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Lecture Notes in Mathematics

Edited by A. Dotd and B. Eckmann

827 Ordinary and Partial Differential Equations

Fifth Conference Held at Dundee, Scotland, March 29 - 31, 1978

Proceedings of the

Edited by W. N. Everitt

Springer-Verlag Berlin Heidelberg New York 1980

W. N. Everitt Department of Mathematics University of Dundee Dundee D1 4HN Scotland

AMS Subject Classifications (1980): 33 A10, 33 A35, 33 A40, 33 A45, 34Axx, 34 Bxx, 34C15, 34C25, 34D05, 34 D15, 34E05, 34 Kxx, 35B25, 35J05, 35 K15, 35K20, 41A60 ISBN 3-540-10252-3 Springer-Verlag Berlin Heidelberg New York ISBN 0-387-10252-3 Springer-Verlag NewYork Heidelberg Berlin This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically those of translation, reprinting, re-use of illustrations, broadcasting, reproduction by photocopying machine or similar means, and storage in data banks. Under 54 of the German Copyright Law where copies are made for other than private use, a fee is payable to the publisher, the amount of the fee to be determined by agreement with the publisher. by Springer-Verlag Berlin Heidelberg 1980 Printed in Germany Printing and binding: Beltz Offsetdruck, Hemsbach/Bergstr. 2141/3140-543210

This volume is dedicated to the life, work and memory of ARTHUR ERD~LYI



These Proceedings form a record of the plenary lectures delivered at the fifth Conference on Ordinary and Partial Differential Equations which was held at the University of Dundee, Scotland, UK during the period of three days Wednesday to Friday 29 to 31 March 1978. The Conference was originally conceived as a tribute to Professor Arthur Erd~lyi, FRSE, FRS, to mark his then impending retirement from the University of Edinburgh. A number of his colleagues,

including David Colton, W N Everitt, R J Knops, A G Mackie, and G F Roach, met in Edinburgh early in 1977 in order to make provisional arrangements for the Conference programme. At this meeting it was

agreed that Arthur Erd~lyi should be named as Honorary President of the Conference. A formal invitation to attend the Conference was issued

to him in the autumn of 1977, and this invitation Arthur Erd~lyi gladly accepted, expressing his appreciation for the thought and consideration of his colleagues. Alas, time, in the event, did not allow of these

arrangements to come about; Arthur Erd~lyi died suddenly and unexpectedly at his home in Edinburgh on 12 December 1977, at the age of 69. Nevertheless it was decided to proceed with the Conference; invitations had been issued to a number of former students, collaborators and friends of Arthur Erd~lyi to deliver plenary lectures. The Conference

was held as a tribute to his memory and to the outstanding and distinguished contribution he had made to mathematical analysis and differential equations.


These Proceedings form a permanent record of the plenary lectures, together with a list of all other lectures delivered to the Conference. This is not the time and place to discuss in any detail the mathematical work of Arthur Erd~lyi. Obituary notices have now been

published by the London Mathematical Society and the Royal Society of London. Those who conceived and organized this Conference are content

to dedicate this volume to his memory. The Conference was organized by the Dundee Committee; E R Dawson, W N Everitt and B D Sleeman. It was no longer possible to follow through the original proposal for naming an Honorary President. Instead, following the tradition

set by earlier Dundee Conferences, those n~med as Honorary Presidents of the 1978 Conference were: Professor F V Atkinson (Canada) Professor H-W Knobloch (West Germany). All participants are thanked for their contribution to the work of the Conference; many travelled long distances to be in Dundee at the time of the meeting. The Committee thanks: the University of Dundee for generously supporting the Conference; the Warden and Staff of West Park Hall for their help in providing accommodation for participants; colleagues and research students in the Department of Mathematics for help during the week of the Conference; the Bursar of Residences and the Finance Office of the University of Dundee. As for the 1976 Conference the Committee records special appreciation of a grant from the European Research Office of the United

States Army; this grant made available travel support for participants from Europe and North America, and also helped to provide secretarial services for the Conference. Professor Sleeman and I wish to record special thanks to our colleague, Commander E R Dawson RN, who carried the main burden for the organization of the Conference. Likewise, as in previous years, we

thank Mrs Norah Thompson, Secretary in the Department of Mathematics, for her invaluable contribution to the Conference.

W N Everitt

C O N T E N T S F. V. Atkinson Exponential behaviour of eigenfunctions and gaps in the essential spectrum .... B. L. J. Braaksma Laplace integrals in singular differential and difference equations ........... David Colton Continuation and reflection of solutions to parabolic partial difference equations ..................................................................... W. N. Everitt Legendre polynomials and singular differential operators ...................... Gaetano Fichera Singularities of 3-dimensional potential functions at the vertices and at the edges of the boundary ......................................................... Patrick Habets Singular perturbations of elliptic boundary value problems .................... F. A. Howes and R. E. O'Malley Jr. Singular perturbations of semilinear second order systems ..................... H. W. Knobloch Higher order necessary conditions in optimal control theory ................... J. Mawhin and M. Willem Range of nonlinear perturbations of linear operators with an infinite dimensional kernel ............................................................ Erhard Meister Some classes of integral and integro-differential equations of convolutional type ............................................................ B. D. Sleeman Multiparameter periodic differential equations Jet Wimp Uniform scale functions and the asymptotic expansion of integrals ............. 251 ................................ 229 151 131 I]5 83 25 1





Lectures ~iven at the Conference which are not represented by contributions to these Proceedings. N. I. AI-Amood Rate of decay in the critical cases of differential equations R. J. Amos On a Dirichlet and limit-circle criterion for second-order ordinary differential expressions G. Andrews An existence theorem for a nonlinear equation in one-dimensional viscoelasticity K. J. Brown Multiple solutions for a class of semilinear elliptic boundary value problems P. J. Browne Nonlinear multiparameter problems J. Carr Deterministic epidemic waves A. Davey An initial value method for eigenvalue problems using compound matrices P. C. Dunne Existence and multiplicity of solutions of a nonlinear system of elliptic equations M. S. P. Eastham and S. B. Hadid Estimates of Liouville-Green type for higher-order equations with applications to deficiency index theory H. GrabmUller Asymptotic behaviour of solutions of abstract integro-differential equations S. G. Halvorsen On absolute constants concerning 'flat' oscillators G. C. Hsiao and R. J. Weinacht A singularly perturbed Cauchy problem Hutson Differential - difference equations with both advanced and retarded arguments


H. Kalf The Friedrichs Extension of semibounded Sturm-Liouville operators R. M. Kauffman The number of Dirichlet solutions to a class of linear ordinary differential equations R. J. Knops Continuous dependence in the Cauchy problem for a nonlinear 'elliptic' I. W. Knowles Stability conditions for second-order linear differential equations M. KSni$ On C~ estimates for solutions of the radiation problem R. Kress On the limiting behaviour of solutions to boundary integral equations associated with time harmonic wave equations for small frequencies M. K. Kwon$ Interval-type perturbation of deficiency index M. K. Kwong and A. Zettl Remarks on Landau's inequality R. T. Lewis and D. B. Hinton Discrete spectra criteria for differential operators with a finite singularity Sons-sun Lin A bifurcation theorem arising from a selection migration model in population genetics M. Z. M. Malhardeen Stability of a linear nonconservative elastic system J. W. Mooney Picard and Newton methods for mildly nonlinear elliptic boundary-value problems R. B. Paris and A. D. Wood Asymptotics of a class of higher order ordinary differential equations H. Pecher and W. yon Wahl Time dependent nonlinear Schrodinger equations system


D. R a c e

On necessary and sufficient conditions for the existence of solutions of ordinary differential equations T. T. Read Limit-circle expressions with oscillatory coefficients R. A. Smith Existence of another periodic solutions of certain nonlinear ordinary differential equations M. A. Sneider On the existence of a steady state in a biological D. C L Stocks and G. Pasan Oscillation criteria for initial value problems in second order linear hyperbolic equations in two independent variables C. J. van Duyn Regularity properties of solutions of an equation arising in the theory of turbulence W. H. yon Wahl Existence theorems for elliptic systems J. Walter Methodical remarks on Riccati's differential equation system

Address list of authors and speakers N. AI-Amood: Department of Mathematics, Heriot-Watt University, Riccarton, Currie, EDINBURGH EH14 4AS, Scotland R. J. Amos: Department of Pure Mathematics, University of St Andrews, The North Haugh, ST ANDREWS, Fife, Scotland G. Andrews: Department of Mathematics, Heriot-Watt University, Ricearton, Currie, EDINBURGH EHI4 4AS, Scotland F. V. Atkinson: Department of Mathematics, University of Toronto, TORONTO 5, Canada B. L. J. Braaksma: Mathematisch Instituut, University of Groningen, PO Box 800, GRONLNGEN, The Netherlands K. J. Brown: Department of Mathematics Heriot-Watt University,

Riccarton, Currie, EDINBURGH EHI4 4AS, Scotland P. J. Browne: Department of Mathematics University of Calgary,

CALGARY, Alberta T2N 1N4, Canada J. Carr: Department of Mathematics Heriot-Watt University,

Riccarton, Currie, EDINBURGH EH14 4AS, Scotland D. L. Colton: Department of Mathematics NEWARK, Delaware 19711, USA A. Davey: Department of Mathematics University of NewcastleUniversity of Delaware,

upon-Tyne, NEWCASTLE-UPON-TYNE NEI 7RU, England P. C. Dunne: Department of Mathematics Heriot-Watt University,

Riccarton, Currie, EDINBURGH EHI4 4AS, Scotland M. S. P. Eastham: Department of Mathematics ~ n r e s a Road, LONDON W. N. Everitt: Department of Mathematics DDI 4HN, Scotland G. Fichera: H. Grabm~ller: Via Pietro Mascagni 7,00199 ROMA, Italy Fachbereich Mathematik, Technisehe Hochschule Darmstadt, D 6100 DARMSTADT, Sehlossgartenstrasse 7, West Germany P. Habets: Institut Mathematique, Universit~ Catholique de Louvain, Chemin du Cyclotron 2, 1348 LOUVAIN LANEUVE, Belgium S. B. Hadid: Department of Mathematics, Chelsea College, Manresa Road, LONDON The University, DUNDEE Chelsea College,


S. G. Halvorsen:

Institute of Mathematics, University of Trondheim, NTH, 7034 TRONDHEIM-NTH, Norway

D. B. Hinton:

Department of Mathematics, University of Tennessee, KNOXVILLE, Tennessee 37916, USA

F. A. Howes:

Department of Mathematics, University of Minnesota, MINNEAPOLIS, Minnesota 55455, USA

G. C. Hsiao:

Department of Mathematics, University of Delaware, NEWARK, Delaware 19711, USA

V. Hutson:

Department of Applied Mathematics, The University, SHEFFIELD Sl0 2TN, England

H. Kalf:

Fachbereich Mathematik, Technische Hochschule Darmstadt, D 6;00 DARMSTADT, Schlossgartenstrasse 7, West Germany

R. M. Kauffman:

Department of Mathematics, Western Wastington University, BELLINGHAM, WA 98225, USA

H. W. Knobloch:

Mathem. Institut der Universit~t, 87 WURZBURG, Am Hubland, West Germany

R. J. Knops:

Department of Mathematics, Heriot-Watt University, Riccarton, Currie, EDINBURGH EHI4 4AS, Scotland

I. W. Knowles:

Department of Mathematics, University of the Witwatersrand, JOHANNESBURG, South Africa

M. K~nig:

Mathematisches Institut der Universit~t MUnchen, D 8 MI~NCHEN 2, West Germany

R. Kress:

Lehrstuhle Mathematik, Universit~t G~ttingen, Lotzestrasse 16.18, GOTTINGEN, West Germany

M. K. Kwong:

Department of Mathematics, Northern Illinois University, DEKALB, Illinois 60115, USA

R. T. Lewis:

Department of Mathematics, University of Alabama in Birmingham, BIRMINGHAM, Alabama 35294, USA

S. S. Lin:

Department of Mathematics, Heriot-Watt University, Riccarton, Currie, EDINBURGH EHI4 4AS, Scotland

M. Z. M. Malhardeen:

Department of Mathematics, Heriot-Watt University, Riecarton, Currie, EDINBURGH EHI4 4AS, Scotland

J. L. Mawhin:

Institut Mathematique, Universit~ Catholique de Louvain, Chemin du Cyclotron 2, 1348 LOUVAIN LANEUVE, Belgium


E. Meister:

Fachbereich Mathematik, Technische Hochschule Darmstadt, 6100 DARMSTADT, Kantplatz I, West Germany

J. W. Mooney:

Department of Mathematics, Paisley College, High Street, PAISLEY, Scotland

R. E. O'Malley Jr:

Program in Applied Mathematics, Mathematics Building, University of Arizona, TUCSON, Arizona 85721, USA

G. Pagan:

Department of Mathematics, Royal Military College of Science, Shrivenham, SWINDON SN6 8LA, England

R. B. Paris:

Centre d'Studies Nuclearies, DP4PFC/STGI, Boite Postale No 6, 92260 FONTENAY-AUX-ROSES, Prance

H. Pecher:

Fachbereich Mathematik, Gesamthochschuie, Gauss-strasse 20, D 5600 WUPPERTAL I, West Germany

D. Rece:

Department of Mathematics, University of the Witwatersrand, JOHANNESBURG, South Africa

T. T. Read:

Department of Mathematics, Western Washington University, BELLINGHAM, Washington 98225, USA

B. D. Sleeman:

Department of Mathematics, The University, DUNDEE DDI 4HN, Scotland

R. A. Smith:

Department of Mathematics, University of Durham, Science Laboratories, South Road, DURHAM, England

M. A. Sneider: D. C. Stocks:

Via A. Torlonia N.12, 00161ROMA,


Department of Mathematics, Royal Military College of Science, Shrivenham, SWlNDON SN6 8LA, England

C. J. van Duyn:

Ryksuniversiteit Leiden, Mathematisch Instituut Wassenaarseweg 80, LEIDEN, Holland

W. H. von Wahl:

Universitat Bayreuth, Lehrstuhl fur Angewandte Mathematik, Postfach 3008, D 8580 BAYREUTH, West Germany

J. Walter:

Institut f~r Mathematik, Universit~t Aachen, 51 AACHEN, Templergraben 55, West Germany

R. J. Weinacht:

Department of Mathematics, University of Delaware, NEWARK, Delaware 19711, USA


J. Wimp:

Department of Mathematics, Drexel University, PHILADELPHIA, PA 19104, U S A

A. D. Wood:

Department of Mathematics, Cranfield Institute of Technology, CRANFIELD Bedford MK43 OAL, England

A. Zettl:

Department of Mathematics, Northern Illinois University, DEKALB, Illinois 60115, USA

E X P O N E N T I A L B E H A V I O U R OF E I G E N F U N C T I O N S AND GAPS IN THE E S S E N T I A L S P E C T R U M F.V.Atkinson U n i v e r s i t y of Toronto I. Introduction. In this paper we obtain c o n d i t i o n s on the c o e f f i c i e n t s in c e r t a i n s e c o n d - o r d e r d i f f e r e n t i a l e q u a t i o n s w h i c h yield c o n c l u s i o n s r e g a r d i n g the spectra of a s s o c i a t e d d i f f e r e n t i a l operators. Such results are p a r t i c u l a r l y w e l l - k n o w n for the case y" + (I - q)y = 0 , 0 ~ t ~ ; (i.i)

we shall c o n s i d e r also the w e i g h t e d case y" + (lw - q)y = 0 , (1.2)

and its v e c t o r - m a t r i x a n a l o g u e y" + again over (IW - Q)y = 0 , y is a column-matrix, and (1.3) W, Q

(0,o~), w h e r e

are square matrices. q, w, W positive, and and Q

It will t h r o u g h o u t be assumed that t , with The w(t)

are continuous functions of


h e r m i t i a n and p o s i t i v e - d e f i n i t e .

c o n c l u s i o n s w i l l m o s t l y be of two kinds, spectrum contains the p o s i t i v e

either that the

I - axis, or that certain

intervals n e c e s s a r i l y contain a point of the e s s e n t i a l spectrum. As a typical result in the first vein we cite that of ~nol ( 3, p.1562), that for r e a l - v a l u e d ( a n'~ bn) q(t), for w h i c h there

is a sequence of intervals b n - an ~ the e s s e n t i a l ~

with ~ 0 , (1.4-5)

, (bn - an )-I ~ q 2 ( t ) d t spectrum associated with

(i.i) c o n t a i n s the

p o s i t i v e semi-axis. the gap theorems for H a r t m a n and P u t n a m

As to the second kind of result, we cite (i.i) o b t a i n e d in the early paper of c o v e r i n g also

(I0); c o n s i d e r a b l e extensions,

h i g h e r - o r d e r scalar equations, series of papers by E a s t h a m

have been given in a recent

(4,5,6). in w h i c h we argue

We exploit here a l i t t l e - u s e d method, s u c c e s s i v e l y between: (i) h y p o t h e s e s on the coefficients, cases over sequences of intervals, (ii) the e x p o n e n t i a l g r o w t h or decay, the h o m o g e n e o u s equation,

imposed in the m o s t general

if any, of solutions of

again over s e q u e n c e s of intervals, and

for the A -value in question,

(iii) a certain quantity the distance of of ~

@(A ), which in some sense measures spectrum. taking the general space functions f(t) case such (1.6) T defined by , (1.7) of locally

from the essential ~ operators

We make this last aspect precise, (1.3). We consider measurable that " 2 ilfll d~f I f*(t)w(t)f(t) With (1.6) we associate dt complex-valued column-matrix

in a hilbert

< co operator

a minimal

(Tf) (t) = w-l(t) (Q(t) f(t) with domain f(t) p (~) D(T)

- f"(t))

the set of continuously support in (0,~).

twice-differentiable that that (1.8) as n -~o~ ,

with compact

We then specify

is the largest number with the property lim inf ii(T {fJ I )fn II ~ ( in D(T) fnx 0 ~(k ) ~ )'

for every


such that,

i fnl I = 1 , In practice

(1.9-10) by taking the fn an ~ of the or

we shall here bound in intervals

to have their support If essential q distance


(an, bn), where

~ ( k ) = 0, we have a standard spectrum. of ~ If ~(~ ) > 0, and (1.2)

characterisation Q is hermitian, ~ (~) (6)).

in (I.I) or

is real, we have that spectrum; (see sequences" 6)

is the

from the essential differs to

this is the basis sequence (ii).

of the method of "singular Our approach method from

from the direct


as used by Eastham ( 4 up the argument theory.

in that we do not argue we see the seems due to (ii) come under

(i) immediately hypotheses

(iii), but make a detour via into two parts, and bring

In breaking different ~nol


to light the connection

with stability

The idea of this argument

(see the text of Glazman ( 8 , 181-183). Implications of the type leading from (i) to of stability The basic y = of E(t) idea is to assooiate,~ (1.3) a function i y*Wy ,

the heading integration.

theory and that of asymptotic in various ways (I.ii) to survey such as

with a solution

y*'y' +

of, roughly



type. We do not attempt

the vast literature

on this topic.

Relevant w i t h real spectrum, satisfying

results linking (iii) to

(ii) and

(iii) are usually stated (i.i) l not in the e s s e n t i a l

in a form going from q(t)

(ii). Thus in the case of and real

b o u n d e d below,

it is known that there m u s t be a n o n - t r i v i a l solution

y(t) = for some ~ >


~t) (see(8)

(1.12) , p. 179), indeed For the o r d i n a r y

0. This is due to ~nol

for the case of the m u l t i d i m e n s i o n a l Laplacian. case the conclusion is due to P u t n a m a s s u m p t i o n s that > q(t) ( i~

w i t h the more special

is also b o u n d e d above, and that

lim sup q(t)

. The s o l u t i o n a p p e a r i n g in (1.12) w i l l of and may be viewed as an eigen-

course be square-integrable,

function a s s o c i a t e d w i t h some initial b o u n d a r y condition. We remark in passing that the c o n d i t i o n b o u n d e d b e l o w ensures that at ~ (i.I) that q(t) be

is in the l i m i t - p o i n t c o n d i t i o n (ii) and (iii) we shall so th

. In w h a t follows, when linking

need similar more general c o n d i t i o n s w i t h the same effect, that the e s s e n t i a l spectrum will be non-vacuous, W e shall w e a k e n the p o i n t w i s e q above to integral analogues, (2);

and p( I ) finite.

s e m i - b o u n d e d n e s s imposed on of the type i n t r o d u c e d by


further e x t e n s i o n s involve sequences of intervals, q q may be seen from

and complex That

(1.12) m a y fail for real u n b o u n d e d

an e x a m p l e c o n s i d e r e d r e c e n t l y by H a l v o r s e n

( 9 ), who p r o v e s

also an interesting result in the converse sense, w i t h o u t b o u n d e d n e s s restrictions, of solutions of orders then ~ namely that if there exists a p a i r O(t-k-i/2), 0(t-k+i/2), where k~ 0.

is not in the e s s e n t i a l spectrum. (ii) and (iii). This and simple i n e q u a l i t i e s

We shall take up first the linking of depends on an integral inequality,

involving sequences. We shall then put this t o g e t h e r w i t h s t a b i l i t y - t y p e i n f o r m a t i o n so as to get results c o n c e r n i n g

( I ), and so on the e s s e n t i a l spectrum. We use the symbol * to indicate the h e r m i t i a n c o n j u g a t e as in (1.6), (i.ii). For a c o l u m n - m a t r i x

t r a n s p o s e of a matrix,

f , we take its n o r m as we take its n o r m as max I Sfl

Ifl = 4(f'f);

for a square m a t r i x

ISI in the o p e r a t o r sense, that is to say If~ = 1 . The identity m a t r i x will

subject to I ; we w r i t e

be d e n o t e d by

Re Q = (Q + Q*)


~ 2

we prove the underlying



for w h i c h we need one-sided over an interval;,this of a result which, in (I) use this inequality with the hypothesis exponential of intervals. as a foundation that in the


on the coefficients

forms the second-order m a t r i x analogue 2n-th order scalar case, was used criteria. In ~ 3 combined we for limit-point ~(k ) ~

over a sequence of intervals, in an integral

0, to yield a sort of sense over sequences for example so the hypotheses,


We then specialise

to make them ~hold over all intervals of a certain length, as to obtain results of a known type on the exponential behaviour, (~) > including pointwise 0; our assumptions (or q(t) real). In behaviour, on ~5 Q(t)

of solutions when Q(t) be

are weaker than the this special in fact the

usual pointwise bounds, hermitian discussion particular additional solutions positive,

and do not require that we continue

so as to complete case; by imposing

the argument of this paper in a further assumptions, when ~ we can prevent

bounds on the coefficients, from behaving exponentially and so force such

is real and to over 0, 7

~ to be in the spectrum. In ~ 6 on the coefficients ~(~) ~ In

we go back to developing a sequence of "large" of "small" intervals,

the full force of the argument, together with

the effect that one-sided restrictions intervals, abstracted ~,o~), of imply a certain degree of exponential we develop more general criteria, spectrum to contain intervals, between the degree of exponential the magnitude as to obtain order results as they overlap, provide hypotheses. Acknowledgements: discussions It is a pleasure a different for

behaviour over sequences ~ 5, for the sequences of arguments so ; in so far (5, 10), but on the

from the large ones. than those of behaviour, ~(~ ) as k over -~

and in ~ 8 C (~)'

we exploit the relation

and stability

the results

agree w i t h those of

approach together w i t h variations to acknowledge


with Prcfessors

W. N. Everitt,

W. D. Evans,

S. G. Halvorsen and A. Zettl, Equations. Acknowledgement

together with the o p p o r t u n i t y

to take part in the 1978 Dundee Comference on Differential is also made to the continued through support of the National Research Council of Canada,


The basic inequality. The following result is very similar to Theorem 1 of where the scalar 2n-th order case was dealt with. Subject W , Q we have hermitian [a, b] let, for positive constants


to the standing assumptions on Lemma i. In the real interval

A 1 and A 2 , and for a continuously differentiable matrix H(t) , there hold the inequalities (b-a)2W(t) ~/ AII, Let the column-matrix and write = max (Re I , 0) , Re Q(t)~/ z(t)

H'(t), (b-a)IH(t) I ~ A 2, (2.1-3)

satisfy a ~ t ~ b, (2.4) (2.5) (2.6)

z" + ( ~ W

- Q) z = 0 ,

v(t) = 6(b-a) -3 I(b - T)(T - a)dT . Then

(zv +2z'v' ~ *w-l.zv"+2z,v, %dt t


C z*Wz dt ,

(2.7) (2.8)

C = 2400! ~ A 1 1 + A1 2 + AI-2A22) .

In the proof which follows, all integrals will be over (a,b); the differential dt will be omitted. We note the estimates 0 ~ v ' ~ 3(b-a)-i/2, Iv"l i 6(b-a) -2 (2.9)

We have first that the left of (2.7) does not exceed Al-l(b-a)2 ~ (zv" + 2z'v')*(zv" + 2z'v')

2Al-l(b-a) 2 I (z*zv"2 + 4(z*'z'v'2)) ~_ 72AI-2 I z*Wz + 8Al-l(b-a) 2 ~ z*'z'v '2 in the (2.10)

Here the first term on the right can be incorporated

required bound (2.7-8). It remains to deal similarly with the second term on the right of (2.10). By an integration by parts, and use of (2.4), we have Iz*'z'v'2 = ~ z * ( ~ W - Q) zv'2 2~z*z'v'v" (2.9) we have - ~ z*H'zv '2 +

Taking real parts, and using Iz*'z'v '2 ~_


(9/4) :(b-a)-2 Iz*Wz

I zv2 z.



Integrating by parts again, we have -' 2 , [z*H'zv = 2 Re~ z*Hz'v '2 + 2 ~z*Hzv'v"

(i/4)[ z*'z'v'2 + 4 I z*H2zv'2 + 18A2(b-a)-4~z*z (2.12) Turning to the last term in (2.11) we have, by (2.9), [z*zv"2 Combining ~ 36(b-a)-4 Iz*z <~ 36(b-a)-2Al-i I z*Wz .

(2.11-12) we obtain

(lj2) Iz. z v 2

{9 +j4 + A1 1(9A22 + 18A2 +

(b-a) -2 ~ z*Wz .


This, together with The same result

(2.10), yields a bound of the form (2.7-8). holds, of course, if v is replaced by l-v. z .

We supplement the above with a pointwise bound for Under the conditions of Lemma 1 we have z(t)v' (t) = ~(z'v' + zv")dT , v~ and so, by a vectorial version of the Cauchy-Schwarz z*(t) z(t)v'2(t) ~ (b-a) I (z'v'+zv")*(z'v'+zv")dt


Using the above estimations we get z*(t) z(t) ~ (b-a) 5(t-a)-2(b-t)-2(A3 ~ + A4) ~ z*Wz at, (2.14)

where A 3, A 4 depend only on AI, A 2 . Again, similar results were proved in ( 1 , p. 170) for the 2n-th order scalar case. 3. Exponential behaviour. We now suppose that the hypotheses of Lemma 1 are satisfied over a sequence of intervals 0 ~a I ~ bI ~ a2 < b2 ~ (ar, br), with . . . . (3.1)

with the same constants AI, A 2 throughout. We will suppose also that 1 is such that ~( I ) ~ 0. We take some non-trivial solution y of (1.3), and write

Wr = Let ~i u

I y*Wy dt . ~T 0 ~ r < s , let the


(0, ~ ( l )), and, for p be defined by t ~ (ar, b s) ,


rs (t)

Urs(t) = 0 , and Urs(t) = in

Urs(t) = y(t), t 6 [br, as],


Urs(t) = (i - Vs(t))y(%),

(ar, b r), (as , b s) vj(t)

respectively, where, as in (2.6),

= 6(bj-aj)-3J (bj - T)(T - aj)d~ .

By the definition of ~! i ) we have that, for given and sufficiently large r , say for. e ~ r O, II(T I )Ursll 2 ~/ ~12 ~ ~u*Wurs rs dt

~12 ~

y*Wy dt

>1 rl 2 ~
vanishes in (br, a s) , we have that


(3.3) (T - t )Urs(t)

On the other hand, by Lemma 1 and the fact that

where C

~)Ursll 2 .<

CCWr + w s)

is as in (2.8). Hence, using (3.3), we have Wr + ws ~ ~12C -I ~ wj, r~ rO . (3.4)

Writing M1 = 1 + FI2C -I , (3.5)

we then deduce from (3.4) that



We distinguish

the two possibilities

In view of (3.4) the first implies that





while the second implies that

wj -~



Thus either (3.7) 6r (3.8) is the case. We next note that it follows from (3.6) that

h__ wj
and so, by (3.4), that


Mlk w m



Wm_ k + win+k Suppose now that ko





is an integer such that ~ 2 k~ ko the sequence


(MI-I)MI k-I

It then follows from (3.9) that if wm is ultimately

. win+k , Wm+2k . . . .


and so is either ultimately according


or else ultimately


to the cases (3.7-8).

Suppose for definiteness claim that there exist

that we have the case (3.7). We such that m ~/ m I , k ~ k1. if

m I , kI wm , if

Wm+ k > We choose m~ mI mI and

so that the sequence k = ko or k = ko+l;

(3.10) is increasing this involves

testing only kI = ko2 ,

a finite number of such sequences, since any k~/ ko2

We can then take in the form

can be represented

nlk o + n2(kol)

, with non-negative


nl~ n 2 . It then

follows from (3.9) that Wm+k > / subject to m ~ Similarly, k+k I , 2k ~ kI . (3.12) in the case (3.8), we can choose integers (M 1 - l)Mlk-i wm (3.11)

m I , kI

so that (3.10) is decreasing if


m I, k ~

kI , and

can then deduce from (3.9) that, subject to (3.12), we have Wm_ k ~/ (M 1 - l)Mlk-lwm . ~ = ~ (k), which measures wm | we set (3.14) (3.13)

We now introduce a quantity

the exponential growth or decay of the \<~ =

lira sup k -1 lim sup ! in Wm+ k - in WmI.~ I ~-9.~ ~ It follows from (3.12-13) that in M 1 = in (1 + ~12C -1)


Our argument may be summed up, with a slight loss of precision, in Theorem 1. Let, in the intervals [ar, br~ AlI, Re Q(t) ~/ Hr'(t), l(br-ar)Hr(t)l~ A2,(3.16) is hermitian and continuously differentiable, be a non-trivial solution of (1.3). Then, with by (3.14), we have (3.17) ~l { (0,~).

(br-ar)2W(t) ~ where and let wm Hr(t) y(t)

given by (3.2) and ~ (~) ~/

in (1 + ~2(~ )c-l).

This follows from (3.15), which holds for any We have discussed the case otherwise trivial. 4. ~>

0 only| the result is

Corollaries regarding global exponential behaviour. We have now completed an argument to the effect that if

suitable conditions are imposed in sequences of intervals, and is not in the essential spectrum, then the solution exhibits exponential behaviour in an integral sense over this sequence of intervals. We shall later use this formulation to derive results about the essential spectrum. At this stage, however it is appropriate to give some more specialised and simpler formulations, including information on pointwise behaviour. We may work in terms of intervals of fixed length if

10 the coefficient certainly us assume of k has a positive Taking lower bound, case and so (1.3), let

for (1.1). that,

the more general A1 ,

for some positive 0 %

W(t) >/ A l I ,

t < oo , holds for any interval that we have,

(4.1) of unit length. T >w 0 , T+l, (4.2)

so that the first of (3.16) For the rest of (3.16) Re Q(t)~/ H'(t, where in H(t, T)

we assume T)

for any ~

, IH(t, T ) I %

A 2, T ~ t

is hermitian (') denotes

and continuously d/dt


t , where 2.

. We have then if k is not in the of (1.3),


Under spectrum

the above assumptions, and 72 > 0 y


is a non-trivial either --> 0 ,


we have for some

e~ty(t) or else


e -2~t I Y2( -c ) d-~ t as t -9 oO from Theorem e2~t We obtain (4.3) from (1.1)



It follows

1 that we have either


or else

I Y2(~)d~


0 .


in view of (2.14). q(t) , the above referred q, or Q extends to in . i,

In the case certain results

, with real

of Putnam,

Snol and others, bound on

since we do not assume The equation on Q(t) (1.3),

a pointwise W(t) = I


and a pointwise by Rigler

bound other

has recently investigations statements

been considered



are due to Kauffman

(12,13). y'(t) . It may


may be made regarding that (4.3)

be seen by means

of (2.13) ea~t

(or (4.5))

imply that



It would not seem

that the corresponding



follows from this. A deduction of this kind may ~ and

indeed be made in the scalar case (1.1), with real real q(t)

; however this will not be needed and we omit the

details. We have in any case, under the conditions of Theorem 2, that for some 72> 0 either -~9 0,

e27JtIly(t)12 + ly.(t)121 or else e



-277tI Iy(~)





. ~0,Oo ). we


Simple conditions for the spectrum to contain

Without at this point seeking the maximum generality,

note that some criteria for this situation are almost immediate. Theorem 3. Let (4.1) hold and, with let -9 0 (5.1) W(t) continuously


T-11olW'(t)Idt as T --~ Oo . Let also ~ IQ(t)~ dt as

~ 0

0 is in the essential


T --> oo . Then every real

spectrum. The hypothesis (5.2) ensures (4.2), and so it is sufficSent solution of (1.3) has the exponential

to show that no non-trivial

behaviour implied by (4.7) or (4.8). To this end one considers the growth or decay of
E' = ~y*W'y *


, as given by (1.11). We find that

. (5,3)

Y*'QY + Y * Q Y

It follows that T-iIfE'E-lldt as --~ 0


T -->oo, which is inconsistent with (4.7) or (4.8)! this

proves the result. In particular, we have the conclusion in the case (1,1) if

12 q(t) some (not necessarily real-valued) p with 1 ~ p < oo q) is in LP(o, ~ ) for

. A recent discussion of this'

situation (with real complex 6. q(t)

is due to Everitt ( 7 )3 spectra for

have been Cc,Bsidered recently by Zelenko (16).

Sequences of large intervals, We now revert to our main line of argument, in which we

consider the behaviour of the coefficients and of solutions over sequences of intervals, rather than over the whole semi-axis. We suppose that conditions are imposed on the coefficients which limit the exponential behaviour of solutions over a sequence of "large" intervals; within these large intervals we wish to be able to select "small" interval, satisfying the requirements of Theorem 1. The principle Theorem 4. with 0 ~ cI <d I G 02 < .... ?(t) / (6.2) 0 , as t-~oo , (6.3) (6.1) is embodied in ~r' drD'

Let there be a sequence of intervals

and a positive, continuously differentiable function such that, on the c r, dr , W(t) ~ ~2(t)l ~'(t)/~2(t) and ~ ,



--~ Oo


r -->o~ ~c r, drY, with R'(t)



R(t), S(t)

be hermitian on the

continuously differentiable, S(t) on the ~cr, dr~ we have Re Q(t) ~/ R ' ( t ) + IR(t)l ~

continuous, and such that


(6.5) (6.6)



I t) dt

<~- K2 ~ ~(t) dt
e -'


13 where Let K I, K 2 ~= are positive constants. ~(~ ) be such that if y(t) is any non-trivial

solution of (1.3), and F(t) = then for any ~ >0 y*'y' + y*Wy , there is an ~ (~ rI such that, for (6.8) r >/r I ,

lln F(t") - in F(t')~ Then for any 6 - > 0

+ @)lTdt,

t', t" ~ ( C r , d r ) . ( 6 . 9 )

we have ~ 2~-" , (6.10)

In (i + ~2D-I) where

D -- lO 4 ~(~, ~12)o---2 ~
Here p is as in (1.8), and D

+ 2K22 t.


is a modification

the constant in (2.8); the numerical

constants are of course

not precise, and are inserted only to make plain their independence of the other parameters. similar in nature to ~ The quantity ~ is

in (3.14), or to Lyapunov exponents = 0 , the choice of p = 0 , so that ~-- so

or to the general indices of Bohl. If ~ ~--is arbitrary, and (6.10) shows that If ~

is in the essential spectrum.

0, we choose ~

as to obtain the best upper bound for as order of magnitude is concerned. We use G--to determine the

, at least so far

(am , bm). We may take it that

for some infinite sequence of k-values, f 2 k o - - ~ ~ 7 d t ~ 2(k+l)O ~- , c~ We determine 2k intervals (Ckr, Ck,r+l), Ckl = ck , such that ~k~,~

(6.12) starting with

7 d r - - ~ , r = 1 . . . . . 2k. (6.13) ckw It then follows from (6.7) that at least k of these intervals

must satisfy


ISl~-ldt We specify that the (am , bm)

~< 2K2G--.


are to be those of the intervals k runs through

appearing in (6,13) which satisfy also (6.14) i

a sequence of values satisfying (6.12). This process yields an infinite sequence of intervals (am , bin), which are to be am -9 oo as m -9 oo ,

numbered in ascending order. We shall have since Cr--~ oo as . r -9 ~o

: this follows from (6,4) and the

continuity of y

We next consider the lengths of the


(am, bin). Let ~< bm (6.15)

ly '(t)/72(t)l < Since we have, over ~ a ~ d t = O-- , (am , bm),

~ ' am % t


sup in 7 (t) - inf ln~ (t) and so 7(am) exp (-o--~) ~< 7(t) Hence, by (6.16),


~ ~(am) exp(6--(~ ).


(bin-am) ~ (am)eXp(-6-~) ~-~<(bm-am ) V (am)eXp(~6)' We next calculate admissible values of For AI we need, in view of (6.2), that A I <~_ (bm-am)2~2(t) and so, by (6.17-18), we may take AI = o-2exp( Passing to the remainder of (3.16), we take t Hm(t) = R(t) + ~ S(-~)d-C, so that, by (6.6), (6.14) and (6.16), ]Hm(t)) ~ R(t) + IO2 (~)I~-I(~)S(Y~)IdxZ ~(am) exo(O--~) (KI + 2K2O-" ). , am <~t ~ b m , A I, A 2


in (3,16)..

15 Hence (bm-a m) IHm(t)l~<o-exp(2~--~)(K 1 + 2K2~--) := A 2 . We insert these values in (2.8), and obtain a value (6.19)

Noting that

may have any positive value in (6.15) if we see that for large m we

is suitably large, by (6.3), may replace C

by the value appearing in (6.11).

We now consider (3.14). We must first consider the variation of (bm - am ) with m . We claim that -9 1 (6.20)

I(bmk - am+k)/(b m - am)l 1/k as m, k --~ o~ Ck+ 1 ~ Write now sup I?'(t)/?2(t)l, am < , subject to bm <~ ...

< b m + k ~< dk+ I .


Ck+ l <


dk+ 1

Using (6.17) with notational changes we have lln (bm+ k - am+k ) - in (bm - am)l~ linT(am+ k ) - in ~ ( a m ) l + 2 o ~

by (6.12) and (6.21). This proves (6,20), in view of (6.3) Suppose now that We have trivially that wm ~ (bm - am ) max F(t) , (6.22) y is a non-trivial solution of (1.3).

where the maximum is over ~am, b ~ . opposite sense we denote by (am, bin). We have

For an inequality in the the middle third of ~ y*'y'dt .

(o4 m, ~ m )

~ I F(t)dt g

wm +


We now use ~2.13), which shows that y*'y' dt ~ ClW m ,

16 where C1 does not depend on m ; it is given, apart from a

numerical factor, by the expression in the braces in (2.13). Hence, by (6.23), 3-1(bm - am ) min F(t) ~ Wm(1 + C l) . (6.24)

It follows that, subject to (6.21), lln Wm+ k - in Wml ~ sup in F(t) - inf in F(t) + in (3+3C l) +

+ lln (bm+k-am+k) - in (bm-am) ], where the "sup" and "inf" are over (Ck+ l, dk+l). In view of (6.20), it now follows from (3.14), (6.9) and (6.12) that

We now get (6.10) as a consequence of (3.17). This proves the result of Theorem 4. 7. More on the case that ~0,o~) is in the spectrum.

We go back to the topic of ~ 5, to generalise the approach there given. Whereas in 95 we needed that the solutions should

not grow or decay exponentially when considered over the half-axis, we can now exploit the situation that this is the case over a sequence of "large" intervals. As indicated after the statement of Theorem 4, it is a question of imposing extra hypotheses so as to ensure that ~= 0 in (6.9). The nature of

these extra hypotheses will depend on the stability argument being used. With the technique indicated in (5.3) we have W(t) continuously

Theorem 5. Let (6.1-4) hold and, with differen,tiable, let, as r ~ oo ,

~-21W'1dt = o ~ ~ ~ dtl !


Ie~-ll Qldt o I!Jd ~. = .

Then every real ~ ~/0 is in the spectrum.


Suppose that ~ is real and positive. equally use

In (6.9) we may


instead of

F(t), and so we have (6.9) with

This follows from (1.11) satisfies E(t) ~

= of~,dt


as given by

(7.1-2) and (5.3) since E(t)

ly'(t)l 2 + ~ ~ 21y(t)} 2


In particular, in the weaken (1.5) to (bn - an)-l ~

v criterion (1.4-5) of Snol we may


--~ 0 , q(t) Q

(7.5) be real-valuedl

and dispense with the requirement that it was not required in Theorem 5 that

be hermitian.

In a second example, we work in terms of an integral of Q(t) take rather than its pointwise values. For simplicity, we now Q(t) hermitian. R(t)

Theorem 6. Let (6.1-4) held, and also (7.1). Defining in the ~c r, dr~ by

R(t) = where Q ~ Q(x= )d~ ~ , Cr~ t ~ dr ' (7.6) is hermitian, let R(t), as t -~ oo W-~(t)R(t)W~(t) = o ?(t) 0,0). (7.6-7)

. Then the spectrum contains

The proof is similar to that of the last theorem, using this time the Lyapunov or energy function El(t) = yl*y I + ~ y*Wy , Yl = y' - Ry (7.8)

A simple calculation gives

E1 ' = 2 Re (~ y*RWy - Yl*RYl - Yl*R2y) + ~ y*W'y . Hence

+ l,i + x +


18 We then get an analogous result to (7.3). It is easily seen that E1 may replace F in (6.9) when ~\~ 0, in view of (7.6). q

In particular, such that max O ~ h<_ 1

this covers the case of (1.1) with real

j iT+l, t
q(t)dt T


--~ ~o


For example, we can take

q(t) = t sin t 3 . More generally, we T -~ oo through a sequence of

can require that (7.11) hold as

intervals whose length is unbounded. As a further example, we take the case of (1.2) with w continuously twice differentiable, and q continuous and,

for simplicity,

real. For a non-trivial solution we form the

energy-type function 2 _i 2 A E 2 ( t ) = y ' w 2 + ~ y W + yy,w,w-3/2 , ~ for which I E2, = 2yy,qw-~ + y2qw 'w" 3 / 2 + y y , ( w , w - 3 / 2 ) ' Taking ~ real and positive, and assuming that



lw'w-3/ l <
we deduce that

(7.14) l w.w- l +
, with (7.16) as t -9 =6 .

o 0
Theorem 7.


By this means we obtain In a sequence of intervals Fcr , d ~


c ~ w ~ dt let q w-1 -9 O, w'w-3/2--~ 0 and

, w"w-2-9 0

Then the spectrum includes ~ , c O ) . The proof follows the same lines, replacing by F in (6.9)

E 2 . The pointwise conditions imposed in the theorem are

easily generalised to integral conditions.

19 8. Order of magnitude of gaps in the essential spectrum. In the hermitian case, to which we now confine attention, t (~) gives the distance of ~ is real, ~ from the essential spectrum p(~ ) as

and so, if -)Oo ~(~),

the order of magnitude of

will be essentially the same as that of the function the length of a gap with centre /~ in the essential

spectrum~ it is the latter function which has been investigated by Eastham. In a series of papers (see (6)) he has extended earlier results on the relation between this order of magnitude and the continuity and similar properties of the coefficients, The present method, as we have developed it for the second-order case, seems to have similar power to the singular sequence method used in ( 6 ), at least in certain cases. It then

becomes a challenge to develop the stability techniques used here so as to cover the remaining cases obtained by the other method. We consider the matrix case (1.3), with hermitian and consider the order of natural choice of assume that ~" t(X) for large real ~ Q(t), .A

in (6.10-11) is

I / ~ ( ~ )! here we

~(~ ) ~

O, since otherwise the choice of ~5- is We then have ~2 = O(D) ,

immaterial, and

~ ( k ) = O.

and so, explicitly,

Suppose now that, as ~


{~) -- O{X}, 1/~{~) -- O{X).

We c a n t h e n s i m p l i f y (8.1) to


_-0'{~,~ 1 j

{ x }?.

{8..) {8.5}

Such a result will, of course, only be significant if

~ { X } = ocX> .
We proceed to examine some such cases.

20 As in the case of ~ 7, that in which the positive half-axis is in the spectrum, one obtains a variety of results according Using E(t), as in (1.11), Q(t),

to the choice of "Lyapunov function".

we obtain, for the case of (1.3) with hermitian

Theorem 8. Let (6.1-4) hold. Let also (7.12) hold in the modifed form that "small o" 'big 0 ". Then, as ~ -~oo , on the right is replaced by

(~) =
Using ( 5 . 3 )

0 ( ~ ~) .
in the ~r' dr]'


we now find that,

~,=-l= 0(~-21.,i) O(,k-~7-11Q1),

where the last term is not significant, from (8.4). If in (1.3) W(t) is constant, say W(t) = I, then the


The result now follows

first term on the right of (8.7) may be omitted, and we get

In particular, if and w(t)



(8.6) holds for ~he scalar case (1.2)

is bounded above and has a positive lower bound, and q(t) is real

has a continuous bounded derivative,

and bounded. This is

a result of Eastham ( 5 ), who considers

the operator associated with (s(x))-l{ - (d/dx)(p(x)dy/dx)+ q(x)y~ = k y . (8.9)

In this scalar case, one may transform to the situation (1.2) by means of the change of variable then given by s(x)p(x) dt = dx/p(x); w(t) is

. However we omit the details.

We next give results which fill in the range between (8.6) and the weakest significant assertion, namely that

p ( ~ ) = o(1).


We now n e e d y e t a n o t h e r L y a p u n o v - t y p e f u n c t i o n ,


E3(t ) = y*'y' + ~ Y * W l Y where Wl(t) : k r t+ ~"~/~ I W(% )d~.


(8.12) is a positive constant

We now treat the case in which and in which W(t) ~(t) is also bounded above. We write lim sup t -~ max IW(t+s)-W(t)l. 0 < s < ~ -~ (8.13)

Z (k ) =

Simplifying the situation somewhat, we have Theorem 9. Q(t) Let W(t) be continuous and bounded, and let W(t) also have a

be hermitian and bounded. Let


lower bound. Then, as

~ ~ 00 ,

E 3' and so


~ Y*Wl'Y ,'


For the proof we note that = 2 Re { y * ' ( ~ (WI-W) + Q)y~ +

We deduce that


_- 0
W(t) is uniformly continuous, W(t) In

from which the result follows. We get the case (8.10) if and a range of intermediate

cases are given by making

satisfy a HGlder condition with a suitable exponent. particular, condition, we get (8.6) if W(t)

satisfies a uniform Lipschitz

in addition to the hypotheses of Theorem 9. Of course

according to the present method we do not need to impose such conditions for all t , but only on a sequence of intervals

of unbounded lengths. The case (8.10) is among those considered by Eastham ( 5 ), for the case (8.9). For results similar to (8.14) in the scalar

22 case reference may be made to Hartman and Putnam (i0), where the oscillation method is used. As is evident from Eastham's work, a reduction of the order of ~(~ ) depends on more drastic assumptions regarding the

smoothness of the coefficients and, if the present method is used, upon the use of a more developed Lyapunov function. We illustrate this here by obtaining (8.8), the case of bounded gaps, for the scalar case (1.2), with non-constant w(tl). We use now the function assume w(t) E2 given in (7.12), and

twice continuously differentiable, in a sequence

of intervals Kc r, dr~ satisfying (7.16). We have Theorem 10. In addition to (7.16) let w'w -3/2 be bounded on

the ~c r, dr~ , and let I~~lqlw- + lw'lw-3/21 dt = 0 1 1 ~ w ~

r ~" C~




I(~ ) = O (1) In particular, if

as XA --) 00

is bounded from zero and bounded q, w' and w" be bounded on a

above, it is sufficient that

sequence of intervals of unbounded lengths. The result of the theorem follows from (7.15) together with the previous arguments. More elaborate Lyapunov functions than (7.12), involving higher derivatives, have often been used to get, stability theorems (13) . However it is not clear how to extend them to the matrix case (1,3), or how to form them in general.

23 REFERENCES I. F. V. Atkinson, Limit-n criteria of integral type, Proc.Royal Soc. Edinb.(A), 2. 73(1975), 167-198.

I. Brinck, Self-adjointness and spectra of Sturm-Liouville operators, Math. Scand. 7(1959), 219-239.


N. Dunford and J. T. Schwartz, Linear Operators. Part II, (Interscience, New York, 1963).


M. S. P. Eastham0 Gaps in the essential spectrum associated with singular differential operators, Quart. Jour. Math. (Oxford)(2), 18(1967), 155-168.


M. S. P. Eastham, Asymptotic estimates for the lengths of the gaps in the essential spectrum of self-adjoint differential operators, Proc. Yoral Soc. Edinb.(A), 74(1976), 239-252.


M. S. P. Eastham, Gaps in the essential spectrum of evenorder self-adjoint differential operators, Proc. London Math. Soc.(3), 34(1977), 213-230.


W. N. Everitt,

On the spectrum of a second-order linear p-integrable coefficient,

differential equation with a

Applicable Analysis, 2(1972), 143-160. 8. I. M. Glazman, Direct methods of qualitative spectral analysis of singular differential operators, (Israel 1965).

Program for Scientific Translations, Jerusalem, 9.

S. G. Halvorsen, Counterexamples in the spectral theory of singular Sturm-Liouville operators, Mathematies no. 9/74, Matematisk Institutt, Universitet i Trondheim, Trondheim, Norway.

10. P. Hartman and C. R. Putnam, The gaps in the essential spectra of ~ave equations, Amer. Jour. Math. 72(1950), 849-862.

24 ll. R. M Kauffman, On the growth of solutions in the

oscillatory case, Proc. Amer. Math, Soc. 51(1975),49-54 12. R. M. Kauffman, Gaps in the essential spectrum for second order systems, Proc. Amer. Math. Soc. 51(1975), 55-61.

13. A. C. Lazer, A stability condition for the differential equation 193-196. 14. C. R Putnam, On isolated eigenfunctions bounded potentials, associated with 135-147. y" + p(x)y = O, Michigan Math Jour. 12(1965),

Amer. Jour. Math. 82(1950),

15. D. A. R. Rigler, On a strong limit-point condition and an integral inequality associated with a symmetric matrix differential 76(1976), expression, Proc. Royal Soc. Edinb. (A),

155-159 equation with a

16. L. B. Zelenko, Spectrum of SchrGdinger's complex pseudoperiodic Diff. Urav. 12(1976), potential,

Parts I and II,

806-814 and 1417-1426.


0. I N T R O D U C T I O N

In this p a p e r we c o n s i d e r singular d i f f e r e n t i a l e q u a t i o n s


xl-P dy = f(x,y), dx

and d i f f e r e n c e e q u a t i o n s


y ( x p + i) = f(x,y(xP)).

Here p is a p o s i t i v e integer, y ~n and f(x,y) of x and y in a set S X (0; p


6 ~n, f(x,y)

is an a n a l y t i c function

po ) w h e r e S = {x 6 ~

: Ixl > R, e < arg x < 8} and

> O. Assume

(0.3) and (0.4)

f (x,y)

7 ~6I

b (x) y~), w h e r e I = IN

(x) N

[ k=0

-k b k x as x + ~ in S. dy (0.2) b y x p = ~ to e q u a t i o n s for ~

We m a y t r a n s f o r m then

(0.I) and

and y (~+i), but

(0.4) is an e x p a n s i o n in f r a c t i o n a l powers of ~. In general ~ will be a

singular p o i n t of the d i f f e r e n t i a l e q u a t i o n

(0.i) of rank at m o s t p. If D f(x,0) Y I + 0(x -2) as x + ~ then ~ is also a singular p o i n b of the d i f f e r e n c e e q u a t i o n (0.2). The c o n s t r u c t i o n of solutions of (0. I) and (0.2) near the s i n g u l a r p o i n t

o f t e n c o n s i s t s of two parts. I. The c o n s t r u c t i o n of a formal series w h i c h f o r m a l l y satisfies if the formal series for y and the a s y m p t o t i c series for b in (0.3) and For example, (0.1) or (0.2). (0. I) or (0.2)

are s u b s t i t u t e d

in several cases there exists a formal s o l u t i o n of the form



X c m o

-m x


in g e n e r a l

t h i s formal

series d o e s not converge. s o l u t i o n w h i c h h a s t h e formal region. solution

II.The p r o o f t h a t t h e r e e x i s t s a n a n a l y t i c as a s y m p t o t i c this analytic expansion part. the linear case of

as x ~ in a c e r t a i n

We shall c o n s i d e r m a i n l y

First we consider + b(x).

(0.I) a n d

(0.2), w h e r e


= A(x)y +

W e a s s u m e t h a t the n x n - m a t r i x integrals. We c o n s i d e r


and the n - v e c t o r of L a p l a c e


are r e p r e s e n t a b l e

as L a p l a c e

two c l a s s e s

integrals A 1 and A 2 which

w i l l be d e f i n e d a formal w h i c h has

in sect.

i. We w i l l (0.2),

s h o w that if A and b b e l o n g t h e n there

s o l u t i o n of (0.5)

(0.1) or

to A. a n d (0.5) is 3 e x i s t s an a n a l y t i c s o l u t i o n y(x) is such that x-ly(x) as the L a p l a c e is of for A

as a s y m p t o t i c


and w h i c h

and b

class A. w i t h the same h a l f p l a n e s 3 (cf. sect. 2 a n d 3). T h e class A 2 of L a p l a c e factorial solution series of expansions. (0.2)

of c o n v e r g e n c e




of f u n c t i o n s there exists


admit convergent series

The problem whether

a factorial (0.5)

(0.i) or

corresponding solution

to a formal


is i m p o r t a n t directly from

since if the f a c t o r i a l the formal series



it m a y be c a l c u l a t e d

(0.5). the n o n l i n e a r as a L a p l a c e to those case of (0.I) and (0.2). Now we

In sect.

4 and 5 we c o n s i d e r

a s s u m e t h a t f(x,y) which satisfies

is r e p r e s e n t a b l e similar


o f a f u n c t i o n ~(t,y) Also


for the c l a s s e s A 1 and A2. formal integral solution which has (0.5)

in this c a s e w e s h o w t h a t if there e x i s t s a exists a solution expansion. in the form of a L a p l a c e (0.5) we m a y h a v e

then there

(0.5) as a s y m p t o t i c

Instead of



ck x o of (0.i) or (0.2).

-X k

Xk ~ as k

For these



a result


to t h a t for


holds. Solutions of (0.i) and (0.2) in the form of L a p l a c e Trjitzinski, integrals have b e e n S i b u y a and (0.i)

s t u d i e d b y Poincar~, others. Following






([8] - [12]) we t r a n s f o r m (0.2) b y m e a n s of

the d i f f e r e n t i a l


or d i f f e r e n c e



= Yo +

S o

e-xpt w ( t ) d t

into a s i n g u l a r




for w

(here p = I in case of exists in a s u i t a b l e

(0.2)). Banach

We show that a solution space o f a n a l y t i c

o f this i n t e g r a l



with exponential


in a sector.

T h i s leads to a


solution of Volterra

(0.i) or

(0.2) with the d e s i r e d properties. in asymptotics

The r61e of singular [4].

integral equations

has been explained by Erd61yi in sect.

In sect.

6 we give applications (0.i) and

of the results

2-5. Here we show analytic theorem

when formal solutions of solutions

(0.2) exist to w h i c h correspond Also an application

in the sense m e n t i o n e d is given.


to a reduction

for linear equations

Our results are related to the w o r k of Horn Malmquist aleo W a s o w [16], T u r r i t t i n [18],

[8] - [12], T r j i t z i n s k y [7] and Iwano [14],

[17], [15], cf.

Harris and Sibuya

[24, ch. ll]. The linear case of

(0.i) has been investigated differential equations

by W.A. Harof a certain

ris Jr. and myself

in [2], where also functional The differential in [i]. equation

type are considered.

(0.I) where f(x,y)

is a polynomial

in y has been considered

I. LAPLACE INTEGRALS A N D F A C T O R I A L SERIES We shall consider cases w h e r e the differential and difference b equations (0.I) and (0.2) in

(0.3) holds and the c o e f f i c i e n t s

b e l o n g to a class of Laplace inteThey are d e f i n e d as follows: :

grals. We use two classes of Laplace DEFINITION I. Let p be a positive inclusive



@I ~ @2' ~ ~ 0. Let S 1 = {t 6 ~

@i ~ arg t ~ 82 }

the p o i n t 0. Then aI (@i' @2' g' P) is the set of

functions ~ such that I i) t i - p ~ 6 C (SI, ~n) and, if @i < @2' then ~ is analytic o
S 1 of S 1 .

in the interior

ii) ~ iii) ~

(t) = O(1) exp (t) ~ X tO m m=l


as t ~ o n S 1 for all ~i > ~"

t~ -i as t + 0 on SI, where ~ m 6 ~n, m = I, 2. . . .

Let (i.i) Then AI(01, (1.2) G1~ Gi(~) = {x 6 ~ : B @ [@1,@2] such that Re (xPe i@) > g}.

@2' ~' p) is the set of analytic i0 ~(x) = fo + s~e o e -xpt ~ ( t ) d t ~

functions f

f : G1 + ~n such that xGi(~) ,

+ L ~(x), p

where fo ~n and ~ 6 a I (@i' 02' U, P)We now define subsets a 2 (m, ~) and A 2 (~, U) of a I (@, 8, g, i) and ~. Let us agree that a on the set and ana-

A I (@, 8, g, i) where m 6 ~, ~ + 0, ~ ~ 0 and @ = - a r g

function is analytic on a closed set if it is continuous lytic in its interior.


D E F I N I T I O N 2. Let ~ 6 ~, m ~ 0, O = - arg m, H > 0. Let S 2 = $2(~) be the compon e n t of {t E : Ii - e-~t I < I} t h a t c o n t a i n s the ray arg t = @. T h e n a2(~,~) is

the set o f f u n c t i o n s 02: $2(~0) Cn such that: i) 02 is a n a l y t i c on S 2(~). ii) 02(t) = 0 (i) exp (HiItl)as t + ~ on s2(w) for all ~I > ~" is the set of analytic

Let G 2 = G2(~I) = {x E : Re(xe i8) > ~}. T h e n A2(m,~) functions f: G2(U) + Cn w i t h the r e p r e s e n t a t i o n 02 6 a 2 (~,~) and fo 6 ~n.

(1.2) w h e r e p = 1 such that

For short we will o f t e n d e n o t e the classes of Laplace integrals A d e f i n e d a b o v e b y AI, A 2 or A 1 (H), A2(H) if we o n l y w a n t to stress the v a l u e of the

p a r a m e t e r ~. Moreover, we w i l l use a similar d e f i n i t i o n for m a t r i x functions. It is w e l l k n o w n (1.3) (cf. D o e t s c h [3, p.45, 174] that f 6 AI(@I, @2' ~' p) implies

f(x) ~ fo + I m= i

F (m) q)mX-m as x ~

on any c l o s e d subsector of G 1 of the form:


7 - 8 2 + ~ arg x p ~ 7 - 8 1 - E, E > 0. (1.3) holds o n closed subsectors of G I. (1.3) h o l d s

For short we shall say in this case that Conversely,

if f is a n a l y t i c on a closed sector G such that G I C G and

o n G, then f E A 1 (@I' 82' D' P) for some ~ ~ 0. If f E A 2 (~, ~) then f is r e p r e s e n t a b l e by a factorial series (1.4) f(x) = f o + E m=0 m~fm+ I ~ (~ + I) ... , x E G2(~) , (~ + m)

where f

6 ~n if m 6 ~ (cf. D o e t s c h [3, p.221]. m Conversely, if (1.4) holds, then f has a L a p l a c e integral r e p r e s e n t a t i o n

(1.2) w i t h p = I, @ = -arg ~ u n d e r s o m e w h a t weaker c o n d i t i o n s on ~ than in d e f i n i t i o n 2: 02(t) = 0(i) exp (~lltl)


o < e < ~ and 02 is a n a l y t i c in S 2 If f E A2(~, of G2: ~), then

as t ~ o n (~)

IIm ~t I ~ ~ - 6 for all HI > D~"

(1.3) w i t h p = 1 h o l d s as x ~ on any closed subsector if f 6 A2(~, ~) and (1.3)

larg x - O I ~ 7 - ~ (0 < e < z). Conversely,

w i t h p = i holds as x + ~ on

larg x - 6 I < n - g, then we m a y c o n s t r u c t the


(1.4) from the a s y m p t o t i c series: we may e x p a n d each term in (1.3) n o w gives a r e c u r s i o n

(1.4) in an a s y m p t o t i c p o w e r series, c o m p a r i s o n w i t h

formula for the fm+1" A l t e r n a t i v e l y we may w r i t e x -m as a factorial series; s u b s t i t u t i o n in (1.3) and c o m p a r i s o n w i t h (1.4) g i v e s also a r e c u r s i o n f o r m u l a for

fm .For the explicit form of this formula c f . W a s o w [23,p.330] In this w a y w e sum a s y m p t o t i c series for functions in A2(~,~) b y factorial series. This is a useful p r o p e r t y since factorial series converge u n i f o r m l y in half planes. This p r o p e r t y

will be u s e d in the following sections w h e r e we encounter formal p o w e r series solu-


tions w h i c h u n d e r c e r t a i n c o n d i t i o n s are a s y m p t o t i c e x p a n s i o n s of solutions in A2(~,~) and c o n s e q u e n t l y m a y be summed to any d e g r e e of a p p r o x i m a t i o n If m > I, then S 2 ( m w ) C S 2 (~) and so A2(~,~) c A2 by facto-

rial series.

