Contents

Preliminaries 3

1 Euler Equations 5

1.1 Solving Second Order Homogeneous Euler Equations . . . . . . . . . 5

2 Variation of Parameters 7

2.1 Review : 2nd Order HLDE With Constant Coefficients . . . . . . . . 7

2.2 Variation of Parameters . . . . . . . . . . . . . . . . . . . . . . . . . 9

3 Power Series Solutions To Linear Differential Equations 11

3.1 Sequences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

3.2 Power Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

3.3 Power Series Solutions About Ordinary Points . . . . . . . . . . . . . 18

3.4 Power Series Solutions About Singular Points . . . . . . . . . . . . . 22

4 Fourier Analysis 29

4.1 Periodic Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

4.2 Even and Odd Functions . . . . . . . . . . . . . . . . . . . . . . . . . 30

4.3 Orthogonal Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

1
 4.4 Fourier Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33

4.5 Fourier Expansions in a Finite Interval . . . . . . . . . . . . . . . . . 36

5 Sturm-Liouville Problems 39

5.0.1 Review:Some Useful ODEs and Their Solutions. . . . . . . . . 39

6 Partial Differential Equations 47

6.1 Introduction To Partial Differential Equations . . . . . . . . . . . . . 47

6.2 Solving Partial Differential Equations . . . . . . . . . . . . . . . . . . 49

6.3 Separation Of Variables Method . . . . . . . . . . . . . . . . . . . . . 50

6.3.1 Wave Equation . . . . . . . . . . . . . . . . . . . . . . . . . . 50

6.3.2 Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

6.3.3 Laplace Equation . . . . . . . . . . . . . . . . . . . . . . . . . 55

6.4 Boundary-Value Problems in Other Coordinate Systems . . . . . . . 56

6.4.1 Problems Involving Laplace’s Equation in Polar Coordinates . 56

6.4.2 Laplacian in Cylindrical Coordinates . . . . . . . . . . . . . . 57

6.4.3 Problems in Spherical Coordinates: Legendre Polynomials . . 58

2
Preliminaries

Trigonometric Identities

cos2 x + sin2 x = 1

cos 2x = cos2 x − sin2 x = 2 cos2 x − 1 = 1 − 2 sin2 x

sin 2x = 2 sin x cos x

cos(x ± y) = cos x cos y ∓ sin x sin y

sin(x ± y) = sin x cos y ± cos x sin y

sin x sin y = 12 [cos(x − y) − cos(x + y)]

cos x cos y = 21 [cos(x + y) + cos(x − y)]

sin x cos y = 12 [sin(x + y) + sin(x − y)]

sin(−x) = − sin x, cos(−x) = cos x

sin(x + 2nπ) = sin x, cos(x + 2nπ) = cos x, n = 0, ±1, ±2, . . .

√ a b
a cos θ + b sin θ = a2 + b2 cos (θ − δ) , cos δ = √ , sin δ = √
a2 + b 2 a2 + b 2
Hyperbolic Functions

The hyperbolic sine and cosine are given by

ex − e−x ex + e−x
sinh x = , cosh x = .
2 2

3
4
Chapter 1

Euler Equations

Definition 1.0.1. Any linear differential equation (LDE) of the form

an xn y (n) + an−1 xn−1 y (n−1) + · · · + a1 xy (1) + a0 y = g(x)

where the coefficients an , . . . , a0 are constants is called an Euler equation.

1.1 Solving Second Order Homogeneous Euler Equa-

tions

Consider the second order homogeneous Euler equation

ax2 y 00 + bxy 0 + cy = 0, x > 0.

It can be shown that y = xm is a solution of this DE if m is a root of the auxiliary

equation

am(m − 1) + bm + c = 0 (1.1)

There are 3 different cases to be considered depending on the nature of the auxiliary
roots:

5
(a) (Distinct Real Roots) Let m1 and m2 denote the real roots of (1) such that
m1 6= m2 . Then the GS is
y = c1 xm1 + c2 xm2 .

(b) (Repeated Real Roots) If the real roots of (1) are repeated i.e., m1 = m2 = m,
then the GS is
y = c1 xm + c2 xm ln x.

(c) (Conjugate Complex Roots) If the roots of (1) are the conjugate pair
m1 , m2 = α ± iβ, where α and β > 0 are real, then the GS is

y = xα [c1 cos(β ln x) + c2 sin(β ln x)].

Example 1. Solve the following Euler equations.

(a) x2 y 00 − 4xy 0 + 6y = 0, x > 0.

(b) 4x2 y 00 + 8xy 0 + y = 0, x > 0.

(c) x2 y 00 + 3xy 0 + 3y = 0, x > 0.

Answer. The GS is (a) y = c1 x2 + c2 x3 (b) y = c1 x−1/2 + c2 x−1/2 ln x

√ √
(c) y = x−1 [c1 cos( 2 ln x) + c2 sin( 2 ln x)].

6
Chapter 2

Variation of Parameters

2.1 Review : 2nd Order HLDE With Constant Co-

efficients

Consider the 2nd order homogeneous linear differential equation (HLDE) with con-
stant coefficients

ay 00 + by 0 + cy = 0 (1)

where a, b and c are constants.

Equation (1) has solutions eλx where λ satisfies the characteristic equation

aλ2 + bλ + c = 0.

There are 3 possible forms for the general solution of (1) depending on the roots λ1
and λ2 of the characteristic equation:

Case 1. If λ1 and λ2 are real and distinct, then the general solution of (1) is

y = c1 eλ1 x + c2 eλ2 x .

7
Case 2. If λ1 = λ2 = λ are real and equal, then the general solution of (1) is

y = c1 eλx + c2 xeλx .

Case 3. If λ1 and λ2 are complex conjugates, say, λ1 = α + iβ, λ2 = α − iβ, then the
general solution of (1) is

y = eαx c1 cos βx + c2 sin βx .

Exercise 1. Find a general solution to

(a) y 00 − 4y = 0
(b) y 00 − 4y 0 + 4y = 0
(c) y 00 + 2y 0 + 4y = 0
√
Answer. (a) y = c1 e2x + c2 e−2x . (b) y = c1 e2x + c2 xe2x . (c) y = e−x [c1 cos( 3x) +
√
c2 sin( 3x)].

8
2.2 Variation of Parameters

This method is used to find a particular solution yp of a linear differential equation

(LDE):
y 00 + p(x)y 0 + q(x)y = r(x) (2.1)
The general solution of (2.1) is given by y = yh + yp where

(a) yh = c1 y1 (x) + c2 y2 (x) is the general solution of the associated homogeneous

equation of (2.1) and
(b) yp = u1 (x)y1 (x) + u2 (x)y2 (x) where u1 , u2 can be obtained by solving the system
(
u0 y 1 + v 0 y 2 = 0
u0 y1 0 + v 0 y2 0 = r(x)
Remark 1. It can be shown that

y2 (x)r(x) y1 (x)r(x)
u01 (x) = − , u02 (x) =
W W
 
y y2 
 1
where W =   = y1 (x)y20 (x) − y2 (x)y10 (x) (the Wronskian).
y 0 0
y2
1

Example 2. Find the general solution of

π
y 00 + y = sec x, 0 < x <.
2
Answer. The GS is y = c1 sin x + c2 cos x + x sin x + cos x ln | cos x|.

Example 3. Use the method of variation of parameters to find a particular solution

of
x2 y 00 + xy 0 − y = 72x5
given that y1 = x and y2 = x−1 are two linearly independent solutions of the corre-
sponding homogeneous Euler equation.

Note : The coefficient of y 00 must always be 1, and hence a preliminary division may
be required.

Answer. yp = x(9x4 ) + x−1 (−6x6 ) = 3x5 .

9
10
Chapter 3

Power Series Solutions To Linear

Differential Equations

3.1 Sequences

Definition 3.1.1. A sequence is a function f whose domain (Df ) is a set of integers

greater than or equal to some integer n0 .

Remark 2.

Usually n0 = 1 and Df = N (the set of natural numbers).

If f (1) = a1 , f (2) = a2 , . . . , f (n) = an , . . ., then we can represent this sequence as a

list of numbers written in a definite order:

a1 , a2 , a3 , . . . , an , . . . .

We may also denote it by {an }∞

n=1 or {an }.

an is called the nth term (or general term) of the sequence.

11
Example 4.

We can describe a sequence either

(a) by writing out a first few terms of the sequence, as in

2, 7, 12, 17, 22, . . .

(b) by giving a formula for its nth term, as in

an = 5n − 3, n = 1, 2, 3, . . .

(c) or by using a recursive relation (or recurrence relation)

a1 = 2, an+1 = an + 5, n = 1, 2, 3, . . .

Example 5. Geometric Sequence

A geometric sequence is a sequence of the form a, ar, ar2 , ar3 , . . . .

