx -2'
1 jC+iOO
. (p - I)!
(e- KX )-P
f3E2_- dp.
o 1rZ c-,oo X
A change of variable to t = x / f3E2 and the substitution K f3E2 = .\ give
-3 < c < -2.
For the contour above, the orders of integration may be interchanged, and
the t integration performed at once. Thus,
so that
The integrand has double poles at p = -3, -4, -5, ... , and evaluating the
residues at these poles, we obtain the expansion
6This treatment is due to B.W. Ninham.

13.5 Ascending Expansions for Fourier Integrals 221
The first term of this expansion
6"1 ( ln 3 + 2, - "6
1+1 ),
ln A (13.11)
where, is Euler's constant, was first obtained by Abe by a much more

cumbersome calculation. Note that the Mellin transform method yields the
complete expansion of the integral f(A) almost trivially.
13.5 Ascending Expansions for Fourier Integrals

As another example, consider the integra1 7
which is a typical Fourier integral representation for the function f(x). To

obtain an expansion for small x, we might try to replace the exponential
term by its Taylor series, and integrate term-by-term, which gives
(13.12)
This will give the first few terms of an asymptotic expansion if the first few
integrals converge, but in most cases it is not particularly useful. Suppose
now that A(k) has the asymptotic form
=
A(k) rv k- v Lalk-1, k --+ 00, 0<1/<1. (13.13)
1=0
The analysis of the cases 1/ = 0 and 1/ = 1 require some modifications of

the following arguments, and are left to the problems. In the present case,
we note that if A(k) satisfies rather general conditions, then f(x) --+ 0 as
x --+ 00. Furthermore, it is easily shown that the asymptotic form (13.13)
implies that f(x) rv x v - 1 as x --+ O.
For 1/ < Re(p) < 1, we consider the Mellin transform of f(x), viz
1 - 1/ < Re(p) < 1. (13.14)
In order to obtain an ascending expansion for f(x), we need to know the

analytic structure of F(p) for Re(p) < 1 - 1/. To this end, we first define
7The results were obtained by H.C. Levey and J.J. Mahony, Q. Appl. Maths.,
26 (1967), 101, by a direct analysis. It is interesting to compare the two methods
of derivation.
the functions Rn (k) by

n
Rn(k) = A(k) - k-vL,a1k- 1.
1=0
Now for Re(p) > 1 - v we may write
1 00
A(k)k-Pdk = 11 A(k)k-Pdk + 1 00
Rn(k)k-Pdk
(13.15)
n
= !tn (p) + '"'

~ p + v al+ l - 1 '
1=0
where !tn (p) is the sum of the first two integrals, and is an analytic function
for -v - n < Re(p) < 1. Thus, (13.15) is an analytic continuation into
this larger region. Moreover, we note that if we restrict p to the strip
-v - n < Re(p) < 1- v - n, then
r A(k)k-Pdp = Jor Rn(k)k-Pdp - t1=0

Jo
1 1
P+V
al l
+ - 1
'
so that one analytic continuation of F(p) into this strip is obtained by

replacing A(k) by Rn(k) in (13.14).
Returning to F(p), we see that there are poles at p = -n, n = 0,1,2, ... ,
due to the factor (p - I)!; the residues in the Mellin inversion are
(ixt roo
Rn(k)kndk.
n. Jo
There are also poles from the integral (13.15) at p = I-v-n, n = 0,1,2, ... ,
with corresponding residues
(-v - n)! ei7r (1-v-n)/2 an x v +n - 1
= _7r_ xv - 1 e i7r (1-v)/2 an(ix)n
sin7rv (v+n-l)!
Consequently, moving the contour of the inversion integral to the left gives
the asymptotic series
roo A(k) eikx dk '" f (i~!m roo Rm(k)kmdk

Jo m=O Jo
+ _7r_ xv - 1 e i7r (1-v)/2
sin 7rV
f am(ix)m
(m + v - 1)1"
(13.16)
m=O
It is instructive to compare this with (13.12) in particular, if the first N
coefficients an are zero, then (13.16) and (13.12) coincide for the first N
terms.
Problems 223
Problems
f
13.1 Evaluate
sin(3n.
n=l n
13.2 Show that

00
n=l
00
2)2n + 1)-8 = (1 - 2- 8 ) ((8).

n=O
13.3 Evaluate
13.4 Derive the Jacobi theta function transformation,
n=-CX) m=-oo
by comparing the Mellin inversion integral of each side of the relation.
13.5 Show that 8

00 2100
L In(1 - e- nX ) =- ;X - 2"ln(x/27r) + ;4 + L 2
In(1 - 47r n/x).
n=l n=l
13.6 By writing
show that
m (_1)/ (a -1)!
L
1=0
(m-l)!l!(a+l) = (m+a)!'
8This is a transformation in the theory of elliptic modular functions.

13.7 Let
00 (_x)n
f(x) = L
n=O
n! (2n + 1)'
and
g(x) = eX f(x).
Show that
fo 00 xn
g(x) = 2 ~ (n+ 1/2)!·
Hence, deduce the integral representations
f(x) = -1. j C+iOO (p - 1)'

. x-Pdp, I arg(x) I < 1f/2,
2m, c-ioo 1 - 2p
g(x) =~ jC+iOO (p - I)! (-p~! (-x)-Pdp,
larg(-x)1 < 1f/2.
21fz c+ioo (-p+l/2).
{v:
and the asymptotic series
x- 1/ 2 + O(x- 1 e- X), I arg(x) I < 1f/2,

f(x) = -x
+ O(x- 1/ 2)
00
_e_ ' " (n - 1/2)!
2ft f::o
(_x)n+1 '
I arg( -x)1 < 1f/2.
13.8 Obtain ascending and descending expansions for the following inte-
grals:
(i) erfc(x). (See Problem 12.4.)
(ii) Ci(x). (See Problem 12.5.)
(See Problem 12.3(vi).)
rOO u 2 / 3 e- u2
(iv) Jo (u + x)1/3 duo (See Problem 12.3(vii).)
(v) 1 00
u2 ln(1 - e- vu4 +",) duo
13.9 If
u(y) = 11 t3(I-t4)1/2e-tYsintydt,
show that for large y
u(y) = r 3/ 4J1fe- Y {y-3/2(y + 31f/8) + O(y-5/2)}.

Problems 225
13.10 By taking the Mellin transform with respect to x in the Poisson

integral representation of Jv(x), deduce the asymptotic expansion
13.11 For integer s, show that
1o dx 100 1 - e-1 +y
13.12 If
1 ay2x (1-x)
f(a) = 2 dy,
0
show directly that for small a
Use the Mellin transform to find complete ascending and descending ex-
pansions.
13.13 If (13.11) is replaced by
n
A(k) = La1k- 1 + O(k- n- 1 ),
1=1
then show that the ascending expansion for f(x) is
f(x) = L (ix)n {
n!
[00 Rn(k)kndk
10
n
+ an+! (-ln1x1+lnl'+ i; sgmx + ~ ~) },

where
n
Rn(k) = A(k) - L ark- r - an+lk-n-1h(k - 1),
r=l
and h is the Heaviside step function.

14
Hankel Transforms
Bessel functions have often occurred in our investigations of the Laplace and
Fourier transforms; indeed, we could rewrite most of the formulae we have
derived using Bessel functions of order ±1j2, since they may be written in
terms of sin x, cos x and e±x. In this chapter we explore the use of Bessel
functions (also called cylinder functions) in integral transforms.
14.1 The Hankel Transform Pair

We noted in Problem 12.13 that, formally, the integral transform
(14.1)
has for its inverse the reciprocal formula
(14.2)
These formulae constitute the Hankel transform pair. Proof of the validity
of these results for various classes of functions, such as functions satisfying
Dirichlet conditions, may be found in various places. 1 We will be content
here to reproduce a rather elegant treatment due to MacRobert which is
sufficient to cover many situations that occur in practice.
1 For example, Sneddon [56].

228 14. Hankel 1fansforms
Im(x)
Re(x)
x=a x=b
Cz
FIGURE 14.1. Contours for MacRobert's proof.
MacRobert's Proof
We consider the integral
1 00
JII(kt) kdk lb JII(kx)f(x) xdx, 0< a < b, (14.3)
where we assume that f (x) is analytic in some region of the complex plane
containing the line a :::; x :::; b. Now we use (18.39) to split up one of the
Bessel functions into Hankel functions, and deform the x contour onto the
contours C 1 and C2 shown in Figure 14.1. Thus, (14.3) becomes
~
2
roo JII(kt) kdk
io
l H~I)(kx)f(x)xdx
l H~2)(kx)f(x)xdx.
C1
(14.4)
+~ roo J (kt) kdk
io II C2
We may reverse the order of integration because the Hankel functions fall
off exponentially, on the respective contours C 1 and C2 , as k -+ 00.
Now recall Lommel's integral;2 for any pair of cylinder functions UII(z)
and Vv(z),
(A2 -1.1.2) lb Ull (AX)Vv (jlx) xdx
= [jlXUII(AX)V:(jlx) - AXU~(AX)VII(J1x)]:.
Application to (14.4) yields
!..1 (t/x)1I f(x) xdx

x2 - t 2
-!..1 (t/x)1I f(x) xdx
x2 - t 2
11(t/x) {II}
7r C1 7r C2
= -. - - -
11-1 f(x) dx
27rz C t +t X - x
= {f(t), a < t < b,
0, otherwise.
2Watson [70], page 134.

14.1 The Hankel Transform Pair 229
From this, the transform pair (14.1,14.2) follow provided that either f(x)
or Fv(k) has the necessary analytic properties. 3 This is usually the case
for practical applications, although (14.1) and (14.2) are valid for a wider
class of functions. 4
Connection with the Fourier Transform

Consider the two-variable Fourier transform pair5
(14.5a)
(14.5b)
Suppose that we introduce polar coordinates for rand k, that is,
r=(r,e), k=(k,¢),
and expand both f(r, e) and F(k, ¢) in Fourier series. This gives
L
00
f(r, e) = fn(r) ein () , (14.6a)

n=-oo
L
00
F(k, ¢) = Fn(k) einq" (14.6b)

n=-oo
where
fn(r) = 2~ fo27r f(r, e) e- in () de, (14.7a)
Fn(k) = ~ 127r F(k, ¢) e-inq, d¢. (14.7b)

27r 0
3If Fv(k) is analytic in a region of the complex plane containing a :::; k :::; b,
then we replace (14.3) by
1= Jv(kx)xdx lb Jv (px)Fv (p) pdp.
4In particular, the case b -+ 00 is easy to handle. Also if the interval 0 :::; x < 00
may be split up into a finite number of subintervals, in each of which the condition
of MacRobert's proof applies, then the proof is easily generalized. This covers
most functions that arise in applications.
5We have chosen the constants 2?T in a more symmetrical way than in Chap-
ter 11.
230 14. Hankel Transforms
Now on substituting (14.5a) into (14.7b) and using (14.6a) to represent

f(r, B), we obtain
Fn(k) =
1
22 int" e-inq, d¢ inroo rdr inr 27r
eikrcos(()-q,) L
00
fm(r) eim () dB
(n) 0 0 0 m=-oo
= -1 1 00
fn(r) rdr 127r eino+ikrcosa da
1
2n 0 0
00
= fn(r)Jn(kr) rdr.
Similarly, we may derive the relation
These are the Hankel transform pair for integer v.

Because of their increased generality over the Laplace and Fourier trans-
forms, Hankel transforms do not have so many elementary properties as
the former. We will recount here some elementary properties that do cor-
respond.
Derivatives
Suppose that Fv (k) is the Hankel transform of order v of the function f (x);
then the Hankel transform of the function g(x) = f'(x) is
We assume that the behavior of f(x) at 0 and 00 makes the bracket zero,
and use (18.28) and (18.29) to write
Hence,
Gv(k) = -k (v + 2v
1 F v- 1 (k) _ v-I
2v
FV+l(k)).
Formulae for transforms of higher derivatives may be obtained by repeated

application of this result.
14.3 Some Examples 231
Bessel's Equation
Let f(x) be an arbitrary function; then we consider the transform of the
combination
d2 1d v2
g(x) = -f(x) + -- f(x) - - f(x).
dx 2 X dx x2
Integrating by parts, and assuming at each stage that the contributions
from x = 0 and x = 00 are zero, we have
Thus, Hankel transforms lead to significant simplification in problems in-

volving Bessel's equation.
Parseval Relations
There is no simple addition formula for Bessel functions, such as exist for
the exponential and trigonometric functions; thus, the Hankel transform
does not satisfy any simple convolution relation. However, a simple relation
of Parseval type can be derived as follows. Let Fy(k) and Gy(k) be Hankel
transforms of order v, then
1 00
Fy(k)Gy(k) kdk = 1
00
Fy(k) kdk 100
g(x)Jy(kx) xdx
= 1
00
g(x) xdx 100
Fy (k)Jy (kx) kdk
= 1
00
f(x)g(x) xdx.
The similarity with (7.16) and (7.17) is obvious; see Problem 7.1(xv) for
the exact analogue.
14.3 Some Examples

Let
JL> -1;
then, on expanding Jv(kx) by (18.27), we have
Fv(k) = loa xv+l(a2 - x 2)Jl Jv(kx) dx
= ~ (-1)m(k/2y+2m r x2v+2m+l(a2 _ x 2)Jldx.

~o (v+m)!m! Jo
The latter integral is a beta function (page 23); expressing it in terms of
factorials we get
(-l)mjl! (k/2)v+2m a 2Jl+2v+2m+2
00
Fv(k) = fo 2(jl+ v+m+ l)!m! (14.8)

= 2JlaJl+v+lk-Jl-ljl! JV+Jl+l(ak).
On using the reciprocal Hankel transform, and replacing jl + v + 1 by jl,
we obtain another useful integral, namely,
rOO bV(a 2 _ b2)Jl-v-l
Jo x 1- Jl +v JJl (ax )Jv(bx) dx = 2Jl - v - 1a Jl (jl _ v-I )! h( a - b), (14.9)
where the restriction jl > v is needed to make the integral converge. A

further result is obtained by setting jl = 0 in (14.8), and using the Parseval
relation, so that
rOO Jv+1(ax)Jz;+1(bx) dx = (ab)-v-l roo k2v+lh(k _ a)h(k _ b) dk

Jo x Jo
I (a)v+l
a < b,
= { 2(v+1) b '
1 (b)V+l a> b.
2(v+ 1) a
Many other similar and related results may be obtained; some of them are
stated in the problems.
14.4 Boundary-Value Problems

The Hankel transform may be used to solve numerous boundary-value prob-
lems in a relatively straightforward way, using various properties of Bessel
functions. We solve two illustrative problems here; others are found in the
problems.
Heat Conduction
Suppose that heat enters a semi-infinite body, -00 < x < 00, -00 < y <
00, Z :::: 0, of thermal conductivity Ii, through a disc on the surface of radius
14.4 Boundary-Value Problems 233
a, at a constant rate Q. The remainder of the surface at z = 0 is insulated.

We will find the steady-state temperature distribution, u( r, z), of the body,
satisfying Laplace's equation with appropriate boundary conditions. Using
cylindrical polar coordinates, we may write for u(r, z) the equations
02U 1 au 02u
£:I
ur 2 + -r -;:,}
ur + uZ
~ 2 = 0,
-K, au = { Q/7fa 2, r < a,

OZ 0, r> a.
On taking the Hankel transform of order zero we find for U(k, z) the equa-
tions
Uzz(k, z) - k 2U(k, z) = 0,
-K,Uz(k,O) = QJ1 (ka)/7fka.
The solution, chosen to remain finite as z -+ 00, is
U(k,z) =!L J 1 (ka) e- kz ,

7fK,a k
leading to a temperature distribution given by the integral representation
( ) _ !Ll°O Jo(kr)J
u r,z - k
1 (ka) -kzdk
e .
7fK,a 0
An Electrostatic Problem
We will find the axially symmetric electrostatic potential generated in the
space between two grounded plates at z = ±a by a point charge q at r = 0,
z = O. This potential satisfies Laplace's equation except at the origin where
it has the singular behavior ¢(r, z) c:::: q/v'r 2 + z2.
On writing ¢(r, z) = q/v'r 2 + z2+IjJ(r, z), we are faced with the equations
o2'lj;(r, z) 1 o'lj;(r, z) o2'lj;(r, z) 0
or2 + ;: or + OZ2 =,
q
'lj;(r, ±a) + = O.
v'r2 + a2
The Hankel transform of order zero turns these into the simpler equations
o2lJ!(k, z) _ k2lJ!(k ) = 0
oz2 ,z,
qe- ka
lJ!(k, ±a) = --k-'
and the solutions follow immediately, viz
lJ!(k ) = _ cosh kz e- ka
,z
¢(r, z)
q cosh ka k '
=
v'r2
q
+ Z2
- q 1
0
00
cosh kz k
hk e- a Jo(kr) dk.
cos a
14.5 Weber's Integral

For some applications a generalization of the Hankel transform, using We-
ber's integral, may be useful. We sketch a few salient points here, relegating
most of the details to the problems. We commence by considering the cylin-
der functions
chosen6 so that Zv(ka) = 0. It can be shown that if Zv(kr) rather than

Jv(kr) is used in (14.1), we obtain the transform pair
Fv(k) = 1 00
f(x)Zv(kx) xdx, (14.10)
roo Zv(kx)
f(x) = io Fv(k) J~(ka) + Y,3(ka) kdk. (14.11)
Simple Application
We consider an infinite slab of uniform solid material of thickness 2l,
through which there is a circular hole ofradius a. If the plane faces are held
at one temperature (which we arbitrarily label as zero temperature), while
the cylindrical surface is heated to a temperature, To, then the steady-state
temperature u(r, z) will satisfy the equations.
8 2u(r, z) 1 8u(r, z) 8 2u(r, z) _ 0

8r2 + -:;: 8r + 8z2 -,
u(r, ±l) = 0,
u(a,z) = To.
Now on using the transform (14.10) with v = 0, together with the result of
Problem 14.4, we obtain the ordinary differential equation
and the solution, chosen to satisfy the boundary condition U(k, ±l) = 0, is
U(k,z) = _ 2To
7rk 2
(1- COShkZ).
coshkl
Use of the inversion integral (14.11) now yields an integral representation

of the solution.
6 Another transform is obtained from the choice Z~(ka) = O.

14.5 Weber's Integral 235
7itrl21
5itrl21
3itrl21
C4 (above)
itrl21
112 312 5/2 7/2

-itrl21
C2 (below)
-3itrl21
C3
-5itrl21
-7itrl21
Connection with Fourier Series

This problem may also be solved by expanding in a Fourier cosine series
in the z-variable, and we are led to seek the connection between the two
solutions. On expressing the Bessel functions in (14.11) as Hankel functions,
we may write u(r, z) as
Now the functions H61,2)(z) have no zeros for Re(z) > 0; hence, we may
deform the contour of integration as follows:
(i) The term multiplied by H6

1 ) (kr) /H6
1 ) (ka) is integrated along the
contour C 1 of Figure 14.2, which is chosen to coincide with the imag-

inary axis except for indentations around the poles of U(k, z) at kl =
in (n + 1/2), n = 0,1,2, .... After this change of contour, we introduce
the new variable ~ = -ik, so that the contour for ~ is C2 •
(ii) The term multiplied by H6

2 ) (kr) / H6
2 ) (ka) is integrated along C •
3
Subsequently we write ~ = ik to bring the ~ contour to C4 .
It is evident that the contours C2 and C4 coincide, except for the inden-
tations at ~n = n(n+ 1/2)/l, where they pass on either side. Hence, (14.12)
becomes
u(r z) = _ To (
,
Ko(~r)
7ri }C2- C 4 Ko(~a)
(1- COS~z) d~
cos~l ~
00 (_1)n KO(~nr)
= - 2To ~ ~ KO(~na) cos~nz,
which is the solution as a Fourier cosine series.
14.6 The Electrified Disc

To motivate the following sections, we first solve a classical mixed boundary-
value problem of electrostatics. 7 We wish to find the electrostatic potential
¢ created by an isolated thin conducting disc, of radius a, whose potential
is V. On noting the symmetry of the problem about the axis of the disc
e,
and introducing cylindrical polar coordinates r, z, we reduce the problem
to that of satisfying the equations
82¢ 18¢ 82 ¢
8r 2 + --8
r r + 8 z 2 = 0,
(14.13)
and
¢(r, 0) = V, r < a,
8¢ 8¢ (14.14)
8z (r, 0+) = 8z (r, 0-), r> a.
Applying the Hankel transform of order zero, we easily find from (14.13)
that
p(k,z) = A(k)e- k1zl ,
so that the boundary conditions (14.14) reduce to the dual integral equa-
tions
1 00
A(k)Jo(kr) kdk = v, r < a, (14.15a)
1 00
kA(k)Jo(kr) kdk = 0, r > a. (14.15b)
If we differentiate (14.15a) with respect to r, we obtain an alternative pair

of equations, namely,
1 00
A(k)J1 (kr) k 2 dk = 0, r < a,
1 00
A(k)Jo(kr) k 2 dk = 0, r > a.
7The most comprehensive reference on mixed boundary-value problems and

dual integral equations is Sneddon [55].
14.7 Dual Integral Equations of Titchmarsh Type 237
From (14.9), we see that the function

A(k) = C(ka)-3/2J1 / 2(ka)
satisfies both of these equations; furthermore (14.9) gives, with this form
for A(k),
8¢(rO)=_C her-a) f%.
8r' a V;: n/r2 - a2 '
1
and thus,
00 8¢
¢(r,O) = - r 8s (s, 0) ds,
= { ~~ arcsin(a/r), r > a,
~fx, r < a.
Finally, this implies C = Va\/2/7f, so that
¢(r, z) = 2V roo sinka Jo(kr) e-k1zl dk.

7f Jo k
14.7 Dual Integral Equations of Titchmarsh Type

Equations of the type
1 00
k- 2ex A(k)JfL(kx) kdk = f(x), x < a,
1 00
k- 2f3 A(k)Jv(kx) kdk = g(x), x> a,
(14.16)
where f(x) and g(x) are only known over part of the range 0 < x < 00,
and it is required to determine A(k), occur in certain mixed boundary-
value problems such as the electrified disc. A convenient formalism for
the solution of these equations may be developed using a modified Hankel
transform defined by
Sv,exf = (2/k)ex 1 00
x-ex f(x)J 2v +ex (kx) xdx.
It is readily verified that the inversion formula for this transform is given
by
S;;:~ = Sv+ex,-ex. (14.17)
Now the dual integral equations (14.16) may be written
SfL/2-ex,2exA(k) = (2/x)2ex f(x), x < a,
(14.18)
Sv/2-f3,2f3 A (k) = (2/X)2 f3 g(X), x> a.
Suppose that we can find two operators L 1, L2 with the following proper-
ties:
,i) For some pair 'Y, 8,
(ii) Ld only involves values of f(x) for x S a.

(iii) L 2 g only involves values of g(x) for x ~ a.
Then (14.18) will become
x < a,
(14.19)
x> a,
and A(k) may be found by applying the inverse operator S"(+O,-8 to the
right-hand side, which is a known function.
Choice of Operators
Using the inversion (14.17) on (14.18), we find that L1 and L2 must satisfy
L1 = S"(,8Sf.L/2+Ot,-200
L2 = S"(,8S.,/2+/3,-2/3'
We will deal here with L 1, leaving the corresponding calculations for L2 to
the reader. Written as a double integral, Ld is
Ld = (2/x)8 1 00
k- 8J 2"(+o(kx) kdk
x (k/2)2Ot 1 00
u 20t Jf.L(ku)f(u) udu,
and, if we interchange the order of integration, this appears as
Ld = 1 00
w(x, u)f(u) du,
w(x, u) = 28-2Otx-8u1+20t 1 00
k 2Ot - 8J2,,(+O (kx)Jf.L (ku) kdk.
This equation represents the first of three conditions that we want the
operators L1 and L2 to satisfy. The second condition requires that w(x, u) =
o when u > x, and reference to (14.9) shows that this is easily satisfied by
choosing 'Y = ",,/2 - a, for which
Ld = 2x 2Ot - 28 -f.L
(8 - 2a -I)!
l
0
x
u1+ 2Ot +f.L(X2 - u 2)8-2Ot-1 f(u) duo (14.20)
In a similar way, the choice r5 = (v - fJ,) /2 + 0; - f3 gives

2X M- 2a
L 2g = ...,.-.,.---,-----:-----:-:-
+ 0; - f3 -
1
(v/2 - fJ,/2 I)!
(14.21 )
x
00
u1+ 2i3-l/(u 2 - x 2 )a- i3 +l//2- M/2-1 g (u) duo
On using these expressions in (14.19), the problem is formally solved.
Restrictions on Parameters
If f(u) and g(u) tend to finite (nonzero) limits as u --+ 0 and u --+ 00,
respectively, then we need
-fJ, - 2 < 20; < fJ,
for both integrals (14.20) and (14.21) to converge at these limits. This
causes no difficulty, since we may choose a new 0; by redefining A(k) by
k- 2a A(k) = k- 2a ' A'(k).
In order for the integrals to converge at u = x, we also need the restrictions

v-fJ,
- - ±0;-f3 > o.
2
However, by extending the definition of the operation suitably, we may lift
this restriction, and we turn to this task in the next section.
14.8 Erdelyi-Kober Operators

The operators L 1 , L2 are usually known as the Erdelyi-Ki:iber operators of
fractional integration, and in the conventional notation are defined as
I f = 2X- 2a - 2'11 x U 2'1+1(X 2 - u 2 )a-1f(u) du
1
'1,a (0; -I)! 0 '
K f = 2x2'1 00
u-2a-2'1+1(u2 - x 2 )a-1f(u) duo
1),a (0; - I)! x
These definitions are restricted by Re(1J) > -1/2, Re(O;) > O.
Properties
We will investigate here the operators 11),0< only, relegating the correspond-
ing properties of K1),a to the problems. First, we note that
(14.22)
Second, we consider
11J,aI1J+0I.,f3f(x)
2 X-21J-2a
= (a _ I)!
l x
21J+1 2 2 a-I
1
0 u (x - u) du
2 -2 1J -201.- 2f3 u
x u t21J+201.+1(u2 _ t 2)f3- 1f(t)dt.
(,8-1)! 0
Interchanging the order of integration, and evaluating the u integral by the

variable change s = (1- t 2ju 2)j(1 - t 2jx 2), which transforms it to a beta
function, we find that
(14.23)
A similar treatment shows that
(14.24)
Connection with Differentiation

We introduce the differential operator
1 d
Dx=--·
2xdx
Then, on using integration by parts, we see that
and recursive use of this formula yields
x 2ml1J,OI.X -21JD xm X21J = 11J,OI.-m, Re(a-m) >0. (14.25)
Similarly,
and in this case, repeated application yields
Re(a-m) >0. (14.26)

We will now lift the restriction Re(o:) > 0 from 1'f/,a and formulae involving
1'f/,a. First we use (14.25) to define 1'f/,a when Re(o:) < 0 by choosing an
integer m such that Re( 0: + m) > 0 and writing
I 'f/,a f(x) = X- 2'1- 2a D xm x 2'f/+2a+2m I 'f/,a+m f(x).
It is trivial to show that with this definition, (14.22), (14.25), and (14.26)
hold without the restriction on Re( 0:). Moreover,
1'1,of(x) = f(x). (14.27)
Now on setting (3 = -0: in (14.23) we find that if Re(o:) < 0, then

I 'f/,a I 'f/+a,-a = x -2'1-2aDm
x X
2'f/+2a+2mI 'f/,a+m I 'f/+a,-a
_ x-2'1-2aDmx2'1+2a+2mI
- x 'f/+a,m
=1'f/+a,o.
Thus, from (14.27), another possible definition of 1'f/,a for Re(o:) < 0 is
(14.28)
Now let Re(o:) > 0, Re((3) > 0; then on taking the inverse of (14.23).
r1 1- 1
'f/+a,13 'f/,a
r1
= '1,a+13'
which, on using (14.28), and making the substitutions 'T} + 0: + (3 -+ 'T},
-(3 -+ 0:, -0: -+ (3, becomes (14.23) again, except that now Re(o:) < 0 and
Re((3) < O. By similar arguments, (14.23) and (14.24) may be extended to
all values of 0: and (3.
Connection with Modified Hankel Transform

Consider
By similar methods, we could also derive the identities
SrJ+Dl,/31rJ,Dl = SrJ,Dl+/3,
KrJ,DlSrJ+Dl,/3 = SrJ,Dl+/3,
SrJ,DlKrJ +Dl,/3 = SrJ,Dl+/3,
SrJ+Dl,/3SrJ,Dl = 1"1,01.+/3,
SrJ,DlSrJ+Dl,/3 = K rJ ,Dl+/3.
Finally, we note that in the notation of the Erdelyi-Kober operators, the
solution of the dual integral equations (14.16) is given by
where
oX = p,j2 + v /2 - a + (3,
and
x < a,
x> a.
Problems
14.1 Prove the following general properties of Hankel transforms of order
v:
(i) 1£v [!(ax)] = a- 2Fv(k/a).
(ii) 1£v [x- I !(x)] = 2kv (Fv-I(k) + FV+l(k)).
(iii) 1£v [XV- I :x (xl-V !(x))] = -kFv-I(k).
(iv) 1£v [x- V- I d~ (XV+l!(x))] = kFv+l(k).
14.2 Verify the following Hankel transforms 8
( .) 'lJ [ v-I -PX] = (2k)V(v - 1/2)!

