Methods of Mathematical

Physics
-notebook

Zixu Wang

January 30, 2024

Contents

1 ODE-ordinary differential equation 1

1.1 Concept . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 one-order ODE . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2.1 Integral curve solution . . . . . . . . . . . . . . . . . . . . 2
1.2.2 Method of separation of variables . . . . . . . . . . . . . . 3
1.2.3 The general solution of linear ODE . . . . . . . . . . . . . 3
1.2.4 Total differential equation . . . . . . . . . . . . . . . . . . 3
1.2.5 First order differential equations can not be derived in
derivative form . . . . . . . . . . . . . . . . . . . . . . . . 4
1.3 Two-order and more . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.3.1 Depression of order . . . . . . . . . . . . . . . . . . . . . . 4
1.3.2 Homogeneous and linear ODE . . . . . . . . . . . . . . . 5
1.3.3 Nonhomogeneous and linear ODE . . . . . . . . . . . . . 5
1.4 Linear differential equation with constant coefficients . . . . . . . 6
1.4.1 Homogeneous and linear differential equation with con-
stant coefficients . . . . . . . . . . . . . . . . . . . . . . . 6
1.4.2 Nonhomogeneous and linear differential equation with con-
stant coefficients . . . . . . . . . . . . . . . . . . . . . . . 6
1.5 Linear differential equation with non-constant coefficients . . . . 6
1.5.1 Depression of order . . . . . . . . . . . . . . . . . . . . . . 6
1.5.2 Variation coefficient method . . . . . . . . . . . . . . . . . 7
1.5.3 Euler equation . . . . . . . . . . . . . . . . . . . . . . . . 7
1.6 Linear ODE system . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.6.1 Method of elimination . . . . . . . . . . . . . . . . . . . . 8
1.6.2 Linear ODE with constant coefficient . . . . . . . . . . . . 8
1.7 Analytical approximation method for ODE . . . . . . . . . . . . 9
1.7.1 Iteration . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.7.2 Method of perturbation . . . . . . . . . . . . . . . . . . . 9
1.7.3 Multi-scale expansion method . . . . . . . . . . . . . . . . 9

2 Series solutions and special functions of second order ODE 10

2.1 Second order ODE near constant . . . . . . . . . . . . . . . . . . 10
2.2 Second order ODE near singularity . . . . . . . . . . . . . . . . . 10
2.3 Special functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

i
CONTENTS ii

2.3.1 cylinder function . . . . . . . . . . . . . . . . . . . . . . . 11

2.3.2 Relationship . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.3.3 Bessel function of imaginary argument . . . . . . . . . . . 13
2.3.4 Spherical Bessel function . . . . . . . . . . . . . . . . . . 14
2.4 Legendre polynomial . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.4.1 Legendre polynomial . . . . . . . . . . . . . . . . . . . . . 15
2.4.2 Quality . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

3 Hilbert Space and Complete set of orthogonal functions 16

3.1 Completeness of orthonormal function sets and generalized Fourier
series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.2 Fourier series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.3 Sturm-Liouville Problem . . . . . . . . . . . . . . . . . . . . . . . 17
3.3.1 Boundary Problem . . . . . . . . . . . . . . . . . . . . . . 17
3.4 Fourier-Bessel Series . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.5 Fourier-Legendre Series . . . . . . . . . . . . . . . . . . . . . . . 18

4 Fundamentals of mathematical physics equations 19

4.1 Partial differential equation . . . . . . . . . . . . . . . . . . . . . 19
4.2 Some important mathematical physics equations . . . . . . . . . 20
4.2.1 wave equation . . . . . . . . . . . . . . . . . . . . . . . . . 20
4.2.2 Heat equation . . . . . . . . . . . . . . . . . . . . . . . . . 20
4.2.3 Laplace and Poisson Equation . . . . . . . . . . . . . . . . 21
4.2.4 Schrodinger equation . . . . . . . . . . . . . . . . . . . . . 21
4.3 Classification of second order PDE . . . . . . . . . . . . . . . . . 21
4.4 Establishment of Mathematical Physics Problem . . . . . . . . . 21
4.4.1 Initial condition . . . . . . . . . . . . . . . . . . . . . . . 21
4.4.2 Boundary condition . . . . . . . . . . . . . . . . . . . . . 21

5 PDE in rectangular coordinate system 22

6 PDE in polar coordinate system and cylindrical coordinate sys-

tem 23
6.1 Preliminary field theory . . . . . . . . . . . . . . . . . . . . . . . 23
6.2 General Product Solution of Laplace and Helmholtz Equation . . 26

7 PDE in spherical coordinate frame 27

8 Appendix 28
Chapter 1

ODE-ordinary differential
equation

1.1 Concept
• The equation involved with independent variable x and variable y with its
n-order derivative is called the ODE-ordinary differential equation.