(m~,~). Consequent-(1.4) on G 2

ly factorial series

(1.4) also are r e p r e s e n t a b l e b y factorial series ~ if m > I.

with parameter me instead of

If fl' f2 6 Aj then also fl f2 6 Aj since

q91 ~ %92 6 aj


~9 I, q02 6 aj

2. THE L I N E A R D I F F E R E N T I A L E Q U A T I O N

We n o w c o n s i d e r the d i f f e r e n t i a l e q u a t i o n

(0. I) in the case that it is

linear and that it is a c o u p l e d s y s t e m of a s y s t e m w i t h a s i n g u l a r i t y of the first k i n d and a s y s t e m w i t h a s i n g u l a r i t y of the second kind. To formulate this we p a r t i t i o n n x n - m a t r i c e s along the n I - th row and column w h e r e 0 < n I < n:


Mj h




x n h matrix,

n2 = n

n 1.

A corresponding



vectors f =

after the n I - th component will be used.

N o w consider the system



d__yy A ( x ) y + b(x) = dx

w h e r e p is a p o s i t i v e integer, and c o n c e r n i n g A and b we assume either case I : A, b 6 A I (81' @2' ~' p) or case 2: p = i and A, b 6 A 2 ( ~ , ~). T h e n we have r e p r e s e n t a t i o n s


A(x) = A

+ Lp~(X)


b(x) = b

+ L 8(x) p

and a s y m p t o t i c e x p a n s i o n s




A x-m, b(x) ~ [ m m=0

b m

x -m as x

in closed subsectors o f G 1 in case I and G 2 in case 2. We assume 21 Allm = 0, A 12m = 0, b Im = 0 if m = 0,1,..., p-l; A 0 = 0, (2.4) A 22 + ptI is n o n s i n g u l a r in S in case j o n2 j "



we have


i. Suppose


x- m ~s a formal

solution of (2.1). Then there exists to A I ( 0 I, 0 2 , v, p)in case i and

an analytic solution y of (2.1) which belongs to A 2 ( ~ , ~) in case 2 such that

-m c x m



X 0

as x ~ ~ on any closed subsector of G 1 in case i and of G 2 in case 2. The solution y with these properties
REMARK. In c a s e series 2 we m a y which sum the

is unique.
formal (2.1) solution o n Re (xe l@ ~ c x -m to a c o n v e r g e n t > ~ (cf. sect. i).




Let u

N-I Z 0

-m c x , a partial m

sum of the





d_uu = A ( x ) u dx

+ b(x)

- c(x)


c 6 A. a n d c 1(x) = 0 ( x - p - N ), c 2 (x) = 0(x -N) as x + ~ on c l o s e d s u b s e c t o r s 3 of G.. H e n c e w i t h y - u = v w e g e t x I-p d v = A(x) v + c(x) as e q u a t i o n e q u i v a l e n t 3 dx t o (2.1). So it is s u f f i c i e n t to p r o v e the theorem I in c a s e b h = 0, h = 0, large by integer (cf. .. ., N. W e (1.3)

p + N - i, b 2 = 0, h = 0,I, assume this latter condition

..., N-I

for a s u f f i c i e n t l y

f r o m n o w o n or e q u i v a l e n t l y


m__ 1
(2.6) B(t) ~ Z m=N y of 8m t p as t ~ 0 in Sj, 1 ~h = 0 if N < h < N + p i.

We seek a solution A.. 3 If y = L P

(2.1) w h i c h

is 0 ( x -N)

as x ~ ~,

and which



w is of c k a s s A. t h e n 3



dxd--YY L p =

(-ptw) , A ( x ) y

= Lp(A0w

+ ~ * w).


(2.1) h a s a s o l u t i o n y = L w o f c l a s s A. iff - p t w = A w + ~ * w + P 3 o w 6 a . ( ~ ) . T h i s e q u a t i o n f o r w is a s i n g u l a r V o l t e r r a i n t e g r a l e q u a t i o n . 3 1 l-If t P v 6 C ( S , %n) we d e f i n e 3 (2.8) Tv = (A + p t I) -I o (~ * v).

B an~[



~ = -

(A o

+ p t



the equation

for w

is equivalent to


w = Tw + ~. on A 0 imply that

The assumptions

(2.11) and that (2.12)

(A + p t I) -i = diag {p-lt-iInl,

(A~ 2 + p t In2)-l}

(A 22 + p t I )-i and t(A + 0 n2 o

p t I) -I

are uniformly bounded on S.. So if n I > 0 then T is singular in t = 0. 3 We solve (2.10) in a Banach space V N of functions v : S. ~n such that N 3 -t P v is analytic


in S. and 3 N i-vl~ = sup It p v(t)] t6S. J

_l/lit] e <

Here ~i is a fixed number,

Pl > l/ where p is the parameter

l/ in AI(81,

82, p, p)

or A 2 ( ~ , l/). It is clear that V N is a Banach space with definition will be used for m a t r i x - v a l u e d Since b Aj , it follows from Using (2.9), (2.6), (2.11) and functions.


If.IfN. A similar

(2.2) that 8(t) = 0(e l/lltl) as t + ~

in Sj.

(2.12) we deduce ~ 6 V NA 6 Aj, (2.2) and

Next we show that T maps V N into V N. From the assumption (2.4) we deduce that l h 6 Vp, 2h 6 Vl, h = 1,2. Since



, tm-i = B(k,m) tk+m-I if Re k > 0, Re m > 0,

we see that t p Moreover, (~ * v) I and t if t 6 S. then 3

1- N+--L
P (~ *v) are analytic on S. if v 6 V N. J

_N_ I

I t-l((~ * v) l(t)l < (ll~ll]lp + ]] ~1211 p/ e!/ll t ] Ilvl! N I t - 1 (1 , t p

Hence, by (2.11)



]]{ (Ao + p t i) - 1 ( ~ *

v)}lll N

t~ 1 (tl 1 IIp+ll 2 IIp) tlvtlN


I(~ * v) 2(t) l < II all ie
and therefore

-- - I

-- - I

IIv II N Itp

* tp




+ p t I)-I

(a v ) } 2 1 1 N i sup t6S ]
It p (A 22 o

p < ll~lq 1livll NBc!,~)

+ p t

I ) 1 ln2

Hence exists a





we see of N such

that that

T maps

VN i n t o

VN a n d




K independent

[ITII <Krc~) {r(N+i)}-I


Choosing N > N

N sufficiently l a r g e we see t h a t T is a c o n t r a c t i o n on V N if o . Consequently t h e r e e x i s t s a u n i q u e s o l u t i o n of (2.10) in V N if N > N





we easily

y = 0 ( x -N) Hence,

as x + ~ in c l o s e d if N > N



that y = L w satisfies (2.1) a n d P of G . ] > Z t h e r e e x i s t s a u n i q u e s o l u t i o n y = co + L w subsectors



o f the o r i g i n a l









P w is a n a l y t i c

on S. a n d 3 N-I X m= 1 c m F (m/p)


-- -i -- -I tp + 0(tP ) as t

0 in S. , 3

W (t)

= O(e

) as

~ in

S.. 3

Now the uniqueness solution solution y 6 Aj (~i) y belongs

implies such


w does

not depend

o n N. H e n c e

we h a v e

a unique this




By v a r i a t i o n

of ~i w e

see t h a t

to t h e c l a s s

A. (~).~3


We make the same assumptions as in theorem i except that the cases

i and 2 are modified as follows: Assume

p-i Z h=0 p-i X h=0



x - h ~(xP),--


x - h b~(xP),-"

where ~ ,


h = 0,1 . . . . .



of class A I ( 8 1 , 8 2 ,


I) in case i and of

class A 2 (~,~) in case 2. Then, if 5-~ cm x -m is a formal solution of (2. i), t h e r e exists an analytic solution y(x) holds as x + ~ in
= X ~ - ~" x -h ~ h ( X p) where ~h 6 Aj (p) and 0 (2.5)


--2 - 82 +

e _< p a r g x _< ~

- 81 - e(e

> 0),

where 81 = 82 = - a r g ~ in case 2.

This substitute m a y be s h o w n using a rank reduction scheme of T U R R I T T I N [21]:



x = ~i/p, u(~) = (~o(~) '



v(~) = (~o(~)..... ~p-i (~))T.

Then (2.1) is e q u i v a l e n t du --= d~ to


M ( ~ ) u + v(~),



Z M ~-m, 0 m

M o

1 p

(2.19) power

A1 o

AIo 1
"'"Ao p-I ..... " .A I o "A o o and that 0 is e i g e n v a l u e M 22o is [] case to d i a g { 0 , M 22}O w h e r e and the result follows.



we may


that M has nlP nlp. Hence Mo


of z e r o s

of Mo w i t h nonsingular.

multiplicity So we m a y

is s i m i l a r I to

apply (2.1)

theorem we have p =

In c a s e p = 0 in m a y be t r a n s f o r m e d b y x:

a regular


p o i n t in ~. T h i s o f the

to t h e c a s e

I by dividing

both sides



dy d-~ _ x-i A ( x ) y

+ x-lb(x)

If ~(x)

= x -I A(x), we take Laplace

we have ~

= 0 and I and

so w e n e e d

not partition for

the m a t r i c e s Our results

involved: now give

n I = n, p = transforms


is s a t i s f i e d


r e l a t e d to f o r m a l

series solutions.

3. T H E





we consider

the equation


z ( x p + i) = A(x) z(x p) + b(x)

By means (3.2)

of the substitution z(x) = y ( x I/p)

we transform





y ( ( x p + i) I/p) = A ( x ) y ( x )

+ b(x).

We distinguish

t w o cases.

In c a s e

i we assume:

A, b 6 AI(81, in c a s e

82, p, p) a n d in j:

c a s e 2 w e assume:

p = i, A, b 6 A 2 ( w , p). We a s s u m e

Ao = d i a g (3.4)

{In I' A ~ 2}' blo = 0, A Ibm = 0, b Im = 0 if h = 1,2; m=l, .... i~-i ~ Icos 8 I if 81 ~ @ < ~2;

if k 6 ~ k {0} t h e n 2 k ~ i ~ S j ; ~ A22 -t - e o

I is n o n s i n g u l a r n2 in d e f i n i t i o n

on 8.. 3 j o f sect. i. T h e n we h a v e

H e r e S. a n d G. are d e f i n e d ] ] THEOREM

2. Suppose ~ c x-m is a formal solution of (3.3) a n d Re t is bounded o m above on sj. Then there exists a function y E A I ( 8 I, 82 , u, P) in case i, (3.3) if (xP+l) I/p E Gj and such that _ (3.1)

Y 6 A 2 ( ~ , p) in case 2 which satisfies

with (3.2) is satisfied, and which satisfies of G ]

(2.5) as x ~ on closed subsectors

in case j. The function with these properties is unique.

The proof of is q u i t e s i m i l a r to t h a t o f t h e o r e m i. T h e d i f f e r e n c e is t h a t

PROOF: instead

(2.7) we h a v e y((x p + i) I/p) = L (e -t w(t)) (x) , if P equation (2.10) w i t h (2.8) a n d (xP+l) I/p 6 G.. ] (2.9) n o w r e a d s

Hence the integral



(e -t I - A )-i o and

(~ * w + 8)(t) .

Instead of (3.6)


(2.12) we n o w h a v e { (e -t - I ) - i i n I' (e-tI n2 - A22) -I} o

(e -t I - A )-I = d i a g o

and (3.7) (e-tI n2 are uniformly - A22) -I and t ( e - t I o - A )-i o

b o u n d e d on S.. H e r e w e u s e the f a c t t h a t le-tl ~ as t ~ o n S.. ] ] w i t h t h e s e a l t e r a t i o n s we m a y s h o w t h a t a l l s t e p s in the p r o o f o f t h e o r e m i slight modifications If R e t is b o u n d e d remain valid, and t h e o r e m 2 follows. []


b e l o w o n S. t h e a s s e r t i o n

of theorem

2 does not remain - Ao)-i


In t h i s

c a s e Re t ~ and e !t 0 as t + ~ o n Sj. H e n c e t ( e - t I o n S, (cf. ] (3.6)), and t h e p r o o f o f t h e o r e m

is n o t b o u n d e d in t h i s case.

2 does not go through

If A -I e x i s t s w e m a y m o d i f y t h a t p r o o f o

for t h i s case.

First we may solve


(3.5) in a n e i g h b o u r h o o d global solution majorizing

of 0 in S.. Then the solution may be extended to a 3 in S. (cf. sect. 4.3). We may estimate this solution by ] the right hand side of (3.5) since (e-tI - Ao)-I is bounded in a


of ~ in S.. Applying Gronwall's lemma we get an exponential bound ] for the solution. In this way we get a solution of (3.3) in Aj(p') for some above, since this result

~' > p. We do not present details of the proof sketched is a special However, case of theorem 6 in sect. a result corresponding 5.

to theorem 2 in the case that Re t is of (3.1). Let

bounded below on S. also may be o b t a i n e d by transformation 3 ~(x) = z(l-x). Then ~(x p + i) = A-I(x e ~i/p) ~ w h i c h is of the same type as A2(~, (xp) - A-l(x e ~i/p)

ix e~i/p)

(3.1). We now assume A -I, b 6 AI(8 I, 82' p' p) or (1.2) that

p). Then it is easily seen using


(x e~i/P),


b(x e ~I/p)

6 A 1 (e I + ~, 82 + z, p, p) or A2(-~,


Hence we deduce

from theorem 2 :

T H E O R E M 3. Suppose A -I , b 6 AI(81 , 82, ~, p) in case i and 6 A2(~, p) in case 2.


bounded below on s

(2.3) as x ~ on G. and (3.4) holds in case j, j/= 1,2. Assume R e t i S ] and ~ c x -m is a formal solution of (3.3). Then there exists ] o m a function v E A (6 g~, ~, p) in case I, v 6 A~(,~, ~) in case 2 such that = v((xP-l)l}p)Isat~sfies (3.3) if (xP-l)I/PZ6 Gj and (2.5) as x - on Gj.


This solution is uniquely determined.

Corresponding COROLLARY: to the corollary of theorem 1 in sect. 2 we now have

We make the same assumptions

as in theorem 2 except that the cases 1

(2.17) where ~ , hh, h = 0, 1 . . . . . p - I,

and 2 are modified as follows: Assume belong to Al(el, X~ c x

g2, u, i) in case 1 and to A2(~,

~) in case 2. Then,


ts a formal solution of (3.3), there exists an analytic solution m p-i y(x) = h~0 "x-h ~ h (xp) where ~h 6 Aj and (2.5) holds as x ~ in (2.18) where
81 = 82 = - arg ~ in case 2.

4. THE N O N L I N E A R D I F F E R E N T I A L We consider

EQUATION. equation

the differential


xl-P d_yy = f(x, y)

dx conditions similar to those in sect. 2, S. and 3

in the case that f(x, y) satisfies theorem I. We again consider

two cases j = i or 2 and use the same notation


G 3

as in d e f i n i t i o n

j of sect.

I. A s s u m e integer, p = I in


H. (j = 1 o r 2). L e t Po > 0, p > 0, p a p o s i t i v e ] c a s e j = 2. W e h a v e (4.2) f(x, Y) I= f(Y) fo(y) and t + {Lp~(y, t)} (x), if in ~

(x, y) 6 G.] x A

(0; po ) , = 0 and


P qg(y, t) a r e a n a l y t i c m Z m=l %01n (y)t p

(0; p O ) x Sj, fo(0)


qD(y, t) ~

as t + 0 in S 3 is a n a l y t i c in A (0; po ), m = I, 2, ....

uniformly Moreover,

on A

(0; Do).

Here ~m(y)

if ~I > Z

then there exists 1

a constant

K depending

o n Pl s u c h t h a t



t) l ! K It p we assume

I exp either


on ~

(0; DO) x S O . O H I or h y p o t h e s i s H 2. If

In t h e f o l l o w i n g = (\~i' "''' ~n ) 6


1 = ~n

we d e n o t e

I~I = ~i + "'" + ~n and


(y, t) = ~Ivl%0(Y' t)

and similarly

for ~

f (y). o

~Yl "'" ~nyn

Df w i l l b e the d e r i v a t i v e of f W e use the p a r t i t i o n i n g o o as in sect. 2. O u r m a i n r e s u l t is: THEOREM 4. Suppose A of m a t r i c e s and v e c t o r s

j = I or 2 and in case j:
= diag {O n 22 , A } 22 A + p t I is n o n s i n g u l a r o n S. 3

= Dfo(0)


i II,~ 1
(4.5) {~ %0 (0, t)} 1 = 0 ( t p ) a s t + 0 in S. if ] IvI < p ,


fo(0)} I : 0 if l~l ! P
(4.1) possesses


a formal solution I c x-m. Then there exists a


number ~' > ~ and an analytic solution y o f (4.1) suchlthat y E A 1 (81 , 8 2 , p' , p) in case i and y E A 2 (~, ~') in case 2 and such that closed subsectors of G.. This solution is unique. 3
The proof will be given with estimates, derived, in sect. in s e v e r a l steps: in sect. 4.1 w e g i v e s o m e l e m m a s to (4.1) w i l l be equation exists in (2.5) holds as x + ~


4.2 an i n t e g r a l



in sect.

4.3 w e s h o w t h a t a s o l u t i o n o f t h i s i n t e g r a l 4.4 t h i s s o l u t i o n

a neighbourhood solution solution

o f t = 0, in sect.

will be extended

to a

in S. a n d in sect. 4 . 5 w e e s t i m a t e ] o f (4.1).

the solution

and we obtain the


In section 4.6. we c o n s i d e r some g e n e r a l i z a t i o n s o f t h e o r e m 4.




LEMMA 1. Let P, h and l be positive numbers. T h e n t h e r e

K(n,l) independent of p such ml+h-I P F(ml+h)

exists a positive constant



~ m=0

< K(h,l) m a x (0h-l , e p) .



e s t i m a t e is e v i d e n t for p < i. If p > i, we use the H a n k e l - i n t e g r a l (4.6):

for the g a m m a f u n c t i o n and w e get for the l e f t h a n d side of



(0 +)





(0 +) I e~S ( l - s - 1 ) - i s - h as .

In the last integral w e choose as p a t h o f i n t e g r a t i o n a loop e n c l o s i n g the n e g a t i v e axis and the p o i n t s s = exp (2gni/1), g 6 ~. The r e s i d u e in s = i gives (4.6)

the main c o n t r i b u t i o n to the integral as P + + ~- In this w a y we obtain

L E M M A 2. Let p be a positive number or p = ~ and sj(p) = s~ n ~ 5


j = i or 2. Suppose z 6 c ( s . ( p ) , ~ n)- a n d z is analytic in s.(p). Assume that 3 3


I Z ( t ) i~ M I t l 1-1 exp ( ~ l l t l )
M > O, 1 > O, ~i ~

if t 6 S.(p), ]

0 are constants. Then






MI~I FIUl (1)


Itl I~11-1 e ~lltl

~lfactors zl,


t S.(p),u 6 I,

v2 f a c t o r s z 2 . . . . . . .

~ O, where z * v i s

the convolution o f

factors z .

pROOF: T h e p r o o f e a s i l y follows b y

i n d u c t i o n using


L E M M A 3. Let z satisfy the conditions of lemma 2. Suppose dr6 %n if v 6 I and

there exist positive constants K I and Pl such that


I%I <_ Ki~ 1- I ~ I , ~

d z *~

~, ,~+ o.
Sj (po) , analytic

is uniformly convergent on compact subsets of in S~ (p) a n d




(4.10) vEI

X d~Iz*~(t)

I ~ KoKIk I sup {Ikltl I-I, e kl Itl} eUl Itl i

i f t 6 s j ( p ) , where k 1 = (p~l NnF(1))l/1 and Ko i s a c o n s t a n t only depending on 1.

Moreover, if p = + ~, then

(4.11) P

{ X z*V(t) d 9EI w

} =

X ~El

d (L z) v w P

on {x E ~: Re (xp ei8) > Pl + kl} where the path of integration in the Laplace
integral is arg t = 8.

The proof follows using lemma 2 in combination

with (4.9), and lemma i.

LEMMA 4. Let h be a positive number and S ] (p) i f ~ E I. (4.12)


t l-h ~ (t): sj (p) ~n be analytic in

[qw(t) l ~ Kp~ 191 Ith-ll 2


, if t E S, (p), ~ 6 I,

where K2 and P2 are positive numbers. Then

* *~ (t) z

is analytic in S (p), ]

(4.13) ~EI

I~9 Z*~ (t) I -- K'O K2 k21-h max ([k2tl h-l, elk2tl) e71tl * <

if t 6 Sj(p), where pending only on h and

~ = max (PI' P-)' k. = (Mn r(i)) I/i and K' is a constant dec z z Pl
i. In case p = ~ we have


Lp(~EiX ~

* z*~) = ~EIX (Lpq) (x) (LpZ)V(x) (x)

on {x 6 ~: Re (xPe i@) integral is arg t = e.

> ~ + k2} , where the path of integration in the Laplace

PROOF.We use lemma 2. From (4. 12) and (4.8) we deduce (4.15) ID9 z*W (t) l < *


(Mr (i)) IVl ft

~ o

I(t-T) h-I e


e PIITI dT I -- - - ~ < F(I~ll)

(MF(1)) I~l jltl ~ Itl

h+]~ll-1 B(h,I~ll).


With lemma i the result easily follows.

4.2. REDUCTION OF THE DIFFERENTIAL EQUATION TO AN INTEGRAL EQUATION From hypothesis H. we deduce ] (4.16) fo(y) = [ ~6I b y , (y, t) = <0 [ By(t) Y ~6I ,

if y 6 A ( 0 ; P ) , o (4.17) b t 6 S~ and ] 1 SVfo (0) , ~ ( t )
= m--~ ~v q) ( o , t ) i f 1 ~ 6 I, t 6 Sj .

From Cauchy's formula for derivatives of analytic functions and hypothesis H. we 3 deduce (4.18) -l~i Ib I ~ KoPo[~l , l~(t) l KoP ~ 1 -i ~lltl It~ 1 e ,

where Ko is the maximum of K

(cf. (4.4)) and maxl fo(Y) lon ~ (0;Po)" large.

Let N 6 IN, where N will be chosen later on sufficiently Define UN(X) = N-I X i cm x ' zN(t ) = -m N-I X 1 m -- -i cm {F(m-)} tp -I p

Then u N = LpZ N and uN6J''3


fUN(X) I < Po if Ixl is sufficiently large.Let


x I-p

d d-x U N - f(x, UN(X)) Z 1CmX -m

= gN(x)(4.1) and hypothesis

From the assumption that H. we may deduce that J (4.20) From

is a formal solution of

gN(x) = 0(x-P-N),

g~(x) = 0(x -N) as x + ~ in G.. ]

(4.19) and gN =

(4.17) we may infer with lemmas 3 and 4 Lp YN' - YN (t) = PtZN(t) + ~6ZI { ~ * z*VN + bY zN*m} (t).


These lemmas also imply YN 6 aj(~ 2) for some ~2 > ~ " From

(4.20) we deduce



= 0(tP),YN(t)

O.t{ p

) as

t +0


S.. ]

Substituting y = u N(X) + v in (4.1) we get




dxdV = f(x, uN(x)

+ v)

- f(x, UN(X))

- gN(x).

We show that w E a.(~') ]

(4.23) has a solution v = L P and

w 6 J(v') 3

for some U'

> ~2 iff



= AoW(t)

+ H(ZN, w) (t) - XN(t)

Here (4.25) H(z, w) = 7 ~EI b {(z + w) *~ - z*~ } + E ~6I B * { + w) *~ -z .9} (z .

First we remark that H(z, w) exists for some ~"


in S~ if z, w 6 aj(~') and that H(z, w) Ea=3 ~'') ] > z' on account of lemmas 3 and 4. Moreover, these lemmas imply that (x) = f(x, ~N(X) + v(x)) - f(x, U N(X)) on Gj( ~" ). Hence

L p ( A o W + H(ZN, w)) (4.23) and

(4.24) are equivalent. rearrange the terms .) * w + I vEI {B ~ (Z,.) * W *~ + b w'W},

Next we (4.26)

H(z, w) = ~(z,


e(z,.) (4.27) ~ (z,t)

= DqO(0,.)

{ ~! 3 m ID

f O(0)Z*9 + 9--~ D ~ 9 ~ ( % ")* z *~ } , i


8 (t) +

(v+O) {b +O z *O + O

8 +g ~ z*O} (t) .

We prove this for z = zN and w 6 aj(p').

To this end we use the estimate

, > p, 1


for Z = zN and for z = w wlth ~, replaced by ~ M, and the estimate in ( ~ ) ~ n


J~I+Iol .

, 1 =- - a n d a suitable

Then lemmas 3 and 4 imply that the series

(4.27) converge uniformly

and absolutely on compact sets in S. and that ] -i eP31t I I 1 -i e~31t I I

l~(z N, t) l < MIItP (4.28)

189(Z N, t) I ~ M 1 ( ~ ) I W I I t P

for some ~3 > ~

and a constant M 1 independent

of ~. A second application absolutely


lemma 4 shows that the series in compact ~ets in Sj, and so (4.26)

(4.26) are u n i f o r m l y follows from

convergent on

(4.25) if z = ZN, w 6 aj(pl).


4.3. LOCAL SOLUTION We first solve where S.() 3 (4.29)


EQUATION sp~ce VN(a) of functions w: Sj(e) and ~n

in a Banach

= S. n ~ (0,) 3 I IWlIN = sup {It

such that tl-p w is analytic N P w(t) I: t 6 S 3 ()}.

in S.(c) 3

Here g will be chosen We rewrite (4.30) (4,31) (4.24)

later on, a > 0. as w = Tw, where +ptI) -I H(ZN, w) -I YN " + ~N

Tw = -(A

~N = (Ao + ptI)




(4.5) we deduce

~N 6 V N, so in particular

~N 6 VN(). in the

Choose M 2 > formal (4.32) solution

ICll {F(p-l)} -I +i, where c I is the first coefficient of (4.1). Then i itp i o n S <6 )
3 O

IzN(t)I < (M2-1)


for some sufficiently for w 6 VN() (4.33) In particular of (4.32). We first estimate

small positive

depending i

on N. We consider

H(z, w)

and z 6 V(6) where Itp Ion Sj()]. small, because

V() = {s 6 Vl(e) : Iz(t) I <_ M 2 zN + w 6V(a) if w 6 VN()

and is sufficiently

a and B

defined by


on S (4.5)

0 < <__ i" The estimates

(4.18) , the assumption M 3 independent

(), if z 6 V(E) and 3 and lemmas 3 and 4

imply that there exists a constant i Is(z, t) l<_ M31


of z, t,N and ~J such that


!, I~lh(z, t) l < M 3 if h = 1,2 i -i Itp [, "~6I,

18~(Z, t) I <__ M 3

(Q~) I~I

if z 6 V(),

t 6 Sj(a) N

and 0 < ~ eI. to N


Now choose

> 16M3, N > p. Then we have analogous e(z,.)


(2.15) I (2.16) we have under

I{(Ao + ptI)-I


_< 81 [[WI[N Analogous

Itp to

if w 6 VN(g) , 0 < e <_ el, t 6 Sj(6), the same conditions

z 6 V(g).


N I{(Ao+ ptI) -I ~(z,.) where K' is a constant 0 < s2 ~ E1 such that


* w(t)}21

< K'

I I wl IN [tl p
there exists E2,


of z, w and t. Hence

(4.35) if w ~ VN(), Let L = (4.36) From (4.37) (4.26),

If (AO + P tI)-[ ~(z,.) z 6 V(s),

* W 1 IN


l lwl IN ,

0 < ~ _< E 2 . (cf. (4.31)), and

211~NI I , where the norm is the norm in VN(E 2) N Hi(z , w) = H(Z, w) - ~(z,.) (4.34) . w.

and lamina 4 we deduce 2N I JWllN IlW[IN _ < ,

2L, 0 < e <

Jill(z, w)J < M 4 ltJ p


if t 6 S . ( s ) , z 6 V(e) 3 Here M 4 is a constant

w 6 VN(E), independent 2N

e 2. E so small that 0 < e < ~2'

of z, w, t , g. Choose M4 < i 4

sup It tS. (g) ] and that zN + w 6 V(E)

(Ao + ptI)-ll

if w 6 VN(E) , j lwl JN < 2L. Let D(S) from (4.35)


= {w 6 VN(E):

J lwJ 'iN < L}. Then we deduce

- (4.37)

1 _


II (Ao + ptI)-I D(E).

H(ZN + W, W2

Wl)IIN < : ii w 2 that T maps D(e)

WllIN, into D(). If

if wl, w 2 6 Wl, w 2 6 (4.25). quently

With w I = 0 this implies

D(e), Hence there

then H(ZN, (4.25) and

w 2) - H(ZN, w I) = H(z N + w I, w 2 - w I) in view of (4.38) imply that T is a contraction on D(e). Conse-

exists a unique

solution of w = Tw, so of


in D(E).

4.3. EXTENSION Suppose



EQUATION for some p > 0 (s.-t3o ) and+ (cf.4.2):.

the solution

is known on S.(p)

Choose to 6 S.(p)3 with 21P < jtol Here S + t denotes o sets. We transform decomposition analytic

< P" Let sT3 = s.(p)] N

3 = S~+t3o"

the set S translated

over t . Then S.(p) o 3 (4.24)

and S~ are convex ]

the integral


of u . v for scalar


+ on S. using the following ] u, v continuous on S.(p)G S~ and ] 3

in its interior:



(u ~v)


= {U(to+

.)~ v}

(tl) +




(t I) + R(u,v)(tl),

where (4.40) R(u,v) (tl) t = S o v(t + t I - T)U(T) t 1 o [0, t l ] d~, t I E Sj,

and the paths of integration



t o ] belong




R(U, v) = R(V, u) and R(u, v) only depends Using induction ~k we may show

on the values of u and v on [to, ti].

(to + tl) = k {V(to + ")~ v~(k-l))"

(tl) +

k-I E j=l

{ *(k-l-j) v

* R(v, v~J)}


if k >

2 and v ~ R = R, v ~I ~ R = v ~R. function

From this formula we may deduce satisfy the assumptions


for an n-vector k 6 I, I kl

z whose components

above and

> 2 we have n I





+ tl) -


] I


.)~ z~(k-ej ) } (ti) =

n kl-i z~(k_(j+l)el ) m R(Zl' E E i=i j=l n ~k E Zn n . . . . . l=l

Zl ) (tl) ~J

~kl+ 1 *k I ,kl_ 1 *k 1 Zl+l ~ R(Zl , Zl_l ~-.. Zl ) (tl)

Here e. is the n-vector whose components are zero except for the j-th component ] which is equal to one. From the definition of R and ~ it follows that ~ ( z , t I) is determined on S? by the values of z on S.(p). ] ] If z satisfies (4.7) with ~I = o and 1 = 1 on Sj(p)

then we have from



(4.40) IR(z l, Z~ j) (tl) I _ 2 M j+l (j_l)-------T < PJ if j ~ i, t I E Sj ,

~k 1 *kl_ [ *k 1 IR(z I , Zl_ 1 *--- * z I ) (tl)l

2 2(Mp)



-i {P(kl-l): (kl+ ... + k]_l-l):}

if t I 6 S-. Combining these formulas with (4.41) and (4.8) we see that there ] exists a constant Mo independent of t I and z but depending on p and M such that




tl)II _< ~]-~

, t I C Sj .

Now we transform of

the operator T into an operator ~ on $7. Let w be the solution ]n (4.24)of w = Tw on S.(P)3 (cf.(4.30)). If z 6 C (S~, (~) then we define



(tl) = -(A + p(t + tl)

I) -I {~ ~ z(tl)

+ ~


if t I 6 S~. and
n , ('~-e,)

* z(t I) = ~(ZN,.)*

z(t I) +

[ V61

[ j:l

~j {8 (ZN,.) * w v

* (~-e)

+ b w

] }

(t I) , zj

~ ( t I) : ~(z N, to+ -) % w(t I) ~ R(~(ZN,

.) ,w)(t I) - YN(to + t I) +

E v6I


.) , Rv

(w,.) +

(z N, to+ .) * w *v +

+ R(Sv(z N, Using lemmas 2 and 4, -), W *v) + b v R (w, .) }(tl). (4.28), (4.42) we may deduce that ~ and ~ exist and are

continuous on $7 and analytic in ($7) . These functions only depend on the values 3 ] of w in S. (p). 3 The definitions of T and ~ in (4.30) and (4.43) and (4.39)imply (~) (to+t I) = {~ W(to + ")} (tl) if t16 $73 n (sj(p) -to). Hence w (to + .) is a equation

solution of ~z = z on this set. Since the linear Volterra


z = ~ z has a unique solution in S7 w h i c h is analytic in (sT) O and continuous 3 3 on S~, this solution is a continuation of w(t + .). Denoting this continuation o J also by w(t + .) we see that w = T w on S.(O) U S < b e c a u s e of the relation of T o 3 3 and ~. Varying t o we get a unique solution of w = T w on S_3 (3),z hence on S.. 3 Thus we have shown that (4.24) has a unique solution w in S. w h z c h is continuous o ] on S. and analytic in S.. 3 ]

4.5. E X P O N E N T I A L


FOR THE SOLUTION (4.24) on S,. Let 3 ItI: p}, if p > 0 . for (A + ptI) o -i from

N O W we estimate (4.44) We rewrite

the solution w of

g(p) : sup {lw(t) l: t 6 S., 3 (4.24) in the form

(4.30) and use estimates



for H(ZN,






(4.18), and for ~N f r o m



the f a c t t h a t YN 6 Gj(~2) ( c f . s e c t . 4 . 2 ) . constants M and d such that for

T h e n w e see t h a t t h e r e

exists positive

@ > 1 we have

(4.45) where

g(p) <


(p) ,

( ' r i g ) (p)

= M {eP3 p

+ ~2

d m *m (p) g

d m (p~- - 1 e P B P ) :~ g~m( p } }

m=1 get (4.45) for p > 0.

By c h o o s i n g

> sup {g(p):

p [0,1]}we




p . 1 7 ] we f i r s t

solve v = Ttv.

If u = Llv, 1



= M(x-P3)-I

+ t,~ 5m=2

dmum(x) + M I" (1) ( x - p 3) P




This equation

has a unique

s o l u t i o n u in a n e i g h b o u r h o o d 1

V of ~ w h i c h

is a n a l y t i c

in x I/p, p o s i t i v e u(x) Let V contain

for x > 0, x 6 V and 1 = M x -I + 0 ( x

P) as x p ~ P4 > ~3" T h e n

the halfplane

Re x ~ P4' w h e r e


1 (Lllu) (p) = M + 2 ~

;4~ i~
P4-i ~


{u (x) -Mx-l }dx'

if p > 0. It f o l l o w s 0(exp p4p) as p + +~.

t h a t v is r e a l - v a l u e d , In p a r t i c u l a r


= M

(cf.[3, p.174])

and v(p)

we h a v e g(0)

< v(0). < v(p) if 0 < p < Po a n d


there exists Then (4.45)

Po > 0 s u c h t h a t 0 < g(p) implies

g(po ) = V(Po).

g ( p o ) < (Tlg) (po) < (TlV) (po) which gives a contradiction.

= V(Po)

H e n c e g < v on ]R + and so (P41tl), if t 6 Sj


lw(t) I ~ K .

KO e x p

for some c o n s t a n t


LpW e x i s t s

o n Gj a n d

is a solution




y = UN+

+ L w is a s o l u t i o n of (4.1). In the s a m e w a y as in the p r o o f o f t h e o r e m i we m a y P s h o w y 6 J j ( P 4 ) a n d (2.5) as x ~ o n G . T h i s c o m p l e t e s the p r o o f of t h e o r e m 4. ]


4.6 A G E N E R A L I Z A T I O N In s e v e r a l cases (4.1) h a s f o r m a l -k.K dk x solutions of the form



w h e r e k = (ko, ..., k Re <j > 0 if j = application THEOREM V). ) 6 ~g+1 (g a p o s i t i v e i n t e g e r ) , K = (i, <i, ..., < ) g g i , ..., g and k . < = k o + klKl + ... + k g < g (cf. sect. 6, c a s e s we h a v e the f o l l o w i n g H I . Let generalization of t h e o r e m 4.

In t h e s e

5. A s s u m e



A m = F(~)

Dqgm(0) , b v o = by' b v m _- l__u! F(~)agp q)m(0), m = I, 2 . . . .

and assume
A ll = 0, A 12 = 0 , b1 = 0 if m = 0 ..... p-1 and w 6 I, I~1 + 1,

m (4.49)

~m is n o n s i n g u l a r (4.47) of(4.1) on S I.

A 21 = 0, A 22 + ptI o o



has a formal


then there exists a real number" ~' > ~ and on GI(~') (cf. (l.l))such that

an analytic

solution y = L w P oo
y(x) N y


-k. K dk x

as x + ~ on closed subsectors
PROOF. with The proof is s i m i l a r

of GI(V').

This solution is unique.

4. L e t the set of n u m b e r s magnitude k. K

to t h a t of t h e o r e m

Ikl> i be a r r a n g e d 11, 12,

in o r d e r o f i n c r e a s i n g

of t h e i r r e a l p a r t s to

the s e q u e n c e Then

.... H e n c e 0 < Re I i < R e 12 < as y(x) = Z c

1 m

... and Re Am ~ as m + ~.

(4.47) m a y be r e w r i t t e n N-I = Y i

x- A m . L e t N-I zN = Z i 1 m -i c {F(--m)} -I t p m p In g e n e r a l u N ~ A I. W i t h



c m

-i x m, U N = L p Z N ,

w h e r e N is c h o s e n (4.19) w e d e d u c e giN(X)

in s u c h a w a y t h a t Re IN_ I < Re A N.

= O(x -p-IN),

2 gN(x)

-I = 0(x N)





(4.22) w e n o w h a v e

) as t + 0 in S I

TiN(t)= 0 ( t p N) , T N ( t ) = 0 ( t P N 2 w i t h y = u N + v, v = L p W w e d e d u c e (4.23) -




(4.51) w e m a y


estimate e and 8~ in

(4.27) w i t h lemmas 3 and 4 w i t h 1 = Ii/p. The r e s u l t is

(4.28) w i t h I/p r e p l a c e d b y Ii/p. In sect. 4.3 we a d a p t the d e f i n i t i o n of VN(e) b y r e p l a c i n g N / p b y IN/p (cf. (4.29)). In (4.32) - (4.34) and (4.45) we n o w have to r e p l a c e i/p b y

ii/p and in

(4.37) N/p b y IN/p. W i t h s u c h m o d i f i c a t i o n s the r e a s o n i n g in sect.

4.2 - 4.5 r e m a i n s v a l i d and the p r o o d of t h e o r e m 5 is completed. REMARK. Cases where a formal s o l u t i o n of (4.1) also c o n t a i n s l o g a r i t h m i c terms like

in Iwano [15] m a y be t r e a t e d u s i n g s o l u t i o n s y = L w w h e r e the e x p a n s i o n of w n e a r P the origin c o n t a i n s l o g a r i t h m i c terms.

5. THE N O N L I N E A R D I F F E R E N C E E Q U A T I O N W e n o w c o n s i d e r the d i f f e r e n c e e q u a t i o n (5.1) z(~+l) = f( I/p, z(~))

or e q u i v a l e n t l y w i t h (5.2)

(3.2) :

y((xP+l) I/p) = f(x, y(x)) ,

w h e r e f s a t i s f i e s h y p o t h e s i s H. 3 (5.3) (5.4) A o = Df

(j=l o r 2) as in sect. 4. W e also a s s u m e

(0) = d i a g {Inl, A 22} o o


A 22 - e-tI is n o n s i n g u l a r on S., o n2 3 2k~i ~ S. if k 6 ~ \ { 0 } p + cos 8 > 0 if 81 < @ < e2 3 , _ A 22 o is n o n s i n g u l a r if Re t is b o u n d e d b e l o w on S.. 3

(5,5) (5.6)

T h e n we h a v e T H E O R E M 6. Assume hypothesis H., (5.3) (5.6), with j=l or2. Assume

~0(O,t)} 1 = 0 ( t (5'.7) ~ fo(O) = 0 if l~I < p P ) as t 0 in S. if 191 < p 3

i m ~' > ~ and an analytic solution y of (5.2) such that y 6 A 1 (e l, e2,v', p) in case I a n d y 6 A2(~o, ~') in case 2 and such that (2.5) holds on closed subsectors of G . 3 This solution is unique.


(5.2) has a formal solution I c x -m. Then there exists a number

PROOF. T h e p r o o f is a m o d i f i c a t i o n of that of t h e o r e m 4. T h i s m o d i f i c a t i o n is the same as u s e d in the p r o o f of t h e o r e m 2: the l e f t h a n d side o f (4.24) n o w


reads e-twit) In v i e w of

and in

(4.30), and

(4.31) (5.6)


we r e p l a c e


+ ptl) -I by

(A -e-tI) -I

(3.6), (5.4) the m a t r i x

(A -e-tI) is b o u n d e d on S . ~ A(0;I) o 3 and the m a t r i c e s in (3.7) a r e b o u n d e d on S. N A(0;I) and e v e n on S~ if 3 3 Re t is b o u n d e d a b o v e on S.. Using these m o d i f i c a t i o n s the p r o o f of t h e o r e m 4 3 goes through. D REMARK. Theorem 6 is an e x t e n s i o n to t h e o r e m of a r e s u l t of Harris a~id S i b u y a [7]. 6.

Analogous THEOREM (4.48):

5 we have the following HI, (5.3) -


of t h e o r e m

7. Assume


(5.6) with

j=l and in the notation



A 11 = 0, A 12 = 0,if m=l,..., m m


b um : I

o if

m=o . . . . .

p - 1 and ~ ~ ~ , b t + I~

If (5.2) has a formal solution


then there exists a real number

~' > p and an analytic solution y = L w of (5.2) on GI(p') (ef.(l.l))such that P (4.50) holds as x + ~ closed subsectors of GI(P'). This solution is unique.
PROOF. The p r o o f is a m o d i f i c a t i o n 6. of that of t h e o r e m 5, w i t h a n a l o g o u s modifica-

tions as in the p r o o f of t h e o r e m

6. A P P L I C A T I O N S In this s e c t i o n we series solutions Finally of first g i v e s u f f i c i e n t and (0.2) exist, conditions in o r d e r t h a t formal m a y be


so t h a t the p r e v i o u s for linear



we d e d u c e

a reduction




s o l u t i o n ~ c x -m of (2.1) w i t h b ~ 0 e x i s t s if (2.4) is o m A 12 = 0, A II is s i n g u l a r and A 11 + mI is n o n s i n g u l a r for m = I, 2 .... P P i P nl N o w we m a y choose for c an e i g e n v e c t o r c o r r e s p o n d i n g to the e i g e n v a l u e 0 of A II satisfied,

o p

I. A f o r m a l n o n - t r i v i a l

and e 2 = 0. o S u c h a formal is satisfied, m = i, 2, ...





so for

(3.1), w i t h b -= 0 if for


A 12 = 0, A 11 is s i n g u l a r P P in the c o n d i t i o n s

and A II + m I is n o n s i n g u l a r P P n1 for (2.1) and (3.3) stems

The difference relations: x l-P dy d~

from the formal


= X - mc x - m - p , m 1 I/p) - y(x) = X

c x- m - p

~ ~ +

X g=l

x-Pg}. g+l

Formal equations

solutions and

of the type c o n s i d e r e d under


exist for the nonhomogeneous except t h a t n o w A II a l s o h a s P



the same c o n d i t i o n s


to be n o n s i n g u l a r ; treatment of formal

then c

d i f f e r s from c in the p r e v i o u s case. A d e t a i l e d o o s o l u t i o n s of (2. i) a n d (3.3) has b e e n g i v e n b y ~ i r r i t t i n [19 ].

II. R e s u l t s

for formal

by a t r a n s f o r m a t i o n y(x) = x%~(x). solution

s o l u t i o n s ~ c x %-m a n a l o g o u s to t h e o r e m s 1-3 m a y be o b t a i n e d o m of the e q u a t i o n s (2.1) and (3.3) v i a the s u b s t i t u t i o n for ~ is of the same type as that for y and has the

The e q u a t i o n


~- c x -m o m The a p p l i c a t i o n s I and II of t h e o r e m factorial series as s o l u t i o n s

i contain of

the r e s u l t s

of T u r r i t t i n


concerning solutions Turrittin represents

(2.1) w i t h b -= 0. However, as the c o e f f i c i e n t s , for the f a c t o r i a l

here the whereas

h a v e the same h a l f p l a n e g e t s a smaller the s o l u t i o n solution halfplane (cf.[2]). of

of c o n v e r g e n c e of c o n v e r g e n c e

series which

III. A m a t r i x Assume

(2.1) a n d

(3.3) w i t h b ~ 0 m a y be o b t a i n e d

as follows.

A 12 = 0 and there is no p a i r of e i g e n v a l u e s of A 11 w h i c h d i f f e r b y a P P p o s i t i v e i n t e g e r in the case of (2.1), w h e r e a s in the case of (3.3) we assume the same satisfied and U ( x ) x subsectors for p Ap 11 . If the a s s u m p t i o n s and b ~ of 0 we m a y c o n s t r u c t (3.3) concerning A in t h e o r e m s solution 1,2 41 3 are or (2.1)

an n x n l - m a t r i x

U(x)x ~ of

o f G.. We g i v e the p r o o f 3 pA~l Y(x) = U(x)x = A(x)

s u c h that U J. and U(x) 3 for the d i f f e r e n c e in U(x) (3.3). (l+x -p)

as x ~ in c l o s e d equation (3.3). Substitute

T h e n we g e t _A 11 P

U((xP+I) I/p)

The r i g h t h a n d matrices

side d e f i n e s

a linear


T in the space V of n x n l-

U. P a r t i t i o n i n g (TU)I(x)

these m a t r i c e s Ul(x)

= {All(x)

after the n l t h r o w we get ii -A + Al2(x) U2(x)} (l+x -p) P ,

hence (TU)l(x) = ul(x) + x-P(A~IuI(x) - U I ( X ) A ll)p + 0(x-P-l).

ii ii t U1 b N U. - U , N has as e i g e n v a l u e s he Ii p i i p d i f f e r e n c e s of the e i g e n v a l u e s of A . H e n c e p times this t r a n s f o r m a t i o n has P eigenvalue 0 with eigenvector I and no o t h e r i n t e g e r is eigenvalue. A l s o n1 (TU)2(x) ~ A 22 U2 (x) as x + ~ in G . H e n c e all c o n d i t i o n s of a p p l i c a t i o n I are o 3 s a t i s f i e d and the r e s u l t for U follows. Similarly, t h e d i f f e r e n t i a l e q u a t i o n Here the linear t r a n s f o r m a t i o n (2.1) m a y be t r e a t e d (cf.[2]). conditions such t h a t there e x i s t s (4.5) a formal From solution (4.2) and

IV. We n o w g i v e s u f f i c i e n t

c x -m of (4.1) in case h y p o t h e s i s H and 1 m 3 (4.48) w e d e d u c e the formal e x p a n s i o n

are satisfied.


f(x, y) : (2 0

A x-m)y + [ m ~EI

( [ m=0


x -m) y~ +



x -m

F r o m this we m a y d e d u c e that there exists a formal solution of o r if n. ~ i) Alllhas P I and no eigenvalue which is a negative integer and (4.1) if n 1 = 0


b I = 0 if 2 < I~I < p + l - m %TH ---

or ii) A II has e i g e n v a l u e -i, but no other n e g a t i v e integer is e i g e n v a l u e of A II , P P (6.2) h o l d s and A 12 p (A22)-Ib 2 = b 1 o ol op+l

In these cases we m a y a p p l y t h e o r e m 4. An a n a l o g o u s result (4.5) we n o w assume ii replaced by p A P V. A formal solution H~ and ] holds for the d i f f e r e n c e e q u a t i o n and the c o n d i t i o n s (5.2): instead of Ii P


i) or ii) above w i t h A

(4.47) of

(4.1) a s s u m e d in t h e o r e m 5 exists if h y p o t h e s i s

(4.5) are s a t i s f i e d and are e i g e n v a l u e s of -A II w h e r e R e < > 0, j= I, ..., g; P ] g


a) ~ i' "''' < g b) k o

+ kl <I + ...+k



k1 +


+ kg_


is n o t e i g e n v a l u e of -A II if ko, p I + ... + kg = i' ko >0;

..., k

E IN and

c) there exists at m o s t one p o s i t i v e integer w h i c h is e i g e n v a l u e of 1 is such an e i g e n v a l u e h = i, ..., 1 - I and


then 1 6 {~i



<g}' bl



b2 oh

Ail ; if P = 0 for

AI2 p

(A22)-i o

b2 = bI . ol op+l (4.47) d e p e n d s on the d i m e n s i o n s of the n u l l s p a c e s [13] who c o m p u t e d all formal [14].

The n u m b e r of formal solutions of A II + K.I , j=l, P 3 n1 solutions of systems

..., g. We refer to H u k u h a r a

(0.i). T h e o r e m 5 is r e l a t e d to results of Iwano (4.47) of (5.2) a s s u m e d in t h e o r e m 7 (4.5) is r e p l a c e d b y

A formal solution

exists u n d e r the same and A


c o n d i t i o n s as above except that r e p l a c e d b y p A II P



VI. We m a y a p p l y IV to obtain a b l o c k d i a g o n a l i z a t i o n for linear systems (6.3) x l - P d_yy = C ( x ) y dx [24, t h e o r e m 12.2] and M a l m q u i s t [16, sect. 3 ].

a n a l o g o u s to W a s o w


T h e o r e m 8. Suppose C 6 A ( U ) , ]

Let X I
' "



be the eigenvalues of

C(x) ~ E C x-m, C = d i a g {C 11 o Q m 1 o C 1 are h .

o r+l' "" '

C22 ) o

~ those of C 22
n o "

Assume Z !p (lg - Ih) ~ S 9 if g _< r < h. Then there exists a transformation y : T ( x ) z which takes (6.3) into


x l - p dz _ ~(x)z, ~(x) = diag {~ll(x) dx


such that T and ~ 6 A (~' ) for some ~ ' > ~ and ~Ii = cll , ~22 = C22 3 o o o 0 If CI2(x) , C 21 (x) = 0(x -N) , then T(x) = I + 0(x -N).
P R O O F . F i r s t we substitute y = Q(x)y, w h e r e

ox/to fix t
Then (6.5) (6.3) is t r a n s f o r m e d into x l - P d w = D(x)w, dx 0 iff w h e r e Dl2(x) ~ (6.6)

x l - p ~xx Q 12 = cii (x) QI2 _ Q12C22 (x) _ Q12c21 (x)Q 12 + cl2(x). d

N o w C II 12 12 22 o Q -Q Co d e f i n e s a linear t r a n s f o r m a t i o n in the linear space of 12 r x (n-r)-matrices Q w i t h e i g e n v a l u e s hg- hh, g = I, .... r; h = r + I, ..., n. Hence we may use a p p l i c a t i o n IV w i t h n I = 0 and a solution of A.(~') ] for some ~i > Z" In a similar way we m a y t r a n s f o r m (6.6) exists in (6.4). []

(6.6) to

A special case of t h e o r e m 8 w i t h j = 2 has b e e n g i v e n b y Turrittin[22]. T h e o r e m 8 w i t h j = i c o r r e s p o n d s to t h e o r e m 12.2 in W a s o w [24] w i t h a d i f f e r e n t

sector. R e s u l t s of this type m a y be u s e d to reduce linear d i f f e r e n t i a l and d i f f e r e n c e e q u a t i o n s to canonical forms, cf. M a l m q u i s t [16], T u r r i t t i n [18] ,[20].

REFERENCES [i] BRAAKSMA, B.L.J., Laplace integrals, factorial series and singular diffe-

rential equations, Proc. B i c e n t e n n i a l c o n g r e s s of the W i s k u n d i g

Genootschap, A m s t e r d a m 1978. [2] BRAAKSMA, B.L.J. & W.A. Harris, Jr., Laplace integrals a n d f a c t o r i a l


in singular differential systems. To appear in A p p l i c a b l e Mathematics.

[3] DOETSCH, G., Hendbuch der Laplace Transfor~ationj Basel, 1955. Band II. B i r k h ~ u s e r Verlag,




The integral equations of asymptotic theory, in


Solutions of Differential Equations and their Applications,

edited by C.H. Wilcox, John Wiley, New York, [5] HARRIS, Jr., W.A. & Y. SIBUYA, Amer. Math. Soc., 70 1964, 211-229.

Note on linear difference equations, Bull.





Asymptotic solutions of systems of nonlinear

difference equations, Arch. Rat. Mech. Anal., 15 (1964) 377-395.

[7] HARRIS, Jr., W.A. & Y. SIBUYA,

On asymptotic solutions of systems of non(1966) 120-135.

linear difference equations, J.reine angew. Math., 222

[8] HORN, J.,

Integration linearer Differentialgleichungen durch Laplacesche

(1917) 74-83.

Integrale und Fakultdtenreihen. Jahresber. Deutsch. Math.Ver., 24

(1915) 309-329; 25 [9] HORN, J.,

Laplacesche Integrale als L~sungen yon Funktionalgleichungen,

146 (1916) 95-115.

J. reine angew. Math., [i0] HORN, J.,

Verallgemeinerte Laplacesche Integrale als L~sungen linearer

und nichtlinearer Differentialgleichungen. Jahresber. Deutsch.

Math. Vet., 25 (1917) 301-325. [11] HORN, J.,

Uber eine nichtlinea~e Differenzengleichung, Jahresber. Deutsch.

Math. Ver., 26 (1918) 230t251. [12] HORN, J.,

Laplacesche Integrale, Binomialkoeffizientenreihen und Gamma(1924) 85-95.

quotientenreihen in der Theorie der linearen Differentialgleichungen.

Math. Zeitschr., 21 [13] HUKUHARA, M.,

Integration formelle d'un syst~me des ~quations di~rentiel (4) 19 (1940) 35-44.

les non lin~aires dans le voisinage d'un point singulier. Ann.

Mat. Pura Appl., [14] IWANO, M.,

Analytic expressions for bounded solutions of non-linear

ordinary differential equations with an irregular type singular point. Ann. Mat. Pura Appl., (4) 82 (1969) 189-256.
[15] IWANO, M.,

Analytic integration of a system on nonlinear ordinary

(4) 94 (1972) 109-160.

differential equations with an irregular type singularity. Ann.

Mat. Pura Appl., [16] MALMQUIST,

J., Sur l'~tude analytique des solutions d'un syst~me d'quations

diff~rentielles dans le voisinage d'un point sin~lier d'ind~termination, II. Acta Math., 74 (1941) 1-64.

Laplace integrals and factorial series in the theory

of linear differential and difference equations, Trans. Amer. Math.

Soc., 37 (1934) 80-146.





Convergent solutions of ordinary lineal homogeneous ~

differential equations in the neighbourhood of an irregular singular point. Acta Math., 93 (1955) 27-66.
[19] TURRITTIN, H.L., The formal theory of systems of irregular homogeneous linear difference and differential equations, Bol. Soc.Math. Mexicana (1960) [20] TURRITTIN, 255-264.

H.L., A canonical form for a system of linear difference equations, Ann. Mat. Pura Appl., 58 (1962) 335-357. H.L.,



Reducing the rank of ordinary differential equations.

Duke Math. J., 30 (1963) 271-274. [22] TURRITTIN, H.L.,

Solvable related equations pertaining to turning point

problems, in Asymptotic Solutions of Differential Equations and their Applications. Edited by C.H. wilcox, John Wiley, New York,
1964, 27-52. [23] WALTER, W.,

Differential- and Integral Inequalities. Springer Verlag,


Berlin, [24] WASOW, W.,

Asymptotic expansions for ordinary differential equations.

Publishers, New York, 1965.



David Colton * Dedicated to the memory of my teacher and friend Professor Arthur Erd~lyi

I. Introduction. As is well known, a solution of an ordinary differential equation can be continued as a solution of the given differential equation as long as its graph stays in the domain in which the equation is regular. On the other hand the situation for solutions of partial differential equations is quite different since a solution of a partial differential equation can have a natural boundary interior to the domain of regularity of the equation (c.f.~7]). exceptional circumstances In fact it is only in very

that one can prove that every sufficiently

regular solution of a partial differential equation in a given domain can be extended to a solution defined in a larger domain. In the

general case continuibility into a larger domain depends on the solution of the partial differential equation satisfying certain appropriate boundary data on the boundary of its original domain of definition, the classical example of this being the Schwarz reflection principle for harmonic functions. In the past twenty-five years there has been

a considerable amount of research undertaken to determine criteria for continuing solutions of partial differential equations into larger domains and in these investigations two major directions stand out:

* This research was supported in part by NSF Grant MCS 77-02056 and AFOSR Grant 76-2879.


i) reflection principles,

and 2) location of singularities

by means

of locally defined integral representations.

Until quite recently

both of these approaches have been confined to the case of elliptic equations. The generalization harmonic functions of the Schwarz reflection principle for

to the case of elliptic equations satisfying a first order boundary

in two indecondition along

pendent variables

a plane boundary was established by Lewy in his seminal address to the American Mathematical Lewy considered Society in 1954 ([20]). In this address

the elliptic equation + a(x,y)u x + b(x,y)Uy + c(x,y)u = 0 (I.i)

Uxx + uyy

defined in a domain D adjacent on the side y < 0 to a segment o of the x axis. On o, u(x,y) was assumed to satisfy the first order

boundary condition ~(X)Ux(X,O ) + ~(X)Uy(X,O) + y(x)u(x,O) = f(x) (1.2)

Then under the assumption that u(x,y) e C2(D) A ~ ( D

L/ o), ~(z),

~(z), y(z) and f(z) are analytic in D u o ~ D* (where D* denotes the mirror image of D reflected across o), ~(z) # 0 and ~(z) # 0 throughout D ~ o ~ D * , the variables z = x + iy and the coefficients of (i.i) expressed in terms of

( i . 3)
z* = x - iy are analytic functions of the two independent and z* for z e D V o~ complex variables z

D*, z* E D v o ~ D*, Lewy showed that u(x,y)

could be continued into the domain D ~ o ~ D* as a solution of (i.I). In particular Lewy showed that the domain of dependence associated

with a point in y > 0 is a one dimensional y < 0.

line segment lying in

Lewy also gave an example to show that an analogous result

was not valid in higher dimensions, even for the case of Laplace's equation in three variables satisfying a linear first order boundary condition with constant coefficients along a plane. problem of the reflection of solutions to higher dimensional elliptic equations across analytic boundaries was taken up by Garabedian in 1960 ( ~ 2 ~ ) who showed that the breakdown of the This

reflection property is due to the fact that the domain of dependence associated with a solution of an n dimensional elliptic equation at a point on one side of an analytic surface is a whole n dimensional ball on the other side. Only in exceptional circumstances

does some kind of degeneracy occur which causes the domain of dependence to collapse onto a lower dimensional subset, thus allowing a continuation into a larger region than that afforded in general. Such is the situation for example in the case of the

Schwarz reflection principle for harmonic functions across a plane or a sphere (where the domain of dependence degenerates to a point) and the reflection principle for solutions of the Helmholtz equation across a sphere (where the domain of dependence degenerates to a one dimensional line segment - c.f. [41). Such a degeneration can for reflectio ~ analogous

be viewed as a form of H u y g e n ' s p r i n c i p l e

to the classical Huygen's principle for hyperbolic equations, and in recent years there have been a number of intriguing examples of when such a degeneracy can occur (c.f. [9], [21]). The second major approach to the analytic continuation of solutions to elliptic partial differential equations is through


the method of locally defined integral representations.

This approach

is based on the use of integral operators for partial differential equations relating solutions of elliptic equations to analytic functions of one or several complex variables and has been extensively developed by Bergman ([i]), Vekua ([242) , and Gilbert ([12). The main idea is to develop a local representation of the solution to the elliptic equation in the form of an integral operator with an analytic function with known singularities as its kernel and with the domain of the operator being the space of analytic functions. The problem of the (global) continuation of the solution to the elliptic equation can then be thrown back onto the well investigated problem of the continuation of analytic functions of one or several complex variables. A simple example typical of this approach, and

one which exerted a major influence on much of the subsequent investi/

gations, was that obtained by Erdelyi in 1956 on solutions of the generalized axially symmetric potential equation u xx +u yy +k -y


where k is a real parameter ([8~).

Erd~lyi's result was to show that

if u(x,y) is a regular solution of (1.4) in a region containing the singular line y = 0 and u(x,O) is a real valued analytic function in a y-convex domain D (i.e. if (x,y) e D then so is (x,ty) for -l<t<l) then, provided k # -1, -3 . . . . . in D. u(x,y) is a regular solution of (1.4)

For generalizations of this result of Erdelyl the reader is The method of integral operators

referred to Gilbert's book ( ~ ) .

outlined above has a variety of applications, among them being the

58 analytic continuation of the solution to Cauchy's problem for elliptic equations which arises in connection with certain inverse problems in fluid mechanics (c.f. [iI], [14]). More recently the author used such

an approach to establish a relationship between the domain of regularity of axially symmetric solutions of the Helmholtz equation defined in exterior domains and the indicator diagram of the far field pattern

In contrast to the rather extensive investigations into the problem of continuing solutions of elliptic equations, until recently relatively little work has been done in connection with the corresponding problems for parabolic equations. One reason for this is of course the

fact that solutions of parabolic equations do not enjoy the same regularity properties as solutions of elliptic ~quations, i.e., in general

solutions of parabolic equations with analytic coefficients are not analytic functions of their independent variables. Until about ten

years ago there were (to the author's knowledge) only two rather isolated results on the global continuation of solutions to parabolic equations, both of them concerned with the heat equation in one space variable. The first of these was the fact that solutions of the one dimensional heat equation defined in a rectangle and satisfying homogeneous Dirichlet or Neumann data on a vertical side of the rectange could be reflected as a solution of the heat equation into the mirror image of the rectangle ([25]). On the other hand it was shown by Widder in [26] that

if h(x,t) is a solution of the one dimensional heat equation h xx = h t o' (1.5) Itl < t , then h(x,t) can o

which is analytic in x and t for Ix[ < x

be continued as a solution of the heat equation into the entire strip


Ixl < =, Itl < to, and expressed there as a uniformly convergent series of heat polynomials h(x,t) = Z a h (x,t) nn n=O (1.6)

where the heat polynomials are defined by /~ h (x,t) = ~]: E n k=O x n-2ktk (1.7) (n-2k) ~k:

This result is noteworthy since it is one of the few cases where it can be stated that eyery sufficiently regular solution of a partial differential equation defined in a given (real) domain has an automatic continuation into a larger (real) domain regardless of what the boundary data is. Note that such behaviour is only true for

analytic solutions of the heat equation, and not in general for classical solutions which are infinitely differentiable, but not analytic, in the time variable. Hence in the development of the reflection and continuation properties of solutions to parabolic equations with analytic coefficients one can expect a different behaviour depending on whether or not the solutions are analytic in the time variable. In this connection it is worthwhile to note that if u(~,t)

is a solution of a linear parabolic equation with analytic coefficients defined in a cylinder~.x(O,T) in ~Rn+l, and if u(~,t) assumes analytic

Dirichlet data on the analytic boundary ~.C~x(O,T), then u(~,t) is an analytic function of its independent variables i n - / ~ x(O,T)(c.f. ~0]). In the following sections we shall survey, with an outline of proofs, some recent results on the reflection and continuation of solutions to linear parabolic equations with analytic coefficients. We

shall restrict ourselves to parabolic equations of second order, although

60 corresponding results should also be valid for certain higher order equations. The theory we shall present is far from complete. In

particular we have omitted questions concerning removable singularities as well as the problem of backward continuation of solutions to parabolic equations. Some aspects of this last topic will be

discussed in a survey paper to be presented at the conference on "Inverse and Improperly Posed Problems in Differential Equations" to be held next year in Halle.