The nth term of this sequence is

an = arn−1 , n = 1, 2, 3, . . . .

The number r is called the common ratio of the sequence.

Definition 3.1.2. Limit of a Sequence

A sequence {an } is said to have a limit L if for every  > 0, there is an integer N
such that,

if n > N, then |an − L| < .

In this case, we write

lim an = L.
n→∞

If lim an exists and is finite , then we say the sequence converges (or is conver-
n→∞
gent). Otherwise, we say the sequence diverges (or is divergent) .

12
  
1 1
Example 6. lim = 0, so the sequence converges to 0.
n→∞ n n
 
n
Example 7. The sequence converges to 21 .
2n + 1
Example 8. lim (2 − n) = −∞, so the sequence {2 − n} diverges.
n→∞

Example 9. Because the sequence {(−1)n } has terms

−1, 1, −1, 1, . . .

that alternates between −1 and 1, the limit lim (−1)n does not exist.
n→∞
n
Thus, {(−1) } is a divergent sequence.

Example 10. The geometric sequence {rn } converges if −1 < r ≤ 1, but diverges if
|r| > 1.

3.2 Power Series

Definition 3.2.1. Infinite Series

Let {an } be a sequence. Then the infinite sum

∞
X
an = a1 + a2 + a3 + · · ·
n=1

is called an infinite series (or a series).

(a) an is called the nth term of the series.

Xn
(b) Sn = ak = a1 + a2 + · · · + an is called the nth partial sum of the series.
k=1
(c) If the sequence {Sn } converges to a finite number lim Sn = S, then we say that
n→∞
X∞
the series an converges to S, and we write
n=1
∞
X
an = S.
n=1

13
 The number S is called the sum of the series.
Otherwise, we say that the series diverges.

Example 11. Geometric Series

∞
X
A series of the form arn−1 where a 6= 0 is called a geometric series.
n=1

(a) It is convergent if |r| < 1 and its sum is

∞
X a
arn−1 = .
n=1
1−r

(b) It is divergent if |r| ≥ 1.

∞
X 1
Example 12. Show that the harmonic series diverges.
n=1
n

Theorem 3.2.1. The nth-Term Test for Divergence

∞
X
If lim an 6= 0 or if lim an does not exist then an diverges.
n→∞ n→∞
n=1

Example 13.

Show that the series diverges.

∞
X n
(a)
n=1
n+2
∞
X
(b) (−1)n
n=1

Definition 3.2.2. Absolute Convergence

∞
X ∞
X
The series an is said to be absolutely convergent if the series |an | is con-
n=1 n=1
vergent.

Remark 3.

It can be shown that if a series converges absolutely, then the series also converges;
however, the converse is not necessarily true.

14
 ∞
X 1
Example 14. (−1)n+1 is absolutely convergent because the corresponding series
n=1
2n
∞
X 1
of absolute values n
is convergent.
n=1
2

Definition 3.2.3. Power Series

(a) A power series in x is a series of the form

∞
X
an x n
n=0

where x is a variable and the an ’s are constants called the coefficients of the
series.
(b) More generally, a power series in x − a is a series of the form
∞
X
an (x − a)n .
n=0

It is also called a power series centered at a or a power series about a.

Definition 3.2.4. Convergence and Divergence of a Power Series

∞
X
(a) A power series is said to converge at a point x0 if the series an x0 n con-
n=0
verges.
(b) A power series is said to converge in a set D if it converges for every point in
D.
∞
X
Example 15. For what values of x does the power series xn converges and what
n=0
is its sum?
1
Answer. |x| < 1, .
1−x
Remark 4. (−1, 1) is called the interval of convergence for the series.

Definition 3.2.5. The interval of convergence of a power series is the interval

over which the power series converges.

15
Theorem 3.2.2. Possible Convergence Behaviour of a series
∞
X
For a given series an (x − a)n , there are only 3 possibilities:
n=0

(a) The series converges only at x = a.

(b) The series converges for all x.
(c) There exists R > 0, called the radius of convergence of the power series,
such that the series converges for |x − a| < R and diverges for |x − a| > R. At
x − a = ±R, the series may converge or diverge.

Remark 5.

(i) In case (a), R = 0.

(ii) In case (b), R = ∞.
(iii) One of the most useful tests for the absolute convergence of a power series is the
ratio test:
If bn 6= 0, and if  
 bn+1 
L = lim  ,
n→∞ bn 
∞
X
then the power series bn converges absolutely if L < 1, and diverges if L > 1.
n=0
If L = 1, the test is inconclusive.

Example 16.
∞
X (x − 3)n
Find the radius R and interval of convergence I for the power series .
n=0
2n

Answer. R = 2, I = (1, 5)

16
Theorem 3.2.3. Differentiation and Integration of Power Series
∞
X
Suppose that a function f is represented by the power series an (x − a)n that has
n=0
a nonzero radius of convergence R. Then on the interval |x − a| < R,
∞
X
f (x) = an (x − a)n
n=0

is differentiable and integrable. Moreover,

X∞ X∞
n−1 00
0
(a) f (x) = nan (x − a) , f (x) = n(n − 1)an (x − a)n−2 and so on.
n=1 n=2
∞
(x − a)n+1
Z X
(b) f (x)dx = an + C.
n=0
n+1

Remark 6.

(i) The two series in (a) and (b) both have radius of convergence R.
(ii) The intervals of convergence of the above two series may not be the same as that
of f (x).

Example 17. Use the geometric series

∞
1 X
= xn , |x| < 1
1 − x n=0

to find the series representation of

1
(a)
(1 − x)2
(b) − ln(1 − x)
∞ ∞
X X xn+1n
Answer. (a) (n + 1)x (b)
n=0 n=0
n+1

17
Definition 3.2.6. Analytic at a Point

A function f is analytic at point x0 if, in an open interval containing x0 , it can be

represented by a power series in x − x0 with a positive radius of convergence.

Theorem 3.2.4. Taylor and Maclaurin Series Representations

If f is analytic at x = a, then f can be represented by the Taylor series about a:

∞
X f (n) (a)
f (x) = (x − a)n .
n=0
n!

When a = 0, the series is also called the Maclaurin series.

Example 18. Some Familiar Maclaurin Series

∞
1 X
= xn , −1 < 0x < 1
1 − x n=0
∞
X xn x2 x3
ex = =1+x+ + + ··· , −∞ < x < ∞
n=0
n! 2! 3!
∞
X (−1)n x2n+1 x3 x5
sin x = =x− + + ··· , −∞ < x < ∞
n=0
(2n + 1)! 3! 5!
∞
X (−1)n x2n x2 x4
cos x = =1− + − ··· , −∞ < x < ∞
n=0
(2n)! 2! 4!

3.3 Power Series Solutions About Ordinary Points

Example 19. Using a Power Series to Solve a DE

Find a solution of y 0 − y = 0 in the form of a power series in x.

∞
X xn
Answer. A solution is y = a0 or y = a0 ex where a0 is an arbitrary constant.
n=0
n!

∞
X
Question: When can we find a power series solution of the form y = an (x − x0 )n
n=0
for a linear ODE ?

18
Theorem 3.3.1. Existence of Power Series Solutions

If x0 is an ordinary point of the DE A(x)y 00 + B(x)y 0 + C(x)y = 0, then the GS of

the equation can be written as
∞
X
y= an (x − x0 )n = a0 y1 (x) + a1 y2 (x)
n=0

where a0 and a1 are arbitrary constants and y1 (x) and y2 (x) are linearly independent
series solutions that are analytic at x0 .

Remark 7. A series solution converges at least for |x − x0 | < R, where R is the

distance from x0 to the closest singular point.

Question: When is x0 an ordinary point?

Definition 3.3.1. Ordinary and Singular Points

Consider the second order linear DE

A(x)y 00 + B(x)y 0 + C(x)y = 0. (3.1)

(a) A point x0 is called an ordinary point of the DE if both p(x) = B(x)/A(x) and
q(x) = C(x)/A(x) are analytic at x0 .
(b) A point that is not an ordinary point is called a singular point of the DE.

Remark 8.

If A(x), B(x) and C(x) are polynomials with no common factors, then

(a) x0 is an ordinary point of the DE if A(x0 ) 6= 0;

(b) x0 is called a singular point of the DE if A(x0 ) = 0.

19
Example 20.

Find the ordinary and singular points of the following equations.

(a) (Hermite’s equation of order λ) y 00 − 2xy 0 + λy = 0

(b) (Bessel’s equation of order ν ) x2 y 00 + xy 0 + (x2 − ν 2 )y = 0
(c) (Legendre’s equation of order n) (1 − x2 )y 00 − 2xy 0 + n(n + 1)y = 0

20
Example 21. Legendre’s Equation

Use the power series method to solve Legendre’s equation

(1 − x2 )y 00 − 2xy 0 + λy = 0, −1 ≤ x ≤ 1

where λ is a real constant.