F (x, y, y ′ , y ′′ , ..y (n) ) = 0.

• To have a unique solution, the equation always has definite condition:

– Initial conditions Give a initial state at a specific time:

y(x0 ) = y0 , y ′ (x0 ) = y1 , ...y (n−1) (x0 ) = yn−1 ,

called Cauchy problem

– Boundary conditions Give some regulation at some points:

y(x0 ) + h01 y ′ (x0 ) + ...h0,n−1 y (n−1) (x0 ) = u0 ,

y(x1 ) + h11 y ′ (x1 ) + ...h1,n−1 y (n−1) (x1 ) = u1 ,
......

called Boundary problem

• Classification of the solutions

– Explicit solution when y(x) is a explicit function.

– Implicit solution when there is a implicit function.
– General solution when an n-order equation’s solution have n con-
stants.

1
CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 2

– Particular solution when the solution have no constant.

– Singular solution when the solution can not be expressed under
the general solution.
• Qualities of solutions

– existence
– uniqueness
– stability

1.2 one-order ODE

• 
y ′ = G(x, y)
y(x0 ) = y0
is called the one-order ODE with initial condition.
∂G
• Theorem When G and ∂y is continuous of x and y, then the solution is
existing and unique.

1.2.1 Integral curve solution

Figure 1.1:

• Specially, when G is independent with x, call it First-order Autonomous

ODE. The solution of G(y) = 0 is also the solution of the ODE.
CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 3

1.2.2 Method of separation of variables

dy
• = g(x)h(y)
dx
dy
⇒ = g(x)dx
h(y)

dy
• = f (ax + by)
dx
⇒ z = ax + by
Z
dz
⇒x= + C.
bf (z) + a

dy
• = f (y/x)
dx
⇒ z = y/x
Z 
dz
⇒ y = xz, x = C exp .
f (z) − z
 
a1 x+b1 y+c1
• dy/dx = f a2 x+b2 y+c2


a 1 x 1 + b1 y 1 + c 1 = 0
a 2 x 1 + b2 y 1 + c 2 = 0

⇒ X = x − x 1 , Y = y − y1 ,
 
dy dY a 1 X + b1 Y
⇒ = =f ,
dx dX a 2 X + b2 Y

1.2.3 The general solution of linear ODE

•
y ′ (x) + p(x)y(x) = g(x)
has general solution
∫
 Z ∫

y(x) = e− p(x)dx
C+ g(x)e p(x)dx
dx .

1.2.4 Total differential equation

• Total differential equation
( M (x,y)
dx = − N (x,y) ,
dy

∂M (x,y)
∂y = ∂N∂x (x,y)

• If M, N is the total differential equation of f (x, y), the problem can be

transferred to f (x, y) = c.
CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 4

• Sometimes we can add a coefficient to the equation:

∫ Nx −My
dy
µ = Ce N

or ∫ My −Nx
dx
µ = Ce M

• Specially,
M (x, y) = xα M (1, u),N (x, y) = xα N (1, u)
then
dx N (1, u)du
+ = 0.
x N (1, u) + M (1, u)

1.2.5 First order differential equations can not be derived

in derivative form
• F (y ′ ) = 0
• F (x, y ′ ) = 0
• F (y, y ′ ) = 0
• F (x, y, y ′ ) = 0

1.3 Two-order and more

•
y n = f (x, y, y ′ , y ′′ , ..., y (n−1) )
with
y(x0 ) = c0 , y ′ (x0 ) = c1 , y (2) (x0 ) = c2 , . . . y (i) (x0 ) = ci , . . . y (n−1) (x0 ) = cn−1 .

• If the equation satisfy the Lipshitz condition, namely

|f (z1 , z2 , ..., zi , ..., zn ) − f (z1 , z2 , ..., zi , ..., zn )| ≤ N |zi − z̄i |
the equation has only one solution.

1.3.1 Depression of order

• F (x, y (k) , y (k+1) , ..., y (n) ) = 0 n ⇒ n − k
• F (y, y ′ , y ′′ , ..., y (n) ) = 0 n ⇒ n − 1
Let p = y ′ , then
 2
d2 y dp d3 y d2 y 2 dp
= p, = p + p, ...
dx2 dy dp3 dp2 dy

⇒ F(y, p, p′ ..., p(n−1) ) = 0.

CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 5

• F (x, y, y ′ , y ′′ , ..., y (n) ) is the total deferential of Φ(x, y, y ′ , ..., y (n−1) ). Then

Φ(x, y, y ′ , ..., y (n−1) ) = C.

• F (x, y, y ′ , ...y (n) ) is homogeneous of y, y ′ , ..., y (n) , namely

F (x, ky, ky ′ , ...ky (n) ) = k p F (x, y, y ′ , ...y (n) ).