1 rLv X e . r;;;( 2 +k 2) V +1/2·
y1rP
8Note the fact that HI' [e- px f(x)] =.c [xf(x)Jv(kx)].

Problems 243
(
.•• ) '1/ [P-l] 2P (v/2 + p/2 - 1/2)!
III T"Lv X = kP+1(v/2-p/2-1/2)!.
14.3 Use (14.9) to show that (Bonine's first integral)
14.4 Show that
- b 2)
No [ e- ax 2 Jo(bx) ] ="2a exp (k2 4a 10 ( 2a
bk ) .
14.5 Use the result of Problem 18.16 to show that (Bonine's second inte-
gral)
1 00
tl"+l (t 2 + a2)-v /2 J v (bVt2 + a2) JI"(xt)dt
= b- Vxl"a- v+I"+1(b2 - x 2)(v-I"+1)/2 JV-I"-l (a V b2 - X2) h(b - X).
14.6 Set u 2 = t 2 + a2 in Sonine's second integral and then let X -+ 0, to

show that
14.7 Let ¢ be a solution of Laplace's equation in the half-space z 2: o.

The boundary z = 0 is held at the potential ¢ = f(r), which is axially
symmetric on the boundary. Show that the potential elsewhere is given by
the expression
¢(r, z) = 1 00
Fo(k)Jo(kr) e- kz kdk.
Examine the special case f(r) = Vh(r - a) and show that
14.8 The initial temperature distribution of an infinite uniform region is

u(r,O) = f(lrJ). Show that
u(r, t) = ;t 1
00
e-l«r
2
+s 2 )/4t 10 (Krs/2t)f(s) sds.
(Use Problem 14.4.)

-q +q
x= - l x=-a x= a x= l
_-'- __
FIGURE 14.3. Configuration for Problem 14.10.
14.9 The small-amplitude vibration of a thin elastic plate are described by

the equation
2 4 {PW
c \7 w + {)t 2 = 0,
where c is the ratio of the rigidity of the plate (against bending) and its
mass per unit area. Show that an infinite plate, starting from the axially
symmetric initial conditions
w(r,O) = f(r),
wt(r,O) = 0,
may be described subsequently by the expression
w(r, t) = 1 00
Fo(k)Jo(kr) cos(ctk 2) kdk.
Extend Problem 14.4 to verify the relation
1
o
00 1
Jo(kr)Jo(ks) cos(ctk 2) kdk = - Jo(rs/2ct) sin{(r2
2ct
+ s2)/4ct},
and hence, derive the alternative formula
w(r, t) = -1
2ct
1 0
00
Jo(rs/2ct) sin{(r2 + s2)/4ct} f(s) sds.
14.10 Two point charges +q, -q, are placed in a vacuum on either side
of a slab of material of dielectric constant E. The geometry is shown in
Figure 14.3; the boundary conditions are as in Problem 11.7. Find an ex-
pression for the electrostatic potential in each of the three regions.
Problems 245
14.11 A direct current J enters a semi-infinite region z ~ 0 of conductivity

a through an electrode of radius a making contact at the surface z = o.
Show that the current density j is given by
j = -V'u,
where
( )_ 1
u r,z -
~
'Traa 0
00
J 1 (ka)Jo(kr) e- kz dk
k.
Show that as a -+ 0,
14.12 Show that the solution of the dual integral equations
1 00
A(k)J1 (kx) dk = -1, x < 1,
1 00
kA(k)J1 (kx) dk = 0, x> 1,
is
A(k) = cosk-l.
k
1 00
A(k)sinkxdk = f(x), x < 1,
1 00
kA(k)sinkxdk = 0, x> 1,
is given by
A(k) = ~ ior Jo(kx) dx ddx io

'Tr
1
(r Jyf(y)
x2 _ y2
dY).
1 00
A(k)Jo(kx) kdk = f(x), x < 1,
1 00
A(k)Jo(kx) dk = 0, x> 1,
is
A(k) = - 211
'Tr 0
sinkxdx 1 0
x
J yf(y)
x2 _ y2
dy.
14.15 Consider the problem of finding a function u(x, y) that is harmonic

in the half-plane y :2: 0 and satisfies the mixed boundary conditions
uy(x, O) = v(x), Ixl < 1,

u(x,O) = 0, Ixl > 1.
(i) Obtain a pair of dual integral equations by writing
v(x) = v+(x) + v-(x),

v+(x) = (v(x) + v( -x))/2,
v-(x) = (v(x) - v( -x))/2,
with a similar definition of u+, u-, and using the Fourier cosine transform
on u+ and Fourier sine transform on u-. Show that, if v- = 0, then
u(x,y) = - 21
7r 0
00
A(k) coskxe- ky dk,
where
A(k) = _ (I tJo(kt) dt {t ~ ds.
10 10 t - s
(ii) Find the remainder of the solution when v- #- O.

(iii) Show that the solution with v = -1 is
( )_10roo JI(k)coskxe-
u x,y - k
ky dk
.
14.16 Verify the relations
K'f/,ax2(3 f(x) = x 2(3 K'f/-(3,af(x) ,

K'f/,a K'f/+a,(3 = K'f/,a+(3,
x2'f/+2nD~x-2'f/K'f/,a+nf(x) = K'f/+n,af(x).
14.17 Consider the dual integral equations
1 00
G(k)A(k)Jy(kx) dk = f(x), x < 1,
1 00
A(k)Jy(kx) kdk = 0, x> 1,
where G(k) is a given function, with the asymptotic form
k -+ 00, a> O.
Problems 247
z
z=l
z=O r= 1
FIGURE 14.4. Diagram for Problem 14.18.
By defining a function g(x) as
g(x) = 1 00
A(k)Jv(kx) kdk, x> 0,
and a further function H (x) as
_ X v-.8+1 11 I-v 2 2 .8-1

H(x) - 2.8- 1 ({3 -I)! x y (y - x) g(y) dy,
show that H(x) is determined by the Fredholm integral equation
H(x) +X 11 K(x, y)H(y) dy
_ 2.8({3 - I)! sin(l - (3}rr .8-v ~

-
7f
X
dx
l
0
x yv+l f(y) d
(x 2 - y2)/J
to y,
where
14.18 Two equal coaxial parallel circular metal discs, of unit radius and
separation l, are charged to potential ±Vo (see Figure 14.4). Show that the
potential ¢(r, z) may be represented as
Vo 1 00
{e- kz -e-k(z-I)}A(k)Jo(kr)dk, z > l,
¢(r,z) = Va 1 00
{e- kz - ek(Z-l)}A(k)Jo(kr) dk, 0< z < l,
Vo 1 00
{e kz - ek(z-I)}A(k)Jo(kr) dk, z < 0,
provided that the function A(k) satisfies the dual integral equations
1 00
(1 - e-k1)A(k)Jo(kr) dk = 1, r < 1,
1 00
A(k)Jo(kr) kdk = 0, r> 1.
Show that application of Problem 14.17 leads to
2k211
A(k) = - g(t)cosktdt,
1f 0
where 9 (r) satisfies the Fredholm equation
l
g(r)--
1f
11
-1
l2
g(s)
+ (r - s
)2ds=1.
Show also that the capacity of the condenser is
c=-1 1f
110
g(r) dr.
15
Integral Transforms Generated
by Green's Functions
The integral transforms treated in the foregoing chapters had independent

origins, mainly in classical work from the nineteenth century. There is,
however, a unifying thread in that they are all related to the more modern
concepts of orthogonal expansions, self-adjoint operators, and the related
theory of Green's functions. This viewpoint was the subject of a classic
book by Titchmarsh [65]; here we sketch just a few basic ideas. 1
15.1 The Basic Formula

In this section, we will investigate (in a purely formal manner) some prop-
erties of the self-adjoint differential operator introduced in Section 10.1,
namely,
L[u] = (p(x)u'(x))' + q(x)u(x),
where p( x) and q( x) are given functions on the interval a :::; x :::; b, together
with homogeneous boundary conditions of the type
alu(a) + a2u'(a) = 0,
(15.1)
b1u(b) + b2 u'(b) = O.
We shall not distinguish between the cases where a and/or b are infinite,
although this is crucial to a rigorous analysis.
lThe book by Antimirov et al. [4] also emphasizes the relation of integral
transforms and Green's functions.
250 15. Integral Transforms Generated by Green's Functions
We first recall the following results from Section 10.1. Let cp).. and 'I/J).. be
solutions of the equation
L[u] = >.r(x)u(x), (15.2)
where>. is a constant and r(x) is a given function, while cp).., 'I/J).., are chosen
to satisfy the respective boundary conditions
alCP)..(a) + a2cp~(a) = 0,
b1'I/J)..(b) + b2'I/J~(b) = o.
Then the Green's function for the operator (L - >'r), which satisfies the
specified boundary conditions, is
(
I >.) _ CP)..(x<)'I/J)..(x»
9 x, x , - .1(>.) , (15.3)
.1(>') = p(x)W [cp).., 'I/J)..; x].
Here the notation is a more compact one than in (10.8); x< stands for the
lesser of x, x', while x> stands for the greater of the two. As we showed
in Section 10.1, .1(>') is independent of x, although it is a function of
>.. The Green's function is undefined when .1(>.) = 0, that is, when the
functions cp).. and 'I/J).. are linearly dependent, making each a solution of
the eigenvalue problem in its own right. Thus there is a close connection
between Green's functions and eigenfunctions; we refer the reader to one
of the many excellent texts for relevant details. 2
Now consider the partial differential equation
. acp(x, t)
zr(x) at = L[cp(x, t)],
together with the initial conditions
cp(x, 0) = f(x),
and the same boundary conditions as before. Taking the Laplace transform
with respect to t, we obtain
(L - ipr(x))<P(x,p) = -ir(x)f(x),
where p is the transform variable. In terms of the Green's function (15.3),

the Laplace transform <p(x,p) is
<p(x,p) = -i lb g(x, x'; -ip)f(x')r(x' ) dX'.
2For example, Stakgold [57].

15.2 Finite Intervals 251
If we apply the inverse transform to <I> ( x, p), we recover a function that is

zero for t < 0 and equal to ¢(x, t) for t > O. Hence, on setting t = 0 in the
inversion integral we recover the average. Explicitly,
1jC+iOO
f(x) = -- . dp
7T C-l,OO
lba
g(x, x'; -ip)f(x')r(x') dx'. (15.4)
The contour in p must pass to the right of all the singularities of g( x, x'; -ip)
in the p-plane; these are at the points p = iA corresponding to eigenvalues
A of the operator L - Ar. Using the standard result that the eigenvalues of
a self-adjoint operator are real numbers, we find that c may be any positive
number. In our subsequent use of (15.4), we shall replace p by iA and write
f(x) = ---;
1
1fZ
l ic oo
+ dA
ie-oo
lb a
g(x, x'; A)f(x')r(x') dx', c> O. (15.5a)
Similarly, by considering the equation ir¢t = - L[¢], we obtain
f(x) 1
= ----;
1fZ
l ie oo
ie-oo
+ dA lb a
g(x, x'; A)f(x')r(x') dx', c < O. (15.5b)
We have derived these formulae without regard to a rigorous justification of

the steps involved. Such a justification may be provided3 when appropriate
conditions are applied to the functions p(x), q(x), and r(x), although we
will not attempt this here. Alternatively, the formulae may be used to
generate useful particular results whose validity must be checked by some
other method.
15.2 Finite Intervals

If a and b are finite numbers, and p(x), p'(x), q(x), r(x) are all continuous
on the closed interval a ~ x ~ b, and if in addition p(x) i= 0 and r(x) > 0
for a ~ x ~ b; then the eigenvalue problem defined by (15.1) and (15.2) is
a regular Sturm-Liouville problem. 4 It is shown in many texts on mathe-
matical physics, that the eigenvalues An and eigenfunctions ¢n(x) for such
a problem have the following properties:
(i) The eigenvalues are real and countable.
(ii) There is no point of accumulation of the eigenvalues; that is, there

are only a finite number of eigenvalues in any finite interval.
3Titchmarsh [64].
4If anyone of these conditions is not satisfied, we have a singular problem.
Im(A.)
C Re(A.)
poles at A. = (nrr/l)2
(iii) There is only one eigenfunction (to within an arbitrary multiplying

constant) for each eigenvalue.
(iv) Different eigenfunctions are orthogonal in the sense that
n#m.
Fourier Sine Series

The simplest regular problem corresponds to p(x) = -1, q(x) = 0, r(x) = 1,
a = 0, b = I. Then it is trivial to show that the eigenvalues and eigenfunc-
tions are
'\n=(mf/l)2 }
n=I,2,3, ...
cPA = sin(mfx/l)
The Green's function (15.3) is also easy to construct; viz
( 1.,\) __ sinkx< sink(l- x»

9 x, x , - k sin kl '
Despite the appearance of k = V>.. in these formulae, the Green's function

does not have a branch point at ,\ = 0, merely a series of simple poles at
,\ = (mf /1)2. Adding (15.5a) and (15.5b), we find that
f(x) = ~
2nz c
rd'\ irl sinkx<ksi~k(l-
i 0 sm kl
x» f(x ' ) dX', (15.6)
where the contour is shown in Figure 15.1.

Interchanging the orders of integration, we readily evaluate the ,\ integral
as a sum of residues. This gives the familiar Fourier sine series formula
f(x)
2
= yL
00
sin(mfx/l)
t sin(nnx'/l)f(x' ) dX'.
in
n=l 0
15.3 Some Singular Problems 253
Eigenfunction Expansion
Now consider the general case. The zeros of Ll(A), which determine the
poles of g(x, x'; A), are all discrete and simple; hence, we can proceed by
adding (15.5a) and (15.5b) and evaluating residues as for the Fourier series.
To find the residues, we need the value of dLl(A)/dA at A = An, that is, we
need to calculate
To get dcp)../dA and d'ljJ)../dA, we differentiate (15.2) with respect to A,
(L - Ar(x) ) ocp)..
OA = r(x)cp)..(x),
and solve using the Green's function. After some straightforward algebra,
the calculation gives
When we put A = An, cp).. and'ljJ).. became the same function apart from a
normalizing factor, and in evaluating the residue this factor cancels. Writing
CPn(x) in place of CP)..n (x), we see that the residues are
CPn (x )CPn(x/)
f: cp~(x)r(x) dx'
and the complete expansion of the function f (x) is
( )
fx
="
L..t
CPn(x) f: CPn(x')f(x')r(x') dx'
b . (15.7)
n fa cp~(x)r(x) dx
Note that f(x) satisfies the boundary conditions (15.1), as is evident from
its definition, and so there is no conflict caused by the fact that every term
in (15.7) also satisfies these boundary conditions.
15.3 Some Singular Problems

It is evident from the foregoing that we must consider singular problems
if we are to obtain integral transform pairs. Before generating any new
transforms, we will show how the Fourier, Mellin, and Hankel transforms
are related to Green's functions.
Fourier Transform
Let p(x) = -1, r(x) = 1, q(x) = 0, a = -00, b = +00. We apply, as
our boundary conditions, the finiteness of ¢)..(x) and 'l/J)..(x) as x -+ +00,
respectively. Fundamental solutions of (15.2) are exp(±i-IXx). We write
k = -IX and fix the arguments by
o < arg(A) < 271', 0< arg(k) < 71'.
Then the functions we need are

¢)..(x) = e- ikx , 'l/J)..(x) = e ikx ,
Ll(A) = 2ik, 0< arg(k) < 71'/2,
and (15.5) read
f(x) = - 271'
1l ic+oo
dA
1 00 e-ik(x<-x»
k f(x ' ) dx'
1- 1
ic-oo -00
1 iC +00 00 e-ik(x<-x»
= 271' -ic-oo dA -00 k f(x ' ) dX',
with c > O. Now when A is on the negative real axis, these two expressions
differ only in sign, so we add them and let c -+ O. Hence,
f(x) = - 1
271'
1 1 0
00
dA
/\
vA
00
-00
cos k(x - x') f(x ' ) dX'. (15.8)
If we replace -IX by k and break up the cosine into complex exponentials,

we obtain the exponential Fourier transform.
An Alternative Formula
In each of our examples above, the eigenvalues of the operator had a lower
bound, and the Green's function g(x, x'; A) was analytic across the real axis
to the left of the lowest eigenvalue. Whenever this is the case, we may add
(15.5) to obtain the formula
1
f(x) = -2 .1 Ib
71'% C
dA
a
g(x, x'; A)f(x')r(x' ) dX', (15.9)
where the contour C is shown in Figure 15.2. In the regular case, the
eigenvalues are discrete, and the value of the integral is given by a sum of
residues. With singular problems, however, the Green's function generally
has a branch cut along the real axis, and other appropriate methods of
evaluating the integral must be found. In fact, (15.8) is precisely the result
obtained by shrinking the loop integral onto a branch cut for -IX.
15.3 Some Singular Problems 255
Im(A)
c
J'---+------- Re(A)
minimum eigenvalue
Mellin Transform
If we set p(x) = x, q(x) = 0 and r(x) = x-l in the interval 0 :S x < 00,
then we again have a singular problem. The equation for cp).. and'ljJ).. is
(xu')' = AU/X,
with the solutions X±iv":\". We choose v0. by 0 < arg( v0.) < 7r on the
contour C; then Re(iv0.) < O. Thus,
g(x, x'; A) = -~ (x<) -iv":\" (x» iv":\",

2YA
and the integral reduces to
1
27ri
{'XJ roo . .
io dA io {g(x, (; A + zc) - g(x, (; A - zc)} f(O
d(
T
= ~ roo dA roo (X-iv":\"(iv":\" + xiv":\"Civ":\") f(() d(.
47r io v0. io ~
Now write q2 = A in the first term and (-q)2 = A in the second, which
leads to
f(x) = ~
27r -00 io
Joo x-iqdq roo (iq f(() d(.
(
This is the Mellin transform formula with p = iq.
Hankel Transform
Proceeding as above, we consider the interval 0:S x < 00 with p(x) = -x,
q(x) = v 2/x, r(x) = x where Re(v) > -1/2. The Green's function, finite
as x -+ 0 or 00, is easily constructed as (with k 2 = A)
g(x, x'; A) = ~i Jv(kx<)HPl(kx», 0< arg(k) < 7r/2.
Using the relations

Jv(ze i7r ) = e i7rv Jv(z),
H~ll(zei7r) = _e- i7r l/ H~2l(z), -7r < arg(z) < 0,
and
Jv(z) = ~ (HS1)(z) + HS2 )(z)) ,
we readily reduce the integral around the branch cut 0 ~ oX < 00 to the
Hankel transform formula
15.4 Kontorovich-Lebedev Transform

The Hankel transform is the first example we considered for which q(x) =I=- O.
In fact, the Hankel transform, with 1/ replaced by 1/+ 1/2, may be obtained
from the choice p(x) = 1, q(x) = 1/ 2 / x 2 , r(x) = 1 on the interval 0 ~ x ~
00. Setting 1/ = 0 gives the Fourier sine transform as a special case; thus
we could regard the Hankel transform as a generalization of the Fourier
transform. In a similar way, we may generalize the Mellin transform by the
choice
p(x) = -x,
q(x) = k 2 x,
r(x) = l/x, o ~ x < 00.
The functions cp)..(x) and 'lj;)..(x) must satisfy the differential equation
cp).." + -cp)..
X
1 I - (2k - -oX ) cp).. = 0,
x2
whose solutions are modified Bessel functions of order R. If we choose

a = R by Re(a) > 0 for oX on the contour C, then the Green's function
which is zero as x -+ 0 or x -+ 00 is
(15.10)
To evaluate the integral (15.9), we need the discontinuity on the branch

cut, given by g(x, x'; oX + if) - g(x, x'; oX - if) for real positive oX and f -+ O.
Using the results of Problem 18.11, we may write (with 1/ = ~)
2·
Liv(kx) - Iiv(kx) = -.!:. sinh 7r1/ Kiv(kx),
7r (15.11)
K_iv(kx) - Kiv(kx) = 0,
and hence,
g(x, x'; oX + iO) - g(x, x'; oX - iO) = 2i sinh 7r1/ Kiv(kx)Kiv(kx ' ).
7r
15.4 Kontorovich-Lebedev Transform 257
Using this result in (15.9), and subsequently changing the integration vari-
able to v, we obtain a form of the Kontorovich-Lebedev transform, viz
f(x) = 2"21
7f 0
00
vsinh7fvdv 1 0
00
dx', .
Kiv(kx)Kiv(kx')f(x') -
X
(15.12)
An Alternative Formula
Equation (15.12) is the original transform given by Kontorovich and Lebe-
dev; however, there is an alternative formula that demonstrates the close
connection with the Mellin transform. To obtain it, we note that (15.11)
demonstrates that the Ia functions may be written in terms of K a , so that
the distinction between x< and x> could be dropped, provided we main-
tain convergence of the integrals. We therefore set x< = x and x> = x' in
(15.10), and substitute into (15.9). Using a as a new variable, this gives
1J~ Ia(kx) ada

f(x) = -----:
7ft -ioo
1 0
00
~, .
Ka(kx')f(x') -
X
(15.13)
Regions of Convergence
Consider the Kontorovich-Lebedev transform of a function f(x), defined
1
as
00 dx
F(k, v) = Kv(kx)f(x) - . (15.14)
o x
If we assume that f(x) has the asymptotic form
xf3 x -+ 0,
f(x) '" { '
x a , x -+ 00,
then, using the asymptotic forms of the modified Besselfunctions, namely,
x -+ 0,
x -+ 0,
x -+ 00,
we see immediately that if f (x) is a "reasonable" function (for example,

if it satisfies Dirichlet's conditions), then the integral (15.14) converges in
the region Re(v) < f3 for all k > O. Thus the inversion integral is defined
whenever f3 > 0; it can be shown that the transform pair may be extended
to functions for which f3 ::; 0 by moving the inversion contour.
Relation to Mellin Transform

If a < (3, then in the strip a < Re(v) < (3, we may let k ~ 0 in (15.14) to
obtain
1
F(O, v) = 2V v!M[J(x)].
Furthermore, in this limit the inversion integral (15.13) is the Mellin inver-
sion.
15.5 Boundary-Value Problems in a Wedge

To illustrate a simple use of the Kontorovich-Lebedev transform, we con-
sider the problem of determining a function u(r, fJ, z), which is harmonic in
the wedge
0::::; r < 00,
0::::; fJ ::::; a,
0::::; z ::::; l,
and which satisfies the boundary condition
u(r,a,z) = f(r,z)
on one boundary, and is zero on all the other boundaries. First, we introduce
a Fourier series in z, using the functions sin(mfz/l), that satisfy the required
boundary conditions at z = 0 and z = l. Thus, we write
L un(r, fJ) sin(mfz/l),

(X)
u(r, fJ, z) =
n=l
L
(X)
f(r, z) = fn(r) sin(mfz/l).

n=l
The coefficients un(r, fJ) are determined by
82 1 8 1 82 (n7r)2)
( 8r2 + -:;: 8r + r2 8fJ2 - -l- un(r, fJ) = 0, (15.15a)
and
un(r,O) = 0, (15.15b)
We denote the Kontorovich-Lebedev transform of Un (r, fJ) and f n (r) with

respect to r by Un(k, v, fJ) and Fn(k, v), respectively; on multiplying the
differential equation for Un by rKv(n7rr/l) and using integration by parts
twice 5 we reduce (15.15) to
(::2 +v2) Un(mr/l,v,()) =0,
Un (mr/l, v, 0) = 0,
Un (mr/l, v, a) = Fn(mr/l, v).
These equations are readily solved to yield the expression
sinhv()
Un(mr/l,v,()) = . h Fn(mT/l,v),
SIn va
from which an explicit integral representation of the solution may be con-
structed.
15.6 Diffraction of a Pulse by a

