Solution of Sturm-Liouville Problems

Dr. T. Phaneendra
February 20, 2018

1 Sturm-Liouville differential equation

The second order linear differential equation
h  i
d dy
dx p(x) dx + [q(x) + λω(x)]y = 0 for all a ≤ x ≤ b, (1.1)

or
[p(x).y 0 ]0 + [q(x) + λω(x)]y = 0 for all a ≤ x ≤ b, (1.2)
where

(a) p, p0 , q and ω are continuous on [a, b], and

(b) p(x) > 0 for all a < x < b,
is called the Sturm-Liouville’s differential equation with parameter λ and the weight
function ω(x).
Example 1.1. The second order linear differential equation

P (x)y 00 + Q(x)y 0 + [A(x) + λR(x)]y = 0 for all a ≤ x ≤ b, (1.3)

where
(a) P , Q, A and R are specified functions, and
(b) P 0 (x) = Q(x),
is a Sturm-Lioulle’s equation with the weight function ω(x) = R(x).

In fact, Using Q(x) = P 0 (x), and grouping the first two terms in (1.3), we get

P (x)y 00 + P 0 (x)y 0 +[A(x) + λR(x)]y = 0 or [P (x)y 0 ]0 + [A(x) + λR(x)]y = 0,

| {z }
[P (x)y 0 ]0

which is the Sturm Lioulle form (1.2) with the weight function ω(x) = R(x).

1
ADDE Dr. T. Phaneendra
Module 5 Professor of Mathematics

Example 1.2. Consider

xy 00 + y 0 + ny = 0, 0 ≤ x ≤ 1, n = 0, 1, 2, ....

Comparing the given equation with (1.3), we see that P (x) = x, Q(x) = 1 so that
P 0 (x) = Q(x) = 1. Grouping the first two terms, and using Example 1.1, we get the
Sturm-Liouville form
h  i
[x.y 0 ]0 + λy = 0 or dx
d dy
x dx + λy = 0

with the weight function ω(x) = 1.

Example 1.3. Consider

(sin x)y 00 + (cos x)y 0 + (x2 + 3x)y = 0 where sin x 6= 0.

Comparing the given equation with (1.3), we see that P (x) = sin x, Q(x) = cos x so
that P 0 (x) = Q(x). Grouping the first two terms, in view of Example 1.1, we get the
Sturm-Liouville form
h  i
[sin x.y 0 ]0 + 3y = 0 or dx
d dy
sin x dx + [x2 + 3x]y = 0

with λ = 3 and the weight function ω(x) = x.

Example 1.4. The Legendre differential equation of order n is given by

(1 − x2 )y 00 − 2xy 0 + n(n + 1)y = 0 for all 0 ≤ x ≤ 1, n ∈ R (1.4)

Comparing with (1.3), we see that

P (x) = 1 − x2 , Q(x) = −2x, so that P 0 (x) = −2x = Q(x).

Therefore, in view of Example 1.1, we get the Sturm-Liouville form of (1.4) as

h  i
[(1 − x2 ).y 0 ]0 + n(n + 1)y = 0 or dx
d dy
(1 − x2 ) dx + n(n + 1)y = 0

Its weight function is ω(x) = 1 and the parameter is λ = n(n + 1).

Exercise 1. Find if the following is a Sturm-Liouville’s equation

tan−1 xy 00 + 1
1+x2 y
0
+ 7xy = 0 where tan−1 x 6= 0.

2 Reduction into a Sturm-Liouville Form

Again, consider (1.3), where P (x) 6= 0 and P 0 (x) 6= Q(x). We employ the following
procedure to reduce into its Sturm Lioulle form:
R
(Q/P )dx
Step 1. Find the integrating factor µ = e for (1.3).
Step 2. Multiply (1.3) by µ, and then dividing with P (x), we get
n R o   R
d2 y
R
A(x)+λR(x)
e (Q/P )dx · dx 2 + e (Q/P )dx · Q
P
dy
dx + P e (Q/P )dx y = 0

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ADDE Dr. T. Phaneendra
Module 5 Professor of Mathematics

Step 3. Grouping the first two terms in this, we get

hn R o   n R o i   R
e (Q/P )dx · dxd dy d
dx + dx e
(Q/P )dx
· dy
dx + A(x)+λR(x)
P e (Q/P )dx y = 0

so that the Sturm-Lioulle form of (1.3) as

h R i   R
d
dx e · dx + A(x)+λR(x)
(Q/P )dx dy
P e (Q/P )dx y = 0 (2.1)

with the weight function

R
R (Q/P )dx
ω(x) = P e . (2.2)

Example 2.1. Consider

y 00 − 2y 0 + λy = 0.
Comparing with (1.3), we see that P (x) = 1, Q(x) = −2 so that P 0 (x) = 0 6= Q(x).