∫
z(x)dx
Let y = e , then
∫
F (x, y, y ′ , y ′′ , ..., y (n) = ep z(x)dx
f (x, z, z ′ , ..., z (n−1) ) = 0.

1.3.2 Homogeneous and linear ODE

•
y (n) (x) + pn−1 (x)y (n−1) (x) + ... + p1 (x)y ′ (x) + p0 (x)y(x) = 0.

• Principle of linear superposition the linear combination of any two

solution is also the solution.
•
y1 y2 ... yn
y1′ y2′ ... yn′
W (y1 , y2 , ...yn ) = .. .. .. , x∈I
. . .
(n−1) (n−1) (n−1)
y1 y2 ... yn
is called the wronskian.
• Abel Since
W ′ (x) + pn−1 (x)W (x) = 0x ∈ I,
then ∫
W (x) = Ce− pn−1 (x)dx

The solutions whose wronskian is none-zero consist of the basic solution

set.

1.3.3 Nonhomogeneous and linear ODE

•

y (n) (x) + pn−1 (x)y (n−1) (x) + ... + p1 (x)y ′ (x) + p0 (x)y(x) = g(x).

If we can find a special solution yp , then the general solution is in the form
of
y = yp + yh ,
where yh is the general solution of corresponding homogeneous and linear
ODE.
CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 6

1.4 Linear differential equation with constant co-

efficients
1.4.1 Homogeneous and linear differential equation with
constant coefficients
•
an y (n) + an−1 y (n−1) + ... + a1 y ′ + a0 y = 0, x ∈ I
Suppose that the solution of this equation is in the form of y = eλx , leading
to
an λn + an−1 λn−1 + ... + a1 λ + a0 = 0
which is called the characteristic equation.
• µi is a root with m multiplicity, the corresponding explicit solution is

c0 eµx + c1 xeµx + ... + cm−1 xm−1 eµx .

Generally, if µi is complex, then

c0 eαx + c1 xeαx + ... + cm−1 xm−1 eαx cos βx+ d0 eαx + d1 xeαx + ... + dm−1 xm−1 eαx sin βx.

1.4.2 Nonhomogeneous and linear differential equation with

constant coefficients
a bit difficult.

1.5 Linear differential equation with non-constant

coefficients
We consider a simple case:

y ′′ + P (x)y ′ + Q(x)y = g(x).

The general solution is in the form of

y = yp + yh

1.5.1 Depression of order

• If y1 is a untrivial solution of

y ′′ + P (x)y ′ + Q(x)y = 0,

then the solution which is linearly independent with y1 is

Z R

exp − P (x)dx
y2 (x) = y1 (x) dx.
y1 (x)2
CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 7

1.5.2 Variation coefficient method

• y1 and y2 are linearly independent solutions of the corresponding homo-
geneous equation, then a explicit solution is
Z Z
−y2 (x)g(x) y1 (x)g(x)
yp (x) = y1 (x) dx + y2 (x) dx,
W (y1 , y2 ) W (y1 , y2 )

1.5.3 Euler equation

•
x2 y ′′ + αxy ′ + βy = 0
Such 2-order and homogeneous ODE is called Euler equation. To solve
the equation, let y = xr , we get

r(r − 1) + αr + β = 0,

which is the characteristic equation.

• Assuming that r1 and r2 is the roots of the characteristic equation.

– r1 ̸= r2 ⇒ y = C1 |x|r1 + C2 |x|r2 ;
– r1 = r2 ⇒ y = (C1 + C2 ln|x|)xr ;
– r1 = a + bi, r2 = a − bi ⇒ y = C1 |x|a cos(bln|x|) + C1 |x|a sin(bln|x|).

1.6 Linear ODE system

• High order ODE can be transformed into one-order ODE through variable
substitution.
•
dn y(x)
= f (x, y, y ′ , y ′′ , ...y (n−1) ).
dxn
Let

y1 (x) = y ′ (x), y2 (x) = y ′ (x) = y ′′ (x), ..., yn−1 = yn−1

′
(x) = y (n−1) (x),

then  dy

 = y1 (x)


dx
dy1
 dx = y2 (x)
...




dyn−2
= yn−1 (x)
 dyn−1
dx
dx = f (x, y, y1 , y2 , ...yn−1 )
CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 8

1.6.1 Method of elimination

1.6.2 Linear ODE with constant coefficient
•  Pn

 ẋ1 (t) = Pi=1 a1i (t)xi (t) + f1 (t),
 n
ẋ2 (t) = i=1 a2i (t)xi (t) + f2 (t),

 ··· Pn

ẋn (t) = i=1 ani (t)xi (t) + fn (t).
can be simplified into

Ẋ(t) = A(t)X(t) + F (t)

• Principle of linear superposition can also applied to this system.

