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Harish Kumar
hkumar@iitd.ac.in
Department of Mathematics,
Indian Institute of Technology,
Delhi
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 1 / 55
Definition
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 3 / 55
Definition (cont.)
Also Consider:
Definition
Piecewise Continuous: A function f is said to be piecewise continuous
on domain D if f is continuous on D except on a countable set S on
which it has jump discontinuity.
[ stlfctydt.cm/e-stedtdt--Mf?e-CEdtdt
=
I f*e Stf ) e-
# de
-
Lcf] is ) converges
.
it s > a.
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 4 / 55
Important Remark
Remark
In the following, we will not explicitly specify that f is exponential order
-
but we will always assume it, whenever we need to define its Laplace
transform.
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 5 / 55
Example:
Consider f (t) = e ↵t which is exponential order. Laplace transform of it is
calculated as follows:
Z 1
1
↵t
L[e ](s) = e st e ↵t dt = , s > ↵.
0 s ↵
S > L
For ↵ = 0 we have
1
L[1](s) = .
s
=
570
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 6 / 55
Linearity
Theorem
The operator L is linear i.e.,
-
Proof.
Z 1
st
L[af (t) + bg (t)](s) = e (af (t) + bg (t))dt
0
Z 1 Z 1
st st
=a e f (t)dt + b e g (t)dt = aL[f ](s) + bL[g ](s).
0 0
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 7 / 55
Linearity (cont.)
Example
Laplace transform of hyperbolic functions cosh(at) and sinh(at):
1 at at 1 at at
cosh(at) = (e + e ), sinh(at) = (e e )
2 2
✓ ◆
17-0
1 1 1 1 s
L[cosh(at)] = (L[e at ] + L[e at
]) = + = ,
2 2 s a s +a a s2 2
II. w
✓ ◆
☒
1 1 1 1 a
L[sinh(at)] = (L[e at ]oL[e at
]) = = .
2 2 s a s +a s2 a2
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 8 / 55
Linearity (cont.)
Example
Laplace transform of Trigonometric function sin(at) and cos(at): -
-
parts, Z 1
st
Lc = L[cos(at)] =
-
e cos(at)dt
=
I
0 soo
e st 1
a
Z 1
st 1 a ⑤
= cos(at) e sin(at)dt = Ls
s -
0 s 0 s s
=
Similarly,
a
Ls = Lc
s
T
s a
Lc = , Ls = .
s2 + a2 s2 + a2
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 9 / 55
Di↵erentiation of Laplace transform
Theorem
( Skl
Suppose f is of exponential order, then in its region of convergence
F (s) = L[f (t)](s) is di↵erentiable infinitely many times at each point and
-
=
" "
Proof.
Z 1 Z 1
;
d d
F 0 (s) = e st
f (t)dt = f (t) (e st
)dt = L[tf (t)](s).
=
ds 0 0 = ds =
= =
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 10 / 55
Integration of Laplace transform
Theorem
If F = L[f ] then, Z 1
-
-
f (t)
L = F (s1 )ds1 .
t s
Proof.
Z 1 Z 1 Z 1 Z 1 Z 1
s1 t s1 t
F (s1 )ds1 = e f (t)dt ds1 = f (t) e ds1 dt.
s s 0 .
0 =
s
-
-
Z 1
st f (t) f (t)
= e dt = L .
0 -
t t
=
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 11 / 55
Laplace Transform of Derivatives of a Function
Theorem
Suppose
#
f is di↵erentiable for t 0 and of exponential order. If L[f 0 ] is
=
I
L[f 0 (t)](s) = sL[f (t)](s) f (0).
=
f- lol F- LEFT
Lcf ]
'
us -
- S fest -
Proof. =
? =
= o
By definition we have,
f. Gifts ] :
- Moo)
Z
x④¥I=s=
1
L[f 0 (t)](s) = e st 0
f (t)dt
= 0
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 12 / 55
Laplace Transform of Derivatives of a Function
(cont.)
Corollary
Now repeating this process n times we get,
2 0
L[f (n) (t)](s) = s n L[f ] sn 1
f (0) sn f (0) ··· f (n 1)
(0).
=
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 13 / 55
Laplace Transform of Integration of a Function
Theorem
Z t
L[f ]
L f (⌧ )d⌧ =
0 s
Proof. Rt
Define g (t) = 0 f (⌧ )d⌧ , then g (0) = 0 and g is di↵erentiable with
-
=
Z Z
#
t t
#
M ↵t M ↵t
|g (t)| |f (⌧ )|d⌧ M e ↵⌧
==
d⌧ = (e 1) e .
-
0 0 ↵ ↵
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 14 / 55
From these result we will now derive the following properties of Laplace
transform:
LCH -
-
Fcs )
Theorem t
L fit D= Fcs -
H
L[eO
↵t
f ](s) = L[f ](s -
↵)
O
Proof.