II. Parabolic ERuations in One Space Variable. The basic idea behind Lewy's reflection principle for elliptic equations was to develop an integral operator which allowed the general reflection problem to be reduced to one in which the Schwarz reflection principle for analytic functions could be applied. This

is also the main idea behind the method for developing reflection principles for parabolic equations, where in this case the basic theorem employed is the reflection principle for solutions of the heat equation. The operators employed in this analysis are no longer

based on the idea of a complex Riemann function as in Lewy's work but instead on a generalization of the transformation operators for ordinary differential equations developed by Gelfand, Levitan and Marcenko in their investigations of the inverse scattering problem in quantum mechanics (c.f. [7]). To introduce these generalized trans-

formation operators we first consider solutions of the parabolic equation Uxx + a(x,t) Ux + b(x,t)u = u t (2.1)

defined in a domain D of the form D = {(x,t): Sl(t)<x<s2(t)10<t<to } and make the assumption that the coefficients of (2.1) are analytic

61 Eunctions of x and t in D u ~ ~ D* where o is the arc x = Sl(t) and 2Sl(t) -

3* is the reflection of D across ~ defined by D* = {(x,t): s2(t) < x < Sl(t) , 0 < t < to }"

Assuming that x = Sl(t) is analytic

and making the change of variables = x - sl(t) T = t changes (2.2)

(2.1) into an equation of the same form but now defined

in a domain D to the right of the t axis with lateral boundary x = O. A further change of variables of the form fx u(x,t) = v(x,t) exp {- 12 I a(s,t)ds} J0



(2.1) to an equation of the same form except that a(x,t) Hence without loss of generality we can

is now equal to zero.

consider equations of the form u xx + q(x,t)u = u t (2.4)

where q(x,t) is analytic in D u ~ ~ D* and D = {(x,t):O<x<s2(t), O<t<to} , ~ = {(x,t): x=O}, D* = {x,t): - s2(t)<x<O, O<t<to}. Assume now that u(x,t) in ~ ~ ~ ~ ~*. is a classical solution of (2.4) defined in the form ([3])

Then u(x,t) can be represented u(x,t) = (I + T)h

(2.5) = h(x,t) + (s,x,t)h(s,t)ds

where h(x,t) is a solution of the heat equation hxx = h t in ~ problem ~ ~* and E(s,x,t) (2.6)

is a solution of the initial value

62 E - E ss + q(x,t)E = E



= - ~


t (2.7)



= O .

A solution of (2.7) can be constructed by iteration and is analytic for -s2(t)<x<s2(t ) -s2(t)<s<s2(t )

O<t<t .

The fact that

every solution of (2.4) defined in D u o ~ D *

can be represented

in the form (2.5) follows from the fact that ~ is a Volterra operator and hence I + T is invertible. for parabolic equations various modifications The reflection principle

is obtained by a judicious application of (2.5). This will be illus-

of the operator

trated in the proof of the following theorem: Theorem 2.1: continuously Let u(x,t) be a classical solution of (2.1) in D, differentiable in D k7 ~, and satisfying + y(t)ut(sl(t),t) = f(t)


+ 8(t)Ux(Sl(t),t)

on o, where Sl(t), ~(t), B(t), y(t) and f(t) are real analytic on (O,to). If, for t E (O,to), the non zero vector ](t) = (or always tangent to

(~(t), y(t)) is never tangent to x = Sl(t) x = Sl(t)) and never parallel to the x axis), then u(x,t) ution of (2.1) into D ~ Proof:

to the x axis (or always parallel

can be uniquely continued as a sol-


By the above discussion we can reduce the problem to the (2.4)), Sl(t) = O, and assume Furthermore, by solving (to be

case when a(x,t) = O(i.e. equation

that B(t) = 0 or B(t) # O for t ~ (O,to). an appropriate non-characteristic

Cauchy problem for (2.4)

discussed at the end of this section) we can assume that f(t) = O.

63 Hence without loss of generality we can consider the problem of continuing solutions of (2.4) subject to (2.8) with Sl(t ) = 0 and f(t) = O, where u(x,t) is defined in D and is continuously differentiable in D ~ o. We shall only consider the special case when

6(t) # 0 and y(t) # 0 for t c (O,t o) and refer the reader to [5] for full details. In this special case by making a preliminary

change of variables of the form U(X,t) = v(x,t) exp {0 we can assume without loss of generality that ~(t) = 0 and the boundary condition on o is Ux(O,t ) + q(t)ut(O,t) = 0 where q(t) = (2.10) ~(~)dT} (2.9)

Y(t)16(t. )

We can now show that in D, u(x,t) can be

represented in the form u(x,t) = h(1)(x,t) + h(2)(x,t) + XK(1) ~0 (s,x,t)h (i) (s,t)ds

+ {XK(2)(s,x,t)h(2)(s,t)ds JO where K(1)(s,x,t) is the solution of K (I) _ K (I) + q(x,t)K (I) = K (I) xx ss t K(1)(x,x,t) = - ~

'x q(s,t)ds 0 (2.12)

K(1)(O,x,t) = O, s K(2)(s,x,t) is the solution of K (2) - K (2) [q(x,t) xx ss + q (t)] K(2)


= K (2)

t q (t) ~ds q(t) (2.13)

K(2) (x,x,t) = _ ix Eq(s,t ) J0 K(2)(O,x,t) = O,

and h(2)(x,t) = -n(t)h~l)(x,t) where h(1)(x,t) is a solution of (2.6) in D satisfying h(1)(O,t) = O.


K(1)(s,x,t) and K(2)(s,x,t) can be

constructed by iteration and are analytic for -s2(t)<x<s2(t), -s2(t)<s<s2(t), O<t<to. The reflection principle now follows from ~*

(2.11) and the fact that h(1)(x,t) can be continued into D ~ ~ by the reflection principle for the heat equation.

The uniqueness

of the continuation follows from Holmgren's uniqueness theorem. From the above analysis it is see that for the original problem the domain of dependence associated with a point in X<Sl(t) is a one dimensional line segment lying in X>Sl(t). It would be desirable to know if the restriction on the direction of the vector ~(t) can be removed. As a corollary to Theorem (2.1) we have the following version of Runge's theorem for solutions of (2.1) defined in a domain D = {(x,t): Sl(t)<x<s2(t), O<t<t } where Sl(t) and s2(t) are analO

ytic for O<t<to([3]): Corollary: Let u(x,t) e C2(D) ~ C(~) be a solution of (2.1) in

D and assume that the coefficients of (2.1) are analytic for -~<x<=, O~t@t o. Then for every c>O there exists a solution Ul(X,t) of (2.1)

in -~<x<~, O<t<to, such that ~Xlu(x,t ) - Ul(X,t) l < Proof: There exists a solution Ul(X,t) s C 2 ( D ) ~ CI(~) satisfying

analytic boundary data on x = Sl(t ) and x = s2(t) such that the above inequality is valid. By reflecting Ul(X,t) repeatedly across

the arcs x = Sl(t) and x = s2(t ) it is seen that Ul(X,t) can be continued as a solution of (2.1) into the infinite strip -~<x<~, O~t~t o

65 We now turn to the case when the solution of (2.1) is known to be analytic in some neighbourhood assumption -t <t<t . o o that the coefficients of the origin and make the

of (2.1) are analytic for -=<x< ~, are anal-

In this case we have that u(0,t) and Ux(O,t)

ytic functions of t for -t <t<t for some constant to, and if (2.1) o o is reduced to the canonical form (2.4) and u(x,t) is represented in the form (2.5) we have that h(O,t) = u(O,t) Ux(0,t) and hx(O,t) = Hence by the theorem h(x,t) By

are analytic functions of t for -t <t<t . o o theorem and Holmgren's uniqueness


is analytic in a neighbourhood Widder's

of the t axis for -t <t<t , o o

theorem referred to in the Introduction h(x,t)

is analytic

in the strip -=<x<=, -to<t<to, yticity of the kernel E(s,x,t) Theorem 2.2:

and hence from (2.5) and the analso is u(x,t). of (2.1) be analytic in the

Let the coefficients

strip -~<x<=, -to<t<to,

and let u(x,t) be any solution of (2.1) -to<t<to, for some positive concontinued into the strip

that is analytic for -Xo<X<Xo, stant x .


Then u(x,t) can be analytically


-to<t<t o.

We close this section be giving a simple derivation of Widder' result on the analytic continuation of analytic solutions of the heat equation which was used to prove Theorem 2.2 Suppose h(x,t)

is an analytic solution of the heat equation for -Xo<X<Xo, -to<t<t o. Then locally h(x,t) can be represented h(x,t)
= i - 2hi

in the form (~5]) E X (X,t-T)h(O,T)dT

J It-el =


- 2~ii

E(x,t_T)hx(O,r)d ~

Jt-T I = 6

66 where

E(x,t) =

x2j+l (-I) J ~'


j=O (2j+l) :t j+l Since E(x,t) is an entire function of x we immediately have the result that h(x,t) is analytic in the strip -~<x<~, -t <t<t .


we further assume that h(O,t) and h (O,t) are analytic for Itl<t and r e p r e s e n t t h e s e J u n c t i o n s by t h e i r

Taylor series , Itl < t o (2.16) Itl < t


h(O,t) =

E n= O

b tn n

hx(O,t ) =

)2 Cn tn n=O

we have from (2.14) and termwise integration h(x,t) = E n= 0

that for -~<x< ~, -to<t<t o, (2.17)

a h (x,t) n n

where hn(X,t)

are the heat polynomials

defined in (1.7) and a2m=bm ,

a2m+l=Cm for m = O,1,2, .... Returning to the proof of Theorem 2.1 we note that from the above results a special solution of (2.4) satisfying (2.8) (for

Sl(t ) = O) can be obtained in the form u(x,t) = (~ + ~)h(x,t) where h(x,t) is given by (2.14) with h(O,t) and hx(O,t) chosen appropriately.



in Two SEace Variable @. in one space to Even

In contrast to the case of parabolic equations variable,

the results on the global continuation of solutions in two space variables are rather limited.

parabolic equations

in the case of analytic solutions of parabolic equations space variables with analytic coefficients whether or not such solutions

in two

it is not yet known

can be reflected across a plane Dirichlet data. However

boundary on which they assume homogeneous

67 it has been shown by Hill that the domain of dependence associated with an analytic solution of a parabolic equation in two space variables at a point on one side of a plane on which the solution vanishes is a one dimensional line segment on the other side (El6]). This suggests the possibility of establishing a reflection principle for parabolic equations in two space variables, in the case of analytic solutions. at least in

However this has yet to be done.

The main problem seems to be to establish the domain of regularity in the complex domain of the normal derivative of the solution evaluated along the plane on which the solution vanishes. This

suggests the problem of determining the domain of regularity in the complex domain of analytic solutions of parabolic equations, given either their domain of real analyticity or the domain of regularity of the Cauchy data in the complex domain. As will be seen,

modest results such as these can be applied to derive a Runge approximation property for parabolic equations as well as a global representation of the solution to certain non-characteristic problems arising in the theory of heat conduction. Cauchy

Although we

shall derive these basic results in this section, we shall postpone their application to problems associated with the heat equation until Section IV. We consider analytic solutions of parabolic equations of the form + c(x,y,t)u - d(x,y,t)u t L [u~ = Uxx + u YY + a(x,y,t)u x + b(x,y,t)Uy

--0 and for the sake of simplicity make the assumption that the coefficients of (3.1) are entire functions of their independent complex

68 variables. By making the nonsingular change of variables mapping

the space of two complex variables into itself defined by z = x + iy

z* = x - iy we can rewrite (3.1) in its complex form as

i i I i where A = [(a + ib), B = ~(a - ib), C = [ c, D = ~ d. The basic (or

tool used in the investigation of analytic solutions of (3.1)

(3.3)) is the Riemann function for (3.3) first introduced by Hill in [16]. This is defined to be the unique solution R(z,z*,t;~,~*,T)

of the (complex) adjoint equation My]

-- V-zz ,

a(AV) 3z

3(B~/) + C _ ~ r + _ ~ ~z*

(D'V') = 0 (3.4)

satisfying the initial data R(z,~*,t;~,~*,T) = --!-I exp {


B(q,~*,t)d~} (3.5)


= ~

exp {

do} The Riemann [16]) and

along the planes z -- = ~ + iQ, z* = ~* = $ - in. function can be constructed by iterative methods


(under the assumption that the coefficients of (3.1) are entire) is an entire function of its six independent complex variables except for an essential singularity at t = T. equation u xx + u yy = u t the Riemann function is given by R(z z*,t;,*,T)

In the case of the heat


= ~

exp {

(z-C) ( z * - * )
4 (t-T)

} .


69 Now let u(x,y,t) be an analytic solution of (3.1) defined in a cylinder Dx(O,T) where D is a bounded simply connected domain. Assume that D contains the origin and that d(x,y,t) > 0 in Dx(O,T). By standard compactness arguments we can conclude that if ~


6o > O, then u(x,y~t) is analytic in some thin neighbourhood in C 3 of the product domain box ~o,T-~o3. We now use Stokes theorem

applied to u and R log r (where R is the Riemann function and r = /(x-~) 2 + (y-n) 2 to represent u(x,y,t) in terms of the Riemann function, where the domain of integration is the torus D

with ~ L =

{t:It-T [ = ~}.

This yields the result that

4~ 2 ~D x~ho where~ D x ~L o (3.8)

is the adjoint operator to (3.1) and UVy + bul)dXdtv (duv)dxdy}. (3.9)

H[u,v3 = {(VUx - UVx + auv)dydt - (VUy

Since ~

[R log r] is an entire function of its independent complex

variables except for an essential singularity at t = r and H[u, R log r~ is analytic for (x,y,t) ~Do x ~ ~o' T - 6 ~ , , ~ Do, ~ ~ Do,

we have the following theorem (Note that subject and 6


to the above restrictions D Theorem 3.1: in D x (O,T).

are arbitrary):

Let u(x,y,t) be an analytic solution of (3.1) defined Then'U(z,z*,t) = u(x,y,t) is analytic in D x D* x (O,T)

where D = {z:z ~ D}, D* = {z*: z* e D}. Theorem 3.1 is analogous to the result that every regular solution of a linear ordinary differential equation with entire coefficients defined on a finite interval can be extended to an entire function

70 of its independent singularities entire. complex variable. For partial d~ffe~emtial e~fnations are

can of course occur even though the coefficients

However Theorem 3.1 shows that in the case of analytic solutions in two space variables the location of the sinin a simple way by the

of parabolic equations gularities

in the complex domain is determined

location of the singularities

on the boundary of the domain of defFor elliptic equations

inition of the solution in the real domain. in two independent variables Bergman

analogous results have been found by ([24]). in D x D* x (O,T)

([I]), Lewy (E20]) and Vekua

Using Theorem 3.1 we can now represent?~(z,z*,t)

in terms of the Riemann function and the Goursat data on the characteristic hyperplanes z = O and z* = O in a manner almost identical to the

use of the classical Riemann function to solve the Goursat problem for hyperbolic equations in two independent variables. Since this Goursat

data is defined in a product domain we can apply Runge's theorem for several complex variables sets by polynomials to approximate this data on c o m p a c t s u b -

and hence, since the Riemann function is entire on compact subsets by an > O every

except at t = T, approximate-~f(z,z*,t) entire solution of (3.1). classical

If we now note that if d(x,y,t)

solution of a parabolic

equation with analytic coefficients

defined in a cylindrical

domain with analytic boundary can be approx-

imated by a solution having analytic boundary data, and hence from the Introduction is an analytic solution of the parabolic equation,

we can now deduce the following version of Runge's theorem ([3]): Corollary: Let u(x,y,t) be a classical > O in D x (O,T). solution of (3.1) in D x (O,T)

where d(x,y,t)

Then for every compact subset D cD o

and positive constants ~ and e there exists an entire solution Ul(X,y,t) of (.3.1) such that


max o

lu(x,y,t) -Ul(X,y,t)I

< e .

We now turn our attention

to the problem of determining


domain of regularity of solutions to non-characteristic

Cauchy pro-

blems for parabolic equations with data prescribed along an analytic surface. Such problems arise if inverse methods are used to study (c.f. Section

free boundary problems in the theory of heat conduction

IV) and a local solution can always be found by appealing to the CauchyKowalewskl theorem. However in addition to being impractical for com-

putational purposes such an approach does not provide us with the required global solution to the Cauchy problem under investigation, and hence we are lead to the problem of the analytic continuation solutions to non-characteristic We shall accomplish of

Cauchy problems for parabolic equations.

this through the use of the Riemann function in integration techniques and the calculus of

connection with contour

residues fn the space of several complex variables. We assume that u(x,y,t) is an analytic solution of (3.1) in a analytic surface Let

domain containing a portion of the non-characteristic S along which u(x,y,t) the intersection one dimensional F(x,y,t) = O. assumes prescribed

analytic Cauchy data.

of the plane t = constant with the surface S be a curve ~(t). Suppose ~(t) is described by the equation

Then since S is analytic we can write F.Z+Z* 2 z-z* t) = O ' 2i '



where z and z* are defined 5y (3.2) and this is the equation for ~(t) in (z,z*) space. We now choose C(t) to be an analytic curve lying on not on S let G(t) be a

this complex extension of ~(t) and for (~n,r)

72 cell whose boundary consists of C(t) and line segments lying on the characteristic planes z = ~ = ~+i~ and z* = ~ = t-in respectively which join the point (~,~) to C(t) at the points P and Q respectively. If we now use Stokes theorem to integrate RL[I~r]--~rM[R] (where R is

the Riemann function and L and M are defined by (3.3) and (3.4) respectively) over the torus {(z,z*,t):(z,z*) -~r(~,~,T) = ~. . ~ .. 4~i J e G(t),It-T I = 5} we have

[ R ( P , t ) ~ (P,t) + R(Q,t)7-F(Q,t)]dt

It-~1 =~


[t-T I=6 C(t)

- (BR~-+ R T_)- - Rz-O-)dzdg z

where we have suppressed the dependence of the Riemann function on the point (~,~,T) and an expression of the form 7jr(P,t) is a function of three independent variables, i.e.7_~(P,t) =~r(~l,~2,t) where ( 1, 2) are the Cartesian co-ordinates of the point P in C 2. For (~, ~,~) sufficiently near the initial surface S and for sufficiently small, (3.11) gives an integral representation of the

solution to the non-characteristic Cauchy problem for (3.1) with analytic data prescribed on S. Equation (3.11) can now he used to

obtain a global solution by deforming the region of integration, provided a knowledge of the domain of regularity of the Cauchy data and analytic function F(x,y,t) is known. In particular such a pro-

cedure yields results on the analytic continuation of solutions to parabolic equations along characteristic planes in terms of the domain of regularity of the Cauchy data and the domain of regularity of the function describing the non-characteristic surface along which

73 the Cauchy data is prescribed. For example suppose for each fixed

t, t e [O,TJ, z = $(~,t) maps the unit disc conformally onto a domain Dt and let the analytic surface S be described by im ~-l(z,t) = 0 (3.12)

Assume that (z,t) and -l(z,t) depend analytically on the parametec t. Then setting ~(~,t) = (~,t) we have that the equation Hence if we assume

for C(t) is given by @-l(z,t) = ~-l(z*,t).

that the Cauchy data is analytic in Dt for each t we have from (3.11) the following result (c.f.~]): Theorem 3.2: Let u(x,y,t) be an analytic solution of (3.1) which

assumes analytic Cauchy data on the surface (3.12) where @(z,t) conformally maps the unit disc onto the domain Dt. If the Cauchy

data for u(x,y,t) is analytic in Dt then, for each fixed t, 7J(z,z*,t) = u(x,y,t) is an analytic function of z and z* in Ot x Dr* where O t" = {ze:z* e Ot). Theorem 3.2 is a generalization of the corresponding result obtained by Henrici for elliptic equations in two independent variables ([lhJ). For partial progress on extending the results

of this section to parabolic equations in three space variables we refer the reader to [23S.

IV. Applications to Problems in Heat Conduction. In this last section we shall apply the results of the previous two sections to derive an explicit analytic representation of the solution to the inverse Stefan problem and to construct some complete families of solutions to the heat equation which are suitable for constructing approximate solutions to the standard initial-boundary value problems arising in the theory of heat


conduction (c.f.[3]).

We first consider the Stefan problem.


is a free boundary problem for the heat equation and we are interested in the inverse problem where the free boundary is assumed to be known a priori. Such an approach allows one to construct a

variety of special solutions from which a qualitative idea can be obtained concerning the shape of the free boundary as a function of the initial-boundary data. In certain physical situations, e.g.,

the growing of crystals~ the inverse problem is in fact the actual problem that needs to be solved. The simplest example of the type

of problem we have in mind is the single phase Stefan problem for the heat equation in one space variable, which can be mathematically formulated as follows: u to find u(x,t) and s(t) such that xx = ut; O<x<s(t), t>O t>O t>O t>O The function u(x,t)

u(s(t),t) = O; Ux(S(t),t) u(O,t) : = - s(t);



where it is assumed that (t)~O, s(O) = O.

is the temperature in the water component of a one-dimensional ice-water system, s(t) is the interface between the ice and water, and (t) is assumed to be given. The inverse Stefan problem assumes

that s(t) is known and asks for the solution u(x,t) and in particular the function (t) = u(O,t), i.e., how must one heat the water in order to melt the ice along a prescribed curve? If we

assume that s(t) is analytic the inverse Stefan problem associated with (h.i) can easily be solved using the results of Section II. Indeed if in (2.1h) we place the cycle It-~l = 6 on the two dimensional manifold x = s(t) in the space of two complex variables, and note that since u(s(t),t) = 0 the first integral in (2.1h)

75 vanishes, we are lead to the following solution of the inverse Stefan problem: u(x,t) = 12wilt-~l=6 E(x-s(T),t-x)s(T)dT


Computing the residue in (4.2) gives u(x,t) = ~ I n=l ~ - - S t Sn n [x-s(t)] 2n , (4.3) The

a result which seems to have first been given by Hill ([15]).

idea of the inverse approach to the Stefan problem (4.1) is to now substitute various values of s(t) into (4.3) and compute (t)=u(O,t) for each such s(t). For example setting s(t) = /t gives n! (t): Z ~ K , n=l = constant , (4.4)

a result corresponding to Stefan's original solution. We now consider the Stefan problem in two space variables. equations corresponding to (4.i) are now Uxx + uyy = ut; uI so x (x,y,t)<O The

= y(x,y,t)


= o

Su I =0

St =O

where u(x,y,t) is the temperature in the water, (x,y,t) = O is the interphase boundary, D is a region originally filled with ice, y(x,y,t) ~ 0 is the temperature applied to the boundary SD of D, is the normal with respect to the space variables that points into

76 the water region $(x,y,t) < O, and V denotes the gradient with respect to the space variables. In this case from the analysis of Section !II

we see that in order to solve the inverse Stefan problem it is necessary to restrict the function #(x,y,t) to be more than just analytic, and we assume (x,y,t) is given by an equation of the form (3.12) where Dt D D for t ~ [O,T]. In this case we have from (3.11) and

(3.7) that Z/(~,~,~) = u(~,n,T) is given by

7 J (~, ~,T) : ~


exp [(z-~)(z*-~q

[~h(tiT') ~

IV$1 St

~ ,dzidt

I -~I:a


where C(t) is a curve lying on the surface $-l(z,t) = -l(z*,t) with endpoints on the characteristic hyperplanes z =~ and z* = ~. Computing the residue in (h.6) now gives


: +


~n ~Tn


(z-~)n(z*-~) n


n:0 hn(n!


Id+l} (~.7)


Equation (h.7) gives the generalization to two dimensions of the series solution (h.3) for the one dimensional inverse Stefan problem. We note that the integral in (h.7) is pure imaginary. We now turn our attention to the construction of complete families of solutions for the heat equation. By completeness we

shall mean completeness on compact subsets of a given domain D with respect to the maximum norm. We first consider a solution

h(x.t) of the one dimensional heat equation (2.6) defined in a domain D of the form D = {(x.t):sl(t)<x<s2(t) , 0<t<t O} where sl(t ) and s2(t) are continuous functions. without loss of generality that D o If % c D then we can assume

has an analytic boundary and

hence from the Corollary to Theorem 2.1 we have that for every

77 E ~ 0 there exists a rectangle R P heat equation in R such that and a solution hl(X,t) of the

max lh(x,t) -hl(X,t) I <

o Since it is a relatively


easy matter to show that the heat poly-

nomials h (x,t) defined by (1.7) are complete for solutions of the heat equation defined in a rectangle, we can now conclude that the heat polynomials are also complete for solutions of the heat

equation defined in a domain of the form described above. We next want to decide under what conditions on the separation constants k n do the solutions + hn(x,t) = exp (+_ i~nX - ~2t)n form a complete family of solutions From the above results (4.9)

to the heat equation in D.

it suffices to show that every heat poly-

nomial can be approximated by a linear combination of the functions (4.9), subject to certain restrictions on the constants ~ . n From

the representation (2.1h) we see that it suffices to show that the 2 set {e -~nt} is complete for analytic functions defined in an ellipse containing [O,to]. The type of restriction necessary is indicated

by the following theorem based on the theory of entire functions

(B@ ,p.219):
Theorem h.l: the limit d = lim n'~ n ~ ~n > 0 If {~n } is a sequence of complex numbers for which

exists, the syste~ {e ~nz} is complete in the space of analytic functions defined in anY region G for which every straight line parallel to the imaginary axis cuts out a segment of length less

78 than 2wd, and the system is not complete in any region which contains a segment of length 2~d parallel to the imaginary axis. From Theorem 4.1 we now see that the set (4.9) is complete for solutions of the heat equation defined in a domain D of the form described above provided lim n~ n --~2

> 0 .


Theorem 4.2:

Let D = {(x,t):sl(t)<x<s2(t), functions.

O<t<t o} where sl(t) and

s2(t) are continuous

Then the following sets are complete

for solutions of the heat equation defined in D: [n/~ Z k=O xn-2ktk ........ (n-2k)!k!

I) h n(x,t) = [~]'.

; n = 0,1,2 .....

2) h~(x,t) = exp (+ ilnX - k2t)~ -n

lim n > O. ~-~ ~2 n n

We now conclude this section by using the results of Section III to derive a result analogous to Theorem h.2 for the heat equation in two space variables defined in a cylindrical D is a bounded simply connected domain. domain D x [O,T] where

From the proof of the Corollary

to Theorem 3.i we see that it suffices to obtain a set of solutions to (3.6) assuming data on the complex hyperplanes z = 0 and z* = 0

that is complete for product domains in the space of two complex variables. It is easily verified that one such complete set is given by + U~,m(r,e,t) +ine = em r2k+n tm-k Z k=O 4kk~(m-k)!(n+k)! (h.ll)

where (r,e) are polar co-ordinates, characteristic satisfies

since on the above mentioned

(r,e,t) hyperplanes we have t h a t ~ / ~+ m (z,z*,t) = u~ , n,m

79 zntTM
+ (z , O , t ) . . . . . . n,m m'n'

V n,m ( O ' z * ' t ) : z*ntm m'n'

It follows from the uniqueness theorem for Cauchy's problem for the heat equation that another complete set for (3.6) defined in D x (O,T) is given by hn,m(X,y,t) = hn(x,t) hm(Y,t) where hn(x,t) is the heat polynomial defined by (1.7). (h.13) On the

other hand if we separate variables for (3.6) in polar coordinates we find that

h--, m (r,e,t) = Jm(Anr)exp(+im8 - X~t) n


where J (z) denotes Bessel's function, is a solution of the heat equation satisfying the complex Goursat data z H~n+'m(Z'O't) -exp(- ~ t) 2m m:

z*mexp(- ln2t) -. Hn,m(O,z*,t ) = ..2m m'




= hn ~ m ( r , B , t ) +-

and hence from Theorem h.l we can conclude that (h.lh) is another complete set of solutions for the heat equation in D x (O,T) provided (~.10) is valid. Theorem h.3: plane. Let D be a bounded simply connected domain in the

Then the following sets are complete for solutions of the

heat equation defined in D x (0,T): l) hn,m(X,y,t) = hn(x,t)hm(Y,t) ; n,m = 0,1,2,... 2) h+,m(X,y,t) = Jm(Xn r) exp(+_ ires - X2t)n;n'm= O,i ....limn~<o >-Vn O. Xn

80 Theorem h.3 can also be extended to higher dimensions ([6~). For other methods of proving Runge's theorem for the heat equation see [18~ and [22].

References 1. S. Bergman, Integral Operators in the Theor~ofLinear Differential Equations, Springer-Verlag, Berlin, 1969. 2. D. Colton, Partial Differential Equations in the Complex Domain, Pitman Publishing, London, 1976. D. Colton, Solution of Bound ar~ Value Problems by the Method of Integral Operatgrs , Pitman Publishing, London, 1976. D. Colton, A reflection principle for solutions to the Helmholtz equation and an application to the inverse scattering problem, Glas~ow Math ,. J. 18(1977), 125-130. D. Colton, On reflection principles for parabolic equations in one space variable, Proc. Edin. Math. Soc., to appear. D. Colton and W. Watzlawek, Complete families of solutions to the heat equation and generalized heat equation in J. Diff. Eqns~ 25(1977), 96-107. V. De Alfaro and T. Regge, Potential Scattering, North-Holland Publishing Company, Amsterdam, 1965. A. Erdelyl, Singularities of generalized axially symmetric potentials, Comm.: Pure Appl. Math. 9(1956), hO3-hlh. " V. Filippenko, On the reflection of harmonic functions and of solutions of the wave equation, Pacific J. Math. lh (196h), 883-893.


R n,

81 i0. A. Friedman, Part%al Differential Equations, Holt, Rinehart and Winston, New York, 1969. P. Garabedian, An example of axially symmetric flow with a free surface, in Studies in Mathematics and Mechanics Presented to Richard yon Mises, Academic Press, New York, 195h, 149-159. 12. P. Garabedian, Partial differential equations with more than two independent variables in the complex domain, J. Math. Mech. 9 (1960), 2hi-271. 13. R . P . Gilbert, Function Theoretic Methods in Partial Differential Equations, Academic Press, New York, 1969. P. Henrici, A survey of I. N. Vekua's theory of elliptic partial differential equations with analytic coefficients, Z.An~ew.Mat h. Physics 8(1957), 169-203. C. D. Hill, Parabolic equations in one space variable and the non-characteristic Cauchy problem, Comm. Pure Appl. Math. 20 (1967), 619-633.




C. D. Hill, A method for the construction of reflection laws for a parabolic equation, Trans. Amer. Math. Soc. 133 (1968), 357-372.


F. John, Continuation and reflection of solutions of partial differential equations, Bull. Amer. Math. Soc. 63 (1957), 327-3hh.


B. F. Jones, Jr., An approximation theorem of Runge type for the heat equation, Proc. Amer. Math. Soc. 52 (1975), 289-292. B. Levin, Distribution of Zeros of Entire Functions, American Mathematical Society, Providence, 1964.


82 20. H. Lewy, On the reflection laws of second order differential equations in two independent variables, Bull. Amer. Math. Soc. 65 (1959), 37-58. 21. H. Levy, On the extension of harmonic functions in three variables, J. Math. Mech.lh (1965), 925-927.

E. Magenes, Sull' equazione del calore:

teoremi di unicit'a e

teoremi di completezza connessi col metodo di integrazione di M. Picone, Rend. Sem. Mat. Univ. Padova 21 (1952), I, 99-123, II, 136-170.


M. Stecher, Integral operators and the noncharacteristic Cauchy problem for parabolic equations, SIAM J. Math. Anal. 5 (1975), 796-811.

I. N. Vekua, New Methods for Solvin~ Elliptic Equat%ons, John Wiley, New York, 1967.


D. Widder, Th9 Heat Equation, Academic Press, New York, 1975. D. Widder, Analytic solutions of the heat equation, Duke Math. J. 29 (1962), h97-503.


Legendre polynomials and singular differential operators

W N Everitt


The Legendre polynomials can be defined in a

number of different ways which we review here briefly before discussing the connection with differential operators. For convenience

let (-I,|) be the open interval of the real line, and let N o = {0,1,2,. .... } be the set of non-negative integers. All the definitions given below are inter-connected, as may be

seen in the standard accounts of the Legendre functions given in [2] by Erdglyi et al, and [9] by Whittaker and Watson. (i) The Legendre differential equation For our purposes this is written in the form (here ' ~ d/dx) (x ~ (-l,l)) (I.I)

(I - x2)y"(x) - 2xy'(x) + n(n + l)y(x) = O

which is derived from the Laplace or the wave equation, considered in polar co-ordinates. This equation has singular points at l where This equation has a non-trivial

the leading coefficient vanishes.

solution which is bounded on (-I ,I) if and only if n No; the corresponding solution is P (-), i.e. the Legendre polynomial of order n. n See [2, chapter III] and [9 sections 15.13 and 15.14] (ii) The Poisson generating function This definition takes the form

I /(I - 2xh + h 2)

= ~ Pn(x)hn n=

(x (-I ,I))

valid for all h with I~ < I. (iii)

See [2, section 3.6.2] and [9, section 15.1]

The Rodrigues formula This definition has the form

Pn(x) -

1 2 n n. v

dx n

(x 2

1) n



~ No);

see [2, section 3.6.2] and [9, section 15.|I]



The Gram-Schmidt


The Legendre polynomials may be defined by the GramSchmidt process applied to the set {xn : x ~ (-l,l), n E N }

in the integrable-square


space L2(-1,I).

See Akhiezer

and Glazman [1, section 8], [2, sections [9, section ll,6]. This definition

10.1 and IO. I0] and

leads to the fundamental or thogonal

property of the Legendre polynomials f Pm(X)Pn(X)dx = (n + ~)6mn -l (m,n E N o ) (1.2)

where ~ is the Kronecker delta function. mn Whichever definition is adopted it is important subsequently to prove that the set of Legendre polynomials is complete, equivalently closed, in L2(-1,1); and [2, section I0.2]. {P (.):n e N o }

see [I, sections 8 and 9]

Once the orthogomal property of the polynomials

is known the completeness may be obtained by classical means, as for the completeness of the trigonometrical functions, using the Weierstrass

polynomial approximation intervals;

theorem for continuous functions on compact 10.2].

for details see [] , section 11] and [2, section

Our interest in this paper is to discuss the definition and completeness of the Legendre polynomials in L2(-I,I) from the

viewpoint of the Titchmarsh - Weyl theory of singular differential operators.


This theory is concerned with the differential equation

(py')' + qy =

%wy on



where p, q and w are real-valued


on the interval


and % is a complex-valued parameter. If in (1.3) the coefficient w is non-negative on (a,b)

then this is a so-called risht definite problem and is studied in the integrable-square f f or which space ~ ( a , b ) , i.e. the collection of those functions

b w(x) If (x) 1 2dx < ~



If in (1.3) it should happen that, whether w is of one sign or not, both p and q are non-negative then the problem is called


left-definite and is studied in the space of those functions f for which b f {p(x) If'(x)I2 + q(x) If(x)12}dx < ~

(1.5) left-definite cases

For both the right- and respectively the differential limit-circle,

equation is classified as either limit-point or

at an end-point a or b, according as to whether not all or (1.4) respectively (1.5),

all solutions of (1.3) are in the spaces in the neighbourhood the classification

of the endpoint in question.

For reference to (1.3) in the right-

of the differential equation

definite case see Naimark [4, section 18.1] and Titchmarsh [8, sections 2.1 and 2.19]; and in the left-definite [6, sections I . 4 and 5]. For the purposes of the study of the Legendre equation in this paper we write the equation in the form ((I - x2)y'(x)) ' + y(x) = % y(x) (x ~(-l,l)), (1.1) case see Pleijel



so that in comparison with the standard form (3.3) we have a = -I, b = | 2 p(x) = I - x q(x) = w(x) = | (x c(-1,3)). in the

Thus we may study the Legendre equation as right-definite space L2(-I,I), and left-definite in the space

I -I

{(I - x2llf'(x) I + 1f(x) 12}dx < 2

which, for convenience in this paper, we denote by H2(-;,I). The original study of Legendre's differential equation in the right-definite 4.3 to 4.7]. limit-circle case in L2(-l,l) is due to Titchmarsh; see [8, sections (1.6) is

It should he noted that the Legendre equation at both end-points ~I in the right-definite

case; for

details see [8, section 4.5] and [I, II, appendix II, section 9, II]. Here it is emphasized that the analysis of Titchmarsh is essentially 'classical' with no reference to operator theoretic concepts. This

work was followed by the studies of Naimark [4] and Glazman as given in [3, appendix II, section 9]; in particular Glazman characterized elements in the domain of the differential Legendre polynomials. The first study of Legendre's differential equation in the left-definite case is due to Pleijel; see [5] and [6] in which may be the

operator giving rise to the


found references to earlier results of Pleijel and the work of his school at Uppsala. In particular we owe to Pleijel the observation

that the Legendre equation (1.6) is limit-point at both end-points I in the left-definite case; see [6, page 398]. Our purpose in this paper is to study the right- and left-definite problems for the Legendre differential equation with the methods of Titchmarsh [8] in mind. We link the Titchmarsh method

with operator-theoretic results in the Hilbert function spaces L2(-|,]) and H2(-I,I). The paper is in six sections; after this introduction the second section considers essential properties of the Legendre differential equation; the third and fourth sections are given over to r#mgrks. a study of the right- and left-definite cases; five and six to c e r t a i n / Notations ACIo c R - real field; C - complex field; L - Lebesgue integration;

local absolute continuity; if D is a set of elements f then

'(f D)' is to be read 'the set of all f D'; NO - the set of all non-negative integers. 2. The Legendre differential equation In this section we consider certain essential properties of Legendre's differential equation required for consideration of the right-definite and left-definite cases. As before we write the equation in the form ~I - x 2 ) y ' ( x ~ ' + y(x) = % y(x) For convenience let
p(x) = J - x2 (x ~ (-l,I)). (2.1)

(x (-I,])).


The standard form of the Legendre equation is given in (1.I) but for the purpose of considering both right- and left-definite problems the form (1.6) is to be preferred. A detailed discussion of the classical

properties of the Legendre equation (I.I) is to be found in Erd~lyi et al [2, volume I, chapter III]. The account of the Legendre equation in Titchmarsh [8, chapter IV] is based on the Liouville normal form of (1.6) i.e.
~ 2

y"(x) - sec x.

y(x) = ~ y(x)

(x (-~,n~ .

However, as is evident from the results in [8, section 4.5], this differential equation does not of itself enjoy the property of having




Here we adapt the analysis

of Titchmarsh


apply similar methods to the equation Legendre polynomials

(1.6) which does have the

directly as solutions. i.e. s 2 = ~, and determine the /(.)

We write s = /%, function by requiring O -< arg /% Following <~


O -< arg ~ < 2~ in [8, section 4.5]

two solutions

the analysis

of (1.6) above may be determined by -I COS X cos st dt Y(X, ~) = [ J -I (cos t - x) I/2 -COS x

(x (-l,l)

~ C) (2.3)

Z(x, ~) =

~ + sin-lx) cos st sin-lx,J (cos t + x) I/2 dt (x e (-l,l) % E C)

where the positive trigonometrical

square root is implied. are determined


In (2.3) the inverse -I by requiring cos x to decrease

from ~ to O, and sin-lx to increase from -In to ~ as, in both cases, x increases from-l to I.

To show that the Y and Z, as defined by (2.3), are solutions of (1.6) we follow [8, section 4.5] and write the integrals

as contour integrals cos sz Y(x, ~) = [ d z (2.4)

J G (cos z - x ) | / 2
cos sg d z

Z ( x , ~) = ~ J F (cos z + x) I/2
where now the sign convention


of [8, lemma 4.4] is taken to hold for integrands. In the integral

the square root terms in the complex-valued

for Y the integrand is made single-valued by cutting the z-plane from -1 -I - cos x to cos x; similarly for Z the cut is from - (~ + sinlx) to ( ~ + sin-lx). Here the contours G and F can be

taken as circles with centre the origin of the z-plane and of radius r and p respectively, where cos-lx < r < ~ and ~ + sin-lx < p <~.


We then follow differentiating order under

the method

of [8, section

4.5] by by parts, in (1.6)

the integral

sign and integrating

to show that Y and Z are solutions and all % ~ C . (2.4) and (2.5)

of the differential


for all x c (-1,I) From trigonometrical

and the properties

of the inverse


it may be shown that

Y(- x,~) = Z(x,~)

(x ~ (-1,1)

~ ~ c).

The initial values on using [8, lemma 4.4]; we find,

of Y and Z at 0 may be calculated for all % E C,


21/2~I/2 = r(~ + Is) r(~ - is)

= Z(O,%)



25/2~;/2 = - r( + s) r( - s)

= -Z'(O,%).


We note are linearly independent

from these results

that the solutions = 0 or Y'(O,%)

Y and Z

except when Y(O,%) .... - Y'(x,%)

= O, i.e.

when % = (n + )2 for n = 0,I,2, p(x) (Y(x,%) is independent that p(O) = 1~ Z'(x,%)

In fact the Wronskian Z(x,%)~ (2.8)

of x and has

the value,

on taking x = 0 and recalling

Y(O ~) z' (o,~) - Y'(O,~)

z(o,~) = 2z(o,~)


= 8~ cos ~s on following the analysis in [8, section forms 4.5]. Y and Z in the we give

The asymptotic neighbourhood some details of the singular for the point

of the solutions


I can be calculated; are similar for calculations

| and there

for -l.

For the solution Y(x,k) These results (2.4); single as x + ~ ~ /2

Y we find,

all % E C , (x + 1-). for Y given by G tends to the (2.]0)


~ (% - )~//2

follow from the integral


I- the cut in the z-plane within of the plane

the contour

point at the origin Y(x,X)

and we obtain

lim x I-

= [ co~ s z dz JG (cos z - l) I12 ~





the square root term the integrand

is regular within Using the calculus of

and on G except for a simple pole at the origin. residues yields lim x+lSimilarly lim x + lY'(x,~) = ~ [ JG ( c o s z COS SX


= 7/2

(~ e C).

dz = (~-)~//2

1) 3 / 2

also valid for all % e C. For the solution Z we find Z(x,%) ~ 2/2. cos ~s. In ('/(l-x) (x + 1-)

Z' (x,%) ~ 2/2.

cos ~s.

(I - x) -I

(x + I-)

both valid for all % c C except for the set of points {(n + i)2 : n = O, I, 2 . . . . }. The proof of the first of these results

follows from the analysis given in [8, section 4.5]; the second result then follows from the constant value of the Wronskian given by (2.8) and (2.9). The asymptotic above results forms of Y and Z at -| follow from the Y(-x,%) = Z(x,%) (x e (-1,1)). and the linear of Y and Z as

at I and the relationship

It follows from these asymptotic results independence

of the solutions Y and Z, except for certain exceptional (1.6) has a non-trivial solution

values of %, that the Legendre equation which is bounded on the internal set of points

(-1,1) if and only if % lies in the For all other values of % at 1 or -I or

{(n + )2 : n = O, I, 2 . . . . }.

any non-trivial at both points.

solution of the equation is unbounded

From Y and Z we now form solutions O and ~ of the Legendre equation (1.6) which satisfy the following
= 1 9'(0,~) = 0 (p(O,~) = 0

initial conditions
= |. (2.12)



In fact we have
O(x,~,) = Y ( x , % ) + Z ( x , k ) 2Y(O,~) '~ (x,%) = Y ( x , ~ ) - Z(x,~ .) 2Y' (0,%) (x E ( - 1 , 1 ) ) ( 2 . 1 3 )

for all ~ ~ C (but with care needed at the set {(n + )2 : n = 0, I,2,...}).

90 From the general properties of the differential equation (1.6) we know that the Wronskian p(@~' - 0'~) is constant

on (-I,I) and so
(1 - x 2 ) ( e ( x , ~ ) ~ ' ( x , k ) - @'(x,~)~(x,~) = 1 (x e ( - l , l ) , k ~ C)

The asymptotic forms of 0 and ~ follow from the earlier results for Y and Z given by (2,10) and (2.11). For
x ~

I- these are (2.14)

e(x,X) ~ r( ~s)r(i ~ iS)

2~ 1/2
e'(x,~) ~ r'( s)rd ~s) "

1 x


*(x,k) ~ - 2F(~ s)r('% - ~ ; )

in 1 1 - x Note again that not


~'(x,l) ~ - 2F(% +' ~s')'F(% s) "


There are similar results at -I.

all these results are valid at the set {(n + 3) 2 : n = 0,1,2 .... } of the k-plane. With these results established it is now possible to look at the classification in the right-definite, section ; above. In the risht-definite case; from the asymptotic results of the Legendre differential equation cases, as introduced in (1.6)

and left-definite

above for 0 and ~ it is clear that although these solutions are unbounded, in general, in the neighbourhood of the end-points 1, both @ and

are in L2(O,I) and L2(-I,0) for all % e C; thus the equation is limit-circle at both ! and -I in this case. (This result may also be (x e ( - 1 . 1 ~
: both

established independently

on considering the solutions of (1.6) in + x)/(lx9

the special ease i = , i.e. 1 and I n ~ l

these solutlons are in L (0,I) and L2(-I,O)

and so from a general result

[8, section 2.|9] the equation is limit-circle at 1 and -I.) In the left-definite case; here the spaces concerned the asymptotic results as given above, show

are, see section ! above, H2(O,I) and H2(-l,O); for the solutions 0 and ~ and their derivatives,

that for all non-real ~ e C neither @ nor ~ is in H2(0,I) or H2(-;,O) and this implies that the equation is limit-point case. (In the left-definite at 1 and -I in this

case greater care has to be taken in looking


at the nature of solutions at real values of %, in order to determine the classification of the equation; we do not discuss this point here but see the works of Pleijel [5] and [6], and references therein.) 3. The risht-definite case. In this section we consider the right-definite This section

case for the Legendre equation on the interval (-1,1).

is dependent in part on the original analysis of Titchmarsh in [7] and later in [8, chapter II, section 4.4]. Consider the Legendre differential equation in the form (1.6) on the interval (-1,1) i.e. - ((l-x2)y'(x)) ' + y(x) = %y(x) Cx (-1,1)).

For solutions of this equation in the neighbourhood of the singular point l, the general theory in [8, chapter 2] gives the existence of the Titchmarsh-Weyl m-coefficient; the analytic function m(') : C C

and determines a p~rticular solution ~ of the equation in the form ~(x,%) = e(x,%) + m(%)~(x,%) x (-;,I) % C R , (3.;)

where e and ~ are the solutions determined by (2.13).

As the differential

equation is limit-circle at both I, the m-coefficient is not unique and, in order to determine the differential operator associated with the Legendre polynomials, we have to make a suitable choice from the family of m-coefficients belonging to the end-point I. We do this by

following the limit process which determines m(') from the 1-functions; for the general theory see [8, section 2.;]. With the solutions 0 and ~ determined from (2.;2) and with % ~ C R, let ~ X be a solution of (1.6), here X (x (-1,1) . (0,1), given by

~x(X,%) = e(x,%) + l(%,X,B)~(x,%)

The function i is chosen so that ~X satisfies the following boundary condition at X @X(E,%) cos B + P(X)~x'(X,%)sin B = 0 for some B (-~,~] ; thus, for all ~ C~R, I(%,X,B) =

e(X,%) cos ~ + p(X)e'(X,%) sin ~(X,%) cos B Y P ( X ) ~ ' ( X , % ) sin

Now let X + ;- and choose ~ as a function of X so that 1 tends to a limit m(.), where m(-) : C + C and is regular on c~R. In this the

92 Legendre case we can see how this is done explicitly = }-| + p(X)Ol(X,l ) tan ~(X).{in((l-X)-l)} -I tan B(X).{In((I-X) -l)}-I we have (3.2) by writing I in

the form l(l,x,B)

_ O(X~I){In((I-X)-;)

~(X,X){In((I-X) LI)}'I '+ p(X),'(X,X) and then choose B(X) (X e (O,l)

so that for some y e ( - ~ , ~ r ] I-.

tan B(X).{In((I-X) -I) }-| + tan y as X the limits of all the remaining formulae (2.14 to 17) .

(Note that we can evaluate

terms in (3.2) from the asymptotic

In our case, guided by [8, section 4.5], we (O,l)); it then follows that

take y = 0 and so choose ~(X) = 0 ( X e m(l) = lira X -~ 1 I(I,X,0)

= lira {O(X'X)/~(X,I)} X -~ 1 . 2Y'(O,I) } Y(XTi7 r ZT(X,~)


lira { Y(X,I) + Z(X,I) =X + I . . . . 2V(0~,I)

y'(o,k) 4F(% + s ) r ( % Is) Y(o,------7)= - r( ~, + s)r(~ - ~s)

where we recall,

see (2.2), that s = /A. (3.3) we then find see (3.1), (x ~ (-I,]) (I e CNR) I e ckR) that the resulting solution 4(.,%)

From has the properties,

(i) 4(x,l) = Y(x,I)/Y(0,%) (ii) 4(',1) e L2(-I,I)

.. lira (xXl)x + ] 4(x,l) = Y(I,I)/Y(0,1) = ?r-I/2r(% + ~s)r(% s)

. ivJ,x lira ] 4'(x,l) (v) 4(.,i)

(l - )F(% + ~s)F(% - s)/(2~I) are unbounded in the neighbourhood of -I

and 4'(',I)

(1 c CxR).

A similar


holds for the singular



there is a solution X(.,I)

of (1.6) which has the form

(x e ( - 1 , I ) t E C~R)

X ( X , 1 ) = O(x,%) + n ( t ) ( x , t )

where n(1) = + Z'(O,I)/Z(0,1) = - m(1) (% e C',R) (3.4)

such that X(.,I) has the properties (i) (ii) X(X,1) = Z(x,1)/Z(0,%) X(',I) ~ L2(-I,I) X(X,l) (x E (-l,l) I ~ CxR)

(I CNR) s)

(iii) x - > - I lim

= ~-I /2F(% + s ) r ( % -


(iv) (v)

lim X'(X,%) = - ( l x + -1 X(',l) and X' ( . , l )

- )1`(% + ~ s ) r ( % -

s)/(2~) 1

a r e unbounded i n t h e n e i g h b o u r h o o d of

(X C\R). The Green's function for this choice of m(-) and n(.) is given by G(x, ; X) ffi

_ ~ ! x , ~) ~ (~, ~) {p W(~,~)}(%)
X(~) ~ (x,~)




< 1)





{p W(~,X) } (%) where, from the form of ~ and X, {p w(~,)}(X) = p(x)

= n(~)

- m(~) (~

- ~'(x,~)(x,l)

(x (-I,I)

From the general theory of differential equations of the form (1.6) with two singular end-polnts, that the eigenvalues it is known, see F8, section 2.18], choice of In this

of the equation, with the particular

and X above, are given by the zeros and poles of n(') - m(-). case, from (3.4), n(%) - m(X) = - 2m(%)
= 8 I'(% + s ) F ( % s)


r(~ + Is)r(

- s) see (2.2)) that the

and from this a calculation shows (recall s = ~; eigenvalues are given by %n = (n + )2 Anticipating (n No).

(3.6) let Po(T) denote

the definition of the operator T below,

the set of eigenvalues given by (3.6). Following the analysis in [8, section 4.53 it may be shown that the eigenfunetlons P~(T) are given by ~n(X) = (n + ~)I/2en(x ) (x ~ (-I,I) n No) (3.7) see [2, sections 3.6.2 ~ {~n(. ) : n ~ N o } corresponding to the eigenvalues

where {P (-) ; n ~ N } are the Legendre polynomials, n o and 10.6] and [9, section 15.1].

Here we leave the classical study of the differential equation of Legendre and turn to the study of the associated differential


operator in this, the right-definite, case. Let the symmetric differential expression M be defined by M[f](x) = -((I - x2)f'(x)) ' + f(x) (x ~ (-1,1)) For any f and g

for any f : (-I,I) -~ C with both f and f' E ACloc(-1,1). with these properties, integration by parts shows that

I J {~ M[f] - fM[g]} = [fg](')l~ [~,B] c (-l,l), where - f'(x)g(x)) (x c (-l,l)). (3.9) (3.8)

for all compact intervals

[fg](x) = p(x)(f(x)g'(x)

We define a differential operator T, later shown to be self-adjoint in the Hilbert function space L2(-l,l), as follows:

firstly define the linear manifold A c L2(-I,I) by f ~ A if (i) f : ( - l , l )

-~ C and f ~ L2(-I,I)

(ii) f and f' c ACloc(-l,l) (iii) M[f] ~ L2(-I,I) ;

secondly define the domain D(T) c A by f e D(T) if (iv) f A and for some I c C\P ~ (T) (a) lim
x-+ 1

If(x) ~ (x,l)] = 0



If(x) X(x,I)] = O ;

thirdly define the operator T by Tf = M[f] (f e D(T)).

Note that the limits in (iv)(a) and (b) exist and are finite in view of the Green's formula (3.8), and since f, ~ and X all satisfy conditions (i) and (iii) for A. The genesis of (iv)(a) and (b) as the correct general

form of boundary condition at a singular end-point may be seen in [8, section 2.7], and receives its full development in Naimark [4, section 18]. conditions determined, Note also that ~ and X themselves satisfy the boundary are

(iv)(a) and (b) respectively, and that once ~ and X

as above, then D(T) is independent of the choice of I in (iv)(a)

and (b); these results follow essentially from the important result given in [8, lemma 2.3].


Similar analysis also shows that for all f, g E D(T) (but not for all f, g e A ) lim If g](x) = O

lim If g](x) = 0


and then from Green's formula (3.8) it follows that (Tf,g) = (f,Tg) (f,g E D(T)) (3.11)

where (-,.) is the inner-produc~ in L2(-I,|). If Co(-l,l) represents all infinitely differentiable functions with compact support in (-],l) then clearly Co(-l,;) c D(T); hence D(T) is dense in L2(-|,I). that T is symmetric in L2(-],I). If also we define ~ : (-1,1) x C\R x L2(-I,]) C by, see [8, section 2.6] (x,l;f) = From this result and (3.11) it follows




then ~ , % ; f )

e D(T) and MIni = % ~ + f on (-I,I); (3.11b)

from this result it may be shown that (T i il)D(T) = L2(-I,;). Thus T is a self-adjoint (unbounded) differential operator in the space L2(-l,l). We now give a number of different but equivalent descriptions of the elements of the domain D(T), and, in particular, give a number of alternative forms of the boundary conditions (iv)(a) and (b) which reduce A to D(T). For an alternative account of these boundary conditions see

[|, appendix II, section 9, example II]. We first show that if f D(T) then lim f exist and are both l We have from [8, lem~na 2.9], but with our sign convention, for


f e D(T) and % ~ C\Po(T) f(x) = ~ (x,l;M[f]) - ~ $ (x,l;f) (x (-I,1)); (3.12)

it is essential for this result to hold that f satisfies the boundary condition (iv)(a) and (b). Next we prove the general result that if g ~ L2(-1,I) and E C\Po(T) then lim ~ (.,~;g) both exist and are finite; for I


(n(X) - re(X)) ~ (x,X;g) = ~(x,%) and


X(~,X)f(~)d~ + X(X,%)



IX (x,X) x*(~'X)f

I< " ' h - x '

d~.xlg(~)l 2d

= O(ln ((l-x)-l).
= o(1) (xl)
on using the results in (2.10 and ll). lim Ix ~2 x-~l ~(x,X) _iX(~,X)g(~)d~ =Y-~-,X) which is finite.

(l-x) 1/2)



There is a similar result if we take the limit at -I.

Thus it now follows from (3.12) that if f D(T) then lira f both exist and are finite; if f(l) is defined by these limits then I f c C[-I,I] for all f ~ D(T). Now suppose that f e A and lim f exist and are both finite; then we state that lim pf' = O. + To see this we can suppose, without loss

of generality, that f is real-valued on (-I,I); we have M[f] E L2(O,I), i.e. M[f] ~ L(O,I) and (pf')' ~ L(O,I); hence for some real k lim

Pf' = (pf')(O) +


(pf')' = k;


O now if k ~ 0 then we can take k > 0 and obtain f(x) ~ f(O) + ~k I~p-I for x close to I, i.e. lim f = = which is a contradiction; hence k = 0 1 and lim lim 1 pf' = O; similarly -I pf' = O. lim Now suppose f e ~ and I Pf' = O; then If(x) l ~ If(o) l + 0 If(o) l + K in ( ( I - x) -I) (x ( [ o , I ) ) If'l = If(o) l + Ipf'l

for some positive real number K; this last result, and again using lim 1 pf' = O, together with the known properties of ~, proves that lira if ~ (. ,l)] = O for any % ( C\Po(T); similarly lim [f X (-,l)] = O; -I

hence f E D(T).


If now f E D(T) then, from the results overleaf, lira pf,~ = O; hence from + {plf'

+ Ill 2} = pf,.?



it follows that pl/2f, e L 2 (-I,I).

Conversely let f E A and p |/2f,

L2 t_i,I~; ~

then M[f] e L(o,I) and as in (3.13) lim pf, = k (say); if k ~ 0 then + for x close to I it follows that, for some k

> 0,

iXp ]f,[2
as above, f ~ D(T).

zk O

iP x.

and pl/2f, 4 L2(o,I); this is a contradiction and so k = O; hence,

Taking all these results together it follows that the domain D(T) can be described in any one of the follow%ng five equivalent forms f ~ D(T) if f A and either (~) lim [f~] = lim [fx] = 0 1 -I or or or or (8) (y) lim +-I f exist and are finite lim _+ pf' = 0

(8) pl/2f, e L2(-I,I) (Z) lim [fl] = lim [fl] = 0 ; -I

where in (Z) the notation 1 is used to represent the function taking the value 1 on (-1,I). We can prove a little more; if f c D(T) then from (3.14) above we see that {plf' -I + Ill2} = -1 M[f]'f (f c D(T))

so that M satisfies the so-called Dirichlet formula on D(T) hut not, as may be readily shown, on the maximal linear manifold A. formula we see that the self-adjoint operator T satisfies (rf,f) > (f,f) (f E D(T)) (3.15) This is a special From the Dirichlet

with equality if and only if f is constant over (-I,I).


case of a general inequality for self-adjoint

operators which are

bounded below; in fact the first eigenvalue %o of T is . We comment on the spectrum of the self-adjoint operator T;

this consists of the set Po(T) = {%n = (n + )2; n E No}, see (3.6), each point of which is a simple eigenvalue with eigenfunetions Legendre polynomials and, in particular, the

{Pn(') : n No}; clearly Pn(') D(T) (n No) satisfies the boundary conditions (iv)(a) and (b). of the

For any real ~ g Po(T) it is clear from the properties

solutions ~(-,~) and X(',~), given earlier in this section, that no solution of Legendre's differential equation (1.6), with % = ~, can be

found which satisfies the boundary conditions at both singular end-points +-l. Indeed at all points D e R\P(T) it may be shown that (T - ~ I)D(T) = L2(-],l), on using the result (3. ;2); this shows that

is in the resolvent set of T; see if, section 43]. The general spectral theory of self-adjoint see [ 1, chapter VII now yields the completeness polynomials in L2(-l,l), operators,

of the set of Legendre of a self-adjoint The normalized

as the set of eigenvectors

operator T in L2(-I,I) with a simple, discrete spectrum. eigenvectors

of T, say {~n : n N o} given by ~n = (n + )I/2pn(n No),

then give an orthonomal basis in L2(-l,l). One additional comment;


if we define the

operator S : Co(-l,;) L2(-l,l) by Sf = M[f] (f Co(-l,|)) and satisfies the inequality see (3.15). The general theory of semi-

then S is symmetric in L2(-l,l)



-> ~(f.f)

(f E Co(-l,l)),

bounded sy~netric operators then applies, see [I, section 85], and the operator T then appears as the uniquely determined Friedrichs extension of S; this relates to the form (6) of the equivalent boundary conditions, i.e. a finite Dirichlet condition. 4. The left-definite case. We again consider the Legendre differential

equation in the form (1.6) M[y](x) = -((I - x2)y'(x)) ' + ~y(x) = %y(x) As in section I above we define H2(-I,|) = (x c (-l,l)). (1.6)

H 2 as the Hilbert function space f L2(-|,|)

H2(-l,l) = {f : (-l,|) -> C : f ACloc(-l,l),

and pl/2f, L2(-I,I)}


with inner-product (f'g)H = -I {pf'g' + fg} (4.1)

and norm llfllH;

here p(x) = 1 - x 2 (x c (-l,l)).

We noted in section 2 above that the differential expression M is limit-point in H2(-I,I) To obtain a self-adjoint at both the singular end-points I. operator S, say, in H2(-I,I),

as generated by M and playing the same r~le as the operator T in section 3, we follow the method used in Everitt [3], using also, in part, the work of Atkinson, Everitt and Ong in [ IO], There is a theory of the m-coefficient for left-definite of the We again use

problems which reflects some, but not all, of the properties Titchmarsh-Weyl m-coefficient in the right-definite theory.

the solutions O and ~ of (1.6) introduced in (2.13). Since the differential expression M is limit-point in H2(O,I) at the end-point H2(O,I) for any ~ e C\R. I, neither solution @(',~) or ~(.,l) is in However there exists a unique coefficient m(') case) which is

(we use the tilda notation to distinguish the left-definite analytic (regular, holomorphic) = @ + m ~ ~ H2(o,I). independent

in C\R and such that the solution

Now for )~ c C\R there is only one linearly (1.6) which lies in H2(o,I); from

solution of the equation

the asymptotic results (2.10 and 11), for the solutions Y(',%) and Z(',%), it is clear that this solution in H2(O,]) must be Y(',%). ~(.,~.) = 0(-,%)
+ m(%)~(.,%) = k(~)Y(-,%)


on [o,]) this result and evaluate i.e.


with k(-) to be determined.