Answer. As x = 0 is an ordinary point of this DE, Theorem (3.3.1) says that we

∞
X
can find 2 linearly independent series solutions of the form y = am x m .
m=0
∞
X
Substitute y = am xm into the DE, we obtain the recurrence relation
m=0

m(m + 1) − λ
am+2 = am , m = 0, 1, 2, 3, . . . .
(m + 1)(m + 2)

The GS is y = a0 y1 (x) + a1 y2 (x) where

λ 2 λ(6 − λ) 4 λ(6 − λ)(20 − λ) 6

y1 (x) = 1 − x − x − x − ··· (∗∗)
2! 4! 6!
2 − λ 3 (2 − λ)(12 − λ) 5 (2 − λ)(12 − λ)(30 − λ) 7
y2 (x) = x + x + x + x +··· (∗ ∗ ∗)
3! 5! 7!
are two linearly independent solutions of the DE.

21
Remark 9.

Legendre’s Polynomials

(a) When λ = 0, we have y1 = 1.

When λ = 2 = 1 · 2, we have y2 = x.
When λ = 6 = 2 · 3, we have y1 = 1 − 3x2 .
5
When λ = 12 = 3 · 4, we have y2 = x − x3 .
3
Thus, if λ = n(n + 1) for some nonnegative integer n, one of the linearly inde-
pendent solutions is a polynomial of degree n. These polynomials, multiplied by
some constants, are called Legendre’s polynomials.
(b) We define Legendre polynomials Pn (x) as the polynomial solution of the Leg-
endre equation with Pn (1) = 1.
The first few Legendre’s polynomials are
P0 (x) = 1, P1 (x) = x,
1 1
P2 (x) = (3x2 − 1), P3 (x) = (5x3 − 3x),
2 2
1 1
P4 (x) = (35x − 30x + 3), P5 (x) = (63x5 − 70x3 + 15x).
4 2
8 8
(c) The only solutions of Legendre’s equation that are bounded at x = ±1 are the
Legendre polynomials.

3.4 Power Series Solutions About Singular Points

Definition 3.4.1. Regular and Irregular Singular Points

A singular point x0 of the DE A(x)y 00 + B(x)y 0 + C(x)y = 0 is called a regular

singular point if
B(x) C(x)
(x − x0 ) and (x − x0 )2
A(x) A(x)
are analytic at x0 .

Otherwise x0 is called an irregular singular point.

22
Remark 10.

If A(x), B(x) and C(x) are polynomials with no common factors, then x0 is a regular
singular point if

B(x) C(x)
lim (x − x0 ) < ∞ and lim (x − x0 )2 < ∞.
x→x0 A(x) x→x0 A(x)

If either limit does not exist, then x0 is an irregular singular point.

Example 22. For the following ODEs, classify points as ordinary or singular points.
Classify singular points further as regular or irregular singular points.

(a) x2 y 00 + xy 0 + y = 0

(b) (x + 2)2 (x − 1)y 00 + 3(x − 1)y 0 − 2(x + 2)y = 0

Theorem 3.4.1. Frobenius’ Theorem

If x0 is a regular singular point of A(x)y 00 + B(x)y 0 + C(x)y = 0, then there is at least

one solution of the form
∞
X ∞
X
y = (x − x0 )r an (x − x0 )n = an (x − x0 )n+r ,
n=0 n=0

where the number r is a constant that must be determined.

Remark 11.
∞
X
The series an (x − x0 )n+r is called a Frobenius series.
n=0

Example 23. Use the method of Frobenius to find a solution of the ODE

2xy 00 + y 0 − y = 0.

Answer. The roots of the indicial equation are r = 0, 1/2. It can be shown that
∞ ∞
X 2n n X 2n
y1 (x) = x and y2 (x) = x1/2 xn are 2 LI solutions of the DE.
n=0
(2n)! n=0
(2n + 1)!
Hence, its GS is y = c1 y1 (x) + c2 y2 (x).

23
Remark 12.

In general, we may not always be able to find two LI solutions so readily.

However, if one of the solutions y1 is known, then we can also find a second solution
y2 using the reduction of order formula:
Z − R p(x)dx
e B(x)
y2 = y1 dx, p(x) = .
[y1 ]2 A(x)
Example 24. Only One Frobenius solution
∞
X 2 1 1 1 3
Given that y1 = xn = 1 + x + x2 + x + · · · is a Frobenius
n=0
n!(n + 2)! 3 24 360
solution of xy 00 + 3y 0 − y = 0, x > 0. Use the method of reduction of order to show
that  
1 2 1 19
y2 = y1 − 2 + + ln x − x + ···
2x 3x 4 270
is a second linearly independent solution of the given DE.

Answer. Using the reduction of order formula, we obtain a second solution

Z − R (3/x)dx Z
e dx
y2 = y1 2 dx = y1  2
[y1 ] 3
1 1 2 1 3
x 1+ x+ x + x + ···
3 24 360
Z
dx
= y1  
2 7 2 1 3
x3 1 + x + x + x + · · ·
3 36 30
Z  
1 2 1 2 19 3
= y1 1− x+ x − x + · · · dx
x3 3 4 270
Z  
1 2 1 19
= y1 − + − + · · · dx
x3 3x2 4x 270
 
1 2 1 19
= y1 − 2 + + ln x − x + ···
2x 3x 4 270
∞
X ∞
X ∞
X
Remark 13. If f (x) = an xn and g(x) = bn xn , then f (x)g(x) = cn x n
n=0 n=0 n=0
where n
X
cn = a0 bn + a1 bn−1 + a2 bn−2 + · · · + an b0 = ak bn−k .
k=0

24
Definition 3.4.2. Bessel’s equation

Bessel’s equation of order ν is

x2 y 00 + xy 0 + (x2 − ν 2 )y = 0

where ν ≥ 0 is a given parameter.

Reading Assignment 1.

Find a Frobenius solution of Bessel’s equation of order ν ≥ 0,

x2 y 00 + xy 0 + (x2 − ν 2 )y = 0.

Answer. As x = 0 is a regular singular point, the DE has a Frobenius solution of

∞
X
the form y = an xn+r .
n=0
Substitute the following into the DE,
X∞ ∞
X
ν 2y = ν 2 an xn+r = ν 2 a0 xr + ν 2 a1 xr+1 + ν 2 an xn+r
n=0 n=2
∞
X ∞
X
x2 y = an xn+r+2 = an−2 xn+r (by replacing n with n − 2)
n=0 n=2
∞
X
y0 = (n + r)an xn+r−1
n=0
∞
X ∞
X
n+r r r+1
0
xy = (n + r)an x = ra0 x + (r + 1)a1 x + (n + r)an xn+r
n=0 n=2
∞
X
y 00 = (n + r)(n + r − 1)an xn+r−2
n=0
∞
X
2 00
xy = (n + r)(n + r − 1)an xn+r
n=0
P∞
= r(r − 1)a0 xr + r(r + 1)a1 xr+1 + n=2 (n + r)(n + r − 1)an xn+r

we obtain

x2 y 00 + xy 0 + (x2 − ν 2 )y = 0.

25
 r(r − 1) + r − ν 2 a0 xr + r(r + 1) + (r + 1) − ν 2 a1 xr+1
   
X∞
(n + r)(n + r − 1) + (n + r) − ν 2 an + an−2 xn+r = 0
 
+
n=2
Equate coefficients to 0,

[r(r − 1) + r − ν 2 ] a0 = 0 ⇒ r = ±ν as a0 6= 0

When r = ν,

[r(r + 1) + (r + 1) − ν 2 ] a1 = 0 ⇒ (2ν + 1)a1 = 0 ⇒ a1 = 0 as 2ν + 1 6= 0

{(n + r)(n + r − 1) + (n + r) − ν 2 } an + an−2 = {(n + ν)2 − ν 2 } an + an−2 = 0, n ≥ 2

−1
⇒ n(n + 2ν)an + an−2 = 0, n ≥ 2 or an = an−2 , n ≥ 2
n(n + 2ν)
Using the recurrence relation,

a1 = 0 ⇒ an = 0, n = 3, 5, 7, . . . .

So only even values of n give nonzero an .

Replace n by 2n, the recurrence relation becomes

−1 −1
a2n = a2n−2 = 2 a2n−2 , n ≥ 1
2n(2n + 2ν) 2 n(n + 1ν)
−1
a2n = 2 a2n−2
2 n(n + ν)
−1
n = 1 : a2 = 2 a0
2 · 1 · (1 + ν)
−1 (−1)2
n = 2 : a4 = a 2 = a0
22 · 2 · (2 + ν) (22 )2 1 · 2 · (1 + ν)(2 + ν)
(−1)m
n = m : a2m = a0
22m m!(1 + ν)(2 + ν) · · · (m + ν)
Thus, a solution of the DE is
∞ ∞ ∞
X
n+ν
X
2m+ν
X (−1)m
y= an x = a2m x = a0 2m m!(1 + ν)(2 + ν) · · · (m + ν)
x2m+ν
n=0 m=0 m=0
2
n even

Remark 14. Depending on ν, the solutions obtained by using r = ν and r = −ν may

not be linearly independent. In fact, they are linearly dependent when ν is a positive
integer.