Two-Dimensional Half-Plane
As a more difficult example6 of the use of the Kontorovich-Lebedev trans-
form, we will construct an explicit representation of the Green's function
for the two-dimensional scalar wave equation,
( \7 2 -
8 2 ) g(r, ro, t) = J(r - ro)J(t),
c12 8t 2
subject to the boundary condition 9 = 0 on the positive x-axis and the

initial conditions 9 = 8g/8t = 0 at t :::; O. This Green's function represents
the wave pattern generated by a pulse at r = ro, t = 0, including the
effects of diffraction by a semi-infinite barrier. We have solved the free-
space problem in Section 10.4; we must now find the effect of the barrier
on this solution. Introduce polar coordinates, and also the variables
R = Jr 2 + r5 - 2rro cos(() - ()o),
Ro = J x 2 + r5 - 2xro cos ()o.
All of these quantities are depicted in Figure 15.3.
5These manipulations involve assumptions about the solution which can only
be verified a postiori. Alternatively, we could work with a suitable set of gener-
alized functions from the outset.
6R.D. Turner, Q. Appl. Maths., 14 (1956), 63.
R
(r,9)
r
9-90
barrier (x,O)
FIGURE 15.3. Geometry for barrier diffraction problem.
Laplace Transform
We introduce a function ¢(r, (), ro, ()o, t) by g = go + ¢, where go is the free
space solution (10.27). Then the equations that determine ¢ are
( \7 2
1 [j2) ¢ = 0
- --
c2 2 at
and
0, t < Ro/c,
¢(r, 0, ro, ()o, t) = {
- -
1 Jt 2 - R2/c2 t> Ro/c,
21f 0'
¢(r,(),ro,()o,O) = 0,
¢t(r, (), ro, ()o, 0) = O.
If we denote the Laplace transform with respect to t by iJ5, then the Laplace
transform of these equations is
and
1
iJ5(r,O,ro,()o,p) = -21fKo(pRo/c),
Kontorovich-Lebedev Transform
It is convenient to introduce another new function
1
'Ij!(r,(),ro,()o,p) = iJ5+ -Ko(pro/c),
21f
which goes to zero as r ---+ O. After multiplying by r2, the equation for 'Ij! is
2~ ~ ~ _ p2r2) _ _ p2 r2 Ko(pro/c)
(15.16)
(
r ar2 + r or + a()2 c2 'Ij! - c2 21f '
and the boundary conditions at e = 0 and e = 27f are 7

'IjJ(r, e, ro, eo,p)1
8=O,21T
= ~{Ko(pro/e)
27f
- Ko(pR/e)}. (15.17)
These equations are transformed a second time by the Kontorovich-Lebedev

transform with respect to r. Defining
W(v, e, ro, eo,p) =

Jroo
o
'IjJ(r, e, ro, eo,p)Kv(r) dr,
r
then (15.16) and (15.17) lead to
(~ + v2) W = _vKo(pro/c)
de 2 4sin(7fv/2)'
and
w( e e)1
v, ,ro, o,p
-
Kv(pro/e)cos(7f-eo)v _ Ko(pr/e)
- . . (7fV /).
iI=O,21T 2v sm 7fV 4v sm 2
The solution to these last two equations is
W(v, e, ro, eo,p)
Kv(pro/e) cos(7f - eo)vcos(7f - e)v Ko(pro/e)
v sin 27fv 4v sin( 7fV /2) .
The Solution
The function 'IjJ is given by the inversion integral
'IjJ(r,e,ro,eo,p) = ---;
1 lioo W(v,e,ro,eo,p)Iv(pr/e)vdv.
7f~ -ioo
Subsequently, we must invert the Laplace transform. The technical details

of this inversion, which are given in Turner's paper, are quite complicated;
we merely quote the result here, which is
t < R/e,
t > R/e,
t < RI/e,
t> RI/e,
7The evaluation of the right-hand side of (15.17) is discussed at length in

Thrner's paper.
c f
27l'...;rro n=O
Pn (r2 + r~ -
2rro
c2t2) sin (2n + 10) sin (2n + 1 ( 0 )
2 2
,
Ir-rol < ct < r+ro,

0, otherwise.
Here R~ = Jr 2 + r~ - 2rro cos(O + ( 0 ) is the distance to the image of

ro,Oo in the plane y = O. For a further discussion of this solution, the
reader should consult Turner's original paper.
Problems
15.1 By setting p(x) = -1, q(x) = 0 and r(x) = 1 over the interval
a :::; x < 00, with the boundary conditions 9 = 0 at x = a, 9 finite as
x -+ 00, derive the transform pair
F(k) = 1 00
(sinkxcoska - cos kx sin ka)f(x) dx,
f(x) = 1 00
(sin kx cos ka - cos kx sin ka)F(k) dk.
Consider the limit a -+ O.

15.2 Consider the Green's function obtained over the interval 0 :::; x < 00
by setting p(x) = -1, g(x) = 0, r(x) = 1, and
dg
dx + hg = 0, x = a.
Show that, if h < 0, the resulting integral transform is
F(k) = 1 00
¢(k,x)f(x)dx,
f( ) = 2h2 roo ¢(k,x)F(k) dk

x 7l' Jo h2 + k2 '
where
¢(k,x) = sinkx - (k/h)coskx.
Show further that if h > 0, there is an extra contribution from a pole at
). = _h2, giving
f( ) = 2h2 roo ¢(k,x)F(k) dk 2Ah -hx

x 7l' Jo h2 + k2 + e ,
A= 1 00
e- hx f(x) dx,
with the other quantities defined as before.

Problems 263
q a
FIGURE 15.4. Arrangement for Problem 15.6.
15.3 Recover the Weber transform (Section 14.5) by using Green's func-
tions.
15.4 By considering the Hermite equation (see Chapter IS) recover the
eigenfunction expansion
15.5 A quadrant-shaped slab, 0 ::; x < 00, 0 ::; y < 00, 0 ::; z ::; l, has the
face x = 0 held at temperature To, while the other faces are held at zero
temperature. Show that the temperature distribution is
_ STo ~ sin ((2n + 1)1l"zll)

u (r,8,z ) - 2 6
1l" 2n+ 1
1
n=O
cosh 1l"V 12 sinh 8v K. ((2

x
00
o
. h I
sm 1l"V 2
w n + 1)1l"r Il) d v.
Using the integral representation
Kiv(X) =
cos 1l"V
h I
cos 1l"V 2
10
00
cos(xsinht) dt,
reduce the result to the simpler form
STo.
1l"2
~ sinh ((2n + 1)1l"zll)
u = -sm28 6
n=O 2n + 1
1 0
00 cos ((2n + 1)1l"rsinh(tll))
cosh 2t + cos 28
dt.
15.6 A point charge q is placed near the edge of a conductor of rectangular

shape, held at zero potential (see Figure 15.4). Final expressions for the
potential, and the density of charge induced on the boundary.
15.7 A line source of current, J = Joexp(iwt), is placed parallel to the

edge of a thin conducing sheet 0 :::; x < 00, -00 < y < 00, in the plane of
the sheet, at a distance a from the edge. Show that the density of current
induced in the sheet is
.
J(x) =-
Jo (a)1/2
-
e-ik(x+a)
,
27f X X +a
where k = w/c.
15.8 Plane waves, whose propagation is governed by Helmholtz's equation,

are incident on a screen in the form of a half-plane, r :::: 0, () = a, on which
the boundary condition is aN an = O. The incident wave has the form
¢inc = ei(wt-kx) ,
where k = w / c. Show that the total field ¢ is given by
¢= ~ e-ikrcos IJ { 1 + ei 1l'/4 erf ( V2kr sin(() /2)) }

+ ~ e-ikrcos(IJ-2a) { 1 - ei 1l'/4 erf ( V2kr sin(() /2 - a)) } .
16
The Wiener-Hopf Technique
The solution of boundary-value problems using integral transforms is com-

paratively easy for certain simple regions. There are many important prob-
lems, however, where the boundary data is of such a form that although
an integral transform may be taken sensibly, it does not lead directly to an
explicit solution. A typical problem involves a semi-infinite boundary, and
may arise in such fields as electromagnetic theory, hydrodynamics, elastic-
ity, and others. The Wiener-Hopf technique, which gives the solution to
many problems of this kind, was first developed systematically by Wiener
and Hopf in 1931, although the germ of the idea is contained in earlier
work by Carleman. 1 Although it is most often used in conjunction with
the Fourier transform, it is a significant and natural tool for use with the
Laplace and Mellin transforms also. As usual, we develop the method in
relation to some illustrative problems.
16.1 The Sommerfeld Diffraction Problem

In this section, we will study a problem involving the reflection and diffrac-
tion of waves in two space dimensions, commonly known as the Sommerfeld
diffraction problem. 2 We commence with the wave equation ¢tt = c2'\l2¢,
lThe Wiener-Hopf technique is mentioned in a number of books; however, for

a comprehensive review of the method see Duffy [23] or Noble [43].
2This problem may also be solved using the Kontorovich-Lebedev transform;
see Chapter 15.
266 16. The Wiener-Hopf Technique
in the unbounded region -00 < x < 00, -00 < y < 00. We will not inves-
tigate the initial-value problem, but rather look for particular steady-state
solutions with the time dependence exp( -iDt). Then the wave equation
becomes the Helmholtz equation in two dimensions, namely,
k = Dje.
We impose three boundary conditions to complete the specification of the

problem:
(i) We suppose that the motion is caused by a steady incident plane wave
¢inc = e-ik(x cos O+y sin 0) ,
which represents plane waves proceeding in a direction making angle ()

with the positive x-axis.
(ii) We assume that the positive x-axis is a barrier to the waves. Specif-
ically, we impose the boundary condition 8¢j8y = 0 for y = 0, x 2 o. If
we introduce as the new unknown function 'lj; = ¢ - ¢inc, this amounts
to the boundary condition
'lj;y(x,O) = iksin()e-ik(xcoso+sinO), x 2 O.
Because of this, 'lj; may be discontinuous across the positive x-axis. How-
ever, we must have continuity for negative x, giving the further boundary
condition
'lj;(x, 0+) - 'lj;(x, 0-) = 0, x < O.
(iii) In choosing the inversion contour, we must ensure that the resulting
solution is the steady-state component of the (more complicated) initial-
value problem whose solution we are avoiding. We saw in Section 8.4
that one way to do this is to replace D by D + i5, where 5 > 0 if D > 0;
in the present case this amounts to replacing k by k + iE, E > O. After
the problem is solved we take the limit E --+ O.
Preliminary Considerations
The Wiener-Hopf technique relies on the use of Liouville's th€orem (see
Section 1.6), and hence on having some information about the analytic
properties of the Fourier transforms involved. Now it is obvious that in using
an integral transform to solve any problem we are making some assumptions
about the unknown solution. In the present case, we need information about
the analytic properties of the transform of'lj;, and this comes from physical
considerations. Referring to Figure 16.1, there are three regiolls in which
we expect 'lj; to behave quite differently, which we have labelled I, II, and
16.1 The Sommerfeld Diffraction Problem 267
y
...
incident plane
.... waves
..............
..........
I
II
barrier
x
III
FIGURE 16.1. Sommerfeld diffraction: Schematic diagram.
III. In region I, 'IjJ should consist of the reflection of the incident plane wave
plus an outgoing diffracted wave coming from the edge of the barrier. In
region II, we expect 'IjJ to be only a diffracted wave. Region III is in the
shadow of the barrier, and here the complete solution cP must be only a
diffracted wave. Hence, 'IjJ = cP - cPinc consists of a diffracted component
and the negative of cPinc.
We are particularly concerned with the behavior of these functions on the
x-axis, since this is where the boundary conditions are applied. The incident
waves have amplitude exp( EX cos (}), and we estimate the amplitude of the
diffracted wave by the following argument: the diffraction is caused by the
edge of the barrier, and the strength of this term at a distance r from
the origin must be proportional to the strength of the incident wave at the
origin at time r / c previously. However, cPinc is increasing in time as exp( 5t),
where 8 = EC, and so the diffracted wave must decrease as exp( -Er) for large
r. This gives us the estimates
eExcoslJ
x> 0,
'IjJ(x, 0) rv
{ ' (16.1)
e EX , x < o.
From this, we expect that the Fourier transform will converge in the strip
E cos () < Im( w) < E, so we confine the inversion contour to this region.
Basic Procedure
Now we take the Fourier transform with respect to x of the equation for
'IjJ, obtaining
d2
( dy2+k -w
2 2)
lP(w,y) =0, (16.2)
Im(ro)
branch cut
c ro=k+if.
•
Re(ro)
ro = --k-if.
ro = (k+ if.) cos e
branch cut
FIGURE 16.2. Contour for inversion integral.
with the independent solutions
w(w, y) = exp(±yvw2 - k 2 )F(w). (16.3)
The execution of the method requires that we consider only transforms that
are analytic in a strip containing the inversion contour. From physical con-
siderations, moreover, we must choose from the solutions (16.3) a function
that is bounded as Iyl --+ 00, and this requires that we have knowledge of
the sign of Re( vw 2 - k 2 ) on the contour. Now it is easy to show that if we
choose the branch by vw 2 - k 2 = ik for w = 0, and cut the w-plane as indi-
cated in Figure 16.2, then Re(vw2 - k 2 ) ~ 0 in the strip -to < Im(w) < to,
and suitable solutions of (16.2) are given by
w(w,y) = w(w,0±)exp(-lyIVw2 - k2), (16.4)
where w(w, O±) are still to be determined.

We must now incorporate the boundary conditions at y = 0, recognizing
the fact that they are different for positive and negative x, which is the
cause of the complication. We therefore split the Fourier transforms of the
boundary values into two parts, defining four functions by
-ksine
Im(w) > ECOSe.
w - kcose'
The whole difficulty with the problem is that whereas we know that the
functions A_(w) and B+(w) have the values indicated, we do not know
A+(w) and B_(w). Consequently, there is not enough explicit information
to write down tlf(w, o±) immediately from the boundary conditions. What
we do know is that 'l/Jy and hence tlfy is continuous at y = 0, and on differ-
entiating (16.4) and, setting y = 0- and y = 0+, this gives the relation
2tlfy(w, 0) = tlfy(w, 0+) + tlfy(w, 0-)

= -Jw2 - k2{tlf(w, 0+) - tlf(w, O-)},
or, in terms of the functions defined above
(16.5)
Further progress can only be made by appealing to the analytic proper-

ties of the functions A+(w) and B_(w). It follows from (16.1) that A+(w) is
analytic in the region Im( w) > Ecos e, and B _ (w) is analytic in the region
Im(w) < f. The factor vw 2 - k 2 has branch cuts in both of these regions,
so we factor it into the product VW - kVw + k, which separates the two
branch points. Using this factorization, we may rearrange (16.5) as
(16.6)
There are three combinations here:
(i) B_(w)/vw - k, which is a new unknown function, is analytic in the

region Im(w) < E.
(ii) - Vw + k A+ (w) which is also unknown, is analytic in the region

Im(w) > ECOSe.
(iii) The function B+(w)/vw - k, which is known.

We therefore examine the third function, for which we have an explicit
formula, and separate it into the sum of two functions, each analytic in one
or other of the two regions mentioned. By trivial algebraic manipulations,
we may write
B+(w) B+(w)
vw - k = Jk(cose -1) + B+
( )( 1 1)
w vw - k - Jk(cose - 1) (16.7)
= F+(w) + F_(w).
Im(ro)
Cl
ro =-k Re(ro)
branch cut branch cut
ro =k cos e
FIGURE 16.3. Modified contour and branch cuts.
We have here denoted the first term, B+(w)/Jk(cos() -1) by F+(w): it

is obviously analytic in the region Im(w) > ECOS(), since the denominator
is independent of w. For the second term, we have removed the only sin-
gularity in B+ (w), a pole at w = k cos (), by arranging for the terms in
braces to have a simple zero there. Consequently, F _ (w) is analytic in the
region Im(w) < E. Using this decomposition we may again rearrange (16.6)
to define a new function E(w) by
(16.8)
The point of this is that E(w) is an entire function, since it is defined

in two overlapping half-planes by functions that are analytic in those half-
planes and that coincide in the strip of overlap, E cos () < Im(w) < Eo There-
fore each function is the analytic continuation of the other and E(w) is
entire. Under rather weak assumptions (see Problem 16.1 for further de-
tails) we may show that B_(w) and A+(w) tend to zero for large w in the
respective regions Im(w) < E and Im(w) > ECOS(), so that the entire func-
tion E(w) is bounded and tends to zero for large w. Hence, by Liouville's
theorem, we conclude that E(w) = O. Equation (16.8) now gives explicit
formulae for the unknown functions A+(w) and B_(w), and by working
backwards through the definitions we obtain for tP(w, y) the explicit form
,T,( ) _ -i sgm yJ2k cos(() /2) exp( -lylvw2 - k 2)

~w,y - ~. (16.9)
(w - kcos())vw - k
The Solution
We insert (16.9) into the inverse Fourier transform, and take the limit
E -+ O. This requires also that we move the contour to avoid the branch
points, which themselves move onto the real axis. The solution may then
'.
"".,.,"
~~""'"
.., / /
/".
.......
'\..
""
k ,/ "'" 0) = k cos 8 Cl
0) = - cos X /// ."""',.
.. /' ..... .
C
T2 ",
FIGURE 16.4. Contour for use with variables (16.11).
be written as the integral
- sgmyJk72cos(B/2)
'¢(x, y) -
1 e-iwx-IYlvw2_k2
~ dw, (16.10)
7ri C1 (w - k cos B) w - k
where k is real and positive and the contour C 1 is shown in Figure 16,3.
Next, we will demonstrate that the integral (16.10) does indeed describe
a solution having the general properties that we discussed in connection
with Figure 16.1. For this purpose, we introduce the variables r, X by 3
x = r cos X,
Iyl = rsinx,
so that the regions of figure 1 correspond to
I 0< X < 7r - B, y > 0,

II B < X < 7r,
7r - -00 <y< 00,
III 0< X < 7r - B, y < O.
Next we introduce the change of variable
w = -kcos(X + it), -00 <t< 00. (16.11)
Elimination of t shows that the contour described by (16.11) is a hyperbola,

whose major axis is the real axis in the w-plane. The vertex is at the point
w = -k cos X, and the asymptotes make an angle 7r - X with the real axis
3See Section 10.4 for another example of this transformation, which is also
discussed at some length in Noble [43], page 31ff.
(see Figure 16.4). Now it may be shown that the integrals along the arcs
r 1 and n tend to zero as their radius R -t 00; hence, we may deform the
contour 0 1 in (16.10) to this new contour, provided we pick up the residue
at the pole at w = k cos e if the new contour is on the opposite side of the
pole from the original contour.
Temporarily denoting this new integral by J we may write the following
results for the solution ¢:
(i) In region I, k cos X > k cos( 7r - e) = -k cos e, so that the two contours
enclose the pole. Thus,
¢ = ¢inc + eik(x cos O-y sin 0) +J.
Here the second term, which is the residue at the pole, is a reflected plane
wave, as expected.
(ii) In region II, the contours are on the same side of the pole, and we
have
¢ = ¢inc + J.
(iii) In region III, we again have a contribution from the pole, but because
of the different sign of y, it exactly cancels ¢inc, and we obtain
The integral J may be written down by straightforward substitution of
1
(16.11) into (16.10) to give
1 00 eikrcoshtsin((x+it)/2)
J=-sgmysin(e/2)
7r _ 00
e ( .) dt.
cos + cos X + zt
(16.12)
It is possible to perform further manipulations on this integral that reduce

it to the Fresnel integral, but we will not do this here. What we will note
is that for large r the major contribution comes from the region t ~ 0,
since the exponential function varies rapidly as t increases. As a first ap-
proximation then, provided that cos e + cos X is not too small, we may
approximate the factors sin((x + it)/2) and cos(X + it) by sin(x/2) and
cos X, respectively. Comparison with (18.42) shows that we then have a
Hankel function and since we have already assumed that r is large, we re-
place this Hankel function by its asymptotic form (Problem 18.7) to obtain
the approximation
J 2
eiTC/4 sgmy (sin(e/2)sin(X/ )) ( -2- )1/2 e ikr
. (16.13)
cos e + cos X
~
7rkr
Thus, J represents an outgoing diffracted wave, whose amplitude is pro-
portional to the factor sin( e/2) sin(x/2) / (cos e+ cos X). Analysis of J using
the method of steepest descents confirms this conclusion, and also shows
how it behaves asymptotically when cos e + cos X ~ 0, where it is evident
that (16.13) is invalid (see also Problem 16.3).
16.2 Wiener-Hopf Procedure: Half-Plane Problems 273
16.2 Wiener-Hopf Procedure:

Half-Plane Problems
The typical problem that may be solved by the Wiener-Hopf technique
involves the solution of equations that only give explicit information over
a semi-infinite range of a variable. In a mixed boundary-value problem,
for instance, we may know the boundary value of one combination of the
unknown functions for x ::::: 0, and of a different combination for x ::::; o.
After taking the Fourier transform, and finding the general relationship
between the partially specified but still unknown functions, we are then
faced with the following problem:
Find unknown functions P+ (w) and Ifi_ (w) satisfying
(16.14)
where this equation holds in a strip a < Im(w) < (3, whereas
P+(w) is analytic in the half-plane Im(w) > a, and Ifi_(w) is
analytic in the half-plane Im(w) < (3. The functions A(w), B(w),
and C(w) are analytic in the strip.
The first step is to find ajactorization of A(w)/ B(w), that is, to find func-
tions K+(w), K_(w), analytic in Im(w) > a and Im(w) < (3, respectively,
such that
A(w) K+(w)
B(w) - K_(w)·
Then we may rewrite the equation as
(16.15)
For some problems, this decomposition may be found by inspection; a con-

tour integral method, which we give in Chapter 17, may be useful with
other problems; more techniques may be found in the literature. 4 Assum-
ing that the factorization (16.15) has been performed we must now effect
the further decomposition
(16.16)
where again F+(w), F_(w), are analytic for Im(w) > a and Im(w) < {3,
respectively. Taking (16.15) and (16.16) together, we may now define an
4See Duffy [23] or Noble [43] for more references. In addition to problems in one
complex variable, Kraut has considered mixed boundary-value problems which
may be resolved using a Wiener-Hopf type of decomposition in two complex
variables. See E.A. Kraut, Proc. Amer. Math. Soc., 23 (1969), 24, and further
references given there.
entire function E(w) by
E(w) = K+(w)4>+(w) + F+(w)

= -K_(w)w_(w) - F_(w).
At first sight, it may seem that we have merely defined a function that is
analytic in the strip a < Im(w) < (3, but the essential point is that each of
the two ways of defining E(w) makes it analytic in a semi-infinite region,
and since the two regions overlap we may appeal to the principle of analytic
continuation; E(w) is an entire function.
Now suppose that we can show that as Iwl --+ 00,
IK+(w)4>+(w) + F+(w)1 = O(lwn, Im(w) > a,

IK_(w)w_(w) + F_(w)1 = O(lwn, Im(w) < (3.
From Liouville's theorem, we may then conclude that E(w) is a polynomial

of degree no higher than the largest integer smaller than both rand s. This
reduces the problem to that of determining the coefficients of a polynomial,
or it may be that the solution to the problem is not unique, in which case
the coefficients play the role of arbitrary constants.
16.3 Integral and Integra-Differential Equations

The original work of Wiener and Hopf was in conjunction with the integral
equation
1 [00
cjJ(x) = "210 E(x - y)cjJ(y) dy,
(16.17)
E(x) = -Ei(-Ixl),
where Ei(x) is the exponential integral. This equation occurs in the study
of radiative processes in astrophysics, and is known as Milne's equation.
More generally, we may consider the problem of solving the equation
>.cjJ(x) 1
+ 00 k(x - y)cjJ(y) dy = I(x), x> 0.
The first move is to extend the range of the equation to all x, which may
I:
be achieved by writing
>.cjJ(x) + k(x - y)cjJ(y) dy = I(x) + 'l/J(x) , (16.18)
where
cjJ(y) = 0, y < 0,
I(x) = 0, x < 0, (16.19)
'l/J(x) = 0, x> 0.
16.3 Integral and Integro-Differential Equations 275
The Fourier transform of (16.18) is
(16.20)
where we have added subscripts to the transforms to indicate the regions of

the complex w-plane in which they should be analytic. This equation should
be amenable to the Wiener-Hopf technique. The more general case of an
integra-differential equation, obtained by replacing). by a linear differential
operator, may be analyzed in a similar manner (see Example 3 below).
Example 1
To illustrate, we put k(x) = exp(-alxl), a> 0, and consider the homoge-
neous problem
1 00
e-alx-yl ¢(y) dy = ¢(x), x> o. (16.21)
Equation (16.20) now becomes
(16.22)
which may be immediately factorized as
2
( _2a_-_a__~_w_2) <P+(w) = (w _ ia)tli_(w)
w+za (16.23)
= E(w).
If ¢(x) and 'ljJ(x) are bounded as Ixl -+ 00, then <P+(w) and tli_(w) are of
order Iwl- 1 for large Iwl in the upper and lower half-planes, respectively,
and (16.23) defines a bounded entire function E(w). By Liouville's theorem,
E(w) = A where A is undetermined. Thus,
w +ia )
<P+(w) = A ( 2a-a 2 -w 2 '
A
tli_(w) = - -..
w-za
Note that the inversion contour must pass above the poles of <P+(w) and
below the poles of tli_(w) so as to satisfy (16.19). Inversion now yields
¢(x) = A{ cos bx + (a/b) sin bx},

b = J2a - a2.
It is instructive to reflect on the fact that there is only one arbitrary con-
stant in this solution, while the integral operator in (16.21) is the Green's
function for the second-order differential operator (d 2j dx 2- a 2). Acting on

(16.21) with this operator and rearranging we get the differential equation
(16.24)
which has two independent solutions. However, the integral equation also
contains the boundary condition
¢' (0) = a 1 00
e- ay ¢(y) dy
= a¢(O),
and when this is added to (16.24) it leads to the solution obtained above.
Example 2
We consider again an equation solved in Section 6.2, namely,
A1 00
e-ajx-yj ¢(y) dy = f(x). (16.25)
Now we must factorize the equation
and proceeding as for (16.22), we obtain
p ( )=
+ W
+ a2) F+ ()
(w22a..\ W +
A (w + ia)
2aA
and
¢(x) = a2 f(x) -;.f"(x) + B{ab(x) + b'(x)}. (16.26)
2a
Here B = iAj2"\ is an arbitrary constant. This solution involves general-
ized functions in two ways; explicitly in the combination ab(x) + b'(x) and
implicitly through the appearance of f"(x), the second derivative of a func-
tion that may be discontinuous at x = O. As was observed in Section 6.2,
(16.25) implies the boundary condition
af(O+) - f'(0+) = 0,
so that, if we use the notation
x:::; 0,
"() { 0,
fT X = f"(x), x> 0,
16.3 Integral and Integra-Differential Equations 277
we may write (see (9.12))
!,,(x) = I(O){ a8(x) + 8' (x)} + I:' (x).