The integrating factor of the equation is

R R
µ=e (Q/P )dx
= e− 2dx
= e−2x .

Multiplying the equation with µ and then grouping the first two terms, we get
 −2x 00
y − 2e−2x y 0 + λe−2x y = 0

e

or h   i
e−2x · d dy d
e−2x · dy
+ λe−2x y = 0.

dx dx + dx dx

Hence the Sturm-Liouville form is

h i
−2x
d
dx e · dy
dx + λe−2x y = 0

with the weight function ω(x) = e−2x .

Example 2.2. Consider the parametric Bessel differential equation with parameter
ν ≥ 0:
x2 y 00 + xy 0 + (x2 − ν 2 )y = 0 for 0 ≤ x ≤ 1. (2.3)
Comparing with (1.3), we see that

P (x) = x2 , Q(x) = x so that P 0 (x) = 2x 6= Q(x).

The integrating factor of (2.3) is

(x/x2 )dx
R R R
(Q/P )dx (1/x)dx
µ=e =e =e = elog x = x.

Dividing with P = x2 , and then multiplying the equation with µ, , and finally group-
ing the first two terms, we get
 2

[xy 00 + y 0 · 1] + x − νx2x y = 0.

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ADDE Dr. T. Phaneendra
Module 5 Professor of Mathematics

Hence the Sturm-Liouville form is

h i  
d dy ν2
dx x · dx + x − x y=0 (2.4)

with the weight function ω(x) = 1/x and the parameter λ = −ν2 .
Example 2.3. Consider the Chebyshev differential equation of order κ:

(1 − x2 )y 00 − xy 0 + κ2 y = 0, 0 ≤ x ≤ 1, κ ∈ R.

Here P (x) = 1 − x2 , Q(x) = −x so that P 0 (x) = −2x 6= Q(x). Therefore,

R x √
− 1−x 2 dx
R
2
p
µ = e (Q/P )dx = e = elog 1−x = 1 − x2 .

Multiplying the equation with the integrating factor µ, dividing with P = 1 − x2 ,

and then grouping the first two terms, we get
hp   i  2 
1 − x2 y 00 + √1−x
−x
2
y 0 + √1−xκ
2
y = 0.

Hence the Sturm-Liouville form is

hp i  2

d dy √κ
dx 1 − x2 · dx + 1−x2
y=0 (2.5)
√
with the weight function ω(x) = 1/ 1 − x2 and the parameter λ = κ2 .
Example 2.4. For the Hermit differential equation of order λ:

y 00 − 2xy 0 + 2λy = 0, 0 ≤ x ≤ 1,

we have 2
µ = e−x .
Its Sturm-Liouville form is
h 2
i  2

d
dx e−x . dx
dy
+ λ 2e−x y = 0

2
with the weight function ω(x) = 2e−x .

Example 2.5. For the Laguerre differential equation of order λ:

xy 00 + (1 − x)y 0 + λy = 0, 0 ≤ x ≤ 1,
2
R R
we see that µ = e (Q/P )dx
= e− 2xdx = e−x . Hence its Sturm-Liouville form is
h i  
d −x2 dy −x2
dx e . dx + λ 2e y=0

2
with the weight function ω(x) = 2e−x .

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ADDE Dr. T. Phaneendra
Module 5 Professor of Mathematics

3 Regular Sturm-Liouville Problem

A Sturm-Liouville problem consists of a Sturm-Liouville equation (1.2) together with
some boundary conditions at x = a and x = b, where p, p0 , q and ω are continuous
on [a, b] and p > 0 on a < x < b.
Further, if p > 0 and ω > 0 on [a, b] and the boundary conditions are of the form
c1 y(a) + c2 y 0 (a) = 0, d1 y(b) + d2 y 0 (b) = 0, (3.1)
where
(a) the coefficients are real and independent of λ, and
(b) c1 , c2 not both zero and d1 , d2 not both zero,
then (1.2) and (3.1) constitute a regular Sturm-Liouville problem.
Example 3.1. The boundary value problem
y 00 + λy = 0, 0 < x < π, y(0) = 0, y(π) = 0
is a regular Sturm-Liouville problem.

Eigenvalues and Eigenfunctions

The a regular Sturm-Liouville problem (1.2) plus (3.1), being homogeneous, always
has a solution. In fact, y(x) = 0 for all x always satisfies the problem (1.2) plus (3.1),
and is called a zero solution or trivial solution.
Definition. The values of the parameter λ which give rise to the nontrivial solutions
of a regular Sturm-Liouville problem (1.2) plus (3.1) are called its eigenvalues and the
corresponding nonzero solutions, its eigenfunctions.