If we differentiate

both sides at O we find that 1 = k(l)Y(o,%)

m(l) = Y'(o,I)/Y(o,I).

and ~(%) = k(l)Y'(o,l),

Similarly at the end-point -I the solution in H2(-I,o) is Z(.,%) and, writing ~ = @ + n q~,



- ~(~).


Note that m = m of (3.3), and similarly n = n, of the case but note that m is unique whilst we had to select m in

section 3 as a consequence of the limit-circle classification.


These results give ~(.,%) = Y(.,%)/Y(o,%) X(',%) = Z(.,%)/Z(o,%) (= ~(.,%) of section 3) (= X(.,%) of section 3). (4.4)

As in section 3 m(.) and n(.) are meromorphic on C with simple poles only at the points {(n + ~)2 : n e N }. In particular these o functions are regular at O and we use this fact to construct the resolvent function $ as in section 3 above; in fact we can identify $ with ~ of (3.11a)

~(x,~;f) = ~(x,~;f)
but now defined for x (-|,l), % ~ C\{(n + i 2 :n e N o} and all 2) f ~ H2(-l,l). It is convenient to define ~ : (-;,I) H2(-l,|) -> C by ~(x;f) = $(x,o;f); it follows that, see (3.11b), M[~(x;f)] = f(x) (x c (-1,1)),




Now define a linear operator A on H2(-l,l) by (Af)(x) = ~(x;f) for all f H2(-l,l). (x (-I,1)) (4.8)

We shall show A is a bounded, symmetric operator also that A has an inverse A -I.

on H2(-l,l) into H2(-I,l);

For this purpose we require Len~na (i) (ii) Proof (i) ~(.;f) ~ C[-],|] lirap ~, (';f)g = O +l (f H 2) (f,g E H 2) (4.5) and (4.6) of ~ and the

This follows from the definition

asymptotic properties of the solutions Y and Z of Legendre's equation. (ii) We note that if g E H 2 then Ig(x) l = Ig() + i.e. I-< Ig()l + [Jo op]g,12 i/2 (x -~ I).

g(x) = O({In((l - x)-l)} I/2)

Hence, from (4.6),

(4.5) and the asymptotic properties of solution of the Ii[~[2}i/2 )

differential equation, p(x) ~'(x; f)g(x) = O(p(x) Ig(x)|) + O(Ig(x) l{

= O~I - x){In((l - x)-l)} I/2)

= o (l)




Similarly at -1.

This completes the proof of the lemma.

We now show t h a t t h e o p e r a t o r A i s bounded on H2; i n f a c t

IIAflIH = ll~(';f)][H -<~llfl[H We have, f o r a l l x e ( o , l ) fXxf (~)


(f c H2).


(~;f)d ~ = Ix

M[~(~;f)] ~ (~;f)d

= p~'(-;f)~(-;f) xx + I {p(~)l~' (~;f112+1~(~;f) 12}d~. x


Now l e t x -~ 1 to g i v e , on u s i n g t h e lemma above, ,[~(.;f),[2 = If I f(~)~(~;f)d~

< ~o

<{I I 'f(~)'2d~Ij l'(~;f)12d~I I/2

-I I

since f L2(-I,I) (recall H2 c L 2) and ~ (.;f) ~ C[-I.I], i.e. ~ (';f) c H2(f ~ H2). Also


IIAfl[H < 411fIIN (f c H 2)
I n t e g r a t i o n by p a r t s g i v e s

and from this (4.9) follows as required. =

fl -I


{p~flg, + ~g} =

p~,g I

fl -1


= II M[~]g -I = =

(on using the lemma) (on using (4.7))

f' f'

f g (f.g ~ H 2)


f M[~(-;g)] = (f,Ag)
Since A i s bounded i t

-1 on r e v e r s i n g the argument; thus A i s symmetric.

follows that A is self-adjoint.


Suppose now Af = O, i.e. ~(x;f) = 0 then from (4.7) 0 = M[~(x;f)] i.e. f = 0 in H 2. = f(x) (x E (-1,I)),

(x ~ (-!,l));

Thus A -! exists.

Now define an operator S : D(S) H 2 H 2 by D(S) = {Af : f e H 2} and -! S f = A A standard to theorem H 2. f (f c D(S)) (4.10)

theorem in Hilbert space theory,

see [1, section 4l, corollary (bounded or unbounded) in

1], implies that S is self-adjoint

In fact S must be unbounded

since, from the properties

of ~, it follows

that if f e D(S) then f' e ACloc(-l,] ) and so D(S) is strictly contained in H 2, even though the closure D(S) = H2; it may be seen that if S is bounded then D(S) = H 2 and this gives a contradiction. We conclude that S is an unbounded in H2(-1,1); self-adjoint operator

we now show that S has a simple discrete

spectrum with

O(S) = P~(S) = {(n + )2 : n No}; we note that this spectrum is identical with Po(T) of the operator T introduced in (3.6). of S, i.e. for some and = ~-|M[f].

Suppose that % is an e i g e n ~ l u e eigenvector

f ~ O, Sf = Xf; then X ~ O, since S -! = A exists, = X-!f or, on using

Af = A-!f; hence ~(.;f) Thus f is a non-trival that f ~ H2(-I,I);

(4.7), f = M[~(-;f)]

solution of the Legendre

equation with the property

from the properties

of the Legendre equation given in

section 2 this can happen only when the solutions Y and Z are linearly dependent, dependent {Pn(') i.e. when % c Po(S) on the corresponding and then the eigenvector f is linearly

Legendre polynomial from the set

: n e No}.

Conversely every point in the set Po(S) is an eigenvalue eigenvector in {Pn : n N o }.

with corresponding

For all real numbers D @ Po(S) we can show that the range of S-ZI is H2(-I,I), i.e. {(S - B I)f : f D(S)} = H2(-l,l); this follows

from the properties

of the resolvent

function ~ as defined in (4.5). set of S, and so O(S) = Po(S). operators in Hilbert form

Hence all these points are in the resolvent

The spectral theorem for self-adjoint space,

see [I, chapter VII, now implies that the Legendre polynomials


a complete,

orthogonal set in H2(-],I).

The derived complete orthonormal

set in this space is then, say, {~n : n No} where ~n = (n + )-;/2P n (n E No). From this last result it may be shown that the Legendre polynomials are dense in those vectors of L2(-I,;) which are also in and so we obtain,

H2(II,I); however this set is d~nse itself in L2(-I,1) indirectly, yet another p r o o f ~ h e in L2(-I, I). 5. Remarks on the operators T and S. completeness

of the Legendre polynomials

It is of some interest to compare the

operators T and S as defined in sections 3 and 4 respectively. T is an unbounded self-adjoint, differential operator in

L2(-I,I) with a simple, discrete spectrum {(n + ~)2 : n E N o} and corresponding eigenvectors {Pn : n e No}. self-adjoint operator in H2(-I,I) with we may hesitate to

S is an unbounded the same simple, discrete call S a differential

spectrum and eigenvectors;

operator for the reasons given below.

The operator T, and its domain D(T), is defined directly in terms of the Legendre differential expression M; also we are able to give alternative and simplified descriptions of the elements of D(T), as

detailed in section 3. The situation for the operator S is different; we defined S as the inverse A -I of a bounded, symmetric operator in H2(-I,I). Whilst

we can say something about the elements of the domain D(S), in particular as sets of complex-valued functions on [-1,1] we have D(S) c D(T)

(see the alternative definition T below), it does not seem possible to characterize the operator S directly in terms of the Legendre differential expression M. The definition of S in section 4, i.e. S = A -I, depends

upon a general theorem in Hilbert space theory (see the result quoted in section 4 from [I]) which provides for the existence of S but, due to the generality of the theorem, general. cannot give a constructive definition in operator only in an indirect

Thus S appears as a differential

sense in comparison with the operator T. It is of interest to note that we could have defined the operator T in the same way as S is defined in section 4. With the resolvent

function # defined by (3.|]a) let the operator B be defined on L2(-I,|) by (Bf)(x) = (x,o;f) (x ~ (-l,l))


for all f E L 2 (-I,I); compare with (4.8).

With arguments entirely similar

to those used in section 4 we may prove that B is a symmetric, bounded operator on L2(-I,I) into L2(-I,;), and that the inverse B -I exists; also that the operator T, as already defined in section 3, satisfies -1 Note that in the sense H2(-I,I) c L2(-I,I), we have A = B on H2(-;,]). However, the inverse A -I has to be determined in


H2(-I,I) and B-; in the space L2(-I,I) so that there is no identification of S with T, even on D(S). It happens then that in the right-definite case, we are -I = T, a

able to give an explicit characterization of the inverse B

characterization which is not possible in the left-definite case. These remarks should also be read in the context of the general theory developed by Pleijel for both the right- and left- definite cases; see, in particular, the illuminating results given in the concluding remarks in [6, section 8]. 6. H alf-ranse Lesendre series. In the theory of Fourier series the two

collections of functions {sin n x : x ~ [o,~], n E N o } and {cos n x : x E [o,~], n e N o } give separate orthogonal sets in L2(o,~), both of which are complete in this space; these are termed half-range Fourier series. The two collections conbined and extended to the interval

[-~,~] give an orthogonal set which is complete in L2(-~,~). The same phenomena is seen in Legendre series. The two

collections of polynomials {P2n+l (') : n e N o } and {P2n (.) : n e N o} give two separate, complete orthogonal sets in L2(O,I). The associated self-adjoint, differential operators are given respectively, say, by T o and T 1 where D(T o) = {f:[o,|) C : f and fl E ACloc[O,l) f and M[f] E L2(O,I) f(o) = 0 and lim [f~] = O}


Tof = M[f]

(f e D(To))

(in the notation of section 3); and D(TI) and T; are given by replacing the boundary condition at the regular end-point O by f4(o) = O. It may


be seen that the spectrum (simple and discrete)

of T

is given by

{(2n + )2 : n E No}; similarly for T! but with spectrum 3 2 {(2 n + ~-) : n No}. There are similar half-range Legendre expansions in the left-definite case.




N.I. Akhiezer and I.M. Glazman. Hilbert space:

Theory of linear operators in

I and II (Ungar, New York, 1961; translated from

the Russian edition). 2. A. Erd~lyi et al. Higher transcendental functions: I and II

(McGraw-Hill, New York, 1953). 3. W.N. Everitt. Some remarks on a differential expression with an S~ectral theory and asymptotics of Mathematical Studies 13, 1974).

indefinite weight function. differential equations.


E.M. de Jager (ed), (North-Holland, Amsterdam, 4. M.A. Naimark.

Linear differential operators: II (Ungar, New York, 1968;

translated from the Russian). 5. A. Pleijel. On Legendre's polynomials New developments in differential Mathematical Studies 21, W. Eckha~s (ed), 1976).

equations 175-180.

(North-Holland, Amsterdam, 6. ~. Pleijel.

On the boundary condition for the Legendre polynomials.

Annales Academiae Scientiarum Fennicae; Series A.I. Mathematica 2, 1976, 397-408. 7. E.C. Titchmarsh. (Oxford) 8. On expensi~s in eigenfunctions II. Quart. J. Math.

ii, 1940, 129-140. Eigenfunction expansions associated with second-order I (Clarendon Press, Oxford, 1962). A course of modern analysis (University

E.C. Titchmarsh.

differential equations; 9.

E.T. Whittaker and G.N. Watson. Press, Cambridge, 1927).


F.V. Atkinson, W.N. Everitt and K.S. Ong.

On the m-coefficient of

Weyl for a differential equation with an indefinite weight function. Proc. London Math. Soc. (3) 29 (1974), 368-384.








Icl raw, tory of Arthur Erd@lyi In which this have Let space terior smooth potential ditions
~z~ :x a = t on ,

paper been

we proved

shall [ iin ] in

extend the

to particular


general case A set of of

surfaces a of cube.



be the . We


boundary P .:: (,v,z). ~ the as

aof bounded Let a E be

domain the

the the and does satisfies

cartesian points suppose r_ exist. the The conex-

X ~ of to A enough

point consider so that u


surface function u of E





in : R E

u E and

~y~ lira

~z ~(P) ~

= 0


: O.






X 3 and





I = t . Let

5* tive



of 5 we
; o

which shall

does denote

not H R bythe

coincide cone

with 5





H R - IP If we =


~ S



suppose that


by 0 < R




~- }%

B~ We

Ft R



shall of one end )

assume arcs of

that 5 ~ is 9 great

connected two be the the

set of

formed them

a by finite meeting, of ~ 9S and eventually, let

collection only ~h on the in


point. be the We
-~ R o

oJ I , .... '~I Let size denote

~ P-O

vertices of ~S"

(h= ~,...,q side


angle the segment

) .

, in measured ~h bythe

of 5 ~
o -~ I P - O I

by I h

ofX ~ defined


= tP-Ot(~h-O

Let of

L~ consider


the the

Laplace-Beltrami eigenvalue
f ),~ : 0 ~r ~ 0

operator problem
in on

on 5



domain 5"




The i) of tive

following The eigenvalues which form For an every

results of

can the





known: in the real space ~) posi~,(5

problem belonging which algebraic

[considered to La(S ] are ~) to

functions and 2)

havea gradient ascending eigenvalue and of eigenvalue is always part of the

sequence the this

tends +

multiplicity is is



geometrical 3) 4) ing The The

multiplicity eigenfunctions smallest

multiplicity (i) are

finite. in 5~

problem has

continuous the

multiplicity 1 and (or always ~ H R of

correspondin by 5"

eigenfunction Let ~4 H R be

positive the boundary

negative) H~ defined



, IP-Ol ~ OS



H R pointing

Let towards E

be We



normal in consider
~CQ) : - _L

a regular the
~___! ~

point the





charge in


following and



the b e h a v i o u r ~ near



electric and the

field edges

grad u

of the e l e c t r i c


the v e r t e x


~ 1 4 RI.





u .....

~ i~)

(o < R

< R~

) we


a< :


,,,~ ~P h,t P-O






Ira- ~0 k)


~h > ~



~h i log


k~h :


- u~ h I


~h 4







capital 0


The the symbol

asymptotic G9 in it

formula (2) cannot point of be

cannot replaced in


improved if x

in tends

the to

sense an 0 of . ) ar-


o by (z) a suitable

bitrarily If and

fixed Q ~ is ~ FI~

I of u ..- Iq the plane =

neighborhood ( ~ =~" ~ ; ~9+~ = ~

a point ( I h

0 m h ~I,+~ i ~ ) we have

u [h+,)
= 0

( I~

PROOF. For 0 <


'-~,~ ~ ~ : , ) '

R o

a) 5" ,



The of

convergence We

of have
'~'U -:-+












~ -




~rby and k


over5 ~




Zrk L,(oUdo)

The in are apply the differentiations right hand because Green side

"Uk(~ ) = fg~, U(tc, a') V k (CO)dCO .

with of of formula respect (5), lemma I of which [ ~ ] to ~ under are The needed same lemma the integral in order (4) permits to sign
, to


permitted the


a_ _ = U.

~- __ d U Z

_ __ ~





UK( ~):
whe re c

c k?

+ %(:


c -k









small o

Since U(q~)
is continuous as -) 0 ~
, we



and (6)

formal]y grad




zrk(co )

Since ~or every C~ ~notion

we get
~ ~ o(~.I

~ we have Igrad #I~ : ~ ,

IZ -i

{, I g r a % ~


I grad



: I% ~



+ ~

~ g rIa d
II ]

~ I


5~ o n t o

d o m a i n by a s t e r e o (~)
of , [Iwe have





~_ c 1~ ,


C Set is

"G I z K


I kk~ ~ I hilt ~t (co) ~ (2 ~2 IS ~h(c)

only r, depending on ~.


~h(~ )

: l~-cohl

I~ - coal if

Ph ( ~



(8), (9)


deduce q

where ~ Let is ~

Ivk(~)l -~ F ~ k ~ ~h(~)
a constant be


depending such

on for

~ co ~ 5 ~

a constant


h:~ If w e set 6 = ( rues

h= ~)2 then


.............. ~




_z R~ ~






of [I].



(7), (9), (i0),

(ii), (12)



It p.442) Therefore,
any k

-the ~0. two


asymptotic It follows theory eigenvalues of - that lim ~ k constants and po
I 3

(see ~ that 0 . for [2]

is that


from lim ~ ~k ~ k

-- q~




p~ such
P ~.



for 0 4 ~



ki k s {-~q )PJ~ :



~-~ ( {


+ Po l o g

) = O.

which proves the total convergence of the series


in is



[0, R ].







by (6)

justified. We I grad have ~ I 4_ in H R - (i u...u

6 ~ II rh(~) h.:t

|~ ) , assuming E

~ ~ ~

- -

~z~ (d








for 0 ~ ~ ~
~R ~

~_ M we have in H a- (I~u I grad i.e. the estimate that ,,. u i~ )


ut I


6 ~ 11 ~
h:~ h


(2). there existsa point P?E i I u-. u ]q such that

Suppose (13) We we the have

[grad -]p :o[~"~.-li

can c~ < 0 exclude since when ~j~ ~ > 0 such O. If the ~ >o P~O (13) case

0P~: and

. In U<0 in fact in the ~ ~ . On

I~ ~-01 <
development other




estimate Hence


implies ~ = 0 . holds when P-, P~ , then there




a-~ q



,_ 8~

]7 r (co)

We may s u p p o s e



_P we h a v e

o < c~ _~ ~..

For such

Igrad L~I >. i c , ] l g r a d ~ ~ ( o o ) l (14) ~

- -


ICi~l I g r a d ~ ( a ) )

[c,l la~

e( -~



20( - .2

+ ~

~Y (co

_ o__~?,=h
Let M~

(~),,r-:z :x,,(~g
be a positive

* ~ )

< ~.



for ~ ~ 0




~ ~"



I,.:~ h

]] ~(~) _> Ic, l~

[lC,] grad


oa~r~(a))[- M t 6 I-



g "~i (co)


V1 ~(2a)

11 =~,(~)].

The re f ore

Since lemma III If we have Q P~ ~ of = ~w

I.tr4(co)l z Ic,I
0 and ~(a))>O in ~, the S

last estimate contradicts

[if. is a point of the plane 0 cohogh~ ~ , then for ~e~H~

~ (~)...

~h.,(~)~t,~(~) constant. Since

-.. V9 (~)

"- L obtain

where the


a positive (3). II. is From ~ is

Ic~(G)I I[ grad"]QIwe -~

estimate THEOREM

A necessary that the HR should convexity

and be of

sufficient convex. HRo we





( 0

< P, 4 PROOF.

R o)

deduce ~h < ~ that Hence 11 the is


..,~) than which

and the can


contained eigenvalue computed

in a hemisphere. of and the problem (i)

greater ,

smallest be easily

for the


equals From 2.


~i > 2

we is deduce ~ > ~ .Hence in FI R necessity and from the proof on the of Hg ~

Theorem we I
h ( h ~

~ , " "' ' @



continuous The

vanishes from





estimate cannot (2)


improved. From now on (HRo III.


we is

shall not Letp be

assume convex). the






value we of h



J , . j

2 IX~



2 1"1




Then I g r a d u l

e LP(H~)

( 0 ~ 1~ ~ Ro ) f o r


such that

4 a p ~ ~. We h a v e

integral is

f r o m (2)


} g r a d ~ l c: L P(Ft R) i f



On following the other hand are this integrals

integral is finite if and only if the finite:

where ~h > ~T


second .From IV. this

integral remark p be

must the the

be proof

considered follows. of the

for h

any such






that ( 0 <

are R PROOF.

positive. ~ ) Ro for any

Then p by

the such ~h O~0hC0h,

electric that the ~ 4 p

density ~ p .





Denote the are plane

planar .We have

sector ~(Q)E

which H LP(~ if R)


the the

intersection follow-

of ing





for any h such

fZh~ (a'~) P l't::h(r~)Z'h~

that at least

( c u ) J P d Y'~
one of the following inequalities holds:

h > ~ '~h#~ > ~ " Assume in the pole only 0 if and for polar all

plane 0 ~0 h ~oh+ ~

a polar integrals ~h> ~ and

coordinate (16) for 0 are ~ ~

system finite 42'E we if

with and ha~e

axis 0 co h the h such

.The that


From Theorem in [3] , which The behaviour i, , .. eigenvalue domain: numerical , iq

this IV


proof a

follows. result~obtainable e Lz(94 in field of (i) o i , obtained

< ~ ~


from ) paper




that ~

H R this and the In o

theory of to ~ o< x < ~ the the of

developed electric computation the , O have problem < y ~

reduces the electric ,i.e. that A ifollowing , [ i]


description of the density and 0 near


constant ~ the < ~ case z the~

the is

lowest the cubic

rigorous ) :



for ([4],



which l e a d t o t h e f o l l o w i n g bounds f o r
0.4335 These ing bounds together with < ~


0.4646. III and IV lead to the follow-


function of a

theoretic cube
















D ~ a < I. that

[ 1 ]

G. FICHERA, Asymptotic behaviour of the electric field and densit of the electric charge in the neighborhood of singular a points conducting surface, Uspekhi Mat. Nauk,30:3,1975,pp. lO5-124; English translation: Russian Math. Surveys,30:3,1975,pp.107-127; Ital.translation:Rend, del Seminario'Univ, e del Politec. di Torino, 32,1973-74,pp. II~-143. Methods York, 1953. of Mathematical Physics,vol. I; Inter-

[ 2

] R. COURANT-D. HILBERT, science Publ. New ] M.A.SNEIDER, s_aa, Mem. Acc. G. FICHERA-M.A. le voisinage Paris,278

[ 3

Sulla capacit& elettrostatica Naz. Lincei,X,3,1970,pp.99-215. SNEIDER, Distribution des sommets et des 1974,pp.1303-1306.





[ 4 ]

de ar~tes

la charge d'un cube,

~lectrique C.R.Acad.

dan Sc





P. Habets

. Introduction A major contribution boundary value problems [5]. An extension A. van Harten bibliography). to singular perturbations of linear elliptic

(BVP) is due to W. Eckhaus and E.M. de Jager equations has been worked out by for a complete

to nonlinear


(see these references

The present paper extends these results using monotone inequalities,

methods and differential

As a first step, we consider the nonlinear domain ~ C ~2 eL2u + Liu = f(x,u) u = g(x) where E > O, u E ~, x E ~2, Li is a linear operator; in

elliptic BVP in a

(1.1) on ~ i th order differential

f(x,u) and g(x) are given functions iteration

and f is increasing [8] we prove the result to the

with respect to u, Using monotone


existence of solutions of (1.1) and a convergence solution of reduced problem L1u = f(x,u)
u = g(x)

in ~

(i .2)
on F

with F G 3~. Convergence


of order E except

in an arbitrary


neighbourhood of 3~ \ F, where exponential and in an arbitrary


layer can appear,

small neighbourhood of a set D where the solution (1.2) is not C 2. We do not suppose the set

of the reduced problem

to be convex, which allows free boundary layers. Also, free boundary layers appear along the parts of the boundary of ~ which contain characteristics of the reduced problem (1.2). However, in such cases,

we give no informations

on the behaviour of the solutions of (I.I) in layers. Our work is very much

a neighbourhood of these free boundary in the spirit of A. van Harten (I.I) is supposed

[II] chapter 6. In [II] a solution of than a

to exist as well as a better approximation

solution of (1.2). This allows the use of the maximum principle together with a constant as a barrier function. In our work, we


directly prove existence As a by-product

and the limiting behaviour

using monotone


this also gives an explicit is not restricted

scheme to cumpute the solution.

Further our method

to second order problem as it is the

case for the maximum principle tool of this section

used in []l]. Notice at last that the main of a known

(theorem 3.4) is a slight generalization

theorem on elliptic BVP (see H. Amann

['l] where other BVP are considered).

In a second part, we allow nonlinearities More precisely, we consider the BVP EL2u = f(t,U,Ux,EUy) u = g Using a theorem of M. Nagumo

with gradient dependance.

in on ~ inequalities we

[9] based on differential

extend the existence and convergence BVP could be investigated

results of the first part. More general [2]. The main drawback of this

using H. Amann

approach is that it is restricked

to second order equation.

In the last part of the paper, we investigate E2uIv - p(t)u" = f(t,u)

the fourth order BVP

u(o) = u(]) = n"(o) = u"(|) = 0 which can be interpreted to high order equations worked out in [6] L.F. Shampine [4]. as describing a beam with pin-ends. This extends [3] and

the type of results introduced by N.I. Bri

[7]. Similar ideas appear in F.W. Dorr, S.V. Parter and

2. A fixed point theorem for increasing maps 2.1. Let ~ be a bounded domain in ~ n and C(~)"the Banach space of continuous

functions u : ~ ~ ~ together with the norm Iluil = sup lu(x) l. The space C(~), IE.[i together with the order u] ~ u 2 iff Vx ~ []] ul(x) ~ u2(x)

is an ordered Banach space

If ~ e C(~), B C(~), ~ ~ B, let us define

[~,8] = {x ~ C(~)


x < $~.

An operator T : [~ B] ~ C(~) is said increasing

if u| < u 2 implies

T(u l ) ~ T(u 2)



[I] Suppose that : I

: [a,B] ~ C(~) is an inereas~ng map

which is c o . a c t and such that a ~Ta then the iteration schemes

TB~<6 ,

u_~ = T ~ _ 1 Uk = TUk-I

converge to fixed points ~ and u of T such that

<u_k~ ~ = T(~) < ~ = T(~) < uk ~ B.


An elliptic boundary value Problem 3~ is a I- dimensional operators

3. I. Let ~ C fl~2 be a bounded domain whose boundary C 2+v manifold for some v @ (o,I). Consider

the differential

L 2 = - all(X,y)DxDx - 2a 12(X,y)DxDy - a22(x'Y) DyDy L 1 = - p(x,y)D x + q(x,y) where the following assumptions (H-i) aij , p, q E cV(~); are satisfied :

(H-ii) for some ~

> 0 and all (x,y) E ~, ~ E ~2, Z 2 lSjaij(x,Y)~i~j ~ Kol~ i ;

q(x,y) i> 0.

(H-iii) V(x,y) ~,

Consider the linear BVP ~L2u + LlU = f u = g in (3.1) on 3~ (H-i) to

where E > 0. It is well known [l] that under assumptions (H-iii), one can define the solution operators K : cV(~) ~ c2+V(~), R : ~+v~)~ c2+V(~), f ~ Kf g ~ Rg

where Kf denotes the solution of the BVP (3.1) with g m 0 and Rg the solution of (3.1) with f m O. The solution of (3.1) reads then u = Kf + Rg.


3.2. Let f : ~ x ~ ~ ~ and g : ~ (H-iv) f E cV(~x~),


~ ~ be such that

fu E C(Hx~), g E c2+V($~);

V ( x , y ) e ~, u t > u 2 implies

f(x,y,u I) > f(x,y,u2) . In the following we consider the non]inear BVP in H

(3.2) u = g(x,y) w h i c h can be s o l v e d u s i n g t h e f o l l o w i n g on ~ Lemma ( s e e H. Amann [ 1 ] ) .

gL2u + Llu = f(x,y,u)

3.3. LEMMA

If assumptions (H-i) to (H-v) are satisfied, the BVP (3.2) is

equivalent to the fixed point equation

u = Kf(.,u) + Rg = lu ,

in C(~l) and the map.

I : c(~)-~c(~) , o ~ [0,2[,

is increasing and completely continuous.

3.4. We are now ready to prove the main tool of this section. THEOREM

Suppose there exist functions ~i C C2(~), i = 1,2,..,k and

Bj E C2(~), j = 1,2,.,,1 such that for any i and j, ai ~ Bj, L2a i + LI~ i ~ f(.,a i) , L26 j + LIB j ~ f(.,~j)

in H,

Then if assumptions (H-i) to (H-v) are satisfied the iteration

uO = a = max a. (resp = B = min B ) i i j j Uk+ I = Tu k = Kf(.,u k) + Rg

converge in C2(~) to fixed points ~ (resp. u) of I i.e. to solutions of


such that



Let u = Kf(.,~ i) + Rg. Then (sL 2 + LI)(~ i - u) = eL2~ i + LI~ i - f(.,~i ) < O, in ~, ~. - u = ~. - g ~ O, on ~ ,
I i

and from the maximum

principle [lO]
a. - T~. = ~. - u ~ O
i i l


~ = max ~. > ~..

l i

Hence from Lemma 3.3

Ta > Ta. ~ a .
l i

This proves


~ = max a i. Similarly

one proves TB ~ @ = min @j.

From Lemma 3.3 and Proposition we only know uk ~ u in C(~). from Schauder's estimate I~Ic2+~ the sequence there exists converging C2
uk ~ u.

2.2, everything the convergence

follows, in C2(~),

except notice

that that

To prove

< K(i f(.,Uk)l CN + llukll) in C 2+~ (~) and by Arzela-Ascoli's theorem

[uk] is bounded a subsequence


[u.,] converging in C2(~). At last any 2 K ukC~ v converges in C(~) i.e. v = u. This implies

3.5. Consider

the reduced

problem L|u = f(x,y,u) u = g(x,y) in (3.4) on F

with F = {(x,y) C $~ Direct integration

I 3 h > O

: [x - h, x [ {y} C ~ }. shows right away that the solution at points on horizontal lines

of simple


u O of (3.4) has in general tangent to the boundary


of ~. Let D C ~ he such that uO ~ C2(~ \ D)

E fig. ]. example of set D = {A,D,E} U



~ > 0 as small as we wish and define ~o @ C2(~) u(x,y) = u(x,y) if (x,y) E ~ \B(D,~).

such that

3.6. Consider

next a set
= l(x,y) : a < y < b , ~ (y) < x < ~(y) }

C ~ \



such that ~ o @_, ~+

n ~

= {(x,y)

I a < y ~ b,

x = ~+(y)


e C2([a,b]).


fig. 2. example of a set ~o C


O E C~(~) = ] if if

such that y ~ [a,b], y e [a + 6, b - 6],


p(y) = 0 p(y) @

[0,1] such that if y @ [a,b] .

and y E C2(~) y(y)

= ~_(y)


the function - Y(Y)) - cB(e%2(d - x) _ 1) - Cp(y)(d - x) (3.6)

= ~o - Ae-%](x where A,B,C,%]

and 42 are positive


and d > sup {x I (x,y) @ ~} + 1.


Let us choose A large enough so that y E [a,b], x # ~+(y) implies ~(x,y) < uO(x,y) and C such that y ~ [a,b] , (x,y) @ - A ~ g(x,y) ~ implies

(x,y) E ~ ,

a(x,y) < ~(x,y) - C < g. For such a choice of A and C

Let I be an interval large enough such that for any (x,y) E ~0 (x,y) A* l C*(d - c) @ l with A* = sup {I: - g I : (x,y) E ~ , y E [a,b]} , ~ , y ~ [a,b]} and cL2~ + L1a < f(.,a) we shall

C* = sup {I: O- g I / c = inf {xl ( x , y ) E ~ assume :

(d - x) , (x,y) E

}. In order to prove

(H-vi) for some ~ > 0 and all (x,y) E ~ p(x,y) k ~ , One computes

, u E

q(x,y) - fu(X,y,u) k 0

a m = u~ + %iAe -%l(x - Y) + %2EBe %2(d - x) + CO ay = ~ - hlY'Ae -%l(x - Y) - C0'(d - x) %~ Ae-%l(x - Y ) - h~gBeX2(d - x)

~xx = USx

~xy = U~y + %~Y' Ae-Xl(x - Y) + CO' ~yy = U~y - (%lY" + %~X'2)Ae -%l(x - X) - CO"(H - x)

e2a < e2u + K[(%~ + hl)Ae -%l(x - Y) + %~gBe %2(d - x) + C] with K larger than : sup (all - 2a12 Y' + a22 ~'2) , sup (a22X") , sup all ,

sup (-2a120' + a220"(d - x)). Next, gL2~ one has + LI~ - f(x,y,~) < gL2: + K[(%~ + %l)Ae -%l(x - Y) + ~2 ~ %2(d - x) + C] g~e~2 _ P [:~ + %lAe-Xl(X - y) + %2~BeX2(d - x) + CO] - f(x,y,:0) + q:O - X) + CB(e%2(d - x) _ I) + Co(d - x)]

_ [q _ fu(X,y,e)][Ae-Xl(X


with 0 E [a(x,y)

, uO(x,y)]. -

Using assumptions

(H-vi) one gets

~L2~ + LI~

f(x,y,~) < EL2u + L1uO - f(x,y,u )


+ gK [(%~ + %l)Ae -%l(x - Y) + %~gBe ~2(d ~ x)



~ [%iAe-%l(x - y) + %2EBe%2(d - x) + CO ]

+ gB(e%2(d - x) ~ I).

Let us choose %1 and %2 such that P - ~K)% I = 0 EK%2 - P%2 + ! = 0 i.e. %1 = ~ -1 and ! %2 = ]~ + O(). It follows f(x,y,u O)

EL2cz + LI~ - f(x,y,~) + EKC since if y ~ ]a,b[

~< gL2u + LlUO

v_~i. -~I (x - y) 2 Ae - ~Cp - gB < 0

gL2e + LI(~ - f(x,y,~) ~< gL2u + L1u - f(x,y,u O) - (~ - gK)C < O for g <~ ~/2K if (x,y) e ~o ~L2~ + L1a - f(x,y,~) ~< sL2u + gKC - CB < O for B large enough, and if y @ [a,h] , x ~< ~_(y) and C large enough ,

sL2(~ + LI~ - f(x,y,~) _< gL2u + L1u - f(x,y,u O) + EKC - ~ 2 A < O for A large enough.

In a similar way, one proves that for appropriate constants, the function

choice of the

B = ~o + Ae-%l( x - ~) + ~B(e-%2( d - e) - I) + Cp(y)(d - x) (3.7) is such that gL2B + LI~ - f(x,y,B) B ~ g on ~ ~ O in ~ ,


3.7. Theorem 3.4 and the construction 3.6 prove the following theorem, THEOREM

Let ~ > o

be fixed and f~o = f~lU "'" U ~ k be such that each

~. is defined as in (3.5) i.e. i

~i = {(x,y) with ~-i ' ~+i : a i < y < b i , ~_i(y) < x < ~)+i(y)} C ~ \B(D,~),i= l,..,k, e C2([ai,bi])

Assume assumptions (H-i) to (Hvi) are satisfied. Then the BVP (3.2) has a solution u such that for ~ small enough and any i
u(x,y) = u(x,y) + O(e - % I ( x - @ - i (y)) + e) in ~. 1


o <

%1 =


Further u can be computed using the iteration scheme

u O = max ai (res~ min ~i ) , uk = Kf(.,Uk_ l) + Rg (3.8)

with ei defined by (3.6) (resp. Bi

defined by(3.7~.

3.8. Notice that assumptions

(H-iv) and (H-vi) can be weakened by considering

only points (x,y) E ~ and u e [a(x,y),$(x,y)]




gradient dependence (3.8), one can consider a more

4.1. If one gives up the computing procedure general BVP.

Let ~ C ~2 be a bounded domain such that for each p E ~ , there exists a cone K with vertex p and a neighbourhood 0 of p such that (K ~ O) lies outside of ~. Consider next the differential operator

L 2 = - al](x,y)DxD x - 2a|2(x,y)DxDy - a22(x,y)DyDy together with the following assumptions :

(A-i) for some C and all (x,y),(x',y') e ~ , i,j = 1,2, l aij(x,Y) - aij(x',y')l ~ C H(x,y) - (x',y')ll;

(A-ii) for some K0 >0 and all (x,y) e ~ , ~ e ~2

i~jaij(x,Y)~i~j ~ K O ~ ~


At last, (A-iii) (A-iv)

let f : ~ x ~3 ~

and g : 3q ~ ~ be such that for some ~ e ]O,I[

f E C~(~ x R 3) , g C ( ~ ) there exists a function

c : ~+ ~ ~+ = [0,~[ such that ~ c(p)(l + v 2 + w 2) , (v,w) ~2

If(x,y,u,v,w)I for every p > O , (x,y) E ~

, u [-p;+p]

4.2. Consider

the BVP eL2u = f(x,y,U,Ux,gUy) u = g(x,y) on ~ of theorem 6 in in (4.1)

with c > O. The following


is then a consequence

M. Nagumo [9].

Suppose there exist functions ~i @ C2(~)

, j = 1,2,...1

' i = 1,2,,..

k and ~j C2(~)

such that for any i and j, a i ~i ~j

, ~L2B j ~ f(.,Bj,Bjx,SBjy) B. ~ g 3 on ~ in

En2a i ~ f(.,~i,aix,g~iy) a. ~ g l

Then if assumptions (A-i) to (A-iv) are satisfied there exists a solution u of (4.1) such that
max a . ~ u < min BJ i i j

4.3. As in 3.5 we assume

there exists a set D c ~ such that the reduced f(x,y,U,Ux,O) u = g(x,y) = o in


on r C ~}, has a solution

where F = {(x,y) E ~ 4 3 u(x,y) C2(~

h > o

: Ix - h,x[{y}

\ D). We choose

~ > o as small as we wish and define

~o C2(~)

such that u(x,y) = u(x,y) if (x,y) ~ \ B(D,~) of 3.6 we consider a set ~o and

Using a function a

the notations

and assumptions

= ~o _ Ae-~1(x

- y(y))

_ ~B(e%2(d

- x) - I) - Cp(y)(d

- x)


Choosing A and C large enough ~<g on 3fl .

Let I be an interval defined as in 3.6 and let us replace assumption H-vi by (A-v) for some ~ > o , Q > o a n d all (x,y) ~ , u I , (v,w) ~ ~2
- Q ~ fu < 0 , fv ~ ~ ' ~fwI ~ Q ,

One computes then EL ~ - f ( x , y , ~ , ~ x , ~ y ) < ~L2u

+ gK[(%~ + %1)Ae -kl(x - Y) + A2g~e-2%2(d - x) + C] ~ - f(x,y,~O,~Ox,O ) + fu(X,Y,Sl,e2,@3)[Ae-%l(X _ fv(X,Y,el,e2,83)[%iAe-%l(X - y) + cB(e%2(d - x) - I) + Cp(d - x)] - y) + %2sBe%2(d - x) + CO]

+ Sfw(X,Y,el,62,e3)[%iY'Ae -%l(x - Y) + Cp'(d - x) - ~Oy] with (el,e2,e3) a point on the line segment joining the points (A-v) and if %1 > O and (~o, ~ o , o )

and (~,~x,e~y). Using assumption chosen such that

%2 > O are

gK% 1 - (~ - gK - ~Q sup :y'i) = 0 EK%~ - ~%2 + l = 0 one has gL2a - f(x,y,a,ax,Cay ) < EL2~ - f(x,y,~O,~Ox,O)
- ~%IAe -%|(x - Y) - EB - pO___CC2

At last, using the type of argument used in 3.6, one proves EL2~ - f(x,y,~,~x,E~y) <0 0


for an appropriate choice of the constants

it can be

shown that the function 6 = ~O + Ae-%l(X - y(y)) + EB(e%2(d - x) _ I) + Cp(y)(d - x) is such that ~L26 - f(x,y,6,6x,e6y) 6 ~ g ~ 0 on 3~ in ~ ,


4.4. Theorem 4.2 and the construction THEOREM

4.3 prove

the following


Let ~ > 0 be fixed and ~o = ~l U "'" U ~k be such that each

~. is defined as in (3.5) i.e. l

~'1 = { ( x , y )
: ai < y < bi ,~ _ i ( y ) < x < ~+i(y)} C ~ \ B(D,~)

with ~-i and ~+i E C 2. Assume assumptions (A-i) to (A-v) are satisfied Then the BVP (4.2) has a solution u such that for g small enough and any i
u(x,y) = uO(x,y) + O(e-%l ( x ' ~ - i (y)) + ~) in ~i '


o < ~1 = O ( I / E ) .


The beam string problem of Proposition 2.2 is that it can be applied consider to higher

5.1. One interest

order problems. described

As an example

an elastic beam with pin ends

by the BVP s2uiV - p(t)u"

u"(o) u (o)

= f(t,u)
= o = o (5.1)

= u"(1) = u (2)

with s > 0 , u E ~ f : [0,2] x R + ~

, tff [0, I] and let be such that :

p :[0,I] ~

(i) p is continuous and for some p > o and all t @ [0,I] , p(t) ~ V 2 ; [0, I] x ~ ,

(ii) f and fu are continuous and for all (t,u) e fu(t,u) > O.

5.2. To solve

the reduced

- p(t)u"

= f(t,u)
(5.2) = o,

= u(1)

let us define

the operator K o : C([0, I]) ~ C([O,I]) , f ~ Kof

where Ko denotes

the solution

of the linear BVP

- p(t)u" = f(t)

u(O) = u(1) = o .
From the maximum principle the Nemitskii operator V : u -~ Fu = f(.,u) . (5.3) [I0] , K c is increasing. Next we introduce

It is then obvious that solutions of the BVP (5.2) are the fixed points of the increasing operator

To = KoF.
Their existence can be obtained as follows


Suppose there exist functions so E C2([0,I]) and

So E C2([0, I]) s u c h t h a t - p(t)a~ < f(t,~o)

%(o) <o

, - p(t)S~ ~ f(t,S O) , t e ]0,I[,

, So(O) ~ o , So(1) > o ,

, So(1) < o

then the iteration schemes

~o = % Us = Bo


~k = To~k-I

= rouk-I

converge to solutions u and u of the reduced problem (5.2) such that % Proof <$ < _ u < u < Uk-< SO .
theorem TO is compact on [c~,S]. The inequalities

Prom Arzela-Ascoli's

.(Toao. - ~o ~< O , To~o(O) - ~o(O) i> O , To~o(1) - as(1) >-- 0 and the ~''
maximum principle imply To~ O > ct O. Similarly, one proves ToS o ~< SO U and Proposition 2.2 applies.

5.4. To study the BVP (5.1), let us introduce Kg : C([O,I]) ~ C([O,I]) where KEfdenotes

the operator

, f~K~f

the solution of the linear BVP e2uiV - p(t)u" = f(t)

u"(o) = u"(1) = u(O) = u(1) = o .


By applying twice the maximum principle, it is easy to show that f(t) i> O implies u" < O and next u ~> 0, i.e. the operator K E is

increasing. Hence solutions of the BVP (5.1) are the fixed points of the increasing operator Tg = K~F. Once again, Arzela-Ascoli's theorem imply T E is completely continuous and

as in 5.3, we can prove the following proposition.


Suppose there exist functions s E C4([O,I]) and

E C4([O,I]) such that g2siv - p(t)S" < f(t,s) , E2B iv - p(t)B" ~> f(t.$) , O < t < 1 ,
W'(o) s (0) i> o < 0 , W'(1) , s (1) i> o ~< 0 , B"(o) , B (0) ~< o ~> 0 , S"(1) , IB ( 1 ) ~< o > 0 , .

Then there exists at least one solution

S(t) ~< ug(t) ~< ~(t)

u~ of the BVP (5.1) such that

which can be computed iteratively as in Proposition 2.2. Proof.

One has to apply the maximum principle twice in order to prove
Ts /> s


TB ~< B

and the proposition follows then from 2.2.


Suppose there e~r~st functions s E C4([O,i]) and Bo E C4([O,I])

such that

p(t)S o < f(t,S O) , - p(t)~ o > f(t,B o) , t e [O,1] ,



%(1) ~<o

Bo(O) />

Bo(l) >/


Then, for ~ small enough there exists at least one solution u~ of the BVP (5.1) such that
a o ~< u + O(E 2) ~< flo "



Consider the function


ut ~o + c2 ( A e - ~ +

Be" E - C)

where A,B and C are positive constants chosen such that ~"(O) = ~o(O) + ~2A + ~2Be -'~/~ > O , ~"(I) = ~o(I) + ~2Ae-~/c + ~ 2 B >~ 0 ,

(O) = ~o(O) + E2(A + Be -~/~ - C) ~< 0 , (I) = ~o(I) + g2(Ae-~/E + B - C) ~< O. One computes next g2 iv _ p(t)~"

iv f(t,~) = E 2~O + D 4 A e - ~

+ ~4Be ~(]~t)

,, Dt p 2Be_D(~-t ) - p(t)~ O - p~2Ae-~- _ - f(t,~o) - S2fu(t,~ O + ~(~ - ~O))[Ae with ~ E ]0,I[. Hence, for some K > 0 and c small enough E2~ iv - p(t)~" - f(t,~) ~ - p(t)~ O - f(t,~ o) + KE 2 < O. ~he theorem follows from Proposition 5.5 and a similar choice for the function B ~t _~(l-t) B = ~O - g2(Ae-~- + Be g - C).

~(1-t) -C] + B e - c -

References [I] H. Amann, Fixed point equations and nonlinear eigenvalue problems in ordered Banach spaces, SIAM Review 18 (1976), 620-709. [2] H. Amann, Existence and multiplicity theorems for semi-linear elliptic

boundary value problems, Math. Z. 150 (1976), 281-295. [3] N.I. Bri, On boundary value problems for the equation cy" = f(x,y,y') for small e, Dokl. Akad. Nauk SSSR 95 (1954), 429-432. [4] F.W. Dorr, S.V. Parter, L.F. Shampine, Applications principle to singular perturbation problems, 43-88. [5] W. Eckhaus, E.M. de Jager, Asymptotic solutions of singular perturbation problems for linear differential Mech. Anal. 23 (1966), 26-86. equations of elliptic type, Arch. Rat. of the maximum

SlAM Review 15 (1973),

130 [6] P. Habets, M. Laloy, Perturbations singuli&res de problgmes aux limites : les sur- et sous-solutions, S~minaire de Math~matique Appliqu~e et Mgcanique 76 (1974). [7] F.A. Howes, Singular perturbations and differential inequalities, Memoirs A.M.S. 168 (1976). [8] M.A. Krasnosel'ski, Positive solutions of operator equations, Noordhoff, Groningen 1964. [9] M. Nagumo, On principally linear elliptic differential equations of the second order, Osaka Math. J. 6 (;954), 207-229. [10] M.H. Protter, H.F. Weinberger, Maximum principles in differential equations, Prentice Hall, Englewood Cliffs, N.J 1967. []I] A. van Harten, Singularly perturbed non-linear 2nd order elliptic boundary value problems, PhD Thesis, Utrecht 1975~ []2] A. van Harten, On an elliptic singular perturbation problem, Ordinary and Partial Differential Equations, Ed. W.N. Everitt and B.D. Sleeman, Lecture Notes in Mathematics 564, pp~485-495, Springer Verlag, Berlin Heidelberg New-York 1976.


F. A. Howes* School of Mathematics University of Minnesota Minneapolis, ~innesota 55455

and R. E. O'Malley, Jr.* Department of Mathematics and Program in Applied Mathematics University of Arizona Tucson, Arizona 85721


Problems with boundary layers at one endpoint Many physical problems can be studied as singularly perturbed two-point vector

boundary value problems of the form

I sy" + f(y,t,e)y' + g(y,t,g) = 0,


y(0), y(1) prescribed


is a small positive parameter (cf., e.g., Amundson (1974), Sethna and Scalar problems of this form are analyzed An enlightening case

Balachandra (1976), and Cohen (1977)).

quite thoroughly in the forthcoming memoir, Howes (1978).

history of such analyses was given by Erd~lyi (1975), and important early work includes that of Coddington and Levinson (1952) and Wasow (1956). For simplicity, let us assume that in y and t f and g are infinitely differentiable e as

and that they possess asymptotic power series expansions in

E O.

We'll first consider the vector problem under the assumption that the

reduced problem

(2) is stable throughout

f(uR, t,0)u ~ + g(uR, t,O) = 0, 0 < t < i in the sense that

UR(1) = y(1) uR exists and


f(uR(t),t,0) > 0

there (i.e.,


is a strictly stable matrix having eigenvalues with negative

Supported in part by the National Science Foundation under Grant Number MCS 7605979 and by the Office of Naval Research under Contract Number N00014-76-C-0326.


real parts). to (i) near

We first realize that t = 0 because we cannot


cannot generally represent UR(0) = y(0). providing

the solution Instead, we the required

expect to have

must expect boundary layer behavior nonuniform convergence from y(0)

to occur near to UR(0) as

t = 0, ~ 0.

For a (very) small f(y,0,0), no extra

"boundary layer jump" hypotheses are needed.

fly(0) - UR(0)il More generally, assumption,

or for a constant

however, we must require an additional namely that the inner product

"boundary layer stability"


I ~ f(uR(0)+s, 0

0, 0)ds > 0

remains positive with ~zTz.) 0 <


~ + UR(0)

along all paths connecting (Here, T represents



y(O) llzli =


fly(0) - UR(0)Jl. f(z,0,0) that

the transpose and (4) is

We note that if

is the gradient

VF(z - UR(0)) ,


to the condition

~T(F(~) - F(0)) > 0

since the integral

is then path-independent.


(4) directly generalizes


(minimal) hypotheses the common assumption Pictorially, circle shown

used by Howes for the scalar problem and it is weaker than that f(y,0,0) > 0 for all y.

the boundary layer stability assumption must hold within the

y(1) = UR(1)

Figure 1

The results of Howes and others have a solution y(t,c) of the form

suggest that under such hypotheses,

(i) will


y(t,~) = U(t,e) + H(T,e)

where the outer solution

has an asymptotic U(t,e) ~ Z



U.(t)s j



providing the asymptotic solution for has an expansion

t > 0,

while the boundary layer correction




Z K. (T)c j j=0 J

whose terms all tend to zero as the stretched variable


= t/E

tends to infinity.

We would expect this solution to be unique. f and g,

Under weaker

smoothness assumptions on order approximations.

we'd have to limit the expansions to finite

For the scalar problem, Howes doesn't actually obtain

higher order terms or complete boundary layer behavior, but they can easily be generated. Applying his results to the boundary value problem for the remainder

terms, however, shows the asymptotic validity of the expansions so obtained. The outer expansion (6) must provide the asymptotic solution to (i) for t > 0, since ~ is then asymptotically negligible. Thus, the terms U. can be 3 successively obtained by equating coefficients in the terminal value problem


f(U(t,e),t,c)U'(t,e) + g(U(t,e),t,e) = -cU"(t,~),

U(I,B) = y(1).

Evaluating at

c = 0,

then, shows that


must satisfy the reduced problem


f(U0(t),t,0)U&(t) + g(U0(t),t,0) = 0,

U0(1) = y(1)

(which has a unique solution j > 0,


under (2) and (3)).

Succeeding terms


will satisfy linear problems of the form


f(U0(t),t,0)U](t) + fy(U0(t),t,0)Uj(t)U&(t)

+ gy(Uo(t),t,O)Uj(t)

= hj_l(t) ,

U.(1)] = 0


hi_ I

is known in terms of

t, U0(t),

..., Uj_l(t).

The stability assump-

tion (3) implies that (ii) is a nonsingular initial value problem, so it also has a unique solution throughout ing the outer expansion 0 < t < i. with H Thus, there is no difficulty in generat-


U(t,0) = uR(t). must necessarily be a decaying solution of

The boundary layer correction the nonlinear initial value problem


I__ d~ d2~ + f(U(~T,~) + ~(T,e), ~T e) ~ = -e[(f(U(~T ~) + ~(T,e) eT, ~) dT2 ' , ,


- f(U(ET,e),ez,e)) ~

dU (e~, c )

+ g(U(~'~,e) + n ( z , ~ ) ,

~'v, e)


- g(U(eT,e),er,e) ],

T > 0

17(0,~) = y(0) - u(0,e).

Thus, the leading term ~0 must satisfy the nonlinear problem


d2~ 0
dr 2

d170 + f(Uo(O) + ~O(T), O, O) d--~ = O,

n0(0) : y(0) - u0(0)

while later terms must satisfy linear problems d2~j (14) dT2 + f(U 0(0) + 17 0(T) dN. J 0, 0) dr ~j(0) : -Uj (0) and their derivatives T and HO(T). The

d~ 0 + fy(Uo(O) + nO(Z), O, O)Hj(z) ~ = kj_l(T), where dN~/dT, kj_ I is a linear combination of preceding terms with coefficients that are functions of ~

% < J,

decaying solution of (13) must satisfy

d~ 0 dY +


d~ 0 f(U0(0) + H0' 0, 0) d-~- d% = 0

and, thereby, the initial value problem


dn 0

f~0 (T)
T ~0'

f(U0(0) + w, 0, O)dw,

~ i 0,

10(0) = y(O) - UR(0),

d~ : -J0
Multiplying by the boundary layer stability condition (4) implies that

(16) 1 d 2 dT ]l~0(T)l]2 = "H~(T) I 0 H0(T) satisfying f(U0(0) + z, 0, 0)dz < 0 [I~0(T)}] ! fly(0) - UR(0)H = IIH0(0)[I. ~0(r)~ will decrease monotonicof (15) at T = ~. t = 0) implies that the H0(T) = 0

for nonzero values of ally as T

Thus, our boundary layer stability implies that Ultimately, than some ~0(T) K > 0

increases until we reach the rest point f(U0(0) + H0(T), 0, 0)

will become so small that (3) (for and (15) then implies that

eigenvalues of

will thereafter have real parts greater


H0 (T) = 0(e-<T),

i.e., Y0 is exponentially decaying as T + =. Although we can seldom explicitly

integrate the nonlinear system (15), we can approximate its solution arbitrarily closely by using a successive approximations procedure on (15) (1964)). wise. Knowing ~0' we next integrate (14) for j = 1 (cf. Erd~lyi

and then proceed term-


(14) and integrating, we obtain

dH. 3 + f(U0(0) + ~0(T), 0 0)Hj + ~.(T) = 0 dT ' 3 where

j(T) =


dK 0 (r) {fy(U0(0) + N0(r), 0, 0)[~j (r) ~

dK 0 -d~T . (r)H.(r)]3 + kj_l(r)}dr is known whenever equation ~. 3 dH0/dT commute. Thus, ~. 3 satisfies the integral

where P(~) H.(T) = 3 P(T)U.(0) 3 P(T)P-l(r)%j(r)dr 0 is the exponentially decaying fundamental matrix for the linear system

d~ d-~ + f(U0(0) + K' 0, 0)K = 0,

T > 0,

H(0) = I.

In general,

(18) must also be solved via successive approximations,

though it

directly provides the solution of (14) when the commutator We note that the boundary layer jump the minimum value of II~II > 0

[~j, dH0/dT] ~ 0. is limited by

lIH0(0)II = Hy(0) - UR(0)II

such that the inner product


~T I ~ f(uR(0 ) + z, 0, 0)dz = 0. 0 It involves no restriction, for exam~ # 0,

The jump can, in practice, be quite large. ple, if f(z,0,0) > 0 for all z

since then (19) cannot ever hold for a

It gives precise limits to the jumps for certain scalar problems reconsiders an example of 0'Malley (1974)).

(Howes (1977)

We could also consider the reduced problem


f(uL,t,0)u L + g(uL,t,0) = 0,

UL(0) = y(0). (4)

Then the stability condition would be replaced by

(3) and the boundary layer stability condition



f(uL(t),t,0) < 0


0 < t < 1

and the assumption that




f(uL(1) + z, I, 0)dz < 0

for all

8 + UL(1)

on paths between





0 < IlOlf

IIy(1) - UL(1)il. Nonuniform convergence of the solution to (i) would then take place near t = i, depending on the stretched variable

o = (i-


and the limiting solution on

0 j t < 1

would be



were nonsingular

with eigenvalues having both positive and negative real parts along an appropriate solution of the reduced system, we must expect boundary layer behavior near each endpoint (cf. Harris (1973) and Ferguson (1975) for discussions of problems where f (y,t,0) E 0). Y 2. Problems with boundary layers at both endpoints Let us now consider the "twin" boundary layer problem

(23) ~ ~Y" + g(y,t,e) = 0, y(0), y(1) prescribed 0 < t < 1

under the assumption that

is infinitely differentiable in the region


interest and that the reduced system


g(u,t,0) = 0

has a smooth solution assumption

U0(t )


0 < t < 1

which satisfies the stability


gy(U0(t),t,0) < 0

there, i.e.,


is a stable matrix when evaluated along

(U0(t),t,0) ,

0 < t < i.

Motivation for this assumption is obvious if one considers the linear scalar problems with cy" y = 0, while generalized stability assumptions are sometimes

appropriate and necessary (cf., e.g., Howes (1978) or consider the scalar problem with g = y2q+l). With (25), one can hope that a solution to (23) exists which within (0,i). Since we won't generally have either

converges to

U0(t )


U0(0) = y(0)


U0(1) = y(1),

we must expect

"twin" endpoint boundary 0(~-e) near both

layers t = 0

(i.e., regions of nonuniform convergence and t = i). Our previous experience

of thickness

(cf. Fife

(1973, 1976), Yarmish


O'Malley stability" jumps gy

(1976), and Howes assumptions.

(1978)) suggests

that we must add "boundary layer

These generally and

limit the size of the boundary layer They'll certainly be guaranteed (cf. Kelley (1978)). if

[[y(0) - U0(0)I;

ily(1) - U0(1)[[.

remains stable throughout

the boundary layer regions

Indeed, cient.

for small boundary layer jumps, Under appropriate assumptions,

the stability assumption

(25) is suffi-

then, we can expect to obtain an asymptotic

solution to (23) in the form


y(t,c) = U(t,e) + 9(p,/~) + ~(o,/~)





all have power series expansions ~

in their second variables tend to zero as the

and the terms of the left boundary layer correction stretched variable


p = t/~TEe

tends to infinity while the right boundary layer correction

Q + 0



o = (i - t)//~e

becomes unbounded. The outer expansion




Z U. (t)g j j=0 j

should therefore



eU" + g(U,t,s)

= 0,

0 < t < i

as a power series in tem (24) as form + O.

and converge

to the solution


of the reduced sys-

Higher order terms in (29) must satisfy linear systems of the


gy(U0,t,O)U. = C (t) j j-i ' C j_ 1 is known termwise (e.g., C O = -U0).


j > 1 -The stability condition Therefore (Different successive roots U0 (25)


implies that the systems

(31) are all nonsingular.

coeffiof (24)

cients are simply and uniquely obtained termwise.



of course,


in different


of perturbation


U., J

j > 0,

under appropriate According unique)


assumptions.) Theorem in (cf. Wasow c, having (1965)), there is a (nonexpansion (29).

to the Borel-Ritt U(t,s),



the outer

If we set

we convert the problem


= U(t,e)

+ z(t,g),

(23) into the two-point



cz" = h(z,t,~),

0 < t < i,


= y(0) - U(0,s).



= -~U"(t,s)

- g(U(t,)

+ z,

t, S)




= 0(~ N)

for every integer

N > 0


EU" + g(U,t,e)

= 0(eN).

In particular,

the reduced



= 0

corresponding trivial

to the transformed and the outer

problem expansion

(33) has

the (not necessarily trivial.



:for (33) is also to


then, we shall deal with totic solution

(33) and,


(26), we shall seek an asymp-

of the form


z(t,c) = v ( p , ~ )

+ w(u,~)


the needed will


layer decay

to zero within

0 < t < i.

Our smooth-

ness assumptions

be required

in a domain


= {(z,t,e):

0 _< llz - U0(t)ll i d a ( t ) ,

0 < t < i,

0 < ~ < I} ~



is a small positive

number and,

for any

8 > 0,

we define

i d6(t) =

llz(0) - U0(0)II 6,

+ 6,

0 <

t <

~ < t < 1 - 8


of [[zll = ~ z T z . Here (36) 0 < t < i, where

ilz(1) - U0(1)li

+ 6,


~ < t < i.

We shall determine the asymptotic behavior of

by first determining that

IizI[ satisfies the scalar problem

ellzll" = [hT(z,t,s)z + e(llz'll2 - (llzll2)']/llzll,

llz(0,a)II and

llz(l,c)i[ are prescribed.

This follows via simple calculations, namely

d iizii2 = 211zlllIzii' = 2(z')Tz dt and d2

-lizll2 = 21izllilzli" + 2(llzli')2

dt 2 = 2(z")Tz + 211z'il 2

imply the differential equation for

llzll. Further,


llz'112 > (llzll')2

since the Cauchy-Schwarz inequality ((z')Tz/llzII)2 = (lizI[') 2. collinear,

((z')Tz) 2 < llz'li211zll 2 z and

implies that z' are not

llz'[i > 2

Thus, with a loss whenever


Jz]i" _> hT(z,t,E)z/llzll,

0 < t < i.

(Through the inequality (37), then, we eliminate the first derivative term from (38). We note that (38) is an equality for scalar problems.) We'll now ask that for all function (z,t,s) in ~ gl,~' there exists a smooth scalar


such that


hT(z,t,s)z _> ~(llzll,t,e)]Izn




(O,t,c) ~ O,

(O,t,O) = O,

(O,t,O) > 0

and f ~(s,0,0)ds > 0 whenever 0 < ~ ~ Ilz(0,0)ll if z(0,0) # 0



cifically, endpoints.

~ ~(s,l,0)ds > 0 0


0 < ~ ~ Itz(l,O)li


z(l,O) O.

Existence of such a function ~ n (0,t,O) > 0 (0,I)

will constitute our stability hypotheses.


implies the stability of the trivial solution of the while (41) implies boundary layer stability at both

reduced system within Hypotheses

(39)-(40) imply that


0 < ilz(t,~)il <_ m(t,e)



satisfies the scalar two-point problem


cm" = (m,t,e),

0 < t < I,

m(O,c) = iiz(O,c)ll,

m(1,g) = i~z(l,c)II.

The bounds (42) follow from the elementary theory of differential inequalities since zero is a lower solution for lizil and m is an upper solution (cf. Nagumo Further, ~(0,t,0)

(1937), Dorr, Parter, and Shampine (1973), and Howes (1976)). = 0 and ~ n (0,t,0) > 0

imply that the zero solution of the reduced problem

~(m,t,0) = 0

corresponding to (43) is stable and, according to Howes (1978), (41)

is the appropriate hypothesis for the needed boundary layer stability of this solution. Indeed, the solution of (43) satisfies


m(t,g) = rO(P) + So(O) + O(~-c)



is the decaying solution of the boundary layer problem

d2r 0

while sO


= (r0,0,0)

P > 0,

r0(0 ) = lJz(0,0)il = fly(0) -Uo(0)ii

is the decaying solution of

d2s0 (46) do2 = (so,l,O), ~ > O, s0(0 ) = ;Iz(l,0)li = fly(1) - U0(1)ll.