Hence, we may replace !,,(x) by I:'(x) in (16.26) by adjusting the value
of B. In particular, the choice B = -1(0) is the only one for which the
solution is an ordinary function rather than a generalized function. We
leave it to the reader to show by direct substitution that the constant B is
indeed arbitrary if we allow the solution to be a generalized function.
Example 3
We continue to use the same integral operator to illustrate the variety
of phenomena that it may contain, and consider the integro-differential
equation
¢"(x) + ~ 10 00
e-alx-yl ¢(y) dy = 0, x 2: O. (16.27)
Proceeding with the Wiener-Hopf method, we obtain from this
and factorization yields
(a 2 - a2 w2 - w4 )<p+(w) - (w 2 + a2 )¢'(0) + iw(w 2 + a2 )¢(0)

w+ia
(16.28)
= (w - ia)llf_(w)
= E(w).
We may now examine, in retrospect, the conditions necessary for the valid-
ity of our procedure. From the fact that ¢(x) = 0 for x < 0, we obtain for
'lj;(x) the simple expression 'lj;(x) = (constant) exp(ax) , so that its transform
converges if Im(w) < a. This behavior is reflected in (16.28), from which
we see that llf_ (w) has a pole at w = ia. We need an overlapping strip to
ensure that E(w) is an entire function, so the pole in llf_(w) forces us to
assume that ¢(x) grows at a rate less than exp(ax) for large positive x.
Applying this restriction we conclude that E(w) is an entire function that
is of order at most w2 in the upper half-plane, and bounded in the lower
half-plane. Consequently, E(w) = A, and we obtain
<p+(w) = A(w + ia) + (w 2 + a2 ){¢'(0) - iw¢(O)}. (16.29)

1- a 2 w 2 - w4
The poles of <P+(w) occur at the zeros of the denominator, namely, w2 =

J
-a2 /2 ± a2 + a4 /4. Three of these satisfy Im(w) :::; 0; for the other
Im(w) > a. This latter pole clearly violates our original conditions on
<P+(w). The way out of this difficulty is to choose A so that the numer-
ator of (16.29) has a coincident simple zero, making <P+(w) analytic there.
Thus, A is not an arbitrary constant, but is determined by our assumption
regarding the rate of growth of ¢( x). Inversion of <P+ (w) gives for ¢( x) a lin-
ear combination of three exponential functions depending on two arbitrary
constants, namely, ¢(O) and ¢'(O).
Boundary Conditions
To investigate the significance of these findings, we use the fact that the in-
tegral operator in (16.27) is a Green's function, to convert the problem into
a differential equation. Acting on the original equation with the operator
d 2 / dx 2 - a 2 yields the fourth-order equation
whose solution is
4
¢(x) = Lejer j "',
j=l
where the rj are roots of r 4 - a 2 r2 - a 2 = O. If we impose the condition

that ¢(x) grow more slowly than exp(ax), one of the exponential functions
is disallowed, and we recover the solution found above except that it ap-
pears to depend on three arbitrary constants. In fact, there is a boundary
condition implicit in the original integro-differential equation, namely,
<pili (0) = a¢" (0),
and this reduces the number of independent constants to two.
Problems
16.1 Show that, if the function 'ljJ(x, 0) of (16.1) has the behavior
'ljJ(x, 0) r"V x/L, x --+ 0,
where f1, > -1/2, then the entire function E(w) of (16.8) is identically zero.
Investigate the solution obtained for the Sommerfeld diffraction problem
under the weaker assumption that f1, = -1/2.
16.2 By using a suitable free space Green's function for the Helmholtz
equation in a half-plane, show that the solution of the Sommerfeld diffrac-
Problems 279
tion problem may be written as

e-ik(x cos lI+y sin II) + e-ik(x cos II-y sin II)
¢(x, y) = - ~ [°00 H6 1)(kR)h(~) d~, y ~ 0,
~[Ooo H61)(kR)h(~)d~, y:::; 0,
where R = J(x - ~)2 + y2, while the unknown function h(O is determined
by the integral equation
Solve these equations using the Wiener-Hopf technique.

16.3 Derive an asymptotic expansion for the function defined by (16.12)
by writing u = cosh t and deforming the contour so as to employ Watson's
lemma for loop integrals.
16.4 Show that the solution of the mixed boundary-value problem
(\7 2 + k2)¢(x, y) = 0, -00 <x< 00, y ~ 0,

¢(x,O) = 0, x> 0,
¢y(x,O) = g(x), x < 0,
is given by
¢(x, y) = 2n . ~k2 dw,
1 1c p(w, 0) e-"Wx-YVw--r;;-
where
16.5 If the boundary conditions in Problem 16.4 are replaced by
¢(x,O) = f(x), x> 0,

¢y(x,O) = 0, x < 0,
then show that
p(w,O) = e 3i7r / 4
In(w - k)
1°00 ei(w-k)u du
x ~ roo C 1 / 2 eik(uH) f(u +~) d~.

du Jo
16.6 Solve the mixed boundary-value problem
(\7 2 - k2)¢(X, y) = 0, -00 <x< 00, -00 <y < 00,
¢y(x,O) = e if3x , x?: 0,

¢(x, y) -+ 0, x 2 + y2 -+ 00.
16.7 Investigate the Sommerfeld diffraction problem when the boundary

condition on the barrier is replaced by
¢(x,O±) = ±iO¢y(x, O±), x?: 0,
and show that this leads to the Wiener-Hopf problem
tP_(w, O) = -(1 + io')') (tP+(w, 0+) - tP+(w, 0-))

+2io')'ksinBj(w - ksinB),
where 0 is a given constant, 1j; = ¢ - ¢inc, tP(w, y) is the Fourier transform

of 1j;y(x, y), and')' = v'w 2 - k 2 .
16.8 Solve the integro-differential equation
x?: 0,
subject to
¢(O) = 1,
¢(x) -+ 0, x -+ 00.
16.9 Find the Green's function for the equations
(::2 + a2) G(x, X') + 1 00

e- 1x - yl G(y, x') dy = o(x - x'), x> 0,
G(O,X') = 0,
G(x, x') -+ 0, x -+ 00.
Show that it is related to the solution of Problem 16.8 by 5
G(x,x l )=-l x'

¢(s)¢(s+x-x')ds
= 1 00
¢(s + x)¢(s + x') ds + Go(x - x'),
5This relationship holds for a wide class of kernels, of which exp( -Ix - yl) is
the simplest. See G.A. Baraff, J. Math. Phys., 11 (1970), 1938.
Problems 281
where Go is the Green's function for the infinite problem, that is,
(::2 + a2 ) GO(X, X') + 1 00

e- 1x - yl Go(y, x') dy = 8(x - x'),
Go(x, x') --1- 0, Ixl--1- 00.
16.10 Derive the factorization 6
1fzcoth(1fz) = K+(z)K_(z),
K+(z) = 1fl/2( -iz)!/ (-iz - 1/2)!,
K_(z) = K+( -z).
16.11 If ¢(x, y) is determined by
\1 2 ¢ - ¢x = 0,
¢(x, y) --1- 0,
¢(x,O) = e- ax ,
then show that

~+
n..( w,y ) -_ e -i7r/4 V.L
'l!'
..,... a -lylv'w2-iw
e ,
(a - iw)vw - i
while the inversion contour lies in the strip °< Im(w) < 1.
16.12 Consider the infinite strip -b ::::: y ::::: b, -00 < x < 00, along which
a wave ¢inc = exp(ikx) is incident from x = -00. The total wave field ¢,
which consists of the incident travelling wave and waves diffracted by a
semi-infinite barrier at y = 0, x 2: 0, satisfies the equations
(\1 2 + k 2 ) ¢(x, y) = 0,
¢y(x, ±b) = 0, -00 < x < 00,
¢(x,O) = 0, 0::::: x < 00.
Find explicit expressions for ¢(x, y).
°: : :
16.13 Solve the previous problem with the boundary condition on the
barrier replaced by ¢y(x, 0) = 0, x < 00.
6Wiener-Hopf kernels that are meromorphic functions are easily decomposed

(in principle) by using the Mittag-Leffler theorem to construct K+(z) and K_(z)
in terms of their singularity structure. The resulting inverse Fourier transform
may then be expressed as a series using residue theory.
17
Methods Based on
Cauchy Integrals
The major difficulty in using the Wiener-Hopf technique is the problem of

constructing a suitable factorization. We consider in this chapter methods
based on contour integration which leads, by natural extensions, to the use
of Cauchy integrals in the solution of mixed boundary-value problems.
17.1 Wiener-Hopf Decomposition

by Contour Integration
Suppose that the function p(z) is analytic in the strip ex < Im(z) < (3, and
that we wish to find functions p+(z) and p_(z) analytic in the half-planes
Im(z) > ex and Im(z) < (3, respectively, such that
ex < Im(z) < (3. (17.1)
First, choose z to lie inside the contour shown in Figure 17.1; then Cauchy's
integral formula gives
p(z) = ~
2nz
f p(() de·
(- z
(17.2)
We consider only functions for which the integrals along C3 and C4 become
zero as L --+ 00. Taking this limit, we obtain the result
1
p(z)=-.
2nz
Jh+
i-y-oo
OO
p( ()
-d(--.
(- z
1
2nz
l iHOO
i8-oo
p( ()
-de.
(- z
(17.3)
284 17. Methods Based on Cauchy Integrals
~ iB
Cl
io
C3 C4
Re(l;)
-L L
C2 i"{
ia.
The first integral defines a function analytic for Im(z) > a, since for any
such z we can always choose 'Y by a < 'Y < Re(z), and the second integral
defines a function analytic for Im(z) < (3. Therefore (17.3) gives the desired
decomposition.
Equation (17.3) gives an additive splitting; however, the same trick may
suffice to give a multiplicative splitting, that is, a factorization of the type
A>( ) = K+(z)
'P Z K_(z)"
If the function K+(z) has no zeros for Im(z) > a and K_(z) has no zeros
for Im(z) < (3, then we may reduce the problem of finding K+(z) and
K_(z) to an equation of the type (17.1) by either of two easy methods.
The first is to take logarithms, which gives
Alternatively, we may differentiate to write

if>'(z) K~(z) K~(z)
if>(z) K+(z) - K_(z)·
Both approaches depend on K+(z) and K_(z) not having zeros, and both
have been used extensively in the literature.
Milne's Equation
On taking the Fourier transform of equation (16.17), we are led to the
problem of factoring
(17.4)
Now the function w- 1 arctanw has branch points at w = ±i, so the strip in
which we must operate is -1 < Im(w) < 1. It is not difficult to show that
17.2 Cauchy Integrals 285
in this strip the only zero is a double zero at w = O. We must remove this
zero in order to apply a contour integral method; therefore, we consider
the problem of finding the factorization
(
W2
w2
+ 1) (arctanw
w
-1) = G+(w).
G_(w)
This is suitable for use in the contour integral method since the logarithm
of the function tends to zero as Iw I --+ (Xl in the strip -1 < Im( w) < 1, and
the double zero has been removed. Assuming that InG+(w) and InG_(w)
have been found by contour integration, (17.4) now admits the factorization
and the functions tJj + (w) and t]f_ (w) may be found by the usual argu-
ments. For details and numerical computations the reader is referred to
the literature. 1
17.2 Cauchy Integrals

Equation (17.3) leads us to consider functions of the type 2
F(z) = ~
27fZ
1 f(() de,
c (- z
(17.5)
which are usually known as Cauchy integrals. We restrict ourselves to con-

tours C that are piecewise smooth, and functions f (() that satisfy the
Holder condition3 wherever the contour is smooth. Restrictions on f(()
near a corner or an end of C will be specified below. It is a standard result
that, with the restrictions applied to (17.5), the integral defines a function
F(z) analytic in the entire complex plane excluding C. Of particular inter-
est is the value that F(z) approaches as z approaches an arbitrary point
of C. Since the definition of C includes a specification of the direction in
which the contour is to be traversed, we may define the meaning of the
left-hand and right-hand sides of the contour. It is conventional to refer to
1C. Mark, Phys, Rev., 72 (1947), 558; G. Placzek, Phys. Rev., 72 (1947),556.
2Mushkelishvili [42].
3The function f(() satisfies a Holder condition (of index 1) on a contour C if
there exists a real positive constant A such that
for any two points (1,(2 on C.

c'
FIGURE 17.2. Plemelj formula: Ordinary point.
the left-hand side as positive and the right-hand side as negative, and to
define the functions
F±(() = lim F(z),
z-+(
where the point ( on C is approached from the side indicated by the suffix.
We also define the principal value by
Fp(() = lim ~
E-+O 27ft
10'
f(u) du,
u- (
where C' is that part of C satisfying lu - (I 2 E.
Plemelj Formulae
We now derive some very important results in the case that f(() is an
analytic function. 4 Consider first a point ( on C that is not an end point
or a corner; then, by some elementary considerations from the theory of
contour integrals, we may collect together the results
F+(() = ~1 f(u) du,

u- (
= ~1
27ft 0'+01
F_(() f(u) du,
-~ 1
27ft 0'+02 u- (
f(() = f(u) du,
7ft 01 U - (
=~1 f(u) du
7fi O2 u- ( ,
4These results are in fact true for functions f(O that satisfy a Holder condi-
tion, although the proofs are more intricate in this case-see Mushkelishvili [42],
Chapter 2.
17.2 Cauchy Integrals 287
FIGURE 17.3. Plemelj formula: Corner point.
where the various contours are shown in Figure 17.2. On taking the limit
E -+ 0, we recover the Plemelj formulae
1
F+(() = Fp(() + 2f ((),
F_(() = Fp(() - ~f(().
Near a corner of included angle a (see Figure 17.3), we have
f(() = -~ r
f(u) du,
m}c1u-(
= 1
(27r-a)i}C2 u - (
r f(u) du
,
and hence, the Plemelj formulae are changed to
F+(() = Fp(() + (1 - 2:) f((),

F_(() = Fp(() - ~ f(().
27r
In either case, subtraction of one result from the other leads to the impor-
tant common result that
so that the Cauchy integral gives a construction for an analytic function

having a prescribed discontinuity across C.
Behavior near End Points

For simplicity, we consider a smooth arc C with end points a and b. We
assume that f(() satisfies a Holder condition at every interior point of C,
and examine the behavior of F(z) near z = a. If f(() satisfies the Holder
condition at z = a, then we may write (17.5) as
F(z) = ~
27r~
Ib
a
f(() - f(a)
(- z
+ f(a) d(
= 1
-.f(a)
27r~
In - -
Z - a
(z - b) + D(z), (17.6)
where
D(z) = ~
27fZ
lb a
f(() - f(a) d(.
(- Z
(17.7)
Since the integral defining D(z) converges when we set z = a, the singu-
larity in F(z) at z = a is of the form
- f(a)
F(z) '" - - . In(z - a).
27fz
Similarly, if f(() satisfies the Holder condition at ( = b, F(z) the singularity

takes the form
F(z) '" f(b: In(z - b).
27fZ
More generally, we may consider functions f(() that are not finite at
the end points, but for which there are constants ",/a and "'/b satisfying the
inequalities
0< Reba,b) < 1,
so that the functions (( - a)"Ya f(() and (( - b)"Yb f(() satisfy the Holder
condition at the end points a and b, respectively. Then by a subtraction
procedure similar to that employed in (17.6,17.7), we may show that the
singularities of F(z) at the end points take the form 5
ei7r 'Ya ¢( a)
F(z) '" . .,
2z(z - a)'Ya sm 7f"'/a
¢(a) = lim(( - a)"Ya f((),
(-+a
and
e i7r 'Yb ¢( b)
F (z) '" - ~_::-:--'---'cc'-_
2i(z - b)'Yb sin 7f"'/b '
¢(b) = lim(( - b)"Yb f(().
(-+b
The Discontinuity Theorem

Cauchy integrals represent analytic functions that are discontinuous across
an arc (or collection of arcs) C. The discontinuity theorem states that
if C is a contour and f(() a function defined on C, both satisfying the
restrictions introduced above, then the only functions ¢(z) satisfying the
three conditions
(i) ¢(z) is analytic in the entire complex plane excluding C,
5Mushkelishvili [42], Chapter 4.

17.3 The Riemann-Hilbert Problem 289
(iii) for any end point or corner, I<l>(z) I < Alz - cl.B, f3 > -1,
are of the form

1.
<l>(z) = -2
7fZ
r !()
lc . " - z
d( + E(z),
where E(z) is an entire function. The proof consists of using the properties
of Cauchy integrals near end points (remembering that a corner is the
adjunction of two end points) to show that the function <l>(z) - F(z) has no
singularities, and is therefore entire. Details may be found in the literature;
Mushkelishvili's book is a particularly comprehensive reference.
17.3 The Riemann-Hilbert Problem

The discontinuity theorem allows us to solve problems concerning ana-
lytic functions that have their properties specified on a contour C. The
Riemann-Hilbert problem is to find a function <l>(z), analytic in the entire
plane excluding C, which satisfies the condition
(on C.
To solve this problem, we first set f() to zero, and find functions K+(z)
and K_(z), with the property
(on C. (17.8)
Leaving aside the construction of such a pair of functions until later, this
reduces the Riemann-Hilbert problem to
f()
(on C.
K+() ,
The discontinuity theorem gives a solution immediately, viz:
<l>(z)
K(z) =
1
27fi
r f()
lc ( _ z)K+() d( + E(z). (17.9)
Construction of K+ and K_
Taking the logarithm of (17.8), we obtain
(17.10)
and the discontinuity theorem will again provide a solution, provided we

can handle any singularities near end points in such a way that the func-
tion f()/K+() satisfies the necessary restrictions for the validity of the
discontinuity theorem. For applications, there are two important cases we
now consider.
Contour with End Points

If C is not a closed contour, and does not cross itself, then we write
InL(z) = ~ 1 Ing (()

27rZ c ( - z
de.
Using the properties of Cauchy integrals near an end point, we find that
near the beginning (z = a) of C the function L(z) behaves like
L(z) '" (z - a)"'a,
lng(a)
"fa = -""2ri.
Now choose an integer ka so that 0 ::; Reba + k a ) < 1, and multiply L(z)
by the factor (z - a) ka. The singularity of this new function at z = a is now
sufficiently weak to allow its use in (17.9). The other end points is treated
similarly, so that the factorization (17.8) is given by
K(z) = (z - a)ka(z - b)kb L(z).
Because the constants ka and kb are integers, K(z) satisfies (17.10) when-
ever L(z) does.
Closed Contour
If C is a closed contour that does not cross itself, then the function lng(()
will increase by 27rin in one circuit ofthe contour. Introduce a new function
go(() by
go(() = (( - a)-ng((),
where a is an interior point of the region bounded by C. It is easy to check
that the desired decomposition is given in terms of go (() by
In K + (z ) = _1
2·
7rZ
1 C
Ingo (() dr
r
.,,-z .",
InK_(z) = nln(z - a) 1 .11~go(() de.

+ -2
7rZ c - Z
Simple Applications
Suppose that C is a smooth arc joining the points z = a and z = b, with
the Riemann-Hilbert problem given as
(17.11)
Since lng(() = i7r, we commence by noting that
_1_1b ~ d( = In(b - z) -In(a - z) .
27ri a (- z 2
The behavior at z = b is inappropriate after we exponentiate. Dividing the

exponential by the factor (z - b) yields the desired factorization,
Then the solution of (17.11) is
p(z)
K(z) =
1
21fi
lb
a
f(()
K+(()(( _ z) d( + E(z).
For example, if a = -1, b = 1, f(() = 1, then
p(z) ~ + n(z) ,
=
2 vz 2 -1
where n(z) is an entire function, which differs from E(z) due to contribu-
tions from the integral.
The Wiener-Hop! Problem

The Riemann-Hilbert problem given in (16.14) is
A(w)p+(w) + B(w)p_(w) + C(w) = 0,

a < Im(w) < (3.
Now we no longer need a strip of overlap; indeed, on choosing a constant

'Y by a < 'Y < (3, we may take the contour C as the line 6 Im(z) = 'Y.
Application of the method of Cauchy integrals leads immediately to the
formulae of Section 17.1.
17.4 Problems in Linear Transport Theory

Fourier transform methods have been applied extensively7 to the linear
transport equation8
(1 + ! + v . V') 'lj;(r, v, t) = Ja(v, v')'lj;(r, v', t)

c d3 v' + q(r, v, t).
6We could in fact use a Fourier inversion contour that is not a straight line
parallel to the real axis, thus achieving a generalization of the Wiener-Hopf
technique by using the Plemelj formula.
7This section is based on work by K.M. Case and R.D. Hazeltine, J. Math.
Phys., 12 (1971), 1970.
8See Case and Zweifel [16] for the derivation and interpretation of this
equation.
Here, ,¢, the phase space density, is to be determined in a region V with

the boundary condition on the surface S given by
'¢(r, v, t) = '¢s(r, v, t), v inward.
The scattering kernel a and source function q are, like '¢s, presumed to be
given. We shall consider in this section half-plane problems for which V is
the region z 2': 0, and show that, whenever the function a has the separable
form
a(v, v') = f(v)g(v'), (17.12)
then the Fourier transform method may be used in conjunction with Cauchy
integrals to give a general method of attack for the analytic solution of the
problem. We confine our attention to time-independent solutions and drop
the reference to t in what follows.
The collisionless Green's function (see Problem 11.11 for the derivation
of properties used here)
G(r - r', v) = (21f)3

1 J e-ik.(r-r')
1 + ik. v d3 k,
allows us to rewrite the basic equations as an integral equation, namely,9
'¢(r, v) = r
iz?o
G(r' - r, v){cp(r', v) + q(r', v)} d3 r'
+ Vz 1=0 G(rs - r, v),¢s(rs, v) d2rs,
where the subscript s refers to restriction to the boundary z = 0, and
p(r, v) = J a(v,v'),¢(r,v')d3 v'.
We now take the three-dimensional Fourier transform so as to make use of

the convolution property. In so doing, we shall have to add to the left-hand
side of the equation an unknown function given by the right-hand side for
z < 0. Without any fear of confusion we denote this function by '¢(r, v),
introducing the conventions
\[I+(k, v) = r
iz?o
'¢(r, v) eik .r d3 r,
\[I_(k, v) = r
iz$.o
'¢(r, v) eik .r d3 r,
\[I(k, v) = \[I+(k, v) + \[1_ (k, v).
gIn particular, we have used the property that

G(rs - r, v) =0 z > 0, Vz < o.
After these manipulations, we obtain the integral equation
'Tr(k
'¥ , V
) -_ cP+(k, v) + Q+(k, v) +
1 - ik . v
Vz
1 - ik . v
1z=o
of, (
'+'8 r, v ) e ik-r d2 r.
(17.13)
Solution for Separable Kernels

When (J" has the form (17.12), we may introduce the integrated density
p(r) = J g(v)'Ij;(r, v) d 3 v,
with Fourier transform p(k). Multiplying by 9 and integrating over v, we

get immediately
(17.14)
where
is the dispersion function, and
represents the known contributions from the sources q and the boundary
function 'Ij; 8.
For convenience, we denote the z component (normal component) of k
by k; dependence on the transverse components kx , ky will not be explic-
itly mentioned. It is evident from the above formulae that the real k-axis
will separate regions of differing analytic behavior, and that (17.14) is a
standard Riemann-Hilbert problem in the complex variable k. For suit-
ably behaved functions B(k), the solution of (17.14) will be given by the
Cauchy integral
- (k)A (k)
p+ +
= _1
21fi
1
00
-00
B(k')A_(k') dk'
k' - k '
(17.16)
where the functions A+ (k) and A_ (k) factor the dispersion function A( k)
according to
k real.
One-Speed Isotropic Scattering, c < 1

In the particularly simple case that all the particles travel at the same
speed, and that collisions result in a random directional change, we may
branch cut
branch cut
FIGURE 17.4. Contours for factorization of L(k).
replace the velocity variable v (which is three-dimensional) by a direction

variable, n, which is a unit vector. The dispersion functions becomes simply
A(k) = 1 - 47f
C J dn
1 - ik. n
=1+
2Vk2 +
ic
",2
I (1
n
+ i Vk 2 + ",2 )
1 - iVk2 +",2 '
where ",2 = k; + k~. The analytic structure of this function for c < 1 is
indicated in Figure 17.4; there are two branch points at k = ±iVl + ",2,
and two zeros 10 at k = ±i",o, where "'0 < VI + ",2.
It is clear that the function
L(k) = In (k2 +",2 + 1 A(k))
k 2 +",~
is analytic in the entire complex plane, with the two branch cuts of Fig-
ure 17.4, and that it may be additively decomposed according to
L (k) = _1 JOO L( k') dk'
± 27fi -00
k' - k .
Now we deform the contours to C± of Figure 17.4, so that the factorization
of the dispersion function may be written as
A (k) = k ± i",o X (k)
± k ± iVl + ",2 ± ,
X±(k) = exp ( ±2~i k'f t,~'~ dk').

This may now be substituted into (17.16) to solve particular problems.
lOSee Case and Zweifel [16J, page 62ff.