26
Remark 15.
Z ∞
(a) The gamma function Γ(ν) = e−t tν−1 dt, ν > 0 satisfies the following
0
conditions.
(i) Γ(ν + 1) = νΓ(ν)
(ii) Γ(n + 1) = n! for n = 0, 1, 2, . . . .
(b) It was shown that
∞
ν
X (−1)m x2m
y = a0 x
m=0
22m m!(1 + ν) · · · (m + ν)

is a Frobenius solution of the equation.

1
If we choose a0 = ν , where Γ(ν + 1) is the gamma function, we have a
2 Γ(ν + 1)
solution of Bessel’s equation in the form
∞
X (−1)m  x 2m+ν
Jν (x) = .
m=0
m!Γ(ν + m + 1) 2

This is called the Bessel’s function of the first kind of order ν.

cos(νπ)Jν (x) − J−ν (x)
(c) Another function, Yν (x) = , is a second linearly indepen-
sin(νπ)
dent solution of the Bessel’s equation; it is called the Bessel’s function of the
second kind of order ν.
(d) So, for any value of ν, the general solution of Bessel’s equation on (0, ∞) can be
written as
y = c1 Jν (x) + c2 Yν (x).

Example 25. Express the GS of the Bessel’s equation

 
00 1 0 4
y + y + 1 − 2 y = 0.
x x

in terms of Bessel’s functions of the first kind, Jν (x), and the second kind, Yν (x).

Answer. y = c1 J2 (x) + c2 Y2 (x).

27
Example 26.

The solutions of many other second order linear ODEs can be expressed in terms of
Bessel’s functions.

Use the change of variables t = λx to find the GS of the parametric Bessel equa-
tion of order ν
x2 y 00 + xy 0 + (λ2 x2 − ν 2 )y = 0

where λ is a positive parameter.

Express your answer in terms of the Bessel functions.

Answer. y = c1 Jν (λx) + c2 Yν (λx)

28
Chapter 4

Fourier Analysis

4.1 Periodic Functions

Definition 4.1.1. A function f (x) is periodic with period p > 0 (or p-periodic)
if f (x + p) = f (x) for all x and x + p in the domain of f ; the smallest value of p
satisfying this condition is called the fundamental period.

Remark 16.

It follows from the definition that

(a) If f has period p, it also has period 2p, 3p, . . . .

(b) The integral of f over a period is independent of the choice of the initial point,
i.e., for any number a, we have
Z a+p Z p
f (x) dx = f (x) dx.
a 0

(c) If f and g have period p, then for any constants a and b, the linear combination

af (x) + bg(x)

also has period p.

29
Example 27.

(a) sin x and cos x are both periodic with periods 2π, 4π, 6π, . . . , the period 2π being
the fundamental period.
(b) tan x is periodic with periods π, 2π, 3π, . . . with fundamental period π.
(c) A constant function is a periodic function with an arbitrary period.

Example 28. A function is defined by

(
1 −1 ≤ t < 0
f (t) = and f (t) = f (t + 2), ∀t ∈ R.
t 0≤t<1

Sketch the graph of y = f (t) for −4 ≤ t < 4.

4.2 Even and Odd Functions

Definition 4.2.1. Even and Odd Functions

(a) f is an even function if its domain contains the point −x whenever it contains
x and if f (−x) = f (x) ∀ x ∈ D(f ).
(b) f is an odd function if its domain contains the point −x whenever it contains
x and if f (−x) = −f (x) ∀ x ∈ D(f ).

Example 29. f (x) = x2 is even since f (−x) = (−x)2 = x2 = f (x).

Example 30. f (x) = x3 is odd since f (−x) = (−x)3 = −x3 = −f (x).

Example 31. sin x is odd since sin(−x) = − sin x.

Example 32. cos x is even since cos(−x) = cos x.

Example 33. The exponential function f (x) = ex is neither odd nor even.

30
Theorem 4.2.1. Properties of Even & Odd Functions

(a) the product of two even functions is even.

(b) the product of two odd functions is even.
(c) the product of an even and an odd function is odd.
(d) The graph of an even function y = f (x) is symmetric about the y-axis.
Hence, once we know the graph on one side of the y-axis, we automatically know
it on the other side.
For example, the graph of y = x2 is symmetric about the y-axis.
(e) The graph of an odd function y = f (x) is symmetric about the origin.
Geometrically, symmetry about the origin occurs if rotating the graph 180◦ about
the origin leaves the graph unchanged.
For example, the graph of y = x3 is symmetric about the origin.
(f) If f is an even integrable function defined on [−L, L], then
Z L Z L
f (x) dx = 2 f (x) dx.
−L 0

(g) If f is an odd integrable function defined on [−L, L], then

Z L
f (x) dx = 0.
−L
Z 2  
2
Example 34. Evaluate |x| 5x9 ex − sin 2x cos 4x + 3 dx.
−2

Answer. 12

31
4.3 Orthogonal Functions

Definition 4.3.1. Orthogonal Functions

Let f and g be two functions defined on an interval [a, b]. An scalar product of f
and g is the number Z b
(f, g) = f (x)g(x) dx.
a
f and g are orthogonal on [a, b] if (f, g) = 0.

Example 35. f (x) = sin x and g(x) = cos 3x are orthogonal on [−π, π].

Definition 4.3.2. Orthogonal Sets

A set of functions {f0 , f1 , f2 , f3 , . . .} is orthogonal on [a, b] if

Z b
(fn , fm ) = fn (x)fm (x) dx = 0 ∀n 6= m.
a

Example 36. {sin x, sin 2x, sin 3x, . . .} is orthogonal on [−π, π]. This is because
Z π
(sin mx, sin nx) = sin mx sin nx dx = · · · = 0 if m 6= n
−π

Definition 4.3.3. Weighted Scalar Product

A set of real-valued functions {f0 , f1 , f2 , f3 , . . .} is orthogonal with respect to a

weight function w(x) > 0 on an interval [a, b] if
Z b
(fm , fn ) = w(x)fm (x)fn (x) dx = 0 ∀ n 6= m.
a

[Definition includes previous definition if we put w(x) = 1.]

Reading Assignment 2.

Verify that S = {1, x2 , cos x} is orthogonal with respect to the weight function w(x) =
x on the interval I = [−1, 1].

32
Answer.

S is orthogonal with respect to w(x) = x on I = [−1, 1] because

Z 1
(a) x · 1 · x2 dx = · · · = 0
−1
Z 1
(b) x · 1 · cos x dx = · · · = 0
−1
Z 1
(c) x · x2 · cos x dx = · · · = 0
−1

4.4 Fourier Series

Lemma 4.4.1. Some Useful Integral Identities

Let m and n be nonnegative integers. Then

Z L
mπx
(a) cos dx = 0 ∀ m = 1, 2, . . .
−L L
Z L
mπx
(b) sin dx = 0 ∀ m = 1, 2, . . .
−L L
Z L
mπx nπ
(c) cos sin x dx = 0 ∀ m, n = 1, 2, . . .
−L L L
Z L
mπx nπ
(d) cos cos x dx = 0 ∀ m 6= n
−L L L
Z L
mπx nπ
(e) sin sin x dx = 0 ∀ m 6= n
−L L L
Z L Z L
2 nπx nπx
(f) sin dx = cos2 dx = L if n 6= 0.
−L L −L L
Lemma 4.4.2. A Complete Orthogonal Set on [−L, L].
 
πx 2πx 3πx πx 2πx 3πx
1, cos , cos , cos , . . . , sin , sin , sin , . . . is a complete orthogo-
L L L L L L
nal set on [−L, L].