• Define matrix exponential
X∞
1 i 1
eB = B = E + B + B2 + · · ·
i=0
i! 2!

– If A and B is commutative, namely

[A, B] = AB − BA = 0,

then
e(A+B) = eA eB .
– ∀ U1 ≡ eB , ∃ U2 ≡ [eB ]−1 such that

U1 U2 = E,

and
U2 = e−B
–
X∞
A −A 1 (i)
e Be = [A , B],
i=0
i!
where
[A(0) , B] = B
[A(1) , B] = [A, B]
[A(i) , B] ≡ [A, [A, · · · , [ A, B ] · · · ]]
| {z } | {z }
i i
–
eA+B = eA eB e−[A,B]/2 e 6 [A
(2)
1
,B]− 31 [A,B (2) ]
...
• Now A is a constant matrix, then
CHAPTER 1. ODE-ORDINARY DIFFERENTIAL EQUATION 9

– Xc = eAt C,
– If A has n linearly independent eigenvectors v1 , v2 , · · · , vn , corre-
sponding to n different eigenvalues λ1 , ..., λn , then the Fundamental
solution matrix has the form of

Φ(t) = [eλ1 t v 1 , eλ2 t v 2 , · · · , eλn t v n ].

And,
eAt = Φ(t)Φ−1 (0).
– When A has multiple eigenvalues λ1 , ..., λk with multiplicity n1 , ..., nk ,
nj −1 l
X
k X t
x(t) = e λj t
(A − λj E)l v j .
j=1
l!
l=0

1.7 Analytical approximation method for ODE

1.7.1 Iteration
•
y ′ = f (x, y), y(x = x0 ) = y0

• Z x
y(x) = y0 + f (x′ , y(x′ ))dx′ .
x0

• Z x
y1 (x) = y0 + f (x′ , y0 )dx′
x
Z x0
y2 (x) = y0 + f (x′ , y1 )dx′
x0
...
Z x
yn (x) = y0 + f (x′ , yn−1 )dx′
x0

1.7.2 Method of perturbation

•
L[y(x)] + εN [y(x)] = 0

• Consider the solution of L[y(x)] = 0 ⇒ y0 , assume that

y(x, ε) = y0 (x) + εy1 (x) + ε2 y2 (x) + ...

1.7.3 Multi-scale expansion method

Chapter 2

Series solutions and special

functions of second order
ODE

2.1 Second order ODE near constant

•
y ′′ + P (x)y ′ + Q(x)y = 0
has two linearly independent solutions near the constant x0 :
∞
X ∞
X
y1 = cn (x − x0 ) ,
n
y2 = bn (x − x0 )n ,
n=0 n=0

2.2 Second order ODE near singularity

• If x0 satisfy
(x − x0 )P (x) = p(x), (x − x0 )2 Q(x) = q(x)
, called regular singularity, while the else called irregular singularity.
• Frobenius Theorem With regular singularity, the ODE has at least one
solution in the form of
∞
X
y= cn (x − x0 )n+r ,
n=0

•
c0 [r(r − 1) + p0 r + q0 ] = 0.
If c0 ̸= 0, then
r(r − 1) + p0 r + q0 = 0

10
CHAPTER 2. SERIES SOLUTIONS AND SPECIAL FUNCTIONS OF SECOND ORDER ODE11

– If r1 ̸= r2 and r1 − r2 is not an integral

∞
X
y1 (x) = cn |x|n+r1 , c0 ̸= 0.
n=0
X∞
y2 (x) = bn |x|n+r2 , b0 ̸= 0.
n=0

– If r1 − r2 is an positive integral
∞
X
y1 (x) = cn |x|n+r1 , c0 ̸= 0,
n=0

∞
X
y2 (x) = Cy1 (x) ln |x| + bn xn+r2 , b0 ̸= 0,
n=0

– If r1 = r2
∞
X
y1 (x) = cn |x|n+r1 , c0 ̸= 0,
n=0

∞
X
y2 (x) = y1 (x) ln |x| + bn xn+r2 , b0 ̸= 0.
n=0

2.3 Special functions

2.3.1 cylinder function
Bessel function of the first kind
• Bessel function of the first kind is the series solution on the singularity
x = 0 of Bessel equation
d2 y dy
x2 2
+x + (x2 − ν 2 )y = 0, x≥0
dx dx
• recurrence relation
1
cn = − cn−2 .
(n + ν)2 − ν 2
•
c2n+1 = 0, n = 0, 1, 2, ...
(−1)n Γ(ν + 1)
c2n = c0
22n n!Γ(n + ν + 1)
1
usually withc0 = 2ν Γ(1+ν) ,
CHAPTER 2. SERIES SOLUTIONS AND SPECIAL FUNCTIONS OF SECOND ORDER ODE12