17.5 The Albedo Problem 295
17.5 The Albedo Problem

The Albedo problem is the problem of obtaining the (neutron) phase-space
density in a source-free half-space z ::::: 0, if a parallel beam is incident on
the surface z = o. We consider a beam uniform in the x and y variables,
which means that the solutions will be independent of these variables, and
we may set kx and ky to zero. Then we have
'ljJs(x, y, 0, n) = 8(n - no), n inward,
where no is the direction of the incident beam, with (Do)z > O. From this,
using (17.15) and (17.16), and writing Dz = J-L, (Do)z = J-Lo, it follows that
i
B(k) = k+i/J-LO'
and
(17.17)
Substitution of this result into the inverse Fourier transform gives the result
that p(z) = 0 for z < 0, while for z ::::: 0, we may deform the contour into
the lower half-plane, where the integrand has a simple pole and a branch
cut, to obtain
Connection with Singular Eigenfunction Expansion

We have chosen to write the Fourier inversion p(z) in some detail so that
we can show, in a reasonably simple situation, the connection with the
solution by singular eigenfunctions. In the notation of Case and Zweifel,
the expression for p( z) is
(17.18)
where we have added a circumflex to their functions A(v) and X(v) to dis-
tinguish them from the functions appearing above. Now the eigenfunctions
Im(v)
c
...+---...04---........ Re(v)
v=O branch cut v= 1
in (17.18) are
cv 1
rPv(JL) = - p - - + .\(v)O(v - JL),
2 V-JL
where P refers to principal value integration. The meaning of that expan-
sion is most easily expressed in terms of Cauchy integrals via
10
r A(v)rPv(JL) dv = [~
1
r
21f~ 10
1
A+(v)A(v) dV]
v - JL
+
_ [~ r 1
A_(v)A(v) dV] ,
21f~ 10 v - JL
where JL is the complex variable to which the subscripts ± apply. With the
help of these formulae, we may write p(z) as
p(z) = _ 2,(JLo) e-x/vo
1
cVoX(vo)
(17.19)
+ (vo - JLo)r(JLo) 2e- Z / V
~
d
v,
21fi c cv(vo - v)(v - JLO)X(v)
where the contour is shown in Figure 17.5.
Under the variable change, = -ilk, it is easily shown that we have the
correspondence
A(v) = A(k),
X(v) = X+(k),
K:o = l/vo,
so that the integral in (17.19) becomes
_1_ r 2ko e- ikz dk

21fi lc cJLo(k + iK:o)(k + i/ JLo)X+(k) ,
with the contour of Figure 17.5. Thus, the correspondence is established,
although it may be seen-as pointed by by Case and Hazeltinell-that the
llBased on KM. Case and R.D. Hazeltine, J. Math. Phys., 12 (1971), 1970.
Fourier transform method provided a more direct approach, and avoids the
difficulties inherent in the interpretation of singular eigenfunction methods
as explicit formulae suitable for direct computation.
Angular Density of Emergent Particles

Using (17.17) in (17.13), we obtain the result
'IjJ(k n) = i8(n - no) _ ~ A_( -if /1-0) •

, k + i/ /1-0 47r /1-A+(k)(k + i/ /1-o)(k + i/ /1-)
This function is analytic in the upper half k plane except for a pole at
k = -if /1- when /1- < O. Hence, for z = 0, the inverse Fourier transform
involves only a simple residue calculation, and the result of this calculation
is an explicit expression for the angular density of particles that escape
from the surface. This expression is
17.6 A Diffraction Problem

Consider the diffraction of scalar waves in an infinite two-dimensional re-
gion by a strip of finite widthP The differential equation is ('\7 2+K;2)¢ = 0,
and there are boundary conditions on the strip, whose coordinates are
y = 0, Ixl ::; a, plus the additional condition that the solution consists of
incoming plane waves, ¢i, and outgoing diffracted waves. The details of
the problem will depend on the particular boundary condition applied on
the strip; here we take ¢ = o. Denoting by G(r, r') the free-space two-
dimensional Green's function and applying Green's theorem to a region
whose boundaries are a large circle centered on the origin and the two
sides of the strip, we readily deduce the formula
¢(x, y) - ¢i(X, y) = 41
7r
l-a
a
G(x, y, x', O)p(X') dX', (17.20)
where
p(x) = ¢y(x,O+) - ¢y(x,O-).
We recall13 that the Green's function may be written as
(
Gx,y,x,y
I ')
=
100 e- ik (y-y')-!x-x'!v'k 2 -1<2
---r~=~--dk,
-00 yk 2 - K;2
12Based on K.M. Case, Rev. Mod. Phys., 36 (1964), 669.

13See Section 10.4.
Im(k)
C2
-l(
Re(k)
where we take as the branch cuts the contours C 1 and C2 of Figure 17.6.
Setting y = 0, Ixl ::; a in (17.20), we obtain the integral equation
-41rq)i(X,0) = i : K(x - XI)p(X') dx ',
K(x - x') = 1 00
-00
e
-lx-x'l~
v'k2 - ",2
dk.
(17.21)
The Function K
By deforming contours around the branch cuts, and then shrinking them
onto these cuts, we may deduce the representations
K(x - x') = 1C;

e-ik(x-x') ..::1(k) dk,
(17.22)
..::1(k) = 1J+(k) -1J-(k),
1J(k) = (k 2 - ",2)-1/2.
For convergence, C 1 is the contour if x < x' and C 2 is the contour if x > x'.
From this representation of K(x - x'), the following important property
emerges:
iaa K(x - x') e-ik'x' dx'
= i1 ..::1(k) e-ikX-~ai~k;'k~ ~ e-ik'x dk + i2 ..::1(k) e-ik~~k~ :~;-k') dk.
Therefore, we look for a solution of (17.21) that has the form

which may be substituted into the integral equation to convert it to
-4K¢;(X, 0) ~ ~ Aj (L, LICk) e-'k," ~C~~'~":;G(k-k') dk
+ i2 L1(k) e-ikX-iia(~:~)k) e- ikjx dk)
+ (il rPl(k')dk' + i2 rP2(k') dk')
x(il L1(k) e-ik'x ~(~~:x:)ia(k-k') dk
+ i2 L1(k) e-ik'X-:~~-~'~) e-ik'x dk)'
Reduction using Cauchy Integrals

None of the integrals in this expression is divergent, since the expressions
involving exponential functions are finite when their denominators are zero.
What we do here is to regard all of the integrals as principal value integrals,
which allows us to separate the various terms that are presently grouped
together to effect these cancellations. In doing this we need the following
Plemelj formula:
r
lC2i(k' -
L1(k') dk' _
k)
r i(k'L1(k')- k) dk'
lCI
= {27r TJ (k), k not on Gi ,
0, k on G i .
With the aid of this formula, the original integral equation is reduced to
_lCr L1(k) eik(a-x) (_ ""

~ z(k - kj
~j e- iakj
)
I
J
+ lCI
r rPli(k'(k') -e-k)iak' dk , + lCr rP2i(k'(k') _e-k)iak' dk,) dk
2
_lCr L1(k) e-ik(a+x) (_ "" .Aj eiakj
~ z(k - kj )
2
J
+ lCI
r rPl(k')e iak' , r
rP2(k')e iak ' ,)
i(k' - k) dk + lC2 i(k' _ k) dk dk
For the present problem, with incoming plane waves, ¢i(X,O) is simply
one exponential term, and a solution of this last equation is achieved by
simultaneously solving the three equations:
Reduction to Coupled Equations of Fredholm Type

No explicit solution of these equations is known; however, we may easily
reduce them to a much simpler form, not involving any singular integrals. 14
In the following we assume normal incidence, so that kl = 0, and the
algebra is somewhat simplified. First introduce the functions
X 1(k) = (k + h:)-1/2,
X 2(k) = (k - h:)-1/2,
which have the properties
XH(k) + X 1 _(k) = 0 on C 1 ,
X 2+(k) + X 2_(k) = 0 on C2.
Next, define the Cauchy integrals
Then the Plemelj formulae enable us to express the functions (PI (k) and
¢2 (k) in terms of these Cauchy integrals via
1
¢1(k) = 2" (<PH - <Pl-) on C1,
1
¢2(k) = 2" (<PH - <P2-) on C 2·
The equation for ¢1 (k) now appears as
14The techniques used for the solution of these singular integral equations are
quite standard: see Mushkelishvili [42).
where
nl'(k) = _ 2i", _ r ¢2(k') e-ik'a dk'
'I-' k lC2 k' - k .
The solution of this Riemann-Hilbert problem is
(17.24)
Introducing the expression for 'IjJ(k) into (17.24), the first term of 'IjJ(k)
leads to the integral
which therefore gives to <PI (z) the contribution
_ 2i", (1- X 1 (0))

z X 1 (z) ,
and to ¢1 (k) the contribution
The second term is dealt with using partial fractions in a similar manner,
so that the singular integral equations (17.23), for the unknown functions
¢1 (k) and ¢2 (k), are reduced to the ordinary integral equations
. X
Z7r 1+ '1-'1 - T
r ¢2(k')Xl(k')e-ik'adk'
(k)'" (k)_2i"'X(0)
1 k' _ k
- lC2
C
on 1,
. X (k)'" (k) 2i"'X (0) + r ¢1(k')X2(k') eik'a dk' C

ur 2- '1-'2 = -T 2 lC k' _ k l
on 2·
We refer the reader to the literature, and particularly to the work of

Wolfe,15 for the solution of these equations by iteration, and the relation
of these solutions to other methods of treading this particular problem of
diffraction.
15p. Wolfe, SIAM J. Appl. Math., 23 (1972), 118.

Problems
17.1 Use Cauchy integrals to derive the factorization of (16.7).
17.2 Investigate the various solutions of (16.27) that may be obtained

by choosing to take the Fourier transform along different contours, sub-
sequently using this contour in the relevant Cauchy integrals.
17.3 Find an additive decomposition of the function

1
p(z) = y'z 2 + k 2 '
by deforming the contours of the Cauchy integrals to turn them into loop
integrals.
17.4 Find an additive decomposition of the function
17.5 Use Cauchy integrals to derive the decompositions needed in the so-
lution of Problem 16.6.
18
Laplace's Method for
Ordinary Differential Equations
Transform methods are useful in finding solutions of ordinary differential

equations far more complicated than those considered in Chapter 4. In
fact, we have already seen in Section 4.4 that an explicit formula for the
Bessel function Jo(x), defined as the solution of an ordinary differential
equation with variable coefficients, may be found with the Laplace trans-
form. One advantage of the technique developed in this chapter, over the
simpler method for solution in terms of a power series expansion, is that
the transform method gives the solution required directly as an integral
representation. In this compact form various properties of, and relations
between, different solutions to an equation become quite clear, convenient
asymptotic expansions can be obtained directly, and numerical computa-
tion may be facilitated. For applications the analytic properties, asymptotic
expansions, and ease of computation of a function are of primary interest.
lS.l Laplace's Method

We consider the differential equation
n
~:)ak + bkX)y(k) (x) = 0, (18.1)
k=O
304 18. Laplace's Method for Ordinary Differential Equations
the coefficients of which are linear polynomials. Laplace's method consists

of assuming that the solutions have the integral representation
y(x) = fa S(p) ePx dp, (18.2)
where the contour is to be chosen as part of the process of solution. Equa-

tion (18.2) therefore represents a straightforward extension of the Laplace
transform method, for which the contour is a vertical line in the p-plane.
If we insert (18.2) into (18.1), and integrate by parts to remove the terms
in x, we get
0= fa {F(P) + xG(p)}S(p) eP x dp
fa
(18.3)
= {F(P)S(P) - d~ G(p)s(P)} eP x dp + [G(p)S(p) eP x ]~,
where
k=O
n
G(p) = Lbkpk.
k=O
The second term in (18.3) is evaluated at the end points of the contour,
which are often at infinity. If we choose the contour so as to make this
contribution vanish, then (18.2) will represent a solution to (18.1) if the
function S (p) satisfies the differential equation
F(P)S(P) - ! G(p)S(p) = O. (18.4)
There is an immediate formal solution, namely,
A
S(p) = G(p) exp
(JP G(q)
F(q) )
dq , (18.5)
where A is an arbitrary constant. Using (18.5), it is now possible to deter-

mine suitable contours to complete the solution.
The simplification that allows us to write the explicit formula (18.5)
arises from the fact that (18.4) is a first-order differential equation. This, in
turn, is due to our requirement that the coefficients of the original equation
be only linear polynomials. 1 If they were quadratic, then the process of
integrating by parts in (18.3) would lead to a second-order equation for
S(p). There is no general method for solving in this case; however, if a
solution can be found, the method will still succeed.
1 More complicated equations can sometimes be reduced to this form by suit-

able transformation.
18.2 Hermite Polynomials 305
18.2 Hermite Polynomials

As an illustration of Laplace's method, we consider Hermite's differential
equation,
wl/(x) - 2xw'(x) + 2vw(x) = 0, (18.6)
where v is an arbitrary constant. In this case (18.5) gives
1
S(p) = - 2p exp
(JP
-
q2 2q+ 2v dq )
= - 2~ exp (-p: - vln p )
e- p2 / 4
- 2pv+l .
This may be substituted into (18.2) to obtain an integral representation.

In order to conform with established convention, we first make the vari-
able change p -+ 2p, so that
(18.7)
where A is an arbitrary constant, and the path of integration must be

chosen so that
e-p2+2PX] 2 =
[ pv+l 0, (18.8)
1
where [... ]I refers to the increment as we traverse the contour.
Choice of Contour
In general, a variety of paths will satisfy the condition that the integrated
term vanishes; each such path leads to a different solution. The particular
path of interest is usually dictated by the physical or boundary conditions
we impose. Possible paths that satisfy (18.8) are
(i) -00 <p < +00, avoiding p = o.

(ii) 0 < p < 00, with Re(v) < O.
(iii) If v is an integer, a contour that encircles the origin.
(iv) The path shown in Figure 18.1.
We will prove in Section 18.3 that Hermite functions have the behavior
w(x) rv Aexp(x 2 ) either for x -+ 00 or x -+ -00, or both, except when
Im(p)
c
Re(p)
branch cut of Jrv-l
v = 0,1,2, ... , for which there are some bounded solutions. 2 Turning first
to such bounded functions, for which v must be an integer, we take C to
be a circle enclosing the origin and write
n = 0,1,2, ....
These solutions, which turn out to be polynomials, are usually normalized

by the convention that the coefficient of xn is 2n; this fixes the constant A
and gives
Hn(x) = -2.
n! 1 e-p2+2px
n+l dp, (18.9)
7fZ C P
where we use the symbol Hn as the (standard) notation for a Hermite
polynomial.
Derivative Form
A formula for Hn(x) follows if we use the change of variables u = p - x in
(18.9), and apply the standard formula (1.12) for evaluating the residue at
a pole or order (n + 1). This gives
Generating Function
From (18.9), we have
(18.10)
2This conclusion may also be reached using Watson's lemma for the paths (i),
(ii), and (iv).
that is,
2xt-t 2 _ ~ Hn(x) n
e - L.....-
n.
,t.
n=O
This formula plays an important role in the theory of Hermite polynomials. 3

Using term-by-term expansion, we obtain the explicit formula
[n/2] (-I)k'
() '" n. ( )n-2k
Hn x=L.....-k!(n_2k)!2x ,
k=O
where [n/2] is the largest integer ~ n/2.
18.3 Hermite Functions

We return to the problem of finding solutions of Hermite's equation for
arbitrary v. Consider the integral
(18.11)
which is the Laplace integral solution (18.7) with the normalization fixed.
We take the contour shown in Figure 18.1, so that for v = 0,1,2, ... we
recover Hn(x). When v = -1, -2, ... , (18.11) is indeterminate. However,
for Re(v) < 0, we may obtain an alternative representation by shrink-
ing the contour around the branch cut. After the change of variables p =
texp(±i7r), this gives
(18.12)
Re(v) < O.
There are two important immediate consequences. The first is that H v (x)
is an entire function of both x and v; the second is that Hv(O) may be
evaluated. For, on putting x = 0 in (18.12), we have
(-v/2 - I)!
Hv(O) = 2( -v - I)! ' (18.13)
which holds for all v by analytic continuation.
3For details beyond those given in this section see, for instance, Abramowitz
and Stegun [1], Lebedev [37], and Szego [62].
Recurrence Relations
If we multiply (18.11) by 2x and integrate by parts, we find that
v.
2xH,Ax) = - - .
2m c
,1
+2 x e 2
e P - d ( -_p- ) dp
dp pll+!
1)
v+ dp,
( -2p- -p-
and after using (18.11) again,
HII+!(x) - 2xHII (x) + 2vHII _1(x) = O.

This recurrence relation, called a three-term relation because it connects
Hermite polynomials with three different indices, can be used to tabulate
the Hermite polynomials step-by-step, beginning with Ho(x) = 1. Another
recurrence relation may be obtained by differentiating (18.11) with respect
to x. This gives
v! 12pe-p2+2Px
H' (x) = - dp
II 27l"i C pll+l (18.14)
= 2vHII _ 1 (x).
The manipulations involved here are only valid for Re(v) > -1, but the
results are not subject to this restriction because of the principle of analytic
continuation.
Independent Solutions
HII(x) is one solution of Hermite's equation, and it is trivial to show that
H II ( -x) is also a solution. The crucial question is whether this second solu-
tion is linearly independent of the first, and this depends on the Wronskian.
For any two solutions of (18.6), we have 4
(18.15)
In the present case, we find the constant by setting x = 0, and using

(18.13,18.14) together with properties of the factorial function. This gives
_ 211+!J1f x2
W[HII(x), H II ( -x)] - (-v _ I)! e .
Consequently, HII(x) and H II ( -x) are linearly independent solutions pro-

vided v =f. 0,1,2, .... In these exceptional cases, we may show that Hn(x) =
(-I)nHn(-x).
4Abel's theorem; on differentiating Wand using (18.6) we have Wi = 2xW,

whose solution is (18.15).
Other solutions may be found by noting that the functions
ex2 H_ v _ 1 (±iz)
also satisfy Hermite's equation. The Wronskians may again be obtained by
direct calculation at x = 0, which gives
W[Hv (x),e X2 H- v- 1 (±ix)] = ex2 ±i7r(v+1)/2,
so that these new functions provide solutions independent of HZ/(x) for
arbitrary v. We return to this fact below. First, we wish to use these new
solutions to obtain an integral representation similar to (18.12) for Re(v) >
-1. We commence by noting that any three solutions of a second-order
differential equation must be linearly dependent; hence there are constants
A, B, C, such that
(18.16)
By evaluating this expression, and its derivative with respect to x, at x = 0,
we obtain the relation
Hv(x) = 2Vv!
y7r eX 2 (e.mv /2 H_Z/_ 1 (ix) +e- 27rV
. /2
H_ v_ 1 (-ix) ) . (18.17)
Substitution of (18.12) into this result yields the integral representation
Hv(x) =
2 v + 1 e x2
y7r 10roo e- t 2
tV cos (2xt - V1f/2) dt, Re(v) > -1. (18.18)
Formulae (18.12) and (18.18) are useful in deriving asymptotic forms.
Asymptotic Forms
We commence with the integral (18.11), and replace the branch cut by the
straight line t = -p exp( io:), where 0: is chosen by the following considera-
tions:
(i) The integral must be unchanged and convergent, which imposes the
restriction -1f / 4 < 0: < 1f / 4.
(ii) We want the factor exp(2xp) to go to zero as p --+ 00, which imposes
the restriction Re(xp) < 0.
Denoting arg(x) by (3, this implies -1f/2 < 0:+(3 < 1f/2 and thus -31f/4 <
(3 < 31f /4. Now we replace exp( -t 2 ) by its Taylor series and apply Watson's
lemma for loop integrals, which gives
v~ (-I)k(2k-v-l)!
Hv(x) '" (2x) L k! (-v _ I)! (2x)2k ' (18.19)
k=O
- 31f/4 < arg(x) < 31f/4.
We also need a formula to cover the region excluded from (18.19). Using
(18.17) rearranged in the form
and applying (18.19) to each term, we get
v ~ (-1)k(2k - v - I)!
Hv(x) rv (2x) ~ k! (-v _ I)! (2k)2k
k=O
ynei1rv e2 (2k + v)! (18.20)
L
00
- (-v - I)! xv+! k! v! (2x)2k'

k=O
7r/4 < arg(x) < 57r/4,
with a similar formula for -57r / 4 < arg( x) < -7r / 4. The essential difference
between (18.20) and (18.19) is in the term exp(x 2 ); unless v = 0,1,2, ... ,
this causes the corresponding functions to be unbounded for I arg( x) I >
37r / 4, in support of the assertion made in Section 18.2.
18.4 Bessel Functions: Integral Representations

The Hermite equation investigated above is typical of the simplest class of
second-order equations whose general solutions are nontrivial. Slightly more
difficult is the Bessel equation, which we consider here. 5 Bessel functions
satisfy the equation
!" + ~Z l' + (1 - v2) f

Z2
= O.
Again, the solution is most easily effected if we remove the singularity at
Z = 0; this may be achieved by the substitution
(18.21 )
to obtain the equation
ZU" + (2v + l)u' + zu = 0, (18.22)
which is amenable to solution by our method. Equation (18.22) is closely

related to the confluent hypergeometric equation. However, it is worthwhile
to discuss Bessel's equation in its own right, as there are many important
properties and methods that are specific to Bessel functions.
5The classic and monumental reference on Bessel functions is Watson [70].

18.4 Bessel Functions: Integral Representations 311
The direct application of Laplace's method to (18.22) is straightforward,

and in the notation of Section 18.1, we have
F(p) = (2v + l)p,

G(p) = p2 + 1,
S(p) = A(p2 + 1)"+1/2.
Now, for large izi, (18.22) may be approximated by u" + u = 0, the so-
lutions of which are periodic. It is therefore conventional to perform the
substitution p = iw in the Laplace integral, so that the method yields
u(z) = ~
27r
r(w
lc
2 _ 1),,-1/2 eiwz dw, (18.23)
where the contour C and arbitrary constant A must be chosen to complete

the solution. A variety of contours are suitable for defining various types
of Bessel functions; these will be discussed as the occasion arises.
Another Representation
The integrand in (18.23) has two branch points, at w = ±1, a feature char-
acteristic of the confluent hypergeometric equation, and that causes some
practical difficulties. An alternative approach, applicable only to Bessel
functions, commences by replacing (18.21) by
After writing ~ = z2 and substituting into Bessel's equation (18.1), this

yields the new differential equation6 for g(t;)
4~g" + 4(v + l)g' + g = 0.

Application of Laplace's method to this new equation gives
S( ) = _1
P 4p2 exp
(JP 4(v +4q2l)q + 1 dq)
= ~p"-l e1/4p
4 '
giving the alternative integral representation
g(~) = ~
27rz
rp,,-l eP~-1/4p dp.
lc
6Bessel's equation is a special case of the confluent hypergeometric equation;
one of its distinguishing features is that under this transformation, it remains an
equation of the form (18.1).
More symmetrical formulae may be obtained by a change of variables. If

we substitute back into (18.23) after replacing p by p/2z, we obtain the
representation
J(z) = ~
27r2
1
C
pv-l e!z(p-l/p) dp.
Since the parameter v occurs in Bessel's equation only as v 2 , its sign is

undetermined, and yet another integral representation is given by
J(z) = ~
27r2
1
C
p-v-l e!z(p-l/p) dp. (18.24)
18.5 Bessel Functions of the First Kind

On choosing A = 1 in this last formula, and using the contour shown in
Figure 18.1, we obtain a function generally known as Bessel's function of
the first kind, and denoted Jv(z); thus,
1
Jv(Z) = -2'
7r2
J O
-00
+ p-v-l e 2z
1 (p-l/p) dp,
Re(z) > 0, (18.25)
where the restriction Re(z) > 0 is necessary to make the integral converge.
It is a simple matter to perform an analytic continuation of (18.25) to all z,
and to elucidate the behavior of Jv(z) about z = 0 at the same time. If we
temporarily restrict z to be real and positive, then the change of variables
u = pz/2 yields
(z/2)V
J (z) = - -
JO+ u- v- 1 eU - z 2 /4u du (18.26)
v 27ri -00 '
where the contour is unchanged since z is real. But the integral in (18.26)
defines an entire function of z since it is single valued, and absolutely con-
vergent for all z. Hence it is a valid representation for all z, and we see that
Jv(z) has a branch point at the origin, but that it has no other singulari-
ties. To complete the definition of Jv(z) we must introduce a branch cut;
the usual convention is to make this the negative real axis, specifying the
branch by the restriction -7r < arg(z) < 7r.
18.5 Bessel Functions of the First Kind 313
Series Expansion
A series expansion for Jv(z) may be obtained from (18.26) by replacing
exp(-z2j4u) by its Taylor series7 and integrating term-by-term. On using
Hankel's integral representation (1.21), we thus obtain
(18.27)
These may easily be obtained from (18.25), temporarily assuming Re(z) >
0, and then using analytic continuation to remove the restriction. If we
differentiate under the integral sign, we have
J' (z) =
v
~
21f~
1~ 0
-00
+
2
(p - ~) p-v-l e!z(p-l/p) dp
P (18.28)
1 1
= 2Jv-1(z) - 2 JV+1(z).
Alternatively, we may integrate by parts, to get
vJv(z) = _. -11
21f~
0
+ (p-V)' e'21 z(p-l/p) dp
1 (1 + ~)
-00
= ~ 0
+ :. p-V e!z(p-l/p) dp (18.29)
21f~ -00 2 p2
Z Z
= 2JV+1(z) + 2 JV - 1(z).
:From these two relations, a number of others may be deduced.
Bessel's Integral
We modify the contour of Figure 18.1 to that shown in Figure 18.2 and
shrink the straight-line sections onto the negative real axis. The integral
then splits up into two terms:
(i) The contribution from the circular path. If we write p = exp(iO), we
have
-1 111" e- w. ()+..zsm. () dO = -1 111" cos(vO - zsinO)dO, (18.30)

21f -11" 1f 0
7This is permissible even though the function has an essential singularity at

u = 0, since that point is not on the contour.
Im(p)
Re(p)
FIGURE 18.2. Contour for Bessel's integral.
where the latter result comes from writing the complex exponential in
terms of sine and cosine functions, and using the fact that the former is
an odd function and the latter an even function.
(ii) The contribution from the straight paths. On the upper path we put
u = exp(s - i7f), on the lower path u = exp(s + i7f). This yields
1
_. 10
e-VS +.urv-z (8
e - e -8)/2 ds + _.
1 1 00 .
e-VS-~11'V-Z (e 8 - e -8)/2 ds
. 1
27fZ 00 27fZ 0
SIn 7fV 00 -z sinh s-vs d

=- -- e s. (18.31)
7f 0
Adding (18.30) and (18.31) we have
Jv(z) = -1111' cos(zsinB - vB) dB
- -
7f
sin7fv
-
7f
0
1 0
00 .
exp(-zsmhs - VS) ds, Re(z) > O.
(18.32)
For integer v, the second integral gives no contribution. The first integral
is known as Bessel's integral. The complete formula (18.32) which is valid
for all v, is a generalization of Bessel's integral.
18.6 Functions of the Second and Third Kind

For arbitrary v, the functions Jv(z) and J_v(z) both satisfy Bessel's equa-
tion. To see if they are independent, we evaluate the Wronskian. By Abel's
theorem, 8 the Wronskian has the form
A
W[h,hl=-,
z
8See footnote 4 on page 308.