The solutions to (45) and (46) are easily shown to exist and be unique. ing (45) by that dr0/dP, for example, and integrating from p


to infinity implies




(by (41)).



satisfies the initial value problem


dp r0(P) r0 = 0 at

S (p)


ro(O ) = fly(O) - Uo(O)II.


will decrease monotonically to zero as p = ~. Since ~(s,0,0)~n

increases, reaching the for s small,

rest point


~_i (0,0,0) > 0 implies that the decay of r 0 to zero is exponential as p ~ ~ Sn (When r0(0) = 0, we have r0(P) E 0 since there is no need for a boundary layer correction.) Continuing by solving linear problems, we could obtain an

asymptotic solution of (43) in the form


m(t,s) = r ( p , ~ )

+ s(o,~).

In terms of the original problem (23), our stability hypothesis (39) becomes the inequality

gT(u0(0) + z, t, e)z _< ~(ilzl),t,E)llzll


satisfies (40) and (41).

The expansion (44) corresponds to the expected

expansion (26) for an asymptotic solution for the vector problem (23). Now, we return to the vector boundary value problem (33) and its asymptotic solution in the form (35). totically negligible (o Near t = 0, w and its derivatives should be asymp~

being infinite), so (33) and (35) imply that the initial v should be a decaying solution of the nonlinear

boundary layer correction initial value problem



= h(v,~p,e),

p > O,

v(O,~) = z(O,e).

Thus, it is natural to seek an expansion

by substitution into (49).


E v. (p)s j/2 j=0 J v0 must then satisfy the nonlinear

The leading term


problem d2v0 ......h(v0, 0,0) do2 v., J j > I, d2v. dP 2~ = hz(V0,0,0)v j + dj_l(p), (52) v.j(0) = 0, j odd; p _> 0 j even


p ! 0,

v0(0) = y(0) - U0(0),

v0 0


O * ~.

Later terms

must satisfy the linear problems

v.j (0) = -Uj/2(0),

v. -+ 0 3 where dj_ 1


p ~

will be determined successively as an exponentially decaying vector.

Since (51) and our hypothesis (39) imply that

llv011p0 ~ ~(llv011,0,O),

@ ~ 0,

llv0(O)ll = r0(0),

we are guaranteed a decaying solution


such that


0 ~ llv0(P)ll j r0(0),

P ~ 0


v0(P) ~ 0

if U0(0) = y(0)).

No explicit solution


can be provided,

though an approximate solution can be obtained as usual.

Introducing the matrix

= hz(0,0,0) > 0 (whose eigenvalues have strictly positive real parts by our stability assumption (25)), variation of parameters can be used to express the solution of (52) in the form

-2 0 J

(r)dr +


e~(P-S)Fj (s) ds]


F.(p)3 = [hz(V0(P)'0'O) - ~]v (p)3 + dj_l(p). h(v0,0,0) is linear.

This provides the exact soluIn analogous

tion to (52) whenever

Otherwise, the linear integral

equation (54) must also be solved by successive approximations.

fashion, we could generate the terms of the terminal boundary layer correction w(o,~) of (35). Thus, we've formally obtained (35), which we expect is a locally

unique asymptotic solution.


We note that the assumptions -hz(z,t,0) are everywhere stable.


~ Thus,

automatically if we take

hold if



h (v,0,0) - I > 0

(i.e., positive definite) llz(0,0)ll,

for some real

y > 0 that

and all


0 ! livJi

the mean value theorem implies


= zTh (~,0,0)z > yilzll2 g Thus, taking ~(n,0,0) = yn, both hold. ~ (0,0,0)

for some "intermediate" > 0 and /0 ~(s,0,0)ds

point > 0

~. for

0 < D ~ Jlz(0,0)ll

We could also extend our discussion

to systems of the form

sx" = F(x,x',t,s)

with SF/~x' 1 ~F ( ~ F ) T 2s ~x' Sx' more nonlinear


Thus, Kelley

(1978) considered

problems where

> 0, just as Erd~lyi than semilinear.

(1968) considered

SF _ ~x scalar problems somewhat


Examples a. A problem with an initial boundary Let us consider the vector equation layer

gy" + f(y,t,c)y'

+ g(y,t,~)

= 0,

0 < t < 1


y =

lyll f (yll
Y2 1 solution Y2 uR f(uR,t,0)u ~ + g(uR,t,0)

YI+ , and g = -

i ).

Y2 + I of the two-point problem which satisfies

In order to have a limiting the reduced problem

= 0,

UR(1) = y(1)

we must require


to be stable in

0 < t < ],



< 0

must be a stable matrix,

and we must also require boundary layer stability at


t = 0,

i.e., we ask that T


f(uR(0) + z, 0, 0)dz > 0

for all

such that

0 < lJCJl ! fly(0) - UR(0)ll. the reduced problem has the solution

More specifically,

UR(t) = ( D t C t +


= URl(0) = -i + Yl(1)


D = UR2(0) = -i + Y2(1).

Stability of


requires the matrix

-t C

-i -t - D This is, however, equivalent to asking that

-I to be stable throughout 0 < t < i.

C + D > 0


CD > i,


Yl(1)Y2(1) > Yl(1) + Y2(1) Further, boundary layer stability requires that


s( wl+c w21l(dwll
0, 0 i.e., 2 + 2D~ 2 > 0 1 + D dw 2 ~I + 2C~ 3 + 4~i~ 2 + ~ for all ~ = 2 satisfying 0 < ll~ll = lJy(0) - UR(0)ll = y(0) (Yl(0) - C) 2 +

(Y2(0) - D)2. (C,D)

Our initial values

are thereby restricted to a circle about II~II of the nontrivial zeros of the ~ will satisfy

with radius less than the least norm Setting ~2 = t~l' such a

cubic polynomial.

(i + t3)~l = -2(C + 2t + Dt 2)

and we minimize d(t) = ]l~ll = ~i-i+ t2 III.


(We note that the minimum for

~i = O,

t = =,



This calculus problem,

then, determines an upper bound for For for d(t) C = D = 2, i.e., to

lly(0) - UR(O)~. we'd obtain the minimum value 3.390

y(1) = (~),


tmi n = -0.291.

Thus, we're guaranteed that the UR(t) if y(0) lies

limiting solution of our two-point problem is provided by in the circle of radius 3.390 about (~).

This is presumably a conservative uR(t). We expect

estimate for the "domain of attraction" of the reduced solution that boundary layer stability need only hold for tory joining y(O) and uR(0). ~ + UR(0)

on the actual trajec-

Finally, we observe that this example is quite

analogous to the simplest cases occurring in the analysis of solutions of the scalar problem ey" + yy' - y = 0 (cf. Cole (1968), Howes (1978), and elsewhere).


A problem with twin boundary layers at the endpoints Consider the vector problem

gz" = h(z,t,~),

0 < t < i

where 3 Zl z = z2 Here U0 = 0 and h = -z I + z2 - z2 h(U0,t,0) = 0 since

is a stable solution of the reduced problem

the Jacobian matrix

hz(0,t,0) = ( -II

ii )

has the unstable eigenvalues mination of a scalar function

i i i. ~

Boundary layer stability involves the deter-

such that

hT(z,t,e)z _>


Here 2 2 4 4 hT(z,t,e)z = (zI + z2) - (z I + z2) _> IIzJl2(l - 11z~2). 4 4 zI + z 2 < 2 2 2 (z I + z2) , so we can take ~(n,t,~) = n(l - n2).



#(0, t,e) ! 0,

(0,t,O) = 0,


> 0



0 t


= ~ n2(l - n2/2)

> 0


0 < n < /2,

i = 0



Our preceding the two-point (0,i)




the existence to the limiting

of an asymptotic solution U0 = 0

solution within


problem which converges the boundary values



llz(0,0)l[ < ~


llz(l,0)il < ~ .


we then have

0 i l~z(t,a)lJ ~ m(t,)



the scalar problem

gin" = %(m,t,),

0 < t < i,


= llz(i,)ll < /2,

i = 0



The asymptotic and others.




from the scalar


of Howes



A problem with We now consider




the very special


y" + f(y,t,c)y'

+ g(y,t,s)

= 0,

0 < t < i

where f2 (yl,Y2, t, ~) y = Y2 , f(y,t, ~) = 0 gl (yl,Y2) and g = -Y2 This system decouples into the two nonlinear scalar equations


eY2 + Y2Y2 - Y2


ey~ + fl(Yl,t,c)yl

+ [f2(Yl,Y2,t,E)y~

+ gl(yl,Y2,t,e)]

= O.


If Howes

Y2(1) > Y2(0) + 1


-Y2(1) - 1 < Y2(0) < 1 - Y2(1), Y2

it follows from

(1978) that the limiting solution for

will satisfy the reduced problem


UL( ~

- i) = 0,

UL(0) = Y2(O)


0 < t < t* = ~

(i - Y2(1) - Y2(0))

and the reduced problem

UR(U ~ - i) = O,

UR(1) = Y2(1)


t* < t ! i,



uL(t) = t + Y2(0),

0 ! t < t* t* < t ~ i.

uR(t) = t + Y2(1) - I,


the limiting solution is generally discontinuous at


and its derivative Indeed, Y2

(which is asymptotically increases monotonically

one elsewhere) becomes unbounded there. near t* from UL(t*) Y2(O) to and

uR(t* ) = -UL(t* ). Y2(1),

For other

relations between the boundary values bilities occur (cf., e.g., Howes).

other limiting possi-

One must generally expect the transition layer at corresponding discontinuity let's assume that to the equation for there in = 0 YI"




to generate a however,

To simplify our discussion,

f2(Yl,Y2,t,0) YI"

and attempt to apply Howes' scalar theory

Thus, consider the reduced problems

fl(VL,t,0)vL + gl(VL,U,t,0)

= 0,

0 < t < i,

VL(0) = Yl(0)


fl(VR, t,0)v~ + gl(VR,U,t,O)

= O,

0 < t < i,


= Yl(1).

The limiting solution for dition


will be provided by


if the stability con-

fl(VR(t),t,O) holds throughout 0 < t < 1

> 0

and the boundary layer stability assumption

(vR(0) - Yl(0)) J q for q between vR(O) and (including) VL(t) on Yl(O). Similar conditions would imply fl (s'0'0)ds

that the limiting solution is

0 < t < i with boundary layer behavior



t = i.

If, instead, we have

fl(VR(t),t,0) > 0


tR < t < i


fl(VL(t),t,0) < 0


0 < t < tL


tR < tL,

we can expect


to have a limiting solution


J VL(t), Yl

0 ~ t < t t < t ~ 1



c + 0

provided we can find a


(tR, t L)

such that

J(t) = O,

J'(t) ~ 0

for VR(t) r J(t) = J fl(s,t,0)ds VL(t) (cf. Howes (1978)). Pictorially, we will have limiting solutions Y2 and Yl as

shown in Figures 2 and 3.

Y2 uR

Y2 (i)


Y2 (0) Figure 2




b t
t t* 1

Figure 3

Note that


has a jump at


' Y2

has a jump at


corresponding to a

Haber-Levinson crossing (cf. Howes (1978)). remain to be studied.

Much more complicated possibilities

Acknowledgment We wish to thank Warren Ferguson for his interest in this work and for calculating the solution to the first example.

References i. N. R. Amundson, "Nonlinear problems in chemical reactor theory," SIAM-AMS Proceedings VIII (1974), 59-84. E. A. Coddington and N. Levinson, "A boundary value problem for a nonlinear differential equation with a small parameter," Proc. Amer. Math. Soe. 3 (1952), 73-81. D. S. Cohen, "Perturbation Theory," Lectures in Applied Mathematics 16 (1977) (American Math. Society), 61-108. J. D. Cole, Perturbation Methods in Applied Mathematics, Ginn, Boston, 1968. F. W. Dorr, S. V. Parter, and L. F. Shampine, "Application of the maximum principle to singular perturbation problems," SIAM Review 15 (1973), 43-88. A. Erd~lyi, "The integral equations of asymptotic theory," Asymptotic Solutions of Differential Equations and Their A~.!ications (C. Wilcox, editor), Academic Press, New York, 1964, 211-229.



4. 5.




A. Erd~lyi, "Approximate solutions of a nonlinear boundary value problem," Arch. Rational Mech. Anal. 29 (1968), 1-17. A. Erd~lyi, "A case history in singular perturbations," International Conference on Differential Equations (H. A. Antosiewicz, editor), Academic Press, New York, 1975, 266-286. W. E. Ferguson, Jr., A Singularly Perturbed Linear Two-Point Boundary Value Problem, Ph.D. Dissertation, California Institute of Technology, Pasadena, 1975. P. C. Fife, "Semilinear elliptic boundary value problems with small parameters," Arch. Rational Mech. Anal. 52 (1973), 205-232. P. C. Fife, "Boundary and interior transition layer phenomena for pairs of second-order differential equations," J. Math. Anal. A ~ . 54 (1976), 497521. W. A. Harris, Jr., "Singularly perturbed boundary value problems revisited," Lecture Notes in Math. 312 (Springer-Verlag), 1973, 54-64. F. A. Howes, "Singular perturbations and differential inequalities," Memoirs Amer Math. Soc. 168 (1976). F. A. Howes, "An improved boundary layer estimate for a singularly perturbed initial value problem," unpublished manuscript, 1977. F. A. Howes, "Boundary and interior layer interactions in nonlinear singular perturbation theory," Memoirs Amer. Math. Soc. F. A. Howes, "Modified Haber-Levinson crossings," Trans. Amer. Math. Soc.









16. 17.

W. G. Kelley, "A nonlinear singular perturbation problem for second order systems," SIAM J. Math. Anal. M. Nagumo, "Uber die Differentialgleichung Math. Soc. Japan 19 (1937), 861-866. y" = f(x,y,y')," Proc. Phys.



R. E. O'Malley, Jr., Introduction to Singular Perturbations, Academic Press, New York, 1974. R. E. O'Malley, Jr., "Phase-plane solutions to some singular perturbation problems," J. Math. Anal. Appl. 54 (1976), 449-466. P. R. Sethna and M. B. Balachandra, "On nonlinear gyroscopic systems," ~echanics Today 3 (1976), 191-242. W. Wasow, "Singular perturbation of boundary value problems for nonlinear differential equations of the second order," Co_~. Pure Appl. Math_. 9 (1956), 93-113. W. Wasow, Asymptotic Expansions for Ordinary Differential Equations, WileyInterscience, New York, 1965 (Reprinted: Kreiger, Huntington, 1976). J. Yarmish, "Newton's method techniques for singular perturbations," S I ~ Math. Anal. 6 (1975), 661-680. J.










1.1ntroduction The lecture non-linear a dynamical (1.1) is intended systems to give a survey on some recent research of "system" refers to in


Here the notion

law given by an ordinary x = f(X,U) on u = d/dt, of the form



plus a constraint in u-space


U being

an arbitrary


(control region).

The state variable

x=(x 1,...,xn) T dimensional

and the control variable column vectors. by piecewise missible

u=(ul,...,um) T

are finite

We admit specializations of t

of the control variable in U (adu(') is


which assume values (u(-),x(-)) x(.) solution



A pair and


an admissible tial eq. Attention

control function

of the differen-

x = f(x,u(t)) will be focused

is called a solution on two topics:

of (1.1). tests for

(i) Sufficiency solution

local controllability (ii) characterization singular extrema!s.

along a given arbitrary of special solutions

of (1.1) . so called

of (1.1),the

We present

a unified


to both problems

which has two advantages area. It provides tools.

compared with other relevant work in this results and requires roughly rather ele-

more accurate


The background

work consists,



in a careful


of the way in which the solutions


of the differential function.


(1.1) depend upon the choice will be carried out in detail

of the control in a forth-

This analysis

coming paper. 2. Local controllability We consider tion) a fixed and cones of attainability. of (1.1) (reference solu-

solution [0,t I]


on some interval

. The system is said to be locally solution at the terminal point tI into any point of initiaof the The

controllable x I = x(t I )

along the reference

if it can be steered within time of xI along admissible

a full neighborhood ting from


x o = x(0).

This concept

is the local equivalent in linear systems

notion of complete most common access of nonlinear

controllability to sufficiency


tests for local controllability These are convex at time tI ar-

systems uses cones to the set ~

of attainability.

approximations from

of all points


x . The usage is a familiar

of such cones in connection tool in optimal control

with separation e.g. the the



standard proof of the Pontryagin construction

Maximum Principle


of a cone of attainability.

It was felt however

since conex-

long that the Pontryagin vex approximation tensions.

cone does not yield the best possible have been made to find suitable most attention

and attempts

The one which has received (c.f.

so far is the of a a

recent work of Krener "High Order Maximal construction cone for d

[2]) which leads to a statement To begin with we shortly (i.e.



method for a cone of attainability at x(t I )

a derived

in the sense of Hestenes)

which contains

both the Pontryagin The procedure

cone ond the cones used in the work of Krener. essentially of two steps. SteD I. We pick a


fixed intermediate and associate

of the reference solution q7 with it a certain non-empty subset II = II~ of the




state space.

II can be described roughly as follows

(for a more de-

tailed description

cf. [1], full proofs will be given in the forth-

coming paper). We collect all n-dimensional vectors which appear as first non-vanishing coefficient in any formal power series which can be generated in the following way. Consider an admissible control function u(-,k) which depends upon some positive parameter u(t,k)=u(t) (= reference control) ~0. k and

which is such that borhood of ~

except a neighx(',k) be

which shrinks to zero for

Let then

the solution of the differential has for

eq. (1.1)


u=u(t,~)) which Take

t=0 the same initial value as the reference trajectory. k=0 of x(t,k)-x(~).

then the asymptotic expansion at Step 2. point xI Each set

lit, 0 ~ t ~ tl,

is transferred to the terminal induced by the solutions

by means of the linear mapping

of the variational equation.

Then the union of the transferred sets

and finally the convex cone generated by its elements is taken. The result is then the cone of attainability which will be denoted by K and which provides the basis for the subsequent considerations. Theorem 2.1 Hestenes, terior to cf. ~. K is a derived cone for ~ a t [3]). In particular, if x(t I) (in the sense of then x(t 1) is in-

K = ~n

If the reference solution is optimal then by standard arguments (state augmentation technique and application of the generalized [3]) one can derive from Theorem 2.1 first These conditions can also be obtained

multiplier rule, cf.

order necessary conditions.

in a more geometric way via the following theorem. M will denote a subset of the state space which is defined in terms of equations and inequalities. The notions "regular point of M, relative interior

point of M, tangent cone T at some regular point of M" are used in the sense of [4], Chapter VII, p. 320.


Theorem 2.2


be a subset of the


and let

x(tl) of x(tl) to

be a which M, then (in the

regular point of

M. If there exists

a neighborhood is relative

does not contain a point of ~ w h i c h K R n) and the tangent cone . This implies y(-) T to M at



are separable adjoint hold

the existence

of a non-trivial relations



such that y(t)Tp ~ 0 Y(tl)Tk- ~ 0

the following for all for all PE ~ t k~T


and all .

tE[0,t I]

Note that this result allows with terminal to problems constraints


to optimality

problems form, e.g.

both in equality

and inequality


one is seeking for a Pareto-optimum.

3. Singular



remarks. control u(') assumes solution

From now on it is assumed values in the interior of

that the reference U. If in addition to some performance

the reference criterion)

is optimal

(with respect extrema!.

one speaks the

of a singular application

Since in case of a singular Maximum Principle


of the Pontryagin



out to be of little use, ments of necessary "higher K

there is particular


in those elecone. The

which are not contained

in the Pontryagin


which arise from those elements all known second

are then called


In the lecture

order conditions in the two basic The second depicts IIt. It gives rise cases of which are to Robbins and

will be touched upon, results a linear

in fact they are contained in some detail. completely in

which will be discussed

space which is contained type necessary

to equality widely used Goh.

conditions, and mostly


in applications


The first result is an inequality as generalized

type relation which is Clebsch-Legendre condition. result

known in the literature

In case of a multivariable

control we obtain a conclusive


which seems not to be known so far (cf. related work by Kelley, Moyer, Jaeobson, Krener and others). conditions is not just a theory, but


The theory

of second order necessary application


of convex approximation algebraic

also relies heavily linear systems.

on some non-trivial

facts about nonfacts is of

The formalism which brings

out these


in its own right and can be developed agreement strictly

out of two ideas line, namely to

which are in complete treat control viewpoint. systems

with our general

from the differential an analogue theory.


Firstly we introduce

of the Kalman controllathe Hamil-

bility matrix into the non-linear tonian system for the state system
(3.1) Let us

Let us consider

and adjoint state variable, H(x,y,u)

that is the

which arises
x = f(x,u) assume for

from the Hamiltonian

y = - fx(X,u)Ty

= y T . f(x,u):









time derivative

of the scalar function with respect to the system in the form


= yT-fu(X,U)



is easy to see that it can be represented where b is a n-dimensional x,u and further system with the

vector having as components independent variables

/ %

functions of

~,~,...u k~j x = Ax + bu)

In case of a linear b just coincides

(i.e. v-th

a system of the form column AVb

of the Kalman matrix. situation the seas

It now turns out that in the general non-linear quence of the b -provided they are defined variables

as above,



of the independent


- play the key (which is

role not only for the first order necessary not surprising) conditions.


but also for the understanding

of the second order

The second idea - which so far seems to represent of our approach - is to study systematically

the real novelty properties


with respect to the substitution


In other words,

u ~ u(x,v)
we consider along w i t h the given system all those depend upon the state. elaborated It turns

which arise by making

the control

out that the quantities exhibit tution

and relations behaviour

by our approach to the substiobof

a rather transparent (3.2). With respect the explanation properties

with respect Ilt

to the sets

this is somehow

vious from invariamce contrast

given in Section 2. The application tool. It allows - in

is our main technical

to other relevant work in this field - to avoid the usage of Lie-algebra-theory. ~ . many independent a m-dimensional the sequence variables The symbol

of the machinery 4. The oDerator We introduce ui, i=0,1,...

a set of infinitely , each ui being


U will be used in order to denote vector-valued ui functions of x

lUo,Ul,... I ;

and finitely

many of the variables It will always often diffe-

will be denoted by

g(x, U

) for shortness.

tacitly be assumed rentiable

that these functions to all variables.

are infinitely If g

with respect

is a n-dimensional is well defi-

column-vector, ned, where

then the Lie-bracket

[f,g] = gxf-fxg

f=f(X,Uo) (1.1)

is the right hand side of the given differen(with uo instead of u). Hence

tial equation


r(g) = [f,g] + ~

(~g/~ui)'ui. I
g ~ F(g) represents vectors a linear g=g(x, U b ).

is also well defined. operator

The mapping

acting on the set of all n-dimensional m=l

It is then easy to see that in the case we introduced by applying

the vectors from


in the last section can be obtained Fv and writing u,u,~

bo=fu(X,U o) of

the operator

etc. instead

u o , Ul,U 2 ....


We now turn to the case of a multivariable of the b is then played by a sequence column vectors of u


(m > 1). The role

of matrices By = (B~, .... B~), B~ are recursively defined

where the n-dimensional

as follows (the u-th component

is denoted by u (~) henceforth)


~o = (~fl~u~)(X,Uo)
~ are


= r v ( ~ o) , v=1,2, . . . .
of of x, U ui = IUo,Ul,.-.l for and

The elements of

C~ functions

they are polynomials in the case m=l the

in the components B

1 ~ i ~ v As

also can be obtained with the help of the = yT.f(x,u) and its Jacobian matrix

Hamiltonian function Hu(X,y,Uo) Indeed, if Hu


= yTfu(X,Uo)

= (yTf 1 .... ,yTf m) u u v-times with respect to t and

is differentiated

if differentiation (4.3) x = f(x,u o)

is carried out according to the rules , y= -fx(X,uo)Ty , ui = ui+1' i=0,I .... yTB (x,u) , i.e. we have

then the result can be ~ i t t e n (4.4) dV dt ~ Hu(x,y,Uo) = yT.

in the form ) .

By(x, U

This remark leads to a further interpretation Let us take the (1.1), (4.5) i.e. B along a given reference

of the matrices solution

Bv of


let us consider U(t)), where U(t) = lu(t),u(t),...l.

By(t) = Bv(x(t),

It is then easy to see that the following relation holds dv (yTf. (x(t),u(t)) = y ~ v ( t ) dt v if the differentiation of y is performed (4.7) y = - fx(X(t),u(t))TY of this relation and the Pontryagin Maximum order necessary conditions": y(') an adjoint state(4.6)

according to the rule

An obvious consequence

Principle are then the well known"first If u('), x(')

is a singular extremal and solution of then


(i.e. a non-trivial

(4.7) for which the Pontryato the

gin Maximum Principle holds)

y(t) ist orthogonal





v=0,1 . . . .

These conditions result. Here U

are also a consequence u(') need not to

of the following optimal, however ~t

more general


the assumption contains


has to be made

Theorem 4.1

the linear

space spanned by the columns

of the matrices $(t) henceforth.

Bv(t),v=0,1, . . . .

This space will be denoted by

There are good reasons solutions, instead enables

for introducing (4.6), x and


not along given but introducing (4.3),(4.4)). them

i.e. via the relation as functions of

(4.7) U(cf.



one to express

not only the first in terms of the B


but also all the

second order conditions demonstrate tion

as we are going to step in this direcin its own right.

in the next two sections.

An important

is the following

result which is of interest

Theorem 4.2 all ~,v ~ O,

The following


holds identically


x, U


p,o = 1,...,m ~+I

The importance different

m=O of this result lies in the fact that it links two

which can be performed with the Bv - namely uo and the differen-


differentiation forming of

with respect to the control variable out of its columns


(which involves x only).

tiation with respect to the state variable

A proof of Theorem 4.2 which is based on the invariance mentioned paper. in connection with


(3.2) will be given in the forthcoming

5. The generalized Given a reference us assume that Clebsch-Legendre solution condition. on some interval I and let

u(.), x(')

u(t)EintU Rn

for all tEI. We denote as before by ~ ( t ) which is spanned by the columns of the

the linear subspace of matrices B (t)

(cf. (4.5)). given an integer ~ ~ O and real numbers

Theorem 5.1. ~1,...,g m m i,0=1 then ~

Let there be

such that the following conditions i ( ~.E

are satisfied all tel if ~< ~ ,


Ci~j(bB~/~UoJ))(x(t)' ~(t)) L ' ~ ~ t )

is even and

for some



~ =,


~i~ ~( bBi/bu~ ) ) (x(t), U (t))E


adjoint y(t) is

Assume now that

is a singular extremal and that a multi-

plier rule of the form state vector orthogonal y(-).

(2.1) holds with some non-trivial

It follows then from Theorem 4.1 that for every n-1 tel. If ~ ( t ) (i.e.

to ~ ( t )

in addition happens y(') is

to have the maximal rank

if the multiplier

determined up to a positive order conditions) are orthogonal given this to

scalar constant by means of the first consists of all vectors which

then c o n v e r s e l y ~ t )

y(t). The statement of the theorem can then be

simple form. is constant and equal ~I' .... '~m to the first

Corollary I. If the dimension of ~ ( t ) n-1 on I

then for each choice of the m-tuple among the numbers

non-vanishing m




U(t)),~=0,1,2, . . . .
~1,...~m ) and

carries an even subscript has the sign (-I) v/2

(which may depend upon


As one observes from (4.3) and (4.4) the coefficient of also be interpreted as the quantity (5.2) ~ # d~ ~



H(x,y,u O)) : : hi'J(x,y,~ U

taken "along" the singular extremal, i.e. taken for U


= U(t). Hence the corollary can be rephrased in a way which is

more close to what is known as generalized Clebsch-Legendre condition in the literature. Note however that the standard version of this condition in case of a multivariable controlconGerns the quadratic form (in indeterminates zl,z2,...Zm) i zizoh~'J(x(t)'y(t)' i,0 as such, whereas each U(t))

our corollary yields the analogous statement for value of this quadratic form.

i n d i v i d u a i

We state a further result which is an immediate consequence of Theorem 5.1. In the following corollary the reference solution is not required to be optimal and the rank of mal. Corollary. 2. (5.3) for Let ~ >- 0 be an integer such that (bBJ/bu(i))(x(t), ~(t))E ~ ( t ) v=0,...,~-1 tel, Assume furthermore i,j if V=~ ~(t) need not to be maxi-

bB~/bu(J))(x(t), U ( t ) ) + i,j=l,...,m, all tel and

that (5.3) is Then ~

n o t

true for all

and all

is an even number and we have (bB~/b/u(i))(x(t), U ( t ) ) ~ T t

(-1)~/2~bB~/bu(J))(x(t), U ( t ) ) + for all tel , and

i,j=i,...,m .

161 6. Higher order equality-type These are conditions conditions. y(t)Ta = 0 and they arise, An

of the form

according to the multiplier which are such that ~(t)

rule (2.1), from elements a of the

A aE I~ . All elements t

of the linear subspace as we are going

have this property,

but there may be more,

to show in the next theorem. solution u(.),x(')

We assume again that the reference u(t)Eint(U) for all

satisfies the condition it can be arbitrary.

tEI; but otherwise to be optimal. Theorem 6.1. Let

In particular

it need not

~ _> 0

be an integer such that the following ele~(t), for for every tEI:

ments belong to the space (i) (bB~/bUo(J))(x(t),


v ~ ~, i,j=l ..... m


i,j = I .... m.

Conclusion: (6.1) belong to

The elements ~ (~B~/bu~J))(x(t), "If t for every tEI U(t)) and i,j=1,...,m.

There is an important special case of Theorem 6.1 which is known (or rather its consequences for singular extremals are known).

Corollary Then




be a linear function in

+ (~B~/~Uo(J))(x(t)' U(t))E for i,j=l,...,m and all tEI




is linear in

u, then

Bo = fu

is independent



U and hence

b o/bU o

Bi, {j)

is zero identically in


. It follows of Theorem

then from Corollary 2 to Theorem 5.1 that the hypotheses 6.1 are all satisfied if one takes ~=I .

One observes that the conclusion of Theorem 6.1 can also be phrased in this way: The convex cone generated by the elements of ~ t tains the linear space generated by the union of ~ ( t ) ments con-

and the ele-

(6.1). Let us now return to the special situation considered

in the first corollary of Theorem 5.1. Since every linear subspace of "lit is orthogonal to the multiplier II t y(t),~(t) is necessarily n-1. Hence

the maximal linear subspace of the elements

if it has dimension

(6.1) actually belong to ~ ( t )

and a straightforward

induction argument leads us to the following result. Corollary 2. Assume that ~(t) is the maximal linear subspace con~It , for tEI, for

tained in the convex cone spanned by the elements of every

tEI. Assume furthermore that (5.3) holds for all and for v=O,...,a ,~

i,j=1,...,m Then we have

being some non-negative integer.

(~B~/bu~O))(x(t), U ( t ) ) E ~ ( t ) for every tel, i,j=l,...,m and ~=0,...,~

7- ApPlication to sensitivity analysis. We wish to touch briefly upon a further application of the foregoing results which underlines a certain advantage of our approach. the standard techniques of general properties the cone K Since

sensitivity analysis are based on the

of derived cones only, they can be applied to in Sec. 2 - the same cone from

which was introduced

which we have deduced all necessary conditions discussed in this lecture. Thereby one arrives on sensitivity results which take the


higher order variational crease of accuracy. analysis


into account.

This leads to an in-


in general function undergoes

is concerned

with estimates

for the

changes which the value performance are changed. criterion) We confine

(i.e. the optimal value

of the

if the data of the control problem outline of a typical

ourself to a sketchy A more detailed example

result and its extension.


can be found in

[5] where also an illustrative Let us consider fold consists direction paramter. value an optimal

is discussed.

control problem where the terminal manix 1. We now change xI by x1+kp, xI in a certain

ef a single point

p, that is we replace Let us assume V(k) of

k being a positive small k~O the

that for each sufficiently

function V'

is well defined V(k) at k=O

and that a right-hand

side V'


exists. It is then known that

can be estimated linear functional those multipliers Maximum Principle if we let satisfy y

from above in terms of the values which a certain assumes y on the (suitably normalized) set of all

for which the statement true. The estimate of

of the Pontryagin V' now remains valid


vary instead on the set of those multipliers (2.1).


the first of the conditions of y

That this indeed means set and therefore

a restriction

to a subset of the original V' follows

also a lowering

of the bound for

simply from the fact K

that the Pontryagin

cone is contained

in the convex cone


[I] H.W.KNOBLOCH, Dynamical Press

Local controllability A.R.Bednarek

in nonlinear

systems, Academic


and L. Cesari



pp. 157-174. The high order maximal principle extremals, SIAM J. Control and its application 15 (1977)

[2] A.J.KRENER, to singular pp. 256-293.



[3] M.R. HESTENES, Calculus of Variations and Optimal Control Theory, Wiley, New York 1966 [4] H.W.KNOBLOCH und F.KAPPEL, Gew~hnliche Differentialgleichungen, B.G.Teubner, Stuttgart, 1974. [5] B.GOLLAN, Sensitivity results in optimization with application to optimal control problems. To appear in: Proceedings of the Third Kingston Conference on Differential Games and Control Theory 1978.

Author' address: Mathematisches Institut, Am Hubland, D-8700 WGrzburg, Fed.Rep.Germany.


J. Mawhin and M. Willem

I n s t i t u t Meth~matique Universit~ de Louvain B-134B Louvain-la-Neuve Belgium I . INTRODUCTION Much work has been devoted in recent years to the s o l v a b i l i t y o f nonlinear equations o f the form
(1.1) Lx - Nx = 0

in a Bsnach space, or to the study of the range of L - N, when L is a Fredholm mapping of index zero and N satisfies some compactness a s s u ~ t i o n . graphs[ 8 ] , [ 1 1 ]
and[13] . Basic for this study is the

5ee for example the monoof equation (1.1) to


the fixed point problem in the Banach space X

(1.2) x - Px (JQ + KF~)Nx = 0

or to the trivially equivalent one in the product space ker L x ker P,

(u,v) = (u + JQ~u+v), KpQN(u+v)) where P and Q are continuous projectors such that (1.3) Im P = ker L , Im L = ker Q ,

KpQ i s the associated generalized inverse o f L and J : Im Q -~ ker L i s an isomorphism. The compactness assumption on N generally implies that (JQ + KpQ)N i s a compact mapping on some bounded subset o f X and, P being by d e f i n i t i o n of f i n i t e rank, (1.2) i s a fixed
point problem for a compact operator in X and degree theory is available in one form or another. If one replaces the Fredholm character of the linear mapping L by the mere projectors P and Q satisfying (1.3), then P is no more compact

existence of continuous

and is at best non-expansive,

which makes the study of the fixed point problem (1.2)

very d i f f i c u l t even f o r (JQ + KF~)N compact (see e . g . ~ ]

In a recent paper, Br~zis and Nirenberg [ 4 ]

, chapter 13).

have obtained interesting results demi-continuous and

about the range of L - N when X is a Hilbert space, N is monotone,

verifies some growth condition, and L belongs to some class of linear mappings havif~g in particular compact generalized inverses. satisfied for the abstract formulation semi-linear wave equations. Those assumptions are in particular

of the problem of time-periodic solutions of

The proof of the main result in [4] for this class of

mappings is rather long and uses a combination of the theory of maximal monotone operators, 5cheuder's fixed point theorem and a perturbation argument.


In this paper, which is the line of the recent work of one of the authors ~B]for the case of a Fredholm mapping L, we consider problems with dim ker L non finite

by an approach which is closer in spirit to the continuation method of Leray and Schauder [14], although we still have to combine it with other powerful tools of

nonlinear functional analysis like the theory of Hammerstein equations and of maximal monotone operators. We first obtain a continuation theorem for Hammerstein equations

(Section 3) whose proof requires an extension of some results of De Figueiredo and Gupta ~ g i v e n in Section 2. This continuation theorem is applied in Section 4 (1.1) in a Hilbert space under regularity and with the

to obtain an existence theorem for equation

assumptions slightly more general than the ones of Br@zis-Nirenberg growth restrictions replaced by a condition of Leray-Schauder's of some set.

type on the boundary

This existence theorem is then applied in Section 5 to abstract problems type, the first one corresponding to a result of Cesari and Kannan

of Landesman-Lazer [9]

when dim ker L <two

, and the second one being essentially a version of the In Section 6, the main theorem of Section 4 is applied

result of Br~zis-Nirenberg.

to a second order periodic boundary value problem of the form

-x" = f(t,x) i n a H i l b e r t space, and the e x i s t e n c e r e s u l t which i s obtained i s s f i r s t but s t i l l

partial answer to the question raised in 6 0 ] about the solvability of this periodic problem for differential equations in infinite dimensional spaces. we consider equation In Section 7,

(1.1) in a reflexive Banach space X and obtain a Leray-Schauder's

type theorem when the assumptions of monotonicity and compactness are replaced by some assumptions of strong continuity. Another problem in differential equations and leading to equations of the type (1.1) with an infinite dimensional kernel is the periodic boundary value problem for first order ordinary differential equations of the form x' = f(t,x) in an infinite dimensional Banach space. in [5] and Z 6 ] a n d Such a problem was considered by Browder The interested reader can consult the leading in

will not be treated here.

recent paper ~ 9 l w h e r e some of the results of Browder are generalized, particular to existence theorems of the Landesman-Lazer's

type for this situation.



Let H be a real Hilbert space with inner product DEFINITION 2.1. compatible hold : ( , ) and corresponding norm ~.~

A pair (M,N) of mappings from H into H is said to be Hammersteina an___.dd b if the following conditions

(shortly h-compat.~ble) with constants

(i) (ii) (iii)


0 ~ b ~ a . N is demi-continuous,
(V u ~ H ) ( V
(V u ~ H ) ( V

v ~H)

x ~x in H, then N(x )--~N(x) n n : a|Mu - My| 2 ~ (Mu - Mv,u - v)

: -b{u -

i.e. if

vl 2 _~ (Nu

Nv,u -


This class of pairs of mappings is related to the unique solvability of the abstract Hammerstein equation
(2.1) x + MNx = f

for every f ~ H, by the following results, which generalizes and completes a theorem of De Figueiredo and Gupta [ 1 0 ] PROPOS3TION 2.1. constants .

Let (M,N) be. a.. pair .of h-compatible mappinqs from H t__ooH, with Then.~ for every f ~ H, equ..ation (2.1) has a unique sol.u.tion.

a an__.d.d b

If, moreover ,
(2.2) M(O) = 0 ,

the unique s.o..lution x o f (2.3)

(2.1) s a t i s f i e s Ix - f | ~

the foll.pwinq estimate.

(a - b ) - I I N f l

Pro pf. paper.

We only sketch the proof, details of which will be given in a subsequent (2.1) is trivially equivalent to equation
y + MN(y + f ) = 0 ,


and hence to
(2.4) if O~Ty,

T : H .-~ 2 H i s d e f i n e d by
Ty = - M - 1 ( - y ) + N ( f + y ) .

By the assumption on M and N and basic results of the theory of maximal monotone operators (see for example [ I] ), it is easy to show that T is maximal monotone To

and strongly monotone,

prove ( 2 . 3 ) , l e t -blf - x~ 2 ~

so that (2.4), and hence (2.1) has a unique solution.

us n o t i c e t h a t ( f - x, Nf - Nx) = (MNx, Nf - Nx) = -(MNx,Nx) + (MNx,Nf) - a~MNx~ + (MNx,Nf) 2 ~ ~Ix - f { 2 + ~x - f ~ N f ~ ,

and the result follows.


Under some more assumptions, one can obtain results about the continuous dependence of the solution of equation (2.1) with respect to M, N and f . The formulation of the following Proposition 2.2 is modelled after a theorem of Brezis and Browder (~2] PROPOSITION 2.2. , Proposition 5) and the proof will be given elsewhere. H, ( M n , N n ) n ~ N .

Let (M,N) .be a pair of h-cqmpatible m appinqs, f ~

be a sequence of pairs of h-compatible mappinqs with .c.onstants a and b , and (fn)n~_N . be e sequence of elements of H which converqes to f. conditions hold : (I}
(2) (3)

AssuMe that the followinq


U N (5) is bounded . n n ~ N* F o r each u ~ H, M N u - - ~ MNu i f n--P=o . n For each uC. H, N u - - ~ N u if n---~=~. n For each n ~ N*, Mn(Oi = 0
u = (I + MN)-If , u = (I + M N ) - I f n n n , (n E N * ) ,

for each bounded subset

5 C H,

Then, if n

one has u n --~u if n-.~=o.

If we call a mapping

F : H --PH

bounded when it takes bounded subsets of H into

bounded subsets of H, we have the following immediate consequence of Proposition 2.2. COROLLARY 2.1. H--~H bounded. Let (M,N) be a pair of h-compatible mapp.~nos, with M(O) = D s n d N :

Then (I + MN) -I H --~H is continuous. closed when F{S) is closed for every closed

If we now call a mapping F : H --~H

subset S of H, we deduce at once from Corollary 2.1 the following COROLLARY 2.2.

Under the es@umptions of Cuorollary 2.1,

I + MN : H--p H


cl,psed mappinq.

3. A CONTINUATION THEOREM OF LER.A..Y.-SCHAUDER' TYPE ~ Let still H be a real Hilbert space with inner product ( , ) and corresponding norm I.| , let I = [0,1] ~Q and, if E C_H and T : E x I -~H , (x,~) w-pT(x,~), . fr ~'~ ,

let us denote, for each Let now and let ~. C H

I, by T ~

the m a p p i n g

T ~ : E --m H, x ~ T ( x , ~ ) and boundary

be an open bounded set, with closure c l ~ M, N : H x I --~H and

us consider the mappings

C : cl~.

x I --~ H .

The following result is a continuation theorem of Leray-ichauder's type for mappings which are not necessarily compact perturbations of the identity. H Recall that F : E--P

is called ~ compact on E if F is continuous on E and F(E) is relatively compact.



Assume that the mappinqs M, N and C satisfy the followinq conditions. a enid b such that, for each ~ _ I, the pair ( M , N~)

I. There exist real numbers is h-compatible 2. N : H x I - ~ H

with constants a an_..~db , and M~(O) = 0 is bounded . and, for each x ~_H,

for each ~ I .

the mappinq

p ~. N(x, p )
i s continuous.
3. For .each x~ H and each V ~ I, the mappinq

~ ~-~ M(N(x,y ) , ~ )
is continuous.

4. 0 ~

(I + MoNo)(D~)
x I ~

and CO = 0 .

5. C : c l ~

H is compsct

f o r every ( x , ~ )
Then, for each ~I,


x I .


X + MpN~x + C x
has at least one solution Proof. Let us define, x ~ ~L . for each ~

I, the mapping
+ MpNp .


H --~H


TM =
It follows therefore 2.2 thst the mapping

from the assumptions

(I) to (3), Proposition

2.1 and Proposition

i s defined, continuous and bounded on H x I . U = {(TBx,~) i s an open bounded subset of by : (~,~)~

Consequently, ~.x I]

the set U defined by

H I , and, using assumption (5), the mapping K defined

i s compact on c l U

Moreover, i t

follows from condition (4) that

(O,O) ~ U . ~E I, and hence

Now, by Corollary 2.2, T ~

is a closed mapping for each

cI(TF(~L)) c

T (cl ~

) .

Therefore, T~ being moreover one-to-one, one has f r T (-~) = c l ( T B ( ~ ) ) k i n t ( T M ( ~ ) ) = cI(TM(3"L)) ~ T (~L) C C T~(cl~) ~- T~.(J'L) = T (fr-~) , f r U, one has

which, together with assumption (6), implies that, f o r every ( y , ~ ) ~ y + K(y,~) ~ 0 .


As, by assumption (5), K0 = 0 , all the conditions are satisfied to apply the usual Leray-Schauder's continuation theorem [14] to the family of equations

implying that, for each

y + K(y,~)

= 0

~ 6


~ E I, equation (3.2) has at least one solution y such that

and hence, l e t t i n g
y = Tpx



which i s possible by d e f i n i t i o n the proof is complete. REMARK.

o f U, we see t h a t


equation (3.1) and

Theorem 3.1 is distinct from but in the spirit of generalized Leray-Schau-

der's type continuation theorems due to Browder [ 73 and Br@zis and Browder



Let still H be a real Hilbert space with inner product ( ~ ) and corresponding norm form I'~ We shall be interested in existence results for equations in H of the


Lx = Nx L is a linear and N a not necessarily linear mapping from H to H satisfying Following the line of recent , and in

some regularity assumptions we shall describe now. work by Mawhin [16], Br~zis and Haraux ~ ]

and Br~zis and Nirenberg ~ ]

contrast with most of the literature devoted to equations of type (4.1) (see for example the s u r v e y s t B ] dimension. More precisely, let dense domain (4.2) dom L L : dom L ~ H -~PH Im L be a closed linear operator with such that , D I ] , D 3 ] ) we shall not assume t h a t ker L is of f i n i t e

and closed range

Im L = (ker L)"L

Consequently, using the closed mapping theorem, the restriction of L to dom L ~ Im L is a one-to-one linear mapping onto Im L with a continuous inverse

K : Im L--P dom L ~ Im L . We shall denote by P the orthogonal projector in H onto the (closed) subspace ker L , so that condition (4.2) is equivalent to Im L = ker P . Let now N : H--~ H Nx n be a bounded mapping which is moreover demi-continuous on H, for every sequence (Xn) n ~ N* which converges to x in H.

i.e. such that

--~ Nx


Recall that a mapping F : H - ~ H ore has

is called monotone if, for every x E

H and every y ~ H,

(Fx - Fy,x - y) ~ THEOREM 4.1.

0 .

Let us assume that the mappinqs L, N, K, P defined abpve verify the : is monotone. ~).C H such that 0 ~ ~ and

fol.lowin.q F onditions

I. I - P - N : H--~ H

2. Ther# exists an open bounded set i. K(I - P)N ii.

is compact on cl ~ - . ~ 0 for all ( x , ~ ) ~ (don L t3 fr ~. x ]0,I~ .

Lx + (I - ~)Px - ~ N x

Then, equation Proof.

(4.1) has at least one solution ~]0,I~ , the equation

First step. Let us first show that, for every

has at least one solution

Lx = - ( 1
x ~

- ).)Px +~Nx
By a result o f ~ 5 3 (see a l s o ' t 3 3 ),

dom L (~ ~L

equation (4.3) is equivalent to the equation in H

and hence, by assumption

x +%P(-P - N)x - % K ( I - P)Nx = O

(2.ii), one has

for every in dom L . (x,~) ~ Let ~

x +~P(-P - N)x - ~ K ( I

- P)Nx ~ 0

fr ~. x ]0,1[ , because the solutions of (4.4) are necessarily ~0,I~ be fixed; then, one immediately obtains , using the (I), for every x G H and y E H, and each ~ ( I ,

orthogonal character of P and assumption

(%(Px - Py),x - y) = ~ | P x - py|2 =

X-1]%px _ %py]2 ,

(F(-Px - Nx + Py Ny),x - y) ~ - ~ I x - y l 2 ~ - I - y|2 ,

so t h a t the p a i r ( ~ P , ~ - P - N ) ) i s h-compatible with constants P(O) = O, the mapping continuous f o r every x ~ (x, ~ ) ~-~ ~(-Px - Nx) ~-I and I f o r every ~ 6 I , F(-Px-Nx)

bounded, the mapping ~ -

I , the mapping ~ ~ - ~ P ( y ( - P x - N x ) ) constant and hence c o n t i I + ~pP(-P - N) reduces to I f o r ~ = 0 .

nuous f o r every (x, ~ ) ~ H x I , and Now the mapping ~-: (~, ~ ) ~ K ( I

- P)Nx

i s c l e a r l y compact on c l J~L x I , vanishes f o r

0, ands, by ( 4 , 5 ) ,

x + ~.'.XP(-P - N ) x - f f " ~ K ( I
for avery ( x , ~ ) ~ fr ~ x I, because, when

- P)Nx

#~ 0

0 (the only case not covered by (4.5)},

this is implied par the condition 0 ~ - ~ . Second step. K(I


The result follows therefore from Theorem 3.1.

being bounded, it follows from the first step, the compactness of and the properties of L that one can find sequences (~ ) n n~N* '

P)N on c l ~ ~ .

(~n)n~.N . , (4.6)

auch t h a t

)~n--.~ 1


n--~oo, X h ~ ~ 0 ~

, n~-N~,
n n


= -(I

- Xn)PXn + ~ Wx

n ~-N*,


and, if we write
Yn = (I P)x n , z n = Px n ,

such that, for some (4.7) yn~y

y~ ,

and z E Zn---~ z

H, and LXn = Ly n ~ Ly if n--~. v ~_-H, that

Now, from the monotonicity of I - P - N, we deduce,

(Yn NXn (I P N)v , x n v) ~

for every n ~ _ N * and

O , n ~_N*,

and hence, using



(Yn - A n 1(1 -

)~n)zn - ' X n l L Y n - (I - P - N)v, Xn - v) ~' 0 , n ~ N*.

(4.7), we can go to the limit in (4.8), which gives (y - Ly - {I - P - N)v, x - v) ~ 0 this implies

for every v ~


Since I - P - N is cZearly maximal monotone,

y Ly = (I P N)x = y Nx ,

and hence Lx = Ly = Nx and the proof is complete. REMARK 4.1. It is immediately checked that -L has the same properties as L, with Consequently, the assumption I - P - N is

the same orthogonal projector P. monotone can be replaced by I'. I - P + N : H ---~H

is monotone

if (2.ii) is replaced simultanuously by 2.ii'. Lx - (I - ~ ) P x - % N x ~ 0 for all (x, ~ ) ~ (dam L ~ fr~L) x ]O,i[ .

Of course, the monotonicity of

I - P - N

(resp. I - P + N) is implied by the

m o n o t o n i c i t y of -N (resp. N), as it is easily checked because I - P is monotone. 5. A P P L I C A T I O N TO SOM E A B S T R A C T LANDESMAN-LAZER PROBLEMS

We shall show in this section how Theorem 4.1 allows simple proofs for abstract Landesman-Lazer problems, i.e. results about the range of L - N when N satisfies The first theorem is modelled after a result of Cesari This assumption I - P - N or I - P + N.

some growth restrictions.

and Kannan Z 9] for the case where ker L is finite-dimensional. is suppressed here at @ e exp.nse of a m o n o t o n i c i t y condition on C O R O L L A R Y 5.1,

Let us assqme that the mappinqs L, N, K, P verify the conditions

listed at the beoinninq of Section 4 an d that the followinq assumptions hold; a. I - P - N : H--~H b,' K(I - P)N : H--~H K(I - P ) N ( B ) ~ s c. There exists r~ is moptone. is completel.y continuous, i.e. continuous and such that

relatively compact for every bounded subset B o f H. 0 such that, for all x ~
iK(I e)Nx~ r



d. There exists R > 0 such that I for all x E

H for which ,

IPxt = R and
one has

|(I - P)x~ ~ r


0 .

Then t equation (4.1) has a t l e a s t one s o l u t i o n . Proof. We shall apply Theorem 4.1 with the open bounded s u b s e t ~
Q- =

of H defined by






so that fr ~'L = 51 U 52 , with 51 = ~ x G H :

IPxl = R

and and


- P)xl_~r~

S2 = {X ~ H : IPxl ~- R

l ( I - P)xI= r }

~]0,I[, equation

By applying P and I - P to equation (4.3) is equivalent to the system (5.1) (5.2)

(4.4), we see that, for each

( I - P)x = ~ K ( I - P)Nx -(I - ~)Px + ~PNx = 0 ,

and hence every possible solution of (4.3) is necessarily such that

i.e. such that

l(I - P)xI = ~ K ( I
x ~ 52. Now, -(I

- P ) N x ~ Xr


r , ,

(5.2) implies that, for every ~ ] 0 , I ~

- X) IPxl 2 + k(Nx,Px) - 0 , Therefore, by of Theorem 4.1 is

because, by the o r t h o g o n a l i t y o f P, (PNx,Px) = (Nx,Px) = (PNx,x). assumption (d) and (5.3), one has x ~ 5I. Thus, assumption(2)

satisfied with our choice o f - ~ REMARK 5.1. conditions replaced by a'. I - P + N : H ~ H d'. (Nx,Px) ~ 0 By using

and the result follows.

Remark 4.1, one easily obtains that, in Corollary 5.1, (d) can be simultanuously and respectively

Ca) and the inequality in condition

is monotone.

w i t h the same conclusion f o r the equation ( 4 . 1 ) . We shall now deduce in a very simple way, from Theorem 4.1, a recent result of Br~zis and Nirenberg[4] . Assume that L : dom L C H --~H satisfies the conditions listed at x E dom L,

the beginning of Section 4.

Then, since, for every

l(I - P)xI = ~KLx ~ ~; I K I | L x | ,

one has 2 (Lx,x) = (Lx,(I - P)x) ~ for every x ~ dom L. -$Lx| l(I - P)x~ ~ - IKllLx| Let us denote by @ the largest positive constant such that


for all x ~ dom L.

(Lx,x) ~
Let now B : H - ~ H

- ~-I--|Lx~2 ,
We have

be a bounded demi-continuous mapping.

the following result. COROLLARY 5.2. Assume that the mappinqs L a n d s satisfy the above conditions and

that the followinq conditions hold; a. I - P + B : H ~ H ~s monotone. ..i..s...complete.l.E..continuous. O f ~ ~, such th..a.t,, for all x ~ H and y ~ H,

b. K(I - P)B : H--~ H c. There exists ~

, with


(Bx - By,x) >~ ~-I~Bx%2 - c(y)

where c ( y ) depends only on y. Then, i n t ( I m L + cony Im B)

Proof. Let

Im(L + B) .

f ~ i n t ( I m L + cony Im B)
and let us apply Theorem 4.1 with N = f - B. By the assumptions of regularity made

on L and B, it suffices to prove that the set of solutions of the family of equations


Lx + (I - X ) P x + k B x = %f
, because then condition (2) of Theorem

is a priori bounded independently of ~ ] 0 , I [ 4.1 will be satisfied with ~ For all h ~ H

an open ball of center 0 and radius sufficiently large.

of sufficiently small norm, we can write n

f + h = Lv + ~-

i=I where v~ don L, wi ~-H, t i ~ 0

t . Bw I l

( 1 ~ i ~ _ n ) and

n ~ t i = I. i=1


f o l l o w s then from

(5.6) that
(1 ~)Px + ~(Bx -

~ t.Bw,)


* ~h

= ~Lv


Taking the inner product of this equality with x and using (5.4) and (5.5), we obtain

(1 - X ) l P x l z + A ~ t i ( ~ r - l l B x l 2 - c(w.))~. X ( h , x ) i=1
and hence

~ X(Lv,x) + e - l l L x I 2 -~


| ( I - P)x~ +

@-llLxl 2 ,

But, by (5.6) and

~-1~Bxl 2 -

~ i=I

t.c(w.) i i

+ ( h,x)~Lv|

l ( I - P)x{ +


(5.1) with

N = f - B , one gets e a s i l y , ~(I P ) x | 6 XIK~(~BxI + |f~) ,

~Lx~(~( ~x~ + If~ )

which, together with (5.7), gives, for all h E H of sufficiently small norm,



~'-l)[Bx~2 + c'(h)IBx~ + c"(h)


where c' and c" only depend from h.

(h,x) ~


@-I ~ - I

, this implies that

for some c"t(h), and hence, by the Banach-Steinhaus such t h a t

theorem, there will exist R > 0

which achieves the proof. REMARK 5.2.


More general versions have been given by Br~zis and Nirenberg in [4] We have restricted to this one for simplicity.

and they could be treated similarly.

Let us also notice that Br~zis and Nirenberg assume that B is monotone instead of
I P + B.

COROLLARY 5.3. a'. B : H - ~ H ~hen L + B

If r in Corollary 5.2, condition is monotone and B is onto,

(a) is replace d b ~

is onto. By Corollary 5.2, int(Im L + cony Im B) = H ~ Im (L + B) ~ H .


In particular,

by the theory of maximal monotone operators, B will be onto if




We shall refer to [ 4 ] for an interesting application of Corollary 5.3 to the existence of generalized solutions in L 2, 2Tt-periodic
wave equation

in t and x, of the nonlinear

utt - Uxx


A generalization of some of the results of [17]is obtained which replaces some Lipschitz condition in u for f by a monotonicity assumption. 6. AN APPLICATION TO A SECOND ORDER PERIODIC BOUNDARY VALUE PROBLEM. IN A HILBERT SPACE In this Section we shall apply Theorem 4.1 to the second order periodic boundary value problem
x(O) -

= f(t,x(t)),
x(1) = x'(O) -

t ~

I =

[0,1] ,

(6.2) where x ' = d x / d t and

= 0

f : I x HI--~ HI, with HI a real Hilbert space with inner |'~ I " One could consider similarly the

product ( , )I and corresponding norm Neumann boundary conditions


= o = x'(1)

which share with the periodic ones the feature of furnishing a non-invertible part in the abstract formulation of (6.1-2).


When the boundary conditions make this rather general results for

linear part invertible and f is completely continuous,

the solvability of the corresponding boundary value are available, even for HI a


Banach space (see e.g.[20] ).

But, in contrast with the situation where HI is finite-

dimensional, the general case with periodic or Neumann boundary cnnditions is much more difficult and ~ e s not seem to have been explored. results we obtain here may be of interest. Let H = L2(I,HI) with the inner product Hence, even the very special

(u,v) =
and the corresponding norm



~.~ , end let us define N on H by

= f(s,x(s)) a.e. on I


x ~


To avoid lenghty technical discussions, which will be given in a

subsequent paper, we shall directly make our regularity assumptions on N instead of on the original mapping f . Let us assume that :

I. N maps H into itself in a completely continuous way.

2. (=1 r >O)(V x ~H) : INx I ~ r .

3. N is monotone, i.e. (f(s,x(s)) - f(s,y(s)),x(s) - y(s))ds ~ 0

for all x ~ H and y ~ H . dom L ~ H by

Let us now define dom L = {xEH

: x is absolutely continuous in I together with x', x"~= H and

= x'(O) x'(1) = o ~ ,

x(O) - x ( 1 )

so that dom L is a dense subspace of H~ that L is closed and


L : dom L C

H --~H~ x~-P-x", so

ker L = ~ x ~ dom L : x is a constant mapping from I into HI } ,

Im L = ~x ~ H

~I x(s)ds = 0 } =

(ker L) "L

ker L = Im P

with P : H - - ~ H

the orthogonal projector onto ker L defined by

Px = ~ I



Assume that the condit~pns above hold for N and that there exists and all x ~ HI with ~ x | 1 ~ R, one has

0 such that~ for a.e. t E 1


(f(t,,x),x) I

(r/21) 2 .

Th.en~ problem (6.1-2) has a t l e a s t a (~aretheodor.v) s o l u t i o n . .Proof. We s h a l l apply the v a r i a n t o f Theorem 4.1 mentioned i n Remark 4.1 to the

equivalent abstract equation in dom L ~ H

Lx = Nx . C l e a r l y , the sssumptions we have made imply t h a t I - P + N i s monotone and K(I - P)N

completely continuous

(one shall notice that for HI infinite-dimensional,

K is a

continuous but not s compact mapping).

It suffices therefore to show that the

possible solutions of the family of equations

(6.4) are a p r i o r i bounded. Lx = (I - A)Px + $~Nx , XE]O,I[ ,

By applying I - P and P t o both members o f ( 6 . 4 ) , we o b t a i n Lx = ~ ( I - P)Nx ,

and hence,
Ix"l = ILxI(INx|

O = (I - %)Px + APNx ,



x = u + v, with

u = Px and using elementary properties of Fourier series,

this implies that

(6.6) Iv| ~ (2T~) - 1 | x ' l ~ (211;)-2 ~x"l ~ (2TC)-2r

and max t~.I Therefore, if Iv(t)|


_~ ItrI((21~)23 I/2)

= r'

lu~ = |u | 1

~ -

R + r', one has, for all t ~



max t~I

l v ( t ) l 1 ~, R ,

and therefore, by (G.3), for a.e. t & I,

(?(t,x(t)),x(t)) I >~ (r/2~) 2

so t h a t
(6.7) (Nx,x) ~. ( r / 2 ~ ) z .

But (6.5) impliesp after having taken the inner product with x,
O = (I - ~ ) l u | 2 + %(PNx,x) , i.e.

0 = (1 - ~ ) l u | 2 + ~ ( N x , x )

- ~(Nx,v)

Consequently, using (6.G) and (6.7)~ one gets

0 >~ (1 - ~ ) | u 1 2 + a contradiction.

A(r/2~) 2- ~(r/(2It)


= (1 - % ) l u l

2 ~

(1 - ~)(R + r ' ) 2 ,

lul 1 < R + r'

and hence, by ( 6 . 6 ) , Ixl 1 ~ lul 1 + Iv~ 1 and the proof is complete. < R + r' + ( 2 T c ) - 2 r



a linear mapping such that there exist continuous projectors P : X - ~ X , for which ker L = Im P, Im L = ker Q ~ ~ P | = ~ and such that there exists a linear homeomorphism denote by Kp,q : Z --~ dom L ~ ker P J : Im Q--~ker L .

Let us

the linear mapping Kp(I - Q) where Kp : Im L

dom L ~ ker P is the inverse of the one-to-one and onto restriction of L to dom L ~ ker P . let N : c l ~ L ~ Let I~LC- X be a bounded open convex subset with O~L, and

Z be a (not necessarily linear) mapping such that the mapping (dq + KpQ)N : c l ~ l - C X --~ X

is stronqly continuous on c l ~ -

, i.e. such that

(JQ + Kpq)N(xn) ~ f o r every sequence ( x ) N* n n~

(JQ + Kpq)N(x)

in cl3~- such that x ~ n x if

n---~ .

Let us r e c a l l that the strong c o n t i n u i t y on c l ~

implies the compactness on c l ~ . ,


for X a reflexive ~anach space, but the converse is not true (see e.g. L 1 2 ~ THEOREM 7.1. (7.1) for every (x, % ) ~ (7.2) has at least one solution. Assume that L and N satisf~ the conditions above and that Lx ~ -(I - ~)J-Ipx + ~ N x (dom L ~ fr &"L) x ] 0 , 1 ~ . Lx = Nx Then equation

Proof. As shown in [153 (see also [133 ), equation

(7.3) is equivalent to the Lx = - ( 1 equation x - Px = (JQ + K p ~ ) ( - ( 1 i.e. to the equation - ~)J-1px +~Nx) , - ~)J-1px + ~Nx

x - ~Px = X(JQ + Kp,Q)NX ,

in c l ~ . Let us fix ~ ] 0 , I [ and consider the family of equations in c l ~ ,

For each

x - ~ P x = ~ ( J Q + Kp,Q)Nx ,
~ ~ I, the mapping I -~P

~ ~ I = [0,I~ .

is a linear homeomorphism of X onto itself

with ( I -~XP) - I = (I - ~ ) - I P + ( I - P) ,

and hence the family of equations (7.4) is equivalent to the family of equations


x = (I - h ~ ) - 1 ~ J Q N x + ~KpQNx = T A ( x , ~ ) , in cl~rL .

i , is

By our assumptions and the r e f l e x i v i t y o f X, T~ : cl~'Z x I ~ X replaced by ~

a compact mapping, and by (7.1) with ~ equations described above,

and the equivalences of

x - T~(x,/~) ~ 0

for every (x,~) E condition O~


I, the validity for


0 being a consequence of the continuation theorem,

. Therefore, using the Leray-5chauder's

T (.,I) has at least a solution in ~ solution in dom L A ~ sequence in that Lx = - ( I n Therefore,

t and hence equation (7.3) has at least one ~]D,I[ . Let now (~n)n ~ N* be e a sequence in dom L ~ such

, and that for every

]0,I[ which converges to I

and (Xn) n ~ N .