33
Definition 4.4.1. Fourier Series Representation

If a function f (x) of period 2L has a Fourier series, then the Fourier series is
∞ 
∗
X nπ nπ 
f (x) = a0 + an cos x + bn sin x
n=1
L L

with the Fourier coefficients given by the Euler formulas

Z L
1
(a) a0 = f (x) dx
2L −L
1 L
Z
nπ
(b) an = f (x) cos x dx
L −L L
1 L
Z
nπ
(c) bn = f (x) sin x dx
L −L L
Remark 17. We may also compute the Fourier coefficients using the following inte-
grals
Z 2L
1
(a) a0 = f (x) dx
2L 0
1 2L
Z
nπ
(b) an = f (x) cos x dx
L 0 L
1 2L
Z
nπ
(c) bn = f (x) sin x dx
L 0 L

34
Example 37.

Find the Fourier series for the triangular wave function defined by
(
0 , −1 ≤ x < 0
f (x) = and f (x + 2) = f (x).
x , 0≤x<1
∞ ∞
∗ 1 2 X cos(2n − 1)πx 1 X (−1)n+1
Answer. f (x) = − 2 + sin nπx.
4 π n=1 (2n − 1)2 π n=1 n

Definition 4.4.2. Fourier Cosine and Sine Series

(a) The Fourier series of an even function f defined on (−L, L) or an even function
of period 2L is the cosine series
∞
X nπ
f ∗ (x) = a0 + an cos x
n=1
L

1 L 2 L
Z Z
nπx
where a0 = f (x) dx and an = f (x) cos dx, n = 1, 2, . . . .
L 0 L 0 L
(b) The Fourier series of an odd function f defined on (−L, L) or an odd function
of period 2L is the sine series
∞
X nπ
f ∗ (x) = bn sin x
n=1
L
Z L
2 nπx
where bn = f (x) sin dx, n = 1, 2, . . . .
L 0 L
Example 38. Fourier series of an odd function

Find the Fourier series for the periodic square wave function defined by
(
−1 , −π ≤ x < 0
f (x) = and f (x + 2π) = f (x).
1 , 0≤x<π
∞ ∞ ∞
∗
X nπ 2 X 1 − (−1)n 4 X sin(2n − 1)x
Answer. f (x) = bn sin x= sin nx = .
n=1
L π n=1 n π n=1 2n − 1

35
4.5 Fourier Expansions in a Finite Interval

Definition 4.5.1. Full-range Series

Suppose the given function f is defined only over the finite interval [0, p]. Then to
obtain a full-range Fourier series representation of f (i.e., a series consisting
of both cosine and sine terms), we define the periodic extension g of f by
(
f (x) , 0<x<p
g(x) = .
g(x + p) , elsewhere

Then the Fourier series of g will be representative of f within the given interval.

Exercise 2. Find a full-range Fourier series expansion of f (x) = x valid in the finite
interval 0 < x < 4.

Answer. Here p = 2L = 4.
∞
∗ 4h πx 1 1 3πx i 4 X sin nπx
2
f (x) = 2 − sin + sin πx + sin + ··· = 2 − .
π 2 2 3 2 π n=1 n

Definition 4.5.2. Half-range cosine and sine series

(a) Let f (x) be a function defined only on the finite interval (0, L).
The even periodic extension of f is the function f1 defined by
(
f (x) , 0<x<L
f1 (x) = and f1 (x + 2L).
f (−x) , −L < x < 0

Then the Fourier series of f1 is a cosine series. It is called the half-range

cosine series expansion of f .
That is, the half-range cosine series expansion of f is the cosine series
∞
X nπx
f ∗ (x) = a0 + an cos
n=1
L
Z L Z L
1 2 nπx
where a0 = f (x) dx and an = f (x) cos dx, n = 1, 2, . . . .
L 0 L 0 L

36
(b) Let f (x) be a function defined only on the finite interval (0, L).
The odd periodic extension of f is the function f2 defined by
(
f (x) , 0<x<L
f2 (x) = and f1 (x + 2L).
−f (−x) , −L < x < 0

Then the Fourier series of f1 is a sine series. It is called the half-range sine
series expansion of f .
That is, the half-range sine series expansion of f is the sine series
∞
∗
X nπx
f (x) = bn sin
n=1
L
Z L
2 nπx
where bn = f (x) sin dx, n = 1, 2, . . . .
L 0 L
Example 39. A function f (x) is defined within the interval 0 ≤ x ≤ π by
(
x , 0 ≤ x ≤ π/2
f (x) =
π−x , π/2 < x ≤ π

Sketch the graphs of the even and odd (2π-periodic) extensions of f on the interval
(−2π, 4π).

Example 40.

For the function f (x) = 1 defined only in the interval 0 < x < 1, obtain

(a) a half range cosine series expansion

(b) a half range sine series expansion
 
∗ 4 ∗ 1 1
Answer. (a) f1 (x) = 1. (b) f2 (x) = sin x + sin 3x + sin 5x + · · · .
π 3 5

37
Reading Assignment 3. Fourier Cosine Series

Compute the Fourier cosine series for f (x) = 1 + x, 0 < x < π.

Answer. With L = π,
∞ ∞
∗
X nπ X
the Fourier cosine series is f (x) = a0 + an cos x = a0 + an cos nx.
n=1
L n=1
Z L Z π
1 1 π
a0 = f (x) dx = (1 + x) dx = · · · = 1 + .
L 0 π 0 2
Z L Z π
2 nπx 2 2 cos nπ − 1
an = f (x) cos dx = (1 + x) cos nx dx = · · · =
L 0 ( L π 0 π n2
2 (−1)n − 1 − πn4 2 , n odd
= =
π n2 0 , n odd
∞
X ∞
X
∗ π
Hence, f (x) = 1 + 2
+ an cos nx + an cos nx
n odd n even
∞  
π X 4
=1+ + − 2 cos nx
2 n odd
πn
∞
π 4 X cos(2n − 1)x
=1+ − .
2 π n=1 (2n − 1)2

38
Chapter 5

Sturm-Liouville Problems

5.0.1 Review:Some Useful ODEs and Their Solutions.

(a) The characteristic equation of the 2nd order homogeneous linear differential equa-
tion (HLDE) with constant coefficients

ay 00 + by 0 + cy = 0 (1)

is
am2 + bm + c = 0.

When its roots (m1 and m2 ) are real and distinct ,real and equal , or complex con-
jugates (m1 , m2 = α±iβ), the general solutions for x > 0 are, respectively,
(i) y = c1 em1 x + c2 em2 x .
(ii) y = c1 em1 x + c2 xem1 x .
(iii) y = eαx (c1 cos βx + c2 sin βx) .
Remark 18.
As a rule, the exponential form y = c1 e−kx + c2 ekx of the general solution y 00 −
k 2 y = 0, k > 0, is used when the domain of x is an infinite or semi-infinite
interval; the hyperbolic form y = c1 cosh kx + c2 sinh kx is used when the domain
of x is a finite interval.

39
(b) The auxiliary equation of the second-order Cauchy-Euler equation

ax2 y 00 + bxy 0 + cy = 0

is am(m − 1) + bm + c = 0.
When its roots (m1 and m2 ) are real and distinct ,real and equal , or complex con-
jugates (m1 , m2 = α±iβ), the general solutions for x > 0 are, respectively,
(i) y = c1 xm1 + c2 xm2
(ii) y = c1 xm1 + c2 xm1 ln x
(iii) y = xα [c1 cos(β ln x) + c2 sin(β ln x)]
(c) The general solution of the parametric Bessel equation

x2 y 00 + xy 0 + (λ2 x2 − ν 2 )y = 0

is y = c1 Jν (λx) + c2 Yν (λx).
(d) Legendre’s equation

(1 − x2 )y 00 − 2xy 0 + λy = 0

has a solution y(x) that is continuous on [−1, 1] only if λ = n(n + 1) where n is a

nonnegative integer. In this case, y(x) is a constant multiple of the nth Legendre
polynomial Pn (x). Moreover, these are the only solutions of Legendre’s equation
that are bounded at x = ±1.
The first several Legendre polynomials are
P0 (x) = 1, P1 (x) = x,
1 1
3x2 − 1 , 5x3 − 3x ,



P2 (x) = P3 (x) =
2 2
1 4 2 1
63x5 − 70x3 + 15x .



P4 (x) = 35x − 30x + 3 , P5 (x) =
8 8

40
Example 41. A Sturm-Liouville Problem

Find the values of λ (eigenvalues) and the corresponding nontrivial solutions (eigen-
functions) of the following boundary value problem (Sturm-Liouville problem)

y 00 + λy = 0, y(0) = y(L) = 0.
nπx
Answer. The eigenfunctions of the BVP are yn (x) = sin with the corresponding
L
n2 π 2
eigenvalues λ = λn = , n = 1, 2, 3, . . ..
L2
Remark 19.

(a) The eigenfunctions are orthogonal wrt the weight function w(x) = 1 on the in-
terval [0, L] in the sense that
Z L Z L
nπx mπx
yn (x)ym (x) dx = sin sin dx = 0, m 6= n.
0 0 L L

(b) If f is piecewise smooth function on [0, L], then we can represent f in terms of
the above eigenfunctions as the series
∞ ∞
X X nπx
f (x) = bn y n = bn sin .
n=1 n=1
L

Of course, this is the half-range sine series of f .

This series expansion is also called the eigenfunction expansion of f .