18.6 Functions of the Second and Third Kind 315
so we need only evaluate the constant A. Using (18.24), we have

1
A = 2zJv(z){ Lv-1(z) - Lv+1(z)}
1
- 2zLv(z){ Jv-1(z) - Jv+1(z)},
and on inserting the power series (18.10) and considering the limit z -+ 0,
1
A= 1
1I! (-1I - I)! (-1I)! (ll - I)!
(18.33)
-2 sin 7r1l
7r
Hence, Jv(z) and J-v(z) are an independent pair of solutions provided 1I

is not an integer. If 1I is an integer, then it may be shown that J-n(z) =
( -l)nJn (z).
Other solutions of Bessel's equation may be found from (18.24) by using
a contour that has one end at the origin. Because of the essential singularity
there, it is necessary to choose the contour so that it approaches the origin
in the sector Iarg(pz) I < 7r /2, so that the integrand will become zero along
this path. This essential singularity may be removed by the substitution
p = exp(t), so that we consider the functions
Zv(z) = A fc ezsinht-vt dt (18.34)
for suitable contours C. By repeating the arguments which lead to (18.28)

and (18.29), it may readily be shown that they satisfy the recurrence
relations 9
2Z~(z) = Zv-l(Z) - Zv+l(Z),
211 (18.35)
-Zv(z)
Z
= Zv-l + ZV+l(Z).
Choice of Path
The integrand in (18.34) is an entire function of t; consequently, closed
contours yield the trivial function Zv == O. Furthermore, the integrand has
no zeros, so both ends of the contour must approach infinity in such a way
that Re(zsinht) -+ -00. If we restrict our attention to Re(z) > 0, then
these considerations impose the restrictions
(i) Re(t) -+ 00, Im(t) -+ (2n + 1)7r.

(ii) Re(t) -+ -00, Im(t) -+ 2n7r.
9Functions satisfying (18.35) are known as cylinder functions. They satisfy

Bessel's equation as a consequence of (18.35).
Im(t) Im(t)
C1
in I-----=---
Re(t) Re(t)
-in r-__-c..::2-
Im(t)
Im(t)
- - - - - - - i 2in
Re(t) Re(t)
-in 1------
FIGURE 18.3. Contours for four cylinder functions.
We also note that if two contours are related by the displacement t --+
t + 27rin,
then the functions they define are identical except for the con-
stant multiplier exp( - 27rinv). We consider the four contours shown in Fig-
ure 18.3; any other allowed choices will give linear combinations of the
functions that we obtain.
The Function J±v (z)

By a simple change of notation it may readily be shown that (18.16) reduces
to the generalization of Bessel's integral (18.32) if we choose the contour
C 3 with the normalization A = 1/27ri. Hence,
J,Az) = ~
27rz
r
l0 3
ezsinht-vt dt, Re(z) > O. (18.36)
Next we consider the contour C4 • The substitution t = i7r - s maps the

contour C4 into C 3 , and changes the integrand to exp(z sinh s + vs - i7rv).
Hence, on choosing A = - exp(i7rv)/27ri, we obtain
Re(z) > O. (18.37)
Thus, we recover functions of the first kind using the contours C 3 and C 4 .
18.6 Functions of the Second and Third Kind 317
Hankel Functions
Functions of the third kind, named after Hankel, are obtained from the
contours C 1 and C 2 . Explicitly, they are defined by
Re(z) > O. (18.38)
It follows immediately from (18.36) and (18.38) that
(18.39)
Furthermore, if we translate the contour C 2 by the substitution t -+ t+2ni,

we obtain from (18.37) and (18.38)
L,,(z) = ~ {ei7r " Hpl(z) + e- i7r " H5 2l (z)}. (18.40)
These relations have been proved under the restriction Re(z) > O. However,
analytic continuation is straightforward; if we introduce the negative real
axis as a branch cut, then (18.39) and (18.40) are valid in the entire cut
plane.
Wronskian
The Wronskian of the two Hankel functions is evaluated conveniently by
substituting these results into (18.33). This gives
and after substituting the value of W[J", J_,,],
Thus, the two Hankel functions form a linearly independent pair of func-
tions for all 1I.
Weber's Function
Functions of the second kind, named after Weber, are defined by
Im(z)
n Ttil2
Re(z)
n -Ttil2
The origin is again a branch point, and it is the usual convention to use
the negative real axis as a branch cut. The pair of functions J v , Y v , are
linearly independent for all v, as may be seen by evaluating the Wronskian.
Explicitly,
2
W[Jv(z), Yv(z)] = - .
7fZ
Other properties of Weber functions are given in the problems.
Another Integral Representation

We conclude by deriving another integral representation for the Hankel
functions which will prove useful in the following. We commence by making
the substitution t -+ s ± i7f in (18.38) so that
-i1rv/2
HS1)(z) = e . f eiz cosh s-vs ds, }
f
7fZ n
Re(z) > 0, (18.41)
HS2)(z) = __i1rv/2
e_._ e-iz cosh s-vs ds,
7fZ r2
where the contours n and n
are shown in Figure 18.4. If we further
restrict z by Im(z) > 0 for HS 1) and Im(z) < 0 for HS2), we may deform
these contours in the s-plane to the real axis. Hence,
-i1rV/2jOO
HS1)(z) = e . eiz cosh s-vs ds, Im(z) > 0, (18.42)
7fZ -00
HS2)(z) = __i1rV/2jOO e-iz cosh s-vs ds,

e_._ Im(z) < 0,
7fZ -00
where we have removed the restriction Re(z) > 0 since these formulae
achieve analytic continuation of (18.38).
18.7 Poisson and Related Representations 319
Im(ro)
Re(ro)
ro = -1 branch cuts ro = +1
FIGURE 18.5. Contours for Poisson representation.
18.7 Poisson and Related Representations

In Section 18.4, we derived two distinct integral representations of Bessel
functions, although we have only considered one of them (18.24) so far. We
now examine the integral (18.23) with the contours shown in Figure 18.5.
For the contour C 1 we temporarily assume that z = i~, with ~ real and
positive and consider the function defined by
(18.43)
We specify the branch of (w 2 _1)v-1/2 by requiring arg(w 2 -1) to become

zero as we move to large Iwl along the contour. Now we use the result (see
Problem 2.4 (ii)) that
which is valid provided we require I arg(w) I < n / 4, which is consistent

with w lying on the contour C1 . We therefore use this integral to represent
exp( -w~) in (18.43) and then interchange the order of integration. This
leads to the problem of evaluating
which may be done by the substitution w2 - 1 = u exp( -in), giving
_1 ·
e-",,(v+1/2) e- t 21 + u
0
v - 1 / 2 e- ut 2duo
2 -00
With the help of (1.21), we may easily evaluate this new integral; it has
the value 2niC 2v - 1 / (-v - 1/2)!, and on using these results in (18.43), we
get
= 2 V f1r e- i7rV
/I
1 00
e-t 2 -~ 2 /4t 2 t-2v-1dt (18.44)
-
-
(-v - 1/2)!
vne-i7rv/2(z/2)-V
(-v -1/2)!
0
1 00
-00
e
iz cosh s-vs d
8
'
where the last step follows from the substitution t 2 = (z /2) exp( - 8 - i1f /2).
Comparing with (18.42) we see that we have recovered a Hankel function,
and since (18.43) and (18.44) both define analytic functions for Im(z) > 0,
we may lift the restriction z = i~ to write
H(1)(z) = (-v - 1/2)!(z/2)V

v . 3/2
Z1f
1 0 1
eiWZ (w2 _ I)V-1/2dw
'
Im(z) > 0.
A similar argument leads to
H(2)(Z) = (-v - 1/2)!(z/2)V

v . 3/2
Z1f
1 O2
eiWZ (w2 _ I)V-1/2dw
'
Im(z) < 0,
where the phase of (w 2 - 1)"-1/2 is again chosen so that it becomes zero

as we move along the contour after circling the branch point.
18.8 Modified Bessel Functions

The differential equation
1" + ~Z l' - (1 + v2)

z2
f 0, = (18.45)
which is closely related to Bessel's equation, occurs frequently in applica-

tions. In principle, it may be solved by the substitution z = ±it, which turns
it into Bessel's equation, but because of its frequent occurrence, special ter-
minology has grown up for it. This has been brought about particularly by
the fact that Bessel functions are defined in the cut plane, the origin being
a branch point.
Modified Bessel Functions of the First Kind

The functions
e±i7rv/2 Jv(=r: iz )
° °
are solutions of (18.45) which are finite as z --t if Re(v) 2': 0, and identical
if Re(z) > (Problem 18.9). From them we may construct a solution of
Problems 321
(18.45) in the region -7r < arg(z) < 7r by
e-i7rv/2 Jv(iz), - 7r < arg(z) < 7r/2,

{ (18.46)
Iv(z) = ei7rv/2Jv (_.zz,
) - 7r /2 < arg (z ) < 7r.
The function Iv(z) thus defined is usually referred to as a modified Bessel
function of the first kind. For real v and z, it takes on real values.
Macdonald's Function
For a second independent solution of (18.45), it is often convenient to have
a function that becomes small for large real z. Such a function cannot be
obtained by replacing J v by Yv in (18.46). However, it may be verified that
the functions
7ri ei7rv/2 H(l) (iz)
2 v'
_ 7ri e-i7rv /2 H(2) (-iz)

2 v ,
which are both solutions of (18.45) are equal for Re(z) > 0 (Problem 18.9).
Hence, it is conventional to define as the second solution to (18.45) the
function Kv(z), known as Macdonald's function, by
- 7r < arg(z) < 7r/2,

(18.47)
- 7r/2 < arg(z) < 7r.
Relations corresponding to (18.35) are easy to derive from the basic defi-
nition of Iv(z) and Kv(z) and (18.35). They are
2I~(z) = Iv-1(z) + Iv+1(z),
-2K~(z) = Kv-1(z) + Kv+1(z),
2v
-Iv(z) = Iv-1(z) - Iv+l(z),
z
2v
--Kv(z) = Kv-1(z) - KV+l(Z).
z
Problems
18.1 Show that
n = 1,2,3, ....
18.2 Show that
(ii) H~12(z) = ei7rv H~l)(Z).
(iii) H~22(z) = e- i7rv H~2)(z).
18.3 Prove the relations
Yv(Z) = Jv(z) cos.7rV - Lv(z) ,

SIll7rV
Yn(Z) = ~ [()Jv(z)] _ (_1)n [OLv(z)] ,

7r OV v=n 7r OV v=n
Y-n(z) = (-1)nyn (z).
18.4 Verify the expansion
Yn(z) = - ~
7r
L
n-l (
n-
)'
~,- 1 . (z/2)2k-n
•
k=O
1 (_1)k(z/2)n+2k
+ :; L
<Xl
k! (n + k)! (2In(z/2) - 'lj;(k + 1) - 'lj;(k + n + 1)),

k=O
where the first sum is set equal to zero if n = 0, and 'lj;(z) = d{ln(z-1)!} /dz.
18.5 Show that

2
Yo(z) rv -In(z/2), z --+ 0,
7r
Yn(z) rv - (n -1)! (z/2)-n, z --+ 0,

7r
18.6 Prove the following properties governing the behavior of Bessel func-
tions on the branch cut Im(z) = 0, Re(z) ::; 0:
Jv ( -x + iO) - Jv ( -x - iO) = 2i sin 7rvJv(x),

Yv ( -x + iO) - Yv (-x - iO) = 2i{ COS7rvJv(x) + Lv(x)},
H~l)( -x + iO) - H~l)( -x - iO) = -2{ Lv(x) + e- i7rv J v (x)} ,
H~2)( -x + iO) - HP)( -x - iO) = 2{ Lv(x) + ei7rv Jv(x)},
where x > 0.
Problems 323
18.7 Using Watson's lemma in conjunction with the Poisson integral rep-
resentation, show that
H(l)(Z) '" (~)1/2 e- i(Z-7W/2-7r/4) ~ (_1)k (1/ + k - 1/2)!

v 7fZ ~ k! (1/ - k - 1/2)!(2iz)k'
k=O
Z ----t 00, /2 < arg(z) < 37f /2.
-7f
H(2)(Z) '" (~)1/2 e i(z-7rv/2-7r/4) ~ (1/ + k - 1/2)!

v 7fZ ~ k! (1/ - k - 1/2)!(2iz)k'
k=O
Z ----t 00, -37f /2 < arg(z) < 7f /2.
18.8 Verify the following properties for Bessel functions of order one-half:
2 )1/2
J 1/2(Z) = ( 7fZ sinz,
2 )1/2
Y1/2(Z) = - ( 7fZ cosz,
1/2
H(l)(z)=-i ( ~) e iz ,
1/2 7fZ
1/2
H(2) (z) = i ( ~) e- iz .
1/2 7rZ
18.9 Prove that for real x > °

ei7rv / 2 J v ( -ix) = e- i7rv / 2 Jv(ix),
e i7rv /2 H~l) (ix) = _ e- i7rv /2 H~2) ( -ix).
18.10 Prove the following integral representations:
(i)
_ ZV
1/2 (
J1 (w 2 _
1)
v-1/2
e
-wz
dw,
Iv(z) -
2v 7r 1/ - 1/ 2.
)'
-1
Re(l/) > -1/2.
(ii)
K (z)
v
=
7f1/2 Zv
2V(I/-1/2)!
1 0
00
e-zcoshtsinh2Vtdt
'
Re(z) > 0, Re(l/) > -1/2.

(iii)
2v (v - 1/2)! roo cosxt
Kv(x) = X V 1r 1/ 2 Jo (1 + t2)v+l/2 dt,
x> 0, Re(v) > -1/2.
18.11 Show that
(i)
K v (Z ) -_ ~ Lv(z)• - Iv(z).,
2 sm 1rV
(ii)
Iv( -x + iO) - III ( -x - iO) = 2i sin 1rV Iv(x),
Kv( -x + iO) - Kv( -x - iO) = -i1r[Lv(x) + Iv (x)],
Kv( -x + iO) + Kv( -x - iO) = 2 COS1rV Kv(x).
Integrals Involving Bessel Functions

There is an enormous amount of literature on the evaluation of integrals
involving Bessel functions. Watson [70] is a primary reference on methods;
extensive tables are also available. The two most important techniques are
(i) Use an integral representation for one of the factors and interchange
the order of integration,
(ii) Expand one of the factors in a power series and integrate term-by-
term.
The following exercises explore a few ideas:
18.12 Verify the following integral:
100 I-'J ( ) d _ 21-' (p,/2 + v/2 - 1/2)!

o x v x x - ( -p, / 2 + v / 2 - 1I2)! '
Re(p,) < -1/2, Re(p, + v) > -1.
18.13 Use (18.25) to show that
100
o
e- ax Jv(bx) dx =
(Ja2 + b2 - a)V
bv Ja 2+b2
. ,
a>O, b>O, Re(v) >-1.
Problems 325
18.14 Expand exp( _a 2 x 2 ) and use Problem 18.12 to show that
1o
e- a 2 x 2 J (bx)x V+1 dx
00
v
=
bV e-
b2 /4 2
(2a 2) v + 1 ·
a
18.15 Using the fact that
(x2 + a2)-J.!-1 = ~ roo e-(x2+a 2 )t tJ.!dt,

f.L!}0
show that
1 xv+1JII(bx)
00
(2 2)
o x + a J.! +1 dx =
aV-J.!bJ.!
2J.!f.L.,Kv-J.!(ab),
a> 0, b> 0, -1 < Re(v) < 2 Re(f.L) + 3/2.
18.16 Using the convolution formula for Laplace transforms, obtain the
result
Airy Functions
In the following exercises, the notation ~ = 2Z 3 / 2 /3 is used:
18.17 Show that two independent solutions of Airy's equation,
u" - zu = 0,
are
Ai(z) = Zl/2/3 {L1/3(~) - h/3(~)} ,
Bi(z) = (z/3)1/2 {L1/3(~) + I1/3(~)} .
These solutions are known as Airy functions of the first and second kind,
respectively.
18.18 By the application of Laplace's method, show that two solutions of
11
Airy's equation are
cos (t 3/3 + xt) dt
00
-
7r 0
and
:;;:1 10roo {e-t3/3+xt+sin (t 3/3 +xt) }dt,
for x ~ 0. Prove that these solutions are the Airy functions Ai(x), Bi(x),
respectively.
18.19 Show that, as Izl -+ 00,

e-e
Ai(z) "-' 21fl/2 Z 1/4' -21f/3 < arg(z) < 21f/3,
e-e
Bi(z) "-' 1fl/2 z 1/4' -1f/3 < arg(z) < 1f/3.
18.20 Show that, as x -+ 00
A .(- ) "-' cos(~ -1f/4)

% x 1fl/4 x l/4'
B .(- ),,-,_sin(~-1f/4) x> O.
% x 1fl/2 x l/4'
18.21 Show that
A %.( x 2) -_ ~ e _2x 3
21f
/31
0
00
e- XU cos(r;;;u 3 / 2 /3) du,
VU
and hence, derive the asymptotic series
. e-e (_l)k (3k - 1/2)!

L
00
A%(z) "-' 21fZl/4 32k(2k)!~k .

k=O
19
Numerical Inversion of
Laplace Transforms
There are many problems whose solution may be found in terms of a

Laplace or Fourier transform, which is then too complicated for inversion
using the techniques of complex analysis. In this chapter, we discuss some
of the methods that have been developed-and in some cases are still being
developed-for the numerical evaluation of the inverse.
19.1 General Considerations

No single algorithm is known which is universally applicable. Some impor-
tant factors are:
(i) The source of values ofthe transform F(P). In some cases the data is
only available for real values of p; in most cases there is a general formula
which is not restricted to the reals.
(ii) The precision required will depend on the situation at hand; in some
cases 1% is quite sufficient, in other cases completely inadequate.
(iii) If values of f(t) are required for a great many values of t, then
it may be best to represent the inverse using a basis of easily computed
functions. This can separate an expensive computation of the coefficients
from the reconstruction of actual values.
(iv) Reliability-since the solution of the problem at hand is unknown,
the choice of method will be based on testing against a representative
class of transforms F (P) .
328 19. Numerical Inversion of Laplace Transforms
In relation to point (i), the problem is to solve the integral equation
F(P) = 100
f(t) e- pt dt (19.1)
as a real integral equation; this inverse problem is known to be ill-posed,

meaning that small changes in values of F(P) can lead to large errors in
values of f(t). Numerical methods inevitably introduce errors that may be
magnified by the computational process. For example, the integral equation
(19.1) may readily be discretised by applying suitable numerical quadra-
ture. Typically this gives an ill-conditioned set of linear equations, to which
specialized methods, such as singular value decomposition, may be applied.
Another method for handling the difficulty is regularization, in which some
kind of desirable behavior, for example smoothness, is imposed on the so-
lution. Such techniques are outside the scope of this chapter. 1
Generally, methods that use complex values of p are preferred, although
this requires that computational evaluation of F(P) at complex values of p
should be convenient. As is evident from the treatment in Chapter 3, the
inversion integral is really a Fourier transform, which we are attempting to
truncate as well as discretize. Therefore, one has to consider problems-
sometimes severe--that arise from the need to approximate an infinite
range oscillatory integral by a finite sum. One method, described in Sec-
tion 19.8, circumvents this problem by deforming the contour so as to
achieve exponential decay at the limits of the integration.
A comparative evaluation of many of the methods of this chapter may
be found in a paper by Davies and Martin. 2 This paper uses the stan-
dard method of testing each algorithm on a range of transforms whose
exact inverse is known. Some of these transforms have poles, others have
branch cuts; in addition there may be exponential factors that give rise to
discontinuities in the inverse function f(t). Despite this, such transforms
are rather simple compared with those that may occur in actual practice.
Duffy3 has addressed this question in a paper that assesses three commonly
used methods on a suite of transforms that possess both poles and branch
points, and that arise from difficult research problems for which no exact
form of solution is known. 4 An introduction to and overview ofthe methods
evaluated by Duffy form a large part of this chapter; all, however require
evaluation at complex values of p. Since this is not always feasible, we do
give some consideration to methods which require only real p.
lSee, for example, J.M. Varah, SIAM Review, 21 (1979), 100; J.M. Varah,
SIAM J. Sci. Stat. Camp., 4 (1983), 164; M. Iqbal, J. Compo Appl. Math., 59
(1995), 145.
2B. Davies and B. Martin, J. Camp. Phys, 33 (1979), 1.
3D.G. Duffy, ACM Trans. Math. Software, 19 (1993), 333.
4 Another feature of Duffy's paper is that he considers problems that involve
joint Laplace-Fourier transforms, a topic beyond the scope of this chapter.
19.2 Gaver-Stehfest Method 329
In earlier chapters, we placed great emphasis on asymptotic methods,

which give information for very small and very large values of the original
variable t. It is typical for numerical methods to break down in these limits,
particularly for large t. In the latter case this comes as no surprise; compu-
tations involving exponential factors with large complex exponents always
cause numerical problems. A careful analysis should therefore attempt to
match the numerical inversion for moderate values of t with numerically
computed asymptotic information. The important lesson is that great care
is required to apply the art of scientific computation to the problem of
inverting Laplace transforms.
19.2 Gaver-Stehfest Method

In the context of stochastic processes, Gaver 5 considered sampling a func-
tion f(t), t 2:: 0, using the family of density functions
'" (t.) = (n + m)! a (1 _ -at)n -mat (19.2)

'l'n,m ,a n.1 ( m_)1
I. e e .
These are used to define the expectations
i[¢>n,m(t; a)] = 1 00
f(t)¢>n,m(t; a) dt. (19.3)
On substituting from (19.2) and expanding the factor (1- e-at)n using the
binomial theorem, we see that they are related to the Laplace transform
F(P) at equally spaced points ka, m:::; k :::; m + n, via
_ (n+m)!a ~ (n)
- .
f [¢>n,m(t, a)] - n! (m _ I)! j f='o
(-1) F((m + J )a).
j .
(19.4)
Moreover, in the limit of large m and n, Gaver proved that (19.3) converges
to f(ln2/a), that is, the functions ¢>n,m converge to a delta function.
Of particular interest is the case that m = n, for which Gaver also proved
the asymptotic expansion
(19.5)
which demonstrates the nature of the convergence to the inverse function

value f(ln2/a) as n -+ 00. Gaver also suggested an extrapolation scheme
based on selecting values of n equal to powers of 2.
5D.P. Gaver, Operations Research, 14 (1966), 444.

These ideas were developed by Stehfest 6 into a simple method that has
seen widespread use. Using the shorthand notation
we suppose that N values F(a), F(2a)" ·F(Na) are given, with N an

even integer, then we may compute N/2 values lA, F2, ... , FN/2 using
(19.4). Each of these satisfies the asymptotic series (19.5) with the same
coefficients O'.j, so by using a suitable linear combination, we can eliminate
the first N /2 - 1 error terms. That is, we write
N/2
f(1n2/a) = L anFn + 0 (1/N N/ 2) , (19.6)
n=l
which may be achieved by selecting the coefficients to satisfy
N/2 1
~ an (N/2 + 1- n)k = c5kO ,
k=1, ... ,N/2-1.
These equations are readily solved, giving
a = (_l)n-l (N/2)n(N/2+1_n)N/2-1
n (N/2)! n .
Finally, we substitute these results into (19.6), to get the inversion formula
where
min{j,N/2) k N / 2 (2k)I
Aj = (_1)N/2+ j
L (N/2 _ k)! k! (k - 1)! (j' - k)! (2k - j)!'
k=[~l
Limitations
Theoretically, J(t) becomes the more accurate the greater the value of N.
In practice there is an optimum value, beyond which the ill-conditioning of
the problem combines with numerical error to increase the total error, as a
function of N, even though the theoretical error continues to decrease. This
is manifest in the fact that, as functions of N, the coefficients Aj increase
6H. Stehfest, Comm. ACM, 13 (1970), 47.

rapidly in magnitude, while oscillating in sign as functions of j, leading to

significant numerical cancellations.
Another severe limitation is the requirement that f(t) should be smooth
on the scale of the sampling functions. To quote Stehfast, "An oscillating
f (t) is certainly not smooth enough unless the wavelength of the oscillations
is large compared with the half-width of the peak which ¢N/2,N/2(U; In2/t)
has at u = e. No accurate results are to be expected, too, if f(t) has dis-
continuities. . .. " Stehfest also points out that the width of the sampling
functions increases linearly in t because the parameter a scales as lit; hence
the approximation will become increasingly smooth as t increases, so that
detailed variations of f(t) may only be observed for relatively small values
of t. Despite these limitations, the method is computationally efficient and
simple to implement, so it may be useful in situations where the Laplace
inversion is required as an inner operation in a large-scale calculation, pro-
vided the functions are suitably well behaved.
19.3 Mobius Transformation

It is a fundamental property of Laplace transforms that they are analytic
functions in a half-plane Re(p) > 0"0 (the abscissa of convergence). Poly-
nomial approximation, on the other hand, is generally useful in a finite
disc, not a half-plane. Thus, to use polynomial approximation of F(p) as
a means of numerical inversion, it is useful to first carry out the Mobius
transformation
p-a-b
z - =----_::_ a> 0"0, b> 0, (19.7)
- p-a+b'
which maps the half-plane Re(p) > ato the interior ofthe unit disc Izl < 1.
Furthermore, the line Re(p) = a is mapped to the circle Izl = 1, while
the real interval a < Re(p) < 00, Im(p) = 0 is mapped to the diameter
-1 < z < 1. We also note that the inverse of (19.7) is
2b
p-a+b= - - .
l-z
The obvious problem with this transformation is that the point at infinity
is mapped to z = 1, whereas we want to deal with functions analytic in
a disc Izl < R, large enough to contain the unit circle. In this section, we
therefore work with a restricted class of Laplace transforms, which we shall
denote by As, which have the property that there exists a real constant
s ~ 1, such that the function pS F(P) is analytic at infinity.8 It follows that
7Here we regard t as fixed and u as the variable.

8That is, analytic as a function of lip. Note that the requirement that F(P) =
O(p-·) for p -+ 00, is not sufficient to guarantee that F(P) EA•.
the function
Yi(z) = C~zJ F(I~Z +a-b) (19.8)
is analytic is a disc Izl < R, for some R > 1. This inequality comes from
the fact that all singularities, except for the possible singularity at p = 00,
are mapped further away than Izl = 1 by the choice a > (To.
Suitable polynomials in z may now be chosen to enable convenient and
accurate numerical approximation of the inversion integral, which becomes
an integral around the circle Izl = 1. The choice of optimal parameters
a, b, is obviously a compromise: on the one hand it is essential that none
of the singularities of F(P) be mapped too near to the boundary, since
singularities generally upset numerical processes; on the other hand, the
singularities should not be mapped too far away, since they contain the
most essential information.
Radius of Convergence
In a practical calculation, the infinite series
00
(19.9)
will be truncated, so the rate of convergence is an important consideration.