•
∞
X (−1)n  x 2n+ν
Jν (x) = .
n=0
n!Γ(n + ν + 1) 2
∞
X (−1)n  x 2n−ν
J−ν (x) = .
n=0
n!Γ(n − ν + 1) 2

Figure 2.1:

Bessel function of the second kind

–
cos νπJν (x) − J−ν (x)
Yν (x) = ,
sin νπ
–

2  x  1 m−1
X (m − n − 1)!  x −m+2n
Ym (x) = Jm (x) ln −
π 2 π n=0 n! 2
∞
1 X (−1)n  x m+2n
− [ψ(m + n + 1) + ψ(n + 1)]
π n=0 n!(m + n)! 2

2.3.2 Relationship


 2Zν′ (x) = Zν−1 (x) − Zν+1 (x)



 2νZν (x)/x = Zν−1 (x) + Zν+1 (x)
 Z ′ (x) − νZ (x)/x = −Z
ν ν ν+1 (x)
′

 Z ν (x) + νZ ν (x)/x = Z ν−1 (x)

 −ν ′ −ν

 [x Z (x)] = −x Zν+1 (x)
 ν ν ′
[x Zν (x)] = +xν Zν−1 (x)
CHAPTER 2. SERIES SOLUTIONS AND SPECIAL FUNCTIONS OF SECOND ORDER ODE13

Z π Z π
1 ix sin ξ −imξ 1
Jm (x) = e e dξ = cos[x sin ξ − mξ]dξ.
2π −π 2π π

2.3.3 Bessel function of imaginary argument

• Consider
x2 y ′′ + xy ′ − (x2 + ν 2 )y = 0
which only has z = ix compared to Bessel equation.
• Define Bessel function of imaginary argument of first kind
Iν (x) = i−ν Jν (ix),
Bessel function of imaginary argument of second kind
π I−ν (x) − Iν (x)
Kν (x) = ,
2 sin νπ

Figure 2.2:

Figure 2.3:
CHAPTER 2. SERIES SOLUTIONS AND SPECIAL FUNCTIONS OF SECOND ORDER ODE14

2.3.4 Spherical Bessel function

• Consider
x2 y ′′ + 2xy ′ + (kx2 − m(m + 1))y = 0
and let y = x−1/2 w
 
x2 w′′ + xw′ + kx2 − (m + 1/2)2 w = 0.

• Define r
π
jm (x) = J 1 (x) ,
2x m+ 2
r
π
ym (x) = Y 1 (x) ,
2x m+ 2

Figure 2.4:

Figure 2.5:
CHAPTER 2. SERIES SOLUTIONS AND SPECIAL FUNCTIONS OF SECOND ORDER ODE15

2.4 Legendre polynomial

(1 − x2 )y ′′ − 2xy ′ + µy = 0,
where 0 is a constant.
P∞
Assuming that y = n=0 cn xn , then

n(n + 1) − µ
cn+2 = cn .
(n + 2)(n + 1)

2.4.1 Legendre polynomial

When µ = m(m + 1), Legendre polynomial has polynomial solution:

Pm (X) = c0 + c2 x2 + ... + cm xm . . . even
Pm (x) = c1 x + c3 x3 + ... + cm xm . . . odd

(n + 2)(n + 1)
cn = − cn+2 .
(m − n)(m + n + 1)
Let
(2m)!
cm = .
2m (m!)2

1 X
M
(2m − 2n)!
Pm (x) = m (−1)n xm−2n ,
2 n=0 n!(m − n)!(m − 2n)!

where M = [m/2]

2.4.2 Quality
• Rodrigues
1 dm 2
Pm (x) = (x − 1)m .
2m m! dxm
• Bonnet
(m + 1)Pm+1 (x) + mPm−1 (x) = (2m + 1)xPm (x).
′ ′
Pm+1 (x) = Pm−1 (x) + (2m + 1)Pm (x).

• Z  
1
= 0 m ̸= n
Pn (x)Pm (x)dx = 2
−1
= 2n+1 m=n
Chapter 3

Hilbert Space and

Complete set of orthogonal
functions

3.1 Completeness of orthonormal function sets

and generalized Fourier series
• Consider a set of orthonormal functions {fn } ∈ L2 [a, b]. If ∀f (x) ∈
L2 [a, b], ∃{an }, such that

Z b X
N 2

lim an fn (x) − f (x) dx = 0

N →∞ a n=1

then call set {fn } is Complete set of functions.