41
Definition 5.0.3. Generalized Fourier Series

Let {fn } be an infinite (complete) orthogonal set with respect to a weight function
w(x) on [a, b]

The generalized Fourier series of a function f (x) in terms of the fm , if exists, is

the convergent series
∞
X
f (x) = cn fn (x) = c0 f0 (x) + c1 f1 (x) + c2 f2 (x) + · · ·
n=0
Rb
(f, fn ) a
w(x)f (x)fn (x) dx
where cn = = Rb , n = 0, 1, 2, . . . .
(fn , fn ) w(x)f 2 (x) dx
n
a
Remark 20. If the fm are eigenfunctions of a Sturm-Liouville problem, we also refer
to the above series as an eigenfunction expansion of f .

Definition 5.0.4. Fourier-Bessel Expansion

The Fourier-Bessel series of a function f defined on the interval (0, b) is given

by
∞
X
(a) f (x) = ck Jn (λk x) where
k=1
Z b
2
ck = 2
xJn (λk x)f (x)dx
b2 Jn+1 (λk b) 0

and the λk are defined by Jn (λb) = 0.

∞
X
(b) f (x) = cn Jn (λk x) where
k=1
b
2λ2k
Z
ck = 2 2 xJn (λk x)f (x)dx
(λk b − n2 + h2 )Jn2 (λk b) 0

and the λk are defined by hJn (λb) + λbJn0 (λb) = 0.

∞
X
(c) f (x) = c0 + ck J0 (λk x) where
k=1
Z b Z b
2 2
c0 = 2 xf (x)dx, ck = 2 2 xJ0 (λk x)f (x)dx
b 0 b J0 (λk b) 0

and the λk are defined by J00 (λb) = 0.

42
Remark 21.

(a) The general solution of the parametric Bessel equation

x2 y 00 + xy 0 + (λ2 x2 − n2 )y = 0, n = 0, 1, 2, . . .

is y = c1 Jn (λx) + c2 Yn (λx) .
(b) Because lim Yn (x) = −∞, the Bessel functions Jn (λi x), i = 1, 2, 3, . . . are the
x→0+
solutions of this DE that are continuous (together with their derivatives) on a
closed interval [0, b] when the eigenvalues λi are defined by means of a boundary
condition of the form

cJn (λb) + dλJn0 (λb) = 0. (5.1)

For any choice of c and d , not both zero, it is known that (5.1) has an infinite
number of roots xi = λi b.
(c) Orthogonality of Bessel Functions
The Bessel functions Jn (λi x), i = 1, 2, 3, . . . are orthogonal with respect to the
weight function w(x) = x on the interval [0, b]:
Z b
xJn (λi x)Jn (λj x)dx = 0, i 6= j.
0

Example 42. Expansion in a Fourier-Bessel Series

Expand f (x) = x, 0 < x < 3, in a Fourier-Bessel series, using Bessel functions of

order 1 that satisfy the boundary condition J1 (3λ) = 0.
Z
[Hint: Use the substitution t = λn x and xp+1 Jp (x)dx = xp+1 Jp+1 (x) + C.]

Answer.
∞ Z 3
X 2 2
f (x) = ck J1 (λk x), ck = 2 2 x2 J1 (λk x)dx = .
k=1
3 J2 (3λk ) 0 λk J2 (3λk )

43
Definition 5.0.5. Fourier-Legendre Expansion

(a) The Fourier-Legendre series of a function f on the interval (−1, 1) is given

by
∞
X
f (x) = an Pn (x),
n=0

where Z 1
2n + 1
an = f (x)Pn (x)dx, n = 0, 1, 2, . . . .
2 −1

(b) If we let x = cos θ, then the Fourier-Legendre series becomes

∞
X
f (cos θ) = an Pn (cos θ)
n=0
Z π
2n + 1
where an = f (cos θ)Pn (cos θ) sin θdθ.
2 0

Remark 22.

(a) The Legendre equation

(1 − x2 )y 00 − 2xy 0 + λy = 0

has a solution y(x) that is continuous for −1 ≤ x ≤ 1 only if λ = n(n + 1) where

n is a nonnegative integer. In this case, y(x) is a constant multiple of Pn (x).
That is, the eigenpairs of this DE are

λ = λn = n(n + 1), y(x) = yn (x) = Pn (x), n = 0, 1, 2, . . .

Note: There are also non-polynomial solutions corresponding to other choices

of λ. However, these solutions are not bounded on [−1, 1].
(b) The Legendre polynomials Pn (x), n = 0, 1, 2, . . . are orthogonal on [−1, 1] with
respect to the weight function w(x) = 1 :
Z 1
Pn (x)Pm (x)dx = 0, n 6= m.
−1

44
Reading Assignment 4. Show that the eigenvalues of the Sturm-Liouville problem

X 00 − kX = 0, X(0) = X 0 (π) = 0
(2n − 1)x
are k = −(2n − 1)2 /4 and that Xn = sin are the corresponding eigenfunc-
2
tions for n = 1, 2, . . . .

Answer. Note that the characteristic equation of X 00 − kX = 0 is m2 − k = 0 whose

√
roots are m = ± k.

We seek nonzero solutions of this problem by considering the following 3 cases: k >
0, k = 0, k < 0.

case 1. Suppose k > 0, say, k = p2 , p > 0.

Then m = ±p and the GS of the DE is X(x) = c1 cosh px + c2 sinh px.

X(0) = 0 ⇒ c1 = 0 and X(x) = c2 sinh px.

X 0 (π) = 0 ⇒ [pc2 cosh px]x=π = pc2 cosh pπ = 0 ⇒ c2 = 0 since p cosh pπ 6= 0.

Thus, the only solution is X(x) = 0. That is, this problem has no positive eigenvalues.

case 2. Suppose k = 0.

Then m = 0 and the GS of X 00 = 0 is X(x) = c1 + c2 x.

X(0) = 0 ⇒ c1 = 0 and X(x) = c2 x.

X 0 (π) = 0 ⇒ [c2 ]x=π = c2 = 0 ⇒ X(x) = 0.

Therefore k = 0 is not an eigenvalue of this problem.

case 3. Suppose k < 0, say, k = −p2 , p > 0.

Then m = ±pi and the GS of X 00 + p2 X = 0 is X(x) = c1 cos px + c2 sin px.

X(0) = 0 ⇒ c1 = 0 and X(x) = c2 sin px.

X 0 (π) = 0 ⇒ [pc2 cos px]x=π = pc2 cos pπ = 0

To avoid the trivial solution X(x) = 0, we assume c2 6= 0, which forces cos pπ = 0 or

 2
2n − 1 2n − 1
p= , n = 1, 2, . . . . Thus k = − .
2 2

45
Combining the results of the 3 cases, we conclude that the eigenvalues of the given
problem are
k = −(2n − 1)2 /4, n = 1, 2, . . .

and that
(2n − 1)x
Xn = sin , n = 1, 2, . . .
2
are the corresponding eigenfunctions.

Reading Assignment 5. Expansion in a Fourier-Legendre Series

Write out first three nonzero terms in the Fourier-Legendre expansion of

(
0 , −1 < x < 0
f (x) = .
1 , 0≤x<1

Answer. The Fourier-Legendre Series is

∞
2n + 1 1
X Z
f (x) = cn Pn (x) where cn = f (x)Pn (x)dx.
n=1
2 −1
Z 1
1 1
Z
1 1
c0 = f (x)P0 (x)dx = 1 · 1dx =
2 −1 2 0 2
Z 1 Z 1
3 3 3
c1 = f (x)P1 (x)dx = 1 · xdx =
2 −1 2 0 4
Z 1 Z 1
5 5 1
3x2 − 1 dx = 0


c2 = f (x)P2 (x)dx = 1·
2 −1 2 0 2
Z 1 Z 1
7 7 1 7
5x3 − 3x dx = −


c3 = f (x)P3 (x)dx = 1·
2 −1 2 0 2 16
1 3 7
∴ f (x) = P0 (x) + P1 (x) − P3 (x) + · · · .
2 4 16

46
Chapter 6

Partial Differential Equations

6.1 Introduction To Partial Differential Equations

Definition 6.1.1. A partial differential equation is an equation that contains

partial derivatives.

Example 43. Some classical examples of PDEs.

(a) 1-D Wave Equation utt = c2 uxx

(b) 1-D Heat Equation ut = c2 uxx
(c) Laplace Equation uxx + uyy = 0

Definition 6.1.2. The general second-order linear partial differential equation in

two variables x and y is an equation of the form

Auxx + Buxy + Cuyy + Dux + Euy + F u = G

where A, B, C, D, E, F and G are given functions of x and y.

A second-order linear partial differential equation in two variables x and y that is not
of the above form is a nonlinear PDE.