- X )J-Ipx + ~ Nx n n n n


If we w r i t e x

Xn " ~nnPx = = Yn + z

~ n (JQ + KpQ)NXn
Yn = PXn ' n ~


n ~ N* .
then (Yn)n~N. and ( Z n ) n ~ N . are


bounded and, hence, the compactness of (JQ + KpQ)N and the reflexivity of X imply that, going is necessary to a subsequence, PXn = Yn .~b y ~ so t h a t , by (7.5),
z n --~ z Eker P if n-~~.

one has

ker L , (JQ + KpQ)NXn --~. z E X ,


weakly closed, x ,

~ y + Z = x i f n--~o~ , and x ~ c l ~ n and then, by the strong c o n t i n u i t y o f (JQ + Kp~)N, one gets (JQ + KpQ)N(xn) --~(JQ + KpQ)N(y + z) The uniqueness of the limit implies that
z = (JQ + K p Q ) N ( y + z ) , i.e. x - Px = (JQ + KpQ)Nx

which is equivalent to (7.2) as noticed above. REMARK 7.1.

Thus the proof is complete.

It is easy to check that Theorem 7.1 can be used instead of Theorem 4.1

to prove the existence of a solution for the periodic boundary value problem (6.1-2) is assumptions I and 3 on N are replaced by the assumption I'. N maps H into itself and is strongly continuous on every bounded subset of H , the proof being entirely similar to that of Theorem 6.1. It is an open problem to us

to know if the result still holds if one replaces in (I') the strong continuity by the complete continuity without the monotonicity condition used in 5ection 6.



I. H. BREZIS, "Op~rateurs maximaux monotones et semi-groupes de contractions dens les espaces de Hilbert", Mathematics Studies 5, North-Holland, Amsterdam, 1973. 2. H. BREZIS and F.E. BROWDER, Nonlinear integral equations and systems of Hammerstein type, Advances in Math. IB (1975) 115-147. 3. H. BREZI5 et A. HARAUX, Image d'une somme d'op~rateurs monotones et applications,
I s r a e l d. Math. 23 (1976) 165-IB6.

4. H. BREZI5 and L. NIRENBERG, Characterizations of the ranges of some nonlinear operators and applications to boundary value problems, Ann. Spuola Norm. Sup. Pisa, to appear. 5. F.E. BROWDER, Existence of periodic solutions for nonlinear equations of evolution, P~Rc- Nat. Ace d. 5ci. U.S.A. 53 (1965) 1100-1103. 6. F.E. BROWDER, Periodic solutions of nonlinear equations of evolution in infinite dimensional spaces, in "Lectures in Differential Equations", vol. I, A.K. Aziz ed., Van Nostrand, New York, 1969, 71-96. 7. F.E. BROWDER, "Nonlinear Operators and Nonlinear Equations of Evolution in Benach Spaces", Proc. S~mp. Pure Math., vol. XVII, part 2, Amer. Math. Soc., Providence, R.I., 1976. 8. L. CESARI, Functional analysis, nonlinear differential equations and the alternative method, in "Nonlinear Functional Analysis and uifferential Equations", L. Cesari, R. Kannan and J. 5chuur ed., M. Dekker, New York, 1976, 1-197. 9. L. CESARI and R. KANNAN, An abstract existence theorem at resonance, Proc. Amer. Math. Soc. 63 (lg77) 221-225. 10. D.G. BE FIGUEIREDO and C.P. GUPTA, Non-linear integral equations of Hammerstein type with indefinite linear kernel in a Hilbert space, Indaq. Math. 34 (1972} 335-344. 11. 5. FUCIK, "Ranges of Nonlinear Operators", 5 volumes, Universites Carolina Pragensis, Prague, 1977. 12. S. FUCIK, d. NECA5, J. SOUCEK, Vl. 50UCEK, "Spectral Analysis for Nonlinear Operators", Lecture Notes in Math. n 346, Springer, Berlin, 1973. 13. R.E. GAINES and J. MAWHIN, "Coincidence Degree and Nonlinear Differential Equations", Lecture Notes in Math. n ~ 568, Springer, Berlin, 1977. 14. J. LERAY et J. 5CHAUDER, Topologie et @quations fonctionmelles, Ann. Sci. Ec. Norm.

,5,~. 51 (1934) 45-7B.

15. J. MAWHIN, Equivalence theorems for nonlinear operator equations and coincidence degree theory for some mappings in locally convex topological vector spaces, ~.

. D i f f e r e n t i a / .E~uations 12 (1972) 610-636.

16. J. MAWHIN t Contractive mappinge and periodically perturbed conservative systems,
Arch. Math. (Brno) 12 (1976) 67-73. 17. J. MAWHIN, Solutions p~riodiques d'~quations aux d@riv~es partielles hyperboliques

non lin~aires, in "M~langes Th. Vogel", B. Rybak, P. Janssens et M. dessel ed., Presses Univ. de Bruxelles, Bruxelles, 1978, 301-315. 18. J. MAWHIN, Landesman-Lazer's type problems for nonlinear equations, Confe~ t Sam. ~ t . Univ. Bari n= 147, 1977.


19. J. MAWHIN and M. WI|LEM, Periodic solutions of nonlinear differential equations in Hilbert spaces~ in "Proceed. Equsdiff 78",Firenze 1978, to appear. 20. K. 5CHMITT and R. THOMPSON, Boundary value problems for infinite systems of secondorder differential equations, J. Diffe!en~al Equations 18 (1975) 277-295.


Abstract. S t a r t i n g w i t h c l a s s i c a l c o n v o l u t i o n a l i n t e g r a l equations on ~ n , t r a n s l a t i o n i n v a r i a n t operators and t h e i r symbol r e p r e s e n t a t i o n according to H~rmander are introduced. The various g e n e r a l i z a t i o n s concerning the domains G o f ~ n t e g r a t i o n lead to Wiener-Hopf i n t e g r a l and i n t e g r o - d i f f e r e n t i a l equations on ~+ and on cones. Compound i n t e g r a l and i n t e g r o - d i f f e r e n t i a l equations of the p r i n c i p a l value and L1-kernel type are discussed on ~n using r e s u l t s by Rakovsh~ik. Simonenko's theory of local type operators permits us to i n v e s t i g a t e g e n e r a l i z e d t ~ a n s l a t i o n i n v a r i a n t operators. Wiener-Hopf i n t e g r a l equations w i t h s t r o n g l y s i n g u l a r kernels correspond to equations w i t h piecewise continuous symbols in both v a r i a b l e s . Convolutional equations on quadrants and wedges are studied via the theorey of operators of b i - l o c a l type. O. Notation. In the sequel the f o l l o w i n g a b b r e v i a t i n g terminology is used: ]Rn : = {x : x = (x I . . . . . Xn), x EIR} : n - dim. Euclidean space with

(0.I) (0.2) (0.3) (0.4)

<x,y> : = Ixl IRn ~


Z xvy v ~=1

: s c a l a r product : : : length of vector x

: = <x,x> I / 2 = ]Rnu{~} = iRnu ~r


one-point-compactification r a y - c o m p a c t i f i c a t i o n by adding one ideal e : = -~



element to each d i r e c t i o n


n-sphere = {xE]Rn : I x l = I }

and completing the t o p o l o g i e s by the usual way

" = (~1 . . . . .

Un)eIN n : m u l t i - i n d e x







" = Dl

...'D n



: = i ~

; ~ = I, .... n

*)Extended version of a General Lecture at the Dundee Conference on D i f f e r e n t i a l Equations, 31st March 1978.



' ~ : dual v a r i a b l e G, Ec~ n : measurable subsets



= ~t






: characteristic

f u n c t i o n of set

E f such t h a t

: = space of e q u i v a l e n c e classes of f u n c t i o n s " = IS P ( X ) ' I f ( x ) I G pdx]l/p<= < ~ , l~p<~

(0.9) (0.10)

II f I l LP(p;G) iIfll L=(o;G)

, or

= ess sup p ( x ) . I f ( x ) I xEG

, respectively,

f o r a measurable weight f u n c t i o n ( i n case of O(X) - i and

p(x) ~ 0 put llfiIp : = IIfll LP(IR n

G = ~Rn

ck(G) ck(~)

: space of k-times c o n t i n u o u s l y on



G ; k c ~ o u{~} fcck(G) such t h a t f is c o n t i n u o u s l y

space of f u n c t i o n s extendable to

G : = GU~G w i t h sup x~


II f l l ck(~ ) C~(IR n

max O~l~l~k

I D~ f(x)l

< ~ " kE~

' o


= {fEck(IR n )

: lim D'#f(x) : 0 f o r O<l~l~<k} ; kE~ o IxI~ < = for k E ~ o , ~ e ~ n}


= {mEC~(IR n )

: sup(l+Ixl2)k/21D'~m(x)l

Schwartz'sspace o f r a p i d l y

decreasing f u n c t i o n s dual to

the space of tempered d i s t r i b u t i o n s Fourier transformation f ei<X '~>m(x)dx l e a s t on ~ -

F (0.13)

: n-dim.

d e f i n e d by , ~E~ n

(Fm)(~) = 8 ( ~ )

: = ~ in

w i t h the i n v e r s e (0.14) (F-I~)(x) F (0.15) is d e f i n e d on

at ~ i
2J2~-~n ~n

f e-i<x,~>~(C)d~ by for f E ~ ' and onto i t s e l f , = ~(~) mE~, with property and


<F f , m> since F maps

- <f,F-lm> bijectively = ~(Fm)(C)



f o r mE~


(0.17) (0.18)

GM where

= =

(-l)lhI<f,DU~> {~EC~(~n)


fE ~' for all ~ : xE~ n}

: lDU~(x)l~Ipu(x)l ~ and

p~ is a polynomial depending on

"space of m u l t i p l i e r 3E , ~::

Functions of J~ and

~' " and II'ii~

Banach spaces with norms I I ' I I z

~(~,t~) ~(~,~)

: Banach space of a l l A : ~I~

linear and bounded operators

: subspace of a l l compact operators : set of Fredholm-Noether operators


ac ~(Z,~) i f f (i) ~ ( A ) : = A(~C) is closed in (ii) (iii) ~(A) : = dim ~(A) = dim ker A < ~(a) : = dim ~/R(A)= dim coker A < ~(A) = ind A : = ~(A) -~(A) : "index of A". In case of 1. Introduction. and ~ = JC one w r i t e s ~(~) etc.

D e f i n i t i o n 1.1: AI,A2E~(~,~) are called "equivalent" i f f AI-A2E~(~,V) Or: = {BC~(~,~) : B~A} gives the quotient-space with norm (1.1) llc~l : =



There is the well-known theorem by ATKINSON (1951) [2 ] Theorem 1.1 : E~(~,~) , iff BrE~, ~, (1.2)

Let ~ , ~ be B-spaces then AE~(~,~) is Fredholm-Noether, i . e~ there e x i s t a " l e f t - r e g u l a r i z e r " B~E~(~,~) ~ a " r i g h t - r e g u l a r i z e r " such t h a t

V I E ~ Z ) , and V 2 E ~ ) B~A = IZ + V1

and ABr = I~ + V2

are Fredholm-Riesz operators.


Remark 1.1 : This has been generalized to pairs of Fr~chet spaces ~,l~ and linear, densely defined, closed operators A (cf, eg, G H E G& KRE[N (1957) [42] OBR or P U S O F(1974) [71]. There you may find the properties of Fredholm-Noether RSD R operators listed. Let kELl(~n) , ~ELp (~n) , 1~p~ , then



e x i s t s a, e~ on



Ii k~mllp

II kll


II ~lIp

holds " ~ onto Lp ( ~ n ) , 1~p~2 , such L2(~n)

The Fourier transformation may be continued from

that FE~(LP(~ n), LP'(~n)) where ~ ~, I i

= I . F is then u n i t a r y on

The "convolutional integral equation of the second kind"

(1.5) (Am)(x) : = re(x) - (k*m)(x) = f(x)ELP(m n) is algebraized by F to (1.6) 1<~<2


~({)EL p' (m n )
the "symbol of A":

( c f . e@. TITCHMARSH [ 101]).Asolution e x i s t s - then uniquely - i f f (1.7) I t is given by ;(~) : ~(~) + ........ k(~) .~(~) ~a(~) : = Z-k({) # 0 on ~n


: [1 + ~(~)] . f ( ~ )

where 1 + ~(C) is an element of the "Wiener-algebra" ~ : = { FLI(~n) the Wiener-Levi theorem. On the other hand let
(1.9) (p(D)@)(x) : S a .(D~m)(x) : f ( x ) e ~'

due to

be a d i f f e r e n t i a l

equation of order

m with constant c o e f f i c i e n t s . Applying the

F-transformation t h i s y i e l d s (1.10) p(~).~(C) = ~(~)E ~ ' .

This leads to the "problem of d i v i s i o n " which asks f o r conditions under which


~(~) = ~

E3 ~'

186 gives the transform of a s o l u t i o n . Taking of existence of the "fundamental s o l u t i o n s " f = ~c9' one is led to the question

E E 9 ' such that

~(~) = [p(~)]-I E~,.

Convolutional i n t e g r a l equations and d i f f e r e n t i a l equations with constant c o e f f i cients are a l l special types of the f o l l o w i n g operators: D e f i n i t i o n 1.2a) Let 3E be a B-space of functions or d i s t r i b u t i o n s on let Th : ~ + 3 E be defined by for mc~ and hER n f C 3 E ~, the dual o f 3 E , Rn and

(1.12) then then (1.13) ~h Th :


(Thm)(x) : = m(x-h)

is called a " t r a n s l a t i o n operator on ~ ". I f 3(1' 3( ~ is defined by < ~ f,m> : = <f, ~_hm> for fc~' and

me~ .

b) A e ~ ( 3 ( , ~ )

- or at least l i n e a r , densely defined, and closed

- is called " t r a n s l a t i o n i n v a r i a n t " i f (AThm)(x) = (ThAm)(x) for mc3E and hC~ n . proved in 1960 ~n _ or t h e i r , resp., AE ~(~,~).


In t h i s case one writes Theorem 1.2 : duals - where

AC~(JE,~). H~RMANDER [51]

Let ~ c 3 E , ~ c ~ ~

be B-spaces of functions on ~ and ~ ~AC ~' such that for all ~ ~.

is dense in the topologies of

Then there e x i s t s a uniquely defined (1.15) Al~m = F- I OA.Fm

~A is called the "symbol of A". I f JL~E,~) denotes the set of a l l s~T~ibols to p l i e r f u n c t i o n s " - then i t is known that [51] J~(k2(~ n ) ) = L~(~ n) ~ ( L P ( ~ n) c L~(~ n) ~V~(LP(mn) , Lq(mn)) = {0} Extending to Frech~t-spaces one has if l~q<p~ . AE~) - also called ' ~ u l t i -

or f o r i t s dual



Now, e. g. on (1.16)

L2( n) , the s o l u t i o n to the t r a n s l a t i o n = f(x)Ek2(~)

i n v a r i a n t equation

(am)(x) = (F-loA.Fm)(x)

is found via F-transformation: (1.17) ~a(~).~(~) = ~(~) e L2(~) . is " e l l i p t i c " , i. e. infI~A(~)l ~c~ n > 0

I t exists f o r every f (uniquely) iff A and hence [OA(E)]-Ic L~(R n ) , given by (1.18) (1.19) ~(~) m(x) = = ~1(~).~(5) , thus


, i . e.


: F-IGA1.F e ~ ( L ~ n))
and C~(L2(~n)) too .

Remark 1.2 : For 1~p<2 this argument works only i f OAIEj{(LP(LRn)) which is the case f o r s u f f i c i e n t l y smooth OA(~) (cf. e.g. MICHLIN (1965)[61]!). Examples: (1.20) i t s symbol is (1.21) OH(~) = - i - s i g n I. The " H i l b e r t transformation" m(y)dy (Hm)(x) : = _1 ~S y _ x f o r
IT =co

in one dimension is given by mc LP(m) , l<p<~ ,

(cf. e. g. TITCHMARSH [101 ], p. 120, ( 5 . 1 8 ) ) . 2. The "Calder6n-Zygmund-Michlin-operator (1.22) (M~)(x) : = ( a l + A f / . ) ( x ) ae~ , f(O) eLq(zn) (CMO)" given by

: = a.~(x) + p.v. f ~R Ix-Yl n ~(y)dy n





, l<q<~ , S f ( e ) d e = O. Its symbol equals Sn f(~-~), a + (p.V.Fx,,c Ixl n )(~)

(cf. e.g. MICHLIN [61]

, p. 100). integral, integro-differential,and pseudo-differ-

Modern theory of convolutional ential

equations aims into three main d i r e c t i o n s :


A. (!) (ii)

To admit more ~eneral domains ~n


G of i n t e g r a t i o n instead of

~n , e


: = {xE~n

: Xn ~ O}

kELI(~ n)

Wiener-Hopf i n t e g r a l equations (WHIEs), Fc~ n cones defined by smooth (n-2)-dimensional manifolds on domains c~ n , like sn and other smooth s e m i - i n f i n i t e (iii)quadrants 0 g~,

~2 : = {xE~2 ' Xl ~X 2 > O} or wedges W(~)::{xE~ 3 , x l + i x 2 = r ~ , ++ = X3ER} or cones w i t h edges: polyhedral domains.

A l l of these are special cases of Definition a given by (1.24) Remark 1.3 : l < p < = , and B. (Tp(A)~)(x) : = (PAlm(p)~)(x) cases" mentioned above we got for Gc]Rn and ~_= LP(~Rn) A E~((3E) , 1.3 : "General Wiener-Hopf operators (WH0s)" : Let P = P2E~(3E) a linear, AE~(]E) , 3 is

B-space, and

continuous p r o j e c t o r on 3C . Then i t

In the " c l a s s i c a l P = G"

the "space p r o j e c t o r "

To admit " v a r i a b l e kernel f u n c t i o n s " , e. g. the "generalized L l - c o n v o l u t i o n

i n t e g r a l equations" (1.25) or (A~)(x) : = a ( x ) ~ ( x ) - ~ k ( x , x - y ) ~ ( y ) d y = f ( x ) E L P ( ~ n ) IRn - even more 1.4 : Equations w i t h "generalized t r a n s l a t i o n (A~)(x) : = ( g i l x ~ A ( X , ~ ) . F y ~ ~ + ~ ) ( x OA(X,~) = j =s a j ( x ) .OA.(~ ) , aj l O being m u l t i p l i e r . A and B lead to important classes of s i n g u l a r i n t e g r a l "classical Cauchy-type s i n g u l a r i n t e g r a l ~(~ , e. g. symbols, and V being continuous c o e f f i c i e n t s being a completely continuous on ~n i n v a r i a n t operators ( G T I ~ ) "

Definition (1.26) where~,,e, g. or Rn'


operator on ~

Combinations of (j)

equations on manifolds

30 = ~ c ~ , a Ljapounov-curve: equations"


(K~)(x) : = a ( x ) ~ ( x ) + ~ i f k ( x , y ) ~ ( y ) d y x - y

= f(x) with

in various spaces ~ 1-' p and p P E L I ( r ) .

= C~(r) , mE~ , O<~<I ; or = LP(p;F), l<p<~ , p ( x ) ~ O o

189 (jj) f(x,e) C. CMOsor singular integral equations with "Giraud kernels" with instead of ac-{ or f(o) eLq(En) in a(x) and

eq. (1.22), respectively.

To admit d i f f e r e n t i a l operators which means to study " i n t e g r o - d i f f e r e n t i a l


equations of convolutional or principal value type" l i k e (1.28) S (a (x)l+b (x)H+K)D~m(x) = f ( x )


in Sobolev-spaces (1.29) where the ~




or even LP(8) , GclR n

(A D )(x) + (Vm)(x) = f ( x ) e ~ = ~#

K are one-dimensional generalized Ll-convolutions (cf. eq. (1.25)), n the A~ = F-I OA(X,~). F , ue]li , are a r b i t r a r y generalized t r a n s l a t i o n i n v a r i a n t operators and V : Wm'P(G) LP(G) a compact operator, respectively. A l l these operators, of course, are special versions of "pseudo-differential operators", a term introduced by KOHN & NIRENBERG in 1965 [ 5 2 ] in standard use as (1.30) L : 3 I ~ defined by for mE~ ~ into a series m-k. Here , and, since then,

(Lm)(x) : = (F -10L(X,~)Fm)(x )


OL(X,~ ) may be expanded asymptotically with respect to ~ _k(X,~) = t ~-k ~ homogeneous with respect to k(X,~)

of functions o _k ( x , t ~ ) (i.31)

C of degree


t > 0 , kE]No , and for I~I ~

L(X'~) ~k=oE ~m-k (x,c)

We shall desist from entering into the discussion of the r e s u l t s on pseudod i f f e r e n t i a l equations since there are many excellent survey a r t i c l e s (cf. e. g. FRIEDRICHS [36], SEELEY [83], CORDES [12], ESKIN [31], KUMANO-GO[57]). Here we shall keep close to the lines of SIMONENKO's theory started in (1964, '65)[91,92 ] and shall report mainly on results of our research groups.
Acknowledgement. This paper has been prepared partly during the time when the University of

author was a visiting professor at the Depar~ent of Mathematics,

Regina, Saskatchewan. He wants to thank the Head of the Department, Prof. E. Lo Koh, for arranging ideal wo~ki~ conditions and for the great hospitality there. The author wishes also to thank Dr. F.-O. Speck, TH Darmstadt, for his valuable criticism and substantial remarks during the preparation of the manuscript.

2.,~,,,Integral- and i n t e g r g - d i f f e r e n t i a l equat!ons of the Wiener-Hopf type

WIENER & HOPF studied in 1931 [ 107 ! certain types of homogeneous convolutional integral equations on the h a l f - l i n e R+ in connection with problems of radiative transfer. They developed the function-theoretic method, a f t e r applying the Fourier transformation. This is now called the "Wiener-Hopf-technique". KREYN in 1958154] completed the classical theory of WHIEs in LP-spaces (2.1) where kELI(~) (W~(x) : = ~(x) - I _ ~

k(x-y)~(y)dy = f ( x )

E ~+


fE3(= LP(~+) , 1~ps= , or certain closed subspaces of

L~(~+) such as Co(~+) for instance, are given and me~.+ is sought. GOHBERG & KRE~N [43 ] extended these functional-analytic investigations to systems of WHIEs. Making use of the convolution theorem of the F-transformation arrives at the image equation to eq. (2.1) (2.2) where (2.3) and

(1%p~2) one

[i-~(~) ] ~+(~)

- ^- (~) = fP'*(~)e L P ' ( ~ ) h

~(~) : = (FP+m)(C) : : ( F ~ m ) ( ~ )


h-(~) : = (FP_h)(c) : = (Fx N -h)(~)

are one-sided F-transforms which may be continued holomorphically into the upper, H+, and lower, H-, complex half-plane, respectively. Here we put


h(x) : :

--~f o



x < 0


x > 0 .

Equation (2.2) a c t u a l l y denotes a "Riemann boundary value problem for the l i n e " which is a special form of



= G(t)--(t)

+ g(t)

tEF ,

F being a smooth contour c C,G(t), g(t) given data and (t) the unknown boundary values of a (sectionally) holomorphic function ~(z) vanishing for z-~. In solving such problems (cf. e. g. the books by MUSHKHELISHVILI (1953) [62 ] or GAKHOV (1966) [37]) one of the crucial steps is the p o s s i b i l i t y of " f a c t o r i z a t i o n "



^ -1 G(t) - or in our example of [ 1 - k ( ~ ) ] - into G(t) = a - ( t ) - f t - P 1 < A+(t) ~t-p_ z Am(z) holomorphic in # 0 on D , the i n t e r i o r and e x t e r i o r domains of F F "-

(2.7) with functions in

~ , being bounded and

D : = D~F . p+~ D are chosen a r b i t r a r y and

denotes the "winding number of (2.8) <:=~

1 [arg G(t)]

G along r"

This makes sense only f o r

G(t) # 0

under c e r t a i n smoothness assumptions - at l e a s t 1-k(~)E~),


one has to know a b i t more than Wiener-algebra, f a c t o r i z a t i o n i.e. Ow(~) : = I - ~ ( ~ ) # 0 Let kELI(~), with on

GELS(?). In case of

the one-dimension~

is always p o s s i b l e f o r " e l l i p t i c "

convolution operator,

~ E . The r e s u l t by KRE~N[34] is given in the f ~ l w i n g above) be given. Then the Wiener-Hopf-operator is > 0 . E ~(3C~+) (Fredholm-Noether) i f f

Theorem 2.1 : (WHO) (2.9)

W =


P+(I-k~)P+ inf

P+ : = x~+Ii-~(~)I

IOw(~)I = i n f

I f t h i s c o n d i t i o n holds then (i) (ii) m(W) = max(O,<) , 8(W) = max(O,-<) for < > 0 there e x i s t s a base and mok(X~., , k = 1. . . . . < - i , j = 1 . . . . . <-1 and ind W = u(W) = K of ker W such t h a t

{mol . . . . . mo<}

~ok E L l ( ~ + ) n C o ( ~ + ) d mo,k+l(X) = (2.10) mo,j(+O) %,<(+0) (iii) (2.11) where (2.12) for < < 0 = = 0

the orthogonal r e s o l v a b i l i t y for

c o n d i t i o n s are

/ f(x).~ok(X)dx = 0 o

k = 1. . . . .


(W"~ok)(x) : = ~ok (x) for < ~ 0

7 k(y-X)~ok(Y)dY

= 0


a s o l u t i o n to the inhomogeneous WHIE is expressed by means of

the r e s o l v e n t kernel (2.13) minh(X ) = f ( x ) + I ~ ( x , y ) f ( y ) d y o

where we have the r e s o l v e n t equation



y(x,y) : Y l ( x - y ) + - { 2 ( Y - X ) + ~ l ( x - t ) Y 2 ( Y - t ) d t

with uniquely defined (2.15) Remarks: 2.1 :


: (I+(FP+YI)(~))(~)

5,1,y 2 via the factorization of




The reasoning which leads to theorem 2.1 has been carried over to

the case of ~ + , n m2; instead of ~+ by GOLDENSTEIN & GOHBERG in 1960 [48] where the f a c t o r i z a t i o n applies to the n-th F-variable Cn in ~. In this case A i [ a r g ( l _ k ( ~ l , " " " ,~n))] is always 0 f o r an e l l i p t i c WHO since due to K : : T~ ~n=-~ the Riemann-Lebesgue l e n a , continuously on ~(~i . . . . . ~n)ECo ( ~ n ) and tends to implies that 0 for K depends ~' : = (~I . . . . . ~n-I ) l~'I ~

2.2 : Concerning the group B of generalizations {AHBAGJAN in 1968 [7] ] and RAKOVSH~IK in 1963 [ 75 ] t r e a t e d "variable kernel WHOs" (2.16) (Wm)(x) = m(x) - f k(x,x-y)m(y)dy = f ( x )



where k(x,.)ELI(IR n) and satisfying the conditions:

(2.17) (2.18) (2.19) a i ( x ) e C ( I R n)

k(x,t) = z a i ( x ) k i ( t ) with the i=1

such that

ai(x ) and

ki(t )


sup l a . ( x ) I

< ~ for all


kieL1(IR ) such t h a t

= IIk i II 1 < i=i

inf Ii-k(-,~)I EIRn


> 0

in ~AHBAGJAN's paper, while RAKOVSH~IK[75 ] assumes (2.20) m(x)~+ I k(x,x-y)m(y)dy LP(N) LP(a,b)

to be a bounded operator on X = LP(IR), ISp<~ , be compact from f o r any f i n i t e (2.21) (2.22) [ a,b] c]R , lira

k ( x , t ) =; k+(t) CLI(]R) - k+(t) l ~ _ + ( t ) - n + ( x ) lim

+X_~+oo A -

Ik(x,t) and

f o r large

+x > 0

~+(t)ELI(IR), _II-N+(C)] > 0 _

n+(x) = 0




193 Here


1-k+(~) -~ The proofs are worked out by inserting terms, e. g. (2.25)

(W~)(x) = ~(x)


s [ai(x)-ai(~)]. I ki(x-y)~(y)dy i=l Nn


= (l-W=lm(x) + (wlm)(X)

= f ( x ) E3E~+

where I-W~ c~(3E+) and even boundedly i n v e r t i b l e f o r ~ = 0 ( i . e . always' for n~2!) 1 and W is the sum of a compact operator and one of "small norm", so being E~(~+) too. Thus the index of W is the same l i k e that of the f i r s t term.

2.3 : WHOs, p a r t i c u l a r l y for ~+ , have been studied also f o r the whole scale of Sobolev-Slobodezki-spaces ws'P(~+) and w~'P(~+), the functions of ws'P(R) : = { f ~ ' : F-I(1+I~I2) s/2 FfcLP(~)} ; l~p<~ , sE~, also called "spaces of Bessel p o t e n t i a l s " , and the subspace of them having supports, supp f , in ~+ while W ' P ( ~ + ) denotes the r e s t r i c t i o n s P+f of fEwS'P(~) to ~+ s Due to the Sobolev embedding theorem i t is well-known (cf. e.g. TALENTI (1973)[100], p. 28) that Wo' s,2,~+)^wS,2(o ~ - ) = {0} for s ~ - 1 / 2 but span { ~ , 6 ' , . . . , ~ ( n ) } f o r ,s,2,~ .s,2, s < -1/2 and the largest integer n < - s - i / 2 while wo ~ + ) m w o (~_) = wS'2(~) for Is~ < 1/2 and = { mEwS'2(~) : m(k)(o) = O, k = 0 . . . . . n - I } for n-1/2 < s < n + 1/2, nE~. The defect pair WHO then depends on the number n d e t a i l s the paper by TALENTI, pgs. 63 - 71!) 2.4 : first The theory of WHOs on the h a l f - l i n e has been generalized to operators of the kind where the symbol is given by C() vanishing at i n f i n i t y and to more (~(W),B(W)) of the one-dimensional being related to n-I/2 < s < n+1/2 (see f o r the

general " n o n - e l l i p t i c or non-normal WHOs" whose symbols may be written in the form (2.26) with ~jER ~-i < N ~-~. n. aw(C) = ( c - i ) -n~ G'(C)(~-~-~) G+(C)'j= 1 (~-TT ~) J ~ being d i s t i n c t , n , NE]~ ; n j E ~ . Considering the d e t a i l s to these 1965 by

questions being studied on a functional a n a l y t i c basis since about

SAMKO [78] and mainly by PR~SSDORF (1965, '67, '69) [68~69~70 ] look at PR~SSDORF's book (1974)[71]! TALENTI (loc. c i t ) is involved mainly in WHOs of the f i r s t kind (pgs. 71 - 77) which play a dominant role in the study of mixed boundary value problems in ~+2 (cf. e.g. PEETRE (1963)[64] , SHAMIR (1962, '63) [84,85 ] and


f o r the higher dimensional case: ESKIN's book (1973)[31]!) 2.5 : In quite a s i m i l a r way "two-part composite convolutional equations" and t h e i r

adjoints the "dual i n t e g r a l equations" may be treated via the F-transformation and the Riemann boundary value problem:

(2.27) where

(W2m)(x) : = ~ ( x ) ' ~ ( x ) - ~ k l ( X - y ) ~ ( y ) d y - ~ k2(x-y)m(y)dy = f ( x ) , x ~

"~ 0

u(x) = u I


x < 0

and u(x) = u2 f o r

x > O, r e s p e c t i v e l y .



U l ' # ( x ) " 7 kI(Y-X)~(y)dy : g_(x) , x < 0

~2"~(x) - 7 k2(Y-X)~(y)dy = g+() , x > 0 .

A good survey on t h i s subjects with a p p l i c a t i o n s to other dual i n t e g r a l equations is provided by the book by ZABREYKO et a l . (1975)[108] in Chap. V I I I , 4 - 6. eqs. of the WienerWe are now going to review the r e s u l t s on i n t e g r o - d i f f e r e n t i a l

Hopf type, i . e. some kinds of general WHOs acting between suitable Sobolev spaces, viz.


(Lm)(x) : =

S {a (x)D~m(x)+b (x)~ c (x)k (x-y)D~m(y)dy} = f ( x ) ,

x > O.

BANCURI in 1969 [3] treated only the case of constant c o e f f i c i e n t s a , b , c assuming b c 1 or - O , k ELI(]IR), ' f E L I ( ~ ) given and q)~'O m ) ~L =~+ ~ sought, ~,l( i.e. m. . . . . m(m)ELI(]R+) and m(+O) . . . , ~(m-I )~ +0 ) = O. He applied the F - t r a n s f o r mation and a r r i v e d at the Riemann boundary value problem (BVP) a f t e r some manipulations: (2.30) Set (2.31) ~+(~) : = am.(i+~)m~+(~) ^_ ^
(~1 : = h - ( O

m ^ ^ ^ ^ ~, [a u + ku(~)] ~u m+(~) _ h-(~) = f + ( ~ ) E F L l ( ~ + )


A and



: = 1~(~) : ={~=om am+k m j a ~ - i " ~ + ~ (~)


(2.33) (2.34)


: = f ( ~ ) , g(~)
m oo

where f k (x-y)D~m(y)dy)(~)

h-(~) : = (Fx]R ( x ) . z

!J=O 0

we get the equivalent BVP

A+ A


~ () = G(~)~-(~) + g(~)

in ~]~(]R)

195 which is e l l i p t i c i f f G(~) # 0 on JR, GERLACH (1969) [38] admits a l l the Kre~'n spaces and the subspaces )[~m) : = {q)e)E+ : D m ~ f o r u = 0 . . . . . m} or ]E[(+m) : = {mE~(+m): (Djm)(+O)= O; u j = 0. . . . . m-l}. by w r i t i n g (2.36) F i r s t he t r e a t s the constant c o e f f i c i e n t s ' + il

case too and reorders

D = (D-il)

(Lm)(x) = P+

~ (a , l + k p , l ~ ) ( D - i l ) U m ( x ) p=o = (Gmm)(x)

= f(x)c~+ = (gm*m)(x) where

Now, introducing GmC~C(~+,3E~m)) (2.37)

~(x) : = ( D - i l ) - m m ( x ) he gets

(kgm~)(x) = (W+Vm)~(x)

= f(x)c3E+

as a perturbed WHIE on ~+ (2.38) is a classical

where m-1 ~ Gm_ .[a ,1-1+kp,l*])P+ ~=o

convolution and Vm is compact,

W = P+ + P+(km,l, + WHO, since ( . . . )

is a L l ( ] R ) - k e r n e l

a c t u a l l y having f i n i t e (2.39) Then symbol

rank, given by m-1 v ~ [(D-il)Vgm~](+O). E G~-j+IX]R+'Kj,I ( x ) l v=o j=o " the

(Vm~)(x) : = LGmE~(J~ F) iff

WE~'(~c+) ~

which is the case, according theorem 2 . 1 ~ i f f

~w(~) # 0 on

. Now, this is given by m ^ E (a +k (~))~'[2/~(~-i)] -m p=o

Ow(~) = OA(~)'gm(~ ) =

Then Gerlach treats the case of continuous c o e f f i c i e n t s ap(x),b ( x ) , c p ( x ) using a simpler version of RAKOVSHCIK's compactness theorem (1963)[75] of convolutions multiplied by functions: Put m ,Bp,yu f o r the l i m i t i n g values f o r ap,bp,c as x + ~ and rearrange eq. (2.29) to read m (2.40) (km)(x) = P+ ~ (~ l+~p~ .k~*)(D~m)(x) p=o

( : : ~)m(x)) +

+ P+ ~] [(a ( x ) - ~ ) I p=o + ~ .k~(c~(y)-~) Then ~)

+ (b (x)-6p)k * c ( y ) ' I

l](DUo)(x) .

is a WHIDO of the type above and the last term of eq. (2.40) being 3(~(m) into ~F.. The same argument applies to the subspaces ~ ) o W 'P(~+) m for l<p<~.

compact from

which coincide with

196 GERLACH's r e s u l t s may be summarized in Theorem 2.2 : on ~ + , ~ eq. (2.29) (2.41) Let a ,b , c --C ( ~ ) , ~ -k f~Ll(~)_ for u= 0,1 . . . . . m with am(X ) ~ 0 in

: = lim a~(x) ; 6 similarly___defined. Then the WHIDO L is x + + ~ e ~ + , ) + ) ~ orY ~ ( ~ ) , ~ o + ) E ' i f f i t s "main symbol" ~ ) : = m ^ z [a +8 ~ "k (~)]-~ ~ # 0
~=0 ~ P p

on N~

I f t h i s is true one has the r e l a t i o n s (2.42 a) (2.42 b) and (2.43 a) (2.43 b) ind L = v(L) = v(~ = < + m/2 = K - m/2 0 s e(Lo) ~ ~(L) s ~(Lo) + m 0 ~ 6(L) g 6(Lo) where Lo : = Ll~(m )

ind Lo = v(Lo) = v ( ~

with the winding-number (2.44) <(L) = ~(Lo) = ~ L a r g L is given by :(~(A-zl),6(A-zl)) ~+ to # (0,0)}. R n+. I f Ow(~)]~=_~

The spectrum of (2.45) Remarks: 2.6 :

s(L) : = {zE : z = q L ( ~ ) , ~ e ~ } u { z c C

The theory of WHIDEs has been generalized from

one takes (n-l)-dimensional F-transformation with respect to x' : = (x I . . . . . Xn_ I ) one a r r i v e s at an equation in the remaining v a r i a b l e x n > 0 but containing now ~' : = (1 . . . . . n-i ) equations (2.46) where to ~+. as parameters. So i t is quite natural to i n v e s t i g a t e

P+A(e~Dn)m+(Xn) = f(Xn) , x n > 0 8' : = ~ ' / I ~ ' I Here A(8',Dn) has been f i x e d and P+ denotes the r e s t r i c t i o n operator

is defined as a p s e u d o d i f f e r e n t i a l _i ^ : = (F n A(e',~n)Fnm(Yn))(Xn)

operator (PDO) by


A(e',Dn)~+(Xn) A(e',(n)


is homogeneous of degree

m with respect to


or even a more DIKANSKI[

general one ( c f . the work by VlSHIK & ESKIN (1965,'67,'73) ~i03,104,105] RABINOVI~ (1969 , ' 7 1 , ' 7 2 ) [ 7 2 , 7 3 , 7 4 ] (1971,'73) [17,1~ and others!). , BOUTET DE MONVEL ( 1 9 6 9 , ' 7 1 ) [ 5 , 6 ] ,


2.7 :

WHIEs and WHIDEs may be considered not only for C-valued or sN-valued

functions but in a more general context as B-space-valued equations. Then the n problem for ~ + , n~ 2, may be f i t t e d into the theory too. Concerning a general theory of operator WHeqs. FELDMAN investigated several cases (1971)[32,33,34] in connection with problems of radiative energy transfer. GRABMOLLER(1976, 1977) [49,50] discussed such i n t e g r o - d i f f e r e n t i a l equations on ~+ of f i r s t order with a linear, closed operator (2.48) - A generating an analytic semi-group involved = f(t)E~.~

m'(t)+c(Am)(t) + 7 ho(t-s)(Am)(s)ds + ~7 hl(t-s)m'(s)ds


where h o , h l E L l ( ~ )

are scalar-valued functions, ~ +

a r e f l e x i v e B-space and

denotes the strong d e r i v a t i v e , the integrals to be understood in the Bochner sense of LP(R t;31[+), %aEt. He is mainly interested in the asymptotic behavior of the solution as t ~. 3. Compound integral and i n t e g r o - d i f f e r e n t i a l and Ll-kernel type on ~n equations of the princ!pal value

MICHLIN [ 60 ]introduced in 1948 the notion of the symbol f o r singular Cauchy-type integrals along curves r c and also f o r operators on ~ n , nm2 . He and mainly CALDERON & ZYGMUNDstudied the mapping behavior of the CMOs since 1956 (cf. e.g. [ 8 ]). The f i r s t systematic treatment of the corresponding integral equations probably was published in MICHLIN's book (1962) whose English translation appeared in 1965 [61]. A more recent account, also on i n t e g r o - d i f f e r e ~ t i a l equations with CMOs as c o e f f i c i e n t s , may be found in Chap. IX of the book by ZABREYKO et al. (loc. c i t . ) . AGRANOVI~ (1965) treated equations of the following type in his extensive survey a r t i c l e [1 ]: (3.1) (Am)(x) : = s (MuDUm)(x) + ( T ~ ( x ) : f ( x ) l~l~m ~n replaced by
n ~+

as an operator

A : wm+~'2(~ n) W~'2(~ n ) , or

or a smooth

compact manifold ~O . The symbols (3.2) oM (x,~) : = au(x) + (p.v. Fy~ fu(X'ly_]-_) )(~) y lyl n

> n-I are assumed to be EcP(]R n ,Hq(sn) ) where pc]No and q ~ suchthat, by Sobolev's embedding theorem, they form an algebra of continuous functions on ]Rn>~ En which are homogeneous of degree zero in ~ . He shows that to every such function o(x,~) there corresponds a characteristic f(x,O) EcP(IR n,Hq'n/2(sn )) (theorem 7.12). The operator T is one of order almost m-i which would be n compact for a compact manifold ~9 instead of ]Rn or JR+ by Rellich 'S c r i t e r i o n .


AGRANOVI~ proves a couple of theorems which give necessary and s u f f i c i e n t conditions f o r A to be Fredholm-Noether by means of the e l l i p t i c i t y condition of the symbol or the existence of a - p r i o r i estimates (theorem 12.1). He obtains then the well-known properties f o r e l l i p t i c of operators, such as r e g u l a r i t y , s t a b i l i t y with respect to parameters etc. (cf. his theorems 12.2, 12.3, 12.4L). But, in the case IRn or IR+ he does not give regularizers in the sense of theorem i . I above. n SEELEY[82] investigated at the same time (1965) singular i n t e g r o - d i f f e r e n t i a l We are not going to enter into t h i s detailed material but j u s t want to give two d i f f e r e n t approaches: one relying on DONIG's work in (1973,'76) [19, 21 ] and the other on SIMONENKO's (1964,'65)!91,92] , RABINOVI~'s (1969-'72)[72,73,7'4] and SPECK's approach (1974-'77)[96,98]. (n=i) (3.3) In 1973 DONIG[ 19] treated the case of ~R with the singular i n t e g r o - d i f f e r e n t i a l operator (SIDO) m (A~)(x) : = ~ {au(x)l+b (x)-H+c (x).ku~}(DP~)(x) = f ( x ) p=o ws'P(IR) , sEIR, l<p<~, with c o e f f i c i e n t s is

operators on vector bundles of smooth manifolds ~P and tensor-products of such.

on Sobolev-Slobodezki spaces

am(X), bm(X), Cm(X)CC(]R ) and a (x)-a (=) etc. CLo(]R ) = {~L=(]R): mes {Ix~i>n : I~(x)l > E} +O,n + ~ , for a l l c > O} and where fEWs-m'P(~R) A through

given. He applies the RAKOVSH~IK technique (1963)[75] by defining the symbol of


OA(X,~ ) : = [am(X)_ibm(x)sig n ~ + Cm(~)km(~) ] ~m + m-1 + Z ~a ( ~ ) - i b (~)sign ~ + c#(~)C ( ~ ) ] ~

p=O )~ ~ I]

which is called " e l l i p t i c "

:=~u{-~}u{+=}. ~A(X,~) # 0 on ]RxIR , where Using the Bessel potential operators jm : = F-1(1+I~I2)-m/2F he gets the relations



Dmjm : ( i l l ) m (l+rmw)

with a rmcLl(]R). A is m u l t i p l i e d from the

Then he treats the case of constant coefficients f i r s t .

r i g h t - h a n d side by

jm _ s i m i l a r to GERLACH's approach - leading to the equation m

~ ~ lJ=o r ~( p where

(A dm~)(x) = (B'm~)(x) +



: = (a

I + b H + k ~ ) " { (iH)m u ~ I

for for

~ = m O~ u-<m-I

and some r~ELI(1R). He succeeded in c o n s t r u c t i n g a bounded i n v e r s e operator CmC~(LP(IRn)), l<p<~, in the form of (3.8) C = Mml(iH) m + hl,m~ + h2,m~H m


where M : = am.l + bm.H, H is the Hilbert transform and hl, m , h2, m E L I ( ~ ) m e x i s t due to the Wiener-Levi theorem. He gives an e x p l i c i t formula, though
a ^

complicated, for finding the a - p r i o r i estimate

hl,m(~ )


h2,m(~ ). The existence of

C then implies m

with a

li~ II m,p ~ II Aml] o,p

y > 0 , that means "strong coerciveness". In the general case the constant

c o e f f i c i e n t operator with ~m : ~m(=)' Bm : = bm(=) is s p l i t off and is inverted with C as the inverse (A .J m) m on L P ( ~ ) . The product with the perturbed terms, and p a r t i c u l a r l y the lower order ones, gives a compact operator on LP(L~) (Rakovsh~ik's r e s u l t from 1963!). This leads to the coerciveness inequality:


Y'IImllm,p ~ IiAmtlo,p + IIV~llo,p

VE~(Wm'P(R), LP(IR)). This one implies that A~'(Wm'P(IR),

with a certain

LP(IR)) having an ind A = v(am(x)+bm(X)H ) which may be calculated from the a_iblx~l~j~ . In case the data are smoother, e. g. winding number K : = [arg ~

am, bm~S(~R)~sE~

, av,bvccs-l(~ )

and a (s)


one obtains for any

fEwS'P(]R) smooth solutions mEWm+s'P(IR). After discussing the dual operator on W m,p (IR), 1/p' +l/p = 1,
m v


(A*~)(X) : :

S (-1)~DV{au(x).l - H b ( . ) . l + k v ~ } ~ ( x )

where ki(x ) : = kv(-x ) i t is possible to show that A and A* may be extended continuously - for s u f f i c i e n t l y smooth coefficients a (x), bv(x ) - from Wm'P(~) to J)Lp(N) and from w-m'P'(N) to j ) ~ p , ( ~ ) . DONIG in 1976 [ 21]extended his reasoning in order to include the n-dimensional version of the singular i n t e g r o - d i f f e r e n t i a l eq. (3,3) to the case of coefficients M + K where the M are CMOs and the K of L l ( ~ n ) . kernel type, both being x-dependent. In contrast to AGRANOVI~ in (1965)[ 1 ] h e succeeded in arriving at an e x p l i c i t r i g h t and l e f t regularizer in the case of e l l i p t i c operators A . I t is impossible to give all details here, but his main result is formulated in the following Theorem 3.1 : Let n ~2, l<p,q<= I n-i q go (q) : = > ~o(q). such that for i<o<_2 .q ~ p-P1





200 Furthermore assume that S f~(x,~)d~ = 0 for a l l a (x)EC(~ n) , f (x,o)EC(~ n, Wg'q(sn)) xEIRn and k (x,t)EC(IRn, L I ( N n ) ) , with

I~I < m.

Let the symbol of

f (x,~)
(3.12) (Am)(x) : = lu!~ {a~(x)(D~m)(x) + p.v, mn~ u Ix Ix[yl(Dum)(y)dy-yl'' + -~m~ + f k~(x,x-y)(D~m)(y)dy} IRn be defined by (3.13) = f(x)ELP(~R n)

f (x, - ~
aA(X,~) : = I~ IS {a (x)+ p.v.F Y~+~( ~m symbol" by f~(x,T~- F) ]y[n ) ( ~ ) } ~ to be a iYl n (~) + (FY'+~k~(x 'Y)) ( ~ ) } ~

and i t s "principal (3.14)

oAo(x,~) : = i~l=m{a~(x)+(P'V'Fy~ lim aA(X,~ ) = : OA(~)

Then putting

and assuming [a~(~)]'l.(1+l~12)m/2

Fourier m u l t i p l i e r I. A is e l l i p t i c

symbol on LP(~ n) the following statements are equivalent: on ~n i e and


inf I (x,~)l > 0 x C~ n aA ~dR n i n f lOA() I > 0 ~E~ n

(3.16) 2.


A is coercive on Wm'P(~R ) , i . e . n T > 0 and a compact semi-norm l.] such that eEWm'P(IR n ) ,

there exists a (3.17)


x'l[~llm, p <_ IIA~LIp +

3. AE~(Wm'P(IR n ) , LP(~ n ) ) s


for a l l

(3.18) where

ind A = ind (

M u) = 0 and the R

R = R1 ~


...'R n


are powers of

the "Riesz-operators" (3.19) Rj : = F - I T ~ F , j=l ..... n .

201 I f one of the conditions holds then a two-sided r e g u l a r i z e r by (3.20) where the symbol (3.21) and (3.22) ~ B : = F- i (OA(~).(l+I~ 12)-m/2)-iF DONIG (1977)[ 22] applied his method, in case of ~(z) , z c C - i ~ , i~. n = 1 , to give transmission B = B~.M -M M M =, are CMOs. M is a bounded r e g u l a r i z e r to 0 , lui=m M "Ru with B may be calculated

aAo(x,~)-l~I-m M : = ~

being homogeneous of degree z M R ~. ~ where

f (@) : =

lim f (x,o) IxF~ ~

Remarks : 3.1 :

conditions f o r the Fredholm property of a transmission problem f o r s e c t i o n a l l y holomorphic functions which have i n t e g r o - d i f f e r e n t i a l On the other hand (1974) [20 ] conditions on the common boundary he solved the Cauchy-problem (3.23 a) (3.23 b) with e l l i p t i c ~ + A(t)~ m(x,+o) operators t = f(x,t)EC([o,~],L2(N n))nCz((o,~],k2(N n)) = mo(X)cL2(Rn) A as before of the compound Ll-kernel and CMO-type, now

even depending on

but with r e g u l a r i t y conditions such as the usual ones f o r

parabolic evolution equations. The p r i n c i p a l symbol is assumed to be "uniformly strongly e l l i p t i c " : f (x,t, (3.24) for all Re(-l) m x c~ n z {a ( x , t ) + (p lul =2m ~ .V.Fy~ lyln 41 ) ) (~)}~ > cl~ 12m =

and tE [o,~].

The r e s u l t s are quite s i m i l a r to those in FRIEDMAN's book (1969)[ 35 ] 4. Simonenko's theory fgs. generalized t r a n s l a t i o n i n v a r i a n t operators

We want to give now a short outline of SIMONENKOs approach which he established in 1964,'65 [91,92] (1974-'77)~96,98] iff A-BE~T(~L,I~) and which was applied by RABINOVI~ (1969-'72)~72,73,74] and SPECK in the theory of GTIOs. For abbreviation we shall w r i t e for A,BG~(3(,~) where ~,~ for simplicity) A~B : are Banach spaces. ATKINSONs

theorem then may be formulated in the f o l l o w i n g way ( ~ = ~

Ac~(3E) i f f there are RL, RrE~(~ ) such that R~A~ARr~-I. In what follows we shall mainly be interested in the spaces ~ = Wm'P(IRn), mcIN , l<p<~ , and t h e i r o

1 1 W -m'p ' (JRn ) , ~ + ~, : I. So, for the following d e f i n i t i o n s and results, l e t


us assume ~c~_c~' being dense in the topology of the bigger space. Let the translation operator ThE~(~ ) and the multiplication operator m(x).l with a C~(]R) - f u n c t i o n ~ be a bounded operator on ]E , too. ]Rn may stand for ~n or ]Rn (see sec. 0). Definition 4.1 : (i) iff m1.A~2.1~O AE~(3E) is said to be "of local type (with respect to with ~im2 = 0 . We then w r i t e ]Rn) ''

AE.A,(L~]. xo ( i i ) A,BE~(~E) are said to be " l o c a l l y equivalent at Xo~]R , written as__ A~B , n i f f for all ~ > o there exists a neighborhood %(Xo) and an ~IzEC=(]Rn) with such that

for all

ml,~2~C~(]R n)

mlL(x) m 1 on ~ (Xo)


inf II V~0


< ~

and , too.

inf VN) II (A-B) ~z" I-V 1 [ZL~) < c

-if'', written as A E ~xO(~) ( i i i ) AC(~) is said to be " l o c a l l y Fredholm at Xoe-R i f f there exists a neighborhood ~(xo), and a pair of operators RL,x o and Rr,xo such that (4.3) (R~,xoA-l)w~.l~O and ~ .l(ARr,xo-l) ~ 0 .

Remark 4.1 : I t may be shown (cf. e. g. SPECK (1974)[96], p. 50) that in case of ~[= LP(A n)___pproperty ( i ) is equivalent to ( i ' ) [ A , w . l ] : = A ~ . I - ~.I A ~ 0 for all ~CC~(R n) and ( i " ) X E . A xG.I-~O for all E , G c ~ n with EnG = ~. For this case also ~ # C ~ ( ~ n) may be replaced by ~ in ( i i ) , ( i i i ) , see also RABINOVI[ (1969)[Y2]. SIMONENKO in 1964 [91]proved the following theorems. Theorem 4.1 : Theorem 4.2 : Let Let AEy~(X). Then A E ~ ( ~ ) A,B c~(~) iff AE~o(~_) for all . Then XoEIRn.

Xo and A-~B for a fixed


A~x (3~)


Bc ~Xo(~"
Some of SIMONENK0's additional results had been generalized by SPECK (1974)[96] ,viz. Theorem 4.3 : AE~Xo vertible. Theorem 4.4 : Let X = LP(~ n) , l<p<~ , and Let A E~0E), where ~_= Lp ( ~ n ) , xo E ~ I ~ - R n lz:Jp<~ or iff A .3E= Co(~n ). Then is (continuously) in-

for an i n f i n i t e remote point,



(Am)(x) = am(x) + p.v. [ Rn


n- m(y)dy + [ k(x-y)m(y)dy i ~ n AE~Xo for a

a compound CM- and Ll-convolution operator, (cf. eq. (1.22)); then finite point xo E ~ n iff al + Af/. is i n v e r t i b l e .

Remark 4.2 :
a) Z :


These results c~rry over to more general situations as e. g~ ~n 1<p<~ , A = r ~ ( ~ ) . P , c being ~ -stabilized, i . e. c = o


being homogeneous of degree zero and co tending to zero at i n f i n i t y , or b) 3C_= L2(R n) , ~ being an a r b i t r a r y L'-function (cf. SPECK [97]!)~ Thus we are led to the following generalization of Definition 1.4. D e f i n i t i o n 4.2 : ( i ) A~(3E) is called a "generalized translation invariant

operator (with respect to ~-T~),, i f f for any XoE-~ there is an AxoC~(~) NA (3~) ~ch that AX~A Xo -I then(ii) I f A is a GTIO "enveloping" the family {Ax}xE-~n where Ax ~ = F CAx(~)-F,

(4.5) Remark 4.3 :

o(x,g) : = aA (g) , (x,~) E~n


~n ~

is called a "presymbol of

A ,,

Denoting the presymbol space by by ~o

and the subideal of all functions

corresponding to compact GTIOs A

(4.6) A ~ o ~ ~ + ~o

we see, that the map T defined by

is a homomorphism of the space of GTIOs onto the quotient space ~/~'o with kernel O~, the compact operators (the sequence {o} + d~ GTIOs +~/I~"o ~ {o} is "exact"). I T Thus d e f i n i t i o n ( i i ) makes sense. The main results in this context may be summarized in the Theorem 4.5 :

(SIMONENKO (1964) - SPECK (1974-77)): N A(~) for all XoC~ "~. Then the following conditions are

I. Let A'~A x E ~ ) equivalent, o (i) (ii) I I . For (iii) Ac~(~_) AxoE~Xo(~( )

for all


p = 2 at the same time holds sup ess inf l~(x,~) - Co(X,~)i > O. ~oe ~o (x '~)e-~Trxmn

Thus we get (iv) essinf Lo(x,~)I > o (x,~)e~n~ n

asa s u f f i c i e n t condition, while a necessary one in any case is given by

204 (v) ess i n f l{(x,~)[ > 0 ( x , ~ ) e ( ~ - ] R n ) x IRn has to be continuous from ~'T~_ ~Rn into L=(~n).

where x ~ a ( x , . ) III. (vi) For

p ~ 2 , A being of type (4.4), in formula ( i v ) we have to add is a ~ - F o u r i e r m u l t i p l i e r symbol for a l l XoE-~-11-~ n

~l(xo,~ )

( t h i s leads to more complicated conditions). Applying t h i s to the compound pole-dependent Calder~n-Zygmund-Michlin and L1integral operators on ~ = L2(]Rn) given by x-y (4.5) (Am)(x) = a(x)m(x) + p.v. I in ]Rn Ix-Y



+ f k(x ,x-y)m(y)dy

one gets the Fredholm c r i t e r i o n by the symbol conditions (4.6) i n f laA(~,~)i ~ 0 ~e~ n min xE~ n inf I o ~EZn a ( x ) I + A f ( x , . ) / .


(~)I > 0

since the symbols of the of

CMOs are homogeneous of degree zero.

These are exactly the same conditions l i k e those got by DONIG [21]- in the case m = O. As we had seen he proved furthermore the equivalence to coercive inequalp = 2. Due to the kind of the characterization theorem for xo there occur rest-classes of functions in the d e f i n i i t i e s , while SPECK [97] gave the complete extension f o r a r b i t r a r y (non-stabilized) GTIOs in the case of Ac~"x tion of the symbol. Now, a l l the considerations above may immediately be generalized to integrod i f f e r e n t i a l equations (4.8) (Am)(x) = l ~z~ l (ApDUm)(x) = f ( x ) E at f i n i t e points

where the c o e f f i c i e n t s A are generalized translation i n v a r i a n t operators according to d e f i n i t i o n 4.2 ( i ) and ~ c ~ m ) c ~' be d i s t r i b u t i o n spaces such that D~mc~ f o r ~E~ o , 0 ~ lul ~ m. F i r s t we notice that the concept of t h i s section A : ~ ~ operating between d i f f e r e n t can be completely transferred to the case of

B-spaces. Then choosing l~ = ~C(m) we can see that the Bessel potential operator jm = ~1(1+i~12)-m/2.F wi~l reduce eq. (4.8) to one in ~ . The essential f a c t here is that the js are not only t r a n s l a t i o n i n v a r i a n t operators from ~ ( t ) = wt,p(~n) onto ~ ( t + s ) = wt+s,p(~n) for t,sEIR, l<p<~ but also of local type with respect to ~ n , cf. RABINOVI~ (1972)[74 ]and SPECK (1974)[96]. So we can state the

205 AE ~(wS'P(IR n ) , wt'P(]R n)), s,tG]R ; l<p<= . Then

Theorem 4.6 : (i) (ii)


A is a generalized translation invariant operator form ws'P(]R n) to wt'P(]R n) i f f ~ : = j - t A j s is one on LP(~ n) (with respect to ]Rn!) AE~(wS'P(]Rn), wt'P(IRn)) i f f ANc~(LP(]Rn)),

I t turns out that "generalized convolutional i n t e g r o - d i f f e r e n t i a l operators" like in eq. (4.8) are generalized translation invariant operators from Wm'P(]Rn) into LP(]Rn), l<p<=, with respect to ] ~ n So i t is easy to reformulate the Fredholm conditions for such operators. Theorem 4.7 : Let I t is where (cf. RABINOVI~ [ 7 2 ] , p. 87, Th. 4.1; SPECK [96] , p. 89) u A : = i ~ l ~ A D be a generalized convolutional i n t e g r o - d i f f e r e n t i a l c~:'(Wm,p(~n), L P ( ~ n ) ) , {Ax } . xem n l<p~, iff Ax j m E ~ x ( L P ( ~ n ) l for all is the family of operators

operator. xE~ n

~ A xDUc~NA(Wm'P(~ n ) , LP(~ n)) I~ I <-m Ax be b i j e c t i v e

(operator with "frozen c o e f f i c i e n t s " ) . I t is necessary that A= be b i j e c t i v e and i t is s u f f i c i e n t that for all (4.8) xE~ n. This holds for >0

in# I #~rn~A(x,~)'~U(l+lI2)-m/21 c~ n ~
~cR n

i f p = 2 in which case the pseudo-inverse of AJm can be constructed as an enveloping operator to the local inverses (AxJm)-IE#NA(L2(~n)). For p # 2 the local existence of these operators must be assured (cf. theorem 4.6). Remark 4.3 : The concept of local equivalence of operators has been generalized by SIMONENKO (1964,'65)E91,9~ from the very beginning to the following one D e f i n i t i o n 4.3 : Let , Y be Hausdorff-spaces being homeomorphic by ~ : X Y and l e t (T~u)(x) : = (u,~)(x) be a non-distorting transformation for all ueLP(Y) , l<p<~ , fixed. I f Yo = ~(Xo) and ~L(Xo)C and ~(Yo)CY are homeomorphic neighborhoods then AeA(LP(x;~)) and B~A(LP(Y;~)) are called " l o c a l l y quasi-equivalent with respect to the pair Xo' Yo"' written as AXe9 Y~B i f f



Yo P~B P~r
P~ = ~.I and P~= 7~I,

in the sense of d e f i n i t i o n 4.1 ( i i ) with space projectors respectively, u and n denote complete respectively.