• Z b
an ≡ (fn , f ) = fn∗ (x)f (x)dx, (n = 1, 2, 3, ...)
a

is called the generalized fourier series

• Generally,
Z b
cn = fn∗ (x)f (x)ρ(x)dx
a

or if the set is not normal

Rb ∗
(fn , f ) f (x)f (x)ρ(x)dx
cn = = R ba n
||fn || 2
f ∗ (x)fn (x)ρ(x)dx
a n

16
CHAPTER 3. HILBERT SPACE AND COMPLETE SET OF ORTHOGONAL FUNCTIONS17

3.2 Fourier series

•
 
π 2π 3π mπ π 2π 3π mπ
1, cos x, cos x, cos x, ..., cos x, ..., sin x, sin x, sin x, ... sin x, ...
p p p p p p p p

is orthogonal in [-p,p].
•
∞  
a0 X nπ nπ
f (x) = + an cos x + bn sin x .
2 n=1
p p

• Z p
1
a0 = f (x)dx,
p −p
Z p
1 nπx
an = cos f (x)dx,
p −p p
Z p
1 nπx
bn = sin f (x)dx.
p −p p

• In complex form,
∞
X nπ
f (x) = c n ei p x ,
n=−∞
Z p
1
e−i
nπ
cn = p x f (x)dx.(n = 0, ±1, ±2, ±3, ...).
2p −p

3.3 Sturm-Liouville Problem

3.3.1 Boundary Problem
•  ′′
 y + p(x)y ′ + q(x)y = f (x), x ∈ (a, b)
α1 y(a) + α2 y ′ (a) + α3 y(b) + α4 y ′ (b) = A1

β3 y(a) + β4 y ′ (a) + β1 y(b) + β2 y ′ (b) = A2

• Constrict to the simple form:

 ′′
 y + p(x)y ′ + q(x)y = f (x), x ∈ (a, b)
α1 y(a) + α2 y ′ (a) = A1

β1 y(b) + β2 y ′ (b) = A2

called Sturm-Liouville Problem.

If α2 = β2 = 0, called Dirichlet Problem.
If α1 = β1 = 0, called Robin Problem.
CHAPTER 3. HILBERT SPACE AND COMPLETE SET OF ORTHOGONAL FUNCTIONS18

• Denote
U1 [y] ≡ α1 y(a) + α2 y ′ (a) + α3 y(b) + α4 y ′ (b),
U2 [y] ≡ β3 y(a) + β4 y ′ (a) + β1 y(b) + β2 y ′ (b).
To solve  ′′
 y + p(x)y ′ + q(x)y = f (x), x ∈ (a, b)
α1 y(a) + α2 y ′ (a) + α3 y(b) + α4 y ′ (b) = 0

β3 y(a) + β4 y ′ (a) + β1 y(b) + β2 y ′ (b) = 0
y(x) = C1 y1 (x) + C2 y2 (x) + z(x).
The coefficient can be determined by

C1 U1 [y1 ] + C2 U1 [y2 ] = −U1 [z]
C1 U2 [y1 ] + C2 U2 [y2 ] = −U2 [z]

Thus if
U1 [y1 ]U2 [y2 ] − U1 [y2 ]U2 [y1 ] ̸= 0,
then the problem has unique solution.
• To solve  ′′
 y + p(x)y ′ + q(x)y = 0, x ∈ (a, b)
α1 y(a) + α2 y ′ (a) + α3 y(b) + α4 y ′ (b) = A1

β3 y(a) + β4 y ′ (a) + β1 y(b) + β2 y ′ (b) = A2
y(x) = C1 y1 (x) + C2 y2 (x).
The coefficient can be determined by

C1 U1 [y1 ] + C2 U1 [y2 ] = A1
C1 U2 [y1 ] + C2 U2 [y2 ] = A2

Thus if

U1 [y1 ]U2 [y2 ] − U1 [y2 ]U2 [y1 ] ̸= 0 and A21 + A22 ̸= 0,

then the problem has unique solution.

3.4 Fourier-Bessel Series

3.5 Fourier-Legendre Series
Chapter 4

Fundamentals of
mathematical physics
equations

4.1 Partial differential equation

•
 
∂u ∂2u
Φ x1 , x2 , ..., xn , u, (i = 1, ...n), (i, j = 1, ..., n), ... = 0
∂xi ∂xi xj

is called Partial differential equation.

•  
∂u ∂2u
Φ x1 , x2 , ..., xn , u, (i = 1, ...n), (i, j = 1, ..., n) = 0
∂xi ∂xi ∂xj
is called second order PDE.

•
X
n
∂2u ∂u ∂u
aij (x1 , x2 , ...xn ) + F (x1 , x2 , ..., xn , u, , ..., )=0
i,j=1
∂xi ∂xj ∂x1 ∂xn

is called Quasi-linear second order PDE.