Z 1 Z 1
st (s ↵)t
L[e ↵t f ](s) = e ↵t e f (t)dt = e f (t)dt = L[f ](s ↵).
0 0
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 15 / 55
Laplace Transform of Various Functions
↳
!
12 e at sin(!t) (s a)2 +a2
( wt )
Table 1: Laplace transform of some functions
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 16 / 55
Heaviside function
ta
-
A -
then Z Z
-
o
1 1 as
e
YI
st st Holt ) Ho
L[Ha (t)] = e Ha (t)dt = e dt =
-
0 a s
*
Hao CHI L
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 18 / 55
Characteristic function
x#
{ to Is
Similarly, consider the Characteristic function,
8
>
<0, if t < a, f-
[a,b] (t) = 1, if a t b,
- >
:=
0, if t > b.
-
na
-
. . .
a c b
Laplace transform:
Z 1 Z b bs as
e e
i
st st
L[ [a,b] (t)](s) = e [a,b] dt = e dt = +
= 0 a - s s
-
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 19 / 55
Shifted function
(
0, if t < a,
f˜(t) = f (t a)Ha (t) = = =
f (t a) if t a,
F- ⇐
t.EE . Hi
Ho )
f- It !!
-
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 20 / 55
Shifted function (cont.)
Theorem
Let f (t) be an function which satisfied (2) and F (s) = L[f ](s). Consider
the shifted function
(
0, if t < a,
f (t) =°
˜ f (t a)Ha (t) =
f (t a) if t a,
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 21 / 55
Shifted function (cont.)
Proof.
Z 1 Z 1
=D
as st
L[f (t a)Ha (t)] = e f (t a)Ha (t)dt = e -
-
f (t a)dt.
=
- 0 o
a
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 22 / 55
Shifted function (cont.)
t tf hit I
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 23 / 55
Example:
Find the Laplace transform of the following function:
8
>
<2, if 0 < t < 1,
¥
f (t) = 12 t 2 , if 1 < t < ⇡/2,
.÷a
>
:
cos(t), if t > ⇡/2.
f (t) = 2(1 H1 (t)) + t 2 (H1 (t) H⇡/2 (t)) + H⇡/2 (t) cos(t)
= 2
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 24 / 55
Now using the Linearity of Laplace transform, we get,
1 ⇥ ⇤ 1 ⇥ 2 ⇤ ⇥ ⇤
L[f ] = 2L [1 H1 (t)] + L t 2 H1 (t) L t H⇡/2 (t) + L H⇡/2 cos(t)
2 2
=\,
= =
I
Now,
s
2(1 e )
2L [1 H1 (t)] =
- s
and
ta ✓ ◆
1 ⇥ 2 ⇤ 1 1 1 1
L t H1 (t) = e L (t + 1)2 = e s
+ 2+ .
Ox
2 -
2 s2 s 2s
Similarly,
①← Ice
✓ ◆
1 ⇥ ⇤ 1 ⇡ ⇡2 '
I L H⇡/2 t 2 = e ⇡s/2
+ + . -
ans
2 s3 2s 2 8s
Now,
O L[cos(t + ⇡/2)] =
⇡s/2 ⇡s/2 1 -
L[H⇡/2 (t) cos(t)] = e e .
- - = 1 + s2
=
Combing all the terms we get the Laplace transform of f .
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 25 / 55
Dirac Delta ”Function”I
=
(
1
if a t a + k,
-0
fk (t a) = k
0, otherwise.
P%
'
f:
a
it
÷
-
-
-
I
.
÷ .
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 26 / 55
Dirac Delta ”Function” (cont.)
Note that, Z 1
Ik = fk (t a)dt = 1, 8k
0 -
(t a) = lim fk (t a),
= k!0
=
which gives, (
1, if t = a,
g¥
(t a) =
0, otherwise.
and Z 1
Hdt
(t a)dt = 1.
0
f- Mdt
imf
a)
ful t
-
-
-
le
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 27 / 55
Dirac Delta ”Function” (cont.)
Z 1 =
Ig
0 ,
→
Z 1 Z 1
g (t) (t a)dt = lim fk (t a)g (t)dt.
0 k!0 0
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 28 / 55
L. T. of Dirac ”Function”
§ Jagathy
dt st
[ felt HI stfu It a)
-
=
f.
-
at
-
e
-
Note that
ks
as 1 e
L[fk (t a)] = e are
=
= ks
#€
So, we define,
as
L[ (t a)] = lim L[fk (t a)] = e .
k!0
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 29 / 55
Consider a IVP with constant coefficients,
DO
x 00 (t) + ax 0 (t) + bx(t) = g (t), x(0) = x0 . x 0 (0) = x1 .