~-additive, e - f i n i t e measure5 on X and Y smoothly bounded regions ~n n >2 Gc~ n if

This notion allows us to t r e a t semi-infinite

One has the corresponding results for half-spaces

206 D e f i n i t i o n 4.4 : Let ~ = LP(]Rn), l_~p<~ , and NEj, j = 1. . . . . N, be a f i n i t e set of d i s j o i n t measurable sets in ~R n such that u E. = ~ n I f A j , j = 1. . . . N , are generalized t r a n s l a t i o n i n v a r i a n t operatorsJo I J ~ (with respect to ~I~) then

(4.10) is called

W : = N

z AjPE. j=l j ~Adenotes the

a "component GTIO" or an "N-part composite WHO". I f Aj, j ~WN(X,~) = 1. . . . . N, then the "presymbol of : = OA( x , ~ ) j for (x,~)CEj~<IR n. WN"

presymbol of (4.11)

is def~lned by

Theorem 4.8 : (SIMONENKO(1967)[94], p. 1322) : LetW N be a component GTIO as above where Ej = Fj GTIOs of L l - t y p e , and IR~ = ~ n Then W N ~ (4.12) where (4.13) Aj : = [ ( ~ N } ~ j ) ~ W N n]u[Fj~{~}] equals zero. min inf j = l . . . . . N (x,~)cAj IOWN(X,~) ! > 0

are smooth conical sets, Aj are iff

, j = l . . . . . N.

In this case the index of

Remarks: 4.4 : This theorem can be generalized in various ways - e s p e c i a l l y for p = 2 - by the following more general assumptions:l).Let Ajx , the l o c a l l y quasiequivalent t r a n s l a t i o n invariant operators in xcIR n have symbols ~Jx = ~Jx+ ~jx where 'fjx are " r e l a t i v e l y t h i n " L ~ - functions instead of being EFLiCCo(]Rn), i. e. (4.14) sup l~oi~2r ~ l~jx(~)Id~ = o ( r n) I~- o Isr for r ~ ,

(cf. SPECK [98]. 2).Take f o r Ej smooth cones at i n f i n i t y , i. e. (4.15)

measurable sets which are only asymptotically

mes(Ej-Fj)n{~cIR n:I~O-~l

~ I} 0 for


where the Fj are smooth cones, cf. SPECK [98], too, 3). Let r j be piece-wise smooth cones, cf. ~!EISTE~ & SPECK [58]. 4).Assume that l o c a l l y at every 9oint xE~ n more than two sets 4 . 5 : ~j are allowed to i n t e r s e c t , cf. HEISTER & SPECK [59],

SIMONENKO (1964)[ 91] generalizes to composite WHOs with space projectors where the Ej are domains c~ n Aj bounded by smooth Ljapounov area and the operators are singular having homogeneous

pEjE~(L2 ( ~ n ) )

manifolds of f i n i t e

207 symbols (or symbol matrices) of ( p o s i t i v e ) order proves that the symbol ~w(X,~) : = ~A(X,~) values as x x oC~Ej for 0 being continuous on ~n ~ He

(x,~) c E j x ~ n

and t h e i r l i m i t i n g

from both sides has to be zero and a certain index-conin order that W be Fredhlom-Noether. This can be done N xo ~Ej onto

d i t i o n to be f u l f i l l e d

by reduction to a two-part composite problem l o c a l l y at every boundary point since the quasi-equivalence is established by the local mapping of ~ = ~n-l.

This idea of local coordinate mapping is inherent to a l l e l l i p t i c

boundary value problems, f o r smoothly bounded domains. SIMONENKO's method has been applied by RABINOVI~ in (1969)[72, 5] to boundary value problems for generalized convolutional i n t e g r o - d i f f e r e n t i a l equations - and systems of such - in semi-infinite domains GC~n with smooth boundaries behaving l i k e a cone f o r large distance from the o r i g i n . Again the non-vanishing of the symbol on AG : = [ # N ~ R ~ ] U [ G ~ { ~ } ] is necessary and s u f f i c i e n t for (4.18) PGA(X,D)PGm + TPGm = fcHS-~(G)

to be Fredholm-Noether. Here PG denotes the r e s t r i c t i o n operator on s+c,2 (G) and TE~(Hs+c (G), Hs-z(G) where ~s+~(G) is the closure Hs+C (G) : = W of C~(G) with respect to For the case of Fredholm property, on II.llHS+~(G)-norm.

G = R n , or a bounded domain, a thorough discussion of the n p a r t i c u l a r with boundary conditions or potentials carried

~G , and the related conjugate problem has been performed by DIKANSKII(1971,'73)

[17,18]. RABINOVI~ (1972)[74] then studied pseudo-differential operators on classes of noncompact manifolds with boundary conditions. Quite recently CORDES (1977) stQdied C*-algebras of e l l i p t i c boundary problems [10]. Shortly before he derived a global regularizer - or even parametrix - to pseudo-differential operators on R n (1976)[14].

5. Wiener-Hopf type integral equations with strongly singular kernels equations having smooth symbols on

So far we have been interested in convolutional

G~R~admittingc.l~x for the x-dependence of the factors or kernels more general domains or having symbols being continuous on IR~ _ { 0 } n but x varying in the whole of ] ~ n We want to look now into equations combining stronly singular kernels, of the Cauchy p r i n c i p l e value or Calderon-Zygmund-M1chlin type, with piecewise constant coefficients on ]Rn. The simplest case arises from the well-known x " a i r f o i l equation" +I (5,1) _1 f q~(y)dy -1 'y - X = (m(-1,1)m)(x) = f ( x ) , XE(-1,1)

involving the " f i n i t e Hilbert transformation Hr- , . j I~"" BETZ in (1920) [,4 ] gave l an inversion formula for s u f f i c i e n t l y smooth f E C # o c ( ( - 1 , 1 ) ) N L I ( ( - I , I ) ) 0<),<1, by (5.2) m(x) = - - - - ~ _ 1


with a r b i t r a r y

CE~ (or ~). Now, this is completely in contrast to

H2 = -I

acting on L P ( ~ ) , l<p<~ , or C~oc(~) following from eq. (1.21). I f one wants to solve eq. (5.1) above by means of the Carleman-Vekua function-theoretic method introducing give for (5.3) and T(H(-1,1)m)(x)


g'~3- _1

1 +} my_~d z


then the Sochozki-Plemelj formula

r = IR:
~+(x - G-(x) =




for .xEIR-[-1,1] for


xE(-1,1) xcIR-[-1,1]


+ -(x) : +i __1 f < y )dY Ti L1 y - x

So eq. (5.1) is equivalent to the Riemann boundary value problem with a piecewise continuous factor only:

@+(x) = G(x).~'(x) + g(x) ,


where =I -I (5.6) and G(x) for for x E(-I,1) xeIR - [ -1,1 ]



(5.7) g(x) :

1 f(x) 0

for for

xe(-1,1) xE~-[-1,1]

So the jumps of along ~+

G at

x = i

must be the reason for the non-uniqueness of the

solution given by eq. (5.2). This f i n i t e H-transformation, and the s e m i - i n f i n i t e as w e l l , have attracted the attention of many mathematicians up to now concerning one- and multidimensional integral equations involving them or t h e i r multidimensional counterparts. While the Russian school around MUSHKHELISHVILI (cf. his book (1953)[6211 has applied the LP-theory, in mainly looked into Hoelder space solutions by the classical method TRICOMI in 1951 [102], NICKEL in 1951 [63], and SUHNGEN in 1954 [95] the l a t t e r case by a transformation which diagonalizes the f i n i t e H-transformation. KOPPELMAN & PINCUS in 1959 [53] and J. SCHWARTZ in 1962 [81] derived spectral representations for H(_I,I) on L2((-I,I)). WIDOM in 1960 [106] and SHAMIR in 1964 [86] studied singular integral equations and systems of them, respectively, on measurable subsets Ec~ and on ~+ or [ - I , + i ] , respectively. They treated the LP(E) - and ws'P(~+) - , s ~ O, l<p<~, cases, respectively, but were apparently not aware of SUHNGEN's work before. CORDES & HERMAN in several papers, (1966) [15], (1969) [11] introduced Banachalgebraic techniques, the Gelfand theory, to singular integral operators in of the l a t t e r paper KREMER in his thesis (1969) [55] treated the equation (5.8) (W,)(x) : = a(x)~(x) + . o y - x + c ( x ) . f k(x-y)~(y)dy o = f(x)EL2(N+) c(x) z O, to L2(~+) of purely Cauchy-type and of compound ones with additional Ll-kernels. IndependenCy

where a,b,cEC(~--T) , kELI(~). The studies were continued, for LP(~+)

with the symbol calculus by GERLACH & KREMERin (1972,'73)[39,40 ] with piecewise

Following quite a different line G H E G & KRUPNIKstarted in (1968) [44] to OBR study Cauchy-type singular integral equations along curves rc{ continuous coefficients anew and introduced 2 x 2-matrix symbols for scalar equati~ons in 1970 [45]. The whole theory, even under much weaker conditions on the coefficients a ( t ) , b(t), tEr , in the equation (5.9) (K~(t) : = a(t)~(t)+b(t).(Sr~)(F ) = f(t), tErc~ ,

has been displayed in a l l d e t a i l s in GOHBERG & KRUPNIK's book (1973) [47]. DUDU~AVA applied t h e i r theory to Wiener-Hopf type equations and compound equations with symbols having weak smoothness assumptions in a number of papers in 1973,'74,'75,'76 [24,25,26,29] .


SHAMIR in 1966,'67 [87,88] studied systems of singular integral equations in LP( ~+ ) , ~UBIN in 1971 [90] and ESKIN in 1967,'73 [104,30] applied the method of n matrix-factorization with respect to the n-th Fouriertransform variable ~n in order to solve general boundary value problems for pseudo-differential operators being homogeneous of degree ~ + iB in ~n with additional potentials and/or + boundary conditions on ~ = R'n-1 added In his book (1973) ~SKIN is also concerned with mixed-type boundary conditions on ~, n-I so that boundary pseudo-differential arise. operators with piecewise continuous coefficients on ~,n-I

A main part in the technique is played by the "Mellin transformation" and the "Mellin convolution". This enters in a natural way by studying certain operatoralgebras acting on LP(R+). To show this we are going to follow the lines of KREMER (1969) whose work strongly parallels CORDES'(1969). In order to build up the algebras he introduces for ~EL2(IR+) : (5.10) (5.11) (5.12) (5.13) S T : = SIR+ : = T]R+ defined by ( S ~ + ~ ) ( x ) : = ~Ti ! ~ i +xmlY)d~ y '

defined by (T~+m)(x) : = i

Kk : = P+k~P+ defined by (Kkm)(x) Ck defined by (Ckm)(x)

_ 1 ! k(x-y)~(y)dy _2 ~ o 7 k(x+y)m(y)dy 1

Then the basis for the whole theory are the compactness relations given by the following [55], p. 4 & 11: Lemma 5.1 : (5.14)

Let S2

a(x)cC(~+) = I + T2
, i.


S,T,Kk,C k with


as above Then



C~(L2 ( ~+ ))
lim a(x) = 0

(5.16) (5.17) (5.18) (5.19) (5.20) (5.21)

[al,S]~-O , a.K k --- 0 Ck ~ 0

[al,T] ~ 0 in case of

[S,Kk]~O [T,Kk]~-O Kkl.Kk2-Kkl.k 2 0

211 Then KREMERstudies, as does CORDES (loc. c i t . ) , the algebra (~, generated by S and T which is commutative, modulo the compact operators, with an i d e n t i t y . D e f i n i t i o n 5.1 : (5.22) ~(t) If mcL2(~+) then

: = l.i.m. ~ ~0

1 }/~x - ( z + i t ) / 2 m(x)dx 2d~~ (at Re s = ~) .

is called the "Mellin transform of I t has the property (5.23) (5.24) (S~o)(t) = tanh (Tm)(t) =


- ~'(t)


- i ~'~t) cosh ~ t 2 (cf. e.g. CORDES [11], p. 897!). The algebra ~ I proves to be isometric isomorphic to the function algebra C ( ~ ) ( ~ = ~ in this context ) where ~(t)EC(~) corresponds to K EC~1 with (K~)(t) = ~(t).~'(t). ~1 is called the "generalized Mellin convolutional algebra" since i t contains an algebra O~ of integral operators of a "quotient convolution" type
(525) : dy , x > o

which transforms

o mELl(x-i/2; ~ + )

into i t s e l f when the kernel



(cf. e.g. CORDES [11] , p. 897/88!),The general Mellin transform (Mm)(s) : = i x S - l ' m ( x ) dx transforms such a quotier~ convolution into an algebraic product: o


M(gem)(s ) = (Mg)(s).(Mm)(s)

(cf. e.g. TITCHMARSH's book, p. 304). CORDES & HERMAN in (1966) [15] introduced the algebra ~ generated by Ct I , the m u l t i p l i e r s a ( x ) . l EC(~'~) and ~ ( L 2 ( ~ + ) ) such that ~ / ~ is a commutative B*-algebra and the space of i t s maximal ideals is homeomorphic to the Shilov boundary ~ ( ~ x ~ ) = : v ~ . I f denotes the Gelfand homomorphism of ~ / ~ o n t o C(~() then we have the symbols OA(x,t) ECOl,) given by aal(X,t ) = a(x) ~Kq(X,t) = ~ ( t ) on on 0 ~ x ~ ~ , t = ~ -~ ~ t ~ +~, x = 0 or


and Os(X,t) and ~T(x,t) as in eqs. (5~23), (5,24). This has been generalized to the corresponding subalgebras of ~ ( L P ( ~ + ) ) , l<p<~, by GERLACH & KREMER in 1972,'73 [39,40] where only

212 t = tanh {~ [~ + i ( ~ i _~ ) ] }

~P)(x,t) changes.

Now, i f we apply these r e s u l t s we get Theorem 5.1 : Then (5.27) (Kom)(x) : : a(x)~(x) + b(x)(S~)(x) L2(R+) 0 iff (CORDES (1966), KREMER (1969)). Let a,bEC(R +) be given.

defines a Fredholm-Noether operator on (5.28) on sE where

~Ko(X,t ) = a(x) + b ( x ) . t a n h ~ E : = ~+~t a2(x) - b2(x) ~ 0

or, e q u i v a l e n t l y , i f f on ~+ and

(5.29) (5.30 a) (5.30 b)

alOl+b(O) -~ < arg a 0 -b(O) < ~ and -~ < arg a ~ < ~

The index is given by (5.31) ind Ko = v(Ko) = ~ fDE darg ~Ko(X,t).

be Fredholm-Noether and the c o e f f i c i e n t s to be normalized s. th. on ~... I f we define KI : = a l l + b l S then KI where bI = -b(a2-b2) - I = -b (5.32)

In order to s i m p l i f y the w r i t i n g in what follows l e t us assume Ko = al + bS to a2(x)-b2(x) = 1 aI = a(a2-b2) - I = a is Fredholm-Noether a l i k e with f darg DE ~Ko(X't) have zero indices but are in general not and

i ind K1 = - ind Ko = - ~ KoK1 and KIKo

and the two products Fredholm-Riesz due to (5.33) (5.34)

KIK o = I + blbT 2 + V1 KoK1 = I + bblT2 + V2 U to

KREMER's idea (th. 23, p. 51) [55] is to construct a two-sided r e g u l a r i z e r L = I + blbT 2 by i n v e r t i n g the symbol OL(X,t). He then i n v e s t i g a t e s the Wiener-Hopf-algebra 6(2 ators K- , I k and the compact ones on L2(~+ ) ~2 = ~ 2 / ~ i s ator norm of ~ ( L 2 ( ~ + ) ) .

being generated by a l l oper-

and being closed under the oper~ and ~2


commutative semi-simple with an i d e n t i t y , is isomorphic to

i t s space of maximal ideals being homeomorphic to

213 C ( ~ ) . The Gelfand theory then allows us very easily to characterize the Fredholm operators, that are the i n v e r t i b l e elements in ~ 2 ' of the type by the condition i + k(~) # 0

I + Kk on



as we know already.

To t r e a t the compound integral equation on L2(~+) the algebra ~N. being gener~ ating by OC and 02 is constructed. Again ( X / ~ i s commutative and semi-simple with I an i d e n t i t y . The space T~C(~J of maximal ideals is homeomorphic to a compact subset of J~, (cf. KREMER[55] (ths. 19,20) where ~: = ~ u{(t,~) : t~, ~ =0}

: = (m--~)

Then the compound integral equation with constant coefficients (5.35) Km e (I +aKk+~SKk)m(x ) = f(x)CL2(IR+)

may be treated. There holds the Theorem 5.2 : (KREMER, th. 24, p. 54). Let m,BEC , k E L I ( ~ ) , Then Ke ~c ~, and ~(o) = o , I f the function G(~) : = I + (~+B'sign ~)~(~) @ 0 on ~ then (i) KE~(L2(~+)) (5.36) 5.37) (ii) (iii) ind K = v(K) = - ~ [arg G(~)] =

R : = I + (I+S)Kkl+ 7( I_S)Kk 2 1 K where


is a two-sided regularizer to

k 1, k2ELI(~)

are defined from


1 + k1,2(~) = [1 + (~B)k(C)] -1

as elements of the Wiener-algebra i ~ ( ~ ) , Now, similar to the argument by GERLACH [38] (cf. p. 27/28!) one is ready to discuss the general case of continuous coefficients a,b,c on R+: (5.39) (W~)(x) : = (a(x)l+b(x)S+c(X)Kk)~(x) = f ( x ) E L 2 ( ~ + )

making use of Rakovsh~ik's r e s u l t of (1963). So KREMERarrives at his main r e s u l t , viz. Theorem 5._33 i ([55], th. 26, p. 62). Let Let and a,b,cEC(~'--~), k e L l ( ~ ) , al + b.S on T+~ be

Fredholm-Noether operator on : = c(~)a(~), B = -c(~)b(~). (5.40)

L2(~+). Assume a2(x) - b2(x) = i

i +(~B)k(~) # 0 on


wh~re (15.42) Then W is

1 + k ( 0 ) { ~ - s . t a n h T - ~p(t) + B tanh ~t


# 0




: = b2(=).[b2(=)

+ cosh 2 _~]-1 .


C.rollary 5 . 1 - -


a,b,c,k Ro

be as above but a d d i t i o n a l l y is given by

~(0) : / k(x)dx = O. -~ ( l f 0 ) and

Then the second c o n d i t i o n f o r the symbol is a u t o m a t i c a l l y f u l f i l l e d a two-sided r e g u l a r i z e r (5.43) where (5.44) (5.45) UI : = al - bS U2 : = I - b ( x ) . b ( o ) [ l - t a n h ~] Kq1- b(x)b(~) tanh

R : = U3U2UI

Kq2 .


1 U3 : = I + ~( I+S)Kk I + (I-S) Kk2

K ~ c ~ 1 ; i = 1,2 ; and qi q1(t) : = [cosh 2 3_~ + b2(0)] - I (5.45 a) q2(t) : = [cosh 2 ~ + b2(~)] - I

(5.45 b)

Furthermore the index of (5.46)

W is given by + ~1~indl~ mo+m~ = -~ [arg G ( ~ ) ]

ind K : v(K) = ~


th. 1.4!) where a(O)+b(O) a o = arg a(O)-b(O) = Co + 2~ mo defines mo,m~ -a iCol, = arg Ic I < th. 2.7), Let a, b, c, k be as above but b(o) = b(~) = O, = -c-2~ m

(5.47 a) (5.47 b) such t h a t

C o r o l l a r y 5.2 : ( [ 5 5 ] , let al + bS and eq. (l+V)m' = f ' where sign of ind(al+bS).

I + ~K k

be c ~ ( L 2 R + ) ) .

Then eq. (5.39) is e q u i v a l e n t to an


v i a a c l a s s i c a l Wiener-Hopf equation depending on the

Now, we shall sketch the theory developed by GOHBERG & KRUPNIK [45] f o r s i n g u l a r

215 Cauchy-type integral equations involving piecewise continuous c o e f f i c i e n t s . While the whole theory has been developed f o r spaces LP(p;c), l<p<= , p(t) ~ O, p , pl-qeLl(F) f o r I / p + I / q = 1 and FC~ , a system of Ljapounov arcs and/or contours, we shall confine ourselves here to one closed contour Let rcC (or s = ~ ) and L2(F). Ne are following mainly along the lines of t h e i r paper in (1970) ~5 ]. PC(F) denote the algebra of a l l piecewise continuous functions a(to) = a(to-O ) = lim a(t) and a ( t ) on F being l e f t continuous having l i m i t i n g values

from the r i g h t

lim a ( t ) where ~ and ~ shall denote that the point t t to t >t o is before or behind t o , respectively, in the sense of the orientation on F . G : = F ~ [ O , I ] shall denote the cylinder { ( t , u ) : tEF , O~u~1} and M(t,p)#~2x2(F), i.e. a 2x2-complex matrix whose entries O l l ( t , ~ ) , ml2(L,u), m21(t,~), and

a(to+O ) =

~22(t,1-~)~C(G) where ~12(t,0) = ~21(t,0) = ~12(t,1) = ~21(t,1) = 0 for tCF . Now, the algebra ~ of a l l such function-matrices becomes a B-algebra by introducing the norm (5.48) l l M ( t , ~ i i : = max Sl(M(t,~)) where s~(M(t,~)) denotes the largest eigenvalue of H(t,~).M*(t,u) being

semi-positive d e f i n i t e . They prove then the following theorems in several steps: Theorem 5.4 : ~(L2(F)) a,bEPC(F) (i) ( [ 4 5 ] , t h . 0.2, p. 194). Let OL(PC(F)) the ideal of compact operators on be the smalle~subalgebra of L2(F). Then ~ . This iso-

containing a l l operators of the form and ~

a ( t ) l + b(t)S F with coefficients


is isometric and isomorphic to the matrix-algebra

morphism transforms the operator C~mA = a , l + b-S F + V , Vc~, into the "symbol" aA(t'~)=~(t'~):= I(1-~)c(t)+~,c(t+O) (5.49) ~[c(t+O)-c(t)], where c(t) : = a ( t ) + b ( t ) , d(t) : = c ( t ) - b ( t ) (5.50) ( i i ) Remark 5.1 : ~d(t)+(Z-~#)d(t+O) / , ~[d(t+O)-d(t)]l


= Vc~]infIIA+V]I

of integral

This may be generalized to the case of NxN-systems

equations introducing then

2Nx2N-symbol matrices (cf. GOHBERG& KRUPNIK [45], 1).

Since they show (th. 3.2) that for a matrix-function M(t,~) e ~ with det M(t,~) ~ 0 on G ( M ( t , ~ ) ) - I E ~ too, they can prove the following essential (th. 4.2, p. 199!):


Theorem 5.5 : det j ~ ( t , ~ ) ~ 0

Let on

AE~(PC(F))c~(L2(F)), G~.


AE ~ ( L 2 ( ? ) )




I f t h i s c o n d i t i o n holds the f u n c t i o n (5.51) and fA(t,~) : = det ~ ( t , u ) . [ ~ 2 2 ( t , O ) . ~ 2 2 ( t , l ) ] -1 e C(G), G : = F ~ [ 0 , 1 ]


having the [arg f A ( t , ~ ) ] m


ind A = v(A) = - ~

Remarks : 5.2 : In t h e i r paper 1971 [46] they carry over t h e i r arguments to the ---m Bk spaces LP(p;?) , l<p<~, where p(t) : = k~ 1 It-Ckl w i t h -1<6k<P-1 and points Cker 5,3: fixed (cf. also t h e i r j o i n t book (1973)[47], chap. I X ! ) . s i n g u l a r i n t e g r a l operators number of

SCHOPPEL (1973,'76)[79,80] order

treated n o n - e l l i p t i c det~(t,~)

l i k e above in

v ~ ' P ( p ; r ) - s p a c e s where

may have a f i n i t e

i s o l a t e d zeros of f i n i t e DORF's f o r closed curves with non-elliptic chapts, 5,6 !). 5.4:

s m . The discussion is s t r o n g l y r e l a t e d to PRUSSon ~ ( c f , e.g. PRUSSDORF's book (1974),

F w i t h continuous c o e f f i c i e n t s or f o r Wiener-Hopf equations i-~(~)


GOHBERG& KRUPNIK discuss In sects. 6 and 7 of t h e i r book (1973) [47] the cases

of F = ]R and .IR+in LP(Po;? ), i< <=, and the weiaht f u n c t i o n Po(t ) ( l + x 2 ) ~12 N JX-Xkl 6k 1 < z N p ;I ,Bk+B<P-1 or, p a r t i c u l a r l y in 7, the operator k=l k=l corresponding to the "two-part composite s i n g u l a r c o n v o l u t i o n a l equations" (cf. remark 5) of ~hap. 3 b e f o r e ! ) :


A = a.l+b.S]R


a =

a I c~ a2 e~

for for for for

x < 0 x > 0 x < 0 x > 0

IblEC b b2 E C in the spaces L P ( I t l B, ~ ) , l<p<= , -1<B<p-1.

DUDU~AVA in (1973) [24] s t a r t s o f f with the t r a n s l a t i o n (5.54) where Wal~ : =

i n v a r i a n t operators x]R+

F-laFim and

Wa : = P+Wa IR~P+)



.I ,

a(~) =

P~I~(~) denotes the class of a l l f u n c t i o n s on ]R of type n ^ z ak(~)-k(~ ) where the ak(~) = c k + g k ( ~ ) E ~ ( ] R ) , the one-dimensional k=1 Wiener-algebra, and the x k being c h a r a c t e r i s t i c f u n c t i o n s to i n t e r v a l s EkC IR


such t h a t

EkFIEJ = (~ and ~

bounded t r a n s l a t i o n To each f u n c t i o n

U Ek = IR. W is then the unique c o n t i n u a t i o n to a a k=1 i n v a r i a n t operator on L2(IR) ( c f , [24], chap. 2, th. 2 and 1!) he associates the f u n c t i o n f o r I~I < ~ and O~u~l for ~ =

a(~) E P ~ ( ] R )

{ a(~-O)[l-u]+a(~+O).u (5.55) a(2)(~,~) : = a(+~) [1-~]+a(-~) having a closed curve gular" if cC "u

as numerical range. This f u n c t i o n is c a l l e d " ( 2 - ) n o n s i n >0. He proves then the

inf__la2)(~,~)l" " 0~I

Theorem 5.6 : at iff left a(2)(~,~) invertible,

([2~, th. 1, p. 1002 ) . Let is n o n - s i n g u l a r . or r i g h t

aEP~(R) is

having the points of jumps or E ~'_(L2(R+)) W a is i n v e r t i b l e ,

c I . . . . . c n. Then

W = P+F-IaFP+E~,(L2(~+) a invertible if

E ~+(L2(~+~

I f t h i s c o n d i t i o n holds then

v(Wa) : = Ind W : = - K ( a ( 2 ) ( ~ , ~ ) ) a is zero, p o s i t i v e , or negative, r e s p e c t i v e l y . (5.56) <(a(2)(~,u)) : ~ Here


~ denotes the winding number [arg a(2)(Ck,U)] I ~=o t h i s corresponds to KRE~N's

[arg a(~)] + s ~ -~ k=l aE~(~)

Remarks : 5.5 : result (cf. 5.6:

In the case of continuous

th . 2 . 1 ) . LP(~+) by i n t r o d u c i n g ; I~I < ~ O~u~l .gq(U) ; ~ =

The whole theory may be generalized to a(P)(~,~) : =



[a(+~) [ 1 - g q ( ~ ) ] + a ( - = )

where now f o r (5.58)

r = p or gr(~) : _

q = p_-~l ~ 2 : sin ~@.ei~O I@ sin @ .e

" @ : = ~-2~ r-lr

and 5.7 :

ak(~ ) = c k + ~k(~ ) , g k ( X ) c L l ( ~ ) n L q ( ~ ) . He constructs an algebra of operators A = r s k=l s ~ j=l W a kj where akj E P~]~( ~R )


w i t h symbols given by (5.60) oA(P)(~,~ ) : = r ~ k=l s a(p) ~ (~,~). j=l kj


Then a s i m i l a r theorem ( [ 2 4 ] , th . 2, p. 1003 ) character of A if i n - - ~(P) (~'~)J > 0 f A

guarantees the Fredholm-Noether v(A) = ind A = _K(~p)(~,~)).r

holds. Then

A d e t a i l e d representation is given by him (1975) [26 ]. 5.8 : DUDU~AVA in (1974) [25] generalizes his theory to include m u l t i p l e - p a r t

composite Wiener-Hopf equations with strongly singular t r a n s l a t i o n i n v a r i a n t operatorsinvolved, viz.


(5.61) where the I I ~ l l ~ (Lp( multipliers for In

S (Am)(x) : = j=1 a j ( x ) - ( W b j . c j ( y ) m ) ( x ) bjeP?A)(~) as before, a j ( x ) p = 2 in and cj(x) ~ C(R), the closure of the L~-functions are

piece-wise constant functions with a f i n i t e

number of jumps in the operator norm of


, i . e. f o r L2(~).

L~(~)-~Jorm, since a l l

The author constructs complicated 2 x 2-symbol matrices along and calculates the index. The d e t a i l s are too lengthy to

the l i n e s of GOHBERG & KRUPNIK and formulates necessary and s u f f i c i e n t conditions A to be e~(L2(~)) be w r i t t e n down here! his paper (1976) [29] DUDU~AVA gives a d e t a i l e d account of the whole theory extending i t to the quarter-plane case, permitting Sobolev spaces, and systems as w ~ l . 6. Convolutional i n t e g r a l equations on the 9uadrant A (iii) in Chap. 1 l e t us consider the f o l l o w i n g "Wiener-Hopf

In accordance with

i n t e g r a l equation on the quadrant" (6.1) where (W++ m)(x) : = m(x) - f kcLI(R 2) and f are given, k(x-y)m(y)dy = f ( x ) E L P ( ~ + ) 2 mcLP(~++) , x2 ~ 0 } . If sought, ~ + ^ d e n o t i n g ~(~) : = 1-k(~) the f i r s t # 0 on ~2

quadrant c III0(~)

= {x = (Xl,X2)E~ 2 : xI ~ 0

denotes the symbol

, the two-dimensional Wiener-algebra, and i f we assume i t to be

then we may f a c t o r i z e i n t o four continuous functions which are holomorphically ex+ tendable into the four respective products of half-planes H~i ~< H ~2 such t h a t (6.2) (6.3) ~(~) = ~++(~)~_+(~)~_~(~)~+_(~) where

a,(~) =

1 + ~+,+(~). = exp{Pt, +~ log ~(~)} . . . . are the F-transformed projectors onto the four

P, : = FX 2 . I . F -1 quadrants of

~ 2 . A f t e r grouping the factors in the r i g h t way one recognizes t h a t

(~_+~__)(~)(o++o+_)(~)corresponds to a f a c t o r i z a t i o n of ~ ( ~ ) i n t o symbols belonging


to a WH problem f o r the l e f t and r i g h t half-plane of into (~+j__)(~).(~++o_+)(~)

R 2 while the grouping

corresponds to one f o r the lower and upper half-plane~,

r e s p e c t i v e l y . Denoting the half-plane WHOs by TD (W) and Tp (W) , r e s p e c t i v e l y , ~m where W : = l - k ~ is the two-dimensional L 1-convolution on u ~ L , we have the inverse by GOLDENSTEIN & GOHBERG ( c f . remark 2.1!) e x i s t i n g f o r (6.4) [TPr(W)]-I = F-I[~++~+_(~)] -1FP r F-I[o_+~__(~)]-IF [TPu(W)]-I . Due to a r e s u l t by SIMONENKO (1967) [94] is compact on Lp( ~ 2 ) , l<p<~ , f o r quadrants E,Gc~ 2 aW(~) # 0 on ~2 as

and a s i m i l a r formula f o r assuming that XE.I.k,XGI

lying opposite on the same diagonal we a r r i v e at the Theorem 6.1 : (STRANG (1970)[ 99 ]) Let kELI(R 2) and inf.~ I I - ~ ( ~ ) I > O. Then 2 the WHO W++EBm(LP(~++)), l<p<= , with ind W++ = 0 with ~ E ~ : t h e r e g u l a r i z e r (6.5) R = P++{[TPr(W)]-I + [TPu(W)]-I - W-I}P++

The present author and F.-O. SPECK [59] r e c e n t l y studied the WH integral equation with (6.6) kELI(~ 3) and

(WGm)(x) : = m(x) - } k(x-y)m(y)dy = f(x)EL2(G) G

where G = G(~) : = {x = (Xl,X2,X3) : x l + i x 2 = re i ~ , o ~ _ _ ~ , r ~0, x3E~}= S ~ denotes a wedge with x3-axis as i t s edge and with an opening angle equal to ~ . F i r s t they proved the Theorem 6.2 : Let iff ( [ 5 9 ] , th. 1). Let hE~ n Zc~ n , n ~ 2 , E ~ ( L 2 ( ~ n ) . Then be a c y l i n d r i c a l also region, i . e.

there e x i s t s a vector i t is i n v e r t i b l e on 6.1 :

such t h a t f o r a l l xcZ

x + phEZ f o r a l l p ~ O.

A be t r a n s l a t i o n i n v a r i a n t

Tp(A) : = PzAI~9~(pz)~(L2(Z))

~(P2) ~ L2(Z)" LP(z) , 1~p~, f o r certain Sobolev

Remarks :

The same statement holds f o r

spaces and spaces with a weight function. 6.2 : The r e s u l t carries over to cones ~A(p~) : ~A(~) for p > 0 Fc~ n instead of and ~ c ~ n - { o } . Z admitting " d i l a t a t i o n

i n v a r i a n t " operators, e. g. p s e u d o - d i f f e r e n t i a l behaves l i k e Now, the f o l l o w i n g r e s u l t is true Theorem 6.3 : are equivalent: (i) (ii) WGE~(L2(G)) WGE ~(L2(G)) is i n v e r t i b l e and ( [ 5 9 ] , th. 2). Let

operators of order zero whose symbol

W be given as above. Then the f o l l o w i n g r e s u l t s G


(iii) every operator W in the family defined by F1,2 ~( " " ' x 3 ) F I , 2 ' -1 ~,x3 X3E~, is i n v e r t i b l e as two-dimenslonaL W O on the sector S~ with angle ~ at the H vertex. While in the case of G = ~n or n = ~+ , n ~ 2 , the e l l i p t i c i t y

i n f I~w(~)I > 0 ~wE}q@(~ n) is necessary and s u f f i c i e n t for the i n v e r t i b i l i t y of ~E~n ' , W operating on LP(~ n) or L P ( ~ ) , l<p<~, f o r general s e m i - i n f i n i t e GcRn not so much is known but GERLACH & LATZ proved 1977 Theorem 6.4 : ellipticity (6.7) for suitable Let A = l - k , , kELI(Rn), E 9 r Tp(A) : = PEAI~(pF) be a measurable subset in i . e. ~n con-

taining a cone. Then for

to be i n v e r t i b l e on "~.(PE) ~ L2(E)

is necessary and "strong e l l i p t ~ c i t y " , infn([Z-~(~)].ei~) ~E[0,2=) and a ~ >0 ,

~ > 0 , is s u f f i c i e n t .

Cor011ary 6.1 : i t is a)

([59], Corollary 1). For the W O W of eq. (6.6) to be i n v e r t i b l e H G l-k(~) be e l l i p t i c and b) s u f f i c i e n t that i t be point-

necessary that

wise strongly e l l i p t i c (6.8) i n f {Re e i ~ [ l - ~ ( ~ l , ~ 2 , x 3 )] : (~I,~2)ER 2 } = ~(~,x3) > 0

In order to admit strongly singular convolutional operators on quadrants depending even on the variables Xl,X 2 we introduce the theory of operators of " b i - l o c a l type" by PILIDI (1971) [66] which has a predecessor in SEELEY's paper (1965) [82] Chap.13~, in a sense (see also DOUGLAS & HOWE (1971)[23]!). D e f i n i t i o n 6.1 : Let ~1' ~2 denote two B-spaces of Lp-functions on ~m and ~ n , respectively. Ajc ~ ( ~ j ) the operators of local type on Xj ~j the set of operators which are t r a n s l a t i o n i n v a r i a n t by BIB 2 c~(~j), "~j the subalgebra and ~ the BI and ideals of the Fredholm and compact operators on ~ B2 we have: a) A,BEA : = AI~ A2 b) , respectively. Then denoting

the topological (and algebraica]) tensor product of two B-spaces are called " i - e q u i v a l e n t " , A~B , i.ff A-BE~I@A 2

AEA is called "l-Fredholm-Noether", AE~ 1, i f f there e x i s t R~A ~ A R r ~ I o m XlE~ "

R~,RrEA such that


A,BCA are called " l o c a l l y I-equivalent at exists neighborhood such that ~ (Xo)C~ m

iff for all ~ > 0


and ~uEC~(~m)


~L(x) ~ 1 on ~ (Xo)


inf II ( A - B ) ( ~ u ' I I ~ I 2 ) - T I ~ TE~A 2




AEA is called "locally 1-Fredholm-Noether at x~E~ m'' i f f there is a neighborhood 1~L(x~)c~m, a~Lcc ~~ ) ( "m as above, and R~,x~ , Rr,x~ E A such that R~ o a(o~Iz 12)-~i ( ~ l l ~ 1 2 ) A R r , x ~ ~,x I ,~1 ~ I i ~ 12

(6.10) Remark 6.3 :

Analogous notations hold with respect to the second component.

Theorem 6.5 : (PILIDI (1971)[66]) : AEA = A1(~(1)A2(~2) is c~(JEI~)E2) i f f A is locally l-Fredholm for all x~c]R and is locally 2-Fredholm for all x~E]R m n. Theorem 6.6 : (PILIDI (1971)[66]): Let A,BEA and A be locally l-equivalent to B at xOER . Then A and B are at the same time locally l-Fredholm at x~ or m 1 not. These oheorems are applied to "bisingular Cauchy-type integral equations on ~2 or ~ m ~ n , , and to Wiener-Hopf integral equations on the quadrant. Theorem 6.7 : Let a (Xl,X2)EC((~)2), ~ = 0,1,2,12, and the bi-singular Cauchytype operator be defined by (Lm)(Xl,X 2) : = ao(Xl,X2)~(Xl,X2)+al(Xl,X2).(Sl~)(Xl,X2) (6.11) where (6.12) (Sl~)(Xl'X2) : = ~ i f (Yl,X2)dY 1 Yl - Xl ~(xl,Y2)dY 2 (S2m)(Xl'X2) : = ~ i f ~2 denote the "partial Cauchy transforms" and (6.14) (S12~)(Xz,X2) : = (Sz(S2~))(Xz,X2) = ~ Y2 - x2 +a2(xl,x2)(S2~)(x1,x2)+a12(Xl,X2)(S12m)(Xl,X2 )


m(Yl,Y2)dY2dY 1 S f ]RI JR2 (Y2-X2){Yz-Xl) " or

Then the following statements are equivalent: LE~(L2(IR2)) (6.15 a) for all (6.15 b) ZlE~ I

[ao(Zl,X2)+al(Zl,X2).sign ~ i ] . I + a2(zl,x2)+a12(Zl,X2)sign ~i ] S2 and fixed ~i = I and

[ao(Xl,Z2)+a2(xl,z2)-sign C2]-I+ a1(xl,z2)+a12(x1,z2)sign ~2 ] SI and fixed C2 = 1 are invertible one-dimendional singular operators x 2 and x I , or the symbol of L :

for all z2E~ 2 with respect to

222 (6.16) aL(Z1'Z2;~l'~2) : = ao(Z1'Z2)+al(Zl'Z2)sign ~1 + + a2(z1'z2)'sign ~2+a12(z1'z2 )sign ~I "sign ~2 is e l l i p t i c (6.17 a) and (6.17 b) [arg aL(Zl,Z2;~l,~2)] = = 0 for all Zl=-~ In case of avEC(~2 ) z2c~ 2 ; ~i,~2 = 1 i. e. # 0 on I~2 ~ { - 1 , 1 } 2 and a d d i t i o n a l l y = 0 for all ZlC~l ; ~i'~2 = I

[arg aL(Zl,Z2;~l,~2) ]~ z2=-~

Remarks : 6.3 :

the last two conditions are superfluous!

6.4 : This theorem holds also for R I ~ ~2 replaced by Ljapounov-curves rl,r2cC and B-spaces LPl(pl;F1) and LP2(p2;F2) instead of L2(~1 ) and L2(~2 )" The coefficients a may even be piecewise continuous only or systems of equations with matrices a may be involved. (cf. mainly PILIDI & SAZANOV (1974)[67] and DUDU{AVA (1975) [27,28]. They calculated a two-sided regularizer and the index of the operator L.

Corollary 6.2 : Let LEA = AI(LPl(pl;FI) ) ~ A 2 ( L p 2 ( p 2 ; ~ ) ) be a Fredholm-Noether operator. Let R1 and R2 denote I - and 2- partial regularizers, respectively. Then a regularizer (6.18) and the index R for L is given by

R : = R1 + R2 - RILR2 L by


Ind L = [<l(a++)-<l(a _)].[<2(a+_)-<2(a_+)]

Kj, j = 1,2 , denote the winding numbers with respect to xjeFj of the

functions (6.20) a(Xl,X2) : = (aoala2al2)(Xl,X2)

Remarks : 6.5 : Applying the two-dimensional F-transformation to the Wiener-Hopf equation on the quadrant ~ + - or more general: studying four-part-composite equations

223 (6.21) (Am)(Xl'X2) = ~ ( X l ' X 2 ) L kI(Xl-YI'X2-Y2)m(YI'Y2)d(Yl'Y2) ~++'~


N2.~(Yl,Y2)d(YI,Y2)-S N3-~(Yl,Y2)d(YI,Y 2) ]R2



k4.~(yl,Y2)d(Y1,Y2) = f(x],x2)EkP(m 2) , l<p<~ ,

where ~ = ~++E$ ~ leads to Riemann boundary value problems for two complex variables in the four products H of half-spaces in C . This is then equivalent to an equation like (6.11) with operator L . The problems have been thoroughly discussed mainly by DUDU~AVA in 1976 [ 29] ' 2,3, in Sobolev spaces (Hs'P(~ 2+ ))m ' . mE~", + i. e. including systems. 6.6 : PILIDI & SAZANOV (1971,'74) [66,67] treated also operators A of the bi-singular CMO-type where AI~XAxEQmA2(~ n) for all x ~ m and A2'~YBy~AI(~m)Qn for all yE~ n, where the Qm' Qn denote m u l t i p l i c a t i o n by homogeneous functions of degree zero Ec(~m-{o}) and E c ( ~ n - { o } ) , respectively. 2 6.7 : KREHER(1976) [56] studied n o n - e l l i p t i c Wiener-Hopf operators on ~++ where the symbol may have a f i n i t e number of zero lines of f i n i t e order in each of the two variables 7. ~i,~2.

Concluding Remarks

SHINBROT in 1964 [ 89], DEVINATZ & SHINBROT in 1969 [16], REEDER in 1973 [76], and PELLEGRINI in 1973 [65], j u s t to mention a few papers, were involved into the study of general WHOs on H i l b e r t spaces ~ ; Tp(A) i~(p ) where AE~(~) and P = P2E ~(~.) a projector. They derived c r i t e r i a for the i n v e r t i b i l i t y of Tp(A) on ~(P) and the connection to f a c t o r i z a t i o n . Concerning e l l i p t i c systems of singular integral operators having symbol matrices being (~+l)-times continuously d i f f e r e n t i a b l e positively homogeneous functions of ~ : ( 6 1 . . . . ~n) , ~ > n , the i n v e r t i b i l i t y of the ~ corresponding WHOs on ~+ has been discussed by SHAMIR in 1966,'67 ~7,88] in w S ' P ( ~ ) - s p a c e s . He derives a p r i o r i estimates and makes use of the f a c t o r i z a t i o n of matrices according to GOHBERG & KRE~N (1958)[43]. See also the paper by ~HUBIN in 1971 [90]! These problems have been displayed and treated by the Banach f i x e d point principle for strongly e l l i p t i c translation invariant A by HEISTER & SPECK (1977/78) [58]. They also discussed the more general problem of an "N-part conjposite WHO"

~JN : =

z Aj,Pj j=l


LP(~ n) , l<p<~,

224 where the zP.= j=1J



are i n v e r t i b l e and

PjPk = 6jkPk E~(Lp(IRn))



In t h i s paper one may find also a couple of examples of mathematical d i f f r a c t i o n theory leading to such operators (cf. [58], chap. 2!). The present research centers around the following questions, at least in the mind of the author: (1) Which are the necessary conditions for an AE~(3C) and a given continuous

projector P on ~ for Tp(A)_ _1~l~,p) to be invertible? The same question applies N to ~ AjPj to be i n v e r t i b l e on ~. j=l In order to allow x-dependent symbols ~A(X,~) of generalized translation invariant operators or pseudo-differential operators one wants to know: (2) Which are the necessary conditions on ~A(~) EL=(~ n) such that A = F-I~A(~)F ~EC(]R n) or is

is of local type, i . e. [~I,A]

is compact on

LP(IRn ) , l<p<~, for a l l

what are the conditions on ~,aEL=(IR n)

- or subspaces - so that


compact on ws'P(~ n) scIR , l<p<~, fixed? In the case of a positive answer one may obtain a Fredholm c r i t e r i o n for this more general class of operators. Some information concerning the l a s t question has been given recently by CORDES in 1975 [13] and by SPECK in (1976,'77') [97,98] generalizing the results by RAKOVSH#IK (loc. c i t . ) Most questions on mixed boundary value and transmission problems f o r e l l i p t i c p a r t i a l or pseudo-differential equations may be put into a generalized Wiener-Hopf s e t t i n g , as the work by ESKIN, DIKANSKII, RABINOVI~, SHAMIR, SEELEY, BOUTET DE MONVEL and many others show, but the d e t a i l s concerning the question above s t i l l worked out. have to be

Prof. Dr. Erhard Meister Fachbereich Mathematik Technische Hochschule Darmstadt Schlo~gartenstr. 7 D 6100 - Darmstadt


References 1 2 3 4 5 6 7 8 9 I0 II 12 13 14 15 16 17 18 19 20 21 Agranovi~, M.S. E l l i p t i c singular integro-differential operators. Russ. Math. Surveys 20, 1-121 (1965) Atkinson, F.V. The normal s o l u b i l i t y of linear equations in normed spaces (russ.). Hat. Sbornik N.S. 28 (70), 3-14 (1951) Bancuri, R.D. Integro-differential equation on the half-axis with kernels depending on the difference of arguments (russ.), Sakharth. SSR Mecn. Akad. Moambe 54, 17-20 (1969) Betz, A. TragflUgeltheorie . Ber.u. Abhandlq. d. Wiss. Ges. f. Luftfahrt, Heft 2 (1920) Boutet deMon~el, L. Op~rateurs pseudo diff~rentiels analytiques et probl@mes aux limites elliptiques . Ann.lnst. Fourier 19, 163-268 (1969) Boutet de Monvel, L. Boundary problems for pseudo--d-ifferential operators Acta Math.126, 11-51 (1971) Calder~n, A ~ . Singular integrals , B u l l . Amer. Math, Soc. 72, 427-465 (1966) Calder6n, A.P., Zygmund, A. On singular integrals. Amer. J. Math. 78 289-309 (1956) --~ Calder~n, A.P., Zygmund, A. Singular integral operators and d i f f e r e n t i a l equations. Amer. J. Hath. 79, 901-921 (1957) Colella, P., Cordes, H.O. ~ e C~-algebr~ of the e l l i p t i c boundary problem. SFB 72, preprint no.160, Univ. Bonn 1977 Cordes, H.O. Pseudo-differential operators on a h a l f - l i n e . Journ. Math. Mech. 18, 893-908 (1969) CordesT-H.O. Lecture notes on Banach algebra methodsin partial d i f f e r e n t i a l equations. Univ. Lund 1970/71 Cordes, H.O. On compactness of commutators of multiplications and convolutions, and boundedness of pseudo-differenti~al operators. Journ. Funct.Anal. 18, 115-13! (1975) C-ordes, H.O. A global parametrix for pseudo-differential operators over ~n, with applications. SFB 72 preprint no.90, Univ. Bonn 1976 Cordes, H.O., Herman, E. Singular integral operators On a h a l f - l i n e . Proc. Nat. Acad. Sci. USA 56, 1668-1673 (1966) Devinatz, A., Shinbrot, M.--General Wiener-Hopf operators . Trans. Amer. Math. Soc. 145, 467-494 (1969~ Dikanski~, ~ . Problems adjoint to e l l i p t i c pseudodifferential boundary value problems, Soviet Math. Dokl. 12, 1520-1525 (1971) Dikanski~, A.S Conjugate problems~f e l l i p t i c d i f f e r e n t i a l and pseudod i f f e r e n t i a l boundary value problems in a bounded domain. Math. USSRSbornik 20, 67-83 (1973) ~ n i g , J. Zur Theorie einer Klasse e l l i p t i s c h e r singul~rer Integro-Differentialoperatoren in Grund- und Distributionenr~umen. Diss. Univ. TUbingen 1973 Donig, J. Das Cauchy-Problem fur eine parabolische Gleichung mit singul~ren Koeffizienten. Vortr. Tagg. Math. Meth. d. Phys., qberwolfach 1974 Donig, J. 'A priori'Absch~t~un~en fur eine Klasse elliptischer Pseudo-Differentialoperatoren im Raum Lv(~"), Function theoretic methods for partial differential equations: Proc. Int. Symp., Darmstadt, 171-191, Springer Lecture Notes 561, Berlin -Heidelberg 1976 Donig, J. Ober ein Transmissionsproblem mit Integro-Differentialbedingungen. manuscripta math. 23, 1 -18 (1977) Douglas, R.G., Howe, R.--On the Cm-algebra of Toeplitz operators on the quarter-plane, Trans. Amer. Math. Soc. 158, 203-217 (1971) Dudu~ava, R.V. Wiener-Hopf integral operators with discontinuous symbols. Sov.~ath. DoKI. 14, 1001-1005 (1973) Duducava, R . V . O~convolution integral operators with discontinuous coefficients, Sov. Math. Do~l. 15, 1302-1306 (1974) Dudu~ava, R.V. On Wiener~opf integral operators (russ.).Hathem. Nachr. 65, 59-82 (1975)

22 23 24 25 26

226 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 Duduc~ava,R.V. On bisingular integral operatorsandconvolution operators on a quadrant, Sov. Hath. Dokl. 16, 330-334 (1975) Dudu~ava, R.V. Bisingular integral operators and boundary value problems of the theory of analytic functions in spaces of generalized functions. Sov. rlath. Dohl. 15, 1324-1328 (1975) V Dud ucava, R.W Convolution integral operators on a quadrant with discontinuous sj~nbols. Math. USSR Izvestija I0, 371-392 (1976) Eskin, G.I. Boundary value problems a~nd the parametrix for systems of e l l i p t i c pseudo-differential equations. Trans. Hoscow Hath. Soc. 28, 74-115(1973) Eskin, G. Boundary problems for e l l i p t i c pseudo-differentiaT-operators (russ.). 'Nauka', Hoscow 1973 Feldman, I.A. An equation of radiation energy transfer and Wiener-Hopf operator equations (russ.). Functional. Anal. i. Prilo~en.5, I06-I08 (1971) Feldman, I.A. On an iteration method for the equation oTradiant energy transfer, Sov.Hath.Do~l. 12, 1034-1038 (1971) Feldman, I.A. Operator ~J~ner-Hopf equations and their applications to the transport equation (russ.). Matem. Issled. 6,115-132 (1971) Friedman, A. Partial d i f f e r e n t i a l equations. Holt, Rinehart & Winston, New York 1969 Friedrichs, K.O. Pseudo-differential operators, an introduction. Lecture Notes, Courant Inst. Hath. Sci, New York Univ. 1970 Gakhov, F.D. Boundaryvalue problems. Pergamon Press, Oxford et al. 1966 Gerlach, E. Z ~ Theorie einer ~ von Integro-Differentialgleichungen. Diss. TU Berlin 1969 Gerlach, E., Kremer, M. Singul~re Integraloperatoren in LP-R~umen. Zeitschr. Angew. rlath. Mech. 53, T 158-159 (1973) Gerlach, E., Kremer,--M. Singul~re Integraloperatoren in LP-R~umen. Math. Ann. 204, 285-304 (1973) Gerlach, E., Latz, N. Zur Spektraltheorie bei Faltungsoperatoren. Z.Angew. Math. Hech. 57, T 231-232 (1977) Gohberg, I.Z-T., Kre~n, M.G. The basic propositions on defect numbers, root numbers and indices of linear operators, Uspehi Mat. Nauk 12 (74), 44-118 (1957) (russ.). AMS Transl. (2) 13, 185-264 (1960) Gohberg, I.Z., Kre~n,H.G. Systemsof integral equations on a h a l f - l i n e with kernels depending on the difference of arguments. AHS Transl.(2) I_44, 217-287 (1960) Gohberg, I . Z . , Krupnik, N.A. The spectrum of one-dimensional singular integral o~erators with piece-wise continuous coefficients. Matem. Issled. 3 16-30 (1968) (russ.). AMS transl., ser. 2, 103, 181-193 (1974) Gohberg I.Z., Krupnik, ~.A. Algebra g e n e r ~ d , b y one-dlmens~onal singular integral operators with piece-wise continuous coefficients. Funct. Anal, and its Applic. 4, 193-201 (1970) Gohberg I.Z., Krupnik, N . A . Singular integral operators with piece-wise continuous coefficients and their s~bols. Math. USSR Izvestija 5, 955-979 (1971) Gohber~, I.Z., Krupnik, N . A . Introduction to the theory of one-dimensional singular integral operators (russ.). ~ t i i n c i e , Kishinjow 1973. . . . . . . . G--~-Idenstein, L.S.,Gohberg, I.Z. On a multidimensional integral equation on a half-space whose kernel is a function of the difference of the arguments and on a discrete analogue of this equation. Soy. Hath.Dokl.~,173-176 (1960) GrabmUller, H. On linear theory of heat conduction in materials with memory, Existence and uniqueness theorems for the final value problem o Proc, Roy, Soc.Edinburgh 76A, II0-137 (1976) GrabmUller, H. Asymptotic behavior of solutions of linear integro-differen~ ial equations. J. Integral Equs. and Op.Theory l, 28-56 (1978) H~rmander, L. Estimates for translation invar~ant operators in LP-spaces. Acta Hath. I04,93-140 (1960) Kohn, J.J.,--N-{renberg, L. An algebra of pseudo-differential operators. Comm.Pure Appl.Math. 18, 269-305 (1965) Koppelman, W., Pincus-~-J.D. Spectral representations for f i n i t e Hilbert transformations, Math. Zeitschr. 71, 399-407 (1959)

227 54 55 56 57 58 Kre~n, M.G. Integral equations on a h a l f - l i n e with a kernel depending upon the difference of the arguments. AMS Transl. 22, 163-288 (1962) Kremer, M. Ober eine Klasse singul~rer Integ~Igleichungen vom Faltungstyp. DisS. TU Berlin 1969 Kremer, M. Ober eine Algebra 'nicht normaler' Wiener-Hopf-Operatoren I & II. Math. Ann. 220, 77-86 & 87-95 (1976) Kumano-Go, H. Pseudo-differential operators ' (japan.), lwanami-Shoten Publish., Tokyo 1974 Meister, E., Speck, F.-O. Somemulti-dimensional Wiener-Hopf equations with applications. FB Hathem., TH Darmstadt, preprint Nr. 373 (1977); to appear in Proc. 2nd Sympos. on Trends in Appl. Pure Math. Mech. Kozubnik, Sept. 1977 Pitman Monographs, vol. 2 (1978) Meister, E., Speck, F.-O. Wiener-Hopf operators onthree-dimensional wedgeshaped regions, FB Mathematik, TH Darmstadt, preprint Nr. 389 (1978)~ to appear in Applicable Analysis. Michlin, S.G. Singular integral equations, Uspehi mat. Nauk (N~,) 3, 29-112 (1948) (russ.),~IS transl. 24, 84-198 (1950) Michlin, S.G. Multidimensional s-Tngular integrals and integral equations. Pergamon Press, Oxfor~ et al. 1965 Mushkelishvili, N.I. Singular integral equations. Noordhoff, Groningen 1953 Nickel, K. L~sung eines Integ-r'algleichUngssystems aus der TragflUgeltheorie, Math. Zeitschr. 54, 81-96 (1951) Peetre, J. M i x ~ problems for higher order e l l i p t i c equations in two variables I. Annali di Scuola norm. Pisa (3) 15, 337-353 (1961) Pellegrini, V. General Wiener-Hopf operators and the numerical range of an operator. Proc. Amer. Math. Soc. 38, 141 - 146 (1973) P i l i d i , V.S. On multidimensional~isingular operators, Sov. Math. Dokl.l_~2, 1723-1726 (1971) P i l i d i , V.S., Sazanov, L.I. A priori estimates for characteristic bisingular integral operators. Sov. Math. Dokl. 15, 1064-1067 (1974) Pr~ssdorf, S. Operators admitting unfunded regularization (russ.). Vestn. Leningrad Univ. 20, 59-67 (1965) Pr~ssdorf, S. Ei~imensionale singul~re Integralgleichungen und Faltungs91eichungen ni%-ht normalen Typs i n lokalkonvexen R~umen-~.~abil.schrif{,Karl-Marx-S'tadt (1967) " Pr~ssdorf, S. Zur Theorie der Faltungsgleichungen nicht-normalen Typs. Math. Nachr. 4_22, I03-131 (1969) Pr~ssdorf, S. Einige Klassen singul~rer Gleichungen. Birkh~user Verlag, Basel-Stuttgart 1974. . . . . . . . . . . . . Rabinovi~, V.S. Pseudo-differential equations in unbounded regions with conical structure at i n f i n i t y . ~lath. USSRSbornik 9, 73-92 (1969) Rabinovi~, V.S. Pseudo-differential equations in unbounded megi'ons. Soy. Math. Dokl. 12, 452-456 (1971) Rabinovi~, V.S. Pseudo-differential operators on a class of non-compact manifolds. Math. USSRSbornik 18, 45-59 (1972) Rakovsh~ik, L.S. On the theormof integral equations of convolution type (russ.). Uspehi Matem.Nauk 18, 171-178 (1963) Reeder, J. On the i n v e r t i b i ~ t y of general Wiener-Hopf operators. Proc.Amer. Math. Soc. 27, 72-76 (1971) ~ahbagjan, R-~.L. Convolution equations in a half-space, AMS Translat.,Ser. 2, 75, I17-148 (1968) Samko, S.G The general singular equation in the exceptional case. Diff. Equat. l , 867-874 (1965) SchUppeT, B. Regularisierung singul~rer nicht e l l i p t i s c h e r Integralgleichungen mit unstetigen Koeffizienten, Diss. Univ. MUnchen 1973 SchUppel, B. Regularisierung singul~rer Integralgleichungen vom nichtnormalen Typ mit stUckweise stetigen Koeffizienteno 'Function theoretic methods for partial d i f f e r e n t i a l equations': Proc. Int. Symp., Darmstadt; 4 3 0 - T , Springer Lecture Notes 561, Berlin-Heidelberg 1976

59 ( 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80

228 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 I00 I01 102 103 104 105 106 107 108 Schwartz, J.T. Someresults on the spectra and spectral resolutions of a class of singular integral operators. Comm. Pure Appl. ~,lath. 15, 75-90 (1962) Seeley, R.T. I n t e g r o - d i f f e r e n t i a l equations on vector bundles. Trans. Amer. Math. Soc. 117, 167-204 (1965) Seeley, R.T. Topics in pseudo-differential operators. Pseudo-Diff.Operators (C.l.M.E.,Stresa 1968). Edizioni Cremonese, Roma, 169-305 (1969) ~ir, E. Evaluation dansW~,Ppour des probl~mes au l i m i t e s e l l i p t i q u e s mixtes dans le plan. C.R. Acad. Sci. Paris 254~ 3621-3623 (1962) Shamir, E. Mixed boundary value problems for e l l i p t i c equations in the plane. The Lp theory, Annali Scuola Norm.Sup. Pisa (3) !7, I17-139 {1963) Shamir, E. Reduced H i l b e r t transforms and singular in~-~gral equations. Journ. Analyse Hath. (Jerusalem)f2, 277-304 (1964) Shamir, E. ~Jiener-Hopf type pr~lems for e l l i p t i c systems of singular i n t e gral equations. Bull.Amer.Math.Soc 72, 501-503 (1966) Shamir, E. E l l i p t i c systems of singular integral operators,l. The h a l f space case. Trans. Amer. Hath. Soc. ]_~_7_, 107-124 (1967) Shinbrot, M. On singular integral operators. Journ. Math. Mech. I_33, ~95-406 (1964) Subin, M.A. Factorization of matrices depending on a parameter and e l l i p t i c equations in a half-space. Math. USSR Sbo~nik 14,65-84 (1971) Simonenko, I.B. A new general method of investigat~-n-nq l i n e a r operator equations of the type of singular integral equations. Sov. Math. Dokl. 5, 1323-1326 (1964) Simonenko, I.B. A new general method of investigating linear integral operatorequations of the type of singular equations. (russ.). Izvest. Akad., Nauk, Ser. Matem., 29 567-586 (1965) Simonenko, I.B. Convolution operators in cones. Sov. Math. Dokl. 8, 1320-1323 (1967) S~monenko, I.B. Operators of convolution type in cones. Math. USSR Sbornik 3, 279-293 (1967) S~hngen, H. Zur Theorie der endlichen Hilbert-Transformation. Math. Z e i t schr. ~ 31-51 (1954) Speck, F.-O. Ober verallgemeinerte Faltungsoperatoren und eine Klasse von Integrodifferentialgleichungen. Dissert. TH Darmstadt 1974 Speck, F.-O. Ober verallgemeinerte Faltungsoperatoren und ihre Symbole. Function theoretic methods for p a r t i a l d i f f e r e n t i a l equations: Proc. I n t . S-~p., Darmstadt;459-471, Springer L e ~ r e Notes 561'~, Berl~nJHeidelberg 1976 Speck, F.-O. Eine Erweiterung des Satzes von Rak--~vsh~ik und ihre Anwendung in der Simonenko-Theorie. Math. Ann. 228, 93-100 (1977) Strang, G. Toeplitz operators in a quarter-plane. Bull. Amer. Math. Soc. 76, 1303-1307 (1970) Talenti, G. Sulle equazioni i n t e g r a l i di Wiener-Hopf, Boil. Un. Mat. I t a l . ~, Suppl. fasc. ~, 18-118 (1973) 2nd Titchmarsh, E.C. Theory of Fourier I n t e g r a l s . e d . , Clarendon Press., Oxford 19~8 Tricomi, F. On the f i n i t e Hilbert-transformation. Quart. J. Math. (2), 2 199-211 (1951) , Vishik, M . I . , Eskin, G.I. Equations in convolutions in a bounded region. Russ. Math. Surveys 20, 85-151 (1965) Vishik, M . I . , ~skin~--G.l. Normally solvable problems for e l l i p t i c systems of equations in convolutions (russ.). Mat. Sbornik 74, (116), 326-356(1967) Vishik, M . I . , Eskin, G.I. E l l i p t i c equations in c o ~ o l u t i o n in a bounded domain and t h e i r applications. Russ. Math. Surveys 22, 13-75 (1967) Widom, H. Singular integral equations in Lp. Trans'-. Amer. Math. Soc. 9_7_7, 131-160 (1960) Wiener, N., Hopf, E. Ober eine Klasse singul~rer Integralgleichungen. Sitzg.-ber. Preuss. Akad. Wiss.; Phys.-Math. KI.30-32, 696-706 (1931) Zabreyko, p.p. et a l . Integral Equations - a reference t e x t . Noordhoff Intern. Publ., Leyden 197-~ . . . . . . .