We are therefore interested in maximizing the radius of convergence R( a, b),
by suitable choice of a, b, subject to any other factors that may turn out to
be important. Since Mobius transformations map circles to circles, R(a, b)
is determined, for a given pair a, b, as the largest R with the property that
the singularities of pS F(p) are inside, or on, the inverse image C(R) in the
p-plane of the circle Izl = R.
Giunta et a1. 9 have shown that the circle C(R) has center
c( R) = a +"2b (1 +R2 )
1 _ R2
and radius
bR
r(R)=II_R 2 1· (19.10)
If R > 1, it is easy to check that
c(R) + r(R) = a +"2 b(1- R)

1+R ' (19.11)
9G. Giunta, G. Laccetti, and M.R. Rizzardi, Numer. Math., 54 (1988), 193.
These formulae are correct for all values of R except R = 1, for which C(R)
degenerates to the straight line Re(p) = a.
so the corresponding C(R) form a family of circles in the left-hand half-

plane Re(p) < a. From (19.10) we see that, if b is very small, then R
must be close to unity in order for C(R) to be large enough to enclose the
singularities. Conversely, if b is very large, (19.11) shows that R must again
be close to unity to keep the intercept with the real p-axis greater than 0'0.
It is easy to check that for R > 1, the tangent segment from p = a to
C(R) has length b/2. Denote by (3 the angle between this tangent segment
and the real axis; then
2R
tan (3 = R2 _ 1 '
a decreasing function of R for R > 1. Hence the maximum value of R, as a
function of b, corresponds to the minimum value of (3. For a fixed value of a,
the circle for which this maximum in R is achieved is uniquely determined
by the singularity structure of F(P), and there is a unique optimal value of
b, which may be determined by geometrical or computational means. We
return to this below.
Collocation Methods
We may make use of the Mobius transformation in many ways; one is to
define a class of collocation methods.lO The fundamental idea is to select
sets of discrete values of z in the unit disc Izl : : ; 1 as the knots (points) for
polynomial interpolation, and then approximate the inversion integral by
integrating these polynomials exactly.
Introduce the notation that, for each N ~ 0, there is a set of N + 1 knots
(ZNO, ... , ZNN), j =j:. k.
For each N, we may approximate l]F(z) by Lagrangian interpolation in the

usual way. Explicitly, the Nth-order interpolating polynomial is
This done, we choose, as a sequence of approximations to f(t), the contin-

uous functions fN(t) whose Laplace transforms are
To put this into effect, we require a basis of polynomials Pn(z) which are
Laplace transforms of known functions ¢>n(t; s, a, b),u Suppose then that
lOThe following material is taken from G. Giunta, A. Murli, and C. Schmid,

Numer. Math., 69 (1995), 269.
11 We exhibit the dependence on the parameters because of their importance.
we have such a set, with
where Pn (z) is a polynomial of degree n. Writing

N
LN(Z) = L CnPn(Z) ,
n=O
we may obtain the coefficients Cn from the conditions LN(ZNj) = tJ/(ZNj),
that is, by solving the linear equations
PO(ZNO)
( Po (ZN1)
PN(ZNO) )
PN(ZN1) Co) ( tJ/(ZNO) )
( Ct = tJ/(~Nd , (19.12)
Po (ZNN) PN(ZNN) CN tJ/(ZNN)

after which fN(t) is constructed as
N
fN(t) = L cncPn(t; s, a, b).
n=O
The utility of such a method depends on some important factors:
(i) The selection of the knots ZNj'
(ii) An efficient algorithm for evaluating the functions cPn(t; s, a, b) which
are determined by the choice of basis Pn (z ) .
(iii) The condition of the Vandermonde-like matrix appearing in the lin-
ear equations (19.12), dependent on the choice of knots as well as basis.
Methods of this type may use either real or complex knots.
An obvious choice for the basis is
and this leads to an expression for cPn(t; s, a, b) in terms of Laguerre poly-

nomials. The use of Laguerre polynomials is the subject of Section 19.5.
Another important class of methods arises from choosing as knots the real
zeros of polynomials orthogonal on the real interval -1 < Z < 1. One such
method is discussed in detail in Section 19.4.
Convergence
Giunta et al. prove some important convergence theorems in their paper.
Briefly, they may be summarized as follows:
19.4 Use of Chebyshev Polynomials 335
(i) If the knots are selected as equally spaced points around a circle of
radius p :::; 1, that is,
27rij .)
ZNj = pexp ( N + 1 + ~(}o ,
where (}o is an arbitrary real constant, then the sequence fN(t) converges
to f(t) for all t. Moreover, convergence is exponential in N provided that
p < R(a, b).
(ii) If the knots are the zeros of a set of polynomials orthogonal on the
real interval -1 < Z < 1, and if the zeros become dense in the interval
as N -t 00, then the sequence fN(t) converges to f(t) for all t.
Note, however, that the system (19.12) is expected to be ill-conditioned if
p < 1 in the case (i) and also for all instances of case (ii). The difficulty of
real inversion is not unexpected, the difficulty of setting p < 1 means that
one cannot escape some numerical problems when applying the Mobius
transform to functions that are not in the class As.
19.4 Use of Chebyshev Polynomials

The use of real polynomials orthogonal over the interval [-1, 1] was pio-
neered by Piessens. 12 In the original paper, Piessens writes
00
F(p) = p-s L>np~a,f3)(l- 2b/p),

n=O
where the p~a,f3) are Jacobi polynomials. The argument x = 1- 2b/p is, of
course, a Mobius transformation. Since Piessens evaluates the coefficients
an using discrete orthogonality, and the zeros of the polynomials become
dense in [-1,1] as N -t 00, the method falls into the collocation class
considered above. No further general theory is therefore required, and we
devote the rest of this section to practical details of the important special
case Q = (3 = -1/2 (Chebyshev polynomials), which forms the main body
of Piessens' papers on this topic.
Consider therefore the expansion 13
00
F(P + c) = p-s L' anTn(1- 2b/p). (19.13)

n=O
12R. Piessens, J. Inst. Math. Apps, 10 (1972), 185. Note that we have replaced
the constant b therein by 2b, so as to maintain uniformity with our notation.
13R. Piessens, Compo J, 25 (1982), 278.
Here Tn is the Chebyshev polynomial of degree n, c ~ 0"0 and b are free

constants to be chosen later, and the prime on the summation symbol
means that the first term must be multiplied by one-half. Inverting the
series term-by-term, we obtain
(19.14)
where
is a polynomial of degree n. The first three of these polynomials are readily

found to be
¢O(X) = 1,
2x
¢l(X) = 1- - ,
s
8x 8 2
¢2 (X) = 1 - -
s
+ s (s + 1) x .
Direct evaluation of the ¢n(x) for arbitrary n is a numerically unstable

procedure owing to cancellation of large alternating terms. Piessens has
shown that they obey the recurrence relations
¢n = (An + EnX)¢n-1 + (Cn + D nX)¢n-2 + E n¢n-3,

A _ 3n 2 - 9n + sn - 3s + 6
n- (n-2)(s+n-l) ,
4
En = - - - - -
s+n-l'
C __ 3n 2 - 9n - sn + 6
n- (n-2)(s+n-l)'
D _ _ 4(n -1)
(n-2)(s+n-l)'
n-
E __ (n-l)(s-n+2)
n- (n-2)(s+n-l)'
and that these relations are numerically stable and thus suitable for auto-
matic computation.
The coefficients an in the expansion may be expressed as definite inte-
grals in the usual manner for orthogonal polynomial expansions. However,
Jacobi polynomials enjoy some remarkable orthogonality properties over
finite sets of points, one of which results in the following property: 14 if g(x)
14Rivlin [51], page 47.

19.4 Use of Chebyshev Polynomials 337
is approximated by the Chebyshev expansion

N-l
g(X) = L' AnTn(x),

n=O
then the coefficients are obtained by the formula
n = 0,1, ... ,N - 1,
where the ~j are the zeros of TN(X). Applied to the present problem, in
which we have truncated the fundamental expansion (19.13), it gives the
formula
2 N-l + 1/2) + 1/2
an = N L (
W cos
k
N 7r cos
k
N 7r,
k=O
where 15
W(Z) = C~zY FC~z +c).

It only remains to choose the parameters band c. Piessens sets c = ao,
the abscissa of convergence. Comparing with (19.7), this is equivalent to
the choice that
a = c + b = ao + b, (19.15)
in the Mobius transformation, which reduces the number of parameters to
one. He also suggests evaluating the last three terms as a measure of the
error; that is,
_ ect ts-1 N
E(t) = (8 _ I)! L ancPn(bt), (19.16)
n=N-2
the magnitude of which, in most cases, bounds the actual error E(t). We
expect, from the discussion on page 332, that there should be an optimum
value of b for any particular t. The polynomials cPn(x) have n real positive
zeros, so that they are initially oscillatory, and then increase like xn when
the last zero has been passed. The argument of the polynomials in (19.14)
is bt; thus, we will not want bt too large or the series will contain serious
cancellations. On the other hand, we see from the formula for the coeffi-
cients an that a large value of b will make them converge rapidly to zero
for large n. Thus, we must choose b large enough to make aN small, and
small enough to avoid having cPN(bt) too large.
Clearly, there is need for some experimentation in any particular cal-
culation. Also, on examining the form of our expansion (19.14) it is clear
15This appears to differ slightly from (19.8); (19.15) shows that they are, in
fact, the same.
that the error is expected to be largest at the maximum value t max of t.

A useful procedure, therefore, is to compute (19.16) with t = t max , for a
number of values of b, and locate a reasonable value, which is then used for
all t ::; t max . It is important to note that, in most numerical experiments
which have looked at the question of optimizing the parameter b in the
Mobius transform, it has been found the error increases rapidly for smaller
values of b but is far more tolerant to overestimation. Thus, a value that is
a little too large is preferable to one a little too small.
19.5 Use of Laguerre Polynomials

Laguerre polynomials are naturally associated with the Mobius transfor-
mation. Indeed, their use was first suggested by Tricomi and Widder, 16
and practical methods were subsequently developed by Weeks 17 and by
Piessens and Branders. 18 However, the analysis given here follows more
recent work by Lyness and Giunta19 and Weideman. 2o Let L~(t) be the
generalized Laguerre polynomial of degree n and order a > -1, then
£ W~ La(t)] = (a + n)! (p - 1)n

n n!pa+n+l
Comparing this with (19.8), we must choose a = s - 1. Now define the

functions
(t· s a b) = e(a-b)t t s - 1 n' L s - 1 (2bt)

,J,.
'f'n , , , (s + n •_ 1)! n ,
(19.17)
for which we have
2b
£[<Pn(t;s,a,b)]= ( 1-z
)-s zn.
Then the fundamental expansion
L an<Pn(t; s, a, b)
00
f(t) =
n=O
corresponds to the power series (19.9) for the function P(z).
16F. Tricomi, R.C. Acad. Nat. dei Lincei, 21 (1935),232; D.V. Widder, Duke
Math. J., 1 (1935), 126.
17W.T. Weeks, J. ACM., 13 (1966), 419.
18R. Piessens and M. Branders, Proc. lEE., 118 (1971), 1517.
19 J.N. Lyness and G. Giunta, Math. Comp., 47 (1986), 313.
2°J.A.C. Weideman, SIAM J. Sci. Comp., 21 (1999), 111.
The class of methods commonly called Weeks's methods comprises an

algorithm for the numerical evaluation of approximate coefficients an, to-
gether with truncation of the infinite series. The corresponding approxima-
tion is
N
f(t) c::: j(t) = L an¢n(t; s, a, b). (19.18)
n=O
To calculate the values of j(t), we must calculate the coefficients an and

the Laguerre polynomials. The latter task is easily carried out by using
recursion relations.
Error
The error of the approximation is simply the difference j(t) - f(t), but
this is not a natural measure. The reason is easy to see from (19.17); the
factor eat is unrelated to the performance of the sum as an approximating
sequence; the Laguerre functions, on the other hand, have the property
that e- bt L;-1(2bt) is uniformly bounded as n -+ 00. Hence convergence
is determined uniformly by the properties of the coefficients an, provided
that we use
j(t) - f(t) _ ~ (_ _ ) ¢n(t; s, a, b) _ ~ ¢n(t; s, a, b) (19.19)

eat - ~ an an eat ~ an eat
n=O n=N+l
as the measure of the error. We refer to the first sum as a discretization

error and the second as a truncation error.
Truncation Error
Using the Cauchy integral formula, the coefficients an may be written as
an = -1-1
21fi Izl=l
w(z) dz.
zn+l
(19.20)
Lyness and Giunta show that, as a consequence of this formula, and pro-
vided (19.9) converges in a region with R > 1, there exists a constant K(R)
such that
(19.21 )
Because of the geometric rate of convergence, this makes it relatively simple

to perform an analysis on the error (19.19). In fact, the truncation error is
immediately seen to be of order 1/ RN+l.
End-point Rule
Lyness and Giunta's algorithm for computing the coefficients employs the
end-point trapezoidal rule on the integral (19.20). We shall denote the
corresponding coefficients an by a~G. Set z = eiO ; then the interval 0 ::;
() ::; 27f is partitioned into M subintervals, and we have
LW
M
a~G = ~ (e27rij/M) e-27rijn/M. (19.22)
j=l
Because of discrete orthogonality of the exponential functions, these coef-

ficients give the Lagrangian interpolating polynomial using the endpoints
as the knots.
An expression for a~G - an in terms of the higher-order coefficients an
is readily obtained by substituting the infinite series (19.9) into the sum
(19.22) and using discrete orthogonality of the exponential factors. This
gives
00
anLG = '~an+kM,
"' (19.23)
k=O
which is a geometrically convergent series because of (19.21). In fact, that
bound gives the estimate
IanLG - an
I < Rn+M'
L(R)
for some constant L(R). If we choose N = M - 1, so that there are as

many terms in the sum as there are points in the quadrature rule, then
the truncation and discretization errors are both of order 1/ RM. This is an
optimum choice; it also yields a collocation method.
For real functions f(t), we have w(z) = W(2'), and the Lyness-Giunta
coefficients may be calculated using only half of the complex function eval-
uations when M is even. Somewhat ironically, Weeks's original method
employs an end-point quadrature rule selected for the same computational
economy. Unfortunately, because of the way it was constructed, it suffers
from the fact that Ian - ani'" R- M/ 2 , so that we need to double the value
of M to get the same accuracy as with (19.22).
Mid-point Rule
The quadrature rule (19.22) has the disadvantage of including the point
z = 1, corresponding to p = 00. Weideman investigated using the mid-
point rule, with an even number M of symmetrically placed points,
a!; = ~ L
M
W (e 27ri (j-1/2)/M) e- 27ri (j-1/2)n/M. (19.24)
j=l
This time the coefficients give the Lagrangian interpolating polynomial

using the mid-points as the knots; moreover, the expression (19.23) changes
only slightly to
00
a:; = L(-l)k an +kM.

k=O
Hence, the choice N = M - 1 will again lead to a collocation method with
the discretization and truncation errors of the same order.
Fast Fourier Transform and Error Estimation

The sums in (19.22) and (19.24) are both discrete Fourier transforms. The
computational expense of their evaluation is an overhead that is indepen-
dent of the number of t-values for which the value of j is required. Fur-
thermore, this expense need not scale as M2; even for values as low as
M = 32 it is worthwhile to use the fast Fourier transform since we require
the whole vector of coefficients an, and the computational cost scales as
MIn M. Weideman has therefore suggested that M be chosen equal to a
power of 2 (for the most efficient FFT) and also larger than needed for the
finite sum (19.18). Setting M = 2m = 4N, the FFT will return 4N coeffi-
cients an from 4N evaluations of F(p). Of these, the coefficients with n < 0
are discarded. (For real f(t), it should be possible to arrange this more effi-
ciently, so as to halve the number of function evaluations.) Weideman then
uses the quantity
E(a, b) = eat (2N-l N-l)

n~ rani + ~ rani
E (19.25)
as a measure of the error. The first sum represents an approximation to the

truncation error, the second term, which is scaled by the machine round-off
unit E, is included to take some account of numerical error. No discretization
term is included on the grounds that, with this choice of M, computation
cannot distinguish between true and discretized coefficients an and an to
within the order of the truncation error.
Parameter Optimization
The choice of a and b involves some experimentation in any particular ap-
plication. However, some useful suggestions are given in a paper by Garbow
et al.,21 which describes a practical implementation of the Lyness-Giunta
method. There is still need for experimentation with this implementation.
21B.S. Garbow, G. Giunta, J.N. Lyness, and A. Murli, ACM Trans. Math.
Software, 14 (1988), 163, see also B.S. Garbow, G. Giunta, J.N. Lyness, and
A. Murli, ACM Trans. Math. Software, 14 (1988), 171.
The work by Weideman is aimed at developing algorithms that lessen the

need for this. The basic idea is to investigate the function E(a, b) of (19.25)
numerically, as a function of the parameters, and search for an optimum
value. This can be done as an unconstrained two-variable optimization,
assuming that no further special information about F(P) is available, al-
though such an approach may be computationally expensive.
In the common case that f(t) is real, the singularities of F(p) must
occur in complex conjugate pairs, or on the real axis. For the purpose of
the following, a real singularity is regarded as a degenerate pair. Recall the
discussions of page 332 about circles Izl = R in the z-plane and their images
C(R) in the p-plane. If there are only a finite number of singularities, then
the optimum circle C(R) will be determined by either one pair or two pairs
being on it. Weideman has analyzed the situation in detail. His findings
are as follows:
(i) If the optimal circle is determined by a single complex conjugate pair
P = a ± if3, then for maximum R as a function of b, the parameters a
and b stand in the relation
(19.26)
(ii) If the optimal circle is determined by two pairs of singularities PI =

al ± if3I and P2 = a2 ± if32' then for maximum R as a function of b, the
parameters a and b stand in the relation
b2 _ a2 + (a - al)lp21 2 - (a - a2)lp11 2 = o. (19.27)

a2 -al
In both cases, we have a hyperbola in the a-b plane. Assuming that there is
sufficient knowledge of the singularity structure to use these equations, the
problem of choosing an optimum pair a, b is reduced to finding the optimal
value of a, using (19.26) or (19.27) to select the corresponding values of
b. This should be less expensive. Weideman has tested these ideas on the
suite of problems introduced by Duffy (see Section 19.1).
Function Evaluation
After the coefficients are calculated, it is required to evaluate the sum
(19.18). The Laguerre polynomials may be generated from the recursion
relation
nL~(t) = (2n + a -1- t)L~_I(t) - (n -1 + a)L~_2(t),

seeded by Lo(t) = 1, L~(t) = 1 + a - t. For the functions ¢n(t; s, a, b) this
gives the three-term recurrence
¢n(t; s, a, b) = an(t)¢n-I(t; s, a, b) + f3n (t)¢n-2 (t; B,a, b),

with
() 2n + s - 2 - 2bt
an t = s+n- l '
1-n
(3n(t) = s + n- l'
and
cPa(t; s, a, b) = e(a-b)t t s - 1,
cPl(t; s, a, b) = e(a-b)t tS-1(s - t).
Using these equations for direct substitution into the sum (19.18) is inef-
ficient. The preferred option is to use Glenshaw's algorithm, which works as
follows: 22 Define the quantities 'Yk(t) via 'YN+2(t) = 'YN+l(t) = 0, followed
by the descending recurrence
n?:.l.
Then it is easily checked that

N
L ancPn(t; s, a, b) = {aa + (31 (t)"(2(t)} cPa(t; s, a, b) + 'Yl(t)cPl(t; s, a, b)
n=a
Apart from the efficiency, there may be numerical considerations that dic-
tate the use of such an algorithm in place of direct attack.
19.6 Representation by Fourier Series

As noted in Section 3.3, the inversion integral is a Fourier transform;
f(t) = -ect
27r
1 00
-00
F(c + iw) e,wt
.
dw.
For real functions f(t), three equivalent forms of the inversion integral are
given by
f(t) = -2e
ct
1 00
Re (F(c + iw)) cos wt dw, (19.28a)
1
7r a
ct
1m (F(c + iw)) sinwtdw,
00
= -2e- (19.28b)
7r a
ect
= --;- Re (
Jroo .)
a F(c + iw) e,wt dw , (19.28c)
22Abramowitz and Stegun [1], page 697.

where it is assumed that c> aD. To see why, first note that for real f(t)
we have F(c - iw) = F(c + iw). It follows that the Fourier cosine and sine
transforms of ect f (t) are related to the Laplace transform by
:Fc [e ct f(t)] = 2Re (F(c+ iw)),

:Fs [e ct f(t)] = -21m (F(c+ iw)).
Equations (19.28a, b) are the inverses of these Fourier transforms; it is also

the case that the sum of the two is (19.28c).
Trapezoidal Rule
If the trapezoidal rule is applied to (19.28), then we obtain three distinct
approximations
2 ect
h(t) = T L00 I
Re (F(c+i7rk/T)) cos(7rkt/T), (19.29a)

k=O
2 ect
- T LIm (F(c + i7rk/T)) sin(7rkt/T),
00
f2(t) = (19.29b)
k=l
ect
L
00 I
h(t) = T Re (F(C+ i7rk/T) ei7rkt/T), (19.29c)

k=O
where T is a scaling parameter and the prime on the summation means that
the k = 0 term has weight one-half. Whereas the three forms of (19.28) are
identical, these three approximations are not. In fact, it may be shown that
the errors have the expansions 23
+L
00
h (t) = f(t) e- 2ckT (J(2kT + t) + e2ct f(2kT - t)), (19.30a)

k=l
+L
00
h(t) = f(t) e- 2ckT (J(2kT + t) - e2ct f(2kT - t)), (19.30b)

k=l
+L
00
h(t) = f(t) e- 2ckT f(2kT + t). (19.30c)

k=l
This shows the exponential nature of the convergence. It also shows that, if
cT is large, the discretization error is small for hand f2 when 0 :S t :S T,
and for h when 0 :S t :S 2T.
In the applications to follow, we restrict our attention to the complex
form (19.29c), for which the discretization error is more favorable. The
23F. Durbin, Compo J., 17 (1974), 371.

derivation of the error expansion is quite simple; we sketch here the argu-
ment. We require that c > 0"0, so that the function e- ct f(t) is of exponential
decrease for large t. Now define, on the interval 0 < t < 2T, the function
2: e-
00
g(t) = c (2kT+t) f(2kT + t).

k=O
This is the right-hand side of (19.30c) multiplied by the exponential factor

e- ct . Its Fourier expansion, on the same interval, takes the form
00 00
g(t) = 2:' An cos(mrt/T) + 2: En sin(mrt/T), (19.31 )

n=O n=l
where the coefficients are given by the usual formulae. For the Ao term,
this gives
Ao
""2 =
1 2T
2T io
r g(t)dt
=~ 1 2: 2T 00
e- c (2kT+t) f(2kT + t) dt
2: 1
2T 0 k=O
1 00 2 (k+l)T
= 2T f(t) e- ct dt
k=O 2kT
1
= 2T F (c).
This is the n = 0 term from (19.29c), taking into account the factor e- ct .
A similar calculation shows that, for each n > 0 the pair of terms from
(19.31) exactly match the corresponding term of (19.29c), and the result is
proved.
Parameter Dependence
For large t, we expect that the asymptotic behavior of the inverse func-
tion f(t) is dominated by the exponential factor eO"ot, so that the terms in
the error expansions (19.30) will be dominated by the exponential factors
e2k (O"o-c)T rather than e- 2kcT . Since c > 0"0, the discretization error should
decrease with increasing cT. Assuming that some estimate Can be made for
the value of f(2T + t), we Can use (19.30c) in the form
h(t) = f(t) + e- 2cT f(2T + t) + 0 (e- 4cT f(4T + t)), (19.32)
to calculate a value (CT)min such that the restriction cT > (CT)min brings
the discretization error under control.
In addition to this error, there will be a truncation error when the infinite
sum is replaced by a finite one. For a fixed N, truncation at the term with
k = N leads to an error that we expect to increase as a function of cT. This

leads to conflicting requirement for an accurate and efficient computation.
Clearly, the success of any practical implementation depends on the choice
of parameters c and T independently, as well as the method of truncation
and subsequent sequence acceleration.
Another practical consideration is whether to try to optimize the param-
eter values for each choice of t, or for an interval [0, t max ]. The q-d method,
described in Section 19.7, is more efficient if multiple evaluation of f(t) over
an interval are required. In this case the parameters should be optimized
for t = t max . On the other hand, if the computation is redone for each value
of t, then we may conveniently set t = T /2 or t = T, which still leaves the
value of cT unconstrained. The advantage of this is that no trigonometric
functions need be evaluated, since the arguments are multiples of either
'if /2 or 'if, the disadvantage is that it fixes the choice of T.
In the remainder of this section, we concentrate on the evaluation of f(t)
for a single value of t, not necessarily related to T.
K orrectur Method
In some cases, the error estimate (19.32) may be improved by using a second
numerical quadrature to estimate the value of f(2T + t); an appropriate
linear combination is then used to eliminate the first term of the error
expansion. 24 To make the procedure clear we introduce a more explicit
notation than that given in the original paper, writing
fN(t; c, T) = ~ £'
k=O
Re (F(C + i'ifk/T) ei7rkt/T). (19.33)
The corresponding discretization expansion is
+L
00
foo(t; c, T) = f(t) e- 2ckT f(2kT + t). (19.34)

k=l
Honig and Hirdes have defined the K orrectur method as the linear combi-
nation
fNK(t; c, T) = fN(t; c, T) - e- 2ct fN(2T + t; c/3, 3T). (19.35)
For practical application, the two discretizations may be truncated at dif-

ferent values of N; we refer to the original paper for such details. Using
(19.34), we see that the error expansion begins as
fooK(t; c, T) = f(t) + e- 4cT (J(4T + t) - f(8T + t)) + ....