(a) The equation is homogeneous if G = 0 for all x and y in the domain of the
equation; otherwise, it is called nonhomogeneous

47
(b) If the coefficients A, B, C, D, E, and F are all constants, then the equation is
said to have constant coefficients; otherwise, it has variable coefficients.

Example 44. Examples of linear and nonlinear equations are

(a) ut = 4uxx (linear)

(b) uxx + uyy + u = sin x (linear)
(c) uux + yuy + u = 0 (nonlinear)
(d) uxx + uyy + u2 = 0 (nonlinear)

Definition 6.1.3. Three Basic Types of Linear Equations

The PDE Auxx + Buxy + Cuyy + Dux + Euy + F u = G is called

(a) parabolic if B 2 − 4AC = 0. Parabolic equations often describe heat flow and
diffusion phenomena, such as heat flow through the earth’s surface.
(b) hyperbolic if B 2 − 4AC > 0. Hyperbolic equations often describe wave motion
and vibrating phenomena, such as violin’s strings and drumheads.
(c) elliptic if B 2 −4AC < 0. Elliptic equations are often used to describe steady state
phenomena and thus do not depend on time. Elliptic equations are important in
the study of electricity and magnetism.

Example 45.

(a) ut − uxx = 0 is a parabolic equation since B 2 − 4AC = 02 − 4(−1)(0) = 0.

(b) uxx + uyy = 0 is an elliptic equation since B 2 − 4AC = 02 − 4(1)(1) = −4 < 0.
(c) utt − uxx = 0 is a hyperbolic equation since B 2 − 4AC = 02 − 4(−1)(1) = 4 > 0.

48
6.2 Solving Partial Differential Equations

Definition 6.2.1. A solution of a PDE in some region R is a function that possesses

all the derivatives occurring in the equation and satisfies the equation.

Remark 23.

PDEs have a large number of solutions and general solutions are not always readily
obtained.Typically, further conditions are imposed to obtain a unique solution.

In practice, one is interested in obtaining the solution of a partial differential equation

in a given region R satisfying given additional conditions, such as initial conditions
(conditions at time t = 0) or boundary conditions (prescribed values of the solution
u or some of its derivatives on the boundary of R) or both.

Example 46. Verify that the function u(x, t) = sin 3t cos x is a solution of the wave
equation utt = 9uxx that satisfies the following boundary conditions

u(x, 0) = 0, ut (x, 0) = 3 cos x.

We can build more complicated solutions for a linear homogeneous PDE using the
following theorem.

Theorem 6.2.1. Superposition Principle

If u1 and u2 are any solutions of a linear homogeneous PDE in some region R, then
the linear combination u = c1 u1 + c2 u2 is also a solution of the PDE.

Remark 24. If the PDE has infinite number of solutions u1 , u2 , . . . , then the linear
combination u = c1 u1 + c2 u2 + · · · = ∞
P
n=1 cn un is also a solution of the PDE.

49
6.3 Separation Of Variables Method

This method reduces a PDE in n independent variables to n ODEs. Then the solutions
of these ODEs are “pieced together” using the Superposition Principle to produce a
solution of the PDE that satisfies the given initial and boundary conditions.

6.3.1 Wave Equation

Vibrations in a membrane or drumhead, or oscillations induced in a guitar string, are

governed by the wave equation.

Example 47. The Vibrating String Problem

(a) The vertical displacement u(x, t) of a string stretched between the points x = 0
and x = L is governed by the wave equation

utt = c2 uxx , 0 < x < L, t > 0. (6.1)

Using separation of variables, solve for u(x, t) subject to the boundary conditions

u(0, t) = 0, t > 0 (fixed at the end x = 0); (6.2)

u(L, t) = 0, t > 0 (fixed at the end x = L); (6.3)

and the initial conditions

u(x, 0) = f (x), 0 < x < L (given initial displacement); (6.4)

ut (x, 0) = g(x), 0 < x < L (given initial velocity). (6.5)

(b) (i) Find the solution when g(x) = 0.

(
x , 0 ≤ x ≤ L/2
(ii) Find the solution when g(x) = 0 and f (x) = .
L−x , L/2 < x ≤ L

50
Answer.

The solution is
∞  
X cnπt cnπt nπx
(a) u(x, t) = An cos + Bn sin sin where
n=1
L L L
Z L Z L
2 nπx 2 nπx
An = f (x) sin dx and Bn = g(x) sin dx, n = 1, 2, . . . .
L 0 L cnπ 0 L
∞
X cnπt nπx
(b) (i) u(x, t) = An cos sin where
n=1
L L
Z L
2 nπx
An = f (x) sin dx, n = 1, 2, . . . .
L 0 L
∞
4L X 1 nπ cnπt nπx
(ii) u(x, t) = 2 2
sin cos sin
π n=1 n 2 L L
 
4L cπt πx 1 3cπt 3πx 1 5cπt 5πx
= 2 cos sin − 2 cos sin + 2 cos sin − ··· .
π L L 3 L L 5 L L

6.3.2 Heat Equation

Suppose we have a one-dimensional rod of length L (extending from x = 0 to x = L)

for which we make the following assumptions:

(a) The rod is made of a single homogeneous conducting material.

(b) The rod is laterally insulated (heat flows only in the x-direction).
(c) The rod is thin (the temperature at all points of a cross section is constant).

Then the temperature u(x, t) with position x and time t in the rod must satisfy the
one-dimensional heat equation

ut = c2 uxx .

Here the constant c2 is the thermal diffusivity of the material.

51
In two (or three) space dimensions, the heat equation is

ut = c2 ∇2 u,

where
∇2 u = uxx + uyy (or uxx + uyy + uzz = 0)

is the Laplacian of u.

Example 48. Ends of the Rod Kept at Temperature Zero

The solution of the one dimensional heat boundary value problem

ut = c2 uxx , 0 < x < L, t > 0

u(0, t) = 0, t>0
u(L, t) = 0, t>0
u(x, 0) = g(x), 0<x<L

gives the temperature in a thin rod of length L with an initial temperature g(x). The
ends of the rod are held at zero degrees.

Find the temperature u(x, t) if L = 2 and g(x) = 5 sin 2πx − 2 sin 3πx.

You may assume the result that the eigenvalues of the Sturm-Liouville problem

X 00 − kX = 0, X(0) = X(L) = 0

are
n2 π 2
k=− , n = 1, 2, . . .
L2
and that
nπx
Xn = sin , n = 1, 2, . . .
L
are the corresponding eigenfunctions.
2 2
Answer. u(x, t) = 5 sin 2πx · e−(2πc) t − 2 sin 3πx · e−(3πc) t .

52
Reading Assignment 6. Heat Equation : Homogeneous (Zero) BCs

Use the method of separation of variables to solve the heat-conduction equation

ut = uxx , 0 < x < π, t > 0 (6.6)

in a slab subject to the boundary conditions

u(0, t) = 0, t>0 (6.7)

ux (π, t) = 0, t>0 (6.8)
1 5
u(x, 0) = 3 sin x − sin x, 0 ≤ x ≤ π (6.9)
2 2
Record all your arguments in detail. You may assume the result that the eigenvalues
and corresponding eigenfunctions of the Sturm-Liouville problem

X 00 − kX = 0, X(0) = X 0 (π) = 0

are
(2n − 1)x
k = −(2n − 1)2 /4, Xn = sin , n = 1, 2, . . . .
2
Remark 25.

This BVP can be thought of as a model of heat flow in a rod of length π whose one
end (at x = π) is insulated. The solution u(x, t) then represents the temperature of
1 5
the rod when the initial temperature is 3 sin x − sin x.
2 2
Answer.

Step1. [Separate the variables]

Substitute u(x, t) = X(x)T (t) into (6.6):

X 00 T0
XT 0 = X 00 T ⇒ = = k (constant) ⇒ X 00 − kX = 0, T 0 − kT = 0
X T
(6.7)⇒ u(0, t) = X(0)T (t) = 0 ⇒ X(0) = 0 since T (t) 6≡ 0

(6.8) ⇒ ux (π, t) = X 0 (π)T (t) ⇒ X 0 (π) = 0 since T (t) 6≡ 0

Thus we have two linked homogeneous problems

X 00 − kX = 0, X(0) = X 0 (π) = 0 (6.10)

T 0 − kT = 0 (6.11)

53
Step 2. [Solve (6.10) and (6.11]
(2n − 1)x
The hint says that the corresponding eigenfunctions (6.10) are Xn = sin
2
corresponding to k = −(2n − 1)2 /4 for n = 1, 2, . . . .
(2n − 1)2
With k = −(2n − 1)2 /4, (6.11) becomes T 0 + T = 0, which is an order 1
4
(2n − 1)2
HLDE with constant coefficients whose characteristic root is m = − . Hence,
4
its eigenfunctions are
(2n − 1)2
 
Tn = exp − t .
4

Step 3. [The solution to the entire problem]

∞ ∞ h (2n − 1)2 i
X X (2n − 1)x
Let u(x, t) = An Xn (x)Tn (x) = An sin exp − t .
n=1 n=1
2 4
This satisfies (6.6), (6.7) and (6.8).