X (s) =
sx0 + x1 + ax0 G (s)
s 2 + as + b
. →
1
w¥d_
f- [✗ I =
¥
-
✗ is)
if Lexx]
=
Solution x(t) is,
s⇐÷
1 1 sx0 + x1 + A-
ax0 G (s)
x(t) = L [X (s)] = L .
¥#
s 2 + as + b
=
gkfH1
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 42 / 55
Inverse L. T.: Well Defined?
Lcf ] =
Icg]
L well defined
Important Question: if true , f
-
is
f- I G .
Let f and g are two functions such that there Laplace transform is same.
What can be wait about these functions ? are they equal. This question
is answered in the following result:
Theorem
Let f , g are two piecewise continuous on [0, 1) and satisfy (2). If
=
L[f ] = L[g ] on their common region of convergence, then f (t) = g (t),
for all t 0 except at countable number of points. Furthermore, if f and
g are continuous then f (t) = g (t) for all t 0.
{ Sg e stay # It
-
we
§ ) e-
*'
dt f- 9 )
fit continuous
o
(
-
⇐
f. and gave
-
, mummy
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 31 / 55
Definition
Let F (s) is a given function. If there exists a function f (t) such that
L[f ](s) exists and F (s) = L[f ](s), we say Fofis inverse Laplace transform
of f and denote, f (t) = L 1 [F (s)](t) or simply L 1 [F ] = f . .
¥ #
Example: Itt
←
f-
As L[Ha (t)] = e as /s, implies L
Font
1 as
[e /s] = Ha (t).
of discontinuity
- -
sa
Linearity of Inverse L.T. -
y,
1
Note that as L is linear operator, it follows immediately that L is also
linear i.e.
1 1 1
L [aF (s) + bG (s)] = aL [F (s)] + bL [G ].
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 32 / 55
Also note the following results:
I
1
L [F (s ↵)] = e ↵t f (t)
I Z ⌧
1 F (s)
L = f (⌧ )d⌧
s 0
I
1 ↵s
L [e F (s)] = H↵ (t)f (t a)
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 33 / 55
Some useful Inverse Laplace Transform:
S. No. F (s) L 1 [F ]
1 1
1 (s 2 +↵2 )2✓ 2↵2 (sin(↵t)
¥-00
↵t cos(↵t))
←
→
(
s t
2 2
(s +↵ )
-
2 2 2↵ sin(↵t)-
s2 1
3 (s 2 +↵2 )2 2↵ (sin(↵t) + ↵t cos(↵t))
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 34 / 55
When solving for linear ODEs we will encounter several functions of the
O
form P(s)/Q(s) where P and Q are polynomial such that degree of P is
less then degree of Q. We need to take their inverse Laplace transform.
This can be done via the following results:
Theorem
Let P(s) and Q(s) be polynomial of degree n and m respectively such
that n < m. If Q has m simple roots 1 , · · · m , then
X P( i ) m
1 P(s) it
L = e
Q(s) 1
Q 0( i )
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 35 / 55
Convolution
Definition
The convolution of f (t) and g (t), denoted by f ⇤ g , is the function define
-
- -
-
as, Z t
f ⇤ g (t) =
O=
f (t ✓)g (✓)d✓
0
2.
f ⇤ (g1 + g2 ) = f ⇤ g1 + f ⇤ g2
-
- -
3.
←
(f ⇤ g ) ⇤ h = f ⇤ (g ⇤ h)
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 36 / 55
Convolution (cont.)
4.
f ⇤0=0⇤f =0
- - -
5.
1 ⇤ f = f ⇤ 1 6= f
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 37 / 55
Convolution and L.T.
Theorem
Let f , g be piecewise continuous function of exponential order and
F (s) = L[f ] and G (s) = L[g ], then
= =
If
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 38 / 55
Convolution and L.T. (cont.)
Proof:
Z 1 Z 1
s s⌧
F (s)G (s) = f ( )e
-
d f (⌧ )e
9 -
d⌧
0 0
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 39 / 55
Convolution and L.T. (cont.)
-
t
÷÷t
z -
Z 1 Z t
st
F (s)G (s) = f (t ⌧ )g (⌧ )e d⌧ dt
0 0
Z Z
A.
1 t
st
= f (t ⌧ )g (⌧ )d⌧ e -
dt = L[f ⇤ g ]
0 0 -
-
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 40 / 55
Consider a IVP with constant coefficients,
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 42 / 55
Example: Consider the IVP,
x 00 (t) + x(t) = g (t), x(0) = 0, x 0 (0) = k.