Theorem 1 (Properties of Eigenvalues and eigenfunctions). Let λn and φn be the

eigenvalues and the eigenfunctions of a regular Sturm-Liouville problem (1.2) plus
(3.1) with the weight function ω(x) on [a, b], n = 1, 2, 3, .... Then
(a) The eigenvalues λn are real and λ1 < λ2 < · · · with limn→∞ λn = ∞.
(b) To each eigenvalue λn , there corresponds one and only one linearly indepen-
dent eigenfunction.
(c) the eigenfunctions corresponding to distinct eigenvalues are orthogonal with
respect to the weight function ω(x) on [a, b], that is
Z b
φj (x)φk (x)r(x)dx = 0 for all j 6= k. (3.2)
a

The integral on the left hand side of (3.2) defines the inner product of the eigenfunc-
tions φj and φk with respect to the weight function ω(x) on [a, b].

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ADDE Dr. T. Phaneendra
Module 5 Professor of Mathematics

Example 3.2. Find the eigenvalues and eigenfunctions, and then verify the orthog-
onality of the eigenfunctions for the regular Sturm-Liouville problem:

y 00 + λy = 0, 0 < x < L, (3.3)

y(0) = 0 = y(L). (3.4)

Solution. The auxiliary equation of (3.3) is

r2 + λ = 0 (3.5)

Case (a): λ < 0, say λ = −µ. Then (3.5) becomes r2 − µ = 0, which has two distinct
√
roots m = ± µ and hence the general solution of (3.3) is
√ √
y(x) = c1 e µx
+ c2 e− µx
, (3.6)

where the arbitrary constants c1 and c2 are evaluated by employing the boundary
conditions (3.4).
In fact, writing x = 0 and x = L in (3.6), and then using (3.4), we respectively get
√ √
c1 + c2 = y(0) = 0 and c1 e µL
+ c2 e − µL
= 0.

Solving these, we get c1 = c2 = 0. Thus y ≡ 0 is the only (trivial) solution for the
Sturm-Liouville problem (3.3) plus (3.4).
Case (b): λ = 0. Then the general solution of (3.3) will be y(x) = c1 x + c2 , which
will satisfy the boundary conditions (3.4) only if c1 = c2 = 0. Thus y ≡ 0 is the only
solution for (3.3) plus (3.4).
Case
√ (c): λ > 0. Then the roots of the A. E. (3.5) are a pair of imaginary roots m =
±i λ and hence the general solution of (3.3) is
√ √
y(x) = c1 cos λx + c2 sin λx, (3.7)

where c1 and c2 are arbitrary constants. Using y(0) = 0 in (3.7), we get

c1 cos 0 = 0 or c1 = 0.

Note that if c2 is also zero (3.7) would lead to the trivial solution y ≡ 0. Therefore we
assume that c2 6= 0. Then using the second condition of (3.4) and c1 = 0 in (3.7), it
follows that
√ √ √ nπ
sin( λL) = 0 so that λL = nπ, or λ = , n = 0, ±1, ±2, . . . . (3.8)
L
We discard n = 0 because it gives λ = 0. Thus the nonzero solutions of the Sturm-
Liouville problem are
 nπx 
y ≡ y(x) = c2 sin , n = 0, ±1, ±2, . . . ,
L

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Module 5 Professor of Mathematics

where c2 is arbitrary. We choose c2 = 1 and write

 nπx 
yn = sin , n = 0, ±1, ±2, . . . . (3.9)
L
Also we note that
   
−kπx kπx
y−k = sin = − sin = −yk , k = 1, 2, 3, ...
L L

so that y−k and yk are not linearly independent for k = 1, 2, 3, ....

Hence we can discard n = −1, −2, . . . as well. Thus

n2 π 2
λn = , n = 1, 2, . . .
L2
are the eigenvalues and
 nπx 
φn = sin , n = 1, 2, . . .
L
are the eigenfunctions of the Sturm-Liouville problem (3.3) plus (3.4).

Finally for j 6= k,
Z L Z L    
jπx kπx
φi (x)φj (x)dx = sin sin dx
0 0 L L
1 L
      
j−k
Z
j+k
=− cos πx − cos πx dx
2 0 L L
 sin j+k πx   sin j−k πx L
       
1  L L 
= −  (j+k)π
− (j−k)π

2    
L L
x=0
 
L sin [(j + k)π] sin [(j − k)π]
=− −
2π j+k j−k
= 0.