B. D. Sleeman Dedicated to the memory of Professor Arthur Erd~lyi


Introduction. The most widely used method of solving boundary value problems for linear

elliptic partial differential equations is the classic separation of variables technique. Usually this approach leads to the study of eigenvalue problems

for linear ordinary differential equations containing a single spectral parameter, namely the separation constant. Indeed it is fair to say that this is perhaps

the prime motivation for the study of spectral problems associated with linear ordinary differential expressions. In many cases, however, when the separation

of variables method is effected it is found that the separation Constants cannot themselves be decoupled and several may appear as spectral parameters in each of the attendant ordinary differential equations. A classic example of this is the problem governing the vibrations of an elliptic membrane with fixed boundary. An application of the separation of

variables technique leads to the study of solutions of the following pair of linked eigenvalue problems for the Mathieu's equations.

dx~ + (-Xl + x2csh2xl)y I = 0, 0 ~ x I ~ ~, Yl(O) - regular, yl(~) = 0,

dx~ + (%1 - %2 cos2x2)Y 2 = O, 0 ~ x2 N 2~, Y2(X2) - periodic of period ~ or 2~. In this example %1 and %2 are the spectral parameters. Another example, recently App-

considered in [ 15], is the problem of diffraction by a plane angular sector. lying

separation of variables in this case results in the study of the following

pair of Lame equations.


d2y 1


{%1 - %2 k2 sn2xl}yl

= 0,

-K -< xI -< K,

yl(-K) = Yl(K) = 0, d2y2 dx~ + {%1 - %2 k2 sn2x2}Y2 = O,


K + 2i~,

0 < ~ < K'

_ --

' Y2 (K) = Y2 ( K + 2 i K ' )

= 0.

Once again %1' %2 are spectral parameters and k, the modulus of the Jacobian elliptic function s n ~ is related to the semi-apex angle ~ of the sector by k = sin ~. One can cite a wide range of problems leading to linked systems of ordinary differential equations containing 2, 3 or more spectral parameters. eigen-

During the early decades of this century the study of multiparameter

value problems gave way to some extent to the study of the "special functions" generated by such problems. Thus in the 1930~s and 40's there was much interest ellipsoidal wave functions,

in the properties of Mathieu functions, Lame functions, Heun functions and the like.

The leading instigator of these researches was

undoubtedly Arthur Erd~lyi who not only advanced our knowledge of these functions to the degree that we know them today, but also gave an encyclopaedic account of them in the well known volumes on higher transcendental arose from the Bateman manuscript project. functions [12] which

These special functions are being

actively studied today and apart from their obvious interest to the mathematical physicist they do arise in other areas as well. Let us consider for the moment

one example which leads to an as yet unsolved problem. The problem we have in mind is of importance in the study of quasi-conformal mappings[5] and may be described as follows. In Lam~'s equation let %2 = I

and consider the equation

d~ (h + 1 k 2 dx 2 + ~ sn 2 x)y = 0 and denote two linearly independent solutions by ~I and ~2Classical


uniformisation theory asserts that for each value of the modulus k and consequently for each fundamental pair of periods of the Jacobian elliptic function sn x, is precisely one value h such that there

n_l (C

- periods of sn x) = ~ a simply covered d i s c }

L or

a half plane

In general

However the actual value of h is known in only a few special cases. we ask; for which values of h is

(C - periods of snx)

simply covered 1 ?

L Jordan domain


one method of attacking this problem is to investigate thoroughly the

In the slightly more general situation in which %2 = V(V + I)

solutions nl and N2"

where 1

V = ~ + m (m an integer) there are results due to Halphen LI4j, Ince [16J Indeed Ince [16j observed that when k 2 = ~ 2

and quite recently by Pearman [|8j.

some of the eigenvalues of Lam~'s equation giving rise to periodic solutions of periods 8K, 8iK' were rational and conjectured that this may be true for infinitely many values of v = ~ + m.
l ! 1

We may confirm this conjecture by observing that when


= ~ + m, %1 = ~ ~(~ + l) and k 2 = ~.


equation has solutions of the form


~2 = ( s n x

d n x / k ) 1 / 2 2FI (- ~]m , ~ m1

3. 1 +I; ~, ~ (snx dnx_k.2../) ~

This can be verified by direct substitution.

Clearly if m is even and positive

then there are infinitely many rational values of %1 each giving rise to solutions of periods 8K, 8iK'. to the problems above. An important feature of the multiparameter eigenvalue problems which arise in mathematical physics is that the differential equations often have either singly or doubly periodic coefficients and it is to such systems that we now turn. 2. The Problem Consider the linked multiparameter system of periodic ordinary linear differential equations of the form There must be a large number of results of this kind relevant


d 2Yr (Xr) dx 2 r + qr(Xr)Yr(Xr) +

n ~ %sars(Xr)Yr(Xr ) = O, s=l

r = 1. . . . , n. (2.1)

Here xr [0, ~0rj, (0 < 0o < ~) and the coefficients ars, qr are continuous r real valued functions with period ~r" determinant det{ars(Xr)} n r,s=! > O. We make the basic assumption that the


for all xr E [0, ~r j,

r = I, ..., n.

Several other structural hypotheses may be

applied, see for example [20] or [4J. In addition to (2.2) we impose periodic boundary conditions of the form


Yr(0) = yr(~r), y'(0) = Yi(~ ), r Lr r = l. . . . n.


or semi-periodic boundary conditions of the form (S-P) Yr(0) = -yr(~r), (2.4) Yr '(0)
= -y~(~r ), r = l, ..., n.

As is now standard we say that the n-tuple of necessarily real numbers % = (%1 . . . . . %n ) is an eigenvalue of the system (2.1, 2.2, 2.3) (or 2.4) if this r = l. . . . . n, for this

system has a non-trivial set of solutions Yr(Xr; %), particular n-tuple.

The algebraic product Yl(Xl; %) ... Yn(Xn; %) is called the

corresponding eigenfunction. The study of the above system and similar Sturm-Liouville problems has captured the interest of several authors recently. Indeed such problems may be The book of Atkinson

formulated in terms of linear operators in Hilbert space.

[4] and the monograph of Sleeman [20J are suitable references to this and other matters. From these works it may be readily verified that eigenfunctions and

eigenvalues do exist for the above problems and that the eigenfunctions form a complete orthonormal set in the weighted Hilbert space of Lebesque measurable functions on

n x r=l

E0, ~] ~

[0, ~r ],

the Cartesian product of the n norm in this space is given by

compact intervals

[0, ~r j,

r = I, ..., n.


]lull2 = f

[ul 2 det{ars}dX

1 "'"



In the following one parameter functions.

section we show how a classical argument well known in the the existence of eigenvalues and eigen-

case may be used to assert

A question of particular (2.1, 2.2, 2.3) or (2.1, properties

interest is to ask whether

the eigenvalues

of system enjoy any

2.2, 2.4) or any combination of these problems

interlacing parameter

thus generalising

the results well known in the onethe stability

periodic case.

In the same way one would like to discuss

of eigenfunctions.

Recently Browne [8j has studied the interlacing problem and the stability of some

Browne and Sleeman [9j have obtained some results concerning eigenfunctions. notation. Let o = (oi, ..., ~n ) ~n, Or = 0 or I To describe

these results we shall need to introduce

r = I, ..., n be an index set. to the system (2.1) to r


can then speak of boundary conditions

of type o applied

mean that periodic conditions are to be applied to the r-th equation if O semi-periodic mnltiparameter conditions conditions eigenvlaue if o r = I.

= 0 and

Thus for each fixed o we have formulated a (2.2) with boundary

problem consisting of (2.1) as indicated by O. as

(P) or (S-P)

In this fashion it is appropriate

to label the eigenvalues

i i X~(O) = {%r(O)[ r = |. . . . . where ~i = (i 1, ..., in) is a multl-index. non-negative integer.

n}, r = I, ..., n, is a

That is each ir,*

This multi-index provides an ordering of the eigenvalues. spectra corresponding to the 2n different types

Notice that there are 2n possible of boundary conditions.

Thus to begin with we would like to know how these

spectra interlace each other.




a, b c ~ ~


w h i c h are partially ordered by a ~ b if a -<b r ~ r Yr(Xr) ~ L2(O, ~r ), with are

r = I, ..., n.

Now for a collection of functions

llyrlI = ! we denote by V(y) w

the n n m a t r i x whose entries

i 0 ra r s ( X r ) l Y r ( X r )


r, s

= l, ..., n.

Next introduce

the set C c ~ n

defined by

C = {a e i~n I V(y)a -< 0 for some Yr L2(O' Cr)' IIYrll = |, Clearly C defines the 2n possible a cone and, as demonstrated by Binding

r =

l. . . . .


and Browne

[6], each of

spectra is ordered by C. the set o


Finally we define

i = {~~(~) l i-multi-index;
~ ~

= 0 or I,

r = 1. . . . .

n}. periodic

Thus I is the collection of all eigenvalues or semi-periodic. The m a i n interlacing theorem of Browne

from all possible problems

LSJ can now be stated;

T h e o r e m 2.]. Let T ~ ~ n be such that ~ multi-indices r = 0 or ..., i+e

+ c) n

|, r = |, ..., n. l). the set

Then if i and e are

with 0 N e N (l,|, i

contains (i) (ii) any eigenvalue

(~~ ~(~)



X~(~) for w h i c h i -< j -< i + e and O r = Tr except that if er = then ~ r m a y be 0 or l, ; and (ir, T r) is (even, 0) or (odd, |)

r = ;, ..., n. the following elementary example for n = 2. continuous periodic

To illustrate

this result consider

Let x l, x 2 e [O, lj and take Sl, s2, ql' q2 to be real valued functions on EO, IJ with p e r i o d one. system is

We further assume s I > O, s 2 > 0 on [O,l].

The two parameter

235 d2yl(x 1) dx~

d2y2(x2 ) dx~

+ ql(xl)Yl(Xl ) + (-%1 + %2)sI(xl)Yl = O,

q2(x2)Y2(X2 )

+ (-~'1

%2)s2(x2)Y2 = O.

The definiteness


(2.2) is satisfied



-Sl(X 1) -S2(X 2)

Sl(X 1) -s2(x 2)
is given by ~2

= 2Sl(Xl)S2(x 2) > O.

For this example

the cone

C = {(a,b) ~

I -a ~ b ~ a}

and the spectral diagram is shown in figure I. If o = (0,0) the eigenvalues i ~ are marked and denoted by %~. If o = (0,1) the eigenvalues are marked o and i ~ ~ i denoted by ~~. If o = (I,0) the eigenvalues are marked m and denoted by ~~.
~ ~ i ~

Finally if o = (1,1) the eigenvalues

are marked and denoted by N~.

In order to treat the stability question we must first define what we mean by stability as applied to the multiparameter problem.

Definition (i)

2.1 A point % ~ n is said to be a point of stability for the system (2.1) (-~,~), r = I, ..., n. for the

if all solutions Yr of the r-th equation are bounded over (ii)

A point % E ~ n is said to be a point of conditional


system (2.1) if each of the equations has a non-trivial

solution bounded over

(iii) A point % ~ n which does not satisfy either for the system (2.1). (i) or (ii) is said to

be a point of instability




~0 ~


r s 1

e\ % % 1



s I

p i z i

r i

Stability regions for Example I. Figure I. We now require to modify our definition of a cone as follows: multi-index i = (i|, Given a

..., in) we define the cone C(i) to be the collection of all L 2 (0, ~ r ) such that

points a E ~ n for which there are non-zero points fr


[V(f)a]r; the r-th element of the column vector V(f)a, satisfies [V(f)a] r~ ~ 0 0 if ir is even, if i r is odd. Finally we denote Our

This defines 2n cones, i.e. 2n-I cones and their negatives.

by S the set of all points of conditional stability of the system (2.1). stability result can now be stated as

Theorem 2.2. i S u [{X~(0) + C(i)}


i n {X~(1) - C(i)}],



I = (1,|,


This result is illustrated in the case of the above example by the shaded regions of figure I. For this example we have equality holding in (2.6). However

in [9J we give an example involving Mathieu's equation for which the inclusion in (2.6) is strict.


Existence of Eisenvalues Here we apply a classic approach [I0] to the system (2.1) (2.2) (2.3) or (2.4)

to obtain some information regarding the existence of eigenvalues. Let ~r(Xr; X), ~r(Xr; X), r = ]. . . . . (2.1) satisfying the initial conditions ~r(0; ~) = I, ~'(0; r r = I, ..., n. The general solution to (2.1) can be expressed as a linear combination of the functions ~r and ~r" That is (3.2) ~) = 0, ~r(0; X) = 0, ~'(0; r ~) = i, (3.1) n be linearly independent solutions of

Yr(Xr; X) = Cl, r ~r(Xr; X) + C2, r ~r(Xr; X).

It is well known that a necessary and sufficient condition for the existence of two-linearly independent solutions each satisfying the periodic boundary condition (P) is


~r(mr; X) = I, Cr(mr; X)

~r(~r; X) = 0,






Similarly a necessary and sufficient condition for the existence of two-linearly independent solutions each satisfying the semi-periodic boundary condition (S - P) is ~r(~r; %) = -I

~r(Wr; %) = 0,


~r(~r; X) = 0,

~r(~r; X) = -I.

In general of course a necessary and sufficient condition for (2.1) to have a solution satisfying (P) or (S -P) is that Dr(h) = ~r(Wr; X) + ~r(~r; X) = 2,
r =





The problem of existence of eigenvalues solvability of the system (3.5). method we find Dr(X) ~X

is thus reduced to the question of

By a standard use of the variation of parameters

r r

X) +

JO {~r(T; %)~r(~r;

+ ~r (T; X)~r(T; %)[~$(~r; - ~$(T; %)~(mr;

r~s = I, ...~ n.

X) - ~r(~r; %)]



Now if D (%) = i2 r

then the term in { } is a perfect square and since

det{ars} > 0 it follows from the inverse function theorem that (3.5) is uniquely solvable provided the eigenvalues are simple. If some of the eigenvalues are

not simple, in the sense that for some range of r, (3.3) and or (3.4) holds then we must work with the n x n derivatives of D r Hessian matrix constructed from the second partial

and make use of the inverse function theorem again. stability and interlacing theorems

As in the one parameter case, wherein

may be obtained from a study of D and its first derivative, gradients of D r

one could study the analogue

for each r = I, ..., n to arrive at the multiparameter


of these results.

However the technicalities

appear complicated.

In the following section we outline a different approach to the study of periodic multiparameter calculus of variations. eigenvalue problems. This approach is based on the


The Variational Approach In this section we consider the case of two-parameters (n = 2) and study

the eigenvalue problem defined by 2 2 d Yr dx 2 + qr(Xr)Yr + s= ~s ars(Xr)Yr = 0, I~ r r = 1,2, x r e [0, ~ J r yr(mr) = Yr(0)exp i ~ t r, y$(Wr) = y$(O)exp i ~ t r, -I < t ~ I, r r = 1,2, together with the definiteness condition (2.2). (4.2)


For this problem the existence of a countably infinite set of real eigenvalues can be established either from [20] or by the method outlined in the previous section. If we consider the eigenfunctions as being periodically functions the boundary

extended to the whole of ~2 as continuously differentiable conditions (4.2) may be rewritten in the form Yr(Xr + ~r ) = Yr(Xr)eXp i~ tr, r = 1,2. In addition to the condition that al2(X I) < 0 a21(x 2) > 0 on [0, ~i j, on [0, ~2 j.


(2.2) we shall assume, without loss of generali~,


This can always be arranged by a suitable scaling or affine transformation applied to the parameters %1' X2' As is well known [20] the eigenvalues and eigenfunctions (4.2) are simultaneous eigenvalues and eigenfunctions of the system (4.1)

of the following periodic


problems for partial differential equations; viz.: ~2y

- al2(X I) ~

~2y + a22(x 2)

~x 2


+ La12(x])q2(x 2) - a22(x2)ql(Xl)~Y

= % det{a



(4.5) (4.6

Y(x + ~r ) = Y ( x ) e x p i ~ tr, r = 1,2. 82y ~2y al1(x;) ---~ - a21(x 2) ----~ - [all(Xl)q2(x 2) - a21(x2)ql(Xl)]Y ~x 2 ~x I = %2det{ars}Y, together with the boundary condition (4.6). defined as
~l = (el' 0), ~2 = (0, w2).

In this condition the vector ~ is ~r

It should be noted that because of the assumed positivity conditions on a12 and a21 the left hand side of (4.5) is elliptic and it is to this equation that

most of our remarks are addressed. Let the eigenvalues of (4.5) (4.6) be denoted by An(t), (t = (t I, t2)) and It is readily

let the corresponding eigenfunctions be denoted by ~n(X; An(t)).

proved that the An(t) are real and form a countably infinite set with -~ as the only limit point. They may be ordered according to multiplicity as Ao(t) e Al(t) e A2(t) e .... and the corresponding eigenfunctions are orthonormal in the sense of (2.5). Notfce that since the eigenvalues %l(tl) of the given problem form a subset of the A (t) they exhibit a similar ordering to (4.7). n ~ theorem. Theorem 4.1. For each j = 1,2 let e x p ( i ~ t r of unity where -I < tr. < I. J in any order. -th roots ) (r~a = 0, I .... , k~ - I) be the kj J Let ~R (I - R < klk 2) denote the pair (trl, tr2) < We also have the completeness (4.7)

Then the set of all functions ~n(X; tR ) where n ~ 0 and


1 ~ R ~ klk 2 is a complete set of eigenfunctions for the periodic problem over the rectangle

Xl, x2 E [0, WlklJ x [0, ~2k2 j.

Again completeness here means completeness in the sense of functions Lebesque measurable on [0, ~Ikl j [0, ~2k2 ] with respect to the weight det{ars}. The proof of this theorem is a simple modification of the proof of Theorem 6.2.1 in Ill]. With the aid of theorem 4.1 we can now argue as in [19j to prove

that the eigenfunctions of the given problem defined by (4.1) (4.2) are complete in the same sense. Now let

Q(Xl , x2) = a l 2 ( X l ) q 2 ( x 2 )

- a22(x2)ql(Xl),


and let F be the set of complex valued functions f(x) which are continuous in A ~ [0, ~i j x [0, w 2] and have continuous first order partial derivatives in A.

Define the Dirichlet integral


D(u,v) = fA{a22(x2) ~x I ~x 1 ~u ~V

a l 2 ( X l ) ~x2 ~ x 2 + Q(x 1, x2)u(x)V(x)}dx I dx 2


for all u,v ~ F. This Dirichlet integral forms the basis for a variational approach to the multiparameter periodic problem. It is discussed, at least for SchrSdinger

operators, in Eastham [I|] and its application to multiparameter Sturm-Liouville problems is considered in [19, 20]. Suppose we impose Dirichlet conditions on the boundary of A, i.e. Y(x) = 0 on ~A,

then for the associated Dirichlet problem we have corresponding eigenfunctions and eigenvalues which may be denoted by @n(X; 6n) and 6n respectively. In a

similar way, if we impose Neumannconditions on ~A then the associated Neumann problem will give rise to corresponding eigenfunctions ~(x; Nn ) and eigenvalues ~.


Now, arguing as in Eastham [II, p 101] we have the interlacing theorem Theorem 4.2. For n e 0 and all t ~n ~ An(i) ~ Nn" This simple interlacing result may be employed to give a further interlacing (4.10)

theorem for the two-parameter problem as follows.


Let (%7(t), ~%(t)) be an eigenj

value for (4.1) (4.2) then since the %7(t) form a subset of the An(i) theorem (4.2) gives, in an obvious notation, the result

for all t.
~ i

Substituting %7(t)into the first member of the system (4.1) we have the classic one parameter problem.

d2y I i dx~ + ql(Xl)Yl+ all(Xl)X~(t)Yl


+ X2al2(Xl)Yl = O,


Yl(X! + e l) = Y l ( X l ) e x p ( i g t l ) ,
where of course al2 < 0. If we let the eigenvalues associated with (4.12) and the conditions

yl(wl) = yl(0) = 0,
i be denoted by 62 and those associated with (4.12) and the conditions y~(~l ) = y~(0) = O, i be denoted by n2 then again appealing to Ell, p 39] we have, for those eigenvalues

%~(t) which are simultaneous eigenvalues of (4.1) with r = 2, i i i

These arguments may be summarised in Theorem 4.3. Let the eigenvalues for the Dirichlet problem over A for (4.5) be denoted by


i i ~~ and the eigenvalues for the associated Neumann problem be denoted by n~, i i i where i = (i|, i2) is a multi-index. If k~(t) = (%~(t), %2(t)) is an eigenvalue for the two-parameter t-periodic problem then i i i 8~ ~ k~(t)~ ~ ~n ~. i For this value of k~(~) we also have i i i

where B2, 62 are the Neum~nn and Dirichlet eigenvalues for the one parameter equation (4.12). There are a number of results to be obtained via the variational approach all of which extend in one way or another the results known for periodic Schr~dinger equations and promise interesting applications to the multiparameter periodic problem. We close this section with the remark that hidden in the

variational approach outlined above is the fact that the partial differential operator appearing in (4.5) is elliptic. For n ~ 3 we cannot always arrange for

any of the associated partial differential operators to be elliptic in general. In this case the arguments have to be modified and for details at least in the abstract case we refer to the monograph [20].


The Alsebraie Approach In the study of periodic differential equations some useful insights are to

be gained by the study of various algebraic forms of the associated periodic differential equations. There is a strong connection here with the study of

Monodromic groups, the famous Riemann problem arising from Hilbert's 21st problem (see the article by Nicholas Katz in [7]) and also the study of quasi-conformal mappings, the subject raised in the first section of this paper. Here we outline some of the results which are to be obtained in this setting and in particular the case of differential equations, like Lam~'s equation, which have doubly-periodic coefficients. [17, I, 2] as suitable references. when For a background to this work we cite

The essential feature to be noticed is that is

expressed in algebraic form a singly-periodic differential equation


distinguished by having only two finite singularities whereas a doubly-periodic equation has three. The basic concept is that of a solution which is multiplicative path in the complex plane. for a given

That is a solution which when continued analytically Consider the differential

along a closed path is merely multiplied by a constant. equation


dw d2w + p(t) ~-~ + q(t)w = 0, dt 2



where t E and p(t), q(t) are rational functions of t.

Let the singularities

(not necessarily regular) of (5.1), i.e. points where p(t), q(t) or both are singular, be denoted by tl, t2, ..., tn, ~. If to is an ordinary point of (5.1)

then we denote by Fi a simple closed path from to encircling the singularity t. oncepositively (clockwise) and enclosing no other singularity of (5.1). We

further denote by rij the path consisting of order and similarly for rij k etc. in the negative (anti-clockwise)

ri, rj

described successively in that

The path which is the same as F i but described direction is denoted by -F i. t

~ n

Observe that

provided the singularities

tl, ...

are labelled in an appropriate order then That is

FI2 " "n is effectively a path making a negative circuit about infinity.
FI2 ... n is equivalent to the circuit -r .

Since p(t), q(t) are rational functions of t the singularities of equation (5.1) are isolated. Hence if y(t) is a solution valid in a neighbonrhood of the along ri back to the neighbour-

ordinary point to it can be continued analytically hood of to giving a solution y*(t).

Symbolically we write (5.2)

y(t) (Fi)Y*(t). In the case that y*(t) is a constant multiple can write y(t) + (Fi)siY(t). In this case we say that y(t) is multiplieativ e factor.

si of y(t), i.e. y*(t) = siY(t) we


for the path ri and si is the path solution

It is easy to prove that there exists at least one multiplicative


of (5.1) for the path F..

If (5.3) holds then also


y(t) ~


Y7 y(t). l

A p a t h Fi f o r which t h e r e e x i s t two l i n e a r l y ,,independent m u l t i p l i c a t i v e

is called non-degenerate. I f o n l y one such s o l u t i o n e x i s t s

the path is d~generat,~

Thus for a non-degenerate path r. there are linearly independent multiplicative l (1)(t), y~2)(t) which can be combined into a solution vector solutions Yi (2) Yi (t) = {Y l)(t)' Yi (t) } such that Yi + (ri)siYi where S. is the constant diagonal matrix <s! l), s!2)>. l i i Let us now consider the case in which (5.1) has two finite singularities tl, t2 in the complex t-plane and a singularity at infinity. We wish to consider (5.4)

the behaviour of solutions when continued analytically around a composite path

such as FI2.

To this end we introduce the following notation. 2Pi = s(1)z" + s(2)'i r. = s! I) s! 2), i i i M(012) = 2qi = s(1)i - s.i(2), i = 1,2,

cos @12 sin Ol2

sin Ol2 I -cos 012


where el2 C in general and is called the "link" parameter for the path FI2. Consider now a solutiQn vector YI such that YI (FI)S]YI"


The analytic continuation of YI about r2 yields a solution vector of (5.1) so there is a constant matrix L = (%ij) such that Y| (r2)LY |. The eigenvalues of L must be the path factors s~ I), s~ 2) for F2 and so

trace (L) = s2


= 2P2

(I) s~2) = r2" det (L) = s2 This then shows that for some constant ~ the entries in L must be such that


%11 = P2 + ~'

%22 = P2 - ~'

2 2 %12%21 = q2 - ~ " As is demonstrated in [2j there is no loss in choosing = q2 cosel2 with -~ ~ Re ~12 ~ ~ and taking L to be

LI2 = p21 + q2M(Ol2 ), where I is the 2 2 identity matrix. To summarise these results we have Theorem 5.1. Let F I, r2 be non-degenerate paths. uniquely determined in the region R = {O I {0 < Re 0 < ~} u {Re 0 = 0, Im e < 0} u {Re e = ~, Im e < 0} such that there is a unique vector Yl2 determined up to a constant scalar multiplier with the properties Yl2 + (FI)SIYI2 Y12 (F2)LI2YI2 From this result we deduce Theorem 5.2. The path factors for FI2 are the roots of the equation s 2 - 2(plp 2 + qlq2 cos e12)s + r ir2 = O. (5.6) Then there exists a link parameter el2

Since (5.1) in this case has only 2-finite singularities r12 is equivalent to - F and so the path factors for - r must be precisely the path factors

determined from (5.6).

Indeed as we shall show this provides a means of deter-

mining the link parameter el2 or the characteristic exponents of 5.1 at infinity. Consider for example Hill's equation in algebraic form, i.e.
__ 1 | ~ dw ~(t) w _ 0, (5.7)

dXw + 2 {~ + dt 2

} d-t + t(t



where ~(t) is an integral function of t.

In this case it is known that t = 0,I It

are regular singularities while the singularity at infinity is irregular. turns out that with t I = 0, t2 = I Pl = P2 = O, ql = q2 = 1, r I = r2 = -l, sll) = s~ I) = 1,

s12) = s~ 2) = -I.

Here (5.6) reduces to s with roots s = e x p ( i e ) . 2 - 2s cosel2 + I = o, it follows that the

But since FI2 is equivalent to - r

characteristic exponents ~ precisely el2.

at infinity, in the sense of Erd~lyi [13] are

In another way it follows that el2 is related to the number t or if t = 0

in the definition of the t-periodic problem (see (4.1) (4.2) above), to the descriminant D discussed in section 3.

In this way the determination of

characteristic exponents at infinity is related to the solvability of the equation D = 2 cos ~t. This interplay between characteristic exponents and the descriminant D has been exploited considerably in the study of such special functions as Whittaker functians, Mathieu functions, spheroidal wave functions etc. and in the older literature to the study of the so-called Hill determinants. Arscott Ill. See for example the book of

How successful these ideas are in the study of general multiparameter

periodic problems is yet to be investigated. It should be noted that the assertion that there is at least one multiplicative solution of (5.7) for FI2 is simply the algebraic form of Floquets theorem. If (5.1) has three singularities in the finite part of the plane then the situation becomes much more complicated. However the results can be simply stated see [2].

and have a nice geometrical interpretation, Theorem 5.3.

The path factors for FI23 are determined as the roots of the equation s2 - 2s{PlP2P 3 + I qlq2P3 cos012 - 2iqlq2q 3 sin012 sin @23 sine3l} 1,2,3 + rlr2r 3 = O, (5.8)


where cos e23 = cos 012

cos 813 + sin el2 sin 013 c o s ~ 2 3 .


In this result (5.9) has, at least for real 8ij, the following geometrical interpretation. Suppose e12, 013, e23 are the three sides of a spherical triangle, Equation (5.8) appears to lack However returning to

then ~23 is the angle between the sides 012, 613.

the symmetry one would expect between the indices I, 2, 3. our geometrical analogy we observe that N = sin~23 sin @31 sin @12

is simply the "norm" of the our spherical triangle and so is also given by N 2 = sins where 2s = 812 + 023 + 031. The syn~netry of N and so of (5.8) is now obvious. As an illustration of theorem 5.3 consider the algebraic form of Lam~'s equation, i.e. sin(s - Ol2)sin(s - 023)sin(s - e31) ,

__ I I I d2w + ~ {t + dt 2 t- ]

I + -t ~ - _ -


h - ~(V + 1 ) k 2 t

w = 0.


dt -2


l ) ( t - k -2)

Here we take t I = 0, t~ = I, t3 = k

and find that

s (I)~. = I,

s (2)~. = -I,

Pi = O,

qi = I,

r.~ = -1,

i = 1,2,3.

Thus in this case (5.8) reduces to s But FI23 is equivalent to - F exp-i(v + l)n. Consequently N = ~sinv~.

- 4iNs

- I = O.

and so the path factors of FI23 must be exp i ~ ,


Thus if two of the link parameters O., are known then the third is determined by lj

Using ideas related to the above Arscott and Wright [3] have essentially made a study of the link parameters when ~ of the resulting solutions. is rational and have discussed the uniformi~

This in a sense brings us full circle as these ideas

249 and results may have direct bearing on the outstanding problem of quasi-conformal mappings introduced at the beginning of this paper.

References [l] F. M. Arscott, (1964). [23 F. M. Arscott and B. D. Sleeman, ential equations. [33 Multiplicative solutions of linear differ(1968), 263-270. Periodic Differential Equations. Pergamon Press, London

J. London Math. Soe. 43

F. M. Arscott and G. P. Wright, ential equations. (]969), I]]-124.

Floquet theory for doubly-periodic differ-

Spisy P~irodov Fak. Univ. J. E. Purkyn~ V. Brn~


F. V. Atkinson, Operators.

Multiparameter eigenvalue Problems:

Matrices an d Compact

Academic Press, New York and London 1972. Quasi conformal mappings with applications to differential


Lipman Bers,

equations, function theory and topology. Bull. Amer. Math. Soc. 83 (1977)


P. Binding and P. J. Browne,

A variational approach to multiparameter SIAM J. Math. Anal. (1978) (to

eigenvalue problems in Hilbert space. appear). [7] F. E. Browder (Ed.),

~thematicalDevelopments arisin$ from Hilbert Problems. American

Proceedings of Symposia in Pure Mathematics, Vol. 28 Part 2. Math. Soc. Providence R.I. (1976). [8] P. J. Browne,

The interlacing of eigenvalues of periodic multi-parameter

problems. Proc. Roy. Soc. Edin. A (]978) (to appear). [9] P. J. Browne and B. D. Sleeman, Stability regions for multi-parameter

systems of periodic second-order ordinary differential equations (submitted), [I0] E. A. Coddington and N. Levinson, McGraw-Hill, New York (]955). Theory of Ordinary Differential Equations.



M. S. P. Eastham,

Th e Spectral Theory of Periodic Differential Equations

Scottish Academic Press, Edinburgh and London, (1973). [12] A. Erd~lyi et al, New York [13] [14] [15] (1955) Dover (1956). Vol 2. 1888. Higher Transcendental Functions Vol 3. Mc Graw-Hill,

~Erd~lyi, Asymptotic Expansions. G. H. Halphen,


Tralte des Fonctions Ell iptiques

B. A. Hargrave and B. D. Sleeman, The numerical solution of two-parameter eigenvalue problems with an application to the problem of diffraction by a plane angular sector. J. Inst. Maths. Applics. 14 (1974) 9-22. 60


E. L. Ince. (1940) 47-63.

Periodic Lame functions.

Proc. Roy. Soc. Edinbursh A

[17] [18]

E. L. Inee,

Ordinary Differential Equations.

Dover (1956).

A. E. Pearman,

Lam~ functions in scattering problems with particular PhD Thesis, Dundee (1974).

emPhasis on the elliptic cone. [19] B. D. Sleeman,

Completeness and expansion theorems for a two-parameter

eigenvalue problem in ordinary differential equations using variational principles. [20] J. London Math. Soc. (2) 6 (1973) 705-712. Multiparameter Spectral Theory in Hilbert Space.

B. D. Sleeman,

Pitman Press, London (1978).

Department of Mathematics The University DUNDEE Scotland DDI 4HN UK.

UNIFORM SCALE FUNCTIONS AND THE ASYMPTOTIC EXPANSION OF INTEGRALS by Jet Wimp Drexel University, and University of Strathclyde, Glasgow. Philadelphia


S, sector : S E S(~l,~2.z o) = {z ~ ~ i~ I < arg(z-z o) ~ ~2' z # Zo} , SA = S ( - 7 + A, ~A, 0), 0 < A < ~ .

UR(Zo) = interior of circle, radius R, centre Zo," UR(O) = UR; U 1 = U. CR(Z o) = circumference

of UR(Z o) with clockwise orientation;





~R(Zo) = UR(Zo) U
H 2 = Hardy class.


n,z = asymptotic parameters, n ~ in J+, z + ~ or z in S. ~(A) = class of functions analytic in A.

P = {(~l,a2 ..... ap) = ~laj e ~}. ~(z) =


-zt f(t)dt e

(Laplace transform).


I. Introduction Asymptotic alysis.


series are today one of the next important form they were discovered (1886).

tools in mathematical


In their original

almost simultaneously

by Poin-

care (1886) and Stieltjes embodiment to pre-existing

It is possible these writers were simply giving - ideas already floating

- though vague and non-rigorous

about the mathematical and his free-wheeling Asymptotic


and which can be traced back at least to Euler series. analysis in general - is a subject that Even recently, asymptotic

use of divergent

series - in fact, asymptotic

has never quite managed to escape the taint of mystery. series have not always been spoken of clearly. to clear the dead wood of heuristic

I feel that Arthur Erd~lyi did much As Erd~lyi himself His idea of an

thinking from this subject.

pointed out, his ideas were not new (what mathematical asymptotic scale goes back at least to Schmidt basis.

idea is ?).

(1936), but Erd~lyi was the first to

exploit the idea on a systematic

In no other area of mathematics crippling.

has intuition been both so vitalizing analysis

and so the good

In the early 1900's it was clear that in asymptotic

had become the enemy of the best. onable definitions. were very reasonable the asymptotic the individual And Erd~lyi's

What were needed - among other things - were reasdefinitions of asymptotic equivalence and scale that

and useful ones.

Erd~lyi was one of those who recognized


of an expansion shouldn't be judged by the magnitude of set

terms, let's call them fk(z,~), where ~ is in some parameter For certain values of z individual terms could be O, thus

c ~P and z E S.

conveying a false sense of the precision of the expansion. needed were functions - call them pk(Z,~) could not become arbitrarily

The asymptotic measures

- which "closely" bounded the fk but which (z,~) sets. Fortunately, the essential

small on compact

idea turned out to be easier to define and implement suggests. permissible The effect of these definitions

than this clumsy formulation

was to greatly enlarge our concept of a expansion. Now the fk(z,~) functions than the

term - a base function - in an asymptotic

were allowed to be members of a much larger class of mathematical simple inverse powers of z occurring larger the parameter expansion in~, space GL

in the classical Poincare theory.

In fact, the of the

and the greater the requirements

of uniformity

the more arcane will he the functions fk(z,~).

One does not have to

travel far in Erd~lyi's its application

general theory - see our discussion of Darboux's method and

to functions having the unit circle as a natural boundary - to en. series that neither Polncare i nor Stieltjes would have recognized and properties of these new base functions became subIn this paper, I wish to discuss some of the special base

counter asymptotic Inevitably,

the behaviour

jects of mathematical how general functions


in their own right.

asymptotic expansions

arise, and to describe



2..... Poincar~ asymptotic series We differentiate between two kinds of Pozncare asymptotic series. Definition (i) Let f be defined in S.

By z->= in S,

we m~an

f ~

E akz k=O K ~ 6=0


If -

akz-k I = o(z-K),

z = in S, K = 0,1,2, . . . . By in S, o

(ii) Let f be defined in S with vertex z .

co O

f~ w e mean

E a (Z-Zo)-k , k-O

z z

If -

E k=O

a {Z-Zo)-kl. = o[(Z~-Zo)-

z z in S, -> K = 0,1,2, . . . . .

As is well known, asymptotic series in common sectors may be added, multiplied (Cauchy product), (synthetically) divided. Any function has at most one asymptotic

expansion in a given S, but different functions may have the same asymptotic expansion. If f is analytic at Zo, its Taylor series is an asymptotic expansion. material see Knopp ~948~, or better yet, a modern treatment, such as For all this Olver C1974)o

This definition is good, as far as it goes

However it does not cover the many

cases of interest where f has "asymptotic-like" series for which the definition fails. A simple example is furnished by the Legendre polynomials #

= (-l)n
Pn(X) 2n nl

an-- [(l-xm)n],
dx n

n = 0,1,2,....

where z is real, z = n e J+, n ~.

I will write

(2) Pn(CS 8) ~ ( ) ~ k=O ( k)(

cos{(n-k 2~0 + (n - ~ k- )~}

(2 sin 0) 0 < @ < ~,

but the "~" notation can't be that of the previous definition, since individual terms are not of the required form. In fact, an even simpler example was the one that motivated Erd~lyi's first use of an asymptotic scale. Aitken, in a 1946 paper, studied some curious series. They

t The definition of all traditional special functions used in this paper will be the same as in Erd~lyi [1953].


were called inverse central factorial series totic-like in their properties. 1

= _

, and were both convergent and asymp~

One example he gave was (a2 ~)

+ + i


I) (a2

~) 9


E k2 a2 k---n+~ -

3~ (v2-1) r (~-k) k=O

5~ (v2-1) (~2-4)


(2k+l) F (a-k+l) (v+k+l) 1

This series converges slowly.

(The general

term is 2~-k-2(i + o(I))).

But considered

as function of the asymptotic variable n, the terms - as Aitken points out - become small, reach a minimal value, and then begin to increase again. of certain Poincar~ asymptotic expansions, see Knopp (1948). This is a feature

Aitken showed how such For example,

series could be used to accelerate the convergence of infinite series. the remainder on approximating ~2/6 by n E k=O i (k+l) 2

may be expanded in an inverse central factorial series and for large n accurately.

computed quite

In closing, Aitken says that Erd~lyi has pointed out to him (both men were at the University of Edinburgh at the time) that when a function f(t) has an expansion in t 2 k, powers of (2 sinh 7) then its Laplace transform f(z) will have an expansion (not necessarily convergent) (2k)~ P(z-k) (z+k+l) in the functions I= e -zt (2 sinh ~) t.2k dt. o

If z is replaced by ~, these are the functions occurring in the series (3). Gradually, in a series of papers that started with an investigation of such series,

Erd~lyi adopted the following definitions. In what follows, let ~k' ~k' fk be sequences of functions. both sequences will be defined for Izl > R, or IZ-Zol For a given problem

< ~ in some sector S withvertex In addition,

z . (This allows us to combine z ~ and z + z in one definition). o o ~k and ~k may depend on ~ s ~ c [ P .

Factorial series


had already been discussed by many writers

see Norlund series.

(1954) and his references - but not from the point of view of asymptotic


Definition: (i) {~k } dominates {~k } if ~k = 0(~k)' k = 0,1,2, .... (ii) {~k } weakly dominates {~k } if ~n = O(~k) for some n, (iii) ~k and ~k are equivalent if each dominates the other. k = 0,1,2 .....

(iv) #k is an asymptotic scale if ~k+l = (~k)' k = 0,1,2,.... (v) the series



is an asymptotic expansion of f with respect to the scale {~k } if ~ K f - E fk = ( ~ k ) ' K = 0,1,2, .... k=O We then write


f ~

E k=O

fk; {~k }"

(The {fk } are called base functions.)

(vi) if any of the underlined words in (i) - (v) are preceded by uniformly in ~ this means the "0" or "o" signs involved held uniformly i n ~ . (vii) the series (5) f ~ E k=O Ck ~k ;

{~k } ' (Then the term on the right

is called a Polncare asymptotic series. is usually deleted.)

For the basic properties of asymptotic sequences and expansions, (1956), (1961), and particularly Erd~lyi and Wyman (1963).

see Erd~lyi

Because of the generality

of these definitions,

an asymptotic expansion (4) loses the uniqueness property enjoy(I) or (5), see Erd~lyi (1956). A given function may This, in prac-

ed by the Polncare expansions have the same asymptotic

expansion with respect to different scales.

tice, does not seem to be a drawback.

However, despite the flexibility inherent in For some warn-

the new expansions, we cannot expect them to do our thinking for us. ings, see Olver (1974, p.26). The reader can now make sense of the previous examples.

The Legendre polynomial (see the dis-

expansion is an asymptotic expansion with respect to the s c a l e ~ - - ~

cussion in section 6) and the inverse central factorial series (3) is asymptotic with scale {n-l-2k}. 3. Choice of scale, an example This example shows how a change of asymptotic scale can make an intractable problem easy. I wish to find an asymptotic expansion for the coefficients an in


r(l+t) =

Z n=0

(-I) n an t n,

Itl < i.

I have an = b n + Cn, bn = (-l)n n'

1 I

e -t

(n t) n dt,

(-l)n cn = ~

e -t (Zn t) n dt.

Expanding gives b

-t . in its = E k= 0

Taylor series in the first integral and integrating


(-l)k k~(k+l)n+l series, with scale ~k = (k+l)-n since 1 ~ I e (K+2) n+l - o ~ K + I ) -n]

But this is also an asymptotic K (-i) k E k=O k!(k+l) n+l


In the integral for c , using the fact that 2t n ~n t ~ - - ~ - , i < t ~ ~, shows


and so a n ~ Z k=O (-l)k k: (k+l) n+l (1974) from a general theory. (but not to Cn~). see section 5, on the integral ; { (k+l) -n } ,

the same result obtained by Riekstins It is interesting

that the series converges

Another approach is to use Laplace's method, (-I) n n!


an =


(~n t) n dt.

The location of the critical of a transcendental equation

point t* depends on the large parameter,

and is the root

t* n t* = n. Everything can be carefully estimated, but when all is said and done, it is hardly

possible to give more than the first one or two terms of the expansion.


4z Algebraic The result generalized Theorem:

and logarithmic called Watson's


; Laplace

transforms the first of a large number transform. of

lemma is historically theorems


and final value lena)

for the Laplace


Let ~ > 0, R e B

> -i, and k ak t~ t *O + .

f ~

Z k=0

Let f exist for some z. Then % Z k=O a k r ( ~ + B +I) k --+ B + I , z ~ = in Sh.

The applications For example, if I(z) = [ ezh(t) ~F where g,h c ~ ( B ) , g(t)dt , of Watson's lemma are many. For a discussion, see Olver (1974).

F c B, then the method primarily points.

of steepest



that the value in B I

of I for large z is determined

by the values

of h near those points

where h' (t) = O, called critical will not give conditions,

Assume h has just one critical (again, see Olver (1974))


which are difficult

but the gen-

eral idea is to make the substitution h(t) - h(t*) = (t-t*) 2 h''(t*) 2 + ... = -w 2 ,

h''(t*) This transformation is at least locally

< O. so in a neighbourhood of 0


t = t* + [-2/h''(t*)] w + .... One would expect the major contribution to I to occur at w = O. Thus

l(z) % ezh(t*) [--2/h''(t*)]~ I~




e zh(t*) [-2/h' ' (t*)]

Z C2k F(k+)z k=O

-k-I 2,
Z -> oo

in SA ,

where u(w) = Co+ClW+C2W2 + .... , lul < 6.


In his first paper cept of an asymptotic Laplace transform,

in the area of asymptotics scale to handle other



introduces theorems

the confor the paper.

initial and final value alluded


the result mysteriously


to in the Aitken Generally

This work is sun,ned up and vastly extended if {#k } is an asymptotic sequence as t 0

in his 1961 paper.

speaking, sequence as

, then {$k } is an asymptotic

z ~ in SA and vice versa. then {~n } is an asymptotic paper, Erd~lyi states paper.


And if ($ k } is an asymptotic sequence as t ~ in R and vice versa. showing when this is true, of course,

as z ~ O + in R, In the latter a result bet-

2 theorems

and correcting

in the earlier ween asymptotic

Such a relationship, for f and for f.


a correspondence


We quote two of the main results: Theorem: (generalized initial value and 0 +. theorem)

Let O < Re~ < Re~ I < .... ~k-I


f ~

E fk ; {t k=O

} , t

Let f, fk' k = 0,1',2,..., Then (7) Theorem: ~ ~ E fl& k=O

exist for some z.

; {z


} ,

z ~ in some SA.


final value > O and k-l}


Let Re% > Re% I > ... (8) f ~

Z fk ; {t k=O

t ~

in R +.

Let f, fk' k = O,1,2,..., Then (9) f %

exist for each z > O.

Z ~k ; {z k=O


, z 0 in some SA.

The word "some" preceding formulation Specific

each SA is a bother.

But Erd~lyi

gives an alternative

in terms of the scale { (Re z) examples f ~ are:

k} for which

(8) and (9) hold in any S A.


E Ck(l-e-t)k k=O

; {tk},t 0 +

E k~Ck/Z(z+l)...(z+k); k=O (this is a factorial series;

{z -k}

z -~ ~ in some SA

see the footnote







E k=O E k=O



t + 0+



{z -k-1 } z +

in some SA

f ~ (12) ~

I k=O E k=O

t Ck(2 sinh 7) 2k ; {t 2k} , t +

O+ ; -2k-l~ ~, z ~

(2k) l Ck/(Z-k)(z-k+l)...(z+k)

; {z

in some S A.

Next, Erd~lyi gives a general theorem, similar to (6) - (7), for asymptotic expansions with respect to the scales {(in t) Bk t ~k-l} and {(in z) ~k z -~k} . orem generalizes a number of results given in Doetsch (1950-1956). Watson's lermna. The books by This the-

Many authors have discussed other generalizatio~of Olver (1974), Bleistein and Handelsman above provide much information.

(1975) and the Doetsch volumes referenced

Of special interest are two early papers by van der

Corput (1934, 1938) where integrals of the form ib e x h(t)-yt


(t-a) -% g(t)dt,
x-~ , y-~ ,

are treated, and also a much longer survey article (1955,56) by the same author. also vander Waerden (1951), and Wong and Wyman (1972).


For a discussion of the numerical error involved in using Poincare type asymptotic series, Olver's book (1974) is excellent. 5. Darboux's method Let f e ~(0). (13) f = It is no loss of generality here to assume f e ~(U) at least, so See also the recent paper by Pittnauer (1973).

Z fn tn' Itl < I. n=O An important problem is:how does f behave as n ~ ?


If f is entire the problem is

usually handled on an ad hoc basis by applying the method of steepest descents, or one of its variants, (14) fn

to the integral I ~ [ f(t) ~ -r t dt, Such an approach does not usually yield a complete

where F c U is homotopic to C.

expansion, and the details may be very messy. The kind of argument used is well-illustrated p. 329) where f(t) = exp[et]. f = Pe Q, P,Q polynomials. in an example given by Olver (1974,

P~lya (1922) gave the lead term for fn when

The case f = eQ, Q a polynomial, was more fully treated by to earlier work. (1968). Other examples Often the asymptotic

Moser and Wyman (1956, 1957), who give references

have been given by Rubin (1967) and Harris and Schoenfeld formulasobtained

from (14) depend in complicated ways on the roots of transcendental


equations involving n and seldom is it possible to do more than derive a leading term for f n On the other hand, when f has singularities on the circle of convergence and a function g can be found which matches the behaviour of f at these points and whose Taylor's series coefficients gn are known, then a very elegant method due to Darboux In practice, what / results is often a complete asymptotic description, but not one of Poincare type, for f . Since Darboux's method has not received full attention in any of the available n texts on asymptotics and is a rich source of general asymptotic expansions, I will discuss it in some detail. Let f c ~ ( U ) and put (1878) provides an asymptotic estimate of fn in terms of gn"

M(f,r) = I~-~ I ~ I Definition: If lira M(f,r) < o~ rl then we say f ~ H 2

f( 1 reiO) 12d0}'2,

0 < r < I.

(the Hardy class H2).

Example: Let f = h(~-t) O, ~ e C, then f g H 2. Definition: Let f, g g ~(U) and for a fixed m = 0,1,2,..., f(m) - g(m) E H 2 . a comparison function of order m (to f). In what follows let g = E n=O gn tn" Then g is called Re o > -I, h E ~(U);


(Darboux's method)

Let g be a comparison function of order m to f. Then (15) Proof: fn = gn + (n-m)' n ~. I may write I 2~i(n_m+l) m I CR h(m)(t) dt tn+l.m ,


fn-g n

h = f-g, O<R<I,


But the radial limit of h (m) exists almost everywhere and eL2(C), see Rudin (1966, p.366). Thus the integral on the right of(16) maybe expressed as an integral around C

(again, see Rudin). The use of the Riemann-Lebesgue l e n a then gives the theorem. A simple but important case is when the singularities of f on C are finite and algebraic in nature, so (17) f

Z k=O

ak(r) (I

t) r

Br+kY r
' ~ ~ C,

r = 1,2,...,R;

Re m r > O,

t near ~r ,t and the ~r are distinct.

Then the function formed by adding together the first (K+I) terms of each of the R series (17) will be a comparison function of order m provided (18) m < + min {(K+I) Rear + Re8 r}

I have thus demonstrated Szeg~'s result (1959, p.205) it. Theorem: (Darboux's method for algebraic singularities) Let f be as in (17). Then (19) fn = K R Z k=O r=l ~r)~r+~Tr)(_~r)-n + o(n-m)

for all m satisfying (18). It is easy to show this formula is uniform for ~ = (el,~2 .... ,=k) e ~[whenever ~ i s a Cartesian product of compact disjoint subsets of ~. The general term of the sum in (19) is [( r)] -k~r-Br-I Br + ~Y = O(n ), 0 n but we have no way of interpreting the formula in terms of Pozncare s definition of an asymptotic series. However when K -~ ~ the series yields an asymptotic expansion in -Pk }~Pk = l+min{k ReYr+ReBr}. r (The reader will verify this is, in fact, an asymptotic scale, since Rey r > O).

Erdedlyi's mare generalized sense with respectto the scale {n

Formula (19) has been very fruitful in classical analysis.

It provides asymptotic

expansions for the Jacobi polynomials (SzegS, (1959)), the generalized Bernoulli polynomials, and even for more exotic polynomials, such as the Pollaczek polynomials,

For this expansion, we make the branch cut along B =[~r' ~ r ] " t s Ud(~r), t ~ B.

Thus (17) holds for

tt There is a minor error in this reference.


P% (x; a,b), Szeg~ (1959, p.390). Darboux himself (1878) originally applied his n method to the Legendre polynomials. Darboux's method says if we can solve the problem of finding an asymptotic formula for the Taylor coefficients of a comparison function, we can find, to within algebraic for f. This sometimes suffices to describe f n

terms, the Taylor coefficients completely.

An enormous amount of work has been done on deriving asymptotic formula for gn for certain typical g. C is exp {%/(l-t)}. One of the simplest functions having an essential singularity on

Perron (1914), in fact, considered the function (l-t)-aexp{%/(l-t)} Wright (1932) gave the complete asymptotic develop-

and gave the leading term of gn" ment.

Perron generalized his own work in (1920) to find that if (l-t) -a ~Qa;c l--%t) = n ~0 gnt ' n then gn = ~ F(c) 1 X[I + O(n- ")j. Faber (1922), Ha~sler (1930), Wright (1933, 1949) continued this kind of research, I %4 c 2 % 2 % > O,

c 3 a - ~ - ~ %~n 2 e

the last reference giving the leading term of gn for the very general g(t) = (l-t)-a[n(l-t)] b eP(t) h(t), where h ~ ~(U),

h(1) # O, and

e(t) = m=l

(l-t) dm

Recently, Wong and Wyman (1974) have done work on functions with logarithmic singu ~ larities on the circle of convergence. Suprisingly, mathematicians have obtained results even in cases where f has singu-

larities which are dense on C, i.e. when the unit circle is a natural boundary for f, Such cases are of great interest to number theoreticians. (1937), Ingham (1941), Szekeres have contributed work, Uspensky (1920), Rademacher

(1953), and Bender (1974) are some of the workers who In particular, I want to talk about Rademacher's

to this research.

since many analysts

seem to be unfamiliar with it, though it is one of the

triumphs of analytic number theory and a tour de force of complex analysis. Let Pn be the number of ways n can be written as a sum of positive integers $ n, Po = I, Pl = I. and Then the infinite product I write below converges for It] < 1


f(t) =

H (l-tJ) -I = E pn t , j =i n=O

Itl < i.

see Rademacher


Clearly, C is a natural boundary for f. Rademacher (1918).


the previous ,~ork of Hardy and Ramanujan

He integrates Cauchy's integral

(14) over a doubly indexed sequence of so-called Farey arcs adjoining a circle which approaches the unit circle from the inside. His analysis involves the transformation but

theory of modular functions and a lot of bone breaking estimates of integrals, the result is worth it. (20) Pn = ~ I He finds k d -I sinh )',_ C = , N = (n - ~ ~i

kZl A~,n

The Ak, n are bounded functions of n,

= ~ e



h mod k ~h,k (h,k) = i

where ~h,k is a 24k th root of unity. The series (20) is asymptotic in n (perhaps the reader can verify a scale is N-2e cN/k) and also convergent, can thus be used to compute Pn" a very unusual feature in series derived this way, It

In fact Rademacher computes exact values of P599 and

P721 and shows they agree with earlier estimates baked on the work of Hardy and Ramanuj an. What about uniform asymptotic expansions? ~ ~C ~P, In other words, if f E f(t,~),

can Darboux's method be made to yield expansions which are uniform for A typical question is, what happens if
= C

all interesting choices o f ~ ?

~[i = ~ 2 = "'" =~r

in (19)?

As the reader may suspect, such questions are very difficult to answer, and

the requirement of uniformity of the expansion in a parameter set invariably raises the hierarchy of the base functions in the expansion for f . See Olver's very nice n (1975) discussion of this "you-can't-get-something-for-nothing" principle of asymptotic analysis. The only effort I know in this area is the substantial work of Fields ~968),

who treats the case when f in (19) has two singularities which are allowed to coalesce. Finally, can anything at all be said when f belongs to some general class of funcSurprisingly,

tions more interesting than just those with algebraic singularities? yes. Hayman (1956), Wyman (1959), and Harris and Schoenfeld

(1968) have all worked on are The authors

the problem of defining what general properties of classes of functions ~ , adequate to enable one to make asymptotic statements about fn for f g ~ . call the elements of ~ admissible functions.

In any case, the properties of ~-f are on the growth indicators

not easy to describe, but generally they involve restrictions of the elements.


6. Higher transcendental

scale s

Let us return to the problem of estimating (21) I(z) = [ ezh(t'~) g(t)dt, ~p ~ e~C~ P.

It would seem that if I could do the analysis for certain simple representative

choices those

of h then I have really solved the problem for a wide class of integrals, namely, which can be reduced to the representative

form by a change of variable, just as the

method of steepest descents enabled me to reduce an integral with one stationary critical point to an integral which could be handled by Watson's lemma (h(t) = t). The simplest function having a movable critical point is h(t,~) = st + t2, and the representative I(z) = integral is g(t)dt.

=o e_Z (~t+t2)

Assume L~. = [O,r] for some r > O.


If g can be expanded in a series


E gk tk, k=O

Itl <~,

then termwise integration generates the expansion



E k=O fk =

gk fk'


~ e_ z (at+t 2)

tk dt.

St seems fk cannot itself be uniformly estimated in ~Lby simpler functions. this is to be expected: as the requirements


of uniformity of the approximation or

the dimensionality of the parameter space ~ p increase, so will the complexity of the base functions involved in the asymptotic expansion. Nevertheless, the functions fk can be considered known. They can be expressed in

terms of parabolic cylinder functions.

Integration by parts shows they satisfy a 3-

term recurrence relation, and they can be very easily generated on a computer by applying the Miller algorithm,(see Wimp (1970) and the references given there.) have 2zfk+ 2 + z~fk+ 1 - (k+l)f k = O, k = O,1,2, ..... We

A possible normalization relationship for the application of the Miller algorithm is


k Z k=0 Furthermore z f2k (2k)~ I z~

~ > 0,

F(k_k_k_k~l)e ,,7 2 fk 2z k+l



~I + O(k-)]

k ~,

and using this I can show if ~ E (0,~) the Miller algorithm for the computation of fk will converge for z e SAOne would expect the expansion (22) to be of Polncare type since Theorem:

fk is a uniform



in a as z ~ in R .

Pf : Let t = t*(l+u) where t~ satisfies 2zt ~2 + ~zt*-k = 0,


I [//2 t* = ~ 4 I get

8k +--z


Ik = ~k -I

l+u) e


~k = (t*)k+l e

-~zt*-zt .2

= 4k/E(a2z+4k) + ~z Ja2z + 8k],



Thus the integral above may be bounded and bounded away from zero uniformly in ~ and z, so it follows that fk+l fk 7 '

z ~ ~ > O,

independent of a and z. Rather than show for which conditions the expansion C22) is a Polncare expansion, I will use an asymptotic scale simpler than fk (but still uniform i n k ) . result is in Erdeflyi (1970). Theorem: Let g e ~(0) and let I exist for some z > 0 and all ~ e ~ then I ~ ~ ~g~ fk ; {(~z + 2/~z)-k} , z + ~ in R +. k--O The following


I have taken T = ~ in Erdelyl's result, and also assumed g independent of z. Note that the absolute convergence of the Lebesgue integral guarantees that his hypothesis (d) is satisfied, as an integration by parts of -(z-z o)(~t+t 2) e

it G(t)dt, G(t) =

-z (~u+u2) e o

g(u) du

will show. For additional material on other such expansions, see Erd~lyi (1974). The next level of difficulty is encountered when h in the integral (21) has two movable critical points, the dimension of the parameter s p a c e ~ still being I: (24) h(t,~) = a(~)t + b(~)t 2 + t3, e ~ ~.

Under suitable conditions l(z) may be expressed as a sum of two asymptotic series with scales 2 Ai(cz ~) 2k

2 Ai'(cz ~) 2k


respectively, where c depends on ~ and Ai, Ai' are Airy functions. They may be i expressed in terms of modified Bessel functions of the second kind, order ~ and 2 order 7' respectively, see Olver (1974, p.392 ff.) An analysis of integrals which can be reduced to this form by a change of variable constitutes the famous method of Chester, Friedman and Ursell (1957), (CFU). For an

exposition of this method, see the survey by Jones (1972) orOlver (1974).

Olver~ in

a series of papers that are now considered classics (1954a, 1954b, 1956, 1958) encountered their same functions in determining asymptotic expansions for the solutions of sound order linear differential equations with large parameter in the neighbourhood of a turning point. For those functions to which it applies, Olver's The CFU

theory has the advantage that z may approach ~ in sectors SA other than R.

theory establishes a nice relationship between the asymptotic expansion of integrals and the asymptotic expansion of the solutions of differential equations. Determining the precise s-region of uniformity of the CFU expansions, and finding conditions guaranteeing that an integral may be transformed into one which can be handled by the CFU technique are very difficult problems, and Ursell devoted two subsequent papers to these investigations (1965, 1970). At least the base functions

in the expansion, the Airy functions (25) are well understood and can be easily calculated on modern computers. If one wants to analyze the integral l(z) = Ipe-ZH(w'~ ) G(w,~)dw



where H is to be transformed into the general polynomial h(t,~) = ~i t + ~2 t2 + ... + ~ tp + tp+I, p then one will have to live with incomplete results; (25) to the representative integral f= ~ = (~i,~2 .... ,~p ),

justifying the reduction of

Jo e-Zh(t'~)


involves difficult-to-verify hypotheses, and some of the work is only formal. who have treated this problem are Bleistein (1966, 1967) and Ursell (1972). case the base functions are called generalized Airy functions.

Authors In this

They satisfy a

differential equation of order p+l (see Bleisten (1967)), possess an asymptotic expansion in z (Levey and Felsen (1969)) and the techniques Wimp uses on similar integrals (1969) will work to show the functions satisfy a(p+2) term recursion relationship to which the Miller algorithm can be applied to compute the functions. The real

problem, though, is not the analyzing the properties of the base functions, but justifying the transformation of the given integral to representative form. Obviously, precise information about the asymptotic expansion of the very general integral l(z) = IrH(z,t,g)dt

is even more fragmentary. special results available.

For integrals such as these, there are a large number of Often it is assumed that z is real, and F = ~ 0 , ~ , and Over the last decade an

often the integral is analyzed by transform methods.

enormous number of relevant articles by E. Riekstins and other authors have appeared in the somewhat obscure publication Latvian Mathematical Yearbook. book See also the

(1974) by Riekstins, the book by Bleistein and Handelsman (1975) and papers by It is my

the authors Handelsman, Lew and Bleistein (1969, 1971, 1972, 1973).

personal feeling that a unified treatment of such integrals will involve a large number of complex and all but unverifiable hypotheses on the function H. Perhaps

the whole of asymptotic analysis of integrals (the same could be said of differential equations and difference equations) has reached the point of diminishing returns. The physicist waves his hands and obtains an asymptotic expression which he uses with confidence because he "knows" it must be ture. For difficult problems the mathematPerhaps for those problems -

ician has no way of codifying the physicist's intuition.

say, integrals with coalescing multiple critical points and singularities - we are couching the answer in the wrong terms, and it is tempting to hope that there might exist a choice of base functions - such as in the example in section make the impossible easy. 3 - that would


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