-5¥
- - -
We get,
k + G (s)
X (s) = .
s2 + 1
So, I 8M
→
k G (s) G (s)
¥4
1 1 1
x(t) = L +L = k sin(t) + L .
-
s2 + 1
.
-
s 2I
+1 -
s2 + 1
-
*
,
Inverse Laplace transform of F (s) = 1/(s 2 + 1) is sin(t). Using the
convolution property,
Z t
1 G (s) GH Asin H
L = sin(t ✓)g (✓)d✓,
s2 + 1 0
#
which gives, Z t
x(t) = k sin(t) + sin(t ✓)g (✓)d✓.
0
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 43 / 55
Higher Order ODEs with Constant Coefficients
0
x (n) +a1 x (n 1)
· · ·+an 1x +an x = g (t), x(0) = x0 , · · · x (n 1)
(0)xn 1.
s n X (s) sn 1
x0 sn 2
x1 ··· xn 1 + · · · an X (s) = G (s),
where
and
=
:-#
P(s) = s n + a1 s n 1
+ · · · + an 1s + an
Q(s) = s n = 1
x0 + s n 2
x1 + · · · + a n 2 (sx0 + x1 ) + a n 1 x0 .
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 44 / 55
Solving for X (s) gives,
X (s) =
G (s) + Q(s)
-
P(s)
, - 9¥ .
I
.
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 45 / 55
Linear ODE with variable coefficients:
-
÷÷÷
Note that,
d dX
L[tx 0 (t)] = [sX x0 ] = X s .
ds ds
Similarly,
dX
L(tx 00 ) = 2sX
. s2
ds
In fact, if the coefficient are of the form at + b, taking Laplace transform
results in first order ODE of X (s). Solving this ODE and taking inverse
Laplace transform results in the solution.
Consider the IVP,
± 00
x + tx = 0, x(0) = 0, x 0 (0) = b.
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 46 / 55
So, we get,
X 0 (s) s 2 X (s) = b.
T
This a linear ODE which can be easily solved by method of integrating
factor. Then taking the inverse Laplace transform results in the
solution.
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 47 / 55
Generalized Solutions
I In all the theory discussed so far for ODE we have always assumed
that coefficient and the forcing terms are atleast continuous.
I However, in several practical problems we have to consider the
forcing which are not continuous or not even function (e.g. Dirac -
situations.
I However, the solution we get may not be of desired smoothness. For
example solution of second order may not be C 2 . These solutions -
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 48 / 55
Generalized Solutions (cont.)
Example 1:
Consider the IVP,
¥7
T.EE
x 00 + 3x 0 + 2x = H1 (t)
1
x(0) = 0, x 0 (0) = 0.
.
s 2 X + 3sX + 2X = (e s e 2s )
-
s =
"
E e÷÷
which gives,
e s e 2s
X (s) = .
s(s 2 + 3s + 2)
Now using partial fractions,
1 1 1 1
= + .
s(s 2 + 3s + 2) 2s s + 1 2(s + 2)
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 49 / 55
Generalized Solutions (cont.)
So,
① 1 1 1 1
f (t) = L = e t + e 2t .
s(s 2 + 3s + 2) 2
a
2
-
1
= e (t 1)
+ 12 e 2(t 1) if 1 < t < 2,
>2
: (t 1) 1 2(t 1) (t 2) 1 2(t 2)
e + 2e + e 2e -
if t > 2. t & =
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 50 / 55
Generalized Solutions (cont.)
Example 2:✓
Instead of Heaviside function on right if we take (t 1) then we
get,
ES
x 00 + 3x 0 + 2x = (t 1), x(0) = 0, x 0 (0) = 0.
taking Laplace transform we get,
✓ ◆
e s s 1 1
X = 2
=e .
s + 3s + 2 s +1 s +2
=
Inverse Laplace transform gives,
(
1 0, if 0<t<1
x(t) = L [X ] =
e (t
¥:
1) 2(t 1)
=
e , if t > 1.
=
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 51 / 55
System of Equations
¥8,8
x10 = a11 x1 + a12 x2 + g1 (t), -
(a11
-
s)X1 + a12 X2 = x1 (0) G1 (s),
I
-
-
a21 X1 + (a22 -
s)X2 = x2 (0) G2 (s).
[D
which can be written as,
~ = ~ (0) G~ .
I
(A sI )X - -
X -
This is a linear system for X1 and X2 . Solving this we get expression for
..
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 52 / 55
System of Equations (cont.)
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 53 / 55
System of Equations (cont.)
I
Taking inverse Laplace transformation we get,
c
0.12t 0.04t
x1 (t) = 100 62.5e 37.5e ,
0.12t 0.04t
x2 (t) = 100 + 125e 75e .
Harish Kumar Laplace Transform and Di↵erential Equations September 20, 2020 54 / 55