To find An , use the initial condition (6.9).

∞
X (2n − 1)x 1 5
(6.9)⇒ u(x, 0) = An sin = 3 sin x − sin x
n=1
2 2 2
(2n − 1)x
Equating the coefficients of sin :
2
A1 = 3, A3 = −1, and all other An = 0.
The solution of the entire problem is
1 5
u(x, t) = 3e−t/4 sin x − e−25t/4 sin x.
2 2

54
6.3.3 Laplace Equation

The steady-state case of the heat equation occurs when ut = 0. In this case, the
heat equation becomes
∇2 u = 0.

This is Laplace’s equation.

So in the context of heat conduction, Laplace’s equation models the steady-state

temperature distribution in a medium.

In addition, Laplace’s equation also occurs in time-independent problems involving

potentials such as electrostatic, gravitational, and velocity in fluid mechanics.

Example 49. Laplace Equation inside a Rectangle

Solve the Laplace equation uxx + uyy = 0 in the rectangle 0 < x < 24, 0 < y < 24
subject to the boundary conditions
u(x, 0) = 0, u(x, 24) = 20, 0 < x < 24
u(0, y) = 0, u(24, y) = 0, 0 < y < 24
∞
80 X sin [(2n − 1)πx/24] sinh [(2n − 1)πy/24]
Answer. u(x, y) = .
π n=1 (2n − 1) sinh(2n − 1)π

55
6.4 Boundary-Value Problems in Other Coordi-
nate Systems

6.4.1 Problems Involving Laplace’s Equation in Polar Coor-

dinates

In the polar coordinate system, we have x = r cos θ, y = r sin θ.

The Laplacian ∇2 u = uxx + uyy then becomes

1 1
∇2 u = urr + ur + 2 uθθ .
r r

Proof. u = u(x, y)

x = r cos θ, y = r sin θ

By using chain rule,

ux = ur rx + uθ θx

uxx = (ur rx )x + (uθ θx )x = (ur )x rx + ur rxx + (uθ )x θx + uθ θxx

(ur )x = urr rx + urθ θx , (uθ )x = uθr rx + uθθ θx

p y
r = x2 + y 2 , θ = tan−1
x
x x 1  y y
rx = p = , θx = 2
− 2 =− 2
2
x +y 2 r 1 + (y/x) x r
r − (x2 /r) y2
 
r − xrx 2 2xy
rxx = 2
= 2
= 3 , θxx = −y − 3 rx = 4
r r r r r
x2 xy y2 y2 xy
uxx = 2
u rr − 2 3
u rθ + 4
u θθ + 3
ur + 2 4 uθ
r r r r r
2 2
y xy x x2 xy
Similarly, uyy = 2 urr + 2 3 urθ + 4 uθθ + 3 ur − 2 4 uθ
r r r r r
1 1
∇2 u = uxx + uyy = urr + ur + 2 uθθ
r r

56
6.4.2 Laplacian in Cylindrical Coordinates

In the cylindrical coordinate system, we have x = r cos θ, y = r sin θ, z = z.

The Laplacian ∇2 u = uxx + uyy + uzz then becomes

1 1
∇2 u = urr + ur + 2 uθθ + uzz .
r r
Example 50. Steady Temperatures in a Circular (Finite) Cylinder

Find the steady-state temperature in a circular cylinder from the BVP :

∂ 2 u 1 ∂u ∂ 2 u
+ + 2 = 0, 0 < r < 2, 0 < z < 4,
∂r2 r ∂r ∂z
u(2, z) = 0, 0 < z < 4,
u(r, 0) = 0, u(r, 4) = u0 , 0 < r < 2.

Z
[Hint: Use the substitution t = λn x and xp+1 Jp (x)dx = xp+1 Jp+1 (x) + C.]

∞
X sinh(λn z)J0 (λn r)
Answer. The solution is u(r, z) = u0
λ sinh(4λn )J1 (2λn )
n=1 n

57
6.4.3 Problems in Spherical Coordinates: Legendre Polyno-
mials

In the spherical Coordinate system, we have x = r cos θ sin φ, y = r sin θ sin φ, z =

r cos φ.

The Laplacian ∇2 u = uxx + uyy + uzz then becomes

2 1 cot φ 1
∇2 u = urr + ur + 2 uφφ + 2 uφ + 2 2 uθθ
r r r r sin φ
or
1 ∂ 2u
     
2 1 ∂ 2 ∂u 1 ∂ ∂u
∇ u= 2 r + sin φ + .
r ∂r ∂r sin φ ∂φ ∂φ sin2 φ ∂θ2
Example 51. Steady Temperatures in a Sphere

The steady-state temperature u(r, φ) in a sphere of radius c is determined from

∂ 2 u 2 ∂u 1 ∂ 2 u cot φ ∂u
+ + + 2 = 0, 0 < r < c, 0 < φ < π
∂r2 r ∂r r2 ∂φ2 r ∂φ
u(c, φ) = f (φ), 0 < φ < π

Solve for u(r, φ).

Hint ; You may assume the following fact:

d2 Φ dΦ
The only solutions of the Legendre equation (1 − x2 ) 2
− 2x + λΦ = 0 that
dx dx
are continuous and have continuous derivatives on the closed interval [−1, 1] are the
Legendre polynomials Pn (x) corresponding to λ = n(n + 1), n = 0, 1, 2, . . . .
∞
X
Answer. The solution is u(r, φ) = An rn Pn (cos φ) where
n=0
Z π
2n + 1
An = f (φ)Pn (cos φ) sin φdφ, n = 0, 1, 2, . . . .
2cn 0

Remark 26. u(r, φ) could also be interpreted as the potential inside the sphere due
to a charge distribution on its surface.

58
Reading Assignment 7. Potential Outside a Sphere

The potential u(r, φ) outside a sphere of radius c is determined from

∂ 2 u 2 ∂u 1 ∂ 2 u cot φ ∂u
+ + + 2 = 0, r > c, 0 < φ < π
∂r2 r ∂r r2 ∂φ2 r ∂φ
u(c, φ) = f (φ), 0 < φ < π

Solve for u(r, φ).

Hint ; You may assume the following fact:

d2 Φ dΦ
The only solutions of the Legendre equation (1 − x2 ) 2
− 2x + λΦ = 0 that
dx dx
are continuous and have continuous derivatives on the closed interval [−1, 1] are the
Legendre polynomials Pn (x) corresponding to λ = n(n + 1), n = 0, 1, 2, . . . .

Answer.

By substituting u = R(r)Φ(φ) into the equation and by separating the variables, we

obtain
r2 R00 + 2rR0 Φ00 + cot φΦ0
=− =λ
R Φ
That is, we obtain

r2 R00 + 2rR0 − λR = 0 (6.12)

sin φΦ00 + cos φΦ0 + λ sin φΦ = 0 (6.13)

Substitute x = cos φ, (6.13) becomes

d2 Φ dΦ
(1 − x2 ) 2
− 2x + λΦ = 0, −1 ≤ x ≤ 1 (6.14)
dx dx

(6.14) is a Legendre’s equation. According to the hint , its only solutions that are
continuous and have continuous derivatives on the closed interval [−1, 1] are the Leg-
endre polynomials Pn (x) corresponding to λ = n(n + 1), n = 0, 1, 2, . . . . Thus the
eigenpairs of (6.14) are

λ = λn = n(n + 1), Φ = Φn = Pn (cos φ), n = 0, 1, 2, . . . .

59
Furthermore, when λ = n(n + 1), the GS of the Euler equation (6.12) is

R = c1 rn + c2 r−(n+1) .

Since u(r, φ) is bounded as r → ∞, we must have c1 = 0 and R = Rn = r−(n+1) .

Hence, un = Rn Φn = r−(n+1) Pn (cos φ) and

∞
X ∞
X
u(r, φ) = A n un = An r−(n+1) Pn (cos φ)
n=0 n=0

is a solution of the given Laplace’s equation.

For it to be the solution of the BVP, it must also satisfy the boundary condition:
X∞
u(c, φ) = f (φ) = An c−(n+1) Pn (cos φ).
n=0

Therefore An c−(n+1) are the coefficients of the Fourier-Legendre series so that

(2n + 1) π
Z
−(n+1)
An c = f (φ)Pn (cos φ) sin φdφ.
2 0

The solution is ∞
X
u(r, φ) = An r−(n+1) Pn (cos φ)
n=0

where Z π
n+1 (2n + 1)
An = c f (φ)Pn (cos φ) sin φ dφ, n = 0, 1, 2, . . . .
2 0

60