Some practical issues arise with its use:
24G. Honig and U. Hirdes, J. Compo and Appl. Maths., 10 (1984), 113.
(i) The second quadrature employs a contour moved to Re(p) = c/3, for
which reason the authors recommend use only when 0"0 ::; O.
(ii) It may happen that the correction term, e- 2ct !N(2T + t; c/3, 3T), is
numerically insignificant compared with the first term !N(t; c, T). In this
case it is neglected.
(iii) In cases where the correction is included, it may be more efficient to
truncate the series for it at a smaller number of terms than what is used
for the main term.
There is, of course, no reason why other scaling factors should not be
employed in combinations such as (19.35), for the purpose of eliminating
the first error term. Such possibilities do not seem to have been considered
in the literature.
Epsilon Algorithm
The truncation (19.33) may be written in the general form
N
SN =2
Co + ""'
~Ck. (19.36)
k=1
It has long been known that slow convergence as N ---+ 00 is a major prob-
lem. There are a number of algorithms for accelerating the convergence of
infinite series,25 each has a theoretical basis that requires certain properties
of the terms, each may fail for unsuitable problems.
The epsilon algorithm applied to (19.36) is defined as follows. Let
f(m)
-1
= 0, f (m) -
o -
S
m·
Then we may define

(m) _ (m+l) 1
fp+l - f p _ 1 + (m+1) (m) . (19.37)
fp - fp
This is best visualized as a triangular array

(O) -
f0 -0
S
(0)
f~{ = 0 f1
fbI) = S1 (0)
f2
(1)
f~{ = 0 f1
f(2) -
0-
S2
f~i = 0
25 A number of possibilities are mentioned in Honig and Hirdes 24 and Duffy. 3

The idea to apply sequence transformation originates in K.S. Crump, J. ACM,
23 (1976), 89.
Where the algorithm is applicable, alternate entries down the diagonals

converge as
= Z='
00
lim € (n) Ck = 8 00 -
Co
-.
p-+oo 2p 2
k=O
Table entries can be numerically large and the rhombus rule (19.37) of-
ten involves the subtraction of large quantities to find a relatively small
difference. Therefore the calculation can be numerically unstable, so care
must be taken. In particular, it may be necessary to limit the number of
acceleration steps used.
}Jara~eter C7hoice
Honig and Hirdes give two scenarios for choosing an optimum value of c,
after T and t have been selected. 26 Their "Method A" selects the optimum
parameter C from the requirement that the discretization and truncation
errors should be about equal; their "Method B" attempts to minimize the
sum of the two errors and is more complicated to implement. Here we
describe the simpler of the two.
From (19.34), the truncation error is
foo(t; c, T) - fN(t; c, T) =~
ct
k=N+l
z=
00
Re (F(C + ill'kjT) ei7rkt/T).
Compared with the exponential factor, the dependence of the infinite sum
on C is expected to be weak, which suggests that the truncation error may
be assumed to take the form
_ ect
foo(t; c, T) - fN(t; c, T) ~ TR(N). (19.38)
Here iN(t) is the accelerated estimate from values of the sum up to fN(t).
If iN(t) is evaluated for two sufficiently large values of c, say Cl and C2,
then in an obvious notation (19.38) may be solved for R(N), giving the
estimate
Similarly, the discretization error may be estimated as the first term of

(19.34). For Method A, we simply equate the absolute values of these two
26 As noted above, in some cases we might set t = T /2, so as to avoid the eval-
uation of trigonometric functions. If the Korrectur method is used, it would then
read JNK(t) = IN(t; c, 2t) - e- 2ct IN(5t; c/3, 6t), the form assumed by Duffy,3
and the discretization error is of order e- Bct . This limits the parameter choice.
approximations and solve for Copt. This gives
C
opt
Rj _1_lnl
2T+ t Tf(2T
R(N)
+ t)
I
.
As with the Korrectur method, the value of f(2T+t) in this formula cannot
be estimated from fN(t; c, T), which is limited to t < 2T, one could however
use fN(t; c', T') with 2T' > 2T + t. The error is estimated to be
If this estimate is unacceptable, then a larger value of T must be used, and

a new value computed for Copt.
19.7 Quotient-Difference Algorithm

Clearly, the successful use of (19.33) depends on effective acceleration meth-
ods, and in many cases it is preferable to separate the calculation into two
parts, the first applying for t in some interval [0, tmaxl and leading to the
coefficients of the approximation scheme, the second being an inexpensive
algorithm for the calculation of actual function values. This separation de-
pends on the fact that fN(t; c, T) is a power series in the variable z = ei7rt / T
Explicitly, we use the notation
L akzk,
00
foo(t; c, T) = (19.39)
k=O
and we show how to construct good rational approximations for the trun-
cations fN.27 The factors involved in choosing the parameters are much the
same as those discussed in the previous section, although some theory has
been developed specifically for the q-d algorithm.28 It is interesting that
in that paper, d'Amore et al. focus on use of the method for individual
t values, which has the advantage that the parameters can be optimized
dynamically. This serves to emphasize that accuracy and robustness may
take precedence over efficiency in many applications.
The algorithm depends on the use of Pade approximation implemented
using continued fractions and the quotient-difference algorithm. First, we
sketch sufficient background material to put the method in context.
27This section is adapted from F.R. de Hoog, J.H. Knight, and A.N. Stokes,
SIAM J. Sci. Stat. Comp., 3 (1982), 357.
28L. d'Amore, G. Laccetti, and A. Murli, ACM Trans. Math. Software, 25
(1999), 279.
Pade Approximation
Suppose that J(z) has the series representation
p+q
J(z) = 2:akzk + O(Zp+q+l);
k=O
then the rational function Fpq(z) = gp(z)/hq(z), where
p q
gp(z) = 2: akz k , hq(z) = 2:,8k zk , ,80 = 1, (19.40)

k=O k=O
is the (p, q) Pade approximation to J(z) if Fpq(z) has the same power series
expansion as J(z) up to, but not including, the remainder term.
The importance of Pade approximation is that it may have a larger
domain of application than the original power series. As a trivial example,
the sum
00
J(z) = 22:' zn,

n=O
has radius of convergence R = 1, whereas the equivalent rational form
J(z) = ~ ~ ;,
is valid for all z. The latter may be found from the original series by the
standard methods of Pade approximation. 29 For nontrivial application, the
coefficients are given numerically, and an algorithm returns the coefficients
required to construct Fpq(z). Often, the sequence Fpp(z), p = 1,2, ... is
used as the successive approximations. This is known as the diagonal Pade
approximation.
Continued Fractions
Suppose that we are given an infinite sequence, dn , n ~ O. Then we may
construct the continued Jraction
do
J(z) = d1z (19.41)
1+---.--
1+~
1+ ".
The meaning is that, given some scheme to truncate after N terms, J(z)
is defined as the N -+ 00 limit, assuming it exists. A general scheme for
29 A very thorough treatment may be found in Jones and Thron [30].

truncation is to replace the infinite tail

dn + 1 z
r n+1 (Z) = 1+ d
1+ n+2 Z
1+ ...
by some assumed form of remainder; in the simplest case we truncate the
original sequence by d k = 0, k > n, which is equivalent to setting
rn+l(z) = o.
With this truncation, we obtain a sequence ofrational approximations Fpq.
For the present application, we want p = q, which requires that p = q =
n/2, with n an even integer. Thus, we represent a sequence of diagonal
Pade approximations Fpp via continued fractions.
Calculation of Coefficients
The first problem is to calculate the coefficients for use in (19.41) so that
they match the expansion (19.39) to order Z2P. The standard algorithm,
known as the quotient-difference algorithm, forms a triangular array, with
alternating columns, of the form
ql(0) = al I ao
e61 ) =0 (0)
e1
ql(1) = a2 I al (0)
q2
e62) =0 (1) (0)
e1 e2
= a3 I a2 (19.42)
(1)
ql(2) q2
(2)
e63) =0 e1
ql(3) = a4 I a3
e64 ) =0
The initialization ofthe first two columns is shown in (19.42); the rhombus
rules for filling in the table are
e(i)
r
= q(Hl)
r
_ q(i)
r
+ e(i+1)
r-l'
(i) _ (HI) (Hl)1 (i)
qr - qr-l er -l er _ 1 ·
The order in which they are applied is obvious from (19.42). The continued
fraction coefficients for the given power series are given by
do = ao, d2m-l -- _ qm'
(0)
For any z, the successive convergents 9p(Z), hp(z) of (19.40) may be

obtained using the recurrence
An(z) = An-l(Z) + dnAn-2(Z)Z,
n = 1, ... ,p, (19.43)
Bn(z) = B n- 1 (z) + dnBn-2(Z)Z,
followed by
Fpp(z) = Ap(z)/ Bp(z).
The recurrence is the same for both An (z) and Bn (z). What distinguishes
them is the seed; for An(z),
Ao(z) = do,
and for Bn(z),

Bo(z) = 1.
Improved Remainder
In many continued fractions, the coefficients form a pattern that repeats
in pairs. In such cases, an exact termination may be had by writing
m>n;
then the remainder satisfies the quadratic equation
In their paper, de Hoog et al. suggest using this as an improvement

over straightforward truncation of the continued fraction. For convergence,
we want the root of smaller magnitude, which is readily obtained in a
computer calculation. Use of this convergence factor is straightforward. It
has no effect whatever on the computation of the table (19.42); moreover,
it does not affect the first p - 1 steps of the recursion (19.43). All that is
required is to replace the last step by
A~(z) = Ap_ 1 (z) + rp(z)Ap_2(Z),

B~(z) = Bp- 1 (z) + rp(z)Bp_2(Z),
after which the revised coefficients give
On the basis of numerical tests, the authors report that the further accel-
eration can lead to considerable improvement, and that when this is not
so, it is not deleterious.
19.8 Talbot's Method

The complex methods of previous sections represent a direct attack on
the problem of numerically evaluating the inversion integral along the line
19.8 Talbot's Method 353
Re(p) = c. On the other hand, analytic investigations of the inversion inte-

gral frequently depend on deforming the inversion contour to a more con-
venient one. Talbot 30 has suggested such a technique as part of a numerical
scheme; one deforms the contour so as to put the limits in the left-hand
half-plane, where the factor ept is exponentially decaying for t > O. This
avoids many of the difficulties associated with truncation errors, to pro-
vide accurate results at minimal computational expense. It is vital to note,
however, that for its success, this method has strict requirements:
(i) IF(p) I --+ 0 uniformly as Ipi --+ 00 in Re(p) < 0"0.
(ii) There exists a constant K such that Im(Pk) < K for all singularities
Pk of F(p).
These properties ensure that the contour can be deformed, that the singu-
larities remain inside the deformed contour, and that the trapezoidal rule
may be applied to the transformed integral. In particular, the method will
not work it there is an infinite set of singularities along a line Re(p) = Po,
as sometimes happens in applications.
Talbot's method replaces the Bromwich contour Re(p) = a > 0"0 by an
equivalent contour Lv. In order to ensure that all singularities of F(p) are
inside Lv (when closed to the left), some preliminary scaling is required.
If F(p) has a singularity at p = Po, then the function F(A3 + 0") has the
corresponding singularity at 30 = (Po - 0") / A. We may therefore consider
the inversion integral in the form
t > O. (19.44)
The choice of optimum scaling parameter A and shift 0" is critical for the
implementation of the method and requires information about the dom-
inant singularities. For transforms whose singularities all lie on the real
p-axis, or for example along a pair of lines Im(p) = ±a, it is not necessary
to have precise locations beyond the most positive one(s), but in general
one might need the positions of all singularities.
Special Family of Contours

The deformation is made using a change of variables from 3 to Z, 3 = Bv(z),
where Bv(z) is a suitably chosen function. Talbot develops his theory for
an extremely wide range of such functions, but he emphasizes a particular
family
Z v-1
Bv(z) = 1- e-Z + -2- z , (19.45)
30 A. Talbot, J. Inst. App. Maths., 23 (1979), 97.

Im(s)
v=l
Re(s)
s=l
FIGURE 19.1. Contours of the form (19.45).
where l/ is an arbitrary parameter. We shall only consider that family here.

Denote by M the interval on the imaginary z-axis from z = - 271"i to
z = 271"i. We parametrize this interval by
M: z = 2iO, (19.46)
The important properties of Bv (z) are as follows:
(i) It is analytic in the strip H: -271" < Im(z) < 271".

(ii) It has simple poles at ±271"i, with residues whose imaginary parts are
respectively positive and negative.
(iii) It maps M to an inversion contour Lv in the p plane.
(iv) It maps the half-strip H+: Re(z) > 0 to the right of Lv'
The special case l/ = 1 gives a curve that was first derived as a steepest-
descent contour for the function 1/ s. When l/ > 1, the curve is expanded
vertically by the factor l/. This is useful for functions with complex sin-
gularities; in such cases setting l/ = 1 may make it impossible to choose
the other parameters to achieve required accuracy, particularly for larger
values of t.
In terms of the variable 0 of (19.46), the curves Lv have the representation
-71"<0<71". (19.47)
In this form, it is clear that l/ is simply a vertical expansion factor. For the
implementation of (19.49) below, we shall also need
B~ (z) = l/ + iO + i cot 0 (0 cot 0 - 1) . (19.48)

2
19.8 Talbot's Method 355
Discretization
Since we assume that .>.., 0", 1/ are chosen so that Lv is an admissible inversion
contour, F(.>..s + 0") is analytic in the strip H+, and also in a region to the
left of M in the strip H_. Therefore, (19.44) may be written
f(t) = 2~ 1M Q(z) dz, (19.49a)
Q(z) = '>"e(>\Sv(z)+a)t F('>"Sv(z) + O")S~(z). (19.49b)

We note by the properties of Sv(z) that Re(s) ~ -00 on Lv as z ~ ±2ni on
M, and Q(±2ni) = O. Assuming that f(t) is a real function, the trapezoidal
rule applied to (19.49a) gives
n-l
- 2 ~'
f(t) = - ~ Re (Q(Zk)), Zk = 2kni / n. (19.50)
n
k=Q
Now let M+ be any contour from -2ni to 2ni in the half-strip H+, and
M _ a contour from - 2ni to 2ni in the half-strip H _, but chosen so that
all singularities of Q(z) are to the left. Then, by the residue theorem,
-
f(t) = 2ni
1 r
JMr M _
Q(z)
1- e-nz'
The path M in (19.49) may be replaced by M+, after which the error may
be written as
E(t) = j(t) - f(t)
= El(t) + E 2 (t),
where
E (t) - _1
1 - 2 .
nz
1M+
Q( z)
e nz - l'
(19.51)
E 2 (t) = ~ r Q(z).
2nz } M_ 1 - e- nz
From the assumed properties of F(p) and its relation to Lv, it is intuitively
clear that both these contributions should tend to zero as n ~ 00, for fixed
A, 0", 1/. A proof may be found in Talbot's paper. An important feature is
that convergence is exponential in yin.
Equations (19.50,19.49,19.47,19.48) fully define the method. What re-
mains is to choose suitable parameters .>.., 0", 1/ and n. A complete prescrip-
tion is provided in Talbot's paper. The details are rather lengthy, and will
not be repeated here; we mention in passing that they are based on analy-
sis of the contour integrals appearing in (19.51), but finally expressed as a
series of practical algorithms. A software implementation is available; see
Murli and Rizzardi. 31
31 A. Murli and M. Rizzardi, ACM Trans. Math. Software, 16 (1990), 158.

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Index
Abel's integral equation, 107 of the second and third kind,

abscissa of convergence, 28, 331 314-318
adjoint Bessel's equation, 65, 310
boundary conditions, 165 Bessel's integral, 115, 184, 313
problem, 165 beta function, 23
advanced potential, 188 block diagrams, 61
Airy functions, 325 branch cut, 5
albedo problem, 295 branch point
analytic, 4 definition, 4
continuation, 9-12 integrals around, 15
function, 4 inversions involving, 49-52, 100,
functionals, 153-156 116, 174, 256, 298, 307
anomalous system, 71 Bromwich contour, 43, 353
asymptotic expansion, 34, 50-53,
197-200, 215-222 Carleman, 265
asymptotically equal, 34 Case and Zweifel, 295
Cauchy integral formula, 9
Barnes, 205 Cauchy integrals, 283-288
Bernoulli's equation, 133 Cauchy's theorems, 8
Bessel functions, 310-318 Cauchy-Riemann relations, 3
of the first kind, 66, 115, 312 causality, 121
Fourier transform of, 115 Chebyshev polynomials, 335-338
integral representations, 310-314, Clenshaw's algorithm, 343
318-320 complementary error function, 88,
integrals involving, 324 208
364 Index
continued fractions, 350 functional relations, 20

continuity oflinear functionals, 147 Hankel's integral representation,
contour, 2 22
integration, 6 fast Fourier transform, 341
controllability, 75 feedback loop, 63
convergence Fourier integrals, ascending expan-
of generalized functions, 150 sions for, 221
of test functions, 147 Fourier series, 229, 252, 258, 343
convolution equations, 97-104 Fourier transform
convolutions, 32, 58, 87, 117, 122, application to partial differen-
182, 201, 218 tial equations, 129-140
cosine transform, 111 definition, 111
Coulomb gauge, 187 of generalized functions, 155
Cramer's rule, 71 inverse of, 112
cylinder functions, 227, 315 properties of, 116-118
relation to Green's functions, 254
D'Alembert's method, 194 relation to Hankel transform, 229
delta function, 143, 147 relation to Laplace transform,
diagonal Pade approximation, 350 111
diffraction problems, 185-187, 265- sine and cosine transforms, 112
272, 297-301 of test functions, 145
diffusion problems, 85-90 in two or more variables, 181-
Dirac's delta function, 143 189
direct correlation function, 105 fractional integration, 239
Dirichlet conditions, 41 Fraunhofer diffraction, 186
Dirichlet integrals, 41 Fresnel diffraction, 186
discontinuity theorem, 288 functional, 144
distributions, 154 analytic, 153-156
double Laplace transforms, 192- continuous, 147
194 linear, 146
dual integral equations, 236-239 regular, 147
singular, 147
eigenfunction expansion, 253
electric circuit problems, 68-70 generalized functions, 143-157, 167,
electron gas, 220 188, 276
electrostatic problems, 129-131, 191, convergence of, 150
209, 233, 236 definition, 146
entire function, 18 differentiation of, 149
epsilon algorithm, 347 on finite interval, 148
Erdelyi-Kober operators, 239-242 Fourier transforms of, 155
Euler's constant, 12, 199, 221 properties of, 147-151
exponential integral, 12 regular, 147
sequences of, 150
factorial function, 19-22 singular, 147
asymptotic expansion, 216 Green's functions, 163-166
Index 365
for adjoint, 165 classification, 97

as generalized functions, 167 dual, 236-239
for Helmholtz's equation, 173 integrals
integral transforms generated by, Fourier, 221
249 involving a parameter, 218
one-dimensional, 163 integro-differential equations, 274
for Poisson's equation, 169 inverse Fourier transform, 112
symmetry of, 171 sine and cosine transform, 113
Green's theorem, 7 inverse Laplace transform, 39
asymptotic forms of, 50-54
Hankel functions, 173, 228, 272, involving a branch point, 49
317-320 of meromorphic functions, 47
Hankel transform, 227 numerical evaluation of, 327-355
application to boundary-value of rational functions, 44
problems, 232 Taylor series of, 46
connection with Fourier trans-
form, 229 Jacobi polynomials, 335
definition, 227
inverse of, 227 Kirchhoff, 185
properties of, 230, 231 Kontorovich-Lebedev transform,
relation to Green's functions, 255 256-262
Hankel's loop integral, 17 relation to Mellin transform, 258
harmonic function, 9, 133, 246, 258 Kramers-Kronig relations, 121
heat conduction, 86-90
heat diffusion kernel, 87 Lagrangian interpolation, 333
Heaviside Laguerre polynomials, 210, 334,
distortionless line, 93 338
expansion theorem, 48 Laplace transform
series expansion, 53 application to ordinary differ-
step function, 28 ential equations, 59
Helmholtz's equation, 173-176, 266 application to partial differen-
elementary solution, 173 tial equations, 85-93
Green's function for, 176 application to simultaneous dif-
Hermite equation, 305 ferential equations, 67
Hermite functions, 307-310 asymptotic properties, 33, 52
asymptotic forms, 205-207 definition, 27
Hermite polynomials, 305-307 differential equations with poly-
Holder condition, 285 nomial coefficients, 65
Hopf,265 double, 192-194
hydrodynamic equations, 132 inverse of, 39
inversion theorem, 42
images, 172 properties of, 28-32
impedance, 93 relation to Fourier transform,
influence function, 122 111
integral equations, 97-107, 274, 292 Watson's lemma, 35, 50
366 Index
Laplace's equation, 129, 190, 233 Newton's second law, 132

Laplace's method, 66, 303-321 normal system, 71
Laurent expansion, 13 numerical inversion of Laplace trans-
Lienard-Wiechert potential, 189 forms, 327-355
linear control theory, 72-82 collocation methods, 333
controllability, 75 Fourier series methods, 343
equivalent systems, 77 Gaver-Stehfest method, 329
minimal realization, 79 Korrectur method, 346
observability, 78 Lyness and Giunta's method,
realization, 79 340
linear functionals, 146 method of de Hoog, Knight, and
linear transport theory, 291-297 Stokes, 349
Liouville's theorem, 18 Talbot's method, 352
Lommel's integral, 228 Weeks's methods, 339
loop integrals, 15, 49-53
observability, 78
Macdonald's function, 321 ordinary differential equations
MacRobert, 227 Green's functions for, 163-169
matrix exponential, 73 Laplace transform methods for,
Maxwell's equations, 187 57-77, 79-82
Mellin transform, 195 Laplace's method for, 303-321
application to differential equa- stability of solutions, 60
tions, 205
application to potential prob- Pade approximation, 349
lems, 202 pair distribution function, 104
in asymptotics, 197-200, 215- Parseval relations, 118, 121, 231
222 partial differential equations
definition, 195 Fourier transform methods for,
inverse of, 196 129-140
properties of, 200-203 Laplace transform methods for,
relation to Fourier transform, 85-93
195 partial fractions, 45
relation to Green's functions, 255 Percus-Yevick equation, 104
in summation, 211-216 Plemelj formulae, 286-289
meromorphic functions, 14, 47 Poisson integral representation, 225,
inverse Laplace transform of, 47 319
method of images, 172 Poisson summation formula, 128,
Milne's equation, 274, 284 153
minimal realization of transfer func- Poisson's equation, 169
tion, 79 pole, 13
Mittag-Leffler theorem, 281 polynomial interpolation, 333
Mobius transformation, 331 potential problems, 129-132, 187-
modified Bessel functions, 320 189, 202, 233-237
power series, 10
Newton's law of cooling, 89 asymptotic behavior of, 215-217
Index 367
principal value integral, 122, 152, spectral analysis, 119-121

286 stability of solutions, 60
Stirling's series, 216
quotient-difference algorithm, 351 stretched string, 90--93
Sturm-Liouville problem, 251
radiation condition, 139, 184, 188 symmetry of Green's functions, 171
rational functions
inverse Laplace transform of, 44 Taylor series of inverse Laplace
realization of transfer functions, transform, 46
79 test functions, 144-146
recurrence relations, 336, 342, 351 Titchmarsh, 237, 251
regular generalized functions, 147 transfer functions, 61
regularization, 328 transmission line, 92, 93
residue theory, 13-15 trapezoidal rule, 340, 344, 353
resolvent kernel, 98 two-point boundary-value problem,
retarded potential, 187 164
Riemann zeta function, 23-26
asymptotic forms, 26 ultradistributions, 154
functional relation, 25
in summation, 212 variation of parameters, 164
Riemann-Hilbert problem, 289-291
Watson's lemma, 33-36
self-adjoint, 166, 176, 249 for loop integrals, 50--53
shrinking a contour, 15 wave equation, 85, 90, 173, 185,
simple pole, 13 259, 265, 297
sine transform, 111 wave propagation, 90
singular generalized functions, 147 Weber functions, 317
singular point, 4 Weber's integral, 234
singularity, 4 Wiener, 265
Sommerfeld diffraction problem, Wiener-Hopf technique, 265
265-272
Sonine's integrals, 243 zeta function, 23
Texts in Applied Mathematics
(continued from page ii)
31. Bremaud: Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues.
32. Durran: Numerical Methods for Wave Equations in Geophysical Fluid Dynamics.
33. Thomas: Numerical Partial Differential Equations: Conservation Laws and Elliptic
Equations.
34. Chicone: Ordinary Differential Equations with Applications.
35. Kevorkian: Partial Differential Equations: Analytical Solution Techniques, 2nd ed.
36. DulierudiPaganini: A Course in Robust Control Theory: A Convex Approach.
37. QuarteroniiSacco/Saleri: Numerical Mathematics.
38. Gallier: Geometric Methods and Applications: For Computer Science and
Engineering.
39. Atkinson/Han: Theoretical Numerical Analysis: A Functional Analysis Framework.
40. Brauer/Castillo-Chavez: Mathematical Models in Population Biology and
Epidemiology.
41. Davies: Integral Transforms and Their Applications, 3rd ed.

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Texts in Applied Mathematics 41

1. Sirovich: Introduction to Applied Mathematics.

(continued after index)

Integral Transforms and

M. Golubitsky S.S. Antman

Mathematics Subject Classification (2000): 44-01, 44A10, 44A15, 65R10

Library of Congress Cataloging-in-Publication Data

Printed on acid-free paper.

© 2002, 1985, 1978 Springer-Verlag New York, Inc.

Production managed by Francine McNeill; manufacturing supervised by Jacqui Ashri.

Mathematics is playing an ever more important role in the physical and

Pasadena, California J.E. Marsden

grounding in complex variable techniques, today that is not always possible.

Canberra, Australia Brian Davies

In preparing this second edition, I have restricted myself to making small

Canberra, Australia Brian Davies

This book is intended to serve as introductory and reference material for

more common in published research work in applications. I can only hope

Canberra, AustraJia Brian Davies

Preface to the Third Edition vii

Preface to the Second Edition ix

Preface to the First Edition xi

1 Functions of a Complex Variable 1

2 The Laplace Transform 27

3 The Inversion Integral 39

3.2 Dirichlet Integrals 41

4 Ordinary Differential Equations 57

5 Partial Differential Equations I 85

7 The Fourier Transform 111

8 Partial Differential Equations II 129

8.4 Waves Generated by a Periodic Disturbance 137

9 Generalized Functions 143

10 Green's Functions 163

11 Transforms in Several Variables 181

12 The Mellin Transform 195

13 Application to Sums and Integrals 211

14 Hankel Transforms 227

14.5 Weber's Integral . . . . . . . . . . . . . . . . 234

15 Integral Transforms Generated by Green's Functions 249

16 The Wiener-Hopf Technique 265

17 Methods Based on Cauchy Integrals 283

18 Laplace's Method for Ordinary Differential Equations 303

19 Numerical Inversion of Laplace Transforms 327

19.4 Use of Chebyshev Polynomials . 335

This preliminary chapter collects together material about functions of a

1.1 Analytic Functions

is a complex number, with x, y real numbers, then

x = Izl cosO, y = Izl sinO.

For a complex-valued function, we write similarly

J(z) = u(z) + iv(z) = u(x + iy) + iv(x + iy),

J(z) = u(x, y) + iv(x, y)

u(x + 8x, y + oy) = u(x, y) + ¢(x, y)8x + 'l/J(x, y)8y + R, (1.1)

IThe complex plane is itself an open region.

Differentiability in a region is defined as differentiability at every point of

J(z + oz) = J(z) + ¢(z)Oz + R, (1.2)

f'(z) == dJ in place of ¢(z).

u(x + Ox, Y + Oy) = u(x, y) + Re (f'(z)) Ox - 1m (f'(z)) oy + R u ,

Re(f') = au/ax = av/ay,

(ii) Given a differentiable complex-valued function f(z), the real (or

A function differentiable in a region G is usually called analytic. A point

3For example, e Z / z has a singularity at the origin; (e Z - 1) / z is analytic there.

is analytic in the cut plane 4

! arg(z - zo)! < 7r,