•
X
n
∂2u X
n
∂u
aij (x1 , x2 , ...xn ) + bi (x1 , x2 , ...xn ) +b0 (x1 , x2 , ...xn )u = f (x1 , x2 , ..., xn )
i,j=1
∂xi ∂xj i=1 ∂xi

is called linear second order PDE

19
CHAPTER 4. FUNDAMENTALS OF MATHEMATICAL PHYSICS EQUATIONS20

4.2 Some important mathematical physics equa-

tions
4.2.1 wave equation
• lateral vibration of the string

utt = a2 uxx + f (x, t)

• Longitudinal vibration of elastic rod

E
utt = uxx
ρ

• Lateral vibration of the tympanic membrane

utt = a2 (uxx + uyy ) + f (x, y, t)

• telegraph equation

wxx = a0 wtt + 2b0 wt + c0 w

where w = iorx, a0 = LC, 2b0 = RC + GL, c0 = GR use

w = u exp(−b0 t/a0 )

utt = a2 uxx + Bu,

where
√
a = 1/ a0 , B = (b20 − a0 c0 )/a20 .

• Acoustic equation
∂ 2 ρ1
+ a2 ∇
⃗ 2 ρ1 = 0
∂t2
• Electromagnetic wave equation
⃗ tt − a2 ∇
E ⃗ 23 E
⃗ = 0; ⃗ tt − a2 ∇
H ⃗ 23 H
⃗ =0

• General wave equation

utt = a2 ∆u + f (⃗x, t),

4.2.2 Heat equation

•
ut = a2 uxx + f (x, t),
CHAPTER 4. FUNDAMENTALS OF MATHEMATICAL PHYSICS EQUATIONS21

4.2.3 Laplace and Poisson Equation

• Laplace Equation
∆u = 0

• Poisson Equation
∆u = f (⃗x)

4.2.4 Schrodinger equation

ℏ2 ⃗ 2 ∂u
− ∇ u + V (⃗x)u = iℏ
2m ∂t

4.3 Classification of second order PDE

•
a11 uxx + 2a12 uxy + a22 uyy + F (x, y, u, ux , uy ) = 0,

• For a212 − a11 a22 > 0, called hyperbolic partial differential equation,
such as wave equation.
• For a212 − a11 a22 = 0, called parabolic partial differential equation,
such as wave equation. such as heat equation.

• For a212 − a11 a22 < 0, called elliptic partial differential equation, such
as wave equation. such as Poisson equation.

4.4 Establishment of Mathematical Physics Prob-

lem
4.4.1 Initial condition
•

4.4.2 Boundary condition

• Dirichlet BC:
u|Σ = f1

• Neumann BC:
∂u
= f2
∂n Σ

• Robin BC:  
∂u
+ hu = f3 .
∂n Σ
Chapter 5

PDE in rectangular
coordinate system

22
Chapter 6

PDE in polar coordinate

system and cylindrical
coordinate system

6.1 Preliminary field theory

•
qi = qi (x, y, z), i = 1, 2, 3
Let q2 and q3 stay invariable, thus generate the q1 curve.
The system where everywhere the curves are orthogonal is called the or-
thogonal curve system.
• Cylinder system:

Figure 6.1:

• Spherical system:

23
CHAPTER 6. PDE IN POLAR COORDINATE SYSTEM AND CYLINDRICAL COORDINATE SYSTEM24

Figure 6.2:

• Define Lame coefficient

s 2  2  2
∂x ∂y ∂z
hi = + + , i = 1, 2, 3
∂qi ∂qi ∂qi

• In Cylinder system:
s 2  2  2
∂x ∂y ∂z
hr = + + =1
∂r ∂r ∂r
s 2  2  2
∂x ∂y ∂z
hθ = + + =r
∂θ ∂θ ∂θ
s 2  2  2
∂x ∂y ∂z
hz = + + =1
∂z ∂z ∂z

• In Spherical system:
s 2  2  2
∂x ∂y ∂z
hr = + + =1
∂r ∂r ∂r
s
2  2  2
∂x ∂y ∂z
hθ = + + =r
∂θ ∂θ ∂θ
s   2  2
2
∂x ∂y ∂z
hφ = + + = r sin θ
∂φ ∂φ ∂φ

• gradient
1 ∂u
(∇u)qi = , i = 1, 2, 3
hqi ∂qi
In rectangle system:
∂u ∂u ∂u
∇u = ⃗ex + ⃗ey + ⃗ez
∂x ∂y ∂z
In cylinder system:
∂u 1 ∂u ∂u
∇u = ⃗er + ⃗eφ + ⃗ez
∂r r ∂θ ∂z
CHAPTER 6. PDE IN POLAR COORDINATE SYSTEM AND CYLINDRICAL COORDINATE SYSTEM25

In spherical system:
∂u 1 ∂u 1 ∂u
∇u = ⃗er + ⃗eθ + ⃗eφ
∂r r ∂θ r sin θ ∂φ

• divergence
  
1 ∂ (Fq1 hq2 hq3 ) ∂ (Fq2 hq1 hq3 ) ∂ (Fq3 hq1 hq2 )
∇· F =
⃗ + +
hq1 hq2 hq3 ∂q1 ∂q2 ∂q3