This shows that the the eigenfunctions φ0n s corresponding to distinct eigenvalues are
orthogonal with respect to the weight function ω(x) = 1 on [0, L].

Example 3.3. Find the eigenvalues and eigenfunctions and verify the orthogonality
of the eigenfunctions for the regular Sturm-Liouville problem (3.3) on 0 < x < π
with boundary conditions y(0) = 0 = y(π).
Solution. Take L = π in the previous example. Then λn = n2 are the eigenvalues
and φn = sin(nx), n = 1, 2, . . . are the eigenfunctions of the Sturm-Liouville
problem, orthogonal w. r. t. the weight function ω(x) = 1 on [0, π].

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ADDE Dr. T. Phaneendra
Module 5 Professor of Mathematics

Example 3.4. Find the eigenvalues and eigenfunctions and verify the orthogonality
of the eigenfunctions for the regular Sturm-Liouville problem (3.3) with boundary
conditions
y(0) = 0, y 0 (L) = 0. (3.10)
Solution. The first two cases that λ ≥ 0 will lead to the trivial solution y ≡ 0 for tha
problem which satisfy the boundry conditions (3.10), as in Example 3.2. Therefore
assume that λ > 0. Again from (3.2), the general solution of (3.3) is
√ √
y(x) = c1 cos λx + c2 sin λx, (3.11)

wich satisfies the first boundary condition y(0) = 0 only if c1 = 0. Also Note that we
assume that c2 6= 0, since c2 = 0 would give give the trivial solution y ≡ 0. Thus
√
y(x) = c2 sin λx, c2 6= 0 (3.12)

Now √ √
y 0 (x) = c2 λ cos λx.
Then using the second condition y 0 (L) = 0 in this, we get
√ √ nπ √ nπ
cos( λL) = 0 so that λL = or λ = , n = ±1, ±3, ±5, . . . .
2 2L
Since c2 6= 0 is arbitrary, we may write c2 = bn for n = ±1, ±3, ±5, . . .. Thus the
nonzero solutions of the problem are
 nπx 
y ≡ y(x) = bn sin , n = ±1, ±3, ±5, . . . .
2L
Also we note that
   
−kπx kπx
sin = − sin , k = 1, 3, 5, 7, ...
2L 2L

so that y−k and yk are not constant multiples of each other and are not linearly in-
dependent for k = 1, 3, 5, 7, .... Hence we can discard n = −1, −3, −5, −7, . . . as
well.
Setting n = (2m − 1), for m = 1, 2, 3, ... in these we see that

(2m − 1)2 π 2
 
(2m − 1)πx
λm = and φ m = sin , m = 1, 3, 5, 7, ...
4L2 2L

are the eigenvalues and the eigenfunctions of (3.3) plus (3.10).

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ADDE Dr. T. Phaneendra
Module 5 Professor of Mathematics

Finally for different indices j and k,

L L    
(2j − 1)πx (2k − 1)πx
Z Z
φi (x)φj (x)dx = sin sin dx
0 0 2L 2L
1 L
Z       
j−k j+k−1
= cos πx − cos πx dx
2 0 L L
 h i h i L
 sin (j−k)πx sin (j+k−1)πx 
1  L L 
= (j−k)π
− (j+k−1)π

2  
L L 
x=0
 
L sin [(j − k)π] sin [(j + k − 1)π]
= −
2π j−k j+k−1
= 0.

This shows that the the eigenfunctions φ0n s corresponding to distinct eigenvalues are
orthogonal with respect to the weight function ω(x) = 1 on [0, L].

Example 3.5. Find the eigenvalues and eigenfunctions and verify the orthogonality
of the eigenfunctions for the regular Sturm-Liouville problem (3.3) on 0 < x < π
with boundary conditions y(0) = 0, y 0 (π) = 0.
(2m − 1)2
Solution. Take L = π in the previous example. Then λm = are the
  4
(2m − 1)x
eigenvalues and φm = sin , m = 1, 3, 5, 7, ... are the eigenfunctions of
2
the Sturm-Liouville problem, orthogonal with respect to the weight function r(x) =
1 on [0, π].

Example 3.6. Find the eigenvalues and eigenfunctions and verify the orthogonality
of the eigenfunctions for the regular Sturm-Liouville problem (3.3) with boundary
conditions
y 0 (0) = 0, y 0 (L) = 0. (3.13)
Solution. Eigenvalues and the corresponding eigenfunctions of the Sturm-Liouville
n2 π 2  nπx 
problem are λn = and φ n = cos , n = 1, 2, 3, ....
L2 L

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