In rectangle system:
∂Fx ∂Fy ∂Fz
∇ · F⃗ = + +
∂x ∂y ∂z
In cylinder system:

1 ∂ (rFr ) 1 ∂Fθ ∂Fz

∇ · F⃗ = + +
r ∂r r ∂θ ∂z
In spherical system:
1 ∂
1 ∂ 1 ∂Fφ
∇ · F⃗ = 2 r 2 Fr + (sin θFθ ) +
r ∂r r sin θ ∂θ r sin θ ∂φ

• Laplace operator
      
1 ∂ hq2 hq3 ∂u ∂ hq1 hq3 ∂u ∂ hq1 hq2 ∂u
∆u = ∇·(∇u) = + +
hq 1 h q 2 hq 3 ∂q1 hq1 ∂q1 ∂q2 hq2 ∂q2 ∂q3 hq3 ∂q3

• convergence

hq1 êq1 hq2 êq2 hq3 êq3

1
∇ × F⃗ = ∂
∂q1
∂
∂q2
∂
∂q3
hq1 hq2 hq3
Fq1 hq1 Fq2 hq2 Fq3 hq3

In rectangle system:
     
⃗ × F⃗ = ∂Fz − ∂Fy ⃗ex + ∂Fx − ∂Fz ⃗ey + ∂Fy − ∂Fx ⃗ez
∇
∂y ∂z ∂z ∂x ∂x ∂y

In cylinder system:
     
1 ∂Fz ∂Fφ ∂Fρ ∂Fz 1 ∂ (ρFφ ) 1 ∂Fρ
∇×F =
⃗ ⃗ − ⃗eρ + − ⃗eφ + − ⃗ez
ρ ∂φ ∂z ∂z ∂ρ ρ ∂ρ ρ ∂φ

In spherical system:
     
⃗ × F⃗ = 1
∇
∂
(sin θFφ ) −
∂Fθ
⃗er +
1 1 ∂Fr
−
∂
(rFφ ) ⃗eθ +
1 ∂
(rFθ ) −
∂Fr
⃗eφ
r sin θ ∂θ ∂φ r sin θ ∂φ ∂r r ∂r ∂θ
CHAPTER 6. PDE IN POLAR COORDINATE SYSTEM AND CYLINDRICAL COORDINATE SYSTEM26

Lame h1 h2 h3
rectangle hx = 1 hy = 1 hz = 1
cylinder hr = 1 hθ = r hz = 1
spherical hr = 1 hθ = r hφ = rsinθ

Operator ∇u ∇ · F⃗ ∇ × F⃗
   
∂Fy ∂F
∂F
rectangle ∂u
∂x ⃗
ex + ∂u
∂y ⃗
ey + ∂u
∂z ⃗
ez ∂Fx
∂x + ∂y + ∂z
∂Fz ∂Fz
− ∂zy ⃗ex + ∂F x
− ∂F
∂x ⃗
z
ey + ∂xy − ∂F x
⃗ez
 ∂y  ∂z  h ∂y
i
1 ∂(rFr ) ∂Fφ ∂Fρ 1 ∂(ρFφ ) ∂F
cylinder ∂u
∂r ⃗
er + 1 ∂u
r ∂θ ⃗
eφ + ∂u
∂z ⃗
ez + 1r ∂F ∂Fz
∂θ + ∂z
θ 1 ∂Fz
− ⃗
e ρ + − ∂Fz
⃗
e φ + − ρ1 ∂φρ ⃗ez
r ∂r


ρ ∂φ
h ∂z ∂z
i ∂ρ h ρ ∂ρ
i  
∂Fφ
spherical ∂u
∂r ⃗
er + 1 ∂u
r ∂θ ⃗
eθ + 1 ∂u
r sin θ ∂φ ⃗
eφ 1 ∂
r 2 ∂r r 2 Fr + 1 ∂
r sin θ ∂θ (sin θFθ ) + 1
r sin θ ∂φ
1 ∂
r sin θ ∂θ (sin θF φ ) − ∂Fθ
∂φ ⃗
e r + 1 1 ∂Fr
r sin θ ∂φ − ∂
∂r (rF φ ) ⃗
e θ +
1
r
∂
∂r (rFθ ) − ∂Fr
∂θ ⃗eφ

6.2 General Product Solution of Laplace and Helmholtz

Equation
Chapter 7

PDE in spherical
coordinate frame

27
Chapter 8

Appendix

• Gamma function Z ∞
Γ(x) ≡ tx−1 e−t dt
0

• √
Γ(x + 1) = xΓ(x), Γ(1) = 1, Γ(1/2) = π.

•
d
ψ(x) = ln Γ(x)
dx

28